<PAGE>
[LOGO]
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U.S. CORE EQUITY FUND
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AGGRESSIVE EQUITY FUND
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GLOBAL INDEPENDENCE FUND
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ANNUAL REPORT
OCTOBER 31, 1999
<PAGE>
Table of Contents
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<TABLE>
<S> <C>
Letter from the President, CDC Investment Management
Corporation................................................. 1
Fund Manager Economic and Market Reviews
US Core Equity Fund................ 3
Aggressive Equity Fund............. 5
Global Independence Fund........... 7
Schedule of Investments..................................... 9
Statements of Assets and Liabilities........................ 19
Statements of Operations.................................... 20
Statements of Changes in Net Assets......................... 21
Financial Highlights........................................ 22
Notes to Financial Statements............................... 23
Report of Independent Auditors.............................. 29
</TABLE>
<PAGE>
Letter from the President
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Dear Shareholders:
We are pleased to present you with the CDC MPT+
Funds Annual Report for the year ended October 31,
1999. The Funds, launched on July 1, 1999, started
on a harmonious note, and in the four months
following their introduction, the US stock market,
as represented by the S&P 500 Index, has been
exceedingly volatile, with a summer slump and a
late fall recovery. Through it all, our Funds have
been very modestly creeping ahead of the S&P 500
Index.
[PHOTO]
Bluford H. Putnam
To provide you with some additional insight into the Funds, we will briefly
review the performance of our young funds and then, perhaps on a more
interesting note, we will talk a little bit about how market forces may develop
in the coming year.
FUND PERFORMANCE AND REVIEW
Our US CORE EQUITY FUND has a stock picker's approach, and focuses only on
large companies. We stress strong risk management, and we avoid market timing
like the plague. If this fund can successfully outperform the S&P 500 Index over
a long period of time, our hope and goal, it will be because our blend of
quantitative tools and fundamental judgment is well-suited to building
disciplined stock portfolios for controlling risks in volatile markets. In our
short four months of existence, which of course means nothing for the
longer-term performance prospects, the US Core Equity Fund returned 0.10%, which
does not sound too good, unless one realizes that the S&P 500 Index returned
only -0.31% for the same period.
Our AGGRESSIVE EQUITY FUND attempts to outperform the S&P 500 Index with a
diversified approach to global equity, bond, and currency investing overlaid on
top of a core position in the US stock market. That is, the benchmark to beat is
the S&P 500 Index, but our success depends on our global investing skills and
not on our US stock picking skills, as in the US Core Equity Fund. With the
Federal Reserve raising short-term interest rates and global equity markets as
volatile as those in the US, our first four months of existence were exciting to
say the least. The Aggressive Equity Fund returned 1.00% for this short period,
which of course is not indicative of future performance, but this return did
compare well with the -0.31% of the S&P 500 Index for the same period.
Our GLOBAL INDEPENDENCE FUND is a departure from the traditional approach
that most US mutual funds employ. Within the confines of SEC regulations for US
mutual funds, CDC Investment Management Corporation is attempting to bring to US
investors the discipline and risk control processes of off-shore, alternative
strategies, which is our main line of business whereby we manage approximately
$4.5 billion of assets. The Fund is designed to construct portfolios balanced
with a diversity of different risks from around the world, including equities,
bonds, and currencies. Our hope is that the resulting returns will not be
correlated with stock or bond markets. That is, first, we hope to produce 10% to
15% total returns each year, regardless of what happens in the US stock and bond
markets. In some years stocks will do much better than this Fund, and in other
years, more poorly. Through it all, our goal is to provide returns to investors
that are independent of the ups and downs of US stocks. We cannot, however, do
this without taking some considerable risks. The point is that the risks taken
in this Fund are truly of a different type and style of risk-taking than in most
US equity or bond funds. During the first four months of its existence, the
Global Independence Fund returned 4.30%, making money in almost all four months
(July 1999, -0.20%), even when US equities were having their ups and downs. This
Fund is not benchmarked against the S&P 500 Index. We were gratified that it
beat the S&P 500 Index during the period, but that means nothing. Over
- ---1
<PAGE>
CDC Investment Management Corp.
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time, our hope is that Global Independence, as a risky, yet disciplined fund
will dance to a different drummer from US stocks and bonds, and fit nicely into
many portfolios as a diversifying, alternative strategy.
LOOKING AHEAD
As we look ahead to the year 2000, despite the many risks in this globally
integrated world of ours, we see a glass that is clearly more than half full.
Despite the long run of healthy economic growth in the US, there are precious
few signs of inflation, even as the best and brightest of the US Federal Reserve
search under every rock and behind every tree to find signs of future inflation.
Make no mistake. This is their job, and we think the professionals at the
Federal Reserve are doing a great job at managing US interest rate policy. It is
just that the powerful combination of global market integration and the
technology and communications revolution have made it possible for a period of
sustained economic growth with limited inflation pressures. This period will not
last forever, but the good news is that it can go on for several more years.
Competition from abroad, especially emerging market countries in Asia and Latin
America are keeping a lid on the prices of US goods. Technological progress is
keeping computer prices competitive, while allowing for strong advances in
productivity. This means, that even as labor costs rise, as they will in a tight
employment market, the prices of goods and services will grow only modestly.
Will the US Federal Reserve decide to hike short-term rates again in the
year 2000? Probably. Will it slow down the US economy? Probably not. The Federal
Reserve will want to be cautious of potential future inflation, but so long as
the economy is healthy, a further one-quarter of one percent rise in US
short-term interest rates will make no difference at all to corporate America.
The Federal Reserve will just be keeping the markets on notice that it is being
vigilant, and this is a good thing.
What about the long-term risks? Even if corporate profits grow nicely in the
year 2000 and the US stock market posts another good year, as we are estimating
it will, what could disrupt this rosy picture early in the new millennium?
We believe the interrelationships of government budgets and aging
populations will be the key risks for the long-term. The US should not face
these problems at first. Europe and Japan may be on the firing line by 2005,
give or take a few years. Populations in Europe and Japan are already older than
in the US (thanks to immigration, for one thing) and the social security and
other pension systems are much more poorly funded than in the US. That is, if
one thinks the US social security system has long-run funding problems, then one
would be shocked at what could happen in Europe and Japan. In our opinion budget
deficits will balloon in the 2005-2010 period. Calls for pension reform may lead
to political crises. Pension benefits could be cut. Tax incentives may
proliferate to encourage private pensions. It could be a very volatile period
for financial markets, raising risks and dragging down bonds, and possibly
stocks as well. Will it happen in the US in the five to ten year period
following Europe? Will the US government learn anything from the difficulties
our colleagues abroad face first? Don't count on it. But for the next few years,
these problems may seem too far in the future for them to meaningfully impact US
stock and bond markets. We see that the "Goldilocks" economy of low inflation,
healthy economic growth, and a volatile, but upward trend in US stocks should be
staying in place for another year.
/s/ Bluford H. Putnam
Bluford H. Putnam
President, CDC Investment Management Corp.
December 1, 1999
2 ---
<PAGE>
Manager Reviews: US Core Equity Fund
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FUND INFORMATION
Investment Objective: The U.S. Core
Equity Fund is a diversified portfolio
that seeks total return greater than that
of the S&P 500 Index by investing
primarily in equity securities of U.S.
companies.
[PHOTO] [PHOTO]
Jason Wolin Frank Hanley
Fund Inception Date: June 30, 1999
Commencement of Operations Class: Institutional -
July 1, 1999, Investor - Not Operational
Expense Ratio: Institutional - 2.07% annualized,
Investor - N/A
Total Net Assets (all classes): $29,320,090
PORTFOLIO REVIEW
The first four months of the fund's operations were buffeted by dramatic
changes in market expectations concerning the course for US interest rates
within an environment of generally strong earnings growth. With earnings growth
concentrated in a few sectors-notably, technology, energy, and financial-growth
stocks significantly outperformed value issues, and stocks of large capitalized
firms outperformed those of small capitalized firms. Overall, however, this
period proved to be a very difficult one for most stocks, with the average price
of stocks on the NYSE falling 8.9%.
The advent of global healing and the persistent strength of the US economy
have rekindled both market and Federal Reserve concerns of a pending flare up in
inflation. So much so, that the Fed has already raised interest rates 50 basis
points since June and will likely increase them further going forward. The
silver lining of renewed inflation concerns has been a stronger-than-expected US
economy. And as a consequence, growth in profits has continued to exceed market
expectations. This juxtaposition of higher interest rates and stronger profit
growth has generated a schizophrenic environment for equity prices with higher
rates restraining price appreciation, but with stronger earnings promoting
higher prices. Going forward, inflation pressures have been notable mostly by
their absence. This low-inflation environment (which we expect to continue)
should eventually lead to lower market interest rates and thereby offer further
fundamental support to equity prices.
