-----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, B97FJ0yfNOKfX6jsSEJxhksjYJE7uF4UYrxCLLJYIqx0wJXMX94LaulOXWa9jD06 l9xy5298NP4rLDQmpHFIGw== 0000912057-01-541205.txt : 20020412 0000912057-01-541205.hdr.sgml : 20020412 ACCESSION NUMBER: 0000912057-01-541205 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010930 FILED AS OF DATE: 20011128 FILER: COMPANY DATA: COMPANY CONFORMED NAME: BEAR STEARNS FUNDS CENTRAL INDEX KEY: 0000931145 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: DE FILING VALUES: FORM TYPE: N-30D SEC ACT: 1940 Act SEC FILE NUMBER: 811-08798 FILM NUMBER: 1801054 BUSINESS ADDRESS: STREET 1: 245 PARK AVENUE CITY: NEW YORK STATE: NY ZIP: 10167 MAIL ADDRESS: STREET 1: 245 PARK AVE STREET 2: 245 PARK AVE CITY: NEW YORK STATE: NY ZIP: 10167 N-30D 1 a2061890zn-30d.txt N-30D THE BEAR STEARNS FUNDS 383 MADISON AVENUE NEW YORK, NY 10179 1.800.766.4111 Michael Minikes Chairman of the Board and Trustee Doni L. Fordyce President and Trustee Peter M. Bren Trustee John S. Levy Trustee Robert E. Richardson Trustee Barry Sommers Executive Vice President Stephen A. Bornstein Vice President and Secretary Frank J. Maresca Vice President and Treasurer Vincent L. Pereira Assistant Treasurer INVESTMENT ADVISER Bear Stearns Asset Management Inc. 383 Madison Avenue New York, NY 10179 SUB-ADVISER INTERNATIONAL EQUITY PORTFOLIO Marvin & Palmer Associates, Inc. 1201 N. Market Street Suite 2300 Wilmington, DE19801 ADMINISTRATOR Bear Stearns Funds Management Inc. 575 Lexington Avenue New York, NY 10022 CUSTODIAN Custodial Trust Company 101 Carnegie Center Princeton, NJ 08540 DISTRIBUTOR Bear, Stearns & Co. Inc. 383 Madison Avenue New York, NY 10179 COUNSEL Kramer Levin Naftalis & Frankel LLP 919 Third Avenue New York, NY 10022 TRANSFER AND DIVIDEND DISBURSEMENT AGENT PFPC Inc. Bellevue Corporate Center 400 Bellevue Parkway Wilmington, DE 19809 INDEPENDENT AUDITORS Deloitte & Touche LLP Two World Financial Center New York, NY 10281 The financial information included herein is taken from the records of each Portfolio without examination by independent auditors who do not express an opinion thereon. This report is submitted for the general information of the shareholders of each Portfolio. It is not authorized for distribution to prospective investors in each Portfolio unless it is preceded or accompanied by a current prospectus which includes details regarding each Portfolio's objectives, policies, sales commissions and other information. Total investment return is based on historical results and is not intended to indicate future performance. The investment return and principal value of an investment in each Portfolio will fluctuate, so that an investor's shares, when redeemed, may be worth more or less than original cost. "Standard & Poor's(R)" and "S&P(R)" are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Bear, Stearns & Co. Inc. S&P STARS Portfolio and S&P STARS Opportunities Portfolio are not sponsored, managed, advised, sold or promoted by Standard & Poor's. BSF-R-015-09 THE BEAR STEARNS FUNDS EQUITY FUNDS S&P STARS Portfolio The Insiders Select Fund Large Cap Value Portfolio Small Cap Value Portfolio Focus List Portfolio Balanced Portfolio International Equity Portfolio SEMI-ANNUAL REPORT SEPTEMBER 30, 2001 [LOGO]BEAR STEARNS THE BEAR STEARNS FUNDS S&P STARS PORTFOLIO THE INSIDERS SELECT FUND LARGE CAP VALUE PORTFOLIO SMALL CAP VALUE PORTFOLIO FOCUS LIST PORTFOLIO BALANCED PORTFOLIO INTERNATIONAL EQUITY PORTFOLIO LETTER TO SHAREHOLDERS October 25, 2001 Dear Shareholders: We are pleased to present the semi-annual report to shareholders for the S&P STARS Portfolio ("S&P STARS"), The Insiders Select Fund ("Insiders Select"), Large Cap Value Portfolio ("Large Cap"), Small Cap Value Portfolio ("Small Cap"), Focus List Portfolio ("Focus List"), Balanced Portfolio ("Balanced") and International Equity Portfolio ("International Equity") for the six months ended September 30, 2001. Detailed performance data for each class of shares of each Portfolio can be found in the "Financial Highlights" of this report. S&P STARS PORTFOLIO For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (13.07)% (without giving effect to the sales charge), and Class B and C shares had a total return of (13.28)%(1), (without giving effect to the contingent deferred sales charge, or CDSC). The Portfolio's benchmark, the S&P 500 Index, returned (9.68)% for the same period. RECOVERY SHORT-CIRCUITED Early in the third quarter -- despite profit warnings and gloomy statistics -- interest rate cuts and improving economic indicators promised better market conditions in the fourth quarter. Having moved off their first quarter lows over the course of the summer, stocks began to respond to the improvement in sentiment in the third quarter. Cyclical issues were among the first to move higher, with most sectors beginning to firm as the summer drew to a close. But progress was short-circuited by the events of September 11th. Airline, travel, travel-related and media stocks were among the industries most immediately impacted and were badly battered when trading resumed. In the sell-off, however, virtually all sectors suffered. In the days that followed, the market struggled to regain its footing and did make up some lost ground. Nonetheless, for investors, the six-month period ended September 30, 2001 was the most challenging in recent memory. Anticipating that interest rate cuts would begin to take hold in the fall, the Portfolio was positioned to benefit from the expected turnaround. Thus, while it had no exposure in the airline or travel industries, it did have positions in AOL/Time Warner and Liberty Media. Retailers like Barnes & Noble and Linens N' Things also suffered as consumers stayed at home glued to their televisions. At the same time, however, technology issues declined. Here, due to the sector's poor prospects for a strong bounceback in the near-term, the Portfolio had taken some short positions as of September. Even so, the severity of the decline in this group hurt performance. While some issues moved back up quickly, the decreases were not completely erased by the period's end. In the wake of recent events, it is clear that the economy's slowdown will be deeper than originally anticipated. At the same time, it is also apparent that a good deal of help has been put in place, and more is on the way. Interest rates cuts and ongoing benefits 1 from mortgage refinancing continue. These measures, combined with declining energy prices and the fiscal stimulus packages now being discussed in Washington, should begin to take hold in the next several months. Barring any further major disasters, we expect to see the economy turn around as we move into the second quarter of 2002. Moreover, when it does, growth stocks appear to be poised to outperform value stocks. Amazingly enough, in the month of September, the growth portion of the S&P500 Barra Index outperformed the value portion, a prescient sign. THE INSIDERS SELECT FUND For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (11.83)% without giving effect to the sales charge), and Class B and C shares had a total return of (12.01)%(2) (without giving effect to the CDSC). The Portfolio's benchmark, the S&P MidCap 400 Index, returned (5.59)% for the same period. Our outlook for the economy has become more conservative in light of the events of September 11th. We are now expecting economic weakness to continue into the second half of this year, which is likely to put considerable pressure on corporate profits. We have seen dramatic revisions in corporate earnings expectations and we expect to see estimates for 2002 come down further. Despite our near term cautious outlook, we believe the market is largely anticipating these lowered expectations and may have found some support at current valuation levels. More optimistically, we believe the equity markets could do well later next year as lower interest rates and better earnings comparisons make valuations appear more attractive. After 18 months of a market correction, the S&P 500 has shifted towards a more evenly balanced sector weighting. We believe this presents the markets with a better chance to achieve historical rates of return over the next 18 months. During the first half of the year we observed a high insider sell-to-buy ratio, which proved to be a good indicator of an overvalued market. As a result of the increased insider selling, we reduced our weight in the financial sector, where valuations were at historically high levels, coming off a strong performance the previous year. We increased our weighting in strong companies in a variety of sectors, which had meaningful insider buying and/or corporate share repurchase programs. We are monitoring the insider sell-to-buy ratio in anticipation of a change in trend, which we believe we are seeing at the end of this quarter. We have seen some buying activity in a number of industries that have resulted in new purchases for the Portfolio. We also have seen an increase in corporate share repurchase activity, which gives us conviction that equity valuations are close to stabilizing. We are currently reviewing a number of seemingly inexpensive companies that are buying back their shares. Our outlook for the coming year is positive considering the recently lower equity valuations and the low interest rate environment. We believe that weak corporate profits will continue for the next two or three quarters, but we also believe that this is largely reflected in equity valuations. Equity markets could benefit from the increased economic stimulus plan and easier earnings comparisons in the second half of next year. Our strategy will be to look for evidence of this recovery in the actions of corporate Insiders, and we will be looking to buy stocks in financially strong companies that have solid growth prospects. LARGE CAP VALUE PORTFOLIO For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (9.27)% (without giving effect to the sales charge) and Class B and Class C shares had a total return of (9.46)% and (9.47)%(3), respectively, (without giving effect to the CDSC). The Portfolio's benchmark, the S&P 500 Index, returned (9.68)% for the same period. Prior to the attacks of September 11th, fears of a recession were receding as the Federal Reserve aggressively cut rates throughout the spring and summer. Impending tax cuts and various fiscal stimulus packages under discussion in Washington also buoyed investors' hopes. The bottom it seemed was in sight; and recovery, while still distant, was on the horizon. As the summer drew to a close, the market strengthened -- and even technology issues firmed as it seemed the business fundamentals of the group had neared bottom. After the events of September 11th, however, recession became all but certain. 2 While the financial services industry experienced direct and physical blows, the airlines, travel, travel-related and advertising/media companies felt the impact immediately as planes were grounded, reservations were cancelled and advertising was frozen. In the days that followed, virtually every industry experienced some level of fallout as business was disrupted. When trading resumed, issues across the market sold off, with those in economically-sensitive sectors, such as technology and telecommunications, taking particularly hard hits. As jarring as this drop was, it was not out of line with past declines following political or global crises. Moreover, in the days that followed investors acted much as they have in the past, moving into high quality issues with little economic sensitivity, such as pharmaceuticals, healthcare and tobacco. Given their attractive valuations, better than average growth rates and the declining interest rate environment, the Portfolio was heavily weighted in financial issues over the course of the summer. Also, as investors had become more confident that economic growth was bottoming, the Portfolio was tilted toward recovery. In early September, the portfolio was overweighted in capital goods, technology and consumer cyclicals. The strength of these economically-sensitive issues and holdings in the financial sector were responsible for the Portfolio's solid performance in the second quarter. All, however, experienced setbacks in the aftermath of September 11th, as our predictions for an economic recovery were pushed out later into the second half of 2002. Still, we believe it is critical to keep in mind that the recovery has not been cancelled -- far from it. Certainly, with anxiety concerning both political and economic events running high, the economy's slowdown may be deeper than originally anticipated. Nonetheless, the Federal Reserve has responded quickly, cutting rates aggressively, and it may move again before year-end. Moreover, the federal government is currently negotiating a significant fiscal stimulus package and it is expected to be in place no later than early next year. The impact of these efforts should become apparent by the second quarter of 2002. Combined with the tax cuts passed earlier, the nine interest rate cuts and declining energy prices, the bounce back may be stronger than many now anticipate. Although these are uncertain times, we expect the environment to be much more positive for economically-sensitive groups in the year ahead. SMALL CAP VALUE PORTFOLIO* For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (3.48)% (without giving effect to the sales charge), and Class B and C shares had a total return of (3.77)%(4), (without giving effect to the CDSC). The Portfolio's benchmark, the Russell 2000 Index returned (9.47)% for the same period. WELL-POSITIONED FOR RECOVERY The six month period ended September 30, 2001 started out strong, with the Portfolio ending August with year-to-date performance in the double-digits. In fact, over the course of the summer, small cap issues performed superbly on both an absolute basis and relative to large cap issues. The healthcare sector, where the Portfolio was heavily overweighted, led the way. In the wake of the terrorist events of September 11th, however, stocks across the market sold off. Like others, our Portfolio experienced a decline in performance. This resulted in calendar year-to-date performance through the third quarter of (4.99)% for Class A shares (without giving effect to the sales charge) versus (15.36)% for the benchmark for the same period. As would be expected, some stocks were more affected by these events than others. (For example, healthcare companies stood their ground better than most.) Airline, travel and travel-related issues, however, were particularly hard hit as planes were grounded and reservations were cancelled. Among our holdings, Steiner Leisure, which has embarked on an aggressive strategic plan to diversify its revenues to a more even balance between sea and land-based facilities, experienced a drop in its stock price based on its current high exposure to the cruise industry. Believing that the market had greatly overreacted in this particular case, we moved quickly to purchase more when the stock fell. Moving into the fourth quarter, Steiner Leisure recovered some of the ground lost. The situation was similar with JB Hunt Transport, our one holding in the transportation sector. In the general economic environment of the period, the company saw weaker freight demand and preannounced their quarterly earnings in late September, but the quarter actually ended better than expected and the stock also rose. 3 After such a promising start, the six month period was a disappointing one for us in both absolute and relative terms. Given the recent political and economic environments, we did move quickly to capitalize on the market's volatility and upgraded the quality of our portfolio. We also worked to take advantage of market inefficiencies when they appeared for both current and new holdings. We believe these opportunities and modifications will lead to better performance in both the short and long-term. FOCUS LIST PORTFOLIO For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (8.42)% (without giving effect to the sales charge), and Class B and C shares had a total return of (8.69)%(5) (without giving effect to the CDSC). The Portfolio's benchmark, the S&P 500 Index returned (9.68)% for the same period. The Portfolio is designed to mirror, as closely as possible, the stocks on the Bear Stearns Focus List -- typically 20 stocks selected by the Bear Stearns Research Department as its "best stock picks for capital appreciation." In addition, the Portfolio's management team determines the weighting given to any one stock based on its assessment of company and industry trends. MORE DEFENSIVE STOCKS HOLD THEIR GROUND The six months ended September 30, 2001 were among the most challenging in recent memory. Over the summer, profit warnings and gloomy economic statistics took their toll. Clearly, the economy was slowing, and to a greater degree than many had anticipated. Stocks moved lower, with technology issues leading the way. High quality issues and those likely to benefit from a lower rate environment were also affected but to a lesser degree. Concentrated in such issues, the Portfolio performed well over the first half of the period and moving into September. Then, in the wake of the attacks on the United States on September 11th, the markets sold off significantly. Few sectors were left untouched -- virtually all issues in all sectors saw declines. Still, the response to this crisis, while certainly disconcerting, was not out of line with market declines in the face of other global and financial crises, or what might have been reasonably anticipated. Still, the Portfolio did hold positions in several industries directly affected by events and declines in these issues did impact performance. Embraer Aircraft, a Brazilian airplane manufacturer, saw long-confirmed orders evaporate. The New York Times and AOL took hits with the sudden drop in advertising. With a near-term rebound in advertising unlikely, we eliminated both positions. Other changes made include the elimination of a prime takeover target, Barclay's Bank, as interest in mergers and acquisitions declined. We added two companies expected to benefit from lower interest rates: MBNA Corp., a leading credit card lender, and Moody's Corp., the debt rating service. With lower interest rates, more debt issuance is expected, which should benefit Moody's with a strong and continuing revenue stream. Historically, while the markets have dropped initially in reaction to global and financial crises, they have regained momentum and moved higher in the succeeding months. Of course, in this case, recent events exacerbated the already weak economic climate. But the Federal Reserve has responded by cutting rates aggressively and adding liquidity. The government also plans to add stimulus with various industry aid packages and tax cuts. Thus, we do anticipate that the economy and stocks will strengthen in the months ahead. Nonetheless, we continue to focus our attention on more defensive, quality issues. Not surprisingly, we expect these companies with strong cash positions and solid fundamentals to exhibit strength in the months ahead. BALANCED PORTFOLIO For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (3.05)% (without giving effect to the sales charge), and Class B and C shares had a total return of (3.30)% and (3.38)%(6), respectively (without 4 giving effect to the CDSC). The Portfolio's broad-based securities market index, the S&P 500 returned (9.68)% while the Lipper Balanced Fund Index, returned (4.34)%, for the same period. In the weeks prior to September 11th, it appeared that a recovery, if not visible, was on the horizon. After a lackluster second quarter, the stocks had begun to firm. In the fixed income markets, the end of the rate cutting cycle seemed to be in sight. But in the wake of the terrorist attacks, a deeper slowdown appeared all but inevitable. Moving quickly, to ensure liquidity remained in the system, the Federal Reserve cut short-term rates further, taking the targeted Federal Funds rate down to 3.0%. Conservatively-positioned portfolios benefited as the yield curve steepened. In the equities market, however, there were few winners. Virtually all sectors sold off when trading resumed on September 17th, with more economically-sensitive groups leading the way. After the initial sell-off, many issues moved back upward and a good deal of the ground lost was regained in the weeks that followed. Nonetheless, the six-month period ended September 30, 2001 was a very challenging one in the equities markets. In anticipation of recovery, the equity portion of the Portfolio was tilted toward recovery as we moved into the fall. Overweighted in capital goods, technology and consumer cyclicals, its performance was affected as the terrorist attacks exacerbated the economy's already-weak condition. The fixed income portion of the Portfolio, however, was more conservatively positioned. As profit warnings proliferated in the summer, exposures in the corporate sector had been pared. While the Portfolio did have holdings in the mortgage-backed and asset-backed sectors during the period, they were focused on discount coupons which were not greatly affected by the increase in prepayment risk. Thus, our fixed income holdings posted strong returns, and enabled the Portfolio to hold its ground in the volatile environment of the period. Clearly, our economy was flirting with recession as the summer drew to a close. After the events of September 11th, a recession became almost certain. But, given the interest rate cuts, planned fiscal stimulus, tax cuts on the horizon and declining energy prices, it may be a far shorter one than many now anticipate. We anticipate the effects of all of these efforts should begin to be apparent by the second quarter of 2002, barring any other major disruptions of business. Given this, we expect to see the environment for corporate bonds improve significantly in the year ahead -- and we will look to increase our holdings here when the first signs of such improvement become apparent. Also, as activity picks up, the environment should be much more positive for economically-sensitive issues like those in our Portfolio in the year ahead. INTERNATIONAL EQUITY PORTFOLIO** For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (17.78)% (without giving effect to the sales charge), and Class B