<Page>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-07185
Morgan Stanley Select Dimensions Investment Series
(Exact name of registrant as specified in charter)
1221 Avenue of the Americas, New York, New York 10020
(Address of principal executive offices) (Zip code)
Ronald E. Robison
1221 Avenue of the Americas, New York, New York 10020
(Name and address of agent for service)
Registrant's telephone number, including area code: 212-762-4000
Date of fiscal year end: December 31, 2003
Date of reporting period: June 30, 2003
Item 1: Report to Shareholder
<Page>
MORGAN STANLEY
SELECT DIMENSIONS INVESTMENT SERIES
SEMI-ANNUAL REPORT
JUNE 30, 2003
<Page>
Morgan Stanley Select Dimensions Investment Series
TABLE OF CONTENTS
<Table>
Letter to the Shareholders........................ 1
Fund Performance.................................. 10
Portfolio of Investments:
Money Market.................................. 12
Flexible Income............................... 14
Balanced Growth............................... 37
Utilities..................................... 49
Dividend Growth............................... 53
Value-Added Market............................ 56
Growth........................................ 68
American Opportunities........................ 72
Capital Opportunities......................... 78
Global Equity................................. 82
Developing Growth............................. 87
Financial Statements:
Statements of Assets and Liabilities.......... 92
Statements of Operations...................... 94
Statements of Changes in Net Assets........... 96
Notes to Financial Statements..................... 104
Financial Highlights.............................. 114
</Table>
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003
Dear Shareholder:
The six-month period ended June 30, 2003 included two distinct market
environments. During the first quarter, concerns that the war in Iraq would lead
to a weak economy led the major U.S. equity indexes lower. Traditionally
defensive sectors outperformed in this environment as investors favored safety.
During the second quarter, fiscal and monetary policy became more stimulative.
This led to a rally in both the credit and equity markets. Consumer confidence
measures posted more-positive results during the period and continued strength
in housing and autos added further support to the markets. The defensive sectors
and securities that had led the market during the prior period fell behind as
investors' risk appetite grew.
Fixed-Income Overview
The six-month period ended June 30, 2003, was a remarkable time for the
fixed-income markets. During that period, the Federal Reserve Bank (the "Fed")
cut the federal funds rate by 25 basis points to a scant 1 percent. Moreover,
the Fed indicated in the announcement following its May 6 meeting that its
policy focus had shifted to taking whatever steps it believed were necessary to
restore the U.S. economy to a more solid growth trajectory and to avoid the
possibility (however slim) of deflation. Benchmark U.S. Treasury rates fell to
levels not seen in 45 years.
Prior to the beginning of the period, already slow growth was exacerbated as
geopolitical concerns took their toll. While the Fed's stance did raise
expectations for a more meaningful turn in the economic cycle, economic data
remained lackluster during the first six months of 2003. There was, however,
some improvement in the data and in confidence after the war in Iraq drew to a
close.
Falling interest rates had a substantial impact on GNMA and other
mortgage-backed securities. Homeowners were aggressive in their efforts to
capitalize on lower refinancing costs, and prepayments reached record levels. As
a result, mortgage-backed securities, and especially higher-coupon mortgages,
lagged the benchmark Treasury market.
International Overview
International markets began the year trading in negative territory, weighed down
by worries about deflation, a weakening U.S. dollar, uncertainty about a pending
war in Iraq and the hangover from corporate governance scandals. Markets
bottomed for the period in early March, when the uncertainty over the war in
Iraq abated.
Equity markets also enjoyed support from additional interest-rate cuts by the
U.S. Federal Reserve and the European Central Bank, with both institutions
bringing policy rates to historically low levels. The Bank of
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
Japan contributed additional liquidity as the central bank's new governor
implemented policy changes aimed at reversing persistent deflationary trends.
The market advance was accompanied by other encouraging signs: an appetite for
new equity offerings, the announcements of large mergers and a substantial
narrowing of corporate credit spreads.
In Asia, the SARS epidemic caused panic and turbulent markets. However, the
disease was quickly contained, and both markets and economies have bounced back.
China continued to post strong growth rates.
American Opportunities Portfolio
For the six-month period ended June 30, 2003, American Opportunities Portfolio's
Class X shares produced a total return of 7.34 percent compared to 11.76 percent
for the S&P 500 Index.(1) For the same period, the Portfolio's Class Y shares
returned 7.16 percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE
EACH HAS DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The Portfolio underperformed the S&P 500 during the six-month period, largely
because of its generally conservative construction. This defensive bias served
the Portfolio well in the first few months of the period, as investors shared
our concerns about the near-term strength of the U.S. economy. Those concerns
led us to increase the Portfolio's cash position and to overweight conservative
areas of the market such as utilities. The benefit of strong stock selection
during these months balanced the cost of an overweighted position in
telecommunications and an underweighted position in staples.
After keeping pace with the market through the first months of the period, the
Portfolio fell behind in the rally that followed. As the rally gathered steam,
we began to reduce the Portfolio's cash position in order to redeploy the assets
into more economically sensitive sectors such as consumer discretionary,
financials and technology. These positions helped performance, as did reduced
holdings in consumer staples and an underweighted position in industrials. The
Portfolio was held back by its continued focus on high-quality companies that
were outpaced by more speculative companies during the period.
Balanced Growth Portfolio
For the six-month period ended June 30, 2003, Balanced Growth Portfolio's
Class X shares produced a total return of 8.50 percent versus 11.76 percent for
the S&P 500, 11.57 percent for the Russell 1000
- --------------------
(1) THE STANDARD & POOR'S 500 INDEX (S&P 500-REGISTERED TRADEMARK-) IS A
BROAD-BASED INDEX, THE PERFORMANCE OF WHICH IS BASED ON THE PERFORMANCE OF
500 WIDELY HELD COMMON STOCKS CHOSEN FOR MARKET SIZE, LIQUIDITY AND INDUSTRY
GROUP REPRESENTATION. INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT
INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS
NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
2
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
Value Index(2) and 3.93 percent for the Lehman Brothers U.S. Aggregate Index.(3)
For the same period, the Portfolio's Class Y shares returned 8.31 percent. THE
PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS DIFFERENT EXPENSES.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The Portfolio underperformed the S&P 500 and Russell 1000 Value indexes during
the six months ended June 30, 2003. Much of the portfolio's underperformance
stemmed from its holdings of fixed-income securities, which lagged the equity
market during the rally in April and May. We also overweighted the energy sector
based on the attractive values of many companies, reflecting expectations for
low oil prices. While we remain convinced of the value of the position, the
sector did not participate as fully in the rally as other sectors. The
Portfolio's returns were also affected by the poor performance of Sprint. The
company suffered along with the rest of the telecommunications industry, and was
further held back by stiff competition in key markets.
These positions were partially offset by strong performance in segments of the
Portfolio's equity component. Cyclical names within the consumer-staples sector
gained on the basis of rising expectations for the U.S. economy, and the
Portfolio's exposure there was a positive. Strong stock selection in the
consumer-discretionary and financial sectors also helped the Portfolio. Many of
these securities presented compelling values, and appreciated strongly from
their relatively low valuations at the beginning of the period.
Capital Opportunities Portfolio
For the six-month period ended June 30, 2003, Capital Opportunities Portfolio's
Class X shares produced a total return of 17.64 percent versus 12.41 percent for
the S&P MidCap 400 Index(4) and 15.63 percent for
- --------------------
(2) THE RUSSELL 1000 VALUE INDEX MEASURES THE PERFORMANCE OF COMPANIES IN THE
RUSSELL 1000 INDEX WITH LOWER PRICE-TO-BOOK RATIOS AND LOWER FORECASTED
GROWTH VALUES. INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT INCLUDE ANY
SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT
POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(3) THE LEHMAN BROTHERS U.S. AGGREGATE INDEX TRACKS THE PERFORMANCE OF ALL U.S.
GOVERNMENT AGENCY AND TREASURY SECURITIES, INVESTMENT-GRADE CORPORATE DEBT
SECURITIES, AGENCY MORTGAGE-BACKED SECURITIES, ASSET-BACKED SECURITIES AND
COMMERCIAL MORTGAGE-BASED SECURITIES. INDEXES ARE UNMANAGED, AND THEIR
RETURNS DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER
PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(4) THE STANDARD AND POOR'S MIDCAP 400 INDEX (S&P 400) IS A MARKET-VALUE
WEIGHTED INDEX THE PERFORMANCE OF WHICH IS BASED ON THE PERFORMANCE OF 400
DOMESTIC STOCKS CHOSEN FOR MARKET SIZE, LIQUIDITY AND INDUSTRY GROUP
REPRESENTATION. INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT INCLUDE ANY
SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT
POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
3
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
the Lipper Multi-Cap Growth Index.(5) For the same period, the Portfolio's
Class Y shares returned 17.58 percent. THE PERFORMANCE OF THE TWO SHARE CLASSES
VARIES BECAUSE EACH HAS DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS.
For the period, the Portfolio outperformed its benchmarks primarily because of
stock selection, while sector allocation also made a positive contribution. The
three largest sectors in the Portfolio were consumer discretionary, health care
and technology. Each of these sectors contributed positively to relative
performance. Stock selection was strongest in consumer discretionary, followed
by financial services and utilities. Other contributors to performance included
stock selection and an underweighted position in materials and processing, an
overweighting in technology and stock selection in utilities. The largest
detractor from performance was stock selection in the health-care sector. Stock
selection and an underweighted position in producer durables also detracted from
performance.
Developing Growth Portfolio
For the six-month period ended June 30, 2003, Developing Growth Portfolio's
Class X shares produced a total return of 17.29 percent versus 18.79 percent for
the Russell 2500 Growth Index(6) and 17.88 percent for the Russell 2000
Index.(7) For the same period, the Portfolio's Class Y shares returned 17.23
percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The Portfolio underperformed its benchmark indexes for the period primarily due
to stock selection; sector allocation also had a negative impact on performance.
The three largest sectors in the Portfolio were consumer discretionary, health
care and technology. Stock selection contributed most to performance in the
consumer discretionary, consumer staples and other energy sectors. Consumer
discretionary contributed the most to relative performance, followed by other
energy and consumer staples. The largest detractor from
- --------------------
(5) THE LIPPER MULTI-CAP GROWTH INDEX TRACKS THE PERFORMANCE OF THE 30 LARGEST
MULTI-CAP GROWTH MUTUAL FUNDS, AS CATEGORIZED BY LIPPER, INC. FUNDS IN THIS
CATEGORY, BY PORTFOLIO PRACTICE, INVEST IN A VARIETY OF MARKET
CAPITALIZATION RANGES WITHOUT CONCENTRATING 75 PERCENT OF THEIR EQUITY
ASSETS IN ANY ONE MARKET CAPITALIZATION RANGE OVER AN EXTENDED PERIOD OF
TIME. MULTI-CAP GROWTH FUNDS TYPICALLY HAVE AN ABOVE AVERAGE PRICE-
TO-EARNINGS RATIO, PRICE-TO-BOOK RATIO AND THREE-YEAR SALES-PER-SHARE GROWTH
VALUE COMPARED TO THE S&P SUPERCOMPOSITE 1500 INDEX. INDEXES ARE UNMANAGED,
AND THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD
LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(6) THE RUSSELL 2500 GROWTH INDEX MEASURES THE PERFORMANCE OF COMPANIES IN THE
RUSSELL 2500 INDEX WITH HIGHER PRICE-TO-BOOK RATIOS AND HIGHER FORECASTED
GROWTH VALUES. INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT INCLUDE ANY
SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT
POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
(7) THE RUSSELL 2000 INDEX IS A CAPITALIZATION-WEIGHTED INDEX, WHICH IS
COMPRISED OF THE 2000 SMALLEST STOCKS INCLUDED IN THE RUSSELL 3000 INDEX.
INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR
FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST
DIRECTLY IN AN INDEX.
4
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
performance was stock selection and a relative underweight in technology, which
accounts for most of the Portfolio's underperformance compared to its
benchmarks. In addition, the stocks the Fund owned in health care lagged the
Index sector return.
Dividend Growth Portfolio
For the six-month period ended June 30, 2003, Dividend Growth Portfolio's
Class X shares posted a total return of 11.44 percent versus 11.76 percent for
the S&P 500 Index. For the same period, the Portfolio's Class Y shares returned
11.33 percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Sector selection was negative for the Portfolio, while stock selection was
strongly positive. Sector selection detracted from performance most meaningfully
in the basic resources area, where the Portfolio is overweighted relative to the
benchmark. However, sector selection was favorable in the telephone services
group, where the Portfolio is underweighted relative to the S&P 500 benchmark.
The Portfolio's overweighting in the utility sector and its underweighting in
food and tobacco and energy were also positives. Stock selection was strong in
heavy-industry, consumer-durables, health-care, food and tobacco, and
financial-services stocks. The Portfolio's individual holdings in utility names
detracted from relative performance. Investment decisions continue to reflect a
commitment to the dividend-growth discipline.
Flexible Income Portfolio
For the six-month period ended June 30, 2003, Flexible Income Portfolio's
Class X shares produced a total return of 7.66 percent versus 4.27 percent for
the Lehman Brothers Intermediate U.S. Government/Credit Index.(8) For the same
period, the Portfolio's Class Y shares returned 7.40 percent. THE PERFORMANCE OF
THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS DIFFERENT EXPENSES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
On May 1, 2003, the Portfolio's name changed to Flexible Income Portfolio from
Diversified Income Portfolio. This name change reflected a change in the
Portfolio's investment mandate. Previously, the Portfolio equally allocated
approximately one-third of its assets among three separate groups or market
segments of fixed-income securities: global securities; mortgaged-backed
securities and U.S. government securities; and high-yield securities. Under the
Portfolio's new investment mandate, the management team will actively allocate
the Portfolio's securities investments among these groups, with the addition of
an
- --------------------
(8) THE LEHMAN BROTHERS INTERMEDIATE U.S. GOVERNMENT/CREDIT INDEX TRACKS THE
PERFORMANCE OF U.S. GOVERNMENT AND CORPORATE OBLIGATIONS, INCLUDING U.S.
GOVERNMENT AGENCY AND TREASURY SECURITIES, AND CORPORATE AND YANKEE BONDS
WITH MATURITIES OF 1 TO 10 YEARS. INDEXES ARE UNMANAGED, AND THEIR RETURNS
DO NOT INCLUDE ANY SALES CHARGES OR FEES. SUCH COSTS WOULD LOWER
PERFORMANCE. IT IS NOT POSSIBLE TO INVEST DIRECTLY IN AN INDEX.
5
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
emerging markets-securities group. The amount of the Portfolio's assets
committed to any one asset class or group will fluctuate depending upon market
conditions and the current economic environment.
In keeping with its new mandate, the Portfolio's performance was driven by its
flexible allocations to the world's major fixed-income markets and sectors.
Among the positives were the Portfolio's holdings of high-yield securities,
which constituted approximately one-third of the Portfolio. Investments in
global securities also proved helpful. The global portion included
investment-grade corporate securities, which generally performed well relative
to government securities benchmarks.
The Portfolio's performance was also helped by the global portion's exposure to
non-U.S. currencies. The strong performance of most non-U.S. currencies during
the period caused the Portfolio's unhedged non-U.S.-dollar holdings to gain
strongly.
Global Equity Portfolio
For the six-month period ended June 30, 2003, Global Equity Portfolio's Class X
shares produced a total return of 14.08 percent, compared to 11.12 percent for
the Morgan Stanley Capital International (MSCI) World Index.(9) For the same
period, the Portfolio's Class Y shares returned 13.93 percent. THE PERFORMANCE
OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS DIFFERENT EXPENSES. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The Portfolio's performance relative to its benchmark was favorably affected by
its overweighted positions in the technology, biotechnology and media sectors
and its corresponding underweighted stance in the energy and consumer staples
sectors.
On June 30, 2003, the Portfolio's regional weighting targets were 62 percent in
North America (overweighted relative to the MSCI World Index), 23 percent in
Europe (underweighted), 10 percent in Japan (overweighted) and 3 percent in Asia
(overweighted). The remaining 2 percent was held in cash and cash equivalents.
Growth Portfolio
For the six-month period ended June 30, 2003, Growth Portfolio's Class X shares
posted a total return of 12.57 percent versus 11.76 percent for the S&P 500. For
the same period, the Portfolio's Class Y shares
- --------------------
(9) THE MORGAN STANLEY CAPITAL INTERNATIONAL (MSCI) WORLD INDEX MEASURES THE
PERFORMANCE OF A DIVERSE RANGE OF GLOBAL STOCK MARKETS, INCLUDING SECURITIES
REPRESENTATIVE OF THE MARKET STRUCTURE OF 22 DEVELOPED MARKET COUNTRIES IN
NORTH AMERICA, EUROPE AND THE ASIA/PACIFIC REGION. THE PERFORMANCE OF THE
INDEX IS LISTED IN U.S. DOLLARS AND ASSUMES REINVESTMENT OF NET DIVIDENDS.
"NET DIVIDENDS" REFLECTS A REDUCTION IN DIVIDENDS AFTER TAKING INTO ACCOUNT
WITHHOLDING OF TAXES BY CERTAIN FOREIGN COUNTRIES REPRESENTED IN THE INDEX.
INDEXES ARE UNMANAGED, AND THEIR RETURNS DO NOT INCLUDE ANY SALES CHARGES OR
FEES. SUCH COSTS WOULD LOWER PERFORMANCE. IT IS NOT POSSIBLE TO INVEST
DIRECTLY IN AN INDEX.
6
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
returned 12.43 percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE
EACH HAS DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
On a relative basis, the Portfolio was helped by security selection and an
underweighted position in the telecommunication-services sector. Stock selection
and an underweighting in energy also contributed to performance. Because the
typical energy stock advanced less than the index return over the period, the
Portfolio benefited from our decision to underweight the sector. The energy
stocks we did own performed better than average and contributed to performance.
The Portfolio's lack of meaningful exposure to materials stocks also helped
relative performance.
Disappointing stock selection in the consumer-discretionary, technology and
financials sectors detracted from performance. During the second quarter of 2003
when the market rallied, technology stocks were some of the biggest
beneficiaries, especially speculative names with relatively weak fundamentals.
Our focus, however, remained on higher-quality companies that we believed would
do well even if the economy failed to recover as quickly as some people hoped.
On the positive side, several technology companies were among the portfolio's
leading positive contributors
The Portfolio's position in mortgage company Freddie Mac was the most
significant individual detractor in the financial sector. Earlier this year, we
reduced the Portfolio's investment in Freddie Mac because of a change in
auditors and concerns regarding the treatment of interest-rate hedges in
financial statements. On June 9, the position was eliminated from the Portfolio.
Money Market Portfolio
As of June 30, 2003, the Money Market Portfolio had net assets in excess of $168
million, with an average maturity of 31 days. For the seven-day period ended
June 30, 2003, the Portfolio's Class X shares provided an effective annualized
yield of 0.62 percent and a current annualized yield of 0.62 percent, while its
30-day moving average annualized yield for June was 0.68 percent. For the
six-month period ended June 30, 2003, the Portfolio's Class X shares provided a
total return of 0.38 percent and an annualized total return of 0.77 percent.
For the seven-day period ended June 30, 2003, the Portfolio's Class Y shares
provided an effective annualized yield of 0.37 percent and a current annualized
yield of 0.37 percent, while its 30-day moving average annualized yield for June
was 0.43 percent. For the six-month period ended June 30, 2003, the Portfolio's
Class Y shares provided a total return of 0.25 percent and an annualized total
return of 0.50
7
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
On June 30, 2003, approximately 64 percent of the Portfolio was invested in
high-quality commercial paper, 22 percent in federal agency obligations and the
remaining 14 percent in short-term certificates of deposit and bank notes issued
by financially strong commercial banks. Approximately 98 percent of the
Portfolio's holdings were due to mature in less than four months. Consequently,
we believe the Portfolio is well positioned for stability of value with a very
high degree of liquidity. As always, we attempt to operate the Portfolio in a
conservative manner without the use of derivatives or structured notes that
might fluctuate excessively with changing interest rates. We believe that the
Portfolio continues to serve as a useful investment for liquidity, preservation
of capital and a yield that reflects prevailing money-market conditions.
Utilities Portfolio
For the six-month period ended June 30, 2003, Utilities Portfolio's Class X
shares produced a total return of 12.58 percent versus 11.76 percent for the S&P
500 Index. For the same period, the Portfolio's Class Y shares returned 12.46
percent. THE PERFORMANCE OF THE TWO SHARE CLASSES VARIES BECAUSE EACH HAS
DIFFERENT EXPENSES. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
The six-month period ended June 30, 2003, was highly constructive for the equity
markets and for the utilities sector. Like other sectors that suffered in 2002,
utilities stocks rebounded sharply off of their lows and posted strong
performance as a group through June. The sector's appeal to investors stemmed
from a number of factors. Most of the sectors within the utilities industry
enjoyed some improvement in their fundamentals that made them especially
attractive given their relatively low valuations at the beginning of the period.
The stocks' defensive characteristics made them even more attractive to
conservative investors concerned about volatility in the equity markets.
Utilities stocks' dividend yields were an added incentive for investors, and
were rendered even more compelling by changes in the tax treatment of dividends.
The Portfolio's outperformance of the S&P 500 Index can be attributed to its
broad diversification within the utilities sector, which posted a strong rebound
in the first half of 2003. The Portfolio's performance was boosted by its
holdings in the electric and gas industries, which were among the best-returning
subsectors within the utilities group. As was the case with many other areas in
the market, some of the best-performing electric companies were the
lowest-quality names. We chose to keep the Portfolio's aggregate quality fairly
high, though we did add a diversified basket of wholesale generators in order to
give shareholders some controlled exposure to these companies while remaining
true to our long-term bias
8
<Page>
Morgan Stanley Select Dimensions Investment Series
LETTER TO THE SHAREHOLDERS / / JUNE 30, 2003 CONTINUED
toward high-quality companies. Broadly speaking, we emphasized electric
companies with earnings growth visibility, appealing yields and dividend-growth
potential.
We followed a similar strategy in the telecommunications sector. Some of the
companies with uncertain fundamentals were among the best performers. Our
decision to avoid overweighting these companies because of our commitment to
maintaining the Portfolio's high-quality posture tempered performance. We kept
the Portfolio's telecom holdings well diversified across various facets of the
sector including regional Bell operating companies, cable and wireless services
carriers.
Value-Added Market Portfolio
For the six-month period ended June 30, 2003, Value-Added Market Portfolio's
Class X shares produced a total return of 13.58 percent compared to 11.76
percent for the S&P 500 Index. For the same period, the Portfolio's Class Y
shares posted a total return of 13.46 percent. THE PERFORMANCE OF THE TWO SHARE
CLASSES VARIES BECAUSE EACH HAS DIFFERENT EXPENSES. PAST PERFORMANCE IS NO
GUARANTEE OF FUTURE RESULTS.
The Portfolio invests in substantially all the stocks included in the S&P 500.
Unlike the index, however, the Portfolio approximately equally weights all the
stocks comprising the S&P 500, thereby emphasizing the stocks of small- and
mid-cap companies. The Portfolio's return was bolstered by strong performance
during the first half of 2003 by the technology and utilities sectors.
We appreciate your ongoing support of Morgan Stanley Select Dimensions
Investment Series and look forward to continuing to serve your investment needs.
Very truly yours,
<Table>
/s/ Charles A. Fiumefreddo /s/ Mitchell M. Merin
Charles A. Fiumefreddo Mitchell M. Merin
CHAIRMAN OF THE BOARD PRESIDENT
</Table>
Proxy Voting Policies and Procedures
A description of the Fund's policies and procedures with respect to the voting
of proxies relating to the Fund's portfolio securities is available without
charge, upon request, by calling (800) 869-NEWS. This information is also
available on the Securities and Exchange Commission's website at
http://www.sec.gov.
9
<Page>
Morgan Stanley Select Dimensions Investment Series
FUND PERFORMANCE / / JUNE 30, 2003
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS-PERIOD ENDED JUNE 30, 2003(1)
- ----------------------------------------------------------------
SINCE
CLASS X 1 YEAR 5 YEARS INCEPTION*
- ------- ------ ------- ----------
American Opportunities............. (6.93)% (0.74)% 10.73%
Balanced Growth.................... 0.40 2.01 8.51
Capital Opportunities.............. (2.12) (10.80) (5.06)
Developing Growth.................. (0.29) (1.03) 8.68
Dividend Growth.................... (5.49) (0.75) 10.73
Flexible Income.................... 13.57 1.20 3.96
Global Equity...................... (0.68) (0.03) 5.26
Growth............................. (1.15) (2.84) 6.05
Money Market....................... 1.00 3.77 4.46
Utilities.......................... 2.66 0.56 8.57
Value-Added Market................. (0.35) 3.50 11.06
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH
LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES. PERFORMANCE FOR CLASS X SHARES WILL VARY FROM THE PERFORMANCE OF
CLASS Y SHARES DUE TO DIFFERENCES IN EXPENSES.
- ------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
* The inception date of each Portfolio was November 9, 1994, with the
exception of Capital Opportunities, which commenced operations on January
21, 1997.
10
<Page>
Morgan Stanley Select Dimensions Investment Series
FUND PERFORMANCE / / JUNE 30, 2003 CONTINUED
<Table>
<Caption>
AVERAGE ANNUAL TOTAL RETURNS-PERIOD ENDED JUNE 30, 2003(1)
- ------------------------------------------------------------
SINCE
CLASS Y 1 YEAR INCEPTION*
- ------- ------ ----------
American Opportunities.................. (7.20)% (17.77)%
Balanced Growth......................... 0.15 2.23
Capital Opportunities................... (2.43) (36.51)
Developing Growth....................... (0.52) (18.66)
Dividend Growth......................... (5.73) (0.99)
Flexible Income......................... 13.17 2.09
Global Equity........................... (0.96) (11.04)
Growth.................................. (1.42) (18.17)
Money Market............................ 0.74 2.57
Utilities............................... 2.41 (15.26)
Value-Added Market...................... (0.64) 1.00
</Table>
PAST PERFORMANCE IS NOT PREDICTIVE OF FUTURE RETURNS. INVESTMENT RETURN AND
PRINCIPAL VALUE WILL FLUCTUATE. WHEN YOU SELL FUND SHARES, THEY MAY BE WORTH
LESS THAN THEIR ORIGINAL COST. THE TABLE DOES NOT REFLECT THE DEDUCTION OF TAXES
THAT A SHAREHOLDER WOULD PAY ON FUND DISTRIBUTIONS OR THE REDEMPTION OF FUND
SHARES. PERFORMANCE FOR CLASS Y SHARES WILL VARY FROM THE PERFORMANCE OF
CLASS X SHARES DUE TO DIFFERENCES IN EXPENSES.
- ------------------------
(1) Figure assumes reinvestment of all distributions for the underlying fund
based on net asset value (NAV). It does not reflect the deduction of
insurance expenses, an annual contract maintenance fee, or surrender
charges.
* Inception date of July 24, 2000.
11
<Page>
Money Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT IN ON DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- -------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (64.4%)
BANKING (5.0%)
$ 4,000 Citicorp.......................................... 1.03 % 08/18/03 $ 3,994,507
4,450 Northern Trust Corp............................... 1.22 - 1.24 07/21/03 - 08/29/03 4,443,658
------------
8,438,165
------------
FINANCE - AUTOMOTIVE (1.8%)
3,000 BMW US Capital Corp............................... 1.21 07/22/03 2,997,883
------------
FINANCE - CONSUMER (12.1%)
4,000 DaimlerChryster Revolving Auto Conduit............ 0.98 07/24/03 3,997,496
8,100 FCAR Owner Trust.................................. 1.03 - 1.14 07/11/03 - 08/01/03 8,096,005
8,200 New Center Asset Trust............................ 0.95 - 1.03 07/28/03 - 08/22/03 8,191,043
------------
20,284,544
------------
FINANCE - CORPORATE (1.8%)
3,000 Ciesco, L.P....................................... 1.22 07/08/03 2,999,288
------------
FINANCIAL CONGLOMERATES (9.5%)
7,900 General Electric Capital Corp..................... 0.98 - 1.13 08/07/03 - 09/04/03 7,889,512
8,150 Mortgage Interest Networking Trust................ 0.98 - 1.24 07/18/03 - 07/29/03 8,144,253
------------
16,033,765
------------
INTEGRATED OIL (2.1%)
3,500 Shell Finance (UK) PLC............................ 1.18 08/14/03 3,494,952
------------
INTERNATIONAL BANKS (32.1%)
6,700 A N Z (Delaware) Inc.............................. 1.05 - 1.22 07/01/03 - 07/30/03 6,697,548
2,350 Barclays U.S. Funding Corp........................ 1.04 - 1.25 08/01/03 - 08/27/03 2,346,644
3,000 BNP Paribas Finance Inc........................... 1.24 07/07/03 2,999,380
8,127 CBA (Delaware) Finance Inc........................ 1.03 - 1.25 07/07/03 - 08/01/03 8,123,577
4,000 Dexia (Delaware) LLC.............................. 1.02 07/18/03 3,998,073
5,200 ING (U.S.) Funding LLC............................ 1.21 - 1.22 07/09/03 - 08/14/03 5,195,346
8,362 Royal Bank of Scotland PLC........................ 1.23 - 1.25 07/03/03 - 07/15/03 8,360,204
8,300 Societe Generale N.A. Inc......................... 1.00 - 1.25 07/01/03 - 08/04/03 8,297,163
3,460 UBS Finance (Delaware) LLC........................ 1.31 07/01/03 3,460,000
4,500 Westpac Capital Corp.............................. 0.98 - 1.08 07/09/03 - 07/10/03 4,498,910
------------
53,976,845
------------
TOTAL COMMERCIAL PAPER
(COST $108,225,442)...................................................................... 108,225,442
------------
U.S. GOVERNMENT AGENCIES (21.8%)
2,475 Federal Farm Credit Banks......................... 1.45 08/05/03 2,471,559
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
12
<Page>
Money Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
ANNUALIZED
PRINCIPAL YIELD
AMOUNT IN ON DATE OF MATURITY
THOUSANDS PURCHASE DATE VALUE
- -------------------------------------------------------------------------------------------------------------------
$10,450 Federal Home Loan Mortgage Corp................... 1.16 - 1.21% 07/17/03 - 10/09/03 $ 10,425,735
23,725 Federal National Mortgage Assoc................... 0.87 - 1.20 07/02/03 - 12/17/03 23,689,720
------------
TOTAL U.S. GOVERNMENT AGENCIES
(COST $36,587,014)....................................................................... 36,587,014
------------
CERTIFICATES OF DEPOSITS (10.2%)
2,300 Bank of America N.A............................... 1.11 07/16/03 2,300,000
2,700 Chase Manhattan Bank (USA), N.A................... 1.24 07/03/03 2,700,000
4,000 State Street Bank & Trust Co...................... 1.03 07/16/03 4,000,000
8,200 Wells Fargo Bank, N.A............................. 1.21 - 1.24 07/07/03 - 08/19/03 8,200,000
------------
TOTAL CERTIFICATES OF DEPOSITS
(COST $17,200,000)....................................................................... 17,200,000
------------
SHORT-TERM BANK NOTES (3.8%)
4,000 Bank of America N.A............................... 1.23 07/10/03 4,000,000
2,350 Standard Federal Bank N.A......................... 0.94 08/21/03 2,350,000
------------
TOTAL SHORT-TERM BANK NOTES
(COST $6,350,000)........................................................................ 6,350,000
------------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $168,362,456) (a).......................... 100.2% 168,362,456
LIABILITIES IN EXCESS OF OTHER ASSETS............. (0.2) (330,652)
----- ------------
NET ASSETS........................................ 100.0% $168,031,804
===== ============
</Table>
- ---------------------
(a) COST IS THE SAME FOR FEDERAL INCOME TAX PURPOSES.
SEE NOTES TO FINANCIAL STATEMENTS
13
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
GOVERNMENT & CORPORATE BONDS (83.0%)
FOREIGN (23.8%)
ARGENTINA (0.1%)
GOVERNMENT OBLIGATION
$ 210 Republic of Argentina............................. 0.00% 03/31/23 $ 112,350
-----------
AUSTRIA (1.9%)
GOVERNMENT OBLIGATION
EUR 1,200 Austrian Government Bond.......................... 3.40 10/20/04 1,403,882
-----------
BERMUDA (0.0%)
PERSONNEL SERVICES
10 Adecco Financial Services......................... 6.00 03/15/06 12,306
-----------
BRAZIL (2.3%)
GOVERNMENT OBLIGATION
$ 1,650 Federal Republic of Brazil........................ 12.00 04/15/10 1,718,475
-----------
BULGARIA (0.5%)
GOVERNMENT OBLIGATION
290 Republic of Bulgaria.............................. 8.25 01/15/15 342,200
-----------
CANADA (2.2%)
AIRLINES (0.1%)
140 Air Canada Corp. (a)(c)........................... 10.25 03/15/11 63,000
-----------
ALTERNATIVE POWER GENERATION (0.0%)
45 Calpine Canada Energy Finance Corp................ 8.50 05/01/08 35,378
-----------
CHEMICALS: SPECIALTY (0.1%)
80 Acetex Corp....................................... 10.875 08/01/09 88,900
-----------
CONTAINERS/PACKAGING (0.1%)
65 Norampac, Inc. - 144A*............................ 6.75 06/01/13 68,250
-----------
ELECTRONICS/APPLIANCES (0.0%)
750 International Semi-Tech Microelectronics,
Inc. (a)(c)...................................... 11.50 08/15/03 0
-----------
FOREST PRODUCTS (0.2%)
130 Tembec Industries Inc............................. 8.50 02/01/11 128,700
40 Tembec Industries Inc............................. 7.75 03/15/12 38,800
-----------
167,500
-----------
GOVERNMENT OBLIGATION (0.8%)
CAD 725 Canada Government Bond............................ 5.50 06/01/09 580,339
-----------
INTEGRATED OIL (0.0%)
$ 30 Petro-Canada...................................... 5.35 07/15/33 28,676
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
14
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
MOVIES/ENTERTAINMENT (0.2%)
$ 134 Alliance Atlantis Communications, Inc............. 13.00% 12/15/09 $ 152,760
-----------
PUBLISHING: NEWSPAPERS (0.1%)
66 Hollinger Participation - 144A*................... 12.125+ 11/15/10 73,718
-----------
PULP & PAPER (0.6%)
155 Abitibi - Consolidated Inc........................ 6.00 06/20/13 147,523
100 Norske Skog Canada Ltd............................ 8.625 06/15/11 114,950
95 Norske Skog Canada Ltd. - 144A*................... 8.625 06/15/11 99,275
20 Pacifica Papers Inc............................... 10.00 03/15/09 21,300
-----------
383,048
-----------
SPECIALTY TELECOMMUNICATIONS (0.0%)
200 Worldwide Fiber Inc. (c).......................... 12.00 08/01/09 20
-----------
TOTAL CANADA.......................................................................... 1,641,589
-----------
CHILE (0.2%)
OIL & GAS PRODUCTION
160 Empresa Nacional de Petroleo...................... 6.75 11/15/12 179,838
-----------
COLOMBIA (0.8%)
GOVERNMENT OBLIGATIONS
40 Republic of Colombia.............................. 10.50 07/09/10 46,000
9 Republic of Colombia.............................. 9.75 04/09/11 9,875
260 Republic of Colombia.............................. 9.75 04/09/11 291,703
130 Republic of Colombia.............................. 10.00 01/23/12 145,600
60 Republic of Colombia.............................. 10.75 01/15/13 70,200
50 Republic of Colombia.............................. 11.75 02/25/20 62,250
-----------
TOTAL COLOMBIA........................................................................ 625,628
-----------
DENMARK (0.1%)
GOVERNMENT OBLIGATION
DKK 400 Kingdom of Denmark................................ 5.00 08/15/05 65,198
-----------
FRANCE (1.4%)
CHEMICALS - SPECIALTY (0.2%)
$ 140 Rhodia SA - 144A*................................. 8.875 06/01/11 144,900
-----------
GOVERNMENT OBLIGATIONS (0.9%)
EUR 225 France (Republic of).............................. 5.00 07/12/05 271,932
300 France (Republic of).............................. 6.50 04/25/11 415,285
-----------
687,217
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
15
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
MEDIA CONGLOMERATES (0.2%)
$ 160 Vivendi Universal SA - 144A*...................... 9.25% 04/15/10 $ 182,000
-----------
TELECOMMUNICATIONS (0.1%)
EUR 35 France Telecom SA................................. 7.00 12/23/09 46,315
-----------
WATER UTILITIES (0.0%)
20 Gie Suez Alliance................................. 5.50 02/20/09 24,463
-----------
TOTAL FRANCE.......................................................................... 1,084,895
-----------
GERMANY (2.2%)
GOVERNMENT OBLIGATIONS
550 Deutschland Republic.............................. 7.375 01/03/05 681,516
725 Deutschland Republic.............................. 6.25 01/04/24 1,014,999
-----------
TOTAL GERMANY......................................................................... 1,696,515
-----------
IRELAND (0.3%)
INVESTMENT MANAGERS
$ 175 JSG Funding PLC................................... 9.625 10/01/12 193,375
-----------
JAPAN (1.8%)
GOVERNMENT OBLIGATIONS
JPY 132,000 Japan (Government of)............................. 0.10 04/20/05 1,102,997
34,000 Japan (Government of)............................. 0.80 03/20/13 283,200
-----------
TOTAL JAPAN........................................................................... 1,386,197
-----------
KYRGYZSTAN (0.0%)
TOBACCO
EUR 15 Altria Finance Ltd................................ 5.625 06/24/08 17,458
-----------
LUXEMBOURG (0.2%)
INDUSTRIAL CONGLOMERATES
$ 140 Tyco International Group S.A...................... 6.75 02/15/11 148,400
-----------
MEXICO (3.1%)
GOVERNMENT OBLIGATIONS (3.0%)
85 United Mexican States Corp........................ 8.375 01/14/11 101,830
1,400 United Mexican States Corp........................ 11.375 09/15/16 2,037,000
70 United Mexican States Corp........................ 8.30 08/15/31 80,605
-----------
2,219,435
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
16
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
TELECOMMUNCIATION EQUIPMENT (0.1%)
$ 195 Satelites Mexicanos SA............................ 10.125% 11/01/04 $ 89,700
-----------
TOTAL MEXICO.......................................................................... 2,309,135
-----------
NETHERLANDS (0.1%)
TELECOMMUNICATIONS
50 Deutsche Telekom International Finance Corp....... 8.75 06/15/30 63,705
EUR 25 Olivetti Finance NV............................... 5.875 01/24/08 30,984
-----------
TOTAL NETHERLANDS..................................................................... 94,689
-----------
PANAMA (0.4%)
GOVERNMENT OBLIGATION
$ 250 Republic of Panama................................ 9.375 04/01/29 288,750
-----------
PERU (0.6%)
GOVERNMENT OBLIGATIONS
70 Republic of Peru.................................. 9.125 02/21/12 74,620
340 Republic of Peru.................................. 9.875 02/06/15 373,150
-----------
TOTAL PERU............................................................................ 447,770
-----------
PHILIPPINES (0.5%)
GOVERNMENT OBLIGATIONS
150 Republic of Philippines........................... 9.375 01/18/17 164,625
130 Republic of Philippines........................... 9.875 01/15/19 143,488
80 Republic of Philippines........................... 10.625 03/16/25 93,100
-----------
401,213
-----------
QATAR (0.1%)
GAS DISTRIBUTORS
35 Ras Laffan Liquid Natural Gas Co. - 144A*......... 8.294 03/15/14 40,425
-----------
RUSSIA (2.8%)
GOVERNMENT OBLIGATION
1,250 Federal Republic of Russia........................ 12.75 06/24/28 2,100,000
-----------
SINGAPORE (0.2%)
ELECTRONIC COMPONENTS
65 Flextronics International Ltd. (Series B)......... 9.875 07/01/10 114,975
-----------
SWEDEN (0.2%)
GOVERNMENT OBLIGATION
SEK 1,325 Swedish Government Bond........................... 5.00 01/15/04 167,547
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
17
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
TUNISIA (0.0%)
REGIONAL BANKS
$ 650 Banque Centrale de Tunisie........................ 7.375% 04/25/12 $ 34,950
-----------
UNITED KINGDOM (1.4%)
ADVERTISING/MARKETING SERVICES (0.0%)
EUR 30 WPP Group PLC..................................... 6.00 06/18/08 37,111
-----------
CABLE/SATELLITE TV (0.5%)
$ 125 British Sky Broadcasting Group PLC................ 6.875 02/23/09 141,250
190 British Sky Broadcasting Group PLC................ 8.20 07/15/09 225,150
-----------
366,400
-----------
CHEMICALS: SPECIALTY (0.1%)
95 Avecia Group PLC.................................. 11.00 07/01/09 85,975
-----------
ELECTRONIC EQUIPMENT/INSTRUMENTS (0.1%)
85 Xerox Capital Europe PLC.......................... 5.875 05/15/04 85,425
-----------
GOVERNMENT OBLIGATION (0.6%)
GBP 250 U.K. Treasury..................................... 5.00 03/07/12 439,094
-----------
MISCELLANEOUS MANUFACTURING (0.0%)
EUR 10 FKI PLC........................................... 6.625 02/22/10 11,432
-----------
REAL ESTATE DEVELOPMENT (0.0%)
20 Hammerson PLC..................................... 6.25 06/20/08 25,398
-----------
TELECOMMUNICATIONS (0.1%)
$ 30 British Telecom PLC............................... 8.875 12/15/30 40,937
-----------
TOBACCO (0.0%)
EUR 20 BAT International Finance PLC..................... 4.875 02/25/09 23,358
-----------
TOTAL UNITED KINGDOM.................................................................. 1,115,130
-----------
URUGUAY (0.0%)
GOVERNMENT OBLIGATION
$ 12 Republic of Uruguay............................... 7.25 02/15/11 9,350
-----------
VENEZUELA (0.4%)
GOVERNMENT OBLIGATIONS
107 Republic of Venezuela............................. 2.3125 12/18/07 84,910
250 Republic of Venezuela............................. 9.25 09/15/27 185,000
-----------
269,910
-----------
TOTAL FOREIGN
(COST $17,701,132)................................................................... 18,022,150
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
18
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
UNITED STATES (59.2%)
CORPORATE BONDS (32.0%)
ADVERTISING/MARKETING SERVICES (0.3%)
$ 145 Interep National Radio Sales, Inc. (Series B)..... 10.00% 07/01/08 $ 123,250
70 RH Donnelley Financial Corp. - 144A*.............. 10.875 12/15/12 81,550
-----------
204,800
-----------
AEROSPACE & DEFENSE (0.3%)
30 Goodrich Corp..................................... 7.625 12/15/12 34,220
90 Lockheed Martin Corp.............................. 8.50 12/01/29 122,327
20 Raytheon Co....................................... 8.20 03/01/06 23,075
40 Raytheon Co....................................... 8.30 03/01/10 49,141
28 Systems 2001 Asset Trust - 144A*.................. 6.664 09/15/13 31,916
-----------
260,679
-----------
AIRLINES (0.1%)
65 Continental Airlines, Inc. (Series 981A).......... 6.648 09/15/17 63,044
-----------
ALTERNATIVE POWER GENERATION (0.1%)
95 Calpine Corp...................................... 8.50 02/15/11 71,250
-----------
APPAREL/FOOTWEAR (0.1%)
60 Oxford Industries Inc. - 144A*.................... 8.875 06/01/11 63,000
-----------
APPAREL/FOOTWEAR RETAIL (0.1%)
35 Gap, Inc. (The)................................... 6.90 09/15/07 37,713
50 Gap, Inc. (The)................................... 10.55 12/15/08 60,750
-----------
98,463
-----------
AUTO PARTS: O.E.M. (1.0%)
35 ArvinMeritor, Inc................................. 8.75 03/01/12 39,200
90 Collins & Aikman Products......................... 10.75 12/31/11 79,200
250 Intermet Corp..................................... 9.75 06/15/09 240,000
175 Lear Corp. (Series B)............................. 8.11 05/15/09 200,375
100 Metaldyne Corp.................................... 11.00 06/15/12 83,000
110 TRW Automotive, Inc. - 144A*...................... 9.375 02/15/13 119,350
-----------
761,125
-----------
BROADCAST/MEDIA (0.2%)
250 Tri-State Outdoor Media Group, Inc. (c)........... 11.00 05/15/08 162,813
-----------
BROADCASTING (0.5%)
EUR 25 Clear Channel Communications, Inc................. 6.50 07/07/05 30,308
$ 30 Clear Channel Communications, Inc................. 7.65 09/15/10 36,102
135 Nextmedia Operating, Inc.......................... 10.75 07/01/11 151,200
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
19
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 60 Salem Communications Holdings Corp. (Series A).... 7.75 % 12/15/10 $ 62,100
110 Salem Communications Holdings Corp. (Series B).... 9.00 07/01/11 118,388
-----------
398,098
-----------
BUILDING PRODUCTS (0.1%)
45 Brand Services Inc................................ 12.00 10/15/12 51,300
15 Masco Corp........................................ 6.50 08/15/32 16,648
25 Nortek, Inc....................................... 9.25 03/15/07 25,750
-----------
93,698
-----------
CABLE/SATELLITE TV (2.1%)
15 Avalon Cable LLC.................................. 11.875++ 12/01/08 14,344
40 Charter Communications Holdings LLC............... 8.25 04/01/07 30,800
135 Charter Communications Holdings LLC............... 10.75 10/01/09 104,625
280 Charter Communications Holdings/Charter Capital... 11.75++ 05/15/11 141,400
100 Comcast Corp...................................... 6.50 01/15/15 112,463
40 Cox Communications, Inc........................... 7.125 10/01/12 47,765
15 CSC Holdings Inc.................................. 7.25 07/15/08 15,000
130 CSC Holdings Inc.................................. 8.125 07/15/09 134,225
55 CSC Holdings Inc.................................. 9.875 02/15/13 57,475
25 CSC Holdings Inc.................................. 10.50 05/15/16 27,250
125 DIRECTV Holdings/Finance - 144A*.................. 8.375 03/15/13 139,375
190 Echostar DBS Corp................................. 9.125 01/15/09 212,325
150 Echostar DBS Corp................................. 9.375 02/01/09 159,937
150 Knology, Inc. - 144A* (d)......................... 12.00+ 11/30/09 119,539
60 Liberty Media Corp................................ 5.70 05/15/13 60,991
70 Lodgenet Entertainment Corp....................... 9.50 06/15/13 71,750
25 Pegasus Communications Corp. (Series B)........... 9.75 12/01/06 22,750
25 Pegagus Communications Corp. (Series B)........... 12.50 08/01/07 23,000
25 Pegasus Satellite Communications, Inc............. 12.375 08/01/06 23,375
20 Pegasus Satellite Communications, Inc............. 13.50++ 03/01/07 16,700
10 Renaissance Media Group LLC....................... 10.00 04/15/08 9,875
65 Rogers Cable Inc. - 144A*......................... 6.25 06/15/13 64,837
-----------
1,609,801
-----------
CASINO/GAMING (1.0%)