PERFORMANCE
The Fund's performance has been produced mainly by its positions in the
technology and financial sectors and has been aided by the significant
volatility the stocks in these sectors have exhibited. In choosing individual
stocks in the technology sector, we concentrated on finding companies whose
value seemed to be
- ---3
<PAGE>
Manager Reviews: US Core Equity Fund
- ------------------------------------------------------------------
out of line with their peers. For example, our analysis indicated that Gateway
Computer (0% held as of 10/31/1999) was undervalued. Our corresponding
overweight position (relative to the S&P weighting) contributed 25 basis points
to the portfolio's excess return over the index during this period. Likewise,
our underweight position in Hewlett Packard (0% held as of 10/31/1999), which
consistently underperformed expectations, added 24 basis points of excess
return.
In contrast, we were not as successful in identifying undervalued HMOs
relative to other insurers. We believed that a positive pricing environment,
coupled with improving operating efficiencies would boost Aetna's (0.4% held as
of 10/31/1999) and Wellpoint's (0.2% held as of 10/31/1999) economic returns.
Although this analysis was correct, other unanticipated events served to turn
market sentiment against these firms in particular and this sector in general.
Disappointing news from Aetna's acquisition of Prudential's healthcare unit and
the threat of litigation by plaintiff tobacco lawyers, who were targeting the
managed healthcare industry, caused equity prices across the sector to plummet.
The end result was a 65 basis point reduction in the portfolio's overall
performance. At the bottom line, however, the Fund's diversified strategy
generated positions that outperformed the S&P 500 Index by 41 basis points in
the four month period since its inception.
MARKET OUTLOOK AND PORTFOLIO POSITIONING
Looking ahead, with US corporations continuing to produce strong earnings
and economic growth expected to remain robust, we see the potential for US
equities to continue to rally through year-end. However, the road to the new
millennium will likely be a little bumpy. The Federal Reserve's open market
committee met again on November 16, raising interest rates another 25 basis
points. Moreover, concerns over Y2K may lead to some adjustments among
investors. We will continue to employ our discipline of investing in companies
with strong signals from our quantitative strategies supported by our
fundamental Economic Value Added (EVA-Registered Trademark-)* based analysis.
<TABLE>
<CAPTION>
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<S> <C> <C>
Total Returns (%) for the period ended October 31, 1999 Since Inception
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US Core Equity Fund 0.10%
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S&P 500 Index (1) -0.31%
Lipper Growth and Income Index (2) -4.07%
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</TABLE>
Source: (1) Bloomberg
(2) Lipper Analytical Services, Inc.
* EVA-Registered Trademark- is a registered trademark of the Stern Stewart
Company
Performance data quoted represents past performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
The fund may also engage in other investment practices, including the
purchase of foreign securities. International investing is associated with
additional risks, including currency, information and political risks.
4 ---
<PAGE>
Manager Reviews: Aggressive Equity Fund
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FUND INFORMATION
Investment Objective: The Aggressive
Equity Fund is a non-diversified
portfolio that seeks total return
greater than that of the S&P 500 Index
by investing primarily in equity and
equity related securities and certain
derivative instruments.
[PHOTO] [PHOTO]
D. Sykes Wilford Jose M. Quintana
Fund Inception Date: June 30, 1999
Commencement of Operations Class: Institutional -
July 1, 1999, Investor - Not Operational
Expense Ratio: Institutional - 2.89% annualized,
Investor - N/A
Total Net Assets (all classes): $ 25,685,936
[PHOTO]
Andrew Dalton
PORTFOLIO REVIEW
During its first four months of existence, the Aggressive Equity Fund
returned 1.00%, outperforming its benchmark, the S&P 500 Index, by 1.31%. United
States equities fell in July, August and September before rebounding in October.
The Aggressive Equity Fund was able to beat its benchmark during this period by
also taking exposures to equity, bond and short-duration equivalent deposit
markets outside of the United States.
PERFORMANCE
The Aggressive Equity Fund outperformed its benchmark in August and
September, but slightly under performed its benchmark in July and October.
Positions in the United Kingdom were particularly important to the fund's
outperformance of its index. For instance, in September, the Bank of England's
decision to raise interest rates boosted our performance by contributing to a
sell-off in United Kingdom bonds and equities, where we had sold futures
contracts on the Gilt and FTSE index. Simultaneously, the rate hike strengthened
the Pound Sterling versus the Euro, contributing positively to the Fund's
return. It had been our view that the United Kingdom was much more likely than
continental Europe to raise interest rates due to its relatively tight labor
market and robust capacity utilization.
Other positions that contributed to the Fund's outperformance included
selling the Australian Dollar forward against the United States Dollar. Also in
this environment, our position in the Australian equity market also finished
with a small gain. Australia's fast growing economy and its relatively easy
monetary policy have enhanced the attractiveness of investing in equities there,
while simultaneously encouraging us to hedge the position by selling the
Australian Dollar.
- ---5
<PAGE>
Manager Reviews: Aggressive Equity Fund
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Some of the positions held in the portfolio had been designed as hedges to
reduce the overall risk of the Fund. As expected, many of these positions
dampened returns, but were established to offset risk elsewhere in the
portfolio. For example, we had bought Australian bond futures as a way to reduce
the risk of our overall bond market exposure.
MARKET OUTLOOK AND PORTFOLIO POSITIONING
Unfortunately, it is not possible to know the future course of the S&P 500
Index with a high degree of certainty. We expect that as the baby boom
generation continues to save for retirement, that share prices in the United
States are more likely than not to continue higher, although probably not at the
breathtaking pace of the past five years.
Regardless of what happens to the S&P 500 Index itself, we expect that our
mixture of active management and quantitative discipline should enable us to
continue to add value to the index over the course of the coming years. In the
more immediate future, in November and December of 1999, we expect to take most
of our active risk within positions in European equities while selling futures
contracts in certain government bond markets, especially in the United Kingdom
and Japan.
Moreover, many of the large money center banks significantly reduced trading
operations in 1999 following the Long Term Capital Management debacle. We
suspect that after Y2K many of these firms may step up their trading operations
and that, as a result, liquidity is likely to improve. If this does indeed
occur, it could be very beneficial for our portfolios.
<TABLE>
<CAPTION>
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<S> <C> <C>
Total Returns (%) for the period ended October 31, 1999 Since Inception
- ------------------------------------------------------------------------------------
Aggressive Equity Fund 1.00%
- ------------------------------------------------------------------------------------
S&P 500 Index (1) -0.31%
Lipper Growth and Income Index (2) -4.07%
- ------------------------------------------------------------------------------------
</TABLE>
Source: (1) Bloomberg
(2) Lipper Analytical Services, Inc.
Performance data quoted represents past performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
There are risks of investing in a fund of this type that invests in
securities of foriegn countries, such as erratic market conditions, economic and
political instability, and fluctuations in currency exchange rates. To the
extent that the fund's foreign investments at any time are focused in one
particular country or target a single region, the fund may be more volatile than
a more geographically diversified fund.
6 ---
<PAGE>
Manager Reviews: Global Independence Fund
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FUND INFORMATION
Investment Objective: The Global
Independence Fund is a non-diversified
portfolio that seeks total return, on a
risk adjusted basis, consistent with the
preservation of capital by investing
primarily in the global equity, global
fixed income and currency markets.
[PHOTO] [PHOTO]
D. Sykes Wilford Jose M. Quintana
Fund Inception Date: June 30, 1999
Commencement of Operations Class: Institutional -
July 1, 1999, Investor - Not Operational
Expense Ratio: Institutional - 2.11% annualized,
Investor - N/A
Total Net Assets (all classes): $26,792,634
[PHOTO]
Andrew Dalton
PORTFOLIO REVIEW
During its first four months of existence, the Global Independence Fund
returned 4.30%, outperforming its benchmark, 50% JP Morgan Global Government
Bond Index and 50% Morgan Stanley Global Equity Index, by 54 basis points. From
July to October both the equity and bond portions of our benchmarks strengthened
by about 3.8%. In this environment, the Global Independence Fund was able to
generate positive returns for investors through its carefully chosen combination
of equity and bond exposures as well as short duration deposits.
PERFORMANCE
Although the Global Independence Fund generated positive total returns in
almost all four months, the largest gains came in September. One event that
helped us to outperform our benchmark that month was the decision on the part of
the Bank of England to increase its short-term rates. This benefited our
underweight positions on United Kingdom Bonds and FTSE 100 Index. We had felt
that strong economic growth in the United Kingdom combined with relative low
levels of unemployment and high rates of capacity utilization made their stocks
and bonds unattractive. Instead, in the interest of capital preservation, we
decided to invest in the equivalent of short-term cash deposits in the United
Kingdom which have performed strongly versus equivalent deposits in the Euro and
the United States Dollar.
Being under weighted in United Kingdom instruments allowed us to be over
weighted in other markets versus our benchmark and thus helped to generate
positive returns. Australian equities have been especially attractive to us.
They have very low valuation levels compared to equities in North America and
Europe but, like those other equities, still have strong earnings growth. A
heightened exposure here also benefited the returns of the Fund.
- ---7
<PAGE>
Manager Reviews: Global Independence Fund
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Some of the positions in the portfolio act as risk reducing hedges. Many of
these, predictably, lost money. Among them, were our long position in the
Australian bond which we used to compensate for a short futures position in the
United Kingdom and a small exposure to the Swiss Franc that may have helped us
in the event of a general decline in equity and bond markets.
