-----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, He2J/I/pCShVFwQmH3GcbG3g3jxeZQo2kQ4tfK0hJjjV6GD7LofcAsJM03Unq415 lBI+FrCJ237SUUR5WHaM0g== 0000912057-02-026748.txt : 20020709 0000912057-02-026748.hdr.sgml : 20020709 20020709164736 ACCESSION NUMBER: 0000912057-02-026748 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20020430 FILED AS OF DATE: 20020709 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FREMONT MUTUAL FUNDS INC CENTRAL INDEX KEY: 0000837389 STATE OF INCORPORATION: MD FISCAL YEAR END: 1031 FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-05632 FILM NUMBER: 02698985 BUSINESS ADDRESS: STREET 1: 50 BEALE STREET SUITE 100 CITY: SAN FRANCISCO STATE: CA ZIP: 94105 BUSINESS PHONE: 8005484539 MAIL ADDRESS: STREET 1: 50 BEALE STREET SUITE 100 CITY: SAN FRANCISCO STATE: CA ZIP: 45202 FORMER COMPANY: FORMER CONFORMED NAME: SIERRA MUTUAL FUNDS INC DATE OF NAME CHANGE: 19881113 N-30D 1 a2082853zn-30d.txt N-30D "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." -NANCY TENGLER FREMONT MUTUAL FUNDS, INC. Semi-Annual Report | April 30, 2002 FREMONT FREMONT INVESTMENT ADVISORS A MESSAGE FROM NANCY TENGLER, PRESIDENT OF FREMONT MUTUAL FUNDS, INC. Dear Fremont Fund Shareholders, In a market outlook piece published in mid-March of this year, reflecting on the stock market's sensitivity to any whiff of bad news I wrote, "It doesn't really matter so much what the pundits say, but `how' they say it. The market reacts to the tone, but not the substance. So, in the short term, we continue to suffer incredible levels of daily volatility, which masks the underlying economic trends that are emerging and is expectedto drive the market upward over time." As I write now, about six weeks later, the stock market remains skittish, with investors quick to react to any hint of bad news. There is a lot for investors to worry about - tensions in the Middle East, accounting questions, and attacks on Wall Street's credibility. Investors are being spooked by the generally negative "daily news flow." At Fremont, we are in the business of trying to see the forest through all the trees. Our focus is on an economy that is recovering, albeit at a slower rate than investors might like. We believe this foreshadows a broad-based corporate earnings recovery and firmer stock market later this year. In the interim, we will probably have to continue to cope with daily volatility and a disconnect between market activity and gradually improving economic and equities fundamentals. However, we think investors will eventually recognize that things are getting better, not worse, and that there are lots of attractive long-term opportunities in today's depressed stock market. As you will learn from reading this semi-annual report, not all our fund managers agree on where the best opportunities lie. Our value-oriented portfolio managers generally favor different sectors and stocks than the stewards of our growth-oriented funds. Our international equities managers see great opportunities overseas, while our domestic stock fund managers believe the U.S. is still the place to be. Our specialty fund managers offer their perspectives in the sectors they are investing in. Over the short term, some will be right and others wrong. More importantly, however, over the longer term, we expect our experienced and talented team of in- and out-of-house advisors to add value to the investment process. At Fremont Investment Advisors, we believe in diversification. Today, the value of a diversified strategy has never been more relevant. That's precisely why we have developed a diversified family of funds managed by the most experienced and talented advisors in the investment industry. We remain committed to this goal. Sincerely, /s/ Nancy Tengler Nancy Tengler, President Fremont Funds [SIDENOTE] [PHOTO NANCY TENGLER] "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." TABLE OF CONTENTS FUND PROFILES AND LETTERS TO SHAREHOLDERS Fremont Global Fund 2 Fremont International Growth Fund 4 Fremont New ERA Value Fund 6 Fremont New ERA Growth FUND 8 Fremont Structured Core Fund (Formerly Fremont Growth Fund) 10 Fremont U.S. Small Cap Fund 12 Fremont U.S. Micro-Cap Fund 14 Fremont Real Estate Securities Fund 16 Fremont Bond Fund 18 Fremont California Intermediate Tax-Free Fund 20 Fremont Money Market Fund 22 SCHEDULES OF INVESTMENTS IN SECURITIES AND NET ASSETS Fremont Global Fund 24 Fremont International Growth Fund 37 Fremont New ERA Value Fund 40 Fremont New ERA Growth Fund 41 Fremont Structured Core Fund 42 Fremont U.S. Small Cap Fund 44 Fremont U.S. Micro-Cap Fund 45 Fremont Real Estate Securities Fund 47 Fremont Bond Fund 48 Fremont California Intermediate Tax-Free Fund 52 Fremont Money Market Fund 54 Notes to Schedules of Investments in Securities and Net Assets, Portfolio Abbreviations & Currency Abbreviations 57 Country Diversification 58 COMBINED FINANCIAL STATEMENTS Statements of Assets and Liabilities 60 Statements of Operations 64 Statements of Changes in Net Assets 68 FINANCIAL HIGHLIGHTS 74 NOTES TO FINANCIAL STATEMENTS 81 FREMONT GLOBAL FUND [SIDENOTE] THE FREMONT ASSET ALLOCATION COMMITTEE, PORTFOLIO MANAGERS FREMONT INVESTMENT ADVISORS, INC. [PHOTO NANCY TENGLER, NOEL DEDORA, AL KIRSCHBAUM, AND SANDIE KINCHEN] NANCY TENGLER, NOEL DEDORA, AL KIRSCHBAUM, AND SANDIE KINCHEN FUND PROFILE FREMONT GLOBAL FUND OFFERS CONSERVATIVE INVESTORS A BALANCED APPROACH TO GLOBAL INVESTING. THE FUND MANAGEMENT TEAM UNDERSTANDS THE REWARD POTENTIAL AND, PERHAPS MORE IMPORTANTLY, THE RISKS IN GLOBAL FINANCIAL MARKETS. THROUGH COUNTRY DIVERSIFICATION, PRUDENT ALLOCATION BETWEEN STOCKS, BONDS AND CASH, AND DISCIPLINED SECURITIES SELECTION, THE FUND SEEKS TO MAXIMIZE TOTAL RETURN (INCLUDING INCOME AND CAPITAL GAINS) WHILE REDUCING RISK BY INVESTING IN MULTIPLE CATEGORIES OF U.S. AND FOREIGN SECURITIES. THE FUND'S PORTFOLIO MANAGEMENT TEAM EMPLOYS A THREE-STEP INVESTMENT PROCESS. FIRST, THEY DEVELOP GLOBAL ECONOMIC AND FINANCIAL FORECASTS. NEXT, THEY EXAMINE FINANCIAL MARKET DATA TO DETERMINE THE MOST ADVANTAGEOUS MIX OF STOCKS, BONDS AND CASH. FINALLY, EACH PORTFOLIO MANAGER SELECTS INDIVIDUAL SECURITIES BASED ON INTENSIVE QUANTITATIVE OR FUNDAMENTAL ANALYSIS. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont Global Fund gained 2.14% compared to Lipper Global Flexible Fund Average's 5.51% return. During this reporting period, our over-weighting in domestic equities and under-weighting in international stocks enhanced portfolio returns, with the S&P 500 significantly outperforming the MSCI-EAFE Index. On the domestic equities front, our growth bias restrained performance as value continued to outperform growth by a significant margin. On the whole, technology stocks continued to disappoint. Fixed income securities, last year's major performance contributor, gave up some ground in first half fiscal 2002 as bond investors began worrying that a global economic recovery might have inflationary implications. The Fund's modest under-weighting in the U.S. and over-weighting in Europe was a slight plus. In the domestic fixed income portfolio, our bias toward corporate bonds, mortgage-backed securities, and inflation adjusted Treasuries (TIPs) also contributed to performance, as all three categories outperformed conventional U.S. Treasuries. At the close of first half fiscal 2002, the Fund was over-weighted in U.S. equities (52.1% versus a neutral 45.0%), under-weighted in international equities (15.3% versus a neutral 20.0%), and modestly under-weighted in global fixed income (30.8% versus a neutral 33.0%). The remaining 1.8% of portfolio assets were in cash reserves. The U.S. economy has clearly emerged from recession. While we do not expect Gross Domestic Product (GDP) growth to continue at the 5.8% pace posted in the first quarter, we do feel the economy will grow fast enough to support a broad-based earnings recovery in second half 2002. Thus far, the economic recovery has been fueled almost exclusively by surprisingly strong consumer spending. With low interest rates and lots of financial incentives still being used to move merchandise, we believe consumer spending will remain relatively healthy. We don't expect capital spending to rebound until we experience a broader based corporate profit recovery, probably in the third or fourth quarter. We suspect most of the money will go to productivity enhancing technology, as companies in a wide range of industries attempt to restore and improve profit margins in an economic environment in which pricing power will remain constrained. "Brick and mortar" capital spending will likely remain depressed until capacity utilization rates improve significantly. The Fund's domestic equities portfolio continues to have a growth bias, including relatively significant exposure to technology stocks, which we believe are poised to recover strongly as profits improve in the quarters ahead and corporate managers once again focus on increasing productivity. We also expect some value-oriented sectors, especially health care, to perform better over the balance of the year. Pharmaceutical stocks, usually a fairly defensive sector, were hit hard over the last six months as investors focused on patent expirations and a slowdown in new drug introductions. Some of the world's largest pharmaceutical companies are now trading at very attractive valuations. Economic growth in Europe and the UK may lag. These economies have held up better than the U.S. over the last year and monetary authorities haven't eased as aggressively as the Federal Reserve. Also, Europe's greater dependence on foreign oil may be more of an economic drain if energy prices remain around current levels. Although the Nikkei was among the best performing equities indices in the world through the first four months of calendar 2002, we don't see any significant improvement in Japan's economic fundamentals. Even if Japan manages to emerge from recession - a big "if" considering all of 2 its current problems - we suspect the economy will remain flat at best. Currently our investments in Japan are primarily in exporters, which should benefit from the weak yen and an American economic recovery, and in restructuring/turnaround situations. We expect the U.S. fixed income market to stabilize over the balance of the year. Despite strong first quarter GDP growth, there is little evidence of any inflationary pressure on the economy. We still favor corporate bonds over Treasuries, but are being quite selective due to event risk in industries such as telecommunications and power generation/energy trading. We continue to find mortgage-backed securities attractive. We also continue to like inflation adjusted Treasuries. Although we believe inflation will remain muted, we think investors' expectations of inflation will cause TIPs to outperform nominal Treasury Bonds, especially if, as we anticipate, the Fed remains neutral until late this year or early 2003. We are modestly over-weighted in European bonds, because the monetary authorities have more room to ease if the economic recovery falters. Also, the euro is finally making some progress against the U.S. dollar. If this continues, more favorable currency translations will enhance total returns from our European fixed income investments. Sincerely, /s/ Nancy Tengler /s/Noel DeDora /s/ Al Kirschbaum /s/Sandie Kinchen Fremont Investment Advisors FREMONT GLOBAL FUND GEOGRAPHIC DIVERSIFICATION AS OF 4/30/02 [CHART] Canada 1.1% United States 73.4% Emerging Markets-Latin America 0.8% Europe 18.1% Africa 0.1% Japan 4.6% Pacific Rim (Excluding Japan) 1.9%
ANNUAL RETURNS 11/18/88 - 10/31/89* +13.71% 11/01/89 - 10/31/90 - 2.64% 11/01/90 - 10/31/91 +18.38% 11/01/91 - 10/31/92 + 7.10% 11/01/92 - 10/31/93 +17.51% 11/01/93 - 10/31/94 + 1.74% 11/01/94 - 10/31/95 +12.78% 11/01/95 - 10/31/96 +13.72% 11/01/96 - 10/31/97 +13.01% 11/01/97 - 10/31/98 + 3.62% 11/01/98 - 10/31/99 +17.37% 11/01/99 - 10/31/00 + 8.86% 11/01/00 - 10/31/01 -17.77% 11/01/01 - 4/30/02* + 2.14%
TOP TEN HOLDINGS U.S. Treasury Bond, 3.880%, 04/15/29 1.4% General Electric Co. 1.3% Exxon Mobil Corp. 1.2% Microsoft Corp. 1.2% Netherlands (Kingdom of), 5.750%, 02/15/07 1.1% Cisco Systems, Inc. 1.0% FNMA TBA, 6.000%, 06/08/17 1.0% FHLMC, 6.500%, 08/15/31 0.8% Pfizer, Inc. 0.8% Home Depot, Inc. 0.8% TOTAL 10.6%
[CHART] GROWTH OF $10,000(1)
LEHMAN BROS. INTERMEDIATE MSCI SALOMON NON-US GOVT. FREMONT GLOBAL FUND S&P 500 INDEX GOVT./CORP. BOND INDEX EAFE INDEX BOND INDEX 18-Nov-88 $10,000 $10,000 $10,000 $10,000 $10,000 30-Nov-88 $10,040 $10,281 $9,966 $10,161 $10,004 31-Dec-88 $10,123 $10,467 $9,975 $10,218 $10,084 31-Jan-89 $10,415 $11,223 $10,080 $10,398 $10,141 28-Feb-89 $10,325 $10,944 $10,037 $10,451 $10,055 31-Mar-89 $10,506 $11,201 $10,081 $10,246 $10,125 30-Apr-89 $10,677 $11,777 $10,282 $10,341 $10,223 31-May-89 $10,828 $12,254 $10,486 $9,779 $10,228 30-Jun-89 $10,878 $12,187 $10,750 $9,614 $10,317 31-Jul-89 $11,391 $13,281 $10,970 $10,822 $10,542 31-Aug-89 $11,512 $13,538 $10,829 $10,335 $10,551 30-Sep-89 $11,462 $13,485 $10,880 $10,806 $10,495 31-Oct-89 $11,371 $13,167 $11,110 $10,371 $10,489 30-Nov-89 $11,519 $13,439 $11,216 $10,893 $10,465 31-Dec-89 $11,735 $13,758 $11,247 $11,295 $10,500 31-Jan-90 $11,373 $12,835 $11,175 $10,874 $10,292 28-Feb-90 $11,331 $13,000 $11,217 $10,116 $10,138 31-Mar-90 $11,373 $13,341 $11,231 $9,062 $10,133 30-Apr-90 $11,203 $13,010 $11,192 $8,990 $10,125 31-May-90 $11,810 $14,278 $11,438 $10,016 $10,376 30-Jun-90 $11,842 $14,180 $11,591 $9,928 $10,430 31-Jul-90 $11,927 $14,134 $11,753 $10,068 $10,471 31-Aug-90 $11,341 $12,857 $11,704 $9,090 $10,330 30-Sep-90 $10,873 $12,224 $11,795 $7,823 $10,272 31-Oct-90 $11,070 $12,179 $11,931 $9,042 $10,567 30-Nov-90 $11,349 $12,961 $12,112 $8,509 $10,740 31-Dec-90 $11,527 $13,318 $12,278 $8,647 $10,847 31-Jan-91 $11,797 $13,907 $12,403 $8,926 $11,053 28-Feb-91 $12,270 $14,902 $12,501 $9,883 $11,216 31-Mar-91 $12,315 $15,255 $12,586 $9,290 $11,221 30-Apr-91 $12,371 $15,297 $12,724 $9,381 $11,276 31-May-91 $12,607 $15,955 $12,802 $9,479 $11,343 30-Jun-91 $12,258 $15,228 $12,811 $8,782 $11,282 31-Jul-91 $12,596 $15,940 $12,954 $9,213 $11,384 31-Aug-91 $12,810 $16,315 $13,202 $9,026 $11,531 30-Sep-91 $12,911 $16,046 $13,429 $9,535 $11,719 31-Oct-91 $13,105 $16,259 $13,582 $9,671 $11,802 30-Nov-91 $12,872 $15,604 $13,738 $9,219 $11,840 31-Dec-91 $13,676 $17,386 $14,073 $9,695 $12,051 31-Jan-92 $13,595 $17,064 $13,946 $9,488 $12,152 29-Feb-92 $13,747 $17,282 $14,001 $9,148 $12,192 31-Mar-92 $13,466 $16,945 $13,946 $8,544 $12,123 30-Apr-92 $13,501 $17,440 $14,068 $8,585 $12,160 31-May-92 $13,773 $17,533 $14,286 $9,160 $12,292 30-Jun-92 $13,655 $17,277 $14,498 $8,726 $12,342 31-Jul-92 $13,808 $17,975 $14,786 $8,502 $12,428 31-Aug-92 $13,844 $17,612 $14,934 $9,035 $12,468 30-Sep-92 $13,964 $17,815 $15,138 $8,856 $12,673 31-Oct-92 $14,035 $17,879 $14,941 $8,392 $12,889 30-Nov-92 $14,218 $18,482 $14,884 $8,471 $12,895 31-Dec-92 $14,389 $18,722 $15,083 $8,515 $13,017 31-Jan-93 $14,450 $18,858 $15,375 $8,514 $13,154 28-Feb-93 $14,609 $19,115 $15,618 $8,771 $13,395 31-Mar-93 $14,916 $19,527 $15,681 $9,536 $13,358 30-Apr-93 $14,940 $19,049 $15,806 $10,441 $13,351 31-May-93 $15,089 $19,558 $15,771 $10,662 $13,416 30-Jun-93 $15,212 $19,623 $16,019 $10,495 $13,666 31-Jul-93 $15,423 $19,526 $16,058 $10,863 $13,819 31-Aug-93 $15,896 $20,263 $16,313 $11,449 $14,091 30-Sep-93 $16,095 $20,114 $16,381 $11,192 $14,185 31-Oct-93 $16,493 $20,527 $16,425 $11,536 $14,369 30-Nov-93 $16,330 $20,342 $16,333 $10,528 $14,490 31-Dec-93 $17,209 $20,592 $16,408 $11,288 $14,763 31-Jan-94 $17,436 $21,284 $16,590 $12,242 $14,650 28-Feb-94 $16,944 $20,707 $16,344 $12,208 $14,362 31-Mar-94 $16,249 $19,808 $16,075 $11,683 $14,273 30-Apr-94 $16,312 $20,064 $15,965 $12,178 $14,194 31-May-94 $16,375 $20,392 $15,976 $12,108 $14,084 30-Jun-94 $16,198 $19,887 $15,978 $12,279 $13,930 31-Jul-94 $16,514 $20,545 $16,208 $12,397 $14,026 31-Aug-94 $16,982 $21,381 $16,259 $12,691 $13,893 30-Sep-94 $16,615 $20,864 $16,109 $12,291 $13,934 31-Oct-94 $16,780 $21,344 $16,108 $12,700 $13,982 30-Nov-94 $16,447 $20,560 $16,035 $12,089 $14,163 31-Dec-94 $16,491 $20,862 $16,091 $12,166 $14,169 31-Jan-95 $16,310 $21,403 $16,362 $11,699 $14,319 28-Feb-95 $16,516 $22,231 $16,700 $11,665 $14,501 31-Mar-95 $16,877 $22,889 $16,795 $12,392 $14,821 30-Apr-95 $17,238 $23,564 $17,004 $12,858 $15,059 31-May-95 $17,851 $24,498 $17,517 $12,705 $15,540 30-Jun-95 $18,060 $25,073 $17,635 $12,483 $15,517 31-Jul-95 $18,608 $25,908 $17,636 $13,261 $15,702 31-Aug-95 $18,568 $25,968 $17,797 $12,756 $15,813 30-Sep-95 $18,858 $27,051 $17,925 $13,004 $16,073 31-Oct-95 $18,924 $26,975 $18,124 $12,654 $16,240 30-Nov-95 $19,204 $28,161 $18,361 $13,006 $16,571 31-Dec-95 $19,669 $28,683 $18,554 $13,530 $16,710 31-Jan-96 $20,294 $29,669 $18,714 $13,586 $16,896 29-Feb-96 $20,225 $29,955 $18,495 $13,632 $16,707 31-Mar-96 $20,294 $30,244 $18,401 $13,921 $16,869 30-Apr-96 $20,725 $30,688 $18,336 $14,326 $17,034 31-May-96 $20,865 $31,480 $18,321 $14,063 $17,162 30-Jun-96 $21,006 $31,599 $18,516 $14,141 $17,304 31-Jul-96 $20,458 $30,203 $18,571 $13,728 $17,420 31-Aug-96 $20,727 $30,840 $18,586 $13,759 $17,662 30-Sep-96 $21,392 $32,576 $18,844 $14,125 $18,019 31-Oct-96 $21,520 $33,474 $19,178 $13,980 $18,314 30-Nov-96 $22,474 $36,005 $19,431 $14,536 $18,655 31-Dec-96 $22,416 $35,291 $19,307 $14,349 $18,685 31-Jan-97 $22,856 $37,497 $19,382 $13,847 $18,913 28-Feb-97 $23,019 $37,790 $19,419 $14,074 $19,034 31-Mar-97 $22,498 $36,236 $19,285 $14,125 $18,964 30-Apr-97 $22,892 $38,400 $19,512 $14,200 $19,146 31-May-97 $23,876 $40,739 $19,674 $15,124 $19,236 30-Jun-97 $24,615 $42,564 $19,853 $15,958 $19,557 31-Jul-97 $25,872 $45,951 $20,256 $16,216 $19,854 31-Aug-97 $24,631 $43,376 $20,155 $15,005 $19,896 30-Sep-97 $25,624 $45,752 $20,389 $15,845 $20,226 31-Oct-97 $24,319 $44,224 $20,615 $14,627 $20,366 30-Nov-97 $24,456 $46,271 $20,661 $14,478 $20,506 31-Dec-97 $24,642 $47,066 $20,826 $14,604 $20,754 31-Jan-98 $24,432 $47,586 $21,099 $15,272 $21,009 28-Feb-98 $25,730 $51,018 $21,082 $16,252 $21,196 31-Mar-98 $26,555 $53,631 $21,149 $16,753 $21,386 30-Apr-98 $26,856 $54,170 $21,255 $16,885 $21,499 31-May-98 $26,538 $53,239 $21,410 $16,803 $21,795 30-Jun-98 $26,555 $55,402 $21,547 $16,931 $21,881 31-Jul-98 $26,306 $54,812 $21,623 $17,102 $22,077 31-Aug-98 $23,363 $46,887 $21,962 $14,983 $22,502 30-Sep-98 $24,183 $49,890 $22,513 $14,524 $23,021 31-Oct-98 $25,200 $53,949 $22,491 $16,038 $23,009 30-Nov-98 $26,252 $57,218 $22,489 $16,860 $23,227 31-Dec-98 $27,108 $60,515 $22,579 $17,525 $23,147 31-Jan-99 $27,416 $63,046 $22,703 $17,473 $23,436 28-Feb-99 $26,782 $61,085 $22,369 $17,057 $23,299 31-Mar-99 $27,493 $63,529 $22,537 $17,769 $23,574 30-Apr-99 $28,209 $65,988 $22,607 $18,489 $23,873 31-May-99 $27,648 $64,430 $22,433 $17,537 $23,812 30-Jun-99 $28,655 $68,006 $22,448 $18,220 $23,426 31-Jul-99 $28,498 $65,884 $22,428 $18,762 $23,389 31-Aug-99 $28,557 $65,555 $22,446 $18,830 $23,435 30-Sep-99 $28,596 $63,758 $22,655 $19,020 $23,539 31-Oct-99 $29,578 $67,793 $22,714 $19,732 $23,592 30-Nov-99 $30,681 $69,176 $22,741 $20,418 $23,729 31-Dec-99 $33,168 $73,251 $22,666 $22,250 $23,814 31-Jan-00 $32,301 $69,573 $22,582 $20,837 $23,836 29-Feb-00 $34,078 $68,258 $22,767 $21,398 $23,998 31-Mar-00 $34,642 $74,934 $23,004 $22,227 $24,333 30-Apr-00 $33,304 $72,679 $22,951 $21,057 $24,453 31-May-00 $32,383 $71,189 $22,988 $20,544 $24,648 30-Jun-00 $33,743 $72,947 $23,392 $21,347 $24,775 31-Jul-00 $33,079 $71,809 $23,570 $20,452 $24,956 31-Aug-00 $34,429 $76,261 $23,848 $20,630 $24,966 30-Sep-00 $33,123 $72,235 $24,065 $19,625 $25,180 31-Oct-00 $32,200 $71,929 $24,176 $19,162 $25,382 30-Nov-00 $30,486 $66,259 $24,505 $18,443 $25,814 31-Dec-00 $30,978 $66,583 $24,956 $19,099 $26,109 31-Jan-01 $31,945 $68,945 $25,365 $19,105 $26,406 28-Feb-01 $29,565 $62,659 $25,606 $17,677 $26,623 31-Mar-01 $28,004 $58,689 $25,803 $16,498 $26,828 30-Apr-01 $29,466 $63,250 $25,736 $17,645 $26,641 31-May-01 $29,293 $63,674 $25,880 $17,022 $26,772 30-Jun-01 $28,921 $62,124 $25,976 $16,326 $26,930 31-Jul-01 $28,524 $61,513 $26,516 $16,029 $27,172 31-Aug-01 $27,629 $57,662 $26,781 $15,623 $27,393 30-Sep-01 $25,623 $53,006 $27,172 $14,040 $27,516 31-Oct-01 $26,479 $54,017 $27,623 $14,400 $28,016 30-Nov-01 $27,698 $58,163 $27,347 $14,931 $27,887 31-Dec-01 $27,788 $58,673 $27,197 $15,020 $27,706 31-Jan-02 $27,436 $57,817 $27,338 $14,221 $27,695 28-Feb-02 $26,959 $56,704 $27,554 $14,321 $27,728 31-Mar-02 $27,750 $58,837 $27,135 $15,096 $27,597 30-Apr-02 $27,047 $55,270 $27,583 $15,196 $27,821
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02 1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION (11/18/88) - -8.21% 3.39% 7.20% 7.68%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, November 18, 1988. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the S&P 500 Index, the Salomon Non-U.S. Government Bond Index (currency hedged), the Lehman Bros. Intermediate Government/Corporate Bond Index, or the Morgan Stanley Capital International EAFE Index. International investing presents certain risks such as changing market conditions, currency fluctuations, and economic and political instability. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3 FREMONT INTERNATIONAL GROWTH FUND [SIDENOTE] THE PORTFOLIO COUNSELOR TEAM CAPITAL GUARDIAN TRUST COMPANY [PHOTO ROBERT RONUS, DAVID I.FISHER, NILLY SIKORSKY, HARTMUT GIESECKE, LIONEL M. SAUVAGE, NANCY J. KYLE, RUDOLF M. STAEHLIN, RICHARD N. HAVAS, ARTHUR GROMADZKI, AND CHRISTOPHER REED] Robert Ronus, David I.Fisher, Nilly Sikorsky, Hartmut Giesecke, Lionel M. Sauvage, Nancy J. Kyle, Rudolf M. Staehlin, Richard N. Havas, Arthur Gromadzki, and Christopher Reed FUND PROFILE UNDER THE STEWARDSHIP OF CAPITAL GUARDIAN TRUST COMPANY (CGTC), THE FREMONT INTERNATIONAL GROWTH FUND IS A DIVERSIFIED PORTFOLIO OF INTERNATIONAL EQUITIES BELIEVED TO HAVE SUPERIOR CAPITAL APPRECIATION POTENTIAL. CGTC'S PARENT COMPANY, THE CAPITAL GROUP COMPANIES, HAS ONE OF THE INVESTMENT INDUSTRY'S MOST ELABORATE AND SUCCESSFUL GLOBAL INTELLIGENCE NETWORKS. CGTC EMPLOYS A MULTIPLE PORTFOLIO MANAGER SYSTEM. TEN INDIVIDUAL PORTFOLIO MANAGERS AND THE COLLECTIVE RESEARCH ANALYST TEAM ARE EACH GIVEN A PORTION OF THE PORTFOLIO'S ASSETS TO MANAGE. THE INVESTMENT STYLES OF THE PORTFOLIO MANAGERS VARY. HOWEVER, THEY HAVE A UNIFYING INVESTMENT OBJECTIVE: SUPERIOR LONG-TERM RETURNS VERSUS THE SAME BENCHMARK INDEX. THE ENTIRE PORTFOLIO IS CAREFULLY MONITORED TO ENSURE SUFFICIENT REGIONAL AND COUNTRY DIVERSIFICATION. TO OUR SHAREHOLDERS, For the six-month period ended April 30, 2002, the Fremont International Growth Fund gained 3.51% compared to the Morgan Stanley Capital International Europe, Australia, and Far East (MSCI-EAFE) Index's 5.53% advance. In general, the things that hurt us in second half fiscal 2001 helped us first half fiscal 2002. Late last summer, with the global economy showing signs of firming and what we believed to be attractive valuations for economically sensitive companies, we increased our over-weighting in cyclical sectors including technology. The cyclicals were hit particularly hard in the aftermath of the 9/11 tragedy, before rallying strongly from October through year-end 2001 and again in March, 2002. Although we gave back some of our gains in cyclicals in April, they made a positive contribution to relative performance over the full reporting period. Relative returns were also buoyed by the generally good performance of our investments in the emerging markets and Canada. Our exposure in Japan was also a plus, with the Nikkei among the best performing indices in calendar year-to-date 2002. At the close of this reporting period, the portfolio is still over-weighted in cyclicalsectors such as information technology and consumer discretionary, and under-weighted in defensive sectors including consumer staples, financials, and utilities. Although wireless communication stocks have been among our worst performers over the last year, we continue to believe this is still a growth business that will get a second wind from growing demand for new handsets with Internet access and other appealing digital functions. We also feel constructive about the semiconductor and semiconductor equipment businesses, which will continue to be driven by the demand for smaller, faster, more powerful chips. On a regional asset allocation basis, the Fund is slightly over-weighted in the Pacific, including a modest over-weight in Japan. We are under-weighted in the UK and euro-based EU countries and about equal-weighted in smaller European markets including Switzerland, Sweden, Denmark, and Norway. We are not negative on the European markets, but have to be under-weight somewhere relative to EAFE in order to maintain our positions in emerging markets and Canada, which are not included in the index. Approximately 5.3% of portfolio assets are in the emerging markets, primarily Korea, Mexico, and Taiwan, and another 2.3% is in Canada. We are sensitive to the impact of currency valuations on the portfolio. Consequently, we are hedging into the euro and Australian dollar. We believe the euro can make some progress against the mighty U.S. dollar in the year ahead, and in the process, enhance dollar denominated returns on EU stocks. Also, by hedging into the euro, we effectively increase our exposure in Europe. Over the last six years, emerging market economies having been doing what they are supposed to do--grow faster than developed nation economies. From 1996 through 2000, emerging market economies grew by 5.1% annually. In 2001 they expanded at a 4.9% rate and are expected to grow by about 5.5% in 4 2002. Despite faster growth rates, emerging market equities valuations are among the lowest in the world. The emerging markets' Price/Book Value ratio is 1.8 versus 3.4 for the U.S., 2.4 for Europe, and 1.6 for Japan. Emerging markets' Price/Earnings ratio is 15.6, compared to 34.6 for the U.S., 20.7 for Europe and 40.9 for Japan. Consequently, despite a higher level of political and currency risk, we feel quite comfortable investing in the emerging markets. In general, we believe the global economicoutlook is relatively positive. European/UK economic growth should trend around 2.5% in 2002, with the smaller European economies perhaps growing a bit faster. The Japanese economy may or may not make it out of recession. However, despite the Nikkei's dismal performance over the last 14 years, we have had success finding rewarding opportunities, especially in restructuring/turnaround situations. That continues to be our focus in Japan. Currently our largest holding is AstraZeneca, a leading pharmaceuticals firm formed by the merger of British and Swedish drug companies. We were able to build our large position when the stock came under pressure as its best selling ulcer drug Prilosec approached patent expiration. The stock has rebounded nicely with the successful introduction of its successor drug Nexium. AstraZeneca also has several other potential blockbusters awaiting FDA approval. In closing, the U.S. equities market significantly outperformed international markets through the 1990s. Going forward, we believe international markets will be much more competitive, legitimizing international investing as an effective diversification tool. Sincerely, /s/Robert Ronus Robert Ronus & Capital Guardian Trust Company's Portfolio Counselors Team FREMONT INTERNATIONAL GROWTH FUND GEOGRAPHIC DIVERSIFICATION AS OF 4/30/02 [CHART] Canada 2.3% Latin America 2.1% Europe 62.1% Japan 23.8% Pacific Rim 9.7%
ANNUAL RETURNS 3/1/94 - 10/31/94* + 2.30% 11/01/94 - 10/31/95 + 0.13% 11/01/95 - 10/31/96 + 7.07% 11/01/96 - 10/31/97 - 0.01% 11/01/97 - 10/31/98 + 0.80% 11/01/98 - 10/31/99 +38.70% 11/01/99 - 10/31/00 - 2.54% 11/01/00 - 10/31/01 - 32.21% 11/01/01 - 4/30/02* + 3.51%
TOP TEN HOLDINGS AstraZeneca Group 3.9% Vodafone Group 3.3% Swiss Re 2.4% Nokia (AB) OY 2.4% Sanofi Synthelabo 2.2% Royal Bank of Scotland Group 2.1% Samsung Electronics 2.1% Aegon NV 1.7% Nintendo Co. 1.7% Tokyo Electron Ltd. 1.6% TOTAL 23.4%
[CHART] GROWTH OF $10,000 (1)
FREMONT INTERNATIONAL GROWTH FUND MSCI EAFE INDEX 1-Mar-94 $10,000 $10,000 31-Mar-94 $9,634 $9,569 30-Apr-94 $9,666 $9,975 31-May-94 $9,676 $9,918 30-Jun-94 $9,488 $10,058 31-Jul-94 $9,718 $10,155 31-Aug-94 $10,178 $10,395 30-Sep-94 $10,031 $10,068 31-Oct-94 $10,230 $10,403 30-Nov-94 $9,739 $9,903 31-Dec-94 $9,689 $9,965 31-Jan-95 $9,020 $9,582 28-Feb-95 $9,198 $9,555 31-Mar-95 $9,386 $10,151 30-Apr-95 $9,699 $10,533 31-May-95 $9,950 $10,407 30-Jun-95 $10,159 $10,225 31-Jul-95 $10,734 $10,862 31-Aug-95 $10,473 $10,448 30-Sep-95 $10,546 $10,652 31-Oct-95 $10,243 $10,366 30-Nov-95 $10,148 $10,654 31-Dec-95 $10,387 $11,083 31-Jan-96 $10,746 $11,129 29-Feb-96 $10,915 $11,166 31-Mar-96 $10,999 $11,403 30-Apr-96 $11,431 $11,735 31-May-96 $11,326 $11,519 30-Jun-96 $11,516 $11,584 31-Jul-96 $10,915 $11,245 31-Aug-96 $11,104 $11,270 30-Sep-96 $11,368 $11,570 31-Oct-96 $10,967 $11,451 30-Nov-96 $11,516 $11,907 31-Dec-96 $11,738 $11,754 31-Jan-97 $11,749 $11,342 28-Feb-97 $11,770 $11,528 31-Mar-97 $11,527 $11,570 30-Apr-97 $11,421 $11,631 31-May-97 $12,098 $12,388 30-Jun-97 $12,542 $13,071 31-Jul-97 $13,124 $13,283 31-Aug-97 $11,717 $12,291 30-Sep-97 $12,161 $12,979 31-Oct-97 $10,966 $11,982 30-Nov-97 $10,723 $11,859 31-Dec-97 $10,755 $11,963 31-Jan-98 $10,904 $12,510 28-Feb-98 $11,856 $13,313 31-Mar-98 $12,027 $13,723 30-Apr-98 $12,219 $13,831 31-May-98 $12,048 $13,764 30-Jun-98 $11,909 $13,868 31-Jul-98 $11,973 $14,009 31-Aug-98 $10,124 $12,273 30-Sep-98 $10,156 $11,897 31-Oct-98 $11,054 $13,137 30-Nov-98 $11,578 $13,810 31-Dec-98 $11,810 $14,355 31-Jan-99 $12,348 $14,313 28-Feb-99 $12,020 $13,972 31-Mar-99 $12,628 $14,555 30-Apr-99 $13,248 $15,144 31-May-99 $12,804 $14,365 30-Jun-99 $13,833 $14,925 31-Jul-99 $14,301 $15,368 31-Aug-99 $14,499 $15,424 30-Sep-99 $14,733 $15,580 31-Oct-99 $15,332 $16,163 30-Nov-99 $16,310 $16,725 31-Dec-99 $18,577 $18,226 31-Jan-00 $18,115 $17,068 29-Feb-00 $18,784 $17,527 31-Mar-00 $19,222 $18,207 30-Apr-00 $18,079 $17,249 31-May-00 $17,155 $16,828 30-Jun-00 $17,957 $17,486 31-Jul-00 $16,839 $16,753 31-Aug-00 $17,240 $16,898 30-Sep-00 $15,854 $16,076 31-Oct-00 $14,942 $15,696 30-Nov-00 $14,289 $15,107 31-Dec-00 $14,357 $15,644 31-Jan-01 $14,595 $15,649 28-Feb-01 $13,324 $14,479 31-Mar-01 $12,489 $13,514 30-Apr-01 $13,589 $14,453 31-May-01 $12,926 $13,943 30-Jun-01 $12,304 $13,373 31-Jul-01 $11,880 $13,130 31-Aug-01 $11,456 $12,797 30-Sep-01 $9,827 $11,501 31-Oct-01 $10,130 $11,795 30-Nov-01 $10,778 $12,230 31-Dec-01 $10,891 $12,303 31-Jan-02 $10,202 $11,649 28-Feb-02 $10,081 $11,731 31-Mar-02 $10,540 $12,365 30-Apr-02 $10,486 $12,447
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 YEAR 3 YEARS 5 YEARS SINCE INCEPTION (3/1/94) - -22.83% -7.50% -1.69% 0.58%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, March 1, 1994. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Morgan Stanley Capital International EAFE Index. Investments in foreign equities are subject to risks, such as erratic market conditions, economic and political instability, and currency exchange rate fluctuations. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 5 FREMONT NEW ERA VALUE FUND [SIDENOTE] PORTFOLIO CO-MANAGERS NANCY TENGLER AND NOEL DEDORA FREMONT INVESTMENT ADVISORS, INC. [PHOTO NANCY TENGLER AND NOEL DEDORA] NANCY TENGLER AND NOEL DEDORA FREMONT NEW ERA VALUE FUND THE FREMONT NEW ERA VALUE FUND SEEKS CAPITAL APPRECIATION THROUGH INVESTING IN THE UNDERVALUED STOCKS OF LEADING COMPANIES WELL POSITIONED TO SUCCEED IN A NEW ERA FOR AMERICAN BUSINESS. THE PORTFOLIO MANAGER TEAM OF NANCY TENGLER AND NOEL DEDORA HAVE BEEN WORKING TOGETHER FOR 17 YEARS, AND HAVE DEVELOPED THE PROPRIETARY VALUATION TECHNIQUES THAT MAKE THE FUND UNIQUE. IN ADDITION TO SERVING AS PORTFOLIO CO-MANAGER FOR THE FUND, MS. TENGLER IS THE PRESIDENT AND CHIEF INVESTMENT OFFICER OF FREMONT INVESTMENT ADVISORS. TO OUR SHAREHOLDERS, During the six months ended April 30, 2002, the Fremont New Era Value Fund declined 3.77% compared to 2.32% gain for the S&P 500. With a few exceptions, our significant exposure to technology stocks was largely responsible for the Fund's under-performance relative to its benchmark in first half fiscal 2002. Telecommunications sector investments also disappointed. Finally, poor performance among the major pharmaceutical stocks, usually a defensive sector, also restrained returns. There are some problems in the drug industry - a relatively high percentage of best selling drugs coming off patent and a slowdown in new drug approvals. However, we believe that most if not all the potential bad news is discounted in drug stock prices. Our holdings in the energy and financial sectors positively impacted perform- ance. Results from other sectors were mixed. Apparel retailer The Limited, Home Depot, and Wells Fargo were at the top of our performance contribution list, along with an all too rare big tech winner Adobe Systems. The four companies having the most negative impact on portfolio performance were Bristol Myers Squibb, Qwest, Verizon, and Electronic Data Systems (EDS). We can only remember two periods in our professional investment careers, 1974 and 1990, when so many high quality companies have been treated so harshly. We think this is largely a function of investors being so skittish that any whiff of potentially bad news sends them scurrying to the exits. EDS is a good example. The stock sold off sharply on news that IBM's project-oriented technology business was faltering. The fact that EDS is in the much more stable technology contract services business didn't seem to matter to investors inclined to sell first and ask questions later. During this reporting period, we made some modest shifts in sector allocation, increasing our exposure to consumer non-durables, consumer services, and financials and reducing our commitments in technology, pharmaceuticals and retail. New positions in Coca Cola, (in which we have already taken profits), Disney and Estee Lauder have performed quite well. Technology and pharmaceuticals remain our largest sector weightings, followed by financials. We are technically under-weighted in financials, but only because we don't presently own any brokerage stocks. The brokers may be great values at today's depressed prices, but with the government now investigating conflicts of interest in the business - analysts publicly recommending the stocks of investment banking clients, while panning them in interoffice emails - we are not sure the worst is over quite yet. We could see some rather hefty settlements being paid to the many brokerage firm customers who lost a pile of money following tainted advice. I suppose many of our shareholders are wondering why we haven't thrown in the towel on technology. Our simple answer is that productivity enhancing technology is the key to long-term non-inflationary growth and critical to preserving and enhancing corporate profit margins. In calendar 2001 as the economy decelerated into recession, corporate managers froze information technology budgets in a frantic effort to cut costs as revenues and profits plummeted. With the economy emerging from recession and a broad-based corporate profit recovery around the corner, we believe corporate managers will once again fund technologies that will allow them to conduct their businesses more effectively and cost efficiently. This will be particularly important in an economic environment in which there will likely be somewhat limited pricing flexibility. Blessed with 20/20 hindsight, we can now see that we went bottom fishing for technology stocks before some of them hit bottom. However, going forward, we 6 are confident shareholders will be rewarded by our commitment to high quality, market dominant technology companies trading at attractive valuations relative to long-term growth prospects. We also believe we will be vindicated for sticking to our discipline. It can be very tempting even for seasoned professional investors to modify their style when short-term performance is flagging. Investors often zig when the market is ready to zag. That's a sure-fire way to be wrong most, rather than just some, of the time. Our proprietary Relative Dividend Yield (RDY) and Relative Price to Sales Ratio (RPSR) stock selection models have a long track record of delivering solid returns. We trust they will continue to be effective over the long term. Looking ahead, recent economic data has been mixed. The first quarter's 5.8% GDP growth was impressive, but recently released unemployment numbers were disappointing. More importantly, first quarter profits were somewhat underwhelming. Nonetheless, we believe the economy will still grow fast enough to support a broad-based earnings recovery in the second half of calendar 2002. Progress on the earnings front should help improve investor psychology and settle the market. Sincerely, /s/Nancy Tengler /s/Noel DeDora Nancy Tengler and Noel Dedora Portfolio Co-Managers FREMONT NEW ERA VALUE FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Health Care (17.3%) Technology (Components) (13.3%) Technology (Software) (9.7%) Retail (7.0%) Technology (Equipment) (6.8%) Financial Services (Banks) (6.8%) Consumer Non-Durables (6.4%) Business Equipment & Services (5.2%) Capital Goods (5.0%) Other (17.6%) Cash (4.9%)
[CHART] CUMULATIVE RETURN 12/29/00*- -20.90% 10/31/01 11/01/01 - 4/30/02 -3.77%
TOP TEN HOLDINGS Cisco Systems, Inc. 5.5% Electronic Data Systems Corp. 5.2% General Electric Co. 5.0% Wells Fargo & Co. 4.8% Microsoft Corp. 4.7% Walt Disney Co. (The) 4.4% Verizon Communications 4.2% Adobe Systems, Inc. 4.1% Amgen, Inc. 4.1% Home Depot, Inc. 4.0% TOTAL 46.0%
[CHART] GROWTH OF $10,000(1)
FREMONT NEW ERA VALUE FUND S&P 500 INDEX ---------- ------------- 29-Dec-00 $ 10,000 $ 10,000 31-Dec-00 $ 10,000 $ 10,000 31-Jan-01 $ 10,460 $ 10,355 28-Feb-01 $ 9,540 $ 9,411 31-Mar-01 $ 8,930 $ 8,814 30-Apr-01 $ 9,620 $ 9,499 31-May-01 $ 9,550 $ 9,563 30-Jun-01 $ 9,370 $ 9,330 31-Jul-01 $ 9,110 $ 9,239 31-Aug-01 $ 8,450 $ 8,660 30-Sep-01 $ 7,580 $ 7,961 31-Oct-01 $ 7,910 $ 8,113 30-Nov-01 $ 8,650 $ 8,735 31-Dec-01 $ 8,442 $ 8,812 31-Jan-02 $ 8,492 $ 8,683 28-Feb-02 $ 8,152 $ 8,516 31-Mar-02 $ 8,252 $ 8,837 30-Apr-02 $ 7,612 $ 8,301
AVERAGE ANNUAL RETURN FOR PERIODS ENDED 4/30/02
1 YEAR SINCE INCEPTION (12/29/00) - -20.88 -18.51%
*Inception date. (1)Assumes initial investment of $10,000 on inception date, December 29, 2000. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the S&P 500 Index. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 7 FREMONT NEW ERA GROWTH FUND [SIDENOTE] PORTFOLIO CO-MANAGERS H. KENT MERGLER AND STEPHEN K. MERGLER NORTHSTAR CAPITAL MANAGEMENT [PHOTO H. KENT MERGLER AND STEPHEN K. MERGLER] H. KENT MERGLER AND STEPHEN K. MERGLER FUND PROFILE MANAGED BY NORTHSTAR CAPITAL MANAGEMENT, THE FREMONT NEW ERA GROWTH FUND IS A CONCENTRATED PORTFOLIO OF LARGE CAPITALIZATION GROWTH STOCKS SELECTED ON THE BASIS OF RIGOROUS QUANTITATIVE AND QUALITATIVE RESEARCH. NORTHSTAR EMPLOYS A "QUALITY GROWTH" STRATEGY FOCUSING ON LEADING COMPANIES IN THEIR RESPECTIVE INDUSTRY GROUPS TRADING AT REASONABLE VALUATIONS RELATIVE TO SUPERIOR EARNINGS GROWTH RATES. THE NORTHSTAR CAPITAL MANAGEMENT TEAM WAS FORMED IN 1992 AND HAS AN EXCELLENT TRACK RECORD MANAGING LARGE CAP GROWTH STOCK PORTFOLIOS FOR PRIVATE CLIENTS. TO OUR SHAREHOLDERS, The Fremont New Era Growth Fund was offered to the public on December 31, 2001. From public offering date through April 30, 2002, the Fund declined 7.50% compared to the S&P 500 Index's 5.80% loss. We are somewhat disappointed by the Fund's negative results in the first four months of operation. However, the Fund was launched into a very difficult market for large cap growth stocks. Ironically, on an earnings basis, the overwhelming majority of our holdings met or exceeded consensus expectations. Unfortunately, this failed to impress investors unsettled by the Enron accounting scandal, heightened tensions in the Middle East, and doubt over the strength and endurance of the economic recovery. Since this is the first time we have reported to shareholders, let us begin by reviewing our investment methodology. We are large cap growth stock investors focused on identifying companies with most, if not always all, of the following fundamental characteristics: 1. A history of above market average earnings growth. 2. Higher than market average 5-year projected earnings growth rates. 3. Relatively low earnings volatility. 4. A lower than market PEG ratio (P/E divided by 5-year projected earnings growth rates). 5. A higher than market average return on equity (ROE). Once we have identified stocks that pass these fundamental hurdles, we focus on the investment intangibles such as quality of products and services, marketing prowess, customer service, and management strength. Companies that get high scores on these subjective tests are shaped into a concentrated portfolio of 20-30 stocks with sufficient industry group diversification to mitigate risk. By concentrating the portfolio in our 20-30 best investment ideas spread over multiple industry groups, we think we have a much better chance of rewarding our shareholders with truly superior performance. A review of the portfolio's current fundamental characteristics provides a good illustration of our investment discipline. At the end of this reporting period, the Fund held 29 stocks in 8 different sectors. The portfolio has a Price/Forward Earnings ratio of 27.1 compared to the S&P 500's 21.8, a reflection of the high quality of our holdings. The portfolio's 5-year projected earnings growth rate is 18.3%, more than double the S&P 500's 8%. The portfolio has a PEG ratio (P/E divided by 5-year projected earnings growth rate) of 1.6, roughly half the S&P 500's 2.9. As mentioned earlier, on an operating basis, the companies in our portfolio performed quite well. To wit, of the 19 stocks in the portfolio that have reported first quarter earnings, 10 exceeded consensus earnings estimates, seven met expectations, and only two recorded earnings disappointments. Over the trailing 12 months, our 29 portfolio companies' earnings grew 20% on average, with only one reporting lower earnings over that time period. This compares to a 31% earnings decline for the S&P 500. Briefly reviewing performance in the Fund's infancy, our investments in the consumer discretionary sector (Harley Davidson, AutoZone, Kohl's, and Bed, Bath & Beyond) were quite productive. Our health care sector investments (Quest Diagnostics, Forrest Labs, and Johnson & Johnson) also performed well. Industrials sector holdings (Concord EFS and Apollo Group) delivered solid returns. Although we were, and will likely continue to be, under-weighted in technology, tech investments, including Microsoft, and Intel, disappointed. We were also hurt by several stocks, (Tyco, EDS, and General Electric), which were scrutinized for aggressive and/or highly complex accounting practices in the aftermath of the Enron scandal. We 8 eliminated our Tyco and EDS positions, but have held on to GE, which we believe will ultimately be exonerated by investors. Finally, Pfizer, one of our larger holdings in the health care sector, slumped as investors worried about potential price regulation on prescription drugs and fewer new drug introductions throughout the industry. With best sellers such as Viagra and Lipitor, we believe Pfizer will continue to grow earnings at an attractive rate and on the basis of its PEG Ratio, is now as cheap as it has been in years. Although we are investors rather than economists, we believe we will see a gradual sustained recovery in the year ahead. We remain under-weighted in technology, because we doubt capital spending in this sector will improve substantially in the foreseeable future. We are over-weighted in the consumer discretionary sector, because we expect the consumer to continue to take advantage of low interest rates and outstanding bargains. We are also over- weighted health care, an industry in which revenue and profit growth is much less dependent on broad-based economic momentum. In closing, the Fund got off to a tough start in a challenging market environ- ment. However, we remain confident that a concentrated portfolio of reasonably priced companies growing earnings at well above market average rates will produce generous long-term returns for our shareholders. Sincerely, /s/H. Kent Mergler and Stephen K. Mergler H. Kent Mergler and Stephen K. Mergler Portfolio Co-Managers FREMONT NEW ERA GROWTH FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Retail (25.2%) Health Care (19.5%) Financial Services (Other) (9.0%) Financial Services (Banks) (7.3%) Consumer Non-Durables (7.2%) Capital Goods (5.9%) Cash (7.3%) Other (18.6%)