840 Aladdin Gaming Holdings/Capital Corp. LLC
(Series B) (a)(e)................................ 13.50 03/01/10 4,200
115 Harrah's Operating Co., Inc....................... 7.875 12/15/05 125,062
50 Harrah's Operating Co., Inc....................... 8.00 02/01/11 60,275
190 Park Place Entertainment.......................... 8.875 09/15/08 209,475
299 Resort At Summerlin LP/Ras Co.
(Series B) (a)(c)................................ 13.00 12/15/07 0
70 Station Casinos, Inc.............................. 8.375 02/15/08 75,600
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
20
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 140 Station Casinos, Inc.............................. 9.875% 07/01/10 $ 154,000
105 Venetian Casino/LV Sands.......................... 11.00 06/15/10 118,387
-----------
746,999
-----------
CELLULAR TELEPHONE (0.4%)
130 Dobson Communications Corp........................ 10.875 07/01/10 140,400
190 Nextel Communications, Inc........................ 10.65 09/15/07 196,175
-----------
336,575
-----------
CHEMICALS: AGRICULTURAL (0.0%)
20 Monsanto Co....................................... 7.375 08/15/12 23,847
-----------
CHEMICALS: MAJOR DIVERSIFIED (0.5%)
161 Equistar Chemical................................. 10.125 09/01/08 165,830
35 Equistar Chemical Funding - 144A*................. 10.625 05/01/11 35,875
55 Huntsman Advanced Materials Corp.................. 11.00 07/15/10 57,200
160 Huntsman ICI Chemicals............................ 10.125 07/01/09 153,600
-----------
412,505
-----------
CHEMICALS: SPECIALTY (0.7%)
50 FMC Corp.......................................... 10.25 11/01/09 56,250
65 Huntsman International LLC - 144A*................ 9.875 03/01/09 67,600
60 ISP Chemco........................................ 10.25 07/01/11 67,800
135 ISP Holdings Inc. (Series B)...................... 10.625 12/15/09 143,437
50 Lyondell Chemical Co. (Series B).................. 9.875 05/01/07 49,000
85 Lyondell Chemical Co. (Series B).................. 9.50 12/15/08 80,750
65 Millennium America, Inc........................... 9.25 06/15/08 69,875
-----------
534,712
-----------
COMMERCIAL PRINTING/FORMS (0.0%)
300 Premier Graphics Inc. (a)(c)...................... 11.50 12/01/05 0
-----------
COMPUTER COMMUNICATIONS (0.2%)
160 Avaya, Inc........................................ 11.125 04/01/09 175,200
-----------
CONSUMER/BUSINESS SERVICES (0.3%)
90 Muzak LLC/Muzak Finance Corp. - 144A*............. 10.00 02/15/09 94,275
125 Muzak LLC/Muzak Finance Corp...................... 9.875 03/15/09 118,750
-----------
213,025
-----------
CONTAINERS/PACKAGING (0.7%)
45 Owens-Brockway Glass Con Inc. - 144A*............. 7.75 05/15/11 47,587
240 Owens-Brockway Glass Con Inc...................... 8.75 11/15/12 260,400
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
21
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 95 Pliant Corp....................................... 13.00% 06/01/10 $ 89,300
95 Riverwood International Corp...................... 10.875 04/01/08 97,375
-----------
494,662
-----------
DEPARTMENT STORES (0.4%)
25 Federated Department Stores, Inc.................. 7.00 02/15/28 28,297
55 Federated Department Stores, Inc.................. 6.90 04/01/29 61,677
15 Penney (J.C.) Co., Inc............................ 7.60 04/01/07 15,750
50 Penney (J.C.) Co., Inc............................ 8.00 03/01/10 52,375
40 Penney (J.C.) Co., Inc............................ 9.00 08/01/12 43,400
10 Penney (J.C.) Co., Inc............................ 6.875 10/15/15 9,356
60 Penney (J.C.) Co., Inc............................ 7.95 04/01/17 59,400
-----------
270,255
-----------
DIVERSIFIED MANUFACTURING (0.1%)
70 Eagle-Picher Industries, Inc...................... 9.375 03/01/08 65,450
-----------
DRUGSTORE CHAINS (0.1%)
70 Rite Aid Corp..................................... 7.70 02/15/27 57,750
-----------
ELECTRIC UTILITIES (1.5%)
16 AES Corp. (The)................................... 9.375 09/15/10 16,080
11 AES Corp. (The)................................... 8.875 02/15/11 10,753
155 AES Corp. (The) - 144A*........................... 9.00 05/15/15 161,975
40 Allegheny Energy, Inc............................. 7.75 08/01/05 40,000
20 Appalachian Power Corp............................ 5.95 05/15/33 19,946
15 Cincinnati Gas & Electric Co...................... 5.40 06/15/33 14,420
40 Cincinnati Gas & Electric Co...................... 5.375 06/15/33 38,310
65 CMS Energy Corp................................... 7.50 01/15/09 64,269
75 CMS Energy Corp................................... 8.50 04/15/11 78,281
55 Columbus Southern Power Co. - 144A*............... 6.60 03/01/33 61,047
25 Detroit Edison Co................................. 6.35 10/15/32 28,512
30 IPALCO Enterprises, Inc........................... 8.625 11/14/11 32,850
105 Monongahela Power Co.............................. 5.00 10/01/06 104,344
25 MSW Energy Holdings/Finance - 144A*............... 8.50 09/01/10 25,688
65 PG&E Corp. - 144A*................................ 6.875 07/15/08 67,356
85 PSEG Energy Holdings - 144A*...................... 7.75 04/16/07 89,888
125 PSEG Energy Holdings.............................. 8.625 02/15/08 134,375
20 South Carolina Electric & Gas Co.................. 5.30 05/15/33 19,829
65 Southern California Edison Co. - 144A*............ 8.00 02/15/07 71,256
40 TNP Enterprises, Inc. (Series B).................. 10.25 04/01/10 40,000
15 Wisconsin Electric Power Co....................... 5.625 05/15/33 15,505
-----------
1,134,684
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
22
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
ELECTRONIC DISTRIBUTORS (0.3%)
$ 205 BRL Universal Equipment Corp...................... 8.875% 02/15/08 $ 222,425
400 CHS Electronics, Inc. (a)(c)...................... 9.875 04/15/05 3,500
-----------
225,925
-----------
ELECTRONIC EQUIPMENT/INSTRUMENTS (0.2%)
155 High Voltage Engineering, Inc..................... 10.75 08/15/04 37,394
140 Xerox Corp........................................ 7.125 06/15/10 139,825
-----------
177,219
-----------
ENGINEERING & CONSTRUCTION (0.2%)
120 ABB Finance Inc................................... 6.75 06/03/04 117,600
55 Encompass Services Corp. (a)(c)................... 10.50 05/01/09 0
-----------
117,600
-----------
ENVIRONMENTAL SERVICES (0.8%)
75 Allied Waste North America, Inc................... 8.875 04/01/08 81,375
185 Allied Waste North America, Inc. (Series B)....... 10.00 08/01/09 196,563
5 USA Waste Services, Inc........................... 7.125 10/01/07 5,736
35 Waste Management, Inc............................. 6.875 05/15/09 40,737
200 Waste Management, Inc. (Series A)................. 7.375 08/01/10 239,985
-----------
564,396
-----------
FINANCE/RENTAL/LEASING (0.5%)
80 Countrywide Home Loans, Inc....................... 3.25 05/21/08 80,386
100 Ford Motor Credit Co.............................. 7.375 10/28/09 104,831
90 Ford Motor Credit Co.............................. 7.25 10/25/11 92,527
25 Household Finance Corp............................ 6.40 06/17/08 28,538
35 Household Finance Corp............................ 6.75 05/15/11 40,648
15 International Lease Finance Corp.................. 2.95 05/23/06 15,075
-----------
362,005
-----------
FINANCIAL CONGLOMERATES (0.8%)
15 Boeing Capital Corp............................... 5.75 02/15/07 16,383
95 Boeing Capital Corp............................... 6.10 03/01/11 104,857
10 Boeing Capital Corp............................... 5.80 01/15/13 10,807
15 Chase Manhattan Corp.............................. 6.00 02/15/09 16,902
50 Citigroup Inc..................................... 6.625 06/15/32 57,777
125 General Electric Capital Corp..................... 6.75 03/15/32 146,196
35 General Motors Acceptance Corp.................... 4.50 07/15/06 35,191
85 General Motors Acceptance Corp.................... 6.875 09/15/11 85,284
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
23
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 115 General Motors Acceptance Corp.................... 8.00% 11/01/31 $ 112,834
25 John Hancock Financial Services, Inc.............. 5.625 12/01/08 27,779
-----------
614,010
-----------
FOOD DISTRIBUTORS (0.2%)
130 Volume Services America, Inc...................... 11.25 03/01/09 129,350
-----------
FOOD RETAIL (0.8%)
120 Ahold Finance USA Inc............................. 8.25 07/15/10 123,000
60 Albertson's Inc................................... 7.45 08/01/29 67,769
200 Delhaize America, Inc............................. 8.125 04/15/11 219,000
80 Domino's Inc. - 144A*............................. 8.25 07/01/11 82,600
100 Kroger Co......................................... 7.50 04/01/31 117,992
-----------
610,361
-----------
FOOD: MAJOR DIVERSIFIED (0.1%)
5 Kraft Foods Inc................................... 5.625 11/01/11 5,448
30 Kraft Foods Inc................................... 6.25 06/01/12 33,935
-----------
39,383
-----------
FOOD: MEAT/FISH/DAIRY (0.7%)
95 Michael Foods Inc. (Series B)..................... 11.75 04/01/11 109,250
85 Pilgrim's Pride Corp.............................. 9.625 09/15/11 90,738
135 Smithfield Foods Inc.............................. 7.625 02/15/08 138,713
130 Smithfield Foods Inc.............................. 8.00 10/15/09 140,725
25 Smithfield Foods Inc. - 144A*..................... 7.75 05/15/13 26,813
-----------
506,239
-----------
FOOD: SPECIALTY/CANDY (0.1%)
70 Merisant Co. - 144A*.............................. 9.50 07/15/13 72,638
-----------
FOREST PRODUCTS (0.2%)
60 Louisiana Pacific Corp............................ 10.875 11/15/08 68,400
15 Louisiana Pacific Corp............................ 8.875 08/15/10 17,175
60 Weyerhaeuser Co................................... 6.75 03/15/12 68,112
-----------
153,687
-----------
GAS DISTRIBUTORS (0.2%)
10 Consolidated Natural Gas Co....................... 6.25 11/01/11 11,483
130 Dynegy Holdings, Inc.............................. 6.875 04/01/11 109,200
15 Sempra Energy..................................... 6.00 02/01/13 16,538
-----------
137,221
-----------
HOME BUILDING (1.0%)
85 KB HOME........................................... 7.75 02/01/10 91,906
45 Meritage Corp. - 144A*............................ 9.75 06/01/11 49,725
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
24
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 15 Pulte Homes, Inc.................................. 6.375% 05/15/33 $ 15,129
120 Schuler Homes, Inc................................ 9.375 07/15/09 135,600
95 Tech Olympic USA, Inc............................. 9.00 07/01/10 102,000
65 Tech Olympic USA, Inc............................. 10.375 07/01/12 69,225
15 Tech Olympic USA, Inc. - 144A*.................... 10.375 07/01/12 15,975
210 Toll Corp......................................... 8.25 02/01/11 247,075
-----------
726,635
-----------
HOME FURNISHINGS (0.1%)
40 Mohawk Industries Inc............................. 7.20 04/15/12 46,873
-----------
HOME IMPROVEMENT CHAINS (0.1%)
55 Lowe's Companies, Inc............................. 6.50 03/15/29 62,373
-----------
HOSPITAL/NURSING MANAGEMENT (0.7%)
115 HCA, Inc.......................................... 8.75 09/01/10 133,961
100 HCA, Inc.......................................... 7.875 02/01/11 111,991
10 Manor Care, Inc................................... 7.50 06/15/06 10,872
35 Manor Care, Inc................................... 8.00 03/01/08 39,375
30 Manor Care, Inc. - 144A*.......................... 6.25 05/01/13 31,050
130 Tenet Healthcare Corp............................. 6.50 06/01/12 120,575
60 Tenet Healthcare Corp............................. 7.375 02/01/13 57,900
45 Tenet Healthcare Corp............................. 6.875 11/15/31 39,600
-----------
545,324
-----------
HOTELS/RESORTS/CRUISELINES (1.3%)
75 Hilton Hotels Corp................................ 7.95 04/15/07 80,625
70 Hilton Hotels Corp................................ 7.625 12/01/12 76,650
180 HMH Properties, Inc. (Series B)................... 7.875 08/01/08 182,700
270 Horseshoe Gaming Holding Corp. (Series B)......... 8.625 05/15/09 286,200
35 Hyatt Equities LLC - 144A*........................ 6.875 06/15/07 36,451
50 Marriott International, Inc. (Series E)........... 7.00 01/15/08 57,154
20 Starwood Hotels & Resorts Worldwide Inc........... 7.375 05/01/07 21,050
190 Starwood Hotels & Resorts Worldwide Inc........... 7.875 05/01/12 208,050
-----------
948,880
-----------
INDUSTRIAL CONGLOMERATES (0.0%)
25 Hutchinson Whampoa International Ltd. - 144A*..... 6.50 02/13/13 26,229
-----------
INDUSTRIAL MACHINERY (0.1%)
35 Flowserve Corp.................................... 12.25 08/15/10 40,775
-----------
INDUSTRIAL SPECIALTIES (0.7%)
115 Cabot Safety Corp................................. 12.50 07/15/05 117,300
165 Johnsondiversey, Inc.............................. 9.625 05/15/12 184,388
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
25
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 76 Tekni-Plex Inc. (Series B)........................ 12.75 % 06/15/10 $ 74,100
45 Tekni-Plex Inc. - 144A*........................... 12.75 06/15/10 43,875
115 UCAR Finance, Inc................................. 10.25 02/15/12 112,700
-----------
532,363
-----------
INFORMATION TECHNOLOGY SERVICES (0.0%)
30 Electronic Data Systems Corp. - 144A*............. 6.00 08/01/13 29,247
-----------
INTEGRATED OIL (0.3%)
30 Amerada Hess Corp................................. 6.65 08/15/11 34,608
55 Amerada Hess Corp................................. 7.875 10/01/29 66,940
80 Conoco Inc........................................ 6.95 04/15/29 96,252
-----------
197,800
-----------
INTERNET SOFTWARE/SERVICES (0.1%)
201 Exodus Communications, Inc. (a)(c)................ 11.625 07/15/10 12,081
64 Globix Corp. - 144A*.............................. 11.00+ 05/01/08 48,049
-----------
60,130
-----------
INVESTMENT BANKS/BROKERS (0.1%)
75 Goldman Sachs Group Inc........................... 6.875 01/15/11 88,496
-----------
LIFE/HEALTH INSURANCE (0.1%)
65 Hartford Life..................................... 7.375 03/01/31 76,985
-----------
MAJOR TELECOMMUNICATIONS (0.3%)
50 AT&T Corp......................................... 8.50 11/15/31 56,694
150 Verizon Global Funding Corp....................... 7.75 12/01/30 189,972
-----------
246,666
-----------
MANAGED HEALTH CARE (0.5%)
205 Aetna, Inc........................................ 7.875 03/01/11 249,132
20 Cigna Corp........................................ 7.00 01/15/11 23,069
70 Health Net, Inc................................... 8.375 04/15/11 85,084
-----------
357,285
-----------
MEDIA CONGLOMERATES (0.3%)
45 AOL Time Warner Inc............................... 7.625 04/15/31 51,935
70 News America Holdings, Inc........................ 8.875 04/26/23 89,486
50 News America Holdings, Inc........................ 7.75 02/01/24 57,950
-----------
199,371
-----------
MEDICAL DISTRIBUTORS (0.2%)
145 AmerisourceBergen Corp............................ 8.125 09/01/08 159,500
-----------
MEDICAL SPECIALTIES (0.1%)
50 Apogent Technologies Inc. - 144A*................. 6.50 05/15/13 51,625
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
26
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
MEDICAL/NURSING SERVICES (0.3%)
$ 25 Fresenius Medical Care Capital Trust.............. 7.875% 02/01/08 $ 26,313
181 Fresenius Medical Care Capital Trust.............. 7.875 06/15/11 190,955
-----------
217,268
-----------
METAL FABRICATIONS (0.2%)
105 Trimas Corp....................................... 9.875 06/15/12 107,625
65 Trimas Corp. - 144A*.............................. 9.875 06/15/12 66,625
-----------
174,250
-----------
MISCELLANEOUS (1.1%)
801 Targeted Return Index Securities - 144A*.......... 8.665 05/15/13 862,538
-----------
MISCELLANEOUS COMMERCIAL SERVICES (0.3%)
140 Iron Mountain Inc................................. 8.625 04/01/13 149,800
90 Iron Mountain Inc................................. 7.75 01/15/15 95,175
-----------
244,975
-----------
MOTOR VEHICLES (0.2%)
55 DaimlerChrysler North American Holdings Co........ 7.20 09/01/09 62,518
80 Ford Motor Co..................................... 7.45 07/16/31 73,285
50 General Motors Corp............................... 8.375 07/15/33 49,072
-----------
184,875
-----------
MULTI-LINE INSURANCE (0.2%)
45 AIG SunAmerica Global Financial - 144A*........... 6.90 03/15/32 53,593
100 Farmers Exchange Capital - 144A*.................. 7.05 07/15/28 89,877
45 Hartford Financial Services Group, Inc............ 2.375 06/01/06 44,961
-----------
188,431
-----------
OIL & GAS PIPELINES (0.8%)
30 El Paso Energy Partners - 144A*................... 8.50 06/01/10 32,100
120 El Paso Production Holdings - 144A*............... 7.75 06/01/13 119,700
125 GulfTerra Energy Partners, L.P.................... 10.625 12/01/12 144,375
25 Northwest Pipeline Corp........................... 8.125 03/01/10 26,875
40 Southern Natural Gas Co. - 144A*.................. 8.875 03/15/10 43,600
35 Transcontinental Gas Pipe Line Corp............... 8.875 07/15/12 39,550
65 Williams Cos Inc.................................. 9.25 03/15/04 66,625
165 Williams Cos Inc.................................. 7.875 09/01/21 160,875
-----------
633,700
-----------
OIL & GAS PRODUCTION (0.8%)
230 Chesapeake Energy Corp............................ 8.125 04/01/11 247,825
25 Devon Financing Corp.............................. 7.875 09/30/31 31,745
30 Kerr-McGee Corp................................... 7.875 09/15/31 36,698
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
27
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 65 Magnum Hunter Resources, Inc...................... 9.60 % 03/15/12 $ 71,500
225 Vintage Petroleum, Inc............................ 7.875 05/15/11 241,313
-----------
629,081
-----------
OIL REFINING/MARKETING (0.6%)
65 CITGO Petroleum Corp. - 144A*..................... 11.375 02/01/11 72,475
30 Frontier Escrow Corp. - 144A*..................... 8.00 04/15/13 31,350
170 Husky Oil Ltd..................................... 8.90 08/15/28 196,350
50 Marathon Oil Corp................................. 6.80 03/15/32 56,562
55 Tesoro Petroleum Corp............................. 9.00 07/01/08 49,775
65 Tesoro Petroleum Corp............................. 9.625 04/01/12 59,475
-----------
465,987
-----------
OILFIELD SERVICES/EQUIPMENT (0.3%)
100 Hanover Equipment Trust........................... 8.50 09/01/08 105,000
80 Hanover Equipment Trust........................... 8.75 09/01/11 84,000
-----------
189,000
-----------
OTHER CONSUMER SERVICES (0.1%)
50 Cendant Corp...................................... 7.375 01/15/13 58,875
-----------
OTHER METALS/MINERALS (0.3%)
65 Inco Ltd.......................................... 7.20 09/15/32 71,641
100 Phelps Dodge Corp................................. 8.75 06/01/11 117,572
-----------
189,213
-----------
OTHER TRANSPORTATION (0.2%)
140 Laidlaw International Inc. - 144A*................ 10.75 06/15/11 147,000
-----------
PUBLISHING: BOOKS/MAGAZINES (0.4%)
50 Houghton Mifflin Co. - 144A*...................... 8.25 02/01/11 52,750
40 Houghton Mifflin Co. - 144A*...................... 9.875 02/01/13 43,400
45 PEI Holdings, Inc. - 144A*........................ 11.00 03/15/10 49,613
175 PRIMEDIA, Inc..................................... 8.875 05/15/11 184,188
-----------
329,951
-----------
PULP & PAPER (0.4%)
225 Georgia-Pacific Corp. - 144A*..................... 8.875 02/01/10 244,125
25 MeadWestVaco Corp................................. 6.85 04/01/12 28,859
-----------
272,984
-----------
RAILROADS (0.1%)
30 Union Pacific Corp................................ 6.79 11/09/07 34,341
30 Union Pacific Corp................................ 3.625 06/01/10 29,688
-----------
64,029
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
28
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
REAL ESTATE DEVELOPMENT (0.5%)
$ 120 CB Richard Ellis Services, Inc.................... 11.25 % 06/15/11 $ 128,700
70 CBRE Escrow Inc. - 144A*.......................... 9.75 05/15/10 73,588
180 LNR Property Corp. - 144A*........................ 7.625 07/15/13 181,575
-----------
383,863
-----------
RECREATIONAL PRODUCTS (0.2%)
125 International Game Technology..................... 8.375 05/15/09 153,351
-----------
REGIONAL BANKS (0.2%)
AUD 200 KFW International Inc............................. 6.25 07/15/05 138,875
-----------
REIT - LODGING/RESORTS (0.0%)
$ 25 Host Marriott Corp................................ 7.875 08/01/05 25,438
-----------
SEMICONDUCTORS (0.1%)
35 Fairchild Semiconductors Corp..................... 10.375 10/01/07 36,816
50 Fairchild Semiconductors Corp..................... 10.50 02/01/09 56,250
-----------
93,066
-----------
SERVICES TO THE HEALTH INDUSTRY (0.4%)
155 Anthem Insurance - 144A*.......................... 9.125 04/01/10 195,172
75 Omnicare, Inc. (Series B)......................... 8.125 03/15/11 81,375
-----------
276,547
-----------
SPECIALTY STORES (0.2%)
95 Autonation, Inc................................... 9.00 08/01/08 105,450
55 Sonic Automotive, Inc............................. 11.00 08/01/08 58,300
-----------
163,750
-----------
SPECIALTY TELECOMMUNICATIONS (0.2%)
25 American Tower Corp............................... 9.375 02/01/09 25,125
180 DTI Holdings, Inc. (Series B) (a)(e).............. 12.50 03/01/08 8,100
80 Primus Telecommunication Group, Inc.
(Series B)....................................... 9.875 05/15/08 71,200
60 U.S. West Communications Corp..................... 6.625 09/15/05 61,050
-----------
165,475
-----------
STEEL (0.3%)
90 Oregon Steel Mills, Inc........................... 10.00 07/15/09 81,000
160 United States Steel Corp.......................... 9.75 05/15/10 162,400
-----------
243,400
-----------
TELECOMMUNICATIONS (0.2%)
438 Rhythms Netconnections, Inc. (a)(c)............... 12.75 04/15/09 0
200 Startec Global Communications Corp. (a)(c)........ 12.00 05/15/08 20
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
29
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 49 WorldCom, Inc. (a)(c)............................. 6.95 % 08/15/28 $ 14,455
385 WorldCom, Inc. (a)(c)............................. 8.25 05/15/31 113,575
-----------
128,050
-----------
TOBACCO (0.0%)
15 Altria Group, Inc................................. 7.75 01/15/27 16,077
-----------
TRUCKS/CONSTRUCTION/FARM MACHINERY (0.6%)
240 Manitowoc Inc. (The).............................. 10.50 08/01/12 266,400
60 NMHG Holding Co................................... 10.00 05/15/09 66,000
140 J.B. Poindexter & Co., Inc........................ 12.50 05/15/07 116,200
-----------
448,600
-----------
WHOLESALE DISTRIBUTORS (0.3%)
80 Burhmann US, Inc.................................. 12.25 11/01/09 86,000
85 Fisher Scientific International, Inc. - 144A*..... 8.125 05/01/12 90,950
65 Fisher Scientific International, Inc.............. 7.125 12/15/05 67,925
-----------
244,875
-----------
WIRELESS TELECOMMUNICATIONS (0.6%)
240 American Cellular Corp............................ 9.50 10/15/09 120,000
1,800 CellNet Data Systems, Inc. (a)(c)................. 14.00 10/01/07 0
80 Nextel Partners Inc. (Class A).................... 11.00 03/15/10 86,400
35 Nextel Partners Inc. - 144A*...................... 8.125 07/01/11 34,913
200 SBA Communications Corp........................... 12.00 03/01/08 204,500
45 SBA Communications Corp........................... 10.25 02/01/09 41,400
-----------
487,213
-----------
TOTAL CORPORATE BONDS
(COST $28,035,356)................................................................... 24,179,763
-----------
CONVERTIBLE BONDS (0.4%)
ELECTRONIC COMPONENTS (0.1%)
165 Solectron Corp.................................... 0.00 11/20/20 91,575
-----------
SPECIALTY TELECOMMUNICATIONS (0.3%)
235 American Tower Corp............................... 6.25 10/15/09 217,375
-----------
TOTAL CONVERTIBLE BONDS
(COST $277,383)...................................................................... 308,950
-----------
MORTGAGE-BACKED SECURITIES (19.8%)
FEDERAL HOME LOAN MORTGAGE CORP. (6.7%)
450 .................................................. 6.00 ** 466,313
3,150 .................................................. 6.50 ** 3,276,000
50 .................................................. 7.00 06/01/04 52,046
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
30
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------------------------
$ 75 .................................................. 7.50 % ** $ 79,500
1,110 .................................................. 7.50 08/01/30 - 06/01/32 1,179,602
-----------
5,053,461
-----------
FEDERAL NATIONAL MORTGAGE ASSOC. (12.1%)
650 .................................................. 4.50 ** 663,000
950 .................................................. 5.00 ** 981,469
300 .................................................. 5.50 ** 310,031
1,175 .................................................. 6.00 ** 1,220,164
412 .................................................. 6.50 05/01/31 429,146
3,053 .................................................. 7.00 07/01/25 - 06/01/32 3,215,665
801 .................................................. 7.50 02/01/31 - 03/01/32 850,705
1,370 .................................................. 8.00 04/01/30 - 05/01/31 1,472,059
-----------
9,142,239
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOC. (1.0%)
250 .................................................. 5.50 ** 258,516
369 .................................................. 7.50 04/15/26 - 08/15/29 392,100
117 .................................................. 8.00 02/15/26 - 06/15/26 126,093
-----------
776,709
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(COST $14,860,786)................................................................... 14,972,409
-----------
U.S. GOVERNMENT OBLIGATIONS (7.0%)
1,790 U.S. Treasury Bonds (3.6%) (b).................... 8.125 - 8.75 05/15/17 - 08/15/21 2,692,440
250 U.S. Treasury Notes (0.3%)........................ 3.25 12/31/03 252,832
4,350 U.S. Treasury Strips (3.1%)....................... 0.00 02/15/06 - 08/15/22 2,339,975
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $4,781,236).................................................................... 5,285,247
-----------
TOTAL UNITED STATES
(COST $47,954,761)................................................................... 44,746,369
-----------
TOTAL GOVERNMENT & CORPORATE BONDS
(COST $65,655,893)................................................................... 62,768,519
-----------
</Table>
<Table>
<Caption>
NUMBER OF
SHARES
- ---------
COMMON STOCKS (E) (0.2%)
AEROSPACE & DEFENSE (0.0%)
685 Orbital Sciences Corp. (d)........................ 5,000
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
31
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------
APPAREL/FOOTWEAR RETAIL (0.0%)
50,166 County Seat Stores Corp. (d)...................... $ 0
----------
CASINO/GAMING (0.0%)
787 Fitzgerald Gaming Corp.***........................ 0
----------
CONSUMER/BUSINESS SERVICES (0.1%)
3,900 Anacomp, Inc. (Class A) (d)....................... 64,935
----------
FOOD: SPECIALTY/CANDY (0.0%)
18 SFAC Holdings, Inc. (d)........................... 0
100 SFAC New Holdings Inc. (d)........................ 0
----------
0
----------
INTERNET SOFTWARE/SERVICES (0.0%)
9,633 Globix Corp. (d).................................. 27,936
----------
MEDICAL SPECIALTIES (0.0%)
1,105 MEDIQ, Inc. (d)................................... 6,002
----------
MEDICAL/NURSING SERVICES (0.0%)
34,888 Raintree Healthcare Corp. (d)..................... 0
----------
RESTAURANTS (0.0%)
10,137 Catalina Restaurant Group, Inc. (d)............... 20,274
----------
SPECIALTY TELECOMMUNICATIONS (0.0%)
3,757 Birch Telecom Inc. (d)............................ 38
28,959 Mpower Holding Corp. (d).......................... 30,696
16,679 PFB Telecom NV (Series B) (d)..................... 0
2,353 Viatel Holdings Bermuda Ltd. (d).................. 0
326 XO Communications, Inc. (d)....................... 2,363
----------
33,097
----------
TELECOMMUNICATIONS (0.0%)
10,159 Covad Communications Group, Inc. (d).............. 10,261
----------
TEXTILES (0.0%)
11,192 U.S. Leather, Inc. (d)............................ 0
----------
WIRELESS TELECOMMUNICATIONS (0.1%)
3,401 Arch Wireless, Inc. (d)........................... 23,518
825 NII Holdings, Inc. (Class B) (d).................. 31,573
4,516 Vast Solutions, Inc. (Class B1) (d)............... 0
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
32
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -------------------------------------------------------------------------
4,516 Vast Solutions, Inc. (Class B2) (d)............... $ 0
4,516 Vast Solutions, Inc. (Class B3) (d)............... 0
----------
55,091
----------
TOTAL COMMON STOCKS
(COST $3,695,273)................................ 222,596
----------
NON-CONVERTIBLE PREFERRED STOCKS (0.7%)
BROADCASTING (0.2%)
15 Paxson Communications Corp.+...................... 144,893
----------
CABLE/SATELLITE TV (0.0%)
9,953 Knology Holdings, Inc. - 144A* (d)................ 100
----------
CELLULAR TELEPHONE (0.3%)
140 Dobson Communications Corp.+...................... 137,200
81 Nextel Communications, Inc. (Series D)+........... 86,375
----------
223,575
----------
ELECTRIC UTILITIES (0.2%)
178 TNP Enterprises, Inc. (Series D)+................. 133,500
----------
RESTAURANTS (0.0%)
17 Catalina Restaurant Group (Units)++............... 15,300
----------
SPECIALTY TELECOMMUNICATIONS (0.0%)
40 Intermedia Communications, Inc. (Series B)+....... 1,905
----------
TOTAL NON-CONVERTIBLE PREFERRED STOCKS
(COST $583,614).................................. 519,273
----------
CONVERTIBLE PREFERRED STOCKS (0.0%)
SPECIALTY TELECOMMUNICATIONS (0.0%)
1,545 McLeodUSA, Inc. (Cost $10,893).................... 11,188
----------
</Table>
<Table>
<Caption>
NUMBER OF EXPIRATION
WARRANTS DATE
- ---------- ----------
WARRANTS (e) (0.0%)
BROADCASTING (0.0%)
300 UIH Australia/Pacific Inc................................... 05/15/06 0
110 XM Satellite Radio Holdings, Inc. - 144A*................... 03/15/10 605
-----------
605
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
33
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF EXPIRATION
WARRANTS DATE VALUE
- -------------------------------------------------------------------------------------------------
CASINO/GAMING (0.0%)
9,000 Aladdin Gaming Enterprices, Inc. - 144A*.................... 03/01/10 $ 0
250 Resort At Summerlin LP - 144A*.............................. 12/15/07 0
-----------
0
-----------
ELECTRIC UTILITIES (0.0%)
125 TNP Enterprises, Inc. - 144A*............................... 04/01/11 1
-----------
INTERNET SOFTWARE/SERVICES (0.0%)
1,700 Verado Holdings, Inc. - 144A*............................... 04/15/08 0
-----------
RESTAURANTS (0.0%)
4,250 Catalina Restaurant Group (d)............................... 07/10/12 0
-----------
SPECIALTY TELECOMMUNICATIONS (0.0%)
500 Birch Telecom, Inc. - 144A*................................. 06/15/08 0
3,424 McLeodUSA, Inc.............................................. 04/16/07 1,404
2,664 Versatel Telecom International NV (ADR) (Netherlands) (d)... 10/04/04 275
652 XO Communications Inc. (Class A) (d)........................ 01/16/10 652
489 XO Communications Inc. (Class B) (d)........................ 01/16/10 0
489 XO Communications Inc. (Class C) (d)........................ 01/16/10 0
-----------
2,331
-----------
TELECOMMUNICATIONS (0.0%)
200 Startec Global Communications Corp. - 144A*................. 05/15/08 0
-----------
TOTAL WARRANTS
(COST $35,196)......................................................... 2,937
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- ---------- ------- --------
SHORT-TERM INVESTMENTS (5.0%)
U.S. GOVERNMENT AGENCY (F) (0.1%)
$ 100 U.S. Treasury Bill (b)
(COST $99,741)................................... 1.085 09/25/03 99,741
----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
34
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------
REPURCHASE AGREEMENTS (4.9%)
$ 3,652 Joint repurchase agreement account
(dated 06/30/03; proceeds $3,652,121) (g)
(COST $3,652,000)................................ 1.195% 07/01/03 $3,652,000
----------
TOTAL SHORT-TERM INVESTMENTS
(COST $3,751,741)................................................... 3,751,741
----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $73,732,610) (H)(I)........................ 88.9% 67,276,254
OTHER ASSETS IN EXCESS OF LIABILITIES............. 11.1 8,358,103
----- ----------
NET ASSETS........................................ 100.0% $75,634,357
===== ==========
</Table>
- ---------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
** SECURITIES PURCHASED ON A FORWARD COMMITMENT BASIS WITH AN APPROXIMATE
PRINCIPAL AMOUNT AND NO DEFINITE MATURITY DATE; THE ACTUAL PRINCIPAL
AMOUNT AND MATURITY DATE WILL BE DETERMINED UPON SETTLEMENT.