MARKET OUTLOOK AND PORTFOLIO POSITIONING
We expect that our mixture of active management and quantitative discipline
will continue to perform well during the coming year. For the months of November
and December we expect to have a higher weighting in the equity markets of
Europe and Australia versus those here in the United States, which we believe
are much less attractive on a valuation basis. On the other hand, for economic
reasons we believe that bonds in the Euro Zone are likely to outperform those in
the United Kingdom and Japan and we have positioned our relative weightings
accordingly.
For much of 1999 liquidity in world markets was dampened due to the after
effects of the financial crisis the previous year as well as concerns over Y2K.
Many large money center banks reduced trading operations. Meanwhile hedge funds
and other speculators were also more conservative about their trading. We
believe that these two phenomena have caused market volatility to increase,
making it more difficult to generate returns and more necessary to focus on risk
management and capital preservation. In the coming year we expect that these
trends will reverse and that markets should behave more according to economic
fundamentals. If this does indeed occur, and banks and speculators come back
into the world's financial markets, thereby improving liquidity, the Global
Independence Fund should have a very strong year.
<TABLE>
<CAPTION>
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<S> <C> <C>
Total Returns (%) for the period ended October 31, 1999 Since Inception
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Global Independence Fund 4.30%
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Blended Benchmark:
50% JP Morgan Global Gov't Bond Index (1) 3.76%
50% Morgan Stanley Global Equity Index (1)
Lipper Global Flex Index (2) 1.04%
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</TABLE>
Source: (1) Bloomberg
(2) Lipper Analytical Services, Inc.
Performance data quoted represents past performance. The investment return
and principal value of an investment will fluctuate so that an investor's
shares, when redeemed, may be worth more or less than their original cost.
There are risks of investing in a fund of this type that invests in
securities of foreign countries, such as erratic market conditions, economic and
political instability, and fluctuations in currency exchanges rates. To the
extent that the fund's foreign investments at any time are focused in one
particular country or target a single region, the fund may be more volatile than
a more geographically diversified fund.
8 ---
<PAGE>
CDC MPT+ FUNDS -- U.S. CORE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCK -- 106.1%
- --------------------------------------------------------
AEROSPACE -- 1.9%
General Dynamics Corp. 2,800 $ 155,225
Goodrich (B.F.) Co. 3,828 90,676
United Technologies
Corp. 5,300 320,650
----------------
566,551
----------------
AIRLINES -- 0.6%
Delta Air Lines, Inc. 3,400 185,088
----------------
AUTOMOBILES & TRUCKS -- 1.0%
Ford Motor Co. 5,300 290,838
----------------
BANKING -- 5.6%
Bank of America Corp. 5,200 334,750
Bank One Corp. 3,600 135,225
Chase Manhattan Corp. 4,600 401,925
Fleet Boston Corp. (a) 5,800 253,025
National City Corp. 4,500 132,750
Wells Fargo & Co. 7,900 378,212
----------------
1,635,887
----------------
BEVERAGES -- 2.4%
Coca-Cola Co. 3,200 188,800
Coca-Cola Enterprises,
Inc. 14,500 370,656
PepsiCo, Inc. 4,400 152,625
----------------
712,081
----------------
BREWERY -- 1.2%
Anheuser-Busch Cos.,
Inc. 4,900 351,881
----------------
BROADCASTING -- 1.5%
MediaOne Group,
Inc. (a) 6,000 426,375
----------------
BUSINESS EQUIPMENT & SERVICES -- 1.6%
Electronic Data Systems
Corp. 2,100 122,850
First Data Corp. 3,500 159,906
Unisys Corp. (a) 8,100 196,425
----------------
479,181
----------------
CHEMICALS -- 1.1%
Dow Chemical Co. 1,100 130,075
Union Carbide Corp. 3,000 183,000
----------------
313,075
----------------
COMPUTERS -- 7.5%
Apple Computer,
Inc. (a) 2,000 160,250
Cisco Systems,
Inc. (a) 7,400 547,600
Dell Computer
Corp. (a) 7,400 296,925
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMPUTERS (CONTINUED)
International Business
Machines Corp. 9,700 $ 954,237
Sun Microsystems,
Inc. (a) 2,200 232,788
----------------
2,191,800
----------------
COMPUTER SOFTWARE -- 9.5%
America Online, Inc. 2,700 350,156
Compuware Corp. (a) 6,700 186,344
EMC Corp. (a) 7,100 518,300
Microsoft Corp. (a) 15,000 1,388,437
Oracle Corp. (a) 7,100 337,694
----------------
2,780,931
----------------
DIVERSIFIED MANUFACTURING
OPERATIONS -- 7.4%
Corning, Inc. 4,000 314,500
General Electric Co. 9,200 1,247,175
Minnesota Mining &
Manufacturing Co. 3,000 285,187
Tyco International Ltd. 7,700 307,519
----------------
2,154,381
----------------
ELECTRONIC COMPONENTS -- 0.9%
LSI Logic Corp. (a) 5,100 271,256
----------------
FINANCIAL SERVICES -- 5.9%
American Express Co. 700 107,800
Citigroup, Inc. 13,100 709,038
Federal National
Mortgage Association 5,500 389,125
Mellon Financial Corp. 5,400 199,463
Morgan Stanley Dean
Witter & Co. 2,800 308,875
----------------
1,714,301
----------------
FOOD -- 1.6%
Bestfoods 3,100 182,125
Unilever NV, (ADR) 4,500 300,094
----------------
482,219
----------------
HEALTH CARE MANAGEMENT -- 0.2%
Wellpoint Health
Networks, Inc. --
Class A (a) 1,000 58,000
----------------
HOME BUILDING & PRODUCTS -- 1.2%
Lowe's Cos., Inc. 6,600 363,000
----------------
HOUSEHOLD APPLIANCES -- 0.5%
Black & Decker Corp. 3,100 133,300
----------------
HOUSEHOLD & PERSONAL CARE -- 1.8%
Clorox Co. 7,000 286,562
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---9
<PAGE>
CDC MPT+ FUNDS -- U.S. CORE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
HOUSEHOLD & PERSONAL CARE (CONTINUED)
Kimberly-Clark Corp. 1,300 $ 82,063
Procter & Gamble Co. 1,400 146,825
----------------
515,450
----------------
INSURANCE -- 3.3%
Aetna, Inc. 2,300 115,575
American International
Group, Inc. 8,400 864,675
----------------
980,250
----------------
MACHINERY & EQUIPMENT -- 1.9%
Briggs & Stratton Corp. 2,300 134,406
Cummins Engine Co.,
Inc. 3,600 182,475
Johnson Controls, Inc. 4,100 249,075
----------------
565,956
----------------
MANUFACTURING -- 0.4%
Ball Corp. 2,900 116,906
----------------
MEDICAL PRODUCTS & SUPPLIES -- 2.8%
C.R. Bard, Inc. 1,700 91,694
Guidant Corp. 5,100 251,812
Johnson & Johnson 3,100 324,725
Mallinckrodt, Inc. 4,400 149,325
----------------
817,556
----------------
MULTIMEDIA -- 1.9%
Time Warner, Inc. 7,900 550,531
----------------
OIL & GAS -- 6.3%
Atlantic Richfield Co. 2,300 214,331
Chevron Corp. 2,400 219,150
Enron Corp. 6,400 255,600
Exxon Corp. 4,500 333,281
Mobil Corp. 1,800 173,700
Royal Dutch Petroleum
Co., (ADR) 5,600 335,650
Texaco, Inc. 5,100 313,013
----------------
1,844,725
----------------
PAPER & RELATED PRODUCTS -- 1.3%
Georgia-Pacific Group 9,800 388,938
----------------
PHARMACEUTICALS -- 9.2%
American Home Products
Corp. 5,300 276,925
Bristol-Myers Squibb
Co. 5,700 437,831
Cardinal Health, Inc. 7,700 332,063
Merck & Co., Inc. 10,700 851,319
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
PHARMACEUTICALS (CONTINUED)
Pfizer, Inc. 5,600 $ 221,200
Warner-Lambert Co. 7,300 582,631
----------------
2,701,969
----------------
RETAIL -- 6.4%
Abercrombie & Fitch
Co. -- Class A (a) 5,700 155,325
Dayton Hudson Corp. 2,900 187,413
Federated Department
Stores, Inc. (a) 3,900 166,481
Home Depot, Inc. 3,900 294,450
Kroger Co. (a) 9,800 203,962
Wal-Mart Stores, Inc. 15,300 867,319
----------------
1,874,950
----------------
SEMICONDUCTORS -- 3.3%
Applied Materials,
Inc. (a) 1,300 116,756
Intel Corp. 9,180 710,876
National Semiconductor
Corp. (a) 4,900 146,694
----------------
974,326
----------------
TELECOMMUNICATIONS EQUIPMENT &
SERVICES -- 14.6%
ADC Telecommunications,
Inc. (a) 5,510 262,758
AT & T Corp. 17,700 827,475
Bell Atlantic Corp. 2,000 129,875
BellSouth Corp. 8,600 387,000
Excel Switching
Corp. (a) 6,200 220,488
Global Crossing
Ltd. (a) 8,600 297,775
Lucent Technologies,
Inc. 9,200 591,100
MCI WorldCom, Inc. (a) 9,000 772,312
SBC Communications,
Inc. 7,316 372,659
Sprint Corp., (PCS
Group) Series 1 (a) 2,600 215,638
Tellabs, Inc. (a) 3,100 196,075
----------------
4,273,155
----------------
TOBACCO -- 0.4%
Philip Morris Co. 4,700 118,381
----------------
UTILITIES -- ELECTRIC -- 0.9%
Duke Energy Corp. 2,800 158,200
Southern Co. 4,000 106,250
----------------
264,450
----------------
- --------------------------------------------------------
TOTAL COMMON STOCK --
(COST $30,947,931) 31,097,688
- --------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
10---
<PAGE>
CDC MPT+ FUNDS -- U.S. CORE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE PRINCIPAL VALUE
- --------------------------------------------------------
<S> <C> <C>
GOVERNMENT AND AGENCY
SECURITIES -- DISCOUNT NOTES -- 2.0%
- --------------------------------------------------------
Federal Home Loan Bank
5.60%+ due 2/22/2000 $ 600,000 $ 589,604
- --------------------------------------------------------
TOTAL GOVERNMENT AND AGENCY
SECURITIES -- DISCOUNT NOTES --
(COST $589,604) 589,604
- --------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 3.7%
- --------------------------------------------------------
Westdeutsche Landesbank
Girozentrale 5.3125%,
11/01/1999 $1,100,000 $ 1,100,000
- --------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT --
(COST $1,100,000) 1,100,000
- --------------------------------------------------------
TOTAL INVESTMENTS --
(COST $32,637,535*) -- 111.8% 32,787,292
- --------------------------------------------------------
OTHER ASSETS LESS LIABILITIES --
(11.8)% (3,467,202)
- --------------------------------------------------------
NET ASSETS -- 100.0% $ 29,320,090
========================================================
</TABLE>
<TABLE>
<C> <S>
(a) Non-income producing security
(ADR) American Depository Receipt
* Aggregate cost for Federal tax purposes
is $32,673,259. Aggregate gross
unrealized appreciation for all
securities in which there is an excess
of value over tax cost and aggregate
gross unrealized depreciation for all
securities in which there is an excess
of tax cost over value were $1,694,376
and $1,580,343, respectively, resulting
in net unrealized appreciation of
$114,033.
