U.S. SMALL COMPANY PORTFOLIO
PORTFOLIO OF INVESTMENTS
October 31, 1996
(expressed in U.S. dollars)
Shares Value
- ----------- -----------
COMMON STOCKS (97.7%)
BANKS (5.1%)
6,440 Deposit Guaranty Corp. ..................... $ 322,805
8,075 First Commercial Corp. ..................... 273,524
30,300 Imperial Bancorp* .......................... 581,381
12,855 Keystone Financial, Inc. ................... 332,623
7,350 Provident Bancorp, Inc. .................... 325,697
2,500 Silicon Valley Bancshares* ................. 65,781
10,161 Summit Bancorporation ...................... 415,331
8,990 Union Planters Corp. ....................... 312,402
3,380 Zions Bancorporation ....................... 306,735
---------
2,936,279
---------
COMMERCIAL SERVICES (5.0%)
24,120 Corrections Corp. of America* ................ 627,120
28,845 HA-LO Industries, Inc. ....................... 908,617
23,005 NFO Research, Inc.* .......................... 523,364
17,355 Richfood Holdings, Inc. ...................... 421,943
9,740 SunGard Data Systems, Inc.* . ................ 413,341
---------
2,894,385
---------
CONSUMER DURABLES (3.8%)
17,400 Beazer Homes USA, Inc.* ...................... 239,250
9,400 Carlisle Companies, Inc. ..................... 534,625
15,600 Centex Corp. ................................. 469,950
28,180 Continental Homes
Holding Corp. ................................ 457,925
19,040 Oakwood Homes Corp. .......................... 504,560
---------
2,206,310
---------
CONSUMER NON-DURABLES (2.8%)
14,430 Interstate Bakeries Corp. .................... 611,471
25,450 Nautica Enterprises Inc.* .................... 779,406
9,000 Universal Corp. .............................. 245,250
---------
1,636,127
---------
CONSUMER SERVICES (3.1%)
22,065 Applebee's International, Inc. ............... 536,455
11,250 Grand Casinos, Inc.* ......................... 167,344
70,000 Host Marriot Services Corp.* ................. 621,250
30,300 Ryan's Family Steak
Houses, Inc.* .............................. 219,675
22,200 Station Casinos, Inc.* ....................... 246,975
---------
1,791,699
---------
ELECTRONIC TECHNOLOGY (10.1%)
26,790 Brooktrout Technology, Inc.* ................. 874,024
15,920 Cognex Corp.* ................................ 202,980
22,700 Helix Technology Corp. ....................... 605,806
14,390 In Focus Systems, Inc.* ...................... 273,410
11,060 Integrated Device
Technology, Inc.* .......................... 90,554
38,000 Integrated Measurement
Systems, Inc.* ............................. 598,500
25,360 International Rectifier Corp.* ............... 313,830
15,820 Komag Inc.* .................................. 437,027
10,580 Maxim Integrated
Products, Inc.* ............................ 372,284
3,720 Novellus Systems, Inc.* ...................... 153,450
12,450 SCI Systems, Inc.* ........................... 618,609
18,960 Sanmina Corp.* ............................... 874,530
21,110 Thermedics, Inc.* ............................ 438,033
---------
5,853,037
---------
ENERGY MINERALS (2.6%)
54,960 Plains Resources, Inc.* ...................... 769,440
15,920 Pogo Producing Co. ........................... 706,450
---------
1,475,890
---------
FINANCE (7.8%)
10,800 Alex. Brown, Inc. ............................ 612,900
8,526 Charter One Financial, Inc. .................. 370,348
9,390 Finova Group, Inc. ........................... 579,832
28,090 First Indiana Corp. .......................... 679,427
32,200 PHH Corp. .................................... 957,950
13,810 Roosevelt Financial Group, Inc. .............. 239,086
43,376 Security Capital
Industrial Trust ........................... 786,190
7,900 TCF Financial Corp. .......................... 306,125
---------
4,531,858
---------
HEALTH SERVICES (5.2%)
15,210 Lincare Holdings, Inc.* ........................ 566,572
22,060 Omnicare, Inc. ................................. 601,135
36,360 Orthodontic Centers of
America, Inc.* ............................... 518,130
19,350 PhyCor, Inc.* .................................. 596,222
15,715 Vencor, Inc.* .................................. 465,557
9,050 Vivra, Inc.* ................................... 288,469
---------
3,036,085
---------
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
PORTFOLIO OF INVESTMENTS
October 31, 1996 (continued)
(expressed in U.S. dollars)
Shares Value
- ----------- -----------
HEALTH TECHNOLOGY (4.4%)
12,400 Hologic, Inc.* ................................. $ 284,425
14,270 Idexx Laboratories, Inc.* ...................... 558,314
