<PAGE>
ASSET ALLOCATION PORTFOLIO 200
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.2%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Praxair ................................ 800 $ 33,800
Sigma Aldrich .......................... 700 37,425
----------
71,225
----------
CAPITAL GOODS - 0.7%
Fluor Corp. ............................ 500 32,688
Emerson Electric Co. ................... 400 36,150
General Electric Co. ................... 400 34,600
----------
103,438
----------
CONSUMER BASICS - 2.3%
Cardinal Health Inc. ................... 500 36,063
Coca Cola Co. .......................... 700 34,213
Colgate Palmolive Co. .................. 400 33,900
Gillette Co. ........................... 600 37,406
Hannaford Brothers Co. ................. 700 22,838
Health Management Association* ......... 1,100 22,343
Johnson & Johnson ...................... 700 34,650
Manor Care Inc. ........................ 900 35,468
Pfizer Inc. ............................ 200 14,275
Procter & Gamble Co. ................... 400 36,250
Schering Plough Corp. .................. 300 18,825
Sysco Corp. ............................ 1,000 34,256
----------
360,487
----------
CONSUMER DURABLE GOODS - 0.3%
Federal Signal Corp. ................... 1,400 32,900
Harley Davidson Inc. ................... 500 20,563
----------
53,463
----------
CONSUMER NON-DURABLES - 1.1%
Autozone Inc.* ......................... 700 24,368
Home Depot Inc. ........................ 600 32,400
Kohls Corp. ............................ 700 25,568
Mattel Inc. ............................ 1,200 34,350
Nine West Group Inc.* .................. 700 35,788
Schein, Henry Inc.* .................... 300 11,475
----------
163,949
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. ......................... 1,200 34,655
----------
FINANCE - 0.5%
First Union Corp. ...................... 600 36,569
State Street Boston Corp. .............. 700 35,743
----------
72,312
----------
GENERAL BUSINESS - 0.7%
First Data Corp. ....................... 400 31,850
Interpublic Group Cos Inc. ............. 700 32,813
Sun Guard Data Systems* ................ 500 19,875
Viking Office Products Inc.* ........... 700 21,963
----------
106,501
----------
MISCELLANEOUS - 0.2%
Electronic Data Systems Corp. .......... 600 32,249
----------
TECHNOLOGY - 0.6%
Affiliated Computer Services Inc.* ..... 100 4,700
Andrew Corp.* .......................... 400 21,500
Cisco Systems Inc.* .................... 400 22,650
Oracle Systems Corp.* .................. 600 23,663
Parametric Technology Corp.* ........... 500 21,688
----------
94,201
----------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* 700 22,749
----------
UTILITIES - 0.2%
GTE Corp. .............................. 800 35,818
----------
TOTAL COMMON STOCK ..................... 1,151,047
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.7%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 253,239
----------
TOTAL LARGE CAP GROWTH ................. 1,404,286
----------
LARGE CAP VALUE--10.0%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 8.2%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.0%
Bowater Inc. ........................... 300 11,318
Cabot Corp. ............................ 200 5,006
Cyprus Amax Minerals Co. ............... 300 6,906
Dexter Corp. ........................... 300 8,943
Du Pont E.I. De Nemours & Co. .......... 200 15,894
FMC Corp.* ............................. 300 19,606
IMC Global Inc. ........................ 300 11,288
Mallinckrodt Group Inc. ................ 400 15,556
Potash Corp. Sask Inc. ................. 200 13,306
Premark International Inc. ............. 300 5,550
Reynolds Metal Co. ..................... 200 10,456
Rhone Poulnec S A ...................... 400 10,606
Wellman Inc. ........................... 500 11,694
----------
146,129
----------
CAPITAL GOODS - 0.9%
Caterpillar Inc. ....................... 100 6,775
Cummins Engine Inc. .................... 400 16,181
Deere & Co. ............................ 400 15,994
Harnischfeger Industries Inc. .......... 400 13,294
Kennametal Inc. ........................ 300 10,200
Parker Hannifin Corp. .................. 300 12,713
Tecumseh Products Co. .................. 300 16,125
Timken Co. ............................. 200 7,750
Trinova Corp. .......................... 700 23,274
Varity Corp.* .......................... 300 14,438
----------
136,744
----------
CONSUMER BASICS - 1.0%
Archer Daniels Midland Co. ............. 600 11,531
Bergen Brunswig Corp. .................. 500 13,962
Bristol Meyers Squibb Co. .............. 100 9,000
Foundation Health Corp.* ............... 500 17,925
Horizon CMS Healthcare Corp.* .......... 300 3,863
IBP Inc. ............................... 500 13,794
Maxicare Health Plans Inc.* ............ 300 5,663
Philip Morris Cos. Inc. ................ 300 31,200
RJR Nabisco Holdings Corp. ............. 300 9,443
Tenet Healthcare Corp.* ................ 400 8,506
Tupperware Corp.* ...................... 300 12,675
Universal Foods Corp. .................. 200 7,206
----------
144,768
----------
CONSUMER DURABLE GOODS - 0.3%
Eaton Corp. ............................ 300 17,481
General Motors Corp. ................... 300 15,756
Goodyear Tire and Rubber ............... 400 19,287
----------
52,524
----------
CONSUMER NON-DURABLES - 0.3%
Anheuser Busch Cos. Inc. ............... 100 7,500
Dillard Dept. Stores Inc. .............. 300 10,919
Reebok International Ltd. .............. 300 10,088
Springs Industries Inc. ................ 200 9,831
V F Corp. .............................. 200 11,919
----------
50,257
----------
CONSUMER SERVICES - 0.2%
AMR Corp. Del. * ....................... 300 27,344
UAL Corp.* ............................. 100 5,356
----------
32,700
----------
ENERGY - 0.6%
Amoco Corp. ............................ 100 7,238
Atlantic Richfield Co. ................. 100 11,850
British Petroleum PLC .................. 200 21,375
Mapco Inc. ............................. 200 11,369
Panenergy Corp. ........................ 100 3,306
Tenneco Inc. ........................... 200 10,225
Ultramar Corp. ......................... 400 11,631
YPF Sociedad Anonima ................... 300 6,750
----------
83,744
----------
FINANCE - 1.8%
Ace Ltd. ............................... 300 14,131
Allstate Corp. ......................... 300 13,706
American General Corp. ................. 300 11,018
American RE Corp. ...................... 200 8,975
Bank of Boston Corp. ................... 300 14,831
Bank of New York Inc. .................. 200 10,250
Capital One Financial Corp. ............ 300 8,550
Chase Manhattan Corp. .................. 200 14,125
Crestar Financial Corp. ................ 100 5,338
Dean Witter Discover & Co. ............. 200 11,431
Federal Home Loan Mortgage Corp. ....... 100 8,550
Federal National Mortgage Association .. 400 13,456
First Chicago NBD Corp. ................ 200 7,825
First Union Corp. ...................... 200 12,219
Great Western Financial Corp. .......... 600 14,369
ITT Hartford Group Inc. ................ 200 10,650
Old Republic Intl Corp. ................ 400 8,600
Providian Corp. ........................ 400 17,150
Reliastar Financial Corp. .............. 200 8,625
Republic NY Corp. ...................... 200 12,531
Salomon Inc. ........................... 200 8,800
Signet Banking Corp. ................... 300 6,975
Standard Federal Bancorporation ........ 100 3,850
St. Paul Cos Inc. ...................... 200 10,681
Transatlantic Holdings Inc. ............ 200 13,919
----------
270,555
----------
GENERAL BUSINESS - 0.1%
PHH Corp. .............................. 300 17,100
Standard Register ...................... 100 2,463
----------
19,563
----------
MISCELLANEOUS - 0.1%
Textron Inc. ........................... 200 15,974
----------
TECHNOLOGY - 1.2%
Beckman Industries Inc. ................ 500 18,862
Compaq Computer Corp.* ................. 400 19,731
International Business Machines ........ 300 29,700
LAM Research Corp.* .................... 300 7,800
National Semiconductor Corp.* .......... 1,100 17,050
Raytheon Co. ........................... 300 15,488
Seagate Technology* .................... 600 27,012
Tandy Corp. ............................ 200 9,456
Tektronix Inc. ......................... 400 17,869
TRW Inc. ............................... 200 18,119
Western Digital Corp.* ................. 200 5,225
----------
186,312
----------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe ........... 200 16,194
CSX Corp. .............................. 200 9,650
Ryder Sys. Inc. ........................ 400 11,256
----------
37,100
----------
UTILITIES - 0.5%
Central ME Power Co. ................... 500 6,819
DTE Energy Co. ......................... 200 6,131
El Paso Natural Gas Co. ................ 200 7,669
Entergy Corp. .......................... 400 11,287
General Public Utilities Corp. ......... 300 10,481
Peco Energy Co. ........................ 500 12,987
Sprint Corp. ........................... 300 12,569
Unicom Corp. ........................... 400 11,137
----------
79,080
----------
TOTAL COMMON STOCKS .................... 1,255,450
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.8%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 277,281
----------
TOTAL LARGE CAP VALUE .................. 1,532,731
----------
SMALL CAP GROWTH--9.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 6.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Carbide/Graphite Group Inc.* ........... 1,300 24,375
Intertape Polymer Group Inc. ........... 1,200 24,300
----------
48,675
----------
CAPITAL GOODS - 0.3%
Blount International Inc. .............. 750 23,625
Hardinge Bros. Inc. .................... 750 23,813
----------
47,438
----------
CONSUMER BASICS - 1.2%
American Homepatient Inc.* ............. 550 24,338
Cytyc Corp.* ........................... 1,000 25,875
ESC Medical Systems Ltd.* .............. 550 15,538
Interneuron Pharmaceuticals* ........... 800 24,000
NCS Healthcare Inc.* ................... 750 22,688
Performance Food Group Co.* ............ 950 24,700
Sunrise Assisted Living Inc.* .......... 1,000 24,000
Vivus* ................................. 900 29,475
----------
190,614
----------
CONSUMER DURABLE GOODS - 0.2%
American Homestar Corp.* ............... 900 23,399
----------
CONSUMER NON-DURABLES - 0.3%
Mens Wearhouse Inc.* ................... 750 24,188
Petes Brewing Co.* ..................... 1,600 24,000
----------
48,188
----------
CONSUMER SERVICES - 0.3%
Ballys Grand Inc.* ..................... 550 23,375
Regal Cinemas Inc.* .................... 550 25,163
----------
48,538
----------
ENERGY - 0.5%
Giant Industries ....................... 1,700 24,650
KCS Energy Inc. ........................ 850 24,438
Lomak Pete Inc. ........................ 1,750 24,938
----------
74,026
----------
FINANCE - 0.2%
Olympic Financial Ltd.* ................ 1,150 26,449
----------
GENERAL BUSINESS - 0.5%
Atlantic Tele Network Inc.* ............ 1,000 24,000
Heftel Broadcasting Corp.* ............. 850 25,181
State of the Art Inc.* ................. 1,400 25,900
----------
75,081
----------
MISCELLANEOUS - 1.2%
Eclipse Surgical Technologies * ........ 1,700 23,375
Forensic Technologies Intl. Corp.* ..... 2,700 24,975
Gadzooks Inc.* ......................... 800 25,800
Imagyn Medical Inc.* ................... 2,150 23,650
Meadowbrook Insurance Group Inc. ....... 600 18,450