*** RESALE IS RESTRICTED; ACQUIRED (12/12/98) AT A COST BASIS OF $3,549.
++ CONSISTS OF ONE OR MORE CLASS OF SECURITIES TRADED TOGETHER AS A UNIT;
PREFERRED STOCK WITH ATTACHED WARRANTS.
+ PAYMENT-IN-KIND SECURITY.
++ CURRENTLY A ZERO COUPON BOND AND WILL PAY INTEREST AT THE RATE SHOWN AT A
FUTURE DATE.
(a) ISSUER IN BANKRUPTCY.
(b) SOME OR ALL OF THESE SECURITIES HAVE BEEN PHYSICALLY SEGREGATED IN
CONNECTION WITH OPEN FUTURES CONTRACTS.
(c) NON-INCOME PRODUCING SECURITY; BOND IN DEFAULT.
(d) ACQUIRED THROUGH EXCHANGE OFFER.
(e) NON-INCOME PRODUCING SECURITIES.
(f) PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS BEEN ADJUSTED
TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(g) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(h) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$25,741,678 IN CONNECTION WITH SECURITIES PURCHASED ON A FORWARD
COMMITMENT BASIS, FORWARD FOREIGN CURRENCY CONTRACTS AND OPEN FUTURES
CONTRACTS.
(i) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $3,064,183 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $9,520,539, RESULTING IN NET UNREALIZED DEPRECIATION OF
$6,456,356.
SEE NOTES TO FINANCIAL STATEMENTS
35
<Page>
Flexible Income
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
FUTURES CONTRACTS OPEN AT JUNE 30, 2003:
UNREALIZED
NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE APPRECIATION/
CONTRACTS LONG/SHORT MONTH, AND YEAR AMOUNT AT VALUE DEPRECIATION
- --------------------------------------------------------------------------------------------------
31 Long US Treasury Note 2 Year, September 2003 $ 6,705,203 $ 8,556
45 Short US Treasury Note 5 Year, September 2003 (5,180,625) (11,496)
38 Short US Treasury Note 10 Year, September 2003 (4,462,625) 5,614
10 Short US Treasury Bond 20 Year, September 2003 (1,173,436) 33,707
2 Short Euro-Bund Future 10 Year, September 2003 (268,756) 5,472
--------
Net unrealized appreciation................................................ $ 41,853
========
</Table>
<Table>
<Caption>
FORWARD FOREIGN CURRENCY CONTRACTS OPEN AT JUNE 30, 2003:
UNREALIZED
CONTRACTS IN EXCHANGE DELIVERY APPRECIATION/
TO DELIVER FOR DATE DEPRECIATION
---------------------------------------------------------------
CAD 135,000 $ 98,447 08/21/03 $(1,384)
CHF 600,000 $ 448,538 07/22/03 4,543
GBP 35,000 $ 56,059 07/22/03 (1,782)
JPY 10,000,000 $ 85,058 09/10/03 1,376
-------
Net unrealized appreciation............. $ 2,753
=======
</Table>
CURRENCY ABBREVIATIONS:
AUD AUSTRALIAN DOLLAR.
GBP BRITISH POUND.
CAD CANADIAN DOLLAR.
DKK DANISH KRONE.
EUR EURO.
JPY JAPANESE YEN.
SEK SWEDISH KRONA.
CHF SWISS FRANC.
SEE NOTES TO FINANCIAL STATEMENTS
36
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------
COMMON STOCKS (67.8%)
ADVERTISING/MARKETING SERVICES (0.5%)
34,700 Interpublic Group of Companies, Inc. (The)*........................... $ 464,286
------------
AEROSPACE & DEFENSE (0.9%)
25,810 Raytheon Co........................................................... 847,600
------------
AUTO PARTS: O.E.M. (0.6%)
9,330 Magna International Inc. (Class A) (Canada)........................... 627,629
------------
BEVERAGES: NON-ALCOHOLIC (0.7%)
15,170 Coca-Cola Co. (The)................................................... 704,040
------------
CHEMICALS: AGRICULTURAL (0.4%)
16,260 Monsanto Co........................................................... 351,866
------------
CHEMICALS: MAJOR DIVERSIFIED (1.3%)
22,150 Dow Chemical Co. (The)................................................ 685,764
14,730 Du Pont (E.I.) de Nemours & Co........................................ 613,357
------------
1,299,121
------------
COMPUTER PROCESSING HARDWARE (0.9%)
39,450 Hewlett-Packard Co.................................................... 840,285
------------
CONTAINERS/PACKAGING (1.0%)
22,300 Temple-Inland, Inc.................................................... 956,893
------------
CONTRACT DRILLING (1.5%)
25,960 ENSCO International Inc............................................... 698,324
33,880 Transocean Inc.*...................................................... 744,344
------------
1,442,668
------------
DATA PROCESSING SERVICES (1.0%)
20,250 Automatic Data Processing, Inc........................................ 685,665
8,560 Computer Sciences Corp.*.............................................. 326,307
------------
1,011,972
------------
DISCOUNT STORES (1.5%)
12,570 Target Corp........................................................... 475,649
17,820 Wal-Mart Stores, Inc.................................................. 956,399
------------
1,432,048
------------
ELECTRIC UTILITIES (3.3%)
27,700 Entergy Corp.......................................................... 1,462,006
12,170 Exelon Corp........................................................... 727,888
24,250 PPL Corp.............................................................. 1,042,750
------------
3,232,644
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
37
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------
FINANCE/RENTAL/LEASING (0.5%)
7,660 Fannie Mae............................................................ $ 516,590
------------
FINANCIAL CONGLOMERATES (3.3%)
32,100 Citigroup, Inc........................................................ 1,373,880
41,850 J.P. Morgan Chase & Co................................................ 1,430,433
14,110 Prudential Financial, Inc............................................. 474,801
------------
3,279,114
------------
FINANCIAL PUBLISHING/SERVICES (1.3%)
50,000 Equifax, Inc.......................................................... 1,300,000
------------
FOOD: MAJOR DIVERSIFIED (0.6%)
14,260 PepsiCo, Inc.......................................................... 634,570
------------
HOSPITAL/NURSING MANAGEMENT (0.2%)
17,000 Tenet Healthcare Corp.*............................................... 198,050
------------
HOTELS/RESORTS/CRUISELINES (2.1%)
72,410 Hilton Hotels Corp.................................................... 926,124
39,100 Starwood Hotels & Resorts Worldwide, Inc.............................. 1,117,869
------------
2,043,993
------------
HOUSEHOLD/PERSONAL CARE (1.9%)
24,010 Kimberly-Clark Corp................................................... 1,251,881
6,530 Procter & Gamble Co. (The)............................................ 582,345
------------
1,834,226
------------
INDUSTRIAL CONGLOMERATES (3.0%)
10,330 3M Co................................................................. 1,332,363
21,330 Ingersoll Rand Co. (Class A).......................................... 1,009,336
16,680 Textron, Inc.......................................................... 650,854
------------
2,992,553
------------
INFORMATION TECHNOLOGY SERVICES (0.5%)
22,700 Electronic Data Systems Corp.......................................... 486,915
------------
INTEGRATED OIL (4.3%)
42,130 BP PLC (ADR) (United Kingdom)......................................... 1,770,303
16,670 ConocoPhillips........................................................ 913,516
41,800 Exxon Mobil Corp...................................................... 1,501,038
------------
4,184,857
------------
INVESTMENT BANKS/BROKERS (2.2%)
31,810 Edwards (A.G.), Inc................................................... 1,087,902
23,900 Merrill Lynch & Co., Inc.............................................. 1,115,652
------------
2,203,554
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
38
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------
LIFE/HEALTH INSURANCE (0.6%)
19,590 MetLife, Inc.......................................................... $ 554,789
------------
MAJOR BANKS (4.9%)
29,380 Bank of America Corp.................................................. 2,321,901
16,100 FleetBoston Financial Corp............................................ 478,331
29,620 PNC Financial Services Group.......................................... 1,445,752
14,600 Wachovia Corp......................................................... 583,416
------------
4,829,400
------------
MAJOR TELECOMMUNICATIONS (3.0%)
44,110 SBC Communications, Inc............................................... 1,127,010
59,830 Sprint Corp. (FON Group).............................................. 861,552
23,480 Verizon Communications Inc............................................ 926,286
------------
2,914,848
------------
MANAGED HEALTH CARE (0.7%)
12,180 Aetna Inc............................................................. 733,236
------------
MEDIA CONGLOMERATES (3.4%)
125,150 AOL Time Warner Inc.*................................................. 2,013,663
64,770 Disney (Walt) Co. (The)............................................... 1,279,208
------------
3,292,871
------------
MEDICAL SPECIALTIES (0.7%)
18,210 Bausch & Lomb, Inc.................................................... 682,875
------------
MULTI-LINE INSURANCE (1.5%)
20,360 Hartford Financial Services Group, Inc. (The)......................... 1,025,330
12,920 SAFECO Corp........................................................... 455,818
------------
1,481,148
------------
OIL & GAS PRODUCTION (1.6%)
13,230 Anadarko Petroleum Corp............................................... 588,338
4,150 Burlington Resources, Inc............................................. 224,391
17,970 EOG Resources, Inc.................................................... 751,865
------------
1,564,594
------------
OIL REFINING/MARKETING (0.6%)
15,380 Valero Energy Corp.................................................... 558,755
------------
OILFIELD SERVICES/EQUIPMENT (2.0%)
41,200 Schlumberger Ltd...................................................... 1,959,884
------------
OTHER METALS/MINERALS (0.8%)
20,780 Phelps Dodge Corp.*................................................... 796,705
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
39
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------------------------------
PACKAGED SOFTWARE (1.1%)
43,720 Microsoft Corp........................................................ $ 1,119,669
------------
PHARMACEUTICALS: MAJOR (6.4%)
121,370 Bristol-Myers Squibb Co............................................... 3,295,196
6,620 Johnson & Johnson..................................................... 342,254
20,152 Pfizer Inc............................................................ 688,191
12,330 Roche Holdings Ltd (ADR) (Switzerland)................................ 966,672
54,370 Schering-Plough Corp.................................................. 1,011,282
------------
6,303,595
------------
PRECIOUS METALS (0.7%)
21,920 Newmont Mining Corp................................................... 711,523
------------
PROPERTY - CASUALTY INSURERS (2.8%)
26,270 Chubb Corp. (The)..................................................... 1,576,200
70,711 Travelers Property Casualty Corp. (Class A)........................... 1,124,321
------------
2,700,521
------------
RAILROADS (1.8%)
59,000 Norfolk Southern Corp................................................. 1,132,800
10,890 Union Pacific Corp.................................................... 631,838
------------
1,764,638
------------
RESTAURANTS (1.0%)
42,830 McDonald's Corp....................................................... 944,830
------------
TOBACCO (0.7%)
15,890 Altria Group, Inc..................................................... 722,042
------------
TOTAL COMMON STOCKS
(COST $58,277,854)................................................... 66,521,397
------------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- --------- ------ --------
CORPORATE BONDS (9.8%)
AEROSPACE & DEFENSE (0.5%)
$ 50 Boeing Co............................................................. 6.625% 02/15/38 54,766
25 Goodrich Corp......................................................... 7.625 12/15/12 28,517
65 Lockheed Martin Corp.................................................. 7.75 05/01/26 81,097
50 Lockheed Martin Corp.................................................. 8.50 12/01/29 67,960
35 Raytheon Co........................................................... 8.20 03/01/06 40,382
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
40
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 25 Raytheon Co........................................................... 8.30 % 03/01/10 $ 30,713
109 Systems 2001 Asset Trust - 144A**..................................... 6.664 09/15/13 122,288
-----------
425,723
-----------
AIRLINES (0.3%)
114 American West Airlines................................................ 7.10 04/02/21 118,245
153 Continental Airlines, Inc............................................. 6.90 01/02/18 148,383
45 Southwest Airlines Co................................................. 5.496 11/01/06 48,823
-----------
315,451
-----------
BROADCASTING (0.1%)
105 Clear Channel Communications, Inc..................................... 7.65 09/15/10 126,357
-----------
BUILDING PRODUCTS (0.0%)
40 Masco Corp............................................................ 6.50 08/15/32 44,395
-----------
CABLE/SATELLITE TV (0.3%)
70 Comcast Corp.......................................................... 6.50 01/15/15 78,724
55 Cox Communications, Inc............................................... 7.125 10/01/12 65,677
65 Liberty Media Corp.................................................... 5.70 05/15/13 66,074
55 TCI Communications, Inc............................................... 7.875 02/15/26 64,473
-----------
274,948
-----------
CHEMICALS: AGRICULTURAL (0.0%)
35 Monsanto Co........................................................... 7.375 08/15/12 41,732
-----------
DEPARTMENT STORES (0.3%)
125 May Department Stores Co.............................................. 6.70 09/15/28 133,365
110 Federated Department Stores, Inc...................................... 6.90 04/01/29 123,353
-----------
256,718
-----------
DRUGSTORE CHAINS (0.2%)
180 CVS Corp.............................................................. 5.625 03/15/06 197,149
-----------
ELECTRIC UTILITIES (0.5%)
30 Appalachian Power Co. (Series H)...................................... 5.95 05/15/33 29,918
35 Cincinnati Gas & Electric Co.......................................... 5.70 09/15/12 38,453
25 Cincinnati Gas & Electric Co.......................................... 5.40 06/15/33 24,033
20 Cincinnati Gas & Electric Co.......................................... 5.375 06/15/33 19,155
10 Columbus Southern Power Co. - 144A**.................................. 6.60 03/01/33 11,099
60 Constellation Energy Group, Inc....................................... 7.60 04/01/32 72,122
70 Detroit Edison Co..................................................... 6.125 10/01/10 79,929
20 Duke Energy Corp...................................................... 4.50 04/01/10 20,911
35 Exelon Corp........................................................... 6.75 05/01/11 40,495
20 Florida Power & Light Co.............................................. 4.85 02/01/13 21,139
40 Ohio Power Co. - 144A**............................................... 6.60 02/15/33 44,644
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
41
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 45 Public Service Electric & Gas Co...................................... 5.00 % 01/01/13 $ 47,523
20 South Carolina Electric & Gas Co...................................... 5.30 05/15/33 19,829
10 Wisconsin Electric Power Co........................................... 5.625 05/15/33 10,336
15 Wisconsin Energy Corp................................................. 6.20 04/01/33 16,256
-----------
495,842
-----------
ELECTRICAL PRODUCTS (0.1%)
70 Cooper Industries Inc................................................. 5.25 07/01/07 75,832
-----------
ENVIRONMENTAL SERVICES (0.0%)
40 Waste Management, Inc................................................. 6.875 05/15/09 46,557
-----------
FINANCE/RENTAL/LEASING (0.5%)
95 Countrywide Home Loans, Inc........................................... 3.25 05/21/08 95,459
20 Ford Motor Credit Co.................................................. 7.25 10/25/11 20,561
30 Household Finance Corp................................................ 6.40 06/17/08 34,246
35 Household Finance Corp................................................ 6.75 05/15/11 40,648
25 Household Finance Corp................................................ 6.375 10/15/11 28,427
110 MBNA Corp............................................................. 6.125 03/01/13 119,642
120 Prime Property Funding II - 144A**.................................... 7.00 08/15/04 126,697
-----------
465,680
-----------
FINANCIAL CONGLOMERATES (1.3%)
15 Boeing Capital Corp................................................... 5.75 02/15/07 16,383
45 Boeing Capital Corp................................................... 6.10 03/01/11 49,669
10 Boeing Capital Corp................................................... 6.50 02/15/12 11,277
20 Boeing Capital Corp................................................... 5.80 01/15/13 21,615
95 Chase Manhattan Corp.................................................. 6.00 02/15/09 107,046
60 Citigroup Inc......................................................... 6.00 02/21/12 68,254
90 Citigroup Inc......................................................... 5.625 08/27/12 99,157
160 General Electric Capital Corp......................................... 6.75 03/15/32 187,130
35 General Motors Acceptance Corp........................................ 4.50 07/15/06 35,191
135 General Motors Acceptance Corp........................................ 6.875 09/15/11 135,451
120 General Motors Acceptance Corp........................................ 8.00 11/01/31 117,740
225 Prudential Holdings, LLC (Series B FSA) - 144A**...................... 7.245 12/18/23 265,223
105 Prudential Holdings, LLC (Series B FSA) - 144A**...................... 8.695 12/18/23 132,876
-----------
1,247,012
-----------
FOOD RETAIL (0.2%)
20 Albertson's Inc....................................................... 7.45 08/01/29 22,590
45 Albertson's, Inc...................................................... 7.50 02/15/11 52,572
110 Kroger Co............................................................. 6.80 04/01/11 125,495
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
42
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 10 Kroger Co............................................................. 7.70 % 06/01/29 $ 12,039
20 Kroger Co............................................................. 8.00 09/15/29 24,875
-----------
237,571
-----------
FOOD: MAJOR DIVERSIFIED (0.1%)
15 Kraft Foods Inc....................................................... 5.625 11/01/11 16,345
40 Kraft Foods Inc....................................................... 6.25 06/01/12 45,247
-----------
61,592
-----------
FOREST PRODUCTS (0.1%)
90 Weyerhaeuser Co....................................................... 6.75 03/15/12 102,168
-----------
GAS DISTRIBUTORS (0.1%)
60 Consolidated Natural Gas Co........................................... 6.25 11/01/11 68,896
25 Sempra Energy......................................................... 6.00 02/01/13 27,563
-----------
96,459
-----------
HOME BUILDING (0.1%)
45 Centex Corp........................................................... 7.50 01/15/12 53,494
30 Pulte Homes, Inc...................................................... 6.375 05/15/33 30,259
-----------
83,753
-----------
HOME FURNISHINGS (0.0%)
35 Mohawk Industries Inc................................................. 7.20 04/15/12 41,014
-----------
HOME IMPROVEMENT CHAINS (0.1%)
100 Lowe's Companies, Inc................................................. 8.25 06/01/10 125,863
-----------
HOTELS/RESORTS/CRUISELINES (0.2%)
60 Hyatt Equities LLC - 144A**........................................... 6.875 06/15/07 62,487
145 Marriott International, Inc. (Series E)............................... 7.00 01/15/08 165,746
-----------
228,233
-----------
INDUSTRIAL CONGLOMERATES (0.2%)
105 Honeywell International, Inc.......................................... 6.125 11/01/11 119,627
25 Hutchinson Whampoa International Ltd. - 144A**........................ 6.50 02/13/13 26,229
-----------
145,856
-----------
INFORMATION TECHNOLOGY SERVICES (0.0%)
35 Electronic Data Systems Corp. - 144A**................................ 6.00 08/01/13 34,122
-----------
INTEGRATED OIL (0.3%)
25 Amerada Hess Corp..................................................... 6.65 08/15/11 28,840
70 Amerada Hess Corp..................................................... 7.875 10/01/29 85,197
120 Conoco Inc............................................................ 6.95 04/15/29 144,379
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
43
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 10 Petro-Canada.......................................................... 4.00 % 07/15/13 $ 9,726
30 Petro-Canada.......................................................... 5.35 07/15/33 28,676
-----------
296,818
-----------
INVESTMENT BANKS/BROKERS (0.2%)
60 Goldman Sachs Group Inc............................................... 6.125 02/15/33 64,343
95 Goldman Sachs Group, Inc.............................................. 6.875 01/15/11 112,095
-----------
176,438
-----------
LIFE/HEALTH INSURANCE (0.2%)
100 American General Corp................................................. 7.50 07/15/25 124,609
30 Hartford Life......................................................... 7.375 03/01/31 35,531
-----------
160,140
-----------
MAJOR BANKS (0.1%)
105 Bank One Corp......................................................... 6.00 02/17/09 118,758
-----------
MAJOR TELECOMMUNICATIONS (0.5%)
50 AT&T Corp............................................................. 8.50 11/15/31 56,694
30 British Telecom PLC (United Kingdom).................................. 8.875 12/15/30 40,937
80 Deutsche Telekom International Finance Corp. (Netherlands)............ 8.75 06/15/30 101,927
25 GTE Corp.............................................................. 6.94 04/15/28 28,371
60 Verizon Global Funding Corp........................................... 7.75 12/01/30 75,989
160 Verizon New England Inc............................................... 6.50 09/15/11 185,655
-----------
489,573
-----------
MANAGED HEALTH CARE (0.3%)
120 Aetna, Inc............................................................ 7.875 03/01/11 145,834
40 Cigna Corp............................................................ 6.375 10/15/11 44,787
60 Wellpoint Healthcare Networks, Inc.................................... 6.375 06/15/06 67,285
-----------
257,906
-----------
MEDIA CONGLOMERATES (0.3%)
45 AOL Time Warner Inc................................................... 7.70 05/01/32 52,534
30 News America Holdings, Inc............................................ 7.75 02/01/24 34,770
125 News America Holdings, Inc............................................ 7.28 06/30/28 141,693
20 Time Warner, Inc...................................................... 6.625 05/15/29 20,622
-----------
249,619
-----------
MOTOR VEHICLES (0.4%)
50 DaimlerChrysler North American Holdings Co............................ 7.20 09/01/09 56,834
35 DaimlerChrysler North American Holdings Co............................ 8.50 01/18/31 41,225
25 Ford Motor Co......................................................... 6.625 10/01/28 20,803
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
44
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 275 Ford Motor Co......................................................... 7.45 % 07/16/31 $ 251,918
50 General Motors Corp................................................... 8.375 07/15/33 49,072
-----------
419,852
-----------
MULTI-LINE INSURANCE (0.8%)
180 AIG Sun America Global Finance VI - 144A**............................ 6.30 05/10/11 206,429
300 Farmers Exchange Capital - 144A**..................................... 7.05 07/15/28 269,631
30 Hartford Financial Services Group, Inc................................ 2.375 06/01/06 29,974
75 Hartford Financial Services Group, Inc................................ 7.90 06/15/10 91,444
180 Nationwide Mutual Insurance Co. - 144A**.............................. 7.50 02/15/24 188,199
-----------
785,677
-----------
OIL & GAS PRODUCTION (0.4%)
10 Devon Financing Corp.................................................. 6.875 09/30/11 11,730
30 Devon Financing Corp.................................................. 7.875 09/30/31 38,094
30 Kerr-McGee Corp....................................................... 6.875 09/15/11 34,771
225 Pemex Project Funding Master Trust.................................... 8.625 02/01/22 257,063
-----------
341,658
-----------
OIL REFINING/MARKETING (0.0%)
40 Marathon Oil Corp..................................................... 6.80 03/15/32 45,250
-----------
OTHER CONSUMER SERVICES (0.1%)
55 Cendant Corp.......................................................... 7.375 01/15/13 64,763
50 Cendant Corp.......................................................... 7.125 03/15/15 57,970
-----------
122,733
-----------
OTHER METALS/MINERALS (0.2%)
45 BHP Finance USA Ltd................................................... 4.80 04/15/13 46,919
25 Inco Ltd.............................................................. 7.75 05/15/12 29,617
75 Inco Ltd.............................................................. 7.20 09/15/32 82,662
-----------
159,198
-----------
PULP & PAPER (0.2%)
55 International Paper Co................................................ 5.85 10/30/12 59,944
40 International Paper Co. - 144A**...................................... 5.30 04/01/15 41,124
35 MeadWestVaco Corp..................................................... 6.85 04/01/12 40,403
40 Sappi Papier Holding AG - 144A** (Austria)............................ 6.75 06/15/12 45,682
-----------
187,153
-----------
RAILROADS (0.0%)
25 Union Pacific Corp.................................................... 6.79 11/09/07 28,617
-----------
REAL ESTATE INVESTMENT TRUSTS (0.4%)
35 Boston Properties, Inc................................................ 6.25 01/15/13 38,327
25 EOP Operating LP...................................................... 6.763 06/15/07 28,174
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
45
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
$ 125 EOP Operating LP...................................................... 7.25 % 06/15/28 $ 139,833
75 Simon Property Group LP............................................... 6.375 11/15/07 83,676
35 Simon Property Group LP............................................... 6.35 08/28/12 38,781
45 Vordano Reality Trust................................................. 5.625 06/15/07 48,284
-----------
377,075
-----------
SAVINGS BANKS (0.1%)
55 Washington Mutual Bank................................................ 5.50 01/15/13 59,957
-----------
SERVICES TO THE HEALTH INDUSTRY (0.1%)
35 Anthem Insurance Companies, Inc. - 144A**............................. 9.125 04/01/10 44,071
60 Anthem Insurance Companies, Inc. - 144A**............................. 9.00 04/01/27 80,571
-----------
124,642
-----------
TOBACCO (0.0%)
10 Altria Group, Inc..................................................... 7.75 01/15/27 10,718
-----------
TOTAL CORPORATE BONDS
(COST $8,675,187)................................................................................. 9,581,809
-----------
MORTGAGE-BACKED SECURITIES (11.1%)
FEDERAL HOME LOAN MORTGAGE CORP.
2,100 ...................................................................... 6.50 + 2,184,000
675 ...................................................................... 7.50 + 715,500
561 ...................................................................... 7.50 09/01/25-12/01/31 596,185
Federal National Mortgage Assoc.
1,850 ...................................................................... 6.50 + 1,928,047
2,317 ...................................................................... 7.00 07/01/29-09/01/32 2,439,628
1,270 ...................................................................... 7.50 08/01/29-07/01/32 1,349,627
1,394 ...................................................................... 8.00 12/01/28-04/01/32 1,498,387
238 Government National Mortgage Association.............................. 7.50 08/15/23-10/15/29 252,831
-----------
TOTAL MORTGAGE-BACKED SECURITIES
(COST $10,903,264)................................................................................ 10,964,205
-----------
U.S. GOVERNMENT OBLIGATIONS (8.3%)
U.S. Treasury Bonds
475 ...................................................................... 8.125 08/15/19 686,987
200 ...................................................................... 8.50 02/15/20 299,524
425 ...................................................................... 8.75 08/15/20 650,831
300 ...................................................................... 8.125 08/15/21 438,680
500 ...................................................................... 7.625 02/15/25 710,918
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
46
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
U.S. Treasury Notes
$ 1,800 ...................................................................... 6.50% 02/15/10 $ 2,183,695
1,700 ...................................................................... 6.75 05/15/05 1,872,191
1,050 ...................................................................... 3.50 11/15/06 1,106,807
200 ...................................................................... 5.00 08/15/11 224,344
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(COST $7,745,094)................................................................................. 8,173,977
-----------
ASSET-BACKED SECURITIES (1.9%)
FINANCE/RENTAL/LEASING
67 BMW Vehicle Owner Trust 2002-A........................................ 2.83 12/25/04 67,460
94 Capital Auto Receivables Asset Trust 2002-2........................... 2.89 04/15/04 93,912
215 Chase Credit Card Master Trust 2001-4A................................ 5.50 11/17/08 236,377
30 Chase Manhattan Auto Owner Trust 2002-A............................... 2.63 10/15/04 29,640
143 Chase Manhattan Auto Owner Trust 2002-B............................... 2.70 01/18/05 143,158
200 Citibank Credit Card Issuance Trust................................... 6.90 10/15/07 222,501
95 Daimler Chrysler Auto Trust 2000-E.................................... 6.11 11/08/04 95,372
165 Daimler Chrysler Auto Trust 2002-A.................................... 2.90 12/06/04 165,234
102 Ford Credit Auto Owner Trust 2001-B................................... 5.12 10/15/04 102,429
72 Ford Credit Auto Owner Trust 2002-B................................... 2.97 06/15/04 71,738
130 Harley-Davidson Motorcycle Trust 2002-1............................... 3.02 09/15/06 131,376
130 Honda Auto Receivables Owner Trust 2002-2............................. 2.91 09/15/04 130,625
100 MBNA Master Credit Card Trust......................................... 5.90 08/15/11 114,721
38 National City Auto Receivables Trust 2002-A........................... 3.00 01/15/05 38,271
125 Nissan Auto Receivables Owner Trust 2001-C............................ 4.80 02/15/07 130,447
97 Nissan Auto Receivables Owner Trust 2002-B............................ 3.07 08/16/04 97,034
-----------
TOTAL ASSET-BACKED SECURITIES
(COST $1,813,846)................................................................................. 1,870,295
-----------
COLATERALIZED MORTGAGE OBLIGATION (0.0%)
4 Fannie Mae 2002-18 PG
(COST $10,000)....................................................... 5.50 06/25/08 3,507
-----------
SHORT-TERM INVESTMENTS (5.8%)
U.S. GOVERNMENT OBLIGATION (A) (0.1%)
100 U.S. Treasury Bill
(COST $99,725)....................................................... 1.15 09/25/03 99,725
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
47
<Page>
Balanced Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ---------------------------------------------------------------------------------------------------------------------------
REPURCHASE AGREEMENT (5.7%)
$ 5,567 Joint repurchase agreement account
(dated 06/30/03; proceeds $5,567,185) (b)
(COST $5,567,000)................................................... 1.195% 07/01/03 $ 5,567,000
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $5,666,725)................................................................................. 5,666,725
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $93,091,970) (c)(d)............................................ 104.7% 102,781,915
LIABILITIES IN EXCESS OF OTHER ASSETS................................. (4.7) (4,613,443)
----- -----------
NET ASSETS............................................................ 100.0% $98,168,472
===== ===========
</Table>
- ---------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
+ SECURITIES PURCHASED ON A FORWARD COMMITMENT BASIS WITH AN APPROXIMATE
PRINCIPAL AMOUNT AND NO DEFINITE MATURITY DATE.
(a) PURCHASED ON A DISCOUNT BASIS. THE INTEREST RATE SHOWN HAS BEEN ADJUSTED
TO REFLECT A MONEY MARKET EQUIVALENT YIELD.
(b) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(c) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$8,041,984 IN CONNECTION WITH SECURITIES PURCHASED ON A FORWARD
COMMITMENT BASIS AND OPEN FUTURES CONTRACTS.
(d) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR THE BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $11,350,372 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $1,660,427, RESULTING IN NET UNREALIZED APPRECIATION OF
$9,689,945.
<Table>
<Caption>
FUTURES CONTRACTS OPEN AT JUNE 30, 2003:
UNDERLYING UNREALIZED
NUMBER OF DESCRIPTION, DELIVERY FACE AMOUNT APPRECIATION/
CONTRACTS LONG/SHORT MONTH, AND YEAR AT VALUE DEPRECIATION
- ------------------------------------------------------------------------------------------------------
32 Long U.S. Treasury Notes 5 Year, September 2003 $3,684,000 $(7,283)
2 Short U.S. Treasury Notes 10 Year, September 2003 (234,875) 3,052
2 Short U.S. Treasury Bonds, September 2003 (234,688) 5,611
-------
Net unrealized appreciation.................................................... $ 1,380
=======
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
48
<Page>
Utilities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (89.9%)
ELECTRIC UTILITIES (41.8%)
50,000 AES Corp. (The)*.................................. $ 317,500
30,000 American Electric Power Co., Inc.................. 894,900
30,000 Black Hills Corp.................................. 921,000
43,500 Cinergy Corp...................................... 1,600,365
29,000 Consolidated Edison, Inc.......................... 1,255,120
30,000 Dominion Resources, Inc........................... 1,928,100
20,000 DTE Energy Co..................................... 772,800
71,710 Duke Energy Corp.................................. 1,430,614
80,000 Edison International*............................. 1,314,400
50,000 Energy East Corp.................................. 1,038,000
32,500 Entergy Corp...................................... 1,715,350
45,000 Exelon Corp....................................... 2,691,450
45,000 FirstEnergy Corp.................................. 1,730,250
30,000 FPL Group, Inc.................................... 2,005,500
27,000 NSTAR............................................. 1,229,850
25,000 PG&E Corp.*....................................... 528,750
50,000 PPL Corp.......................................... 2,150,000
28,081 Progress Energy, Inc.............................. 1,232,756
34,000 Public Service Enterprise Group, Inc.............. 1,436,500
61,000 SCANA Corp........................................ 2,091,080
42,000 Southern Co....................................... 1,308,720
50,000 TXU Corp.......................................... 1,122,500
36,000 Wisconsin Energy Corp............................. 1,044,000
70,000 Xcel Energy, Inc.................................. 1,052,800
-----------
32,812,305
-----------
ENERGY (17.9%)
35,000 AGL Resources, Inc................................ 890,400
30,000 Burlington Resources, Inc......................... 1,622,100
125,000 El Paso Corp...................................... 1,010,000
45,000 Equitable Resources, Inc.......................... 1,833,300
46,600 KeySpan Corp...................................... 1,651,970
60,000 MDU Resources Group, Inc.......................... 2,009,400
39,000 New Jersey Resources Corp......................... 1,384,500
50,000 Questar Corp...................................... 1,673,500
40,000 Sempra Energy..................................... 1,141,200
110,000 Williams Companies, Inc. (The).................... 869,000
-----------
14,085,370
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
49
<Page>
Utilities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
TELECOMMUNICATIONS (29.4%)
50,000 Alcatel SA (ADR) (France)*........................ $ 447,500
44,160 ALLTEL Corp....................................... 2,129,395
95,000 American Tower Corp. (Class A)*................... 840,750
165,000 AT&T Wireless Services Inc.*...................... 1,354,650
105,500 BellSouth Corp.................................... 2,809,465
55,625 CenturyTel, Inc.*................................. 1,938,531
90,000 Cincinnati Bell Inc............................... 603,000
35,000 Comcast Corp. (Class A)*.......................... 1,056,300
50,000 Nextel Communications, Inc. (Class A)*............ 904,000
40,000 Nokia Corp. (ADR) (Finland)....................... 657,200
121,272 SBC Communications, Inc........................... 3,098,500
30,000 Sprint Corp. (FON Group).......................... 432,000
115,000 Sprint Corp. (PCS Group)*......................... 661,250
20,000 Telefonos de Mexico S.A. (Series L) (ADR)
(Mexico)......................................... 628,400
25,000 UTStarcom, Inc.*.................................. 889,250
67,394 Verizon Communications Inc........................ 2,658,693
60,000 Vodafone Group PLC (ADR) (United Kingdom)......... 1,179,000
65,000 Western Wireless Corp. (Class A)*................. 749,450
-----------
23,037,334
-----------
WATER UTILITIES (0.8%)
24,375 Philadelphia Suburban Corp........................ 594,263
-----------
TOTAL COMMON STOCKS
(COST $55,979,615)............................... 70,529,272
-----------
</Table>
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE
- --------- ------- ---------
CORPORATE BONDS (5.1%)
ELECTRIC UTILITIES (3.4%)
$ 45 Appalachian Power Co. (Series G).................. 3.60% 05/15/08 45,555
15 Appalachian Power Co. (Series H).................. 5.95 05/15/33 14,959
140 Cinergy Corp...................................... 6.25 09/01/04 146,996
45 Cleco Power LLC................................... 5.375 05/01/13 46,570
60 Commonwealth Edison Co............................ 6.15 03/15/12 68,792
25 Consolidated Edison Co. of New York............... 5.875 04/01/33 26,669
57 Constellation Energy Group, Inc................... 7.60 04/01/32 68,516
165 DTE Energy Co..................................... 7.05 06/01/11 192,977
30 Duke Energy Corp.................................. 4.50 04/01/10 31,367
130 Duquesne Light Co................................. 6.70 04/15/12 149,756
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
50
<Page>
Utilities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------
$ 30 Energy Arkansas Inc. - 144A**..................... 5.90% 06/01/33 $ 29,095
290 Exelon Corp....................................... 6.75 05/01/11 335,526
15 Florida Power & Light Co.......................... 4.85 02/01/13 15,854
120 Florida Power Corp................................ 6.65 07/15/11 140,632
60 Idaho Power Corp.................................. 4.25 10/01/13 60,235
55 Indiana Michigan Power Co......................... 6.375 11/01/12 61,977
60 Indiana Michigan Power Co. (Series A)............. 6.875 07/01/04 63,264
60 Jersey Central Power & Light Co................... 6.45 05/15/06 66,269
140 Pinnacle West Capital Corp........................ 6.40 04/01/06 151,263
80 Progress Energy Inc............................... 6.55 03/01/04 82,532
345 PSEG Energy Holdings.............................. 9.125 02/10/04 355,350
140 Public Service Co. of New Mexico (Series B)....... 7.50 08/01/18 161,366
50 Public Service Electric & Gas Co.................. 5.00 01/01/13 52,803
120 South Carolina Electric & Gas Co.................. 7.50 06/15/05 132,883
45 TECO Energy Corp.................................. 7.00 05/01/12 43,875
65 Texas-New Mexico Power Co......................... 6.25 01/15/09 65,730
40 Wisconsin Electric Power Co....................... 4.50 05/15/13 41,028
10 Wisconsin Energy Corp............................. 6.20 04/01/33 10,837
-----------
2,662,676
-----------
ENERGY (0.1%)
100 Consolidated Natural Gas Co....................... 5.375 11/01/06 108,414
25 Sempra Energy..................................... 6.00 02/01/13 27,564
-----------
135,978
-----------
TELECOMMUNICATIONS (1.6%)
100 AT&T Corp......................................... 7.00 11/15/06 111,221
75 AT&T Wireless Services, Inc....................... 7.875 03/01/11 88,577
90 British Telecommunications PLC (United Kingdom)... 8.375 12/15/10 113,821
210 Deutsche Telekom International Finance Corp.
(Netherlands).................................... 8.75 06/15/30 267,559
180 GTE Corp.......................................... 7.90 02/01/27 204,944
225 SBC Communications Inc............................ 5.875 02/01/12 252,591
170 Verizon New England Inc........................... 6.50 09/15/11 197,258
-----------
1,235,971
-----------
TOTAL CORPORATE BONDS
(COST $3,654,056).................................................... 4,034,625
-----------
ASSET-BACKED SECURITIES (0.9%)
FINANCE/RENTAL/LEASING
150 Connecticut RRB Special Purpose Trust CL&P -
Series 2001...................................... 6.20 12/30/11 175,364
150 Detroit Edison Securitization Funding LLC......... 5.875 03/01/10 167,573
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
51
<Page>
Utilities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN COUPON MATURITY
THOUSANDS RATE DATE VALUE
- ----------------------------------------------------------------------------------------------
$ 175 PECO Energy Transition Trust...................... 7.625% 03/01/10 $ 213,224
150 PSE&G Transition Funding LLC...................... 6.61 06/15/15 178,937
-----------
TOTAL ASSET-BACKED SECURITIES
(COST $671,011)...................................................... 735,098
-----------
SHORT-TERM INVESTMENT (3.9%)
REPURCHASE AGREEMENT
3,049 Joint repurchase agreement account (dated
06/30/03;
proceeds $3,049,101) (a)
(COST $3,049,000)................................ 1.195 07/01/03 3,049,000
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $63,353,682) (b)........................... 99.8% 78,347,995
OTHER ASSETS IN EXCESS OF LIABILITIES............. 0.2 139,719
----- -----------
NET ASSETS........................................ 100.0% $78,487,714
===== ===========
</Table>
- ---------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** RESALE IS RESTRICTED TO QUALIFIED INSTITUTIONAL INVESTORS.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $15,180,721 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $186,408, RESULTING IN NET UNREALIZED APPRECIATION OF
$14,994,313.