+ Rate represents annualized yield at date
of purchase.
</TABLE>
SCHEDULE OF OPEN FUTURES CONTRACTS AT OCTOBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------
TOTAL UNREALIZED
NUMBER OF CONTRACT APPRECIATION/
CONTRACTS CONTRACT DESCRIPTION VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
7 S&P 500 Index Future December
1999 Long $2,408,350 $84,952
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---11
<PAGE>
CDC MPT+ FUNDS -- AGGRESSIVE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCK -- 115.7%
- --------------------------------------------------------
AEROSPACE -- 1.2%
Boeing Co. 3,200 $ 147,400
General Dynamics Corp. 400 22,175
Lockheed Martin Corp. 1,700 34,000
Raytheon Co. -- Class B 800 23,300
United Technologies
Corp. 1,500 90,750
----------------
317,625
----------------
AIRLINES -- 0.3%
Delta Air Lines, Inc. 800 43,550
Southwest Airlines Co. 1,600 26,900
----------------
70,450
----------------
ALUMINUM -- 0.2%
Alcoa, Inc. 1,000 60,750
----------------
AUTOMOBILES & TRUCKS -- 1.6%
Delphi Automotive
Systems Corp. 2,800 46,025
Ford Motor Co. 3,800 208,525
General Motors Corp. 2,100 147,525
----------------
402,075
----------------
BANKING -- 6.2%
Bank of America Corp. 4,900 315,437
Bank of New York Co.,
Inc. 2,300 96,312
Bank One Corp. 3,300 123,956
BB&T Corp. 1,500 54,563
Chase Manhattan Corp. 2,500 218,437
Fifth Third Bancorp 800 59,050
Firstar Corp. 2,100 61,687
Fleet Boston Corp. (a) 2,929 127,778
National City Corp. 2,100 61,950
Northern Trust Corp. 300 28,969
PNC Bank Corp. 800 47,700
SunTrust Banks, Inc. 700 51,231
U.S. Bancorp 2,300 85,244
Wachovia Corp. 500 43,125
Wells Fargo & Co. 4,600 220,225
----------------
1,595,664
----------------
BEVERAGES -- 2.6%
Coca-Cola Co. 7,100 418,900
Coca-Cola Enterprises,
Inc. 1,600 40,900
PepsiCo, Inc. 4,200 145,687
Seagram Co., Ltd. 1,500 74,063
----------------
679,550
----------------
BREWERY -- 0.3%
Anheuser-Busch Cos.,
Inc. 1,200 86,175
----------------
BROADCASTING -- 1.1%
Clear Channel
Communications,
Inc. (a) 800 64,300
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
BROADCASTING (CONTINUED)
Comcast Corp. -- Class
A 2,100 $ 88,463
MediaOne Group,
Inc. (a) 1,700 120,806
----------------
273,569
----------------
BUSINESS EQUIPMENT & SERVICES -- 1.7%
Automatic Data
Processing, Inc. 1,700 81,919
Cendant Corp. (a) 2,600 42,900
Electronic Data Systems
Corp. 1,500 87,750
First Data Corp. 1,000 45,687
Interpublic Group Cos.,
Inc. 800 32,500
McGraw-Hill Cos., Inc. 500 29,812
Omnicom Group, Inc. 400 35,200
Pitney Bowes, Inc. 600 27,338
Unisys Corp. (a) 900 21,825
Xerox Corp. 1,500 42,000
----------------
446,931
----------------
CHEMICALS -- 1.6%
Air Products &
Chemicals, Inc. 1,000 27,500
Dow Chemical Co. 800 94,600
Du Pont (E.I.) de
Nemours & Co. 3,300 212,644
Praxair, Inc. 700 32,725
Rohm and Haas Co. 900 34,425
----------------
401,894
----------------
COMPUTERS -- 8.4%
3Com Corp. (a) 1,000 29,000
Apple Computer,
Inc. (a) 800 64,100
Cisco Systems,
Inc. (a) 8,900 658,600
Compaq Computer Corp. 5,200 98,800
Dell Computer
Corp. (a) 7,100 284,887
Gateway, Inc. (a) 1,200 79,275
Hewlett-Packard Co. 2,800 207,375
International Business
Machines Corp. 5,000 491,875
Sun Microsystems,
Inc. (a) 2,300 243,369
----------------
2,157,281
----------------
COMPUTER SOFTWARE -- 9.1%
Adobe Systems, Inc. 800 55,950
America Online, Inc. 3,000 389,062
BMC Software, Inc. (a) 800 51,350
Computer Associates
International, Inc. 1,600 90,400
Computer Sciences
Corp. (a) 500 34,344
Compuware Corp. (a) 1,500 41,719
EMC Corp. (a) 2,800 204,400
Microsoft Corp. (a) 13,700 1,268,106
</TABLE>
The accompanying notes are an integral part of these financial statements.