Polycom Inc.* .......................... 3,450 24,150
Sirrom Cap Corp. ....................... 900 24,575
Suburban Lodges America Inc.* .......... 1,100 25,438
----------
190,413
----------
TECHNOLOGY - 1.3%
Activision Inc.* ....................... 1,800 23,400
Affiliated Computer Services Inc.* ..... 500 23,500
Casino Data Systems* ................... 1,650 24,956
Dupont Photomasks Inc.* ................ 1,250 25,625
Logal Educational Software Systems ..... 900 5,963
Insignia Solutions PLC* ................ 2,950 25,075
Network General Corp.* ................. 1,000 21,500
Phoenix Technology Ltd.* ............... 1,550 25,964
Silicon Valley Research Inc.* .......... 3,900 22,914
----------
198,897
----------
TRANSPORTATION - 0.2%
Eagle USA Airfreight Inc.* ............. 700 25,900
----------
UTILITIES - 0.1%
Petersburg Long Distance Inc.* ......... 1,600 13,149
----------
TOTAL COMMON STOCKS .................... 1,010,767
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 2.6%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 392,715
----------
TOTAL SMALL CAP GROWTH ................. 1,403,482
----------
SMALL CAP VALUE--11.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 5.9%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Castech Aluminum Group Inc.* ........... 1,900 28,141
Oil Dri Corp. America .................. 2,200 32,386
----------
60,527
----------
CAPITAL GOODS - 0.4%
Esco Electronics Corp. ................. 3,600 41,030
United Industrial Corp. ................ 3,900 22,672
----------
63,702
----------
CONSUMER BASICS - 0.8%
Health Images Inc. ..................... 1,100 12,788
Medex Inc. ............................. 700 9,058
Nash Finch Co. ......................... 1,100 17,600
RLI Corp. .............................. 2,000 48,620
Schultz Sav O Stores Inc. .............. 300 3,750
Super Food Services Inc. ............... 3,700 35,161
----------
126,977
----------
CONSUMER DURABLE GOODS - 0.4%
Flexsteel Industries Inc. .............. 1,300 15,275
Oshkosh Truck Corp. .................... 2,800 39,550
----------
54,825
----------
CONSUMER NON-DURABLES - 0.1%
Syms Corp.* ............................ 2,700 19,879
----------
FINANCE - 1.2%
American National Insurance Co. ........ 300 19,500
Bankatlantic Bancorp Inc. .............. 1,200 16,657
Downey Financial Corp. ................. 1,100 24,063
Financial Securities Assur Holdings
Ltd .................................. 2,100 57,580
GA Financial Inc.* ..................... 4,400 48,196
Presidential Life Corp. ................ 1,600 16,488
----------
182,484
----------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .............. 3,600 40,949
----------
MISCELLANEOUS - 0.1%
Bank Plus Corp.* ....................... 2,500 21,875
Haskel International Inc. .............. 300 2,250
----------
24,125
----------
SHELTER - 0.8%
Beazer Homes USA Inc.* ................. 2,100 33,567
Ryland Group Inc.* ..................... 1,800 26,935
US Homes Corp.* ........................ 2,400 59,175
----------
119,677
----------
TECHNOLOGY - 1.0%
Adobe Systems Inc. ..................... 700 25,112
Analysis & Technology Inc. ............. 800 11,000
Advanced Logic Research Inc.* .......... 2,300 19,263
Cray Research Inc.* .................... 2,400 57,947
Symantec Corp.* ........................ 1,600 20,000
Quantum Corp.* ......................... 1,600 23,400
----------
156,722
----------
UTILITIES - 0.4%
Niagara Mohawk Power Corp.* ............ 7,700 59,831
----------
TOTAL COMMON STOCKS .................... 909,698
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 5.3%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 813,251
----------
Total Small Cap Value .................. 1,722,949
----------
INTERNATIONAL EQUITY--7.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 4.2%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ........................ 115 $ 8,916
----------
AUSTRALIA - 0.2%
Australia & New Zealand Bank Group 3,300 15,660
Gio Australia Holdings ................. 3,300 8,117
----------
23,777
----------
BELGIUM - 0.1%
GPE Bruxelles Lam ...................... 60 7,590
----------
CANADIAN - 0.2%
Bank N S Halifax ....................... 400 9,727
Canadian Imperial Bank Toronto ......... 300 9,679
Imasco Ltd. ............................ 700 14,267
----------
33,673
----------
FINLAND - 0.1%
UPM Kymmene Oy ......................... 850 17,649
----------
FRANCE - 0.2%
Elf Aquitaine .......................... 185 13,629
Lafarge ................................ 255 15,508
Usinor Sacilor ......................... 600 8,661
----------
37,798
----------
GERMANY - 0.2%
Bayer AG ............................... 390 13,788
Buderus AG ............................. 33 14,017
----------
27,805
----------
GREAT BRITAIN - 0.7%
Argyll Group ........................... 2,250 12,160
Bat Industries ......................... 2,200 17,140
British Gas ............................ 4,850 13,559
Commercial Union ....................... 1,150 10,391
Hanson ................................. 3,800 10,655
Hillsdown Holdings ..................... 3,700 9,966
Hyder .................................. 875 9,696
National Westminster ................... 1,400 13,368
Powergen ............................... 1,800 13,139
----------
110,074
----------
HONG KONG - 0.3%
Hang Lung Development Co. .............. 6,000 11,312
Hong Kong Telecomm ..................... 6,400 11,530
HSBC Holdings .......................... 1,200 18,152
New World Development Co. .............. 2,000 9,276
South China Morn Post .................. 10,000 6,847
----------
57,117
----------
IRELAND - 0.1%
Smurfit ................................ 4,500 12,140
----------
ITALY - 0.1%
Danieli & C ............................ 2,000 6,847
----------
JAPAN - 0.5%
Daiwa House Inds ....................... 1,000 15,544
Hokushin Co. ........................... 700 8,961
Nichicon Corp. ......................... 1,000 14,538
Nintendo Co. ........................... 100 7,526
Nippon Fire & Marine ................... 2,000 13,112
Sekisui Chemical ....................... 1,000 12,253
Sony Corp. ............................. 200 13,230
----------
85,164
----------
MALAYSIA - 0.1%
Arab Malaysian Finance ................. 2,000 8,790
Malaysian International Shipping ....... 4,000 12,457
----------
21,247
----------
NETHERLANDS - 0.4%
Akzo Nobel NV .......................... 120 14,405
Fortis Amev NV ......................... 240 6,855
Hollandsche Beton ...................... 65 12,463
Ing Groep NV ........................... 250 7,461
Kon PTT Nederland ...................... 425 16,088
----------
57,272
----------
NEW ZEALAND - 0.1%
Fletcher Challenge (Building) .......... 3,500 6,863
Fletcher Challenge (Energy) ............ 2,100 4,681
Fletcher Challenge (Paper) ............. 1,300 2,522
----------
14,066
----------
NORWAY - 0.1%
Kvaerner ASA ........................... 240 10,152
Nycomed ................................ 400 5,548
----------
15,700
----------
SPAIN - 0.1%
Banco Santander SA ..................... 310 14,501
----------
SWEDEN - 0.5%
Marieberg Tidnings ..................... 500 12,521
Sarna Kunst Holdings ................... 10 10,557
Schw Ruckversicher ..................... 20 20,524
Sig Schw Ind HG AG ..................... 15 35,514
----------
79,116
----------
UNITED STATES - 0.1%
Jardine Matheson ....................... 1,800 13,229
----------
TOTAL COMMON STOCKS .................... 643,681
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 3.0%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 467,233
----------
TOTAL INTERNATIONAL EQUITY ............. 1,110,914
----------
U.S. FIXED INCOME--26.3%
- --------------------------------------------------------------------------------
FIXED INCOME--24.9%
- --------------------------------------------------------------------------------
Principal
Amount
- --------------------------------------------------------------------------------
MORTGAGE BACKED - 6.0%
Federal National Mortgage
Associations
7.00% due 1/01/99 .................... $ 40,000 39,931
7.00% due 7/01/03 .................... 325,000 323,984
8.00% due 5/01/26 .................... 35,238 35,502
8.00% due 6/01/26 .................... 509,263 513,082
----------
912,499
----------
U. S. TREASURY ISSUES - 18.9%
United States Treasury Bond
6.875% due 8/15/25 ................... 440,000 435,529
6.00% due 5/31/98 .................... 615,000 613,653
6.375% due 5/15/99 ................... 590,000 591,292
6.50% due 5/31/01 .................... 660,000 660,310
6.875% due 5/15/06 ................... 580,000 586,432
----------
2,887,216
----------
TOTAL FIXED INCOME ..................... 3,799,715
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.4%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 220,754
----------
TOTAL U.S. FIXED INCOME ................ 4,020,469
----------
INTERNATIONAL BOND--28.7%
- --------------------------------------------------------------------------------
FIXED INCOME -- 15.6%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ................ ATS 140,000 $ 13,955
---------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 .................. AUD 160,000 119,954
---------
BELGIUM - 0.4%
Belgium (Kingdom)
9.00% due 3/28/03 .................. BF 1,900,000 69,847
---------
CANADA - 1.8%
Canadian Government
9.00% due 12/01/04 ................. CAD 350,000 279,265
---------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 .................. DKK 220,000 39,749
---------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 ................. FRF 620,000 131,204
---------
GERMANY - 2.6%
Germany (Fed) Unity
6.875% due 6/11/03 ................. DEM 200,000 147,425
Treuhandanstalt
7.75% due 10/25/05 ................. DEM 380,000 258,765
---------
406,190
---------
GREAT BRITAIN - 2.8%
Treasury
6.00% due 8/10/99 .................. GBP 280,000 424,115
---------
ITALY - 1.2%
Republic of Italy
9.187% due 9/01/05 ................. ITL 255,000,000 179,561
---------
NEW ZEALAND - 2.4%
New Zealand Government
10.00% due 7/15/97 ................. NZD 490,000 338,850
New Zealand Government
10.00% due 3/15/02 ................. NZD 50,000 35,946
---------
374,796
---------
SPAIN - 1.1%
Government of Spain
10.90% due 8/30/03 ................. ESP 19,900,000 174,013
---------
SWEDEN - 1.2%
Sweden (Kingdom)
11.00% due 1/21/99 ................. SEK 1,100,000 182,815
---------
TOTAL FIXED INCOME ................... 2,395,464
---------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 11.6%
- --------------------------------------------------------------------------------
United States Treasury Bills (+)
due 7/5/96 .................................. 169,355
Federal Home Loan Mortgage
5.30% due 7/03/96 ........................... 799,764
5.30% due 7/15/96 ........................... 808,330
----------
TOTAL SHORT-TERM OBLIGATIONS .................. 1,777,449
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 1.5%
- --------------------------------------------------------------------------------
Purchase calls 70,500,000 Japanese
Government Bonds exp. date 8/05/96 .......... 69,136
2,600,000 Netherland Guilder
Government Bonds exp. date 7/29/96 .......... 155,040
----------
TOTAL INTERNATIONAL BOND OPTIONS .............. 224,176
----------
TOTAL INTERNATIONAL BOND ..................... 4,397,089
----------
SHORT-TERM--19.9%
United States Treasury Bills (+)