[CHART] CUMULATIVE RETURN 12/31/01*- -7.50% 4/30/02
TOP TEN HOLDINGS Quest Diagnostics, Inc. 4.6% Fifth Third Bancorp 4.5% Kohls Corp. 4.5% Apollo Group, Inc. - Class A 4.3% Autozone, Inc. 4.2% Procter & Gamble Co. 4.1% Affiliated Computer Services, Inc. 3.8% Wal-Mart Stores, Inc. 3.7% Bed, Bath & Beyond, Inc. 3.6% MGIC Investment Corp. 3.2% TOTAL 40.5%
[CHART] GROWTH OF $10,000(1)
FREMONT NEW ERA GROWTH FUND S&P 500 INDEX 31-Dec-01 $10,000 $10,000 31-Jan-02 $9,660 $9,854 28-Feb-02 $9,350 $9,664 31-Mar-02 $9,470 $10,028 30-Apr-02 $9,250 $9,420
*Initial public offering date. The Fund commenced operations on September 28, 2001 with an initial invest- ment of $500,000 by the Advisor in order to test certain investment strategies intended to achieve the Fund's objective. The Fund was closed to the public and the Advisor was the Fund's only shareholder for the period September 28, 2001 to December 31, 2001. On December 31, 2001, the Fund underwent a 1.082:1 stock split to adjust the net asset value per share of the Fund from $10.82 to $10.00, and commenced public operations in accordance with its investment objectives. The Financial Highlights reflect the December 31, 2001 stock split.(1)Assumes initial investment of $10,000 on December 31, 2001. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the S&P 500 Index. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 9 FREMONT STRUCTURED CORE FUND [SIDENOTE] PORTFOLIO MANAGER DEBRA MCNEILL FREMONT INVESTMENT ADVISORS, INC. [PHOTO OF DEBRA MCNEILL] DEBRA MCNEILL, CFA FUND PROFILE FORMERLY THE FREMONT GROWTH FUND, THE FREMONT STRUCTURED CORE FUND INVESTS PRINCIPALLY IN LARGE CAPITALIZATION U.S. STOCKS. THE GOAL IS TO OUTPERFORM THE STANDARD & POOR'S 500 AND THE AVERAGE OF ITS LARGE CAP CORE STOCK FUND PEER GROUP. SUPERIOR EARNINGS GROWTH GENERALLY TRANSLATES INTO SUPERIOR STOCK PERFORMANCE. HOWEVER, STOCKS WITH EXCELLENT EARNINGS RECORDS OFTEN TRADE AT HIGH VALUATIONS AND UNANTICIPATED EARNINGS DISAPPOINTMENTS CAN RESULT IN SHARP DECLINES. IN SHORT, REWARD POTENTIAL IS ACCOMPANIED BY A SOMEWHAT HIGHER LEVEL OF RISK. THROUGH QUANTITATIVE ANALYSIS, PORTFOLIO MANAGER DEBRA MCNEILL SEEKS TO IDENTIFY STOCKS WITH SUPERIOR EARNINGS GROWTH PROSPECTS TRADING AT REASONABLE VALUATIONS. THE GOAL IS TO BUILD A DIVERSIFIED PORTFOLIO WITH FAVORABLE RISK/REWARD CHARACTERISTICS. TO OUR SHAREHOLDERS, For the six-month period ended April 30, 2002, the Fremont Structured Core Fund returned 3.47% compared to the S&P 500 Index's 2.32% gain. The Lipper Large Cap Core Fund Average advanced 1.74% over the same time period. Although our first half fiscal 2002 return was relatively modest, we are pleased to have outperformed our benchmark index and peer group in a challenging market. Financial services was our best performing sector, with bank holding companies (Bank of America, US Bancorp, and Washington Mutual), finance companies (most notably Capital One), and mortgage insurers (especially Radian Group) posting strong gains. Our investments in homebuilders, particularly Sun-Belt builder Lennar Corp, also contributed to performance. Consumer non-durable stocks including Proctor & Gamble, Philip Morris, and Wet Seal, a leading teen fashion brand, delivered good returns. Energy was our poorest performing group, with energy trading company Dynegy sustaining the most damage. We think Dynegy is a solid company that could reasonably be expected to benefit from the demise of Enron, its largest competitor. But, investors abandoned the entire industry when Enron collapsed. Our utilities holdings, primarily telephone companies, also disappointed. All the problems in the telecommunications business-over-capacity, intense pricing competition, and eroding profit margins - are well known. Yet, despite these problems, many telephone companies, especially the Regional Bell Operating Companies, have substantial positive cash flows and now have respectable, if not pristine balance sheets. They should also eventually benefit from the elimination of competition in the industry. We remain cautious in this sector, but believe most, if not all, of the bad news is already reflected in severely depressed stock prices. At the end of this reporting period, the Fund was over-weighted in the financial services, retail, and shelter (homebuilders) sectors, because we believe consumer spending will continue to be the primary driver of the economy. We are under-weighted in energy, utilities, and health care services. We believe the sharp rise in oil and natural gas prices was a function of temporary dislocations in refining and distribution systems, rather than supply/demand dynamics. Consequently, we expect energy prices to trend lower. Although we think the worst may be over for selected telephone stocks (our primary utilities investments), we are not ready to get aggressive in this sector. Rising costs remains a threat to the health care services industry. This is a labor-intensive business in which you are not likely to see dramatic productivity gains. As America ages, you will have a lot more sick people with too few trained people to care for them. Since the government appears intent on restraining the growth in health care costs, it will be hard for health care service providers to preserve profit margins. Mortgage insurer Radian Group is a good example of the kind of stocks our quantitative model is favoring. Trading at 13 times trailing earnings and 12 times next year's forecasts, Radian's stock appears quite cheap in view of the company's projected annual 5-year earnings growth rate of around 13%. Basically, Radiant insures mortgage lenders against default by borrowers. The fact that the company's earnings grew right through the recession - a period in which defaults could be expected to rise - speaks well of the Radian Group's business plan and management. We have great confidence Radian will continue to grow earnings at an attractive rate even if the vibrant housing market slows somewhat in the year ahead. We are investors, not economists. However, we must factor economics into 10 profit projections for portfolio companies and the market. The shallow and short-lived recession we experienced last year has not wrung out all the economic excesses developed in the boom years of the 1990s. With consumers having spent freely right through the recession, we don't see the kind of pent-up consumer demand that usually produces vigorous economic recoveries. There is still a lot of excess capacity in the system. Consequently, we think it will be some time before capital spending rebounds. Our concern is that a slow and steady economic recovery may disappoint investors expecting much more. We believe the market can make grudging progress over the balance of the year, but that returns will be modest by historical standards. In this environment, sector allocation and stock selection will be critical to returns. In closing, we note that our portfolio's valuation and growth prospects are considerably superior to our bench- mark's metrics. The Price/Earnings ratio (P/E) for the Structured Core Fund based on the 2002 earnings estimates is 16.9 times earnings, versus 20.6 times earnings for the S&P 500. Over the next five years, the Fund's earnings are expected to grow at an annualized rate of 14.3% vs. 13.8% for the S&P 500. Sincerely, /s/Debra McNeill Debra McNeill Portfolio Manager FREMONT STRUCTURED CORE FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Financial Services (Other) (12.4%) Financial Services (Banks) (11.6%) Health Care (10.9%) Retail (9.8%) Consumer Non-Durables (10.0%) Capital Goods (6.7%) Technology (Components) (5.9%) Technology (Equipment) (5.0%) Other (24.0%) Cash (3.7%)
[CHART] ANNUAL RETURNS 8/14/92 - 10/31/92* + 2.00% 11/01/92 - 10/31/93 +12.80% 11/01/93 - 10/31/94 + 1.72% 11/01/94 - 10/31/95 +28.12% 11/01/95 - 10/31/96 +22.06% 11/01/96 - 10/31/97 +29.26% 11/01/97 - 10/31/98 + 7.30% 11/01/98 - 10/31/99 +24.24% 11/01/99 - 10/31/00 + 7.18% 11/01/00 - 10/31/01 -26.07% 11/01/01 - 4/30/02* + 3.47%
TOP TEN HOLDINGS Bank of America Corp. 3.6% Pfizer, Inc. 3.3% Procter & Gamble Co. 3.2% Microsoft Corp. 2.8% General Electric Co. 2.7% Radian Group, Inc. 2.3% Wal-Mart Stores, Inc. 2.3% Philip Morris Cos., Inc. 2.1% US Bancorp 2.1% Intel Corp. 2.0% TOTAL 26.4%
[CHART] GROWTH OF $10,000(1)
FREMONT STRUCTURED CORE FUND S&P 500 INDEX 14-Aug-92 $ 10,000 $ 10,000 31-Aug-92 $ 9,899 $ 9,873 30-Sep-92 $ 10,091 $ 9,987 31-Oct-92 $ 10,200 $ 10,023 30-Nov-92 $ 10,655 $ 10,361 31-Dec-92 $ 10,822 $ 10,495 31-Jan-93 $ 10,954 $ 10,572 28-Feb-93 $ 10,843 $ 10,716 31-Mar-93 $ 11,005 $ 10,947 30-Apr-93 $ 10,609 $ 10,679 31-May-93 $ 10,863 $ 10,964 30-Jun-93 $ 10,945 $ 11,000 31-Jul-93 $ 10,935 $ 10,946 31-Aug-93 $ 11,302 $ 11,359 30-Sep-93 $ 11,414 $ 11,276 31-Oct-93 $ 11,506 $ 11,507 30-Nov-93 $ 11,270 $ 11,404 31-Dec-93 $ 11,516 $ 11,544 31-Jan-94 $ 11,907 $ 11,932 28-Feb-94 $ 11,536 $ 11,608 31-Mar-94 $ 10,929 $ 11,104 30-Apr-94 $ 11,052 $ 11,248 31-May-94 $ 11,093 $ 11,432 30-Jun-94 $ 10,722 $ 11,149 31-Jul-94 $ 11,155 $ 11,518 31-Aug-94 $ 11,724 $ 11,986 30-Sep-94 $ 11,476 $ 11,696 31-Oct-94 $ 11,704 $ 11,965 30-Nov-94 $ 11,335 $ 11,526 31-Dec-94 $ 11,563 $ 11,695 31-Jan-95 $ 11,609 $ 11,998 28-Feb-95 $ 11,987 $ 12,463 31-Mar-95 $ 12,307 $ 12,832 30-Apr-95 $ 12,570 $ 13,210 31-May-95 $ 12,982 $ 13,733 30-Jun-95 $ 13,622 $ 14,056 31-Jul-95 $ 14,228 $ 14,524 31-Aug-95 $ 14,423 $ 14,558 30-Sep-95 $ 14,983 $ 15,164 31-Oct-95 $ 14,995 $ 15,122 30-Nov-95 $ 15,477 $ 15,787 31-Dec-95 $ 15,449 $ 16,079 31-Jan-96 $ 15,898 $ 16,633 29-Feb-96 $ 16,092 $ 16,793 31-Mar-96 $ 16,032 $ 16,954 30-Apr-96 $ 16,517 $ 17,204 31-May-96 $ 17,087 $ 17,647 30-Jun-96 $ 17,184 $ 17,714 31-Jul-96 $ 16,347 $ 16,932 31-Aug-96 $ 16,638 $ 17,289 30-Sep-96 $ 17,852 $ 18,262 31-Oct-96 $ 18,303 $ 18,766 30-Nov-96 $ 19,631 $ 20,184 31-Dec-96 $ 19,326 $ 19,784 31-Jan-97 $ 20,204 $ 21,021 28-Feb-97 $ 20,326 $ 21,185 31-Mar-97 $ 19,614 $ 20,314 30-Apr-97 $ 20,341 $ 21,527 31-May-97 $ 21,507 $ 22,838 30-Jun-97 $ 22,279 $ 23,861 31-Jul-97 $ 24,218 $ 25,760 31-Aug-97 $ 23,218 $ 24,317 30-Sep-97 $ 24,521 $ 25,648 31-Oct-97 $ 23,658 $ 24,792 30-Nov-97 $ 24,448 $ 25,939 31-Dec-97 $ 24,923 $ 26,385 31-Jan-98 $ 24,535 $ 26,677 28-Feb-98 $ 26,247 $ 28,601 31-Mar-98 $ 27,426 $ 30,065 30-Apr-98 $ 27,749 $ 30,368 31-May-98 $ 27,281 $ 29,846 30-Jun-98 $ 27,313 $ 31,058 31-Jul-98 $ 26,602 $ 30,727 31-Aug-98 $ 21,870 $ 26,285 30-Sep-98 $ 23,646 $ 27,968 31-Oct-98 $ 25,384 $ 30,243 30-Nov-98 $ 26,917 $ 32,076 31-Dec-98 $ 28,879 $ 33,925 31-Jan-99 $ 30,234 $ 35,343 28-Feb-99 $ 29,030 $ 34,244 31-Mar-99 $ 29,801 $ 35,614 30-Apr-99 $ 30,798 $ 36,993 31-May-99 $ 30,046 $ 36,119 30-Jun-99 $ 32,134 $ 38,124 31-Jul-99 $ 30,817 $ 36,934 31-Aug-99 $ 30,535 $ 36,750 30-Sep-99 $ 29,782 $ 35,743 31-Oct-99 $ 31,538 $ 38,005 30-Nov-99 $ 31,919 $ 38,780 31-Dec-99 $ 33,845 $ 41,064 31-Jan-00 $ 31,871 $ 39,003 29-Feb-00 $ 31,511 $ 38,265 31-Mar-00 $ 34,821 $ 42,008 30-Apr-00 $ 33,781 $ 40,743 31-May-00 $ 33,187 $ 39,908 30-Jun-00 $ 33,802 $ 40,894 31-Jul-00 $ 33,569 $ 40,256 31-Aug-00 $ 35,797 $ 42,752 30-Sep-00 $ 34,354 $ 40,494 31-Oct-00 $ 33,803 $ 40,323 30-Nov-00 $ 31,006 $ 37,144 31-Dec-00 $ 31,089 $ 37,326 31-Jan-01 $ 32,006 $ 38,650 28-Feb-01 $ 29,026 $ 35,126 31-Mar-01 $ 27,467 $ 32,901 30-Apr-01 $ 29,736 $ 35,458 31-May-01 $ 29,828 $ 35,695 30-Jun-01 $ 29,048 $ 34,827 31-Jul-01 $ 28,796 $ 34,484 31-Aug-01 $ 26,733 $ 32,325 30-Sep-01 $ 24,486 $ 29,715 31-Oct-01 $ 24,990 $ 30,282 30-Nov-01 $ 26,572 $ 32,606 31-Dec-01 $ 26,895 $ 32,892 31-Jan-02 $ 26,618 $ 32,412 28-Feb-02 $ 25,995 $ 31,788 31-Mar-02 $ 26,918 $ 32,984 30-Apr-02 $ 25,857 $ 30,984
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 YEAR 5 YEARS SINCE INCEPTION (8/14/92) - -13.05% 4.92% 10.28%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, August 14, 1992. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the S&P 500 Index. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 11 FREMONT U.S. SMALL CAP FUND [SIDENOTE] Portfolio Manager David G. Kern Kern Capital Management LLC [PHOTO OF DAVID G. KERN] David G. Kern, CFA FUND PROFILE U.S. SMALL CAP STOCKS OFFER TREMENDOUS OPPORTUNITY TO PROFESSIONAL INVESTORS DEDICATED TO HANDS ON FUNDAMENTAL RESEARCH. THROUGH RIGOROUS FUNDAMENTAL ANALYSIS, INCLUDING VISITS WITH CORPORATE MANAGEMENTS, THEIR SUPPLIERS, CUSTOMERS AND COMPETITORS, FUND MANAGEMENT STRIVES TO IDENTIFY SMALL RELATIVELY UNKNOWN COMPANIES WITH THE POTENTIAL TO BECOME LARGER AND MORE SUCCESSFUL OVER TIME. RESEARCH IS CONCENTRATED IN INDUSTRIES WITH THE GREATEST LEVEL OF INNOVATION SUCH AS TECHNOLOGY, HEALTH CARE, CONSUMER, AND SERVICES. THE RESEARCH PROCESS FOCUSES ON ANSWERING THREE BASIC QUESTIONS: HOW ATTRACTIVE IS THE BUSINESS; HOW STRONG IS MANAGEMENT; AND HOW MUCH IS THE COMPANY WORTH? PORTFOLIO MANAGER DAVID G. KERN, CFA CO-FOUNDED KERN CAPITAL MANAGEMENT LLC, A FIRM DEDICATED EXCLUSIVELY TO SMALL COMPANY STOCK RESEARCH AND PORTFOLIO MANAGEMENT. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont U.S. Small Cap Fund returned 0.45% versus the Russell 2000 Index's 20.03% gain. Value continued to outperform growth by a wide margin with the Russell 2000 Value Index returning 29.04% compared to the Russell 2000 Growth Index's 10.41% gain. During this reporting period, the Fund had positive returns from four of the five innovative sectors we invest in (consumer, services, health care, and special situations). However, despite reducing our allocation to technology from approximately 41% at the beginning of this fiscal year to around 24% at the end of the first half largely through selling technology stocks into strength in late 2001 sharp declines in our technology holdings dragged down performance. Our communications technology investments, primarily companies in wireless infrastructure and Metropolitan Area Network businesses, were particu- larly disappointing. At this stage, we still have a high level of conviction in the long term growth prospects for these businesses, but we were punished rather severely for getting in early. While there is currently a glut of capacity in long haul fiber optic networks, wireless communications capacity remains con- strained. Wireless companies continue to add subscribers at a good rate, and wireless carriers such as AT&T Wireless and Cingular are moving forward with their data overlay build-outs. We anticipate substantial spending in wireless infrastructure in the years ahead and believe holdings such as SBA Communications, which owns cellular towers, and portfolio companies with filtering and amplification technologies, will be major beneficiaries. In addition, Riverstone Networks, a leading supplier of Metropolitan Area Network equipment, is positioned to resume rapid growth as communications service providers around the world build out their networks and Regional Bell Operating Companies like Bell South and SBC Communications announce their growth plans. Our under-weighting in consumer stocks, one of the best performing market sectors over the last six months, also restrained performance. The strength of consumer spending, especially in housing and autos, prevented a recession (GDP only declined for one quarter). We have been surprised consumer spending has been so robust and remain concerned that the increasingly extended consumer will pull back somewhat in the year ahead. Other than the reduction in our expo- sure to technology, the only major asset allocation shift over the last six months has been to significantly increase our commitment to health care. Health care investments now total approximately 20.6% of assets and five of our ten largest holdings are in this sector. We have found some niche companies we believe can grow earnings substantially even in a less than vibrant economy. Holdings that show particular promise include companies with medical device technologies that have multiple applications, value added service providers to the pharmaceutical and biotechnology industries, and health care information systems companies. Currently, the near-term outlook is blurred by an especially large number of uncertainties ranging from the conflict in the Middle East and its impact on energy prices to the shape of the recovery in the U.S. economy. As evidenced by the numerous companies lowering expectations for the rest of 2002, the business climate across many sectors remains difficult. With the strength of the economic recovery still in question, we believe that meaningful revenue growth will be difficult to achieve for many companies. For the past two years, the small cap growth stock market has experienced powerful, but short-lived rallies followed by significant corrections. This volatility 12 has resulted from the tug of war between anticipation of an economic recovery and still disappointing short-term funda- mentals. To highlight the challenging investment environment for small cap growth stock investors, consider that over the last two years, the Russell 2000 Value index returned over 47% while the Russell 2000 Growth Index declined more than 36%-a difference of over 83% percentage points. The growth and value styles take turns leading the performance race. The magnitude and duration of the current small cap growth correction is increasing our optimism about the long-term opportunity for small, innovative growth companies to outperform. In this envi- ronment, individual stock selection represents the key to achieving "value added" long-term performance and innovative small cap growth companies provide one of the best opportunities for investors to achieve this goal. Sincerely, /s/David G. Kern David G. Kern Portfolio Manager FREMONT U.S. SMALL CAP FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART]
Cash (18.1%) Health Care (20.6%) Technology (Equipment) (17.3%) Business Equipment & Services (14.6%) Technology (Software) (6.6%) Consumer Non-Durables (6.2%) Retail (5.2%) Other (11.4%)
ANNUAL RETURNS [CHART] 9/24/97- -4.06% 10/31/97* 11/01/97- -7.29% 10/31/98 11/01/98- +84.60% 13/31/99 11/01/99- +27.75% 10/31/00 11/01/00- -33.73% 10/31/01 11/01/01- +0.45% 4/30/02*
TOP TEN HOLDINGS Getty Images, Inc. 3.7% Gene Logic 3.6% Therasense, Inc. 3.6% Riverstone Networks, Inc. 3.3% Eclipsys Corp. 3.1% ARTHROCARE CORP 3.0% Anaren Microwave, Inc. 2.8% Pharmaceutical ProducT Development, Inc. 2.7% New Focus, Inc. 2.5% Costar Group, Inc. 2.5% TOTAL 30.8%
GROWTH OF $10,000(1) [CHART]
FREMONT U.S. SMALL-CAP FUND RUSSELL 2000 INDEX 24-Sep-97 $ 10,000 $ 10,000 30-Sep-97 $ 10,060 $ 10,103 31-Oct-97 $ 9,594 $ 9,659 30-Nov-97 $ 9,474 $ 9,597 31-Dec-97 $ 9,557 $ 9,765 31-Jan-98 $ 9,547 $ 9,611 28-Feb-98 $ 10,510 $ 10,321 31-Mar-98 $ 11,021 $ 10,747 30-Apr-98 $ 10,961 $ 10,806 31-May-98 $ 10,169 $ 10,224 30-Jun-98 $ 10,660 $ 10,246 31-Jul-98 $ 9,717 $ 9,416 31-Aug-98 $ 7,481 $ 7,588 30-Sep-98 $ 7,992 $ 8,182 31-Oct-98 $ 8,895 $ 8,515 30-Nov-98 $ 9,777 $ 8,961 31-Dec-98 $ 11,242 $ 9,516 31-Jan-99 $ 11,803 $ 9,643 28-Feb-99 $ 10,740 $ 8,861 31-Mar-99 $ 11,683 $ 9,000 30-Apr-99 $ 12,274 $ 9,806 31-May-99 $ 12,525 $ 9,949 30-Jun-99 $ 13,729 $ 10,399 31-Jul-99 $ 14,621 $ 10,114 31-Aug-99 $ 14,561 $ 9,740 30-Sep-99 $ 15,614 $ 9,742 31-Oct-99 $ 16,420 $ 9,782 30-Nov-99 $ 19,894 $ 10,366 31-Dec-99 $ 25,320 $ 11,539 31-Jan-00 $ 23,390 $ 11,353 29-Feb-00 $ 29,859 $ 13,228 31-Mar-00 $ 26,777 $ 12,356 30-Apr-00 $ 22,699 $ 11,612 31-May-00 $ 20,864 $ 10,935 30-Jun-00 $ 23,401 $ 11,889 31-Jul-00 $ 22,237 $ 11,506 31-Aug-00 $ 25,320 $ 12,384 30-Sep-00 $ 23,139 $ 12,020 31-Oct-00 $ 20,978 $ 11,484 30-Nov-00 $ 17,130 $ 10,304 31-Dec-00 $ 18,518 $ 11,189 31-Jan-01 $ 19,832 $ 11,772 28-Feb-01 $ 16,491 $ 11,000 31-Mar-01 $ 14,902 $ 10,462 30-Apr-01 $ 17,592 $ 11,280 31-May-01 $ 17,567 $ 11,558 30-Jun-01 $ 18,381 $ 11,957 31-Jul-01 $ 17,392 $ 11,310 31-Aug-01 $ 15,540 $ 10,944 30-Sep-01 $ 12,174 $ 9,471 31-Oct-01 $ 13,901 $ 10,025 30-Nov-01 $ 15,252 $ 10,801 31-Dec-01 $ 16,066 $ 11,468 31-Jan-02 $ 15,002 $ 11,349 28-Feb-02 $ 13,338 $ 11,038 31-Mar-02 $ 14,589 $ 11,925 30-Apr-02 $ 13,964 $ 12,033
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 3 Years Since Inception (9/24/97) - -20.63% 4.39% 7.53%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, September 24, 1997. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Russell 2000 Index. Past performance is no guarantee of future results. Returns were achieved during a period of generally rising market values, especially in the technology sector. Investors should not expect that such favorable returns can be consistently achieved. Investments in newly emerging companies are subject to erratic earning patterns, competitive conditions within the industry, limited earnings history and the reliance on one or a limited number of products. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 13 FREMONT U.S. MICRO-CAP FUND [SIDENOTE] PORTFOLIO MANAGER ROBERT E. KERN, JR. KERN CAPITAL MANAGEMENT LLC [PHOTO OF ROBERT E. KERN, JR.] ROBERT E. KERN, JR. FUND PROFILE THE U.S. MICRO-CAP STOCK MARKET IS A BREEDING GROUND FOR ENTREPRENEURIALLY MANAGED COMPANIES WITH EXCEPTIONAL GROWTH PROSPECTS. WITH MINIMAL WALL STREET RESEARCH COVERAGE AND LOW INSTITUTIONAL OWNERSHIP, MICRO-CAP STOCKS REPRESENT THE LEAST EFFICIENT SECTOR OF THE DOMESTIC EQUITIES MARKET. THIS INEFFICIENCY CREATES ATTRACTIVE INVESTMENT OPPORTUNITIES FOR THE RESEARCH-DRIVEN STOCK PICKERS MANAGING THE FREMONT U.S. MICRO-CAP FUND. SINCE THE INVESTMENT POTENTIAL OF MICRO-CAP STOCKS IS LARGELY DETERMINED BY THE BUSINESS PROSPECTS FOR INDIVIDUAL COMPANIES RATHER THAN MACRO-ECONOMIC TRENDS, THE FUND'S FOCUS IS ON BOTTOM-UP STOCK SELECTION. FUND MANAGEMENT ANALYZES FINANCIAL STATEMENTS, THE COMPANY'S COMPETITIVE POSITION, AND MEETS WITH KEY CORPORATE DECISION MAKERS TO DISCUSS THEIR STRATEGIES FOR FUTURE GROWTH. ROBERT E. KERN, JR. IS NATIONALLY RECOGNIZED AS A PIONEER AND LEADING PRACTITIONER OF MICRO-CAP RESEARCH AND PORTFOLIO MANAGEMENT. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont U.S. Micro-Cap Fund returned 2.93%. During this same period, the Russell 2000 Index gained 20.03% and the Russell 2000 Growth, smaller growth company benchmark, returned 10.41%. Although the Fund underperformed the Russell 2000 indices, it provided investors with a positive rate of return during a period that has been especially challenging for many growth stock investors. Investments are focused primarily within the four sectors of the U.S. economy which are characterized by a high level of innovation - technology, health care, consumer and services. The Fund enjoyed strong positive returns in the consumer and health care sectors. However, these gains were largely offset by substantial losses in technology-related investments. At the end of this reporting period, 33% of Fund assets were in technology, 20% in health care, 17% in consumer, 11% in services, and 3% in special situations. The remaining 16% was in cash. This compares to 40% in tech, 16% in health care, 12% in consumer, 7% in services, 3% in special situations, and 22% in cash at the beginning of first half fiscal 2002. These relatively modest changes in portfolio weightings were largely a function of performance rather than asset allocation decisions. Sir Isaac Newton's Third Law of physics states, "For every action, there is an equal and opposite reaction." This scientific principle can also be applied to the economy and stock market as well. Those economic and market sectors that performed exceptionally well from the second quarter of 1998 through the first quarter of 2000, most notably technology, have gone bust over the last 25 months. Considering the magnitude of the boom, the duration of the bust may be longer than some investors anticipate. We don't expect to see technology capital spending increase significantly before a broad-based profit recovery. Corporate managements are still in a cost-saving mode. This is not likely to change until they gain confidence their own companies' profit picture has improved significantly. However, in our opinion, this is no reason to abandon tech - the most innovative sector of the economy with the best long-term growth dynamics. In fact, we think it's time to selectively invest in "best of breed" companies in a variety of tech sub-sectors including communications. Rather than focusing on short-term data points such as sequential quarterly revenue growth or trying to identify the next "hot" tech sub-sector, we are targeting those companies that are the best positioned in their respective niches. Put another way, we want to own companies that will be able to make it through these tough times and have the products and services that will be in the greatest demand when the economic climate improves. In this environment, we are also valuation sensitive, believing that if we buy at the right price, we will be adequately rewarded over the longer-term. This has always been our strategy across all sectors, and as the Fund's performance track record indicates, over the long-term it has worked exceptionally well. Over the short-term, we expect our investments in other innovative sectors may have to continue to carry the ball. With low interest rates and lots of financial incentives in place to move product, we think the consumer will continue to spend, albeit not at a rate that will produce a vigorous economic recovery. We also believe that less economically sensitive sectors such as health care can continue to reward us. Health care niches showing special promise include: companies with medical equipment technologies that have multiple applications, value added service providers to the pharmaceutical and biotechnology industries, and health care information systems firms. In closing, growth stock investing is especially challenging in a soft economy, 14 which makes growth hard to come by. During such trying times, our investment team focuses on companies that we believe will achieve high growth when the economy regains momentum. It is our experience that such companies ultimately attract the most favorable investor attention and provide the most generous returns in more buoyant markets. Sincerely, /s/Robert E. Kern Jr. Robert E. Kern, Jr. Portfolio Manager FREMONT U.S. MICRO-CAP FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Health Care (19.5%) Technology (Equipment) (17.2%) Business Equipment & Services (10.9%) Technology (Components) (8.5%) Technology (Software) (6.9%) Retail (6.5%) Consumer Non-Durables (6.2%) Cash (15.9%) Other (8.4%)
ANNUAL RETURNS [CHART] 6/30/94- +3.60% 10/31/94* 11/01/94- +38.68% 10/31/95 11/01/95- +41.46% 10/31/96 11/01/96- +28.80% 10/31/97 11/01/97- -23.45% 10/31/98 10/01/98- +110.46% 10/31/99 11/01/99- +46.07% 10/31/00 11/01/00- -20.05% 10/31/01 11/01/01- +2.93% 4/30/01*
TOP TEN HOLDINGS Endocare, Inc. 3.2% Gene Logic, Inc. 3.1% Kroll, Inc. 2.9% Riverstone Networks, Inc. 2.5% Neopharm, Inc. 2.2% Atmi, Inc. 2.1% F5 Networks, Inc. 2.0% Arthrocare Corp 1.9% Anaren Microwave, Inc. 1.8% Jakks Pacific, Inc. 1.8% TOTAL 23.5%
[CHART] GROWTH OF $10,000(1)
FREMONT U.S. MICRO-CAP FUND RUSSELL 2000 INDEX 30-Jun-94 $ 10,000 $ 10,000 31-Jul-94 $ 10,220 $ 10,164 31-Aug-94 $ 10,320 $ 10,730 30-Sep-94 $ 10,470 $ 10,694 31-Oct-94 $ 10,360 $ 10,651 30-Nov-94 $ 10,000 $ 10,221 31-Dec-94 $ 10,150 $ 10,494 31-Jan-95 $ 10,350 $ 10,362 28-Feb-95 $ 10,671 $ 10,793 31-Mar-95 $ 11,122 $ 10,978 30-Apr-95 $ 11,392 $ 11,222 31-May-95 $ 11,913 $ 11,415 30-Jun-95 $ 12,495 $ 12,007 31-Jul-95 $ 13,346 $ 12,699 31-Aug-95 $ 14,188 $ 12,961 30-Sep-95 $ 14,549 $ 13,193 31-Oct-95 $ 14,368 $ 12,602 30-Nov-95 $ 15,020 $ 13,132 31-Dec-95 $ 15,635 $ 13,479 31-Jan-96 $ 16,174 $ 13,465 29-Feb-96 $ 17,250 $ 13,884 31-Mar-96 $ 17,810 $ 14,167 30-Apr-96 $ 19,839 $ 14,925 31-May-96 $ 21,506 $ 15,513 30-Jun-96 $ 20,699 $ 14,876 31-Jul-96 $ 18,897 $ 13,577 31-Aug-96 $ 20,057 $ 14,365 30-Sep-96 $ 21,009 $ 14,926 31-Oct-96 $ 20,326 $ 14,696 30-Nov-96 $ 21,755 $ 15,302 31-Dec-96 $ 23,250 $ 15,701 31-Jan-97 $ 24,428 $ 16,016 28-Feb-97 $ 23,012 $ 15,627 31-Mar-97 $ 21,011 $ 14,889 30-Apr-97 $ 20,438 $ 14,931 31-May-97 $ 22,979 $ 16,592 30-Jun-97 $ 24,547 $ 17,304 31-Jul-97 $ 25,466 $ 18,109 31-Aug-97 $ 26,451 $ 18,523 30-Sep-97 $ 28,559 $ 19,878 31-Oct-97 $ 26,180 $ 19,005 30-Nov-97 $ 25,626 $ 18,882 31-Dec-97 $ 24,874 $ 19,212 31-Jan-98 $ 24,261 $ 18,909 28-Feb-98 $ 25,966 $ 20,307 31-Mar-98 $ 27,045 $ 21,145 30-Apr-98 $ 27,425 $ 21,262 31-May-98 $ 25,978 $ 20,117 30-Jun-98 $ 25,021 $ 20,159 31-Jul-98 $ 22,629 $ 18,527 31-Aug-98 $ 17,331 $ 14,929 30-Sep-98 $ 17,760 $ 16,098 31-Oct-98 $ 20,041 $ 16,754 30-Nov-98 $ 22,703 $ 17,632 31-Dec-98 $ 25,585 $ 18,723 31-Jan-99 $ 27,756 $ 18,972 28-Feb-99 $ 26,064 $ 17,435 31-Mar-99 $ 26,775 $ 17,707 30-Apr-99 $ 29,302 $ 19,294 31-May-99 $ 31,571 $ 19,576 30-Jun-99 $ 35,103 $ 20,461 31-Jul-99 $ 35,839 $ 19,900 31-Aug-99 $ 35,913 $ 19,164 30-Sep-99 $ 39,224 $ 19,167 31-Oct-99 $ 42,179 $ 19,246 30-Nov-99 $ 48,917 $ 20,395 31-Dec-99 $ 58,719 $ 22,704 31-Jan-00 $ 62,898 $ 22,338 29-Feb-00 $ 79,118 $ 26,026 31-Mar-00 $ 71,045 $ 24,311 30-Apr-00 $ 62,092 $ 22,848 31-May-00 $ 58,510 $ 21,516 30-Jun-00 $ 72,672 $ 23,392 31-Jul-00 $ 69,777 $ 22,638 31-Aug-00 $ 73,299 $ 24,366 30-Sep-00 $ 67,404 $ 23,649 31-Oct-00 $ 61,630 $ 22,595 30-Nov-00 $ 51,558 $ 20,274 31-Dec-00 $ 52,481 $ 22,016 31-Jan-01 $ 58,868 $ 23,163 28-Feb-01 $ 49,610 $ 21,643 31-Mar-01 $ 45,313 $ 20,585 30-Apr-01 $ 50,606 $ 22,195 31-May-01 $ 53,887 $ 22,741 30-Jun-01 $ 56,719 $ 23,525 31-Jul-01 $ 54,668 $ 22,253 31-Aug-01 $ 52,110 $ 21,534 30-Sep-01 $ 43,555 $ 18,635 31-Oct-01 $ 49,258 $ 19,725 30-Nov-01 $ 52,422 $ 21,252 31-Dec-01 $ 55,254 $ 22,563 31-Jan-02 $ 53,125 $ 22,329 28-Feb-02 $ 48,516 $ 21,717 31-Mar-02 $ 53,770 $ 23,463 30-Apr-02 $ 50,703 $ 23,677
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 3 Years 5 Years Since Inception (6/30/94) 0.19% 20.05% 19.93% 23.03%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, June 30, 1994. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Russell 2000 Index. Past performance is no guarantee of future results. Returns were achieved during a period of generally rising market values, especially in the technology sector. Investors should not expect that such favorable returns can be consistently achieved. Investments in newly emerging companies are subject to erratic earning patterns, competitive conditions within the industry, limited earnings history and the reliance on one or a limited number of products. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 15 FREMONT MUTUAL FUNDS FREMONT REAL ESTATE SECURITIES FUND [SIDENOTE] PORTFOLIO CO-MANAGERS DR. KENNETH ROSEN AND MICHAEL TORRES LEND LEASE ROSEN REAL ESTATE SECURITIES LLC [PHOTO DR. KENNETH ROSEN AND MICHAEL TORRES] DR. KENNETH ROSEN AND MICHAEL TORRES FUND PROFILE THROUGH THE YEARS, REAL ESTATE HAS CREATED NUMEROUS FORTUNES FOR WEALTHY INVESTORS. WITH AN INCREASING PERCENTAGE OF COMMERCIAL REAL ESTATE ASSETS IN THE HANDS OF PUBLICLY TRADED COMPANIES, INVESTORS WITH MORE LIMITED FINANCIAL RESOURCES CAN NOW PARTICIPATE IN ONE OF THE WORLD'S MOST PROFITABLE ENTERPRISES. THE FREMONT REAL ESTATE SECURITIES FUND WAS CREATED TO PROVIDE INVESTORS DIVERSIFICATION AND PROFESSIONALLY MANAGED ACCESS TO THIS PROMISING MARKET SECTOR. PORTFOLIO CO-MANAGERS DR. KENNETH ROSEN AND MICHAEL TORRES HAVE A COMBINED 46 YEARS OF REAL ESTATE SECURITIES INVESTMENT EXPERIENCE. DR. ROSEN RECEIVED A PH.D. IN ECONOMICS FROM M.I.T., AND IS PRESENTLY CHAIRMAN OF THE FISHER CENTER FOR REAL ESTATE AND URBAN ECONOMICS AT THE HAAS SCHOOL OF BUSINESS AT THE UNIVERSITY OF CALIFORNIA, BERKELEY. BEFORE FORMING THE PREDECESSOR OF LEND LEASE ROSEN IN 1993, DR. ROSEN ESTABLISHED AND MANAGED SALOMON BROTHERS' REAL ESTATE RESEARCH PROGRAM FROM 1985 TO 1990. PRIOR TO JOINING LEND LEASE ROSEN, MR. TORRES WAS THE DIRECTOR OF REAL ESTATE RESEARCH AND A PORTFOLIO MANAGER FOR WILSHIRE ASSET MANAGEMENT. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont Real Estate Securities Fund returned 14.38% compared to the National Association of Real Estate Investment Trusts (NAREIT) Composite Index's 18.66% gain. Particularly strong returns in the hotel sector, which we generally avoid due to volatile earnings, is largely responsible for the Fund's performance shortfall relative to the NAREIT Index benchmark. We are pleasantly surprised by REITs exceptionally strong performance over the last six months. We believed the soft economy would restrain earnings growth and capital appreciation, making dividends the primary component of REIT returns. However, the very favorable flow of funds out of the stock market's growth sectors and into higher yielding sectors such as REITs provided a strong capital appreciation tailwind. Over the long term, we believe real estate securities fundamentals support 10%-12% annualized returns. However, over the short term, flow of funds can often have a greater impact on stock prices than fundamentals. During the late 1990s despite strong fundamentals, REIT returns were modest, primarily because investors were infatuated with growth stocks. Over the last two years, the shoe has been on the other foot. Our investments in regional mall companies, most notably Simon Property Group and Macerich Company, were among the Fund's most productive during this six-month reporting period. Office and industrial property company investments also enhanced returns, with REITs such as Liberty Properties, Prentiss Properties and Brandywine posting strong gains. Apartment REITS owning "B" quality apartment complexes performed quite well with Home Properties near the top of our performance list. "B" quality apartment tenants tend to be renters by necessity rather than choice. Consequently, occupancy rates remained high despite the robust new housing market. Conversely, "A" quality apartment REITs, like Avalon Bay, underperformed as the strong housing market caused vacancy rates to climb. New home sales have been benefiting not just from low mortgage rates, but also easy credit. Despite rising mortgage delinquencies, a reflection of easy credit standards, the banks still seem to be more comfortable lending money to consumers than to businesses. However, we believe this sector is close to a bottom. Construction has already been scaled back significantly and new supply is moderating. If new home sales soften, supply and demand in this sector will come into better balance rather quickly. Looking ahead, we expect REIT earnings to continue to slow somewhat as vacancy rates in most sectors trend higher. However, the vast majority of the high quality REITs in our portfolio have two to three times fixed charge coverage. Consequently, we believe dividends are quite secure. Despite some earnings weakness, REITs may continue to enjoy a performance tailwind resulting from ongoing volatility in the growth sectors of the equities market. We continue to favor the office and industrial (primarily warehouse) property sector where we believe supply and demand are in relatively good balance. In general, we are under-weighting companies with significant exposure in former high technology hotbeds such as San Francisco, Austin, Seattle, Boston, and to a lesser extent Atlanta. We are over-weighting office REITs with property concentration in New York, Los Angeles, and Washington D.C. Vornado, our third biggest holding, is the largest owner of office properties in New York and Washington D.C. It also owns a sizable portfolio of retail, showroom space, and industrial facilities. In addition, Vornado is developing a 1.2 million square foot mixed use project in midtown Manhattan, with much of the space already pre-leased. We expect 16 [SIDENOTE] Vornado's dividend growth (up 25% last year) to remain attractive, increasing by 15%-20% this year. Despite these strong fundamentals, Vornado stock is trading at a modest discount to asset value versus the premiums enjoyed by other high quality office reits. We think it is undervalued. After its excellent performance over the last six months, we think the retail sector may be modestly overvalued. The consumer spent freely through the brief recession. So, we don't see the kind of pent-up consumer demand that would cause consumer spending to accelerate over the balance of the year. Consequently, we have been taking profits in this sector. We continue to avoid the hotel sector, where chronic overbuilding and vacillating demand con- tributes to excessive earnings volatility. In closing, we are delighted the fund has provided shareholders such generous returns in first half fiscal 2002. We believe real estate securities fundamentals remain solid, and that with the added support of yield starved investors, can continue to be a favored sector in today's otherwise challenging stock market. Sincerely, /s/ Dr. Kenneth Rosen and Michael Torres Dr. Kenneth Rosen and Michael Torres Portfolio Co-Managers FREMONT REAL ESTATE SECURITIES FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] REITs (Apartments) (31.6%) REITs (Office) (30.1%) REITs (Diversified) (9.8%) REITs (Regional Malls) (12.5%) REITs (Industrial) (9.7%) REITs (Shopping Centers) (3.5%) Cash (2.8%)
ANNUAL RETURNS [CHART] 12/31/97- -18.78% 10/31/98* 11/01/98- -0.07% 10/31/99 11/01/99- +10.59% 10/31/00 11/01/00- +10.43% 10/31/01 11/01/01- +14.38% 4/30/02*
TOP TEN HOLDINGS Equity Office Properties Trust 8.2% Simon Property Group, Inc. 7.3% Vornado Realty Trust 7.0% Equity Residential Properties Trust 6.9% Avalonbay Communities, Inc. 6.1% Archstone-Smith Trust 6.0% Arden Realty, Inc. 5.0% Amb Property Corp. 4.5% Boston Properties, Inc. 4.1% Camden Property Trust 3.9% TOTAL 59.0%
GROWTH OF $10,000(1) [CHART]
FREMONT REAL ESTATE SECURITIES FUND NAREIT Composite REIT INDEX 31-Dec-97 $ 10,000 $ 10,000 31-Jan-98 $ 9,940 $ 9,953 28-Feb-98 $ 9,910 $ 9,784 31-Mar-98 $ 10,180 $ 9,945 30-Apr-98 $ 9,940 $ 9,626 31-May-98 $ 9,760 $ 9,544 30-Jun-98 $ 9,640 $ 9,485 31-Jul-98 $ 9,200 $ 8,863 31-Aug-98 $ 8,210 $ 7,945 30-Sep-98 $ 8,510 $ 8,450 31-Oct-98 $ 8,122 $ 8,220 30-Nov-98 $ 8,245 $ 8,370 31-Dec-98 $ 8,225 $ 8,118 31-Jan-99 $ 8,131 $ 7,956 28-Feb-99 $ 7,955 $ 7,742 31-Mar-99 $ 7,893 $ 7,704 30-Apr-99 $ 8,588 $ 8,452 31-May-99 $ 8,914 $ 8,638 30-Jun-99 $ 9,103 $ 8,518 31-Jul-99 $ 8,794 $ 8,206 31-Aug-99 $ 8,538 $ 8,027 30-Sep-99 $ 8,463 $ 7,728 31-Oct-99 $ 8,117 $ 7,529 30-Nov-99 $ 8,247 $ 7,371 31-Dec-99 $ 8,412 $ 7,592 31-Jan-00 $ 8,236 $ 7,618 29-Feb-00 $ 8,126 $ 7,518 31-Mar-00 $ 8,236 $ 7,761 30-Apr-00 $ 8,683 $ 8,273 31-May-00 $ 8,739 $ 8,360 30-Jun-00 $ 9,063 $ 8,448 31-Jul-00 $ 9,530 $ 9,166 31-Aug-00 $ 9,302 $ 8,802 30-Sep-00 $ 9,553 $ 9,085 31-Oct-00 $ 8,976 $ 8,695 30-Nov-00 $ 8,919 $ 8,799 31-Dec-00 $ 9,357 $ 9,408 31-Jan-01 $ 9,626 $ 9,545 28-Feb-01 $ 9,568 $ 9,421 31-Mar-01 $ 9,392 $ 9,507 30-Apr-01 $ 9,640 $ 9,757 31-May-01 $ 9,769 $ 10,004 30-Jun-01 $ 10,359 $ 10,589 31-Jul-01 $ 10,227 $ 10,406 31-Aug-01 $ 10,587 $ 10,758 30-Sep-01 $ 10,371 $ 10,327 31-Oct-01 $ 9,913 $ 10,049 30-Nov-01 $ 10,408 $ 10,587 31-Dec-01 $ 10,697 $ 10,866 31-Jan-02 $ 10,538 $ 10,908 28-Feb-02 $ 10,648 $ 11,105 31-Mar-02 $ 11,351 $ 11,770 30-Apr-02 $ 11,339 $ 11,924
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 3 Years Since Inception (12/31/97) 17.62% 9.70% 2.94%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, December 31, 1997. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the NAREIT Composite REIT Index. The Fund is subject to special risk considerations similar to those associated with the direct ownership of real estate including changing general and local economic, financial, competitive, and environmental conditions. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 17 FREMONT BOND FUND [SIDENOTE] PORTFOLIO MANAGER BILL GROSS FOUNDER & MANAGING DIRECTOR PACIFIC INVESTMENT MANAGEMENT COMPANY (PIMCO) [PHOTO BILL GROSS] BILL GROSS FUND PROFILE THE FREMONT BOND FUND INVESTS IN HIGH QUALITY CORPORATE, MORTGAGE-BACKED, HEDGED-INTERNATIONAL, AND GOVERNMENT BONDS. THE FUND'S GOAL IS TO CONSISTENTLY PROVIDE ATTRACTIVE RISK-ADJUSTED RETURNS RELATIVE TO THE BROAD FIXED-INCOME MARKET. THREE MAIN PRINCIPLES EMBODY THE FUND'S INVESTMENT PHILOSOPHY: FIRST, PORTFOLIO STRATEGY IS DRIVEN BY LONGER-TERM TRENDS IN INTEREST RATES (THREE-TO FIVE-YEAR ECONOMIC, DEMOGRAPHIC, AND POLITICAL FORECASTS ARE UPDATED ANNUALLY TO IDENTIFY THEIR POTENTIAL IMPACT ON LONG-TERM INTEREST RATE TRENDS); SECOND, CONSISTENT PERFORMANCE IS ACHIEVED BY AVOIDING EXTREME SWINGS IN PORTFOLIO MATURITY/DURATION; AND LASTLY, EMPHASIS IS PLACED ON ADDING VALUE THROUGH THE ANALYSIS OF TRADITIONAL VARIABLES SUCH AS SECTOR, COUPON, AND CREDIT QUALITY. PORTFOLIO MANAGER BILL GROSS, FOUNDER AND MANAGING DIRECTOR OF PACIFIC INVESTMENT MANAGEMENT COMPANY (PIMCO), HAS 30 YEARS OF PROFESSIONAL FIXED INCOME INVESTMENT EXPERIENCE. IN ADDITION TO SERVING AS THE SUB-ADVISOR TO THE FREMONT BOND FUND, PIMCO MANAGES OVER $263 BILLION IN FIXED INCOME INVESTMENTS FOR INSTITUTIONAL CLIENTS. TO OUR SHAREHOLDERS, For the six-month period ending April 30, 2002, the Fremont Bond Fund returned 0.35% versus a 0.01% decline for the Lehman Brothers Aggregate Bond Index. During this period, the U.S. bond market displayed heightened volatility in the midst of Central Bank activity. In an effort to revive the U.S. economy and calm the markets following September 11, the Central Bank drove the federal funds rate to its lowest level in 40 years. In the 4th quarter, the Federal Reserve reduced interest rates by 1.5%, bringing the total easing in 2001 to 4.75%. In the 1st quarter of 2002, the Central Bank remained on the sidelines after easing 11 times in 2001. Further, in a shift from its previous stance, the Fed laid the groundwork for rate increases by declaring that risks in the economy were no longer tilted toward weakness. Amid renewed expectations of Central Bank tightening and abundant signs of economic growth, interest rates rose, dampening bond market returns. Treasury yields increased across maturities, led by five-and ten-year rates, which climbed 0.93% and 0.85%, respectively. Bonds with yield cushions, such as mortgages, non-investment-grade corporates and emerging market issues, posted positive absolute returns during the period despite the headwind of rising rates. Mortgages outperformed Treasuries and corporates, benefiting from low volatility, high yields and demand from investors worried about corporate credit and accounting issues. While absolute returns from investment-grade corporates were negative amid rising rates, the sector still outpaced Treasuries. Below investment-grade bonds fared better than high-grade issues due to a greater yield cushion and optimism about recovery. Emerging market bonds were the best performing sector, gaining from an inflow of funds seeking yield and a growing comfort level with the asset class. PORTFOLIO RECAP While above-benchmark duration was negative for performance as rates rose, our emphasis on short maturities via eurodollar futures helped returns. Our mortgage overweighting had a positive impact on performance. The Fund benefitted from relatively high yields and low volatility. An underweight to corporates overall proved negative as yield premiums narrowed. Our small allocation to emerging market bonds was positive as improving economic fundamentals and high yields stimulated investor demand. Developed non-U.S. bonds had a slight positive impact on returns, though rates rose in most markets amid expectations of global recovery. OUTLOOK AND STRATEGY The synchronized global downturn, centered in the manufacturing sector, is over. Coming out of a short and shallow recession, the recovery will be relatively moderate. The U.S. will lead the rebound, with average growth over the next several quarters of 3 to 3.5%. During the first half of 2002, the cycle of U.S. inventory liquidation, one of the steepest and fastest on record, will reverse course, boosting worldwide manufacturing. Business investment will be less of a drag on growth as the collapse in information technology spending bottoms out. Consumer demand will remain resilient, but will not accelerate, as the recovery bolsters confidence in employment prospects and income stability. As growth resumes, the Federal Reserve will take back its post-September 11 emergency easing, raising the federal funds rate to near 3% by year end. A robust first half of 2002 will precede a rather lackluster second half, as the effects from inventory rebuilding wane. The consumer and housing sec- tors will not provide an impetus for growth. These sectors did not follow manufacturing into recession, leaving little pent-up demand to propel growth. Investment will be restrained by excess 18 capacity and companies' need to pay down debt to satisfy increasingly demanding credit markets. The strong dollar will keep export growth in check. Inflation will remain well behaved in an environment of muted growth, discount conscious consumers and low capacity utilization. With inflation benign and growth constrained, interest rates will be rangebound. Ten-year Treasury yields will trade between 4.75% and 5.75%, but volatility within this range is likely because we are at monetary and cyclical turning points. Value will come from an emphasis on high quality income-generating bonds, with the best values found in the U.S. Mortgages remain attractive, offering a substantial yield cushion against price erosion with minimal credit exposure. High-grade corporate bonds are more attractively priced than high yield, but credit concerns demand a selective approach to this sector. We will own corporate bonds with strong balance sheets and sound accounting practices that can withstand disappointments in the recovery. Emerging market credits will benefit from the global recovery, more flexible exchange rates, balanced fiscal profiles and stronger balance sheets. Sincerely, /s/William Gross William Gross Portfolio Manager FREMONT BOND FUND PORTFOLIO CREDIT QUALITY AS OF 4/30/02 [CHART]