12---
<PAGE>
CDC MPT+ FUNDS -- AGGRESSIVE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Novell, Inc. (a) 700 $ 14,044
Oracle Corp. (a) 4,100 195,006
----------------
2,344,381
----------------
CONSUMER GOODS -- 0.3%
Avery Dennison Corp. 500 31,250
Eastman Kodak Co. 700 48,256
----------------
79,506
----------------
CRUISE LINES -- 0.3%
Carnival Corp. 1,900 84,550
----------------
DIVERSIFIED MANUFACTURING
OPERATIONS -- 7.5%
AlliedSignal, Inc. 1,600 91,100
Corning, Inc. 600 47,175
General Electric Co. 9,400 1,274,287
Illinois Tool Works,
Inc. 600 43,950
Minnesota Mining &
Manufacturing Co. 1,100 104,569
Monsanto Co. 1,900 73,150
PPG Industries, Inc. 700 42,438
Textron, Inc. 500 38,594
Tyco International Ltd. 5,000 199,687
----------------
1,914,950
----------------
ELECTRONIC COMPONENTS -- 1.8%
Emerson Electric Co. 1,600 96,100
KLA-Tencor Corp. (a) 400 31,675
LSI Logic Corp. (a) 700 37,259
Micron Technology,
Inc. (a) 700 49,919
Motorola, Inc. 1,700 165,644
Rockwell International
Corp. 600 29,062
Solectron Corp. (a) 600 45,150
----------------
454,809
----------------
ENVIRONMENTAL SERVICES -- 0.2%
Waste Management, Inc. 2,100 38,588
----------------
FINANCIAL SERVICES -- 8.3%
American Express Co. 1,200 184,800
Associates First
Capital Corp. --
Class A 2,300 83,950
Capital One Financial
Corp. 500 26,500
Charles Schwab Corp. 2,400 93,450
Citigroup, Inc. 9,400 508,775
Federal Home Loan
Mortgage Corp. 2,100 113,531
Federal National
Mortgage Association 2,900 205,175
First Union Corp. 2,900 123,794
Franklin Resources,
Inc. 800 28,000
Household
International, Inc. 1,700 75,862
J.P. Morgan & Co., Inc. 500 65,438
KeyCorp 1,600 44,700
MBNA Corp. 2,400 66,300
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES (CONTINUED)
Mellon Financial Corp. 1,700 $ 62,794
Merrill Lynch & Co.,
Inc. 900 70,650
Morgan Stanley Dean
Witter & Co. 1,700 187,531
Providian Financial
Corp. 500 54,500
Regions Financial Corp. 1,000 30,063
State Street Corp. 400 30,450
Washington Mutual, Inc. 2,400 86,250
----------------
2,142,513
----------------
FOOD -- 2.1%
Bestfoods 700 41,125
Campbell Soup Co. 900 40,500
ConAgra, Inc. 1,700 44,306
General Mills, Inc. 400 34,875
H.J. Heinz Co. 1,000 47,750
Kellogg Co. 1,500 59,719
Quaker Oats Co. 400 28,000
Sara Lee Corp. 2,900 78,481
Unilever NV, (ADR) 1,900 126,707
Wm. Wrigley Jr. Co. 400 31,975
----------------
533,438
----------------
HEALTH CARE MANAGEMENT -- 0.4%
Columbia/HCA Healthcare
Corp. 2,800 67,550
McKesson HBOC, Inc. 800 16,050
United Healthcare Corp. 500 25,844
----------------
109,444
----------------
HOME BUILDING & PRODUCTS -- 0.4%
Lowe's Cos., Inc. 1,000 55,000
Weyerhaeuser Co. 700 41,781
----------------
96,781
----------------
HOUSEHOLD APPLIANCES -- 0.1%
Black & Decker Corp. 400 17,200
----------------
HOUSEHOLD & PERSONAL CARE -- 3.1%
Clorox Co. 600 24,563
Colgate-Palmolive Co. 1,600 96,800
Gillette Co. 3,000 108,562
Kimberly-Clark Corp. 2,000 126,250
Newell Rubbermaid, Inc. 1,500 51,938
Procter & Gamble Co. 3,700 388,037
----------------
796,150
----------------
INSURANCE -- 3.5%
Aetna, Inc. 400 20,100
AFLAC, Inc. 600 30,675
Allstate Corp. 2,000 57,500
American General Corp. 600 44,512
American International
Group, Inc. 4,475 460,645
Aon Corp. 500 17,750
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---13
<PAGE>
CDC MPT+ FUNDS -- AGGRESSIVE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
INSURANCE (CONTINUED)
Chubb Corp. 600 $ 32,925
CIGNA Corp. 500 37,375
Conseco, Inc. 1,000 24,313
Hartford Financial
Services Group, Inc. 700 36,269
Lincoln National Corp. 600 27,675
Loews Corp. 600 42,525
Marsh & McLennan Cos.,
Inc. 600 47,437
Progressive Corp. 300 27,769
----------------
907,470
----------------
MACHINERY & EQUIPMENT -- 0.7%
Baker Hughes, Inc. 900 25,144
Briggs & Stratton Corp. 400 23,375
Caterpillar, Inc. 1,000 55,250
Honeywell, Inc. 300 31,631
Ingersoll-Rand Co. 600 31,350
Johnson Controls, Inc. 400 24,300
----------------
191,050
----------------
MEDICAL PRODUCTS & SUPPLIES -- 2.4%
Baxter International,
Inc. 800 51,900
Boston Scientific
Corp. (a) 1,000 20,125
Guidant Corp. 700 34,563
Johnson & Johnson 3,700 387,575
Medtronic, Inc. 3,400 117,725
----------------
611,888
----------------
MULTIMEDIA -- 2.7%
CBS Corp. (a) 2,300 112,269
Gannett Co., Inc. 700 53,988
Time Warner, Inc. 3,400 236,937
Tribune Co. 600 36,000
Viacom, Inc. -- Class
B (a) 2,100 93,975
Walt Disney Co. 5,700 150,338
----------------
683,507
----------------
OIL & GAS -- 7.4%
Atlantic Richfield Co. 800 74,550
Burlington Resources,
Inc. 900 31,388
Chevron Corp. 1,900 173,494
Conoco, Inc. -- Class B 2,100 57,088
Enron Corp. 2,400 95,850
Exxon Corp. 6,800 503,625
Halliburton Co. 1,000 37,687
Mobil Corp. 2,300 221,950
Phillips Petroleum Co. 1,000 46,500
Royal Dutch Petroleum
Co., (ADR) 6,100 365,619
Schlumberger Ltd. 1,600 96,900
Texaco, Inc. 1,700 104,337
Unocal Corp. 1,000 34,500
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
OIL & GAS (CONTINUED)
USX-Marathon Group 1,000 $ 29,125
Williams Cos., Inc. 900 33,750
----------------
1,906,363
----------------
PAPER & RELATED PRODUCTS -- 0.5%
Georgia-Pacific Group 600 23,813
International Paper Co. 1,900 99,987
----------------
123,800
----------------
PHARMACEUTICALS -- 10.1%
Abbott Laboratories 4,200 169,575
American Home Products
Corp. 3,700 193,325
Amgen, Inc. (a) 1,500 119,625
Bristol-Myers Squibb
Co. 5,600 430,150
Cardinal Health, Inc. 900 38,813
Lilly (Eli) & Co. 3,000 206,625
Merck & Co., Inc. 6,600 525,112
Pfizer, Inc. 10,700 422,650
Pharmacia & Upjohn,
Inc. 1,500 80,906
Schering-Plough Corp. 4,100 202,950
Warner-Lambert Co. 2,600 207,513
----------------
2,597,244
----------------
RESTAURANTS -- 0.7%
McDonald's Corp. 4,000 165,000
Tricon Global
Restaurants,
Inc. (a) 400 16,075
----------------
181,075
----------------
RETAIL -- 7.2%
Albertson's, Inc. 1,500 54,469
Avon Products, Inc. 600 19,350
Best Buy Co., Inc. (a) 500 27,781
Circuit City
Stores-Circuit City
Group 800 34,150
Costco Wholesale
Corp. (a) 500 40,156
CVS Corp. 800 34,750
Dayton Hudson Corp. 1,200 77,550
Federated Department
Stores, Inc. (a) 700 29,881
Gap, Inc. 2,400 89,100
Home Depot, Inc. 4,100 309,550
J.C. Penney Co., Inc. 900 22,838
Kroger Co. (a) 2,800 58,275
Limited, Inc. 600 24,675
Mattel, Inc. 1,900 25,412
May Department Stores
Co. 900 31,219
NIKE, Inc. -- Class B 700 39,506
Office Depot, Inc. (a) 1,000 12,438
Safeway, Inc. (a) 1,600 56,500
Sears, Roebuck & Co. 1,000 28,187
Staples, Inc. (a) 1,000 22,188
Tandy Corp. 400 25,175
</TABLE>
The accompanying notes are an integral part of these financial statements.