due 7/5/96 .................................. 3,051,598
----------
TOTAL INVESTMENTS
(Identified Cost $18,597,597) ................. 121.7% 18,643,518
OTHER ASSETS,
LESS LIABILITIES (21.7) (3,328,097)
---- ----------
Net Assets 100.0% $15,315,421
==== ===========
* Non income producing
(+) The Portfolio owns in aggregate $5,648,000 in U.S. Treasury Bills due
7/5/96, value at $5,645,426 portions of which are listed separately by each
Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (continued)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--12.4%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Praxair .................................... 2,600 $ 109,637
Sigma Aldrich .............................. 2,000 106,950
------------
216,587
------------
CAPITAL GOODS - 0.9%
Fluor Corp. ................................ 1,600 104,656
Emerson Electric Co. ....................... 1,200 108,419
General Electric Co. ....................... 1,200 103,893
------------
316,968
------------
CONSUMER BASICS - 3.0%
Cardinal Health Inc. ....................... 1,400 101,056
Coca Cola Co. .............................. 2,100 102,668
Colgate Palmolive Co. ...................... 1,200 101,718
Gillette Co. ............................... 1,700 105,999
Hannaford Brothers Co. ..................... 2,100 68,468
Health Management Association* ............. 3,300 67,099
Johnson & Johnson .......................... 2,100 103,987
Manor Care Inc. ............................ 2,600 102,436
Pfizer Inc. ................................ 700 49,963
Procter & Gamble Co. ....................... 1,100 99,831
Schering Plough Corp. ...................... 800 50,200
Sysco Corp. ................................ 3,000 102,762
------------
1,056,187
------------
CONSUMER DURABLE GOODS - 0.5%
Federal Signal Corp. ....................... 4,400 103,525
Harley Davidson Inc. ....................... 1,600 65,969
------------
169,494
------------
CONSUMER NON-DURABLES - 1.4%
Autozone Inc.* ............................. 2,000 69,587
Home Depot Inc. ............................ 1,900 102,618
Kohls Corp. ................................ 2,000 73,111
Mattel Inc. ................................ 3,600 103,087
Nine West Group Inc.* ...................... 2,100 107,124
Schein, Henry Inc.* ........................ 1,000 38,150
------------
493,677
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ............................. 3,700 106,855
------------
FINANCE - 0.6%
First Union Corp. .......................... 1,700 103,531
State Street Boston Corp. .................. 2,000 102,087
------------
205,618
------------
GENERAL BUSINESS - 1.0%
First Data Corp. ........................... 1,300 103,556
Interpublic Group Cos Inc. ................. 2,200 103,143
Sun Guard Data Systems* .................... 1,400 55,994
Viking Office Products Inc.* ............... 2,300 72,256
------------
334,949
------------
MISCELLANEOUS - 0.3%
Electronic Data Systems Corp. .............. 1,900 102,256
------------
TECHNOLOGY - 0.9%
Affiliated Computer Services Inc.* ......... 400 18,800
Andrew Corp.* .............................. 1,300 70,025
Cisco Systems Inc.* ........................ 1,300 73,643
Oracle Systems Corp.* ...................... 1,800 71,087
Parametric Technology Corp.* ............... 1,600 69,544
------------
303,099
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* .... 2,200 71,500
------------
UTILITIES - 0.3%
GTE Corp. .................................. 2,300 102,943
------------
TOTAL COMMON STOCKS .......................................... 3,480,133
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.4%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 581,887
due 7/11/96 ................................................ 256,063
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 837,950
------------
TOTAL LARGE CAP GROWTH ....................................... 4,318,083
------------
LARGE CAP VALUE--13.1%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.5%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.2%
Bowater Inc. ............................... 700 26,368
Cabot Corp. ................................ 600 14,806
Cyprus Amax Minerals Co. ................... 1,000 22,862
Dexter Corp. ............................... 800 23,819
Du Pont E. De Nemours & Co. ................ 700 55,524
FMC Corp.* ................................. 700 45,706
IMC Global Inc. ............................ 800 30,187
Mallinckrodt Group Inc. .................... 1,200 46,662
Potash Corp. Sask Inc. ..................... 500 33,181
Premark International Inc. ................. 900 16,562
Reynolds Metal Co. ......................... 600 31,306
Rhone Poulnec SA ........................... 1,100 29,162
Wellman Inc. ............................... 1,300 30,398
------------
406,543
------------
CAPITAL GOODS - 1.1%
Caterpillar Inc. ........................... 400 27,069
Cummins Engine Inc. ........................ 1,100 44,476
Deere & Co. ................................ 1,100 43,987
Harnischfeger Industries Inc. .............. 1,200 39,880
Kennametal Inc. ............................ 800 27,181
Parker Hannifin Corp. ...................... 900 38,075
Tecumseh Products Co. ...................... 800 43,168
Timken Co. ................................. 700 27,106
Trinova Corp. .............................. 2,000 66,574
Varity Corp.* .............................. 900 43,268
------------
400,784
------------
CONSUMER BASICS - 1.2%
Archer Daniels Midland Co. ................. 1,800 34,499
Bergen Brunswig Corp. ...................... 1,500 41,756
Bristol Meyers Squibb Co. .................. 300 26,918
Foundation Health Corp.* ................... 1,400 50,212
Horizon CMS Healthcare Corp.* .............. 800 10,294
IBP Inc. ................................... 1,500 41,361
Maxicare Health Plans Inc.* ................ 1,000 18,931
Philip Morris Cos. Inc. .................... 700 72,969
RJR Nabisco Holdings Corp. ................. 1,000 31,287
Tenet Healthcare Corp.* .................... 1,200 25,563
Tupperware Corp.* .......................... 1,000 42,156
Universal Foods Corp. ...................... 400 14,582
------------
410,528
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp. ................................ 800 46,687
General Motors Corp. ....................... 1,000 52,462
Goodyear Tire and Rubber ................... 1,100 53,062
------------
152,211
------------
CONSUMER NON-DURABLES - 0.5%
Anheuser Busch Cos. Inc. ................... 400 29,987
Dillard Dept. Stores Inc. .................. 1,000 36,437
Reebok International Ltd. .................. 900 30,074
Springs Industries Inc. .................... 500 24,981
V F Corp. .................................. 700 41,724
------------
163,203
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del.* ............................ 700 63,787
UAL Corp.* ................................. 200 10,712
------------
74,499
------------
ENERGY - 0.8%
Amoco Corp. ................................ 400 28,831
Atlantic Richfield Co. ..................... 400 47,469
British Petroleum PLC ...................... 600 64,143
Mapco Inc. ................................. 700 39,556
Panenergy Corp. ............................ 200 6,575
Tenneco Inc. ............................... 700 35,806
Ultramar Corp. ............................. 1,000 29,062
YPF Sociedad Anonima ....................... 900 20,337
------------
271,779
------------
FINANCE - 2.2%
Ace Ltd. ................................... 700 32,900
Allstate Corp. ............................. 900 41,098
American General Corp. ..................... 900 32,948
American RE Corp. .......................... 700 31,468
Bank of Boston Corp. ....................... 700 34,631
Bank of New York Inc. ...................... 600 30,787
Capital One Financial Corp. ................ 1,000 28,562
Chase Manhattan Corp. ...................... 600 42,406
Crestar Financial Corp. .................... 300 16,068
Dean Witter Discover & Co. ................. 500 28,606
Federal Home Loan Mortgage Corp. ........... 300 25,656
Federal National Mortgage Association ...... 1,100 36,962
First Chicago NBD Corp. .................... 700 27,450
First Union Corp. .......................... 500 30,481
Great Western Financial Corp. .............. 1,700 40,718
ITT Hartford Group Inc. .................... 600 31,931
Old Republic Intl Corp. .................... 1,300 28,080
Providian Corp. ............................ 1,300 55,674
Reliastar Financial Corp. .................. 600 25,968
Republic NY Corp. .......................... 500 31,206
Salomon Inc. ............................... 600 26,393
Signet Banking Corp. ....................... 1,000 23,337
Standard Federal Bancorporation ............ 300 11,550
St. Paul Cos Inc. .......................... 400 21,381
Transatlantic Holdings Inc. ................ 400 28,050
------------
764,311
------------
GENERAL BUSINESS - 0.2%
PHH Corp. .................................. 900 51,112
Standard Register .......................... 600 14,687
------------
65,799
------------
MISCELLANEOUS - 0.2%
Textron Inc. ............................... 700 55,883
------------
TECHNOLOGY - 1.5%
Beckman Industries Inc. .................... 1,400 52,993
Compaq Computer Corp.* ..................... 1,300 64,087
International Business Machines ............ 800 79,337
LAM Research Corp.* ........................ 900 23,400
National Semiconductor Corp.* .............. 3,200 49,600
Raytheon Co. ............................... 800 41,162
Seagate Technology* ........................ 1,700 76,524
Tandy Corp. ................................ 500 23,669
Tektronix Inc. ............................. 1,100 49,163
TRW Inc. ................................... 500 45,081
Western Digital Corp.* ..................... 800 20,900
------------
525,916
------------
TRANSPORTATION - 0.3%
Burlington Northern Santa Fe ............... 500 40,456
CSX Corp. .................................. 700 33,762
Ryder Sys. Inc. ............................ 1,000 28,136
------------
102,354
------------
UTILITIES - 0.7%
Central ME Power Co. ....................... 1,400 19,580
DTE Energy Co. ............................. 700 21,480
El Paso Natural Gas Co. .................... 700 26,919
Entergy Corp. .............................. 1,100 31,118
General Public Utilities Corp. ............. 900 31,537
Peco Energy Co. ............................ 1,300 33,768
Sprint Corp. ............................... 900 37,707
Unicom Corp. ............................... 1,100 30,636
------------
232,745
------------
TOTAL COMMON STOCKS .......................................... 3,626,555
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.6%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 635,342
due 7/11/96 ................................................ 279,587
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 914,929
------------
TOTAL LARGE CAP VALUE ........................................ 4,541,484
------------
SMALL CAP GROWTH--11.3%
- -------------------------------------------------------------------------------
COMMON STOCKS--8.5%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Carbide/Graphite Group Inc.* ............... 3,800 71,250
Intertape Polymer Group Inc. ............... 3,400 68,850
------------
140,100
------------
CAPITAL GOODS - 0.4%
Blount International Inc. .................. 2,200 69,300
Hardinge Bros. Inc. ........................ 2,200 69,850
