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CCP 10-31-1994
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CCP 10-31-1994
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<br /> Portfolio Composition INSTITUTIONAL <br /> As a percentage of total assets GOVERNMENT INCOME <br /> u,s. Agency <br /> .verse Floaters 21 % PORTFOLIO <br /> u.s. Agency <br /> Inverse Interest-Only 7% RE"'-'\ ' <br /> U.S. Agency Lt:l t=D <br /> Z-bonds 15% September 30, 1994 <br /> U.S. Agency OCT 21 1994 <br /> Interest-Only 1 % Ci1Y OF ARDEN HILLS <br /> u.s. Agency Institutional Government Income Portfolio's investment objective is a <br /> Mortgage-Backed 8% high level of current income consistent with preservation of capital. <br /> u.s. Agency <br /> Principal-Only 16% <br /> Short-Term 2% Portfolio Commentary <br /> u.s. Treasury 30% I July and August presented an improved fixed income market and <br /> illustrated the recovery capability of the fund. Total return in July was <br /> Net Assets vs Total Assets +2.86% compared to the Merrill Lynch 3- to 5.Year Index of +1.36%. <br /> August'S total rerurns were +0.77% and +0.30%, tespectively. The bond <br /> market was down sharply in September however, which resulted in the <br /> $625,169,757 fund recotding a -0.3 7% return for the q uaner with the index ending <br /> slightly higher at +0.61 %. (Total teturns do not include the fund's sales <br /> charge and assume reinvested dividends.) Quartet-end clearing of <br /> invenrory by firms dealing in mottgage-backed derivative securities, and <br /> few buyers willing to take on excess inventory at the end of the quarrer <br /> . forced down the market values of these securities. <br /> Net Assets Total Assets We conrinue to implemenr the following portfolio strategy: <br /> The difference between the fund's total assets and net 1. Rebalancing the portfolio. We continue to emphasize shorr-rerm <br /> assets ref/ects the sale-forward (dollar-roil) program. Treasury securities and de-emphasize the purchase of securities through <br /> Through this program, the fund commits to buy <br /> mortgage-backed securities in the future at today's the sale-forward (dollat-roll) program. These steps should help teduce <br /> price. In return, the fund eams a fee. The value of fluctuations in the fund's net asset value, although fluctuation is likely to <br /> securities the fund has committed to buy must be <br /> reflected in the fund's net asset value at the time of continue. These steps will also reduce the earnings of the fund. As of <br /> the commitment. The more securities purchased in the quaner end, the fund's sale-forward program was decreased to <br /> sale-forward program. the more potential there is for <br /> net asset value (NA V) volatility. approximately 8% of total assets. Also as of September 30, we had $200 <br /> million in principal value of 14, 2~, and 4-year Treasury securities, which <br /> Fund Performance had a market value of $185 million. Our long-term objective is to increase <br /> Ftmd performance calculations are through these securities to 50% of the portfolio. Furrher addition of short-term <br /> September 30, 1994, and ref/ect the reinvestment of all securities will help bring us closer to realigning the fund's average life with <br /> dividend and capital gains distributions. our three- to five-year target. In the wake of the matket developments that <br /> One-Year Total Return occurred in 1994, the fund's curtent projected volatiliry is significantly <br /> Does not reflect the fund's 1.5% sales charge. greater than its targeted range, and there can be no assurance that its <br /> Institutional Govenunent Income Portfolio.....-26.65% projected volatility will move back within its targeted range in the <br /> Merrill Lynch 3-S Year Treasury Index..........2.30% near future. <br /> Average Annual Total Returns 2. Maintaining the dividend. The fund continues to pay monrhly <br /> Reflects the fund's 1.5% sales charge. dividends at a rate of 7.5 cents per share, and we currently anticipate no <br /> ~e- Year ,....................................................27.75% changes to the dividend policy. Since its inception, the fund has paid 75 <br /> e~ Year .......................................................5.090/0 dividends of 7.5 cents per share and 51.9 cents pet share in capital gains. <br /> ince Inception (7/11/88) ...............................5.79% 3. Recovering the fund's net asset value. The fund maintains its recovery <br /> potential. Currently, 92 % of the portfolio is invested in securities that <br /> Continued on back page <br /> - <br />
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