AAA (63.0%) AA (2.2%) A (10.9%) BBB (21.7%) BB (2.2%)
ANNUAL RETURNS [CHART] 4/30/93- +5.15% 10/31/93* 11/01/93- -4.42% 10/31/94 11/01/94- +16.49% 10/31/95 11/01/95- +8.18% 10/31/96 11/01/96- +9.54% 10/31/97 11/01/97- +10.31% 10/31/98 11/01/98- +0.01% 10/31/99 11/01/99- +8.33% 10/31/00 11/01/00- +15.79% 10/31/01 11/01/01- +0.35% 4/30/02*
TOP TEN HOLDINGS GNMA I TBA, 6.000%, 05/21/32 10.0% 5-YR INTEREST RATE SWAP, EXP. 06/17/02 6.0% FHLMC, 6.500%, 08/15/31 6.0% FNMA TBA, 6.000%, 06/18/17 6.0% 30-YR U. S. Long Bond Futures, 145 Contracts, Exp. Jun. '02 5.0% Sprint Capital Corp., 8.750%, 03/15/32 4.0% General Motors Acceptance Corp., 8.000%,11/01/31 4.0% 90-Day Euro Dollar Futures, 325 Contracts, Exp. Jun. '02 3.0% GNMA Pool, 6.500%, 10/15/31 3.0% AOL Time Warner Inc., 7.625%, 04/15/31 3.0% TOTAL 50.0%
GROWTH OF $10,000(1) [CHART]
LEHMAN BROS. FREMONT BOND FUND AGGREGATE BOND INDEX 30-Apr-93 $ 10,000 $ 10,000 31-May-93 $ 9,963 $ 10,013 30-Jun-93 $ 10,182 $ 10,194 31-Jul-93 $ 10,198 $ 10,252 31-Aug-93 $ 10,415 $ 10,432 30-Sep-93 $ 10,481 $ 10,460 31-Oct-93 $ 10,515 $ 10,499 30-Nov-93 $ 10,366 $ 10,410 31-Dec-93 $ 10,437 $ 10,466 31-Jan-94 $ 10,585 $ 10,607 28-Feb-94 $ 10,388 $ 10,423 31-Mar-94 $ 10,147 $ 10,166 30-Apr-94 $ 10,049 $ 10,085 31-May-94 $ 9,959 $ 10,083 30-Jun-94 $ 10,025 $ 10,061 31-Jul-94 $ 10,205 $ 10,261 31-Aug-94 $ 10,230 $ 10,274 30-Sep-94 $ 10,106 $ 10,123 31-Oct-94 $ 10,050 $ 10,114 30-Nov-94 $ 10,020 $ 10,091 31-Dec-94 $ 10,018 $ 10,161 31-Jan-95 $ 10,242 $ 10,362 28-Feb-95 $ 10,522 $ 10,609 31-Mar-95 $ 10,621 $ 10,674 30-Apr-95 $ 10,823 $ 10,823 31-May-95 $ 11,228 $ 11,242 30-Jun-95 $ 11,299 $ 11,324 31-Jul-95 $ 11,263 $ 11,299 31-Aug-95 $ 11,397 $ 11,436 30-Sep-95 $ 11,530 $ 11,547 31-Oct-95 $ 11,707 $ 11,697 30-Nov-95 $ 11,954 $ 11,872 31-Dec-95 $ 12,146 $ 12,038 31-Jan-96 $ 12,269 $ 12,118 29-Feb-96 $ 11,935 $ 11,907 31-Mar-96 $ 11,893 $ 11,824 30-Apr-96 $ 11,840 $ 11,757 31-May-96 $ 11,765 $ 11,734 30-Jun-96 $ 11,964 $ 11,891 31-Jul-96 $ 11,973 $ 11,923 31-Aug-96 $ 11,997 $ 11,903 30-Sep-96 $ 12,313 $ 12,110 31-Oct-96 $ 12,664 $ 12,379 30-Nov-96 $ 12,878 $ 12,591 31-Dec-96 $ 12,781 $ 12,474 31-Jan-97 $ 12,801 $ 12,512 28-Feb-97 $ 12,816 $ 12,543 31-Mar-97 $ 12,698 $ 12,404 30-Apr-97 $ 12,951 $ 12,590 31-May-97 $ 13,075 $ 12,710 30-Jun-97 $ 13,247 $ 12,861 31-Jul-97 $ 13,650 $ 13,208 31-Aug-97 $ 13,495 $ 13,096 30-Sep-97 $ 13,695 $ 13,290 31-Oct-97 $ 13,873 $ 13,483 30-Nov-97 $ 13,873 $ 13,545 31-Dec-97 $ 14,022 $ 13,681 31-Jan-98 $ 14,230 $ 13,857 28-Feb-98 $ 14,198 $ 13,846 31-Mar-98 $ 14,238 $ 13,893 30-Apr-98 $ 14,322 $ 13,965 31-May-98 $ 14,465 $ 14,097 30-Jun-98 $ 14,566 $ 14,217 31-Jul-98 $ 14,644 $ 14,247 31-Aug-98 $ 14,871 $ 14,479 30-Sep-98 $ 15,331 $ 14,818 31-Oct-98 $ 15,303 $ 14,740 30-Nov-98 $ 15,377 $ 14,824 31-Dec-98 $ 15,423 $ 14,868 31-Jan-99 $ 15,536 $ 14,974 28-Feb-99 $ 15,229 $ 14,712 31-Mar-99 $ 15,379 $ 14,793 30-Apr-99 $ 15,422 $ 14,840 31-May-99 $ 15,239 $ 14,709 30-Jun-99 $ 15,147 $ 14,662 31-Jul-99 $ 15,059 $ 14,599 31-Aug-99 $ 15,013 $ 14,592 30-Sep-99 $ 15,229 $ 14,761 31-Oct-99 $ 15,305 $ 14,816 30-Nov-99 $ 15,336 $ 14,814 31-Dec-99 $ 15,231 $ 14,743 31-Jan-00 $ 15,211 $ 14,695 29-Feb-00 $ 15,375 $ 14,872 31-Mar-00 $ 15,677 $ 15,069 30-Apr-00 $ 15,679 $ 15,025 31-May-00 $ 15,663 $ 15,017 30-Jun-00 $ 15,981 $ 15,330 31-Jul-00 $ 16,128 $ 15,469 31-Aug-00 $ 16,453 $ 15,694 30-Sep-00 $ 16,446 $ 15,793 31-Oct-00 $ 16,579 $ 15,897 30-Nov-00 $ 16,912 $ 16,157 31-Dec-00 $ 17,176 $ 16,458 31-Jan-01 $ 17,413 $ 16,726 28-Feb-01 $ 17,594 $ 16,872 31-Mar-01 $ 17,699 $ 16,956 30-Apr-01 $ 17,567 $ 16,885 31-May-01 $ 17,678 $ 16,986 30-Jun-01 $ 17,686 $ 17,051 31-Jul-01 $ 18,273 $ 17,433 31-Aug-01 $ 18,489 $ 17,633 30-Sep-01 $ 18,812 $ 17,838 31-Oct-01 $ 19,197 $ 18,211 30-Nov-01 $ 18,923 $ 17,959 31-Dec-01 $ 18,855 $ 17,844 31-Jan-02 $ 19,046 $ 17,989 28-Feb-02 $ 19,330 $ 18,163 31-Mar-02 $ 18,934 $ 17,862 30-Apr-02 $ 19,266 $ 18,208
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 5 Years Since Inception (4/30/93) 9.67% 8.27% 7.56%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, April 30, 1993. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Lehman Bros. Aggregate Bond Index. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 19 FREMONT CALIFORNIA INTERMEDIATE TAX - FREE FUND [SIDENOTE] PORTFOLIO CO-MANAGERS ARNO A. RAYNER AND WILLIAM C. WILLIAMS RAYNER ASSOCIATES, INC. [PHOTO ARNO A. RAYNER] ARNO A. RAYNER FUND PROFILE THE FREMONT CALIFORNIA INTERMEDIATE TAX-FREE FUND SEEKS DOUBLE TAX-FREE INCOME FOR CALIFORNIA RESIDENTS THROUGH INVESTING IN HIGH CREDIT QUALITY CALIFORNIA MUNICIPAL SECURITIES. PORTFOLIO CO-MANAGERS ARNO RAYNER AND WILLIAM WILLIAMS BELIEVE ACTIVE DURATION MANAGEMENT, OPPORTUNISTIC SECTOR ALLOCATION, AND INDIVIDUAL SECURITY SELECTION CAN ENHANCE MUNICIPAL BOND PORTFOLIO RETURNS. CREDIT QUALITY IS ALWAYS FIRST PRIORITY. THE FUND HOLDS ONLY INVESTMENT GRADE RATED SECURITIES AND SELECTIVE NON-RATED BONDS, WHICH AFTER INTERNAL CREDIT ANALYSIS ARE BELIEVED TO DESERVE AN INVESTMENT GRADE RATING. FOUNDED IN 1977, SUB-ADVISOR RAYNER ASSOCIATES, INC. MANAGES OVER $153 MILLION IN FIXED INCOME ASSETS FOR PRIVATE CLIENTS. TO OUR SHAREHOLDERS, For the six-month period ended April 30, 2002, the Fremont California Intermediate Tax-Free Fund returned 1.11% compared to the Lehman Brothers Municipal 5-Year State General Obligation (GO) Index's 1.63% gain. In first half fiscal 2002, California municipal securities continued to produce solid returns for high income tax bracket residents of the Golden State. Supply remained relatively healthy, with more than $2 billion in general obligation bonds coming to market in calendar first quarter 2002. Demand also remained vibrant as evidenced by lower coupon rates on new issues. The California economy appears to be gradually emerging from recession. In Northern California, especially Silicon Valley, a turnaround in the semiconductor industry is helping reinvigorate the hardest hit sector of the economy. In Southern California, the defense industry continues to buoy economic activity. Travel and tourism throughout the state has picked up considerably after stalling in the months following the 9/11 tragedy. The residential housing market remains robust. Despite 145,000 new housing units being built in the first quarter, there is still a serious housing shortage in the state. We believe housing will continue to be a major driver of economic growth as long as mortgage rates remain around current levels. Unemployment appears to have peaked at around 6.2%-higher than the national average but not a troubling number. We expect unemployment to trend lower in the year ahead as the economic recovery unfolds. Just how robust this recovery will be is still debatable. The strong presence of the defense industry in Southern California, the stable agricultural sector, strong demand for housing, and a rebound in travel and tourism are all economic pluses for the state. Technology is still a wild card. If the technology industry rebounds, the California economy should be among the strongest in the nation. Although economists insist on data to verify their forecasts, we've found anecdotal evidence just as reliable. In talking to our neighbors, shopekepers, and the folks next to us on the checkout line at the supermarket, we sense that the California economy is on the mend. Last year, Moody's dropped the credit rating on California general obligation bonds from AA to A1, a reflection of the economic contraction, lower tax rev-enues, and the utilities mess. The state appears to have weathered its utilities crisis and the proposed issuance of $11- $12.5 billion in power bonds has been postponed indefinitely. This year, like many other states, California's budget surplus has turned into a deficit, currently estimated around $22 billion. To bring down the deficit, the state may choose to defer some spending on infrastructure programs. However, there is also some talk in Sacramento about raising income taxes. Obviously, this wouldn't be cheery news for California residents already burdened by one of the nation's highest state income tax rates. However, it would make investing in California municipal securities an even more attractive proposition. Treasuries outperformed investment grade municipal bonds in first half fiscal 2002, in large part a result of a classic "flight to quality" in the aftermath of 9/11. At the beginning of this six-month reporting period, AAA rated 10-year municipal securities yields were approximately 82% of 10-year Treasury bond yields. At its end, municipal securities' yields were about 90% of Treasuries (4.25% versus 4.73%). The higher municipal securities' yields are to Treasuries, the greater the after-tax advantage for fixed income investors in high income tax brackets. We note the Fund's 5.1% portfolio yield surpasses both the 10-year Treasury bond and highest investment-grade municipal yield by a meaningful margin. 20 Municipal securities' yields have continued to decline and the yield curve to steepen. Today, we would have to go out to 19 years to get 5% yields. Rather than increasing interest rate risk by going farther out on the yield curve or credit risk by buying lower credit quality bonds, we have continued to enhance portfolio yield by taking advantage of higher yields provided by issues from smaller municipalities and on callable bonds (debt that can be retired by the issuer after a specific date prior to their maturity date). At the close of this reporting period, the Fund's portfolio yield is 5.10%, 1 basis point (1/100 of 1%) higher than six months ago. The average coupon rate is 5.34%. Weighted average maturityis 8.2 years and duration is 6 years. The Fund continues to be rated AA by Moody's and Standard & Poor's, with 86% of our holdings being rated AA or higher. We are pleased to report that the Fund has maintained its five-star rating from Morningstar. Sincerely, /s/Arno A. Rayner and William C. Williams Arno A. Rayner and William C. Williams Portfolio Co-Managers FREMONT CALIFORNIA INTERMEDIATE TAX-FREE FUND [CHART]
PORTFOLIO CREDIT QUALITY AS OF 4/30/02 AAA (63.0%) AA (23.0%) A (14.0%)
ANNUAL RETURNS [CHART] 11/16/90- +9.36% 10/31/91* 11/01/91- +7.37% 10/31/92 11/01/92- +11.37% 10/31/93 11/01/93- -3.94% 10/31/94 11/01/94- +12.77% 10/31/95 11/01/95- +4.63% 10/31/96 11/01/96- +6.75% 10/31/97 11/01/97- +7.16% 10/31/98 11/01/98- -0.68% 10/31/99 11/01/99- +6.78% 10/31/00 11/01/00- +7.49% 10/31/01 11/01/01- +1.11% 4/30/02*
TOP TEN HOLDINGS Sacramento Municipal Utilities District 3.5% City of Los Angeles, Wastewater System Revenue 2.7% East Bay CA Municipal Utilities District 2.7% Yucaipa School Facilities Finance Authority 2.6% City of Industry, Urban Development Agency 2.1% Orange County Transportation Authority 1.9% California State Public Works Board 1.8% Los Angeles County Public Works Finance Authority 1.8% Kings River Conservation District 1.8% Orange County Transportation Authority 1.8% TOTAL 22.7%
[CHART] GROWTH OF $10,000(1)
FREMONT CALIFORNIA INTERMEDIATE TAX-FREE FUND LEHMAN BROS. 5-YEAR STATE G.O. INDEX 16-Nov-90 $ 10,000 $ 10,000 30-Nov-90 $ 10,064 $ 10,067 31-Dec-90 $ 10,105 $ 10,102 31-Jan-91 $ 10,273 $ 10,250 28-Feb-91 $ 10,364 $ 10,340 31-Mar-91 $ 10,370 $ 10,313 30-Apr-91 $ 10,467 $ 10,456 31-May-91 $ 10,530 $ 10,508 30-Jun-91 $ 10,496 $ 10,493 31-Jul-91 $ 10,603 $ 10,598 31-Aug-91 $ 10,737 $ 10,731 30-Sep-91 $ 10,881 $ 10,860 31-Oct-91 $ 10,936 $ 10,945 30-Nov-91 $ 10,953 $ 10,979 31-Dec-91 $ 11,187 $ 11,226 31-Jan-92 $ 11,218 $ 11,246 29-Feb-92 $ 11,222 $ 11,253 31-Mar-92 $ 11,188 $ 11,211 30-Apr-92 $ 11,270 $ 11,306 31-May-92 $ 11,373 $ 11,413 30-Jun-92 $ 11,535 $ 11,572 31-Jul-92 $ 11,871 $ 11,876 31-Aug-92 $ 11,747 $ 11,787 30-Sep-92 $ 11,831 $ 11,862 31-Oct-92 $ 11,741 $ 11,821 30-Nov-92 $ 11,906 $ 11,962 31-Dec-92 $ 12,004 $ 12,049 31-Jan-93 $ 12,155 $ 12,180 28-Feb-93 $ 12,518 $ 12,495 31-Mar-93 $ 12,325 $ 12,357 30-Apr-93 $ 12,434 $ 12,432 31-May-93 $ 12,460 $ 12,475 30-Jun-93 $ 12,666 $ 12,641 31-Jul-93 $ 12,629 $ 12,642 31-Aug-93 $ 12,889 $ 12,817 30-Sep-93 $ 13,069 $ 12,915 31-Oct-93 $ 13,076 $ 12,930 30-Nov-93 $ 12,964 $ 12,899 31-Dec-93 $ 13,198 $ 13,078 31-Jan-94 $ 13,354 $ 13,202 28-Feb-94 $ 13,007 $ 12,943 31-Mar-94 $ 12,664 $ 12,653 30-Apr-94 $ 12,717 $ 12,779 31-May-94 $ 12,795 $ 12,854 30-Jun-94 $ 12,714 $ 12,820 31-Jul-94 $ 12,915 $ 12,954 31-Aug-94 $ 12,945 $ 13,016 30-Sep-94 $ 12,765 $ 12,920 31-Oct-94 $ 12,561 $ 12,847 30-Nov-94 $ 12,354 $ 12,750 31-Dec-94 $ 12,552 $ 12,866 31-Jan-95 $ 12,830 $ 13,001 28-Feb-95 $ 13,208 $ 13,195 31-Mar-95 $ 13,356 $ 13,323 30-Apr-95 $ 13,382 $ 13,356 31-May-95 $ 13,745 $ 13,646 30-Jun-95 $ 13,652 $ 13,665 31-Jul-95 $ 13,771 $ 13,856 31-Aug-95 $ 13,920 $ 13,979 30-Sep-95 $ 13,978 $ 14,023 31-Oct-95 $ 14,165 $ 14,081 30-Nov-95 $ 14,313 $ 14,204 31-Dec-95 $ 14,421 $ 14,285 31-Jan-96 $ 14,583 $ 14,464 29-Feb-96 $ 14,519 $ 14,412 31-Mar-96 $ 14,326 $ 14,326 30-Apr-96 $ 14,330 $ 14,299 31-May-96 $ 14,313 $ 14,280 30-Jun-96 $ 14,394 $ 14,366 31-Jul-96 $ 14,575 $ 14,470 31-Aug-96 $ 14,557 $ 14,489 30-Sep-96 $ 14,665 $ 14,589 31-Oct-96 $ 14,820 $ 14,732 30-Nov-96 $ 15,044 $ 14,941 31-Dec-96 $ 15,005 $ 14,906 31-Jan-97 $ 15,013 $ 14,944 28-Feb-97 $ 15,110 $ 15,050 31-Mar-97 $ 14,973 $ 14,879 30-Apr-97 $ 15,046 $ 14,938 31-May-97 $ 15,279 $ 15,119 30-Jun-97 $ 15,408 $ 15,245 31-Jul-97 $ 15,738 $ 15,498 31-Aug-97 $ 15,616 $ 15,422 30-Sep-97 $ 15,787 $ 15,568 31-Oct-97 $ 15,820 $ 15,662 30-Nov-97 $ 15,894 $ 15,706 31-Dec-97 $ 16,096 $ 15,853 31-Jan-98 $ 16,231 $ 15,993 28-Feb-98 $ 16,258 $ 16,005 31-Mar-98 $ 16,246 $ 16,033 30-Apr-98 $ 16,160 $ 15,951 31-May-98 $ 16,371 $ 16,139 30-Jun-98 $ 16,417 $ 16,184 31-Jul-98 $ 16,484 $ 16,243 31-Aug-98 $ 16,721 $ 16,462 30-Sep-98 $ 16,978 $ 16,630 31-Oct-98 $ 16,953 $ 16,658 30-Nov-98 $ 17,014 $ 16,681 31-Dec-98 $ 17,014 $ 16,755 31-Jan-99 $ 17,225 $ 16,923 28-Feb-99 $ 17,147 $ 16,903 31-Mar-99 $ 17,166 $ 16,927 30-Apr-99 $ 17,183 $ 16,976 31-May-99 $ 17,095 $ 16,919 30-Jun-99 $ 16,881 $ 16,731 31-Jul-99 $ 16,965 $ 16,820 31-Aug-99 $ 16,920 $ 16,820 30-Sep-99 $ 16,971 $ 16,878 31-Oct-99 $ 16,838 $ 16,841 30-Nov-99 $ 16,999 $ 16,929 31-Dec-99 $ 16,852 $ 16,874 31-Jan-00 $ 16,884 $ 16,867 29-Feb-00 $ 17,044 $ 16,919 31-Mar-00 $ 17,310 $ 17,069 30-Apr-00 $ 17,179 $ 17,035 31-May-00 $ 17,185 $ 17,028 30-Jun-00 $ 17,548 $ 17,343 31-Jul-00 $ 17,728 $ 17,532 31-Aug-00 $ 17,942 $ 17,717 30-Sep-00 $ 17,879 $ 17,686 31-Oct-00 $ 17,979 $ 17,812 30-Nov-00 $ 18,075 $ 17,881 31-Dec-00 $ 18,330 $ 18,169 31-Jan-01 $ 18,516 $ 18,484 28-Feb-01 $ 18,546 $ 18,528 31-Mar-01 $ 18,602 $ 18,676 30-Apr-01 $ 18,382 $ 18,577 31-May-01 $ 18,589 $ 18,761 30-Jun-01 $ 18,695 $ 18,844 31-Jul-01 $ 18,850 $ 19,055 31-Aug-01 $ 19,203 $ 19,310 30-Sep-01 $ 19,162 $ 19,358 31-Oct-01 $ 19,314 $ 19,502 30-Nov-01 $ 19,265 $ 19,357 31-Dec-01 $ 19,197 $ 19,257 31-Jan-02 $ 19,407 $ 19,565 28-Feb-02 $ 19,561 $ 19,782 31-Mar-02 $ 19,318 $ 19,384 30-Apr-02 $ 19,528 $ 19,819
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 5 Years 10 Years Since Inception (11/16/90) 6.24% 5.35% 5.65 6.02%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, November 16, 1990. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Lehman Bros. 5-Year State G.O. Index. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 21 FREMONT MONEY MARKET FUND [SIDENOTE] PORTFOLIO CO-MANAGERS NORMAN GEE AND MICHELLE ROMANO FREMONT INVESTMENT ADVISORS, INC. [PHOTO NORMAN GEE AND MICHELLE ROMANO] NORMAN GEE AND MICHELLE ROMANO FUND PROFILE THE FREMONT MONEY MARKET FUND INVESTS PRIMARILY IN HIGH QUALITY SHORT-TERM DEBT SECURITIES (COMMERCIAL PAPER) ISSUED BY U.S. CORPORATIONS AND U.S. SUBSIDIARIES OF FOREIGN CORPORATIONS. THE FUND WILL ALSO TAKE SMALL POSITIONS IN OTHER INVESTMENT-GRADE SHORT-TERM DEBT INSTRUMENTS SUCH AS YANKEE CDS (DOLLAR DENOMINATED CERTIFICATES OF DEPOSIT IN FOREIGN BANKS). PORTFOLIO CO-MANAGERS NORMAN GEE AND MICHELLE ROMANO STRIVE TO ADD VALUE THROUGH PRICE-SENSITIVE TRADING AND BY IDENTIFYING UNDERVALUED HIGH QUALITY MONEY MARKET SECURITIES. THEY WILL ALSO MAKE CONSERVATIVE ADJUSTMENTS TO THE PORTFOLIO'S AVERAGE MATURITY TO THE MARKET IN ATTEMPTING TO ENHANCE TOTAL PORTFOLIO YIELD. TO OUR SHAREHOLDERS, For the six-month period ended April 30, 2002, the Fremont Money Market Fund returned 0.99% compared to the Money Fund Report/First Tier Taxable Average's 0.72% gain. Three Federal Reserve rate cuts in the aftermath of the 9/11 tragedy pushed money market yields lower in November and December. Yields leveled off in January as the Fed moved to a neutral bias. Although yield remained modest by historical money market fund standards,the Fund's return trailed that of the S&P 500 by just 1.33% over this reporting period. More importantly, it continued to fulfill its dual mandates of providing liquidity and preserving shareholder capital during a period of extreme volatility in the financial markets. Throughout first half fiscal 2002, the Fund maintained an average maturity in the 75-80 day range compared to a 50-59 day range for the money market universe. The Fund's longer average maturity enhanced returns, particularly in the November/December period when short-term interest rates were declining. With the steep yield curve, (materially higher yields for longer-term commercial paper), the portfolio remained "bar- belled" with the heaviest weightings on the long and short end of the yield curve. With modestly positive Gross Domestic Product (GDP) growth in calendar fourth quarter 2001 and an impressive 5.8% GDP growth rate in first quarter 2002, the economy has clearly emerged from recession. However, we expect GDP growth to slow considerably over the next three quarters and finish the year somewhere in the 2.5%-3% range. Generally, strong economic recoveries are driven by a surge in consumer spending followed by a rebound in capital spending to increase capacity and meet rising demand. However, consumers spent freely throughout last year's mild and short-lived recession. So, we don't see the kind of pent-up consumer demand that will lead to a substantial increase in consumer spending going forward. We still have a lot of excess capacity in many industries, a result of the capital spending boom in the "Roaring 90s." Until this excess capacity is worked off, capital spending will remain restrained. Also, following the Enron scandal, we believe many corpo- rate managements will focus on restructuring to help clean up balance sheets before investing more in their businesses. Despite the big first quarter GDP number, we see little indication of any serious inflationary pressure on the economy. With the exception of oil and natural gas, where pricing is often a function of politics and/or temporary glitches in distribution systems rather than supply and demand, commodities prices have been relatively flat. Higher unemployment has diminished wage pressures. No one we know is banging on the boss' door demanding a raise in this kind of environment. By and large, there is still very limited pricing flexibility in most industries. So, even if costs do increase somewhat as the economy gradually expands, it will be difficult to pass them on to the consumer. Presently, the fixed income markets seem to be anticipating Federal Reserve rate hikes in the late summer. If eco- nomic growth slows substantially in the second quarter, we suspect Chairman Greenspan and his colleagues at the Federal Reserve will postpone any rate hikes until the economy is on more solid footing. When the Fed does pump the monetary brakes-our best guess is not until 2003 - we suspect it will be a few light taps moving the Fed Funds rate no more than 125 basis points (1.25%). Consequently, we will likely maintain a 75-80 day average maturity in the portfolio to lock in the higher yields provided by longer-term commercial paper. We will also continue to "barbell" the portfolio. If the economy proves stronger than we anticipate and we sense the Fed is likely to tighten more aggressively, we will reduce the Fund's average maturity. 22 In closing, today's low money market fund yields aren't very exciting. However, the alternatives - a still highly volatile stock market and a bond market that could prove quite vulnerable to rising interest rates - aren't very appetizing either. Money market funds provide two valuable services for the investment public - liquidity and a safe harbor for their savings during financial market storms. The Fund has sheltered its shareholders through a recession and one of the most terrifying and painful episodes in American history. We will continue to protect your capital during good times and bad. Sincerely, /s/Norman Gee and Michelle Romano Norman Gee and Michelle Romano Portfolio Co-Managers FREMONT MONEY MARKET FUND GEOGRAPHIC DIVERSIFICATION AS OF 4/30/02 [CHART] United States (55.1%) Switzerland (10.0%) United Kingdom (6.4%) Canada (5.7%) Germany (5.7%) Australia (5.0%) Japan (3.6%) Netherland (3.6%) Luxembourg (3.5%) Sweden (1.4%)
ANNUAL RETURNS [CHART] 11/18/88- +8.52% 10/31/89* 11/01/89- +7.99% 10/31/90 11/01/90- +6.51% 10/31/91 11/01/91- +3.73% 10/31/92 11/01/92- +2.66% 10/31/93 11/01/93- +3.49% 10/31/94 11/01/94- +5.84% 10/31/95 11/01/95- +5.34% 10/31/96 11/01/96- +5.39% 10/31/97 11/01/97- +5.45% 10/31/98 11/01/98- +4.89% 10/31/99 11/01/99- +5.99% 10/31/00- 11/01/00- +4.67% 10/31/01 11/01/01 +0.99% 4/30/02*
TOP TEN HOLDINGS Alcoa Inc., CP 2.7% Bayerische HYPO-UND Vereinsbank AG, YCD 1.4% Stanford University, CP 1.4% FHLB, AN 1.4% FNMA, AN 1.4% Banque ET Caisse D'Epargne De L'Etat, CP 1.4% AWB Finance LTD., CP 1.4% FFCB, AN 1.4% Prudential Funding Corp., CP 1.4% Harvard University, CP 1.4% TOTAL 15.3%
[CHART] GROWTH OF $10,000(1)
FREMONT MONEY MARKET FUND 90-DAY US T-BILLS PRIME AVERAGE 18-Nov-88 $ 10,000 $ 10,000 $ 10,000 30-Nov-88 $ 10,027 $ 10,026 $ 10,025 31-Dec-88 $ 10,096 $ 10,093 $ 10,090 31-Jan-89 $ 10,170 $ 10,163 $ 10,159 28-Feb-89 $ 10,237 $ 10,236 $ 10,228 31-Mar-89 $ 10,315 $ 10,311 $ 10,300 30-Apr-89 $ 10,389 $ 10,383 $ 10,377 31-May-89 $ 10,475 $ 10,457 $ 10,452 30-Jun-89 $ 10,552 $ 10,526 $ 10,528 31-Jul-89 $ 10,630 $ 10,592 $ 10,600 31-Aug-89 $ 10,705 $ 10,661 $ 10,670 30-Sep-89 $ 10,775 $ 10,731 $ 10,741 31-Oct-89 $ 10,852 $ 10,813 $ 10,812 30-Nov-89 $ 10,924 $ 10,887 $ 10,881 31-Dec-89 $ 10,993 $ 10,955 $ 10,949 31-Jan-90 $ 11,067 $ 11,027 $ 11,017 28-Feb-90 $ 11,132 $ 11,093 $ 11,084 31-Mar-90 $ 11,202 $ 11,168 $ 11,152 30-Apr-90 $ 11,276 $ 11,240 $ 11,221 31-May-90 $ 11,350 $ 11,317 $ 11,291 30-Jun-90 $ 11,420 $ 11,390 $ 11,360 31-Jul-90 $ 11,498 $ 11,465 $ 11,429 31-Aug-90 $ 11,573 $ 11,540 $ 11,498 30-Sep-90 $ 11,640 $ 11,610 $ 11,567 31-Oct-90 $ 11,719 $ 11,682 $ 11,636 30-Nov-90 $ 11,792 $ 11,751 $ 11,704 31-Dec-90 $ 11,867 $ 11,821 $ 11,773 31-Jan-91 $ 11,941 $ 11,888 $ 11,839 28-Feb-91 $ 12,005 $ 11,946 $ 11,901 31-Mar-91 $ 12,065 $ 12,008 $ 11,959 30-Apr-91 $ 12,134 $ 12,066 $ 12,015 31-May-91 $ 12,195 $ 12,124 $ 12,068 30-Jun-91 $ 12,249 $ 12,180 $ 12,121 31-Jul-91 $ 12,312 $ 12,238 $ 12,174 31-Aug-91 $ 12,369 $ 12,296 $ 12,227 30-Sep-91 $ 12,427 $ 12,350 $ 12,278 31-Oct-91 $ 12,482 $ 12,404 $ 12,328 30-Nov-91 $ 12,531 $ 12,454 $ 12,375 31-Dec-91 $ 12,584 $ 12,500 $ 12,422 31-Jan-92 $ 12,630 $ 12,543 $ 12,464 29-Feb-92 $ 12,668 $ 12,582 $ 12,502 31-Mar-92 $ 12,708 $ 12,625 $ 12,540 30-Apr-92 $ 12,744 $ 12,666 $ 12,576 31-May-92 $ 12,779 $ 12,707 $ 12,612 30-Jun-92 $ 12,817 $ 12,745 $ 12,647 31-Jul-92 $ 12,852 $ 12,784 $ 12,680 31-Aug-92 $ 12,885 $ 12,819 $ 12,711 30-Sep-92 $ 12,917 $ 12,852 $ 12,741 31-Oct-92 $ 12,947 $ 12,884 $ 12,769 30-Nov-92 $ 12,978 $ 12,916 $ 12,798 31-Dec-92 $ 13,008 $ 12,951 $ 12,828 31-Jan-93 $ 13,036 $ 12,986 $ 12,857 28-Feb-93 $ 13,062 $ 13,016 $ 12,885 31-Mar-93 $ 13,093 $ 13,048 $ 12,912 30-Apr-93 $ 13,122 $ 13,080 $ 12,939 31-May-93 $ 13,148 $ 13,113 $ 12,967 30-Jun-93 $ 13,178 $ 13,147 $ 12,994 31-Jul-93 $ 13,208 $ 13,181 $ 13,021 31-Aug-93 $ 13,235 $ 13,215 $ 13,049 30-Sep-93 $ 13,263 $ 13,248 $ 13,076 31-Oct-93 $ 13,291 $ 13,282 $ 13,104 30-Nov-93 $ 13,320 $ 13,315 $ 13,132 31-Dec-93 $ 13,351 $ 13,351 $ 13,161 31-Jan-94 $ 13,379 $ 13,385 $ 13,189 28-Feb-94 $ 13,406 $ 13,418 $ 13,218 31-Mar-94 $ 13,437 $ 13,455 $ 13,248 30-Apr-94 $ 13,470 $ 13,496 $ 13,281 31-May-94 $ 13,512 $ 13,540 $ 13,317 30-Jun-94 $ 13,556 $ 13,586 $ 13,356 31-Jul-94 $ 13,603 $ 13,636 $ 13,397 31-Aug-94 $ 13,651 $ 13,687 $ 13,439 30-Sep-94 $ 13,701 $ 13,737 $ 13,485 31-Oct-94 $ 13,755 $ 13,794 $ 13,532 30-Nov-94 $ 13,812 $ 13,852 $ 13,582 31-Dec-94 $ 13,880 $ 13,915 $ 13,636 31-Jan-95 $ 13,943 $ 13,979 $ 13,694 28-Feb-95 $ 14,006 $ 14,041 $ 13,754 31-Mar-95 $ 14,081 $ 14,110 $ 13,816 30-Apr-95 $ 14,145 $ 14,177 $ 13,877 31-May-95 $ 14,216 $ 14,247 $ 13,939 30-Jun-95 $ 14,289 $ 14,314 $ 14,000 31-Jul-95 $ 14,355 $ 14,384 $ 14,060 31-Aug-95 $ 14,423 $ 14,452 $ 14,120 30-Sep-95 $ 14,492 $ 14,517 $ 14,180 31-Oct-95 $ 14,558 $ 14,583 $ 14,239 30-Nov-95 $ 14,624 $ 14,652 $ 14,299 31-Dec-95 $ 14,695 $ 14,732 $ 14,359 31-Jan-96 $ 14,760 $ 14,800 $ 14,418 29-Feb-96 $ 14,821 $ 14,859 $ 14,474 31-Mar-96 $ 14,885 $ 14,913 $ 14,529 30-Apr-96 $ 14,947 $ 14,977 $ 14,584 31-May-96 $ 15,015 $ 15,043 $ 14,640 30-Jun-96 $ 15,073 $ 15,105 $ 14,695 31-Jul-96 $ 15,139 $ 15,173 $ 14,752 31-Aug-96 $ 15,209 $ 15,242 $ 14,809 30-Sep-96 $ 15,269 $ 15,313 $ 14,867 31-Oct-96 $ 15,336 $ 15,379 $ 14,929 30-Nov-96 $ 15,403 $ 15,444 $ 14,987 31-Dec-96 $ 15,470 $ 15,513 $ 15,045 31-Jan-97 $ 15,540 $ 15,584 $ 15,104 28-Feb-97 $ 15,602 $ 15,644 $ 15,162 31-Mar-97 $ 15,666 $ 15,710 $ 15,221 30-Apr-97 $ 15,734 $ 15,785 $ 15,286 31-May-97 $ 15,808 $ 15,866 $ 15,347 30-Jun-97 $ 15,875 $ 15,925 $ 15,409 31-Jul-97 $ 15,948 $ 15,996 $ 15,471 31-Aug-97 $ 16,022 $ 16,064 $ 15,533 30-Sep-97 $ 16,089 $ 16,138 $ 15,595 31-Oct-97 $ 16,162 $ 16,207 $ 15,658 30-Nov-97 $ 16,233 $ 16,270 $ 15,721 31-Dec-97 $ 16,311 $ 16,340 $ 15,786 31-Jan-98 $ 16,386 $ 16,416 $ 15,850 28-Feb-98 $ 16,453 $ 16,474 $ 15,919 31-Mar-98 $ 16,525 $ 16,552 $ 15,983 30-Apr-98 $ 16,596 $ 16,627 $ 16,047 31-May-98 $ 16,670 $ 16,696 $ 16,111 30-Jun-98 $ 16,743 $ 16,766 $ 16,176 31-Jul-98 $ 16,823 $ 16,840 $ 16,240 31-Aug-98 $ 16,894 $ 16,917 $ 16,305 30-Sep-98 $ 16,968 $ 17,003 $ 16,371 31-Oct-98 $ 17,043 $ 17,070 $ 16,434 30-Nov-98 $ 17,114 $ 17,127 $ 16,500 31-Dec-98 $ 17,193 $ 17,195 $ 16,561 31-Jan-99 $ 17,258 $ 17,256 $ 16,621 28-Feb-99 $ 17,321 $ 17,305 $ 16,679 31-Mar-99 $ 17,388 $ 17,376 $ 16,736 30-Apr-99 $ 17,453 $ 17,439 $ 16,794 31-May-99 $ 17,520 $ 17,507 $ 16,852 30-Jun-99 $ 17,586 $ 17,580 $ 16,910 31-Jul-99 $ 17,658 $ 17,652 $ 16,970 31-Aug-99 $ 17,727 $ 17,723 $ 17,032 30-Sep-99 $ 17,799 $ 17,806 $ 17,096 31-Oct-99 $ 17,877 $ 17,876 $ 17,162 30-Nov-99 $ 17,954 $ 17,948 $ 17,231 31-Dec-99 $ 18,043 $ 18,028 $ 17,302 31-Jan-00 $ 18,122 $ 18,106 $ 17,374 29-Feb-00 $ 18,203 $ 18,185 $ 17,447 31-Mar-00 $ 18,295 $ 18,280 $ 17,521 30-Apr-00 $ 18,374 $ 18,365 $ 17,598 31-May-00 $ 18,465 $ 18,477 $ 17,677 30-Jun-00 $ 18,564 $ 18,557 $ 17,760 31-Jul-00 $ 18,655 $ 18,641 $ 17,845 31-Aug-00 $ 18,754 $ 18,738 $ 17,931 30-Sep-00 $ 18,853 $ 18,836 $ 18,017 31-Oct-00 $ 18,948 $ 18,934 $ 18,103 30-Nov-00 $ 19,045 $ 19,038 $ 18,189 31-Dec-00 $ 19,149 $ 19,143 $ 18,276 31-Jan-01 $ 19,243 $ 19,269 $ 18,360 28-Feb-01 $ 19,325 $ 19,342 $ 18,437 31-Mar-01 $ 19,413 $ 19,431 $ 18,508 30-Apr-01 $ 19,486 $ 19,516 $ 18,574 31-May-01 $ 19,557 $ 19,592 $ 18,634 30-Jun-01 $ 19,623 $ 19,649 $ 18,688 31-Jul-01 $ 19,681 $ 19,714 $ 18,738 31-Aug-01 $ 19,744 $ 19,778 $ 18,785 30-Sep-01 $ 19,790 $ 19,862 $ 18,828 31-Oct-01 $ 19,833 $ 19,914 $ 18,863 30-Nov-01 $ 19,873 $ 19,958 $ 18,891 31-Dec-01 $ 19,907 $ 19,989 $ 18,916 31-Jan-02 $ 19,940 $ 20,018 $ 18,937 28-Feb-02 $ 19,969 $ 20,045 $ 18,956 31-Mar-02 $ 20,000 $ 20,075 $ 18,977 30-Apr-02 $ 20,030 $ 20,106 $ 18,998
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 Year 5 Years 10 Years Since Inception (11/18/88) 2.79% 4.95% 4.63% 5.30%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, November 18, 1988. Performance data illustrated is historical. Past performance is not predictive of future performance. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the U.S. 90-Day T-Bills. An investment in Fremont Money Market Fund is neither insured nor guaranteed by the FDIC or any other government agency. Although the Fund seeks to preserve the net asset value at $1.00 per share, it is possible to lose money by investing in the Fund. The performance table and graph do not reflect the deduction of taxes that a share- holder would pay on fund distributions or the redemption of fund shares. 23 FREMONT GLOBAL FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- COMMON STOCKS 65.2% BUSINESS EQUIPMENT & SERVICES 4.4% 215,600 Amcor Ltd. AU $ 859 9,300 Pfeiffer Vacuum Technology AG DE 335 13,800 Vaisala Oyj FI 367 34,234 Alcatel FR 428 13,700 Bouygues SA FR 413 5,693 Cie de St. Gobain FR 974 115,600 Lectra Systems FR 582 16,600 Neopost SA FR 628 8,600 Vivendi Universal SA FR 274 209,400 ASM Pacific Technology Ltd. HK 556 1,111,600 Hung Hing Printing Group Ltd. HK 613 161,400 Interpump Group IT 658 395,250 Intesa SBCI IT 1,278 6,000 USHIO, Inc. JP 80 13,200 Boskalis Westminster NL 410 14,650 Draka Holdings NV NL 524 5,500 BOC Group PLC UK 83 127,300 Brambles Industries PLC UK 630 12,000 Compass Group PLC UK 75 4,400 Hays PLC UK 11 13,800 Alliance Gaming Corp. US 205 7,100 Automatic Data Processing, Inc. US 361 3,400 Avaya, Inc.* US 21 600 Ball Corp. US 29 600 Bemis Co. US 32 12,500 BHA Group Holdings, Inc. (Class A) US 233 8,600 Bright Horizons Family Solutions, Inc.* US 258 8,400 Ceridian Corp.* US 187 2,100 Cintas Corp. US 109 6,900 Clear Channel Communications, Inc.* US 324 2,100 Computer Sciences Corp.* US 94 9,900 Convergys Corp.* US 274 7,000 Coors Tek, Inc.* US 275 5,600 Corporate Executive Board Co.* US 213 15,000 CoStar Group, Inc.* US 357 73,100 Crown Cork & Seal Co., Inc.* US 823 1,800 Dana Corp. US 36 6,200 Danaher Corp. US 444 17,000 Dendrite International, Inc.* US 225 1,500 Donnelley (R.R.) & Sons Co. US 48 900 Dow Jones & Co., Inc. US 49 1,400 Ecolab, Inc. US 61 72,300 Electronic Data Systems Corp. US 3,923 1,700 Equifax, Inc. US 46 23,350 Fiserv, Inc.* US 1,038 1,100 Fluor Corp. US 45 1,100 Grainger (W.W.), Inc. US 62 7,900 Infocrossing, Inc.* US 45 9,100 International Game Technology* US 573 14,400 Interpublic Group of Companies, Inc. US 445 56,500 Kroll, Inc. US 1,048 10,000 Lamar Advertising Co. (Class A) US $ 429 700 McDermott International, Inc. US 11 4,800 Mettler-Toledo International* US 185 5,800 NCR Corp. US 225 36,700 Nortel Networks Corp. US 125 3,600 Omnicom Group, Inc. US 314 38,600 Owens-Illinois, Inc.* US 618 1,900 Pactiv Corp.* US 39 1,500 Pall Corp. US 31 4,500 Paychex, Inc. US 168 1,200 PerkinElmer, Inc. US 15 20,900 Perma-Fix Environmental Services, Inc.* US 67 2,800 Pitney Bowes, Inc. US 118 2,200 Robert Half International, Inc.* US 58 2,200 Rockwell International Corp. US 47 1,500 Sapient Corp.* US 7 88,400 SBA Communications, Corp.* US 255 6,600 Schlumberger Ltd. US 361 1,000 Sealed Air Corp.* US 45 700 Snap-on, Inc. US 22 1,400 SPX Corp.* US 189 3,900 Tech Data Corp.* US 185 1,200 Tektronix, Inc. US 26 36,600 Tele Tech Holdings, Inc.* US 448 11,400 Tier Technologies, Inc. US 172 1,300 TMP Worldwide, Inc.* US 39 1,500 TRW, Inc. US 83 3,800 Unisys Corp.* US 51 1,600 Visteon Corp. US 25 7,600 Waters Corp.* US 205 19,400 Yahoo!, Inc.* US 286 -------- 26,510 -------- CAPITAL GOODS 2.7% 14,800 Bombardier, Inc. - Class B CA 127 2,100 Schneider Electric SA FR 101 90,000 Johnson Electric Holdings HK 137 14,490 CRH PLC IE 249 35,000 Mitsubishi Heavy Industries Ltd. JP 111 18,700 Murata Manufacturing Co. Ltd. JP 1,184 27,100 AGCO Corp.* US 616 1,100 B.F. Goodrich Co. (The) US 35 18,900 Boeing Co. US 843 4,100 Caterpillar, Inc. US 224 1,100 Cooper Industries, Inc. US 48 900 Cooper Tire & Rubber US 22 500 Cummins Engine Co. US 21 2,700 Deere & Co. US 121 6,800 Delphi Automotive Systems Corp. US 106 2,500 Dover Corp. US 93 4,900 Emerson Electric Co. US 262 2,300 General Dynamics Corp. US 223 254,350 General Electric Co. US 8,025 1,900 Goodyear Tire & Rubber Co. (The) US 42 24,400 Honeywell International, Inc. US 895 3,500 Illinois Tool Works, Inc. US 252
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 24
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 2,000 Ingersoll-Rand Co. US $ 100 4,700 ITT Industries, Inc. US 328 7,300 Johnson Controls, Inc. US 630 5,200 Lockheed Martin Corp. US 327 1,300 Northrop Grumman Corp. US 157 7,000 Oshkosh Truck Corp. US 398 4,600 Raytheon Company US 195 5,000 Rockwell Collins US 119 9,500 Shaw Group, Inc. (The)* US 290 900 Worthington Industries, Inc. US 13 -------- 16,294 -------- CONSUMER DURABLES 1.5% 1,600 Magna International, Inc. CA 119 4,700 Bayerische Motoren Werke (BMW) AG DE 186 9,800 DaimlerChrysler AG DE 454 2,800 Epcos AG DE 114 3,700 Renault SA FR 171 261,300 Ducati Motor Holding SPA IT 466 59,000 Matsushita Electric Industrial Co. Ltd. JP 790 50,000 Mitsubishi Motors Corp. JP 148 3,500 Nintendo Co. Ltd. JP 490 63,000 Nissan Motor Co. Ltd. JP 485 2,200 Rohm Co. Ltd. JP 328 7,100 Sony Corp. JP 381 15,000 Suzuki Motor Corp. JP 180 96,800 GKN PLC UK 453 31,000 TI Automotive Ltd. UK 0 7,000 American Axle & Manufacturing Holdings, Inc. US 231 10,500 Applica, Inc. US 108 5,800 ArvinMeritor, Inc. US 184 700 Centex Corp. US 39 4,800 Direct Focus, Inc. US 215 62,700 Ford Motor Co. US 1,003 24,200 General Motors Corp. US 1,552 10,400 Harley-Davidson, Inc. US 551 500 KB Home US 25 2,400 Leggett & Platt, Inc. US 63 900 Maytag Corp. US 42 700 Navistar International Corp. US 28 900 PACCAR, Inc. US 64 700 Pulte Corp. US 37 800 Whirlpool Corp. US 60 -------- 8,967 -------- CONSUMER NON-DURABLES 5.0% 492,543 Foster's Group Ltd. AU 1,252 40,300 Danier Leather, Inc. CA 467 1,765 Nestle SA CH 417 25,900 Zapf Creation AG DE 582 5,000 Altadis SA FR 106 700 Groupe Danone FR 93 86,000 Li & Fung Ltd. HK 138 56,000 Toray Industries, Inc. JP 162 14,575 Heineken NV NL 656 18,100 Hunter Douglas NV NL 603 2,500 Vereenigde NV NL $ 75 13,300 Assa Abloy AB SE 172 994,200 McBride PLC UK 796 19,400 Pearson PLC UK 233 6,600 Unilever NV - ADR UK 427 40,500 Unilever PLC UK 370 55,153 Vitec Group (The) PLC UK 419 9,200 Action Performance Companies, Inc.* US 433 700 Alberto-Culver Co. (Class B) US 38 800 American Greetings Corp. US 14 10,200 Anheuser-Busch Companies, Inc. US 541 8,085 Archer-Daniels-Midland Co. US 107 1,300 Avery Dennison Corp. US 83 2,700 Avon Products, Inc. US 151 1,000 Black & Decker Corp. US 49 700 Brown Forman Corp. (Class B) US 55 1,200 Brunswick Corp. US 34 4,600 Campbell Soup Company US 127 6,700 Carnival Corp. (Class A) US 223 4,600 Coach, Inc.* US 258 65,500 Coca-Cola Co. US 3,636 5,000 Coca-Cola Enterprises, Inc. US 98 6,500 Colgate Palmolive Co. US 345 14,400 Columbia Sportswear Co.* US 544 31,400 ConAgra, Inc. US 769 400 Coors (Adolph) Co. US 27 3,300 Eastman Kodak Co. US 106 46,500 Estee Lauder Cos., Inc. US 1,681 1,600 Fortune Brands, Inc. US 84 8,500 Gaiam, Inc. (Class A) US 135 14,000 Galaxy Nutritional Foods, Inc. US 68 4,200 General Mills, Inc. US 185 14,700 Georgia-Pacific Corp. US 426 12,100 Gillette Company (The) US 429 6,800 Hain Celestial Group, Inc.* US 125 2,100 Hasbro, Inc. US 34 4,000 Heinz (H.J.) & Co. US 168 1,500 Hershey Foods Corp. US 102 1,200 International Flavors & Fragrances, Inc. US 39 33,200 JAKKS Pacific, Inc. US 640 1,100 Jones Apparel Group, Inc.* US 43 4,600 Kellogg Co. US 165 6,100 Kimberly Clark Corp. US 397 1,200 Liz Claiborne, Inc. US 38 5,200 Mattel, Inc. US 107 14,800 McDonald's Corp. US 420 41,800 Midway Games, Inc. US 571 19,600 Monterey Pasta Co. US 181 3,200 Newell Rubbermaid, Inc. US 100 3,100 NIKE, Inc. (Class B) US 165 10,800 Pennzoil-Quaker State Co. US 233 9,700 Pepsi Bottling Group, Inc. US 278 31,210 PepsiCo, Inc. US 1,620 28,200 Philip Morris Cos., Inc. US 1,535 38,600 Procter & Gamble Co. US 3,484 700 Reebok International Ltd.* US 19 8,900 Sara Lee Corp. US 189 2,000 Sherwin-Williams Co. US 61
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 25
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 18,000 Smithfield Foods, Inc. US $ 380 5,600 Standard Commercial Corp. US 116 1,000 Stanley Works (The) US 46 7,600 Sysco Corp. US 220 21,900 Take-Two Interactive Software, Inc.* US 550 2,600 The Clorox Co. US 115 700 Tupperware Corp. US 16 2,000 UST, Inc. US 80 1,400 VF Corp. US 61 2,600 Wrigley (WM.) JR. Co. US 143 -------- 30,055 -------- CONSUMER SERVICES 2.6% 2,600 News Corp. Ltd. AU 17 3,800 News Corp. Ltd., ADR AU 100 8,000 Thomson Corp. CA 272 1,200 Preussag AG DE 33 3,500 Accor SA FR 141 15 Fuji Television Network, Inc. JP 86 29,600 SBS Broadcasting SA* LU 580 10,500 Societe Europeenne des Satellites LU 106 240,599 Corporacion Interamericana de Entretenimiento de DV (Series B) MX 655 62,143 Reed Elsevier NV NL 862 14,500 Reuters Group PLC UK 101 104,896 Six Continents PLC UK 1,160 26,700 Taylor & Francis Group PLC UK 240 18,400 4Kids Entertainment, Inc.* US 316 15,000 Adelphia Communications Corp. (Class A)* US 90 106,900 AOL Time Warner, Inc.* US 2,033 6,750 Apollo Group, Inc. (Class A)* US 259 53,900 Cash America International, Inc. US 537 42,300 Cendant Corp.* US 761 25,800 Championship Auto Racing Teams, Inc.* US 355 1,400 Harrah's Entertainment, Inc. US 69 4,500 Hilton Hotels Corp. US 74 23,600 Isle of Capri Casinos, Inc.* US 495 34,700 LoJack Corp.* US 191 2,700 Marriott International, Inc. (Class A) US 119 9,100 Sabre Holdings Corp.* US 423 9,300 Shuffle Master, Inc.* US 213 23,000 Sirius Satellite Radio, Inc. US 103 2,400 Starwood Hotels & Resorts Worldwide, Inc. US 91 13,300 Tribune Co. US 587 2,500 Univision Communications, Inc.* US 100 35,900 Viacom, Inc. (Class B)* US 1,691 130,100 Walt Disney Co. (The) US 3,016 -------- 15,876 -------- ENERGY 3.4% 1,300 Suncor Energy, Inc. CA 45 22,995 RWE AG DE 870 19,000 ENI-Ente Nazionale Idrocarburi SPA IT $ 292 28,571 Royal Dutch Petroleum Co. NL 1,513 24,800 Royal Dutch Petroleum Co., ADR NL 1,296 30,100 Statoil ASA NO 256 1,800 Lukoil-Holding, ADR RU 130 250,230 BG Group PLC UK 1,117 28,500 Centrica PLC UK 88 1,500 Allegheny Energy, Inc. US 63 1,100 Amerada Hess Corp. US 85 8,600 Anadarko Petroleum Corp. US 463 4,050 Apache Corp. US 236 3,800 Baker Hughes, Inc. US 143 9,700 BJ Services Co.* US 356 2,200 Burlington Resources, Inc. US 98 12,313 ChevronTexaco Corp. US 1,068 7,100 Conoco Inc. US 199 5,200 CONSOL Energy, Inc. US 120 13,700 Devon Energy Corp. US 676 25,100 Dynegy, Inc. (Class A) US 452 12,000 El Paso Corp. US 480 2,500 Entergy Corp. US 116 1,400 EOG Resources, Inc. US 60 184,880 Exxon Mobil Corp. US 7,427 5,300 Halliburton Co. US 90 18,500 Horizon Offshore, Inc. US 183 1,200 Kerr-McGee Corp. US 72 1,400 Kinder Morgan, Inc. US 68 3,800 Marathon Oil Corp. US 110 1,800 Nabors Industries, Inc.* US 82 5,800 Noble Drilling Corp.* US 251 4,500 Occidental Petroleum Corp. US 129 400 Peoples Energy Corp. US 16 4,400 Phillips Petroleum Co. US 263 3,300 Reliant Energy, Inc. US 84 1,100 Rowan Companies, Inc.* US 28 2,500 Sempra Energy US 64 1,000 Sunoco, Inc. US 34 1,700 Teco Energy, Inc. US 47 5,800 The Williams Companies, Inc. US 111 3,550 Transocean Sedco Forex, Inc. US 126 3,000 Unocal Corp. US 112 17,600 Valero Energy Corp. US 760 6,400 Weatherford International, Inc.* US 319 -------- 20,598 -------- FINANCIAL SERVICES (BANKS) 5.2% 15,500 Australia and New Zealand Banking Group Ltd. AU 158 70,100 National Australia Bank Ltd. AU 1,309 13,000,000 UFJ International Finance (Bermuda) BM 55 3,761 Credit Suisse Group (Registered Shares) CH 134 2,975 UBS AG CH 143 28,000 Banco Bilbao Vizcaya Argentaria SA ES 326 95,692 BCO Sant Cent Hisp. ES 886
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 26
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 11,800 Hang Seng Bank Ltd. HK $ 135 28,600 Allied Irish Banks PLC IE 378 31 UFJ Holdings, Inc. JP 77 8,417 ABN Amro Holdings NV NL 167 19,450 ForeningsSparbanken AB SE 243 13,000 DBS Group Holdings Ltd. SG 100 70,000 Oversea-Chinese Banking Corp. Ltd. (Local Shares) SG 502 19,000 United Overseas Bank Ltd. SG 151 97,624 HBOS PLC UK 1,183 113,795 Lloyds TSB Group PLC UK 1,308 26,400 Royal Bank of Scotland Group PLC UK 757 2,900 Standard Chartered PLC UK 36 4,100 Amsouth Bancorporation US 93 6,700 Anchor BanCorp Wisconsin, Inc. US 147 36,800 Bank of America Corp. US 2,667 8,500 Bank of New York Co., Inc. US 311 22,400 Bank One Corp. US 915 25,500 Bay View Capital Corp. US 178 5,400 BB&T Corp. US 206 13,500 Capital One Financial Corp. US 809 2,625 Charter One Financial, Inc. US 93 80,853 Citigroup, Inc. US 3,501 2,000 Comerica, Inc. US 126 6,658 Fifth Third Bancorp. US 457 13,100 FleetBoston Financial Corp. US 462 3,100 Huntington Bancshares, Inc. US 63 22,800 JP Morgan Chase & Co. US 800 4,800 KeyCorp US 135 1,200 Marshall & Ilsley Corp. US 76 28,800 MBNA Corp. US 1,021 37,200 Mellon Bank Corp. US 1,405 7,200 National City Corp. US 225 2,500 Northern Trust Corp. US 133 3,400 PNC Bank Corp. US 188 2,800 Regions Financial Corp. US 98 4,200 SouthTrust Corp. US 112 3,700 State Street Corp. US 189 3,300 Suntrust Banks, Inc US 224 10,500 Synovus Financial Corp. US 284 11,800 TCF Financial Corp. US 614 10,460 Turkiye Is Bankasi US 59 1,500 Union Planters Corp. US 75 22,500 US Bancorp US 533 15,700 Wachovia Corp. US 597 66,350 Washington Mutual, Inc. US 2,503 78,400 Wells Fargo & Co. US 4,010 1,100 Zions Bancorporation US 59 -------- 31,416 -------- FINANCIAL SERVICES (OTHER) 5.6% 12,000,000 Sanwa International Finance BM 39 6,756 Swiss Re CH 681 25,000 Bayerische Hypo-und Vereinsbank AG DE 877 18,395 Societe Generale FR 1,259 37,000 Cheung Kong Holdings Ltd. HK 352 271,000 Wharf Holdings Ltd. HK 726 16,100 Irish Life & Permanent PLC IE $ 219 9,500 Assicurazioni Generali SPA IT 229 3,200 Acom Co Ltd. JP 244 1,750 Aiful Corp. JP 121 22,000 Daiwa Securities Group, Inc. JP 151 37 Millea Holdings, Inc. JP 290 27,000 Mitsubishi Estate Co. Ltd. JP 195 32,000 Mitsui Fudosan Co. Ltd. JP 251 57,000 Mitsui Sumitomo Insurance Co. Ltd. JP 280 24,000 Nikko Cordial Corp. JP 108 19,000 Nomura Holdings, Inc. JP 265 2,700 Promise Co. Ltd. JP 142 27,395 Aegon NV NL 629 1,132 Aegon NV, ADR NL 26 31,186 ING Groep NV, ADR NL 821 23,500 Prudential Corp. PLC UK 250 12,600 ACE Ltd. US 548 6,200 Aflac, Inc. US 185 8,200 Allstate Corp. US 326 1,300 AMBAC Financial Group, Inc. US 82 15,400 American Express Co. US 632 4,600 American Financial Group, Inc US 137 43,872 American International Group, Inc. US 3,032 3,300 Aon Corp. US 118 1,100 Bear Stearns Companies, Inc. (The) US 68 1,900 Chubb Corp. (The) US 146 1,700 Cigna Corp. US 185 2,000 Cincinnati Financial Corp. US 94 35,300 CNA Financial Corp.* US 1,061 19,900 Concord EFS, Inc.* US 629 4,000 Conseco, Inc. US 15 1,400 Countrywide Credit Industries, Inc. US 65 900 Deluxe Corp. US 39 21,300 FHLMC US 1,392 10,300 Fidelity National Financial, Inc. US 318 46,800 FNMA US 3,694 3,100 Franklin Resources, Inc. US 130 1,800 Golden West Financial Corp. US 123 15,500 GreenPoint Financial Corp. US 766 26,600 H&R Block, Inc. US 1,067 2,800 Hartford Financial Services Group, Inc. US 194 12,300 Household International, Inc. US 717 1,650 Jefferson-Pilot Corp. US 83 3,400 John Hancock Financial Services US 131 6,500 Legg Mason, Inc. US 327 6,400 Lehman Brothers Holdings, Inc. US 378 2,100 Lincoln National Corp. US 101 19,900 Loews Corp. US 1,193 25,100 Marsh & McLennan Cos., Inc. US 2,537 1,800 MBIA, Inc. US 97 15,500 Merrill Lynch & Co. US 650 8,300 Metlife, Inc. US 283 1,300 MGIC Investment Corp. US 93 1,700 Moody's Corp. US 74