------------
139,150
------------
CONSUMER BASICS - 1.6%
American Homepatient Inc.* ................. 1,550 68,588
Cytyc Corp.* ............................... 2,900 75,039
ESC Medical Systems Ltd.* .................. 1,750 49,439
Interneuron Pharmaceuticals* ............... 2,200 66,000
NCS Healthcare Inc.* ....................... 2,400 72,600
Performance Food Group Co.* ................ 2,800 72,800
Sunrise Assisted Living Inc.* .............. 2,950 70,800
Vivus* ..................................... 2,650 86,788
------------
562,054
------------
CONSUMER DURABLE GOODS - 0.2%
American Homestar Corp.* ................... 2,650 68,900
------------
CONSUMER NON-DURABLES - 0.5%
Mens Wearhouse Inc.* ....................... 2,500 80,625
Petes Brewing Co.* ......................... 4,600 69,000
------------
149,625
------------
CONSUMER SERVICES - 0.4%
Ballys Grand Inc.* ......................... 1,600 68,000
Regal Cinemas Inc.* ........................ 1,550 70,913
------------
138,913
------------
ENERGY - 0.6%
Giant Industries ........................... 5,050 73,225
KCS Energy Inc. ............................ 2,450 70,438
Lomak Pete Inc. ............................ 5,150 73,389
------------
217,052
------------
FINANCE - 0.2%
Olympic Financial Ltd.* .................... 3,350 77,050
------------
GENERAL BUSINESS - 0.6%
Atlantic Tele Network Inc.* ................ 2,900 69,600
Heftel Broadcasting Corp.* ................. 2,500 74,063
State of the Art Inc.* ..................... 4,100 75,850
------------
219,513
------------
MISCELLANEOUS - 1.6%
Eclipse Surgical Technologies* ............. 4,700 64,625
Forensic Technologies Intl. Corp.* ......... 7,900 73,075
Gadzooks Inc.* ............................. 2,300 74,175
Imagyn Medical Inc.* ....................... 6,300 69,300
Meadowbrook Insurance Group Inc* ........... 1,800 55,350
Polycom Inc.* .............................. 10,050 70,350
Sirrom Cap Corp. ........................... 3,200 70,925
Suburban Lodges America Inc.* .............. 3,200 74,000
------------
551,800
------------
TECHNOLOGY - 1.7%
Activision Inc.* ........................... 5,350 69,550
Affiliated Computer Services Inc.* ......... 1,500 70,500
Casino Data Systems* ....................... 4,800 72,600
Dupont Photomasks Inc.* .................... 3,550 72,775
Logal Educational Software Systems ......... 2,800 18,550
Insignia Solutions PLC* .................... 8,500 72,250
Network General Corp.* ..................... 2,900 62,350
Phoenix Technology Ltd.* ................... 4,450 74,538
Silicon Valley Research Inc.* .............. 11,300 66,387
------------
579,500
------------
TRANSPORTATION - 0.2%
Eagle USA Airfreight Inc.* ................. 1,850 68,450
------------
UTILITIES - 0.1%
Petersburg Long Distance Inc.* ............. 4,800 39,424
------------
TOTAL COMMON STOCKS .......................................... 2,951,531
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.8%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 683,571
due 7/11/96 ................................................ 300,810
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 984,381
------------
TOTAL SMALL CAP GROWTH ....................................... 3,935,912
------------
SMALL CAP VALUE--14.7%
- -------------------------------------------------------------------------------
COMMON STOCKS--7.7%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Castech Aluminum Group Inc.* ............... 5,800 85,859
Oil Dri Corp. America ...................... 6,600 97,384
------------
183,243
------------
CAPITAL GOODS - 0.6%
Esco Electronics Corp. ..................... 10,500 119,642
United Industrial Corp. .................... 12,000 73,525
------------
193,167
------------
CONSUMER BASICS - 1.0%
Health Images Inc. ......................... 3,200 37,200
Medex Inc. ................................. 2,000 25,864
Nash Finch Co. ............................. 3,000 48,000
RLI Corp. .................................. 5,900 143,487
Schultz Sav O Stores Inc. .................. 800 10,000
Super Food Services Inc. ................... 9,500 90,261
------------
354,812
------------
CONSUMER DURABLE GOODS - 0.5%
Flexsteel Industries Inc. .................. 4,100 48,175
Oshkosh Truck Corp. ........................ 8,400 118,650
------------
166,825
------------
CONSUMER NON-DURABLES - 0.2%
Syms Corp.* ................................ 8,600 63,360
------------
FINANCE - 1.5%
American National Insurance Co. ............ 500 32,500
Bankatlantic Bancorp Inc. .................. 3,600 49,971
Downey Financial Corp. ..................... 3,500 76,563
Financial Securities Assur Holdings Ltd. ... 6,100 167,240
GA Financial Inc.* ......................... 12,800 140,265
Presidential Life Corp. .................... 5,100 52,537
------------
519,076
------------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .................. 10,700 121,713
------------
MISCELLANEOUS - 0.2%
Bank Plus Corp.* ........................... 8,100 70,875
Haskel International Inc. .................. 800 6,000
------------
76,875
------------
SHELTER - 1.0%
Beazer Homes USA Inc.* ..................... 6,100 97,509
Ryland Group Inc.* ......................... 5,500 82,370
US Homes Corp.* ............................ 6,800 167,645
------------
347,524
------------
TECHNOLOGY - 1.4%
Adobe Systems Inc. ......................... 2,500 89,688
Analysis & Technology Inc. ................. 2,600 35,750
Advanced Logic Research Inc.* .............. 7,500 62,813
Cray Research Inc.* ........................ 6,900 166,582
Symantec Corp.* ............................ 5,000 62,500
Quantum Corp.* ............................. 5,200 76,050
------------
493,383
------------
UTILITIES - 0.5%
Niagara Mohawk Power Corp.* ................ 21,800 169,334
------------
TOTAL COMMON STOCKS .......................................... 2,689,312
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--7.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 1,687,412
due 7/11/96 ................................................ 742,557
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 2,429,969
------------
TOTAL SMALL CAP VALUE ........................................ 5,119,281
------------
INTERNATIONAL EQUITY--13.6%
- ------------------------------------------------------------------------------
COMMON STOCKS--8.1%
- ------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ............................ 550 42,646
------------
AUSTRALIA - 0.3%
Australia & New Zealand Bank Group ......... 14,000 66,438
Gio Australia Holdings ..................... 16,200 39,848
------------
106,286
------------
BELGIUM - 0.1%
GPE Bruxelles Lam .......................... 250 31,628
------------
CANADIAN - 0.4%
Bank N S Halifax ........................... 2,200 53,497
Canadian Imperial Bank Toronto ............. 1,400 45,170
Imasco Ltd. ................................ 3,000 61,157
------------
159,824
------------
FINLAND - 0.2%
UPM Kymmene Oy ............................. 3,400 70,586
------------
FRANCE - 0.5%
Elf Aquitaine .............................. 900 66,329
Lafarge .................................... 1,175 71,338
Usinor Sacilor ............................. 2,800 40,419
------------
178,086
------------
GERMANY - 0.4%
Bayer AG ................................... 1,800 63,636
Buderus AG ................................. 155 65,824
------------
129,460
------------
GREAT BRITAIN - 1.4%
Argyll Group ............................... 10,950 59,183
Bat Industries ............................. 9,400 73,221
British Gas ................................ 21,500 60,052
Commercial Union ........................... 5,250 47,428
Hanson ..................................... 17,000 47,659
Hillsdown Holdings ......................... 16,500 44,444
Hyder ...................................... 4,000 44,324
National Westminster ....................... 5,950 56,799
Powergen ................................... 7,600 55,452
------------
488,562
------------
HONG KONG - 0.8%
Hang Lung Development Co. .................. 37,000 69,855
Hong Kong Telecomm ......................... 27,800 50,051
HSBC Holdings .............................. 5,200 78,639
New World Development Co. .................. 9,000 41,740
Sth China Morn Post ........................ 48,000 32,865
------------
273,150
------------
IRELAND - 0.2%
Smurfit .................................... 20,000 53,959
------------
ITALY - 0.1%
Danieli & C ................................ 8,900 30,472
------------
JAPAN - 1.1%
Daiwa House Inds. .......................... 4,000 62,259
Hokushin Co. ............................... 3,500 44,804
Nichicon Corp. ............................. 5,000 72,794
Nintendo Co. ............................... 400 30,102
Nippon Fire & Marine ....................... 10,000 65,558
Sekisui Chemical ........................... 3,000 36,758
Sony Corp. ................................. 5,500 66,150
------------
378,425
------------
MALAYSIA - 0.3%
Arab Malaysian Finance ..................... 13,000 57,157
Malaysian International Shipping ........... 19,000 59,227
------------
116,384
------------
NETHERLANDS - 0.7%
Akzo Nobel NV .............................. 625 75,087
Fortis Amev NV ............................. 1,075 30,717
Hollandsche Beton .......................... 250 47,933
Ing Groep NV ............................... 1,500 44,767
Kon PTT Nederland .......................... 1,725 65,311
------------
263,815
------------
NEW ZEALAND - 0.2%
Fletcher Challenge (Building) .............. 16,200 31,765
Fletcher Challenge (Energy) ................ 10,500 23,405
Fletcher Challenge (Paper) ................. 6,500 12,611
------------
67,781
------------
NORWAY - 0.2%
Kvaerner ASA ............................... 1,160 49,070
Nycomed .................................... 1,900 26,352
------------
75,422
------------
SPAIN - 0.2%
Banco Santander SA ......................... 1,200 56,060
------------
SWEDEN - 0.2%
Marieberg Tidnings ......................... 2,200 55,134
------------
SWITZERLAND - 0.5%
Sarna Kunst Holdings ....................... 45 47,512
Schw Ruckversicher ......................... 75 76,994
Sig Schw Ind HG AG ......................... 30 71,029
------------
195,535
------------
UNITED STATES - 0.2%
Jardine Matheson ........................... 8,000 58,800
------------
TOTAL COMMON STOCKS .......................................... 2,832,015
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS( )--5.5%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 1,324,524
due 7/11/96 ................................................ 582,867
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 1,907,391
------------
TOTAL INTERNATIONAL EQUITY ................................... 4,739,406
------------
U.S. FIXED INCOME--26.7%
- ------------------------------------------------------------------------------
FIXED INCOME--25.0%
- ------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------
MORTGAGE BACKED - 5.2%
Federal National Mortgage Association
7.00% due 7/11/96 .................... $120,000 119,794
Federal National Mortgage Association TBA
7.00% due 7/01/03 ........................ 575,000 573,203
8.00% due 5/01/26 ........................ 719,305 724,095
8.00% due 6/01/26 ........................ 25,000 25,187
8.00% due 6/01/26 ........................ 99,000 99,742
8.00% due 12/01/99 ....................... 246,296 248,143
