DIVERSIFIED INVESTORS
STRATEGIC
ALLOCATION FUNDS
1996 SEMI-ANNUAL REPORT
AGGRESSIVE
STRATEGIC ALLOCATION FUND
MODERATE
STRATEGIC ALLOCATION FUND
CONSERVATIVE
STRATEGIC ALLOCATION FUND
[DIVERSIFIED INVESTMENT
ADVISORS LOGO]
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
STRATEGIC ALLOCATION STRATEGIC ALLOCATION STRATEGIC ALLOCATION
FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
ASSETS:
Investments at value (cost, $34,436,
$34,438 and $34,436 respectively)
(Note 2)............................... $ 34,876 $ 34,592 $ 34,172
-------- -------- --------
Net Assets............................... $ 34,876 $ 34,592 $ 34,172
-------- -------- --------
-------- -------- --------
Net assets consist of:
Paid-in Capital...................... $ 34,446 $ 34,447 $ 34,447
Undistributed net investment
income................................... -- -- --
Accumulated net realized (loss)...... (10) (9) (11)
Net unrealized appreciation
(depreciation) on investments............ 440 154 (264)
-------- -------- --------
Net assets....................... $ 34,876 $ 34,592 $ 34,172
-------- -------- --------
-------- -------- --------
Outstanding shares of capital stock of
$.00001 par value per share, unlimited
number of shares of beneficial interest
authorized............................... 3,445 3,445 3,445
-------- -------- --------
-------- -------- --------
Net asset value per share................ $10.12 $10.04 $9.92
</TABLE>
See notes to financial statements.
1
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 1996*
(UNAUDITED)
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
STRATEGIC ALLOCATION STRATEGIC ALLOCATION STRATEGIC ALLOCATION
FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
Net investment income (Note 2)........... $-- $-- $--
----- ------ ------
Realized and unrealized gains (losses) on
investments:
Net realized losses on investments... (10) (9) (11)
Net increase (decrease) in unrealized
appreciation on investments.............. 440 154 (264)
----- ------ ------
Net realized and unrealized gains
(losses) on investments.................. 430 145 (275)
----- ------ ------
Net increase (decrease) in net assets
resulting from operations................ $430 $ 145 $ (275)
----- ------ ------
----- ------ ------
</TABLE>
- ------------
* April 18, 1996, Commencement of Operations
See notes to financial statements.
2
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIOD ENDED JUNE 30, 1996*
(UNAUDITED)
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
STRATEGIC ALLOCATION STRATEGIC ALLOCATION STRATEGIC ALLOCATION
FUND FUND FUND
-------------------- -------------------- --------------------
<S> <C> <C> <C>
From operations:
Net investment income................ $ -- $ -- $ --
Net realized losses on investments... (10) (9) (11)
Net increase (decrease) in unrealized
appreciation on investments.............. 440 154 (264)
-------- -------- --------
Net increase (decrease) in net assets
resulting from operations................ 430 145 (275)
-------- -------- --------
From unit transactions:
Proceeds from issuance of shares..... 34,446 34,447 34,447
Value of shares redeemed............. -- -- --
-------- -------- --------
Net increase in net assets from
capital share transactions......... 34,446 34,447 34,447
-------- -------- --------
Total increase in net assets............. 34,876 34,592 34,172
Net assets:
Beginning of period.................. -- -- --
-------- -------- --------
End of period........................ $ 34,876 $ 34,592 $ 34,172
-------- -------- --------
-------- -------- --------
Shares outstanding beginning of period... -- -- --
Shares issued during period.............. 3,445 3,445 3,445
Shares redeemed during period............ -- -- --
-------- -------- --------
Shares outstanding end of period......... 3,445 3,445 3,445
-------- -------- --------
-------- -------- --------
</TABLE>
- ------------
* April 18, 1996, Commencement of Operations
See notes to financial statements.
3
<PAGE>
CONSERVATIVE STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ------ ------- ----------
<C> <S> <C> <C>
CAPITAL STOCK
49 Diversified Investors Funds Group--Equity Income................. $ 690
69 Diversified Investors Funds Group--Equity Value.................. 683
1,690 Diversified Investors Funds Group--Government/Corporate Bond..... 19,228
220 Diversified Investors Funds Group--Growth and Income............. 2,793
129 Diversified Investors Funds Group--High Quality Bond............. 1,389
418 Diversified Investors Funds Group--High Yield Bond............... 4,183
489 Diversified Investors Funds Group--Intermediate Government
Bond............................................................. 4,883
102 Diversified Investors Funds Group--Money Market.................. 1,027
-------
TOTAL CAPITAL STOCK.......................................... $34,876 100.00%
------- ----------
Total Investments (Cost $34,436)................................. $34,876 100.00%
Assets in excess of Liabilities.................................. -- --
------- ----------
NET ASSETS....................................................... $34,876 100.00%
------- ----------
------- ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$34,436.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.................................... $ 451
Gross unrealized depreciation.................................... (11)
-------
Net unrealized appreciation...................................... $ 440
-------
-------
</TABLE>
See notes to financial statements.