SEE NOTES TO FINANCIAL STATEMENTS
52
<Page>
Dividend Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
COMMON STOCKS (99.9%)
AEROSPACE & DEFENSE (1.3%)
232,600 Goodrich Corp........................... $ 4,884,600
------------
ALUMINUM (2.2%)
140,300 Alcan Inc. (Canada)..................... 4,389,987
152,300 Alcoa, Inc.............................. 3,883,650
------------
8,273,637
------------
APPAREL/FOOTWEAR (1.5%)
172,500 VF Corp................................. 5,873,625
------------
AUTO PARTS: O.E.M. (3.0%)
465,100 Delphi Corp............................. 4,013,813
84,800 Johnson Controls, Inc................... 7,258,880
------------
11,272,693
------------
BEVERAGES: NON-ALCOHOLIC (1.0%)
80,200 Coca-Cola Co. (The)..................... 3,722,082
------------
CHEMICALS: MAJOR DIVERSIFIED (3.5%)
214,600 Dow Chemical Co. (The).................. 6,644,016
161,000 Du Pont (E.I.) de Nemours & Co.......... 6,704,040
------------
13,348,056
------------
COMPUTER PROCESSING HARDWARE (3.0%)
526,100 Hewlett-Packard Co...................... 11,205,930
------------
DISCOUNT STORES (1.7%)
169,800 Target Corp............................. 6,425,232
------------
DRUGSTORE CHAINS (0.0%)
6,500 CVS Corp................................ 182,195
------------
ELECTRIC UTILITIES (5.8%)
116,800 Exelon Corp............................. 6,985,808
197,900 FirstEnergy Corp........................ 7,609,255
107,700 FPL Group, Inc.......................... 7,199,745
------------
21,794,808
------------
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
ELECTRONICS/ APPLIANCES (1.7%)
102,800 Whirlpool Corp.......................... $ 6,548,360
------------
FINANCE/RENTAL/ LEASING (4.3%)
40,400 Fannie Mae.............................. 2,724,576
114,500 Freddie Mac............................. 5,813,165
379,200 MBNA Corp............................... 7,902,528
------------
16,440,269
------------
FINANCIAL CONGLOMERATES (1.9%)
165,600 Citigroup Inc........................... 7,087,680
------------
FOOD: MAJOR DIVERSIFIED (2.1%)
146,600 PepsiCo, Inc............................ 6,523,700
28,900 Unilever N.V. (ADR) (NY Registered
Shares) (Netherlands).................. 1,560,600
------------
8,084,300
------------
FOREST PRODUCTS (1.6%)
111,900 Weyerhaeuser Co......................... 6,042,600
------------
HOME IMPROVEMENT CHAINS (2.4%)
278,200 Home Depot, Inc. (The).................. 9,213,984
------------
HOUSEHOLD/PERSONAL CARE (3.7%)
80,300 Avon Products, Inc...................... 4,994,660
48,700 Kimberly-Clark Corp..................... 2,539,218
72,300 Procter & Gamble Co. (The).............. 6,447,714
------------
13,981,592
------------
INDUSTRIAL CONGLOMERATES (6.9%)
51,400 3M Co................................... 6,629,572
239,300 General Electric Co..................... 6,863,124
192,100 Honeywell International, Inc............ 5,157,885
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
53
<Page>
Dividend Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
107,400 United Technologies Corp................ $ 7,607,142
------------
26,257,723
------------
INDUSTRIAL SPECIALTIES (1.6%)
120,800 PPG Industries, Inc..................... 6,129,392
------------
INFORMATION TECHNOLOGY SERVICES (2.5%)
169,000 Accenture Ltd. (Class A) (Bermuda)*..... 3,057,210
77,700 International Business Machines Corp.... 6,410,250
------------
9,467,460
------------
INTEGRATED OIL (3.5%)
125,400 BP PLC (ADR) (United Kingdom)........... 5,269,308
113,100 Exxon Mobil Corp........................ 4,061,421
80,600 Royal Dutch Petroleum Co. (NY Registered
Shares) (Netherlands).................. 3,757,572
------------
13,088,301
------------
INVESTMENT BANKS/ BROKERS (2.5%)
28,200 Goldman Sachs Group, Inc. (The)......... 2,361,750
22,500 Lehman Brothers Holdings, Inc........... 1,495,800
119,400 Merrill Lynch & Co., Inc................ 5,573,592
------------
9,431,142
------------
INVESTMENT MANAGERS (1.4%)
186,000 Mellon Financial Corp................... 5,161,500
------------
LIFE/HEALTH INSURANCE (1.5%)
156,500 Lincoln National Corp................... 5,576,095
------------
MAJOR BANKS (7.3%)
146,500 Bank of America Corp.................... 11,577,895
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
112,100 Comerica, Inc........................... $ 5,212,650
149,000 KeyCorp................................. 3,765,230
98,300 PNC Financial Services Group............ 4,798,023
54,100 Wachovia Corp........................... 2,161,836
------------
27,515,634
------------
MAJOR TELECOMMUNICATIONS (1.4%)
131,700 Verizon Communications Inc.............. 5,195,565
------------
MOTOR VEHICLES (1.2%)
114,500 DaimlerChrysler AG (Germany)............ 3,975,440
20,400 General Motors Corp..................... 734,400
------------
4,709,840
------------
MULTI-LINE INSURANCE (1.6%)
78,300 American International Group, Inc....... 4,320,594
33,100 Hartford Financial Services Group, Inc.
(The) (Note 4)......................... 1,666,916
------------
5,987,510
------------
OFFICE EQUIPMENT/ SUPPLIES (1.8%)
178,900 Pitney Bowes, Inc....................... 6,871,549
------------
OIL REFINING/ MARKETING (0.5%)
27,100 Total SA (ADR) (France)................. 2,054,180
------------
PHARMACEUTICALS: MAJOR (10.3%)
261,500 Bristol-Myers Squibb Co................. 7,099,725
164,900 Merck & Co., Inc........................ 9,984,695
366,960 Pfizer Inc.............................. 12,531,685
204,200 Wyeth................................... 9,301,310
------------
38,917,415
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
54
<Page>
Dividend Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
PROPERTY - CASUALTY INSURERS (1.8%)
408,300 Travelers Property Casualty Corp.
(Class A).............................. $ 6,491,970
13,500 Travelers Property Casualty Corp.
(Class B).............................. 212,895
------------
6,704,865
------------
PULP & PAPER (2.5%)
165,600 International Paper Co.................. 5,916,888
140,600 MeadWestvaco Corp....................... 3,472,820
------------
9,389,708
------------
RAILROADS (3.4%)
237,300 Burlington Northern Santa Fe Corp....... 6,748,812
201,100 CSX Corp................................ 6,051,099
------------
12,799,911
------------
REGIONAL BANKS (0.6%)
92,600 U.S. Bancorp............................ 2,268,700
------------
SEMICONDUCTORS (1.0%)
173,600 Intel Corp.............................. 3,608,102
------------
TELECOMMUNICATION EQUIPMENT (1.5%)
190,800 Motorola, Inc........................... 1,799,244
<Caption>
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------
242,200 Nokia Corp. (ADR) (Finland)............. $ 3,979,346
------------
5,778,590
------------
TOBACCO (2.4%)
203,000 Altria Group, Inc....................... 9,224,320
------------
TRUCKS/CONSTRUCTION/FARM
MACHINERY (2.0%)
136,700 Caterpillar, Inc........................ 7,608,722
------------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $334,901,892) (a)................ 99.9% 378,127,867
OTHER ASSETS IN EXCESS OF LIABILITIES... 0.1 377,352
------ ------------
NET ASSETS.............................. 100.0% $378,505,219
====== ============
</Table>
- ---------------------------------------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(a) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $57,890,101 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $14,664,126, RESULTING IN NET UNREALIZED APPRECIATION OF
$43,225,975.
SEE NOTES TO FINANCIAL STATEMENTS
55
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
COMMON STOCKS (99.3%)
ADVERTISING/MARKETING SERVICES (0.4%)
23,120 Interpublic Group of Companies, Inc............... $ 309,346
4,330 Omnicom Group, Inc................................ 310,461
------------
619,807
------------
AEROSPACE & DEFENSE (1.4%)
9,000 Boeing Co......................................... 308,880
4,400 General Dynamics Corp............................. 319,000
14,910 Goodrich Corp..................................... 313,110
6,400 Lockheed Martin Corp.............................. 304,448
3,600 Northrop Grumman Corp............................. 310,644
9,300 Raytheon Co....................................... 305,412
12,650 Rockwell Collins, Inc............................. 311,569
------------
2,173,063
------------
AGRICULTURAL COMMODITIES/ MILLING (0.2%)
24,000 Archer-Daniels-Midland Co......................... 308,880
------------
AIR FREIGHT/COURIERS (0.4%)
5,000 FedEx Corp........................................ 310,150
4,900 United Parcel Service, Inc. (Class B)............. 312,130
------------
622,280
------------
AIRLINES (0.4%)
21,470 Delta Air Lines, Inc.............................. 315,180
18,000 Southwest Airlines Co............................. 309,600
------------
624,780
------------
ALTERNATIVE POWER GENERATION (0.2%)
46,520 Calpine Corp.*.................................... 307,032
------------
ALUMINUM (0.2%)
12,200 Alcoa, Inc........................................ 311,100
------------
APPAREL/FOOTWEAR (1.2%)
8,700 Cintas Corp....................................... 308,328
10,520 Jones Apparel Group, Inc.*........................ 307,815
8,700 Liz Claiborne, Inc................................ 306,675
5,820 Nike, Inc. (Class B).............................. 311,312
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
9,000 Reebok International Ltd.*........................ $ 302,670
9,000 VF Corp........................................... 306,450
------------
1,843,250
------------
APPAREL/FOOTWEAR RETAIL (0.8%)
16,600 Gap, Inc. (The)................................... 311,416
19,980 Limited Brands, Inc............................... 309,690
15,810 Nordstrom, Inc.................................... 308,611
16,400 TJX Companies, Inc. (The)......................... 308,976
------------
1,238,693
------------
AUTO PARTS: O.E.M. (1.0%)
26,500 Dana Corp......................................... 306,340
35,730 Delphi Corp....................................... 308,350
3,930 Eaton Corp........................................ 308,937
3,500 Johnson Controls, Inc............................. 299,600
45,700 Visteon Corp...................................... 313,959
------------
1,537,186
------------
AUTOMOTIVE AFTERMARKET (0.4%)
17,520 Cooper Tire & Rubber Co........................... 308,177
58,950 Goodyear Tire & Rubber Co. (The).................. 309,487
------------
617,664
------------
BEVERAGES: ALCOHOLIC (0.6%)
6,030 Anheuser-Busch Companies, Inc..................... 307,831
3,930 Brown-Forman Corp. (Class B)...................... 308,977
6,330 Coors (Adolph) Co. (Class B)...................... 310,043
------------
926,851
------------
BEVERAGES: NON-ALCOHOLIC (0.6%)
6,600 Coca-Cola Co. (The)............................... 306,306
17,000 Coca-Cola Enterprises Inc......................... 308,550
15,560 Pepsi Bottling Group, Inc. (The).................. 311,511
------------
926,367
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
56
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
BIOTECHNOLOGY (1.0%)
4,750 Amgen Inc.*....................................... $ 315,590
8,120 Biogen, Inc.*..................................... 308,560
7,000 Chiron Corp.*..................................... 306,040
7,440 Genzyme Corp. (General Division)*................. 310,992
8,700 MedImmune, Inc.*.................................. 316,419
------------
1,557,601
------------
BROADCASTING (0.4%)
7,400 Clear Channel Communications, Inc.*............... 313,686
10,000 Univision Communications, Inc. (Class A)*......... 304,000
------------
617,686
------------
BUILDING PRODUCTS (0.4%)
4,200 American Standard Companies, Inc.*................ 310,506
12,910 Masco Corp........................................ 307,903
------------
618,409
------------
CABLE/SATELLITE TV (0.2%)
10,170 Comcast Corp. (Class A)*.......................... 306,931
------------
CASINO/GAMING (0.4%)
7,670 Harrah's Entertainment, Inc.*..................... 308,641
3,010 International Game Technology..................... 308,013
------------
616,654
------------
CHEMICALS: AGRICULTURAL (0.2%)
14,500 Monsanto Co....................................... 313,780
------------
CHEMICALS: MAJOR DIVERSIFIED (1.2%)
9,990 Dow Chemical Co. (The)............................ 309,290
7,390 Du Pont (E.I.) de Nemours & Co.................... 307,720
9,800 Eastman Chemical Co............................... 310,366
12,300 Engelhard Corp.................................... 304,671
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
31,120 Hercules Inc.*.................................... $ 308,088
10,040 Rohm & Haas Co.................................... 311,541
------------
1,851,676
------------
CHEMICALS: SPECIALTY (0.8%)
7,500 Air Products & Chemicals, Inc..................... 312,000
15,190 Great Lakes Chemical Corp......................... 309,876
5,200 Praxair, Inc...................................... 312,520
5,670 Sigma-Aldrich Corp................................ 307,201
------------
1,241,597
------------
COMMERCIAL PRINTING/ FORMS (0.4%)
6,910 Deluxe Corp....................................... 309,568
11,820 Donnelley (R.R.) & Sons Co........................ 308,975
------------
618,543
------------
COMPUTER COMMUNICATIONS (0.4%)
48,000 Avaya Inc.*....................................... 310,080
18,120 Cisco Systems, Inc.*.............................. 302,423
------------
612,503
------------
COMPUTER PERIPHERALS (0.6%)
29,900 EMC Corp.*........................................ 313,053
4,300 Lexmark International, Inc.*...................... 304,311
19,000 Network Appliance, Inc.*.......................... 307,990
------------
925,354
------------
COMPUTER PROCESSING HARDWARE (1.2%)
16,200 Apple Computer, Inc.*............................. 309,744
9,730 Dell Computer Corp.*.............................. 310,971
84,580 Gateway, Inc.*.................................... 308,717
14,900 Hewlett-Packard Co................................ 317,370
12,120 NCR Corp.*........................................ 310,514
65,250 Sun Microsystems, Inc.*........................... 300,150
------------
1,857,466
------------
CONSTRUCTION MATERIALS (0.2%)
8,300 Vulcan Materials Co............................... 307,681
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
57
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
CONSUMER SUNDRIES (0.2%)
15,800 American Greetings Corp. (Class A)*............... $ 310,312
------------
CONTAINERS/ PACKAGING (1.0%)
6,800 Ball Corp......................................... 309,468
6,600 Bemis Company, Inc................................ 308,880
15,800 Pactiv Corp.*..................................... 311,418
6,490 Sealed Air Corp.*................................. 309,313
7,240 Temple-Inland, Inc................................ 310,668
------------
1,549,747
------------
CONTRACT DRILLING (0.8%)
7,700 Nabors Industries, Ltd. (Bermuda)*................ 304,535
9,000 Noble Corp.*...................................... 308,700
14,000 Rowan Companies, Inc.*............................ 313,600
13,960 Transocean Inc.*.................................. 306,701
------------
1,233,536
------------
DATA PROCESSING SERVICES (1.5%)
9,000 Automatic Data Processing, Inc.................... 304,740
8,000 Computer Sciences Corp.*.......................... 304,960
20,800 Concord EFS, Inc.*................................ 306,176
19,000 Convergys Corp.*.................................. 304,000
7,300 First Data Corp................................... 302,512
8,660 Fiserv, Inc.*..................................... 308,383
10,300 Paychex, Inc...................................... 301,893
11,800 SunGard Data Systems Inc.*........................ 305,738
------------
2,438,402
------------
DEPARTMENT STORES (1.1%)
22,800 Dillard's, Inc. (Class A)......................... 307,116
8,200 Federated Department Stores, Inc.................. 302,170
5,900 Kohl's Corp.*..................................... 303,142
13,840 May Department Stores Co.*........................ 308,078
17,800 Penney (J.C.) Co., Inc............................ 299,930
9,210 Sears, Roebuck & Co............................... 309,824
------------
1,830,260
------------
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
DISCOUNT STORES (1.2%)
20,700 Big Lots, Inc.*................................... $ 311,328
8,400 Costco Wholesale Corp.*........................... 307,440
16,600 Dollar General Corp............................... 303,116
8,000 Family Dollar Stores, Inc......................... 305,200
8,150 Target Corp....................................... 308,396
5,720 Wal-Mart Stores, Inc.............................. 306,992
------------
1,842,472
------------
DRUGSTORE CHAINS (0.4%)
11,300 CVS Corp.......................................... 316,739
10,320 Walgreen Co....................................... 310,632
------------
627,371
------------
ELECTRIC UTILITIES (5.3%)
47,450 AES Corp. (The)*.................................. 301,307
36,790 Allegheny Energy, Inc............................. 310,875
7,000 Ameren Corp....................................... 308,700
10,400 American Electric Power Co., Inc.................. 310,232
38,050 CenterPoint Energy, Inc........................... 310,107
8,460 Cinergy Corp...................................... 311,243
39,400 CMS Energy Corp................................... 319,140
7,300 Consolidated Edison, Inc.......................... 315,944
9,000 Constellation Energy Group, Inc................... 308,700
4,800 Dominion Resources, Inc........................... 308,496
7,900 DTE Energy Co..................................... 305,256
15,520 Duke Energy Corp.................................. 309,624
18,950 Edison International*............................. 311,349
5,890 Entergy Corp...................................... 310,874
5,190 Exelon Corp....................................... 310,414
8,200 FirstEnergy Corp.................................. 315,290
4,650 FPL Group, Inc.................................... 310,853
57,000 Mirant Corp.*..................................... 165,300
14,630 PG&E Corp.*....................................... 309,425
8,100 Pinnacle West Capital Corp........................ 303,345
7,230 PPL Corp.......................................... 310,890
7,000 Progress Energy, Inc.............................. 307,300
7,500 Public Service Enterprise Group, Inc.............. 316,875
9,980 Southern Co. (The)................................ 310,977
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
58
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
25,960 TECO Energy, Inc.................................. $ 311,260
13,860 TXU Corp.......................................... 311,157
20,650 Xcel Energy, Inc.................................. 310,576
------------
8,235,509
------------
ELECTRICAL PRODUCTS (1.2%)
20,000 American Power Conversion Corp.*.................. 311,800
7,500 Cooper Industries Ltd. (Class A) (Bermuda)........ 309,750
5,900 Emerson Electric Co............................... 301,490
11,500 Molex Inc......................................... 310,385
43,710 Power-One, Inc.*.................................. 312,527
21,000 Thomas & Betts Corp.*............................. 303,450
------------
1,849,402
------------
ELECTRONIC COMPONENTS (0.8%)
13,700 Jabil Circuit, Inc.*.............................. 302,770
6,460 QLogic Corp.*..................................... 312,212
48,900 Sanmina-SCI Corp.*................................ 308,559
84,580 Solectron Corp.*.................................. 316,329
------------
1,239,870
------------
ELECTRONIC EQUIPMENT/ INSTRUMENTS (2.0%)
15,760 Agilent Technologies, Inc.*....................... 308,108
88,170 JDS Uniphase Corp.*............................... 309,477
22,090 PerkinElmer, Inc.................................. 305,063
12,870 Rockwell Automation, Inc.......................... 306,821
13,010 Scientific-Atlanta, Inc........................... 310,158
24,000 Symbol Technologies, Inc.......................... 312,240
14,280 Tektronix, Inc.*.................................. 308,448
15,000 Thermo Electron Corp.*............................ 315,300
10,800 Waters Corp.*..................................... 314,604
29,060 Xerox Corp.*...................................... 307,745
------------
3,097,964
------------
ELECTRONIC PRODUCTION EQUIPMENT (0.8%)
19,370 Applied Materials, Inc.*.......................... 307,208
6,500 KLA-Tencor Corp.*................................. 302,185
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
8,460 Novellus Systems, Inc.*........................... $ 309,814
18,500 Teradyne, Inc.*................................... 320,235
------------
1,239,442
------------
ELECTRONICS/APPLIANCE STORES (0.6%)
7,070 Best Buy Co., Inc.*............................... 310,514
35,000 Circuit City Stores - Circuit City Group.......... 308,000
11,790 RadioShack Corp................................... 310,195
------------
928,709
------------
ELECTRONICS/ APPLIANCES (0.6%)
11,340 Eastman Kodak Co.................................. 310,149
13,000 Maytag Corp....................................... 317,460
4,890 Whirlpool Corp.................................... 311,493
------------
939,102
------------
ENGINEERING & CONSTRUCTION (0.2%)
9,150 Fluor Corp. (New)................................. 307,806
------------
ENVIRONMENTAL SERVICES (0.4%)
31,120 Allied Waste Industries, Inc.*.................... 312,756
13,000 Waste Management, Inc............................. 313,170
------------
625,926
------------
FINANCE/RENTAL/ LEASING (1.6%)
6,300 Capital One Financial Corp........................ 309,834
4,500 Countrywide Financial Corp........................ 313,065
4,600 Fannie Mae........................................ 310,224
6,000 Freddie Mac....................................... 304,620
14,760 MBNA Corp......................................... 307,598
33,470 Providian Financial Corp.*........................ 309,932
12,000 Ryder System, Inc................................. 307,440
7,830 SLM Corp.......................................... 306,701
------------
2,469,414
------------
FINANCIAL CONGLOMERATES (1.4%)
7,340 American Express Co............................... 306,885
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
59
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
7,200 Citigroup Inc..................................... $ 308,160
9,030 J.P. Morgan Chase & Co............................ 308,645
9,860 John Hancock Financial Services, Inc.............. 302,998
9,520 Principal Financial Group, Inc.................... 307,020
9,200 Prudential Financial, Inc......................... 309,580
7,800 State Street Corp................................. 307,320
------------
2,150,608
------------
FINANCIAL PUBLISHING/ SERVICES (0.6%)
11,860 Equifax, Inc...................................... 308,360
5,000 McGraw-Hill Companies, Inc. (The)................. 310,000
5,850 Moody's Corp...................................... 308,354
------------
926,714
------------
FOOD DISTRIBUTORS (0.4%)
14,400 Supervalu, Inc.................................... 307,008
10,330 SYSCO Corp........................................ 310,313
------------
617,321
------------
FOOD RETAIL (0.8%)
16,100 Albertson's, Inc.................................. 309,120
18,900 Kroger Co.*....................................... 315,252
15,400 Safeway Inc.*..................................... 315,084
24,800 Winn-Dixie Stores, Inc............................ 305,288
------------
1,244,744
------------
FOOD: MAJOR DIVERSIFIED (1.2%)
12,500 Campbell Soup Co.................................. 306,250
6,500 General Mills, Inc................................ 308,165
9,300 Heinz (H.J.) Co................................... 306,714
9,000 Kellogg Co........................................ 309,330
7,000 PepsiCo, Inc...................................... 311,500
16,560 Sara Lee Corp..................................... 311,494
------------
1,853,453
------------
FOOD: MEAT/FISH/ DAIRY (0.2%)
12,800 ConAgra Foods Inc................................. 302,080
------------
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
FOOD: SPECIALTY/ CANDY (0.6%)
4,500 Hershey Foods Corp................................ $ 313,470
11,320 McCormick & Co., Inc. (Non-Voting)................ 307,904
5,600 Wrigley (Wm.) Jr. Co. (Class A)................... 314,888
------------
936,262
------------
FOREST PRODUCTS (0.4%)
28,500 Louisiana-Pacific Corp.*.......................... 307,515
5,890 Weyerhaeuser Co................................... 318,060
------------
625,575
------------
GAS DISTRIBUTORS (1.4%)
73,410 Dynegy, Inc. (Class A)*........................... 308,322
8,800 KeySpan Corp...................................... 311,960
5,720 Kinder Morgan, Inc................................ 312,598
8,500 Nicor Inc......................................... 315,435
16,360 NiSource Inc...................................... 310,840
7,260 Peoples Energy Corp............................... 311,381
10,900 Sempra Energy..................................... 310,977
------------
2,181,513
------------
HOME BUILDING (0.6%)
4,000 Centex Corp....................................... 311,160
4,990 KB HOME........................................... 309,280
5,010 Pulte Homes, Inc.................................. 308,917
------------
929,357
------------
HOME FURNISHINGS (0.6%)
15,060 Leggett & Platt, Inc.............................. 308,730
11,120 Newell Rubbermaid, Inc............................ 311,360
22,200 Tupperware Corp................................... 318,792
------------
938,882
------------
HOME IMPROVEMENT CHAINS (0.6%)
9,300 Home Depot, Inc. (The)............................ 308,016
7,000 Lowe's Companies, Inc............................. 300,650
11,300 Sherwin-Williams Co............................... 303,744
------------
912,410
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
60
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
HOSPITAL/NURSING MANAGEMENT (0.8%)
9,700 HCA Inc........................................... $ 310,788
16,500 Health Management Associates, Inc. (Class A)...... 304,425
12,500 Manor Care, Inc.*................................. 312,625
26,830 Tenet Healthcare Corp.*........................... 312,570
------------
1,240,408
------------
HOTELS/RESORTS/ CRUISELINES (0.8%)
9,490 Carnival Corp..................................... 308,520
24,200 Hilton Hotels Corp................................ 309,518
8,100 Marriott International, Inc. (Class A)............ 311,202
11,000 Starwood Hotels & Resorts Worldwide, Inc.......... 314,490
------------
1,243,730
------------
HOUSEHOLD/PERSONAL CARE (1.6%)
6,000 Alberto-Culver Co. (Class B)...................... 306,600
4,900 Avon Products, Inc................................ 304,780
7,220 Clorox Co. (The).................................. 307,933
5,400 Colgate-Palmolive Co.............................. 312,930
9,900 Gillette Co. (The)................................ 315,414
9,730 International Flavors & Fragrances, Inc........... 310,679
5,920 Kimberly-Clark Corp............................... 308,669
3,500 Procter & Gamble Co. (The)........................ 312,130
------------
2,479,135
------------
INDUSTRIAL CONGLOMERATES (1.6%)
2,400 3M Co............................................. 309,552
10,750 General Electric Co............................... 308,310
11,500 Honeywell International, Inc...................... 308,775
6,500 Ingersoll Rand Co. (Class A) (Bermuda)............ 307,580
4,700 ITT Industries, Inc............................... 307,662
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
7,890 Textron, Inc...................................... $ 307,868
16,400 Tyco International Ltd. (Bermuda)................. 311,272
4,370 United Technologies Corp.......................... 309,527
------------
2,470,546
------------
INDUSTRIAL MACHINERY (0.4%)
4,800 Illinois Tool Works Inc........................... 316,080
7,330 Parker-Hannifin Corp.............................. 307,787
------------
623,867
------------
INDUSTRIAL SPECIALTIES (0.4%)
12,050 Ecolab Inc........................................ 308,480
6,200 PPG Industries, Inc............................... 314,588
------------
623,068
------------
INFORMATION TECHNOLOGY SERVICES (1.0%)
15,090 Citrix Systems, Inc.*............................. 307,232
14,570 Electronic Data Systems Corp...................... 312,527
3,700 International Business Machines Corp.............. 305,250
17,630 PeopleSoft, Inc.*................................. 310,112
25,490 Unisys Corp.*..................................... 313,017
------------
1,548,138
------------
INSURANCE BROKERS/ SERVICES (0.4%)
12,500 AON Corp.......................................... 301,000
6,060 Marsh & McLennan Companies, Inc................... 309,484
------------
610,484
------------
INTEGRATED OIL (0.8%)
6,300 Amerada Hess Corp................................. 309,834
4,280 ChevronTexaco Corp................................ 309,016
5,660 ConocoPhillips.................................... 310,168
8,570 Exxon Mobil Corp.................................. 307,749
------------
1,236,767
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
61
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
INTERNET SOFTWARE/ SERVICES (0.4%)
32,000 Siebel Systems, Inc.*............................. $ 305,280
9,580 Yahoo! Inc.*...................................... 313,841
------------
619,121
------------
INVESTMENT BANKS/ BROKERS (1.2%)
4,300 Bear Stearns Companies, Inc. (The)................ 311,406
3,800 Goldman Sachs Group, Inc. (The)................... 318,250
4,670 Lehman Brothers Holdings, Inc..................... 310,462
6,700 Merrill Lynch & Co., Inc.......................... 312,756
7,300 Morgan Stanley (Note 4)........................... 312,075
30,100 Schwab (Charles) Corp............................. 303,709
------------
1,868,658
------------
INVESTMENT MANAGERS (1.0%)
11,000 Federated Investors, Inc. (Class B)............... 301,620
8,000 Franklin Resources, Inc........................... 312,560
19,300 Janus Capital Group Inc........................... 316,520
11,100 Mellon Financial Corp............................. 308,025
8,200 Price (T.) Rowe Group, Inc........................ 309,550
------------
1,548,275
------------
LIFE/HEALTH INSURANCE (1.2%)
10,000 AFLAC, Inc........................................ 307,500
7,440 Jefferson-Pilot Corp.............................. 308,462
8,660 Lincoln National Corp............................. 308,556
11,000 MetLife, Inc...................................... 311,520
8,350 Torchmark Corp.................................... 311,038
23,700 UnumProvident Corp................................ 317,817
------------
1,864,893
------------
MAJOR BANKS (2.7%)
3,890 Bank of America Corp.............................. 307,427
10,680 Bank of New York Co., Inc. (The).................. 307,050
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
8,280 Bank One Corp..................................... $ 307,850
8,980 BB&T Corp......................................... 308,014
6,620 Comerica, Inc..................................... 307,830
10,300 FleetBoston Financial Corp........................ 306,013
15,500 Huntington Bancshares, Inc........................ 302,560
12,220 KeyCorp........................................... 308,799
9,400 National City Corp................................ 307,474
6,200 PNC Financial Services Group...................... 302,622
11,370 SouthTrust Corp................................... 309,264
5,180 SunTrust Banks, Inc............................... 307,381
7,660 Wachovia Corp..................................... 306,094
6,000 Wells Fargo & Co.................................. 302,400
------------
4,290,778
------------
MAJOR TELECOMMUNICATIONS (1.2%)
6,450 ALLTEL Corp....................................... 311,019
15,800 AT&T Corp......................................... 304,150
11,560 BellSouth Corp.................................... 307,843
12,400 SBC Communications, Inc........................... 316,820
21,000 Sprint Corp. (FON Group).......................... 302,400
8,000 Verizon Communications Inc........................ 315,600
------------
1,857,832
------------
MANAGED HEALTH CARE (1.2%)
5,130 Aetna Inc......................................... 308,826
3,980 Anthem, Inc.*..................................... 307,057
6,500 CIGNA Corp........................................ 305,110
20,570 Humana, Inc.*..................................... 310,607
6,200 UnitedHealth Group Inc............................ 311,550
3,700 WellPoint Health Networks, Inc.*.................. 311,910
------------
1,855,060
------------
MEDIA CONGLOMERATES (0.6%)
19,480 AOL Time Warner Inc.*............................. 313,433
15,400 Disney (Walt) Co. (The)........................... 304,150
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
62
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
6,900 Viacom, Inc. (Class B) (Non-Voting)*.............. $ 301,254
------------
918,837
------------
MEDICAL DISTRIBUTORS (0.6%)
4,500 AmerisourceBergen Corp............................ 312,075
4,810 Cardinal Health, Inc.............................. 309,283
8,600 McKesson Corp..................................... 307,364
------------
928,722
------------
MEDICAL SPECIALTIES (2.8%)
16,000 Applera Corp. - Applied Biosystems Group.......... 304,480
4,360 Bard (C.R.), Inc.................................. 310,912
8,260 Bausch & Lomb, Inc................................ 309,750
11,920 Baxter International, Inc......................... 309,920
7,950 Becton, Dickinson & Co............................ 308,858
10,710 Biomet, Inc....................................... 306,949
5,100 Boston Scientific Corp.*.......................... 311,610
7,000 Guidant Corp...................................... 310,730
6,460 Medtronic, Inc.................................... 309,886
7,100 Millipore Corp.*.................................. 315,027
14,000 Pall Corp......................................... 315,000
5,300 St. Jude Medical, Inc.*........................... 304,750
4,440 Stryker Corp...................................... 308,003
6,890 Zimmer Holdings, Inc.*............................ 310,395
------------
4,336,270
------------
MISCELLANEOUS COMMERCIAL SERVICES (0.2%)
12,300 Sabre Holdings Corp............................... 303,195
------------
MISCELLANEOUS MANUFACTURING (0.6%)
13,630 Crane Co.......................................... 308,447
4,600 Danaher Corp...................................... 313,030
10,200 Dover Corp........................................ 305,592
------------
927,069
------------
MOTOR VEHICLES (0.6%)
28,090 Ford Motor Co..................................... 308,709
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
8,550 General Motors Corp............................... $ 307,800
7,600 Harley-Davidson, Inc.............................. 302,936
------------
919,445
------------
MULTI-LINE INSURANCE (0.8%)
5,500 American International Group, Inc................. 303,490
6,180 Hartford Financial Services Group, Inc. (The)
(Note 4)......................................... 311,225
6,530 Loews Corp........................................ 308,804
8,800 Safeco Corp....................................... 310,464
------------
1,233,983
------------
OFFICE EQUIPMENT/ SUPPLIES (0.4%)
6,300 Avery Dennison Corp............................... 316,260
8,060 Pitney Bowes, Inc................................. 309,585
------------
625,845
------------
OIL & GAS PIPELINES (0.4%)
38,000 El Paso Corp...................................... 307,040
40,000 Williams Companies, Inc. (The).................... 316,000
------------
623,040
------------
OIL & GAS PRODUCTION (1.6%)
6,940 Anadarko Petroleum Corp........................... 308,622
4,700 Apache Corp....................................... 305,782
5,730 Burlington Resources Inc.......................... 309,821
5,780 Devon Energy Corp................................. 308,652
7,390 EOG Resources, Inc................................ 309,198
6,910 Kerr-McGee Corp................................... 309,568
9,240 Occidental Petroleum Corp......................... 310,002
11,000 Unocal Corp....................................... 315,590
------------
2,477,235
------------
OIL REFINING/ MARKETING (0.6%)
10,090 Ashland, Inc...................................... 309,561
11,800 Marathon Oil Corp................................. 310,930
8,180 Sunoco, Inc....................................... 308,713
------------
929,204
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
63
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
OILFIELD SERVICES/ EQUIPMENT (1.0%)
9,100 Baker Hughes Inc.................................. $ 305,487
8,200 BJ Services Co.*.................................. 306,352
13,500 Halliburton Co.................................... 310,500
49,300 McDermott International, Inc.*.................... 312,069
6,400 Schlumberger, Ltd................................. 304,448
------------
1,538,856
------------
OTHER CONSUMER SERVICES (0.8%)
4,990 Apollo Group, Inc. (Class A)*..................... 308,182
7,200 Block (H.&R.), Inc................................ 311,400
16,890 Cendant Corp.*.................................... 309,425
3,010 eBay Inc.*........................................ 313,582
------------
1,242,589
------------
OTHER CONSUMER SPECIALTIES (0.2%)
5,870 Fortune Brands, Inc............................... 306,414
------------
OTHER METALS/ MINERALS (0.2%)
8,040 Phelps Dodge Corp.*............................... 308,254
------------
PACKAGED SOFTWARE (2.5%)
9,620 Adobe Systems Inc................................. 308,513
19,270 Autodesk, Inc..................................... 311,403
18,900 BMC Software, Inc.*............................... 308,637
13,860 Computer Associates International, Inc............ 308,801
55,780 Compuware Corp.*.................................. 321,851
6,800 Intuit Inc.*...................................... 302,804
8,000 Mercury Interactive Corp.*........................ 308,880
12,300 Microsoft Corp.................................... 315,003
100,500 Novell, Inc.*..................................... 309,540
25,000 Oracle Corp.*..................................... 300,500
98,900 Parametric Technology Corp.*...................... 301,645
6,990 Symantec Corp.*................................... 306,581
10,680 Veritas Software Corp.*........................... 306,196
------------
4,010,354
------------
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
PERSONNEL SERVICES (0.4%)
15,730 Monster Worldwide Inc.*........................... $ 310,353
16,390 Robert Half International, Inc.*.................. 310,427
------------
620,780
------------
PHARMACEUTICALS: GENERIC DRUGS (0.2%)
7,700 Watson Pharmaceuticals, Inc.*..................... 310,849
------------
PHARMACEUTICALS: MAJOR (1.6%)
7,000 Abbott Laboratories............................... 306,320
11,290 Bristol-Myers Squibb Co........................... 306,524
6,000 Johnson & Johnson................................. 310,200
4,490 Lilly (Eli) & Co.................................. 309,675
5,080 Merck & Co., Inc.................................. 307,594
8,960 Pfizer Inc........................................ 305,984
16,000 Schering-Plough Corp.............................. 297,600
7,000 Wyeth............................................. 318,850
------------
2,462,747
------------
PHARMACEUTICALS: OTHER (0.6%)
3,970 Allergan, Inc..................................... 306,087
5,650 Forest Laboratories, Inc.*........................ 309,338
20,690 King Pharmaceuticals, Inc.*....................... 305,384
------------
920,809
------------
PRECIOUS METALS (0.4%)
12,730 Freeport-McMoRan Copper & Gold, Inc. (Class B).... 311,885
9,580 Newmont Mining Corp............................... 310,967
------------
622,852
------------
PROPERTY - CASUALTY INSURERS (1.6%)
8,800 ACE Ltd. (Bermuda)................................ 301,752
8,600 Allstate Corp. (The).............................. 306,590
5,170 Chubb Corp. (The)................................. 310,200
8,300 Cincinnati Financial Corp......................... 307,847
4,200 Progressive Corp. (The)........................... 307,020
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
64
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
8,430 St. Paul Companies, Inc . (The)................... $ 307,779
19,000 Travelers Property Casualty Corp. (Class B)....... 299,630
3,700 XL Capital Ltd. (Class A) (Cayman Islands)........ 307,100
------------
2,447,918
------------
PUBLISHING: BOOKS/ MAGAZINES (0.2%)
7,090 Meredith Corp..................................... 311,960
------------
PUBLISHING: NEWSPAPERS (1.0%)
7,210 Dow Jones & Co., Inc.............................. 310,246
4,000 Gannett Co., Inc.................................. 307,240
4,400 Knight-Ridder, Inc................................ 303,292
6,800 New York Times Co. (The) (Class A)................ 309,400
6,300 Tribune Co........................................ 304,290
------------
1,534,468
------------
PULP & PAPER (0.8%)
12,880 Boise Cascade Corp................................ 307,832
16,300 Georgia-Pacific Corp.............................. 308,885
8,500 International Paper Co............................ 303,705
12,590 MeadWestvaco Corp................................. 310,973
------------
1,231,395
------------
RAILROADS (0.8%)
10,500 Burlington Northern Santa Fe Corp................. 298,620
10,100 CSX Corp.......................................... 303,909
16,300 Norfolk Southern Corp............................. 312,960
5,300 Union Pacific Corp................................ 307,506
------------
1,222,995
------------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
9,000 Apartment Investment & Management Co. (Class A).. 311,400
11,600 Equity Office Properties Trust.................... 313,316
12,000 Equity Residential................................ 311,400
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
11,900 Plum Creek Timber Co., Inc........................ $ 308,805
7,970 Simon Property Group, Inc......................... 311,069
------------
1,555,990
------------
RECREATIONAL PRODUCTS (0.8%)
12,370 Brunswick Corp.................................... 309,497
4,170 Electronic Arts Inc.*............................. 308,538
17,610 Hasbro, Inc....................................... 307,999
16,620 Mattel, Inc....................................... 314,450
------------
1,240,484
------------
REGIONAL BANKS (2.3%)
14,200 AmSouth Bancorporation............................ 310,128
9,922 Charter One Financial, Inc........................ 309,368
5,350 Fifth Third Bancorp............................... 306,769
7,000 First Tennessee National Corp..................... 307,370
10,000 Marshall & Ilsley Corp............................ 305,800
9,000 North Fork Bancorporation, Inc.................... 306,540
7,380 Northern Trust Corp............................... 308,410
9,000 Regions Financial Corp............................ 304,020
14,400 Synovus Financial Corp............................ 309,600
12,500 U.S. Bancorp...................................... 306,250
9,900 Union Planters Corp............................... 307,197
6,000 Zions Bancorporation.............................. 303,660
------------
3,685,112
------------
RESTAURANTS (1.0%)
16,500 Darden Restaurants, Inc........................... 313,170
14,300 McDonald's Corp................................... 315,458
12,800 Starbucks Corp.*.................................. 313,856
10,700 Wendy's International, Inc........................ 309,979
10,560 Yum! Brands, Inc.*................................ 312,154
------------
1,564,617
------------
SAVINGS BANKS (0.4%)
3,800 Golden West Financial Corp........................ 304,038
7,500 Washington Mutual, Inc............................ 309,750
------------
613,788
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
65
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
SEMICONDUCTORS (2.9%)
48,480 Advanced Micro Devices, Inc.*..................... $ 310,757
19,000 Altera Corp.*..................................... 311,600
9,000 Analog Devices, Inc.*............................. 313,380
51,440 Applied Micro Circuits Corp.*..................... 311,212
12,550 Broadcom Corp. (Class A)*......................... 312,621
14,740 Intel Corp........................................ 306,356
9,500 Linear Technology Corp............................ 305,995
43,000 LSI Logic Corp.*.................................. 304,440
9,070 Maxim Integrated Products, Inc.................... 310,103
26,000 Micron Technology, Inc.*.......................... 302,380
15,650 National Semiconductor Corp.*..................... 308,618
13,500 NVIDIA Corp.*..................................... 310,635
26,240 PMC - Sierra, Inc.*............................... 307,795
17,540 Texas Instruments, Inc............................ 308,704
12,000 Xilinx, Inc.*..................................... 303,720
------------
4,628,316
------------
SERVICES TO THE HEALTH INDUSTRY (0.6%)
17,030 IMS Health Inc.................................... 306,370
4,800 Quest Diagnostics Inc.*........................... 306,240
21,890 Quintiles Transnational Corp.*.................... 310,619
------------
923,229
------------
SPECIALTY INSURANCE (0.6%)
4,600 Ambac Financial Group, Inc........................ 304,750
6,500 MBIA Inc.......................................... 316,875
6,670 MGIC Investment Corp.............................. 311,089
------------
932,714
------------
SPECIALTY STORES (1.4%)
19,560 AutoNation, Inc.*................................. 307,483
4,100 AutoZone, Inc.*................................... 311,477
7,930 Bed Bath & Beyond Inc.*........................... 307,763
20,800 Office Depot, Inc.*............................... 301,808
16,600 Staples, Inc.*.................................... 304,610
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
9,430 Tiffany & Co...................................... $ 308,172
26,000 Toys 'R' Us, Inc.*................................ 315,120
------------
2,156,433
------------
SPECIALTY TELECOMMUNICATIONS (0.6%)
8,900 CenturyTel, Inc................................... 310,165
24,000 Citizens Communications Co.*...................... 309,360
62,880 Qwest Communications International, Inc.*......... 300,566
------------
920,091
------------
STEEL (0.8%)
47,200 Allegheny Technologies Inc........................ 311,520
6,300 Nucor Corp........................................ 307,755
18,920 United States Steel Corp.......................... 309,720
22,770 Worthington Industries, Inc....................... 305,118
------------
1,234,113
------------
TELECOMMUNICATION EQUIPMENT (1.8%)
133,580 ADC Telecommunications, Inc.*..................... 310,974
32,400 Andrew Corp.*..................................... 298,080
60,000 CIENA Corp.*...................................... 311,400
21,000 Comverse Technology, Inc.*........................ 315,630
41,890 Corning Inc.*..................................... 309,567
159,000 Lucent Technologies Inc.*......................... 322,770
33,000 Motorola, Inc..................................... 311,190
8,700 QUALCOMM Inc...................................... 311,025
47,100 Tellabs, Inc.*.................................... 309,447
------------
2,800,083
------------
TOBACCO (0.6%)
6,830 Altria Group, Inc................................. 310,355
8,310 R. J. Reynolds Tobacco Holdings, Inc.............. 309,215
8,770 UST, Inc.......................................... 307,213
------------
926,783
------------
TOOLS/HARDWARE (0.6%)
7,110 Black & Decker Corp. (The)........................ 308,930
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
66
<Page>
Value-Added Market
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
10,720 Snap-On, Inc...................................... $ 311,202
11,280 Stanley Works (The)............................... 311,328
------------
931,460
------------
TRUCKS/CONSTRUCTION/FARM MACHINERY (1.0%)
5,520 Caterpillar, Inc.................................. 307,243
8,670 Cummins Inc....................................... 311,166
6,600 Deere & Co........................................ 301,620
9,500 Navistar International Corp.*..................... 309,985
4,600 PACCAR, Inc....................................... 310,776
------------
1,540,790
------------
WHOLESALE DISTRIBUTORS (0.4%)
9,650 Genuine Parts Co.................................. 308,897
6,620 Grainger (W.W.), Inc.............................. 309,551
------------
618,448
------------
WIRELESS TELECOMMUNICATIONS (0.6%)
37,500 AT&T Wireless Services Inc.*...................... 307,875
17,200 Nextel Communications, Inc. (Class A)*............ 310,976
54,500 Sprint Corp. (PCS Group)*......................... 313,375
------------
932,226
------------
TOTAL COMMON STOCKS
(COST $133,085,492).............................. 154,388,519
------------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT (0.4%)
REPURCHASE AGREEMENT
$ 548 Joint repurchase agreement account 1.195% due
07/01/03 (dated 06/30/03; proceeds $548,018) (a)
(COST $548,000).................................. $ 548,000
------------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $133,633,492) (b).......................... 99.7% 154,936,519
OTHER ASSETS IN EXCESS OF LIABILITIES............. 0.3 510,904
------ ------------
NET ASSETS........................................ 100.0% $155,447,423
====== ============
</Table>
- ---------------------------------------------------
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $36,989,186 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $15,686,159, RESULTING IN NET UNREALIZED APPRECIATION OF
$21,303,027.