------------
1,790,164
------------
U. S. Treasury Issues - 19.8%
United States Treasury Bond
6.875% due 8/15/25 ....................... 995,000 984,891
United States Treasury Notes
6.00% due 5/31/98 ....................... 1,525,000 1,521,660
6.375% due 5/15/99 ....................... 1,505,000 1,508,296
6.50% due 5/31/01 ....................... 1,490,000 1,490,700
6.875% due 5/15/06 ....................... 1,345,000 1,359,916
------------
6,865,463
------------
TOTAL FIXED INCOME ........................................... 8,655,627
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.7%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 419,661
due 7/11/96 ................................................ 184,675
------------
604,336
------------
TOTAL U.S. FIXED INCOME ...................................... 9,259,963
------------
INTERNATIONAL BOND--28.5%
- -------------------------------------------------------------------------------
FIXED INCOME--15.6%
- -------------------------------------------------------------------------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 .............. ATS 340,000 33,890
------------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 ................ AUD 360,000 269,897
------------
BEGIUM - 0.5%
Belgium (Kingdom)
9.00% due 3/28/03 ................ BF 4,500,000 165,428
------------
CANADA - 1.7%
Canadian Government
9.00% due 12/01/04 ............... CAD 730,000 582,476
------------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 ................ DKK 550,000 99,373
------------
FRANCE - 0.8%
Government of France
7.75% due 10/25/05 ............... FRF 1,390,000 294,166
------------
GERMANY - 2.6%
Germany (Fed) Unity
6.875% due 6/11/03 ............... DEM 400,000 294,850
Treuhandanstalt 7.75% due 10/25/05 . DEM 800,000 599,245
------------
894,095
------------
GREAT BRITAIN - 2.7%
Treasury 6.00% due 8/10/99 ......... GBP 630,000 954,257
------------
ITALY - 1.2%
Republic of Italy 9.187% due 9/01/05 ITL 585,000,000 411,000
------------
NEW ZEALAND - 2.6%
New Zealand Government
10.00% due 7/15/97 ............... NZD 1,220,000 843,668
10.00% due 3/15/02 ............... NZD 70,000 50,324
------------
893,992
------------
SPAIN - 1.1%
Government of Spain 0.90% due 8/30/03 ESP 44,900,000 392,586
------------
SWEDEN - 1.2%
Sweden (Kingdom) 11.00% due 1/21/99 SEK 2,600,000 432,118
------------
TOTAL FIXED INCOME ........................................... 5,423,278
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.5%
- -------------------------------------------------------------------------------
United States Treasury Bills+
due 7/5/96 ................................................. 465,249
due 7/11/96 ................................................ 204,736
Federal Home Loan Mortgage
5.30% due 7/03/96 .......................................... 2,199,353
5.30% due 7/15/96 .......................................... 1,116,694
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 3,986,032
------------
- -------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--1.4%
- -------------------------------------------------------------------------------
Purchase calls
158,900,000 Japanese Government Bonds exp. date 8/05/96 .... $ 155,826
5,900,000 Netherland Guilder Government Bonds
exp. date 7/29/96 ........................................ 351,821
------------
TOTAL INTERNATIONAL BOND OPTIONS ............................. 507,647
------------
TOTAL INTERNATIONAL BOND ..................................... 9,916,957
------------
SHORT-TERM - 5.0%
United States Treasury Bills
due 7/5/96 ................................................. 1,202,163
due 7/11/96 ................................................ 529,021
------------
TOTAL SHORT-TERM ............................................. 1,731,184
------------
TOTAL INVESTMENTS
(Identified Cost $43,472,531)........................ 125.3% 43,562,270
OTHER ASSETS, LESS LIABILITIES ...................... (25.3) (8,820,315)
----- ------------
NET ASSETS .......................................... 100.0% $ 34,741,955
===== =============
*Non income producing
(+) The Portfolio owns in aggregate $7,003,000 in U.S. Treasury Bills due 7/5/96
value at $6,999,809 and $3,084,000 in U.S. Treasury Bills due 7/11/96 value
at $3,080,316, portions of which are listed separately by each Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--11.8%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Praxair .................................... 3,600 $ 151,887
Sigma Aldrich .............................. 2,700 144,431
------------
296,318
------------
CAPITAL GOODS - 0.9%
Fluor Corp. ................................ 2,200 143,881
Emerson Electric Co. ....................... 1,600 132,609
General Electric Co. ....................... 1,700 147,144
------------
423,634
------------
CONSUMER BASICS - 3.1%
Cardinal Health Inc. ....................... 2,000 144,331
Coca Cola Co. .............................. 3,000 146,687
Colgate Palmolive Co. ...................... 1,700 144,093
Gillette Co. ............................... 2,300 143,443
Hannaford Brothers Co. ..................... 3,000 97,787
Health Management Association* ............. 4,600 93,424
Johnson & Johnson .......................... 3,000 148,556
Manor Care Inc. ............................ 3,700 145,750
Pfizer Inc. ................................ 1,000 71,369
Procter & Gamble Co. ....................... 1,600 145,287
Schering Plough Corp. ...................... 1,200 75,281
Sysco Corp. ................................ 4,200 143,862
------------
1,499,870
------------
CONSUMER DURABLE GOODS - 0.5%
Federal Signal Corp. ....................... 6,100 155,495
Harley Davidson Inc. ....................... 2,300 94,924
------------
250,419
------------
CONSUMER NON-DURABLES - 1.4%
Autozone Inc.* ............................. 2,800 97,387
Home Depot Inc. ............................ 2,600 140,400
Kohls Corp. ................................ 2,800 102,412
Mattel Inc. ................................ 5,000 143,162
Nine West Group Inc.* ...................... 2,900 148,024
Schein, Henry Inc.* ........................ 1,400 53,450
------------
684,835
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ............................. 5,100 147,280
------------
FINANCE - 0.6%
First Union Corp. .......................... 2,400 146,187
State Street Boston Corp. .................. 2,800 142,887
------------
289,074
------------
GENERAL BUSINESS - 1.0%
First Data Corp. ........................... 1,800 143,368
Interpublic Group Cos Inc. ................. 3,100 145,349
Sun Guard Data Systems* .................... 2,000 79,875
Viking Office Products Inc.* ............... 3,200 100,494
------------
469,086
------------
MISCELLANEOUS - 0.3%
Electronic Data Systems Corp. .............. 2,700 145,387
------------
TECHNOLOGY - 0.8%
Affiliated Computer Services Inc.* ......... 500 23,500
Andrew Corp.* .............................. 1,800 97,050
Cisco Systems Inc.* ........................ 1,800 101,950
Oracle Systems Corp.* ...................... 2,500 98,650
Parametric Technology Corp.* ............... 2,300 99,900
------------
421,050
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* .... 3,000 97,500
------------
UTILITIES - 0.3%
GTE Corp. .................................. 3,300 147,712
------------
TOTAL COMMON STOCKS ........................ 4,872,165
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.8%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 855,290
------------
TOTAL LARGE CAP GROWTH ....................................... 5,727,455
------------
LARGE CAP VALUE--12.0%
- ------------------------------------------------------------------------------
COMMON STOCKS--10.2%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.1%
Bowater Inc. ............................... 1,000 37,656
Cabot Corp. ................................ 800 19,706
Cyprus Amax Minerals Co. ................... 1,300 29,650
Dexter Corp. ............................... 1,200 35,737
Du Pont E. De Nemours & Co. ................ 900 71,281
FMC Corp.* ................................. 1,000 65,281
IMC Global Inc. ............................ 1,100 41,474
Mallinckrodt Group Inc. .................... 1,600 62,218
Potash Corp. Sask Inc. ..................... 700 46,431
Premark International Inc. ................. 1,300 23,918
Reynolds Metal Co. ......................... 900 46,975
Rhone Poulnec S A .......................... 1,600 42,418
Wellman Inc. ............................... 1,800 42,087
------------
564,832
------------
CAPITAL GOODS - 1.1%
Caterpillar Inc. ........................... 500 33,875
Cummins Engine Inc. ........................ 1,500 60,625
Deere & Co. ................................ 1,500 59,987
Harnischfeger Industries Inc. .............. 1,600 53,187
Kennametal Inc. ............................ 1,100 37,362
Parker Hannifin Corp. ...................... 1,200 50,819
Tecumseh Products Co. ...................... 1,100 59,237
Timken Co. ................................. 1,000 38,712
Trinova Corp. .............................. 2,700 89,936
Varity Corp.* .............................. 1,300 62,474
------------
546,214
------------
CONSUMER BASICS - 1.2%
Archer Daniels Midland Co. ................. 2,400 45,974
Bergen Brunswig Corp. ...................... 2,000 55,674
Bristol Meyers Squibb Co. .................. 400 35,918
Foundation Health Corp.* ................... 2,000 71,724
Horizon CMS Healthcare Corp.* .............. 1,200 15,437
IBP Inc. ................................... 2,100 57,937
Maxicare Health Plans Inc.* ................ 1,300 24,575
Philip Morris Cos. Inc. .................... 1,000 104,169
RJR Nabisco Holdings Corp. ................. 1,400 43,974
Tenet Healthcare Corp.* .................... 1,700 36,161
Tupperware Corp.* .......................... 1,300 54,862
Universal Foods Corp. ...................... 600 21,956
------------
568,361
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp. ................................ 1,100 64,275
General Motors Corp. ....................... 1,400 73,456
Goodyear Tire and Rubber ................... 1,500 72,356
------------
210,087
------------
CONSUMER NON-DURABLES - 0.5%
Anheuser Busch Cos. Inc. ................... 400 29,994
Dillard Dept. Stores Inc. .................. 1,400 51,005
Reebok International Ltd. .................. 1,300 43,431
Springs Industries Inc. .................... 700 35,081
V F Corp. .................................. 1,000 59,612
------------
219,123
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ............................. 900 81,944
UAL Corp.* ................................. 200 10,712
------------
92,656
------------
ENERGY - 0.8%
Amoco Corp. ................................ 500 36,068
Atlantic Richfield Co. ..................... 500 59,319
British Petroleum PLC ...................... 800 85,519
Mapco Inc. ................................. 1,000 56,562
Panenergy Corp. ............................ 400 13,150
Tenneco Inc. ............................... 1,000 51,162
Ultramar Corp. ............................. 1,400 40,662
YPF Sociedad Anonima ....................... 1,300 29,380
------------
371,822
------------
FINANCE - 2.2%
Ace Ltd .................................... 1,000 47,000
Allstate Corp. ............................. 1,200 54,787
American General Corp. ..................... 1,300 47,500