4
<PAGE>
MODERATE STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ------ ------- ----------
<C> <S> <C> <C>
CAPITAL STOCK
188 Diversified Investors Funds Group--Aggressive Equity............. $ 1,765
162 Diversified Investors Funds Group--Equity Growth................. 2,447
122 Diversified Investors Funds Group--Equity Income................. 1,708
172 Diversified Investors Funds Group--Equity Value.................. 1,695
1,127 Diversified Investors Funds Group--Government/Corporate Bond..... 12,822
382 Diversified Investors Funds Group--Growth and Income............. 4,843
96 Diversified Investors Funds Group--High Quality Bond............. 1,033
207 Diversified Investors Funds Group--High Yield Bond............... 2,073
139 Diversified Investors Funds Group--Intermediate Government
Bond............................................................. 1,384
160 Diversified Investors Funds Group--International Equity.......... 1,716
67 Diversified Investors Funds Group--Money Market.................. 674
148 Diversified Investors Funds Group--Special Equity................ 2,432
-------
TOTAL CAPITAL STOCK.......................................... $34,592 100.00%
------- ----------
Total Investments (Cost $34,438)................................. $34,592 100.00%
Assets in excess of Liabilities.................................. -- --
------- ----------
NET ASSETS....................................................... $34,592 100.00%
------- ----------
------- ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$34,438.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.................................... $ 298
Gross unrealized depreciation.................................... (144)
-------
Net unrealized appreciation...................................... $ 154
-------
-------
</TABLE>
See notes to financial statements.
5
<PAGE>
AGGRESSIVE STRATEGIC ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
PERCENT OF
SHARES VALUE NET ASSETS
- ------ ------- ----------
<C> <S> <C> <C>
CAPITAL STOCK
175 Diversified Investors Funds Group--Aggressive Equity............. $ 1,645
389 Diversified Investors Funds Group--Equity Growth................. 5,882
363 Diversified Investors Funds Group--Equity Income................. 5,077
273 Diversified Investors Funds Group--Equity Value.................. 2,685
701 Diversified Investors Funds Group--Growth and Income............. 8,902
103 Diversified Investors Funds Group--Intermediate Government
Bond............................................................. 1,027
317 Diversified Investors Funds Group--International Equity.......... 3,396
143 Diversified Investors Funds Group--Money Market.................. 1,435
250 Diversified Investors Funds Group--Special Equity................ 4,123
-------
TOTAL OF CAPITAL STOCK....................................... $34,172 100.00%
------- ----------
Total Investments (Cost $34,436)................................. $34,172 100.00%
Assets in excess of Liabilities.................................. -- --
------- ----------
NET ASSETS....................................................... $34,172 100.00%
------- ----------
------- ----------
The aggregate cost of securities for Federal Income tax purposes at June 30, 1996 is
$34,435.
The following amount is based on costs for Federal Income tax purposes:
Gross unrealized appreciation.................................... $ 17
Gross unrealized depreciation.................................... (281)
-------
Net unrealized depreciation...................................... $ (264)
-------
-------
</TABLE>
See notes to financial statements.
6
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS
1. ORGANIZATION
The Diversified Investors Strategic Allocation Funds (the "Trust"), a
Massachusetts business trust, is registered under the Investment Company Act of
1940 (the "1940 Act"), as amended, as an open-end management investment company.
The Trust is composed of three different series that are, in effect, separate
investment funds: Conservative Strategic Allocation Fund, Moderate Strategic
Allocation Fund, and the Aggressive Strategic Allocation Fund (collectively, the
"Funds"). The Trust established and designated each of the Funds as separate
series on May 10, 1996. Each Fund seeks to achieve its investment objective by
allocating its assets among Underlying Diversified Investors Funds Group (the
"Funds Group"). The Funds Group is an open-end management investment company
registered under the 1940 Act.
2. Significant Accounting Policies
The following is a summary of significant accounting policies consistently
followed by the Funds in the preparation of its financial statements. The
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATION:
The value of any Fund's investment in a corresponding fund of the Funds
Group reflects that Fund's proportional interest in the net assets of the
corresponding series of the Funds Group.