and C shares had a total return of (18.08)% and (18.03)%(7), respectively, (without giving effect to the CDSC). The Portfolio's benchmark, the Morgan Stanley Capital International Europe, Australasia, Far East (EAFE) Index returned (14.70)% for the same period. IMPACT OF SEPTEMBER 11TH RIPPLES THROUGH MARKETS GLOBALLY Already faltering, markets globally sold off in the weeks that followed the attacks on the United States. When trading resumed, no markets were left untouched -- all experienced significant declines below their September 10th closing averages. But this response, while certainly disconcerting, was not unexpected. Nor, was this sell-off out of line with what has happened in the past in response to other global or financial crises. Nonetheless, the attacks exacerbated the already-gloomy economic climate worldwide. While fears of a global recession had abated somewhat in the weeks immediately preceding September 11th, there had been little on the horizon to indicate a rebound was around the corner. Earlier in the year in Japan, the move towards true and substantial structural change had gained momentum with the election of a new government. Moreover, what government response there had been to economic conditions was perceived to lack a clear message or sense of direction. This, coupled with a steady stream of disappointing economic news, dampened enthusiasm in the equity markets. Over the course of the period, too, the strength of the yen hurt exporter stocks, like Toyota, Honda and Fuji Photo, which were among the Portfolio's major holdings in the Japanese market. European markets performed somewhat better than the Japanese market, but here, too, the environment was 5 difficult. As we anticipated, European monetary authorities did lower interest rates in late summer. But the decreases were not as large as investors expected or wanted. As a result, response was muted as investors remained seated on the sidelines anticipating more cuts lay ahead. Not surprisingly in the environment of the six months ended September 30, 2001, healthcare and consumer staples were very strong performers due to their stable cash flows. Throughout the period, the Portfolio was heavily weighted in these issues holding positions in companies. At the same time, however, as economies worldwide weakened, financial and consumer cyclicals took it on the chin. Positions here were gradually reduced over the course of the period. In the wake of September 11th, even defensive issues experienced declines. While the markets did stabilize and prices began to recover over the following weeks, all ground lost was not regained. The performance of our Portfolio, like many other international equity portfolios, was affected. With uncertainty running high in both the political and economic arenas, activity is most likely to be slow and enthusiasm hard to come by over the near-term. In light of this, we expect to continue to focus on companies with earnings visibility and solid growth prospects, particularly those in industries such as healthcare and food and beverages. Looking out further, the picture is brighter. In Europe, we expect to see further easing in interest rates. In other markets worldwide, too, we have seen a good deal of fiscal and monetary policy response -- all of which contributes to stabilizing the markets and laying the groundwork for a solid recovery. S&P STARS OPPORTUNITIES PORTFOLIO We are pleased to introduce our newest fund, the S&P STARS Opportunities Portfolio, which commenced operations on October 1, 2001. This new fund focuses on small- to mid-capitalization companies using the investment process of the Bear Stearns Funds' S&P STARS Portfolio. The S&P STARS Opportunities Portfolio will invest primarily in companies with market capitalizations of $7 billion or less. Stocks will generally be selected for their potential to outperform the S&P MidCap 400 Index through an analytical process based on Standard & Poor's highest-ranked 5-STARS stocks and Bear Stearns' disciplined fundamental analysis. In conclusion, we value the confidence you have placed in us and would be pleased to address any questions or concerns you may have. Please feel free to call us at 1-800-766-4111. Sincerely, /s/ Doni L. Fordyce Doni L. Fordyce President and Trustee The Bear Stearns Funds - ------------ * Small-cap funds typically carry additional risks, since smaller companies generally have a higher risk of failure than well-established larger companies. Historically, stocks of smaller companies have experienced a greater degree of market volatility than stocks on average. ** International investing involves risks such as currency exchange-rate volatility, possible political, social, or economic instability and differences in taxation and other financial standards. (1) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (17.85)%, including the initial 5.50% maximum sales charge and Class B shares returned (17.62)% including the 5.00% CDSC and Class C shares returned (14.15)%, including the 1.00% CDSC. (2) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (16.68)%, including the initial 5.50% maximum sales charge and the Class B shares returned (16.40)%, including the 5.00% CDSC and Class C shares returned (12.88)%, including the 1.00% CDSC. 6 (3) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (14.25)%, including the initial 5.50% maximum sales charge and the Class B shares returned (14.00)%, including the 5.00% CDSC and Class C shares returned (10.40)%, including the 1.00% CDSC. (4) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (8.81)%, including the initial 5.50% maximum sales charge and the Class B shares returned (8.58)%, including the 5.00% CDSC and Class C shares returned (4.73)%, including the 1.00% CDSC. (5) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (13.43)%, including the initial 5.50% maximum sales charge and the Class B shares returned (13.25)%, including the 5.00% CDSC and Class C shares returned (9.60)%, including the 1.00% CDSC. (6) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (8.36)%, including the initial 5.50% maximum sales charge and the Class B shares returned (8.10)%, including the 5.00% CDSC and Class C shares returned (4.34)%, including the 1.00% CDSC. (7) For the six months ended September 30, 2001, the Portfolio's Class A shares had a total return of (22.29)%, including the initial 5.50% maximum sales charge and the Class B shares returned (22.17)%, including the 5.00% CDSC and Class C shares returned (18.85)%, including the 1.00% CDSC. Bear Stearns Asset Management Inc. has waived its advisory fee and agreed to reimburse a portion of each Portfolio's operating expenses, as necessary, to maintain the expense limitation as set forth in the notes to the financial statements. Total returns shown include fee waivers and expense reimbursements, if any; total returns would have been lower had there been no assumption of fees and expenses in excess of expense limitations. 7 THE BEAR STEARNS FUNDS S&P STARS PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- -------------------------------------------------------------------------------------------- ---------- 1. Cable TV 8.41 2. Cellular Telecommunications 6.42 3. Electronic Components 6.29 4. Commercial Services - Finance 5.56 5. Diversified Operations 3.89 6. Investment Management/Advisor Service 3.86 7. Physical Therapy/Rehabilitation Centers 3.72 8. Banks 3.37 9. Retail - Office Supplies 3.06 10. Broadcasting Services - Programming 2.91
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. Sprint Corp. (PCS Group) Cellular Telecommunications 6.42 2. Moody's Corp. Commercial Services - Finance 5.56 3. Comcast Corp. Cable TV 5.09 4. Tyco International Ltd. Diversified Operations 3.89 5. Eaton Vance Corp. Investment Management/Advisor Service 3.86 6. Vishay Intertechnology, Inc. Electronic Components 3.84 7. FleetBoston Financial Corp. Banks 3.37 8. Staples, Inc. Retail - Office Supplies 3.06 9. Liberty Media Corp. Broadcasting Services - Programming 2.91 10. Scholastic Corp. Publishing - Books 2.90
- -------- * The Portfolio's composition will change over time. 8 THE INSIDERS SELECT FUND SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- 1. Banks 5.72 2. Financial Guarantee Insurance 5.55 3. Credit & Finance 3.91 4. Diversified Manufacturing Operations 3.88 5. Aerospace & Defense Equipment 3.59 6. Commercial Services - Finance 3.48 7. Telephone - Integrated 3.37 8. Life/Health Insurance 3.22 9. Electric - Integrated 3.16 10. Medical - Hospitals 3.06
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. New Dun & Bradstreet Corp. (The) Commercial Services - Finance 3.48 2. Lincoln National Corp. Life/Health Insurance 3.22 3. Bank of America Corp. Banks 3.21 4. FPL Group, Inc. Electric - Integrated 3.16 5. HCA-The Healthcare Co. Medical - Hospitals 3.06 6. Washington Mutual, Inc. Savings & Loan 3.03 7. May Department Stores Company (The) Retail - Department Stores 3.00 8. RadioShack Corp. Retail - Consumer Electronic Products 3.00 9. Liberty Media Corp. Broadcast Services - Programming 2.97 10. Citigroup Inc. Financial Services 2.92
- ------- * The Portfolio's composition will change over time. 9 LARGE CAP VALUE PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- 1. Banks 9.07 2. Telephone - Integrated 7.94 3. Oil Companies-Integrated 6.74 4. Retail - Restaurants 5.44 5. Retail - Department Stores 4.90 6. Financial Guarantee Insurance 3.68 7. Credit & Finance 3.53 8. Diversified Manufacturing Operations 3.34 9. Financial Services 3.10 10. Broadcast Services - Programming 3.04
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. May Department Stores Co. (The) Retail - Department Stores 3.47 2. Bank of America Corp. Banks 3.15 3. Citigroup Inc. Financial Services 3.10 4. McDonald's Corp. Retail - Restaurants 3.10 5. Liberty Media Corp. Broadcast Services - Programming 3.04 6. MGIC Investment Corp. Financial Guarantee Insurance 3.03 7. Hewlett-Packard Co. Computers 2.89 8. Du Pont (E.I.) de Nemours and Co. Chemicals - Diversified 2.83 9. American Express Co. Credit & Finance 2.60 10. Interpublic Group of Companies, Inc. (The) Advertising Agencies 2.57
- ------ * The Portfolio's composition will change over time. 10 SMALL CAP VALUE PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- 1. Medical - Drugs 12.63 2. Building & Construction Products 5.04 3. Savings & Loan/Thrifts 4.27 4. Consumer Products - Misc. 4.23 5. Medical - Generic Drugs 4.06 6. Commercial Banks 3.94 7. Food - Miscellaneous/Diversified 3.32 8. Radio 3.28 9. Commercial Services 3.20 10. Retail - Home Furnishings 3.07
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. Impax Laboratories, Inc. Medical - Drugs 7.81 2. Pharmaceutical Resources, Inc. Medical - Generic Drugs 4.06 3. Hibernia Foods plc Food - Miscellaneous/Diversified 3.32 4. Cox Radio, Inc. Radio 3.28 5. Steiner Leisure Ltd. Commercial Services 3.20 6. Pier 1 Imports, Inc. Retail - Home Furnishings 3.07 7. AnnTaylor Stores Corp. Retail - Apparel/Shoe 2.97 8. Furniture Brands International, Inc. Home Furnishings 2.88 9. Elcor Corp. Building & Construction Products 2.87 10. COMARCO, Inc. Communications 2.85
- ------ * The Portfolio's composition will change over time. 11 FOCUS LIST PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- 1. Technology: Computer Services 22.54 2. Financial Services: Government-Sponsored Enterprises 8.92 3. Media: Radio & TV Broadcasting 8.68 4. Media: Publishing/Information 6.77 5. Financial Services: Brokers/Asset Managers 6.40 6. Healthcare: Major Pharmaceuticals 6.04 7. Financial Services: Specialty Finance 5.82 8. Basic Industry: Ground Transportation 4.59 9. Energy: International Major Oils 4.44 10. Technology: Enterprise Hardware/PC Hardware/iAppliance 4.42
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. Affiliated Computer Services, Inc. Technology: Computer Services 11.95 2. BISYS Group, Inc. (The) Technology: Computer Services 10.59 3. Fannie Mae Financial Services: Government-Sponsored Enterprises 8.92 4. Moody's Corp. Media: Publishing/Information 6.77 5. Investment Technology Group Financial Services: Brokers/Asset Managers 6.40 6. American Home Products Corp. Healthcare: Major Pharmaceuticals 6.04 7. MBNA Corp. Financial Services: Specialty Finance 5.82 8. USA Networks, Inc. Media: Radio & TV Broadcasting 4.97 9. Heartland Express, Inc. Basic Industry: Ground Transportation 4.59 10. Royal Dutch Petroleum Co. Energy: International Major Oils 4.44
- ------ * The Portfolio's composition will change over time. 12 BALANCED PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP FIVE INDUSTRY/SECTOR WEIGHTINGS*
PERCENT OF RANK INDUSTRY/SECTOR NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- EQUITY - -------------------------------------------------------------------------------------------------------------------- 1. Telephone - Integrated 4.05 2. Oil Companies - Integrated 2.70 3. Retail - Department Stores 2.35 4. Retail - Restaurants 2.19 5. Computers 1.76 LONG-TERM DEBT - -------------------------------------------------------------------------------------------------------------------- 1. U.S. Government Agency Obligations 23.78 2. U.S. Government Obligations 12.21 3. Mortgage Backed Securities 1.07 4. Financial 0.95 5. Diversified Financial Services 0.90
TOP FIVE HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY/SECTOR NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- EQUITY - -------------------------------------------------------------------------------------------------------------------- 1. Texaco, Inc. Oil Companies - Integrated 1.49 2. Bank of America Corp. Banks 1.42 3. May Department Stores Co., (The) Retail, Department Stores 1.38 4. Liberty Media Corp. Broadcasting Services - Programming 1.33 5. Hewlett-Packard Co. Computers 1.32 LONG-TERM DEBT - -------------------------------------------------------------------------------------------------------------------- 1. Fannie Mae U.S. Government Agency Obligations 13.20 2. U.S. Treasuries U.S. Government Obligations 12.21 3. Freddie Mac U.S. Government Agency Obligations 9.20 4. Government National Mortgage Association U.S. Government Agency Obligations 1.38 5. National Rural Utilities, Collateral Trust Diversified Financial Services 0.90
- --------- * The Portfolio's composition will change over time. 13 INTERNATIONAL EQUITY PORTFOLIO SEPTEMBER 30, 2001 (UNAUDITED) TOP TEN INDUSTRY WEIGHTINGS*
PERCENT OF RANK INDUSTRY NET ASSETS ---- --------------------------------------------------------------------------------------------- ---------- 1. Medical - Drugs 19.04 2. Oil Companies - Integrated 7.86 3. Money Center Banks 7.05 4. Food - Miscellaneous/Diversified 4.95 5. Electric - Integrated 4.90 6. Cosmetics & Toiletries 3.18 7. Finance - Investment Banking/Brokerage 2.65 8. Drug Delivery Systems 2.65 9. Commercial Banks - Non-U.S. 2.40 10. Food - Retail 2.38
TOP TEN HOLDINGS*
PERCENT OF RANK HOLDINGS INDUSTRY NET ASSETS ---- ---------------------------------------- -------------------------------------------------- ---------- 1. GlaxoSmithKline plc Medical - Drugs 4.60 2. Sanofi-Synthelabo SA Medical - Drugs 3.87 3. Nestle SA Food - Miscellaneous/Diversified 3.04 4. Total Fina Elf SA Oil Companies - Integrated 2.79 5. Elan Corp. plc, ADR Drug Delivery Systems 2.65 6. Aventis SA Medical - Drugs 2.43 7. Royal Dutch Petroleum Co. Oil Companies - Integrated 2.42 8. AstraZeneca Group plc Medical - Drugs 2.40 9. Tokyo Electric Power Company, Incorporated (The) Electric - Integrated 2.19 10. Novartis AG Medical - Drugs 2.16
- ----- * The Portfolio's composition will change over time. 14 THE BEAR STEARNS FUNDS S&P STARS PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS -- 99.89% APPLICATIONS SOFTWARE - 0.89% 420,000 Intuit Inc.*+ $ 15,036,000 220,000 Mercury Interactive Corp.* 4,188,800 132,500 Roxio, Inc.*++ 2,014,000 -------------- 21,238,800 -------------- BANKS - 3.37% 2,200,000 FleetBoston Financial Corp. 80,850,000 -------------- BEVERAGES-WINE/SPIRITS - 1.39% 800,000 Constellation Brands, Inc., Class A* 33,328,000 -------------- BROADCASTING SERVICES - PROGRAMMING - 2.91% 5,500,000 Libery Media Corp.+ 69,850,000 -------------- CABLE TV - 8.41% 1,500,000 Cablevision Systems Corp., Class A*+ 61,410,000 900,000 Cablevision Systems Corp.-- Rainbow Media Group*+ 18,225,000 3,400,000 Comcast Corp., Special Class A*+(a) 121,958,000 -------------- 201,593,000 -------------- CELLULAR TELECOMMUNICATIONS - 6.42% 5,850,000 Sprint Corp. (PCS Group)* 153,796,500 -------------- COMMERCIAL SERVICES - FINANCE - 5.56% 3,600,000 Moody's Corp.(a) 133,200,000 -------------- COMPUTERS - INTEGRATED - 0.59% 1,000,000 Brocade Communications Systems, Inc.*++ 14,030,000 -------------- COMPUTERS - MICRO - 0.64% 1,850,000 Sun Microsystems, Inc.*++ 15,299,500 -------------- CONSULTING SERVICES - 0.45% 1,185,000 Gartner, Inc., Class A*++ 10,724,250 -------------- CONTAINERS - PAPER/PLASTIC - 1.13% 2,050,000 Smurfit-Stone Container Corp.* 27,121,500 -------------- COSMETICS & TOILETRIES - 2.69% 1,040,000 Kimberly-Clark Corp.++ $ 64,480,000 -------------- DATA PROCESSING/MANAGEMENT - 1.22% 700,000 Choicepoint, Inc.* 29,148,000 -------------- DIVERSIFIED OPERATIONS - 3.89% 2,050,000 Tyco International Ltd. 93,275,000 -------------- DRUG DELIVERY SYSTEMS - 2.44% 900,000 Andrx Group* 58,428,000 -------------- ELECTRONIC COMPONENTS - 6.29% 5,000,600 Vishay Intertechnology, Inc.* 92,011,040 2,500,000 Xilinx, Inc.*+ 58,825,000 -------------- 150,836,040 -------------- ELECTRONIC COMPONENTS - MISCELLANEOUS - 0.82% 875,900 Technitrol, Inc.+ 19,532,570 -------------- ELECTRONIC COMPONENTS - SEMICONDUCTORS - 0.14% 322,000 AXT, Inc.*++ 3,413,200 -------------- ELECTRONICS - 2.05% 2,050,000 Adobe Systems Inc.+ 49,159,000 -------------- E-MARKETING/INFORMATION - 1.54% 6,461,000 DoubleClick Inc.*++ 36,827,700 -------------- ENTERPRISE SOFTWARE/SERVICES - 0.14% 1,020,100 Packeteer, Inc.*+++ 3,254,119 -------------- FINANCE - MORTGAGE LOAN/BANKER - 1.65% 900,000 Countrywide Credit Industries, Inc. 39,537,000 -------------- FINANCIAL GUARANTEE INSURANCE - 2.05% 900,000 Ambac Financial Group, Inc.+ 49,239,000 -------------- HEALTH CARE COST MANAGEMENT SERVICES - 1.03% 1,000,000 Orthodontic Centers of America, Inc.*+ 24,650,000 -------------- INDUSTRIAL - 1.40% 800,000 Praxair, Inc. 33,600,000 -------------- The accompanying notes are an integral part of the financial statements. 15 - ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) INTERNET CONTENT - 0.20% 3,647,500 SportsLine.com, Inc.*+++(b) $ 4,887,650 -------------- INTERNET SECURITY - 2.17% 1,500,000 Symantec Corp.* 52,005,000 -------------- INVESTMENT MANAGEMENT/ADVISOR SERVICE - 3.86% 2,950,000 Eaton Vance Corp. 92,482,500 -------------- MEDICAL & DRUGS SERVICES - 1.31% 750,000 King Pharmaceuticals, Inc.*+ 31,462,500 -------------- MEDICAL - DRUGS - 2.39% 1,430,000 Pfizer Inc. 57,343,000 -------------- MEDICAL INSTRUMENTS - 0.91% 3,500,000 Intuitive Surgical, Inc.*+(b) 21,840,000 -------------- MEDICAL LABORATORIES - 0.70% 488,000 IMPATH, Inc.*+ 16,840,880 -------------- MULTI-LINE INSURANCE - 0.31% 200,000 Allstate Corp. 7,470,000 -------------- MULTIMEDIA - 2.69% 1,950,000 AOL Time Warner, Inc.*+ 64,545,000 -------------- NETWORKING PRODUCTS - 0.46% 1,600,000 Extreme Networks, Inc.*++ 11,056,000 -------------- OIL & GAS DRILLING - 2.00% 2,000,000 Noble Drilling Corp.*+ 48,000,000 -------------- OIL & OFFSHORE DRILLING - 2.22% 2,500,000 Santa Fe International Corp.+ 53,125,000 -------------- OIL COMPANIES - EXPLORATION & PRODUCTION - 0.07% 50,000 Evergreen Resources, Inc.+ 1,697,500 -------------- PHARMACEUTICALS - 1.14% 450,000 Teva Pharmaceutical Industries Ltd., ADR+ 27,202,500 -------------- PHYSICAL THERAPY/REHABILITATION CENTERS - 3.72% 2,250,000 HEALTHSOUTH Corp.* $ 36,585,000 1,208,600 RehabCare Group, Inc.*(b) 52,586,186 -------------- 89,171,186 -------------- PUBLISHING - BOOKS - 2.90% 1,600,000 Scholastic Corp.*+ 69,600,000 -------------- RETAIL - 0.93% 1,200,000 Linens `n Things, Inc.* 22,296,000 -------------- RETAIL - BOOKSTORE - 0.65% 430,000 Barnes & Noble, Inc.* 15,523,000 -------------- RETAIL - DRUG STORES - 2.49% 1,800,000 CVS Corp.++ 59,760,000 -------------- RETAIL - GROCERY STORES - 1.88% 1,830,000 Kroger Co. (The)*+ 45,091,200 -------------- RETAIL - OFFICE SUPPLIES - 3.06% 5,500,000 Staples, Inc.*++ 73,425,000 -------------- TELEPHONE - INTEGRATED - 1.81% 2,700,000 Broadwing, Inc.* 43,416,000 -------------- TRANSPORT - TRUCK - 1.57% 1,200,000 USFreightways Corp.++ 37,608,000 -------------- WEB PORTALS/ISP - 1.34% 2,550,000 GoTo.com, Inc.*+++(b) 32,002,500 -------------- Total Common Stocks (cost - $2,709,278,872) 2,394,261,595 -------------- SHORT-TERM INVESTMENT -- 0.47% INVESTMENT COMPANY - 0.47% 11,361,312 Federated Investors, Trust for Short-Term U.S. Government Securities, 2.99%**+++ (cost - $11,361,312) 11,361,312 -------------- Total Investments-- 100.36% (cost - $2,720,640,184) 2,405,622,907 Liabilities in excess of other assets-- (0.36)% (8,723,580) -------------- Net Assets-- 100.00% $2,396,899,327 ============== The accompanying notes are an integral part of the financial statements. 16 - ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ SHORT SALES OF COMMON STOCK AIRLINES 800,000 UAL Corp. $ 14,608,000 -------------- ELECTRONIC MEASUREMENT INSTRUMENTS 1,500,000 Agilent Technologies, Inc. 29,325,000 -------------- PAPER & RELATED PRODUCTS 100,000 Potlatch Corp. 2,699,000 -------------- RESPIRATORY PRODUCTS 150,000 ResMed Inc. 7,620,000 -------------- RETAIL - RESTAURANTS 10,000 Krispy Kreme Doughnuts, Inc. 296,000 -------------- SEMICONDUCTOR EQUIPMENT 17,500,000 Teradyne, Inc.@ $ 34,125,000 -------------- Total Short Sales of Common Stocks (proceeds received: $103,780,848) $ 88,673,000 ==============