American RE Corp. .......................... 1,000 44,987
Bank of Boston Corp. ....................... 1,000 49,462
Bank of New York Inc. ...................... 800 41,037
Capital One Financial Corp. ................ 1,300 37,112
Chase Manhattan Corp. ...................... 800 56,531
Crestar Financial Corp. .................... 400 21,406
Dean Witter Discover & Co. ................. 700 40,056
Federal Home Loan Mortgage Corp. ........... 400 34,206
Federal National Mortgage Association ...... 1,500 50,362
First Chicago NBD Corp. .................... 900 35,244
First Union Corp. .......................... 700 42,656
Great Western Financial Corp. .............. 2,400 57,474
ITT Hartford Group Inc. .................... 800 42,581
Old Republic Intl Corp. .................... 1,700 36,637
Providian Corp. ............................ 1,800 77,081
Reliastar Financial Corp. .................. 900 38,999
Republic NY Corp. .......................... 600 37,431
Salomon Inc. ............................... 800 35,193
Signet Banking Corp. ....................... 1,300 30,312
Standard Federal Bancorporation ............ 400 15,400
St. Paul Cos Inc. .......................... 600 32,081
Transatlantic Holdings Inc. ................ 600 41,968
------------
1,047,503
------------
GENERAL BUSINESS - 0.2%
PHH Corp. .................................. 1,200 68,212
Standard Register .......................... 800 19,612
------------
87,824
------------
MISCELLANEOUS - 0.1%
Textron Inc. ............................... 900 71,872
------------
TECHNOLOGY - 1.5%
Beckman Industries Inc ..................... 1,900 71,924
Compaq Computer Corp.* ..................... 1,800 88,712
International Business Machines ............ 900 89,100
LAM Research Corp.* ........................ 1,500 39,000
National Semiconductor Corp.* .............. 4,700 72,850
Raytheon Co. ............................... 1,000 51,556
Seagate Technology* ........................ 2,300 103,524
Tandy Corp. ................................ 700 33,144
Tektronix Inc. ............................. 1,500 67,030
TRW Inc. ................................... 700 63,056
Western Digital Corp.* ..................... 2,000 28,737
------------
708,633
------------
TRANSPORTATION - 0.3%
Burlington Northern Santa Fe ............... 700 56,631
CSX Corp. .................................. 900 43,418
Ryder Sys. Inc. ............................ 1,400 39,387
------------
139,436
------------
UTILITIES - 0.6%
Central ME Power Co. ....................... 1,900 26,974
DTE Energy Co. ............................. 900 27,655
El Paso Natural Gas Co. .................... 1,000 38,468
Entergy Corp. .............................. 1,500 42,468
General Public Utilities Corp. ............. 1,300 45,543
Peco Energy Co. ............................ 1,800 46,768
Sprint Corp. ............................... 1,200 50,337
Unicom Corp. ............................... 1,600 44,567
------------
322,780
------------
TOTAL COMMON STOCK ........................................... 4,951,143
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.8%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 872,259
------------
TOTAL LARGE CAP VALUE ........................................ 5,823,402
------------
SMALL CAP GROWTH - 16.4%
- ------------------------------------------------------------------------------
COMMON STOCK--13.2%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Carbide/Graphite Group Inc.* ............... 7,800 146,250
Intertape Polymer Group Inc. ............... 7,250 146,813
------------
293,063
------------
CAPITAL GOODS - 0.7%
Blount International Inc. .................. 5,150 162,225
Hardinge Bros. Inc. ........................ 4,600 146,050
------------
308,275
------------
CONSUMER BASICS - 2.6%
American Homepatient Inc.* ................. 3,300 146,025
Cytyc Corp.* ............................... 6,100 157,837
ESC Medical Systems Ltd.* .................. 4,000 113,000
Interneuron Pharmaceuticals* ............... 5,200 156,000
NCS Healthcare Inc.* ....................... 5,600 169,400
Performance Food Group Co.* ................ 5,900 153,400
Sunrise Assisted Living Inc.* .............. 7,050 169,200
Vivus* ..................................... 6,350 207,963
------------
1,272,825
------------
CONSUMER DURABLE GOODS - 0.3%
American Homestar Corp.* ................... 5,600 145,600
------------
CONSUMER NON-DURABLES - 0.6%
Mens Wearhouse Inc.* ....................... 4,600 148,350
Petes Brewing Co.* ......................... 9,750 146,250
------------
294,600
------------
CONSUMER SERVICES - 0.6%
Ballys Grand Inc.* ......................... 3,400 144,500
Regal Cinemas Inc.* ........................ 3,300 150,975
------------
295,475
------------
ENERGY - 0.9%
Giant Industries ........................... 10,650 154,425
KCS Energy Inc. ............................ 5,150 148,063
Lomak Pete Inc. ............................ 10,850 154,612
------------
457,100
------------
FINANCE - 0.3%
Olympic Financial Ltd.* .................... 7,050 162,150
------------
GENERAL BUSINESS - 1.0%
Atlantic Tele Network Inc.* ................ 6,150 147,600
Heftel Broadcasting Corp.* ................. 5,300 157,013
State of the Art Inc.* ..................... 9,700 179,450
------------
484,063
------------
MISCELLANEOUS - 2.5%
Eclipse Surgical Technologies* ............. 11,700 160,875
Forensic Technologies Intl. Corp.* ......... 16,750 154,937
Gadzooks Inc.* ............................. 4,900 158,025
Imagyn Medical Inc.* ....................... 13,300 146,300
Meadowbrook Insurance Group Inc. ........... 4,100 126,075
Polycom Inc.* .............................. 21,300 149,100
Sirrom Cap Corp. ........................... 5,550 151,338
Suburban Lodges America Inc.* .............. 6,800 157,250
------------
1,203,900
------------
TECHNOLOGY - 2.6%
Activision Inc. * .......................... 11,550 150,150
Affiliated Computer Services Inc.* ......... 3,300 155,100
Casino Data Systems* ....................... 10,100 152,763
Dupont Photomasks Inc.* .................... 7,500 153,750
Logal Educational Software Systems ......... 6,300 41,737
Insignia Solutions PLC* .................... 18,200 154,700
Network General Corp.* ..................... 6,100 131,150
Phoenix Technology Ltd.* ................... 9,900 165,825
Silicon Valley Research Inc.* .............. 23,950 140,706
------------
1,245,881
------------
TRANSPORTATION - 0.3%
Eagle USA Airfreight Inc.* ................. 3,950 146,150
------------
UTILITIES - 0.2%
Petersburg Long Distance Inc.* ............. 12,800 105,200
------------
TOTAL COMMON STOCKS ........................ 6,414,282
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--3.2%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 1,526,972
------------
TOTAL SMALL CAP GROWTH ....................................... 7,941,254
------------
SMALL CAP VALUE--22.7%
- ------------------------------------------------------------------------------
COMMON STOCKS--12.7%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.9%
Castech Aluminum Group Inc. ................ 13,400 198,320
Oil Dri Corp. America ..................... 15,100 222,918
------------
421,238
------------
CAPITAL GOODS - 0.9%
Esco Electronics Corp. ..................... 24,000 273,450
United Industrial Corp. .................... 27,900 170,932
------------
444,382
------------
CONSUMER BASICS - 1.7%
Health Images Inc. ......................... 8,000 93,000
Medex Inc. ................................. 4,700 60,808
Nash Finch Co. ............................. 7,100 113,600
RLI Corp. .................................. 13,200 320,905
Schultz Sav O Stores Inc. .................. 1,900 23,750
Super Food Services Inc. ................... 22,200 210,925
------------
822,988
------------
CONSUMER DURABLE GOODS - 0.8%
Flexsteel Industries Inc. .................. 9,800 115,150
Oshkosh Truck Corp. ........................ 18,200 257,075
------------
372,225
------------
CONSUMER NON-DURABLES - 0.3%
Syms Corp.* ................................ 21,200 156,122
------------
FINANCE - 2.5%
American National
Insurance Co. ............................ 1,400 91,000
Bankatlantic Bancorp Inc. .................. 8,100 112,435
Downey Financial Corp. ..................... 8,000 175,000
Financial Securities Assur Holdings Ltd. ... 13,400 367,382
GA Financial Inc.* ......................... 28,800 315,627
Presidential Life Corp. .................... 12,600 129,775
------------
1,191,219
------------
GENERAL BUSINESS - 0.5%
Ennis Business Forms Inc. .................. 23,100 262,763
------------
MISCELLANEOUS - 0.4%
Bank Plus Corp. ............................ 19,000 166,250
Haskel International Inc. .................. 2,100 15,750
------------
182,000
------------
SHELTER - 1.6%
Beazer Homes USA Inc.* ..................... 13,900 222,198
Ryland Group Inc.* ......................... 12,700 190,208
US Homes Corp.* ............................ 15,000 369,785
------------
782,191
------------
TECHNOLOGY - 2.3%
Adobe Systems Inc. ......................... 5,600 200,900
Analysis & Technology Inc. ................. 6,000 82,500
Advanced Logic Research Inc.* .............. 17,500 146,563
Cray Research Inc.* ........................ 15,300 369,388
Symantec Corp.* ............................ 12,000 150,000
Quantum Corp.* ............................. 12,000 175,500
------------
1,124,851
------------
UTILITIES - 0.8%
Niagara Mohawk Power Corp.* ................ 48,400 376,000
------------
TOTAL COMMON STOCKS .......................................... 6,135,979
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--10.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 4,855,406
------------
TOTAL SMALL CAP VALUE ........................................ 10,991,385
------------
INTERNATIONAL EQUITY--26.8%
- ------------------------------------------------------------------------------
COMMON STOCKS--16.8%
- ------------------------------------------------------------------------------
AUSTRIA - 0.3%
Bohler Uddeholm ............................ 1,825 141,506
------------
AUSTRALIA - 0.6%
Australia & New Zealand
Bank Group ............................... 40,900 193,904
Gio Australia Holdings ..................... 50,700 124,708
------------
318,612
------------
BELGIUM - 0.2%
GPE Bruxelles Lam .......................... 790 99,944
------------
CANADIAN - 1.0%
Bank N S Halifax ........................... 6,600 160,492
Canadian Imperial Bank Toronto ............. 4,300 138,735
Imasco Ltd. ................................ 8,300 169,301
------------
468,528
------------
FINLAND - 0.4%
UPM Kymmene Oy ............................. 9,300 193,064
------------
FRANCE - 0.9%
Elf Aquitaine .............................. 2,350 173,092
Lafarge .................................... 2,800 169,765
Usinor Sacilor ............................. 8,000 115,483
------------
458,340
------------
GERMANY - 0.7%
Bayer AG ................................... 4,650 164,386
Buderus AG ................................. 410 174,054
------------
338,440
------------
GREAT BRITAIN - 2.8%
Argyll Group ............................... 32,000 172,449
Bat Industries ............................. 26,000 202,482
British Gas ................................ 54,500 152,071
Commercial Union ........................... 14,250 128,725
Hanson ..................................... 47,700 133,678