7,500 Invacare Corp. ................................. 208,125
13,000 Rexall Sundown, Inc.* .......................... 351,812
14,700 Steris Corp.* .................................. 553,088
12,480 Sybron International Corp.* .................... 363,480
7,070 Watson Pharmaceuticals, Inc.* .................. 235,078
---------
2,554,322
---------
INDUSTRIAL SERVICES (6.5%)
17,500 Carbo Ceramics, Inc. ........................... 350,000
12,000 Granite Construction, Inc. ..................... 235,500
15,680 Input/Output, Inc.* ............................ 466,480
21,630 J. Ray McDermott, S.A.* ........................ 586,714
57,140 Pride Petroleum Services, Inc.* ................ 996,379
10,980 Seacor Holdings, Inc.* ......................... 592,920
8,310 Transocean Offshore, Inc. ...................... 525,607
---------
3,753,600
---------
INSURANCE (8.4%)
16,530 Allied Group, Inc. ............................. 692,194
19,750 Commerce Group, Inc. ........................... 474,000
9,800 Fahnestock Viner
Holdings, Inc. ............................... 131,075
10,605 Orion Capital Corp. ............................ 576,647
14,610 Penncorp Financial Group, Inc. ................. 505,871
63,290 Presidential Life Corp. ........................ 719,924
8,100 Protective Life Corp. .......................... 279,450
20,000 UICI* .......................................... 506,250
13,706 United Companies
Financial Corp. .............................. 409,467
34,490 US Facilities Corp. ............................ 594,952
---------
4,889,830
---------
NON-ENERGY MINERALS (5.9%)
26,660 Chaparral Steel Co. ............................ 353,245
20,620 Fibreboard Corp.* .............................. 662,417
38,800 Oregon Steel Mills, Inc. ....................... 615,950
36,090 Republic Group, Inc. ........................... 595,485
28,820 Roanoke Electric Steel Corp. ................... 392,673
18,790 Rouge Steel Co. - Class A ...................... 382,846
7,590 Texas Industries, Inc. ......................... 430,733
---------
3,433,349
---------
PROCESS INDUSTRIES (4.5%)
14,330 Chesapeake Corp. ............................... 404,822
19,950 Cytec Industries, Inc.* ........................ 713,213
6,700 Dekalb Genetics
Corp. - Class B .............................. 263,813
27,650 Mercer International, Inc. - SBI* .............. 349,081
32,000 Northland Cranberries, Inc. .................... 604,000
5,400 Springs Industries, Inc. ....................... 243,675
---------
2,578,604
---------
PRODUCER MANUFACTURING (5.8%)
13,020 AGCO Corp. ..................................... 330,382
21,200 Arvin Industries, Inc. ......................... 484,950
31,420 Global Industrial
Technologies, Inc.* .......................... 585,198
18,000 Kennametal, Inc. ............................... 612,000
15,600 Manitowoc Co., Inc. (The) ...................... 522,600
12,700 Miller (Herman), Inc. .......................... 550,863
10,000 Standard Products Co. .......................... 242,500
---------
3,328,493
---------
RETAIL TRADE (5.0%)
13,400 CompUSA, Inc.* ................................. 619,750
22,080 Eckerd Corp.* .................................. 612,720
9,690 Fastenal Co. ................................... 449,374
33,100 Pier 1 Imports, Inc. ........................... 463,400
13,300 Ross Stores, Inc. .............................. 551,119
24,540 Sunglass Hut
International, Inc.* ........................ 214,725
---------
2,911,088
---------
TECHNOLOGY SERVICES (3.6%)
9,570 American Management
Systems, Inc.* ............................... 303,847
20,600 Envoy Corp.* ................................... 762,200
13,091 Sterling Commerce, Inc.* ....................... 368,189
8,220 Sterling Software, Inc.* ....................... 267,150
14,100 Systemsoft Corp.* .............................. 394,800
---------
2,096,186
---------
TELECOMMUNICATIONS (1.6%)
11,410 Aspect Telecommunications
Corp.* ....................................... 676,043
10,040 Picturetel Corp.* .............................. 271,080
---------
947,123
---------
TRANSPORTATION (1.6%)
17,130 Comair Holdings, Inc. .......................... 342,600
11,750 Kansas City Southern
Industries, Inc. ............................. 552,250
---------
894,850
---------
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
PORTFOLIO OF INVESTMENTS
October 31, 1996 (continued)
(expressed in U.S. dollars)
Shares Value
- ----------- -----------
UTILITIES (4.9%)