SEE NOTES TO FINANCIAL STATEMENTS
67
<Page>
Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (97.3%)
APPAREL/FOOTWEAR RETAIL (1.0%)
7,600 Abercrombie & Fitch Co. (Class A)*................ $ 215,916
3,209 Limited Brands, Inc............................... 49,740
8,293 TJX Companies, Inc. (The)......................... 156,240
-----------
421,896
-----------
BEVERAGES: ALCOHOLIC (0.5%)
4,578 Anheuser-Busch Companies, Inc..................... 233,707
-----------
BEVERAGES: NON-ALCOHOLIC (1.7%)
16,168 Coca-Cola Co. (The)............................... 750,357
-----------
BIOTECHNOLOGY (3.3%)
15,634 Amgen Inc.*....................................... 1,038,723
4,017 Celgene Corp.*.................................... 122,117
4,909 Gilead Sciences, Inc.*............................ 272,842
-----------
1,433,682
-----------
BROADCASTING (2.2%)
16,550 Clear Channel Communications, Inc.*............... 701,554
8,712 Univision Communications, Inc. (Class A)*......... 264,845
-----------
966,399
-----------
CABLE/SATELLITE TV (1.4%)
12,500 Comcast Corp. (Class A)*.......................... 377,250
6,700 EchoStar Communications Corp. (Class A)*.......... 231,954
-----------
609,204
-----------
COMPUTER COMMUNICATIONS (3.0%)
65,109 Cisco Systems, Inc.*.............................. 1,086,669
5,100 Emulex Corp.*..................................... 116,127
9,100 Juniper Networks, Inc.*........................... 112,567
-----------
1,315,363
-----------
COMPUTER PERIPHERALS (0.3%)
13,047 EMC Corp.*........................................ 136,602
-----------
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
COMPUTER PROCESSING HARDWARE (2.1%)
20,919 Dell Computer Corp.*.............................. $ 668,571
12,300 Hewlett-Packard Co................................ 261,990
-----------
930,561
-----------
DATA PROCESSING SERVICES (1.1%)
5,100 Automatic Data Processing, Inc.................... 172,686
8,020 First Data Corp................................... 332,349
-----------
505,035
-----------
DEPARTMENT STORES (0.4%)
3,600 Kohl's Corp.*..................................... 184,968
-----------
DISCOUNT STORES (5.5%)
11,169 Costco Wholesale Corp.*........................... 408,786
7,800 Dollar Tree Stores, Inc.*......................... 247,494
8,700 Target Corp....................................... 329,208
27,054 Wal-Mart Stores, Inc.............................. 1,451,988
-----------
2,437,476
-----------
DRUGSTORE CHAINS (0.5%)
6,634 Walgreen Co....................................... 199,683
-----------
ELECTRONIC COMPONENTS (0.3%)
5,325 Jabil Circuit, Inc.*.............................. 117,682
-----------
ELECTRONIC PRODUCTION EQUIPMENT (1.1%)
24,281 Applied Materials, Inc.*.......................... 385,097
3,475 Novellus Systems, Inc.*........................... 127,258
-----------
512,355
-----------
FINANCIAL CONGLOMERATES (5.0%)
9,300 American Express Co............................... 388,833
37,766 Citigroup Inc..................................... 1,616,385
5,350 J.P. Morgan Chase & Co............................ 182,863
-----------
2,188,081
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
68
<Page>
Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
FOOD: MAJOR DIVERSIFIED (1.7%)
5,225 Kraft Foods Inc. (Class A)........................ $ 170,074
12,796 PepsiCo, Inc...................................... 569,422
-----------
739,496
-----------
HOME IMPROVEMENT CHAINS (2.3%)
22,059 Home Depot, Inc. (The)............................ 730,594
6,100 Lowe's Companies, Inc............................. 261,995
-----------
992,589
-----------
HOSPITAL/NURSING MANAGEMENT (0.2%)
4,800 Health Management Associates, Inc. (Class A)...... 88,560
-----------
HOUSEHOLD/PERSONAL CARE (3.3%)
5,136 Colgate-Palmolive Co.............................. 297,631
8,200 Gillette Co. (The)................................ 261,252
9,869 Procter & Gamble Co. (The)........................ 880,118
-----------
1,439,001
-----------
INDUSTRIAL CONGLOMERATES (5.7%)
6,475 3M Co............................................. 835,146
58,021 General Electric Co............................... 1,664,042
-----------
2,499,188
-----------
INFORMATION TECHNOLOGY SERVICES (1.2%)
5,250 International Business Machines Corp.............. 433,125
4,200 PeopleSoft, Inc.*................................. 73,878
-----------
507,003
-----------
INTEGRATED OIL (2.0%)
24,125 Exxon Mobil Corp.................................. 866,329
-----------
INTERNET RETAIL (0.7%)
8,050 InterActiveCorp.*................................. 318,538
-----------
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
INTERNET SOFTWARE/ SERVICES (0.5%)
6,100 Siebel Systems, Inc.*............................. $ 58,194
5,500 Yahoo! Inc.*...................................... 180,180
-----------
238,374
-----------
INVESTMENT BANKS/ BROKERS (1.4%)
4,051 Goldman Sachs Group, Inc. (The)................... 339,271
25,550 Schwab (Charles) Corp. (The)...................... 257,800
-----------
597,071
-----------
LIFE/HEALTH INSURANCE (0.7%)
9,600 AFLAC, Inc........................................ 295,200
-----------
MAJOR BANKS (2.0%)
14,525 Bank of New York Co., Inc. (The).................. 417,594
9,350 Wells Fargo & Co.................................. 471,240
-----------
888,834
-----------
MAJOR TELECOMMUNICATIONS (1.2%)
13,609 Verizon Communications Inc........................ 536,875
-----------
MANAGED HEALTH CARE (1.2%)
10,700 UnitedHealth Group Inc............................ 537,675
-----------
MEDIA CONGLOMERATES (1.3%)
13,150 Viacom, Inc. (Class B) (Non-Voting)*.............. 574,129
-----------
MEDICAL DISTRIBUTORS (0.6%)
4,000 AmerisourceBergen Corp............................ 277,400
-----------
MEDICAL SPECIALTIES (2.4%)
2,900 Boston Scientific Corp.*.......................... 177,190
13,136 Medtronic, Inc.................................... 630,134
3,925 St. Jude Medical, Inc.*........................... 225,687
-----------
1,033,011
-----------
MULTI-LINE INSURANCE (1.9%)
15,243 American International Group, Inc................. 841,109
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
69
<Page>
Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
OILFIELD SERVICES/ EQUIPMENT (1.5%)
6,622 Baker Hughes Inc.................................. $ 222,300
4,400 BJ Services Co.*.................................. 164,384
6,920 Smith International, Inc.*........................ 254,241
-----------
640,925
-----------
OTHER CONSUMER SERVICES (1.2%)
3,200 eBay Inc.*........................................ 333,376
3,962 Weight Watchers International, Inc.*.............. 180,231
-----------
513,607
-----------
PACKAGED SOFTWARE (9.2%)
3,800 Adobe Systems Inc................................. 121,866
1,600 Mercury Interactive Corp.*........................ 61,776
117,480 Microsoft Corp.................................... 3,008,663
45,726 Oracle Corp.*..................................... 549,626
3,050 Symantec Corp.*................................... 133,773
5,800 Veritas Software Corp.*........................... 166,286
-----------
4,041,990
-----------
PHARMACEUTICALS: MAJOR (13.9%)
10,671 Abbott Laboratories............................... 466,963
7,275 Bristol-Myers Squibb Co........................... 197,516
20,246 Johnson & Johnson................................. 1,046,718
7,550 Lilly (Eli) & Co.................................. 520,723
11,390 Merck & Co., Inc.................................. 689,665
72,165 Pfizer Inc........................................ 2,464,435
15,221 Wyeth............................................. 693,317
-----------
6,079,337
-----------
PHARMACEUTICALS: OTHER (0.4%)
3,300 Forest Laboratories, Inc.*........................ 180,675
-----------
PUBLISHING: NEWSPAPERS (0.4%)
2,475 Gannett Co., Inc.................................. 190,105
-----------
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
REGIONAL BANKS (0.5%)
3,700 Fifth Third Bancorp............................... $ 212,158
-----------
RESTAURANTS (0.9%)
7,400 McDonald's Corp................................... 163,244
8,034 Yum! Brands, Inc.*................................ 237,485
-----------
400,729
-----------
SEMICONDUCTORS (6.1%)
10,600 Altera Corp.*..................................... 173,840
8,500 Analog Devices, Inc.*............................. 295,970
4,000 Broadcom Corp. (Class A)*......................... 99,640
59,558 Intel Corp........................................ 1,237,853
9,451 Linear Technology Corp............................ 304,417
7,600 Maxim Integrated Products, Inc.................... 259,844
18,166 Texas Instruments, Inc............................ 319,722
-----------
2,691,286
-----------
SPECIALTY STORES (0.8%)
6,350 Bed Bath & Beyond Inc.*........................... 246,444
2,777 Tiffany & Co...................................... 90,752
-----------
337,196
-----------
TELECOMMUNICATION EQUIPMENT (0.9%)
8,326 QUALCOMM Inc...................................... 297,654
2,700 UTStarcom, Inc.*.................................. 96,039
-----------
393,693
-----------
TOBACCO (1.6%)
15,378 Altria Group, Inc................................. 698,776
-----------
WIRELESS TELECOMMUNICATIONS (0.2%)
13,500 AT&T Wireless Services Inc.*...................... 110,835
-----------
TOTAL COMMON STOCKS
(COST $39,805,140)............................... 42,704,745
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
70
<Page>
Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENT (1.9%)
REPURCHASE AGREEMENT
$ 826 Joint repurchase agreement account 1.195% due
07/01/03 (dated 06/30/03; proceeds $826,027) (a)
(COST $826,000).................................. $ 826,000
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $40,631,140) (b)........................... 99.2% 43,530,745
OTHER ASSETS IN EXCESS OF LIABILITIES............. 0.8 332,131
------ -----------
NET ASSETS........................................ 100.0% $43,862,876
====== ===========
</Table>
- ---------------------------------------------------
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $3,606,357 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $706,752, RESULTING IN NET UNREALIZED APPRECIATION OF
$2,899,605.
SEE NOTES TO FINANCIAL STATEMENTS
71
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
COMMON STOCKS (96.2%)
ADVERTISING/MARKETING SERVICES (0.2%)
14,800 Getty Images, Inc.*............................... $ 611,240
------------
AIR FREIGHT/COURIERS (1.1%)
29,400 Expeditors International of Washington, Inc....... 1,018,416
38,300 FedEx Corp........................................ 2,375,749
------------
3,394,165
------------
AIRLINES (0.3%)
17,800 JetBlue Airways Corp.*............................ 752,762
------------
APPAREL/FOOTWEAR (0.5%)
29,200 Coach, Inc.*...................................... 1,452,408
------------
APPAREL/FOOTWEAR RETAIL (0.6%)
35,300 Chico's FAS, Inc.*................................ 743,065
41,200 Hot Topic, Inc.*.................................. 1,108,692
------------
1,851,757
------------
AUTO PARTS: O.E.M. (0.5%)
19,100 Eaton Corp........................................ 1,501,451
------------
BEVERAGES: ALCOHOLIC (0.6%)
34,425 Anheuser-Busch Companies, Inc..................... 1,757,396
------------
BEVERAGES: NON-ALCOHOLIC (1.0%)
64,000 Coca-Cola Co. (The)............................... 2,970,240
------------
BIOTECHNOLOGY (4.6%)
50,600 Amgen Inc.*....................................... 3,361,864
28,000 Amylin Pharmaceuticals, Inc.*..................... 612,920
16,400 CV Therapeutics, Inc.*............................ 486,424
42,100 Genentech, Inc.*.................................. 3,036,252
17,300 Genzyme Corp. (General Division)*................. 723,140
43,300 Gilead Sciences, Inc.*............................ 2,406,614
18,300 ICOS Corp.*....................................... 672,525
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
23,600 Neurocrine Biosciences, Inc.*..................... $ 1,178,584
44,500 NPS Pharmaceuticals, Inc.*........................ 1,083,130
------------
13,561,453
------------
BROADCASTING (0.5%)
48,200 Univision Communications, Inc. (Class A)*......... 1,465,280
------------
CABLE/SATELLITE TV (0.8%)
74,400 Comcast Corp. (Class A)*.......................... 2,245,392
------------
CASINO/GAMING (1.3%)
31,000 GTECH Holdings Corp.*............................. 1,167,150
13,200 International Game Technology*.................... 1,350,756
34,900 MGM Mirage*....................................... 1,192,882
------------
3,710,788
------------
CHEMICALS: SPECIALTY (0.3%)
16,100 Praxair, Inc...................................... 967,610
------------
COMPUTER COMMUNICATIONS (1.9%)
342,100 Cisco Systems, Inc.*.............................. 5,709,649
------------
COMPUTER PERIPHERALS (2.2%)
154,600 EMC Corp.*........................................ 1,618,662
20,300 Lexmark International, Inc.*...................... 1,436,631
101,600 Maxtor Corp.*..................................... 763,016
61,700 Network Appliance, Inc.*.......................... 1,000,157
96,500 Seagate Technology (Cayman Islands)*.............. 1,703,225
------------
6,521,691
------------
COMPUTER PROCESSING HARDWARE (2.5%)
102,600 Dell Computer Corp.*.............................. 3,279,096
197,500 Hewlett-Packard Co................................ 4,206,750
------------
7,485,846
------------
CONTRACT DRILLING (1.3%)
36,700 ENSCO International Inc........................... 987,230
14,500 Nabors Industries, Ltd. (Bermuda)*................ 573,475
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
72
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
86,000 Pride International, Inc.*........................ $ 1,618,520
30,500 Rowan Companies, Inc.*............................ 683,200
------------
3,862,425
------------
DISCOUNT STORES (2.9%)
16,300 Costco Wholesale Corp.*........................... 596,580
146,700 Wal-Mart Stores, Inc.**........................... 7,873,389
------------
8,469,969
------------
ELECTRONIC EQUIPMENT/ INSTRUMENTS (0.5%)
66,700 Rockwell Automation, Inc.......................... 1,590,128
------------
ELECTRONIC PRODUCTION EQUIPMENT (0.3%)
57,300 Applied Materials, Inc.*.......................... 908,778
------------
ELECTRONICS/APPLIANCE STORES (0.6%)
40,500 Best Buy Co., Inc.*............................... 1,778,760
------------
FINANCE/RENTAL/ LEASING (1.6%)
30,600 Countrywide Financial Corp........................ 2,128,842
57,400 MBNA Corp......................................... 1,196,216
35,700 SLM Corp.......................................... 1,398,369
------------
4,723,427
------------
FINANCIAL CONGLOMERATES (5.7%)
45,300 American Express Co............................... 1,893,993
204,800 Citigroup, Inc.................................... 8,765,440
87,100 J.P. Morgan Chase & Co............................ 2,977,078
18,600 State Street Corp................................. 732,840
29,100 UBS AG (Switzerland).............................. 1,612,140
16,000 UBS AG (Registered Shares) (Switzerland).......... 891,650
------------
16,873,141
------------
FOOD: MEAT/FISH/ DAIRY (0.6%)
58,350 Dean Foods Co.*................................... 1,838,025
------------
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
HOME IMPROVEMENT CHAINS (1.2%)
75,500 Home Depot, Inc. (The)............................ $ 2,500,560
27,700 Lowe's Companies, Inc............................. 1,189,715
------------
3,690,275
------------
HOTELS/RESORTS/ CRUISELINES (0.4%)
44,300 Hilton Hotels Corp................................ 566,597
20,500 Starwood Hotels & Resorts Worldwide, Inc.......... 586,095
------------
1,152,692
------------
HOUSEHOLD/PERSONAL CARE (2.3%)
38,100 Avon Products, Inc................................ 2,369,820
50,800 Procter & Gamble Co. (The)........................ 4,530,344
------------
6,900,164
------------
INDUSTRIAL CONGLOMERATES (2.5%)
218,700 General Electric Co............................... 6,272,316
16,900 United Technologies Corp.......................... 1,197,027
------------
7,469,343
------------
INDUSTRIAL SPECIALTIES (0.6%)
73,400 Ecolab Inc........................................ 1,879,040
------------
INFORMATION TECHNOLOGY SERVICES (1.9%)
56,800 Citrix Systems, Inc.*............................. 1,156,448
28,200 Documentum, Inc.*................................. 554,694
36,900 International Business Machines Corp.............. 3,044,250
70,400 RSA Security, Inc.*............................... 756,800
------------
5,512,192
------------
INTEGRATED OIL (0.3%)
18,100 Murphy Oil Corp................................... 952,060
------------
INTERNET RETAIL (1.3%)
97,700 InterActiveCorp.*................................. 3,865,989
------------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
73
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
INTERNET SOFTWARE/ SERVICES (1.8%)
40,600 Business Objects S.A. (ADR) (France)*............. $ 891,170
138,400 Yahoo! Inc.*...................................... 4,533,984
------------
5,425,154
------------
INVESTMENT BANKS/ BROKERS (2.4%)
27,600 Bear Stearns Companies, Inc. (The)................ 1,998,792
17,100 Goldman Sachs Group, Inc. (The)................... 1,432,125
15,500 Legg Mason, Inc................................... 1,006,725
40,000 Lehman Brothers Holdings, Inc..................... 2,659,200
------------
7,096,842
------------
MAJOR BANKS (3.3%)
77,800 Bank of America Corp.............................. 6,148,534
23,700 FleetBoston Financial Corp........................ 704,127
56,800 Wells Fargo & Co.................................. 2,862,720
------------
9,715,381
------------
MAJOR TELECOMMUNICATIONS (1.7%)
54,500 BellSouth Corp.................................... 1,451,335
30,198 France Telecom S.A. (France)*..................... 741,913
104,394 Telefonica S.A. (Spain)*.......................... 1,213,948
44,200 Verizon Communications Inc........................ 1,743,690
------------
5,150,886
------------
MANAGED HEALTH CARE (3.8%)
71,400 Aetna Inc......................................... 4,298,280
20,800 Anthem, Inc.*..................................... 1,604,720
75,400 UnitedHealth Group Inc............................ 3,788,850
17,000 WellPoint Health Networks, Inc.*.................. 1,433,100
------------
11,124,950
------------
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
MEDIA CONGLOMERATES (1.5%)
79,300 News Corporation Ltd. (The) (ADR) (Australia)..... $ 2,400,411
46,600 Viacom, Inc. (Class B) (Non-Voting)*.............. 2,034,556
------------
4,434,967
------------
MEDICAL SPECIALTIES (3.6%)
20,600 Boston Scientific Corp.*.......................... 1,258,660
51,800 Guidant Corp...................................... 2,299,402
65,500 Medtronic, Inc.................................... 3,142,035
31,800 St. Jude Medical, Inc.*........................... 1,828,500
36,000 Varian Medical Systems, Inc.*..................... 2,072,520
------------
10,601,117
------------
METAL FABRICATIONS (0.5%)
61,800 Chicago Bridge & Iron Company N.V.
(Netherlands).................................... 1,401,624
------------
MISCELLANEOUS COMMERCIAL SERVICES (0.2%)
10,500 Fair, Isaac, Inc.................................. 540,225
------------
MOVIES/ ENTERTAINMENT (0.5%)
33,400 Fox Entertainment Group, Inc. (Class A)*.......... 961,252
10,100 Pixar, Inc.*...................................... 614,484
------------
1,575,736
------------
OIL & GAS PRODUCTION (1.8%)
24,185 Apache Corp....................................... 1,573,476
23,400 Burlington Resources Inc.......................... 1,265,238
23,300 Devon Energy Corp................................. 1,244,220
26,400 Pogo Producing Co................................. 1,128,600
------------
5,211,534
------------
OILFIELD SERVICES/ EQUIPMENT (1.3%)
17,100 BJ Services Co.*.................................. 638,856
11,200 Cooper Cameron Corp.*............................. 564,256
37,400 Halliburton Co.................................... 860,200
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
74
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
12,800 Schlumberger Ltd.................................. $ 608,896
33,300 Smith International, Inc.*........................ 1,223,442
------------
3,895,650
------------
OTHER CONSUMER SERVICES (2.1%)
24,350 Apollo Group, Inc. (Class A)*..................... 1,503,856
15,700 Corinthian Colleges, Inc.*........................ 762,549
37,200 eBay Inc.*........................................ 3,875,496
------------
6,141,901
------------
OTHER METALS/ MINERALS (0.4%)
29,600 Inco Ltd. (Canada)*............................... 625,744
34,891 Rio Tinto PLC (United Kingdom).................... 658,448
------------
1,284,192
------------
PACKAGED SOFTWARE (6.1%)
26,000 Cognos, Inc. (Canada)*............................ 702,000
18,600 Hyperion Solutions Corp.*......................... 627,936
79,900 Mercury Interactive Corp.*........................ 3,084,939
239,800 Microsoft Corp.................................... 6,141,278
78,400 NetIQ Corp.*...................................... 1,212,064
136,600 Oracle Corp.*..................................... 1,641,932
79,500 Red Hat, Inc.*.................................... 601,815
5,550 SAP AG (Germany).................................. 655,597
27,600 Symantec Corp.*................................... 1,210,536
76,500 Veritas Software Corp.*........................... 2,193,255
------------
18,071,352
------------
PHARMACEUTICALS: MAJOR (4.2%)
31,800 Bristol-Myers Squibb Co........................... 863,370
38,300 Lilly (Eli) & Co.................................. 2,641,551
215,200 Pfizer Inc........................................ 7,349,080
33,200 Wyeth............................................. 1,512,260
------------
12,366,261
------------
PHARMACEUTICALS: OTHER (1.2%)
21,900 Forest Laboratories, Inc.*........................ 1,199,025
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
40,700 Teva Pharmaceutical Industries Ltd. (ADR)
(Israel)......................................... $ 2,317,051
------------
3,516,076
------------
PRECIOUS METALS (3.1%)
57,400 Freeport-McMoRan Copper & Gold, Inc. (Class B).... 1,406,300
88,000 Glamis Gold Ltd. (Canada)*........................ 1,009,360
54,600 Goldcorp Inc. (Canada)............................ 655,200
188,900 Newmont Mining Corp. Hldg Co...................... 6,131,694
------------
9,202,554
------------
PROPERTY - CASUALTY INSURERS (1.4%)
14,000 Everest Re Group, Ltd. (Bermuda).................. 1,071,000
19,700 RenaissanceRe Holdings Ltd. (Bermuda)............. 896,744
25,900 XL Capital Ltd. (Class A) (Cayman Islands)........ 2,149,700
------------
4,117,444
------------
RECREATIONAL PRODUCTS (0.3%)
11,900 Electronic Arts Inc.*............................. 880,481
------------
RESTAURANTS (1.0%)
37,800 Applebee's International, Inc..................... 1,188,054
28,500 Brinker International, Inc.*...................... 1,026,570
23,200 Outback Steakhouse, Inc........................... 904,800
------------
3,119,424
------------
SEMICONDUCTORS (4.9%)
48,200 Broadcom Corp. (Class A)*......................... 1,200,662
42,000 Fairchild Semiconductor Corp. (Class A)*.......... 537,180
160,400 GlobespanVirata, Inc.*............................ 1,323,300
42,200 Integrated Circuit Systems, Inc.*................. 1,326,346
201,500 Intel Corp........................................ 4,187,976
55,300 Intersil Corp. (Class A)*......................... 1,471,533
27,600 Linear Technology Corp............................ 888,996
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
75
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------------------------
57,100 Marvell Technology Group Ltd. (Bermuda)*.......... $ 1,962,527
21,200 Maxim Integrated Products, Inc.................... 724,828
22,600 Micron Technology, Inc.*.......................... 262,838
32,400 Texas Instruments, Inc............................ 570,240
------------
14,456,426
------------
SPECIALTY STORES (0.6%)
66,950 Staples, Inc.*.................................... 1,228,532
16,600 Tiffany & Co...................................... 542,488
------------
1,771,020
------------
TELECOMMUNICATION EQUIPMENT (1.1%)
22,800 ADTRAN, Inc.*..................................... 1,169,412
85,311 Alcatel S.A. (France)............................. 770,279
38,400 UTStarcom, Inc.*.................................. 1,365,888
------------
3,305,579
------------
TOBACCO (1.7%)
91,000 Altria Group, Inc................................. 4,135,040
29,200 Loews Corp. - Carolina Group...................... 788,400
------------
4,923,440
------------
TRUCKING (0.2%)
9,100 Landstar System, Inc.*............................ 571,935
------------
TRUCKS/CONSTRUCTION/FARM MACHINERY (0.6%)
27,500 PACCAR, Inc....................................... 1,857,900
------------
WIRELESS TELECOMMUNICATIONS (2.0%)
194,900 AT&T Wireless Services Inc.*...................... 1,600,129
52,200 Nextel Communications, Inc. (Class A)*............ 943,776
172,600 Vodafone Group PLC (ADR) (United Kingdom)......... 3,391,590
------------
5,935,495
------------
TOTAL COMMON STOCKS
(COST $264,905,195).............................. 285,121,082
------------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- ---------------------------------------------------------------------------
SHORT-TERM INVESTMENT (5.2%)
REPURCHASE AGREEMENT
$ 15,565 Joint repurchase agreement account 1.195% due
07/01/03 (dated 06/30/03; proceeds $15,565,517)
(a)
(COST $15,565,000)............................... $ 15,565,000
------------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $280,470,195) (b) (c)...................... 101.4% 300,686,082
LIABILITIES IN EXCESS OF OTHER ASSETS............. (1.4) (4,278,989)
------ ------------
NET ASSETS........................................ 100.0% $296,407,093
====== ============
</Table>
- ---------------------------------------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
** A PORTION OF THIS SECURITY HAS BEEN PHYSICALLY SEGREGATED IN CONNECTION
WITH OPEN FUTURES CONTRACTS.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) SECURITIES HAVE BEEN DESIGNATED AS COLLATERAL IN AN AMOUNT EQUAL TO
$14,802,608 IN CONNECTION WITH OPEN FUTURES CONTRACTS.
(c) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $23,544,819 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $3,328,932, RESULTING IN NET UNREALIZED APPRECIATION OF
$20,215,887.
SEE NOTES TO FINANCIAL STATEMENTS
76
<Page>
American Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
FUTURES CONTRACTS OPEN AT JUNE 30, 2003:
NUMBER OF DESCRIPTION, DELIVERY UNDERLYING FACE UNREALIZED
CONTRACTS LONG/SHORT MONTH, AND YEAR AMOUNT AT VALUE APPRECIATION
- --------------------------------------------------------------------------------------------------
37 Short Nasdaq-100 Index, September/2003 $ 4,456,650 $ 49,583
455 Short Nasdaq-100 E-Mini, September/2003 10,960,950 208,966
115 Short S&P 500 Index E-Mini, September/2003 5,596,475 145,489
--------
Total unrealized appreciation.............................................. $404,038
========
</Table>
<Table>
<Caption>
FORWARD FOREIGN CURRENCY CONTRACT OPEN AT JUNE 30, 2003:
CONTRACT IN EXCHANGE DELIVERY UNREALIZED
TO DELIVER FOR DATE DEPRECIATION
--------------------------------------------------------------------
$894,742 CHF 1,209,691 07/02/03 $(66)
</Table>
CURRENCY ABBREVIATION:
CHF SWISS FRANC.