Hillsdown Holdings ......................... 46,500 125,250
Hyder ...................................... 11,800 130,755
National Westminster ....................... 16,200 154,606
Powergen ................................... 20,600 150,230
------------
1,350,246
------------
HONG KONG - 1.7%
Hang Lung Development Co. .................. 110,000 207,617
Hong Kong Telecomm ......................... 90,200 162,437
HSBC Holdings .............................. 13,200 199,514
New World Development Co. .................. 30,000 139,133
Sth China Morn Post ........................ 154,000 105,441
------------
814,142
------------
IRELAND - 0.3%
Smurfit .................................... 58,500 157,830
------------
ITALY - 0.2%
Danieli & C ................................ 25,100 85,937
------------
JAPAN - 2.2%
Daiwa House Inds ........................... 12,000 186,694
Hokushin Co. ............................... 10,800 138,253
Nichicon Corp. ............................. 12,000 174,664
Nintendo Co. ............................... 1,200 90,307
Nippon Fire & Marine ....................... 27,000 176,917
Sekisui Chemical ........................... 9,000 110,273
Sony Corp. ................................. 2,700 178,583
------------
1,055,691
------------
MALAYSIA - 0.7%
Arab Malaysian Finance ..................... 35,000 153,841
Malaysian International Shipping ........... 57,000 177,626
------------
331,467
------------
NETHERLANDS - 1.6%
Akzo Nobel NV .............................. 1,500 180,025
Fortis Amev NV ............................. 3,150 89,975
Hollandsche Beton .......................... 800 153,386
Ing Groep NV ............................... 5,000 149,223
Kon PTT Nederland .......................... 5,000 189,319
------------
761,928
------------
NEW ZEALAND - 0.4%
Fletcher Challenge (Building) .............. 51,500 100,980
Fletcher Challenge (Energy) ................ 34,400 76,697
Fletcher Challenge (Paper) ................. 20,200 39,191
------------
216,868
------------
NORWAY - 0.5%
Kvaerner ASA ............................... 3,600 152,287
Nycomed .................................... 6,000 83,216
------------
235,503
------------
SPAIN - 0.4%
Banco Santander SA ......................... 3,800 177,623
------------
SWEDEN - 0.3%
Marieberg Tidnings ......................... 7,000 175,418
------------
SWEDEN - 1.3%
Sarna Kunst Holdings ....................... 140 147,817
Schw Ruckversicher ......................... 195 200,295
Sig Schw Ind HG AG ......................... 115 272,276
------------
620,388
------------
UNITED STATES - 0.3%
Jardine Matheson ........................... 23,000 169,049
------------
TOTAL COMMON STOCKS .......................................... 8,170,524
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--10.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 4,863,875
------------
TOTAL INTERNATIONAL EQUITY ................................... 13,034,399
------------
U.S. FIXED INCOME - 5.4%
- ------------------------------------------------------------------------------
FIXED INCOME--5.0%
- ------------------------------------------------------------------------------
MORTGAGE BACKED - 1.1%
Federal National Mortgage Association
TBA 1.00% due 1/11/99 .................... 40,000 39,931
Federal National Mortgage Association
7.00% due 7/1/03 ......................... 125,000 124,609
8.00% due 5/1/26 ......................... 346,500 349,099
------------
513,639
------------
U. S. TREASURY ISSUES - 3.9%
United States Treasury Bond
6.875% due 8/15/25 ......................... 260,000 257,340
6.00% due 5/31/98 .......................... 400,000 399,132
6.375% due 5/15/99 ......................... 405,000 405,899
6.50% due 5/31/01 .......................... 415,000 415,204
6.875% due 5/15/06 ......................... 420,000 424,644
------------
1,902,219
------------
TOTAL FIXED INCOME ........................................... 2,415,858
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--0.4%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 185,925
------------
TOTAL U.S. FIXED INCOME ...................................... 2,601,783
------------
INTERNATIONAL BOND - 28.1%
- ------------------------------------------------------------------------------
FIXED INCOME--15.9%
- ------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
--------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ............................. ATS 520,000 51,832
------------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 ............................... AUD 515,000 386,102
------------
BELGIUM - 0.6%
Belgium (Kingdom)
9.00% due 3/28/03 .............................. BF 7,200,000 264,685
------------
CANADA - 1.6%
Canadian Government
9.00% due 12/01/04 ............................ CAD 1,000,000 797,993
------------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 ............................... DKK 830,000 149,963
------------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 ............................ FRF 1,990,000 421,080
------------
GERMANY - 2.3%
Germany (Fed) Unity
6.875% due 6/11/03 .............................. DEM 300,000 221,138
Treuhandanstalt
7.75% due 10/25/05 ............................ DEM 1,340,000 912,487
------------
1,133,625
------------
GREAT BRITAIN - 2.8%
Treasury
6.00% due 8/10/99 ............................... GBP 910,000 1,378,372
------------
ITALY - 1.2%
Republic of Italy
9.187% due 9/01/05 .......................... ITL 835,000,000 587,540
------------
NEW ZEALAND - 2.8
New Zealand Government
10.00% due 7/15/97 ............................ NED 1,840,000 1,272,418
New Zealand Government
10.00% due 3/15/02 .............................. NED 130,000 93,459
------------
1,365,877
------------
SPAIN - 1.2%
Government of Spain
10.90% due 8/30/03 ........................... ESP 64,200,000 561,293
------------
SWEDEN - 1.3%
Sweden (Kingdom)
11.00% due 1/21/99 ............................ ESP 3,700,000 614,906
------------
TOTAL FIXED INCOME ............................................ 7,713,268
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--10.6%
- ------------------------------------------------------------------------------
United States Treasury Bills(+)
due 7/11/96 ................................................. 952,605
Federal Home Loan Mortgage
5.30% due 7/03/96 ........................................... 3,598,940
Federal National Mortgage Association
5.31% due 7/15/96 ........................................... 598,761
------------
TOTAL SHORT-TERM OBLIGATIONS .................................. 5,150,306
------------
- ------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--1.6%
- ------------------------------------------------------------------------------
Purchase calls
230,100,000 Japanese Government Bonds
exp. date 8/05/96 ........................................... 225,650
8,700,000 Netherland Guilder Government Bonds
exp. date 7/29/96 ........................................... 518,786
------------
TOTAL INTERNATIONAL BOND OPTIONS .............................. 744,436
------------
TOTAL INTERNATIONAL BOND ...................................... 13,608,010
------------
SHORT-TERM--5.0%
United States Treasury Bills
due 7/11/96 ................................................. 2,420,897
------------
TOTAL INVESTMENTS
(Identified Cost $62,140,002) ................ 128.2% 62,148,585
OTHER ASSETS, LESS LIABILITIES ............... (28.2) (13,665,890)
----- ------------
NET ASSETS ................................... 100.0% $ 48,482,695
===== ============
* Non income producing
(+) The Portfolio owns in Aggregate $16,553,000 in U.S. Treasury Bills due
7/11/96 valued at $16,533,229, portions of which are listed separately by
each Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost, $18,597,597
$43,472,531 and $62,140,002, respectively) $18,643,518 $43,562,270 $62,148,585
Cash ....................................................... 5,374 10,456 26,297
Receivable for securities sold ............................. 3,416,411 7,628,505 11,012,098
Dividend receivable ........................................ 607 2,265 4,760
Interest receivable ........................................ 114,345 256,186 266,157
----------- ----------- -----------
Total assets ............................................. 22,180,255 51,459,682 73,457,897
----------- ----------- -----------
LIABILITIES:
Payable for securities purchased ........................... 6,645,088 16,220,061 24,244,798
Payable for options purchased .............................. 217,124 491,654 721,046
Accrued expenses ........................................... 2,622 6,012 9,358
----------- ----------- -----------
Total Liabilities ........................................ 6,864,834 16,717,727 24,975,202
----------- ----------- -----------
Net Assets ................................................. $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
REPRESENTED BY:
Paid-in capital ............................................ $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
INCOME:
Interest (Note 1B) ......................................... $ 15,855 $ 33,617 $ 40,797
Dividends .................................................. 608 2,265 4,760
----------- ----------- -----------
Total Income ............................................. 16,463 35,882 45,557
----------- ----------- -----------
EXPENSES:
Custodian Fees ............................................. 5,000 6,000 7,000
Auditing Services .......................................... 2,500 2,500 2,500
Management fees (Note 2) ................................... 2,009 4,596 6,757
Trustees fees .............................................. 1,000 1,000 1,500
Shareholder reports ........................................ 2,000 2,000 2,500
Legal Services ............................................. 1,500 1,500 1,500
Miscellaneous .............................................. 100 100 100
----------- ----------- -----------
Total expenses ........................................... 14,109 17,696 21,857
----------- ----------- -----------
Less aggregate amount waived by the Manager (Note 2) ....... (2,009) (4,596) (6,757)
Less expenses assumed by the sub-administrator (Note 5) .... (9,478) (7,088) (5,742)
----------- ----------- -----------
Net expenses ............................................... 2,622 6,012 9,358
----------- ----------- -----------
Net investment income ...................................... 13,841 29,870 36,199
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from investment and foreign
currency transactions .................................... 324 2,542 2,141
Net change in unrealized appreciation (depreciation) ....... 45,921 89,739 8,583
----------- ----------- -----------
Net realized and unrealized gain (loss) on investments
and foreign currency ..................................... 46,245 92,281 10,724
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ 60,086 $ 122,151 $ 46,923
=========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ...................................... $ 13,841 $ 29,870 $ 36,199
Net realized gain (loss) from investment transactions
and foreign currency transactions .......................... 324 2,542 2,141
Net change in unrealized appreciation (depreciation)
of investments ........................................... 45,921 89,739 8,583
----------- ----------- -----------