- ----- Unless otherwise indicated, all common stocks held long are ranked as five stars and short positions ranked as one star. + Currently ranked as four stars. ++ Currently ranked as three stars. +++ Not ranked by STARS. @ Currently ranked as two stars. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. (a) A portion of this security is used as collateral for securities sold short. (b) Affiliated Company. ADR American Depositary Receipts. S&P STARS RANKING: Five stars -- Buy -- Expect to be among best performers over next 12 months and to rise in price. Four stars -- Accumulate -- Expect to be an above average performer. Three stars -- Hold -- Expect to be an average performer. Two stars -- Avoid -- Expect to be a below average performer. One star -- Sell -- Expect to be well below average performer and to fall in price. The accompanying notes are an integral part of the financial statements. 17 THE INSIDERS SELECT FUND PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS -- 92.87% ADVERTISING AGENCIES - 1.80% 28,200 Interpublic Group of Companies, Inc. (The) $ 575,280 -------------- AEROSPACE & DEFENSE EQUIPMENT - 3.59% 25,300 Goodrich Corp. 492,844 14,100 United Technologies Corp. 655,650 -------------- 1,148,494 -------------- AUTO - CARS/LIGHT TRUCKS - 2.07% 15,400 General Motors Corp. 660,660 -------------- BANKS - 5.72% 17,600 Bank of America Corp. 1,027,840 23,500 J.P. Morgan Chase & Co. 802,525 -------------- 1,830,365 -------------- BROADCAST SERVICES - PROGRAMMING - 2.97% 74,900 Liberty Media Corp.* 951,230 -------------- CABLE TV - 2.45% 21,800 Comcast Corp.* 781,966 -------------- CHEMICALS - DIVERSIFIED - 2.65% 22,600 Du Pont (E.I.) de Nemours and Co. 847,952 -------------- COMMERCIAL SERVICES - 1.94% 32,400 Viad Corp. 621,432 -------------- COMMERCIAL SERVICES - FINANCE - 3.48% 39,700 New Dun & Bradstreet Corp. (The)* 1,111,600 -------------- COMPUTERS - 2.45% 42,200 Dell Computer Corp.* 781,966 -------------- COSMETICS & TOILETRIES - 2.62% 13,500 Kimberly-Clark Corp. 837,000 -------------- CREDIT & FINANCE - 3.91% 25,400 American Express Co. 738,124 6,400 Fannie Mae 512,384 -------------- 1,250,508 -------------- DIVERSIFIED MANUFACTURING OPERATIONS - 3.88% 18,500 Pentair, Inc. $ 569,245 20,000 Textron, Inc. 672,200 -------------- 1,241,445 -------------- ELECTRIC - INTEGRATED - 3.16% 18,900 FPL Group, Inc. 1,012,095 -------------- ELECTRIC PRODUCTS - MISCELLANEOUS - 2.60% 17,700 Emerson Electric Co. 832,962 -------------- ELECTRONIC COMPONENTS-SEMICONDUCTORS - 1.94% 28,100 National Semiconductor Corp.* 619,605 -------------- FINANCIAL GUARANTEE INSURANCE - 5.55% 18,000 MBIA, Inc. 900,000 13,400 MGIC Investment Corp. 875,556 -------------- 1,775,556 -------------- FINANCIAL SERVICES - 2.92% 23,066 Citigroup Inc. 934,173 -------------- LIFE/HEALTH INSURANCE - 3.22% 22,100 Lincoln National Corp. 1,030,523 -------------- MACHINERY - GENERAL INDUSTRIAL - 2.10% 22,300 Dover Corp. 671,453 -------------- MEDICAL - DRUGS - 2.77% 17,100 Abbott Laboratories 886,635 -------------- MEDICAL - HOSPITALS - 3.06% 22,100 HCA-The Healthcare Co. 979,251 -------------- OIL COMPANIES - INTEGRATED - 2.76% 27,200 Unocal Corp. 884,000 -------------- PHOTO EQUIPMENT & SUPPLIES - 2.21% 21,700 Eastman Kodak Co. 705,901 -------------- RETAIL - CONSUMER ELECTRONIC PRODUCTS - 3.00% 39,600 RadioShack Corp. 960,300 -------------- The accompanying notes are an integral part of the financial statements. 18 - ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) RETAIL - DEPARTMENT STORES - 3.00% 33,100 May Department Stores Co. (The) $ 960,562 -------------- RETAIL - RESTAURANTS - 2.60% 30,600 McDonald's Corp. 830,484 -------------- SAVINGS & LOAN - 3.03% 25,200 Washington Mutual, Inc. 969,696 -------------- TELECOMMUNICATION EQUIPMENT - 0.83% 27,000 Tellabs, Inc.* 266,760 -------------- TELECOMMUNICATION SERVICES - 2.73% 54,200 Broadwing Inc.* 871,536 -------------- TELEPHONE - INTEGRATED - 3.37% 26,100 AT&T Corp. 503,730 38,100 WorldCom, Inc. - WorldCom Group* 573,024 -------------- 1,076,754 -------------- WIRELESS EQUIPMENT - 2.49% 51,100 Motorola, Inc. 797,160 -------------- Total Common Stocks (cost - $29,399,343) 29,705,304 -------------- SHORT-TERM INVESTMENT -- 4.15% INVESTMENT COMPANY - 4.15% 1,327,250 Federated Investors, Trust for Short-Term U.S. Government Securities, 2.99%** (cost - $1,327,250) $ 1,327,250 -------------- Total Investments-- 97.02% (cost - $30,726,593) 31,032,554 Other assets in excess of liabilities-- 2.98% 954,202 -------------- Net Assets-- 100.00% $ 31,986,756 ==============
- ------- * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. The accompanying notes are an integral part of the financial statements. 19 LARGE CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS - 96.37% ADVERTISING AGENCIES - 2.57% 58,500 Interpublic Group of Companies, Inc. (The) $ 1,193,400 -------------- AEROSPACE & DEFENSE EQUIPMENT - 2.93% 12,500 Goodrich Corp. 243,500 24,000 United Technologies Corp. 1,116,000 -------------- 1,359,500 -------------- AUTO - CARS/LIGHT TRUCKS - 0.90% 9,700 General Motors Corp. 416,130 -------------- BANKS - 9.07% 25,000 Bank of America Corp. 1,460,000 33,800 J.P. Morgan Chase & Co. 1,154,270 8,000 PNC Financial Services Group 458,000 17,000 SunTrust Banks, Inc. 1,132,200 -------------- 4,204,470 -------------- BREWERY - 0.81% 9,000 Anheuser-Busch Co., Inc. 376,920 -------------- BROADCAST SERVICES - PROGRAMMING - 3.04% 111,000 Liberty Media Corp.* 1,409,700 -------------- CHEMICALS - DIVERSIFIED - 2.83% 35,000 Du Pont (E.I.) de Nemours and Co. 1,313,200 -------------- COMMERCIAL SERVICES - FINANCE - 1.22% 10,400 Moody's Corp. 384,800 6,400 New Dun & Bradstreet Corp. (The) * 179,200 -------------- 564,000 -------------- COMPUTER SERVICES - 2.37% 21,000 Computer Sciences Corp.* 696,570 7,000 Electronic Data Systems Corp. 403,060 -------------- 1,099,630 -------------- COMPUTERS - 2.89% 83,300 Hewlett-Packard Co. 1,341,130 -------------- COSMETICS & TOILETRIES - 2.15% 16,100 Kimberly-Clark Corp. $ 998,200 -------------- CREDIT & FINANCE - 3.53% 41,500 American Express Co. 1,205,990 5,400 Fannie Mae 432,324 -------------- 1,638,314 -------------- DIVERSIFIED MANUFACTURING OPERATIONS - 3.34% 3,800 Minnesota Mining and Manufacturing Company (3M) 373,920 35,000 Textron, Inc. 1,176,350 -------------- 1,550,270 -------------- DIVERSIFIED OPERATIONS - 1.82% 44,000 Viad Corp. 843,920 -------------- ELECTRIC - INTEGRATED - 2.19% 19,000 FPL Group, Inc. 1,017,450 -------------- ELECTRIC PRODUCTS - MISCELLANEOUS - 2.33% 23,000 Emerson Electric Co. 1,082,380 -------------- ELECTRONIC COMPONENTS - MISCELLANEOUS - 2.08% 50,000 Philips Electronics 965,000 -------------- ELECTRONIC COMPONENTS - SEMICONDUCTORS - 1.95% 41,000 National Semiconductor Corp.* 904,050 -------------- FINANCE - INVESTMENT BANKING/BROKERAGE - 1.11% 11,100 Morgan Stanley Dean Witter & Co. 514,485 -------------- FINANCIAL GUARANTEE INSURANCE - 3.68% 6,000 MBIA, Inc. 300,000 21,500 MGIC Investment Corp. 1,404,810 -------------- 1,704,810 -------------- FINANCIAL SERVICES - 3.10% 35,533 Citigroup Inc. 1,439,086 -------------- The accompanying notes are an integral part of the financial statements. 20 - ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) LIFE/HEALTH INSURANCE - 2.29% 9,000 Lincoln National Corp. $ 419,670 16,500 Torchmark Corp. 643,500 -------------- 1,063,170 -------------- MACHINERY-GENERAL INDUSTRIAL - 1.43% 22,000 Dover Corp. 662,420 -------------- MEDICAL PRODUCTS - 1.20% 10,000 Johnson & Johnson 554,000 -------------- MEDICAL-DRUGS - 1.02% 9,100 Abbott Laboratories 471,835 -------------- MULTI-LINE INSURANCE - 2.38% 29,500 Allstate Corp. (The) 1,101,825 -------------- OIL COMPANIES-INTEGRATED - 6.74% 5,740 BP plc, ADR 282,236 15,100 Exxon Mobil Corp. 594,940 17,500 Texaco Inc. 1,137,500 34,100 Unocal Corp. 1,108,250 -------------- 3,122,926 -------------- PHOTO EQUIPMENT & SUPPLIES - 2.08% 29,600 Eastman Kodak Co. 962,888 -------------- RETAIL - DEPARTMENT STORES - 4.90% 55,400 May Department Stores Co. (The) 1,607,708 20,200 TJX Companies, Inc. (The) 664,580 -------------- 2,272,288 -------------- RETAIL - RESTAURANTS - 5.44% 53,000 McDonald's Corp. 1,438,420 40,600 Wendy's International, Inc. 1,081,990 -------------- 2,520,410 -------------- SAVINGS & LOAN - 2.24% 26,927 Washington Mutual, Inc. 1,036,151 -------------- TELECOMMUNICATION EQUIPMENT - 0.78% 36,700 Tellabs, Inc.* $ 362,596 -------------- TELEPHONE - INTEGRATED - 7.94% 32,000 AT&T Corp. 617,600 22,800 SBC Communications Inc. 1,074,336 47,100 Sprint Corp. (FON Group) 1,130,871 9,400 Verizon Communications Inc. 508,634 23,400 WorldCom, Inc. - WorldCom Group* 351,936 -------------- 3,683,377 -------------- WIRELESS EQUIPMENT - 2.02% 60,100 Motorola, Inc. 937,560 -------------- Total Common Stocks (cost - $46,392,643) 44,687,491 -------------- SHORT-TERM INVESTMENT - 3.07% INVESTMENT COMPANY - 3.07% 1,425,193 Federated Investors, Trust for Short-Term U.S. Government Securities, 2.99%** (cost - $1,425,193) 1,425,193 -------------- Total Investments-- 99.44% (cost - $47,817,836) 46,112,684 Other assets in excess of liabilities-- 0.56% 260,985 -------------- Net Assets-- 100.00% $ 46,373,669 ==============
- -------- ADR American Depositary Receipts. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. The accompanying notes are an integral part of the financial statements. 21 SMALL CAP VALUE PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ EQUITY SECURITIES - 97.04% COMMON STOCKS -- 93.55% BUILDING & CONSTRUCTION PRODUCTS - 5.04% 78,150 Elcor Corp. $ 1,682,570 74,600 Insituform Technologies, Inc., Class A* 1,271,930 -------------- 2,954,500 -------------- CHEMICALS - DIVERSIFIED - 1.24% 49,600 Olin Corp. 729,120 -------------- COMMERCIAL BANKS - 3.94% 87,900 Colonial BancGroup, Inc. (The) 1,125,120 44,000 Cullen/Frost Bankers, Inc. 1,185,800 -------------- 2,310,920 -------------- COMMERCIAL SERVICES - 3.20% 117,200 Steiner Leisure Ltd.* 1,875,200 -------------- COMMUNICATIONS - 2.85% 132,325 COMARCO, Inc. 1,673,911 -------------- COMPUTER SOFTWARE - 2.50% 283,400 Zi Corp.* 1,468,012 -------------- COMPUTERS - MEMORY DEVICES - 0.56% 26,400 Storage Technology Corp.* 331,320 -------------- CONSUMER PRODUCTS - MISC - 4.23% 81,600 Dial Corp. (The) 1,350,480 56,800 Tupperware Corporation 1,132,592 -------------- 2,483,072 -------------- DIVERSIFIED MANUFACTURING OPERATIONS - 0.27% 7,800 National Service Industries, Inc. 161,070 -------------- DIVERSIFIED OPERATIONS - 1.08% 29,000 Crane Co. 635,680 -------------- ELECTRIC - INTEGRATED - 2.06% 27,500 Kansas City Power & Light Company 717,475 35,100 Unisource Energy Corp. 491,400 -------------- 1,208,875 -------------- ELECTRONIC COMPONENTS - SEMICONDUCTORS - 2.53% 29,600 Rudolph Technologies, Inc.* $ 729,936 47,300 Three-Five Systems, Inc.* 753,962 -------------- 1,483,898 -------------- FINANCE - CONSUMER LOANS - 1.38% 11,500 Student Loan Corporation (The) 810,750 -------------- FOOD - MISCELLANEOUS/DIVERSIFIED - 3.32% 457,773 Hibernia Foods plc, ADR* 1,945,535 -------------- FUNERAL SERVICES & RELATED ITEMS - 1.12% 108,700 Service Corporation International* 654,374 -------------- HEALTH CARE - 2.34% 82,200 Caremark Rx, Inc.* 1,371,096 -------------- HOME FURNISHINGS - 2.88% 86,900 Furniture Brands International, Inc*. 1,692,812 -------------- HOTELS/MOTELS - 1.01% 70,650 Station Casinos, Inc.* 593,460 -------------- INSTRUMENTS-SCIENTIFIC - 0.97% 10,700 Millipore Corp. 566,458 -------------- LIFE/HEALTH INSURANCE - 1.80% 36,400 Protective Life Corporation 1,055,600 -------------- MEDICAL - DRUGS - 9.14% 147,800 ATS Medical, Inc.* 591,200 90,800 DUSA Pharmaceuticals, Inc.* 931,608 194,054 Impax Laboratories, Inc.* 2,540,167 68,700 SICOR Inc.* 1,297,743 -------------- 5,360,718 -------------- MEDICAL - GENERIC DRUGS - 4.06% 66,700 Pharmaceutical Resources, Inc.* 2,384,525 -------------- MEDICAL SERVICES - 0.29% 16,800 Beverly Enterprises, Inc.* 171,360 -------------- METAL PROCESSORS & FABRICATION - 1.37% 28,100 Mueller Industries, Inc.* 806,470 -------------- The accompanying notes are an integral part of the financial statements. 22 - ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) MISCELLANEOUS INDUSTRIALS - 2.15% 76,500 KEMET Corp.* $ 1,259,190 -------------- OFFICE AUTOMATION & EQUIPMENT - 0.57% 43,100 IKON Office Solutions, Inc. 332,732 -------------- OIL COMPANIES - INTEGRATED - 1.87% 248,500 Meridian Resource Corporation (The) * 807,625 18,400 Vintage Petroleum, Inc. 291,640 -------------- 1,099,265 -------------- POWER CONVERSION/SUPPLY EQUIPMENT - 2.33% 117,000 American Power Conversion Corp.* 1,366,560 -------------- RADIO - 3.28% 95,400 Cox Radio, Inc., Class A* 1,924,218 -------------- REAL ESTATE INVESTMENT TRUSTS - 1.87% 59,100 Glenborough Realty Trust Inc. 1,095,714 -------------- RECREATIONAL CENTERS - 2.22% 64,100 Bally Total Fitness Holding Corp.* 1,301,871 -------------- RENTAL AUTO/EQUIPMENT - 2.47% 83,700 United Rentals, Inc.* 1,451,358 -------------- RETAIL - APPAREL/SHOE - 2.97% 79,600 AnnTaylor Stores Corp.* 1,744,832 -------------- RETAIL - HOME FURNISHINGS - 3.07% 217,200 Pier 1 Imports, Inc. 1,802,760 -------------- SAVINGS & LOAN/THRIFTS - 4.27% 13,400 Dime Community Bancshares 339,288 36,600 First Financial Holdings, Inc. 839,970 21,900 MAF Bancorp, Inc. 627,654 37,600 Roslyn Bancorp, Inc. 695,976 -------------- 2,502,888 -------------- SEMICONDUCTOR EQUIPMENT - 1.87% 39,400 DuPont Photomasks, Inc.* 1,094,532 -------------- STEEL - 2.08% 172,300 Universal Stainless & Alloy Products, Inc.* (a) $ 1,223,330 -------------- TELECOMMUNICATION EQUIPMENT - 1.69% 55,600 CommScope, Inc.* 993,572 -------------- TRANSPORT-TRUCK - 1.66% 74,500 J.B. Hunt Transport Services, Inc.* 971,480 -------------- Total Common Stocks (cost - $58,666,278) 54,893,038 -------------- RIGHTS/WARRANTS - 3.49% MEDICAL - DRUGS - 3.49% 225,000 Impax Laboratories, Inc., Series C* (cost - $0) 2,045,250 -------------- SHORT-TERM INVESTMENTS -- 6.42% INVESTMENT COMPANY - 0.29% 167,047 Federated Investors, Trust For Short-Term U.S. Government Securities, 2.99%** 167,047 -------------- PRINCIPAL AMOUNT (000'S) -------- U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 6.13% $3,600 Federal Home Loan Bank, Discount Notes, 3.05%, 10/01/01 3,599,085 -------------- Total Short-Term Investments (cost - $3,767,047) 3,766,132 -------------- Total Investments - 103.46% (cost - $62,433,325) 60,704,420 Liabilities in excess of other assets-- (3.46)% (2,027,122) -------------- Net Assets-- 100.00% $ 58,677,298 ==============
- -------- ADR American Depositary Receipts. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. (a) Affiliated company. The accompanying notes are an integral part of the financial statements. 23 FOCUS LIST PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS - 82.06% BASIC INDUSTRY: GROUND TRANSPORTATION - 4.59% 52,000 Heartland Express, Inc.* $ 1,195,480 -------------- CONSUMER: RETAILING/FOOD & DRUG CHAINS - 3.44% 27,000 CVS Corp. 896,400 -------------- ENERGY: INTERNATIONAL MAJOR OILS - 4.44% 23,000 Royal Dutch Petroleum Co. 1,155,750 -------------- FINANCIAL SERVICES: BROKERS/ASSET MANAGERS - 6.40% 30,000 Investment Technology Group* 1,664,700 -------------- FINANCIAL SERVICES: GOVERNMENT-SPONSORED ENTERPRISES - 8.92% 29,000 Fannie Mae 2,321,740 -------------- FINANCIAL SERVICES: SPECIALTY FINANCE - 5.82% 50,000 MBNA Corp. 1,514,500 -------------- HEALTHCARE: MAJOR PHARMACEUTICALS - 6.04% 27,000 American Home Products Corp. 1,572,750 -------------- MEDIA: PUBLISHING/INFORMATION - 6.77% 47,600 Moody's Corp. 1,761,200 -------------- MEDIA: RADIO & TV BROADCASTING - 8.68% 24,247 Clear Channel Communications, Inc.* 963,818 72,000 USA Networks, Inc.* 1,294,560 -------------- 2,258,378 -------------- TECHNOLOGY: COMPUTER SERVICES - 22.54% 38,200 Affiliated Computer Services, Inc., Class A* 3,109,862 52,000 BISYS Group, Inc. (The)* 2,757,040 -------------- 5,866,902 -------------- TECHNOLOGY: ENTERPRISE HARDWARE/ PC HARDWARE/iAPPLIANCE - 4.42% 62,000 Dell Computer Corp.* 1,148,860 -------------- Total Common Stocks (cost - $19,235,027) $ 21,356,660 -------------- SHORT-TERM INVESTMENTS - 5.34% INVESTMENT COMPANY - 0.54% 139,595 Federated Investors, Trust for Short-Term U.S. Government Securities, 2.99%**+ $ 139,595 -------------- PRINCIPAL AMOUNT (000'S) -------- U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 4.80% $1,250 Federal Home Loan Bank, Discount Notes 3.05%, 10/01/01+ 1,250,000 -------------- Total Short-Term Investments (cost - $1,389,595) 1,389,595 -------------- Total Investments-- 87.40% (cost - $20,624,622) 22,746,255 Other assets in excess of liabilities--12.60% 3,278,880 -------------- Net Assets-- 100.00% $ 26,025,135 ==============
- ------- ADR American Depositary Receipts. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. + Not a Focus List Selection at September 30, 2001. The accompanying notes are an integral part of the financial statements. 24 THE BEAR STEARNS FUNDS BALANCED PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ EQUITY SECURITIES -- 47.86% ADVERTISING AGENCIES - 0.57% 8,100 Interpublic Group of Companies, Inc. (The) $ 165,240 -------------- AEROSPACE & DEFENSE EQUIPMENT - 1.39% 4,300 Goodrich (B.F.) Co. (The) 83,764 6,900 United Tecnologies Corp. 320,850 -------------- 404,614 -------------- AUTO - CARS/LIGHT TRUCKS - 0.40% 2,700 General Motors Corp. 115,830 -------------- BANKS - 2.04% 7,100 Bank of America Corp. 414,640 5,300 J.P. Morgan Chase & Co. 180,995 -------------- 595,635 -------------- BROADCASTING SERVICES - PROGRAMMING - 1.33% 30,400 Liberty Media Corp., Class A* 386,080 -------------- BUILDING & CONSTRUCTION PRODUCTS - 0.08% 1,400 Insituform Technologies, Class A* 23,870 -------------- CABLE TV - 1.00% 8,100 Comcast Corp., Special Class A* 290,547 -------------- CHEMICALS - DIVERSIFIED - 1.01% 7,200 Du Pont (E.I.) de Nemours and Co. 270,144 1,600 Olin Corp. 23,520 -------------- 293,664 -------------- COMMERCIAL BANKS - 0.07% 800 Cullen/Frost Bankers, Inc. 21,560 -------------- COMMERCIAL SERVICES - 0.14% 2,500 Steiner Leisure Ltd.* 40,000 -------------- COMPUTER SERVICES - 0.67% 5,900 Computer Sciences Corp.* 195,703 -------------- COMPUTER SOFTWARE - 0.20% 11,000 Zi Corp.* 56,980 -------------- COMPUTERS - 1.76% 23,800 Hewlett-Packard Co. $ 383,180 1,400 International Business Machines Corp. 129,220 -------------- 512,400 -------------- COMPUTERS-MEMORY DEVICES - 0.02% 500 Storage Technology Corp.* 6,275 -------------- CONSUMER PRODUCTS - MISC - 0.11% 1,600 Tupperware Corp. 31,904 -------------- COSMETICS & TOILETRIES - 1.00% 4,700 Kimberly-Clark Corp. 291,400 -------------- CREDIT & FINANCE - 1.03% 10,300 American Express Co. 299,318 -------------- DIVERSIFIED MANUFACTURING OPERATIONS - 1.36% 1,200 Minnesota Mining and Manufacturing Co., (3M) 118,080 8,300 Textron, Inc. 278,963 -------------- 397,043 -------------- DIVERSIFIED OPERATIONS - 0.83% 12,600 Viad Corp. 241,668 -------------- ELECTRIC - INTEGRATED - 1.12% 5,700 FPL Group, Inc. 305,235 1,500 Unisource Energy Corp. 21,000 -------------- 326,235 -------------- ELECTRIC PRODUCTS - MISCELLANEOUS - 1.08% 6,700 Emerson Electric Co. 315,302 -------------- ELECTRONIC COMPONENTS - SEMICONDUCTORS - 0.82% 9,000 National Semiconductor Corp.* 198,450 2,500 Three-Five Systems, Inc.* 39,850 -------------- 238,300 --------------
The accompanying notes are an integral part of the financial statements. 25
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ EQUITY SECURITIES (CONTINUED) ELECTRONICS - 1.19% 8,400 Intel Corp. $ 171,276 7,000 Texas Instruments Inc. 174,860 -------------- 346,136 -------------- FINANCE - MORTGAGE LOAN/BANKER - 0.80% 2,900 Fannie Mae 232,174 -------------- FINANCE - INVESTMENT BANKING/BROKERAGE - 0.46% 2,900 Morgan Stanley Dean Witter & Co. 134,415 -------------- FINANCIAL GUARANTEE INSURANCE - 1.19% 5,300 MGIC Investment Corp. 346,302 -------------- FINANCIAL SERVICES - 1.13% 8,133 Citigroup Inc. 329,386 -------------- FOOD - MISCELLANEOUS/DIVERSIFIED - 0.16% 11,000 Hibernia Foods plc - ADR* 46,750 -------------- FUNERAL SERVICES & RELATED ITEMS - 0.08% 3,800 Service Corp. International* 22,876 -------------- HEALTH CARE - 0.07% 1,300 Caremark Rx, Inc.* 21,684 -------------- HOME FURNISHINGS - 0.11% 1,700 Furniture Brands International, Inc.* 33,116 -------------- LIFE/HEALTH INSURANCE - 1.47% 4,500 Lincoln National Corp. 209,835 5,600 Torchmark Inc. 218,400 -------------- 428,235 -------------- MACHINERY - GENERAL INDUSTRIAL - 0.66% 6,400 Dover Corp. 192,704 -------------- MEDICAL - DRUGS - 1.54% 2,800 Abbott Laboratories 145,180 4,100 Impax Laboratories, Inc.* 53,669 3,200 Merck & Co., Inc. 213,120 2,000 SICOR Inc.* 37,780 -------------- 449,749 -------------- MEDICAL - GENERIC DRUGS - 0.15% 1,200 Pharmaceutical Resources, Inc.* $ 42,900 -------------- MEDICAL PRODUCTS - 0.80% 2,800 ATS Medical, Inc.* 11,200 4,000 Johnson & Johnson 221,600 -------------- 232,800 -------------- MEDICAL SERVICES - 0.01% 300 Beverly Enterprises, Inc.* 3,060 -------------- MULTI-LINE INSURANCE - 1.17% 9,100 Allstate Corp., (The) 339,885 -------------- MULTIMEDIA - 0.68% 5,950 AOL Time Warner Inc.* 196,945 -------------- OIL COMPANIES - EXPLORATION & PRODUCTION - 0.16% 7,600 Meridian Resource Corp., (The)* 24,700 1,400 Vintage Petroleum, Inc. 22,190 -------------- 46,890 -------------- OIL COMPANIES-INTEGRATED - 2.70% 6,700 Texaco Inc.* 435,500 10,800 Unocal Corp. 351,000 -------------- 786,500 -------------- PHOTOGRAPHIC EQUIPMENT & SUPPLIES - 0.99% 8,900 Eastman Kodak Co. 289,517 -------------- POWER CONVERSION/SUPPLY EQUIPMENT - 0.14% 3,600 American Power Conversion Corp.* 42,048 -------------- RADIO - 0.10% 1,500 Cox Radio, Inc., Class A* 30,255 -------------- RENTAL AUTO/EQUIPMENT - 0.18% 3,000 United Rentals, Inc.* 52,020 -------------- RETAIL - APPAREL/SHOE - 0.11% 1,400 AnnTaylor Stores Corp.* 30,688 --------------
The accompanying notes are an integral part of the financial statements. 26
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ EQUITY SECURITIES (CONTINUED) RETAIL - CONSUMER ELECTRONIC PRODUCTS - 0.82% 9,800 RadioShack Corp. $ 237,650 -------------- RETAIL - DEPARTMENT STORES - 2.35% 13,900 May Department Stores Co., (The) 403,378 8,600 TXJ Cos., (The) 282,940 -------------- 686,318 -------------- RETAIL - HOME FURNISHINGS - 0.11% 3,800 Pier 1 Imports, Inc. 31,540 -------------- RETAIL - RESTAURANTS - 2.19% 12,500 McDonald's Corp. 339,250 11,200 Wendy's International, Inc. 298,480 -------------- 637,730 -------------- SAVINGS & LOAN - 1.07% 8,125 Washington Mutual, Inc. 312,650 -------------- SAVINGS & LOAN/THRIFTS - 0.05% 100 Dime Community Bancshares 2,532 400 MAF Bancorp, Inc. 11,464 -------------- 13,996 -------------- SEMICONDUCTOR EQUIPMENT - 0.50% 3,600 Applied Materials, Inc.* 102,384 900 Dupont Photomasks, Inc.* 25,002 800 Rudolph Technologies, Inc.* 19,728 -------------- 147,114 -------------- SUPER-REGIONAL BANK - US - 1.23% 2,300 PNC Financial Services Group $ 131,675 3,400 SunTrust Banks, Inc. 226,440 -------------- 358,115 -------------- TELECOMMUNICATION EQUIPMENT - 0.53% 2,100 CommScope, Inc.* 37,527 11,700 Tellabs, Inc.* 115,596 -------------- 153,123 -------------- TELEPHONE - INTEGRATED - 4.05% 11,700 AT&T Corp. 225,810 6,800 SBC Communications Inc. 320,416 10,300 Sprint Corp. (PCS Group)* 247,303 3,900 Verizon Communications Inc. 211,029 11,700 WorldCom, Inc. - WorldCom Group* 175,968 -------------- 1,180,526 -------------- WIRELESS EQUIPMENT - 0.88% 2,500 COMARCO, Inc.* 31,625 14,400 Motorola, Inc. 224,640 -------------- 256,265 -------------- Total Equity Securities (cost - $15,692,916) 13,941,630 --------------