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 27
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 20,500 Morgan Stanley Dean Witter & Co. US $ 978 25,100 New Century Financial Corp. US 600 2,700 Progressive Corp. US 155 3,500 Providian Financial Corp. US 25 1,600 Safeco Corp. US 53 15,600 Schwab (Charles) Corp. US 178 2,300 St. Paul Companies, Inc. (the) US 115 2,700 Stilwell Financial, Inc. US 58 1,500 T Rowe Price Group, Inc. US 53 1,500 Torchmark Corp. US 61 2,900 UnumProvident Corp. US 82 7,800 USA Education, Inc. US 748 1,600 Xl Capital Ltd. US 151 389,748 Sanlam Ltd. ZA 326 -------- 33,448 -------- HEALTH CARE 9.6% 12,783 Novartis AG CH 536 3,020 Roche Holding AG CH 229 300 Novo-Nordisk AS DK 9 2,300 Essilor Intl FR 94 10,600 Sanofi-Synthelabo SA FR 678 18,000 Elan Corp. PLC, ADR* IE 214 11,400 Taro Pharmaceuticals Industries IL 250 9,000 Chugai Pharmaceutical Co. Ltd. JP 107 33,000 Eisai Co. Ltd. JP 848 17,000 Shionogi & Co. Ltd. JP 249 2,000 Takeda Chemical Industries, Inc. JP 88 33,800 Elekta AB SE 296 28,900 Getinge Industrier AB SE 538 19,400 AstraZeneca Group PLC (Swedish Exchange) UK 909 9,500 AstraZeneca PLC UK 445 54,923 GlaxoSmithKline PLC UK 1,328 7,300 Shire Pharmaceuticals Group PLC UK 54 25,000 Abbott Laboratories US 1,349 1,700 Aetna, Inc. US 81 3,200 Alcon, Inc.* US 111 5,100 Allergan, Inc.* US 336 8,400 American Healthcorp, Inc. US 226 5,400 AmerisourceBergen Corp. US 418 64,450 Amgen, Inc.* US 3,408 2,600 Applied Biosystems Group US 45 9,700 Apria Healthcare Group, Inc.* US 252 40,400 ArthroCare Corp.* US 647 700 Bausch & Lomb, Inc. US 25 6,800 Baxter International, Inc. US 387 3,100 Becton Dickinson & Co. US 115 14,800 Biogen, Inc.* US 643 21,800 Biomet, Inc. US 615 13,900 Biosite, Inc. US 434 4,900 Boston Scientific Corp.* US 122 97,000 Bristol-Myers Squibb Co. US 2,794 600 C R Bard, Inc. US 33 11,700 Cardinal Health, Inc. US 810 39,500 Caremark Rx, Inc. US 849 32,500 Chiron Corp.* US 1,315 7,500 Conmed Corp.* US $ 202 11,500 DaVita, Inc. US 298 52,900 eBenX, Inc.* US 201 26,200 Eclipsys Corp.* US 419 60,500 Endocare, Inc.* US 1,161 21,900 Exact Sciences Corp. US 259 2,800 Express Scripts, Inc. (Class A)* US 177 41,100 First Consulting Group, Inc. US 370 4,100 Forest Laboratories, Inc. (Class A)* US 316 80,800 Gene Logic, Inc.* US 1,255 19,850 Genentech, Inc.* US 705 13,700 Genzyme Corp.* US 561 13,200 Gilead Sciences, Inc.* US 411 21,200 Guidant Corp. US 797 73,800 Harvard Bioscience, Inc. US 575 5,900 HCA - The Healthcare Co. US 282 13,400 Health Management Associates, Inc. (Class A)* US 286 4,700 Healthsouth Corp.* US 71 2,100 Humana, Inc. US 34 13,300 ICON PLC* US 404 8,200 IDEC Pharmaceuticals Corp.* US 451 6,200 Immunex Corp.* US 168 3,600 IMS Health, Inc. US 74 6,000 Inamed Corp.* US 221 900 Intuitive Surgical, Inc.* US 9 7,250 IVAX Corp.* US 86 49,542 Johnson & Johnson US 3,164 9,466 King Pharmaceuticals, Inc.* US 297 1,800 Laboratory Corp. of America Holdings* US 179 7,900 Ligand Pharmaceuticals, Inc.* US 123 13,000 Lilly (Eli) & Co. US 859 58,800 Lumenis Ltd. US 502 1,200 Manor Care, Inc.* US 31 7,500 Mckesson HBOC, Inc. US 303 5,600 Mediimmune, Inc.* US 187 22,500 Medtronic, Inc. US 1,006 78,770 Merck & Co. US 4,280 11,200 Millennium Pharmaceuticals, Inc.* US 224 53,950 NeoPharm, Inc.* US 809 7,000 Oxford Health Plans, Inc.* US 323 129,850 Pfizer, Inc. US 4,720 25,100 Pharmacia Corp. US 1,035 4,400 Quest Diagnostics, Inc.* US 404 15,000 Quidel Corp. US 101 1,400 Quintiles Transnational Corp.* US 20 16,900 Schering-Plough Corp. US 461 8,000 Sepracor, Inc.* US 101 5,400 St. Jude Medical, Inc.* US 449 7,400 Stryker Corp. US 396 17,100 Tenet Healthcare Corp.* US 1,255 3,600 UnitedHealth Group, Inc. US 316 1,300 Watson Pharmaceuticals, Inc.* US 32 8,600 Wellpoint Health Networks, Inc.* US 646
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 28
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- HEALTH CARE (CONT.) 50,610 Wyeth US $ 2,885 25,240 Zimmer Holdings, Inc. US 876 -------- 57,664 -------- MULTI-INDUSTRY 0.5% 3,100 Siemens AG DE 188 32,700 Hutchison Whampoa Ltd. HK 286 37,000 Swire Pacific Ltd. HK 222 69,600 Jardine Matheson Holdings Ltd. SG 418 185,000 Singapore Technologies Engineering Ltd. SG 214 20,460 Smiths Group PLC UK 242 700 Crane Co. US 19 800 Eaton Corp. US 68 6,000 Minnesota Mining & Manufacturing Co. US 755 1,400 Parker-Hannifin Corp. US 70 1,600 Textron, Inc. US 79 23,010 Tyco International Ltd. US 425 -------- 2,986 -------- RAW MATERIALS 2.0% 36,627 BHP Biliton Ltd., Sponsored ADR AU 423 100,223 CSR Ltd. AU 329 13,800 WMC Ltd. AU 68 1,000 Companhiavale do Rio Doce BR 27 1,430 Holcim Ltd. CH 331 27,274 Bayer AG DE 893 6,200 ThyssenKrupp AG DE 94 9,000 Outokumpu Oyj FI 103 17,100 UPM-Kymmene Oyj FI 597 1,500 L'Air Liquide SA FR 232 6,199 Total Fina Elf SA FR 939 2,407 Total Fina Elf SA FR 363 2,600 Hoya Corp. JP 193 4,100 Shin-Etsu Chemical Co. Ltd. JP 169 32,000 Sumitomo Forestry Co. Ltd. JP 167 24,615 POSCO KR 602 41,300 Prosafe ASA NO 681 277,900 Carter Holt Harvey Ltd. NZ 224 23,500 Hoganas AG SE 484 34,200 Rio Tinto UK 635 128,400 Victrex PLC UK 588 2,600 Air Products & Chemicals, Inc. US 125 3,900 Alcan Aluminium Ltd. US 143 9,800 Alcoa, Inc. US 333 1,000 Allegheny Technologies, Inc. US 17 900 Ashland Inc. US 37 6,496 Barrick Gold Corp. US 130 700 Boise Cascade Corp. US 24 10,400 Dow Chemical Co. US 331 11,800 E. I. du Pont de Nemours and Co. US 525 900 Eastman Chemical Co. US 40 1,600 Engelhard Corp. US 49 1,800 Freeport-McMoRan Copper & Gold, Inc. US 32 600 Great Lakes Chemical Corp. US 15 1,300 Hercules, Inc. US 16 2,200 Inco Ltd. US $ 44 5,500 International Paper Co. US 228 1,300 Louisiana Pacific Corp.* US 15 12,400 Masco Corp. US 348 2,364 MeadWestvaco Corp. US 69 4,600 Newmont Mining Corp. US 131 13,150 Northern Technologies International Corp. US 55 900 Nucor Corp. US 53 5,200 Peabody Energy Corp. US 141 1,000 Phelps Dodge Corp. US 36 4,000 Placer Dome, Inc. US 47 2,000 Plum Creek Timber Co., Inc. US 61 1,900 PPG Industries, Inc. US 99 1,800 Praxair, Inc. US 103 2,700 Rohm and Haas Co. US 100 900 Sigma-Aldrich Corp. US 43 500 Temple-Inland, Inc. US 26 1,100 United States Steel Corp. US 20 1,200 Vulcan Materials Co. US 55 2,500 Weyerhaeuser Co. US 149 40,858 Sasol Ltd. ZA 434 -------- 12,216 -------- REAL ESTATE INVESTMENT TRUSTS 0.3% 51,700 Annaly Mortgage Management, Inc. US 941 27,200 Anthracite Capital, Inc. US 312 8,300 Chateau Communities, Inc. US 254 5,000 Equity Office Properties Trust US 143 3,300 Equity Residential Properties Trust US 93 -------- 1,743 -------- RETAIL 5.1% 17,900 Woolworths Ltd. AU 126 15,626 Compagnie Financiere Richemont AG CH 354 4,900 Metro AG DE 157 77,000 Cortefiel SA ES 456 10,300 Industria de Diseno Textil, SA ES 212 10,000 Aeon Co Ltd. JP 258 7,200 Hagemeyer NV NL 142 117,794 Boots Co. UK 1,219 124,822 GUS PLC UK 1,135 33,190 Marks & Spencer Group PLC UK 192 3,000 A.C. Moore Arts & Crafts, Inc.* US 138 11,300 AFC Enterprises, Inc. US 380 4,600 Albertson's, Inc. US 154 14,500 Amazon.Com, Inc.* US 242 17,000 Autozone, Inc.* US 1,292 10,500 Barnes & Noble, Inc.* US 317 14,500 Bed Bath & Beyond, Inc.* US 539 21,900 Benihana, Inc. (Class A)* US 426 19,400 Best Buy Co., Inc.* US 1,442 1,400 Big Lots, Inc. US 22 11,100 BOB Evans Farms US 337 18,200 Buca, Inc.* US 309 2,500 Circuit City Stores, Inc. US 54
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 29
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 5,200 Costco Wholesale Corp.* US $ 209 4,400 CVS Corp. US 147 1,300 Darden Restaurants, Inc. US 52 32,500 dELiA*s Corp. (Class A) US 214 1,100 Dillard's, Inc. US 27 4,000 Dollar General Corp. US 63 10,500 Electronics Boutique Holdings Corp.* US 299 2,100 Family Dollar Stores, Inc. US 73 2,200 Federated Department Stores* US 87 6,300 Finish Line, Inc. (Class A)* US 128 9,800 Gap, Inc. US 138 97,350 Home Depot, Inc. US 4,514 3,200 J.C. Penney Co., Inc. US 70 12,500 Kohls Corp.* US 921 24,200 Kroger Co. (The) US 551 100,000 Limited, Inc. US 1,916 22,900 Lowe's Cos., Inc. US 968 3,600 May Department Stores Co. US 125 1,600 Nordstrom, Inc. US 38 20,000 O'Charley's, Inc. US 505 3,600 Office Depot, Inc.* US 69 2,000 Radioshack Corp. US 62 28,500 Safeway, Inc.* US 1,196 18,500 Sears, Roebuck & Co. US 976 19,500 Staples, Inc.* US 389 4,600 Starbucks Corp.* US 105 1,600 SUPERVALU, Inc. US 48 16,400 Target Corp. US 716 8,000 Tiffany & Co. US 318 22,100 TJX Cos., Inc. US 963 2,500 Toys R US, Inc.* US 43 2,600 Tractor Supply Co.* US 143 31,900 Trans World Entertainment Corp.* US 258 1,800 Tricon Global Restaurants, Inc.* US 114 69,600 Wal-Mart Stores, Inc. US 3,888 11,900 Walgreen Co. US 449 1,400 Wendy's International, Inc. US 52 1,700 Winn-Dixie Stores, Inc. US 29 -------- 30,766 -------- TECHNOLOGY (COMPONENTS) 5.1% 2,700 STMicroelectronics NV CH 84 3,200 STMicroelectronics NV (New York Shares) CH 99 43,800 ELMOS Semiconductor AG DE 582 4,300 Infineon Technologies AG DE 78 5,600 Advantest Corp. JP 403 1,900 Hirose Electric Co. Ltd. JP 149 47,000 NEC Corp. JP 362 12,000 Nikon Corp. JP 157 3,300 TDK Corp. JP 180 8,600 Tokyo Electron Ltd. JP 619 320 Samsung Electronics KR 95 4,580 Samsung Electronics GDR KR 673 22,396 Taiwan Semiconductor Manufacturing Co. Ltd. ADR* TW $ 396 44,700 Renishaw PLC UK 303 47,200 ADC Telecommunications, Inc.* US 184 49,400 Advanced Micro Devices, Inc.* US 552 22,300 Advanced Technical Products, Inc. US 643 51,600 Agere Systems, Inc. US 219 15,300 Altera Corp.* US 315 27,000 Ametek, Inc. US 1,046 13,300 Analog Devices, Inc.* US 492 52,400 Anaren Microwave, Inc.* US 662 20,600 Applied Micro Circuits Corp.* US 139 14,100 Broadcom Corp. (Class A)* US 486 13,900 Brocade Communications Systems, Inc.* US 356 42,200 California Micro Devices Corp.* US 200 15,200 CIENA Corp.* US 114 421,400 Cisco Systems, Inc.* US 6,174 8,700 Cohu, Inc. US 244 3,000 Conexant Systems, Inc.* US 31 11,600 Corning, Inc.* US 78 155,200 EMC Corp.* US 1,419 6,400 ESS Technology, Inc.* US 102 2,100 Genuine Parts Co. US 72 189,200 Hytek Microsystems, Inc. US 238 19,700 Identix, Inc. US 149 13,400 II-VI, Inc. US 201 7,400 Integrated Device Technology, Inc.* US 207 156,100 Intel Corp. US 4,466 8,600 Intersil Corp. (Class A) US 231 90,800 Isomet Corp. US 271 40,800 IXYS Corp. US 344 16,300 Jabil Circuit, Inc.* US 333 16,300 JDS Uniphase Corp.* US 71 3,600 Linear Technology Corp. US 140 19,900 LSI Logic Corp.* US 256 320,350 Lucent Technologies, Inc. US 1,474 3,700 Maxim Integrated Products, Inc.* US 184 32,200 Micron Technology, Inc. US 763 2,400 Molex, Inc. US 81 5,200 National Semiconductor Corp.* US 164 3,900 Network Appliance, Inc.* US 68 10,000 NVIDIA Corp.* US 348 4,250 Opticnet, Inc.(c) US 0 40,300 Pemstar, Inc. US 290 2,000 PMC-Sierra, Inc.* US 31 1,100 QLogic Corp.* US 50 8,800 Qualcomm, Inc.* US 265 6,500 Sanmina Corp.* US 68 4,000 Semtech Corp.* US 128 174,900 Solectron Corp.* US 1,277 152,000 Stratos Lightwave, Inc.* US 420 700 Thomas & Betts Corp. US 16
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 30
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 2,500 Vitesse Semiconductor Corp.* US $ 15 12,800 Xilinx, Inc.* US 483 -------- 30,740 -------- TECHNOLOGY (EQUIPMENT) 4.6% 3,400 Aixtron AG DE 54 48,900 Nokia OYJ FI 791 7,900 Orbotech, Ltd. IL 205 38,000 Canon, Inc. JP 1,455 125,000 Hitachi Ltd. JP 925 48,800 Yamaichi Electronics JP 634 5,500 ASM Lithography Holding NV NL 125 8,000 ASM Lithography Holding NV (New York Registered) NL 179 23,000 ASMI International, NV NL 529 11,100 Koninklijke (Royal) Philips Electronics NV NL 343 12,800 Ericsson (L.M.) Telephone Co., ADR SE 32 27,000 Telefonaktiebolaget LM Ericsson SE 68 13,681 BAE Systems PLC UK 70 1,800 Affiliated Computer Services, Inc. (Class A)* US 97 5,400 Agilent Technologies, Inc.* US 162 2,400 American Power Conversion* US 31 5,200 American Science & Engineering, Inc.* US 100 1,000 Andrew Corp.* US 17 3,900 Apple Computer, Inc. US 95 18,800 Applied Materials, Inc.* US 457 24,200 ATMI, Inc.* US 738 10,500 August Technology Corp. US 152 52,200 Axsys Technologies, Inc.* US 446 32,500 BEI Technologies, Inc. US 637 34,750 COMARCO, Inc.* US 323 43,600 Compaq Computer Corp. US 443 2,100 Comverse Technology, Inc.* US 25 7,000 Cytyc Corp. US 110 48,200 Dell Computer Corp.* US 1,270 4,200 Emulex Corp.* US 122 8,400 Fisher Scientific International, Inc. US 239 3,900 Gateway, Inc.* US 21 60,100 GSI Lumonics Inc. US 582 5,200 Harris Corp. US 188 118,740 Hewlett-Packard Co. US 2,030 29,000 International Business Machines Corp. US 2,429 9,800 KLA-Tencor Corp.* US 578 1,400 KVH Industries, Inc. US 11 1,800 L-3 Communications Holdings, Inc.* US 230 5,300 Lexmark International Group, Inc.* US 317 27,100 Micro Component Technology, Inc.* US 92 2,600 Millipore Corp. US 104 63,650 Motorola, Inc. US 980 3,713 Mykrolis Corp.* US $ 55 23,000 Netopia, Inc.* US 95 5,500 Novellus Systems, Inc.* US 261 17,200 ONI Systems Corp. US 90 80,800 Palm, Inc.* US 256 13,900 Powell Industries, Inc. US 327 18,200 RF Micro Devices, Inc.* US 317 33,800 Rimage Corp.* US 291 39,800 RIT Technologies Ltd.* US 73 211,100 Riverstone Networks, Inc.* US 992 37,900 SafeNet, Inc. US 532 108,800 Scientific-Atlanta, Inc. US 2,176 38,200 Sonus Networks, Inc. US 105 37,300 Sun Microsystems, Inc.* US 305 11,200 Sungard Data Systems, Inc.* US 333 2,700 Symbol Technologies, Inc. US 23 5,200 Tellabs, Inc.* US 44 7,500 Teradyne, Inc.* US 247 31,000 Texas Instruments, Inc. US 959 2,200 Thermo Electron Corp. US 42 16,500 Trikon Technologies, Inc.* US 232 10,028 United Technologies Corp. US 704 23,900 Visionics Corp.* US 242 8,100 Xerox Corp. US 72 28,800 Zygo Corp.* US 493 -------- 27,702 -------- TECHNOLOGY (SOFTWARE) 3.3% 88,465 Orica Ltd. AU 390 500 SAP AG DE 65 78,650 Adobe Systems, Inc. US 3,143 1,400 Autodesk, Inc. US 26 15,500 Avant! Corp. US 258 3,000 BMC Software, Inc.* US 43 9,000 Cadence Design Systems, Inc.* US 184 53,400 Centra Software, Inc.* US 166 10,500 Check Point Software Technologies Ltd.* US 191 25,500 CheckFree Corp.* US 519 5,600 ChoicePoint, Inc. US 310 2,300 Citrix Systems, Inc.* US 27 6,600 Computer Associates International, Inc. US 123 4,500 Compuware Corp.* US 35 13,000 Electronic Arts, Inc.* US 768 53,700 F5 Networks, Inc.* US 699 85,700 FalconStor Software, Inc.* US 531 12,000 First Data Corp. US 954 7,500 Intuit, Inc.* US 294 1,000 Mercury Interactive Corp.* US 37 141,100 Microsoft Corp.* US 7,374 9,700 Network Associates, Inc.* US 172 34,200 Novadigm, Inc.* US 231 4,000 Novell, Inc.* US 15 163,500 Oracle Corp.* US 1,642 3,300 Parametric Technology Corp.* US 13 12,500 Peoplesoft, Inc.* US 290 29,900 PLATO Learning, Inc. US 401
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 31
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 16,300 Primus Knowledge Solutions, Inc.* US $ 19 8,800 PumaTech, Inc.* US 9 2,300 Rational Software Corp.* US 34 18,200 Saba Software, Inc. US 53 11,900 Siebel Systems, Inc.* US 288 11,850 VERITAS Software Corp.* US 336 6,900 Websense, Inc.* US 184 -------- 19,824 -------- TRANSPORTATION 0.5% 27,000 Japan Airlines Co. Ltd. JP 75 19,000 Tokyu Corp. JP 63 113 West Japan Railway Co. JP 437 16,000 Singapore Airlines Ltd. SG 124 174,000 British Airways PLC UK 599 6,900 AMR Corp.* US 148 3,600 Amtran, Inc. US 45 4,400 Burlington Northern Santa Fe Corp. US 121 5,700 Continental Airlines, Inc. (Class B)* US 148 3,600 CSX Corp. US 130 1,500 Delta Air Lines, Inc. US 42 900 Expeditors International of Washington, Inc. US 52 3,400 FedEx Corp.* US 176 4,700 Norfolk Southern Corp. US 101 13,000 Northwest Airlines Corp.* US 240 700 Ryder System, Inc. US 20 8,700 Southwest Airlines Co. US 158 2,800 Union Pacific Corp. US 159 800 US Airways Group, Inc.* US 4 -------- 2,842 -------- SHELTER 0.0% 17,000 Sekisui House Ltd. JP 117 -------- 117 -------- UTILITIES 3.8% 212,873 Telestra Corp. AU 582 2,469 Electrabel SA BE 547 1,135 Swisscom AG CH 338 56,257 Iberdrola SA ES 771 109,339 Telefonica SA ES 1,170 1,222 Telefonica SA, ADR ES 39 3,000 Societe Television Francaise 1 FR 85 4,600 Hellenic Telecommunications Organization SA GR 71 39,000 China Mobile Ltd./HK HK 128 178,500 Hong Kong Electric Holding Ltd. HK 677 5,100 Chubu Electric Power Co., Inc. JP 77 24 Nippon Telegraph & Telephone Corp. JP 94 31 NTT DoCoMo, Inc. JP 78 124 NTT DoCoMo, Inc. W/I JP 316 3,400 Tokyo Electric Power Co. JP 62 9,800 America Movil SA de CV MX 183 9,800 Telefonos de Mexico SA (Class L), ADR MX $ 371 269,700 Telecom Corp. of New Zealand NZ 582 657,080 Singapore Telecommunications Ltd. SG 555 175,200 Cable & Wireless PLC UK 462 16,900 National Grid Group PLC UK 121 633,987 Vodafone Group PLC UK 1,023 6,600 AES Corp.* US 53 2,400 Allied Waste Industries, Inc. US 29 3,500 Alltel Corp. US 173 1,700 Ameren Corp. US 71 3,700 American Electric Power US 169 40,900 AT&T Corp. US 537 31,555 AT&T Wireless Services, Inc.* US 282 30,900 BellSouth Corp. US 938 39,800 Cadiz, Inc.* US 438 19,700 Calpine Corp.* US 217 1,700 CenturyTel, Inc. US 47 1,900 Cinergy Corp. US 68 3,800 Citizens Communications Co. US 35 1,600 CMS Energy Corp. US 31 10,900 Comcast Corp. (Special Class A)* US 292 2,600 Consolidated Edison, Inc. US 113 1,800 Constellation Energy Group, Inc. US 57 3,100 Dominion Resources, Inc. US 206 1,800 DTE Energy Co. US 82 9,600 Duke Energy Corp. US 368 4,000 Edison International US 73 3,800 Exelon Corp. US 206 3,495 FirstEnergy Corp. US 116 2,000 FPL Group, Inc. US 127 3,100 Gannett Co., Inc. US 227 1,800 KeySpan Corp. US 64 900 Knight Ridder, Inc. US 60 7,200 McGraw-Hill Cos., Inc. US 461 600 Meredith Corp. US 26 4,160 Mirant Corp. US 50 1,700 New York Times Co. (Class A) US 79 9,300 Nextel Communications, Inc.* US 51 600 NICOR, Inc. US 28 2,500 NiSource, Inc. US 55 4,700 PG&E Corp. US 110 1,000 Pinnacle West Capital Corp. US 44 1,000 Power-One, Inc.* US 8 1,800 PPL Corp. US 69 2,500 Progress Energy, Inc. US 130 2,300 Public Service Enterprise Group, Inc. US 107 97,850 Qwest Communications International, Inc. US 492 64,900 SBC Communications, Inc. US 2,016 7,900 Southern Co. (The) US 224 10,100 Sprint Corp. US 160 11,300 Sprint Corp. (PCS Group)* US 127 3,000 TXU Corp. US 163
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 32
SHARES/ COUNTRY VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION CODE (NOTE 1) - ---------------------------------------------------------------------------- 109,070 Verizon Communications US $ 4,375 7,500 Waste Management, Inc. US 198 33,900 WorldCom, Inc.* US 84 4,200 Xcel Energy, Inc. US 107 -------- 22,575 -------- TOTAL COMMON STOCKS (COST $442,595) 392,339 -------- BONDS 32.5% COLLATERALIZED MORTGAGE OBLIGATIONS 0.9% EURO 19,026 RAMS -7E PTN, 3.651%, 09/26/32 17 393,248 Haus 2000-1A A2, 3.646%, 12/10/37 354 $ 73,903 AMRES - 1999-1 A, 2.370%, 06/25/29 74 200,000 BOAMS - 1999-5 A4, 6.500%, 05/25/29 200 400,000 Conseco 2001-A A FRN, 2.140%, 12/15/08 401 174,570 Crusade Global Trust 1999-1 A2, 2.230%, 02/15/30 175 135,810 EQCC Home Equity Loan Trust, 2.060%, 10/15/27 136 250,000 GLT 1999-CIA-B2, 4.000%, 05/18/11 209 35,820 Greenwich Captial Acceptance, Inc., 7.513%, 06/25/24 36 759,295 HPSC 2000-1 A 1-month LIBOR, 2.200%, 10/22/07 760 111,975 Medallion Trust 2000-1G-A1, 2.210%, 07/12/31 112 152,857 Norwest Asset Securities Corp., 6.250%, 08/25/28 154 1,709,000 Strategic Hotel Capital, Inc., 2.710%, 09/10/09 1,701 801,330 Torrens Trust 2000-1GA A, 2.785%, 07/15/31 802 -------- 5,131 -------- FOREIGN COPORATE BONDS 3.9% EURO 90,000 DePfa Pfandbriefbank AG, 5.750%, 03/04/09 83 4,000,000 Deutsche Bahn Finance, 5.000%, 06/10/08 1,818 2,000,000 Deutsche Hypo, 5.750%, 07/19/10 1,841 2,000,000 Hypothekenbk In Essen, 5.250%, 07/05/05 1,832 400,000 Hypothekenbk In Essen, 5.500%, 02/20/07 368 2,000,000 Alcatel, 4.375%, 02/17/09 1,468 33,100 AXA SA, 3.750%, 01/01/17 30 3,000,000 Caisse D'Amort Dette, 5.125%, 10/25/08 2,712 42,000 Hellenic Exchangeable Finance SCA, 2.000%, 08/02/05 41 1,500,000 Deutsche Telekom, 6.125%, 07/06/05 1,370 3,000,000 Philips Electronics NV, 5.750%, 05/16/08 2,716 VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ---------------------------------------------------------------------------- EURO 170,000 Lloyds TSB Group PLC, 5.625%, 07/15/49 $ 150 1,000,000 Powergen PLC, 5.000%, 07/08/09 869 L 1,000,000 BK Nederlandse Gemeeten, 5.625%, 02/08/11 1,460 80,000 Abbey National Treasury Service, 7.625%, 12/30/02 119 90,000 BG Transcontinental Holdings, 4.980%, 12/14/09 131 Y 100,000,000 Deutsche Telekom, 1.500%, 06/15/05 793 200,000,000 Petroliam Nasional BHD, 3.600%, 06/12/06 1,689 200,000,000 Banque Central de Tunisie, 3.300%, 08/02/10 1,566 28,000,000 Korea Development Bank, 2.700%, 08/16/02 219 17,000,000 KFW International Finance, Inc., 1.750%, 03/23/10 141 561,090 SHL Corp. Ltd., 0.470%, 12/25/24 4 5,000,000 SHL Corp. Ltd., 0.853%, 12/25/24 39 SK 3,000,000 Eurofima, 4.750%, 07/07/04 287 $ 100,000 Cie Fin de CIC & de Lun, 4.470%, 10/29/49 100 40,000 BCO Nacional de Co., 8.000%, 08/05/03 42 140,000 Petroleos Mexicanos, 8.850%, 09/15/07 153 150,000 Petroleos Mexicanos, 9.375%, 12/02/08 166 2,000,000 Sanilus Corp., 8.875%, 03/18/08 520 1,000,000 British Telecom PLC Global FRN, 3.295%, 12/15/03 1,002 -------- 23,729 -------- FOREIGN GOVERNMENT BONDS 12.9% AU$ 2,000,000 Government of Australia, 6.500%, 05/15/13 1,099 100,000 Government of Australia, 8.750%, 08/15/08 62 CN$ 2,000,000 Canada Government, 5.500%, 06/01/10 1,269 2,000,000 Canada Government, 6.000%, 06/01/08 1,317 500,000 Canada Government, 8.000%, 06/01/27 403 DK 2,300,000 Kingdom of Denmark, 7.000%, 11/15/07 304 500,000 Kingdom of Denmark, 7.000%, 11/10/24 71 EURO 3,000,000 Belgium Government, 3.750%, 03/28/09 2,502 1,700,000 Belgium Government, 6.250%, 03/28/07 1,620 1,500,000 Belgium Government, 8.000%, 03/28/15 1,664 720,000 Deutschland Republic, 6.000%, 07/04/07 685 2,000,000 Deutschland Republic, 6.500%, 10/14/05 1,913
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 33
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ---------------------------------------------------------------------------- EURO 560,000 Government of Spain, 4.950%, 07/30/05 $ 509 630,000 Government of Spain, 5.150%, 07/30/09 567 3,208,096 Government of Spain, 6.000%, 01/31/08 3,032 3,000,000 Government of Finland, 5.750%, 02/23/11 2,790 3,300,000 Government of France, 3.500%, 07/12/04 2,930 260,000 Government of France, 4.000%, 10/25/09 219 3,000,000 Government of France, 4.500%, 07/12/06 2,683 120,000 Government of France, 5.500%, 04/25/07 111 2,687,470 Government of France, 8.500%, 10/25/19 3,232 180,000 Buoni Poliennali Del Tesoro, 4.250%, 11/01/09 153 1,220,000 Buoni Poliennali Del Tesoro, 4.500%, 05/01/09 1,062 1,350,000 Buoni Poliennali Del Tesoro, 4.750%, 07/01/05 1,223 3,000,000 Buoni Poliennali Del Tesoro, 5.250%, 08/01/11 2,698 4,680,000 Buoni Poliennali Del Tesoro, 5.500%, 11/01/10 4,300 560,000 Buoni Poliennali Del Tesoro, 6.000%, 05/01/31 525 1,500,000 Buoni Poliennali Del Tesoro, 6.750%, 07/01/07 1,466 2,000,000 Buoni Poliennali Del Tesoro, 7.750%, 11/01/06 2,013 150,000 KBC Funding Trust, 8.220%, 11/29/49 145 546,000 Government of Netherlands, 3.750%, 07/15/09 454 2,000,000 Government of Netherlands, 5.500%, 07/15/10 1,844 6,750,000 Government of Netherlands, 5.750%, 02/15/07 6,323 2,000,000 Government of Netherlands, 7.250%, 10/01/04 1,919 2,500,000 Government of Netherlands, 7.500%, 01/15/23 2,772 L 500,000 U.K. Gilt, 7.500%, 12/07/06 796 750,000 U.K. Gilt, 8.000%, 06/07/21 1,468 Y 200,000,000 Quebec, Province of, 1.600%, 05/09/13 1,557 12,000,000 Government of Mexico, 5.000%, 09/30/02 95 666,680 International Credit Recovery, 0.396%, 08/25/05 5 350,000,000 Japan Government, 0.400%, 06/20/03 2,736 500,000,000 Japan Government, 0.500%, 03/20/06 3,919 Y 360,000,000 Japan Government, 0.900%, 12/22/08 $ 2,816 152,400,000 Japan Government, 1.500%, 03/20/19 1,105 NZ$ 3,000,000 Canada Government, 6.625%, 10/03/07 1,318 100,000 New Zealand Government Bond, 4.500%, 02/15/16 49 800,000 New Zealand Government Bond, 5.500%, 04/15/03 357 3,000,000 New Zealand Government Bond, 8.000%, 11/15/06 1,416 SK 2,000,000 Swedish Government, 5.000%, 01/28/09 189 $ 1,000,000 Republic of Brazil, 11.625%, 04/15/04 1,035 600,000 United Mexican States, 8.300%, 08/15/31 613 1,000,000 Kazkommerts International BV, 10.125%, 05/08/07 994 1,000,000 Quebec, Province of, 7.220%, 07/22/36 1,154 88,388 SMLG 1AA2, 3.410%, 06/15/26 89 -------- 77,590 -------- MORTGAGE BACKED OBLIGATIONS 5.9% EURO 1,500,000 FHLMC, 5.125%, 01/15/12 1,316 L 1,400,000 FHLB, 5.625%, 06/10/03 2,054 Y 200,000,000 FNMA, 1.750%, 03/26/08 1,661 $ 693,939 ETrade 2001-01 A, 7.095%, 09/25/31 709 5,220,819 FHLMC, 6.500%, 08/15/31 4,899 937,582 FHLMC Gold Guarantee 20-year D9-4691, 6.500%, 06/01/21 956 1,202,060 FHLMC Gold Guarantee 20-year D9-4717, 6.500%, 06/01/21 1,226 527,510 FHLMC Gold Guarantee 20-year D9-4718, 6.500%, 07/01/21 538 2,124,950 FHLMC Gold Guarantee 20-year D9-4738, 6.500%, 06/01/21 2,167 2,513,620 FNARM, 4.578%, 05/01/36 2,563 341,391 FNMA, 2.310%, 10/18/30 343 3,000,000 FNMA, 5.000%, 01/15/07 3,028 80,424 FNMA, 7.998%, 06/01/30 79 6,000,000 FNMA TBA, 6.000%, 06/08/17 6,054 2,000,000 FNMA TBA, 6.000%, 05/13/32 1,976 2,700,000 GNMA I TBA, 6.000%, 05/21/32 2,670 1,993,079 GNMA II, 6.000%, 02/20/32 1,965 136,863 GNMA II, 6.375%, 06/20/26 140 1,036,452 GNMA II, 6.500%, 10/20/28 1,051 103,699 GNMA II, 6.750%, 09/20/26 107 -------- 35,502 -------- MUNICIPAL BONDS 0.3% EURO 1,500,000 Pemex Project Funding Master Trust, 7.750%, 08/02/07 1,383 $ 200,000 Houston Texas Apartment System Revenue, 5.700%, 07/01/28 206 -------- 1,589 -------- U.S. CORPORATE BONDS 4.0% EURO 93,602 OCWEN Mortgage and Loans, 3.881%, 12/15/31 85
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 34
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ---------------------------------------------------------------------------- L 2,000,000 Ford Motor Credit Co., 7.250%, 02/22/05 $ 2,940 520,000 General Motors Corp., 6.875%, 09/09/04 761 Y 200,000,000 Ford Motor Credit Co., 1.000%, 12/22/03 1,529 28,000,000 Ford Motor Credit Co., 1.200%, 02/07/05 211 200,000,000 Pfizer, Inc., 0.800%, 03/18/08 1,566 200,000,000 Proctor & Gamble Co., 2.000%, 06/21/10 1,623 $ 800,000 DaimlerChrysler NA Holding, 7.300%, 01/15/12 831 300,000 AOL Time Warner, Inc., 6.875%, 05/01/12 285 120,000 Bear Stearns Co., Inc. (The), 2.395%, 03/28/03 120 13,000 Beckman Instruments, Inc., 7.100%, 03/04/03 13 955,000 Burlington Northern Santa Fe Corp, 7.290%, 06/01/36 1,012 1,090,780 Capital Asset Research Funding LP, 5.905%, 12/15/05 1,087 212,516 Citicorp Mortgage Securities, Inc., 6.500%, 07/25/28 214 1,000,000 Citigroup, Inc., 6.000%, 02/21/12 988 15,000 CMS Energy Corp., 8.125%, 05/15/02 15 1,000,000 Cross Country Master Credit Card Trust, 2.400%, 06/15/06 1,006 600,000 EL Paso Corp., 7.750%, 01/15/32 599 300,000 Ford Motor Credit Co., 2.860%, 07/18/05 287 600,000 Ford Motor Credit Co., 7.375%, 02/01/11 604 500,000 General Motors Acceptance Corp. MTN, 4.450%, 05/04/04 498 303,852 GMACCM Mortgage Trust, Series 1999-C, 2.638%, 07/20/03 304 200,000 HCA-The Healthcare Co., 3.510%, 09/19/02 200 15,000 Jones Intercable, Inc., 8.875%, 04/01/07 16 50,000 JP Morgan Chase & Co., 3.124%, 02/15/12 48 1,000,000 Morgan Stanley Dean Witter & Co., 7.250%, 04/01/32 1,003 500,000 National Rural Utilities Cooperative Finance Corp., 7.250%, 03/01/12 518 100,000 Potomac Edison Co., 2.660%, 05/01/02 100 300,000 Qwest Capital Funding, Inc., 0.000%, 07/08/02 294 300,000 Qwest Capital Funding, Inc., 0.000%, 08/03/09 218 65,929 Salomon Brothers Mortgage Securities VII, 2.720%, 06/25/29 66 1,250,000 Security Capital Group, Inc., 7.700%, 06/15/28 1,292 SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ---------------------------------------------------------------------------- $ 200,000 Sierra Pacific Resources, 3.449%, 04/20/03 $ 170 300,000 South Point Energy Center LLC, 0.000%, 05/30/12 272 30,000 Sprint Capital Corp., 5.875%, 05/01/04 28 500,000 Sprint Capital Corp., 6.000%, 01/15/07 471 600,000 Suncor Energy, Inc., 0.000%, 02/01/32 608 1,000,000 Tennessee Gas Pipeline Co., 7.000%, 03/15/27 1,013 1,385,000 Ultramar Diamond, 6.750%, 10/15/37 1,378 -------- 24,273 -------- U.S. GOVERNMENT & AGENCIES 4.6% 3,800,000 RFCSP Strip Principal, 0.000%, 10/15/20 1,193 900,000 U.S. Treasury Bond, 0.000%, 02/15/27 1,003 2,000,000 U.S. Treasury Bond, 5.625%, 05/15/08+ 2,092 3,750,000 U.S. Treasury Bond, 6.125%, 11/15/27 3,939 7,558,298 U.S. Treasury Inflation Indexed Bond, 3.875%, 04/15/29 8,231 3,059,634 U.S. Treasury Inflation Indexed Bond, 3.500%, 01/15/11 3,154 2,217,728 U.S. Treasury Note, 3.625%, 07/15/02+ 2,251 1,800,000 U.S. Treasury Note, 5.000%, 08/15/11 1,786 4,000,000 U.S. Treasury Note, 7.250%, 05/15/04 4,312 -------- 27,961 -------- TOTAL BONDS (COST $201,248) $195,775 -------- OPTIONS 0.0% CALL OPTIONS 0.0% 44 German Federal Republic 10-year Bond Futures, Strike @ 96.00, Exp. 06/03/02 0 29 German Federal Republic Bond Futures, Strike @ 98.45, Exp. 06/03/02 0 -------- 0 -------- PUT OPTIONS 0.0% 96 Eurodollar Futures, Strike @ 92.25, Exp. 06/17/02 0 -------- 135 Eurodollar Futures, Strike @ 92.75, Exp. 06/17/02 2 -------- 2 -------- TOTAL OPTIONS (COST $4) 2 --------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 35
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ---------------------------------------------------------------------------- SHORT-TERM INVESTMENTS 7.0% $ 4,064,260 AMR Select Cash Reserve Fund, 0.000%, 6/16/2025 $ 10,126 2,200,000 Nestle Capital Corp., CP, 2.100%(a), 1/3/2002** 2,200 2,000,000 FHLMC DN, 1.820%, 7/11/2002 1,993 20,000,000 Alcoa, Inc., CP, 1.850%(a), 5/1/2002** 20,000 125,000 FNMA DN, 1.750%, 5/8/2002 125 800,000 U.S. Treasury Bill, 0.000%, 6/6/2002 796 60,000 U.S. Treasury Bill, 1.680%, 5/2/2002 60 160,000 U.S. Treasury Bill, 1.720%, 5/2/2002 160 50,000 U.S. Treasury Bill, 1.730%, 5/2/2002 50 3,873,221 Repurchased Agreement, State Street Bank, 1.36%, 05/1/02 (Maturity Value $6,412) (Cost $6,412) Collateral: FHLB, 5.000% 02/14/03; FNMA, 7.625%, 05/15/07; FHLB, 2.200%, 11/14/03; FNMA, 5.250%, 02/13/04; FNMA, 0.000%, 04/15/04; FNMA, 3.500%, 01/16/04; FNMA, 0.000%, 11/26/04, FNMA, 0.000%, 11/26/03, FNMA, 0.000%, 10/04/02; FHLB, 5.000%, 02/14/03; SLMA, 3.150%, 10/24/03; FNMA, 5.875%, 3/21/11; FNMA, 0.000%, 02/15/06; FHLMC, 0.000%, 08/28/02 (Collateral Value $7,515) 6,412 -------- TOTAL SHORT-TERM INVESTMENTS (COST $41,922) 41,922 -------- TOTAL INVESTMENTS (COST $685,770), 104.7% 630,038 -------- OTHER ASSETS AND LIABILITIES, NET, (4.7)% (28,577) -------- NET ASSETS, 100.0% $601,461 ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 36 FREMONT INTERNATIONAL GROWTH FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ------------------------------------------------------------------------------- COMMON STOCKS 107.1% BUSINESS EQUIPMENT & SERVICES 5.0% 11,200 Bouygues SA FR $ 338 11,800 Carbone Lorraine SA FR 409 9,400 Vivendi Universal SA FR 300 6,000 USHIO, Inc. JP 80 7,500 BOC Group PLC UK 114 33,900 Brambles Industries PLC UK 168 13,400 Compass Group PLC UK 83 4,000 Hays PLC UK 10 2,666 Reuters Group PLC, ADR UK 112 ------ 1,614 ------ CAPITAL GOODS 3.1% 21,600 Bombardier, Inc. (Class B) CA 186 2,100 Schneider Electric SA FR 101 98,500 Johnson Electric Holdings HK 150 15,400 CRH PLC IE 267 34,000 Mitsubishi Heavy Industries Ltd. JP 108 2,900 Murata Manufacturing Co. Ltd. JP 184 ------ 996 ------ CONSUMER DURABLES 9.2% 1,000 Magna International, Inc. CA 74 4,200 Bayerische Motoren Werke (BMW) AG DE 166 9,500 DaimlerChrysler AG DE 440 2,100 Epcos AG DE 85 2,600 Michelin (Class B) FR 101 4,000 Renault SA FR 185 47,000 Mitsubishi Motors Corp. JP 139 3,900 Nintendo Co. Ltd. JP 547 60,000 Nissan Motor Co. Ltd. JP 462 1,200 Rohm Co. Ltd. JP 179 6,400 Sony Corp. JP 344 20,000 Suzuki Motor Corp. JP 240 ------ 2,962 ------ CONSUMER NON-DURABLES 7.6% 55,240 Foster's Group Ltd. AU 140 1,645 Nestle SA CH 389 3,400 Altadis SA FR 72 1,300 Groupe Danone FR 172 84,000 Li & Fung Ltd. HK 135 43,000 Toray Industries, Inc. JP 124 3,875 Heineken Holding NV (Class A) NL 131 10,625 Heineken NV NL 478 4,100 Vereenigde NV NL 124 14,700 Assa Abloy AB SE 190 18,200 Pearson PLC UK 219 30,800 Unilever PLC UK 282 ------ 2,456 ------ CONSUMER SERVICES 2.6% 18,232 News Corp. Ltd. AU 119 300 News Corp. Ltd., ADR AU 8 8,000 Thomson Corp. CA 272 2,800 Preussag AG DE 77 3,700 Accor SA FR 149 14,000 Societe Europeenne des Satellites LU 141 6,000 Singapore Press Holdings Ltd. SG $ 75 ------ 841 ------ ENERGY 4.8% 4,500 Suncor Energy, Inc. CA 156 14,300 ENI-Ente Nazionale Idrocarburi SPA IT 220 8,100 Royal Dutch Petroleum Co. NL 429 2,700 Royal Dutch Petroleum Co. ADR NL 141 25,200 Statoil ASA NO 214 1,300 Lukoil-Holding, ADR RU 94 33,500 BG Group PLC UK 150 47,200 Centrica PLC UK 145 ------ 1,549 ------ FINANCIAL SERVICES (BANKS) 9.5% 14,189 Australia and New Zealand Banking Group Ltd. AU 145 3,700 National Australia Bank Ltd. AU 69 12,000,000 UFJ International Finance (Bermuda) BM 51 4,600 National Bank of Canada Montreal Que CA 98 3,747 Credit Suisse Group (Registered Shares) CH 133 2,598 UBS AG CH 125 25,600 Banco Bilbao Vizcaya Argentaria SA ES 298 15,800 Hang Seng Bank Ltd. HK 180 19,200 Allied Irish Banks PLC IE 253 2 UFJ Holdings, Inc. JP 5 10,006 ABN Amro Holdings NV NL 198 17,700 ForeningsSparbanken AB SE 221 23,000 DBS Group Holdings Ltd. SG 178 13,000 United Overseas Bank Ltd. SG 103 10,000 Barclays UK 88 13,802 Lloyds TSB Group PLC UK 159 23,300 Royal Bank of Scotland Group PLC UK 668 7,300 Standard Chartered PLC UK 90 ------ 3,062 ------ FINANCIAL SERVICES (OTHER) 12.7% 26,040 QBE Insurance Group Ltd. AU 102 7,807 Swiss Re CH 787 400 Allianz AG DE 94 37,000 Cheung Kong Holdings Ltd. HK 352 9,000 Irish Life & Permanent PLC IE 122 10,200 Assicurazioni Generali SPA IT 246 3,600 Acom Co Ltd. JP 275 25,000 Daiwa Securities Group, Inc. JP 171 24,000 Mitsubishi Estate Co. Ltd. JP 174 30,000 Mitsui Fudosan Co. Ltd. JP 235 45,000 Mitsui Sumitomo Insurance Co. Ltd. JP 221 26,000 Nikko Cordial Corp. JP 117 17,000 Nomura Holdings, Inc. JP 237 3,600 Promise Co. Ltd. JP 190 24,600 Aegon NV NL 565
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 37 FREMONT INTERNATIONAL GROWTH FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
COUNTRY VALUE (000S) SHARES SECURITY DESCRIPTION CODE (NOTE 1) - ------------------------------------------------------------------------------ FINANCIAL SERVICES (OTHER) (CONT.) 21,100 Prudential Corp. PLC UK $ 224 ------- 4,112 ------- HEALTH CARE 10.6% 11,682 Novartis AG CH 490 2,287 Roche Holding AG CH 173 600 Novo-Nordisk AS DK 18 2,600 Essilor Intl FR 106 10,980 Sanofi-Synthelabo SA FR 702 9,000 Chugai Pharmaceutical Co. Ltd. JP 107 13,000 Shionogi & Co. Ltd. JP 190 2,000 Takeda Chemical Industries, Inc. JP 88 13,167 AstraZeneca Group PLC (Swedish Exchange) SE 617 3,161 AstraZeneca Group PLC, ADR UK 147 13,800 AstraZeneca PLC UK 646 3,485 GlaxoSmithKline PLC UK 84 8,400 Shire Pharmaceuticals Group PLC UK 62 ------- 3,430 ------- MULTI-INDUSTRY 3.1% 3,200 Siemens AG DE 195 30,300 Hutchison Whampoa Ltd. HK 265 37,000 Swire Pacific Ltd. HK 222 79,000 Singapore Technologies Engineering Ltd. SG 92 18,948 Smiths Group PLC UK 224 ------- 998 ------- RAW MATERIALS 5.7% 17,226 BHP Biliton Ltd., Sponsored ADR AU 199 5,546 BHP Billiton Ltd. AU 32 32,300 BHP Billiton PLC AU 173 1,000 Companhiavale do Rio Doce BR 27 700 Alcan Aluminium Ltd. CA 26 386 Holcim Ltd. CH 89 4,240 Holcim Ltd. Namen CH 196 8,451 ThyssenKrupp AG DE 128 9,400 UPM-Kymmene Oyj FI 328 1,400 L'Air Liquide SA FR 217 2,700 Hoya Corp. JP 201 3,500 Shin-Etsu Chemical Co. Ltd. JP 144 15,000 Sumitomo Forestry Co. Ltd. JP 78 ------- 1,838 ------- RETAIL 4.5% 25,600 Woolworths Ltd. AU 181 14,599 Compagnie Financiere Richemont AG CH 331 3,600 Metro AG DE 115 8,900 Industria de Diseno Textil, SA ES 183 14,000 Aeon Co Ltd. JP 362 7,700 Hagemeyer NV NL 152 21,490 Marks & Spencer Group PLC UK 124 ------- 1,448 ------- TECHNOLOGY (COMPONENTS) 10.2% 3,700 STMicroelectronics NV CH 115 TECHNOLOGY (COMPONENTS) (CONT.) 4,200 STMicroelectronics NV (New York Shares) CH $ 129 6,110 Advantest Corp. JP 440 1,600 Hirose Electric Co. Ltd. JP 125 53,000 NEC Corp. JP 408 15,000 Nikon Corp. JP 196 3,700 TDK Corp. JP 202 7,100 Tokyo Electron Ltd. JP 511 2,250 Samsung Electronics KR 667 610 Samsung Electronics GDR 144A KR 90 19,683 Taiwan Semiconductor Manufacturing Co. Ltd. ADR* TW 348 20,000 ARM Holdings PLC UK 64 ------- 3,295 ------- TECHNOLOGY (EQUIPMENT) 5.4% 4,200 Aixtron AG DE 66 47,000 Nokia OYJ FI 760 22,000 Hitachi Ltd. JP 163 3,600 ASM Lithography Holding NV NL 82 8,100 ASM Lithography Holding NV (New York Registered) NL 181 9,500 Koninklijke (Royal) Philips Electronics NV NL 293 38,800 Telefonaktiebolaget LM Ericsson SE 97 19,428 BAE Systems PLC UK 99 ------- 1,741 ------- TECHNOLOGY (SOFTWARE) 0.2% 600 SAP AG DE 78 ------- 78 ------- TRANSPORTATION 0.7% 31,000 Japan Airlines Co. Ltd. JP 86 28,000 Tokyu Corp. JP 93 9,000 Singapore Airlines Ltd. SG 70 ------- 249 ------- SHELTER 0.7% 50,000 Hong Kong Holdings BM 87 19,000 Sekisui House Ltd. JP 131 ------- 218 ------- UTILITIES 11.5% 1,320 Swisscom AG CH 394 17,121 Telefonica SA ES 183 4,000 Societe Television Francaise 1 FR 114 8,700 Hellenic Telecommunications Organization SA GR 134 27,500 China Mobile Ltd./HK HK 90 7,500 Chubu Electric Power Co., Inc. JP 113 22 Nippon Telegraph & Telephone Corp. JP 87 21 NTT DoCoMo, Inc. JP 53 144 NTT DoCoMo, Inc. W/I JP 367 3,900 Tokyo Electric Power Co. JP 71 9,500 America Movil SA de CV MX 177 10,000 Telefonos de Mexico SA (Class L), ADR MX 378
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 38
SHARES/ COUNTRY VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION CODE (NOTE 1) - ------------------------------------------------------------------------------ UTILITIES (CONT.) 410,000 Singapore Telecommunications Ltd. SG $ 346 17,600 National Grid Group PLC UK 126 665,323 Vodafone Group PLC UK 1,073 ------- 3,706 ------- TOTAL COMMON STOCKS (COST $38,115) 34,593 ------- BONDS 0.1% FOREIGN CORPORATE BONDS 0.1% EURO 49,000 Hellenic Exchangeable Finance SCA, 2.000%, 08/02/05 GR 47 ------- TOTAL BONDS (COST $46) 47 ------- SHORT-TERM INVESTMENT 0.0% $ 446 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $1) (Cost $--) Collateral: FHLMC, 7.000% 03/15/10 (Collateral Value $5) -- ------- TOTAL SHORT-TERM INVESTMENT (COST $--) -- ------- TOTAL INVESTMENTS (COST $38,161), 107.2% 34,640 ------- OTHER ASSETS AND LIABILITIES, NET, (7.2)% (2,326) ------- NET ASSETS, 100.0% $32,314 =======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 39 FREMONT NEW ERA VALUE FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ COMMON STOCKS 95.1% BUSINESS EQUIPMENT & SERVICES 5.2% 34,890 Electronic Data Systems Corp. $ 1,893 ------- 1,893 ------- CAPITAL GOODS 5.0% 57,630 General Electric Co. 1,818 ------- 1,818 ------- CONSUMER NON-DURABLES 6.4% 21,930 Coca-Cola Co. 1,217 30,600 Estee Lauder Cos., Inc. (Class A) 1,106 ------- 2,323 ------- CONSUMER SERVICES 4.4% 69,300 Walt Disney Co. (The) 1,606 ------- 1,606 ------- ENERGY 4.5% 3,800 ChevronTexaco Corp. 330 32,500 Exxon Mobil Corp. 1,306 ------- 1,636 ------- FINANCIAL SERVICES (BANKS) 6.8% 19,440 Mellon Bank Corp. 734 33,830 Wells Fargo & Co. 1,730 ------- 2,464 ------- FINANCIAL SERVICES (OTHER) 4.0% 14,250 Marsh & McLennan Cos., Inc. 1,440 ------- 1,440 ------- HEALTH CARE 17.3% 28,135 Amgen, Inc.* 1,488 42,735 Bristol-Myers Squibb Co. 1,231 16,665 Chiron Corp.* 674 12,300 Genentech, Inc.* 437 26,235 Merck & Co., Inc. 1,426 17,805 Wyeth 1,015 ------- 6,271 ------- RETAIL 7.0% 31,320 Home Depot, Inc. 1,452 56,700 Limited, Inc. 1,086 ------- 2,538 ------- TECHNOLOGY (COMPONENTS) 13.3% 135,760 Cisco Systems, Inc.* 1,989 83,500 EMC Corp.* 763 19,560 Intel Corp. 560 169,305 Lucent Technologies, Inc. 779 99,820 Solectron Corp.* 729 ------- 4,820 ------- TECHNOLOGY (EQUIPMENT) 6.8% 43,560 Hewlett-Packard Co. 745 23,410 Motorola, Inc. 361 67,440 Scientific-Atlanta, Inc. 1,349 ------- 2,455 -------
SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ TECHNOLOGY (SOFTWARE) 9.7% 37,350 Adobe Systems, Inc. $ 1,493 32,590 Microsoft Corp.* 1,702 33,980 Oracle Corp.* 341 ------- 3,536 ------- UTILITIES 4.7% 42,400 Qwest Communications International, Inc. 213 37,505 Verizon Communications 1,504 ------- 1,717 ------- TOTAL COMMON STOCKS (COST $40,094) 34,518 ------- SHORT-TERM INVESTMENTS 7.3% $ 1,700,000 Nestle Capital Corp., CP, 2.100%(a), 05/01/02 1,700 929,683 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $930) (Cost $930) Collateral: FHLB, 5.000%, 02/14/03 (Collateral Value $949) 930 ------- TOTAL SHORT-TERM INVESTMENTS (COST $2,630) 2,630 ------- TOTAL INVESTMENTS (COST $42,724), 102.4% 37,148 ------- OTHER ASSETS AND LIABILITIES, NET, (2.4)% (859) ------- NET ASSETS, 100.0% $36,289 ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 40 FREMONT NEW ERA GROWTH FUND April 30, 2002 (Unaudited)
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ COMMON STOCKS 92.7% BUSINESS EQUIPMENT & SERVICES 3.8% 1,400 Affiliated Computer Services, Inc. (Class A)* $ 76 ------- 76 ------- CAPITAL GOODS 5.9% 650 General Dynamics Corp. 63 1,700 General Electric Co. 54 ------- 117 ------- CONSUMER DURABLES 3.1% 1,150 Harley-Davidson, Inc. 61 ------- 61 ------- CONSUMER NON-DURABLES 7.2% 1,200 PepsiCo, Inc. 62 900 Procter & Gamble Co. 81 ------- 143 ------- CONSUMER SERVICES 4.3% 2,250 Apollo Group, Inc. (Class A)* 86 ------- 86 ------- FINANCIAL SERVICES (BANKS) 7.3% 1,300 Citigroup, Inc. 56 1,300 Fifth Third Bancorp. 89 ------- 145 ------- FINANCIAL SERVICES (OTHER) 9.0% 1,900 Concord EFS, Inc.* 60 1,400 H&R Block, Inc. 56 900 MGIC Investment Corp. 64 ------- 180 ------- HEALTH CARE 19.5% 1,000 Amgen, Inc.* 53 800 Forest Laboratories, Inc. (Class A)* 62 950 Johnson & Johnson 61 1,400 Medtronic, Inc. 63 1,550 Pfizer, Inc. 56 1,000 Quest Diagnostics, Inc.* 92 ------- 387 ------- RETAIL 25.2% 1,100 Autozone, Inc.* 84 1,900 Bed Bath & Beyond, Inc.* 71 1,600 Darden Restaurants, Inc. 64 1,200 Kohls Corp.* 89 1,400 Lowe's Cos., Inc. 59 1,300 Wal-Mart Stores, Inc. 73 1,600 Walgreen Co. 60 ------- 500 ------- TECHNOLOGY (COMPONENTS) 2.7% 1,900 Intel Corp. 54 ------- 54 -------
SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ TECHNOLOGY (EQUIPMENT) 1.9% 300 L-3 Communications Holdings, Inc.* $ 38 ------- 38 ------- TECHNOLOGY (SOFTWARE) 2.8% 1,050 Microsoft Corp.* 55 ------- 55 ------- TOTAL COMMON STOCKS (COST $1,805) 1,842 ------- SHORT-TERM INVESTMENT 6.8% $ 135,432 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $135) (Cost $135) Collateral: FHLB, 6.105%, 05/15/03 (Collateral Value $138) 135 ------- TOTAL SHORT-TERM INVESTMENT (COST $135) 135 ------- TOTAL INVESTMENTS (COST $1,940), 99.5% 1,977 ------- OTHER ASSETS AND LIABILITIES, NET, 0.5% 10 ------- NET ASSETS, 100.0% $1,987 =======
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 41 FREMONT STRUCTURED CORE FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
SHARES VALUE (000S) SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ COMMON STOCKS 96.3% BUSINESS EQUIPMENT & SERVICES 2.6% 45,000 Alliance Gaming Corp. $ 670 12,000 Electronic Data Systems Corp. 651 50,500 ICON Office Solutions, Inc. 657 17,500 Owens-Illinois, Inc.* 280 ------- 2,258 ------- CAPITAL GOODS 6.7% 45,700 AGCO Corp.* 1,038 23,000 Delphi Automotive Systems Corp. 358 73,400 General Electric Co. 2,316 18,500 Honeywell International, Inc. 679 9,800 Johnson Controls, Inc. 845 15,300 Shaw Group, Inc. (The)* 467 ------- 5,703 ------- CONSUMER DURABLES 1.9% 42,000 Ford Motor Co. 672 14,800 General Motors Corp. 949 ------- 1,621 ------- CONSUMER NON-DURABLES 10.0% 5,400 Carnival Corp. (Class A) 180 15,800 Coca-Cola Co. 877 21,300 Collins & Aikman Corp. 168 25,300 Georgia-Pacific Corp. 733 8,700 Liz Claiborne, Inc. 272 21,100 PepsiCo, Inc. 1,095 33,400 Philip Morris Cos., Inc. 1,818 30,000 Procter & Gamble Co. 2,708 26,400 Take-Two Interactive Software, Inc.* 663 ------- 8,514 ------- CONSUMER SERVICES 3.2% 55,000 AOL Time Warner, Inc.* 1,046 53,300 Cendant Corp.* 959 16,400 Viacom, Inc. (Class B)* 772 ------- 2,777 ------- ENERGY 3.8% 14,900 Anadarko Petroleum Corp. 802 100 CONSOL Energy, Inc. 2 9,400 Devon Energy Corp. 464 11,400 Dynegy, Inc. (Class A) 205 18,400 Exxon Mobil Corp. 739 900 Marathon Oil Corp. 26 15,900 Reliant Energy, Inc. 404 19,000 Reliant Resources, Inc. 293 6,600 Valero Energy Corp. 285 ------- 3,220 ------- FINANCIAL SERVICES (BANKS) 11.6% 42,700 Bank of America Corp. 3,095 11,000 Capital One Financial Corp. 659 38,933 Citigroup, Inc. 1,686 31,300 MBNA Corp. 1,110 74,600 US Bancorp 1,768 42,900 Washington Mutual, Inc. 1,619 ------- 9,937 ------- FINANCIAL SERVICES (OTHER) 12.4% 21,875 American International Group, Inc. $ 1,512 19,300 FNMA 1,523 16,800 Fidelity National Financial, Inc. 518 19,700 FHLMC 1,287 11,500 GreenPoint Financial Corp. 569 11,000 Household International, Inc. 641 19,800 Loews Corp. 1,187 13,400 Morgan Stanley Dean Witter & Co. 639 38,500 Radian Group, Inc. 1,998 5,900 RenaissanceRe Holdings Ltd. 691 ------- 10,565 ------- HEALTH CARE 10.9% 11,800 Abbott Laboratories 637 11,000 Amgen, Inc.* 582 17,700 Bristol-Myers Squibb Co. 510 26,200 Johnson & Johnson 1,673 3,800 Lilly (Eli) & Co. 251 19,000 Merck & Co. 1,032 76,325 Pfizer, Inc. 2,774 3,200 Pharmacia Corp. 132 12,400 UnitedHealth Group, Inc. 1,089 12,000 Wyeth 684 ------- 9,364 ------- RAW MATERIALS 2.3% 16,200 Peabody Energy Corp. 438 8,000 Quanex Corp. 288 59,300 RPM, Inc./Ohio 1,005 25,000 Solutia, Inc. 209 ------- 1,940 ------- REAL ESTATE INVESTMENT TRUSTS 0.6% 30,200 Annaly Mortgage Management, Inc. 550 ------- 550 ------- RETAIL 9.8% 7,500 AFC Enterprises, Inc. 252 11,300 Best Buy Co., Inc.* 840 29,750 Home Depot, Inc. 1,380 25,000 Kroger Co. (The) 569 26,200 Lowe's Cos., Inc. 1,108 17,100 Papa John's International, Inc.* 532 12,000 Safeway, Inc.* 503 13,100 Sears, Roebuck & Co. 691 11,400 Target Corp. 498 35,700 Wal-Mart Stores, Inc. 1,994 ------- 8,367 ------- TECHNOLOGY (COMPONENTS) 5.9% 42,800 Advanced Micro Devices, Inc.* 479 14,300 Ametek, Inc. 554 93,900 Cisco Systems, Inc.* 1,376 60,000 Intel Corp. 1,717 2,400 Intersil Corp. (Class A) 64 28,500 Micron Technology, Inc. 675 4,000 Xilinx, Inc.* 151 ------- 5,016 -------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 42
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ TECHNOLOGY (EQUIPMENT) 5.0% 27,800 Dell Computer Corp.* $ 732 23,000 Global Power Equipment Group, Inc. 266 43,700 Hewlett-Packard Co. 747 15,700 International Business Machines Corp. 1,315 157,700 Palm, Inc.* 500 6,800 Texas Instruments, Inc. 210 7,800 United Technologies Corp. 547 ------- 4,317 ------- TECHNOLOGY (SOFTWARE) 3.7% 19,900 Avant! Corp. 331 14,200 CheckFree Corp.* 289 45,700 Microsoft Corp.* 2,388 14,900 Oracle Corp.* 150 ------- 3,158 ------- TRANSPORTATION 1.3% 16,400 Northwest Airlines Corp.* 302 14,500 Union Pacific Corp. 824 ------- 1,126 ------- SHELTER 0.9% 13,300 Lennar Corp. 739 ------- 739 ------- UTILITIES 3.7% 16,100 BellSouth Corp. 489 25,000 Calpine Corp.* 275 5,000 Edison International 91 42,500 SBC Communications, Inc. 1,320 19,000 TXU Corp. 1,034 ------- 3,209 ------- TOTAL COMMON STOCKS (COST $71,572) 82,381 ------- VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ SHORT-TERM INVESTMENTS 3.7% $ 2,900,000 Nestle Capital Corp., CP, 2.100%(a), 05/01/02** $ 2,900 116,488 Repurchase Agreement, State Street Bank, 1.360% 05/01/02 (Maturity Value $116) (Cost $116) Collateral: FHLB, 0.000%, 11/14/03 (Collateral Value $122) 116 150,000 U.S. Treasury Bill, 1.770%, 06/20/02+ 150 ------- TOTAL SHORT-TERM INVESTMENTS (COST $3,166) 3,166 ------- TOTAL INVESTMENTS (COST $74,738), 100.0% 85,547 ------- OTHER ASSETS AND LIABILITIES, NET, (0.0)% (24) ------- NET ASSETS, 100.0% $85,523 ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 43 FREMONT U.S. SMALL CAP FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ COMMON STOCKS 81.9% BUSINESS EQUIPMENT & SERVICES 14.6% 35,900 Alliance Gaming Corp. $ 534 9,400 Corporate Executive Board Co.* 357 48,200 CoStar Group, Inc.* 1,148 139,300 Crown Castle International Corp.* 1,017 50,300 Getty Images, Inc.* 1,751 221,500 SBA Communications, Corp.* 640 88,800 Tele Tech Holdings, Inc.* 1,088 16,800 WMS Industries, Inc. 271 ------- 6,806 ------- CAPITAL GOODS 2.3% 36,400 Ionics, Inc. 1,092 ------- 1,092 ------- CONSUMER NON-DURABLES 6.2% 9,800 Hain Celestial Group, Inc.* 180 63,500 Midway Games, Inc. 867 38,800 Oakley, Inc. 773 18,000 Take-Two Interactive Software, Inc.* 452 17,400 THQ, Inc.* 610 ------- 2,882 ------- CONSUMER SERVICES 4.3% 16,000 Corinthian Colleges, Inc. 942 28,900 Crown Media Holdings, Inc. (Class A)* 292 28,700 Sylvan Learning Systems, Inc.* 792 ------- 2,026 ------- HEALTH CARE 20.6% 59,900 Arena Pharmaceuticals, Inc. 488 86,700 ArthroCare Corp.* 1,389 20,900 Biosite, Inc. 653 9,200 Cerner Corp.* 489 91,400 Eclipsys Corp.* 1,463 52,600 Exelixis, Inc. 521 109,500 Gene Logic, Inc.* 1,700 49,200 Pharmaceutical Product Development, Inc.* 1,239 66,500 Therasense, Inc. 1,662 ------- 9,604 ------- RETAIL 5.2% 22,600 CEC Entertainment, Inc.* 1,044 21,800 Electronics Boutique Holdings Corp.* 620 22,200 The Children's Place Retail Stores, Inc.* 769 ------- 2,433 ------- TECHNOLOGY (COMPONENTS) 4.8% 101,800 Anaren Microwave, Inc.* 1,286 132,600 Pemstar, Inc. 955 ------- 2,241 ------- TECHNOLOGY (EQUIPMENT) 17.3% 29,900 ASMI International, NV 688 33,900 ATMI, Inc.* 1,034 104,200 Ixia 896 80,200 Netopia, Inc.* 333 390,300 New Focus, Inc. 1,151 39,300 Powerwave Technologies, Inc.* 469 135,900 Presstek, Inc. 1,019
SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ TECHNOLOGY (EQUIPMENT) (CONT.) 324,901 Riverstone Networks, Inc.* $ 1,527 62,800 Seachange International, Inc. 699 14,800 Zygo Corp.* 253 ------- 8,069 ------- TECHNOLOGY (SOFTWARE) 6.6% 26,100 ManTech International Corp. 618 12,900 Network Associates, Inc.* 229 74,900 Peregrine Systems, Inc.* 513 47,233 PLATO Learning, Inc. 634 34,800 Primus Knowledge Solutions, Inc.* 41 24,000 PumaTech, Inc.* 24 92,100 Sanchez Computer Associates, Inc.* 568 17,800 Websense, Inc.* 475 ------- 3,102 ------- TOTAL COMMON STOCKS (COST $45,236) 38,255 ------- SHORT-TERM INVESTMENTS 21.4% $ 2,000,000 Nestle Capital Corp., CP, 2.100%(a), 05/01/02** 2,000 7,999,987 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $8,000) (Cost $8,000) Collateral: FNMA, 5.250%, 01/15/03 (Collateral Value $8,160) 8,000 ------- TOTAL SHORT-TERM INVESTMENTS (COST $10,000) 10,000 ------- TOTAL INVESTMENTS (COST $55,236), 103.3% 48,255 ------- OTHER ASSETS AND LIABILITIES, NET, (3.3)% (1,556) ------- NET ASSETS, 100.0% $46,699 =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 44 FREMONT U.S. MICRO-CAP FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ COMMON STOCKS 84.1% BUSINESS EQUIPMENT & SERVICES 10.9% 226,500 BHA Group Holdings, Inc. (Class A) $ 4,224 245,900 Bright Horizons Family Solutions, Inc.* 7,370 125,200 Coors Tek, Inc.* 4,919 168,000 Corporate Executive Board Co.* 6,384 360,000 CoStar Group, Inc.* 8,572 151,500 Infocrossing, Inc.* 856 999,200 Kroll, Inc. 18,525 368,600 Perma-Fix Environmental Services, Inc.* 1,180 1,546,300 SBA Communications Corp.* 4,467 703,400 Tele Tech Holdings, Inc.* 8,617 247,100 Tier Technologies, Inc. (Class B) 3,719 ------- 68,833 ------- CAPITAL GOODS 2.0% 182,400 Aaon, Inc.* 5,745 125,300 Oshkosh Truck Corp. 7,132 ------- 12,877 ------- CONSUMER NON-DURABLES 6.2% 176,900 Gaiam, Inc. (Class A) 2,814 346,400 Galaxy Nutritional Foods, Inc. 1,680 137,500 Hain Celestial Group, Inc.* 2,520 582,700 JAKKS Pacific, Inc. 11,229 732,100 Midway Games, Inc. 9,993 530,000 Monterey Pasta Co. 4,887 243,000 Take-Two Interactive Software, Inc.* 6,099 ------- 39,222 ------- CONSUMER SERVICES 4.7% 322,900 4Kids Entertainment, Inc.* 5,554 951,500 Cash America International, Inc. 9,486 525,600 Championship Auto Racing Teams, Inc.* 7,227 602,200 LoJack Corp.* 3,312 170,800 Shuffle Master, Inc.* 3,911 ------- 29,490 ------- HEALTH CARE 19.5% 155,500 American Healthcorp, Inc. 4,191 751,700 ArthroCare Corp.* 12,042 263,500 Biosite, Inc. 8,234 1,283,700 eBenX, Inc.*(a) 4,878 584,900 Eclipsys Corp.* 9,365 1,064,700 Endocare, Inc.* 20,432 371,900 Exact Sciences Corp. 4,392 730,200 First Consulting Group, Inc. 6,572 1,251,700 Gene Logic, Inc.* 19,439 1,310,800 Harvard Bioscience, Inc. 10,211 233,800 ICON PLC* 7,101 15,500 Intuitive Surgical, Inc.* 157 943,400 NeoPharm, Inc.*(a) 14,142 291,000 Quidel Corp. 1,958 ------- 123,114 ------- RAW MATERIALS 0.2% 328,950 Northern Technologies International Corp.(a) 1,365 ------- 1,365 ------- RETAIL 6.5% 51,800 A.C. Moore Arts & Crafts, Inc.* $ 2,386 376,300 Benihana, Inc. (Class A)*(a)(b) 7,312 343,200 Buca, Inc.* 5,834 613,000 dELiA*s Corp. (Class A) 4,040 181,400 Electronics Boutique Holdings Corp.* 5,159 343,900 O'Charley's, Inc. 8,687 43,200 Tractor Supply Co.* 2,382 636,500 Trans World Entertainment Corp.* 5,156 ------- 40,956 ------- TECHNOLOGY (COMPONENTS) 8.5% 382,900 Advanced Technical Products, Inc.(a) 11,047 911,600 Anaren Microwave, Inc.* 11,514 382,500 APA Optics, Inc.* 842 1,089,500 California Micro Devices Corp.*(a) 5,175 365,900 Identix, Inc. 2,763 242,200 II-VI, Inc. 3,628 717,700 IXYS Corp. 6,057 130,700 Opticnet, Inc.(c) 10 749,500 Pemstar, Inc. 5,396 2,673,700 Stratos Lightwave, Inc.* 7,379 ------- 53,811 ------- TECHNOLOGY (EQUIPMENT) 17.2% 91,200 American Science & Engineering, Inc.* 1,756 412,000 ASMI International, NV 9,476 429,100 ATMI, Inc.* 13,088 291,000 August Technology Corp. 4,220 560,900 BEI Technologies, Inc. 10,999 630,500 COMARCO, Inc.*(a)(b) 5,864 24,100 KVH Industries, Inc. 187 865,200 Micro Component Technology, Inc.*(a) 2,942 652,350 Netopia, Inc.* 2,707 233,300 Powell Industries, Inc. 5,483 852,600 Rimage Corp.*(a) 7,332 876,900 RIT Technologies Ltd.*(a) 1,613 3,329,900 Riverstone Networks, Inc.* 15,651 676,100 SafeNet, Inc.(a) 9,499 305,400 Trikon Technologies, Inc.* 4,288 438,500 Visionics Corp.* 4,438 526,900 Zygo Corp.* 9,015 ------- 108,558 ------- TECHNOLOGY (SOFTWARE) 6.9% 934,800 Centra Software, Inc.* 2,898 960,000 F5 Networks, Inc.* 12,499 1,508,300 FalconStor Software, Inc.* 9,351 414,700 MDSI Mobile Data Solutions, Inc.* 1,530 770,400 Novadigm, Inc.* 5,200 525,900 PLATO Learning, Inc. 7,058 500,900 Primus Knowledge Solutions, Inc.* 591 256,200 PumaTech, Inc.* 256 387,200 Saba Software, Inc. 1,134 120,800 Websense, Inc.* 3,227 ------- 43,744 -------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 45
SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ------------------------------------------------------------------------------ UTILITIES 1.5% 889,200 Cadiz, Inc.* $ 9,780 ------- 9,780 ------- TOTAL COMMON STOCKS (COST $580,250) 531,750 ------- SHORT-TERM INVESTMENT 16.8% $106,312,286 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $106,316) (Cost $106,312) Collateral: FHLMC, 3.000%, 01/30/04; FNMA, 4.625%, 08/13/04; FNMA, 6.000%, 05/15/11 (Collateral Value $108,445) 106,312 ------- TOTAL SHORT-TERM INVESTMENT (COST $106,312) 106,312 ------- TOTAL INVESTMENTS (COST $686,562), 100.9% 638,062 ------- OTHER ASSETS AND LIABILITIES, NET, (0.9)% (5,578) ------- NET ASSETS, 100.0% $632,484 =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 46 FREMONT REAL ESTATE SECURITIES FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ----------------------------------------------------------------------------- COMMON STOCKS 97.2% REITS (APARTMENTS) 31.6% 74,863 Archstone-Smith Trust $ 2,018 42,920 Avalonbay Communities, Inc. 2,046 26,200 BRE Properties, Inc. 855 32,600 Camden Property Trust 1,297 82,600 Equity Residential Properties Trust 2,329 12,230 Essex Property Trust, Inc. 636 8,960 Gables Residential Trust 278 22,900 Home Properties of New York, Inc. 825 9,500 Post Properties, Inc. 323 -------- 10,607 -------- REITS (DIVERSIFIED) 9.8% 46,900 Catellus Development Corp. 957 52,980 Vornado Realty Trust 2,336 -------- 3,293 -------- REITS (INDUSTRIAL) 9.7% 54,100 AMB Property Corp. 1,517 40,250 Liberty Property Trust 1,286 20,000 Prologis Trust 444 -------- 3,247 -------- REITS (OFFICE) 30.1% 59,240 Arden Realty, Inc. 1,668 35,660 Boston Properties, Inc. 1,390 28,110 Brandywine Realty Trust 672 9,300 Corporate Office Properties Trust 125 95,565 Equity Office Properties Trust 2,736 22,450 Mack-Cali Realty Corp. 736 28,310 Prentiss Properties Trust 871 28,300 Reckson Associates Realty Corp. 691 34,150 SL Green Realty Corp. 1,199 -------- 10,088 -------- REITS (REGIONAL MALLS) 12.5% 4,600 CBL & Associates Properties, Inc. 168 72,800 Simon Property Group, Inc. 2,457 42,900 Taubman Centers, Inc. 641 31,930 The Macerich Co. 937 -------- 4,203 -------- REITS (SHOPPING CENTERS) 3.5% 1,400 Heritage Property Investment Trust 35 36,150 Pan Pacific Retail Properties, Inc. 1,146 -------- 1,181 -------- TOTAL COMMON STOCKS (COST $29,541) 32,619 --------
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ----------------------------------------------------------------------------- SHORT-TERM INVESTMENT 3.1% $ 1,060,163 Repurchase Agreement, State Street Bank, 1.360% 05/01/02 (Maturity Value $1,060) (Cost $1,060) Collateral: FNMA, 5.250%, 06/04/04 (Collateral Value $1,085) $ 1,060 -------- TOTAL SHORT-TERM INVESTMENT (COST $1,060) 1,060 -------- TOTAL INVESTMENTS (COST $30,601), 100.3% 33,679 -------- OTHER ASSETS AND LIABILITIES, NET, (0.3)% (112) -------- NET ASSETS, 100.0% $33,567 ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 47 FREMONT BOND FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
INTEREST MATURITY VALUE (000S) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------- BONDS 97.1% COLLATERALIZED MORTGAGE OBLIGATIONS 19.7% $ 51,605 BOAMS 2001-1 A3 7.500% 02/25/31 $ 52 2,083,910 CDMC 1999-A A2 144A 3.070% 08/25/30 2,089 500,000 CHASE 1998-S6 A17 6.750% 10/25/28 512 17,549,294 CSFB 2001-S18-A-2 2.250% 08/25/31 17,487 12,708,675 EMC MLT 2001-A 144A** 3.950% 05/25/40 12,726 761,405 FHR 2210 F 2.210% 07/15/28 763 5,663,539 FHR 2247 Z 7.500% 08/15/30 5,960 1,971,000 FHR 2248 FB 2.360% 09/15/30 1,977 676,289 FHR 2284 PR 6.000% 09/15/25 688 16,706,621 FHR 2351 AZ 6.500% 08/15/31 15,339 4,886,673 FNR 1992-131 KA 8.000% 01/25/22 4,956 200,000 FNR 1993-11 J 7.500% 02/25/08 216 10,349,941 FNR G93-21 Z 7.200% 05/25/23 10,748 14,273,061 FNT 2001-04-4A1 2.400% 09/25/31 14,300 8,399,420 FNT 2001-4 3A5 2.360% 09/25/31 8,425 5,301,000 FSPC T-11 A5 6.500% 01/25/15 5,539 8,000,000 FSPC T-11 A6 6.500% 09/25/18 8,318 7,746,393 GNR 2001-16Z 6.750% 10/16/40 7,582 3,393,336 JPMC 2000-FL1 A 144A 2.805% 04/15/10 3,391 0 LBMLT 2001-3 A2 2.358% 09/25/31 0 151,753 MSMT 40 8 7.000% 07/20/21 154 500,000 NFLC 1999-SL A4 6.654% 02/10/06 526 1,944,749 NSCOR 1999-25 A4 6.500% 10/25/29 1,951 4,900,000 PNCMS 1999-4 1A8 6.200% 06/25/29 5,033 6,700,000 PNCMS 1999-5-1A7 6.300% 06/25/29 6,906 8,886,420 RFMSI 1997-S17 A5 7.000% 11/25/27 9,137 4,074 RFMSI 2000-S14 A1 7.500% 11/25/30 4 3,110,423 RMT 2000-A A8 6.500% 04/19/29 3,207 4,165,250 Sasco 2001-21A 1A1 6.250% 01/25/32 4,283 2,084,178 Sasco 2001-1 A1 6.500% 10/25/31 2,112 773,429 Sasco 2001-1 A1 7.000% 02/25/16 795 677,273 SASI 1993-2 A9 6.200% 07/25/08 688 1,919,203 SBM7 1999-NC4 A 2.300% 09/25/29 1,924 92,112 SBM7 2000-BOA 1A 7.601% 08/25/30 93 7,000,000 SPARC 5.086% 06/20/04 6,965 1,479,920 UMSC 1993-1 AA 6.480% 09/25/33 1,506 502,028 WAMU 2001-1 A 4.570% 01/25/41 505 761,251 WFMBS 2001-2 A1 7.000% 02/25/16 786 ------- 167,643 ------- FOREIGN CORPORATE BONDS 4.6% 500,000 Abbey National Capital Trust 8.963% 12/29/49 576 300,000 Bank One NA Illinois Float 2.100% 05/10/04 300 600,000 British Telecom PLC Global FRN 4.445% 12/15/03 601 500,000 British Telecom PLC Global Note 8.125% 12/15/10 547 1,700,000 DaimlerChrysler NA Holdings 4.200% 08/01/03 1,694 4,300,000 DaimlerChrysler NA Holdings 6.590% 06/18/02 4,321 9,000,000 DaimlerChrysler NA Holdings FRN 3.920% 12/16/02 9,013 500,000 Deutsche Telekom International Finance 7.750% 06/15/05 527 3,700,000 France Telecom 144A** 8.250% 03/01/11 3,759 1,100,000 France Telecom 144A** 9.000% 03/01/31 1,153 12,300,000 France Telecom 144A FRN** 3.613% 03/14/03 12,333 E 2,400,000 Lloyds TSB Capital 1 Call 7.375% 12/29/49 2,326 $ 1,600,000 Royal Bank of Scotland 9.118% 03/31/49 1,845 ------- 38,995 -------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 48
INTEREST MATURITY VALUE (000S) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT BONDS 3.4% $ 7,000,000 Egypt (Arab Republic of) 144A NT** 8.750% 07/11/11 $ 6,825 1,300,000 Inter-American Development Bank 5.375% 01/18/06 1,331 82,353 Republic of Brazil 3.250% 04/15/09 68 1,376,000 Republic of Brazil 5.625% 04/15/06 1,233 2,093,397 Republic of Brazil 8.000% 04/15/14 1,651 4,100,000 Republic of Brazil 11.000% 01/11/12 3,567 5,800,000 Republic of Brazil 11.000% 08/17/40 4,495 700,000 Republic of Brazil 12.250% 03/06/30 614 300,000 Republic of Peru 9.125% 02/21/12 289 800,000 Repulic of Pananma 8.250% 04/22/08 804 2,300,000 United Mexican States 6.250% 12/31/19 2,188 1,300,000 United Mexican States 7.500% 01/14/12 1,320 2,400,000 United Mexican States 8.300% 08/15/31 2,452 800,000 United Mexican States 8.375% 01/14/11 856 500,000 United Mexican States 8.500% 02/01/06 541 300,000 United Mexican States 9.875% 02/01/10 346 100,000 United Mexican States 11.375% 09/15/16 129 ------- 28,709 ------- MORTGAGE BACKED OBLIGATIONS 37.1% 500,000 Allete, Inc. 2.790% 10/20/03 498 5,000,000 BA Mortgage Securities, Inc. 6.600% 08/25/28 5,108 517,821 Bear Stearns ARM Trust 5.440% 11/25/30 533 4,311,701 Bear Stearns ARM Trust, Ser. 2000-1 7.465% 12/25/30 4,368 215,865 Bear Stearns ARM Trust, Ser. 2000-1 7.491% 12/25/30 219 184,340 FH ARM 7.810% 07/01/30 193 927,626 FHLMC 6.500% 01/01/26 - 05/01/26 943 343,635 FHLMC 7.000% 11/15/20 353 101,437 FHLMC 8.250% 08/01/17 110 995,495 FNMA 5.500% 01/01/17 989 39,294,056 FNMA 6.000% 04/01/16 - 04/01/17 39,834 8,900,000 FNMA 7.125% 06/15/10 9,786 6,535,413 FNMA ARM 4.578% 05/01/36 6,660 11,504,084 FNMA ARM 4.590% 05/01/36 11,724 144,259 FNMA ARM 6.360% 11/01/23 147 2,000,000 FNMA TBA 5.500% 05/16/17 1,986 73,000,000 FNMA TBA 6.000% 05/16/17 - 06/08/17 73,844 5,257,418 GNMA 6.000% 01/15/24 - 07/15/31 5,261 53,008,804 GNMA 6.500% 02/15/24 - 01/15/32 53,742 76,500,000 GNMA I TBA 6.000% 05/21/32 75,663 385,471 GNMA II ARM 5.375% 03/20/24 394 4,721,158 GNMA II ARM 6.000% 11/20/29 4,834 76,420 GNMA II ARM 6.375% 04/20/21 78 2,225,484 GNMA II ARM 6.625% 11/20/24 - 10/20/27 2,301 404,179 GNMA II ARM 6.750% 08/20/25 418 3,400,000 GNMA II TBA 6.500% 06/20/32 3,425 10,889,098 GNSF 6.000% 11/15/28 - 07/15/29 10,840 ------- 314,251 ------- MUNICIPAL BONDS 2.0% 4,150,000 Indianapolis Residual 0.000% 07/01/22 4,035 1,000,000 National Rural Utilities MTN 2.940% 04/26/04 999 1,200,000 New Jersey Transportation Trust Fund 5.000% 12/15/21 1,197 8,400,000 Pemex Project Funding Master Trust 8.000% 11/15/11 8,631 2,500,000 Washington DC Convention Center Authority Dedicated Tax Revenue 7.540% 10/01/28 2,033 ------- 16,895 -------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 49
INTEREST MATURITY VALUE (000S) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------- U.S. CORPORATE BONDS 28.9% $ 9,000,000 AOL Time Warner, Inc. 7.625% 04/15/31 $ 8,401 5,000,000 Associates Corp., NA 5.750% 11/01/03 5,177 8,900,000 AT&T Corp. 8.000% 11/15/31 7,823 300,000 AT&T Wireless Services, Inc. 7.875% 03/01/11 293 844,743 Bear Stearns Asset Backed Securities, Inc. 2.180% 02/15/31 846 6,700,000 Bear Stearns Co., Inc. 2.200% 12/01/03 6,706 500,000 Bear Stearns Co., Inc. 2.395% 03/28/03 500 1,100,000 Beckman Instruments, Inc. 7.100% 03/04/03 1,122 7,500,000 Chrysler Financial Co. FRN 3.760% 06/18/03 7,448 4,400,000 CIT Group, Inc. FRN 2.460% 04/07/03 4,356 7,500,000 Conagra Foods, Inc. 2.621% 09/10/03 7,507 4,000,000 Conseco 2001-A A FRN 2.140% 12/15/08 4,008 1,600,000 Credit Suisse First Boston USA, Inc. 6.500% 01/15/12 1,584 569,000 Delta Air Lines, Inc. (Sinking Fund Bond) 9.450% 02/14/06 566 1,140,000 Delta Air Lines, Inc. (Sinking Fund Bond) 9.450% 02/26/06 1,133 1,900,000 First Union Corp. 2.360% 03/31/05 1,904 19,500,000 Ford Motor Credit Co. 3.303% 06/23/03 19,313 1,800,000 Ford Motor Credit Co. 4.077% 06/20/03 1,778 3,600,000 Ford Motor Credit Co. 7.450% 07/16/31 3,392 4,700,000 General Motors Acceptance Corp. 3.986% 08/04/03 4,665 10,100,000 General Motors Acceptance Corp. 8.000% 11/01/31 10,588 2,500,000 General Motors Acceptance Corp. FRN 3.661% 08/18/03 2,473 10,000,000 General Motors Acceptance Corp. FRN 5.750% 11/10/03 10,203 9,000,000 General Motors Acceptance Corp. MTN 4.450% 05/04/04 8,956 1,000,000 General Motors Acceptance Corp. MTN FRN 4.105% 07/30/04 986 7,000,000 GMACC 2001-WTC-A2 144A ARM 3.970% 09/09/15 6,300 8,200,000 Goldman Sachs Group LP 2.280% 04/08/05 8,178 1,800,000 Household Finance Corp. FRN MTN 2.250% 05/28/04 1,785 E 2,600,000 KBC Bank Funding Trust 6.875% 06/29/49 2,332 $ 13,700,000 Lehman Brothers Holdings, Inc., MTN 6.375% 05/07/02 13,707 3,955,000 Morgan Stanley & Co., Inc. 7.187% 09/15/11 3,970 3,362,517 Morgan Stanley Dean Witter Capital 3.973% 07/11/11 3,336 5,000,000 Noram Energy Corp. 6.375% 11/01/03 5,049 4,000,000 NPF XII, Inc. 144A 1.000% 06/01/04 4,000 300,000 Providian Gateway Master Trust CMO 3.920% 03/16/09 294 3,500,000 Public Service El & Gas 8.875% 06/01/03 3,682 6,400,000 Qwest Capital Funding 7.250% 02/15/11 4,644 5,000,000 Sprint Capital Corp. 2.340% 06/24/02 5,001 5,000,000 Sprint Capital Corp. 7.625% 01/30/11 4,708 13,300,000 Sprint Capital Corp. 8.750% 03/15/32 12,685 11,600,000 Sprint Capital Corp. FON Float 2.270% 06/10/02 11,601 8,000,000 Texas Utilities FRN 144A 3.750% 06/15/03 8,009 225,000 Time Warner, Inc. 7.975% 08/15/04 237 300,000 Washington Mutual Bank 2.210% 05/14/04 299 600,000 Washington Mutual Bank 2.210% 05/17/04 600 5,275,000 Waste Management, Inc. 7.000% 07/15/28 4,982 2,495,000 Waste Management, Inc. 7.375% 08/01/10 2,565 15,000,000 Weyerhauser Co. 6.750% 03/15/12 15,140 ------- 244,832 ------- U.S. GOVERNMENT & AGENCIES 1.4% 8,127,958 Small Business Administration 6.344% 08/10/11 8,306 584,265 Small Business Administration 7.449% 08/01/10 635 785,453 U.S. Treasury Inflation Indexed Bond 3.375% 01/15/07 815 1,998,054 U.S. Treasury Note 3.625% 07/15/02 2,028 ------- 11,784 ------- TOTAL BONDS (COST $821,099) 823,109 -------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 50
SHARES/ INTEREST MATURITY VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------- OPTIONS 0.0% CALL OPTIONS 0.0% $ 91 Eurodollar Futures, Strike @ 95.75, Exp. 06/17/02 $ 1 ------- 1 ------- PUT OPTIONS 0.0% 777 Eurodollar 1-year Midcurve Futures, Strike @ 93.50, Exp. 06/14/02 5 115 Eurodollar Futures, Strike @ 92.75, Exp. 06/14/02 1 ------- 6 ------- TOTAL OPTIONS (COST $12) 7 ------- SHORT-TERM INVESTMENTS 16.2% 5,300,000 FHLMC DN 1.820% 07/11/02 5,281 17,700,000 FHLMC DN 1.760% 05/06/02 17,696 20,000,000 FHLMC DN 1.870% 08/15/02 19,890 235,000 FNMA DN 1.750% 05/08/02 235 45,000 FNMA DN 1.750% 05/08/02 45 300,000 FNMA DN 1.750% 05/08/02 300 11,000,000 FNMA DN 1.780% 05/01/02 11,000 37,500,000 Procter & Gamble Co., CP 1.750% 05/16/02 37,472 1,585,000 U.S. Treasury Bill+ 1.690% - 1.760% 05/02/02 1,585 43,637,863 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $43,640) (Cost $43,638) Collateral: FNMA, 4.625%, 08/13/04 (Collateral Value $44,511) 43,638 ------- TOTAL SHORT-TERM INVESTMENTS (COST $137,142) 137,142 ------- TOTAL INVESTMENTS (COST $958,253), 113.3% 960,258 ------- OTHER ASSETS AND LIABILITIES, NET, (13.3)% (112,857) ------- NET ASSETS, 100.0% $ 847,401 ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 51 FREEMONT CALIFORNIA INTERMEDIATE TAX-FREE FUND April 30, 2002 (Unaudited)
INTEREST MATURITY VALUE (000s) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - --------------------------------------------------------------------------------------------------------------------------------- MUNICIPAL BONDS 95.1% $ 1,000,000 Big Bear Area Regional Wastewater Agency, California Revenue 5.000% 04/01/10 $ 1,072 235,000 California Health Facilities Financial Authority Revenue, Kaiser Permanente Series B 5.250% 10/01/13 242 500,000 California State 5.250% 06/01/18 508 1,000,000 California State Public Works Board, Lease Revenue Dept. of Corrections, Prison D 5.100% 06/01/06 1,046 1,000,000 California State Public Works Board, Lease Revenue Refunding, Trustees of The California State University 5.600% 04/01/06 1,086 500,000 California State Public Works Board, Lease Revenue Various University of California Project A 5.400% 12/01/16 528 430,000 California Statewide Communities Development Authority Certificates of Participation Kaiser Permanente 5.300% 12/01/15 454 1,000,000 City and County of San Francisco International Airport, Revenue Second Series Issue 1 (AMBAC Insured) 6.100% 05/01/03 1,020 1,000,000 City and County of San Francisco RDA, Tax Allocation 1997 Series B 5.700% 08/01/14 1,047 1,000,000 City and County of San Francisco Sewer, Revenue Refunding Series 1992 (AMBAC Insured) 5.800% 10/01/05 1,035 1,000,000 City of Anaheim, Public Finance Authority Revenue Bond, Anaheim Electric Utility Projects 5.600% 10/01/16 1,035 400,000 City of Anaheim, Public Finance Authority Revenue Bond, Electric System Generation Series B 5.250% 10/01/18 414 1,000,000 City of Fairfield, Water Revenue (AMBAC Insured) 5.250% 04/01/14 1,042 1,225,000 City of Industry, Urban Development Agency Tax Allocation (MBIA Insured) 5.250% 05/01/12 1,240 1,500,000 City of Los Angeles, Wastewater System Revenue Series A (MBIA Insured) 5.000% 12/01/11 1,602 500,000 City of Pasadena, GO Refunding Police and Jail Building 1993 5.000% 06/01/07 525 1,000,000 City of Riverside, Electric Revenue Refunding 1993 5.000% 10/01/06 1,048 1,000,000 City of Riverside, Electric Revenue Refunding 1993 (AMBAC Insured) 5.000% 10/01/13 1,025 1,000,000 City of Whittier, Solid Waste Revenue Series A (AMBAC Insured) 5.375% 08/01/14 1,045 615,000 Contra Costa California Water District 5.250% 10/01/16 629 1,000,000 Contra Costa Water Authority, Water Treatment Revenue Refunding 1993 Series A (FGIC Insured) 5.300% 10/01/05 1,033 200,000 East Bay CA MUD, Water System Revenue Series 2001 5.250% 06/01/17 209 1,500,000 East Bay CA MUD, Water System Subordinated Revenue Series 1998 5.250% 06/01/14 1,580 350,000 El Paso De Robles CA Series C (MBIA Insured) 5.250% 08/01/17 364 1,000,000 Fresno CA Sewer Revenue Series A-1 5.250% 09/01/19 1,043 500,000 Industry CA 5.500% 07/01/16 520 1,050,000 Kings River Conservation District CA Pine Flat Power Revenue 5.125% 01/01/17 1,081 450,000 Larkspur School District 5.125% 08/01/18 460 1,000,000 Los Angeles CA Convention & Exhibition Center Authority Lease Revenue 5.200% 08/15/09 1,042 340,000 Los Angeles CA Municipal Improvement Corp. Lease Revenue 5.000% 09/01/12 356 1,000,000 Los Angeles Convention & Exhibition Center Authority Lease Revenue 5.375% 08/15/18 1,039 500,000 Los Angeles County CA Public Works Finance Authority Lease Revenue 5.500% 10/01/11 541 1,000,000 Los Angeles County Public Works Finance Authority, Lease Revenue Series B (MBIA Insured) 5.250% 09/01/09 1,083 1,000,000 Los Angeles County Public Works Finance Authority, Regional Park and Open Space District Series A 5.000% 10/01/16 1,026 750,000 Los Angeles County Sanitation District Finance Authority, 1993 Series A 5.250% 10/01/06 794 1,000,000 Los Angeles County Transportation Authority, Sales Tax Revenue 5.000% 07/01/15 1,039 85,000 Los Angeles Dept. of Water & Power, Electric Plant Revenue Cash Defeasance to Maturity 5.500% 09/01/07 90 80,000 Los Angeles Dept. of Water & Power, Electric Plant Revenue Prerefunded 9/1/2003 5.500% 09/01/07 85 835,000 Los Angeles Dept. of Water & Power, Electric Plant Revenue Unrefunded Balance 5.500% 09/01/07 880 1,000,000 Los Angeles Dept. of Water & Power, Waterworks Revenue Refunding 5.625% 04/15/08 1,045 1,000,000 Los Angeles Municipal Improvement Corporation Lease Revenue 5.375% 06/01/15 1,042 1,000,000 M-S-R Public Power Agency, San Juan Project Revenue Series F 5.650% 07/01/03 1,043
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 52
INTEREST MATURITY VALUE (000s) FACE AMOUNT ISSUER/SECURITY DESCRIPTION RATE DATE (NOTE 1) MUNICIPAL BONDS (CONT.) $ 1,000,000 Metropolitan Water District of Southern California, Waterworks GO Refunding 1993 Series A 5.250% 03/01/05 $ 1,045 1,000,000 Modesto High School District, 1993 GO Refunding (FGIC Insured) 5.300% 08/01/04 1,058 1,000,000 Modesto Irrigation District Finance Authority, Domestic Water Project Revenue 1992 Series A (AMBAC Insured) 5.650% 09/01/03 1,034 500,000 Northern California Power Agency, Geothermal Project #3 Series A 5.600% 07/01/06 541 500,000 Northern California Power Agency, Geothermal Project #3, Escrowed to Maturity Series A 5.600% 07/01/06 553 1,000,000 Orange County Transportation Authority, Measure M Sales Tax Revenue First Series 1992 6.000% 02/15/06 1,102 1,000,000 Orange County Transportation Authority, Measure M Sales Tax Revenue Second Senior Series 1994 (FGIC Insured) 5.000% 02/15/08 1,078 500,000 Peralta California Community College District 5.350% 08/01/17 524 1,000,000 Rancho Cucamonga RDA, 1994 Tax Allocation Refunding (MBIA Insured) 5.000% 09/01/07 1,052 1,000,000 Sacramento County Sanitation District Finance Authority, Revenue Bond (MBIA Insured) 5.000% 12/01/08 1,052 1,000,000 Sacramento County Sanitation District Finance Authority, Revenue Bond (MBIA Insured) 5.125% 12/01/13 1,052 2,000,000 Sacramento MUD, Electric Revenue 1997 Series L 5.125% 07/01/15 2,078 1,000,000 San Bernardino County Transportation Authority, Sales Tax Revenue 1992 Series A (FGIC Insured) 6.000% 03/01/03 1,023 550,000 San Francisco City & County Redevelopment Financing Authority 5.125% 08/01/18 552 500,000 Santa Clara County, Fremont California Union High School District Series B 5.250% 09/01/19 511 1,000,000 Santa Margarita/Dana Point Authority Orange County, Revenue Bond Series A 5.375% 08/01/04 1,066 1,000,000 Santa Monica-Malibu Unified School District, Public School Facilities Reconstruction Projects 5.500% 08/01/18 1,065 1,000,000 Southern California Public Power Authority, Palo Verde Power Projects Revenue 1993 Series A 5.100% 07/01/06 1,051 1,000,000 University of California, Housing System Revenue 1993 Series A (MBIA Insured) 5.500% 11/01/08 1,061 1,000,000 West & Central Basin Finance Authority, West Basin Water Revenue Refunding Project (AMBAC Insured) 5.125% 08/01/06 1,049 1,500,000 Yucaipa School Facilities Finance Authority, 1995 Sweetwater Refunding (MBIA Insured) 6.000% 09/01/10 1,548 -------- TOTAL MUNICIPAL BONDS (COST $53,131) 56,133 -------- SHORT-TERM INVESTMENT 4.6% $ 2,755,072 Provident Institutional Fund: Municipal Fund for California Investors, Inc. 2,755 -------- TOTAL SHORT-TERM INVESTMENT (COST $2,755) 2,755 -------- TOTAL INVESTMENTS (COST $55,886), 99.7% 58,888 -------- OTHER ASSETS AND LIABILITIES, NET, 0.3% 156 -------- NET ASSETS, 100.0% $ 59,044 =========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 53 FREMONT MONEY MARKET FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
INTEREST MATURITY VALUE (000S) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------------- COMMERCIAL PAPER 100.1% CAPITAL GOODS 3.6% $ 5,000,000 General Electric Capital Corp. 1.800% 06/26/02 $ 4,986 10,000,000 General Electric Capital Corp. 2.020% 10/21/02 9,903 10,000,000 General Electric Capital Corp. 2.260% 07/02/02 9,961 -------- 24,850 -------- CONSUMER DURABLES 7.2% 10,000,000 American Honda Finance Corp. 1.770% 06/12/02 9,979 10,000,000 American Honda Finance Corp. 1.810% 05/20/02 9,990 10,000,000 Coca Cola Enterprises** 1.820% 05/24/02 9,988 10,000,000 Coca Cola Enterprises** 1.830% 05/23/02 9,989 5,000,000 International Lease Finance Corp. 1.820% 05/28/02 4,993 5,000,000 Toyota Motor Credit Corp.** 1.780% 05/16/02 4,996 -------- 49,935 -------- CONSUMER NON-DURABLES 9.7% 8,000,000 Brown-Forman Corp.** 1.880% 05/01/02 8,000 10,000,000 Cadbury Schweppes 1.900% 05/29/02 9,985 10,000,000 Gannett Co., Inc. 1.770% 07/02/02 9,970 10,000,000 Gannett Co., Inc. 1.780% 06/06/02 9,982 5,000,000 Golden Peanut Co. 1.770% 07/02/02 4,998 5,000,000 Nestle Capital Corp.** 1.760% 09/23/02 4,965 10,000,000 Nestle Capital Corp.** 1.930% 08/27/02 9,937 10,000,000 Nestle Capital Corp.** 2.100% 07/19/02 9,954 -------- 67,791 -------- CONSUMER SERVICES 5.0% 10,000,000 Harvard University 1.750% 05/08/02 9,997 10,000,000 New York Times 1.770% 05/09/02 9,996 5,000,000 New York Times 1.840% 07/08/02 4,983 10,000,000 Stanford University 1.780% 05/02/02 10,000 -------- 34,976 -------- ENERGY 2.1% 5,000,000 Chevron UK Investment PLC 1.750% 05/09/02 4,998 10,000,000 ChevronTexaco Corp. 1.770% 06/25/02 9,973 -------- 14,971 -------- FINANCIAL SERVICES (BANKS) 13.6% 10,000,000 Banque ET Caisse D'Espargne De L'Etat 1.780% 05/06/02 9,998 5,000,000 Banque ET Caisse D'Espargne De L'Etat 1.820% 07/18/02 4,980 10,000,000 Banque ET Caisse D'Espargne De L'Etat 2.080% 11/12/02 9,887 10,000,000 Bayerische Hypo-Und Vereinsbank Yankee CD 3.770% 06/24/02 10,000 10,000,000 Halifax PLC 1.810% 07/16/02 9,962 5,000,000 Rabobank Nederland 1.750% 06/14/02 4,989 10,000,000 Rabobank Nederland 1.800% 06/13/02 9,979 10,000,000 Royal Bank of Canada 2.050% 08/23/02 9,935 10,000,000 Svenska Handelsbanken 1.800% 06/18/02 9,976 10,000,000 UBS Finance, Inc. 1.830% 06/13/02 9,978 5,000,000 Wells Fargo Financial, Inc. 1.820% 05/15/02 4,996 -------- 94,680 -------- FINANCIAL SERVICES (OTHER) 34.2% 10,000,000 Abbey National North America 1.720% 06/21/02 9,976 5,000,000 Abbey National North America 1.750% 06/14/02 4,989 10,000,000 Abbey National North America 1.830% 07/03/02 9,968 10,000,000 AIG Funding, Inc. 1.750% 08/08/02 9,952 10,000,000 AIG Funding, Inc. 2.030% 09/09/02 9,926 5,000,000 American Express Credit** 1.770% 06/17/02 4,988
54 THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
INTEREST MATURITY VALUE (000S) FACE AMOUNT ISSUER RATE DATE (NOTE 1) - -------------------------------------------------------------------------------------------------------------------------- $ 10,000,000 American Express Credit 1.780% 07/12/02 $ 9,964 10,000,000 American Express Credit 1.790% 05/22/02 9,990 5,000,000 AWB Finance Ltd.** 1.790% 06/19/02 4,988 10,000,000 AWB Finance Ltd.** 1.800% 05/06/02 9,998 5,000,000 AWB Finance Ltd.** 1.810% 06/04/02 4,991 5,000,000 AWB Finance Ltd.** 1.870% 07/09/02 4,982 10,000,000 Canadian Wheat Board 2.140% 09/30/02 9,910 10,000,000 CBA Del Financial, Inc. 1.800% 07/26/02 9,957 10,000,000 Dresdner U.S. Finance, Inc. 2.150% 10/04/02 9,907 10,000,000 Goldman Sachs Group LP 1.940% 08/29/02 9,935 10,000,000 Goldman Sachs Group LP 2.150% 10/01/02 9,909 10,000,000 KFW International Finance 1.700% 07/10/02 9,967 5,000,000 Marsh & McLennan Cos., Inc.** 1.760% 05/30/02 4,993 10,000,000 Prudential Funding 1.780% 05/07/02 9,997 10,000,000 Prudential Funding 1.780% 06/28/02 9,971 10,000,000 Swiss Re Financial Products** 1.790% 06/07/02 9,982 10,000,000 Swiss Re Financial Products** 1.920% 08/21/02 9,940 5,000,000 Swiss Re Financial Products** 2.140% 05/13/02 4,996 10,000,000 Toronto Dominion Holdings USA, Inc. 2.120% 09/11/02 9,922 10,000,000 Transamerica Finance Corp 1.798% 05/13/02 9,994 5,000,000 Transamerica Finance Corp 1.810% 05/21/02 4,995 10,000,000 Transamerica Finance Corp 1.930% 08/22/02 9,939 -------- 239,026 -------- FOREIGN GOVERNMENT BONDS 1.4% 10,000,000 British Columbia, Province of 1.950% 06/05/02 9,981 -------- 9,981 -------- RAW MATERIALS 4.1% 18,800,000 Alcoa, Inc 1.850% 05/01/02 18,800 10,000,000 BASF Aktiengesellschaft 1.770% 06/27/02 9,972 -------- 28,772 -------- U.S. GOVERNMENT & AGENCIES 14.2% 10,000,000 FFCB 3.450% 09/04/02 9,997 10,000,000 FHLB, AN 2.340% 10/07/02 9,897 5,000,000 FHLB, AN 2.630% 03/14/03 4,884 5,000,000 FHLB, AN 2.630% 03/14/03 4,884 10,000,000 FHLB, AN 2.680% 03/24/03 9,757 10,000,000 FHLB, AN 3.500% 08/20/02 10,000 10,000,000 FHLMC, AN 3.570% 07/18/02 9,923 10,000,000 FHLMC, AN 3.600% 06/20/02 9,950 10,000,000 FHLMC, AN 3.750% 06/03/02 9,966 10,000,000 FNMA, AN 3.730% 05/17/02 9,983 10,000,000 FNMA, AN 3.915% 05/03/02 9,998 -------- 99,239 -------- UTILITIES 5.0% 10,000,000 ABB Treasury Center** 1.930% 05/14/02 9,993 5,000,000 National Rural Utilities Co-op Finance 1.720% 06/11/02 4,989 10,000,000 National Rural Utilities Co-op Finance 1.830% 06/11/02 9,979 10,000,000 National Rural Utilities Co-op Finance 1.850% 06/10/02 9,979 -------- 34,940 -------- TOTAL COMMERCIAL PAPER (COST $699,161) 699,161 --------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 55
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - -------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENT 0.0% $ 93,276 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $93) (Cost $93) Collateral: FHLMC, 0.000%, 08/28/02 (Collateral Value $99) $ 93 ---------- TOTAL SHORT-TERM INVESTMENT (COST $93) 93 ---------- TOTAL INVESTMENTS (COST $699,254), 100.1% 699,254 ---------- OTHER ASSETS AND LIABILITIES, NET, (0.1)% (520) ---------- NET ASSETS, 100.0% $ 698,734 ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 56 FREMONT MUTUAL FUNDS, INC. Notes to Schedules of Investments in Securities and Net Assets - April 30, 2002 (Unaudited) The following footnotes and abbreviations relate to the Schedules of Investments in Securities and Net Assets on pages 24 through 56. * Non-income producing security. ** Security was purchased under Rule 144A of the Securities Act of 1933 or is a private placement and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. (a) Represents discount rate or yield to maturity at the date of acquisition. (b) As of April 30, 2002, these securities represent ownership of at least 5% of the voting securities of the issuer and are, therefore, affiliates as defined in the Investment Company Act of 1940; See Note 2 of "Notes to Financial Statements." (c) Board priced security. + On deposit with broker for initial margin on futures contracts (notes 1). PORTFOLIO ABBREVIATIONS ADR American Depository Receipt AMBAC American Municipal Bond Assurance Corp. AN Agency Note ARM Adjustable Rate Mortgage CMO Collateralized Mortgage Obligation CP Commercial Paper DN Discount Note FFCB Federal Farm Credit Bank FGIC Financial Guaranty Insurance Corp. FHLB Federal Home Loan Bank FHLMC Federal Home Loan Mortgage Corp. FNMA Federal National Mortgage Association FRN Floating Rate Note GDR Global Depository Receipt GNMA Government National Mortgage Association GO General Obligation MBIA Municipal Bond Investor Assurance Corp. MTN Medium Term Note MUD Municipal Utility District RDA Redevelopment Agency REIT Real Estate Investment Trust TBA To Be Announced CURRENCY ABBREVIATIONS AU$ Australian Dollar L British Pound CN$ Canadian Dollar DK Danish Kroner E Euro Y Japanese Yen NZ$ New Zealand Dollar SK Swedish Krona $ U.S. Dollar THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 57 COUNTRY DIVERSIFICATION TABLE
COUNTRY COUNTRY INTERNATIONAL CODE NAME GLOBAL FUND GROWTH FUND BOND FUND - ------------------------------------------------------------------------------------------------------------------------------ AU Australia 1.1% 3.6% - BE Belgium 1.0% - - BM Bermuda - 0.4% - BR Brazil 0.2% 0.1% - CA Canada 1.1% 2.5% - CY Cyprus 0.1% - - DK Denmark 0.1% 0.1% - EG Egypt - - 0.7% FI Finland 0.8% 3.4% - FR France 3.5% 9.2% 1.5% DE Germany 2.5% 4.5% 2.9% GR Greece - 0.6% - HK Hong Kong 0.7% 4.3% - IE Ireland 0.1% 2.0% - IL Israel 0.1% - - IT Italy 2.7% 1.4% - JP Japan 4.8% 25.5% - LU Luxembourg 0.7% 0.4% - MY Malaysia 0.3% - - MX Mexico 0.6% 1.7% 0.1% NL Netherlands - 8.6% - NZ New Zealand 0.4% - - NO Norway 0.2% 0.7% - RU Russian Federation - 0.3% - SG Singapore 0.3% 2.7% - ZA South Africa 0.1% - - KR South Korea 0.2% 2.3% - ES Spain 1.1% 2.1% - SE Sweden 0.5% 3.5% - CH Switzerland 0.6% 10.4% - TW Taiwan 0.1% 1.1% - UK United Kingdom 3.9% 15.8% 0.6% US United States 76.9% - 107.5% --------------------------------------------------------- 104.7% 107.2% 113.3% Other assets and liabilities, net (4.7%) (7.2%) (13.3%) --------------------------------------------------------- 100.0% 100.0% 100.0% =========================================================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 58 FREMONT MUTUAL FUNDS, INC. April 30, 2002 (Unaudited) This page left blank intentionally 59 FREMONT MUTUAL FUNDS, INC. April 30, 2002 (Unaudited) STATEMENTS OF ASSETS AND LIABILITIES (ALL NUMBERS IN THOUSANDS EXCEPT NET ASSET VALUE PER SHARE)
INTERNATIONAL NEW ERA GLOBAL GROWTH VALUE FUND FUND FUND ----------------------------------------- ASSETS: Investments in securities at cost $ 679,358 $ 38,161 $ 41,794 Repurchase agreements at cost 6,412 -- 930 ---------- ---------- ---------- TOTAL INVESTMENTS AT COST $ 685,770 $ 38,161 $ 42,724 ========== ========== ========== Investments in securities at value $ 623,626 $ 34,640 $ 36,218 Repurchase agreements at value 6,412 -- 930 Cash 1,474 -- -- Dividends and interest receivable 3,810 167 32 Receivable for securities sold 7,469 1,520 -- Receivable from sale of fund shares 10 10 -- Receivable from management -- 15 -- Variation margin receivable 31 -- -- Unrealized appreciation on foreign currency contracts 1,593 79 -- Unamortized organization costs -- -- -- Prepaid expenses 30 15 9 Other assets -- -- -- ---------- ---------- ---------- TOTAL ASSETS 644,455 36,446 37,189 ---------- ---------- ---------- LIABILITIES: Demand loan payable to bank -- 3,544 -- Liabilities for options written 90 -- -- Income dividend payable -- 15 -- Payable for securities purchased 38,480 42 828 Payable for fund shares redeemed 7 405 -- Unrealized depreciation on foreign currency contracts 3,327 55 -- Unrealized depreciation on swaps 516 -- -- Accrued expenses: Investment advisory, administrative and distribution fees 376 34 27 Other 198 37 45 ---------- ---------- ---------- TOTAL LIABILITIES 42,994 4,132 900 ---------- ---------- ---------- NET ASSETS $ 601,461 $ 32,314 $ 36,289 ========== ========== ========== Net assets consist of: Paid in capital $ 732,000 $ 45,771 $ 43,073 Undistributed net investment income (loss) 313 (244) (6) Unrealized appreciation (depreciation) on investments, options, swaps and futures (56,212) (3,521) (5,576) Unrealized appreciation on foreign currency contracts and other assets and liabilities (2,584) 24 -- Accumulated net realized (loss) (72,056) (9,716) (1,202) ---------- ---------- ---------- NET ASSETS $ 601,461 $ 32,314 $ 36,289 ========== ========== ========== SHARES OF CAPITAL STOCK OUTSTANDING 55,868 4,165 4,768 ========== ========== ========== NET ASSET VALUE PER SHARE $ 10.77 $ 7.76 $ 7.61 ========== ========== ==========