Net increase in net assets resulting from operations ..... 60,086 122,151 46,923
----------- ----------- -----------
CAPITAL TRANSACTIONS
Proceeds from contributions ............................... 15,255,335 34,619,804 48,435,772
Value of withdrawals ...................................... -- -- --
----------- ----------- -----------
Net increase in net assets from capital transactions ..... 15,255,335 34,619,804 48,435,772
----------- ----------- -----------
NET INCREASE IN NET ASSETS ................................. 15,315,421 34,741,955 48,482,695
NET ASSETS:
Beginning of period ........................................ -- -- --
----------- ----------- -----------
End of period .............................................. $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
</TABLE>
See notes to financial statements
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) .................. $15,315 $34,742 $48,483
Ratio of expenses to average net assets .................... 0.85%* 0.85%* 0.90%*
Ratio of net investment income to average net assets ....... 4.48%* 4.42%* 3.48%*
Portfolio turnover ......................................... 48% 42% 45%
Note: If Agents of the Portfolio had not voluntarily agreed to waive a portion of their fees, the Sub-administrator not assumed
expenses for the periods indicated, and the ratios would have been as follows:
Ratios:
Expenses to average net assets ............................. 2.50%* 2.50%* 2.50%*
Net investment income to average net assets ................ 2.83%* 2.77%* 0.98%*
<FN>
* Annualized
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- ------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) SIGNIFICANT ACCOUNTING POLICIES
Asset Allocation Portfolio 200, Asset Allocation Portfolio 300, and Asset
Allocation Portfolio 400 (the "Portfolios") are each a separate series of Asset
Allocation Portfolios (the "Trust") which are registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment company
which is organized as a trust under the laws of the State of New York. The
Declaration of the Trust permits the Trustees to issue beneficial interest in
the Portfolios. Citibank, N.A. ("Citibank" or the Manager) is the Investment
Manager of each of the Portfolios. Signature Financial Group (Grand Cayman),
Ltd. ("SFG") acts as the Portfolios' Sub-Administrator.
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 in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Portfolios
are in conformity with generally accepted accounting principles and are as
follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities are valued at the last
sale price on the exchange on which they are primarily traded, or at the quoted
bid price for securities in which there were no sales during the day, or for
unlisted securities not reported on the NASDAQ system. Securities listed on a
foreign exchange are valued at the last quoted sale price available. Bonds,
Foreign Bonds and other fixed income securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by a pricing service, the use of which has been approved by
the Trustees. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices or exchanges or over-the-counter prices. Short-term obligations
maturing in sixty days or less, are valued at amortized cost, which constitutes
fair value as determined by the Trustees. Portfolio securities for which there
are no such quotations or valuations are valued at fair value as determined in
good faith by or under guidelines established by the Trustees. Trading in
securities on most foreign exchanges and over-the-counter markets is normally
completed before the close of the New York Stock Exchange and may also take
place on days on which the New York Stock Exchange is closed. If events
materially affecting the value of foreign securities occur between the time when
the exchange on which they are traded closes and the time when each Portfolio's
net asset value is calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general supervision of
the Trustees.
B. INCOME -- Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for Federal income tax purposes. Gain and loss from principal
paydowns are recorded as interest income. Dividend income and other
distributions from investments are recorded on ex-dividend date, except if the
ex-dividend date passed, certain dividends from foreign securities are recorded
as the Portfolio is informed of ex-dividend date. Dividend income is recorded
net of foreign taxes withheld where recovery of such taxes is not assured.
C. FOREIGN CURRENCY TRANSLATION -- The accounting records of each of the
Portfolios, are maintained in U.S. dollars. For each of the Portfolios Foreign
currency amounts are translated into U.S. dollars at the current rate of
exchange to determine the value of investments, assets and liabilities.
Purchases and sales of securities, and income and expenses are translated at the
prevailing rate of exchange on the respective dates of such transactions. The
Portfolios do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuation
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Translations of foreign currency includes net exchange gains and losses,
disposition of foreign currency and the difference between the amount of
investment income, expenses and foreign taxes withheld recorded and the amount
actually received or paid.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each of the Portfolios may
enter into forward foreign currency exchange contracts ("contracts") in
connection with planned purchases or sales of securities, to hedge the U.S.
dollar value of portfolio securities denominated in a particular currency. Each
of the Portfolios could be exposed to risks if the counter-parties to the
contracts are unable to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. Dollar. The
forward foreign currency exchange contracts are adjusted by the daily exchange
rate of the underlying currency and any gains or losses are recorded for
financial statement purposes as unrealized gains or losses until the contract
settlement date.
E. U.S. FEDERAL TAXES -- Each of the Portfolios is considered a partnership
under the U.S. Internal Revenue Code. Accordingly, no provision for federal
income or excise tax is necessary.
F. EXPENSES -- Each Portfolio bears all costs of its operations other than
expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Trust with respect to any two or more Portfolios are allocated in proportion to
the average net assets of each Portfolio, except when allocations of direct
expenses to each Portfolio can otherwise be made fairly. Expenses directly
attributable to a Portfolio are charged to that Portfolio.
G. TBA PURCHASED COMMITMENTS -- The Portfolio enters into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed unit at a
future date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2.0% from the principal amount. The
Portfolio holds, and maintains until settlement date, cash or high-grade debt
obligations in an amount sufficient to meet the purchase price. TBA purchase
commitment may be considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased declines prior to the
settlement date, which risk is in addition to the risk of decline in the value
of the Portfolio's other assets. Unsettled TBA purchase commitments are valued
at current market value of the underlying securities, generally according to the
procedures described under Note 1A.
H. PURCHASED OPTIONS -- The premium paid by a Portfolio for the purchase of a
call or a put option is included in the Portfolios' Statement of Assets and
Liabilities as an investment and subsequently marked-to market to reflect the
current market value of the option. When an option which the Portfolios has
purchased expires on the stipulated expiration date, the Portfolios will realize
a loss in the amount of the cost of the option. When the Portfolios enter into a
closing sale transaction, the Portfolio will realize a gain or loss, depending
on whether the sale proceeds from the closing sale transaction are greater or
less than the cost of the option. When the Portfolio exercises a put option, it
will realize a gain or loss from sale of the underlying security and the proceed
from such sale will be decreased by the premium originally paid. When the
Portfolios exercises a call option, the cost of the security which the
Portfolios purchases upon exercise will be increased by the premium originally
paid.
I. OTHER -- Investment transactions are accounted for on the trade date.
Realized gains and losses on investment transactions are determined on the
identified cost basis.
(2) MANAGEMENT FEES
Citibank is responsible for overall management of the Portfolios' business
affairs, and has a separate Management Agreement with each of the Portfolios.
Citibank also provides certain administrative services to the Portfolios. These
administrative services include providing general office facilities and
supervising the overall administration of the Portfolio. SFG acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time are agreed to by Citibank and SFG.
The management fees paid to Citibank, is accrued daily and computed at the
following annual rate of average daily net assets:
Asset Allocation Portfolio 200 ............... 0.65%
Asset Allocation Portfolio 300 ............... 0.65%
Asset Allocation Portfolio 400 ............... 0.65%
The manager has waived all of its fees for each Portfolio for the period
ended June 30, 1996. The Trust pays no compensation directly to any Trustee or
any other officer who is affiliated with the Sub-Administrator, all of whom
receive remuneration for their services to the Trust from the Sub-Administrator
or its affiliates.
(3) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of securities, other than short-term obligations, for
the period ended June 30, 1996, were as follows:
PURCHASES SALES
Asset Allocation Portfolio 200 .... $16,623,373 $ 5,498,557
Asset Allocation Portfolio 300 .... $42,318,996 $12,740,613
Asset Allocation Portfolio 400 .... $28,876,232 $18,817,621
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 1996, as computed on a federal income
tax basis, are as follows:
ASSET ALLOCATION PORTFOLIO 200
Aggregate Cost .............................. $18,597,597
===========
Gross unrealized appreciation ............... $ 116,891
Gross unrealized depreciation ............... (70,970)
--------
Net unrealized appreciation/depreciation .... $ 45,921
===========
ASSET ALLOCATION PORTFOLIO 300
Aggregate Cost .............................. $43,472,531
============
Gross unrealized appreciation ............... $ 325,206
Gross unrealized depreciation ............... (235,467)
--------
Net unrealized appreciation/depreciation .... $ 89,739
============
ASSET ALLOCATION PORTFOLIO 400
Aggregate Cost .............................. $62,140,002
============
Gross unrealized appreciation ............... $ 502,704
Gross unrealized depreciation ............... (494,121)
------------
Net unrealized appreciation/depreciation .... $ 8,583
============
(5) ASSUMPTION OF EXPENSES
SFG has voluntarily agreed to pay a poriton of the unwaived expenses for
the period June 17, 1996 (commencement of operations) to June 30, 1996. The
amounts are as follows:
Asset Allocation Portfolio 200 $9,478
Asset Allocation Portfolio 300 $7,088
Asset Allocation Portfolio 400 $5,742