The accompanying notes are an integral part of the financial statements. 27
- --------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT INTEREST MATURITY (000'S) RATE DATE VALUE - --------------------------------------------------------------------------------------------------------------------------------- LONG-TERM DEBT INVESTMENTS -- 46.99% CORPORATE OBLIGATIONS - 17.26% AGENCY OBLIGATION - 6.26% $1,700 Fannie Mae, Benchmark Notes 6.000% 12/15/05 $ 1,822,147 ------------ BEVERAGES-NON ALCOHOLIC - 0.42% 50 Coca-Cola Co., Notes 5.750 03/15/11 50,312 75 Coca-Cola Enterprises, Unsecured Debentures 6.750 09/15/28 73,453 ------------ 123,765 ------------ COMPUTER SERVICES - 0.82% 75 Computer Sciences Corp., Notes 7.500 08/08/05 79,860 150 Electronic Data Systems Corp., Notes 6.850 10/15/04 158,316 ------------ 238,176 ------------ CONSUMER PRODUCTS - MISC - 0.28% 75 Unilever Capital Corp., Senior Unsubordinated Notes, Company Guaranteed 6.875 11/01/05 81,452 ------------ DIVERSIFIED FINANCIAL SERVICES - 0.90% 250 National Rural Utilities, Senior Secured Collateral Trust 6.000 05/15/06 261,187 ------------ DIVERSIFIED MANUFACTURING OPERATIONS - 0.36% 100 Textron Financial Corp., Medium Term Notes, Series E 5.950 03/15/04 103,464 ------------ DIVERSIFIED OPERATIONS - 0.31% 100 Cendant Corp., Notes 6.875 08/15/06 90,441 ------------ ELECTRIC - INTEGRATED - 0.71% 200 TXU Corp., Senior Unsecured Notes 6.375 06/15/06 206,674 ------------ FINANCE - AUTO LOANS - 0.61% 125 Ford Motor Credit Co., Unsecured Notes 6.875 02/01/06 128,837 50 General Motors Acceptance Corp., Medium Term Notes 6.125 09/15/06 50,022 ------------ 178,859 ------------ FINANCE - LEASING COMPANY - 0.17% 50 Boeing Capital Corp., Senior Unsecured Notes 5.650 05/15/06 50,249 ------------ FINANCE-CONSUMER LOANS - 0.26% 75 Household Finance Corp., Senior Unsubordinated Notes 6.400 06/17/08 77,005 ------------
The accompanying notes are an integral part of the financial statements. 28
- --------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT INTEREST MATURITY (000'S) RATE DATE VALUE - --------------------------------------------------------------------------------------------------------------------------------- LONG-TERM DEBT INVESTMENTS (CONTINUED) FINANCE - INVESTMENT BANKING/BROKERAGE - 0.43% $ 70 Morgan Stanley Dean Witter, Unsubordinated Bonds 6.750% 04/15/11 $ 71,992 50 Salomon Smith Barney Holding Co., Notes 6.500 02/15/08 52,493 -------------- 124,485 -------------- FINANCIAL - 0.95% 150 General Electric Capital Corp., Debentures 8.850 04/01/05 171,862 100 NISource Finance Corp., Senior Unsecured Notes (a) 7.500 11/15/03 106,073 -------------- 277,935 -------------- FOOD & BEVERAGES - 0.53% 150 Safeway Inc., Notes 6.050 11/15/03 155,683 -------------- INDUSTRIAL - 0.18% 50 Pitney Bowes Inc., Notes 5.950 02/01/05 51,978 -------------- MEDICAL - DRUGS - 0.88% 100 Abbott Laboratories, Unsubordinated Notes 5.625 07/01/06 103,805 50 American Home Products, Notes (a) 5.875 03/15/04 51,913 100 Bristol Myers-Squibb Co., Notes 4.750 10/01/06 100,696 -------------- 256,414 -------------- MORTGAGE BACKED SECURITIES - 1.07% 94 Comm 2000 - CI, Commercial Mortgage Pass-through Certificates, Class A1 7.206 09/15/08 102,111 50 Paine Webber Mortgage Acceptance Corp., Series 2000-HE1, Class A2 8.270 02/25/30 53,165 50 Saxon Asset Securities Trust, Series 2000-3, Class AF4 7.630 09/25/23 52,916 100 UCFC Home Equity Loan, Series 1996-B1, Class A6 7.975 02/15/22 103,685 -------------- 311,877 -------------- MULTIMEDIA - 0.72% 150 AOL Time Warner Inc., Debentures 6.850 01/15/26 155,806 50 Viacom Inc., Senior Unsecured Notes, Company Guaranteed 7.700 07/30/10 54,798 -------------- 210,604 -------------- OIL & GAS DRILLING - 0.28% 75 Dominion Resources Inc., Senior Unsecured Notes 7.250 10/01/04 80,568 -------------- OIL FIELD MACHINERY & EQUIPMENT - 0.36% 100 Smith International Inc., Senior Notes 7.000 09/15/07 105,221 --------------
The accompanying notes are an integral part of the financial statements. 29
- --------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT INTEREST MATURITY (000'S) RATE(S) DATE(S) VALUE - --------------------------------------------------------------------------------------------------------------------------------- LONG-TERM DEBT INVESTMENTS (CONTINUED) PAPER & RELATED PRODUCTS - 0.25% $ 75 Georgia-Pacific Corp., Senior Unsecured Notes 8.875 05/15/31 $ 73,732 ------------ SPECIAL PURPOSE ENTITY - 0.34% 100 Qwest Capital Funding, Unsecured Notes, Company Guaranteed 6.375% 07/15/08 98,604 ------------ TELEPHONE - INTEGRATED - 0.17% 50 GTE Northwest Inc., Debentures, Series D 5.550 10/15/08 49,351 ------------ Total Corporate Obligations (cost - $4,845,586) 5,029,871 ------------ U.S. GOVERNMENT OBLIGATIONS - 12.21% U.S. TREASURIES - 12.21% 115 Bonds 6.125 11/15/27 - 08/15/29 125,119 3,350 Notes 4.750 - 5.000 11/15/08 - 02/15/11 3,430,593 ------------ Total U.S. Government Obligations (cost - $3,388,191) 3,555,712 ------------ U.S. GOVERNMENT AGENCY OBLIGATIONS - 17.52% FANNIE MAE - 6.94% 1,977 Pass-through Pools 6.000 - 7.500 04/01/09 - 10/15/31 2,023,176 ------------ FREDDIE MAC - 9.20% 2,196 Pass-through Pools 6.000 - 6.500 03/01/31 - 10/15/31 2,198,633 475 Reference Notes 5.125 10/15/08 480,741 ------------ 2,679,374 ------------ GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 1.38% 385 Pass-thru Pools 7.000 - 8.000 06/15/28 - 11/15/29 401,531 ------------ Total U.S.Government Agency Obligations (cost - $4,971,549) 5,104,081 ------------ Total Long-Term Debt Investments (cost - $13,205,326) 13,689,664 ------------
The accompanying notes are an integral part of the financial statements. 30
- --------------------------------------------------------------------------------------------------------------------------------- PRINCIPAL AMOUNT INTEREST MATURITY (000'S) RATE(S) DATE(S) VALUE - --------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 9.00% U.S. GOVERNMENT AGENCY DISCOUNT NOTES - 5.66% $1,650 Fannie Mae, Discount Notes 2.600% 10/15/01 $ 1,648,094 ----------- SHARES INVESTMENT COMPANY - 3.34% 974,698 Federated Investors, Trust for Short-Term U.S. Government Securities** 2.990 -- 974,698 ----------- Total Short-Term Investments (cost - $2,622,792) 2,622,792 ----------- Total Investments-- 103.85% (cost - $31,521,034) 30,254,086 Liabilities in excess of other assets-- (3.85)% (1,122,718) ----------- Net Assets-- 100.00% $29,131,368 ===========
- ----------------- ADR American Depositary Receipts. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. (a) SEC Rule 144A security. Such securities are traded only among qualified institutional buyers. The accompanying notes are an integral part of the financial statements. 31 INTERNATIONAL EQUITY PORTFOLIO PORTFOLIO OF INVESTMENTS SEPTEMBER 30, 2001 (UNAUDITED)
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS -- 94.29% AUSTRALIA - 1.41% BUILDING & CONSTRUCTION PRODUCTS - 0.26% 62,700 CSR Ltd. $ 193,392 ------------- DIVERSIFIED MINERALS - 1.15% 201,982 BHP Billiton Ltd. 855,244 ------------- Total Australia (cost - $1,301,415) 1,048,636 ------------- CANADA - 0.26% MONEY CENTER BANKS - 0.26% 6,500 Royal Bank of Canada (cost - $214,566) 198,122 ------------- DENMARK - 2.02% MEDICAL - DRUGS - 2.02% 36,300 Novo Nordisk A/S (cost - $1,360,825) 1,507,130 ------------- FRANCE - 14.56% COMPUTER SERVICES - 0.37% 3,900 Atos Origin SA* 273,487 ------------- COSMETICS & TOILETRIES - 1.40% 15,200 L'Oreal SA 1,047,904 ------------- ELECTRONIC COMPONENTS - SEMICONDUCTORS - 1.22% 42,500 STMicroelectronics N.V. 912,672 ------------- FOOD - RETAIL - 0.86% 13,300 Carrefour SA 640,751 ------------- MEDICAL - DRUGS - 6.30% 23,900 Aventis SA 1,813,112 44,300 Sanofi-Synthelabo SA 2,884,640 ------------- 4,697,752 ------------- MONEY CENTER BANKS - 1.62% 14,800 BNP Paribas SA 1,210,375 ------------- OIL COMPANIES - INTEGRATED - 2.79% 15,500 Total Fina Elf SA 2,082,119 ------------- Total France (cost - $11,713,434) 10,865,060 ------------- GERMANY - 4.51% ELECTRIC - INTEGRATED - 2.71% 15,100 E. On AG $ 775,600 31,100 RWE AG 1,244,804 ------------- 2,020,404 ------------- ENTERPRISE SOFTWARE/SERVICES - 1.36% 9,600 SAP AG (Systeme, Anwendungen, Produkte in der Datenverarbeitung) 1,016,794 ------------- MEDICAL - DRUGS - 0.44% 6,600 Schering AG 327,584 ------------- Total Germany (cost - $3,734,789) 3,364,782 ------------- HONG KONG - 3.42% COMMERCIAL BANKS - NON-U.S. - 0.54% 39,000 Hang Seng Bank Ltd. 403,777 ------------- ELECTRIC - GENERATION - 0.57% 750,000 Huaneng Power International, Inc. 425,509 ------------- OIL COMPANIES - EXPLORATION & PRODUCTION - 0.39% 292,000 CNOOC Ltd. 292,019 ------------- OIL COMPANIES - INTEGRATED - 0.83% 3,236,000 PetroChina Company, Ltd. 618,200 ------------- REAL ESTATE OPERATORS/DEVELOPERS - 1.09% 127,000 Sun Hung Kai Properties Ltd. 809,272 ------------- Total Hong Kong (cost - $3,322,697) 2,548,777 ------------- IRELAND - 5.03% BUILDING & CONSTRUCTION PRODUCTS - 0.52% 26,175 CRH plc 388,558 ------------- COMMERCIAL BANKS - NON-U.S. - 1.86% 56,400 Allied Irish Banks plc 508,506 110,500 Bank of Ireland 875,515 ------------- 1,384,021 ------------- DRUG DELIVERY SYSTEMS - 2.65% 40,800 Elan Corp. plc, ADR* 1,976,760 ------------- Total Ireland (cost - $4,190,557) 3,749,339 -------------
The accompanying notes are an integral part of the financial statements. 32
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) JAPAN - 18.29% AUTO - CARS/LIGHT TRUCKS - 1.95% 36,000 Honda Motor Co., Ltd. $ 1,169,478 11,000 Toyota Motor Corp. 282,548 ------------- 1,452,026 ------------- BREWERY - 0.47% 34,000 Ashai Breweries, Ltd. 348,762 ------------- CHEMICALS - DIVERSIFIED - 0.32% 66,000 Sumitomo Chemical Company, Ltd. 237,119 ------------- COSMETICS & TOILETRIES - 1.78% 54,000 Kao Corp. 1,330,395 ------------- ELECTRIC - INTEGRATED - 2.19% 65,400 Tokyo Electric Power Company, Incorporated (The) 1,630,471 ------------- ENTERTAINMENT SOFTWARE - 0.13% 4,900 Capcom Co., Ltd. 101,184 ------------- FINANCE - CONSUMER LOANS - 0.41% 3,900 Takefuji Corp. 307,731 ------------- FINANCE - INVESTMENT BANKING/BROKERAGE - 2.65% 183,000 Nikko Cordial Corp. 972,375 77,000 Nomura Holdings, Inc. 1,006,371 ------------- 1,978,746 ------------- GAS - DISTRIBUTION - 1.68% 382,000 Tokyo Gas Co., Ltd. 1,256,980 ------------- IDENTIFICATION SYSTEMS/DEVICES - 0.28% 4,000 Secom Co., Ltd. 206,161 ------------- MEDICAL - DRUGS - 0.25% 4,000 Takeda Chemical Industries, Ltd. 184,672 ------------- PAPER & RELATED PRODUCTS - 0.32% 48,000 Oji Paper Co., Ltd. 241,350 ------------- PHOTO EQUIPMENT & SUPPLIES - 2.11% 29,000 Fuji Photo Film Co., Ltd. $ 998,069 41,000 Olympus Optical Co., Ltd. 576,471 ------------- 1,574,540 ------------- REAL ESTATE MANAGEMENT/SERVICES - 1.08% 81,000 Mitsubishi Estate Co., Ltd. 803,676 ------------- RESORTS/THEME PARKS - 0.40% 4,800 Oriental Land Co., Ltd. 296,147 ------------- RETAIL - DEPARTMENT STORE - 0.28% 33,000 Takashimaya Co., Ltd. 212,742 ------------- RETAIL - MISCELLANEOUS/DIVERSIFIED - 0.42% 7,000 Ito-Yokado Co., Ltd 310,837 ------------- TOYS - 1.57% 6,400 Nintendo Co., Ltd. 919,197 18,900 Sega Corp.* 253,047 ------------- 1,172,244 ------------- Total Japan (cost - $16,422,947) 13,645,783 ------------- MEXICO - 2.97% BUILDING PRODUCTS - CEMENT/AGGREGATES - 0.62% 111,700 Cemex S.A. de C.V. 459,339 ------------- RETAIL - DISCOUNT - 0.91% 326,700 Wal-Mart de Mexico SA de CV, Series V 683,757 ------------- TELEPHONE - INTEGRATED - 1.44% 33,200 Telefonos de Mexico SA de CV (Telmex) 1,072,028 ------------- Total Mexico (cost - $2,625,466) 2,215,124 ------------- NETHERLANDS - 8.02% BREWERY - 1.83% 36,075 Heineken NV 1,367,383 ------------- FOOD - MISCELLANEOUS/DIVERSIFIED - 0.67% 9,200 Unilever NV 497,687 -------------
The accompanying notes are an integral part of the financial statements. 33
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) NETHERLANDS (CONTINUED) FOOD - RETAIL - 1.22% 32,800 Koninklijke Ahold NV $ 911,078 ------------- MULTI-LINE INSURANCE - 1.20% 33,400 ING Groep NV 895,197 ------------- OIL COMPANIES - INTEGRATED - 2.42% 35,900 Royal Dutch Petroleum Co. 1,805,397 ------------- SEMICONDUCTOR EQUIPMENT - 0.68% 45,500 ASML Holding NV* 506,366 ------------- Total Netherlands (cost - $7,665,024) 5,983,108 ------------- NORWAY - 0.85% DIVERSIFIED MANUFACTURING OPERATIONS - 0.85% 17,200 Norsk Hydro ASA (cost - $758,203) 631,215 ------------- SOUTH KOREA - 0.69% TELECOM SERVICES - 0.69% 27,900 SK Telecom Co., Ltd. (cost - $526,204) 514,476 ------------- SWEDEN - 1.01% RETAIL - APPAREL/SHOE - 0.48% 20,900 Hennes & Mauritz AB (H&M) 359,504 ------------- SECURITY SERVICES - 0.53% 24,400 Securitas AB, Class B Shares 393,405 ------------- Total Sweden (cost - $836,820) 752,909 ------------- SWITZERLAND - 8.93% FOOD - MISCELLANEOUS/DIVERSIFIED - 3.04% 10,620 Nestle SA 2,266,536 ------------- MEDICAL - DRUGS - 3.03% 41,220 Novartis AG 1,614,101 854 Serono SA 644,520 ------------- 2,258,621 ------------- MONEY CENTER BANKS - 1.87% 20,800 Credit Suisse Group $ 726,994 14,340 UBS AG 670,641 ------------- 1,397,635 ------------- REINSURANCE - 0.99% 7,549 Swiss Re 742,515 ------------- Total Switzerland (cost - $7,462,477) 6,665,307 ------------- UNITED KINGDOM - 22.32% AEROSPACE & DEFENSE - 1.20% 183,600 BAE Systems plc, Ord. 2.5p 893,161 ------------- BEVERAGES - WINE/SPIRITS - 1.96% 139,100 Diageo plc, Ord. 29p 1,460,692 ------------- BUILDING PRODUCTS - CEMENT/AGGREGATES - 0.39% 41,400 Hanson plc, Ord. 200p 289,473 ------------- CHEMICALS - DIVERSIFIED - 0.53% 28,600 BOC Group plc, Ord. 25p 394,064 ------------- DIVERSIFIED MINERALS - 0.23% 14,400 Anglo American plc, Ord. 35p 173,119 ------------- FOOD - MISCELLANEOUS/DIVERSIFIED - 1.24% 122,100 Unilever plc, Ord. 1.4p 926,862 ------------- FOOD - RETAIL - 0.30% 58,900 Tesco plc, Ord. 35p 221,608 ------------- MEDICAL - DRUGS - 7.00% 38,400 AstraZeneca Group plc, Ord. 17p 1,786,217 121,693 GlaxoSmithKline plc, Ord. 25p 3,433,967 ------------- 5,220,184 ------------- MEDICAL PRODUCTS - 1.00% 37,200 Amersham plc, Ord. 35p 316,829 85,400 Smith & Nephew plc, Ord. 12.22p 433,018 ------------- 749,847 -------------
The accompanying notes are an integral part of the financial statements. 34
- ------------------------------------------------------------------------------ SHARES VALUE - ------------------------------------------------------------------------------ COMMON STOCKS (CONTINUED) UNITED KINGDOM (CONTINUED) MONEY CENTER BANKS - 3.30% 23,700 Barclays plc, Ord. 100p $ 651,706 27,300 HSBC Holdings plc, Ord. 35p 287,681 126,900 Lloyd's TSB Group plc, Ord. 25p 1,212,284 14,300 Royal Bank of Scotland Group plc, Ord. 25p 314,831 ------------- 2,466,502 ------------- MULTI-LINE INSURANCE - 0.54% 33,000 CGNU plc, Ord. 25p 407,159 ------------- OIL COMPANIES - INEGRATED - 1.82% 164,100 BP plc, Ord. 17p 1,355,421 ------------- RETAIL - DEPARTMENT STORE - 0.71% 141,100 Marks & Spencer plc, Ord. 25p 528,806 ------------- SOAP & CLEANING PREPARATION - 1.72% 89,100 Reckitt Benckiser plc, Ord. 10.526p 1,280,695 ------------- WATER - 0.38% 26,700 Seven Trent plc, Ord. 65.263p 286,656 ------------- Total United Kingdom (cost - $17,323,515) 16,654,249 ------------- Total Common Stocks (cost - $79,458,939) 70,344,017 ------------- SHORT-TERM INVESTMENTS -- 7.26% UNITED STATES - 7.26% INVESTMENT COMPANIES - 7.26% 3,600,000 Federated Automated Government Money Trust, 2.71%** $ 3,600,000 1,813,722 Federated Investors, Trust for Short-Term U.S. Government Securities, 2.99%** 1,813,722 ------------- 5,413,722 ------------- Total Short-Term Investments (cost - $5,413,722) 5,413,722 ------------- Total Investments-- 101.55% (cost - $84,872,661) 75,757,739 Liabilities in excess of other assets-- (1.55)% (1,155,917) ------------- Net Assets-- 100.00% $74,601,822 =============
- --- ADR American Depositary Receipts. * Non-income producing security. ** Money market fund; interest rate reflects SEC seven-day yield at September 30, 2001. The accompanying notes are an integral part of the financial statements. 35 This page is intentionally left blank. 36 THE BEAR STEARNS FUNDS STATEMENTS OF ASSETS & LIABILITIES SEPTEMBER 30, 2001 (UNAUDITED)
LARGE CAP SMALL CAP S&P STARS THE INSIDERS VALUE VALUE PORTFOLIO SELECT FUND PORTFOLIO PORTFOLIO --------------- -------------- ----------- ------------ ASSETS Investments, at value (cost - $2,720,640,184, $30,726,593, $47,817,836, $62,433,325, $20,624,622, $31,521,034 and $84,872,661, respectively) $2,405,622,907 $31,032,554 $46,112,684 $60,704,420 Deposit with broker for securities sold short 88,003,854 -- -- -- Collateral receivable for securities loaned 63,470,400 -- -- -- Receivable for investments sold 15,922,423 1,132,424 665,368 646,945 Receivable for Portfolio shares sold 10,559,087 55,172 225,129 139,636 Dividends, interest and reclaims receivable 1,342,724 43,877 53,979 48,136 Receivable from investment adviser -- -- 8,566 -- Deferred organization expenses and other assets 114,668 41,357 41,292 39,414 -------------- ----------- ----------- ----------- Total assets 2,585,036,063 32,305,384 47,107,018 61,578,551 -------------- ----------- ----------- ----------- LIABILITIES Securities sold short, at value (proceeds received- $103,780,848) 88,673,000 -- -- -- Payable upon return for securities loaned 63,470,400 -- -- -- Payable for investments purchased 23,187,682 -- 377,257 1,248,612 Payable for Portfolio shares repurchased 5,390,429 143,087 213,794 1,466,933 Distribution and service fees payable (Class A, B, and C shares) 4,810,665 66,380 57,026 75,073 Administration fee payable 311,690 4,122 5,514 8,093 Advisory fee payable 1,326,652 5,503 -- 9,928 Custodian fee payable 24,933 951 1,487 1,530 Accrued expenses 941,285 98,585 78,271 91,084 -------------- ----------- ----------- ----------- Total liabilities 188,136,736 318,628 733,349 2,901,253 -------------- ----------- ----------- ----------- NET ASSETS Capital stock, $0.001 par value (unlimited shares of beneficial interest authorized) 99,971 2,064 2,612 3,359 Paid-in capital 3,010,201,344 28,362,494 46,176,661 55,111,350 Undistributed net investment income/(loss) (18,171,534) (52,060) 137,967 (56,524) Accumulated net realized gain/(loss) from investments, securities sold short, and foreign currency related transactions, if any (295,321,025) 3,368,297 1,761,581 5,348,018 Net unrealized appreciation/(depreciation) on investments, securities sold short and foreign currency related transactions, if any (299,909,429) 305,961 (1,705,152) (1,728,905) -------------- ----------- ----------- ----------- Net assets $2,396,899,327 $31,986,756 $46,373,669 $58,677,298 -------------- ----------- ----------- ----------- CLASS A Net assets $1,086,834,920 $15,845,279 $14,948,756 $17,593,278 -------------- ----------- ----------- ----------- Shares of beneficial interest outstanding 44,890,706 1,007,184 839,332 1,005,580 -------------- ----------- ----------- ----------- Net assets value per share $24.21 $15.73 $17.81 $17.50 ====== ====== ====== ====== Maximum offering price per share (net asset value plus sales charge of 5.50%* of the offering price) $25.62 $16.65 $18.85 $18.52 ====== ====== ====== ====== CLASS B Net assets $ 612,919,279 $ 8,401,284 $ 6,508,589 $ 5,156,474 -------------- ----------- ----------- ----------- Shares of beneficial interest outstanding 25,930,838 551,331 371,601 301,691 -------------- ----------- ----------- ----------- Net assets value and offering price per share** $23.64 $15.24 $17.52 $17.09 ====== ====== ====== ====== FOCUS INTERNATIONAL LIST BALANCED EQUITY PORTFOLIO PORTFOLIO PORTFOLIO ----------- ----------- --------------- ASSETS Investments, at value (cost - $2,720,640,184, $30,726,593, $47,817,836, $62,433,325, $20,624,622, $31,521,034 and $84,872,661, respectively) $22,746,255 $30,254,086 $75,757,739 Deposit with broker for securities sold short -- -- -- Collateral receivable for securities loaned -- -- -- Receivable for investments sold 3,265,126 232,674 1,594,983 Receivable for Portfolio shares sold 45,902 199,178 81,947 Dividends, interest and reclaims receivable 33,613 186,244 306,974 Receivable from investment adviser 9,714 18,749 -- Deferred organization expenses and other assets 51,256 51,873 68,493 ----------- ----------- ----------- Total assets 26,151,866 30,942,804 77,810,136 ----------- ----------- ----------- LIABILITIES Securities sold short, at value (proceeds received- $103,780,848) -- -- -- Payable upon return for securities loaned -- -- -- Payable for investments purchased -- 1,705,535 2,607,177 Payable for Portfolio shares repurchased 5,943 24,315 307,250 Distribution and service fees payable (Class A, B, and C shares) 51,880 15,116 142,635 Administration fee payable -- 3,049 9,351 Advisory fee payable -- -- 13,738 Custodian fee payable 1,056 1,021 17,726 Accrued expenses 67,848 62,400 110,437 ----------- ----------- ----------- Total liabilities 126,727 1,811,436 3,208,314 ----------- ----------- ----------- NET ASSETS Capital stock, $0.001 par value (unlimited shares of beneficial interest authorized) 1,710 2,209 5,212 Paid-in capital 27,100,744 29,609,600 118,012,623 Undistributed net investment income/(loss) (40,561) 71,982 70,732 Accumulated net realized gain/(loss) from investments, securities sold short, and foreign currency related transactions, if any (3,153,031) 714,525 (34,378,732) Net unrealized appreciation/(depreciation) on investments, securities sold short and foreign currency related transactions, if any 2,116,277 (1,266,948) (9,108,013) ----------- ----------- ----------- Net assets $26,025,139 $29,131,368 $74,601,822 ----------- ----------- ----------- CLASS A Net assets $16,397,793 $ 4,279,165 $40,463,331 ----------- ----------- ----------- Shares of beneficial interest outstanding 1,069,305 326,748 2,805,084 ----------- ----------- ----------- Net assets value per share $15.34 $13.10 $14.43 ====== ====== ====== Maximum offering price per share (net asset value plus sales charge of 5.50%* of the offering price) $16.23 $13.86 $15.27 ====== ====== ====== CLASS B Net assets $ 5,901,546 $ 3,198,525 $ 8,438,650 ----------- ----------- ----------- Shares of beneficial interest outstanding 392,764 247,156 596,863 ----------- ----------- ----------- Net assets value and offering price per share** $15.03 $12.94 $14.14 ====== ====== ======