14---
<PAGE>
CDC MPT+ FUNDS -- AGGRESSIVE EQUITY FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
RETAIL (CONTINUED)
TJX Cos., Inc. 900 $ 24,412
Too, Inc. (a) 85 1,360
Wal-Mart Stores, Inc. 12,300 697,256
Walgreen Co. 2,900 73,044
----------------
1,859,222
----------------
SEMICONDUCTORS -- 4.1%
Applied Materials,
Inc. (a) 900 80,831
Intel Corp. 9,000 696,938
National Semiconductor
Corp. (a) 1,600 47,996
Texas Instruments, Inc. 2,400 215,400
----------------
1,041,165
----------------
TELECOMMUNICATIONS EQUIPMENT &
SERVICES -- 14.5%
ALLTEL Corp. 1,000 83,250
AT & T Corp. 9,100 425,425
Bell Atlantic Corp. 4,200 272,737
BellSouth Corp. 5,200 234,000
General Instrument
Corp. (a) 500 26,906
Global Crossing
Ltd. (a) 2,920 101,105
GTE Corp. 2,800 210,000
Lucent Technologies,
Inc. 8,600 552,550
MCI WorldCom, Inc. (a) 5,300 454,806
Nextel Communications,
Inc. -- Class A (a) 800 68,950
Nortel Networks Corp. 4,000 247,750
QUALCOMM, Inc. 500 111,375
SBC Communications,
Inc. 9,426 480,137
Sprint Corp., (FON
Group) 2,500 185,781
Sprint Corp., (PCS
Group) Series 1 (a) 1,000 82,938
Tellabs, Inc. (a) 1,400 88,550
US WEST, Inc. 1,500 91,594
----------------
3,717,854
----------------
TOBACCO -- 0.7%
Philip Morris Co. 6,600 166,238
----------------
TRANSPORTATION -- 0.4%
Burlington Northern
Santa Fe Corp. 1,000 31,875
FDX Corp. (a) 700 30,144
Norfolk Southern Corp. 1,000 24,437
Union Pacific Corp. 500 27,875
----------------
114,331
----------------
UTILITIES -- ELECTRIC -- 2.0%
AES Corp. (a) 800 45,150
Ameren Corp. 700 26,469
Consolidated Edison,
Inc. 800 30,550
Duke Energy Corp. 1,600 90,400
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
UTILITIES -- ELECTRIC (CONTINUED)
Edison International 2,300 $ 68,137
FPL Group, Inc. 800 40,250
PECO Energy Co. 800 30,550
Southern Co. 2,900 77,031
Texas Utilities Co. 1,700 65,875
Unicom Corp. 700 26,819
----------------
501,231
----------------
- --------------------------------------------------------
TOTAL COMMON STOCK --
(COST $29,777,269) 29,706,712
- --------------------------------------------------------
<CAPTION>
- --------------------------------------------------------
PRINCIPAL
- --------------------------------------------------------
<S> <C> <C>
GOVERNMENT AND AGENCY
SECURITIES -- DISCOUNT NOTES -- 3.2%
- --------------------------------------------------------
Federal Home Loan Bank
5.58%+ due 2/17/2000 $ 150,000 147,525
Federal National
Mortgage Assn. 5.63%+
due 4/24/2000 700,000 681,115
----------------
828,640
----------------
- --------------------------------------------------------
TOTAL GOVERNMENT AND AGENCY
SECURITIES -- DISCOUNT NOTES --
(COST $828,640) 828,640
- --------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 3.9%
- --------------------------------------------------------
Westdeutsche Landesbank
Girozentrale 5.3125%
due 11/01/1999 1,000,000 1,000,000
- --------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT --
(COST $1,000,000) 1,000,000
- --------------------------------------------------------
TOTAL INVESTMENTS --
(COST $31,605,909*) -- 122.8% 31,535,352
OTHER ASSETS LESS LIABILITIES --
(22.8)% (5,849,416)
- --------------------------------------------------------
NET ASSETS -- 100.0% $ 25,685,936
========================================================
</TABLE>
<TABLE>
<C> <S>
(a) Non-income producing security
(ADR) American Depository Receipt
* Aggregate cost for Federal tax purposes
is $31,605,909. Aggregate gross
unrealized appreciation for all
securities in which there is an excess
of value over tax cost and aggregate
gross unrealized depreciation for all
securities in which there is an excess
of tax cost over value were $1,549,300
and $1,619,857, respectively, resulting
in net unrealized depreciation of
$70,557.
+ Rate represents annualized yield at date
of purchase.
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---15
<PAGE>
CDC MPT+ FUNDS -- AGGRESSIVE EQUITY FUND
Schedule of Investments, October 31, 1999
SCHEDULE OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS AT OCTOBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
UNREALIZED
IN EXCHANGE VALUE APPRECIATION/
CONTRACT DESCRIPTION DELIVERY DATE FOREIGN CURRENCY FOR U.S. $ IN U.S. $ (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian Dollar
(sell) November 4, 1,929,000 $ 1,263,958 $1,229,329 $ 34,629
1999
Australian Dollar
(buy) November 4, 960,000 622,051 611,797 (10,254)
1999
Canadian Dollar
(sell) November 4, 573,000 391,503 389,602 1,901
1999
Canadian Dollar (buy) November 4, 280,000 187,974 190,381 2,407
1999
Swiss Franc (sell) November 4, 4,663,000 3,153,546 3,062,317 91,229
1999
Swiss Franc (buy) November 4, 4,663,000 3,161,742 3,062,317 (99,425)
1999
Euro (sell) November 4, 3,960,000 4,248,699 4,163,854 84,845
1999
Euro (buy) November 4, 3,960,000 4,266,583 4,163,854 (102,729)
1999
Pound Sterling (sell) November 4, 1,906,000 3,179,925 3,127,579 52,346
1999
Pound Sterling (buy) November 4, 1,906,000 3,147,158 3,127,579 (19,579)
1999
Japanese Yen (sell) November 4, 108,000,000 1,030,534 1,035,763 (5,229)
1999
Japanese Yen (buy) November 4, 78,000,000 741,800 748,051 6,251
1999
----------- ---------
$25,395,473 $ 36,392
=========== =========
</TABLE>
SCHEDULE OF OPEN FUTURES CONTRACTS AT OCTOBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
FOREIGN TOTAL UNREALIZED
NUMBER OF NOTIONAL CONTRACT APPRECIATION/
CONTRACTS CONTRACT DESCRIPTION AMOUNT VALUE (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
14 Australian Share Price Index Future Dec.
1999 Long 1,008,000 $ 643,205 $(14,150)
22 Australian 10 Year Bond Future Dec. 1999 Long 18,509,116 11,810,666 (17,487)
31 CAC 40 Euro Index Future Nov. 1999 Long 1,514,970 1,597,233 30,250
4 Euro-Bond Future Dec. 1999 Long 423,560 446,559 (308)
4 Japan 10 Year Bond Future Mar. 2000 Short (523,720,000) (5,026,586) 13,975
4 S&P 500 Index Future Dec. 1999 Long N/A 1,376,200 23,556
4 Swiss Fed Bond Future Dec. 1999 Short (474,920) (312,057) 6,361
2 S&P/Toronto 60 Index Future Dec. 1999 Short (173,040) (117,634) (6,534)
3 DAX Index Future Dec. 1999 Long 415,350 437,904 1,177
1 Canadian 10 Year Bond Future Dec. 1999 Long 120,760 82,094 (1,092)
12 Long Gilt 10 Year Future Dec. 1999 Short (1,295,400) (2,129,638) (43,933)
6 FTSE 100 Index Future Dec. 1999 Short (377,460) (620,544) 3,629
1 US 10 Year Note Future Dec. 1999 Long N/A 109,719 1,384
----------- --------
$ 8,297,121 $ (3,172)
=========== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
16---
<PAGE>
CDC MPT+ FUNDS -- GLOBAL INDEPENDENCE FUND
Schedule of Investments, October 31, 1999
<TABLE>
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE PRINCIPAL VALUE
- --------------------------------------------------------
<S> <C> <C>
GOVERNMENT AND AGENCY SECURITIES --
DISCOUNT NOTES -- 94.4%
- --------------------------------------------------------
Federal Home Loan Bank
5.42%+ due 1/10/2000 $6,650,000 $ 6,580,822
Federal Home Loan Bank
5.58%+ due 2/17/2000 350,000 344,225
Federal Home Loan Bank
5.60%+ due 2/22/2000 400,000 393,069
Federal Home Loan
Mortgage Corp. 5.52%+
due 1/19/2000 6,650,000 6,570,614
Federal National
Mortgage Assn. 5.53%+
due 1/18/2000 6,700,000 6,620,884
Federal National
Mortgage Assn. 5.63%+
due 4/24/2000 4,900,000 4,767,802
----------------
25,277,416
----------------
- --------------------------------------------------------
TOTAL GOVERNMENT AND AGENCY
SECURITIES -- DISCOUNT NOTES --
(COST $25,277,416) 25,277,416
- --------------------------------------------------------
<CAPTION>
- --------------------------------------------------------
NAME OF ISSUER MARKET
AND TITLE OF ISSUE PRINCIPAL VALUE
- --------------------------------------------------------
<S> <C> <C>
CERTIFICATES OF DEPOSIT -- 4.1%
- --------------------------------------------------------
Westdeutsche Landesbank
Girozentrale 5.3125%,
11/01/1999 $1,100,000 $ 1,100,000
- --------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT --
(COST $1,100,000) 1,100,000
- --------------------------------------------------------
TOTAL INVESTMENTS --
(COST $26,377,416*) -- 98.5% 26,377,416
- --------------------------------------------------------
OTHER ASSETS LESS LIABILITIES -- 1.5% 415,218
- --------------------------------------------------------
NET ASSETS -- 100.0% $ 26,792,634
========================================================
</TABLE>
<TABLE>
<C> <S>
* Aggregate cost for Federal tax purposes is
$26,377,416.
+ Rate represents annualized yield at date of
purchase.