SEE NOTES TO FINANCIAL STATEMENTS
77
<Page>
Capital Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
COMMON STOCKS (98.3%)
AEROSPACE & DEFENSE (0.7%)
4,250 Lockheed Martin Corp.............................. $ 202,173
-----------
AIR FREIGHT/COURIERS (0.5%)
4,500 C.H. Robinson Worldwide, Inc...................... 160,020
-----------
AIRLINES (1.2%)
8,875 JetBlue Airways Corp.*............................ 375,324
-----------
APPAREL/FOOTWEAR (1.2%)
7,650 Coach, Inc.*...................................... 380,511
-----------
APPAREL/FOOTWEAR RETAIL (3.1%)
20,125 Abercrombie & Fitch Co. (Class A)*................ 571,751
17,850 Chico's FAS, Inc.*................................ 375,743
-----------
947,494
-----------
BIOTECHNOLOGY (7.9%)
7,050 Amgen Inc.*....................................... 468,402
7,500 Amylin Pharmaceuticals, Inc.*..................... 164,175
8,200 Celgene Corp.*.................................... 249,280
6,800 Genzyme Corp. (General Division)*................. 284,240
3,500 Gilead Sciences, Inc.*............................ 194,530
3,700 ICOS Corp.*....................................... 135,975
4,150 IDEC Pharmaceuticals Corp.*....................... 141,100
20,825 NPS Pharmaceuticals, Inc.*........................ 506,880
16,300 Telik, Inc.*...................................... 261,941
-----------
2,406,523
-----------
BROADCASTING (4.5%)
25,275 Radio One, Inc. (Class D)*........................ 449,137
21,350 Univision Communications Inc. (Class A)*.......... 649,040
8,375 Westwood One, Inc.*............................... 284,164
-----------
1,382,341
-----------
CABLE/SATELLITE TV (1.1%)
9,350 EchoStar Communications Corp. (Class A)*.......... 323,697
-----------
CASINO/GAMING (5.1%)
19,910 GTECH Holdings Corp............................... 749,611
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
4,800 International Game Technology..................... $ 491,184
4,500 MGM Mirage*....................................... 153,810
6,600 Station Casinos, Inc.*............................ 166,650
-----------
1,561,255
-----------
COMPUTER COMMUNICATIONS (1.0%)
12,900 Emulex Corp.*..................................... 293,733
-----------
COMPUTER PERIPHERALS (1.2%)
8,250 Network Appliance, Inc.*.......................... 133,732
12,900 Seagate Technology (ADR) (Cayman Islands)*........ 227,685
-----------
361,417
-----------
CONTAINERS/PACKAGING (1.2%)
8,025 Sealed Air Corp.*................................. 382,471
-----------
DATA PROCESSING SERVICES (0.8%)
6,875 Global Payments Inc............................... 244,062
-----------
DISCOUNT STORES (2.8%)
18,600 Dollar General Corp............................... 339,636
16,800 Dollar Tree Stores, Inc.*......................... 533,064
-----------
872,700
-----------
ELECTRONIC COMPONENTS (1.5%)
6,300 QLogic Corp.*..................................... 304,479
4,000 SanDisk Corp.*.................................... 161,400
-----------
465,879
-----------
ELECTRONIC PRODUCTION EQUIPMENT (1.9%)
4,100 Amkor Technology, Inc.*........................... 53,874
7,700 Novellus Systems, Inc.*........................... 281,982
4,200 Synopsys, Inc.*................................... 259,770
-----------
595,626
-----------
ELECTRONICS/ APPLIANCES (1.0%)
4,000 Harman International Industries, Inc.............. 316,560
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
78
<Page>
Capital Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
FINANCE/RENTAL/ LEASING (1.2%)
8,075 Doral Financial Corp.............................. $ 360,549
-----------
FINANCIAL CONGLOMERATES (1.5%)
6,200 Brascan Corp. (Class A) (Canada).................. 152,272
7,100 Citigroup Inc..................................... 303,880
-----------
456,152
-----------
FINANCIAL PUBLISHING/ SERVICES (2.0%)
14,350 Interactive Data Corp.*........................... 242,515
7,225 Moody's Corp...................................... 380,830
-----------
623,345
-----------
FOOD: MEAT/FISH/DAIRY (0.5%)
4,950 Dean Foods Co.*................................... 155,925
-----------
GAS DISTRIBUTORS (0.2%)
2,200 UGI Corp.......................................... 69,740
-----------
HOME BUILDING (1.5%)
2,000 Lennar Corp. (Class A)............................ 143,000
750 NVR, Inc.*........................................ 308,250
-----------
451,250
-----------
HOME FURNISHINGS (0.5%)
2,700 Mohawk Industries, Inc.*.......................... 149,931
-----------
HOTELS/RESORTS/ CRUISELINES (1.6%)
21,400 Royal Caribbean Cruises Ltd. (Liberia)............ 495,624
-----------
INDUSTRIAL SPECIALTIES (0.4%)
5,200 Ecolab Inc........................................ 133,120
-----------
INFORMATION TECHNOLOGY SERVICES (0.4%)
6,500 PeopleSoft, Inc.*................................. 114,335
-----------
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
INSURANCE BROKERS/ SERVICES (1.5%)
4,550 ChoicePoint Inc.*................................. $ 157,066
8,625 Hilb, Rogal & Hamilton Co......................... 293,595
-----------
450,661
-----------
INTERNET RETAIL (0.8%)
5,925 InterActiveCorp.*................................. 234,452
-----------
INTERNET SOFTWARE/ SERVICES (1.1%)
16,775 BEA Systems, Inc.*................................ 182,177
16,625 Siebel Systems, Inc.*............................. 158,602
-----------
340,779
-----------
INVESTMENT MANAGERS (1.1%)
5,675 Affiliated Managers Group, Inc.*.................. 345,891
-----------
MANAGED HEALTH CARE (1.5%)
4,900 Anthem, Inc.*..................................... 378,035
1,600 Mid Atlantic Medical Services, Inc.*.............. 83,680
-----------
461,715
-----------
MEDICAL DISTRIBUTORS (0.5%)
12,815 Neoforma, Inc.*................................... 139,940
-----------
MEDICAL SPECIALTIES (2.6%)
1,300 Bio-Rad Laboratories, Inc. (Class A)*............. 71,955
12,675 Varian Medical Systems, Inc.*..................... 729,700
-----------
801,655
-----------
MISCELLANEOUS COMMERCIAL SERVICES (3.4%)
17,725 Corporate Executive Board Co. (The)*.............. 718,394
8,425 Iron Mountain Inc.*............................... 312,483
-----------
1,030,877
-----------
MOVIES/ENTERTAINMENT (0.9%)
4,700 Pixar, Inc.*...................................... 285,948
-----------
OIL & GAS PRODUCTION (2.3%)
4,400 Burlington Resources Inc.......................... 237,908
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
79
<Page>
Capital Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
18,075 Pioneer Natural Resources Co.*.................... $ 471,757
-----------
709,665
-----------
OILFIELD SERVICES/ EQUIPMENT (0.9%)
7,625 BJ Services Co.*.................................. 284,870
-----------
OTHER CONSUMER SERVICES (2.5%)
12,400 DeVry, Inc.*...................................... 288,796
1,575 eBay Inc.*........................................ 164,083
6,765 Weight Watchers International, Inc.*.............. 307,740
-----------
760,619
-----------
PACKAGED SOFTWARE (5.5%)
7,950 Adobe Systems Inc................................. 254,956
7,775 Mercury Interactive Corp.*........................ 300,193
19,225 Network Associates, Inc.*......................... 243,773
8,125 Symantec Corp.*................................... 356,363
18,475 VERITAS Software Corp.*........................... 529,678
-----------
1,684,963
-----------
PERSONNEL SERVICES (0.4%)
5,900 Monster Worldwide Inc.*........................... 116,407
-----------
PROPERTY - CASUALTY INSURERS (2.0%)
1,550 White Mountains Insurance Group, Ltd.............. 612,250
-----------
PUBLISHING: NEWSPAPERS (3.3%)
6,850 Media General, Inc. (Class A)..................... 391,820
12,325 Pulitzer, Inc..................................... 609,102
-----------
1,000,922
-----------
RECREATIONAL PRODUCTS (1.0%)
4,100 Electronic Arts Inc.*............................. 303,359
-----------
RESTAURANTS (3.4%)
6,300 Krispy Kreme Doughnuts, Inc.*..................... 259,434
4,200 Outback Steakhouse, Inc........................... 163,800
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
6,000 P.F. Chang's China Bistro, Inc.*.................. $ 295,260
12,525 Sonic Corp.*...................................... 318,511
-----------
1,037,005
-----------
SEMICONDUCTORS (9.0%)
40,700 Agere Systems Inc. (Class A)*..................... 94,831
17,300 Altera Corp.*..................................... 283,720
11,600 Broadcom Corp. (Class A)*......................... 288,956
7,400 Integrated Circuit Systems, Inc.*................. 232,582
19,650 Intel Corp........................................ 408,406
19,000 Intersil Corp. (Class A)*......................... 505,590
6,150 Linear Technology Corp............................ 198,092
8,800 Marvell Technology Group Ltd. (Bermuda)*.......... 302,456
4,350 Maxim Integrated Products, Inc.................... 148,726
7,500 Texas Instruments Inc............................. 132,000
5,800 Xilinx, Inc.*..................................... 146,798
-----------
2,742,157
-----------
SERVICES TO THE HEALTH INDUSTRY (2.1%)
1,000 Laboratory Corp. of America Holdings*............. 30,150
16,750 Specialty Laboratories, Inc.*..................... 171,688
11,775 Stericycle, Inc.*................................. 453,102
-----------
654,940
-----------
SPECIALTY STORES (1.6%)
2,100 AutoZone, Inc.*................................... 159,537
5,500 CarMax Inc.*...................................... 165,825
4,700 Tiffany & Co...................................... 153,596
-----------
478,958
-----------
SPECIALTY TELECOMMUNICATIONS (2.6%)
23,900 American Tower Corp. (Class A)*................... 211,515
4,175 Commonwealth Telephone Enterprises, Inc.*......... 183,575
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
80
<Page>
Capital Opportunities
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- --------------------------------------------------------------------------
29,800 Crown Castle International Corp.*................. $ 231,546
9,825 IDT Corp. (Class B)*.............................. 172,920
-----------
799,556
-----------
TELECOMMUNICATION EQUIPMENT (1.2%)
10,300 UTStarcom, Inc.*.................................. 366,371
-----------
WIRELESS TELECOMMUNICATIONS (0.6%)
10,000 Nextel Communications, Inc. (Class A)*............ 180,800
-----------
TOTAL COMMON STOCKS
(COST $26,636,059)............................... 30,106,517
-----------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- --------------------------------------------------------------------------
SHORT-TERM INVESTMENT (2.3%)
REPURCHASE AGREEMENT
$ 714 Joint repurchase agreement
account 1.195% due
07/01/03 (dated 06/30/03;
proceeds $714,024) (a)
(COST $714,000)................................... $ 714,000
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $27,350,059) (b)........................... 100.6% 30,820,517
LIABILITIES IN EXCESS OF OTHER ASSETS............. (0.6) (190,327)
------ -----------
NET ASSETS........................................ 100.0% $30,630,190
====== ===========
</Table>
- ---------------------------------------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $4,213,729 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $743,271, RESULTING IN NET UNREALIZED APPRECIATION OF
$3,470,458.
SEE NOTES TO FINANCIAL STATEMENTS
81
<Page>
Global Equity
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
COMMON STOCKS (97.3%)
AUSTRALIA (0.7%)
MAJOR BANKS
50,000 Westpac Banking Corp.................... $ 547,137
-----------
BELGIUM (0.4%)
FINANCIAL CONGLOMERATES
20,000 Fortis.................................. 347,820
-----------
CHINA (0.8%)
ELECTRIC UTILITIES
600,000 Huaneng Power International, Inc.
(Class H).............................. 684,747
-----------
FINLAND (1.4%)
INDUSTRIAL MACHINERY
20,000 Metso Oyj............................... 178,281
-----------
PULP & PAPER
45,000 Stora Enso Oyj (Registered Shares)...... 503,615
-----------
TELECOMMUNICATION EQUIPMENT
30,100 Nokia Corp. (Class A) (ADR)............. 494,543
-----------
TOTAL FINLAND........................... 1,176,439
-----------
FRANCE (5.4%)
ADVERTISING/MARKETING SERVICES
15,000 Publicis Groupe......................... 403,203
-----------
AEROSPACE & DEFENSE
13,400 Thales S.A.............................. 398,418
-----------
AUTOMOTIVE AFTERMARKET
7,000 Compagnie Generale des Etablissements
Michelin (B Shares).................... 273,748
-----------
ELECTRIC UTILITIES
15,000 Suez S.A................................ 239,127
-----------
ENGINEERING & CONSTRUCTION
6,000 Vinci S.A............................... 405,445
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
MAJOR BANKS
10,200 BNP Paribas S.A......................... $ 519,143
-----------
MAJOR TELECOMMUNICATIONS
15,000 France Telecom S.A.*.................... 368,524
-----------
MEDIA CONGLOMERATES
10,000 Vivendi Universal S.A.*................. 182,307
-----------
OIL REFINING/MARKETING
5,022 Total S.A............................... 760,162
-----------
PHARMACEUTICALS: MAJOR
5,000 Aventis S.A............................. 275,530
-----------
SEMICONDUCTORS
25,900 STMicroelectronics NV................... 543,969
-----------
TOTAL FRANCE............................ 4,369,576
-----------
GERMANY (2.6%)
ELECTRIC UTILITIES
10,000 E. ON AG................................ 514,945
-----------
INDUSTRIAL SPECIALTIES
10,000 SGL Carbon AG*.......................... 150,676
-----------
MAJOR BANKS
8,000 Deutsche Bank AG (Registered Shares).... 519,706
-----------
MAJOR TELECOMMUNICATIONS
10,000 Deutsche Telekom AG (Registered
Shares)*............................... 152,862
-----------
MOTOR VEHICLES
10,000 Bayerische Motoren Werke (BMW) AG....... 385,317
-----------
PACKAGED SOFTWARE
1,500 SAP AG.................................. 177,188
-----------
SEMICONDUCTORS
25,000 Infineon Technologies AG*............... 242,117
-----------
TOTAL GERMANY........................... 2,142,811
-----------
HONG KONG (0.6%)
ELECTRIC UTILITIES
104,400 CLP Holdings Ltd........................ 456,503
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
82
<Page>
Global Equity
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
IRELAND (1.0%)
MAJOR BANKS
67,500 Bank of Ireland......................... $ 819,086
-----------
ITALY (0.9%)
INTEGRATED OIL
36,500 ENI SpA................................. 552,907
-----------
WIRELESS TELECOMMUNICATIONS
40,000 Telecom Italia Mobile SpA (T.I.M.)...... 197,374
-----------
TOTAL ITALY............................. 750,281
-----------
JAPAN (9.7%)
BROADCASTING
70 Fuji Television Network, Inc............ 247,767
-----------
ELECTRONIC COMPONENTS
3,000 Hoya Corp............................... 207,112
-----------
ELECTRONIC EQUIPMENT/ INSTRUMENTS
25,000 Canon, Inc.............................. 1,149,929
61,000 Ricoh Co., Ltd.......................... 999,098
-----------
2,149,027
-----------
GAS DISTRIBUTORS
225,000 Tokyo Gas Co., Ltd...................... 648,009
-----------
INDUSTRIAL CONGLOMERATES
93,200 Hitachi, Ltd............................ 396,016
-----------
INDUSTRIAL MACHINERY
24,900 Fanuc, Ltd.............................. 1,236,789
-----------
INVESTMENT BANKS/BROKERS
43,400 Nomura Holdings, Inc.................... 552,146
-----------
MAJOR TELECOMMUNICATIONS
75 Nippon Telegraph & Telephone Corp.
(NTT).................................. 294,891
-----------
PHARMACEUTICALS: MAJOR
15,000 Takeda Chemical Industries, Ltd......... 554,721
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
RECREATIONAL PRODUCTS
98,000 Konica Corp............................. $ 1,118,341
3,700 Nintendo Co., Ltd....................... 269,647
-----------
1,387,988
-----------
WIRELESS TELECOMMUNICATIONS
100 NTT DoCoMo, Inc......................... 217,047
-----------
TOTAL JAPAN............................. 7,891,513
-----------
NETHERLANDS (1.7%)
ELECTRONIC PRODUCTION EQUIPMENT
19,000 ASML Holding NV*........................ 180,731
-----------
INDUSTRIAL CONGLOMERATES
22,060 Koninklijke (Royal) Philips Electronics
NV..................................... 420,184
-----------
INTEGRATED OIL
10,000 Royal Dutch Petroleum Co................ 464,911
-----------
PUBLISHING: BOOKS/MAGAZINES
25,000 Wolters Kluwer NV....................... 301,928
-----------
TOTAL NETHERLANDS....................... 1,367,754
-----------
NORWAY (0.3%)
INTEGRATED OIL
29,700 Statoil ASA............................. 253,122
-----------
PORTUGAL (0.4%)
MAJOR TELECOMMUNICATIONS
45,000 Portugal Telecom, SGPS, S.A. (Registered
Shares)................................ 322,976
-----------
SINGAPORE (0.3%)
REGIONAL BANKS
50,000 Oversea - Chinese Banking Corp., Ltd.... 283,946
-----------
SOUTH KOREA (0.5%)
MAJOR TELECOMMUNICATIONS
19,800 KT Corp. (ADR).......................... 390,258
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
83
<Page>
Global Equity
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
SPAIN (1.8%)
ENGINEERING & CONSTRUCTION
35,131 Grupo Dragados, S.A..................... $ 708,347
-----------
REGIONAL BANKS
15,000 Banco Popular Espanol S.A............... 759,132
-----------
TOTAL SPAIN............................. 1,467,479
-----------
SWEDEN (0.7%)
APPAREL/FOOTWEAR RETAIL
10,000 Hennes & Mauritz AB (B Shares).......... 230,101
-----------
METAL FABRICATIONS
13,000 SKF AB (B Shares)....................... 375,539
-----------
TOTAL SWEDEN............................ 605,640
-----------
SWITZERLAND (1.6%)
MULTI-LINE INSURANCE
13,300 Converium Holding AG.................... 614,784
-----------
PROPERTY - CASUALTY INSURERS
12,000 Swiss Re (Registered Shares)............ 666,075
-----------
TOTAL SWITZERLAND....................... 1,280,859
-----------
UNITED KINGDOM (4.4%)
ADVERTISING/MARKETING SERVICES
40,000 WPP Group PLC........................... 314,526
-----------
ALUMINUM
80,000 BHP Billiton PLC........................ 422,458
-----------
CABLE/SATELLITE TV
20,000 British Sky Broadcasting Group PLC*..... 222,320
-----------
FOOD: MAJOR DIVERSIFIED
35,000 Unilever PLC............................ 279,556
-----------
INTEGRATED OIL
18,256 BP PLC (ADR)............................ 767,117
-----------
MAJOR BANKS
17,000 Royal Bank of Scotland Group PLC........ 478,411
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
OTHER METALS/MINERALS
23,300 Rio Tinto PLC........................... $ 439,707
-----------
WIRELESS TELECOMMUNICATIONS
351,534 Vodafone Group PLC...................... 689,586
-----------
TOTAL UNITED KINGDOM.................... 3,613,681
-----------
UNITED STATES (62.1%)
AEROSPACE & DEFENSE
35,200 Lockheed Martin Corp.................... 1,674,464
78,000 Rockwell Collins, Inc................... 1,921,140
-----------
3,595,604
-----------
ALUMINUM
62,300 Alcoa, Inc.............................. 1,588,650
-----------
APPAREL/FOOTWEAR RETAIL
122,300 Gap, Inc. (The)......................... 2,294,348
-----------
BIOTECHNOLOGY
43,900 Gilead Sciences, Inc.*.................. 2,439,962
100,100 Human Genome Sciences, Inc.*............ 1,273,272
74,400 Myriad Genetics, Inc.*.................. 1,012,584
-----------
4,725,818
-----------
COMPUTER COMMUNICATIONS
83,800 Cisco Systems, Inc.*.................... 1,398,622
-----------
COMPUTER PROCESSING HARDWARE
435,300 Sun Microsystems, Inc.*................. 2,002,380
-----------
ELECTRONIC PRODUCTION EQUIPMENT
184,000 Mykrolis Corp.*......................... 1,867,600
-----------
FINANCIAL CONGLOMERATES
40,766 Citigroup Inc........................... 1,744,785
-----------
FOOD: MAJOR DIVERSIFIED
38,100 General Mills, Inc...................... 1,806,321
-----------
HOUSEHOLD/PERSONAL CARE
30,700 Colgate-Palmolive Co.................... 1,779,065
-----------
INTEGRATED OIL
39,952 Exxon Mobil Corp........................ 1,434,676
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
84
<Page>
Global Equity
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
MAJOR BANKS
36,000 PNC Financial Services Group............ $ 1,757,160
-----------
MANAGED HEALTH CARE
50,300 Mid Atlantic Medical Services, Inc.*.... 2,630,690
46,100 Oxford Health Plans, Inc.*.............. 1,937,583
-----------
4,568,273
-----------
MEDIA CONGLOMERATES
92,000 AOL Time Warner Inc.*................... 1,480,280
59,400 Disney (Walt) Co. (The)................. 1,173,150
-----------
2,653,430
-----------
MEDICAL SPECIALTIES
59,700 Baxter International, Inc............... 1,552,200
57,900 Edwards Lifesciences Corp.*............. 1,860,906
-----------
3,413,106
-----------
OIL & GAS PRODUCTION
37,700 Burlington Resources Inc................ 2,038,439
-----------
PHARMACEUTICALS: MAJOR
32,200 Lilly (Eli) & Co........................ 2,220,834
42,400 Wyeth................................... 1,931,320
-----------
4,152,154
-----------
PHARMACEUTICALS: OTHER
44,100 Forest Laboratories, Inc.*.............. 2,414,475
-----------
PROPERTY - CASUALTY INSURERS
106,429 Travelers Property Casualty Corp.
(Class B).............................. 1,678,385
-----------
SEMICONDUCTORS
62,200 Intel Corp.............................. 1,292,765
61,800 Texas Instruments, Inc.................. 1,087,680
-----------
2,380,445
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------
SPECIALTY STORES
38,600 Bed Bath & Beyond Inc.*................. $ 1,498,066
-----------
TOTAL UNITED STATES..................... 50,791,802
-----------
TOTAL COMMON STOCKS
(COST $82,575,455)..................... 79,563,430
-----------
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS
- ---------
SHORT-TERM INVESTMENT (2.2%)
REPURCHASE AGREEMENT
$ 1,831 Joint repurchase agreement account
1.195% due 07/01/03 (dated 06/30/03;
proceeds $1,831,061) (a)
(COST $1,831,000)...................... 1,831,000
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $84,406,455) (b)................. 99.5% 81,394,430
OTHER ASSETS IN EXCESS OF LIABILITIES... 0.5 379,682
------ -----------
NET ASSETS.............................. 100.0% $81,774,112
====== ===========
</Table>
- ---------------------------------------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $13,081,078 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $16,093,103, RESULTING IN NET UNREALIZED DEPRECIATION OF
$3,012,025.
SEE NOTES TO FINANCIAL STATEMENTS
85
<Page>
Global Equity
SUMMARY OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -----------------------------------------------------------------
Advertising/Marketing Services.......... $ 717,729 0.9%
Aerospace & Defense..................... 3,994,022 4.9
Aluminum................................ 2,011,108 2.5
Apparel/Footwear Retail................. 2,524,449 3.1
Automotive Aftermarket.................. 273,748 0.3
Biotechnology........................... 4,725,818 5.8
Broadcasting............................ 247,767 0.3
Cable/Satellite TV...................... 222,320 0.3
Computer Communications................. 1,398,622 1.7
Computer Processing Hardware............ 2,002,380 2.4
Electric Utilities...................... 1,895,322 2.3
Electronic Components................... 207,112 0.2
Electronic Equipment/ Instruments....... 2,149,027 2.6
Electronic Production Equipment......... 2,048,331 2.5
Engineering & Construction.............. 1,113,792 1.4
Financial Conglomerates................. 2,092,605 2.6
Food: Major Diversified................. 2,085,877 2.5
Gas Distributors........................ 648,009 0.8
Household/Personal Care................. 1,779,065 2.2
Industrial Conglomerates................ 816,200 1.0
Industrial Machinery.................... 1,415,070 1.7
Industrial Specialties.................. 150,676 0.2
Integrated Oil.......................... 3,472,733 4.2
Investment Banks/Brokers................ 552,146 0.7
Major Banks............................. 4,640,643 5.7
Major Telecommunications................ 1,529,511 1.9
Managed Health Care..................... 4,568,273 5.6
Media Conglomerates..................... 2,835,737 3.4
<Caption>
PERCENT OF
INDUSTRY VALUE NET ASSETS
- -----------------------------------------------------------------
Medical Specialties..................... $ 3,413,106 4.2%
Metal Fabrications...................... 375,539 0.4
Motor Vehicles.......................... 385,317 0.5
Multi-Line Insurance.................... 614,784 0.7
Oil & Gas Production.................... 2,038,439 2.5
Oil Refining/Marketing.................. 760,162 0.9
Other Metals/Minerals................... 439,707 0.5
Packaged Software....................... 177,188 0.2
Pharmaceuticals: Major.................. 4,982,405 6.1
Pharmaceuticals: Other.................. 2,414,475 3.0
Property - Casualty Insurers............ 2,344,460 2.9
Publishing: Books/Magazines............. 301,928 0.4
Pulp & Paper............................ 503,615 0.6
Recreational Products................... 1,387,988 1.7
Regional Banks.......................... 1,043,078 1.3
Repurchase Agreement.................... 1,831,000 2.2
Semiconductors.......................... 3,166,531 3.9
Specialty Stores........................ 1,498,066 1.8
Telecommunication Equipment............. 494,543 0.6
Wireless Telecommunications............. 1,104,007 1.4
----------- -------
$81,394,430 99.5%
=========== =======
<Caption>
TYPE OF INVESTMENT
- -----------------------------------------------------------------
Common Stocks........................... $79,563,430 97.3%
Short-Term Investment................... 1,831,000 2.2
----------- -------
$81,394,430 99.5%
=========== =======
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
86
<Page>
Developing Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
COMMON STOCKS (96.9%)
AIR FREIGHT/ COURIERS (0.8%)
7,650 C.H. Robinson Worldwide, Inc.......................................... $ 272,034
4,000 Expeditors International of Washington, Inc........................... 138,560
-----------
410,594
-----------
AIRLINES (1.3%)
15,200 JetBlue Airways Corp.*................................................ 642,808
-----------
APPAREL/FOOTWEAR (1.2%)
13,100 Coach, Inc.*.......................................................... 651,594
-----------
APPAREL/FOOTWEAR RETAIL (3.0%)
34,550 Abercrombie & Fitch Co. (Class A)*.................................... 981,565
28,825 Chico's FAS, Inc.*.................................................... 606,766
-----------
1,588,331
-----------
BIOTECHNOLOGY (6.5%)
12,100 Amylin Pharmaceuticals, Inc.*......................................... 264,869
27,500 BioMarin Pharmaceutical, Inc.*........................................ 268,400
14,100 Celgene Corp.*........................................................ 428,640
12,100 Gen-Probe Inc.*....................................................... 494,527
10,300 Genzyme Corp. (General Division)*..................................... 430,540
6,500 ICOS Corp.*........................................................... 238,875
7,000 IDEC Pharmaceuticals Corp.*........................................... 238,000
12,300 MedImmune, Inc.*...................................................... 447,351
24,400 NPS Pharmaceuticals, Inc.*............................................ 593,896
-----------
3,405,098
-----------
BROADCASTING (4.5%)
41,975 Radio One, Inc. (Class D)*............................................ 745,896
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
37,300 Univision Communications Inc. (Class A)*.............................. $ 1,133,920
14,000 Westwood One, Inc.*................................................... 475,020
-----------
2,354,836
-----------
CABLE/SATELLITE TV (0.8%)
11,300 EchoStar Communications Corp. (Class A)*.............................. 391,206
-----------
CASINO/GAMING (5.0%)
32,225 GTECH Holdings Corp................................................... 1,213,271
8,200 International Game Technology......................................... 839,106
7,600 MGM Mirage*........................................................... 259,768
11,500 Station Casinos, Inc.*................................................ 290,375
-----------
2,602,520
-----------
COMPUTER COMMUNICATIONS (1.2%)
16,200 Emulex Corp.*......................................................... 368,874
20,750 Juniper Networks, Inc.*............................................... 256,677
-----------
625,551
-----------
COMPUTER PERIPHERALS (0.6%)
20,100 Network Appliance, Inc.*.............................................. 325,821
-----------
CONTAINERS/ PACKAGING (1.2%)
13,200 Sealed Air Corp.*..................................................... 629,112
-----------
CONTRACT DRILLING (0.9%)
14,350 Patterson-UTI Energy, Inc.*........................................... 464,940
-----------
DATA PROCESSING SERVICES (1.8%)
8,700 CheckFree Corp.*...................................................... 242,208
11,800 Global Payments Inc................................................... 418,900
10,700 SunGard Data Systems Inc.*............................................ 277,237
-----------
938,345
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
87
<Page>
Developing Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
DISCOUNT STORES (2.8%)
30,400 Dollar General Corp................................................... $ 555,104
28,700 Dollar Tree Stores, Inc.*............................................. 910,651
-----------
1,465,755
-----------
ELECTRONIC COMPONENTS (1.8%)
4,500 Jabil Circuit, Inc.*.................................................. 99,450
10,850 QLogic Corp.*......................................................... 524,380
7,300 SanDisk Corp.*........................................................ 294,555
-----------
918,385
-----------
ELECTRONIC PRODUCTION EQUIPMENT (2.7%)
7,000 Amkor Technology, Inc.*............................................... 91,980
9,300 KLA-Tencor Corp.*..................................................... 432,357
12,200 Novellus Systems, Inc.*............................................... 446,776
6,800 Synopsys, Inc.*....................................................... 420,580
-----------
1,391,693
-----------
ELECTRONICS/ APPLIANCES (1.1%)
6,900 Harman International Industries, Inc.................................. 546,066
-----------
FINANCE/RENTAL/ LEASING (1.1%)
11,500 Doral Financial Corp.................................................. 513,475
-----------
FINANCIAL CONGLOMERATES (0.5%)
10,700 Brascan Corp. (Class A) (Canada)...................................... 262,792
-----------
FINANCIAL PUBLISHING/ SERVICES (2.0%)
24,500 Interactive Data Corp.*............................................... 414,050
12,400 Moody's Corp.......................................................... 653,604
-----------
1,067,654
-----------
FOOD: MEAT/FISH/ DAIRY (0.5%)
8,400 Dean Foods Co.*....................................................... 264,600
-----------
GAS DISTRIBUTORS (0.6%)
9,375 UGI Corp.............................................................. 297,187
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
HOME BUILDING (1.5%)
3,400 Lennar Corp. (Class A)................................................ $ 243,100
1,300 NVR, Inc.*............................................................ 534,300
-----------
777,400
-----------
HOME FURNISHINGS (0.5%)
4,700 Mohawk Industries, Inc.*.............................................. 260,991
-----------
HOTELS/RESORTS/ CRUISELINES (1.6%)
36,150 Royal Caribbean Cruises Ltd. (Liberia)................................ 837,234
-----------
INDUSTRIAL SPECIALTIES (0.4%)
8,800 Ecolab Inc............................................................ 225,280
-----------
INSURANCE BROKERS/ SERVICES (1.0%)
7,800 ChoicePoint Inc.*..................................................... 269,256
7,150 Hilb, Rogal & Hamilton Co............................................. 243,386
-----------
512,642
-----------
INTERNET SOFTWARE/ SERVICES (1.4%)
21,400 BEA Systems, Inc.*.................................................... 232,404
25,100 Siebel Systems, Inc.*................................................. 239,454
8,100 Yahoo! Inc.*.......................................................... 265,356
-----------
737,214
-----------
INVESTMENT MANAGERS (1.0%)
8,900 Affiliated Managers Group, Inc.*...................................... 542,455
-----------
MANAGED HEALTH CARE (3.8%)
7,800 Anthem, Inc.*......................................................... 601,770
29,450 Caremark Rx, Inc.*.................................................... 756,276
5,800 Coventry Health Care, Inc.*........................................... 267,728
6,900 Mid Atlantic Medical Services, Inc.*.................................. 360,870
-----------
1,986,644
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
88
<Page>
Developing Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
MEDICAL DISTRIBUTORS (0.9%)
6,600 AmerisourceBergen Corp................................................ $ 457,710
-----------
MEDICAL SPECIALTIES (4.5%)
2,200 Bio-Rad Laboratories, Inc. (Class A)*................................. 121,770
8,350 St. Jude Medical, Inc.*............................................... 480,125
5,800 SurModics, Inc.*...................................................... 176,900
21,400 Varian Medical Systems, Inc.*......................................... 1,231,998
7,700 Zimmer Holdings, Inc.*................................................ 346,885
-----------
2,357,678
-----------
MEDICAL/NURSING SERVICES (0.5%)
8,700 Lincare Holdings, Inc.*............................................... 274,137
-----------
MISCELLANEOUS COMMERCIAL SERVICES (1.5%)
19,650 Corporate Executive Board Co. (The)*.................................. 796,415
-----------
MOVIES/ ENTERTAINMENT (0.9%)
8,150 Pixar, Inc.*.......................................................... 495,846
-----------
OIL & GAS PRODUCTION (2.1%)
25,550 PetroKazakhstan Inc. (Class A) (Canada)*.............................. 319,120
15,000 Pioneer Natural Resources Co.*........................................ 391,500
19,166 XTO Energy Inc........................................................ 385,428
-----------
1,096,048
-----------
OILFIELD SERVICES/ EQUIPMENT (1.0%)
7,750 BJ Services Co.*...................................................... 289,540
6,350 Smith International, Inc.*............................................ 233,299
-----------
522,839
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
OTHER CONSUMER SERVICES (2.6%)
21,200 DeVry, Inc.*.......................................................... $ 493,748
5,300 Expedia, Inc. (Class A)*.............................................. 404,814
10,450 Weight Watchers International, Inc.*.................................. 475,371
-----------
1,373,933
-----------
PACKAGED SOFTWARE (5.3%)
12,200 Adobe Systems Inc..................................................... 391,254
10,450 Mercury Interactive Corp.*............................................ 403,475
24,700 Network Associates, Inc.*............................................. 313,196
12,200 Quest Software, Inc.*................................................. 145,180
13,250 Symantec Corp.*....................................................... 581,145
32,600 Veritas Software Corp.*............................................... 934,642
-----------
2,768,892
-----------
PERSONNEL SERVICES (0.4%)
10,400 Monster Worldwide Inc.*............................................... 205,192
-----------
PHARMACEUTICALS: OTHER (1.7%)
6,900 Allergan, Inc......................................................... 531,990
5,850 Teva Pharmaceutical Industries Ltd. (ADR) (Israel).................... 333,041
-----------
865,031
-----------
PROPERTY - CASUALTY INSURERS (0.5%)
6,100 RenaissanceRe Holdings Ltd. (Bermuda)................................. 277,672
-----------
RECREATIONAL PRODUCTS (1.3%)
9,500 Electronic Arts Inc.*................................................. 702,905
-----------
REGIONAL BANKS (0.2%)
3,200 UCBH Holdings, Inc.................................................... 91,776
-----------
RESTAURANTS (3.6%)
7,900 Brinker International, Inc.*.......................................... 284,558
10,200 Krispy Kreme Doughnuts, Inc.*......................................... 420,036
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
89
<Page>
Developing Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
7,000 Outback Steakhouse, Inc............................................... $ 273,000
10,800 P.F. Chang's China Bistro, Inc.*...................................... 531,468
13,600 Sonic Corp.*.......................................................... 345,848
-----------
1,854,910
-----------
SAVINGS BANKS (0.7%)
1 New York Community Bancorp, Inc.*..................................... 29
20,200 Provident Financial Services, Inc..................................... 384,810
-----------
384,839
-----------
SEMICONDUCTORS (6.8%)
80,500 Agere Systems Inc. (Class A)*......................................... 187,565
28,750 Altera Corp.*......................................................... 471,500
20,300 Broadcom Corp. (Class A)*............................................. 505,673
12,700 Integrated Circuit Systems, Inc.*..................................... 399,161
33,600 Intersil Corp. (Class A)*............................................. 894,096
3,600 Linear Technology Corp................................................ 115,956
14,350 Marvell Technology Group Ltd. (Bermuda)*.............................. 493,210
7,400 Maxim Integrated Products, Inc........................................ 253,006
8,900 Xilinx, Inc.*......................................................... 225,259
-----------
3,545,426
-----------
SERVICES TO THE HEALTH INDUSTRY (3.5%)
10,400 Laboratory Corp. of America Holdings*................................. 313,560
33,875 Stericycle, Inc.*..................................................... 1,303,510
7,700 VistaCare, Inc. (Class A)*............................................ 187,187
-----------
1,804,257
-----------
<Caption>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------------------------------------------
SPECIALTY STORES (1.6%)
3,800 AutoZone, Inc.*....................................................... $ 288,686
9,400 CarMax Inc.*.......................................................... 283,410
8,100 Tiffany & Co.......................................................... 264,708
-----------
836,804
-----------
SPECIALTY TELECOMMUNICATIONS (2.0%)
40,900 American Tower Corp. (Class A)*....................................... 361,965
50,700 Crown Castle International Corp.*..................................... 393,939
15,500 IDT Corp. (Class B)*.................................................. 272,800
-----------
1,028,704
-----------
TELECOMMUNICATION EQUIPMENT (1.5%)
24,900 Corning Inc.*......................................................... 184,011
17,500 UTStarcom, Inc.*...................................................... 622,475
-----------
806,486
-----------
TRUCKING (0.4%)
9,250 Old Dominion Freight Line, Inc.*...................................... 199,985
-----------
WIRELESS TELECOMMUNICATIONS (0.3%)
9,950 Nextel Communications, Inc. (Class A)*................................ 179,896
-----------
TOTAL COMMON STOCKS
(COST $45,541,293)................................................... 50,565,604
-----------
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
90
<Page>
Developing Growth
PORTFOLIO OF INVESTMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- --------------------------------------------------------------------------
CONVERTIBLE BOND (0.7%)
ELECTRONIC PRODUCTION EQUIPMENT (0.7%)
$ 375 ASM Lithography Holding N.V. - 144A**
(Netherlands)
4.25% due 11/30/04
(Cost $344,619................................... $ 370,800
-----------
SHORT-TERM INVESTMENTS (2.3%)
REPURCHASE AGREEMENTS
500 Joint repurchase agreement account 1.195% due
07/01/03 (dated 06/30/03; proceeds $500,017) (a)
(COST $500,000)................................... 500,000
<Caption>
PRINCIPAL
AMOUNT IN
THOUSANDS VALUE
- --------------------------------------------------------------------------
$ 717 The Bank of New York 1.25% due 07/01/03 (dated
06/30/03; proceeds $717,945) (b)
(COST $717,920).................................. $ 717,920
-----------
TOTAL SHORT-TERM INVESTMENTS
(COST $1,217,920)................................ 1,217,920
-----------
</Table>
<Table>
TOTAL INVESTMENTS
(COST $47,103,832) (c)........................... 99.9% 52,154,324
OTHER ASSETS IN EXCESS OF LIABILITIES............. 0.1 54,890
------ -----------
NET ASSETS........................................ 100.0% $52,209,214
====== ===========
</Table>
- ---------------------------------------------------
ADR AMERICAN DEPOSITORY RECEIPT.
* NON-INCOME PRODUCING SECURITY.
(a) COLLATERALIZED BY FEDERAL AGENCY AND U.S. TREASURY OBLIGATIONS.
(b) COLLATERALIZED BY FEDERAL NATIONAL MORTGAGE ASSOC. 4.226% DUE 02/01/33
VALUED AT $729,860.
(c) THE AGGREGATE COST FOR FEDERAL INCOME TAX PURPOSES APPROXIMATES THE
AGGREGATE COST FOR BOOK PURPOSES. THE AGGREGATE GROSS UNREALIZED
APPRECIATION IS $5,783,120 AND THE AGGREGATE GROSS UNREALIZED
DEPRECIATION IS $732,628, RESULTING IN NET UNREALIZED APPRECIATION OF
$5,050,492.