24,970 Indiana Energy, Inc. ........................... $ 611,765
9,410 KN Energy, Inc. ................................ 351,699
31,110 Laclede Gas Co. ................................ 727,196
28,990 NUI Corp. ...................................... 576,176
17,900 Northwestern Public
Service Co. .................................... 597,413
-----------
2,864,249
-----------
TOTAL COMMON STOCKS
(identified cost $44,767,593)................... $56,613,364
-----------
Principal
Amount
- ----------
TIME DEPOSITS (1.2%)
$700,000 State Street Bank (Cayman)
2.75%, 11/5/96
(identified cost $700,000)...................... $ 700,000
-----------
TOTAL INVESTMENTS (identified cost $45,467,593)....... 98.9% $57,313,364
CASH AND OTHER ASSETS IN EXCESS OF LIABILITIES ....... 1.1 620,993
----- -----------
NET ASSETS ........................................... 100.0% $57,934,357
===== ===========
- ---------
* non-income producing security
(a) The aggregate cost for federal income tax purposes is $45,467,593, the
aggregate gross unrealized appreciation is $14,192,899, and the aggregate
gross unrealized depreciation is $2,347,128, resulting in net unrealized
appreciation of $11,845,771.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
October 31, 1996
(expressed in U.S. dollars)
ASSETS:
Investments in securities, at value
(identified cost $45,467,593) (Note 1) ................. $57,313,364
Cash ...................................................... 682,941
Dividends and interest receivable ......................... 39,005
Deferred organization expenses (Note 1) ................... 8,161
-----------
Total Assets ...................................... 58,043,471
-----------
LIABILITIES:
Payables for:
Investment advisory fee (Note 2) ....................... 63,306
Custodian fee .......................................... 11,615
Foreign withholding taxes .............................. 10,197
Trustees' fee (Note 2) ................................. 6,438
Administrative fee (Note 2) ............................ 3,409
Accrued expenses and other liabilities ................. 14,149
-----------
Total Liabilities ................................. 109,114
-----------
NET ASSETS ................................................... $57,934,357
===========
Net Assets Consist of:
Paid-in capital ......................................... 46,088,586
Net unrealized appreciation on investments .............. 11,845,771
-----------
Net Assets ................................................... $57,934,357
===========
See Notes to Financial Statements.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF OPERATIONS
For the year ended October 31, 1996
(expressed in U.S. dollars)
INVESTMENT INCOME:
Income:
Dividends (net of foreign withholding tax of $65,486) .. $ 473,145
Interest ............................................... 98,741
-----------
Total Income ....................................... 571,886
-----------
Expenses:
Investment advisory fee (Note 2) ....................... 360,578
Custodian fee (Note 3) ................................. 76,369
Administrative fee (Note 2) ............................ 19,416
Trustees' fees and expenses (Note 2) ................... 7,241
Amortization of organization expenses (Note 1) ......... 2,547
Miscellaneous .......................................... 33,673
-----------
Total Expenses ......................................... 499,824
Fees paid indirectly (Note 3) ...................... (72,606)
-----------
Net Expenses ....................................... 427,218
-----------
Net Investment Income .............................. 144,668
-----------
NET REALIZED AND UNREALIZED GAIN (Notes 1 and 3):
Net realized gain on investments .......................... 3,463,297
Net change in unrealized appreciation on investments ...... 4,465,593
-----------
Net Realized and Unrealized Gain ..................... 7,928,890
-----------
Net Increase in Net Assets Resulting from Operations ...... $ 8,073,558
===========
See Notes to Financial Statements.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
January 17, 1995
For the (commencement of
year ended operations) to
October 31, 1996 October 31, 1995
------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS:
Operations:
Net investment income.................................... $ 144,668 $ 110,048
Net realized gain on investments......................... 3,463,297 2,365,906
Net change in unrealized appreciation on investments..... 4,465,593 6,156,515
----------- -----------