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---17
<PAGE>
CDC MPT+ FUNDS -- GLOBAL INDEPENDENCE FUND
Schedule of Investments, October 31, 1999
SCHEDULE OF OPEN FORWARD FOREIGN CURRENCY CONTRACTS AT OCTOBER 31, 1999
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------
UNREALIZED
IN EXCHANGE VALUE APPRECIATION/
CONTRACT DESCRIPTION DELIVERY DATE FOREIGN CURRENCY FOR U.S. $ IN U.S. $ (DEPRECIATION)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Australian Dollar
(sell) November 4, 3,180,000 $ 2,083,663 $2,026,576 $ 57,087
1999
Australian Dollar
(buy) November 4, 1,510,000 978,435 962,305 (16,130)
1999
Canadian Dollar
(sell) November 4, 32,000 21,864 21,758 106
1999
Swiss Franc (sell) November 4, 6,779,000 4,584,090 4,451,952 132,138
1999
Swiss Franc (buy) November 4, 8,719,000 5,862,290 5,726,002 (136,288)
1999
Euro (sell) November 4, 8,195,000 8,792,057 8,616,864 175,193
1999
Euro (buy) November 4, 8,195,000 8,829,554 8,616,864 (212,690)
1999
Pound Sterling (sell) November 4, 4,191,000 6,992,587 6,877,064 115,523
1999
Pound Sterling (buy) November 4, 4,981,000 8,215,499 8,173,385 (42,114)
1999
Japanese Yen (sell) November 4, 223,000,000 2,123,141 2,138,660 (15,519)
1999
Japanese Yen (buy) November 4, 166,000,000 1,578,612 1,592,007 13,395
1999
New Zealand Dollar
(buy) November 4, 129,000 66,871 65,307 (1,564)
1999
----------- ---------
$50,128,663 $ 69,137
=========== =========
</TABLE>
SCHEDULE OF OPEN FUTURES CONTRACTS AT OCTOBER 31, 1999
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
FOREIGN TOTAL UNREALIZED
NUMBER OF NOTIONAL CONTRACT APPRECIATION/
CONTRACTS CONTRACT DESCRIPTION AMOUNT VALUE (DEPRECIATION)
- -----------------------------------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C> <C>
19 Australian 10 Year Bond Future Dec. 99 Long $ 16,170,281 $10,318,257 $(44,549)
27 CAC 40 Euro Index Future Nov. 99 Long 1,319,490 1,391,138 26,388
19 Euro-Bond Future Dec. 99 Short (2,011,910) (2,121,157) (18,257)
4 Japan 10 Year Bond Future Mar. 00 Short (523,720,000) (5,026,586) 31,154
2 S&P 500 Index Future Dec. 99 Long N/A 688,100 7,090
4 S&P/Toronto 60 Index Future Dec. 99 Short (346,080) (235,269) (13,109)
8 DAX Index Future Dec. 99 Long 1,107,600 1,167,743 83,080
2 Canadian 10 Year Bond Future Dec. 99 Long 241,520 164,188 (2,183)
11 Long Gilt 10 Year Future Dec. 99 Short (1,187,450) (1,952,168) (36,963)
13 FTSE 100 Index Future Dec. 99 Short (817,830) (1,344,513) 7,862
20 US 10 Year Note Future Dec. 99 Long N/A 2,194,375 27,267
----------- --------
$ 5,244,108 $ 67,780
=========== ========
</TABLE>
The accompanying notes are an integral part of these financial statements.
18---
<PAGE>
CDC MPT+ FUNDS
Statements of Assets and Liabilities
October 31, 1999
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
GLOBAL
U.S. CORE AGGRESSIVE INDEPENDENCE
EQUITY FUND EQUITY FUND FUND
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
ASSETS:
Investments in securities, at market value $32,787,292 $31,535,352 $26,377,416
Cash 180,269 338,083 398,020
Receivables for investments sold 714,685 0 0
Receivables for forward currency contracts 0 36,392 69,137
Futures variation margin 39,600 32,580 172
Receivable for fund shares sold 750,000 375,000 100,000
Dividends and interest receivable 21,984 20,583 487
Dividend tax reclaim receivable 0 16 0
Reimbursement due from Adviser 107,413 125,635 119,427
- ----------------------------------------------------------------------------------------------------------
Total Assets 34,601,243 32,463,641 27,064,659
- ----------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for investments purchased 5,008,958 6,443,364 0
Advisory fee payable 161,247 208,883 151,483
Trustees fees payable 7,289 7,289 7,289
Administration fee payable 8,958 8,958 8,958
Transfer agent fee payable 5,840 5,858 5,849
Custodian fees payable 42,109 56,600 51,692
Other accrued expenses 46,752 46,753 46,754
- ----------------------------------------------------------------------------------------------------------
Total Liabilities 5,281,153 6,777,705 272,025
- ----------------------------------------------------------------------------------------------------------
Net Assets $29,320,090 $25,685,936 $26,792,634
==========================================================================================================
NET ASSETS CONSIST OF:
Paid in capital $29,202,999 $25,443,983 $25,684,383
Undistributed net investment income 0 0 267,249
Accumulated net realized gain/(loss) on investments, futures
contracts and currency transactions (117,618) 273,990 681,877
Net unrealized appreciation/(depreciation) on investments
and other net assets 234,709 (32,037) 159,125
- ----------------------------------------------------------------------------------------------------------
Net Assets $29,320,090 $25,685,936 $26,792,634
==========================================================================================================
INSTITUTIONAL SHARES:
Shares of beneficial interest outstanding, no par value
(Unlimited Authorized) 2,928,962 2,544,020 2,567,577
==========================================================================================================
Net asset value, offering and redemption price per share* $10.01 $10.10 $10.43
==========================================================================================================
Investments, at cost $32,637,535 $31,605,909 $26,377,416
==========================================================================================================
</TABLE>
<TABLE>
<C> <S>
* Shares held less than 90 days are subject to a 1.00%
redemption fee.
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---19
<PAGE>
CDC MPT+ FUNDS
Statements of Operations
For the period ended October 31, 1999*
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
GLOBAL
U.S. CORE AGGRESSIVE INDEPENDENCE
EQUITY FUND EQUITY FUND FUND
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends (net of foreign taxes withheld of $251, $549
and $0 respectively) $ 91,753 $ 89,505 $ 0
Interest 14,914 40,849 448,902
--------- --------- -----------
Total investment income 106,667 130,354 448,902
--------- --------- -----------
EXPENSES:
Investment advisory fees 161,247 208,883 151,483
Administrative fees 30,833 30,833 30,833
Audit fees 24,000 24,000 24,000
Custodian fees 42,109 56,600 51,692
Legal fees 10,000 10,000 10,000
Transfer agent fees 11,382 11,166 11,315
Registration fees 6,600 6,600 6,600
Trustees fees 7,333 7,333 7,333
Printing fees 2,489 2,489 2,489
Miscellaneous fees 5,334 5,335 5,335
--------- --------- -----------
Total expenses 301,327 363,239 301,080
Less expenses reimbursed by the investment adviser (107,413) (125,635) (119,427)
--------- --------- -----------
Net expenses 193,914 237,604 181,653
- ----------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) (87,247) (107,250) 267,249
- ----------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN/(LOSS) ON INVESTMENTS:
Net realized gain on investments and futures contracts (117,618) 381,240 681,877
Net change in unrealized appreciation/(depreciation) on
investments and futures contracts 234,709 (32,037) 159,125
--------- --------- -----------
Net realized and unrealized gain on investments 117,091 349,203 841,002
- ----------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 29,844 $ 241,953 $ 1,108,251
==========================================================================================================
</TABLE>
<TABLE>
<C> <S>
* From July 1, 1999, commencement of investment operations.
</TABLE>
The accompanying notes are an integral part of these financial statements.
20---
<PAGE>
CDC MPT+ FUNDS
Statements of Changes in Net Assets
For the period ended October 31, 1999*
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
GLOBAL
U.S. CORE AGGRESSIVE INDEPENDENCE
EQUITY FUND EQUITY FUND FUND
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------
INCREASE/(DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income/(loss) $ (87,247) $ (107,250) $ 267,249
Net realized gain/(loss) on investments and futures
contracts (117,618) 381,240 681,877
Net change in unrealized appreciation/(depreciation) on
investments and futures contracts 234,709 (32,037) 159,125
------------ ------------ ------------
Net increase in net assets from operations 29,844 241,953 1,108,251
- -----------------------------------------------------------------------------------------------------------
FROM FUND SHARES TRANSACTIONS:
Proceeds of shares sold 29,256,912 25,410,650 25,651,050
------------ ------------ ------------
Net increase in net assets from Fund share transactions 29,256,912 25,410,650 25,651,050
- -----------------------------------------------------------------------------------------------------------
Net increase in net assets 29,286,756 25,652,603 26,759,301
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period 33,334 33,333 33,333
------------ ------------ ------------
End of period (a) $ 29,320,090 $ 25,685,936 $ 26,792,634
===========================================================================================================
(a) Including undistributed net investment income $ 0 $ 0 $ 267,249
</TABLE>
<TABLE>
<C> <S>
* From July 1, 1999, commencement of investment operations.
</TABLE>
The accompanying notes are an integral part of these financial statements.