The accompanying notes are an integral part of the financial statements. 37 STATEMENTS OF ASSETS & LIABILITIES SEPTEMBER 30, 2001 (UNAUDITED)
LARGE CAP SMALL CAP S&P STARS THE INSIDERS VALUE VALUE PORTFOLIO SELECT FUND PORTFOLIO PORTFOLIO -------------- ------------- ----------- ----------- CLASS C Net assets $ 524,256,219 $ 7,071,164 $ 8,465,182 $12,186,172 -------------- ----------- ----------- ----------- Shares of beneficial interest outstanding 22,186,473 464,046 481,359 712,676 -------------- ----------- ----------- ----------- Net assets value and offering price per share** $23.63 $15.24 $17.59 $17.10 ====== ====== ====== ====== CLASS Y Net assets $ 172,888,909 $ 669,029 $16,451,142 $23,741,374 -------------- ----------- ----------- ----------- Shares of beneficial interest outstanding 6,963,085 41,723 919,081 1,337,922 -------------- ----------- ----------- ----------- Net assets value, offering and redemption price per share $24.83 $16.04 $17.90 $17.74 ====== ====== ====== ====== FOCUS INTERNATIONAL LIST BALANCED EQUITY PORTFOLIO PORTFOLIO PORTFOLIO ----------- ------------ -------------- CLASS C Net assets $3,725,800 $ 1,241,549 $20,351,676 ----------- ------------ -------------- Shares of beneficial interest outstanding 247,926 96,081 1,439,577 ----------- ------------ -------------- Net assets value and offering price per share** $15.03 $12.92 $14.14 ====== ====== ====== CLASS Y Net assets -- $20,412,129 $ 5,348,165 ----------- ------------ -------------- Shares of beneficial interest outstanding -- 1,539,167 370,433 ----------- ------------ -------------- Net assets value, offering and redemption price per share -- $13.26 $14.44 ====== ====== ======
- ------------------- * On investments of $50,000 or more, the offering price is reduced. ** Redemption price per share is equal to the net asset value per share less any applicable contingent deferred sales charge. The accompanying notes are an integral part of the financial statements. 38 STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 (UNAUDITED)
LARGE CAP SMALL CAP S&P STARS THE INSIDERS VALUE VALUE PORTFOLIO SELECT FUND PORTFOLIO PORTFOLIO ------------- ------------- ------------ ----------- INVESTMENT INCOME Dividends $ 5,281,658 $ 258,125 $ 341,627 $ 232,729 Interest 240,278 25,276 62,947 197,416 Less: Foreign taxes withheld (14,785) -- (413) -- ------------- ------------- ------------ ----------- 5,507,151 283,401 404,161 430,145 ------------- ------------- ------------ ----------- EXPENSES Advisory fees 10,395,545 269,112 157,088 258,855 Distribution and service fees - Class A 3,184,961 46,023 36,430 49,618 Distribution and service fees - Class B 3,484,547 43,014 28,409 26,796 Distribution and service fees - Class C 3,017,496 40,213 36,872 65,045 Transfer agent fees and expenses 1,609,600 86,366 83,175 85,033 Accounting fees 454,689 48,224 57,141 66,750 Administration fees 1,737,032 26,897 31,418 51,771 Federal and state registration fees 179,616 19,423 17,219 19,101 Legal and auditing fees 51,825 30,342 26,572 28,577 Custodian fees and expenses 134,720 3,523 7,614 7,320 Reports and notices to shareholders 146,560 1,800 3,508 4,958 Insurance expenses 4,740 3,490 3,490 3,568 Trustees' fees and expenses 5,087 2,962 3,112 4,412 Amortization of organization expenses -- -- -- -- Other 155,212 1,504 1,504 1,825 ------------- ------------- ------------ ----------- Total expenses before waivers and related reimbursements 24,561,630 622,893 493,552 673,629 Less: waivers and related reimbursements (882,945) (287,432) (182,389) (186,960) ------------- ------------- ------------ ----------- Total expenses after waivers and related reimbursements 23,678,685 335,461 311,163 486,669 ------------- ------------- ------------ ----------- Net investment income/(loss) (18,171,534) (52,060) 92,998 (56,524) ------------- ------------- ------------ ----------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS Net realized gain/(loss) from: Investments (133,040,176) 33,371 457,212 3,096,841 Foreign currency related transactions -- -- -- -- Securities sold short 2,160,193 -- -- -- Net change in unrealized appreciation/ (depreciation) on investments and foreign currency related transactions, if any (254,203,262) (4,536,514) (6,376,346) (4,941,749) Securities sold short 15,107,848 -- -- -- ------------- ------------- ------------ ----------- Net realized and unrealized loss on investments (369,975,397) (4,503,143) (5,919,134) (1,844,908) ------------- ------------- ------------ ----------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(388,146,931) $(4,555,203) $(5,826,136) $(1,901,432) ============= =========== =========== =========== FOCUS INTERNATIONAL LIST BALANCED EQUITY PORTFOLIO PORTFOLIO PORTFOLIO ------------ ----------- --------------- INVESTMENT INCOME Dividends $ 126,166 $ 100,342 $ 935,887 Interest 88,714 312,337 81,398 Less: Foreign taxes withheld (7,700) -- (92,272) ------------ ----------- --------------- 207,180 412,679 925,013 ------------ ----------- --------------- EXPENSES Advisory fees 100,789 79,197 437,834 Distribution and service fees - Class A 47,028 10,625 125,341 Distribution and service fees - Class B 36,008 14,614 54,756 Distribution and service fees - Class C 24,997 6,854 126,892 Transfer agent fees and expenses 69,102 78,690 82,447 Accounting fees 44,737 45,692 78,639 Administration fees 23,259 18,276 65,675 Federal and state registration fees 17,832 16,956 31,707 Legal and auditing fees 25,145 19,161 29,580 Custodian fees and expenses 5,938 9,566 59,315 Reports and notices to shareholders 2,461 1,464 7,020 Insurance expenses 3,490 3,431 3,665 Trustees' fees and expenses 4,262 4,026 4,262 Amortization of organization expenses 3,964 5,367 6,118 Other 1,504 1,036 1,504 ------------ ----------- --------------- Total expenses before waivers and related reimbursements 410,516 314,955 1,114,755 Less: waivers and related reimbursements (162,775) (197,567) (260,474) ------------ ----------- --------------- Total expenses after waivers and related reimbursements 247,741 117,388 854,281 ------------ ----------- --------------- Net investment income/(loss) (40,561) 295,291 70,732 ------------ ----------- --------------- NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS Net realized gain/(loss) from: Investments (930,532) 285,891 (12,865,273) Foreign currency related transactions -- -- (1,542,206) Securities sold short -- -- -- Net change in unrealized appreciation/ (depreciation) on investments and foreign currency related transactions, if any (1,580,697) (1,946,806) (1,750,328) Securities sold short -- -- -- ------------ ----------- --------------- Net realized and unrealized loss on investments (2,511,229) (1,660,915) (16,157,807) ------------ ----------- --------------- NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS $(2,551,790) $(1,365,624) $(16,087,075) ============ =========== ============
The accompanying notes are an integral part of the financial statements. 39 STATEMENTS OF CHANGES IN NET ASSETS
S&P STARS PORTFOLIO THE INSIDERS SELECT FUND ------------------------------------ ------------------------------------ FOR THE FOR THE FOR THE FOR THE SIX MONTHS ENDED FISCAL YEAR SIX MONTHS ENDED FISCAL YEAR SEPTEMBER 30, 2001 ENDED MARCH 31, SEPTEMBER 30, 2001 ENDED MARCH 31, (UNAUDITED) 2001 (UNAUDITED) 2001 ------------------- --------------- ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) $(18,171,534) $(28,183,191) $ (52,060) $ (36,990) Net realized gain/(loss) from investments and foreign currency related transactions, if any (130,879,983) (155,638,941) 33,371 4,843,041 Net change in unrealized appreciation/(depreciation) on investments, foreign currency related transactions and securities sold short, if any (239,095,414) (503,636,578) (4,536,514) (373,709) ---------------- --------------- -------------- -------------- Net increase/(decrease) in net assets, resulting from operations (388,146,931) (687,458,710) (4,555,203) 4,432,342 ---------------- --------------- -------------- -------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income Class A shares -- -- -- -- Class B shares -- -- -- -- Class C shares -- -- -- -- Class Y shares -- -- -- -- ---------------- --------------- -------------- -------------- -- -- -- -- ---------------- --------------- -------------- -------------- Net realized capital gains Class A shares -- (18,335,736) -- (1,764,680) Class B shares -- (9,187,855) -- (630,198) Class C shares -- (8,144,262) -- (733,735) Class Y shares -- (2,571,156) -- (84,044) ---------------- --------------- -------------- -------------- -- (38,239,009) -- (3,212,657) ---------------- --------------- -------------- -------------- SHARES OF BENEFICIAL INTEREST Net proceeds from the sale of shares 514,205,238 2,082,423,694 7,918,227 10,722,803 Cost of shares repurchased (239,792,055) (325,839,349) (4,259,446) (10,437,850) Shares issued in reinvestment of dividends -- 36,694,891 -- 3,018,212 ---------------- --------------- -------------- -------------- Net increase/(decrease) in net assets derived from shares of beneficial interest transactions 274,413,183 1,793,279,236 3,658,781 3,303,165 ---------------- --------------- -------------- -------------- Total increase/(decrease) in net assets (113,733,748) 1,067,581,517 (896,422) 4,522,850 NET ASSETS Beginning of period 2,510,633,075 1,443,051,558 32,883,178 28,360,328 ---------------- --------------- -------------- -------------- End of period* $2,396,899,327 $2,510,633,075 $31,986,756 $32,883,178 ================ =============== ============== ============== LARGE CAP VALUE PORTFOLIO --------------------------------- FOR THE FOR THE SIX MONTHS ENDED FISCAL YEAR SEPTEMBER 30, 2001 ENDED MARCH 31, (UNAUDITED) 2001 ----------------- -------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) $ 92,998 $ 169,278 Net realized gain/(loss) from investments and foreign currency related transactions, if any 457,212 2,448,274 Net change in unrealized appreciation/(depreciation) on investments, foreign currency related transactions and securities sold short, if any (6,376,346) 1,668,503 ------------- ------------- Net increase/(decrease) in net assets, resulting from operations (5,826,136) 4,286,055 ------------- ------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income Class A shares -- (86,709) Class B shares -- (3,623) Class C shares -- (6,095) Class Y shares -- (54,416) ------------- ------------- -- (150,843) ------------- ------------- Net realized capital gains Class A shares -- (609,368) Class B shares -- (82,739) Class C shares -- (185,594) Class Y shares -- (236,735) ------------- ------------- -- (1,114,436) ------------- ------------- SHARES OF BENEFICIAL INTEREST Net proceeds from the sale of shares 27,769,588 18,865,529 Cost of shares repurchased (3,952,519) (10,702,327) Shares issued in reinvestment of dividends -- 1,072,885 ------------- ------------- Net increase/(decrease) in net assets derived from shares of beneficial interest transactions 23,817,069 9,236,087 ------------- ------------- Total increase/(decrease) in net assets 17,990,933 12,256,863 NET ASSETS Beginning of period 28,382,736 16,125,873 ------------- ------------- End of period* $46,373,669 $28,382,736 ============= =============
- --------- * Includes undistributed net investment income as follows:
FOR THE SIX MONTHS ENDED FOR THE SEPTEMBER 30, 2001 FISCAL YEAR ENDED (UNAUDITED) MARCH 31, 2001 ------------------ ----------------- Large Cap Value Portfolio $137,967 $44,969 Balanced Portfolio 71,982 25,274 International Equity Portfolio 70,732 --
The accompanying notes are an integral part of the financial statements. 40
SMALL CAP VALUE PORTFOLIO FOCUS LIST PORTFOLIO --------------------------------- ---------------------------------- FOR THE FOR THE FOR THE FOR THE SIX MONTHS ENDED FISCAL YEAR SIX MONTHS ENDED FISCAL YEAR SEPTEMBER 30, 2001 ENDED MARCH 31, SEPTEMBER 30, 2001 ENDED MARCH 31, (UNAUDITED) 2001 (UNAUDITED) 2001 ------------------- -------------- ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) $ (56,524) $ (368,916) $ (40,561) $ (219,658) Net realized gain/(loss) from investments and foreign currency related transactions, if any 3,096,841 2,644,759 (930,532) (1,821,880) Net change in unrealized appreciation/(depreciation) on investments, foreign currency related transactions and securities sold short, if any (4,941,749) (10,913,028) (1,580,697) (6,028,332) -------------- -------------- ------------ -------------- Net increase/(decrease) in net assets, resulting from operations (1,901,432) (8,637,185) (2,551,790) (8,069,870) -------------- -------------- ------------ -------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income Class A shares -- -- -- -- Class B shares -- -- -- -- Class C shares -- -- -- -- Class Y shares -- -- -- -- -------------- -------------- ------------ -------------- -- -- -- -- -------------- -------------- ------------ -------------- Net realized capital gains Class A shares -- (2,084,943) -- -- Class B shares -- (438,690) -- -- Class C shares -- (1,292,706) -- -- Class Y shares -- (3,370,943) -- -- -------------- -------------- ------------ -------------- -- (7,187,282) -- -- -------------- -------------- ------------ -------------- SHARES OF BENEFICIAL INTEREST Net proceeds from the sale of shares 10,210,085 20,934,203 6,093,521 11,218,651 Cost of shares repurchased (16,035,895) (17,752,560) (7,246,294) (11,520,685) Shares issued in reinvestment of dividends -- 6,440,897 -- -- -------------- -------------- ------------ -------------- Net increase/(decrease) in net assets derived from shares of beneficial interest transactions (5,825,810) 9,622,540 (1,152,773) (302,034) -------------- -------------- ------------ -------------- Total increase/(decrease) in net assets (7,727,242) (6,201,927) (3,704,563) (8,371,904) NET ASSETS Beginning of period 66,404,540 72,606,467 29,729,702 38,101,606 -------------- -------------- ------------ -------------- End of period* $58,677,298 $ 66,404,540 $26,025,139 $ 29,729,702 ============== ============== ============ ============== BALANCED PORTFOLIO INTERNATIONAL EQUITY PORTFOLIO --------------------------------- ---------------------------------- FOR THE FOR THE FOR THE FOR THE SIX MONTHS ENDED FISCAL YEAR SIX MONTHS ENDED FISCAL YEAR SEPTEMBER 30, 2001 ENDED MARCH 31, SEPTEMBER 30, 2001 ENDED MARCH 31, (UNAUDITED) 2001 (UNAUDITED) 2001 ------------------- -------------- ------------------ --------------- INCREASE/(DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income/(loss) $ 295,291 $ 413,407 $ 70,732 $ (540,661) Net realized gain/(loss) from investments and foreign currency related transactions, if any 285,891 1,093,345 (14,407,479) (19,955,225) Net change in unrealized appreciation/(depreciation) on investments, foreign currency related transactions and securities sold short, if any (1,946,806) 115,129 (1,750,328) (24,111,405) -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets, resulting from operations (1,365,624) 1,621,881 (16,087,075) (44,607,291) -------------- -------------- -------------- -------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income Class A shares (35,397) (105,581) -- -- Class B shares (22,423) (59,175) -- -- Class C shares (8,781) (38,391) -- -- Class Y shares (181,982) (191,773) -- -- -------------- -------------- -------------- -------------- (248,583) (394,920) -- -- -------------- -------------- -------------- -------------- Net realized capital gains Class A shares -- -- -- (982,027) Class B shares -- -- -- (229,623) Class C shares -- -- -- (430,648) Class Y shares -- -- -- -- -------------- -------------- -------------- -------------- -- -- -- (1,642,298) -------------- -------------- -------------- -------------- SHARES OF BENEFICIAL INTEREST Net proceeds from the sale of shares 17,454,173 4,353,523 43,056,285 152,860,963 Cost of shares repurchased (3,226,234) (3,640,283) (44,050,854) (111,803,830) Shares issued in reinvestment of dividends 227,911 303,108 -- 1,474,096 -------------- -------------- -------------- -------------- Net increase/(decrease) in net assets derived from shares of beneficial interest transactions 14,455,850 1,016,348 (994,569) 42,531,229 -------------- -------------- -------------- -------------- Total increase/(decrease) in net assets 12,841,643 2,243,309 (17,081,644) (3,718,360) NET ASSETS Beginning of period 16,289,725 14,046,416 91,683,466 95,401,826 -------------- -------------- -------------- -------------- End of period* $29,131,368 $16,289,725 $74,601,822 $ 91,683,466 ============== ============== ============== ==============
41 THE BEAR STEARNS FUNDS FINANCIAL HIGHLIGHTS Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DISTRIBUTIONS VALUE, NET UNREALIZED FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON REALIZED OF PERIOD LOSS**(1) INVESTMENTS**(2) CAPITAL GAINS ---------- ----------- ---------------- ------------- S&P STARS PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $27.85 $(0.16) $(3.48) -- For the fiscal year ended March 31, 2001 36.42 (0.27) (7.82) $(0.48) For the fiscal year ended March 31, 2000 24.39 (0.21) 12.53 (0.29) For the fiscal year ended March 31, 1999 19.97 (0.12) 5.46 (0.92) For the fiscal year ended March 31, 1998 16.13 (0.13) 6.69 (2.72) For the fiscal year ended March 31, 1997 14.92 (0.09) 2.63 (1.33) CLASS B For the six months ended September 30, 2001 (unaudited) 27.26 (0.22) (3.40) -- For the fiscal year ended March 31, 2001 35.83 (0.37) (7.72) (0.48) For the fiscal year ended March 31, 2000 24.11 (0.27) 12.28 (0.29) For the fiscal year ended March 31, 1999 19.86 (0.12) 5.29 (0.92) For the period January 5, 1998* through March 31, 1998 17.37 (0.04) 2.53 -- CLASS C For the six months ended September 30, 2001 (unaudited) 27.25 (0.22) (3.40) -- For the fiscal year ended March 31, 2001 35.82 (0.38) (7.71) (0.48) For the fiscal year ended March 31, 2000 24.10 (0.30) 12.31 (0.29) For the fiscal year ended March 31, 1999 19.85 (0.22) 5.39 (0.92) For the fiscal year ended March 31, 1998 16.06 (0.22) 6.65 (2.64) For the fiscal year ended March 31, 1997 14.86 (0.17) 2.62 (1.25) CLASS Y For the six months ended September 30, 2001 (unaudited) 28.49 (0.08) (3.58) -- For the fiscal year ended March 31, 2001 37.05 (0.14) (7.94) (0.48) For the fiscal year ended March 31, 2000 24.68 (0.12) 12.78 (0.29) For the fiscal year ended March 31, 1999 20.11 (0.05) 5.54 (0.92) For the fiscal year ended March 31, 1998 16.23 (0.05) 6.74 (2.81) For the fiscal year ended March 31, 1997 14.97 (0.02) 2.66 (1.38)
- --------------------- * Commencement of initial public offering. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. For S&P STARS Portfolio net realized and unrealized gain/(loss) on investments include forward foreign currency exchange contracts and translation of foreign currency related transactions. The accompanying notes are an integral part of the financial statements. 42
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000'S OMITTED) AVERAGE NET ASSETS(1) --------- ----------- --------------- --------------------- S&P STARS PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $24.21 (13.07)% $1,086,835 1.50%(5) For the fiscal year ended March 31, 2001 27.85 (22.36) 1,173,464 1.50 For the fiscal year ended March 31, 2000 36.42 50.82 673,550 1.50 For the fiscal year ended March 31, 1999 24.39 27.46 206,130 1.50 For the fiscal year ended March 31, 1998 19.97 43.53 109,591 1.50(6) For the fiscal year ended March 31, 1997 16.13 16.87 67,491 1.50(6) CLASS B For the six months ended September 30, 2001 (unaudited) 23.64 (13.28) 612,919 2.00(5) For the fiscal year ended March 31, 2001 27.26 (22.73) 620,784 2.00 For the fiscal year ended March 31, 2000 35.83 50.13 300,693 2.00 For the fiscal year ended March 31, 1999 24.11 26.75 49,319 2.00 For the period January 5, 1998* through March 31, 1998 19.86 14.34(4) 5,800 2.00(5) CLASS C For the six months ended September 30, 2001 (unaudited) 23.63 (13.28) 524,256 2.00(5) For the fiscal year ended March 31, 2001 27.25 (22.74) 540,150 2.00 For the fiscal year ended March 31, 2000 35.82 50.15 314,794 2.00 For the fiscal year ended March 31, 1999 24.10 26.75 97,654 2.00 For the fiscal year ended March 31, 1998 19.85 42.80 63,330 2.00(6) For the fiscal year ended March 31, 1997 16.06 16.33 37,622 2.00(6) CLASS Y For the six months ended September 30, 2001 (unaudited) 24.83 (12.85) 172,889 1.00(5) For the fiscal year ended March 31, 2001 28.49 (21.95) 176,235 1.00 For the fiscal year ended March 31, 2000 37.05 51.61 154,015 1.00 For the fiscal year ended March 31, 1999 24.68 28.02 52,483 1.00 For the fiscal year ended March 31, 1998 20.11 44.22 35,652 1.00(6) For the fiscal year ended March 31, 1997 16.23 17.48 14,763 1.00(6) INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE -------------------- ---------------------------- --------- S&P STARS PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) (1.10)%(5) 0.06%(5) 41.30% For the fiscal year ended March 31, 2001 (1.04) 0.10 42.93 For the fiscal year ended March 31, 2000 (1.12) 0.18 54.67 For the fiscal year ended March 31, 1999 (0.73) 0.27 76.17 For the fiscal year ended March 31, 1998 (0.83)(6) 0.38 172.78(7) For the fiscal year ended March 31, 1997 (0.59)(6) 0.70 220.00(7) CLASS B For the six months ended September 30, 2001 (unaudited) (1.63)(5) 0.06(5) 41.30 For the fiscal year ended March 31, 2001 (1.58) 0.10 42.93 For the fiscal year ended March 31, 2000 (1.63) 0.18 54.67 For the fiscal year ended March 31, 1999 (1.23) 0.27 76.17 For the period January 5, 1998* through March 31, 1998 (1.47)(4)(5) 0.53(4)(5) 172.78(7) CLASS C For the six months ended September 30, 2001 (unaudited) (1.63)(5) 0.06(5) 41.30 For the fiscal year ended March 31, 2001 (1.58) 0.10 42.93 For the fiscal year ended March 31, 2000 (1.63) 0.18 54.67 For the fiscal year ended March 31, 1999 (1.23) 0.27 76.17 For the fiscal year ended March 31, 1998 (1.32)(6) 0.38 172.78(7) For the fiscal year ended March 31, 1997 (1.09)(6) 0.70 220.00(7) CLASS Y For the six months ended September 30, 2001 (unaudited) (0.60)(5) 0.06(5) 41.30 For the fiscal year ended March 31, 2001 (0.47) 0.10 42.93 For the fiscal year ended March 31, 2000 (0.56) 0.18 54.67 For the fiscal year ended March 31, 1999 (0.23) 0.27 76.17 For the fiscal year ended March 31, 1998 (0.32)(6) 0.38 172.78(7) For the fiscal year ended March 31, 1997 (0.10)(6) 0.70 220.00(7)