Net increase in net assets resulting from operations .. 8,073,558 8,632,469
----------- -----------
Capital transactions:
Proceeds from contributions.............................. 4,802,410 76,125,240
Value of withdrawals..................................... (6,168,030) (33,631,390)
----------- -----------
Net (decrease) increase in net assets resulting from
capital transactions................................. (1,365,620) 42,493,850
----------- -----------
Total increase in net assets......................... 6,707,938 51,126,319
NET ASSETS:
Beginning of period.......................................... 51,226,419 100,100
----------- -----------
End of period ............................................... $57,934,357 $51,226,419
=========== ===========
</TABLE>
See Notes to Financial Statements.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
FINANCIAL HIGHLIGHTS
(expressed in U.S. dollars)
<TABLE>
<CAPTION>
For the period
January 17, 1995
For the (commencement of
year ended operations) to
October 31, 1996 October 31, 1995
---------------- ----------------
<S> <C> <C>
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) .......... $ 57,934 $ 51,226
Expenses as a percentage of average net assets:
Expenses paid by Portfolio ....................... 0.77% 0.77%*
Expenses paid by commissions** ................... 0.05% 0.05%*
Expense offset arrangements ...................... 0.08% 0.05%
---- ----
Total expenses ............................... 0.90% 0.87%*
Ratio of net investment income to
average net assets .............................. 0.26% 0.25%*
Portfolio turnover rate ............................ 51% 115%
Average commission rate paid per share ............. $ 0.08 $ 0.08
</TABLE>
- ---------
* Annualized.
** A portion of the Portfolio's securities transactions are directed to certain
unaffiliated brokers which in turn use a portion of the commissions they
receive from the Portfolio to pay other unaffiliated service providers on
behalf of the Portfolio for services provided for which the Portfolio would
otherwise be obligated to pay.
See Notes to Financial Statements.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
(expressed in U.S. dollars)
1. Organization and Significant Accounting Policies. U.S. Small Company
Portfolio (the "Portfolio") is registered under the Investment Company Act of
1940, as amended, as a diversified, open-end management investment company which
was organized as a trust under the laws of the State of New York on June 15,
1993. The Portfolio commenced operations on January 17, 1995 and received a
contribution of certain assets and liabilities, including securities, with a
value of $33,464,236 (including $1,223,663 of unrealized appreciation) on that
date from the 59 Wall Street Small Company Fund in exchange for a beneficial
interest in the Portfolio. The Declaration of Trust permits the Trustees to
create an unlimited number of beneficial interests in the Portfolio.
The Portfolio's financial statements are prepared in accordance with
accounting principles generally accepted in the United States of America, which
require management to make certain estimates and assumptions at the date of the
financial statements and are based, in part, on the following accounting
policies. Actual results could differ from those estimates.
A. Valuation of Investments. (1) The value of investments listed on a
securities exchange is based on the last price on that exchange prior to
the time when assets are valued, or in the absence of recorded sales, at
the average of readily available closing bid and asked prices on such
exchange; (2) unlisted securities are valued at the average of the quoted
bid and asked prices in the over-the-counter market; (3) securities or
other assets for which market quotations are not readily available are
valued at fair value in accordance with procedures established by and under
the general supervision and responsibility of the Trustees. Such procedures
include the use of independent pricing services, which use prices based
upon yields or prices of securities of comparable quality, coupon, maturity
and type; indications as to the value from dealers; and general market
conditions; (4) short-term investments which mature in 60 days or less are
valued at amortized cost if their original maturity was 60 days or less, or
by amortizing their value on the 61st day prior to maturity, if their
original maturity when acquired by the Portfolio was more than 60 days,
unless this is determined not to represent fair value by the Trustees.