The Global Fund received premiums of $95 on options written and outstanding at April 30, 2002. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 60
NEW ERA STRUCTURED U.S. U.S. REAL ESTATE GROWTH CORE SMALL CAP MICRO-CAP SECURITIES FUND FUND FUND FUND FUND ----------------------------------------------------------------- ASSETS: Investments in securities at cost $ 1,805 $ 74,622 $ 47,236 $ 580,250 $ 29,541 Repurchase agreements at cost 135 116 8,000 106,312 1,060 --------- --------- --------- --------- --------- TOTAL INVESTMENTS AT COST $ 1,940 $ 74,738 $ 55,236 $ 686,562 $ 30,601 ========= ========= ========= ========= ========= Investments in securities at value $ 1,842 $ 85,431 $ 40,255 $ 531,750 $ 32,619 Repurchase agreements at value 135 116 8,000 106,312 1,060 Cash -- -- 61 -- -- Dividends and interest receivable 1 57 -- 4 -- Receivable for securities sold 41 -- -- 482 -- Receivable from sale of fund shares -- -- 5 470 16 Receivable from management -- -- 8 -- -- Variation margin receivable -- 28 -- -- -- Unrealized appreciation on foreign currency contracts -- -- -- -- -- Unamortized organization costs -- -- 1 -- 1 Prepaid expenses 10 7 10 -- 10 Other assets -- -- -- -- -- --------- --------- --------- --------- --------- TOTAL ASSETS 2,029 85,639 48,340 639,018 33,706 --------- --------- --------- --------- --------- LIABILITIES: Demand loan payable to bank -- -- -- -- -- Liabilities for options written -- -- -- -- -- Income dividend payable -- -- -- -- -- Payable for securities purchased -- -- 1,549 5,306 50 Payable for fund shares redeemed -- 18 1 586 11 Unrealized depreciation on foreign currency contracts -- -- -- -- -- Unrealized depreciation on swaps -- -- -- -- -- Accrued expenses: Investment advisory, administrative and distribution fees 11 47 45 642 39 Other 31 51 46 -- 39 --------- --------- --------- --------- --------- TOTAL LIABILITIES 42 116 1,641 6,534 139 --------- --------- --------- --------- --------- NET ASSETS $ 1,987 $ 85,523 $ 46,699 $ 632,484 $ 33,567 ========= ========= ========= ========= ========= Net assets consist of: Paid in capital $ 2,036 $ 87,104 $ 69,692 $ 751,361 $ 35,630 Undistributed net investment income (loss) (4) 141 (301) (4,156) 137 Unrealized appreciation (depreciation) on investments, options, swaps and futures 37 10,645 (6,981) (48,500) 3,078 Unrealized appreciation on foreign currency -- -- -- -- -- contracts and other assets and liabilities Accumulated net realized (loss) (82) (12,367) (15,711) (66,221) (5,278) --------- --------- --------- --------- --------- NET ASSETS $ 1,987 $ 85,523 $ 46,699 $ 632,484 $ 33,567 ========= ========= ========= ========= ========= SHARES OF CAPITAL STOCK OUTSTANDING 215 7,629 4,186 24,364 3,624 ========= ========= ========= ========= ========= NET ASSET VALUE PER SHARE $ 9.25 $ 11.21 $ 11.16 $ 25.96 $ 9.26 ========= ========= ========= ========= =========
61
CALIFORNIA BOND INTERMEDIATE MONEY MARKET FUND TAX-FREE FUND FUND ------------------------------------------------- ASSETS: Investments in securities at cost $ 914,615 $ 55,886 $ 699,161 Repurchase agreements at cost 43,638 -- 93 ----------- ----------- ----------- TOTAL INVESTMENTS AT COST $ 958,253 $ 55,886 $ 699,254 =========== =========== =========== Investments in securities at value $ 916,620 $ 58,888 $ 699,161 Repurchase agreements at value 43,638 -- 93 Cash -- 94 -- Dividends and interest receivable 7,084 705 481 Receivable for securities sold 81,388 -- -- Receivable from sale of fund shares 414 -- 250 Receivable from management 34 -- -- Unrealized appreciation on foreign currency contracts 531 -- -- Unrealized appreciation on swaps 2,756 -- -- Prepaid expenses 25 2 4 Other assets -- -- 1 ----------- ----------- ----------- TOTAL ASSETS 1,052,490 59,689 699,990 ----------- ----------- ----------- LIABILITIES: Demand loan payable to bank 163 -- -- Liabilities for options written 2,252 -- -- Income dividend payable 2,921 208 1,012 Payable for securities purchased 199,127 364 -- Payable for fund shares redeemed 62 -- -- Unrealized depreciatin on foreign currency contracts 126 -- -- Variation Margin Payable 59 -- -- Accrued expenses: Investment advisory, administrative and distribution fees 371 41 206 Other 8 32 38 ----------- ----------- ----------- TOTAL LIABILITIES 205,089 645 1,256 ----------- ----------- ----------- NET ASSETS $ 847,401 $ 59,044 $ 698,734 =========== =========== =========== Net assets consist of: Paid in capital $ 849,028 $ 56,180 $ 698,755 Undistributed net investment income (loss) (6,543) 5 -- Unrealized appreciation on investments, options, swaps and futures 2,659 3,002 -- Unrealized appreciation on foreign currency contracts and other assets and liabilities 1,929 -- -- Accumulated net realized gain (loss) 328 (143) (21) ----------- ----------- ----------- NET ASSETS $ 847,401 $ 59,044 $ 698,734 =========== =========== =========== SHARES OF CAPITAL STOCK OUTSTANDING 83,212 5,350 698,734 =========== =========== =========== NET ASSET VALUE PER SHARE $ 10.18 $ 11.04 $ 1.00 =========== =========== ===========
The Bond Fund received premiums of $4,123 on options written and outstanding at April 30, 2002. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 62 This page left blank intentionally 63 FREMONT MUTUAL FUNDS, INC. Six Months Ended April 30, 2002 (Unaudited) STATEMENTS OF OPERATIONS (ALL NUMBERS IN THOUSANDS)
INTERNATIONAL NEW ERA GLOBAL GROWTH VALUE FUND FUND FUND ------------------------------------------------- INVESTMENT INCOME: Interest $ 4,133 $ 21 $ 15 Dividends 2,454 244 180 -------- ------------- ------- TOTAL INCOME* 6,587 265 195 -------- ------------- ------- EXPENSES: Investment advisory and administrative fees 2,301 245 151 Shareholder servicing fees 121 54 40 Custody fees 119 18 3 Accounting fees 221 12 9 Audit and legal fees 46 12 7 Directors' fees 16 5 5 Registration fees 19 12 7 Reports to shareholders 25 11 5 Interest expense 2 14 -- Other 9 4 3 -------- ------------- ------- TOTAL EXPENSES BEFORE REDUCTIONS 2,879 387 230 Earned custody credits -- -- -- Expenses waived and/or reimbursed by Advisor -- (68) (28) -------- ------------- ------- TOTAL NET EXPENSES 2,879 319 202 -------- ------------- ------- NET INVESTMENT INCOME (LOSS) 3,708 (54) (7) -------- ------------- ------- REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY: Investments (18,486) (3,231) (1,131) Futures 926 -- -- Swaps 436 -- -- Options 20 -- -- Foreign currency transactions 303 (2,268) -- Net unrealized appreciation (depreciation) on: Investments, options and futures 27,861 9,258 (867) Translation of assets and liabilities in foreign currencies (1,564) (118) -- -------- ------------- ------- Net realized and unrealized gain (loss) from investments and foreign currency 9,496 3,641 (1,998) -------- ------------- ------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 13,204 $ 3,587 $(2,005) ======== ============= =======
* NET OF FOREIGN TAXES WITHHELD OF $87 FOR THE GLOBAL FUND AND $35 FOR THE INTERNATIONAL GROWTH FUND. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 64
NEW ERA STRUCTURED U.S. U.S. REAL ESTATE GROWTH CORE SMALL CAP MICRO-CAP SECURITIES FUND FUND FUND . FUND FUND ------------------------------------------------------------ INVESTMENT INCOME: Interest $ 1 $ 42 $ 79 $ 909 $ 11 Dividends 3 595 -- 72 698 ------- ---------- --------- --------- ----------- TOTAL INCOME* 4 637 79 981 709 ------- ---------- --------- --------- ----------- EXPENSES: Investment advisory and administrative fees 6 283 285 5,137 129 Shareholder servicing fees 9 85 81 -- 39 Custody fees 1 10 10 -- 4 Accounting fees 6 12 9 -- 6 Audit and legal fees 11 15 14 -- 13 Directors' fees 3 6 5 -- 4 Registration fees 9 10 9 -- 6 Reports to shareholders 7 13 17 -- 7 Interest expense -- -- -- -- -- Other 2 5 6 -- 7 ------- ---------- --------- --------- ----------- TOTAL EXPENSES BEFORE REDUCTIONS 54 439 436 5,137 215 Earned custody credits -- -- -- -- -- Expenses waived and/or reimbursed by Advisor (46) -- (56) -- (21) ------- ---------- --------- --------- ----------- TOTAL NET EXPENSES 8 439 380 5,137 194 ------- ---------- --------- --------- ----------- NET INVESTMENT INCOME (LOSS) (4) 198 (301) (4,156) 515 ------- ---------- --------- --------- ----------- REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY: Investments (81) (832) (4,416) (31,419) 291 Futures -- 302 -- -- -- Swaps -- -- -- -- -- Options -- -- -- -- -- Foreign currency transactions -- -- -- -- -- Net unrealized appreciation (depreciation) on: Investments, options and futures 40 3,511 4,623 51,439 2,837 Translation of assets and liabilities in foreign currencies -- -- -- -- -- ------- ---------- --------- --------- ----------- Net realized and unrealized gain (loss) from investments and foreign currency (41) 2,981 207 20,020 3,128 ------- ---------- --------- --------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ (45) $ 3,179 $ (94) $ 15,864 $ 3,643 ======= ========== ========= ========= ===========
* Net of foreign taxes withheld of $87 for the Global Fund and $35 for the International Growth Fund. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 65
CALIFORNIA BOND INTERMEDIATE MONEY MARKET FUND TAX-FREE FUND FUND ------------------------------------------- INVESTMENT INCOME: Interest $ 19,306 $ 1,430 $ 8,765 -------- ------------- ------------ TOTAL INCOME 19,306 1,430 8,765 -------- ------------- ------------ EXPENSES: Investment advisory and administrative fees 2,247 147 1,305 Shareholder servicing fees 82 11 86 Custody fees 46 4 27 Accounting fees 78 11 49 Audit and legal fees 35 14 13 Directors' fees 14 5 12 Registration fees 131 -- 36 Reports to shareholders 22 4 9 Other 5 4 17 -------- ------------- ------------ TOTAL EXPENSES BEFORE REDUCTIONS 2,660 200 1,554 Earned custody credits (4) (2) -- Expenses waived and/or reimbursed by Advisor (204) (48) -- -------- ------------- ------------ TOTAL NET EXPENSES 2,452 150 1,554 -------- ------------- ------------ NET INVESTMENT INCOME 16,854 1,280 7,211 -------- ------------- ------------ REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS AND FOREIGN CURRENCY: Investments (1,334) 175 1 Futures (1,144) -- -- Swaps 6,498 -- -- Options 1,101 -- -- Foreign currency transactions 2,271 -- -- Net unrealized appreciation (depreciation) on: Investments, options and futures (24,682) (858) -- Translation of assets and liabilities in foreign currencies 499 -- -- -------- ------------- ------------ Net realized and unrealized gain (loss) from investments and foreign currency (16,791) (683) 1 -------- ------------- ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 63 $ 597 $ 7,212 ======== ============= ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 66 FREMONT MUTUAL FUNDS, INC. APRIL 30, 2002 (UNAUDITED) This page left blank intentionally 67 FREMONT MUTUAL FUNDS, INC. STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED APRIL 30, 2002 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 2001 (ALL NUMBERS IN THOUSANDS)
INTERNATIONAL GLOBAL GROWTH FUND FUND --------------------- --------------------- 04/30/02 10/31/01 04/30/02 10/31/01 --------- --------- --------- --------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income (loss) $ 3,708 $ 13,698 $ (54) $ 43 Net realized (loss) from investments and transactions in written options and futures (17,104) (66,418) (3,231) (4,175) Net realized gain (loss) from foreign currency transactions 303 7,901 (2,268) 618 Net unrealized appreciation (depreciation) on investments 27,861 (84,063) 9,258 (16,694) Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies (1,564) (8,103) (118) 257 --------- --------- --------- --------- Net increase (decrease) in net assets from operations 13,204 (136,985) 3,587 (19,951) --------- --------- --------- --------- Distributions to shareholders from: Net investment income (6,242) (9,076) (21) (885) Net realized gains -- (20,538) -- (4,851) Paid in capital -- (1,607) -- -- --------- --------- --------- --------- Total distributions to shareholders (6,242) (31,221) (21) (5,736) --------- --------- --------- --------- From capital share transactions: Proceeds from shares sold 103,236 668,867 206,445 354,617 Reinvested dividends 6,193 30,959 14 3,147 Payments for shares redeemed (117,061) (728,979) (223,128) (373,177) --------- --------- --------- --------- Net increase (decrease) in net assets from capital share transactions (7,632) (29,153) (16,669) (15,413) --------- --------- --------- --------- Net increase (decrease) in net assets (670) (197,359) (13,103) (41,100) Net assets at beginning of period 602,131 799,490 45,417 86,517 --------- --------- --------- --------- NET ASSETS AT END OF PERIOD $ 601,461 $ 602,131 $ 32,314 $ 45,417 ========= ========= ========= ========= Undistrubuted net investment income (loss) $ 313 $ 3,280 $ (244) $ (169) ========= ========= ========= ========= CAPITAL TRANSACTIONS IN SHARES: Sold 9,408 56,588 26,799 37,423 Reinvested dividends 563 2,493 2 307 Redeemed (10,659) (61,641) (28,690) (38,810) --------- --------- --------- --------- Net increase (decrease) from capital share transactions (688) (2,560) (1,889) (1,080) ========= ========= ========= =========
* Period from 12/29/00 (date of inception) to 10/31/01. + Period from 09/28/01 (date of inception) to 10/31/01. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 68
NEW ERA NEW ERA VALUE GROWTH FUND FUND -------------------- -------------------- 04/30/02 10/31/01* 04/30/02 10/31/01+ -------- --------- -------- --------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income (loss) $ (7) $ 8 $ (4) $ -- Net realized (loss) from investments and transactions in written options and futures (1,131) (71) (81) (1) Net realized gain (loss) from foreign currency transactions -- -- -- -- Net unrealized appreciation (depreciation) on investments (867) (4,709) 40 (3) Net unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies -- -- -- -- -------- -------- -------- -------- Net increase (decrease) in net assets from operations (2,005) (4,772) (45) (4) -------- -------- -------- -------- Distributions to shareholders from: Net investment income (7) -- -- -- Net realized gains -- -- -- -- Paid in capital -- -- -- -- -------- -------- -------- -------- Total distributions to shareholders (7) -- -- -- -------- -------- -------- -------- From capital share transactions: Proceeds from shares sold 18,526 34,016 1,542 500 Reinvested dividends 7 -- -- -- Payments for shares redeemed (7,423) (2,053) (6) -- -------- -------- -------- -------- Net increase (decrease) in net assets from capital share transactions 11,110 31,963 1,536 500 -------- -------- -------- -------- Net increase (decrease) in net assets 9,098 27,191 1,491 496 Net assets at beginning of period 27,191 -- 496 -- -------- -------- -------- -------- NET ASSETS AT END OF PERIOD $ 36,289 $ 27,191 $ 1,987 $ 496 ======== ======== ======== ======== Undistrubuted net investment income (loss) $ (6) $ 8 $ (4) $ -- ======== ======== ======== ======== CAPITAL TRANSACTIONS IN SHARES: Sold 2,214 3,661 166 50 Reinvested dividends 1 -- -- -- Redeemed (884) (224) (1) -- -------- -------- -------- -------- Net increase (decrease) from capital share transactions 1,331 3,437 165 50 ======== ======== ======== ========
* Period from 12/29/00 (date of inception) to 10/31/01. + Period from 09/28/01 (date of inception) to 10/31/01. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 69
STRUCTURED U.S. CORE SMALL CAP FUND FUND -------------------- ------------------- 04/30/02 10/31/01 04/30/02 10/31/01 -------- --------- -------- -------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income (loss) $ 198 $ 641 $ (301) $ (306) Net realized gain (loss) from investments and transactions in written options and futures (530) (10,832) (4,416) (9,372) Net unrealized appreciation (depreciation) on investments 3,511 (21,924) 4,623 (14,766) -------- --------- -------- -------- Net increase (decrease) in net assets from operations 3,179 (32,115) (94) (24,444) -------- --------- -------- -------- Distributions to shareholders from: Net investment income (523) (166) -- -- Net realized gains -- (5,975) -- (6,324) Paid in capital -- -- -- -- -------- --------- -------- -------- Total distributions to shareholders (523) (6,141) -- (6,324) -------- --------- -------- -------- From capital share transactions: Proceeds from shares sold 9,123 25,408 25,790 81,821 Reinvested dividends 517 5,750 -- 6,094 Payments for shares redeemed (13,319) (30,386) (25,057) (83,154) -------- --------- -------- -------- Net increase (decrease) in net assets from capital share transactions (3,679) 772 733 4,761 -------- --------- -------- -------- Net increase (decrease) in net assets (1,023) (37,484) 639 (26,007) Net assets at beginning of period 86,546 124,030 46,060 72,067 -------- --------- -------- -------- NET ASSETS AT END OF PERIOD $ 85,523 $ 86,546 $ 46,699 $ 46,060 ======== ========= ======== ======== Undistributed net investment income (loss) $ 141 $ 467 $ (301) $ -- ======== ========= ======== ======== CAPITAL TRANSACTIONS IN SHARES: Sold 796 1,960 2,202 6,057 Reinvested dividends 45 428 -- 417 Redeemed (1,150) (2,406) (2,163) (6,181) -------- --------- -------- -------- Net increase (decrease) from capital share transactions (309) (18) 39 293 ======== ========= ======== ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 70
U.S. REAL ESTATE MICRO-CAP SECURITIES FUND FUND -------------------- ------------------- 04/30/02 10/31/01 04/30/02 10/31/01 --------- --------- -------- -------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income (loss) $ (4,156) $ (3,034) $ 515 $ 880 Net realized gain (loss) from investments and transactions in written options and futures (31,419) (31,170) 291 301 Net unrealized appreciation (depreciation) on investments 51,439 (139,595) 2,837 1,160 --------- --------- -------- -------- Net increase (decrease) in net assets from operations 15,864 (173,799) 3,643 2,341 --------- --------- -------- -------- Distributions to shareholders from: Net investment income -- -- (378) (881) Net realized gains -- (65,293) -- -- Paid in capital -- -- -- (119) --------- --------- -------- -------- Total distributions to shareholders -- (65,293) (378) (1,000) --------- --------- -------- -------- From capital share transactions: Proceeds from shares sold 410,315 762,655 18,761 8,585 Reinvested dividends -- 63,270 368 977 Payments for shares redeemed (393,954) (812,547) (7,270) (18,289) --------- --------- -------- -------- Net increase (decrease) in net assets from capital share transactions 16,361 13,378 11,859 (8,727) --------- --------- -------- -------- Net increase (decrease) in net assets 32,225 (225,714) 15,124 (7,386) Net assets at beginning of period 600,259 825,973 18,443 25,829 --------- --------- -------- -------- NET ASSETS AT END OF PERIOD $ 632,484 $ 600,259 $ 33,567 $ 18,443 ========= ========= ======== ======== Undistributed net investment income (loss) $ (4,156) $ -- $ 137 $ -- ========= ========= ======== ======== CAPITAL TRANSACTIONS IN SHARES: Sold 15,313 28,051 2,143 1,007 Reinvested dividends -- 2,342 41 119 Redeemed (14,754) (30,197) (803) (2,197) --------- --------- -------- -------- Net increase (decrease) from capital share transactions 559 196 1,381 (1,071) ========= ========= ======== ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 71
CALIFORNIA BOND INTERMEDIATE FUND TAX-FREE FUND ------------------------------------------- 04/30/02 10/31/01 04/30/02 10/31/01 --------- --------- -------- -------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income $ 16,854 $ 24,317 $ 1,280 $ 2,886 Net realized gain (loss) from investments and transactions in written options and futures 5,121 17,583 175 54 Net realized gain from foreign currency transactions 2,271 816 -- -- Net unrealized appreciation (depreciation) on investments (24,682) 27,261 (858) 1,690 Net unrealized appreciation on translation of assets and liabilities in foreign currencies 499 6,390 -- -- --------- --------- -------- -------- Net increase in net assets from operations 63 76,367 597 4,630 --------- --------- -------- -------- Distributions to shareholders from: Net investment income (23,484) (24,317) (1,275) (2,923) Net realized gains (10,197) (10,370) -- -- --------- --------- -------- -------- Total distributions to shareholders (33,681) (34,687) (1,275) (2,923) --------- --------- -------- -------- From capital share transactions: Proceeds from shares sold 314,386 932,236 4,271 4,035 Reinvested dividends 29,538 23,189 361 853 Payments for shares redeemed (384,228) (303,232) (10,063) (4,242) --------- --------- -------- -------- Net increase (decrease) in net assets from capital share transactions (40,304) 652,193 (5,431) 646 --------- --------- -------- -------- Net increase (decrease) in net assets (73,922) 693,873 (6,109) 2,353 Net assets at beginning of period 921,323 227,450 65,153 62,800 --------- --------- -------- -------- NET ASSETS AT END OF PERIOD $ 847,401 $ 921,323 $ 59,044 $ 65,153 ========= ========= ======== ======== Undistributed net investment income (loss) $ (6,543) $ (87) $ 5 $ 1 ========= ========= ======== ======== CAPITAL TRANSACTIONS IN SHARES: Sold 30,753 91,363 388 366 Reinvested dividends 2,917 2,275 33 77 Redeemed (37,623) (29,838) (908) (386) --------- --------- -------- -------- Net increase (decrease) from capital share transactions (3,953) 63,800 (487) 57 ========= ========= ======== ========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 72
MONEY MARKET FUND ----------------------- 04/30/02 10/31/01 --------- ----------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income $ 7,211 $ 33,827 Net realized gain (loss) from investments and transactions in written options and futures 1 (22) Net realized gain from foreign currency transactions -- -- Net unrealized appreciation (depreciation) on investments -- -- Net unrealized appreciation on translation of assets and liabilities in foreign currencies -- -- --------- ----------- Net increase in net assets from operations 7,212 33,805 --------- ----------- Distributions to shareholders from: Net investment income (7,211) (33,827) Net realized gains -- -- --------- ----------- Total distributions to shareholders (7,211) (33,827) --------- ----------- From capital share transactions: Proceeds from shares sold 434,807 1,577,870 Reinvested dividends 6,113 33,153 Payments for shares redeemed (519,710) (1,541,470) --------- ----------- Net increase (decrease) in net assets from capital share transactions (78,790) 69,553 --------- ----------- Net increase (decrease) in net assets (78,789) 69,531 Net assets at beginning of period 777,523 707,992 --------- ----------- NET ASSETS AT END OF PERIOD $ 698,734 $ 777,523 ========= =========== Undistributed net investment income (loss) $ -- $ -- ========= =========== CAPITAL TRANSACTIONS IN SHARES: Sold 434,807 1,577,870 Reinvested dividends 6,113 33,153 Redeemed (519,710) (1,541,470) --------- ----------- Net increase (decrease) from capital share transactions (78,790) 69,553 ========= ===========
73 FREMONT MUTUAL FUNDS, INC. FINANCIAL HIGHLIGHTS - APRIL 30, 2002
(UNAUDITED) FREMONT GLOBAL FUND SIX MONTHS YEAR ENDED OCTOBER 31 - ------------------- ENDED -------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- -------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 10.65 $ 13.52 $ 14.75 $ 14.13 $ 14.16 $ 15.11 -------------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income .07 .24 .39 .41 .34 .45 Net realized and unrealized gain (loss) .16 (2.56) .89 1.89 .17 1.31 -------------- -------- -------- -------- -------- -------- Total investment operations .23 (2.32) 1.28 2.30 .51 1.76 -------------- -------- -------- -------- -------- -------- LESS DISTRIBUTIONS From net investment income (.11) (.16) (.54) (.50) (.25) (.52) From net realized gains -- (.36) (1.97) (1.18) (.29) (2.19) Return of capital distribution -- (.03) -- -- -- -- -------------- -------- -------- -------- -------- -------- Total distributions (.11) (.55) (2.51) (1.68) (.54) (2.71) -------------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 10.77 $ 10.65 $ 13.52 $ 14.75 $ 14.13 $ 14.16 ============== ======== ======== ======== ======== ======== TOTAL RETURN 2.14% (17.77)% 8.86% 17.37% 3.62% 13.01% Net assets, end of period (000s omitted) $ 601,461 $602,131 $799,490 $686,808 $631,165 $665,747 Ratio of expenses to average net assets .94%* .93% .90% .86% .85% .85% Ratio of net investment income to average net assets 1.21%* 1.97% 2.54% 2.85% 2.80% 2.66% Portfolio turnover rate 56% 173% 112% 113% 75% 48%
(UNAUDITED) FREMONT INTERNATIONAL GROWTH FUND SIX MONTHS YEAR ENDED OCTOBER 31 - --------------------------------- ENDED ----------------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- ------- ------- ------- ------- ------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 7.50 $ 12.13 $ 13.01 $ 10.34 $ 10.37 $ 10.40 -------------- ------- ------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (.03) .16 --(4) --(4) .05 .02 Net realized and unrealized gain (loss) .29 (3.81) (.28) 3.69 .03 (.02) -------------- ------- ------- ------- ------- ------- Total investment operations .26 (3.65) (.28) 3.69 .08 -- -------------- ------- ------- ------- ------- ------- LESS DISTRIBUTIONS From net investment income --(4) (.15) (.02) (.01) -- -- From net realized gains -- (.83) (.58) (1.01) (.11) (.03) -------------- ------- ------- ------- ------- ------- Total distributions --(4) (.98) (.60) (1.02) (.11) (.03) -------------- ------- ------- ------- ------- ------- NET ASSET VALUE, END OF PERIOD $ 7.76 $ 7.50 $ 12.13 $ 13.01 $ 10.34 $ 10.37 ============== ======= ======= ======= ======= ======= TOTAL RETURN 3.51%(1) (32.21)%(1) (2.54)%(1) 38.70%(1) .80%(1) (.01)% Net assets, end of period (000s omitted) $ 32,314 $45,417 $86,517 $59,974 $41,623 $38,643 Ratio of net expenses to average net assets(2) 1.50%* 1.50% 1.50% 1.50% 1.50% 1.50% Ratio of gross expenses to average net assets(2) 1.82%* 1.88% 1.70% 1.74% 1.65% 1.50% Ratio of net investment income (loss) to average net assets (.25)%* .07% (.04)% .04% .53% .34% Portfolio turnover rate 28% 50% 43% 76% 106% 95%
For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 74
(UNAUDITED) FREMONT NEW ERA VALUE FUND SIX MONTHS PERIOD FROM - -------------------------- ENDED 12/29/00 TO APRIL 30, 2002 10/31/01 -------------- ----------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 7.91 $ 10.00 -------------- ----------- INCOME FROM INVESTMENT OPERATIONS Net realized and unrealized loss (.30) (2.09) -------------- ----------- Total investment operations (.30) (2.09) -------------- ----------- LESS DISTRIBUTIONS From net investment income --(4) -- -------------- ----------- Total distributions --(4) -- -------------- ----------- NET ASSET VALUE, END OF PERIOD $ 7.61 $ 7.91 ============== =========== TOTAL RETURN(1) (3.77)% (20.90)% Net assets, end of period (000s omitted) $ 36,289 $ 27,191 Ratio of net expenses to average net assets(2) 1.20%* 1.20%* Ratio of gross expenses to average net assets(2) 1.36%* 2.09%* Ratio of net investment income (loss) to average net assets (.04)%* .06%* Portfolio turnover rate 11% 5%
(UNAUDITED) FREMONT NEW ERA GROWTH FUND SIX MONTHS PERIOD FROM - --------------------------- ENDED 9/28/01 TO APRIL 30, 2002+ 10/31/01+ --------------- ----------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 9.91 $ 10.00 --------------- ----------- LOSS FROM INVESTMENT OPERATIONS Net investment loss (.02)(4) --(4) Net realized and unrealized loss (.64) (.09) --------------- ----------- Total investment operations (.66) (.09) --------------- ----------- NET ASSET VALUE, END OF PERIOD $ 9.25 $ 9.91 ============== =========== TOTAL RETURN (7.50)% (.90)%(2) Net assets, end of period (000s omitted) $ 1,987 $ 496 Ratio of net expenses to average net assets 1.40%* .15% Ratio of gross expenses to average net assets 9.78%* 4.02% Ratio of net investment loss to average net assets (.72)%* (.04)% Portfolio turnover rate 48% 2%
+ The Fund commenced operations on September 28, 2001 with an initial investment of $500,000 by the Adviser in order to test certain investment strategies intended to achieve the Fund's objective. The Fund was closed to the public and the Advisor was the Fund's only shareholder for the period September 28, 2001 to December 31, 2001. On December 31, 2001, the Fund underwent a 1.082:1 stock split to adjust the net asset value per share of the Fund from $10.82 to $10.00, and commenced public operations in accordance with its investment objectives. The Financial Highlights have been adjusted to reflect the December 31, 2001 stock split. For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 75
(UNAUDITED) FREMONT STRUCTURED CORE FUND SIX MONTHS YEAR ENDED OCTOBER 31 - ---------------------------- ENDED ---------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- -------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 10.90 $ 15.59 $ 15.70 $ 15.56 $ 14.96 $ 15.02 -------------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income .03 .08 .10 .14 .20 .20 Net realized and unrealized gain (loss) .35 (4.00) .98 3.20 .87 3.43 -------------- -------- -------- -------- -------- -------- Total investment operations .38 (3.92) 1.08 3.34 1.07 3.63 -------------- -------- -------- -------- -------- -------- LESS DISTRIBUTIONS From net investment income (.07) (.02) (.11) (.16) (.17) (.22) From net realized gains -- (.75) (1.08) (3.04) (.30) (3.47) -------------- -------- -------- -------- -------- -------- Total distributions (.07) (.77) (1.19) (3.20) (.47) (3.69) -------------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 11.21 $ 10.90 $ 15.59 $ 15.70 $ 15.56 $ 14.96 ============== ======== ======== ======== ======== ======== TOTAL RETURN 3.47% (26.07)% 7.18% 24.24% 7.30% 29.26% Net assets, end of period (000s omitted) $ 85,523 $ 86,546 $124,030 $142,759 $159,375 $147,641 Ratio of net expenses to average net assets 1.01%* .93% .87% .82% .82% .85% Ratio of gross expenses to average net assets 1.01%* .93% --% --% --% --% Ratio of net investment income to average net assets .45%* .61% .58% .82% 1.25% 1.44% Portfolio turnover rate 41% 69% 68% 80% 111% 48%
(UNAUDITED) FREMONT U.S. SMALL CAP FUND SIX MONTHS YEAR ENDED OCTOBER 31 PERIOD FROM - --------------------------- ENDED --------------------------------------- 09/24/97 TO APRIL 30, 2002 2001 2000 1999 1998 10/31/97 -------------- ------- ------- ------- ------ ----------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 11.11 $ 18.70 $ 15.74 $ 8.87 $ 9.57 $ 10.00 -------------- ------- ------- ------- ------ ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (.07) (.07) (.08) (.02) (.04) .02 Net realized and unrealized gain (loss) .12 (5.84) 4.42 7.49 (.66) (.42) -------------- ------- ------- ------- ------ ----------- Total investment operations .05 (5.91) 4.34 7.47 (.70) (.40) -------------- ------- ------- ------- ------ ----------- LESS DISTRIBUTIONS From net investment income -- -- -- -- --(4) (.02) From net realized gains -- (1.68) (1.38) (.60) --(4) (.01) -------------- ------- ------- ------- ------ ----------- Total distributions -- (1.68) (1.38) (.60) --(4) (.03) -------------- ------- ------- ------- ------ ----------- NET ASSET VALUE, END OF PERIOD $ 11.16 $ 11.11 $ 18.70 $ 15.74 $ 8.87 $ 9.57 ============== ======= ======= ======= ====== =========== TOTAL RETURN(1) .45% (33.73)% 27.75% 84.60% (7.29)% (4.06)% Net assets, end of period (000s omitted) $ 46,699 $46,060 $72,067 $29,579 $7,367 $ 5,350 Ratio of net expenses to average net assets(2) 1.53%* 1.50% 1.50% 1.50% 1.50% 1.50%* Ratio of gross expenses to average net assets(2) 1.76%* 1.89% 1.83% 2.15% 2.85% 3.32%* Ratio of net investment income (loss) to average net assets (1.21)%* (.52)% (.45)% (.75)% (.52)% 1.81%* Portfolio turnover rate 61% 134% 148% 161% 273% 8%
For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 76
(UNAUDITED) FREMONT U.S. MICRO-CAP FUND SIX MONTHS YEAR ENDED OCTOBER 31 - --------------------------- ENDED -------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- -------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 25.22 $ 34.99 $ 28.36 $ 16.34 $ 22.69 $ 19.63 -------------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (.17) (.13) .02 (.18) (.25) (.10) Net realized and unrealized gain (loss) .91 (6.69) 13.03 17.94 (4.86) 5.60 -------------- -------- -------- -------- -------- -------- Total investment operations .74 (6.82) 13.05 17.76 (5.11) 5.50 -------------- -------- -------- -------- -------- -------- LESS DISTRIBUTIONS From net investment income -- -- (.02) -- -- -- From net realized gains -- (2.95) (6.40) (5.74) (1.24) (2.44) -------------- -------- -------- -------- -------- -------- Total distributions -- (2.95) (6.42) (5.74) (1.24) (2.44) -------------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 25.96 $ 25.22 $ 34.99 $ 28.36 $ 16.34 $ 22.69 ============== ======== ======== ======== ======== ======== TOTAL RETURN 2.93% (20.05)% 46.07% 110.46% (23.45)% 28.80%(1) Net assets, end of period (000s omitted) $ 632,484 $600,259 $825,973 $300,503 $120,016 $171,507 Ratio of net expenses to average net assets(2,3) 1.57%* 1.60% 1.57% 1.82% 1.94% 1.88% Ratio of gross expenses to average net assets(2,3) 1.57%* 1.60% 1.57% 1.82% 1.94% 1.90% Ratio of net investment income (loss) to average net assets (1.27)%* (.47)% .06% (.97)% (1.22)% (.67)% Portfolio turnover rate 29% 93% 117% 164% 170% 125%
(UNAUDITED) FREMONT REAL ESTATE SECURITIES FUND SIX MONTHS YEAR ENDED OCTOBER 31 PERIOD FROM - ----------------------------------- ENDED ----------------------------- 12/31/97 TO APRIL 30, 2002 2001 2000 1999 10/31/98 -------------- ------- ------- ------- ----------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 8.22 $ 7.79 $ 7.51 $ 7.98 $ 10.00 -------------- ------- ------- ------- ----------- INCOME FROM INVESTMENT OPERATIONS Net investment income .18 .21 .43 .35 .19 Net realized and unrealized gain (loss) 1.00 .61 .35 (.34) (2.07) -------------- ------- ------- ------- ----------- Total investment operations 1.18 .82 .78 .01 (1.88) -------------- ------- ------- ------- ----------- LESS DISTRIBUTIONS From net investment income (.14) (.36) (.43) (.39) (.14) From net realized gains -- -- -- -- -- Return of capital distribution -- (.03) (.07) (.09) -- -------------- ------- ------- ------- ----------- Total distributions (.14) (.39) (.50) (.48) (.14) -------------- ------- ------- ------- ----------- NET ASSET VALUE, END OF PERIOD $ 9.26 $ 8.22 $ 7.79 $ 7.51 $ 7.98 ============== ======= ======= ======= =========== TOTAL RETURN(1) 14.38% 10.43% 10.59% (.07)% (18.78)% Net assets, end of period (000s omitted) $ 33,567 $18,443 $25,829 $31,499 $ 33,482 Ratio of net expenses to average net assets(2,6) 1.50%* 1.50% 1.50% 1.50% 1.09%* Ratio of gross expenses to average net assets(2,6) 1.67%* 2.06% 2.10% 1.88% 1.80%* Ratio of net investment income to average net assets 4.00%* 4.14% 5.51% 4.32% 4.10%* Portfolio turnover rate 16% 122% 91% 198% 196%
For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 77
(UNAUDITED) BOND FUND SIX MONTHS YEAR ENDED OCTOBER 31 - --------- ENDED ------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- ------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 10.57 $ 9.73 $ 9.66 $ 10.44 $ 10.23 $ 9.99 -------------- -------- -------- -------- -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income .21 .54 .61 .60 .60 .67 Net realized and unrealized gain (loss) (.18) .95 .15 (.60) .41 .25 -------------- -------- -------- -------- -------- ------- Total investment operations .03 1.49 .76 -- 1.01 .92 -------------- -------- -------- -------- -------- ------- LESS DISTRIBUTIONS From net investment income (.29) (.53) (.69) (.60) (.62) (.66) From net realized gains (.13) (.12) -- (.18) (.18) (.02) -------------- -------- -------- -------- -------- ------- Total distributions (.42) (.65) (.69) (.78) (.80) (.68) -------------- -------- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD $ 10.18 $ 10.57 $ 9.73 $ 9.66 $ 10.44 $ 10.23 ============== ======== ======== ======== ======== ======= TOTAL RETURN(1) .35% 15.79% 8.33% .01% 10.31% 9.54% Net assets, end of period (000s omitted) $ 847,401 $921,323 $227,450 $184,435 $228,001 $90,302 Ratio of net expenses to average net assets(2,7) .60%* .57% 1.83% .60% .60% .61% Ratio of gross expenses to average net assets(2,7) .65%* .63% 1.90% .67% .72% .76% Ratio of net investment income to average net assets 4.13%* 4.90% 6.44% 6.01% 5.92% 6.40% Portfolio turnover rate 172% 160% 176% 298% 256% 191%
FREMONT CALIFORNIA (UNAUDITED) INTERMEDIATE TAX-FREE FUND SIX MONTHS YEAR ENDED OCTOBER 31 - -------------------------- ENDED --------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- ------- ------- ------- ------- ------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 11.16 $ 10.87 $ 10.67 $ 11.25 $ 10.99 $ 10.80 -------------- ------- ------- ------- ------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income .24 .51 .50 .51 .51 .51 Net realized and unrealized gain (loss) (.12) .29 .21 (.58) .26 .20 -------------- ------- ------- ------- ------- ------- Total investment operations .12 .80 .71 (.07) .77 .71 -------------- ------- ------- ------- ------- ------- LESS DISTRIBUTIONS From net investment income (.24) (.51) (.51) (.51) (.51) (.51) From net realized gains -- -- -- -- -- (.01) -------------- ------- ------- ------- ------- ------- Total distributions (.24) (.51) (.51) (.51) (.51) (.52) -------------- ------- ------- ------- ------- ------- NET ASSET VALUE, END OF PERIOD $ 11.04 $ 11.16 $ 10.87 $ 10.67 $ 11.25 $ 10.99 ============== ======= ======= ======= ======= ======= TOTAL RETURN(1) 1.11% 7.49% 6.78% (.68)% 7.16% 6.75% Net assets, end of period (000s omitted) $ 59,044 $65,153 $62,800 $63,919 $64,011 $64,309 Ratio of net expenses to average net assets(2) .51%* .49% .49% .45% .47% .49% Ratio of gross expenses to average net assets(2) .68%* .69% .70% .64% .67% .69% Ratio of net investment income to average net assets 4.42%* 4.57% 4.70% 4.59% 4.55% 4.72% Portfolio turnover rate 2% 6% 13% 6% 9% 6%
For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 78
(UNAUDITED) FREMONT MONEY MARKET FUND SIX MONTHS YEAR ENDED OCTOBER 31 - ------------------------- ENDED -------------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- -------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 -------------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income .01 .05 .06 .05 .05 .05 -------------- -------- -------- -------- -------- -------- Total investment operations .01 .05 .06 .05 .05 .05 -------------- -------- -------- -------- -------- -------- LESS DISTRIBUTIONS From net investment income (.01) (.05) (.06) (.05) (.05) (.05) From net realized gains -- -- -- -- -- -- -------------- -------- -------- -------- -------- -------- Total distributions (.01) (.05) (.06) (.05) (.05) (.05) -------------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 ============== ======== ======== ======== ======== ======== TOTAL RETURN .99% 4.67% 5.99% 4.89%(1) 5.45%(1) 5.39%(1) Net assets, end of period (000s omitted) $ 698,734 $777,523 $707,992 $760,950 $717,291 $433,152 Ratio of net expenses to average net assets(2,5) .43%* .42% .42% .37% .29% .30% Ratio of gross expenses to average net assets(2,5) .43%* .42% .42% .42% .44% .45% Ratio of net investment income to average net assets 1.99%* 4.54% 5.80% 4.83% 5.33% 5.26%
For footnote references, see "Notes to Financial Highlights" on page 80. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 79 FREMONT MUTUAL FUNDS, INC. Notes to Financial Highlights - April 30, 2002 (Unaudited) The following notes relate to the Financial Highlights of the Funds presented on pages 74 through 79: (1) Total return would have been lower had the advisor not waived and/or reimbursed expenses. Total return is not annualized in periods less than one year. (2) See Note 4 of "Notes to Financial Statements." (3) Management fees were voluntarily waived from February 1, 1995 to January 8, 1997. (4) Less than $0.01 per share. (5) Administrative fees were voluntarily waived in their entirety prior to March 1, 1999. (6) Operating expenses were voluntarily limited to 0.50% prior to July 1, 1998. (7) Administrative fees were voluntarily waived in their entirety prior to March 1, 1998. * Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 80 FREMONT MUTUAL FUNDS, INC. Notes to Financial Statements - April 30, 2002 (Unaudited) (All dollars in thousands except par and exercise prices) 1. SIGNIFICANT ACCOUNTING POLICIES Fremont Mutual Funds, Inc. (the "Investment Company") is an open-end investment company authorized to issue ten billion shares of $0.0001 par value capital stock. These shares are currently offered in thirteen series, ten of which (the "Funds") are covered by this report. Each of the Funds has its own investment objective and maintains a totally separate investment portfolio. The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States for investment companies. A. SECURITY VALUATION Investments, including futures and options, are stated at value based on recorded closing sales on a national securities exchange or, in the absence of a recorded sale, at the mean between the last reported bid and asked prices. Securities for which quotations are not readily available are valued at fair value as determined in good faith under procedures established by the Board of Directors. Short-term notes and similar securities are included in investments at amortized cost, which approximates value. As permitted under Rule 2a-7 of the Investment Company Act of 1940, securities in the Money Market Fund are valued at amortized cost, which approximates value. B. SECURITY TRANSACTIONS Security transactions are accounted for as of trade date. Realized gains and losses on security transactions are determined on the basis of specific identification for both financial statement and Federal income tax purposes. C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS Dividend income and distributions to shareholders are recorded on the ex-dividend date except that certain dividends from foreign securities may be recorded after ex-dividend date based on when the Fund is informed of the dividend. Interest income and estimated expenses are accrued daily. Bond discount and premium are amortized using the interest method. The Investment Company allocates its general expenses to each Fund based upon their relative net assets or the nature of the services performed and their applicability to each Fund. Dividends received by the Real Estate Securities Fund may include a return of capital. Such distributions reduce the cost basis of the respective securities. Distributions, if any, in excess of the cost basis of a security are recognized as capital gains. D. INCOME TAXES No provision for federal income taxes is required since each Fund intends to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income and net capital gains, if any, to shareholders. Distributions paid to shareholders are determined in accordance with income tax regulations which may differ from generally accepted accounting principles and, therefore, may differ from the information presented in the financial statements. These differences are primarily due to the varying treatments for foreign currency transactions, losses deferred due to wash sale rules, the classification of gains/losses related to paydowns and certain futures and options transactions. Permanent differences will be reclassified to paid in capital. Temporary differences, which will reverse in subsequent periods, are not reclassified and will remain in undistributed net investment income or loss or accumulated realized gains or losses. Any taxable income or gain remaining at fiscal year end is distributed in the following year. 81 For Federal income tax purposes, the following Funds have capital loss carryforwards at October 31, 2001 that may reduce distributions of realized gains in future years.