- ----------------------- (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. (6) Includes S&P STARS' share of S&P STARS Master Series' expenses for the period prior to June 25, 1997. (7) Portfolio turnover rate is related to S&P STARS Master Series for the period prior to June 25, 1997. 43 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DIVIDENDS DISTRIBUTIONS VALUE, NET UNREALIZED FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED OF PERIOD INCOME/(LOSS)**(1) INVESTMENTS**(2) INCOME CAPITAL GAINS ----------- ------------------ ----------------- ---------- ------------- THE INSIDERS SELECT FUND CLASS A For the six months ended September 30, 2001 (unaudited) $17.84 $(0.01) $(2.10) -- -- For the fiscal year ended March 31, 2001 16.90 0.01 3.05 -- $(2.12) For the fiscal year ended March 31, 2000 17.02 -- 0.07 -- (0.19) For the fiscal year ended March 31, 1999 17.88 -- (0.01) -- (0.85) For the fiscal year ended March 31, 1998 14.58 -- 6.30 -- (3.00) For the fiscal year ended March 31, 1997 14.00 0.02 2.48 $(0.01) (1.91) CLASS B For the six months ended September 30, 2001 (unaudited) 17.32 (0.04) (2.04) -- -- For the fiscal year ended March 31, 2001 16.54 (0.05) 2.95 -- (2.12) For the fiscal year ended March 31, 2000 16.75 (0.05) 0.03 -- (0.19) For the fiscal year ended March 31, 1999 17.69 -- (0.09) -- (0.85) For the period January 6, 1998* through March 31, 1998 15.72 0.01 1.96 -- -- CLASS C For the six months ended September 30, 2001 (unaudited) 17.32 (0.05) (2.03) -- -- For the fiscal year ended March 31, 2001 16.54 (0.07) 2.97 -- (2.12) For the fiscal year ended March 31, 2000 16.74 (0.05) 0.04 -- (0.19) For the fiscal year ended March 31, 1999 17.68 -- (0.09) -- (0.85) For the fiscal year ended March 31, 1998 14.48 (0.07) 6.21 -- (2.94) For the fiscal year ended March 31, 1997 13.96 (0.06) 2.47 -- (1.89) CLASS Y For the six months ended September 30, 2001 (unaudited) 18.13 0.04 (2.13) -- -- For the fiscal year ended March 31, 2001 17.09 0.09 3.07 -- (2.12) For the fiscal year ended March 31, 2000 17.33 -- 0.13 (0.18) (0.19) For the fiscal year ended March 31, 1999 18.09 -- 0.09 -- (0.85) For the fiscal year ended March 31, 1998 14.66 0.07 6.36 -- (3.00) For the fiscal year ended March 31, 1997 14.02 0.08 2.49 (0.02) (1.91)
- ------------------------ * Commencement of initial public offering. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 44
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000'S OMITTED) AVERAGE NET ASSETS(1) ------ ---------- --------------- --------------------- THE INSIDERS SELECT FUND CLASS A For the six months ended September 30, 2001 (unaudited) $15.73 (11.83)% $15,845 1.65%(5) For the fiscal year ended March 31, 2001 17.84 17.92 17,372 1.65 For the fiscal year ended March 31, 2000 16.90 0.40 15,187 1.65 For the fiscal year ended March 31, 1999 17.02 0.29 24,395 1.65 For the fiscal year ended March 31, 1998 17.88 46.02 21,912 1.65 For the fiscal year ended March 31, 1997 14.58 18.31 13,860 1.65 CLASS B For the six months ended September 30, 2001 (unaudited) 15.24 (12.01) 8,401 2.15(5) For the fiscal year ended March 31, 2001 17.32 17.32 7,378 2.15 For the fiscal year ended March 31, 2000 16.54 (0.13) 5,469 2.15 For the fiscal year ended March 31, 1999 16.75 (0.16) 8,426 2.15 For the period January 6, 1998* through March 31, 1998 17.69 12.53(4) 2,253 2.15(5) CLASS C For the six months ended September 30, 2001 (unaudited) 15.24 (12.01) 7,071 2.15(5) For the fiscal year ended March 31, 2001 17.32 17.32 7,328 2.15 For the fiscal year ended March 31, 2000 16.54 (0.07) 6,908 2.15 For the fiscal year ended March 31, 1999 16.74 (0.16) 11,902 2.15 For the fiscal year ended March 31, 1998 17.68 45.17 12,297 2.15 For the fiscal year ended March 31, 1997 14.48 17.69 9,519 2.15 CLASS Y For the six months ended September 30, 2001 (unaudited) 16.04 (11.53) 669 1.15(5) For the fiscal year ended March 31, 2001 18.13 18.30 805 1.15 For the fiscal year ended March 31, 2000 17.09 0.72 796 1.15 For the fiscal year ended March 31, 1999 17.33 0.85 914 1.15 For the fiscal year ended March 31, 1998 18.09 46.68 1,265 1.15 For the fiscal year ended March 31, 1997 14.66 18.81 1,557 1.15 INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------------- ----------- THE INSIDERS SELECT FUND CLASS A For the six months ended September 30, 2001 (unaudited) (0.07)%(5) 1.60%(5) 20.75% For the fiscal year ended March 31, 2001 0.08 1.14 99.36 For the fiscal year ended March 31, 2000 0.10 0.81 76.06 For the fiscal year ended March 31, 1999 0.02 0.81 99.71 For the fiscal year ended March 31, 1998 0.03 1.09 115.64 For the fiscal year ended March 31, 1997 0.11 1.82 128.42 CLASS B For the six months ended September 30, 2001 (unaudited) (0.57)(5) 1.60(5) 20.75 For the fiscal year ended March 31, 2001 (0.42) 1.14 99.36 For the fiscal year ended March 31, 2000 (0.40) 0.81 76.06 For the fiscal year ended March 31, 1999 0.03 0.81 99.71 For the period January 6, 1998* through March 31, 1998 (0.95)(4)(5) 1.82(4)(5) 115.64 CLASS C For the six months ended September 30, 2001 (unaudited) (0.57)(5) 1.60(5) 20.75 For the fiscal year ended March 31, 2001 (0.42) 1.14 99.36 For the fiscal year ended March 31, 2000 (0.40) 0.81 76.06 For the fiscal year ended March 31, 1999 0.02 0.81 99.71 For the fiscal year ended March 31, 1998 (0.46) 1.10 115.64 For the fiscal year ended March 31, 1997 (0.38) 1.81 128.42 CLASS Y For the six months ended September 30, 2001 (unaudited) 0.43(5) 1.60(5) 20.75 For the fiscal year ended March 31, 2001 0.58 1.14 99.36 For the fiscal year ended March 31, 2000 0.60 0.81 76.06 For the fiscal year ended March 31, 1999 0.02 0.81 99.71 For the fiscal year ended March 31, 1998 0.55 1.07 115.64 For the fiscal year ended March 31, 1997 0.60 1.81 128.42
- ------------------------- (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 45 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DIVIDENDS DISTRIBUTIONS VALUE, NET UNREALIZED FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED OF PERIOD INCOME/(LOSS)**(1) INVESTMENTS**(2) INCOME CAPITAL GAINS ----------- ------------------ ---------------- ---------- ------------- LARGE CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $19.63 $0.02 $(1.84) -- -- For the fiscal year ended March 31, 2001 16.71 0.11 3.85 $(0.13) $(0.91) For the fiscal year ended March 31, 2000 19.74 0.11 (0.94) (0.10) (2.10) For the fiscal year ended March 31, 1999 20.83 0.11 0.59 (0.11) (1.68) For the fiscal year ended March 31, 1998 17.17 0.05 7.15 (0.02) (3.52) For the fiscal year ended March 31, 1997 15.13 0.04 2.28 (0.10) (0.18) CLASS B For the six months ended September 30, 2001 (unaudited) 19.35 -- (1.83) -- -- For the fiscal year ended March 31, 2001 16.49 0.03 3.78 (0.04) (0.91) For the fiscal year ended March 31, 2000 19.51 0.01 (0.93) -- (2.10) For the fiscal year ended March 31, 1999 20.66 0.08 0.52 (0.07) (1.68) For the period January 28, 1998* through March 31, 1998 18.17 (0.01) 2.50 -- -- CLASS C For the six months ended September 30, 2001 (unaudited) 19.43 -- (1.84) -- -- For the fiscal year ended March 31, 2001 16.55 0.02 3.80 (0.03) (0.91) For the fiscal year ended March 31, 2000 19.57 0.01 (0.93) -- (2.10) For the fiscal year ended March 31, 1999 20.66 0.07 0.53 (0.01) (1.68) For the fiscal year ended March 31, 1998 17.11 (0.03) 7.10 -- (3.52) For the fiscal year ended March 31, 1997 15.08 (0.02) 2.25 (0.02) (0.18) CLASS Y For the six months ended September 30, 2001 (unaudited) 19.67 0.03 (1.80) -- -- For the fiscal year ended March 31, 2001 16.73 0.26 3.80 (0.21) (0.91) For the fiscal year ended March 31, 2000 19.78 0.22 (0.97) (0.20) (2.10) For the fiscal year ended March 31, 1999 20.84 0.17 0.65 (0.20) (1.68) For the fiscal year ended March 31, 1998 17.18 0.26 7.05 (0.13) (3.52) For the fiscal year ended March 31, 1997 15.12 0.23 2.17 (0.16) (0.18)
- ------------------------- * Commencement of initial public offering. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 46
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000's omitted) AVERAGE NET ASSETS(1) -------- ---------- --------------- --------------------- LARGE CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $17.81 (9.27)% $14,949 1.50%(5) For the fiscal year ended March 31, 2001 19.63 23.79 11,983 1.50 For the fiscal year ended March 31, 2000 16.71 (4.91) 7,950 1.50 For the fiscal year ended March 31, 1999 19.74 3.68 9,677 1.50 For the fiscal year ended March 31, 1998 20.83 44.59 8,358 1.50 For the fiscal year ended March 31, 1997 17.17 15.44 4,987 1.50 CLASS B For the six months ended September 30, 2001 (unaudited) 17.52 (9.46) 6,509 2.00(5) For the fiscal year ended March 31, 2001 19.35 23.19 3,687 2.00 For the fiscal year ended March 31, 2000 16.49 (5.41) 1,379 2.00 For the fiscal year ended March 31, 1999 19.51 3.21 1,911 2.00 For the period January 28, 1998* through March 31, 1998 20.66 13.70(4) 446 2.00(5) CLASS C For the six months ended September 30, 2001 (unaudited) 17.59 (9.47) 8,465 2.00(5) For the fiscal year ended March 31, 2001 19.43 23.16 5,675 2.00 For the fiscal year ended March 31, 2000 16.55 (5.39) 3,359 2.00 For the fiscal year ended March 31, 1999 19.57 3.22 5,250 2.00 For the fiscal year ended March 31, 1998 20.66 43.94 4,987 2.00 For the fiscal year ended March 31, 1997 17.11 14.87 2,986 2.00 CLASS Y For the six months ended September 30, 2001 (unaudited) 17.90 (9.00) 16,451 1.00(5) For the fiscal year ended March 31, 2001 19.67 24.38 7,038 1.00 For the fiscal year ended March 31, 2000 16.73 (4.51) 3,438 1.00 For the fiscal year ended March 31, 1999 19.78 4.29 4,741 1.00 For the fiscal year ended March 31, 1998 20.84 45.27 7,263 1.00 For the fiscal year ended March 31, 1997 17.18 16.04 6,109 1.00 INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------- ---- LARGE CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) 0.32%(5) 0.89%(5) 6.67% For the fiscal year ended March 31, 2001 0.72 1.50 60.46 For the fiscal year ended March 31, 2000 0.56 1.78 55.66 For the fiscal year ended March 31, 1999 0.54 1.46 38.27 For the fiscal year ended March 31, 1998 0.32 1.73 61.75 For the fiscal year ended March 31, 1997 0.43 1.58 136.67 CLASS B For the six months ended September 30, 2001 (unaudited) 0.08(5) 0.89(5) 6.67 For the fiscal year ended March 31, 2001 0.15 1.50 60.46 For the fiscal year ended March 31, 2000 0.03 1.75 55.66 For the fiscal year ended March 31, 1999 0.08 1.46 38.27 For the period January 28, 1998* through March 31, 1998 (0.73)(4)(5) 1.05(4)(5 61.75 CLASS C For the six months ended September 30, 2001 (unaudited) 0.10(5) 0.89(5) 6.67 For the fiscal year ended March 31, 2001 0.11 1.50 60.46 For the fiscal year ended March 31, 2000 0.03 1.75 55.66 For the fiscal year ended March 31, 1999 0.08 1.46 38.27 For the fiscal year ended March 31, 1998 (0.19) 1.73 61.75 For the fiscal year ended March 31, 1997 (0.08) 1.61 136.67 CLASS Y For the six months ended September 30, 2001 (unaudited) 0.90(5) 0.89(5) 6.67 For the fiscal year ended March 31, 2001 1.65 1.50 60.46 For the fiscal year ended March 31, 2000 0.98 1.77 55.66 For the fiscal year ended March 31, 1999 1.08 1.46 38.27 For the fiscal year ended March 31, 1998 0.83 1.76 61.75 For the fiscal year ended March 31, 1997 1.00 1.50 136.67
- ----------------------- (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 47 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET NET REALIZED AND DISTRIBUTIONS VALUE, INVESTMENT UNREALIZED FROM NET BEGINNING INCOME/ GAIN/(LOSS) ON REALIZED OF PERIOD (LOSS)**(1) INVESTMENTS**(2) CAPITAL GAINS --------- ----------- ---------------- ------------- SMALL CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $ 18.13 $ (0.02) $ (0.61) -- For the fiscal year ended March 31, 2001 23.10 (0.14) (2.61) $ (2.22) For the fiscal year ended March 31, 2000 17.93 (0.15) 6.69 (1.37) For the fiscal year ended March 31, 1999 23.65 (0.13) (4.65) (0.94) For the fiscal year ended March 31, 1998 17.48 (0.14) 8.06 (1.75) For the fiscal year ended March 31, 1997 15.87 (0.10) 1.95 (0.24) CLASS B For the six months ended September 30, 2001 (unaudited) 17.76 (0.06) (0.61) -- For the fiscal year ended March 31, 2001 22.80 (0.20) (2.62) (2.22) For the fiscal year ended March 31, 2000 17.71 (0.24) 6.60 (1.27) For the fiscal year ended March 31, 1999 23.48 (0.16) (4.67) (0.94) For the period January 21, 1998* through March 31, 1998 19.95 -- 3.53 -- CLASS C For the six months ended September 30, 2001 (unaudited) 17.77 (0.07) (0.60) -- For the fiscal year ended March 31, 2001 22.80 (0.22) (2.59) (2.22) For the fiscal year ended March 31, 2000 17.70 (0.26) 6.62 (1.26) For the fiscal year ended March 31, 1999 23.48 (0.26) (4.58) (0.94) For the fiscal year ended March 31, 1998 17.38 (0.24) 8.00 (1.66) For the fiscal year ended March 31, 1997 15.79 (0.18) 1.93 (0.16) CLASS Y For the six months ended September 30, 2001 (unaudited) 18.34 0.03 (0.63) -- For the fiscal year ended March 31, 2001 23.23 (0.03) (2.64) (2.22) For the fiscal year ended March 31, 2000 18.03 (0.05) 6.72 (1.47) For the fiscal year ended March 31, 1999 23.65 (0.02) (4.66) (0.94) For the fiscal year ended March 31, 1998 17.47 (0.04) 8.06 (1.84) For the fiscal year ended March 31, 1997 15.85 (0.05) 1.97 (0.30)
- ----------------------- * Commencement of its initial public offering. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 48
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000's omitted) AVERAGE NET ASSETS(1) ------ --------- --------------- --------------------- SMALL CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $17.50 (3.48)% $17,593 1.50%(5) For the fiscal year ended March 31, 2001 18.13 (11.64) 17,194 1.50 For the fiscal year ended March 31, 2000 23.10 38.21 24,086 1.50 For the fiscal year ended March 31, 1999 17.93 (20.26) 18,520 1.50 For the fiscal year ended March 31, 1998 23.65 46.86 25,111 1.50 For the fiscal year ended March 31, 1997 17.48 11.71 13,143 1.50 CLASS B For the six months ended September 30, 2001 (unaudited) 17.09 (3.77) 5,157 2.00(5) For the fiscal year ended March 31, 2001 17.76 (12.12) 4,301 2.00 For the fiscal year ended March 31, 2000 22.80 37.53 4,030 2.00 For the fiscal year ended March 31, 1999 17.71 (20.63) 2,716 2.00 For the period January 21, 1998* through March 31, 1998 23.48 17.69(4) 901 2.00(5) CLASS C For the six months ended September 30, 2001 (unaudited) 17.10 (3.77) 12,186 2.00(5) For the fiscal year ended March 31, 2001 17.77 (12.07) 11,460 2.00 For the fiscal year ended March 31, 2000 22.80 37.54 13,399 2.00 For the fiscal year ended March 31, 1999 17.70 (20.67) 11,112 2.00 For the fiscal year ended March 31, 1998 23.48 46.10 18,082 2.00 For the fiscal year ended March 31, 1997 17.38 11.12 11,071 2.00 CLASS Y For the six months ended September 30, 2001 (unaudited) 17.74 (3.22) 23,741 1.00(5) For the fiscal year ended March 31, 2001 18.34 (11.22) 33,449 1.00 For the fiscal year ended March 31, 2000 23.23 38.86 31,091 1.00 For the fiscal year ended March 31, 1999 18.03 (19.84) 24,087 1.00 For the fiscal year ended March 31, 1998 23.65 47.54 31,141 1.00 For the fiscal year ended March 31, 1997 17.47 12.19 16,724 1.00 INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------- ---- SMALL CAP VALUE PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) (0.25)%(5) 0.54%(5) 24.63% For the fiscal year ended March 31, 2001 (0.63) 1.02 65.32 For the fiscal year ended March 31, 2000 (0.75) 0.65 65.85 For the fiscal year ended March 31, 1999 (0.60) 0.65 84.12 For the fiscal year ended March 31, 1998 (0.71) 0.76 90.39 For the fiscal year ended March 31, 1997 (0.81) 1.00 56.88 CLASS B For the six months ended September 30, 2001 (unaudited) (0.72)(5) 0.54(5) 24.63 For the fiscal year ended March 31, 2001 (1.14) 1.02 65.32 For the fiscal year ended March 31, 2000 (1.24) 0.65 65.85 For the fiscal year ended March 31, 1999 (1.10) 0.65 84.12 For the period January 21, 1998* through March 31, 1998 (1.49)(4)(5) 1.31(4)(5) 90.39 CLASS C For the six months ended September 30, 2001 (unaudited) (0.73)(5) 0.54(5) 24.63 For the fiscal year ended March 31, 2001 (1.14) 1.02 65.32 For the fiscal year ended March 31, 2000 (1.24) 0.65 65.85 For the fiscal year ended March 31, 1999 (1.10) 0.65 84.12 For the fiscal year ended March 31, 1998 (1.21) 0.76 90.39 For the fiscal year ended March 31, 1997 (1.31) 0.99 56.88 CLASS Y For the six months ended September 30, 2001 (unaudited) 0.22(5) 0.54(5) 24.63 For the fiscal year ended March 31, 2001 (0.13) 1.02 65.32 For the fiscal year ended March 31, 2000 (0.24) 0.65 65.85 For the fiscal year ended March 31, 1999 (0.10) 0.65 84.12 For the fiscal year ended March 31, 1998 (0.21) 0.77 90.39 For the fiscal year ended March 31, 1997 (0.31) 1.00 56.88
- ------------------------ (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 49 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DISTRIBUTIONS VALUE, NET UNREALIZED FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON REALIZED OF PERIOD LOSS**(1) INVESTMENTS**(2) CAPITAL GAINS --------- --------- ---------------- ------------- FOCUS LIST PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $ 16.75 -- $ (1.41) -- For the fiscal year ended March 31, 2001 21.21 $ (0.09) (4.37) -- For the fiscal year ended March 31, 2000 17.32 (0.07) 3.96 -- For the fiscal year ended March 31, 1999 13.40 (0.07) 4.01 $ (0.02) For the period December 29, 1997* through March 31, 1998 12.00 (0.01) 1.41 -- CLASS B For the six months ended September 30, 2001 (unaudited) 16.46 (0.05) (1.38) -- For the fiscal year ended March 31, 2001 20.93 (0.17) (4.30) -- For the fiscal year ended March 31, 2000 17.18 (0.16) 3.91 -- For the fiscal year ended March 31, 1999 13.38 (0.13) 3.95 (0.02) For the period December 29, 1997* through March 31, 1998 12.00 (0.01) 1.39 -- CLASS C For the six months ended September 30, 2001 (unaudited) 16.46 (0.06) (1.37) -- For the fiscal year ended March 31, 2001 20.94 (0.17) (4.31) -- For the fiscal year ended March 31, 2000 17.19 (0.18) 3.93 -- For the fiscal year ended March 31, 1999 13.38 (0.13) 3.96 (0.02) For the period December 29, 1997* through March 31, 1998 12.00 (0.01) 1.39 --
- ----------------------------- * Commencement of operations. ** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursments. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 50
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000's omitted) AVERAGE NET ASSETS(1) ------ --------- --------------- --------------------- FOCUS LIST PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $ 15.34 (8.42)% $16,398 1.40%(5) For the fiscal year ended March 31, 2001 16.75 (21.03) 17,316 1.40 For the fiscal year ended March 31, 2000 21.21 22.46 22,580 1.40 For the fiscal year ended March 31, 1999 17.32 29.47 6,542 1.40 For the period December 29, 1997* through March 31, 1998 13.40 11.67 3,201 1.40(5) CLASS B For the six months ended September 30, 2001 (unaudited) 15.03 (8.69) 5,901 1.90(5) For the fiscal year ended March 31, 2001 16.46 (21.36) 7,441 1.90 For the fiscal year ended March 31, 2000 20.93 21.83 9,124 1.90 For the fiscal year ended March 31, 1999 17.18 28.61 4,460 1.90 For the period December 29, 1997* through March 31, 1998 13.38 11.50 2,399 1.90(5) CLASS C For the six months ended September 30, 2001 (unaudited) 15.03 (8.69) 3,726 1.90(5) For the fiscal year ended March 31, 2001 16.46 (21.40) 4,973 1.90 For the fiscal year ended March 31, 2000 20.94 21.81 6,398 1.90 For the fiscal year ended March 31, 1999 17.19 28.69 3,304 1.90 For the period December 29, 1997* through March 31, 1998 13.38 11.50 1,687 1.90(5) INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------- ---- FOCUS LIST PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) (0.07)%(5) 1.05%(5) 48.69% For the fiscal year ended March 31, 2001 (0.46) 0.97 81.37 For the fiscal year ended March 31, 2000 (0.63) 1.33 56.26 For the fiscal year ended March 31, 1999 (0.57) 2.89 84.49 For the period December 29, 1997* through March 31, 1998 (0.30)(5) 5.01(5) 28.91 CLASS B For the six months ended September 30, 2001 (unaudited) (0.56)(5) 1.05(5) 48.69 For the fiscal year ended March 31, 2001 (0.96) 0.97 81.37 For the fiscal year ended March 31, 2000 (1.11) 1.33 56.26 For the fiscal year ended March 31, 1999 (1.07) 2.89 84.49 For the period December 29, 1997* through March 31, 1998 (0.78)(5) 5.27(5) 28.91 CLASS C For the six months ended September 30, 2001 (unaudited) (0.56)(5) 1.05(5) 48.69 For the fiscal year ended March 31, 2001 (0.96) 0.97 81.37 For the fiscal year ended March 31, 2000 (1.09) 1.33 56.26 For the fiscal year ended March 31, 1999 (1.07) 2.89 84.49 For the period December 29, 1997* through March 31, 1998 (0.62)(5) 5.52(5) 28.91
- ---------------------------- (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 51 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DIVIDENDS DISTRIBUTIONS VALUE, NET UNREALIZED FROM NET FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT REALIZED OF PERIOD INCOME***(1) INVESTMENTS***(2) INCOME CAPITAL GAINS --------- ------------ ----------------- ------ ------------- BALANCED PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $13.63 $0.13 $(0.54) $(0.12) -- For the fiscal year ended March 31, 2001 12.55 0.35 1.07 (0.34) -- For the fiscal year ended March 31, 2000 13.11 0.39 (0.54) (0.41) -- For the fiscal year ended March 31, 1999 12.93 0.34 0.18 (0.33) $(0.01) For the period December 29, 1997* through March 31, 1998 12.00 0.06 0.91 (0.04) -- CLASS B For the six months ended September 30, 2001 (unaudited) 13.49 0.12 (0.56) (0.11) -- For the fiscal year ended March 31, 2001 12.47 0.33 1.01 (0.32) -- For the fiscal year ended March 31, 2000 13.07 0.37 (0.58) (0.39) -- For the fiscal year ended March 31, 1999 12.92 0.29 0.16 (0.29) (0.01) For the period December 29, 1997* through March 31, 1998 12.00 0.05 0.90 (0.03) -- CLASS C For the six months ended September 30, 2001 (unaudited) 13.48 0.12 (0.57) (0.11) -- For the fiscal year ended March 31, 2001 12.47 0.33 1.00 (0.32) -- For the fiscal year ended March 31, 2000 13.07 0.37 (0.58) (0.39) -- For the fiscal year ended March 31, 1999 12.92 0.29 0.16 (0.29) (0.01) For the period December 29, 1997* through March 31, 1998 12.00 0.05 0.90 (0.03) -- CLASS Y For the six months ended September 30, 2001 (unaudited) 13.78 0.14 (0.53) (0.13) -- For the fiscal year ended March 31, 2001 12.64 0.37 1.13 (0.36) -- For the fiscal year ended March 31, 2000 13.16 0.40 (0.49) (0.43) -- For the fiscal year ended March 31, 1999 12.95 0.37 0.21 (0.36) (0.01) For the period January 6, 1998** through March 31, 1998 12.05 0.06 0.88 (0.04) --