B. INVESTMENT INCOME:
Each Fund earns income, net of expenses, daily on its investment in a
corresponding fund of the Funds Group. All of the net investment income and
realized and unrealized gains and losses from the security transactions of the
Fund Group are allocated pro rata among the investors at the time of such
determination.
C. ORGANIZATION EXPENSES:
Costs incurred by the Funds in connection with their organization and
initial registration were borne by Diversified Investment Advisors, Inc. (the
"Advisor").
D. DIVIDENDS AND DISTRIBUTION:
Dividends and distributions to shareholders are recorded on the ex-dividend
date. Dividends from net investment income and distributions from net realized
capital gains will normally be declared annually and reinvested in additional
full and fractional shares.
Dividends and distributions are determined in accordance with U.S. federal
income tax regulations which may differ from generally accepted accounting
principles.
E. FEDERAL INCOME TAXES:
Each Fund is a separate entity for federal income tax purposes and intends
to comply with the requirements of the Internal Revenue Code applicable to
regulated investment companies and to distribute all of its taxable income to
shareholders. Therefore, no federal income tax provision is required.
7
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
F. OPERATING EXPENSES:
The Trust accounts separately for the assets, liabilities and operations of
each Fund. Expenses directly attributable to a Fund are charged to that Fund,
while expenses attributable to all Funds are allocated among them.
G. OTHER:
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of revenues and
expenses during the reporting period. Actual results could differ from those
estimates.
3. FEES AND TRANSACTIONS WITH AFFILIATES
The Trust has entered into an Administrative Services Agreement with the
Advisor, an indirect, wholly-owned subsidiary of AEGON USA, Inc., under which
the Advisor provides administration, transfer agency and shareholder services.
For providing these services, facilities and for bearing the related expenses,
the Advisor receives a monthly fee from each Fund at an annual rate equal to
0.20% of the average daily net assets of each Fund during the month.
Each of the Funds are subject to such limitations as may from time to time
be imposed by the Blue Sky Laws of states in which each of the Funds sells it
shares. Currently, the most restrictive jurisdiction imposes expense limitations
of 2.5% of the first $30,000,000 of the average daily net assets, 2.0% of the
next $70,000,000, and 1.5% of any excess over $100,000,000.
Certain trustees and officers of the Trust are also directors, officers or
employees of the Advisor or its affiliates. None of the trustees so affiliated
receive compensation for services as trustees of the Trust. Similarly, none of
the Trust's officers receive compensation from the Funds.
4. PURCHASE AND SALES OF INVESTMENTS
The aggregate cost of investments purchased and proceeds from the sales or
maturities for the period ended June 30, 1996 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- ----------
<S> <C> <C> <C>
Conservative Strategic Allocation............................... Other $70,572 $ 36,126
Moderate Strategic Allocation................................... Other 73,293 38,847
Agressive Strategic Allocation.................................. Other 73,921 39,474
</TABLE>
8
<PAGE>
DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
NOTES TO FINANCIAL STATEMENTS--(CONT'D)
5. FINANCIAL HIGHLIGHTS
For one share outstanding throughout the period:
<TABLE>
<CAPTION>
CONSERVATIVE MODERATE AGGRESSIVE
STRATEGIC STRATEGIC STRATEGIC
ALLOCATION ALLOCATION ALLOCATION
------------ ---------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period......................... $ 10.00 $ 10.00 $ 10.00
------------ ---------- ----------
Income from investment operations:
Net investment income (loss)................................. -- -- --
Net gains (losses) on investment
(both realized and unrealized)............................. 0.12 0.04 (0.08)
------------ ---------- ----------
Total increase (decrease)
from investment operations................................. .12 .04 (.08)
------------ ---------- ----------
Net asset value, end of period............................... $ 10.12 $ 10.04 $ 9.92
------------ ---------- ----------
------------ ---------- ----------
Ratio/supplemental date:
Net assets end of period................................... $ 34,876 $ 34,592 $ 34,172
------------ ---------- ----------
------------ ---------- ----------
<CAPTION>
No income or expenses were incurred for the period ended June 30, 1996; therefore, ratios of income and
expenses to average net assets were not provided.
</TABLE>
- ------------
* April 18, 1996, Commencement of Operations
9
<PAGE>
THE DIVERSIFIED INVESTORS STRATEGIC ALLOCATION FUNDS
4 Manhattanville Road, Purchase, New York 10577
(917) 697-8000