B. Accounting for Investments. Security transactions are accounted for
on the trade date. Realized gains and losses on security transactions are
determined on the identified cost method. Dividend income and other
distributions from portfolio securities are recorded on the ex-dividend
date. Dividend income is recorded net of foreign taxes withheld where
recovery of such taxes is not assured. Interest income is accrued daily.
C. Federal Income Taxes. The Portfolio will be treated as a
partnership for federal income tax purposes. As such, each investor in the
Portfolio will be subject to taxation on its share of the Portfolio's
ordinary income and capital gains. It is intended that the Portfolio's
assets will be managed in such a way that an investor in the Portfolio will
be able to comply with the provisions of the Internal Revenue Code
applicable to regulated investment companies. Accordingly, no provision for
federal income taxes is necessary.
D. Deferred Organization Expenses. Expenses incurred by the Portfolio
in connection with its organization are being amortized on a straight-line
basis over a five-year period.
2. Transactions with Affiliates.
Investment Advisory Fee. The Portfolio has an investment advisory agreement
with Brown Brothers Harriman & Co. (the "Adviser") for which it pays the Adviser
a fee calculated daily and paid monthly at an annual rate equivalent to 0.65% of
the Portfolio`s average daily net assets. For the year ended October 31, 1996,
the Portfolio incurred $360,578 for advisory services.
<PAGE>
U.S. SMALL COMPANY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
(expressed in U.S. dollars)
Administrative Fee. The Portfolio has an administrative agreement with
Brown Brothers Harriman Trust Company (Cayman) Ltd. (the "Administrator") for
which it pays the Administrator a fee calculated daily and paid monthly at an
annual rate equivalent to 0.035% of the Portfolio's average daily net assets.
The Administrator has a subadministration agreement with Signature Financial
Group (Cayman) Ltd. for which Signature Financial Group (Cayman) Ltd. receives
such compensation as is from time to time agreed upon, but not in excess of the
amount paid to the Administrator. For the year ended October 31, 1996, the
Portfolio incurred $19,416 for administrative services.
Trustees Fee. Each Trustee of the Portfolio receives an annual retainer
paid by the Portfolio. Each Trustee is also reimbursed for out-of-pocket
expenses incurred in connection with board meetings. For the year ended October
31, 1996, the Portfolio incurred $7,241 for Trustee fees.
3. Investment Transactions. For the year ended October 31, 1996, the cost
of purchases and the proceeds of sales of investment securities other than
short-term investments were $29,652,137 and $26,895,366, respectively. For that
same period, the Portfolio paid brokerage commissions of $43,787 to Brown
Brothers Harriman & Co. for transactions executed on its behalf. Certain
expenses of the Portfolio were reduced by $27,400 as a result of the Portfolio
directing a portion of its portfolio transactions to certain unaffiliated
brokers. Additionally, custody fees for the Portfolio were further reduced by
$45,206 as a result of an expense offset arrangement with the Portfolio's
custodian.
<PAGE>
INDEPENDENT AUDITORS' REPORT
Trustees and Investors
U.S. Small Company Portfolio:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of U.S. Small Company Portfolio as of
October 31, 1996, the related statement of operations for the year then ended,
and the statement of changes in net assets and financial highlights for the year
ended October 31, 1996 and for the period January 17, 1995 (commencement of
operations) to October 31, 1995 (all expressed in U.S. dollars). These financial
statements and financial highlights are the responsibility of the Portfolio's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally
accepted in the United States of America. Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. An audit
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements. Our procedures included confirmation of
securities owned at October 31, 1996 by correspondence with the custodian. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provides a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights
present fairly, in all material respects, the financial position of U.S. Small
Company Portfolio at October 31, 1996, and the results of its operations, the
changes in its net assets, and its financial highlights for the respective
stated periods in conformity with accounting principles generally accepted in
the United States of America.
DELOITTE & TOUCHE
Grand Cayman, Cayman Islands
December 17, 1996