- -------------------------- * Commencement of operations. ** Commencement of initial public offering. *** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 52
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000's omitted) AVERAGE NET ASSETS(1) ------ --------- --------------- --------------------- BALANCED PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $13.10 (3.05)% $ 4,279 1.20%(5) For the fiscal year ended March 31, 2001 13.63 11.36 4,413 1.20 For the fiscal year ended March 31, 2000 12.55 (1.21) 3,789 1.20 For the fiscal year ended March 31, 1999 13.11 4.07 4,495 1.20 For the period December 29, 1997* through March 31, 1998 12.93 8.04 3,852 1.20(5) CLASS B For the six months ended September 30, 2001 (unaudited) 12.94 (3.30) 3,199 1.70(5) For the fiscal year ended March 31, 2001 13.49 10.78 2,895 1.70 For the fiscal year ended March 31, 2000 12.47 (1.68) 1,873 1.70 For the fiscal year ended March 31, 1999 13.07 3.56 1,811 1.70 For the period December 29, 1997* through March 31, 1998 12.92 7.92 1,044 1.70(5) CLASS C For the six months ended September 30, 2001 (unaudited) 12.92 (3.38) 1,242 1.70(5) For the fiscal year ended March 31, 2001 13.48 10.70 1,684 1.70 For the fiscal year ended March 31, 2000 12.47 (1.68) 1,583 1.70 For the fiscal year ended March 31, 1999 13.07 3.56 1,089 1.70 For the period December 29, 1997* through March 31, 1998 12.92 7.92 858 1.70(5) CLASS Y For the six months ended September 30, 2001 (unaudited) 13.26 (2.87) 20,412 0.70(5) For the fiscal year ended March 31, 2001 13.78 11.92 7,297 0.70 For the fiscal year ended March 31, 2000 12.64 (0.75) 6,801 0.70 For the fiscal year ended March 31, 1999 13.16 4.59 10,403 0.70 For the period January 6, 1998** through March 31, 1998 12.95 7.80(4) 5,685 0.70(5) INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME PORTFOLIO INCOME TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------- ---- BALANCED PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) 2.21%(5) 1.63%(5) 45.65% For the fiscal year ended March 31, 2001 2.62 2.42 106.69 For the fiscal year ended March 31, 2000 2.77 2.21 86.27 For the fiscal year ended March 31, 1999 2.65 2.08 45.98 For the period December 29, 1997* through March 31, 1998 2.47(5) 3.25(5) 12.72 CLASS B For the six months ended September 30, 2001 (unaudited) 1.71(5) 1.63(5) 45.65 For the fiscal year ended March 31, 2001 2.12 2.42 106.69 For the fiscal year ended March 31, 2000 2.27 2.21 86.27 For the fiscal year ended March 31, 1999 2.15 2.08 45.98 For the period December 29, 1997* through March 31, 1998 1.96(5) 3.30(5) 12.72 CLASS C For the six months ended September 30, 2001 (unaudited) 1.16(5) 1.63(5) 45.65 For the fiscal year ended March 31, 2001 2.12 2.42 106.69 For the fiscal year ended March 31, 2000 2.27 2.21 86.27 For the fiscal year ended March 31, 1999 2.15 2.08 45.98 For the period December 29, 1997* through March 31, 1998 1.95(5) 3.33(5) 12.72 CLASS Y For the six months ended September 30, 2001 (unaudited) 2.71(5) 1.63(5) 45.65 For the fiscal year ended March 31, 2001 3.12 2.42 106.69 For the fiscal year ended March 31, 2000 3.27 2.21 86.27 For the fiscal year ended March 31, 1999 3.15 2.08 45.98 For the period January 6, 1998** through March 31, 1998 2.98(4)(5) 3.12(4)(5) 12.72
- ------------------------ (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 53 Contained below is per share operating performance data for each class of shares outstanding, total investment returns, ratios to average net assets and other supplemental data for each period indicated. This information has been derived from information provided in the financial statements.
NET NET ASSET REALIZED AND DIVIDENDS VALUE, NET UNREALIZED FROM NET BEGINNING INVESTMENT GAIN/(LOSS) ON INVESTMENT OF PERIOD INCOME/(LOSS)***(1) INVESTMENTS***(2) INCOME --------- ------------------- ----------------- ------ INTERNATIONAL EQUITY PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $17.55 $ 0.03 $(3.15) -- For the fiscal year ended March 31, 2001 27.84 (0.06) (9.92) -- For the fiscal year ended March 31, 2000 15.14 (0.05) 12.98 -- For the fiscal year ended March 31, 1999 13.77 (0.03) 1.40 --+ For the period December 29, 1997* through March 31, 1998 12.00 0.01 1.76 -- CLASS B For the six months ended September 30, 2001 (unaudited) 17.26 (0.02) (3.10) -- For the fiscal year ended March 31, 2001 27.52 (0.18) (9.77) -- For the fiscal year ended March 31, 2000 15.05 (0.10) 12.80 -- For the fiscal year ended March 31, 1999 13.75 (0.02) 1.32 --+ For the period December 29, 1997* through March 31, 1998 12.00 -- 1.75 -- CLASS C For the six months ended September 30, 2001 (unaudited) 17.25 (0.02) (3.09) -- For the fiscal year ended March 31, 2001 27.52 (0.15) (9.81) -- For the fiscal year ended March 31, 2000 15.05 (0.09) 12.79 -- For the fiscal year ended March 31, 1999 13.75 (0.02) 1.32 --+ For the period December 29, 1997* through March 31, 1998 12.00 -- 1.75 -- CLASS Y For the period July 5, 2001** through September 30, 2001 (unaudited) 16.75 0.07 (2.38) -- DISTRIBUTIONS FROM NET REALIZED CAPITAL GAINS ------------- INTERNATIONAL EQUITY PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) -- For the fiscal year ended March 31, 2001 $(0.31) For the fiscal year ended March 31, 2000 (0.23) For the fiscal year ended March 31, 1999 -- For the period December 29, 1997* through March 31, 1998 -- CLASS B For the six months ended September 30, 2001 (unaudited) -- For the fiscal year ended March 31, 2001 (0.31) For the fiscal year ended March 31, 2000 (0.23) For the fiscal year ended March 31, 1999 -- For the period December 29, 1997* through March 31, 1998 -- CLASS C For the six months ended September 30, 2001 (unaudited) -- For the fiscal year ended March 31, 2001 (0.31) For the fiscal year ended March 31, 2000 (0.23) For the fiscal year ended March 31, 1999 -- For the period December 29, 1997* through March 31, 1998 -- CLASS Y For the period July 5, 2001** through September 30, 2001 (unaudited) --
- ------------------------ * Commencement of operations. ** Commencement of initial public offering. *** Calculated based on shares outstanding on the first and last day of the respective periods, except for dividends and distributions, if any, which are based on the actual shares outstanding on the dates of distributions. + Amount is less than $0.01 per share. (1) Reflects waivers and related reimbursements. (2) The amounts shown for a share outstanding thoughout the respective periods are not in accord with the changes in the aggregate gains and losses on investments during the respective periods because of the timing of sales and repurchases of Portfolio shares in relation to fluctuating net asset values during the respective periods. The accompanying notes are an integral part of the financial statements. 54
NET ASSET VALUE, TOTAL NET ASSETS, RATIO OF END OF INVESTMENT END OF PERIOD EXPENSES TO PERIOD RETURN(3) (000's omitted) AVERAGE NET ASSETS(1) ------ --------- --------------- --------------------- INTERNATIONAL EQUITY PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) $14.43 (17.78)% $40,463 1.75%(5) For the fiscal year ended March 31, 2001 17.55 (35.99) 54,096 1.75 For the fiscal year ended March 31, 2000 27.84 85.67 61,508 1.75 For the fiscal year ended March 31, 1999 15.14 9.97 8,299 1.75 For the period December 29, 1997* through March 31, 1998 13.77 14.75 3,765 1.75(5) CLASS B For the six months ended September 30, 2001 (unaudited) 14.14 (18.08) 8,439 2.25(5) For the fiscal year ended March 31, 2001 17.26 (36.30) 11,754 2.25 For the fiscal year ended March 31, 2000 27.52 84.66 15,656 2.25 For the fiscal year ended March 31, 1999 15.05 9.48 3,156 2.25 For the period December 29, 1997* through March 31, 1998 13.75 14.58 2,137 2.25(5) CLASS C For the six months ended September 30, 2001 (unaudited) 14.14 (18.03) 20,352 2.25(5) For the fiscal year ended March 31, 2001 17.25 (36.34) 25,833 2.25 For the fiscal year ended March 31, 2000 27.52 84.65 18,238 2.25 For the fiscal year ended March 31, 1999 15.05 9.48 2,926 2.25 For the period December 29, 1997* through March 31, 1998 13.75 14.58 2,173 2.25(5) CLASS Y For the period July 5, 2001** through September 30, 2001 (unaudited) 14.44 (13.79)(4) 5,348 1.25(4)(5) INCREASE/(DECREASE) REFLECTED IN RATIO OF EXPENSE AND NET INVESTMENT NET INVESTMENT INCOME/(LOSS) PORTFOLIO INCOME/(LOSS) TO RATIOS DUE TO WAIVERS AND TURNOVER AVERAGE NET ASSETS(1) RELATED REIMBURSEMENTS RATE --------------------- ---------------------- ---- INTERNATIONAL EQUITY PORTFOLIO CLASS A For the six months ended September 30, 2001 (unaudited) 0.36%(5) 0.59%(5) 82.01% For the fiscal year ended March 31, 2001 (0.31) 0.53 168.04 For the fiscal year ended March 31, 2000 (0.77) 1.12 96.36 For the fiscal year ended March 31, 1999 0.05 2.38 114.68 For the period December 29, 1997* through March 31, 1998 0.53(5) 4.06(5) 3.26 CLASS B For the six months ended September 30, 2001 (unaudited) (0.14)(5) 0.59(5) 82.01 For the fiscal year ended March 31, 2001 (0.81) 0.53 168.04 For the fiscal year ended March 31, 2000 1.27 1.12 96.36 For the fiscal year ended March 31, 1999 (0.45) 2.38 114.68 For the period December 29, 1997* through March 31, 1998 (0.06)(5) 4.04(5) 3.26 CLASS C For the six months ended September 30, 2001 (unaudited) (0.14)(5) 0.59(5) 82.01 For the fiscal year ended March 31, 2001 (0.81) 0.53 168.04 For the fiscal year ended March 31, 2000 (1.27) 1.12 96.36 For the fiscal year ended March 31, 1999 (0.45) 2.38 114.68 For the period December 29, 1997* through March 31, 1998 (0.06)(5) 4.04(5) 3.26 CLASS Y For the period July 5, 2001** through September 30, 2001 (unaudited) 1.79(4)(5) 0.69(4)(5) 82.01
- ------------------------ (3) Total investment return does not consider the effects of sales charges or contingent deferred sales charges. Total investment return is calculated assuming a purchase of shares on the first day and a sale of shares on the last day of each period reported and includes reinvestment of dividends and distributions, if any. Total investment return is not annualized. (4) The total investment return and ratios for a class of shares are not necessarily comparable to those of any other outstanding class of shares, due to the timing differences in the commencement of initial public offerings. (5) Annualized. 55 T H E B E A R S T E A R N S F U N D S S&P STARS PORTFOLIO THE INSIDERS SELECT FUND LARGE CAP VALUE PORTFOLIO SMALL CAP VALUE PORTFOLIO FOCUS LIST PORTFOLIO BALANCED PORTFOLIO INTERNATIONAL EQUITY PORTFOLIO NOTES TO FINANCIAL STATEMENTS--(UNAUDITED) ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES The Bear Stearns Funds (the "Fund") was organized as a Massachusetts business trust on September 29, 1994 and is registered with the Securities and Exchange Commission (the "SEC") under the Investment Company Act of 1940, as amended (the "Investment Company Act"), as an open-end management investment company. The Fund currently consists of twelve separate portfolios in operation: seven diversified portfolios, Large Cap Value Portfolio ("Large Cap"), Small Cap Value Portfolio ("Small Cap"), Balanced Portfolio ("Balanced"), International Equity Portfolio ("International Equity"), High Yield Total Return Portfolio, Income Portfolio and Prime Money Market Portfolio and five non-diversified portfolios, S&P STARS Portfolio ("S&P STARS"), The Insiders Select Fund ("Insiders Select"), Focus List Portfolio ("Focus List"), Emerging Markets Debt Portfolio and S&P STARS Opportunities Portfolio, (each a "Portfolio" and collectively, the "Portfolios"). As of the date hereof, each Portfolio offers four classes of shares, which have been designated as Class A, B, C and Y shares (except the Prime Money Market Portfolio, which only offers shares designated as Class Y). Class Y shares of Focus List and Emerging Markets Debt Portfolio have yet to commence their initial public offerings. On October 1, 2001, S&P STARS Opportunities Portfolio commenced operations. Each Portfolio is treated as a separate entity for certain matters under the Investment Company Act, and for other purposes, and a shareholder of one Portfolio is not deemed to be a shareholder of any other Portfolio. ORGANIZATIONAL MATTERS--Prior to commencing investment operations on December 29, 1997, the Focus List, Balanced and International Equity Portfolios did not have any transactions other than those relating to organizational matters and the sale of one share of beneficial interest in each class of shares of the Portfolios (except for Focus List which has no Class Y shares) to Bear, Stearns & Co. Inc. ("Bear Stearns" or the "Distributor"). Costs of $39,619, $54,795 and $61,015 which were incurred by Focus List, Balanced and International Equity, respectively, in connection with the organization of its shares, have been deferred and are being amortized using the straight-line method over the period of benefit not exceeding sixty months, beginning with the commencement of investment operations of each Portfolio. MANAGEMENT ESTIMATES--The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America, requires management to make certain estimates and assumptions that may affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. PORTFOLIO VALUATION--Each Portfolio calculates the net asset value of and completes orders to purchase or repurchase its shares of beneficial interest as of the close of regular trading on the New York Stock Exchange (the "Exchange") (generally 4:00 p.m. Eastern time) on each day that the Exchange is open for trading. Equity securities, including written covered call options, are valued each business day at the last sale price as of the close of regular trading on the Exchange by one or more independent pricing services ("Pricing Services") approved by the Fund's Board of Trustees. Securities not listed on an exchange or national securities market, or securities in which there were no transactions, 56 rae valued at the average of the most recent bid and asked prices, except in the case of open short positions where the asked price is used for valuation purposes. Bid price is used when no asked price is available. Substantially all fixed-income securities (including short-term investments that are not valued using the amortized cost method) are valued each business day as of the close of regular trading on the Exchange by one or more Pricing Services approved by the Fund's Board of Trustees. When quoted bid prices are readily available, the Pricing Services generally value fixed-income securities at the mean of the bid and asked prices, provided that the Pricing Services believes those prices to reflect the fair market value of the securities. Other investments valued by Pricing Services are carried at fair value as determined by the Pricing Services, based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions. Pricing Services may take other factors into consideration in pricing securities, including institutional size transactions in similar groups of securities as well as developments related to specific securities. Securities that are not valued by a Pricing Service are valued at the average of the most recent bid and asked prices in the market in which such securities are primarily traded, or at the last sales price for securities traded primarily on an exchange or the national securities market. In the absence of reported sales of securities traded primarily on an exchange or the national securities market, the average of the most recent bid and asked prices is used. Bid price is used when no asked price is available. Other assets and securities for which no quotations are readily available or which are restricted as to sale (or resale) are valued by such methods as the Fund's Board of Trustees deems in good faith to reflect the fair value. Restricted securities, as well as securities or other assets for which market quotations are not readily available, or are not valued by a Pricing Service approved by the Fund's Board of Trustees, are valued at fair value as determined in good faith by Bear Stearns Asset Management Inc.'s ("BSAM" or the "Adviser") Valuation Committee, pursuant to procedures approved by the Fund's Board of Trustees. The Board reviews the methods of valuation quarterly. Short-term investments (those acquired with remaining maturities of 60 days or less) are valued at cost, plus or minus any amortized discount or premium, which approximates market value. Expenses and fees, including the respective investment advisory, administration and distribution fees, are accrued daily and taken into account for the purpose of determining the net asset value of each Portfolio's shares. Because of the differences in operating expenses incurred by each class, the per share net asset value of each class may differ. INVESTMENT TRANSACTIONS AND INVESTMENT INCOME--Investment transactions are recorded on the trade date (the date on which the order to buy or sell is executed). Realized gains and losses from securities and foreign currency related transactions, if any, are calculated on the identified cost basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded on an accrual basis. The Portfolios have adopted the provisions of the AICPA Audit and Accounting Guide, Audits of Investment Companies, as revised, effective for fiscal years beginning after December 15, 2000. As required, the Portfolios modified the manner of accounting for paydown gains and losses on mortgage- and asset-backed securities and will record such amounts as an adjustment to interest income. In addition, the Portfolios amortize premiums and discounts on debt securities. Each Portfolios' net investment income (other than distribution and service fees) and unrealized and realized gains or losses are allocated daily to each class of shares based upon the relative proportion of the settled shares value of each class at the beginning of the day. SHORT SELLING--When the Portfolio makes a short sale, an amount equal to the proceeds received by the Portfolio is recorded as a liability and is subsequently adjusted to the current market value of the short sale. Until the Portfolio replaces the borrowed security, the Portfolio will maintain a segregated account with cash, U.S. government securities or other liquid securities sufficient to cover its short position on a daily basis. Short sales represent obligations of the Portfolio to make future delivery of specific securities and correspondingly create an obligation to purchase the security at market prices prevailing at the later delivery date (or to deliver the security if already owned by the Portfolio). Upon the termination of a short sale, the Portfolio will recognize a gain, limited to the price at which the Portfolio sold the security short, if the market price is less than the proceeds originally received. The Portfolio will recognize a loss, unlimited in magnitude, if the market price at termination is greater than the proceeds originally received. As a result, short sales create the risk that the Portfolio's ultimate obligation to satisfy the delivery requirements may exceed the amount of the proceeds initially received or the liability recorded in the financial statements. 57 S&P STARS is the only Portfolio that has engaged in short sales for the six months ended September 30, 2001. S&P STARS has segregated $114,587,000 in a separate account as collateral for open short sales. Securities sold short at September 30, 2001 for S&P STARS were as follows:
MARKET UNREALIZED SHORT SALE PROCEEDS VALUE GAIN/(LOSS) - ---------- -------- ------ ----------- Agilent Technologies, Inc. $ 30,716,321 $29,325,000 $ 1,391,321 Krispy Kreme Doughnuts, Inc. 272,835 296,000 (23,165) Potlatch Corp. 2,652,556 2,699,000 (46,444) ResMed Inc. 8,268,505 7,620,000 648,505 Teradyne Inc. 46,673,170 34,125,000 12,548,170 UAL Corp. 15,197,461 14,608,000 589,461 ------------ ----------- ----------- Total $103,780,848 $88,673,000 $15,107,848 ============ =========== ===========
SECURITIES LENDING--Loans of securities are required to be initially secured by collateral at least equal to 102% of the market value of the securities on loan and maintained at a level at least equal to the value of loaned securities. However, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. In the event that the borrower fails to return securities, and cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities and provided such collateral insufficiency is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Portfolios. The market value of securities on loan to brokers and the related value of cash collateral received at September 30, 2001, were as follows:
MARKET VALUE OF MARKET VALUE FUND SECURITIES ON LOAN OF COLLATERAL+ - ---- ------------------ ------------- S&P STARS Portfolio $63,349,039 $63,470,400