REAL CALIFORNIA NEW ERA NEW ERA ESTATE INTERMEDIATE MONEY GLOBAL INTERNATIONAL VALUE GROWTH STRUCTURED U.S. SMALL U.S. MICRO SECURITIES TAX-FREE MARKET EXPIRING IN FUND GROWTH FUND FUND FUND CORE FUND CAP FUND CAP FUND FUND FUND FUND - ------------------------------------------------------------------------------------------------------------------------ 2006 $ -- $ -- $ -- $ -- $ -- $ -- $ -- $ 1,235 $ -- $ -- 2007 -- -- -- -- -- -- -- 1,169 -- -- 2008 -- -- -- -- -- -- -- -- 319 -- 2009 53,105 3,663 62 826 10,494 10,063 30,054 3,069 -- 22 ---------------------------------------------------------------------------------------------------------- $53,105 $ 3,663 $ 62 $ 826 $10,494 $10,063 $30,054 $ 5,473 $ 319 $ 22 ==========================================================================================================
E. ACCOUNTING ESTIMATES The preparation of financial statements in accordance with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the amounts of income and expense during the reporting period. Actual results could differ from those estimates. F. FOREIGN CURRENCY TRANSLATION The market values of foreign securities, currency holdings, and other assets and liabilities are translated to U.S. dollars based on the daily exchange rates. Purchases and sales of securities, income and expenses are translated at the exchange rate on the transaction date. Realized currency gain (loss) from the sale, maturity or disposition of foreign securities is not separately reported from the economic or market component of the gain (loss) and is included under the caption Net Realized Gain (Loss) from Investments. Realized gain (loss) related to foreign currency futures and options on foreign currency is also reported under this heading. Consistent with the method of reporting realized currency gain (loss), unrealized currency gain (loss) on investments is not separately reported from the underlying economic or market component, but included under the caption Net Unrealized Appreciation (Depreciation) on Investments. 2. REPURCHASE AGREEMENTS Each Fund may enter into repurchase agreements through which the Fund acquires a security (the "underlying security") from the seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. The seller must maintain collateral with the Funds' custodian equal to at least 100% of the repurchase price, including accrued interest. At April 30, 2002, all outstanding repurchase agreements held by the Funds had been entered into on that day. 3. DERIVATIVE FINANCIAL INSTRUMENTS Consistent with their investment objectives, certain Funds have the following practices to manage exposure to certain risks or enhance performance. The investment objectives, policies, program, and risk factors of the Funds are described more fully in the Funds' prospectus and statement of additional information. Purchase or sell interest rate, stock index and foreign currency futures in order to obtain market exposure, increase liquidity, hedge against changes in the prevailing levels of stock values, interest rates, or currency exchange rates to establish more definitely the effective return on securities or currencies held or intended to be acquired. Invest in index and currency exchange rate swap agreements for purposes of attempting to obtain a particularly desired return at a lower cost to the Fund than if the Fund had invested directly in an instrument that yielded that desired return. Write covered put and call options in an attempt to generate additional premium income, and in the case of put options to acquire the underlying security at a price lower than the current market price. Purchase put options on an underlying security, interest rate or currency as a defensive technique to protect against an anticipated decline in the value of the security or currency. Purchase call options for purposes of obtaining exposure to the underlying securities or currencies, or to increase its current return or avoid tax consequences which could reduce its current return. Call options may also be purchased for purposes of acquiring the underlying security. 82 Engage in forward currency transactions in anticipation of, or to protect the Fund against fluctuations in exchange rates. In the case of swap agreements and foreign currency contracts, the Funds are subjected to the risk that the counter party might not meet the terms of the agreement. This risk is mitigated by dealing only with well-established security dealers or banks that are members of the Federal Reserve System. A. FUTURES A futures contract is an agreement between two parties to buy or sell a security or financial interest at a set price on a future date and is standardized and exchange-traded. Risks exist due to the possible illiquidity of the futures market and from the possibility of adverse movements in security and currency values. At April 30, 2002, the open futures contracts were as follows:
NET UNREALIZED CONTRACTS EXPIRATION NOTIONAL APPRECIATION TO BUY DATE AMOUNT (DEPRECIATION) ------------------------------------------------------ GLOBAL FUND UK Gilt 4 Sep '02 L 500 $ 6 UK Gilt 4 Dec '02 L 500 4 Japanese 10 Year Government Bond 70 Jun '02 Y 70,000 53 Australian 3 Year Treasury Bond 2 Jun '02 AUD -- 1 Canadian 10 Year Government Bond 29 Jun '02 CAD 2,900 (12) German 10 Year Government Euro Bond 69 Jun '02 EURO 69,000 (11) ---------- $ 41 ========== STRUCTURED CORE June S&P 500 Index 9 Jun '02 $ 2,588 $ (165) ---------- $ (165) ========== BOND FUND 30 Year U.S. Treasury Bond 1,450 Jun '02 $ 14,500 254 ---------- $ 254 ========== NET UNREALIZED CONTRACTS EXPIRATION NOTIONAL APPRECIATION TO SELL DATE AMOUNT (DEPRECIATION) ------------------------------------------------------- GLOBAL FUND German 2 Year Government Euro Bond 4 Jun '02 EURO 4,000 -- UK 10 Year Gilt 43 Jun '02 L 500 8 German 5 Year Government Euro Bond 2 Jun '02 EURO 200 -- Australian 10 Year Treasury Bond 24 Jun '02 AUD -- (18) ---------- $ (10) ========== BOND FUND June 10 Year U.S. Treasury Note 790 Jun '02 $ 7,900 $ (217) ---------- $ (217) ==========
Various U.S. Treasury securities, as footnoted on the Schedule of Investments in Securities and Net Assets, were held by brokers to satisfy the initial margin requirements related to these contracts. 83 B. SWAP AGREEMENTS In a swap transaction, two parties agree to exchange the returns earned or realized on particular predetermined investments. At April 30, 2002, the Funds had the following open swap agreements:
UNREALIZED MATURITY APPRECIATION/ PAY RECEIVE DATE NOTIONAL AMOUNT (DEPRECIATION) - ------------------------------------------------------------------------------------------- GLOBAL FUND Fixed Rate 0.200% 6 Month LIBOR 03/17/03 Y 1,300,000,000 $ (8) Fixed Rate 2.035% 6 Month LIBOR 05/18/10 Y 65,000,000 (39) Fixed Rate 1.310% 6 Month LIBOR 07/14/05 Y 78,000,000 (21) Fixed Rate 6.069% 6 Month LIBOR 08/25/30 EURO 400,000 (22) Fixed Rate 5.906% 3 Month HIBOR 07/11/06 HK$ 8,000,000 (44) 3 Month LIBOR Fixed Rate 5.710% 07/11/06 $ 1,000,000 38 3 Month LIBOR Fixed Rate 5.440% 03/19/06 $ 1,600,000 48 Fixed Rate 5.550% 3 Month HIBOR 03/16/06 HK$ 12,800,000 (52) Fixed Rate 6.000% 3 Month LIBOR 06/15/11 $ 4,600,000 38 Fixed Rate 5.250% 6 Month LIBOR 09/15/02 L 3,700,000 (17) Fixed Rate 5.250% 6 Month LIBOR 09/19/02 L 10,000,000 (48) 6 Month LIBOR Fixed Rate 5.250% 03/19/06 L 3,500,000 (43) Fixed Rate 0.2125% 6 Month LIBOR 05/17/04 Y 430,000,000 (6) Fixed Rate 5.500% 6 Month LIBOR 03/15/16 L 700,000 1 3 Month LIBOR Fixed Rate 4.500% 12/18/03 $ 1,400,000 6 Fixed Rate 6.000% 3 Month LIBOR 06/17/07 $ 3,700,000 (153) Fixed Rate 6.000% 3 Month LIBOR 06/17/12 $ 8,900,000 (187) Fixed Rate 6.000% 3 Month LIBOR 06/17/22 $ 2,700,000 34 Fixed Rate 6.000% 3 Month LIBOR 06/17/12 $ 8,600,000 (180) Fixed Rate 5.000% 6 Month LIBOR 06/17/12 EURO 3,800,000 106 Fixed Rate 5.000% 6 Month LIBOR 03/15/17 L 3,000,000 57 6 Month LIBOR Fixed Rate 6.000% 06/15/17 EURO 5,000,000 (23) ------- $ (516) ======= BOND FUND 3 Month LIBOR Fixed Rate 6.000% 12/18/03 $ 300,000 $ 6 3 Month LIBOR Fixed Rate 6.000% 06/17/07 $ 48,600,000 2,678 3 Month LIBOR Fixed Rate 6.000% 06/17/07 $ 300,000 12 6 Month LIBOR Fixed Rate 5.000% 03/15/17 L 1,200,000 23 6 Month LIBOR Fixed Rate 5.000% 03/15/17 L 600,000 11 6 Month LIBOR Fixed Rate 5.000% 03/15/07 L 3,200,000 60 6 Month LIBOR Fixed Rate 5.000% 03/15/32 L 1,800,000 (26) 6 Month LIBOR Fixed Rate 6.000% 03/15/17 EURO 900,000 (4) 6 Month LIBOR Fixed Rate 6.000% 03/15/32 EURO 33,000,000 29 6 Month LIBOR Fixed Rate 6.000% 03/15/17 EURO 7,100,000 (33) ------- $ 2,756 =======
C. OPTIONS Certain Funds may enter into options contracts. An option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option) or sell to (put option) the writer a designated instrument at a specified price within a specified period of time. Options purchased are recorded as investments, whereas options written (sold) are recorded as liabilities. When an option expires, the premium (original option value) is realized as a gain if the option was written or as a loss it the option was purchased. When the exercise of an option results in a cash settlement, the difference between the premium and the settlement proceeds is realized gain as gain or loss. When securities are acquired or delivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, the difference between the premium and the cost to close the position is realized as a gain or loss. The risks include unfavorable change in the price of the security or currency underlying the security. 84 Transactions in written put and call options for the six months ended April 30, 2002 for the Global Fund and the Bond Fund were as follows:
GLOBAL FUND BOND FUND ----------- --------- AMOUNT OF NUMBER OF AMOUNT OF NUMBER OF PREMIUMS CONTRACTS PREMIUMS CONTRACTS --------------------------------------------------------- Options outstanding at October 31, 2001 $ 48 10,028 $ 1,437 2,457 Options sold 95 1,823 4,123 66,856 Options cancelled in closing purchase transactions -- -- -- -- Options expired prior to exercise (48) (10,028) (1,437) (2,457) Options exercised -- -- -- -- --------------------------------------------------------- Options outstanding at April 30, 2002 $ 95 1,823 $ 4,123 66,856 =========================================================
The following written options were outstanding at April 30, 2002:
NUMBER OF EXERCISE EXPIRATION NAME OF ISSUER CONTRACTS PRICE DATE VALUE ----------------------------------------------------------------------------------------------- GLOBAL FUND Call Options: U.S.10 Years Treasury Note Futures 23 Aug '18 3 Month LIBOR 900 5.5% Jan '05 31 Put Options: 3 Month LIBOR 900 7.0% Jan '05 41 ------ $ 90 ====== BOND FUND Call Options: June 2002 U.S. Treasury Note Futures 221 107 May '02 $55 3 Month LIBOR 18,600 6.0% Jun '05 530 3 Month LIBOR 17,000 5.5% Jan '05 307 Put Options June 2002 U.S. Treasury Note Futures 616 100 May '02 10 June 2002 90 Day Euro Dollar Futures 673 95.50 Jun '02 4 June 2002 90 Day Euro Dollar Futures 671 96.00 Jun '02 4 June 2002 90 Day Euro Dollar Futures 79 97.00 Jun '02 1 September 2002 90 Day Euro Dollar Futures 79 96.50 Sep. '02 3 September 2002 90 Day Euro Dollar Futures 170 97.25 Sep. '02 53 September 2002 90 Day Euro Dollar Futures 56 96.75 Sep. '02 4 December 2001 90 Day Euro Dollar Futures 891 96.50 Dec '02 418 3 Month LIBOR 10,800 6.7% Jun '05 387 3 Month LIBOR 17,000 7.0% Jan '05 476 ------ $2,252 ======
The Global Fund and the Bond Fund received premiums of $95 and $4,123 on these contracts and an unrealized gain of $5 and $1,871, respectively. D. FORWARD FOREIGN CURRENCY CONTRACTS A forward foreign currency contract is an obligation to purchase or sell a currency against another currency at a future date and price as agreed upon by the parties. These contracts are traded over-the-counter and not on organized commodities or securities exchanges. 85 At April 30, 2002, the underlying values for open foreign currency contracts were as follows:
NET UNREALIZED TO RECEIVE FOREIGN SETTLEMENT INITIAL APPRECIATION/ (TO DELIVER) CURRENCY DATES VALUE CURRENT VALUE (DEPRECIATION) --------------------------------------------------------------------------------------------------------- GLOBAL FUND 10,456 Australian Dollar 06/19/02-07/16/02 $ 5,468 $ 5,598 $ 130 (1,546) Australian Dollar 6/19/02 (522) (541) (19) 3,760 British Pound 05/15/02-06/19/02 5,344 5,462 118 (9,303) British Pound 05/16/02-10/28/02 (13,204) (13,529) (325) 14,660 Canadian Dollar 05/15/02-06/19/02 9,258 9,343 85 (1,130) Canadian Dollar 05/21/02-06/07/02 (906) (921) (15) 10 Danish Krone 05/15/02 1 1 -- (1,631) Danish Krone 05/15/02-06/12/02 (189) (197) (8) 41,696 Euro 05/15/02-10/28/02 36,506 37,471 965 (74,948) Euro 05/16/02-07/11/02 (65,425) (67,421) (1,996) 552,000 Japanese Yen 05/20/02-06/19/02 4,242 4,308 66 (3,983,912) Japanese Yen 05/16/02-07/09/02 (30,291) (31,063) (772) 6,090 New Zealand Dollar 06/19/02 2,582 2,710 128 (2,369) New Zealand Dollar 06/1902-06/25/02 (1,045) (1,054) (9) 3,000 Swedish Krona 05/22/02 287 291 4 (8,170) Swedish Krona 05/15/02-05/22/02 (775) (793) (18) 4,232 Swiss Franc 06/20/02 2,516 2,610 94 (7,962) Swiss Franc 06/12/02-06/20/02 (4,750) (4,912) (162) ---------- $ (1,734) ========== INTERNATIONAL GROWTH FUND 564 Australian Dollar 07/03/02-07/16/02 300 301 $ 1 (479) Canadian Dollar 05/21/02-06/07/02 (302) (306) (4) (308) British Pound 09/26/02-10/28/02 (444) (444) -- 4,626 Euro 05/20/02-10/28/02 4,073 4,150 77 (213) Euro 05/08/02 (191) (191) -- (710) Hong Kong Dollar 06/20/02 (91) (91) -- 974 Japanese Yen 05/01/02 8 8 -- (418,279) Japanese Yen 05/20/02-09/30/02 (3,222) (3,273) (51) 149 Swiss Franc 05/20/02 91 92 1 ---------- $ 24 ========== BOND FUND (351) British Pound 05/21/02 (511) (511) $ -- 23,645 Euro 7/11/02 20,782 21,227 445 529,306 Japanese Yen 07/09/02 4,049 4,135 86 (533,729) Japanese Yen 07/09/02 4,043 4,169 (126) ---------- $ 405 ==========
86 4. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES INVESTMENT ADVISOR Each of the Funds have entered into an investment management and administrative services agreement with Fremont Investment Advisors, Inc. (the "Advisor"), a majority-owned subsidiary of Fremont Investors, Inc. Under this agreement, the Advisor supervises and implements each Fund's investment activities and provides administrative services as necessary to conduct Fund business. For its advisory services, the Advisor receives a fee based on the average daily net assets of the Funds as described below.
ADVISORY FEE ADVISORY FEE - --------------------------------------------------------------------------------------------------------------------------------- Global Fund 0.60% Real Estate Securities Fund* 1.00% International Growth Fund* 1.00% Bond Fund* 0.40% New Era Value Fund* 0.75% California Intermediate Tax-Free Fund* 0.40% on first $25 million New Era Growth* 0.75% 0.35% on next $25 million Structured Core Fund 0.50% 0.30% on next $50 million U.S. Small Cap Fund* 1.00% 0.25% on next $50 million U.S. Micro-Cap Fund** 2.50% on first $30 million 0.20% on balance over $150 million 2.00% on next $70 million 1.50% on balance Money Market Fund 0.30% on first $50 million over $100 million 0.20% on balance over $50 million
* The Advisor has contractually waived and/or reimbursed some of its fees for these Funds. The waivers may be changed in the future. ** The Advisor is obligated to pay all expenses of the Fund except extraordinary expenses (as determined by a majority of the disinterested directors), interest, brokerage commissions and other transaction charges relating to the investing activities of the Fund. For administrative services received, each Fund, except for the U.S. Micro-Cap Fund and the Real Estate Securities Fund, pays the Advisor an administrative fee of 0.15% of average daily net assets. For the Bond Fund, the Advisor has contractually waived 0.05% out of the 0.15% administrative fee. All fees waived in the past cannot be recouped in the future. Each of the Funds has an arrangement with its custodian whereby fees for custody services are reduced by credits earned on cash balances on deposit with the custodian. Such cash balances could have been employed by the Fund to produce income. For the International Growth Fund, the New Era Value Fund, the New Era Growth Fund, the U.S. Small Cap Fund, the Real Estate Securities Fund and the California Intermediate Tax-Free Fund, to the extent management fees are waived and/or other expenses are reimbursed by the Advisor, the Fund may reimburse the Advisor for any reductions in the Fund's expenses during the three years following that reduction if such reimbursement is requested by the Advisor, if such reimbursement can be achieved within the foregoing expense limit, and if the Board of Directors approves the reimbursement at the time of the request as not inconsistent with the best interests of the Fund. For the International Growth Fund and the Real Estate Securities Fund, the Advisor has contractually limited the total operating expenses to 1.50% of average net assets. For the New Era Value Fund, the Advisor has contractually limited the total operating expenses to 1.20% of average net assets. For the New Era Growth Fund, the Advisor has contractually limited the total operating expenses to 1.40% of average net assets. Prior to March 1, 2002, the Advisor has contractually limited the total operating expenses of the U.S. Small Cap Fund and the California Intermediate Tax-Free Fund to 1.50% and 0.49%, respectively. Effective March 1, 2002, the total operating expense limits for the U.S. Small Cap Fund and the California Intermediate Tax-Free Fund were changed to 1.60% and 0.55%, respectively. The Advisor has not recouped waivers and reimbursements of $585, $139, $66, $610, $449 and $415, respectively, from the International Growth Fund, the New Era Value Fund, the New Era Growth Fund, the U.S. Small Cap Fund, the Real Estate Securities Fund and the California Intermediate Tax-Free Fund as of April 30, 2002. 87 AFFILIATED COMPANY TRANSACTIONS Investments in portfolio companies, 5% or more of whose outstanding voting securities are held by the Fund, are defined in the Investment Act of 1940 as "affiliated" companies. The U.S. Micro-Cap Fund had investments in such affiliated companies. A summary of transactions for each issuer who was an affiliate during the six months ended April 30, 2002, follows:
SHARE SHARE BALANCE, AGGREGATE AGGREGATE NET BALANCE, VALUE OCTOBER 31, PURCHASE SALES REALIZED APRIL 30, APRIL 30, ISSUER 2001 COST COST GAIN (LOSS) INCOME 2002 2002 -------------------------------------------------------------------------------------------------- Advanced Technical Products, Inc. -- $ 4,551 $ 2,333 $ 356 $ -- 382,900 $ 11,047 Benihana, Inc. (Class A) -- 5,744 -- -- -- 376,300 7,312 California Micro Devices Corp. 1,089,500 -- -- -- -- 1,089,500 5,175 Cash America International, Inc. 1,275,000 663 4,139 (976) -- --* --* COMARCO, Inc. 373,600 3,106 -- -- -- 630,500 5,864 eBenX Inc. 1,358,000 2,307 (1,912) -- 1,283,700 4,878 Fusion Medical Technologies, Inc. 791,100 93 10,091 (2,277) -- --* --* LightPath Technologies Inc. (Class A) 1,355,500 -- 10,466 (7,121) -- --* --* Lojack Corp. 1,305,800 -- 5,674 (1,721) -- --* --* MDSI Mobile Data Solutions 414,700 -- -- -- -- --* --* Micro Component Technology, Inc. 958,100 -- 759 (415) -- 865,200 2,942 NeoPharm, Inc. -- 9,172 1,618 (258) -- 943,400 14,142 Northern Technologies International Corp. 328,950 -- -- -- -- 328,950 1,365 Powell Industries, Inc. 658,600 -- 12,367 (2,231) -- --* --* RIT Technologies Ltd. 876,900 -- -- -- -- 876,900 1,613 Rimage Corp. 852,600 -- -- -- -- 852,600 7,332 SafeNet, Inc. 699,100 3,844 3,280 2,744 -- 676,100 9,499 Zygo Corp. 929,800 -- 3,702 (1,166) -- --* --* ---------- ---------- $ -- $ 71,169 ========== ==========
* Issuer is not an affiliated company at April 30, 2002. 88 OTHER RELATED PARTIES At April 30, 2002, Fremont Investors, Inc. and its affiliated companies including their employee retirement plans, its principal shareholder and members of his family, including trusts, owned directly or indirectly the following approximate percentages of the various Funds:
% OF SHARES OUTSTANDING % OF SHARES OUTSTANDING ----------------------- ----------------------- Global Fund 60% U.S. Micro-Cap Fund --% International Growth Fund 47% Real Estate Securities Fund 41% New Era Value Fund 5% Bond Fund 35% New Era Growth Fund 25% Structured Core Fund 17% California Intermediate Tax-Free Fund 62% U.S. Small Cap Fund 19% Money Market Fund 79%
Certain officers and/or directors of the Funds are also officers and/or directors of the Advisor and/or Fremont Investors, Inc. None of the officers and/or directors so affiliated receive compensation for services as officers and/or directors of the Funds. 5. PURCHASES AND SALES / MATURITIES OF INVESTMENT SECURITIES Aggregate purchases and aggregate proceeds from sales and maturities of securities for the six months ended April 30, 2002 were as follows:
PURCHASES PROCEEDS --------- -------- Long-term securities excluding U.S. Government securities: Global Fund $ 306,002 $ 308,453 International Growth Fund 11,416 29,087 New Era Value Fund 14,706 3,587 New Era Growth Fund 3,052 489 Structured Core Fund 34,306 37,353 U.S. Small Cap Fund 28,584 23,253 U.S Micro-Cap Fund 192,204 151,065 Real Estate Securities Fund 15,821 3,998 Bond Fund 235,424 196,102 California Intermediate Tax-Free Fund 1,084 7,481 Long-term U.S. Government securities: Global Fund 24,287 29,890 Bond Fund 15,345 54,611
6. PORTFOLIO CONCENTRATIONS There are certain investment concentrations of risk which may subject each Fund more significantly to economic changes occurring in certain segments or industries. 89 7. DISTRIBUTIONS TO SHAREHOLDERS As of April 30, 2002, the components of distributable earnings on a tax basis were as follows:
GLOBAL INTERNATIONAL NEW ERA NEW ERA STRUCTURED U.S. SMALL FUND GROWTH FUND VALUE FUND GROWTH FUND CORE FUND CAP FUND ------------------------------------------------------------------------------- COST OF INVESTMENTS FOR TAX PURPOSES $ 685,770 $ 38,161 $ 42,724 $ 1,940 $ 74,738 $ 55,236 --------- --------- --------- --------- --------- --------- Gross tax unrealized appreciation 33,084 2,349 1,132 91 15,969 4,153 Gross tax unrealized depreciation (89,296) (5,870) (6,708) (54) (5,324) (11,134) Net tax unrealized appreciation (depreciation) on investments (56,212) (3,521) (5,576) 37 10,645 (6,981) Net tax appreciation (depreciation) on derivatives and foreign-currency denominated assets and liabilities (2,584) 24 -- -- -- -- --------- --------- --------- --------- --------- --------- Net tax unrealized appreciation (depreciation) (58,796) (3,497) (5,576) 37 10,645 (6,981) ========= ========= ========= ========= ========= ========= UNDISTRIBUTED ORDINARY INCOME 313 -- -- -- 141 -- --------- --------- --------- --------- --------- --------- UNDISTRIBUTED LONG-TERM GAINS (CAPITAL LOSS CARRYFORWARD) (72,056) (9,716) (1,202) (82) (12,367) (15,711) --------- --------- --------- --------- --------- ---------
REAL CALIFORNIA U.S. ESTATE INTERMEDIATE MONEY MICRO CAP SECURITIES BOND TAX-FREE MARKET FUND FUND FUND FUND FUND --------------------------------------------------------------------- COST OF INVESTMENTS FOR TAX PURPOSES $ 686,562 $ 30,601 $ 958,253 $ 55,886 $ 699,254 --------- --------- --------- --------- --------- Gross tax unrealized appreciation 81,715 3,125 9,322 3,002 -- Gross tax unrealized depreciation (130,215) (47) (6,663) -- -- Net tax unrealized appreciation (depreciation) on investments (48,500) 3,078 2,659 3,002 -- Net tax appreciation on derivatives and foreign-currency denominated assets and liabilities -- -- 1,929 -- -- --------- --------- --------- --------- --------- Net tax unrealized appreciation (depreciation) (48,500) 3,078 4,588 3,002 -- ========= ========= ========= ========= ========= UNDISTRIBUTED ORDINARY INCOME -- 137 -- 5 -- --------- --------- --------- --------- --------- UNDISTRIBUTED LONG-TERM GAINS (CAPITAL LOSS CARRYFORWARD) (66,221) (5,278) 328 (143) (21) --------- --------- --------- --------- ---------
The tax composition of dividends (other than return of capital dividends for the six months ended April 30, 2002) was as follows:
LONG-TERM ORDINARY ORDINARY INCOME LONG-TERM CAPITAL GAINS INCOME PER SHARE CAPITAL GAINS PER SHARE --------------------------------------------------------------------------------- Global Fund $ 6,242 $ .11 $ -- $ -- International Growth Fund 21 --* -- -- New Era Value Fund 7 --* -- -- Structured Core Fund 523 .07 -- -- Real Estate Securities Fund 378 .12 -- -- Bond Fund 24,729 .31 8,952 .11 California Intermediate Tax-Free Fund 1,275 .24 -- -- Money Market Fund 7,211 .01 -- --
* Less than $0.01. 90 8. LINE OF CREDIT The Investment Company has a Line of Credit Arrangement ("LOC") with State Street Bank and Trust Company. Under the terms of the LOC, each Fund's borrowings cannot exceed 20% of each Fund's net assets and the combined borrowings of all Funds cannot exceed the $40 million cap on the total line of credit. The interest rate paid on the Line of Credit equals State Street Bank's overnight federal funds rate as determined on each day at 11:00 am Boston time plus 0.50% per annum. The Funds pay a commitment fee of 0.09% of the unused balance of the LOC. Borrowing activity under the line of credit for the six months ended April 30, 2002 was as follows:
AMOUNT AVERAGE AMOUNT MAXIMUM AMOUNT OUTSTANDING AT FUND OUTSTANDING OUTSTANDING INTEREST EXPENSE APRIL 30, 2002 - ----------------------------------------------------------------------------------------------------------------- Global Fund $ 297 $5,031 $ 2 $ -- International Growth Fund 1,720 9,859 14 3,286 California Intermediate Tax-Free Fund 8 377 -- -- ------ ------ $ 16 $3,286 ====== ======
91 This page left blank intentionally 92 FREMONT FUNDS 50 Beale Street, Suite 100 San Francisco, CA 94105 www.fremontfunds.com Distributed by Quasar Distributors, LLC, Milwaukee, WI 53202 BR001a-0206 "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." - -NANCY TENGLER [GRAPHIC] [GRAPHIC] [GRAPHIC] FREMONT MUTUAL FUNDS, INC. U.S. MICRO-CAP SEMI-ANNUAL REPORT | APRIL 30, 2002 FREMONT FREMONT INVESTMENT ADVISORS A MESSAGE FROM NANCY TENGLER, PRESIDENT OF FREMONT MUTUAL FUNDS, INC. Dear Fremont Fund Shareholders, In a market outlook piece published in mid-March of this year, reflecting on the stock market's sensitivity to any whiff of bad news I wrote, "It doesn't really matter so much what the pundits say, but `how' they say it. The market reacts to the tone, but not the substance. So, in the short term, we continue to suffer incredible levels of daily volatility, which masks the underlying economic trends that are emerging and is expected to drive the market upward over time." As I write now, about six weeks later, the stock market remains skittish, with investors quick to react to any hint of bad news. There is a lot for investors to worry about--tensions in the Middle East, accounting questions, and attacks on Wall Street's credibility. Investors are being spooked by the generally negative "daily news flow." At Fremont, we are in the business of trying to see the forest through all the trees. Our focus is on an economy that is recovering, albeit at a slower rate than investors might like. We believe this foreshadows a broad-based corporate earnings recovery and firmer stock market later this year. In the interim, we will probably have to continue to cope with daily volatility and a disconnect between market activity and gradually improving economic and equities fundamentals. However, we think investors will eventually recognize that things are getting better, not worse, and that there are lots of attractive long-term opportunities in today's depressed stock market. As you will learn from reading this semi-annual report, not all our fund managers agree on where the best opportunities lie. Our value-oriented portfolio managers generally favor different sectors and stocks than the stewards of our growth-oriented funds. Our international equities managers see great opportunities overseas, while our domestic stock fund managers believe the U.S. is still the place to be. Our specialty fund managers offer their perspectives in the sectors they are investing in. Over the short term, some will be right and others wrong. More importantly, however, over the longer term, we expect our experienced and talented team of in- and out-of-house advisors to add value to the investment process. At Fremont Investment Advisors, we believe in diversification. Today, the value of a diversified strategy has never been more relevant. That's precisely why we have developed a diversified family of funds managed by the most experienced and talented advisors in the investment industry. We remain committed to this goal. Sincerely, /s/ Nancy Tengler - ------------------------ Nancy Tengler, President Fremont Funds [SIDENOTE] [PHOTO OF NANCY TENGLER] "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." TABLE OF CONTENTS FUND PROFILE AND LETTER TO SHAREHOLDERS 2 SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS 4 COMBINED FINANCIAL STATEMENTS STATEMENT OF ASSETS AND LIABILITIES 6 STATEMENT OF OPERATIONS 7 STATEMENT OF CHANGES IN NET ASSETS 8 FINANCIAL HIGHLIGHTS 9 NOTES TO FINANCIAL STATEMENTS 10 FREMONT U.S. MICRO-CAP FUND [SIDENOTE] Portfolio Manager Robert E. Kern, Jr. Kern Capital Management LLC [PHOTO OF ROBERT E. KERN, JR.] Robert E. Kern, Jr. FUND PROFILE THE U.S. MICRO-CAP STOCK MARKET IS A BREEDING GROUND FOR ENTREPRENEURIALLY-MANAGED COMPANIES WITH EXCEPTIONAL GROWTH PROSPECTS. WITH MINIMAL WALL STREET RESEARCH COVERAGE AND LOW INSTITUTIONAL OWNERSHIP, MICRO-CAP STOCKS REPRESENT THE LEAST EFFICIENT SECTOR OF THE DOMESTIC EQUITIES MARKET. THIS INEFFICIENCY CREATES ATTRACTIVE INVESTMENT OPPORTUNITIES FOR THE RESEARCH-DRIVEN STOCK PICKERS MANAGING THE FREMONT U.S. MICRO-CAP FUND. SINCE THE INVESTMENT POTENTIAL OF MICRO-CAP STOCKS IS LARGELY DETERMINED BY THE BUSINESS PROSPECTS FOR INDIVIDUAL COMPANIES RATHER THAN MACRO-ECONOMIC TRENDS, THE FUND'S FOCUS IS ON BOTTOM-UP STOCK SELECTION. FUND MANAGEMENT ANALYZES FINANCIAL STATEMENTS, THE COMPANY'S COMPETITIVE POSITION, AND MEETS WITH KEY CORPORATE DECISION MAKERS TO DISCUSS THEIR STRATEGIES FOR FUTURE GROWTH. ROBERT E. KERN, JR. IS NATIONALLY RECOGNIZED AS A PIONEER AND LEADING PRACTITIONER OF MICRO-CAP RESEARCH AND PORTFOLIO MANAGEMENT. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont U.S. Micro-Cap Fund returned 2.93%. During this same period, the Russell 2000 Index gained 20.03% and the Russell 2000 Growth, smaller growth company benchmark, returned 10.41%. Although the Fund underperformed the Russell 2000 indices, it provided investors with a positive rate of return during a period that has been especially challenging for many growth stock investors. Investments are focused primarily within the four sectors of the U.S. economy which are characterized by a high level of innovation--technology, health care, consumer and services. The Fund enjoyed strong positive returns in the consumer and health care sectors. However, these gains were largely offset by substantial losses in technology-related investments. At the end of this reporting period, 33% of Fund assets were in technology, 20% in health care, 17% in consumer, 11% in services, and 3% in special situations. The remaining 16% was in cash. This compares to 40% in tech, 16% in health care, 12% in consumer, 7% in services, 3% in special situations, and 22% in cash at the beginning of first half fiscal 2002. These relatively modest changes in portfolio weightings were largely a function of performance rather than asset allocation decisions. Sir Isaac Newton's Third Law of physics states, "For every action, there is an equal and opposite reaction." This scientific principle can also be applied to the economy and stock market as well. Those economic and market sectors that performed exceptionally well from the second quarter of 1998 through the first quarter of 2000, most notably technology, have gone bust over the last 25 months. Considering the magnitude of the boom, the duration of the bust may be longer than some investors anticipate. We don't expect to see technology capital spending increase significantly before a broad-based profit recovery. Corporate managements are still in a cost-saving mode. This is not likely to change until they gain confidence their own companies' profit picture has improved significantly. However, in our opinion, this is no reason to abandon tech--the most innovative sector of the economy with the best long-term growth dynamics. In fact, we think it's time to selectively invest in "best of breed" companies in a variety of tech sub-sectors including communications. Rather than focusing on short-term data points such as sequential quarterly revenue growth or trying to identify the next "hot" tech sub-sector, we are targeting those companies that are the best positioned in their respective niches. Put another way, we want to own companies that will be able to make it through these tough times and have the products and services that will be in the greatest demand when the economic climate improves. In this environment, we are also valuation sensitive, believing that if we buy at the right price, we will be adequately rewarded over the longer-term. This has always been our strategy across all sectors, and as the Fund's performance track record indicates, over the long-term it has worked exceptionally well. Over the short term, we expect our investments in other innovative sectors may have to continue to carry the ball. With low interest rates and lots of financial incentives in place to move product, we think the consumer will continue to spend, albeit not at a rate that will produce a vigorous economic recovery. We also believe that less economically sensitive sectors such as health care can continue to reward us. Health care niches showing special promise include: companies with medical equipment technologies that have multiple applications, value added service providers to the pharmaceutical and biotechnology industries, and health care information systems firms. In closing, growth stock investing is especially challenging in a soft economy, 2 which makes growth hard to come by. During such trying times, our investment team focuses on companies that we believe will achieve high growth when the economy regains momentum. It is our experience that such companies ultimately attract the most favorable investor attention and provide the most generous returns in more buoyant markets. Sincerely, /s/ Robert E. Kern, Jr. - ----------------------- Robert E. Kern, Jr. Portfolio Manager FREMONT U.S. MICRO-CAP FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Health Care (19.5%) Technology (Equipment) (17.2%) Business Equipment & Services (10.9%) Technology (Components) (8.5%) Technology (Software) (6.9%) Retail (6.5%) Consumer Non-Durables (6.2%) Cash (15.9%) Other (8.4%)
[CHART] ANNUAL RETURNS 6/30/94 - 10/31/94* +3.60% 11/01/94 - 10/31/95 +38.68% 11/01/95 - 10/31/96 +41.46% 11/01/96 - 10/31/97 +28.80% 11/01/97 - 10/31/98 -23.45% 11/01/98 - 10/31/99 +110.46% 11/01/99 - 10/31/00 +46.07% 11/01/00 - 10/31/01 -20.05% 11/01/01 - 4/30/01* +2.93%
TOP TEN HOLDINGS ENDOCARE, INC. 3.2% GENE LOGIC, INC 3.1% KROLL, INC 2.9% RIVERSTONE NETWORKS, INC 2.5% NEOPHARM, INC 2.2% ATMI, INC 2.1% F5 NETWORKS, INC. 2.0% ARTHROCARE CORP. 1.9% ANAREN MICROWAVE, INC. 1.8% JAKKS PACIFIC, INC. 1.8% TOTAL 23.5%
GROWTH OF $10,000(1) [CHART]
FREMONT U.S. MICRO-CAP FUND RUSSELL 2000 INDEX 30-Jun-94 $10,000 $10,000 31-Jul-94 $10,220 $10,164 31-Aug-94 $10,320 $10,730 30-Sep-94 $10,470 $10,694 31-Oct-94 $10,360 $10,651 30-Nov-94 $10,000 $10,221 31-Dec-94 $10,150 $10,494 31-Jan-95 $10,350 $10,362 28-Feb-95 $10,671 $10,793 31-Mar-95 $11,122 $10,978 30-Apr-95 $11,392 $11,222 31-May-95 $11,913 $11,415 30-Jun-95 $12,495 $12,007 31-Jul-95 $13,346 $12,699 31-Aug-95 $14,188 $12,961 30-Sep-95 $14,549 $13,193 31-Oct-95 $14,368 $12,602 30-Nov-95 $15,020 $13,132 31-Dec-95 $15,635 $13,479 31-Jan-96 $16,174 $13,465 29-Feb-96 $17,250 $13,884 31-Mar-96 $17,810 $14,167 30-Apr-96 $19,839 $14,925 31-May-96 $21,506 $15,513 30-Jun-96 $20,699 $14,876 31-Jul-96 $18,897 $13,577 31-Aug-96 $20,057 $14,365 30-Sep-96 $21,009 $14,926 31-Oct-96 $20,326 $14,696 30-Nov-96 $21,755 $15,302 31-Dec-96 $23,250 $15,701 31-Jan-97 $24,428 $16,016 28-Feb-97 $23,012 $15,627 31-Mar-97 $21,011 $14,889 30-Apr-97 $20,438 $14,931 31-May-97 $22,979 $16,592 30-Jun-97 $24,547 $17,304 31-Jul-97 $25,466 $18,109 31-Aug-97 $26,451 $18,523 30-Sep-97 $28,559 $19,878 31-Oct-97 $26,180 $19,005 30-Nov-97 $25,626 $18,882 31-Dec-97 $24,874 $19,212 31-Jan-98 $24,261 $18,909 28-Feb-98 $25,966 $20,307 31-Mar-98 $27,045 $21,145 30-Apr-98 $27,425 $21,262 31-May-98 $25,978 $20,117 30-Jun-98 $25,021 $20,159 31-Jul-98 $22,629 $18,527 31-Aug-98 $17,331 $14,929 30-Sep-98 $17,760 $16,098 31-Oct-98 $20,041 $16,754 30-Nov-98 $22,703 $17,632 31-Dec-98 $25,585 $18,723 31-Jan-99 $27,756 $18,972 28-Feb-99 $26,064 $17,435 31-Mar-99 $26,775 $17,707 30-Apr-99 $29,302 $19,294 31-May-99 $31,571 $19,576 30-Jun-99 $35,103 $20,461 31-Jul-99 $35,839 $19,900 31-Aug-99 $35,913 $19,164 30-Sep-99 $39,224 $19,167 31-Oct-99 $42,179 $19,246 30-Nov-99 $48,917 $20,395 31-Dec-99 $58,719 $22,704 31-Jan-00 $62,898 $22,338 29-Feb-00 $79,118 $26,026 31-Mar-00 $71,045 $24,311 30-Apr-00 $62,092 $22,848 31-May-00 $58,510 $21,516 30-Jun-00 $72,672 $23,392 31-Jul-00 $69,777 $22,638 31-Aug-00 $73,299 $24,366 30-Sep-00 $67,404 $23,649 31-Oct-00 $61,630 $22,595 30-Nov-00 $51,558 $20,274 31-Dec-00 $52,481 $22,016 31-Jan-01 $58,868 $23,163 28-Feb-01 $49,610 $21,643 31-Mar-01 $45,313 $20,585 30-Apr-01 $50,606 $22,195 31-May-01 $53,887 $22,741 30-Jun-01 $56,719 $23,525 31-Jul-01 $54,668 $22,253 31-Aug-01 $52,110 $21,534 30-Sep-01 $43,555 $18,635 31-Oct-01 $49,258 $19,725 30-Nov-01 $52,422 $21,252 31-Dec-01 $55,254 $22,563 31-Jan-02 $53,125 $22,329 28-Feb-02 $48,516 $21,717 31-Mar-02 $53,770 $23,463 30-Apr-02 $50,703 $23,677
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 YEAR 3 YEARS 5 YEARS SINCE INCEPTION (6/30/94) - ---------------------------------------------------------------- 0.19% 20.05% 19.93% 23.03%
*Unannualized. (1)Assumes initial investment of $10,000 on inception date, June 30, 1994. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Russell 2000 Index. Past performance is no guarantee of future results. Returns were achieved during a period of generally rising market values, especially in the technology sector. Investors should not expect that such favorable returns can be consistently achieved. Investments in newly emerging companies are subject to erratic earning patterns, competitive conditions within the industry, limited earnings history and the reliance on one or a limited number of products. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3 FREMONT U.S. MICRO-CAP FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ----------------------------------------------------------------------------------------------- COMMON STOCKS 84.1% BUSINESS EQUIPMENT & SERVICES 10.9% 226,500 BHA Group Holdings, Inc. (Class A) $ 4,224 245,900 Bright Horizons Family Solutions, Inc.* 7,370 125,200 Coors Tek, Inc.* 4,919 168,000 Corporate Executive Board Co.* 6,384 360,000 CoStar Group, Inc.* 8,572 151,500 Infocrossing, Inc.* 856 999,200 Kroll, Inc. 18,525 368,600 Perma-Fix Environmental Services, Inc.* 1,180 1,546,300 SBA Communications, Corp.* 4,467 703,400 Tele Tech Holdings, Inc.* 8,617 247,100 Tier Technologies, Inc. (Class B) 3,719 -------- 68,833 -------- CAPITAL GOODS 2.0% 182,400 Aaon, Inc.* 5,745 125,300 Oshkosh Truck Corp. 7,132 -------- 12,877 -------- CONSUMER NON-DURABLES 6.2% 176,900 Gaiam, Inc. (Class A) 2,814 346,400 Galaxy Nutritional Foods, Inc. 1,680 137,500 Hain Celestial Group, Inc.* 2,520 582,700 JAKKS Pacific, Inc. 11,229 732,100 Midway Games, Inc. 9,993 530,000 Monterey Pasta Co. 4,887 243,000 Take-Two Interactive Software, Inc.* 6,099 -------- 39,222 -------- CONSUMER SERVICES 4.7% 322,900 4Kids Entertainment, Inc.* 5,554 951,500 Cash America International, Inc. 9,486 525,600 Championship Auto Racing Teams, Inc.* 7,227 602,200 LoJack Corp.* 3,312 170,800 Shuffle Master, Inc.* 3,911 -------- 29,490 -------- HEALTH CARE 19.5% 155,500 American Healthcorp, Inc. 4,191 751,700 ArthroCare Corp.* 12,042 263,500 Biosite, Inc. 8,234 1,283,700 eBenX, Inc.*(a) 4,878 584,900 Eclipsys Corp.* 9,365 1,064,700 Endocare, Inc.* 20,432 371,900 Exact Sciences Corp. 4,392 730,200 First Consulting Group, Inc. 6,572 1,251,700 Gene Logic, Inc.* 19,439 1,310,800 Harvard Bioscience, Inc. 10,211 233,800 ICON PLC* 7,101 15,500 Intuitive Surgical, Inc.* 157 943,400 NeoPharm, Inc.*(a) 14,142 291,000 Quidel Corp. 1,958 -------- 123,114 -------- RAW MATERIALS 0.2% 328,950 Northern Technologies International Corp.(a) 1,365 -------- 1,365 -------- RETAIL 6.5% 51,800 A.C. Moore Arts & Crafts, Inc.* $ 2,386 376,300 Benihana, Inc. (Class A)*(a) 7,312 343,200 Buca, Inc.* 5,834 613,000 dELiA*s Corp. (Class A) 4,040 181,400 Electronics Boutique Holdings Corp.* 5,159 343,900 O'Charley's, Inc. 8,687 43,200 Tractor Supply Co.* 2,382 636,500 Trans World Entertainment Corp.* 5,156 -------- 40,956 -------- TECHNOLOGY (COMPONENTS) 8.5% 382,900 Advanced Technical Products, Inc.(a) 11,047 911,600 Anaren Microwave, Inc.* 11,514 382,500 APA Optics, Inc.* 842 1,089,500 California Micro Devices Corp.*(a) 5,175 365,900 Identix, Inc. 2,763 242,200 II-VI, Inc. 3,628 717,700 IXYS Corp. 6,057 130,700 Opticnet, Inc.(b) 10 749,500 Pemstar, Inc. 5,396 2,673,700 Stratos Lightwave, Inc.* 7,379 -------- 53,811 -------- TECHNOLOGY (EQUIPMENT) 17.2% 91,200 American Science & Engineering, Inc.* 1,756 412,000 ASMI International, NV 9,476 429,100 ATMI, Inc.* 13,088 291,000 August Technology Corp. 4,220 560,900 BEI Technologies, Inc. 10,999 630,500 COMARCO, Inc.*(a) 5,864 24,100 KVH Industries, Inc. 187 865,200 Micro Component Technology, Inc.*(a) 2,942 652,350 Netopia, Inc.* 2,707 233,300 Powell Industries, Inc. 5,483 852,600 Rimage Corp.*(a) 7,332 876,900 RIT Technologies Ltd.*(a) 1,613 3,329,900 Riverstone Networks, Inc.* 15,651 676,100 SafeNet, Inc.(a) 9,499 305,400 Trikon Technologies, Inc.* 4,288 438,500 Visionics Corp.* 4,438 526,900 Zygo Corp.* 9,015 -------- 108,558 -------- TECHNOLOGY (SOFTWARE) 6.9% 934,800 Centra Software, Inc.* 2,898 960,000 F5 Networks, Inc.* 12,499 1,508,300 FalconStor Software, Inc.* 9,351 414,700 MDSI Mobile Data Solutions, Inc.* 1,530 770,400 Novadigm, Inc.* 5,200 525,900 PLATO Learning, Inc. 7,058 500,900 Primus Knowledge Solutions, Inc.* 591 256,200 PumaTech, Inc.* 256 387,200 Saba Software, Inc. 1,134 120,800 Websense, Inc.* 3,227 -------- 43,744 --------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 4
SHARES/ VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - ----------------------------------------------------------------------------------------------- UTILITIES 1.5% 889,200 Cadiz, Inc.* $ 9,780 -------- 9,780 -------- TOTAL COMMON STOCKS (COST $580,250) 531,750 -------- SHORT-TERM INVESTMENT 16.8% $106,312,286 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $106,316) (Cost $106,312) Collateral: FHLMC, 3.000%, 01/30/04; FNMA, 4.625%, 08/13/04; FNMA, 6.000%, 05/15/11 (Collateral Value $108,445) 106,312 -------- TOTAL SHORT-TERM INVESTMENT (COST $106,312) 106,312 -------- TOTAL INVESTMENTS (COST $686,562), 100.9% 638,062 -------- OTHER ASSETS AND LIABILITIES, NET, (0.9)% (5,578) -------- NET ASSETS, 100.0% $632,484 ========
* Non-income producing security. (a) As of April 30, 2002, these securities represent ownership of at least 5% of the voting securities of the issuer and are, therefore, affiliates as defined in the Investment Company Act of 1940; see Note 2 of "Notes to Financial Statements". (b) Board valued security. PORTFOLIO ABBREVIATIONS FHLMC Federal Home Loan Mortgage Corp. FNMA Federal National Mortgage Association THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 5 FREMONT U.S. MICRO-CAP FUND April 30, 2002 (Unaudited) STATEMENT OF ASSETS AND LIABILITIES (ALL NUMBERS IN THOUSANDS EXCEPT NET ASSET VALUE PER SHARE) ASSETS: Investments in securities at cost $ 580,250 Repurchase agreements at cost 106,312 ----------- TOTAL INVESTMENTS AT COST $ 686,562 =========== Investments in securities at value $ 531,750 Repurchase agreements at value 106,312 Dividends and interest receivable 4 Receivable for securities sold 482 Receivable from sale of fund shares 470 ----------- TOTAL ASSETS 639,018 ----------- LIABILITIES: Payable for securities purchased 5,306 Payable for fund shares redeemed 586 Accrued expenses: Investment advisory fee 642 ----------- TOTAL LIABILITIES 6,534 ----------- NET ASSETS $ 632,484 =========== Net assets consist of: Paid in capital $ 751,361 Undistributed net investment loss (4,156) Unrealized depreciation on investments (48,500) Accumulated net realized loss (66,221) ----------- NET ASSETS $ 632,484 =========== SHARES OF CAPITAL STOCK OUTSTANDING 24,364 =========== NET ASSET VALUE PER SHARE $ 25.96 ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 6 FREMONT U.S. MICRO-CAP FUND Six Months Ended April 30, 2002 (Unaudited) STATEMENT OF OPERATIONS (ALL NUMBERS IN THOUSANDS) INVESTMENT INCOME: Interest $ 909 Dividends 72 ----------- TOTAL INCOME 981 ----------- EXPENSES: Investment advisory fee 5,137 ----------- TOTAL NET EXPENSES 5,137 ----------- NET INVESTMENT LOSS (4,156) ----------- REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS: Net realized loss from: Investments (31,419) Net unrealized appreciation on: Investments 51,439 ----------- Net realized and unrealized gain from investments 20,020 ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 15,864 ===========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 7 STATEMENT OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED APRIL 30, 2002 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 2001 (ALL NUMBERS IN THOUSANDS)
APRIL 30, OCTOBER 31, 2002 2001 --------- ----------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment loss $ (4,156) $ (3,034) Net realized loss from investments (31,419) (31,170) Net unrealized appreciation (depreciation) on investments 51,439 (139,705) --------- ---------- Net increase (decrease) in net assets from operations 15,864 (173,909) --------- ---------- Distributions to shareholders from: Net realized gains -- (65,293) --------- ---------- Total distributions to shareholders -- (65,293) --------- ---------- From capital share transactions: Proceeds from shares sold 410,315 762,766 Reinvested dividends -- 63,270 Payments for shares redeemed (393,954) (812,548) --------- ---------- Net increase in net assets from capital share transactions 16,361 13,488 --------- ---------- Net increase (decrease) in net assets 32,225 (225,714) Net assets at beginning of period 600,259 825,973 --------- ---------- NET ASSETS AT END OF PERIOD $ 632,484 $ 600,259 ========= ========== Undistrubuted net investment loss $ (4,156) $ -- ========= ========== CAPITAL TRANSACTIONS IN SHARES: Sold 15,313 28,051 Reinvested dividends 2,342 Redeemed (14,754) (30,197) --------- ---------- Net increase from capital share transactions 559 196 ========= ==========
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 8 FINANCIAL HIGHLIGHTS
(UNAUDITED) SIX MONTHS YEAR ENDED OCTOBER 31 ENDED ---------------------------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 1997 -------------- -------- -------- -------- -------- -------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 25.22 $ 34.99 $ 28.36 $ 16.34 $ 22.69 $ 19.63 -------- -------- -------- -------- -------- -------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (.17) (.13) .02 (.18) (.25) (.10) Net realized and unrealized gain (loss) .91 (6.69) 13.03 17.94 (4.86) 5.60 -------- -------- -------- -------- -------- -------- Total investment operations .74 (6.82) 13.05 17.76 (5.11) 5.50 -------- -------- -------- -------- -------- -------- LESS DISTRIBUTIONS From net investment income -- -- (.02) -- -- -- From net realized gains -- (2.95) (6.40) (5.74) (1.24) (2.44) -------- -------- -------- -------- -------- -------- Total distributions -- (2.95) (6.42) (5.74) (1.24) (2.44) -------- -------- -------- -------- -------- -------- NET ASSET VALUE, END OF PERIOD $ 25.96 $ 25.22 $ 34.99 $ 28.36 $ 16.34 $ 22.69 ======== ======== ======== ======== ======== ======== TOTAL RETURN 2.93% (20.05)% 46.07% 110.46% (23.45)% 28.80%(1) Net assets, end of period (000s omitted) $632,484 $600,259 $825,973 $300,503 $120,016 $171,507 Ratio of net expenses to average net assets(2) 1.57%* 1.60% 1.57% 1.82% 1.94% 1.88% Ratio of gross expenses to average net assets(2) 1.57%* 1.60% 1.57% 1.82% 1.94% 1.90% Ratio of net investment income (loss) to average net assets (1.27)%* (0.47)% .06% (0.97)% (1.22)% (0.67)% Portfolio turnover rate 29% 93% 117% 164% 170% 125%
(1) Total return would have been lower had the advisor not waived and/or reimbursed expenses. (2) See Note 2 of "Notes to Financial Statements." * Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 9 Notes To Financial Statements - April 30, 2002 (Unaudited) (All dollars in thousands except par value) 1. SIGNIFICANT ACCOUNTING POLICIES Fremont Mutual Funds, Inc. (the "Investment Company") is an open-end investment company authorized to issue ten billion shares of $0.0001 par value capital stock. These shares are currently offered in thirteen series (the "Funds"), one of which, the U.S. Micro-Cap Fund (the "Fund"), is covered by this report. The Fund has its own investment objective and policies and operates as a separate mutual fund. The following is a summary of significant accounting policies followed by the Fund. These policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. A. SECURITY VALUATION Investments are stated at value based on recorded closing prices on a national securities exchange or, in the absence of a recorded sale, at the mean between the last reported bid and asked prices. Securities for which quotations are not readily available are valued at fair value as determined in good faith under procedures established by the Board of Directors. Short-term notes and similar securities are included in investments at amortized cost, which approximates value. B. SECURITY TRANSACTIONS Security transactions are accounted for as of trade date. Realized gains and losses on security transactions are determined on the basis of specific identification for both financial statement and Federal income tax purposes. C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income and estimated expenses are accrued daily. D. INCOME TAXES No provision for federal income taxes is required since each Fund intends to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all taxable income and net capital gains, if any, to shareholders. Income and capital gain distributions are determined in accordance with income tax regulations which differ from accounting principles generally accepted in the United States of America and, therefore, may differ from the information presented in the financial statements. These differences are primarily due to the varying treatments for realized losses subject to wash sale rules. Permanent differences are reclassified to paid in capital. Temporary differences, which will reverse in subsequent periods, are not reclassified and remain in undistributed net investment loss or accumulated realized loss. Any taxable income or gain remaining at fiscal year end is distributed in the following year. E. ACCOUNTING ESTIMATES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the amounts of income and expense for the reporting period. Actual results could differ from those estimates. F. REPURCHASE AGREEMENTS The Fund may enter into repurchase agreements through which the Fund acquires a security (the "underlying security") from the seller, a well-established securities dealer or bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date. The Fund's repurchase agreements generally have a term of less than one week. The seller must maintain collateral with the Fund's custodian equal to at least 100% of the repurchase price, including accrued interest. At April 30, 2002, all outstanding repurchase agreements held by the Fund had been entered into on that day. 10 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES INVESTMENT ADVISOR The Fund has entered into an advisory agreement (the "Agreement") with Fremont Investment Advisors, Inc. (the "Advisor"), a majority-owned subsidiary of Fremont Investors, Inc. Under this agreement, the Advisor supervises and implements the Fund's investment activities. Under the terms of the Agreement, the Advisor receives a single management fee from the Fund, and is obligated to pay all expenses of the Fund except extraordinary expenses (as determined by a majority of the disinterested directors) and interest, brokerage commissions, and other transaction charges relating to the investing activities of the Fund. For its advisory services, the Advisor receives a management fee based on the average daily net assets of the Fund as described below:
AVERAGE DAILY NET ASSETS ADVISORY FEE ---------------------------------------------------- First $30 million 2.50% Next $70 million 2.00% On balance over $100 million 1.50%