SEE NOTES TO FINANCIAL STATEMENTS
91
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
MONEY FLEXIBLE BALANCED
MARKET INCOME GROWTH UTILITIES
------------ ------------ ------------ ------------
ASSETS:
Investments in
securities, at value*... $168,362,456 $ 67,276,254 $102,781,915 $ 78,347,995
Cash..................... 27,002 15,611,094 813 246
Receivable for:
Investments sold....... -- 1,947,539 82,748 --
Shares of beneficial
interest sold......... 162,402 51,178 38,769 62,584
Dividends.............. -- -- 92,908 130,087
Interest/principal
paydowns.............. 29,633 939,758 329,298 75,465
Foreign withholding
taxes reclaimed....... -- -- -- 8,371
Variation margin....... -- -- 6,375 --
Unrealized appreciation
on open forward foreign
currency contracts...... -- 2,753 -- --
Prepaid expenses and
other assets............ 3,528 2,108 1,745 1,158
------------ ------------ ------------ ------------
TOTAL ASSETS......... 168,585,021 85,830,684 103,334,571 78,625,906
------------ ------------ ------------ ------------
LIABILITIES:
Payable for:
Investments
purchased............. -- 8,251,487 4,996,702 --
Shares of beneficial
interest redeemed..... 450,528 64,406 93,904 64,150
Compensated forward
foreign currency
contracts............. -- 321,471 -- --
Variation margin....... -- 27,952 -- --
Distribution fee....... 9,335 4,243 3,445 2,617
Investment management
fees.................. 72,707 25,799 50,533 43,584
Payable to bank........ -- 1,482,396 -- --
Accrued expenses and
other payables.......... 20,647 18,573 21,515 27,841
------------ ------------ ------------ ------------
TOTAL LIABILITIES.... 553,217 10,196,327 5,166,099 138,192
------------ ------------ ------------ ------------
NET ASSETS........... $168,031,804 $ 75,634,357 $ 98,168,472 $ 78,487,714
============ ============ ============ ============
COMPOSITION OF NET
ASSETS:
Paid-in-capital.......... $168,031,665 $ 97,566,295 $105,101,029 $108,701,057
Accumulated undistributed
net investment income
(net investment loss)... 139 507,642 (87,881) (11,787)
Accumulated undistributed
net realized gain
(accumulated net
realized loss).......... -- (16,030,949) (16,536,001) (45,195,869)
Net unrealized
appreciation
(depreciation).......... -- (6,408,631) 9,691,325 14,994,313
------------ ------------ ------------ ------------
NET ASSETS........... $168,031,804 $ 75,634,357 $ 98,168,472 $ 78,487,714
============ ============ ============ ============
*COST................ $168,362,456 $ 73,732,610 $ 93,091,970 $ 63,353,682
============ ============ ============ ============
CLASS X SHARES:
Net Assets............... $124,187,040 $ 55,494,409 $ 81,855,692 $ 66,051,757
Shares Outstanding
(unlimited authorized
shares of $.01 par
value).................. 124,186,941 7,318,725 6,077,333 4,518,233
NET ASSET VALUE PER
SHARE............... $ 1.00 $ 7.58 $ 13.47 $ 14.62
============ ============ ============ ============
CLASS Y SHARES:
Net Assets............... $ 43,844,764 $ 20,139,948 $ 16,312,780 $ 12,435,957
Shares Outstanding
(unlimited authorized
shares of $.01 par
value).................. 43,844,724 2,662,351 1,213,499 851,133
NET ASSET VALUE PER
SHARE............... $ 1.00 $ 7.56 $ 13.44 $ 14.61
============ ============ ============ ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
92
<Page>
<Table>
<Caption>
DIVIDEND VALUE-ADDED AMERICAN CAPITAL GLOBAL DEVELOPING
GROWTH MARKET GROWTH OPPORTUNITIES OPPORTUNITIES EQUITY GROWTH
------------- ------------ ------------ ------------- ------------- ------------ ------------
ASSETS:
Investments in
securities, at value*... $ 378,127,867 $154,936,519 $ 43,530,745 $ 300,686,082 $ 30,820,517 $ 81,394,430 $ 52,154,324
Cash..................... 57,214 660 474 683 349 33,130 --
Receivable for:
Investments sold....... -- 3,833,171 1,153,408 5,798,133 346,801 710,629 852,255
Shares of beneficial
interest sold......... 121,489 136,249 69,482 201,670 1,018 40,366 1,295
Dividends.............. 615,242 194,823 42,443 143,243 1,684 105,577 5,184
Interest/principal
paydowns.............. -- -- -- 517 -- -- 1,427
Foreign withholding
taxes reclaimed....... 16,697 -- -- 6,146 -- 130,146 90
Variation margin....... -- -- -- -- -- -- --
Unrealized appreciation
on open forward foreign
currency contracts...... -- -- -- -- -- -- --
Prepaid expenses and
other assets............ 4,198 3,903 76,017 19,907 331 1,130 678
------------- ------------ ------------ ------------- ------------- ------------ ------------
TOTAL ASSETS......... 378,942,707 159,105,325 44,872,569 306,856,381 31,170,700 82,415,408 53,015,253
------------- ------------ ------------ ------------- ------------- ------------ ------------
LIABILITIES:
Payable for:
Investments
purchased............. 58,504 3,467,185 928,937 10,055,792 470,707 476,938 735,401
Shares of beneficial
interest redeemed..... 137,520 89,812 23,510 139,161 17,334 50,195 23,413
Compensated forward
foreign currency
contracts............. -- -- -- -- -- -- --
Variation margin....... -- -- -- 25,600 -- -- --
Distribution fee....... 8,513 6,122 1,050 8,145 1,780 1,068 878
Investment management
fees.................. 202,689 66,711 30,210 159,430 19,582 70,206 22,300
Payable to bank........ -- -- -- -- -- -- --
Accrued expenses and
other payables.......... 30,262 28,072 25,986 61,160 31,107 42,889 24,047
------------- ------------ ------------ ------------- ------------- ------------ ------------
TOTAL LIABILITIES.... 437,488 3,657,902 1,009,693 10,449,288 540,510 641,296 806,039
------------- ------------ ------------ ------------- ------------- ------------ ------------
NET ASSETS........... $ 378,505,219 $155,447,423 $ 43,862,876 $ 296,407,093 $ 30,630,190 $ 81,774,112 $ 52,209,214
============= ============ ============ ============= ============= ============ ============
COMPOSITION OF NET
ASSETS:
Paid-in-capital.......... $ 529,986,298 $132,498,685 $ 83,543,264 $ 577,141,334 $ 128,211,014 $ 95,012,336 $104,145,488
Accumulated undistributed
net investment income
(net investment loss)... 14 797,448 46,219 403,609 (86,177) 282,368 (19,957)
Accumulated undistributed
net realized gain
(accumulated net
realized loss).......... (194,707,068) 848,263 (42,626,212) (301,758,947) (100,965,105) (10,522,283) (56,966,809)
Net unrealized
appreciation
(depreciation).......... 43,225,975 21,303,027 2,899,605 20,621,097 3,470,458 (2,998,309) 5,050,492
------------- ------------ ------------ ------------- ------------- ------------ ------------
NET ASSETS........... $ 378,505,219 $155,447,423 $ 43,862,876 $ 296,407,093 $ 30,630,190 $ 81,774,112 $ 52,209,214
============= ============ ============ ============= ============= ============ ============
*COST................ $ 334,901,892 $133,633,492 $ 40,631,140 $ 280,470,195 $ 27,350,059 $ 84,406,455 $ 47,103,832
============= ============ ============ ============= ============= ============ ============
CLASS X SHARES:
Net Assets............... $ 338,016,937 $125,898,448 $ 38,865,863 $ 257,548,195 $ 22,117,779 $ 76,667,148 $ 48,010,155
Shares Outstanding
(unlimited authorized
shares of $.01 par
value).................. 25,928,514 7,193,418 3,093,512 20,616,831 3,418,214 6,386,778 3,538,089
NET ASSET VALUE PER
SHARE............... $ 13.04 $ 17.50 $ 12.56 $ 12.49 $ 6.47 $ 12.00 $ 13.57
============= ============ ============ ============= ============= ============ ============
CLASS Y SHARES:
Net Assets............... $ 40,488,282 $ 29,548,975 $ 4,997,013 $ 38,858,898 $ 8,512,411 $ 5,106,964 $ 4,199,059
Shares Outstanding
(unlimited authorized
shares of $.01 par
value).................. 3,109,863 1,698,001 400,354 3,122,852 1,325,393 427,341 311,793
NET ASSET VALUE PER
SHARE............... $ 13.02 $ 17.40 $ 12.48 $ 12.44 $ 6.42 $ 11.95 $ 13.47
============= ============ ============ ============= ============= ============ ============
</Table>
93
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS CONTINUED
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2003 (UNAUDITED)
<Table>
<Caption>
MONEY FLEXIBLE BALANCED
MARKET INCOME GROWTH UTILITIES
---------- ----------- ---------- ----------
INVESTMENT INCOME:
INCOME
Interest................. $1,185,255 $ 1,803,516 $ 718,744 $ 172,303
Dividends................ -- 6,678 648,000* 1,082,826*
---------- ----------- ---------- ----------
TOTAL INCOME......... 1,185,255 1,810,194 1,366,744 1,255,129
---------- ----------- ---------- ----------
EXPENSES
Investment management
fee..................... 459,074 144,528 278,320 241,577
Distribution fee
(Class Y shares)........ 53,937 21,722 17,004 14,317
Custodian fees........... 7,654 14,910 7,256 225
Professional fees........ 11,001 15,768 9,520 8,795
Shareholder reports and
notices................. 7,114 1,066 8,414 8,388
Trustees' fees and
expenses................ 1,035 434 426 351
Transfer agent fees and
expenses................ 250 250 250 250
Other.................... 1,798 12,297 4,973 1,084
---------- ----------- ---------- ----------
TOTAL EXPENSES....... 541,863 210,975 326,163 274,987
---------- ----------- ---------- ----------
NET INVESTMENT INCOME
(LOSS).............. 643,392 1,599,219 1,040,581 980,142
---------- ----------- ---------- ----------
NET REALIZED AND
UNREALIZED GAIN (LOSS):
NET REALIZED GAIN (LOSS)
ON:
Investments.............. -- (1,826,348) 2,135,436 (208,594)
Futures contracts........ -- (48,110) 3,277 --
Foreign exchange
transactions............ -- 2,047,078 --
---------- ----------- ---------- ----------
NET REALIZED GAIN
(LOSS)............ -- 172,620 2,138,713 (208,594)
---------- ----------- ---------- ----------
NET CHANGE IN UNREALIZED
APPRECIATION/DEPRECIATION
ON:
Investments.............. -- 3,556,394 4,327,737 8,126,546
Future contracts......... -- 10,075 56,467 --
Translation of forward
foreign currency
contracts, other assets
and liabilities
denominated in foreign
currencies.............. -- (2,584) -- --
---------- ----------- ---------- ----------
NET APPRECIATION... -- 3,563,885 4,384,204 8,126,546
---------- ----------- ---------- ----------
NET GAIN........... -- 3,736,505 6,522,917 7,917,952
---------- ----------- ---------- ----------
NET INCREASE............. $ 643,392 $ 5,335,724 $7,563,498 $8,898,094
========== =========== ========== ==========
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
94
<Page>
<Table>
<Caption>
DIVIDEND VALUE-ADDED AMERICAN CAPITAL GLOBAL DEVELOPING
GROWTH MARKET GROWTH OPPORTUNITIES OPPORTUNITIES EQUITY GROWTH
------------ ----------- ---------- ------------- ------------- ------------ -----------
INVESTMENT INCOME:
INCOME
Interest................. $ 18,752 $ 13,196 $ 5,235 $ 104,423 $ 2,330 $ 7,858 $ 49,248
Dividends................ 5,014,778* 1,167,523 249,949 1,305,318* 42,728* 710,516* 82,494*
------------ ----------- ---------- ----------- ---------- ----------- ----------
TOTAL INCOME......... 5,033,530 1,180,719 255,184 1,409,741 45,058 718,374 131,742
------------ ----------- ---------- ----------- ---------- ----------- ----------
EXPENSES
Investment management
fee..................... 1,107,331 345,051 166,478 894,674 105,425 380,212 119,809
Distribution fee
(Class Y shares)........ 41,227 27,500 4,933 40,540 8,984 5,257 4,159
Custodian fees........... 9,171 2,308 22,388 31,714 6,360 8,071 11,511
Professional fees........ 11,297 10,481 9,434 11,093 9,949 11,935 9,621
Shareholder reports and
notices................. 29,647 10,469 4,854 22,349 -- 8,722 5,741
Trustees' fees and
expenses................ 2,155 652 190 1,826 89 370 237
Transfer agent fees and
expenses................ 250 250 250 250 250 250 250
Other.................... 3,312 8,049 437 2,291 178 1,938 371
------------ ----------- ---------- ----------- ---------- ----------- ----------
TOTAL EXPENSES....... 1,204,390 404,760 208,964 1,004,737 131,235 416,755 151,699
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET INVESTMENT INCOME
(LOSS).............. 3,829,140 775,959 46,220 405,004 (86,177) 301,619 (19,957)
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET REALIZED AND
UNREALIZED GAIN (LOSS):
NET REALIZED GAIN (LOSS)
ON:
Investments.............. (16,257,993) 867,748 (510,132) (1,680,385) 1,523,643 (29,189) 1,474,979
Futures contracts........ -- -- -- (4,320,371) -- -- --
Foreign exchange
transactions............ -- -- -- (270) -- (49,828) (23)
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET REALIZED GAIN
(LOSS)............ (16,257,993) 867,748 (510,132) (6,001,026) 1,523,643 (79,017) 1,474,956
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET CHANGE IN UNREALIZED
APPRECIATION/DEPRECIATION
ON:
Investments.............. 50,815,684 16,377,783 5,326,483 25,167,353 3,188,491 9,869,118 6,340,385
Future contracts......... -- -- -- 397,255 -- -- --
Translation of forward
foreign currency
contracts, other assets
and liabilities
denominated in foreign
currencies.............. -- -- -- 433 -- (7,454) --
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET APPRECIATION... 50,815,684 16,377,783 5,326,483 25,565,041 3,188,491 9,861,664 6,340,385
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET GAIN........... 34,557,691 17,245,531 4,816,351 19,564,015 4,712,134 9,782,647 7,815,341
------------ ----------- ---------- ----------- ---------- ----------- ----------
NET INCREASE............. $ 38,386,831 $18,021,490 $4,862,571 $19,969,019 $4,625,957 $10,084,266 $7,795,384
============ =========== ========== =========== ========== =========== ==========
</Table>
95
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MONEY MARKET FLEXIBLE INCOME
-------------------------------- --------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
------------- ----------------- ------------- -----------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 643,392 $ 2,519,398 $ 1,599,219 $ 4,567,651
Net realized gain
(loss).................. -- -- 172,620 (10,550,464)
Net change in unrealized
appreciation/depreciation... -- -- 3,563,885 11,409,322
------------ ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 643,392 2,519,398 5,335,724 5,426,509
------------ ------------ ----------- ------------
DIVIDENDS TO SHAREHOLDERS
FROM:
Net investment income
Class X shares......... (534,290) (2,146,983) (1,466,446) (2,672,959)
Class Y shares......... (109,083) (372,357) (456,700) (418,622)
------------ ------------ ----------- ------------
TOTAL DIVIDENDS...... (643,373) (2,519,340) (1,923,146) (3,091,581)
------------ ------------ ----------- ------------
Net increase (decrease)
from transactions in
shares of beneficial
interest................ (25,452,755) (13,661,167) 2,926,414 6,356,434
------------ ------------ ----------- ------------
TOTAL INCREASE
(DECREASE).......... (25,452,736) (13,661,109) 6,338,992 8,691,362
NET ASSETS:
Beginning of period...... 193,484,540 207,145,649 69,295,365 60,604,003
------------ ------------ ----------- ------------
END OF PERIOD............ $168,031,804 $193,484,540 $75,634,357 $ 69,295,365
============ ============ =========== ============
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
(NET INVESTMENT LOSS)... $ 139 $ 120 $ 507,642 $ 831,569
============ ============ =========== ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
96
<Page>
<Table>
<Caption>
BALANCED GROWTH UTILITIES DIVIDEND GROWTH
-------------------------------- -------------------------------- --------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
------------- ----------------- ------------- ----------------- ------------- -----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income.... $ 1,040,581 $ 2,880,732 $ 980,142 $ 3,200,225 $ 3,829,140 $ 8,840,107
Net realized gain
(loss).................. 2,138,713 (9,229,020) (208,594) (23,753,026) (16,257,993) (39,482,430)
Net change in unrealized
appreciation/depreciation... 4,384,204 (7,609,088) 8,126,546 (4,884,473) 50,815,684 (60,956,564)
----------- ------------ ----------- ------------ ------------ -------------
NET INCREASE
(DECREASE).......... 7,563,498 (13,957,376) 8,898,094 (25,437,274) 38,386,831 (91,598,887)
----------- ------------ ----------- ------------ ------------ -------------
DIVIDENDS TO SHAREHOLDERS
FROM:
Net investment income
Class X shares......... (1,040,644) (2,731,171) (834,945) (2,803,574) (3,480,679) (8,353,169)
Class Y shares......... (177,930) (281,828) (144,122) (356,108) (348,458) (486,953)
----------- ------------ ----------- ------------ ------------ -------------
TOTAL DIVIDENDS...... (1,218,574) (3,012,999) (979,067) (3,159,682) (3,829,137) (8,840,122)
----------- ------------ ----------- ------------ ------------ -------------
Net increase (decrease)
from transactions in
shares of beneficial
interest................ (5,349,380) (10,321,727) (7,004,808) (25,265,054) (27,042,975) (78,910,159)
----------- ------------ ----------- ------------ ------------ -------------
TOTAL INCREASE
(DECREASE).......... 995,544 (27,292,102) 914,219 (53,862,010) 7,514,719 (179,349,168)
NET ASSETS:
Beginning of period...... 97,172,928 124,465,030 77,573,495 131,435,505 370,990,500 550,339,668
----------- ------------ ----------- ------------ ------------ -------------
END OF PERIOD............ $98,168,472 $ 97,172,928 $78,487,714 $ 77,573,495 $378,505,219 $ 370,990,500
=========== ============ =========== ============ ============ =============
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
(NET INVESTMENT LOSS)... $ (87,881) $ 90,112 $ (11,787) $ (12,862) $ 14 $ 11
=========== ============ =========== ============ ============ =============
</Table>
97
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
VALUE-ADDED MARKET GROWTH
-------------------------------- --------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
------------- ----------------- ------------- -----------------
(UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss).................. $ 775,959 $ 1,816,030 $ 46,220 $ 41,760
Net realized gain
(loss).................. 867,748 3,420,730 (510,132) (20,099,406)
Net change in unrealized
appreciation/depreciation... 16,377,783 (36,086,090) 5,326,483 (1,299,207)
------------ ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 18,021,490 (30,849,330) 4,862,571 (21,356,853)
------------ ------------ ----------- ------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income
Class X shares......... (1,481,946) (1,937,562) (41,761) --
Class Y shares......... (312,854) (163,395) -- --
Net realized gain
Class X shares......... (2,267,155) -- -- --
Class Y shares......... (533,709) -- -- --
------------ ------------ ----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (4,595,664) (2,100,957) (41,761) --
------------ ------------ ----------- ------------
Net increase (decrease)
from transactions in
shares of beneficial
interest................ 2,113,786 (20,008,345) (4,312,178) (19,768,451)
------------ ------------ ----------- ------------
TOTAL INCREASE
(DECREASE).......... 15,539,612 (52,958,632) 508,632 (41,125,304)
NET ASSETS:
Beginning of period...... 139,907,811 192,866,443 43,354,244 84,479,548
------------ ------------ ----------- ------------
END OF PERIOD............ $155,447,423 $139,907,811 $43,862,876 $ 43,354,244
============ ============ =========== ============
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
(NET INVESTMENT LOSS)... $ 797,448 $ 1,816,289 $ 46,219 $ 41,760
============ ============ =========== ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
98
<Page>
<Table>
<Caption>
AMERICAN OPPORTUNITIES CAPITAL OPPORTUNITIES GLOBAL EQUITY
-------------------------------- -------------------------------- --------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
------------- ----------------- ------------- ----------------- ------------- -----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss).................. $ 405,004 $ 1,030,021 $ (86,177) $ (343,046) $ 301,619 $ 346,468
Net realized gain
(loss).................. (6,001,026) (73,515,538) 1,523,643 (55,704,147) (79,017) (3,336,891)
Net change in unrealized
appreciation/depreciation... 25,565,041 (23,992,117) 3,188,491 28,089,327 9,861,664 (16,471,692)
------------ ------------ ----------- ------------ ----------- ------------
NET INCREASE
(DECREASE).......... 19,969,019 (96,477,634) 4,625,957 (27,957,866) 10,084,266 (19,462,115)
------------ ------------ ----------- ------------ ----------- ------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income
Class X shares......... (963,468) (2,513,231) -- -- (300,580) (80,154)
Class Y shares......... (70,108) (147,685) -- -- (10,185) --
Net realized gain
Class X shares......... -- -- -- -- -- --
Class Y shares......... -- -- -- -- -- --
------------ ------------ ----------- ------------ ----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... (1,033,576) (2,660,916) -- -- (310,765) (80,154)
------------ ------------ ----------- ------------ ----------- ------------
Net increase (decrease)
from transactions in
shares of beneficial
interest................ (27,273,014) (89,896,539) (2,629,633) (10,307,026) (7,560,650) (23,468,339)
------------ ------------ ----------- ------------ ----------- ------------
TOTAL INCREASE
(DECREASE).......... (8,337,571) (189,035,089) 1,996,324 (38,264,892) 2,212,851 (43,010,608)
NET ASSETS:
Beginning of period...... 304,744,664 493,779,753 28,633,866 66,898,758 79,561,261 122,571,869
------------ ------------ ----------- ------------ ----------- ------------
END OF PERIOD............ $296,407,093 $304,744,664 $30,630,190 $ 28,633,866 $81,774,112 $ 79,561,261
============ ============ =========== ============ =========== ============
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
(NET INVESTMENT LOSS)... $ 403,609 $ 1,032,181 $ (86,177) $ -- $ 282,368 $ 291,514
============ ============ =========== ============ =========== ============
<Caption>
DEVELOPING GROWTH
--------------------------------
FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002
------------- -----------------
(UNAUDITED)
INCREASE (DECREASE) IN
NET ASSETS:
OPERATIONS:
Net investment income
(loss).................. $ (19,957) $ (176,673)
Net realized gain
(loss).................. 1,474,956 (18,055,817)
Net change in unrealized
appreciation/depreciation 6,340,385 (4,627,220)
----------- ------------
NET INCREASE
(DECREASE).......... 7,795,384 (22,859,710)
----------- ------------
DIVIDENDS AND
DISTRIBUTIONS TO
SHAREHOLDERS FROM:
Net investment income
Class X shares......... -- --
Class Y shares......... -- --
Net realized gain
Class X shares......... -- --
Class Y shares......... -- --
----------- ------------
TOTAL DIVIDENDS AND
DISTRIBUTIONS....... -- --
----------- ------------
Net increase (decrease)
from transactions in
shares of beneficial
interest................ (4,079,717) (17,133,000)
----------- ------------
TOTAL INCREASE
(DECREASE).......... 3,715,667 (39,992,710)
NET ASSETS:
Beginning of period...... 48,493,547 88,486,257
----------- ------------
END OF PERIOD............ $52,209,214 $ 48,493,547
=========== ============
ACCUMULATED UNDISTRIBUTED
NET INVESTMENT INCOME
(NET INVESTMENT LOSS)... $ (19,957) $ --
=========== ============
</Table>
99
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS CONTINUED
SUMMARY OF TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
<Table>
<Caption>
MONEY MARKET FLEXIBLE INCOME
-------------------------------------- --------------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
---------------- -------------------- ---------------- --------------------
(UNAUDITED) (UNAUDITED)
CLASS X SHARES
SHARES
Sold..................... 33,230,240 119,285,645 591,359 1,401,928
Reinvestment of
dividends............... 534,290 2,146,983 197,156 383,157
Redeemed................. (62,056,391) (144,910,533) (1,026,572) (2,348,029)
------------ ------------- ----------- ------------
NET DECREASE - CLASS X... (28,291,861) (23,477,905) (238,057) (562,944)
============ ============= =========== ============
AMOUNT
Sold..................... $ 33,230,240 $ 119,285,645 $ 4,379,387 $ 9,828,447
Reinvestment of
dividends............... 534,290 2,146,983 1,466,446 2,672,959
Redeemed................. (62,056,391) (144,910,533) (7,616,293) (16,427,076)
------------ ------------- ----------- ------------
NET DECREASE - CLASS X... $(28,291,861) $ (23,477,905) $(1,770,460) $ (3,925,670)
============ ============= =========== ============
CLASS Y SHARES
SHARES
Sold..................... 37,543,918 48,033,474 875,617 1,657,735
Reinvestment of
dividends............... 109,083 372,357 61,501 59,826
Redeemed................. (34,813,895) (38,589,093) (301,007) (244,617)
------------ ------------- ----------- ------------
NET INCREASE - CLASS Y... 2,839,106 9,816,738 636,111 1,472,944
============ ============= =========== ============
AMOUNT
Sold..................... $ 37,543,918 $ 48,033,474 $ 6,474,994 $ 11,579,296
Reinvestment of
dividends............... 109,083 372,357 456,700 418,622
Redeemed................. (34,813,895) (38,589,093) (2,234,820) (1,715,814)
------------ ------------- ----------- ------------
NET INCREASE - CLASS Y... $ 2,839,106 $ 9,816,738 $ 4,696,874 $ 10,282,104
============ ============= =========== ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
100
<Page>
<Table>
<Caption>
BALANCED GROWTH UTILITIES DIVIDEND GROWTH
-------------------------------------- -------------------------------------- ----------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003
---------------- -------------------- ---------------- -------------------- ----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
CLASS X SHARES
SHARES
Sold..................... 331,528 724,016 116,344 301,789 1,058,952
Reinvestment of
dividends............... 81,039 205,346 61,470 197,658 287,846
Redeemed................. (1,080,115) (2,119,779) (737,182) (2,380,363) (4,308,967)
------------ ------------ ----------- ------------ ------------
NET DECREASE - CLASS X... (667,548) (1,190,417) (559,368) (1,880,916) (2,962,169)
============ ============ =========== ============ ============
AMOUNT
Sold..................... $ 4,207,461 $ 9,873,756 $ 1,556,790 $ 4,375,976 $ 12,759,823
Reinvestment of
dividends............... 1,040,644 2,731,171 834,945 2,803,574 3,480,679
Redeemed................. (13,535,564) (28,467,516) (9,727,967) (33,881,020) (50,826,083)
------------ ------------ ----------- ------------ ------------
NET DECREASE - CLASS X... $ (8,287,459) $(15,862,589) $(7,336,232) $(26,701,470) $(34,585,581)
============ ============ =========== ============ ============
CLASS Y SHARES
SHARES
Sold..................... 323,354 560,381 194,628 335,317 870,634
Reinvestment of
dividends............... 13,824 21,469 10,632 25,390 28,678
Redeemed................. (105,464) (179,996) (171,279) (273,414) (271,512)
------------ ------------ ----------- ------------ ------------
NET INCREASE - CLASS Y... 231,714 401,854 33,981 87,293 627,800
============ ============ =========== ============ ============
AMOUNT
Sold..................... $ 4,088,523 $ 7,630,860 $ 2,553,030 $ 4,899,620 $ 10,425,872
Reinvestment of
dividends............... 177,930 281,828 144,122 356,108 348,458
Redeemed................. (1,328,374) (2,371,826) (2,365,728) (3,819,312) (3,231,724)
------------ ------------ ----------- ------------ ------------
NET INCREASE - CLASS Y... $ 2,938,079 $ 5,540,862 $ 331,424 $ 1,436,416 $ 7,542,606
============ ============ =========== ============ ============
<Caption>
DIVIDEND GROWTH
--------------------
FOR THE YEAR
ENDED
DECEMBER 31, 2002
--------------------
CLASS X SHARES
SHARES
Sold..................... 1,816,448
Reinvestment of
dividends............... 644,042
Redeemed................. (9,442,311)
-------------
NET DECREASE - CLASS X... (6,981,821)
=============
AMOUNT
Sold..................... $ 24,354,692
Reinvestment of
dividends............... 8,353,169
Redeemed................. (124,347,345)
-------------
NET DECREASE - CLASS X... $ (91,639,484)
=============
CLASS Y SHARES
SHARES
Sold..................... 1,428,587
Reinvestment of
dividends............... 38,352
Redeemed................. (522,959)
-------------
NET INCREASE - CLASS Y... 943,980
=============
AMOUNT
Sold..................... $ 19,114,664
Reinvestment of
dividends............... 486,953
Redeemed................. (6,872,292)
-------------
NET INCREASE - CLASS Y... $ 12,729,325
=============
</Table>
101
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL STATEMENTS CONTINUED
STATEMENTS OF CHANGES IN NET ASSETS CONTINUED
SUMMARY OF TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST CONTINUED
<Table>
<Caption>
VALUE-ADDED MARKET GROWTH
-------------------------------------- --------------------------------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR
MONTHS ENDED ENDED MONTHS ENDED ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
---------------- -------------------- ---------------- --------------------
(UNAUDITED) (UNAUDITED)
CLASS X SHARES
SHARES
Sold..................... 519,156 1,005,911 182,197 395,097
Reinvestment of dividends
and distributions....... 214,234 107,048 3,325 --
Redeemed................. (1,165,731) (2,997,915) (657,170) (2,005,315)
------------ ------------ ----------- ------------
NET DECREASE - CLASS X... (432,341) (1,884,956) (471,648) (1,610,218)
============ ============ =========== ============
AMOUNT
Sold..................... $ 8,657,790 $ 17,757,380 $ 2,146,418 $ 5,105,430
Reinvestment of dividends
and distributions....... 3,749,101 1,937,562 41,761 --
Redeemed................. (18,757,396) (50,407,468) (7,495,848) (25,381,091)
------------ ------------ ----------- ------------
NET DECREASE - CLASS X... $ (6,350,505) $(30,712,526) $(5,307,669) $(20,275,661)
============ ============ =========== ============
CLASS Y SHARES
SHARES
Sold..................... 646,106 942,345 126,340 136,527
Reinvestment of dividends
and distributions....... 48,653 9,062 -- --
Redeemed................. (190,258) (334,532) (43,016) (103,816)
------------ ------------ ----------- ------------
NET INCREASE - CLASS Y... 504,501 616,875 83,324 32,711
============ ============ =========== ============
AMOUNT
Sold..................... $ 10,591,748 $ 16,143,557 $ 1,483,820 $ 1,832,084
Reinvestment of dividends
and distributions....... 846,563 163,395 -- --
Redeemed................. (2,974,020) (5,602,771) (488,329) (1,324,874)
------------ ------------ ----------- ------------
NET INCREASE - CLASS Y... $ 8,464,291 $ 10,704,181 $ 995,491 $ 507,210
============ ============ =========== ============
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
102
<Page>
<Table>
<Caption>
AMERICAN OPPORTUNITIES CAPITAL OPPORTUNITIES GLOBAL EQUITY
-------------------------------------- -------------------------------------- ----------------
FOR THE SIX FOR THE YEAR FOR THE SIX FOR THE YEAR FOR THE SIX
MONTHS ENDED ENDED MONTHS ENDED ENDED MONTHS ENDED
JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002 JUNE 30, 2003
---------------- -------------------- ---------------- -------------------- ----------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
CLASS X SHARES
SHARES
Sold..................... 613,537 1,385,445 168,000 589,277 244,880
Reinvestment of
dividends............... 77,139 186,580 -- -- 25,048
Redeemed................. (3,595,495) (8,935,569) (768,508) (2,238,406) (1,043,887)
------------ ------------- ----------- ------------ ------------
NET DECREASE - CLASS X... (2,904,819) (7,363,544) (600,508) (1,649,129) (773,959)
============ ============= =========== ============ ============
AMOUNT
Sold..................... $ 7,266,045 $ 18,386,151 $ 985,591 $ 4,328,497 $ 2,640,404
Reinvestment of
dividends............... 963,468 2,513,231 -- -- 300,580
Redeemed................. (41,903,782) (117,722,907) (4,369,861) (15,590,037) (11,074,454)
------------ ------------- ----------- ------------ ------------
NET DECREASE - CLASS X... $(33,674,269) $ (96,823,525) $(3,384,270) $(11,261,540) $ (8,133,470)
============ ============= =========== ============ ============
CLASS Y SHARES
SHARES
Sold..................... 861,336 1,117,040 302,751 711,761 101,596
Reinvestment of
dividends............... 5,636 10,997 -- -- 852
Redeemed................. (327,635) (605,031) (173,589) (685,448) (51,187)
------------ ------------- ----------- ------------ ------------
NET INCREASE - CLASS Y... 539,337 523,006 129,162 26,313 51,261
============ ============= =========== ============ ============
AMOUNT
Sold..................... $ 10,156,945 $ 14,735,675 $ 1,724,140 $ 5,340,206 $ 1,104,786
Reinvestment of
dividends............... 70,108 147,685 -- -- 10,185
Redeemed................. (3,825,798) (7,956,374) (969,503) (4,385,692) (542,151)
------------ ------------- ----------- ------------ ------------
NET INCREASE - CLASS Y... $ 6,401,255 $ 6,926,986 $ 754,637 $ 954,514 $ 572,820
============ ============= =========== ============ ============
<Caption>
GLOBAL EQUITY DEVELOPING GROWTH
-------------------- --------------------------------------
FOR THE YEAR FOR THE SIX FOR THE YEAR
ENDED MONTHS ENDED ENDED
DECEMBER 31, 2002 JUNE 30, 2003 DECEMBER 31, 2002
-------------------- ---------------- --------------------
(UNAUDITED)
CLASS X SHARES
SHARES
Sold..................... 331,885 185,903 263,100
Reinvestment of
dividends............... 6,608 -- --
Redeemed................. (2,462,599) (615,385) (1,636,123)
------------ ----------- ------------
NET DECREASE - CLASS X... (2,124,106) (429,482) (1,373,023)
============ =========== ============
AMOUNT
Sold..................... $ 3,897,393 $ 2,260,349 $ 3,579,933
Reinvestment of
dividends............... 80,154 -- --
Redeemed................. (28,327,330) (7,341,646) (21,293,539)
------------ ----------- ------------
NET DECREASE - CLASS X... $(24,349,783) $(5,081,297) $(17,713,606)
============ =========== ============
CLASS Y SHARES
SHARES
Sold..................... 149,454 112,322 113,513
Reinvestment of
dividends............... -- -- --
Redeemed................. (73,439) (26,893) (73,538)
------------ ----------- ------------
NET INCREASE - CLASS Y... 76,015 85,429 39,975
============ =========== ============
AMOUNT
Sold..................... $ 1,721,233 $ 1,320,100 $ 1,497,355
Reinvestment of
dividends............... -- -- --
Redeemed................. (839,789) (318,520) (916,749)
------------ ----------- ------------
NET INCREASE - CLASS Y... $ 881,444 $ 1,001,580 $ 580,606
============ =========== ============
</Table>
103
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED)
1. ORGANIZATION AND ACCOUNTING POLICIES
Morgan Stanley Select Dimensions Investment Series (the "Fund") is registered
under the Investment Company Act of 1940 as amended (the "Act"), as a
diversified, open-end management investment company. The shares of the Fund are
only sold to Hartford Life Insurance Company and Hartford Life and Annuity
Insurance Company for allocation to certain of its separate accounts to fund
variable annuity contracts and variable life insurance policies they issue.
The Fund, which consists of 11 separate portfolios ("Portfolios"), was organized
on June 2, 1994, as a Massachusetts business trust and commenced operations on
November 9, 1994, with the exception of Capital Opportunities which commenced
operations on January 21, 1997.
On July 24, 2000, the Fund commenced offering one additional class of shares
(Class Y shares). The two classes are identical except that Class Y shares incur
distribution expenses. Class X shares are generally available to holders of
contracts offered before May 1, 2000. Class Y shares are available to holders of
contracts offered on or after July 24, 2000.
The investment objectives of each Portfolio are as follows:
<Table>
<Caption>
PORTFOLIO INVESTMENT OBJECTIVE
Money Market Seeks high current income, preservation of capital
and liquidity by investing in short-term money
market instruments.
Flexible Income (formerly Seeks, as a primary objective, to earn a high
Diversified Income) level of current income and, as a secondary
objective, to maximize total return, but only to
the extent consistent with its primary objective.
Prior to May 1, 2003, Flexible Income sought its
secondary objective by equally allocating its
assets among three separate groupings of fixed
income securities.
Balanced Growth Seeks to achieve capital growth with reasonable
current income by investing primarily in common
stock of companies which have a record of paying
dividends and have the potential for increasing
dividends, investment grade corporate debt
securities, asset-backed securities and U.S.
government securities.
Utilities Seeks both capital appreciation and current income
by investing in equity and fixed income securities
of companies in the utilities industry.
Dividend Growth Seeks to provide reasonable current income and
long-term growth of income and capital by
investing primarily in common stock of companies
with a record of paying dividends and the
potential for increasing dividends.
</Table>
104
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
<Table>
<Caption>
PORTFOLIO INVESTMENT OBJECTIVE
Value-Added Market Seeks to achieve a high level of total return on
its assets through a combination of capital
appreciation and current income by investing, on
an equally-weighted basis, in a diversified
portfolio of common stocks of the companies which
are represented in the Standard & Poor's 500
Composite Stock Price Index.
Growth Seeks long-term growth of capital by investing
primarily in common stocks and securities
convertible into common stocks issued by domestic
and foreign companies.
American Opportunities Seeks long-term capital growth consistent with an
effort to reduce volatility by investing
principally in common stock of companies in
industries which, at the time of the investment,
are believed to have attractive earnings
potential.
Capital Opportunities Seeks long-term capital growth by investing
primarily in equity securities of medium-sized
companies with market capitalization's within the
capitalization range of companies comprising the
Standard & Poor's Mid-Cap 400 Index.
Global Equity Seeks to obtain total return on its assets
primarily through long-term capital growth and, to
a lesser extent, from income, through investments
in equity securities of companies located in
various countries around the world.
Developing Growth Seeks long-term capital growth by investing
primarily in equity securities of smaller and
medium-sized companies that have the potential for
growing more rapidly than the economy.
</Table>
The following is a summary of significant accounting policies:
A. VALUATION OF INVESTMENTS -- Money Market: securities are valued at amortized
cost which approximates market value. All remaining Portfolios: (1) an equity
security listed or traded on the New York or American Stock Exchange, or other
exchange is valued at its latest sale price prior to the time when assets are
valued; if there were no sales that day, the security is valued at the mean
between the last reported bid and asked price; (2) an equity portfolio security
listed or traded on the Nasdaq is valued at the Nasdaq Official Closing Price;
if there were no sales that day, the security is valued at the mean between the
last reported bid and asked price; (3) all other equity portfolio securities for
which over-the-counter market quotations are readily available are valued at the
mean between the last reported bid and asked price. In cases where securities
are traded on more than one exchange, the securities are valued on the exchange
designated as the primary market; (4) for equity securities traded on foreign
exchanges, the last reported sale price or the latest bid price may be used if
there were no sales on a particular day; (5) futures contracts are valued at the
latest price published by the commodities exchange on which they trade;
(6) when market quotations are not readily available, including circumstances
under which it is determined by Morgan
105
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
Stanley Investment Advisors Inc. (the "Investment Manager") or (in the case of
Growth) by Morgan Stanley Investment Management Inc. ("MSIM"), that the latest
sale price, the bid price or the mean between the last reported bid and asked
price do not reflect a security's market value, portfolio securities are valued
at their fair value as determined in good faith under procedures established by
and under the general supervision of the Trustees; (7) certain securities may be
valued by an outside pricing service approved by the Trustees; and
(8) short-term debt securities having a maturity date of more than sixty days at
time of purchase are valued on a mark-to-market basis until sixty days prior to
maturity and thereafter at amortized cost based on their value on the 61st day.
Short-term debt securities having a maturity date of sixty days or less at the
time of purchase are valued at amortized cost.
B. ACCOUNTING FOR INVESTMENTS -- Security transactions are accounted for on the
trade date (date the order to buy or sell is executed). Realized gains and
losses on security transactions are determined by the identified cost method.
Dividend income and other distributions are recorded on the ex-dividend date
except certain dividends on foreign securities which are recorded as soon as the
Fund is informed after the ex-dividend date. Interest income is accrued daily
except where collection is not expected. The Fund amortizes premiums and
accretes discounts over the life of the respective securities.
C. REPURCHASE AGREEMENTS -- Pursuant to an Exemptive Order issued by the
Securities and Exchange Commission, the Portfolios, along with other affiliated
entities managed by the Investment Manager, may transfer uninvested cash
balances into one or more joint repurchase agreement accounts. These balances
are invested in one or more repurchase agreements and are collateralized by
cash, or U.S. Treasury or federal agency obligations. The Portfolio may also
invest directly with institutions in repurchase agreements. The Fund's custodian
receives the collateral, which is marked-to-market daily to determine that the
value of the collateral does not decrease below the repurchase price plus
accrued interest.
D. MULTIPLE CLASS ALLOCATIONS -- Investment income, expenses (other than
distribution fees), and realized and unrealized gains and losses are allocated
to each class of shares based upon the relative net asset value on the date such
items are recognized. Distribution fees are charged directly to the respective
class.
E. FUTURES CONTRACTS -- A futures contract is an agreement between two parties
to buy and sell financial instruments or contracts based on financial indices at
a set price on a future date. Upon entering into such a contract, the Fund is
required to pledge to the broker cash, U.S. government securities or other
liquid portfolio securities equal to the minimum initial margin requirements of
the applicable futures exchange. Pursuant to the contract, the Fund agrees to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract which is known as variation margin.
Such receipts or
106
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
payments are recorded by the Fund as unrealized gains or losses. Upon closing of
the contract, the Fund realizes a gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it
was closed.
F. FOREIGN CURRENCY TRANSLATION AND FORWARD FOREIGN CURRENCY CONTRACTS -- The
books and records of the Fund are maintained in U.S. dollars as follows:
(1) the foreign currency market value of investment securities, other assets and
liabilities and forward foreign currency contracts ("forward contracts") are
translated at the exchange rates prevailing at the end of the period; and
(2) purchases, sales, income and expenses are translated at the exchange rates
prevailing on the respective dates of such transactions. The resultant exchange
gains and losses are recorded as realized and unrealized gain/loss on foreign
exchange transactions. Pursuant to U.S. Federal income tax regulations, certain
foreign exchange gains/losses included in realized and unrealized gain/loss are
included in or are a reduction of ordinary income for federal income tax
purposes. The Fund does not isolate that portion of the results of operations
arising as a result of changes in the foreign exchange rates from the changes in
the market prices of the securities. Forward contracts are valued daily at the
appropriate exchange rates. The resultant unrealized exchange gains and losses
are recorded as unrealized foreign currency gain or loss. The Fund records
realized gains or losses on delivery of the currency or at the time the forward
contract is extinguished (compensated) by entering into a closing transaction
prior to delivery.
G. FEDERAL INCOME TAX POLICY -- It is the Fund's policy to comply individually
for each Portfolio with the requirements of the Internal Revenue Code applicable
to regulated investment companies and to distribute substantially all of its
taxable income to its shareholders. Accordingly, no federal income tax provision
is required.
H. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS -- The Fund records dividends and
distributions to its shareholders on the ex-dividend date. The amount of
dividends and distributions from net investment income and net realized capital
gains are determined in accordance with federal income tax regulations which may
differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are reclassified
within the capital accounts based on their federal tax-basis treatment;
temporary differences do not require reclassification. Dividends and
distributions which exceed net investment income and net realized capital gains
for financial reporting purposes but not for tax purposes are reported as
dividends in excess of net investment income or distributions in excess of net
realized capital
107
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
gains. To the extent they exceed net investment income and net realized capital
gains for tax purposes, they are reported as distributions of paid-in-capital.
I. EXPENSES -- Direct expenses are charged to the respective Portfolio and
general Fund expenses are allocated on the basis of relative net assets or
equally among the Portfolios.
J. USE OF ESTIMATES -- The preparation of financial statements in accordance
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts and disclosures.
Actual results could differ from those estimates.
2. INVESTMENT MANAGEMENT AND SUB-ADVISORY AGREEMENTS
Pursuant to an Investment Management Agreement, the Fund pays the Investment
Manager a management fee, accrued daily and payable monthly, by applying the
following annual rates to each Portfolio's net assets determined at the close of
each business day:
<Table>
<Caption>
ANNUAL
PORTFOLIO RATE
- --------- --------------------
Money Market........................ 0.50%
Flexible Income..................... 0.40
Balanced Growth..................... 0.60
Utilities........................... 0.65
Dividend Growth..................... *
Value-Added Market.................. 0.50
<Caption>
ANNUAL
PORTFOLIO RATE
- --------- --------------------
Growth.............................. 0.80%
American Opportunities.............. **
Capital Opportunities............... 0.75
Global Equity....................... 1.00
Developing Growth................... 0.50
</Table>
- ------------------
* 0.625% to the portion of daily net assets not exceeding $500 million;
0.50% to the portion of daily net assets exceeding $500 million, but not
exceeding $1 billion and 0.475% to the portion of daily net assets
exceeding $1 billion.
** 0.625% to the portion of daily net assets not exceeding $500 million;
0.60% to the portion of daily net assets exceeding $500 million, but not
exceeding $1 billion and 0.575% to the portion of daily net assets
exceeding $1 billion.
Under a Sub-Advisory Agreement between MSIM and the Investment Manager, MSIM
provides Growth with investment advice and portfolio management relating to the
Portfolio's investments in securities, subject to the overall supervision of the
Investment Manager. As compensation for its services provided pursuant to the
Sub-Advisory Agreement, the Investment Manager pays MSIM monthly compensation
equal to 40% of its monthly compensation.
108
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
3. PLAN OF DISTRIBUTION
Shares of the Fund are distributed by Morgan Stanley Distributors Inc. (the
"Distributor"), an affiliate of the Investment Manager. The Fund has adopted a
Plan of Distribution (the "Plan") pursuant to Rule 12b-1 under the Act. Under
the Plan, Class Y shares of each Portfolio bear a distribution fee which is
accrued daily and paid monthly at the annual rate of 0.25% of the average daily
net assets of the class.
4. SECURITY TRANSACTIONS AND TRANSACTIONS WITH AFFILIATES
Purchases and sales/maturities of portfolio securities, excluding short-term
investments (except for the Money Market Portfolio), for the six months ended
June 30, 2003 were as follows:
<Table>
<Caption>
U.S. GOVERNMENT SECURITIES OTHER
----------------------------- -------------------------------
PURCHASES SALES/MATURITIES PURCHASES SALES/MATURITIES
----------- ---------------- ------------- ----------------
Money Market........................ $95,901,881 $113,953,706 $633,256,801 $641,973,028
Flexible Income..................... 44,418,849 45,841,562 34,604,962 33,432,193
Balanced Growth..................... 4,655,445 2,461,691 51,608,397 58,459,818
Utilities........................... 27,335 415,599 39,222,422 44,316,486
Dividend Growth..................... -- -- 64,044,534 89,739,125
Value-Added Market.................. -- -- 23,873,243 24,506,178
Growth.............................. -- -- 29,425,758 32,842,006
American Opportunities.............. -- -- 356,436,941 372,536,277
Capital Opportunities............... -- -- 19,213,795 22,098,779
Global Equity....................... -- -- 10,978,675 19,207,424
Developing Growth................... -- -- 55,329,144 58,575,528
</Table>
The following Portfolios had transactions in Hartford Financial Services
Group, Inc., an affiliate of the Fund:
<Table>
<Caption>
NET REALIZED
PURCHASES SALES GAINS
---------- ------- ------------
Balanced Growth.................... $ 29,965 $69,919 $5,817
Dividend Growth.................... 1,510,600 4,857 307
Value-Added Market................. 9,106 -- --
</Table>
Included in the aforementioned purchases of portfolio securities of Value-Added
Market are purchases of Morgan Stanley, an affiliate of the Investment Manager
and Distributor, of $30,043.
109
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
The following Portfolios had transactions with other Morgan Stanley Funds during
the six months ended June 30, 2003:
<Table>
<Caption>
NET REALIZED
PURCHASES SALES GAINS (LOSSES)
--------- -------- --------------
Utilities.......................... $322,700 -- --
Value-Added Market................. 20,980 -- --
American Opportunities............. 328,138 $233,502 $(8,587)
Capital Opportunities.............. 18,600 176,020 11,238
Developing Growth.................. 49,248 13,161 1,970
</Table>
Included in the payable for investments purchased at June 30, 2003 for American
Opportunities is $1,159,393 for unsettled trades with Morgan Stanley &
Co., Inc., an affiliate of the Investment Manager and Distributor.
For the six months ended June 30, 2003, the following Portfolios incurred
brokerage commissions with Morgan Stanley & Co., Inc., for executed portfolio
transactions:
<Table>
<Caption>
BALANCED DIVIDEND AMERICAN CAPITAL GLOBAL DEVELOPING
GROWTH UTILITIES GROWTH GROWTH OPPORTUNITIES OPPORTUNITIES EQUITY GROWTH
- -------- --------- -------- ------ ------------- ------------- ------ ----------
$1,985 $43,191 $2,475 $632 $98,843 $1,067 $6,881 $6,973
====== ======= ====== ==== ======= ====== ====== ======
</Table>
Morgan Stanley Trust, an affiliate of the Investment Manager and Distributor, is
the Fund's transfer agent.
5. FEDERAL INCOME TAX STATUS
At December 31, 2002, the following Portfolios had an approximate net capital
loss carryover which may be used to offset future capital gains to the extent
provided by regulations:
<Table>
<Caption>
(AMOUNTS IN THOUSANDS)
------------------------------------------------
AVAILABLE THROUGH DECEMBER 31, 2006 2007 2008 2009 2010 TOTAL
- ------------------------------------ ---- ---- ------- -------- ------- --------
Flexible Income..................... $153 $941 $ 1,681 $ 2,688 $ 6,964 $ 12,427
Balanced Growth..................... -- -- 837 66 16,575 17,478
Utilities........................... -- -- -- 20,814 21,143 41,957
Dividend Growth..................... -- -- 83,533 21,046 58,750 163,329
Growth.............................. -- -- -- 15,101 16,390 31,491
American Opportunities.............. -- -- -- 209,504 73,725 283,229
Capital Opportunities............... -- -- 937 42,667 58,131 101,735
Global Equity....................... -- -- -- 6,731 2,663 9,394
Developing Growth................... -- -- -- 39,250 18,312 57,562
</Table>
110
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
Net capital and foreign currency losses incurred after October 31 ("post-October
losses") within the taxable year are deemed to arise on the first business day
of the Portfolios' next taxable year. The following Portfolios incurred and will
elect to defer post-October losses during fiscal 2002: Flexible Income --
$3,730,000; Utilities -- $265,000; Dividend Growth -- $4,523,000; Growth --
$809,000; American Opportunities -- $3,123,000; Capital Opportunities --
$14,000; Global Equity -- $1,061,000; Developing Growth -- $410,000.
At December 31, 2002, the primary reason(s) for significant temporary book/tax
differences were as follows:
<Table>
<Caption>
TEMPORARY DIFFERENCES
-------------------------
POST- LOSS
OCTOBER DEFERRALS FROM
LOSSES WASH SALES
--------- --------------
Flexible Income..................... -
Balanced Growth..................... -
Utilities........................... - -
Dividend Growth..................... - -
Value-Added Market.................. -
Growth.............................. - -
American Opportunities.............. - -
Capital Opportunities............... - -
Global Equity....................... - -
Developing Growth................... - -
</Table>
Additionally, Flexible Income had temporary differences attributable to interest
on bonds in default and Flexible Income, Balanced Growth and Utilities had
temporary differences attributable to book amortization of premiums/discounts on
debt securities.
6. PURPOSES OF AND RISKS RELATING TO CERTAIN FINANCIAL INSTRUMENTS
Some of the Portfolios may enter into forward contracts to facilitate settlement
of foreign currency denominated portfolio transactions or to manage foreign
currency exposure associated with foreign currency denominated securities.
Forward contracts involve elements of market risk in excess of the amounts
reflected in the Statement of Assets and Liabilities. The Portfolios bear the
risk of an unfavorable change in the foreign exchange rates underlying the
forward contracts. Risks may also arise upon entering into these contracts from
the potential inability of the counterparties to meet the terms of their
contracts.
111
<Page>
Morgan Stanley Select Dimensions Investment Series
NOTES TO FINANCIAL STATEMENTS / / JUNE 30, 2003 (UNAUDITED) CONTINUED
At June 30, 2003, Flexible Income and American Opportunities had outstanding
forward contracts.
Some of the Portfolios may purchase and sell interest rate and index futures
("futures contracts") to facilitate trading, increase or decrease the
Portfolio's market exposure, seek higher investment returns, or to seek to
protect against a decline in the value of the Portfolios securities or an
increase in prices of securities that may be purchased.
These futures contracts involve elements of market risk in excess of the amount
reflected in the Statement of Assets and Liabilities. The Portfolio bears the
risk of an unfavorable change in the value of the underlying securities.
At June 30, 2003, Flexible Income, Balanced Growth and American Opportunities
had outstanding futures contracts.
7. SUBSEQUENT EVENT
Effective July 31, 2003, The Board of Trustees of the Fund approved an amended
and restated Distribution Agreement between the Fund and the Distributor,
thereby no longer offering its shares exclusively to Hartford Life Insurance
Company or Hartford Life and Annuity Insurance Company.
112
<Page>
(This page has been intentionally left blank.)
113
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL HIGHLIGHTS
Selected ratios and per share data for a share of beneficial interest
outstanding throughout each period:
<Table>
<Caption>
NET ASSET
FOR THE YEAR VALUE NET NET REALIZED TOTAL FROM DIVIDENDS
ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT TO
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS
- ----------- --------- ------------ -------------- ---------- ------------
MONEY MARKET
CLASS X SHARES
1998.................... $ 1.00 $ 0.05 -- $ 0.05 $ (0.05)
1999.................... 1.00 0.05 -- 0.05 (0.05)
2000(a)................. 1.00 0.06* -- 0.06 (0.06)
2001.................... 1.00 0.04* -- 0.04 (0.04)
2002.................... 1.00 0.01* -- 0.01 (0.01)
2003(c)................. 1.00 0.004* -- 0.004 (0.004)
CLASS Y SHARES
2000(b)................. 1.00 0.03* -- 0.03 (0.03)
2001.................... 1.00 0.04* -- 0.04 (0.04)
2002.................... 1.00 0.01* -- 0.01 (0.01)
2003(c)................. 1.00 0.002* -- 0.002 (0.002)
FLEXIBLE INCOME
CLASS X SHARES
1998.................... 10.29 0.79 $(0.37) 0.42 (0.77)
1999.................... 9.93 0.78 (0.96) (0.18) (0.77)
2000(a)................. 8.96 0.76* (1.15) (0.39) (0.65)
2001.................... 7.83 0.56* (0.88) (0.32) (0.42)
2002.................... 6.99 0.51* 0.08 0.59 (0.35)
2003(c)................. 7.23 0.17* 0.38 0.55 (0.20)
CLASS Y SHARES
2000(b)................. 8.58 0.33* (0.73) (0.40) (0.33)
2001.................... 7.81 0.52* (0.86) (0.34) (0.41)
2002.................... 6.97 0.48* 0.10 0.58 (0.33)
2003(c)................. 7.22 0.16* 0.37 0.53 (0.19)
BALANCED GROWTH
CLASS X SHARES
1998.................... 15.03 0.44 1.68 2.12 (0.43)
1999.................... 16.38 0.48 0.15 0.63 (0.48)
2000(a)................. 14.63 0.47* 0.42 0.89 (0.51)
2001.................... 14.90 0.44* (0.28) 0.16 (0.44)
2002.................... 14.62 0.36* (2.02) (1.66) (0.38)
2003(c)................. 12.58 0.14* 0.92 1.06 (0.17)
CLASS Y SHARES
2000(b)................. 13.67 0.18* 1.25 1.43 (0.22)
2001.................... 14.88 0.39* (0.27) 0.12 (0.41)
2002.................... 14.59 0.32* (2.01) (1.69) (0.34)
2003(c)................. 12.56 0.13* 0.91 1.04 (0.16)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
114
<Page>
<Table>
<Caption>
RATIOS TO AVERAGE
NET ASSETS
TOTAL NET ASSET NET ASSETS ---------------------
FOR THE YEAR DISTRIBUTIONS DIVIDENDS VALUE END OF NET PORTFOLIO
ENDED TO AND END OF TOTAL PERIOD INVESTMENT TURNOVER
DECEMBER 31 SHAREHOLDERS DISTRIBUTIONS PERIOD RETURN+ (000'S) EXPENSES INCOME RATE
- ----------- ------------- ------------- --------- ------- ---------- -------- ---------- ---------
MONEY MARKET
CLASS X SHARES
1998.................... -- $ (0.05) $ 1.00 5.16% $120,185 0.55% 5.02% N/A
1999.................... -- (0.05) 1.00 4.78 135,675 0.54 4.67 N/A
2000(a)................. -- (0.06) 1.00 5.98 118,274 0.55 5.80 N/A
2001.................... -- (0.04) 1.00 3.88 175,957 0.52 3.63 N/A
2002.................... -- (0.01) 1.00 1.34 152,479 0.52 1.34 N/A
2003(c)................. -- (0.004) 1.00 0.38(1) 124,187 0.53(2) 0.76(2) N/A
CLASS Y SHARES
2000(b)................. -- (0.03) 1.00 2.58(1) 2,673 0.80(2) 5.55(2) N/A
2001.................... -- (0.04) 1.00 3.62 31,189 0.77 3.38 N/A
2002.................... -- (0.01) 1.00 1.09 41,006 0.77 1.09 N/A
2003(c)................. -- (0.002) 1.00 0.25(1) 43,845 0.78(2) 0.51(2) N/A
FLEXIBLE INCOME
CLASS X SHARES
1998.................... $(0.01) (0.78) 9.93 4.22 93,991 0.49 7.92 111%
1999.................... (0.02)++ (0.79) 8.96 (1.83) 86,270 0.48 8.31 69
2000(a)................. (0.09)++ (0.74) 7.83 (4.74) 69,443 0.47 8.92 33
2001.................... (0.10)++ (0.52) 6.99 (4.06) 56,745 0.49 7.48 114
2002.................... -- (0.35) 7.23 8.67 54,669 0.50 7.26 115
2003(c)................. 0.00 (0.20) 7.58 7.66(1) 55,494 0.52(2) 4.49(2) 127(1)
CLASS Y SHARES
2000(b)................. (0.04)++ (0.37) 7.81 (4.68)(1) 602 0.72(2) 9.23(2) 33
2001.................... (0.09)++ (0.50) 6.97 (4.41) 3,859 0.74 7.23 114
2002.................... -- (0.33) 7.22 8.59 14,626 0.75 7.01 115
2003(c)................. 0.00 (0.19) 7.56 7.40(1) 20,140 0.77(2) 4.24(2) 127(1)
BALANCED GROWTH
CLASS X SHARES
1998.................... (0.34) (0.77) 16.38 14.41 107,852 0.71 2.87 93
1999.................... (1.90) (2.38) 14.63 3.52 128,299 0.64 3.10 37
2000(a)................. (0.11) (0.62) 14.90 6.37 120,911 0.64 3.29 39
2001.................... -- (0.44) 14.62 1.21 116,002 0.64 2.95 71
2002.................... -- (0.38) 12.58 (11.49) 84,846 0.66 2.58 161
2003(c)................. -- (0.17) 13.47 8.50(1) 81,856 0.67(2) 2.28(2) 60(1)
CLASS Y SHARES
2000(b)................. -- (0.22) 14.88 10.55(1) 1,455 0.86(2) 2.90(2) 39
2001.................... -- (0.41) 14.59 0.86 8,463 0.89 2.70 71
2002.................... -- (0.34) 12.56 (11.66) 12,327 0.91 2.33 161
2003(c)................. -- (0.16) 13.44 8.31(1) 16,313 0.92(2) 2.03(2) 60(1)
</Table>
115
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
NET ASSET
FOR THE YEAR VALUE NET NET REALIZED TOTAL FROM DIVIDENDS
ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT TO
DECEMBER 31 OF PERIOD INCOME GAIN (LOSS) OPERATIONS SHAREHOLDERS
- ----------- --------- ------------ -------------- ---------- ------------
UTILITIES
CLASS X SHARES
1998.................... $15.84 $ 0.37 $ 3.06 $ 3.43 $ (0.37)
1999.................... 18.71 0.34 7.69 8.03 (0.34)
2000(a)................. 26.25 0.38* (0.79) (0.41) (0.40)
2001.................... 23.99 0.43* (6.45) (6.02) (0.45)
2002.................... 17.10 0.47* (3.93) (3.46) (0.48)
2003(c)................. 13.16 0.18* 1.46 1.64 (0.18)
CLASS Y SHARES
2000(b)................. 26.06 0.15* (2.04) (1.89) (0.18)
2001.................... 23.99 0.40* (6.48) (6.08) (0.40)
2002.................... 17.09 0.44* (3.93) (3.49) (0.45)
2003(c)................. 13.15 0.16* 1.47 1.63 (0.17)
DIVIDEND GROWTH
CLASS X SHARES
1998.................... 19.57 0.39 3.38 3.77 (0.39)
1999.................... 22.05 0.40 (0.10) 0.30 (0.40)
2000(a)................. 19.92 0.33* 0.05 0.38 (0.37)
2001.................... 15.85 0.27* (1.13) (0.86) (0.28)
2002.................... 14.71 0.26* (2.88) (2.62) (0.26)
2003 (c)................ 11.83 0.13* 1.21 1.34 (0.13)
CLASS Y SHARES
2000(b)................. 14.14 0.10* 1.73 1.83 (0.13)
2001.................... 15.84 0.23* (1.13) (0.90) (0.25)
2002.................... 14.69 0.23* (2.88) (2.65) (0.23)
2003(c)................. 11.81 0.12* 1.21 1.33 (0.12)
VALUE-ADDED MARKET
CLASS X SHARES
1998.................... 17.56 0.22 1.90 2.12 (0.22)
1999.................... 19.19 0.22 2.08 2.30 (0.22)
2000(a)................. 20.54 0.26* 1.95 2.21 (0.09)
2001.................... 20.75 0.22* (0.56) (0.34) (0.19)
2002.................... 19.12 0.19* (3.22) (3.03) (0.21)
2003(c)................. 15.88 0.09* 2.06 2.15 (0.21)
CLASS Y SHARES
2000(b)................. 18.74 0.09* 1.89 1.98 --
2001.................... 20.72 0.16* (0.55) (0.39) (0.18)
2002.................... 19.05 0.16* (3.22) (3.06) (0.20)
2003(c)................. 15.79 0.07* 2.05 2.12 (0.19)
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
116
<Page>
<Table>
<Caption>
RATIOS TO AVERAGE
NET ASSETS
TOTAL NET ASSET NET ASSETS ---------------------
FOR THE YEAR DISTRIBUTIONS DIVIDENDS VALUE END OF NET PORTFOLIO
ENDED TO AND END OF TOTAL PERIOD INVESTMENT TURNOVER
DECEMBER 31 SHAREHOLDERS DISTRIBUTIONS PERIOD RETURN+ (000'S) EXPENSES INCOME RATE
- ----------- ------------- ------------- --------- ------- ---------- -------- ---------- ---------
UTILITIES
CLASS X SHARES
1998.................... $(0.19) $ (0.56) $18.71 22.23% $ 85,683 0.71% 2.21% 19%
1999.................... (0.15) (0.49) 26.25 43.71 165,368 0.70 1.63 31
2000(a)................. (1.45) (1.85) 23.99 (1.91) 196,489 0.69 1.43 32
2001.................... (0.42) (0.87) 17.10 (25.51) 118,964 0.69 2.15 49
2002.................... -- (0.48) 13.16 (20.37) 66,825 0.70 3.22 77
2003(c)................. -- (0.18) 14.62 12.58(1) 66,052 0.70(2) 2.68(2) 55(1)
CLASS Y SHARES
2000(b)................. -- (0.18) 23.99 (7.26)(1) 5,494 0.95(2) 1.40(2) 32
2001.................... (0.42) (0.82) 17.09 (25.69) 12,471 0.94 1.90 49
2002.................... -- (0.45) 13.15 (20.58) 10,749 0.95 2.97 77
2003(c)................. -- (0.17) 14.61 12.46(1) 12,436 0.95(2) 2.43(2) 55(1)
DIVIDEND GROWTH
CLASS X SHARES
1998.................... (0.90) (1.29) 22.05 19.73 723,285 0.63 1.87 39
1999.................... (2.03) (2.43) 19.92 0.53 742,811 0.60 1.86 101
2000(a)................. (4.08) (4.45) 15.85 5.36 619,469 0.63 2.01 41
2001.................... -- (0.28) 14.71 (5.45) 527,738 0.62 1.79 22
2002.................... -- (0.26) 11.83 (17.92) 341,673 0.64 1.89 22
2003 (c)................ -- (0.13) 13.04 11.44(1) 338,017 0.66(2) 2.18(2) 18(1)
CLASS Y SHARES
2000(b)................. -- (0.13) 15.84 13.02(1) 2,780 0.88(2) 1.45(2) 41
2001.................... -- (0.25) 14.69 (5.71) 22,602 0.87 1.54 22
2002.................... -- (0.23) 11.81 (18.15) 29,318 0.89 1.64 22
2003(c)................. -- (0.12) 13.02 11.33(1) 40,488 0.91(2) 1.93(2) 18(1)
VALUE-ADDED MARKET
CLASS X SHARES
1998.................... (0.27) (0.49) 19.19 12.19 174,824 0.55 1.20 14
1999.................... (0.73) (0.95) 20.54 12.15 189,708 0.55 1.11 21
2000(a)................. (1.91) (2.00) 20.75 11.98 186,887 0.54 1.31 8
2001.................... (1.10) (1.29) 19.12 (1.83) 181,881 0.54 1.12 6
2002.................... -- (0.21) 15.88 (15.97) 121,065 0.54 1.09 8
2003(c)................. (0.32) (0.53) 17.50 13.58(1) 125,898 0.55(2) 1.16(2) 17(1)
CLASS Y SHARES
2000(b)................. -- -- 20.72 10.57(1) 890 0.78(2) 1.02(2) 8
2001.................... (1.10) (1.28) 19.05 (2.04) 10,985 0.79 0.87 6
2002.................... -- (0.20) 15.79 (16.21) 18,843 0.79 0.84 8
2003(c)................. (0.32) (0.51) 17.40 13.46(1) 29,549 0.80(2) 0.91(2) 17(1)
</Table>
117
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
NET ASSET
FOR THE YEAR VALUE NET NET REALIZED TOTAL FROM DIVIDENDS
ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT TO
DECEMBER 31 OF PERIOD INCOME (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS
- ----------- --------- ------------- -------------- ---------- ------------
GROWTH
CLASS X SHARES
1998.................... $16.56 $ 0.00 $ 2.16 $ 2.16 --
1999.................... 18.23 (0.02) 6.65 6.63 --
2000(a)................. 23.27 (0.02)* (2.47) (2.49) --
2001.................... 19.42 (0.01)* (2.90) (2.91) --
2002.................... 15.48 0.01* (4.32) (4.31) --
2003(c)................. 11.17 0.01* 1.39 1.40 $ (0.01)
CLASS Y SHARES
2000(b)................. 23.90 (0.03)* (4.47) (4.50) --
2001.................... 19.40 (0.05)* (2.90) (2.95) --
2002.................... 15.42 (0.02)* (4.30) (4.32) --
2003(c)................. 11.10 0.00* 1.38 1.38 --
AMERICAN OPPORTUNITIES
CLASS X SHARES
1998.................... 19.69 0.13 5.57 5.70 (0.14)
1999.................... 23.31 0.08 11.76 11.84 (0.07)
2000(a)................. 32.60 0.05* (1.39) (1.34) --
2001.................... 28.57 0.09* (7.97) (7.88) (0.05)
2002.................... 14.99 0.04* (3.26) (3.22) (0.09)
2003(c)................. 11.68 0.02* 0.84 0.86 (0.05)
CLASS Y SHARES
2000(b)................. 29.89 0.05* (1.39) (1.34) --
2001.................... 28.55 0.03* (7.95) (7.92) (0.05)
2002.................... 14.93 0.01* (3.25) (3.24) (0.06)
2003(c)................. 11.63 0.00* 0.83 0.83 (0.02)
CAPITAL OPPORTUNITIES
CLASS X SHARES
1998.................... 11.40 0.06 0.57 0.63 (0.07)
1999.................... 11.86 0.06 10.81 10.87 (0.06)
2000(a)................. 22.66 (0.09)* (5.64) (5.73) --
2001.................... 15.38 (0.07)* (5.52) (5.59) --
2002.................... 9.79 (0.05)* (4.24) (4.29) --
2003(c)................. 5.50 (0.02)* 0.99 0.97 --
CLASS Y SHARES
2000(b)................. 24.41 (0.05)* (8.99) (9.04) --
2001.................... 15.37 (0.09)* (5.53) (5.62) --
2002.................... 9.75 (0.07)* (4.22) (4.29) --
2003(c)................. 5.46 (0.02)* 0.98 0.96 --
</Table>
SEE NOTES TO FINANCIAL STATEMENTS
118
<Page>
<Table>
<Caption>
RATIOS TO AVERAGE
NET ASSETS
TOTAL NET ASSET NET ASSETS ------------------------
FOR THE YEAR DISTRIBUTIONS DIVIDENDS VALUE END OF NET PORTFOLIO
ENDED TO AND END OF TOTAL PERIOD INVESTMENT TURNOVER
DECEMBER 31 SHAREHOLDERS DISTRIBUTIONS PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) RATE
- ----------- ------------- ------------- --------- ------- ---------- -------- ------------- ---------
GROWTH
CLASS X SHARES
1998.................... $(0.49) $ (0.49) $18.23 13.22% $ 53,504 1.06% 0.01% 223%
1999.................... (1.59) (1.59) 23.27 39.10 96,699 0.90 (0.11) 88
2000(a)................. (1.36) (1.36) 19.42 (11.68) 132,909 0.88 (0.10) 68
2001.................... (1.03) (1.03) 15.48 (15.23) 80,096 0.86 (0.04) 81
2002.................... -- -- 11.17 (27.84) 39,834 0.91 0.08 135
2003(c)................. -- (0.01) 12.56 12.57(1) 38,866 0.98(2) 0.25(2) 72(1)
CLASS Y SHARES
2000(b)................. -- -- 19.40 (18.83)(1) 2,536 1.14(2) (0.34)(2) 68
2001.................... (1.03) (1.03) 15.42 (15.46) 4,383 1.11 (0.29) 81
2002.................... -- -- 11.10 (28.02) 3,520 1.16 (0.17) 135
2003(c)................. -- 0.00 12.48 12.43(1) 4,997 1.23(2) 0.00(2) 72(1)
AMERICAN OPPORTUNITIES
CLASS X SHARES
1998.................... (1.94) (2.08) 23.31 30.78 371,633 0.66 0.62 325
1999.................... (2.48) (2.55) 32.60 55.81 768,751 0.66 0.29 360
2000(a)................. (2.69) (2.69) 28.57 (4.42) 832,971 0.64 0.17 426
2001.................... (5.65) (5.70) 14.99 (29.47) 463,012 0.65 0.46 393
2002.................... -- (0.09) 11.68 (21.56) 274,710 0.66 0.27 309
2003(c)................. -- (0.05) 12.49 7.34(1) 257,548 0.67(2) 0.31(2) 131(1)
CLASS Y SHARES
2000(b)................. -- -- 28.55 (4.48)(1) 13,930 0.88(2) 0.40(2) 426
2001.................... (5.65) (5.70) 14.93 (29.67) 30,768 0.90 0.21 393
2002.................... -- (0.06) 11.63 (21.73) 30,035 0.91 0.02 309
2003(c)................. -- (0.02) 12.44 7.16(1) 38,859 0.92(2) 0.06(2) 131(1)
CAPITAL OPPORTUNITIES
CLASS X SHARES
1998.................... (0.10) (0.17) 11.86 5.67 28,198 -- (3) 0.58(3) 323
1999.................... (0.01) (0.07) 22.66 92.10 84,949 0.20(3) 0.37(3) 318
2000(a)................. (1.55) (1.55) 15.38 (27.56) 116,991 0.79 (0.41) 21
2001.................... -- -- 9.79 (36.39) 55,488 0.80 (0.63) 16
2002.................... -- -- 5.50 (43.82) 22,097 0.90 (0.71) 103
2003(c)................. -- -- 6.47 17.64(1) 22,118 0.87(2) (0.55)(2) 68(1)
CLASS Y SHARES
2000(b)................. -- -- 15.37 (36.83)(1) 4,895 1.02(2) (0.62)(2) 21
2001.................... -- -- 9.75 (36.56) 11,410 1.05 (0.88) 16
2002.................... -- -- 5.46 (44.00) 6,537 1.15 (0.96) 103
2003(c)................. -- -- 6.42 17.58(1) 8,512 1.12(2) (0.80)(2) 68(1)
</Table>
119
<Page>
Morgan Stanley Select Dimensions Investment Series
FINANCIAL HIGHLIGHTS CONTINUED
<Table>
<Caption>
NET ASSET
FOR THE YEAR VALUE NET NET REALIZED TOTAL FROM DIVIDENDS
ENDED BEGINNING INVESTMENT AND UNREALIZED INVESTMENT TO
DECEMBER 31 OF PERIOD INCOME (LOSS) GAIN (LOSS) OPERATIONS SHAREHOLDERS
- ----------- --------- ------------- -------------- ---------- ------------
GLOBAL EQUITY
CLASS X SHARES
1998.................... $12.97 $ 0.14 $ 1.81 $ 1.95 $ (0.18)
1999.................... 14.69 0.06 4.94 5.00 (0.06)
2000(a)................. 19.63 0.13* (1.19) (1.06) (0.06)
2001.................... 17.26 0.04* (2.88) (2.84) (0.11)
2002.................... 12.79 0.04* (2.26) (2.22) (0.01)
2003(c)................. 10.56 0.04* 1.45 1.49 (0.05)
CLASS Y SHARES
2000(b)................. 18.85 0.00* (1.61) (1.61) --
2001.................... 17.24 (0.01)* (2.86) (2.87) (0.10)
2002.................... 12.75 0.01* (2.26) (2.25) --
2003(c)................. 10.50 0.03* 1.44 1.47 (0.02)
DEVELOPING GROWTH
CLASS X SHARES
1998.................... 19.16 0.03 1.69 1.72 (0.04)
1999.................... 20.81 0.01 19.23 19.24 (0.01)
2000(a)................. 40.04 0.22* (7.89) (7.67) --
2001.................... 25.93 (0.01)* (6.25) (6.26) (0.22)
2002.................... 16.01 (0.03)* (4.41) (4.44) --
2003(c)................. 11.57 (0.00)* 2.00 2.00 --
CLASS Y SHARES
2000(b)................. 29.79 0.09* (3.98) (3.89) --
2001.................... 25.90 (0.05)* (6.25) (6.30) (0.21)
2002.................... 15.95 (0.06)* (4.40) (4.46) --
2003(c)................. 11.49 (0.02)* 2.00 1.98 --
</Table>
- ----------------------------
(a) PRIOR TO JULY 24, 2000, THE FUND ISSUED ONE CLASS OF SHARES. ALL SHARES
OF THE FUND HELD PRIOR TO MAY 1, 2000 HAVE BEEN DESIGNATED CLASS X
SHARES.
(b) FOR THE PERIOD JULY 24, 2000 (ISSUED DATE) THROUGH DECEMBER 31, 2000.
(c) FOR THE SIX MONTHS ENDED JUNE 30, 2003.
* THE PER SHARE AMOUNTS WERE COMPUTED USING AN AVERAGE NUMBER OF SHARES
OUTSTANDING DURING THE PERIOD.
+ CALCULATED BASED ON THE NET ASSET VALUE AS OF THE LAST BUSINESS DAY OF
THE PERIOD.
++ DISTRIBUTION FROM PAID-IN CAPITAL.
(1) NOT ANNUALIZED.
(2) ANNUALIZED.
(3) IF THE PORTFOLIO HAD BORNE ALL EXPENSES THAT WERE ASSUMED OR WAIVED BY
THE INVESTMENT MANAGER, THE ANNUALIZED EXPENSE AND NET INVESTMENT LOSS
RATIOS WOULD HAVE BEEN 0.98% AND (0.40%), RESPECTIVELY, FOR THE YEAR
ENDED DECEMBER 31, 1998 AND 0.92% AND (0.35%), RESPECTIVELY, FOR THE YEAR
ENDED DECEMBER 31, 1999.
SEE NOTES TO FINANCIAL STATEMENTS
120
<Page>
<Table>
<Caption>
RATIOS TO AVERAGE
NET ASSETS
TOTAL NET ASSET NET ASSETS ------------------------
FOR THE YEAR DISTRIBUTIONS DIVIDENDS VALUE END OF NET PORTFOLIO
ENDED TO AND END OF TOTAL PERIOD INVESTMENT TURNOVER
DECEMBER 31 SHAREHOLDERS DISTRIBUTIONS PERIOD RETURN+ (000'S) EXPENSES INCOME (LOSS) RATE
- ----------- ------------- ------------- --------- ------- ---------- -------- ------------- ---------
GLOBAL EQUITY
CLASS X SHARES
1998.................... $(0.05) $ (0.23) $14.69 15.11% $125,522 1.10% 1.01% 80%
1999.................... -- (0.06) 19.63 34.14 173,743 1.08 0.36 79
2000(a)................. (1.25) (1.31) 17.26 (5.93) 171,523 1.06 0.68 68
2001.................... (1.52) (1.63) 12.79 (17.22) 118,747 1.07 0.29 89
2002.................... -- (0.01) 10.56 (17.37) 75,611 1.08 0.35 44
2003(c)................. -- (0.05) 12.00 14.08(1) 76,667 1.08(2) 0.81(2) 15(1)
CLASS Y SHARES
2000(b)................. -- -- 17.24 (8.54)(1) 883 1.29(2) 0.02(2) 68
2001.................... (1.52) (1.62) 12.75 (17.38) 3,825 1.32 0.04 89
2002.................... -- -- 10.50 (17.57) 3,951 1.33 0.10 44
2003(c)................. -- (0.02) 11.95 13.93(1) 5,107 1.33(2) 0.56(2) 15(1)
DEVELOPING GROWTH
CLASS X SHARES
1998.................... (0.03) (0.07) 20.81 9.04 81,625 0.59 0.19 193
1999.................... -- (0.01) 40.04 92.52 160,595 0.58 0.06 178
2000(a)................. (6.44) (6.44) 25.93 (21.61) 142,640 0.56 0.66 207
2001.................... (3.44) (3.66) 16.01 (25.49) 85,513 0.59 (0.05) 196
2002.................... -- -- 11.57 (27.73) 45,892 0.61 (0.26) 251
2003(c)................. -- -- 13.57 17.29(1) 48,010 0.62(2) (0.07)(2) 118(1)
CLASS Y SHARES
2000(b)................. -- -- 25.90 (13.06)(1) 1,716 0.83(2) 0.74(2) 207
2001.................... (3.44) (3.65) 15.95 (25.67) 2,973 0.84 (0.30) 196
2002.................... -- -- 11.49 (27.96) 2,602 0.86 (0.51) 251
2003(c)................. -- -- 13.47 17.23(1) 4,199 0.87(2) (0.32)(2) 118(1)
</Table>
121
<Page>
Trustees
------------------------------------------------------------
Michael Bozic Dr. Manuel H. Johnson
Charles A. Fiumefreddo Joseph J. Kearns
Edwin J. Garn Michael E. Nugent
Wayne E. Hedien Philip J. Purcell
James F. Higgins Fergus Reid
Officers
------------------------------------------------------------
Charles A. Fiumefreddo
CHAIRMAN OF THE BOARD
Mitchell M. Merin
PRESIDENT
Ronald E. Robison
EXECUTIVE VICE PRESIDENT AND PRINCIPAL EXECUTIVE OFFICER
Barry Fink
VICE PRESIDENT AND GENERAL COUNSEL
Joseph J. McAlinden
VICE PRESIDENT
Stefanie V. Chang
VICE PRESIDENT
Francis Smith
TREASURER AND CHIEF FINANCIAL OFFICER
Thomas F. Caloia
VICE PRESIDENT
Mary E. Mullin
SECRETARY
Transfer Agent
------------------------------------------------
Morgan Stanley Trust
Harborside Financial Center--Plaza Two
Jersey City, New Jersey 07311
Independent Auditors
------------------------------------------------
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281
Investment Manager
------------------------------------------------
Morgan Stanley Investment Advisors Inc.
1221 Avenue of the Americas
New York, New York 10020
Sub-Advisor
------------------------------------------------
Growth Portfolio
--------------
Morgan Stanley Investment Management Inc.
1221 Avenue of the Americas
New York, New York 10020
The financial statements included herein have been taken from the records of the
Fund without examination by the independent auditors and accordingly they do not
express an opinion thereon.
This report is submitted for the general information of shareholders of the
Fund. For more detailed information about the Fund, its fees and expenses and
other pertinent information, please read its Prospectus. The Fund's Statement of
Additional Information contains additional information about the Fund, including
its trustees. It is available without charge, by calling (800) 869-NEWS.
This report is not authorized for distribution to prospective investors in the
Fund unless preceded or accompanied by an effective Prospectus. Read the
Prospectus carefully before investing.
Investments and services offered through Morgan Stanley DW Inc., member SIPC.
Morgan Stanley Funds are distributed by Morgan Stanley Distributors Inc.
Morgan Stanley Distributors Inc., member NASD.
<Page>
#40474
<Page>
Item 9 - Controls and Procedures
The Fund's principal executive officer and principal financial officer have
concluded that the Fund's disclosure controls and procedures are sufficient to
ensure that information required to be disclosed by the Fund in this Form N-CSR
was recorded, processed, summarized and reported within the time periods
specified in the Securities and Exchange Commission's rules and forms, based
upon such officers' evaluation of these controls and procedures as of a date
within 90 days of the filing date of the report.
There were no significant changes or corrective actions with regard to
significant deficiencies or material weaknesses in the Fund's internal controls
or in other factors that could significantly affect the Fund's internal controls
subsequent to the date of their evaluation.
<Page>
Item 10b Exhibits
A separate certification for each principal executive officer and principal
financial officer of the registrant are attached hereto as part of EX-99.CERT.
Items 2 - 8 and Item 10a are not applicable
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, the registrant has duly caused this report to be
signed on its behalf by the undersigned, thereunto duly authorized.
Morgan Stanley Select Dimensions Investment Series
Ronald E. Robison
Principal Executive Officer
August 19, 2003
Pursuant to the requirements of the Securities Exchange Act of 1934 and the
Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Ronald E. Robison
Principal Executive Officer
August 19, 2003
Francis Smith
Principal Financial Officer
August 19, 2003
2