- -------- + Cash collateral invested in various money market funds. During the six months ended September 30, 2001, income from securities lending of $75,688, was earned by S&P STARS Portfolio. Such income from securities lending is included under the caption INTEREST in the Statements of Operations. No other Portfolios had security lending transactions during the six months ended September 30, 2001. Custodial Trust Company, an affiliate of BSAM, is the lending agent and receives compensation from the Portfolios in this capacity. FOREIGN CURRENCY TRANSLATION--The books and records of the Portfolios are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities and other assets and liabilities stated in foreign currencies are translated at the exchange rates prevailing at the end of the period; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resulting exchange gains and losses are included in the Statements of Operations. The Portfolios do not generally isolate the effect of fluctuations in foreign exchange rates from the effect of fluctuations in the market prices of investments. However, the Portfolios do isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon the sale or maturity of foreign currency-denominated debt obligations pursuant to U.S. federal income tax regulations; such amount is categorized as foreign exchange gain or loss for both financial reporting and income tax reporting purposes. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS--The Portfolios may enter into forward foreign currency exchange contracts ("forward currency contracts") to hedge against adverse changes in the relationship of the U.S. dollar to foreign currencies. The Portfolios may enter into these contracts to fix the U.S. dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Portfolios may also use these contracts to hedge the U.S. dollar value of securities it already owns denominated in foreign currencies. Forward currency contracts are valued at the forward rate, and are marked-to-market daily. The change in market value is recorded by the Portfolio as an unrealized gain or loss. When the contract is closed, the Portfolio records a realized gain or loss 58 equal to the difference between the value of the current contract at the time it was opened and the value at the time it was closed. The use of forward currency contracts does not eliminate fluctuations in the underlying prices of the Portfolio's securities, but it does establish a rate of exchange that can be achieved in the future. Although forward currency contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of currency increase. In addition, the Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. For the six months ended September 30, 2001, none of the Portfolios had open forward currency contracts. U.S. FEDERAL TAX STATUS--Each Portfolio intends to distribute substantially all of its taxable income and to comply or continue to comply with the other requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, no provision for U.S. federal income taxes is required. In addition, by distributing during each calendar year substantially all of its ordinary income and capital gains, if any, each Portfolio intends not to be subject to a U.S. federal excise tax. The Portfolios had the following capital loss carryforwards at March 31, 2001:
GROSS CAPITAL LOSS AMOUNT EXPIRING AMOUNT EXPIRING PORTFOLIO CARRYFORWARDS IN 2007 IN 2009 - --------- ------------------ --------------- --------------- S&P STARS $74,889,510 -- $74,889,510 Focus List 2,222,499 $393,572 1,828,927 International Equity 10,929,861 -- 10,929,861
For U.S. federal income tax purposes, net realized capital losses or foreign exchange losses incurred after October 31, 2000 within the prior fiscal year are deemed to arise on the first day of the current fiscal year. S&P STARS and International Equity incurred and elected to defer such losses of $80,099,924 and $8,611,406, respectively. DIVIDENDS AND DISTRIBUTIONS--Each Portfolio, except Balanced, intends to distribute at least annually to shareholders substantially all of its net investment income. Balanced declares and pays quarterly, as dividends to shareholders, substantially all of its net investment income. Distribution of net realized gains, if any, will be declared and paid at least annually. Dividends and distributions to shareholders are recorded on the ex-dividend date. Income and capital gain distributions are determined in accordance with income tax regulations which may differ from generally accepted accounting principles. These "book/tax" differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within capital accounts based on their U.S. federal tax-basis treatment. Temporary differences do not require reclassification. FOREIGN WITHHOLDING TAXES--Income received from sources outside of the United States may be subject to withholding and other taxes imposed by countries other than the United States. OTHER--Securities denominated in currencies other than U.S. dollars are subject to changes in value due to fluctuations in exchange rates. Some countries in which the Portfolios invest require governmental approval for the repatriation of investment income, capital or the proceeds of sales of securities by foreign investors. In addition, if there is a deterioration in a country's balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. The securities exchanges of certain foreign markets are substantially smaller, less liquid and more volatile than the major securities markets in the United States. TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES For the six months ended September 30, 2001, BSAM, a wholly-owned subsidiary of The Bear Stearns Companies Inc., served as the investment adviser pursuant to an Investment Advisory Agreement with respect to each Portfolio. Under the terms of the Investment Advisory Agreement, each Portfolio, except Insiders Select, has agreed to pay BSAM a monthly fee at the annual rate of 0.75% of average daily net assets for S&P STARS, Large Cap and Small Cap, 0.65% of average daily net assets for Focus List and Balanced, and 1.00% of average daily net assets for International Equity. 59 For Insiders Select, BSAM is entitled to receive from the Portfolio a monthly fee equal to an annual rate of 1.00% of the Portfolio's average daily net assets. In addition, starting in the thirteenth month of operation, BSAM is entitled to a monthly performance adjustment fee which may increase or decrease the total advisory fee by up to 0.50% per year of the value of Insiders Select's average daily net assets. The performance adjustment fee increased the total advisory fee by $89,657 or 0.50% of the value of Insider's average daily net assets due to overperformance of such Portfolio on a trailing 12-month basis in comparison to the performance of the S&P MidCap 400 Index, the Portfolio's benchmark index, for the six months ended September 30, 2001. BSAM has engaged Marvin & Palmer Associates, Inc. ("Marvin & Palmer") as the International Equity's sub-investment adviser to manage the Portfolio's day-to-day investment activities. Marvin & Palmer is entitled to receive a monthly fee from BSAM (and not the Portfolio) calculated on an annual basis equal to 0.20% of the Portfolio's total average daily net assets to the extent the International Equity's average daily net assets are in excess of $25 million and below $50 million at the relevant month end, 0.45% of the International Equity's total average daily net assets to the extent the International Equity's average daily net assets are in excess of $50 million and below $65 million at the relevant month end and 0.60% of the International Equity's total average daily net assets to the extent the International Equity's net assets in excess of $65 million at the relevant month end. During the six months ended September 30, 2001, Marvin & Palmer earned a fee of $126,092. For the six months ended September 30, 2001, Bear Stearns Funds Management Inc. ("BSFM" or the "Administrator") served as administrator to each Portfolio pursuant to an Administration Agreement. The Administrator is entitled to receive from each Portfolio a monthly fee equal to an annual rate of 0.15% of each Portfolio's average daily net assets up to $1 billion, 0.12% of the next $1 billion, 0.10% of the next $3 billion and 0.08% of the average daily net assets above $5 billion. For the six months ended September 30, 2001, BSAM has continued its undertaking to limit each Portfolio's total operating expenses (exclusive of brokerage commissions, taxes, interest and extraordinary items) to a maximum annual level as a percent of each Portfolio's average daily net assets as follows:
PORTFOLIO CLASS A SHARES CLASS B SHARES CLASS C SHARES CLASS Y SHARES - --------- -------------- -------------- -------------- -------------- S&P STARS 1.50% 2.00% 2.00% 1.00% Insiders Select 1.65 2.15 2.15 1.15 Large Cap 1.50 2.00 2.00 1.00 Small Cap 1.50 2.00 2.00 1.00 Focus List 1.40 1.90 1.90 -- Balanced 1.20 1.70 1.70 0.70 International Equity 1.75 2.25 2.25 1.25
As necessary, this limitation is effected by waivers by the Adviser of its advisory fees and reimbursements of expenses exceeding the advisory fee. For the six months ended September 30, 2001, the investment advisory fee waivers and reimbursements of expenses (in order to maintain the expense limitation) were as follows:
PORTFOLIO ADVISORY FEE WAIVERS EXPENSE REIMBURSEMENTS - --------- -------------------- ---------------------- S&P STARS $882,945 -- Insiders Select 263,609 $23,823 Large Cap 157,088 25,301 Small Cap 186,960 -- Focus List 100,789 61,986 Balanced 79,197 118,370 International Equity 260,474 --
The Portfolios will not pay BSAM at a later time for any amounts BSAM may waive, nor will the Portfolios reimburse BSAM for any amounts BSAM may assume. 60 For the six months ended September 30, 2001, Bear Stearns, an affiliate of the Adviser and the Administrator, earned approximately $728,232, $7,643, $13,161, $15,417, and $6,861 in brokerage commissions from portfolio transactions executed on behalf of S&P STARS, Insiders Select, Large Cap, Focus List and Balanced, respectively. Custodial Trust Company, a wholly-owned subsidiary of The Bear Stearns Companies Inc. and an affiliate of BSAM, Bear Stearns and the Administrator, serves as custodian to each of the Portfolios. DISTRIBUTION PLAN AND SHAREHOLDER SERVICING PLAN The Portfolios listed below have entered into a Distribution Plan pursuant to Rule 12b-1 under the Investment Company Act and a Shareholder Servicing Plan which are as follows:
CLASS A CLASS B CLASS C ------------------------- ------------------------- ------------------------- DISTRIBUTION SHAREHOLDER DISTRIBUTION SHAREHOLDER DISTRIBUTION SHAREHOLDER PORTFOLIO PLAN SERVICING PLAN SERVICING PLAN SERVICING - --------- ------------ ----------- ------------ ----------- ------------ ----------- S&P STARS 0.25%(a) 0.25%(a) 0.75% 0.25% 0.75%(a) 0.25%(a) Insiders Select 0.25 (a) 0.25 (a) 0.75 0.25 0.75 (a) 0.25 (a) Large Cap 0.25 (a) 0.25 (a) 0.75 0.25 0.75 (a) 0.25 (a) Small Cap 0.25 (a) 0.25 (a) 0.75 0.25 0.75 (a) 0.25 (a) Focus List 0.25 0.25 0.75 0.25 0.75 0.25 Balanced 0.25 0.25 0.75 0.25 0.75 0.25 International Equity 0.25 0.25 0.75 0.25 0.75 0.25
- -------- (a) Prior to February 10, 1999, fees for shareholder servicing were paid through the Distribution Plan. Such fees are based on the average daily net assets in each class of the respective Portfolios and are accrued daily and paid quarterly or at such intervals as the Board of Trustees may determine. The fees paid to Bear Stearns under the Distribution Plan are payable without regard to actual expenses incurred. Bear Stearns uses the distribution fee to pay broker-dealers or other financial institution whose clients hold each Portfolio's shares and other distribution-related activities. Bear Stearns uses shareholder servicing fees to pay broker-dealers or other financial institutions that provide personal service in connection with the maintenance of shareholder accounts. For the six months ended September 30, 2001, the distribution and shareholder servicing fees paid to Bear Stearns under each Plan were as follows:
PORTFOLIO DISTRIBUTION FEES SHAREHOLDER SERVICING FEES - --------- ----------------- -------------------------- S&P STARS $6,469,013 $3,217,991 Insiders Select 85,431 43,819 Large Cap 67,176 34,535 Small Cap 93,690 47,769 Focus List 69,268 38,765 Balanced 21,414 10,679 International Equity 198,907 108,082
In addition, as Distributor of the Portfolios, Bear Stearns collects the sales charges imposed on sales of each Portfolio's Class A shares, and reallows a portion of such charges to dealers through which the sales are made. In addition, Bear Stearns advanced 4.25% and 1.00% in sales commissions on the sale of Class B and C shares, respectively, to dealers at the time of such sales. 61 For the six months ended September 30, 2001, Bear Stearns has advised each Portfolio that it received the amounts noted below in front-end sales charges resulting from sales of Class A shares and contingent deferred sales charges ("CDSC") upon certain redemptions by Class A, B and C shareholders, respectively. The amounts were as follows:
FRONT-END SALES CHARGES CDSC CDSC PORTFOLIO CLASS A SHARES CLASS B SHARES CLASS C SHARES - --------- ----------------------- -------------- -------------- S&P STARS $4,674,483 $1,211,382 $115,552 Insiders Select 76,403 10,303 1,661 Large Cap 154,784 4,978 1,117 Small Cap 45,024 6,828 3,097 Focus List* 17,541 15,617 615 Balanced 17,771 2,146 61 International Equity 35,981 37,674 19,776
- -------- * Focus List received $116 in CDSC upon certain redemptions by Class A shareholders. INVESTMENTS IN SECURITIES For U.S. federal income tax purposes, the cost of securities owned, gross appreciation, gross depreciation and net unrealized appreciation/(depreciation) of investments at September 30, 2001 for each Portfolio were as follows:
NET GROSS GROSS APPRECIATION/ PORTFOLIO COST APPRECIATION DEPRECIATION (DEPRECIATION) - --------- -------------- ------------ -------------- -------------- S&P STARS $2,726,129,359 $182,817,923 $(503,324,375) $(320,506,452) Insiders Select 30,806,454 3,278,842 (3,052,742) 226,100 Large Cap 47,895,086 3,700,346 (5,482,748) (1,782,402) Small Cap 62,450,013 8,912,842 (10,658,435) (1,745,593) Focus List 20,624,622 4,309,389 (2,187,756) 2,121,633 Balanced 31,552,253 1,177,972 (2,476,139) (1,298,167) International Equity 85,288,713 622,839 (10,153,813) (9,530,974)
For the six months ended September 30, 2001, aggregate purchases and sales of investment securities (excluding short-term securities) for each Portfolio were as follows:
PORTFOLIO PURCHASES SALES - --------- -------------- -------------- S&P STARS $1,396,900,296 $1,131,484,860 Insiders Select 9,282,971 7,054,227 Large Cap 25,920,885 2,551,929 Small Cap 16,192,268 21,583,241 Focus List 12,605,017 13,358,490 Balanced 27,055,902 10,362,946 International Equity 68,272,537 70,983,885
INVESTMENTS IN AFFILIATES A summary of transactions for each issuer, which is or was an affiliate at or during the six months ended September 30, 2001, were as follows:
NUMBER OF CAPITAL MARKET VALUE AT PORTFOLIO AFFILIATED SECURITY SHARES GAIN SEPTEMBER 30, 2001 - --------- --------------------- ---------- ------------ ------------------ S&P STARS GoTo.com, Inc. 2,550,000 -- $32,002,500 Intuitive Surgical, Inc. 3,500,000 -- 21,840,000 RehabCare Group, Inc. 1,208,600 $15,851,293 52,586,186 SportsLine.Com, Inc. 3,647,500 -- 4,887,650 Small Cap Universal Stainless & Alloy Products, Inc. 172,300 13,844 1,223,330
62 SHARES OF BENEFICIAL INTEREST Each Portfolio offers Class A, B, C and Y shares. Class A shares are sold with a front-end sales charge of up to 5.50% for each Portfolio. Class B shares are sold with a CDSC of up to 5.00% within six years of purchase. Class C shares are sold with a CDSC of 1.00% during the first year. There is no sales charge or CDSC on Class Y shares, which are offered primarily to institutional investors. At September 30, 2001, there was an unlimited amount of $0.001 par value shares of beneficial interest authorized for each Portfolio, of which Bear Stearns owned the following shares including reinvestment of dividends and distributions, if any:
SHARES OF BENEFICIAL INTEREST ------------------------------------------- PORTFOLIO CLASS A CLASS B CLASS C CLASS Y - --------- --------- --------- --------- --------- S&P STARS 5,575 -- 5,579 -- Insiders Select 1 -- -- -- Large Cap 1,608 -- 1,588 -- Small Cap 1,437 -- 1,428 -- Focus List 1 1 1 -- Balanced 1 1 1 1 International Equity 1 1 1 --
63 Transactions in shares of beneficial interest for each Portfolio were as follows:
S&P STARS INSIDERS SELECT ------------------------------------------- -------------------------------------- SALES REPURCHASES REINVESTMENTS SALES REPURCHASES REINVESTMENTS -------------- ------------ ------------- ---------- ----------- ------------- CLASS A FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 7,557,513 4,800,233 -- 178,615 145,342 -- Value $ 218,860,243 $132,197,940 -- $3,299,821 $ 2,636,897 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 29,368,129 6,285,399 557,564 305,830 323,727 93,155 Value $1,042,093,197 $210,084,075 $ 17,529,808 $5,548,664 $ 5,777,535 $ 1,683,321 CLASS B FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 4,970,756 1,813,586 -- 163,576 38,186 -- Value $ 140,934,066 $ 48,328,065 -- $2,893,567 $ 636,583 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 15,566,183 1,468,012 283,999 159,514 98,237 34,069 Value $ 531,609,099 $ 46,664,199 $ 8,752,974 $2,833,409 $ 1,716,841 $ 598,938 CLASS C FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 3,998,106 1,632,789 -- 97,430 56,500 -- Value $ 113,570,443 $ 43,136,345 -- $1,724,839 $ 936,079 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 12,356,653 1,579,403 255,092 127,615 159,297 37,151 Value $ 421,419,366 $ 50,313,084 $ 7,859,372 $2,290,713 $ 2,771,156 $ 653,104 CLASS Y FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 1,345,692 567,795 -- -- 2,692 -- Value $ 40,840,486 $ 16,129,705 -- -- $ 49,887 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 2,496,106 546,911 79,500 2,692 9,351 4,510 Value $ 87,302,032 $ 18,777,991 $ 2,552,737 $ 50,017 $172,318 $ 82,849
64
LARGE CAP SMALL CAP ---------------------------------------- -------------------------------------- SALES REPURCHASES REINVESTMENTS SALES REPURCHASES REINVESTMENTS ------------ ----------- ------------- ---------- ----------- ------------- CLASS A FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 308,031 79,207 -- 211,273 154,015 -- Value $ 6,207,295 $ 1,532,755 -- $ 4,280,596 $ 3,005,954 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 494,138 387,932 28,396 301,070 502,320 107,080 Value $ 9,400,986 $ 7,437,810 $ 550,885 $ 6,008,215 $10,263,997 $ 1,887,825 CLASS B FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 246,610 65,593 -- 101,506 42,032 -- Value $ 4,873,217 $ 1,177,497 -- $ 2,084,262 $ 752,070 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 132,093 29,150 4,038 68,867 26,702 23,269 Value $ 2,558,250 $ 548,315 $ 77,332 $ 1,389,211 $ 527,903 $ 402,316 CLASS C FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 213,866 24,672 -- 115,059 47,431 -- Value $ 4,205,776 $ 478,359 -- $ 2,264,606 $ 893,473 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 162,445 82,397 9,103 56,079 62,157 63,342 Value $ 3,148,918 $ 1,560,391 $ 175,068 $ 1,137,231 $ 1,251,946 $ 1,095,186 CLASS Y FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 601,733 40,414 -- 75,452 560,932 -- Value $12,483,300 $ 763,908 -- $ 1,580,621 $11,384,398 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 199,556 61,128 13,883 592,384 279,150 171,661 Value $ 3,757,375 $ 1,155,811 $ 269,600 $12,399,546 $ 5,708,714 $ 3,055,570
FOCUS LIST BALANCED ---------------------------------------- -------------------------------------- SALES REPURCHASES REINVESTMENTS SALES REPURCHASES REINVESTMENTS ------------ ----------- ------------- ---------- ----------- ------------- CLASS A FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 286,595 250,990 -- 72,436 71,701 2,190 Value $ 4,998,302 $ 4,281,282 -- $ 988,360 $ 1,007,977 $ 30,198 FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 415,492 446,546 -- 131,554 114,981 5,408 Value $ 7,676,059 $ 8,158,294 -- $ 1,755,646 $ 1,536,079 $ 72,012 CLASS B FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 27,774 87,203 -- 93,333 62,241 1,445 Value $ 465,316 $ 1,450,622 -- $ 1,266,195 $ 872,172 $ 19,666 FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 104,088 87,734 -- 90,912 29,372 2,873 Value $ 1,818,926 $ 1,546,278 -- $ 1,199,431 $ 386,922 $ 37,923 CLASS C FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 36,687 90,818 -- 32,776 62,150 548 Value $ 629,903 $ 1,514,390 -- $ 439,016 $ 870,868 $ 7,462 FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 97,473 100,880 -- 29,068 33,951 2,775 Value $ 1,723,666 $ 1,816,113 -- $ 383,754 $ 445,372 $ 36,529 CLASS Y FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares -- -- -- 1,031,633 34,339 12,249 Value -- -- -- $14,760,602 $ 475,217 $ 170,585 FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares -- -- -- 76,870 96,859 11,679 Value -- -- -- $ 1,014,692 $ 1,271,910 $ 156,644
65
INTERNATIONAL EQUITY ----------------------------------------- SALES REPURCHASES REINVESTMENTS ------------ ------------ ------------- CLASS A FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 1,513,932 1,790,986 -- Value $ 26,738,423 $31,310,062 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 4,983,886 4,156,548 45,177 Value $106,043,134 $86,535,708 $ 904,435 CLASS B FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 36,283 120,483 -- Value $ 627,024 $ 1,921,234 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 295,243 193,475 10,347 Value $ 6,720,461 $ 3,870,501 $ 204,031 CLASS C FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2001 Shares 582,517 640,187 -- Value $ 9,973,810 $10,819,558 -- FOR THE FISCAL YEAR ENDED MARCH 31, 2001 Shares 1,833,635 1,017,731 18,550 Value $ 40,097,368 $21,397,621 $ 365,630 CLASS Y FOR THE PERIOD JULY 5, 2001* THROUGH SEPTEMBER 30, 2001 Shares 370,433 -- -- Value $ 5,717,028 -- --
- --------- * Commencement of its initial public offering. 66 CREDIT FACILITY The Fund entered into a demand promissory note arrangement with JPMorgan Chase Bank (the "Bank") to provide an uncommitted credit facility to the Fund (on behalf of each Portfolio). The credit facility bears interest at the greater of: (i) the rate otherwise in effect for such loan plus 2%, or (ii) that rate of interest from the time to time announced by the Bank at its principal office as its prime commercial lending rate plus 2%, with such interest to be payable on demand and upon payment in full of such principal. Each Portfolio as a fundamental policy is permitted to borrow in an amount up to 33 1/3% of the value of each Portfolio's assets. However, each Portfolio intends to borrow money only for temporary or emergency (not leveraging) purposes and only in amounts not to exceed 15% of its net assets. Each loan is payable on demand or upon termination of this credit facility or on the last day of the interest period and, in any event, not later than 14 days from the date the loan was advanced. Amounts outstanding under the line of credit facility during the six months ended September 30, 2001 were as follows:
MAXIMUM LOAN AMOUNT PORTFOLIO AVERAGE LOAN BALANCE OUTSTANDING AVERAGE INTEREST RATE - --------- -------------------- ------------------- --------------------- S&P STARS $5,976,786 $32,775,900 4.28% Small Cap 3,091 261,600 4.42 Balanced 273 50,000 4.58
The Portfolios had no amounts outstanding under the line of credit facility at September 30, 2001. 67 -----END PRIVACY-ENHANCED MESSAGE-----