AFFILIATED COMPANY TRANSACTIONS Investments in portfolio companies, 5% or more of whose outstanding voting securities are held by the Fund, are defined in the Investment Act of 1940 as "affiliated" companies. A summary of transactions for each issuer who was an affiliate during the six months ended April 30, 2002, follows:
SHARE SHARE BALANCE AGGREGATE AGGREGATE NET BALANCE VALUE OCTOBER 31, PURCHASE SALES REALIZED APRIL 30, APRIL 30, ISSUER 2001 COST COST GAIN/(LOSS) INCOME 2002 2002 -------------------------------------------------------------------------------------------------- Advanced Technical Products, Inc. -- $4,551 $ 2,333 $ 356 $ -- 382,900 $11,047 Benihana, Inc. (Class A) -- 5,744 -- -- -- 376,300 7,312 California Micro Devices Corp. 1,089,500 -- -- -- -- 1,089,500 5,175 Cash America International, Inc. 1,275,500 663 4,139 (976) -- --* --* COMARCO, Inc. 373,600 3,106 -- -- -- 630,500 5,864 eBenX Inc. 1,358,000 2,307 (1,912) -- 1,283,700 4,878 Fusion Medical Technologies, Inc. 791,100 93 10,091 (2,277) -- --* --* LightPath Technologies Inc. (Class A) 1,355,500 -- 10,466 (7,121) -- --* --* Lojack Corp. 1,305,800 -- 5,674 (1,721) -- --* --* MDSI Mobile Data Solutions 414,700 -- -- -- -- --* --* Micro Component Technology, Inc. 958,100 -- 759 (415) -- 865,200 2,942 NeoPharm, Inc. -- 9,172 1,618 (258) -- 943,400 14,142 Northern Technologies International Corp. 328,950 -- -- -- -- 328,950 1,365 Powell Industries, Inc. 658,600 -- 12,367 (2,231) -- --* --* RIT Technologies Ltd. 876,900 -- -- -- -- 876,900 1,613 Rimage Corp. 852,600 -- -- -- -- 852,600 7,332 SafeNet, Inc. 699,100 3,844 3,280 2,744 -- 676,100 9,499 Zygo Corp. 929,800 -- 3,702 (1,166) -- --* --* ---- ------- $ -- $71,169 ==== =======
* Issuer is not an affiliated company at April 30, 2002. 11 OTHER RELATED PARTIES Certain officers and/or directors of the Fund are also officers and/or directors of the Advisor and/or Fremont Investors, Inc. None of the officers and/or directors so affiliated receive compensation for services as officers and/or directors of the Fund. 3. PURCHASES AND SALES OF INVESTMENT SECURITIES Aggregate purchases and aggregate proceeds from sales of securities for the six months ended April 30, 2002, were as follows:
PURCHASES PROCEEDS --------- -------- Long-term securities: $192,204 $151,065
4. PORTFOLIO CONCENTRATIONS Although the Fund has a diversified investment portfolio, there are certain investment concentrations of risk which may subject the Fund more significantly to economic changes occurring in certain segments or industries. 5. DISTRIBUTIONS TO SHAREHOLDERS As of April 30, 2002, the components of distributable earnings on a tax basis were as follows: Cost of investments for tax purposes $ 686,562 --------- Gross tax unrealized appreciation $ 81,715 Gross tax unrealized depreciation (130,215) --------- Net tax unrealized depreciation on investments $ (48,500) ========= Capital loss carryforward $ 66,221 ---------
6. LINE OF CREDIT The Investment Company has a Line of Credit Arrangement ("LOC") with State Street Bank. Under the terms of the LOC, the Fund's borrowings cannot exceed 20% of its net assets and the combined borrowings of all Funds cannot exceed $40 million. The Fund did not incur such borrowings during the six months ended April 30, 2002. The interest rate paid on the Line of Credit equals State Street Bank's overnight federal funds rate as determined on each day at 11:00 am Boston time plus 0.50% per annum. The Fund pays a commitment fee of 0.09% per annum of the unused balance of the Line of Credit. 12 FREMONT FUNDS 50 Beale Street, Suite 100 San Francisco, CA 94105 www.fremontfunds.com Distributed by Quasar Distributors, LLC, Milwaukee, WI 53202 BR001c-0206 [PHOTO] "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." -NANCY TENGLER [PHOTO] [PHOTO] FREMONT MUTUAL FUNDS, INC. SEMI-ANNUAL REPORT | APRIL 30, 2002 - - FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND - - FREMONT INSTITUTIONAL YIELD+ FUND [FREMONT INVESTMENT ADVISORS LOGO] A MESSAGE FROM NANCY TENGLER, PRESIDENT OF FREMONT MUTUAL FUNDS, INC. Dear Fremont Fund Shareholders, In a market outlook piece published in mid-March of this year, reflecting on the stock market's sensitivity to any whiff of bad news I wrote, "It doesn't really matter so much what the pundits say, but `how' they say it. The market reacts to the tone, but not the substance. So, in the short term, we continue to suffer incredible levels of daily volatility, which masks the underlying economic trends that are emerging and is expected to drive the market upward over time." As I write now, about six weeks later, the stock market remains skittish, with investors quick to react to any hint of bad news. There is a lot for investors to worry about--tensions in the Middle East, accounting questions, and attacks on Wall Street's credibility. Investors are being spooked by the generally negative "daily news flow." At Fremont, we are in the business of trying to see the forest through all the trees. Our focus is on an economy that is recovering, albeit at a slower rate than investors might like. We believe this foreshadows a broad-based corporate earnings recovery and firmer stock market later this year. In the interim, we will probably have to continue to cope with daily volatility and a disconnect between market activity and gradually improving economic and equities fundamentals. However, we think investors will eventually recognize that things are getting better, not worse, and that there are lots of attractive long-term opportunities in today's depressed stock market. As you will learn from reading this semi-annual report, not all our fund managers agree on where the best opportunities lie. Our value-oriented portfolio managers generally favor different sectors and stocks than the stewards of our growth-oriented funds. Our international equities managers see great opportunities overseas, while our domestic stock fund managers believe the U.S. is still the place to be. Our specialty fund managers offer their perspectives in the sectors they are investing in. Over the short term, some will be right and others wrong. More importantly, however, over the longer term, we expect our experienced and talented team of in- and out-of-house advisors to add value to the investment process. At Fremont Investment Advisors, we believe in diversification. Today, the value of a diversified strategy has never been more relevant. That's precisely why we have developed a diversified family of funds managed by the most experienced and talented advisors in the investment industry. We remain committed to this goal. Sincerely, /s/ Nancy Tengler Nancy Tengler, President Fremont Funds [SIDENOTE] [PHOTO OF NANCY TENGLER] "AT FREMONT, WE ARE IN THE BUSINESS OF TRYING TO SEE THE FOREST THROUGH ALL THE TREES." TABLE OF CONTENTS FUND PROFILES AND LETTERS TO SHAREHOLDERS Fremont Institutional U.S. Micro-Cap Fund 2 Fremont Institutional Yield+ Fund 4 SCHEDULES OF INVESTMENTS IN SECURITIES AND NET ASSETS Fremont Institutional U.S. Micro-Cap Fund 6 Fremont Institutional Yield+ Fund 8 COMBINED FINANCIAL STATEMENTS Statements of Assets and Liabilities 10 Statements of Operations 11 Statements of Changes in Net Assets 12 FINANCIAL HIGHLIGHTS 13 NOTES TO FINANCIAL STATEMENTS 15 FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND [SIDENOTE] Portfolio Manager Robert E. Kern, Jr. Kern Capital Management LLC [PHOTO OF ROBERT E. KERN, JR.] Robert E. Kern, Jr. FUND PROFILE THE U.S. MICRO-CAP STOCK MARKET IS A BREEDING GROUND FOR ENTREPRENEURIALLY MANAGED COMPANIES WITH EXCEPTIONAL GROWTH PROSPECTS. WITH MINIMAL WALL STREET RESEARCH COVERAGE AND LOW INSTITUTIONAL OWNERSHIP, MICRO-CAP STOCKS REPRESENT THE LEAST EFFICIENT SECTOR OF THE DOMESTIC EQUITIES MARKET. THIS INEFFICIENCY CREATES ATTRACTIVE INVESTMENT OPPORTUNITIES FOR THE RESEARCH-DRIVEN STOCK PICKERS MANAGING THE FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND. SINCE THE INVESTMENT POTENTIAL OF MICRO-CAP STOCKS IS LARGELY DETERMINED BY THE BUSINESS PROSPECTS FOR INDIVIDUAL COMPANIES RATHER THAN MACRO-ECONOMIC TRENDS, THE FUND'S FOCUS IS ON BOTTOM-UP STOCK SELECTION. FUND MANAGEMENT ANALYZES FINANCIAL STATEMENTS, THE COMPANY'S COMPETITIVE POSITION, AND MEETS WITH KEY CORPORATE DECISION MAKERS TO DISCUSS THEIR STRATEGIES FOR FUTURE GROWTH. ROBERT E. KERN, JR. IS NATIONALLY RECOGNIZED AS A PIONEER AND LEADING PRACTITIONER OF MICRO-CAP RESEARCH AND PORTFOLIO MANAGEMENT. TO OUR SHAREHOLDERS, For the six months ended April 30, 2002, the Fremont Institutional U.S. Micro-Cap Fund returned 2.62%. During this same period, the Russell 2000 Index gained 20.03% and the Russell 2000 Growth, smaller growth company benchmark, returned 10.41%. Although the Fund under-performed the Russell 2000 indices, it provided investors with a positive rate of return during a period that has been especially challenging for many growth stock investors. Investments are focused primarily within the four sectors of the U.S. economy which are characterized by a high level of innovation--technology, health care, consumer and services. The Fund enjoyed strong positive returns in the consumer and health care sectors. However, these gains were largely offset by substantial losses in technology related investments. At the end of this reporting period, 33% of Fund assets were in technology, 19% in health care, 16% in consumer, 10% in services, and 4% in special situations. The remaining 18% was in cash. This compares to 40% in tech, 16% in health care, 11% in consumer, 6% in services, 4% in special situations, and 23% in cash at the beginning of first half fiscal 2002. These relatively modest changes in portfolio weightings were largely a function of performance rather than asset allocation decisions. Sir Isaac Newton's Third Law of physics states, "For every action, there is an equal and opposite reaction." This scientific principle can also be applied to the economy and stock market as well. Those economic and market sectors that performed exceptionally well from the second quarter of 1998 through the first quarter of 2000, most notably technology, have gone bust over the last 25 months. Considering the magnitude of the boom, the duration of the bust may be longer than some investors anticipate. We don't expect to see technology capital spending increase significantly before a broad-based profit recovery. Corporate managements are still in a cost-saving mode. This is not likely to change until they gain confidence their own companies' profit picture has improved signifi-cantly. However, in our opinion, this is no reason to abandon tech--the most innovative sector of the economy with the best long-term growth dynamics. In fact, we think it's time to selectively invest in "best of breed" companies in a variety of tech sub-sectors including communications. Rather than focusing on short-term data points such as sequential quarterly revenue growth or trying to identify the next "hot" tech sub-sector, we are targeting those companies that are the best positioned in their respective niches. Put another way, we want to own companies that will be able to make it through these tough times and have the products and services that will be in the greatest demand when the economic climate improves. In this environment, we are also valuation sensitive, believing that if we buy at the right price, we will be adequately rewarded over the longer-term. This has always been our strategy across all sectors, and as the Fund's performance track record indicates, over the long-term it has worked exceptionally well. Over the short term, we expect our investments in other innovative sectors may have to continue to carry the ball. With low interest rates and lots of financial incentives in place to move product, we think the consumer will continue to spend, albeit not at a rate that will produce a vigorous economic recovery. We also believe that less economically sensitive sectors such as health care can continue to reward us. Health care niches showing special promise include: companies with medical equipment technologies that have multiple applications, value added service providers to the pharmaceutical and biotechnology industries, and health care information systems firms. 2 In closing, growth stock investing is especially challenging in a soft economy, which makes growth hard to come by. During such trying times, our investment team focuses on companies that we believe will achieve high growth when the economy regains momentum. It is our experience that such companies ultimately attract the most favorable investor attention and provide the most generous returns in more buoyant markets. Sincerely, /s/ Robert E. Kern, Jr. Robert E. Kern, Jr. Portfolio Manager FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Health Care (18.9%) Technology (Equipment) (18.0%) Technology (Components) (8.6%) Business Equipment & Services (10.1%) Technology (Software) (6.6%) Retail (6.1%) Consumer Non-Durables (5.6%) Cash (18.3%) Other (7.8%)
ANNUAL RETURNS [CHART] 11/01/88-10/31/89 + 25.28% 11/01/89-10/31/90 - 10.25% 11/01/90-10/31/91 + 84.70% 11/01/91-10/31/92 - 0.65% 11/01/92-10/31/93 + 42.08% 11/01/93-10/31/94 - 10.62% 11/01/94-10/31/95 + 29.21% 11/01/95-10/31/96 + 41.99% 11/01/96-10/31/97 + 34.19% 11/01/97-10/31/98 - 21.03% 11/01/98-10/31/99 +118.10% 11/01/99-10/31/00 + 60.36% 11/01/00-10/31/01 - 18.13% 11/01/01-4/30/02* + 2.62%
TOP TEN HOLDINGS Riverstone Networks, Inc. 3.8% Endocare, Inc. 3.5% Gene Logic, Inc. 2.9% Kroll, Inc. 2.9% NeoPharm, Inc. 2.5% BEI Technologies, Inc. 2.2% F5 Networks, Inc. 2.1% ATMI, Inc. 2.0% Anaren Microwave, Inc. 1.9% ArthroCare Corp. 1.8% TOTAL 25.6%
AVERAGE ANNUAL RETURNS FOR PERIODS ENDED 4/30/02
1 YEAR 5 YEARS 10 YEARS - ------ ------- -------- 0.99% 24.56% 21.74%
GROWTH OF $10,000(1) [CHART] Fremont Institutional U.S. Micro-Cap Fund ($154,157) Russell 2000 Index ($42,816)
FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND RUSSELL 2000 INDEX 1-Nov-88 10000.00 10000.00 30-Nov-88 9326.00 9667.00 31-Dec-88 10202.64 10045.95 31-Jan-89 10302.63 10494.00 28-Feb-89 10228.45 10571.65 31-Mar-89 10596.68 10820.08 30-Apr-89 11387.19 11291.84 31-May-89 12217.31 11777.39 30-Jun-89 11591.79 11508.87 31-Jul-89 11895.49 11956.56 31-Aug-89 13127.86 12247.10 30-Sep-89 12990.02 12286.30 31-Oct-89 12527.58 11557.72 30-Nov-89 12614.02 11631.69 31-Dec-89 12610.23 11678.21 31-Jan-90 11655.89 10658.71 28-Feb-90 12223.58 10989.13 31-Mar-90 12750.73 11419.90 30-Apr-90 12574.19 11046.47 31-May-90 13808.55 11828.56 30-Jun-90 13955.49 11859.31 31-Jul-90 14230.17 11339.88 31-Aug-90 13044.93 9822.60 30-Sep-90 12007.40 8949.37 31-Oct-90 11240.25 8402.56 30-Nov-90 11872.55 9043.68 31-Dec-90 12547.95 9399.46 31-Jan-91 13528.41 10246.35 28-Feb-91 15242.13 11395.99 31-Mar-91 17138.68 12194.85 30-Apr-91 16731.36 12163.75 31-May-91 16677.39 12742.75 30-Jun-91 15095.98 12005.71 31-Jul-91 17128.30 12425.91 31-Aug-91 17912.78 12884.42 30-Sep-91 18555.49 12984.40 31-Oct-91 20790.49 13327.71 30-Nov-91 20037.19 12711.17 31-Dec-91 22388.64 13728.07 31-Jan-92 24547.58 14841.41 29-Feb-92 24135.41 15274.78 31-Mar-92 23332.86 14757.88 30-Apr-92 21560.44 14239.88 31-May-92 21429.87 14429.27 30-Jun-92 19160.35 13751.10 31-Jul-92 20474.23 14229.63 31-Aug-92 19737.98 13826.94 30-Sep-92 20616.13 14145.09 31-Oct-92 20817.35 14592.08 30-Nov-92 22926.74 15709.69 31-Dec-92 23855.76 16255.91 31-Jan-93 24545.79 16805.69 28-Feb-93 24082.27 16418.15 31-Mar-93 26371.85 16950.26 30-Apr-93 25476.33 16484.81 31-May-93 27099.17 17213.43 30-Jun-93 27386.54 17320.50 31-Jul-93 27682.35 17560.22 31-Aug-93 29658.30 18318.47 30-Sep-93 29775.51 18835.05 31-Oct-93 29872.38 19319.49 30-Nov-93 29224.37 18690.64 31-Dec-93 28889.08 19329.30 31-Jan-94 30731.64 19934.30 28-Feb-94 30713.88 19862.94 31-Mar-94 29029.57 18816.16 30-Apr-94 27855.68 18927.18 31-May-94 26948.26 18715.19 30-Jun-94 25803.24 18084.49 31-Jul-94 25593.85 18381.08 31-Aug-94 25771.37 19404.72 30-Sep-94 26922.12 19338.74 31-Oct-94 26693.43 19260.81 30-Nov-94 25040.20 18482.67 31-Dec-94 24125.59 18978.00 31-Jan-95 25091.22 18738.69 28-Feb-95 25702.83 19518.22 31-Mar-95 27056.42 19852.76 30-Apr-95 27603.70 20293.89 31-May-95 28405.43 20642.54 30-Jun-95 30207.34 21713.89 31-Jul-95 31772.05 22964.39 31-Aug-95 34215.20 23439.76 30-Sep-95 35299.60 23858.39 31-Oct-95 34715.54 22790.25 30-Nov-95 35448.32 23749.26 31-Dec-95 37134.61 24376.24 31-Jan-96 38713.43 24350.16 29-Feb-96 41214.52 25109.16 31-Mar-96 42507.68 25620.13 30-Apr-96 48291.75 26989.52 31-May-96 54174.33 28051.83 30-Jun-96 51035.86 26898.90 31-Jul-96 45602.14 24550.63 31-Aug-96 49047.76 25977.02 30-Sep-96 51296.56 26991.42 31-Oct-96 49417.63 26574.43 30-Nov-96 53103.65 27669.56 31-Dec-96 56688.38 28392.84 31-Jan-97 60789.17 28962.09 28-Feb-97 57031.57 28258.31 31-Mar-97 52669.98 26924.52 30-Apr-97 51407.86 27000.18 31-May-97 57397.56 30004.22 30-Jun-97 62177.93 31291.10 31-Jul-97 64323.39 32747.07 31-Aug-97 66628.92 33496.33 30-Sep-97 72422.74 35946.75 31-Oct-97 66431.38 34367.61 30-Nov-97 65548.34 34145.25 31-Dec-97 64393.05 34742.79 31-Jan-98 62927.99 34194.55 28-Feb-98 67462.71 36722.90 31-Mar-98 70253.31 38237.35 30-Apr-98 71230.02 38448.80 31-May-98 67462.71 36377.95 30-Jun-98 65090.70 36454.34 31-Jul-98 59090.92 33503.37 31-Aug-98 45486.75 26997.68 30-Sep-98 46533.22 29110.52 31-Oct-98 52463.24 30297.65 30-Nov-98 60067.62 31884.94 31-Dec-98 67951.06 33857.98 31-Jan-99 74508.97 34308.29 28-Feb-99 69904.48 31529.32 31-Mar-99 72206.73 32021.18 30-Apr-99 79392.52 34890.28 31-May-99 86020.19 35399.67 30-Jun-99 95926.81 36999.74 31-Jul-99 98089.52 35985.95 31-Aug-99 97810.46 34654.47 30-Sep-99 106670.61 34661.40 31-Oct-99 114423.88 34803.51 30-Nov-99 133076.32 36881.28 31-Dec-99 163261.06 41056.24 31-Jan-00 177644.19 40395.23 29-Feb-00 230718.75 47064.49 31-Mar-00 205905.76 43962.94 30-Apr-00 183868.46 41316.37 31-May-00 174784.38 38907.62 30-Jun-00 217260.86 42300.37 31-Jul-00 208513.23 40938.30 31-Aug-00 218017.87 44061.89 30-Sep-00 200438.49 42766.47 31-Oct-00 183491.68 40859.08 30-Nov-00 153702.01 36662.86 31-Dec-00 155545.57 39812.20 31-Jan-01 173947.16 41886.41 28-Feb-01 147212.77 39138.66 31-Mar-01 136102.37 37224.78 30-Apr-01 152652.23 40135.76 31-May-01 162142.37 41123.10 30-Jun-01 170243.70 42541.85 31-Jul-01 164572.77 40240.33 31-Aug-01 157050.10 38940.57 30-Sep-01 133556.24 33699.17 31-Oct-01 150221.84 35670.57 30-Nov-01 159133.30 38431.44 31-Dec-01 167234.63 40802.66 31-Jan-02 161100.77 40378.31 28-Feb-02 147559.97 39271.94 31-Mar-02 163531.17 42429.41 30-Apr-02 154156.77 42815.52
* Unannualized. (1)Assumes initial investment of $10,000 on November 1, 1988. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Performance for the Fremont Institutional U.S. Micro-Cap Fund reflects the performance of the post- venture fund of Fund A of the Bechtel Trust & Thrift, whose asset1transferred into the Fremont Institutional U.S. Micro-Cap Fund on 8/6/97, net of actual fees and expenses. The post-venture fund imposed higher fees and expenses than that of the Fremont Institutional U.S. Micro-Cap Fund and was not registered with the Securities and Exchange Commission and therefore was not subject to the investment restrictions imposed on registered mutual funds. Management fees and other expenses are included in the Fund's performance; however, fees and expenses are not incorporated in the Russell 2000 Index. The returns shown were achieved during a period of generally rising market values, especially in the technology sector. Investors should not expect that such favorable returns can be achieved consistently. Investments in newly emerging companies are subject to erratic earning patterns, competitive conditions within the industry, limited earnings history and the reliance on one or a limited number of products.The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 3 FREMONT INSTITUTIONAL YIELD+ FUND [SIDENOTE] Portfolio Co-Managers Norman Gee and Michelle Romano Fremont Investment Advisors, Inc. [PHOTO OF NORMAN GEE] [PHOTO OF MICHELLE ROMANO] Norman Gee and Michelle Romano FUND PROFILE THE FREMONT INSTITUTIONAL YIELD+ FUND FOCUSES ITS INVESTMENTS ON SHORT-TERM DEBT SECURITIES SUCH AS COMMERCIAL PAPER, CORPORATE BONDS, CERTIFICATES OF DEPOSITS, AND GOVERNMENT NOTES AND BONDS WITH MATURITIES OF THREE YEARS OR LESS. THE FUND'S GOAL IS TO PROVIDE INSTITUTIONAL INVESTORS WITH HIGHER RETURNS THAN NORMALLY FOUND IN A TYPICAL TAXABLE MONEY MARKET FUND, WHILE ASSUMING ONLY SLIGHTLY MORE RISK. PORTFOLIO CO-MANAGERS NORMAN GEE AND MICHELLE ROMANO INVEST PRIMARILY IN SECURITIES RATED INVESTMENT GRADE, OR BETTER, BY MOODY'S OR STANDARD & POOR'S, OR THOSE OF COMPARABLE QUALITY. TO IDENTIFY AND SELECT THE SHORT-TERM DEBT SECURITIES THAT PRESENT THE BEST INVESTMENT OPPORTUNITY, THE MANAGERS ANALYZE A VARIETY OF MACRO- AND MICROECONOMIC FACTORS, INCLUDING THE ISSUER'S BUSINESS CONDITIONS, COMPETITIVE POSITION, AND GENERAL FINANCIAL HEALTH. TO OUR SHAREHOLDERS, The Fremont Institutional Yield+ Fund commenced operations on November 1, 2001. Since inception, it returned -0.05% compared to the Money Fund Report/First Tier Taxable Prime Average's (plus 50 basis points or 0.5%) 0.97% gain. At the close of this reporting period, the Fund's 30-day SEC yield was 3.19%. In its brief six months of operation, the Fund achieved one of its objectives, providing a yield at least 50 basis points (0.5%) higher than the average money market fund. In fact, at the end of fiscal first half 2002, the Fund's 30-day SEC yield was 139 basis points (1.39%) higher than the money market fund average. Unfortunately, we failed to meet our second objective--a stable Net Asset Value (NAV). The Fund's NAV declined by 1.30%, primarily due to the sharp decline in the price of one of our largest holdings (more on this later). Since this is the first time we are reporting to shareholders, let's begin by reviewing our investment methodology and objectives. The Fund was created for institutional investors looking for a higher yielding alternative to conven-tional money market funds without sacrificing much safety of principal. We plan to accomplish these goals by operating in an air pocket in the fixed income market--a place money market funds aren't allowed to venture and most bond funds do not care to go. Generally, one of the steepest sections of the yield curve is just past one year (the cut-off for money funds) and below three years (where yields aren't high enough to attract bond fund buying). You also usually see attractive credit spreads between the highest investment grade securities money fund managers are required to own and securities rated one notch lower (but still in the invest-ment grade category) that we are allowed to purchase. We believe the Fund can achieve its yield objective by owning securities maturing within three years while maintaining an average portfolio maturity up to one year versus the one-year maturity on individual securities and 90-day average portfolio maturity maximums for money funds. We can also boost yield by owning securities rated at least A2 by Standard & Poor's, P2 by Moody's and F2 by Fitch versus A1, P1, and F1 credit ratings required for money funds. We cannot promise the absolute safety of principal offered by money market funds--longer maturity, lower credit quality securities present additional risks. We believe that if we do our homework and avoid unpleasant surprises, that this additional risk is minimal. However we have just experienced the kind of unpleasant surprise that can result in a decline in the Fund's NAV. We did a lot of homework on telecom giant WorldCom. We were well aware of problems that could have a negative impact on WorldCom stock and longer maturity bonds. However, we were satisfied (and still are) that WorldCom's cash flow would be more than adequate to cover interest and principal payments on the May 2003 bonds we were buying. Unfortunately, the rating agencies didn't share our confidence and dropped their credit rating on this debt from Baa1 to Baa2 (Moody's), A-2 to A-3 (S&P), BBB+ to BBB- (Fitch). The news sent the bond's price skidding and resulted in a 1.3% decline in the Fund's NAV. Clearly, after the Enron debacle, (when all the leading credit agencies were late to recognize and acknowledge the company's severe liquidity problems), the agencies are taking the position that they would rather be early and wrong than late and wrong. That is another element of risk we will have to contend with going forward. However, we remain confident WorldCom will pay off the May 2003 bonds in the portfolio and that diligent fundamental research will help us avoid these potholes in the future. Presently, the fixed income markets seem to be anticipating Federal Reserve rate hikes in the late summer. If, as 4 we anticipate, economic growth slows substantially in the second quarter and inflation remains muted, we suspect Chairman Greenspan and his colleagues at the Fed will postpone any rate hikes until the economy is on more solid footing. When the Fed does pump the monetary brakes--our best guess is not until 2003-we suspect it will be a few light taps moving the Fed Funds rate no more than 125 basis points (1.25%). Consequently, we will likely maintain the portfolio's current 148-day average maturity to lock in the higher yields on the longer end of the short-term yield curve. With the economy now on more solid footing, we believe credit risk has also abated, and therefore plan to maintain the portfolio's BBB average credit rating. Sincerely, /s/ Norman Gee /s/ Michelle Romano Norman Gee and Michelle Romano Portfolio Co-Managers FREMONT INSTITUTIONAL YIELD+ FUND SECTOR DIVERSIFICATION AS OF 4/30/02 [CHART] Financial Services (31.7%) Energy (22.4%) Utilities (11.1%) Retail (9.3%) Technology (7.8%) Transportation (3.6%) Consumer Durables (5.2%) Consumer Services (2.0%) Other (6.9%)
[CHART] CUMULATIVE RETURN 11/01/01*-4/30/02 -0.05%
TOP TEN HOLDINGS Federated Department Stores, Inc., 8.130%, 10/15/02 5.1% Tyco International Group SA, 6.880%, 09/05/02 4.1% Coastal Corp., 8.130%, 09/15/02 4.1% Kinder Morgan Energy LP, DN, 0.000%, 05/13/02 4.0% ABB Treasury Center (USA), Inc., DN, 0.000%, 05/24/02 4.0% Reliant Energy, Inc.,DN, 0.000%, 05/01/02 4.0% Sun Microsystems, Inc., 7.000%, 08/15/02 3.8% Norfolk Southern Corp., 6.950%, 05/01/02 3.6% Cleveland Electric Illuminating Co., 7.630%, 08/01/02 3.3% Reliance Electric Co., 6.800%, 04/15/03 3.1% TOTAL 39.1%
GROWTH OF $10,000(1) [CHART]
MONEY FUND REPORT/FIRST FREMONT INSTITUTIONAL TIER TAXABLE PRIME AVERAGE YIELD & FUND (PLUS 50 BASIS POINTS) 1-Nov-01 10,000 10,000 30-Nov-01 10,021 10,019 31-Dec-01 10,040 10,036 31-Jan-02 10,050 10,052 28-Feb-02 10,053 10,066 31-Mar-02 10,054 10,082 30-Apr-02 9,995 10,097
* Inception Date. (1)Assumes initial investment of $10,000 on November 1, 2001. Performance data illustrated is historical. Past performance is not predictive of future performance. Share price and return will vary so that a gain or loss may be realized when shares are sold. All performance figures assume reinvestment of dividends. Management fees and other expenses are included in the Fund's performance. The performance table and graph do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. 5 FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
VALUE (000S) SHARES SECURITY DESCRIPTION (NOTE 1) - ----------------------------------------------------------------------------------------- COMMON STOCKS 81.7% BUSINESS EQUIPMENT & SERVICES 10.1% 117,300 BHA Group Holdings, Inc. (Class A) $ 2,188 108,600 Bright Horizons Family Solutions, Inc.* 3,255 102,800 Coors Tek, Inc.* 4,039 68,600 Corporate Executive Board Co.* 2,607 190,000 CoStar Group, Inc.* 4,524 35,700 Infocrossing, Inc.* 202 542,200 Kroll, Inc. 10,052 208,400 Perma-Fix Environmental Services, Inc.* 667 825,800 SBA Communications, Corp.* 2,386 328,800 Tele Tech Holdings, Inc.* 4,028 104,800 Tier Technologies, Inc. 1,577 -------- 35,525 -------- CAPITAL GOODS 1.9% 99,550 Aaon, Inc.* 3,136 65,500 Oshkosh Truck Corp. 3,728 -------- 6,864 -------- CONSUMER NON-DURABLES 5.6% 89,000 Gaiam, Inc. (Class A) 1,416 142,400 Galaxy Nutritional Foods, Inc. 691 63,700 Hain Celestial Group, Inc.* 1,168 313,200 JAKKS Pacific, Inc. 6,035 384,800 Midway Games, Inc. 5,253 206,100 Monterey Pasta Co. 1,900 134,700 Take-Two Interactive Software, Inc.* 3,381 -------- 19,844 -------- CONSUMER SERVICES 4.3% 169,900 4Kids Entertainment, Inc.* 2,922 520,200 Cash America International, Inc. 5,186 235,700 Championship Auto Racing Teams, Inc.* 3,241 329,900 LoJack Corp.* 1,814 83,700 Shuffle Master, Inc.* 1,917 -------- 15,080 -------- HEALTH CARE 18.9% 79,900 American Healthcorp, Inc. 2,153 384,900 ArthroCare Corp.* 6,166 129,800 Biosite, Inc. 4,056 618,200 eBenX, Inc.* 2,349 268,400 Eclipsys Corp.* 4,297 641,600 Endocare, Inc.* 12,312 201,200 Exact Sciences Corp. 2,376 383,000 First Consulting Group, Inc. 3,447 660,300 Gene Logic, Inc.* 10,254 704,500 Harvard Bioscience, Inc. 5,488 120,300 ICON PLC* 3,653 8,300 Intuitive Surgical, Inc.* 84 594,210 NeoPharm, Inc.* 8,907 152,900 Quidel Corp. 1,029 -------- 66,571 -------- RAW MATERIALS 0.1% 101,900 Northern Technologies International Corp. 423 -------- 423 -------- RETAIL 6.1% 27,700 A.C. Moore Arts & Crafts, Inc.* $ 1,276 203,600 Benihana, Inc. (Class A)* 3,956 170,700 Buca, Inc.* 2,902 308,700 dELiA*s Corp. (Class A) 2,034 97,800 Electronics Boutique Holdings Corp.* 2,781 185,100 O'Charley's, Inc. 4,676 24,000 Tractor Supply Co.* 1,324 305,500 Trans World Entertainment Corp.* 2,475 -------- 21,424 -------- TECHNOLOGY (COMPONENTS) 8.6% 212,400 Advanced Technical Products, Inc. 6,128 541,000 Anaren Microwave, Inc.* 6,833 172,600 APA Optics, Inc.* 380 331,600 California Micro Devices Corp.* 1,575 176,900 Identix, Inc. 1,336 134,600 II-VI, Inc. 2,016 373,300 IXYS Corp. 3,151 40,500 Opticnet, Inc.(c) 3 708,700 Pemstar, Inc. 5,103 1,455,400 Stratos Lightwave, Inc.* 4,017 -------- 30,542 -------- TECHNOLOGY (EQUIPMENT) 18.0% 50,200 American Science & Engineering, Inc.* 966 234,400 ASMI International, NV 5,391 231,400 ATMI, Inc.* 7,058 111,400 August Technology Corp. 1,615 117,800 Axsys Technologies, Inc.* 1,007 395,100 BEI Technologies, Inc. 7,748 329,600 COMARCO, Inc.* 3,065 13,000 KVH Industries, Inc. 101 252,300 Micro Component Technology, Inc.* 858 189,700 Netopia, Inc.* 787 129,300 Powell Industries, Inc. 3,039 387,700 Rimage Corp.* 3,334 363,000 RIT Technologies Ltd.* 668 2,863,000 Riverstone Networks, Inc.* 13,456 374,500 SafeNet, Inc. 5,262 148,900 Trikon Technologies, Inc.* 2,091 217,600 Visionics Corp.* 2,202 273,600 Zygo Corp.* 4,681 -------- 63,329 -------- TECHNOLOGY (SOFTWARE) 6.6% 506,000 Centra Software, Inc.* 1,569 573,800 F5 Networks, Inc.* 7,471 815,100 FalconStor Software, Inc.* 5,054 120,000 MDSI Mobile Data Solutions, Inc.* 443 343,900 Novadigm, Inc.* 2,321 284,200 PLATO Learning, Inc. 3,814 185,000 Primus Knowledge Solutions, Inc.* 218 89,400 PumaTech, Inc.* 89 166,300 Saba Software, Inc. 487 63,300 Websense, Inc.* 1,691 -------- 23,157 -------- UTILITIES 1.5% 471,400 Cadiz, Inc.* 5,185 -------- 5,185 -------- TOTAL COMMON STOCKS (COST $299,790) 287,944 --------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 6
VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION (NOTE 1) - --------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS 21.0% $ 10,000,000 Nestle Capital Corp., CP, 2.100%(a), 5/1/02(b) $ 10,000 63,865,914 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $63,868) (Cost $63,866) Collateral: FNMA 3.060%, 01/28/04; FNMA, 6.000%, 05/15/11 (Collateral Value $65,144) 63,866 ----------- TOTAL SHORT-TERM INVESTMENTS (COST $73,866) 73,866 ----------- TOTAL INVESTMENTS (COST $373,656), 102.7% 361,810 ----------- OTHER ASSETS AND LIABILITIES, NET, (2.7)% (9,479) ----------- NET ASSETS, 100.0% $ 352,331 ===========
* Non-income producing security. (a) Yield to maturity. (b) Security was purchased under Rule 144A of the Securities Act of 1933 and, unless registered under the Act or exempted from registration, may only be sold to qualified institutional investors. (c) Board valued security. PORTFOLIO ABBREVIATIONS CP Commercial paper FNMA Federal National Mortgage Association THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 7 FREMONT INSTITUTIONAL YIELD+ FUND April 30, 2002 (Unaudited) SCHEDULE OF INVESTMENTS IN SECURITIES AND NET ASSETS
INTEREST MATURITY VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION RATE DATE (NOTE 1) - --------------------------------------------------------------------------------------------------------------------------------- BONDS 99.3% CAPITAL GOODS 2.1% $ 1,010,000 Ingersoll Rand Co. 5.750% 02/14/03 $ 1,033 -------- 1,033 -------- CONSUMER DURABLES 5.2% 1,000,000 Maytag Corp. 7.610% 03/03/03 1,036 1,500,000 Reliance Electric Co. 6.800% 04/15/03 1,544 -------- 2,580 -------- CONSUMER SERVICES 2.0% 1,000,000 Cox Communications, Inc. 6.500% 11/15/02 1,012 -------- 1,012 -------- ENERGY 22.4% 1,600,000 Cleveland Electric Illum. 7.625% 08/01/02 1,616 1,400,000 Dominion Resource, Inc. 6.000% 01/31/03 1,424 2,000,000 El Paso CGP Co. 8.125% 09/15/02 2,030 2,000,000 Kinder Morgan Energy LP 2.500% 05/13/02 1,998 1,000,000 Occidental Petroleum Corp. 6.750% 11/15/02 1,017 1,996,000 Reliant Energy, Inc.(a) 2.600% 05/01/02 1,996 1,000,000 Scana Corp. 6.250% 07/08/03 1,031 -------- 11,112 -------- FINANCIAL SERVICES (OTHER) 31.7% 1,000,000 DaimlerChrysler NA Holding Corp. 2.800% 06/20/02 996 815,000 Ford Motor Credit Co. 6.125% 04/28/03 832 1,500,000 Ford Motor Credit Co. 2.500% 05/30/02 1,497 1,000,000 General Motors Acceptance Corp. 9.000% 10/15/02 1,025 1,000,000 General Motors Acceptance Corp. 5.950% 03/14/03 1,021 1,000,000 Household Finance Corp. 6.700% 06/15/02 1,005 1,000,000 Household Finance Corp. 6.125% 07/15/02 1,007 1,000,000 John Deere Capital Corp. 7.000% 10/15/02 1,018 1,250,000 National Rural Utilities Cooperative Finance Corp. 7.375% 02/10/03 1,286 1,000,000 PHH Corp. 2.500% 05/02/02 1,000 1,000,000 PHH Corp. 2.500% 05/22/02 999 1,000,000 Prudential Insurance Co.(a) 6.875% 04/15/03 1,027 1,000,000 Textron Financial Corp. 7.180% 10/15/02 1,022 1,000,000 UnumProvident Corp.(a) 3.250% 06/28/02 996 1,000,000 UnumProvident Corp.(a) 3.250% 06/26/02 996 -------- 15,727 -------- MULTI-INDUSTRY 4.1% 2,100,000 Tyco International Group SA 6.875% 09/05/02 2,058 -------- 2,058 -------- RETAIL 9.3% 2,500,000 Federated Department Stores 8.125% 10/15/02 2,555 1,000,000 Safeway, Inc. 7.000% 09/15/02 1,016 1,000,000 Sears Roebuck Acceptance Corp. 6.410% 11/18/02 1,021 -------- 4,592 -------- TECHNOLOGY (COMPONENTS) 3.8% 1,850,000 Sun Microsystems, Inc. 7.000% 08/15/02 1,866 -------- 1,866 -------- TECHNOLOGY (EQUIPMENT) 4.0% 1,000,000 Compaq Computer Corp.(a) 3.050% 06/19/02 997 1,000,000 Compaq Computer Corp.(a) 3.050% 06/24/02 996 -------- 1,993 --------
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 8
INTEREST MATURITY VALUE (000S) FACE AMOUNT SECURITY DESCRIPTION RATE DATE (NOTE 1) - --------------------------------------------------------------------------------------------------------------------------------- TRANSPORTATION 3.6% $ 1,800,000 Norfolk Southern Corp.(a) 6.950% 05/01/02 $ 1,800 -------- 1,800 -------- UTILITIES 11.1% 2,000,000 ABB Treasury Center(a) 1.930% 05/24/02 1,997 1,000,000 AT&T Corp. 6.500% 09/15/02 1,008 1,000,000 TXU Corp. 8.000% 06/01/02 1,003 2,000,000 WorldCom, Inc. 7.875% 05/15/03 1,500 -------- 5,508 -------- TOTAL BONDS (COST $49,896) 49,281 -------- SHORT-TERM INVESTMENT 0.0% 605 Repurchase Agreement, State Street Bank, 1.360%, 05/01/02 (Maturity Value $1) (Cost $1) Collateral: FNMA, 4.750%, 03/15/03 (Collateral Value $5) 1 -------- TOTAL SHORT-TERM INVESTMENT (COST $1) 1 -------- TOTAL INVESTMENTS (COST $49,897), 99.3% 49,282 -------- OTHER ASSETS AND LIABILITIES, NET, 0.7% 326 -------- NET ASSETS, 100.0% $ 49,608 ========
(a) Security was purchased under Rule 144A of the Securities Act of 1933 or is a private placement and, unless registered under the Act or exempted from registration, mat only be sold to qualified institutional investors. PORTFOLIO ABBREVIATIONS FNMA Federal National Mortgage Association THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 9 FREMONT MUTUAL FUNDS, INC. April 30, 2002 (Unaudited) STATEMENTS OF ASSETS AND LIABILITIES (ALL NUMBERS IN THOUSANDS EXCEPT NET ASSET VALUE PER SHARE)
INSTITUTIONAL INSTITUTIONAL U.S. MICRO-CAP YIELD+ FUND FUND --------------------------------- ASSETS: Investments in securities at cost $ 309,790 $ 49,896 Repurchase agreements at cost 63,866 1 ------------ ------------ TOTAL INVESTMENTS AT COST $ 373,656 $ 49,897 ============ ============ Investments in securities at value $ 297,944 $ 49,281 Repurchase agreements at value 63,866 1 Cash 19 -- Dividends and interest receivable 2 534 Receivable for securities sold 197 -- Receivable from sale of fund shares 117 -- Receivable from management 13 -- Prepaid expenses 27 12 Other assets 2 -- ------------ ------------ TOTAL ASSETS 362,187 49,828 ------------ ------------ LIABILITIES: Income dividend payable -- 110 Payable for securities purchased 9,438 -- Payable for fund shares redeemed 56 -- Accrued expenses: Investment advisory and administrative fees 337 75 Other 25 35 ------------ ------------ TOTAL LIABILITIES 9,856 220 ------------ ------------ NET ASSETS $ 352,331 $ 49,608 ============ ============ Net assets consist of: Paid in capital 384,297 $ 50,225 Undistributed net investment loss (1,538) -- Unrealized depreciation on investments (11,846) (615) Accumulated net realized loss (18,582) (2) ------------ ------------ NET ASSETS $ 352,331 $ 49,608 ============ ============ SHARES OF CAPITAL STOCK OUTSTANDING 26,449 5,024 ============ ============ NET ASSET VALUE PER SHARE $ 13.32 $ 9.87 ============ ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 10 FREMONT MUTUAL FUNDS, INC. Six Months Ended April 30, 2002 (Unaudited) STATEMENTS OF OPERATIONS (ALL NUMBERS IN THOUSANDS)
INSTITUTIONAL INSTITUTIONAL U.S. MICRO-CAP YIELD+ FUND FUND ---------------- ---------------- INVESTMENT INCOME: Interest $ 539 $ 686 Dividends 40 -- ---------------- ---------------- TOTAL INCOME 579 686 ---------------- ---------------- EXPENSES: Investment advisory and administrative fees 1,945 137 Shareholder servicing fees 42 8 Custody fees 25 9 Accounting fees 24 5 Audit and legal fees 15 9 Directors' fees 8 2 Registration fees 32 14 Reports to shareholders 14 12 Other 13 6 ---------------- ---------------- TOTAL EXPENSES BEFORE REDUCTIONS 2,118 202 Earned custody credits (1) -- Expenses waived and/or reimbursed by Advisor -- (55) ---------------- ---------------- TOTAL NET EXPENSES 2,117 147 ---------------- ---------------- NET INVESTMENT INCOME (LOSS) (1,538) 539 ---------------- ---------------- REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS: Net realized loss from: Investments (10,027) (2) Net unrealized appreciation (depreciation) on: Investments 16,244 (615) ---------------- ---------------- Net realized and unrealized gain (loss) from investments 6,217 (617) ---------------- ---------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 4,679 $ (78) ================ ================
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 11 FREMONT MUTUAL FUNDS, INC. STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED APRIL 30, 2002 (UNAUDITED) AND THE YEAR ENDED OCTOBER 31, 2001 (ALL NUMBERS IN THOUSANDS)
INSTITUTIONAL INSTITUTIONAL U.S. MICRO-CAP YIELD+ FUND FUND(1) ----------------------- -------- 04/30/02 10/31/01 04/30/02 -------- -------- -------- INCREASE (DECREASE) IN NET ASSETS: From operations: Net investment income (loss) $ (1,538) $ (146) $ 539 Net realized (loss) from investments (10,027) (6,931) (2) Net unrealized appreciation (depreciation) on investments 16,244 (40,763) (615) --------- ------- ------ Net increase (decrease) in net assets from operations 4,679 (47,840) (78) --------- ------- ------ Distributions to shareholders from: Net investment income -- -- (539) Net realized gains -- (18,058) -- --------- ------- ------ Total distributions to shareholders -- (18,058) (539) --------- ------- ------ From capital share transactions: Proceeds from shares sold 107,655 164,084 50,000 Reinvested dividends -- 17,138 225 Payments for shares redeemed (46,411) (70,570) -- --------- ------- ------ Net increase in net assets from capital share transactions 61,244 110,652 50,225 --------- ------- ------ Net increase in net assets 65,923 44,754 49,608 Net assets at beginning of period 286,408 241,654 -- --------- ------- ------ NET ASSETS AT END OF PERIOD $ 352,331 $ 286,408 $ 49,608 ========= ======= ====== Undistrubuted net investment income (loss) $ (1,538) $ -- $ -- ========= ======= ====== CAPITAL TRANSACTIONS IN SHARES: Sold 7,780 12,127 5,002 Reinvested dividends -- 1,261 22 Redeemed (3,394) (5,240) -- --------- ------- ------ Net increase from capital share transactions 4,386 8,148 5,024 ========= ======= ======
(1) Fund commenced operations on November 1, 2001. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 12 FREMONT MUTUAL FUNDS, INC. Financial Highlights
(UNAUDITED) SIX MONTHS YEAR ENDED OCTOBER 31 INSTITUTIONAL U.S. MICRO-CAP FUND ENDED --------------------------------------- APRIL 30, 2002 2001 2000 1999 1998 -------------- ---- ---- ---- ---- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 12.98 $ 17.37 $ 13.68 $ 7.52 $ 9.78 -------- -------- -------- -------- ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) (.06) (.01) .06 (.04) (.04) Net realized and unrealized gain (loss) .40 (3.08) 8.19 8.80 (1.98) -------- -------- -------- -------- ------- Total investment operations .34 (3.09) 8.25 8.76 (2.02) -------- -------- -------- -------- ------- LESS DISTRIBUTIONS From net investment income -- -- (.06) -- -- From net realized gains -- (1.30) (4.50) (2.60) (.24) Return of capital distribution -- -- -- -- -- -------- -------- -------- -------- ------- Total distributions -- (1.30) (4.56) (2.60) (.24) -------- -------- -------- -------- ------- NET ASSET VALUE, END OF PERIOD $ 13.32 $ 12.98 $ 17.37 $ 13.68 $ 7.52 ======== ======== ======== ======== ======= TOTAL RETURN(2) 2.62% (18.13)% 60.36% 118.10% (21.03)% Net assets, end of period (000s omitted) $352,331 $286,408 $241,654 $104,971 $37,347 Ratio of net expenses to average net assets(3) 1.25%* 1.25% 1.25% 1.25% 1.25% Ratio of gross expenses to average net assets(3) 1.25%* 1.31% 1.24% 1.35% 1.38% Ratio of net investment income (loss) to average net assets (0.91)%* (0.06)% .30% (0.53)% (0.44)% Portfolio turnover rate 26% 85% 123% 155% 187% PERIOD FROM AUGUST 4, 1997(1) TO OCTOBER 31, 1997 -------------------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 ------- INCOME FROM INVESTMENT OPERATIONS Net investment income (loss) -- Net realized and unrealized gain (loss) .09 ------- Total investment operations .09 ------- LESS DISTRIBUTIONS From net investment income -- From net realized gains (.31) Return of capital distribution -- ------- Total distributions (.31) ------- NET ASSET VALUE, END OF PERIOD $ 9.78 ======= TOTAL RETURN(2) .90% Net assets, end of period (000s omitted) $40,545 Ratio of net expenses to average net assets(3) 1.25%* Ratio of gross expenses to average net assets(3) 1.49%* Ratio of net investment income (loss) to average net assets (0.21)%* Portfolio turnover rate 28%
(1) Fund's date of inception. (2) Total return would have been lower had the advisor not waived and/or reimbursed expenses. (3) See note 2 of "Notes to Financial Statements". * Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 13
(UNAUDITED) SIX MONTHS INSTITUTIONAL YIELD+ FUND ENDED - ------------------------- APRIL 30, 2002(1) ----------------- SELECTED PER SHARE DATA FOR ONE SHARE OUTSTANDING DURING THE PERIOD NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00 ------- INCOME FROM INVESTMENT OPERATIONS Net investment income .13 Net realized and unrealized loss (.13) ------- Total investment operations -- ------- LESS DISTRIBUTIONS From net investment income (.13) From net realized gains -- ------- Total distributions (.13) ------- NET ASSET VALUE, END OF PERIOD $ 9.87 ======= TOTAL RETURN(2) (0.58)% Net assets, end of period (000s omitted) $49,608 Ratio of net expenses to average net assets(3) .70%* Ratio of gross expenses to average net assets(3) .96%* Ratio of net investment income to average net assets 2.55%*
(1) Fund commenced operations on November 1, 2001. (2) Total return would have been lower had the advisor not waived and/or reimbursed expenses. (3) See note 2 of "Notes to Financial Statements." * Annualized. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS. 14 FREMONT INSTITUTIONAL U.S. MICRO-CAP FUND FREMONT INSTITUTIONAL YIELD+ FUND Notes To Financial Statements - April 30, 2002 (Unaudited) (All dollars in thousands except par value) 1. SIGNIFICANT ACCOUNTING POLICIES Fremont Mutual Funds, Inc. (the "Investment Company") is an open-end investment company authorized to issue ten billion shares of $0.0001 par value capital stock. These shares are currently offered in thirteen series (the "Funds"), two of which, the Institutional U.S. Micro-Cap Fund and the Institutional Yield+ Fund (the "Funds"), are covered by this report. Each of the Funds has its own investment objective and maintains a totally separate investment portfolio. The following is a summary of significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America for investment companies. A. SECURITY VALUATION Investments are stated at value based on recorded closing prices on a national securities exchange or, in the absence of a recorded sale, at the mean between the last reported bid and asked prices. Securities for which quotations are not readily available are valued at fair value as determined in good faith under procedures established by the Board of Directors. Short-term notes and similar securities are included in investments at amortized cost, which approximates value. B. SECURITY TRANSACTIONS Security transactions are accounted for as of trade date. Realized gains and losses on security transactions are determined on the basis of specific identification for both financial statement and federal income tax purposes. C. INVESTMENT INCOME, EXPENSES AND DISTRIBUTIONS Dividend income and distributions to shareholders are recorded on the ex-dividend date. Interest income and estimated expenses are accrued daily. Bond discount and premium are amortized using the interest method. The Investment Company allocates its general expenses to the Funds based upon the Funds' relative net assets or the nature of the services performed and their applicability to the Funds. D. INCOME TAXES No provision for federal income taxes is required since each Fund intends to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all taxable income and net capital gains, if any, to shareholders. Distributions paid to shareholders are determined in accordance with income tax regulations which may differ from generally accepted accounting principles and, therefore, may differ from the information presented in the financial statements. These differences are primarily due to the varying treatments for realized losses subject to wash sale rules. Permanent differences are reclassified to paid in capital. Temporary differences, which will reverse in subsequent periods, are not reclassified and remain in undistributed net investment loss or accumulated realized loss. Any taxable income or gain remaining at fiscal year end is distributed in the following year. E. ACCOUNTING ESTIMATES The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the amounts of income and expense for the reporting period. Actual results could differ from those estimates. F. REPURCHASE AGREEMENTS Each Fund may enter into repurchase agreements through which the Fund acquires a security ("the underlying security") from the seller, a well-established securities dealer or bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date. The Fund's repurchase agreements generally have a term of less than one week. The seller must maintain collateral with the Fund's custodian equal to at least 100% of the repurchase price, including accrued interest. At April 30, 2002, all outstanding repurchase agreements held by the Funds had been entered into on that day. 15 2. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES INVESTMENT ADVISOR Each of the Funds have entered into an investment management and administrative services agreement with Fremont Investment Advisors, Inc. (the "Advisor"), a majority-owned subsidiary of Fremont Investors, Inc. Under this agreement, the Advisor supervises and implements the Fund's investment activities and provides administrative services as necessary to conduct Fund business. For its advisory and administrative services, the Advisor receives a fee based on the average daily net assets of the Funds as described below. Institutional U.S. Micro-Cap Fund 1.15%* Institutional Yield+ Fund 0.50%**
* The Advisor has contractually agreed to limit the Fund's total operating expenses to 1.25% of average daily net assets through February 28, 2002. This limit was increased to 1.35% on March 1, 2002. ** The Advisor has contractually agreed to limit the Fund's total operating expenses to 0.70% of average daily net assets. Each Fund may reimburse the Advisor for any reductions in the Fund's expenses during the three years following that reduction if such reimbursement is requested by the Advisor, if such reimbursement can be achieved within the foregoing expense limit, and if the Board of Directors approves the reimbursement at the time of the request as not inconsistent with the best interests of the Fund. Because of these substantial contingencies, the potential reimbursements are accounted for as contingent liabilities that are not recordable by the Fund until payment is probable. For the six months ended April 30, 2002, the Advisor reimbursed the Institutional Yield+ Fund $55. The Advisor has not recouped waivers and reimbursements of $208 and $55, respectively, from the Institutional U.S. Micro-Cap Fund and the Institutional Yield+ Fund as of April 30, 2002. Each of the Funds has an arrangement with its custodian whereby fees for custody services are reduced by credits earned on cash balances on deposit with the custodian. Such balances could have been employed by the Fund to produce income. OTHER RELATED PARTIES At April 30, 2002, Fremont Investors, Inc. and its affiliated companies including their employee retirement plans, its principal shareholder and members of his family, including trusts, owned directly or indirectly approximately 25% of the Institutional U.S. Micro-Cap Fund and 90% of the Institutional Yield+ Fund. Certain officers and/or directors of the Funds are also officers and/or directors of the Advisor and/or Fremont Investors, Inc. None of the officers and/or directors so affiliated receive compensation for services as officers and/or directors of the Funds. 3. PURCHASES AND SALES OF INVESTMENT SECURITIES Aggregate purchases and aggregate proceeds from sales and maturities of securities for the six months ended April 30, 2002, were as follows:
PURCHASES PROCEEDS --------- -------- Long-term securities: Institutional U.S. Micro-Cap Fund $128,017 $68,557
4. PORTFOLIO CONCENTRATIONS Although each Fund has a diversified investment portfolio, there are certain investment concentrations of risk which may subject the Funds more significantly to economic changes occurring in certain segments or industries. 16 5. DISTRIBUTIONS TO SHAREHOLDERS As of April 30, 2002, the components of distributable earnings on a tax basis were as follows:
INSTITUTIONAL INSTITUTIONAL U.S. MICRO-CAP YIELD+ FUND FUND -------------- ------------- Cost of investments for tax purposes $373,656 $49,897 -------- ------- Gross tax unrealized appreciation 39,977 47 Gross tax unrealized depreciation (51,823) (662) -------- ------- Net tax unrealized appreciation $(11,846) $ (615) -------- ------- Undistributed ordinary income $ -- $ -- -------- ------- Capital loss carryforward $(16,691) $ (2) -------- -------
The tax composition of dividends for the six months ended April 30, 2002 were as follows:
ORDINARY INCOME LONG-TERM LONG-TERM ORDINARY PER CAPITAL CAPITAL GAINS INCOME SHARE GAINS PER SHARE ------------------------------------------------------- Institutional U.S. Micro-Cap Fund $ -- $ -- $ -- $ -- Institutional Yield+ Fund 686 0.13 -- --
6. LINE OF CREDIT The Investment Company has a Line of Credit Arrangement ("LOC") with State Street Bank and Trust Company. Under the terms of the LOC, each Fund's borrowings cannot exceed 20% of each Fund's net assets and the combined borrowings of all Funds cannot exceed the $40 million cap on the total line of credit. The Funds did not incur such borrowings for the six months ended April 30, 2002. The interest rate paid on the Line of Credit equals State Street Bank's overnight federal funds rate as determined on each day at 11:00 am Boston time plus 0.50% per annum. The Funds pay a commitment fee of 0.09% per annum of the unused balance of the Line of Credit. 17 F R E M O N T F U N D S 50 Beale Street, Suite 100 San Francisco, CA 94105 www.fremontinstitutional.com Distributed by Quasar Distributors, LLC, Milwaukee, WI 53202 BR001b-0206 -----END PRIVACY-ENHANCED MESSAGE-----