- ---21
<PAGE>
CDC MPT+ FUNDS
Financial Highlights
For the period ended October 31, 1999*
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
INSTITUTIONAL SHARES
------------------------------------------
GLOBAL
U.S. CORE AGGRESSIVE INDEPENDENCE
EQUITY FUND EQUITY FUND FUND
<S> <C> <C> <C>
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.00 $10.00
- ----------------------------------------------------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income/(loss) (0.03) (0.04) 0.10
Net realized and unrealized gain on investments, futures
contracts, and foreign currency transactions 0.04 0.14 0.33
---------- ---------- -----------
Total from investment operations 0.01 0.10 0.43
---------- ---------- -----------
LESS DISTRIBUTIONS:
Distributions from net investment income 0 0 0
Distributions from net realized gains 0 0 0
---------- ---------- -----------
Total distributions 0 0 0
- ----------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.01 $10.10 $10.43
==========================================================================================================
TOTAL RETURN (A) 0.10% 1.00% 4.30%
==========================================================================================================
RATIOS TO AVERAGE NET ASSETS/SUPPLEMENTAL DATA:
Net assets, end of period (in 000's) $ 29,320 $ 25,686 $ 26,793
Ratio of operating expenses to average net assets (b) 2.07% 2.89% 2.11%
Ratio of net investment income/(loss) to average net
assets (b) (0.93)% (1.31)% 3.10%
Ratio of operating expenses to average net assets
without expenses reimbursed by investment adviser (b) 3.22% 4.43% 3.49%
Portfolio turnover 42% 0.35% 0.00%
==========================================================================================================
</TABLE>
<TABLE>
<C> <S>
* The CDC MPT+ Funds commenced investment operations on July
1, 1999.
(a) Total return represents aggregate total return for the
period indicated.
(b) Annualized.
</TABLE>
22---
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS
October 31, 1999
NOTE A-ORGANIZATION
CDC MPT+ Funds (the "Trust"), is registered under the Investment Company Act
of 1940, as amended, (the "1940 Act") as an open-end management investment
company. The Trust consists of three funds, each having distinct investment
objectives and policies: U.S. Core Equity Fund (diversified portfolio),
Aggressive Equity Fund (non-diversified portfolio), and Global Independence Fund
(non-diversified portfolio), (individually, the "Fund", and collectively, the
"Funds"). The Trust currently offers Institutional shares of each Fund and may
offer Investor shares in the future.
The Trust was organized as a Delaware business trust on October 13, 1998.
Prior to April 20, 1999, the Trust had no activity other than its organization.
On April 20, 1999, the U.S. Core Equity Fund issued 3,334 Institutional shares,
Aggressive Equity Fund and Global Independence Fund issued 3,333 Institutional
shares at net asset value (the "Initial Shares") to CDC Investment Management
Corporation (the "Adviser"). Investment operations for each Fund commenced
July 1, 1999.
NOTE B-SIGNIFICANT ACCOUNTING POLICIES
THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY
THE TRUST IN THE PREPARATION OF ITS FINANCIAL STATEMENTS.
SECURITY VALUATION- Securities listed on a U.S. securities exchange (including
securities traded through NASDAQ National Market System) or foreign securities
exchange or traded in an over-the-counter market will be valued at the most
recent sales price at the time the valuation is made, or in the absence of
sales, at the mean between the bid and asked quotations. Options are generally
valued at the last sale price or, in the absence of a last sale price, the last
bid price. The value of a futures contract equals the unrealized gain or loss on
the contract that is determined by marking it to the current settlement price
for a like contract acquired on the day on which the futures contract is being
valued. Short-term obligations and other debt obligations, with maturities of 60
days or less are valued at amortized cost, which constitutes fair value as
determined by the Trustees. Securities, options and futures contracts for which
market quotations are not available and certain other assets of a Fund will be
valued at their fair value as determined in good faith pursuant to consistently
applied procedures established by the Trustees. Currently, no such securities
are valued by the Trustees.
REPURCHASE AGREEMENTS- Each Fund may agree to purchase securities from a bank
or recognized securities dealer and simultaneously commit to resell the
securities to the bank or dealer at an agreed-upon date and price reflecting a
market rate of interest unrelated to the coupon rate or maturity of the
purchased securities ("repurchase agreements"). Such Fund would maintain custody
of the underlying securities prior to their repurchase; thus, the obligation of
the bank or dealer to pay the repurchase price on the date agreed to would be,
in effect, secured by such securities. If the value of such securities were less
than the repurchase price, plus interest, the other party to the agreement would
be required to provide additional collateral so that at all times the collateral
is at least 102% of the repurchase price plus accrued interest. Default by or
bankruptcy of a seller would expose a Fund to possible loss because of adverse
market action, expenses and/or delays in connection with the disposition of the
underlying obligations.
FOREIGN CURRENCY TRANSLATION- Each Fund maintains its books and records in U.S.
dollars. The value of securities, currencies, or other assets and liabilities
denominated in currencies other than the U.S.
- ---23
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1999
dollar is translated in U.S. dollars based upon foreign exchange rates
prevailing at the end of the period.
DERIVATIVE FINANCIAL INSTRUMENTS- The Funds may engage in various portfolio
strategies to seek to increase its return by hedging its portfolio against
adverse movements in the equity, debt, and currency markets. Losses may arise
due to changes in the value of the contract or if the counterparty does not
perform under the contract.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS- Each Fund may enter into forward
foreign currency exchange contracts. A forward foreign currency exchange
contract involves an obligation to purchase or sell a specific currency at a
future date, which may be any fixed number of days from the date of the contract
as agreed upon by the parties, at a price set at the time of the contract. These
contracts are entered into in the interbank market conducted directly between
currency traders (usually large commercial banks and brokers) and their
customers. Forward currency contracts are similar to currency futures contracts,
except that futures contracts are traded on commodities exchanges and are
standardized as to contract size and delivery date. At or before the maturity of
a forward contract, a Fund may either sell a portfolio security and make
delivery of the currency, or retain the security and fully or partially offset
its contractual obligation to deliver the currency by negotiating with its
trading partner to enter into an offsetting transaction. If a Fund retains the
portfolio security and engages in an offsetting transaction, a Fund, at the time
of execution of the offsetting transaction, will incur a gain or a loss to the
extent that movement has occurred in forward contract prices. See the Schedule
of Investments for a listing of open forward foreign currency exchange contracts
at October 31, 1999.
FUTURES CONTRACTS- Each Fund may engage in a number of strategies involving
futures. Each Fund may enter into foreign currency, interest rate and stock
index futures contracts traded on exchanges designated by the Commodity Futures
Trading Commission or consistent with CFTC regulations on foreign exchanges. A
foreign currency futures contract provides for the future sale by one party and
the purchase by the other party of a certain amount of a specified non-U.S.
currency at a specified price, date, time and place. An interest rate futures
contract provides for the future sale by one party and the purchase by the other
party of a certain amount of a specific interest rate sensitive financial
instrument (debt security) at a specified price, date, time and place.
Securities indexes are capitalization weighted indexes which reflect the market
value of the securities represented in the indexes. A securities index futures
contract is an agreement to be settled by delivery of an amount of cash equal to
a specified multiplier times the difference between the value of the index at
the close of the last trading day on the contract and the price at which the
contract is made. No consideration is paid or received by a Fund upon entering
into a futures contract. Instead, a Fund is required to segregate with its
custodian an amount of cash or securities acceptable to the broker, equal to
approximately 1% to 10% of the contract amount (this amount is subject to change
by the exchange on which the contract is traded, and brokers may charge a higher
amount). This amount is known as "initial margin" and is in the nature of a
performance bond or good faith deposit on the contract which is returned to a
Fund upon termination of the futures contract, assuming all contractual
obligations have been satisfied. The broker will have access to amounts in the
margin account if a Fund fails to meet its contractual obligations. Subsequent
payments, known as "variation margin," to and from the broker, will be made
daily as the currency, financial instrument or stock index underlying the
futures contract fluctuates, making the long and short positions in the futures
contract more or less valuable, a process known as "marking-to-market." A Fund
will also incur brokerage costs in connection with entering into futures
transactions.
24---
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1999
At any time prior to the expiration of a futures contract, a Fund may elect
to close the position by taking an opposite position, which will operate to
terminate a Fund's existing position in the contract. Positions in futures
contracts and options on futures contracts (described below) may be closed out
only on the exchange on which they were entered into (or through a linked
exchange). No secondary market for such contracts exists. Although each Fund
intends to enter into futures contracts only if there is an active market for
such contracts, there is no assurance that an active market will exist at any
particular time. Most futures exchanges limit the amount of fluctuation
permitted in futures contract prices during a single trading day. Once the daily
limit has been reached in a particular contract, no trades may be made that day
at a price beyond that limit or trading may be suspended for specified periods
during the day. It is possible that futures contract prices could move to the
daily limit for several consecutive trading days with little or no trading,
thereby preventing prompt liquidation of futures positions at an advantageous
price and subjecting a Fund to substantial losses. In such an event, and in the
event of adverse price movements, a Fund would be required to make daily cash
payments of variation margin. In such situations, if a Fund had insufficient
cash, it might have to sell securities to meet daily variation margin
requirements at a time when it would be disadvantageous to do so. In addition,
if the transaction is entered into for hedging purposes, in such circumstances a
Fund may realize a loss on a futures contract or option that is not offset by an
increase in the value of the hedged position. Losses incurred in futures
transactions and the costs of these transactions will affect a Fund's
performance. See the Schedule of Investments for open futures contracts at
October 31, 1999.
SECURITIES TRANSACTIONS, INVESTMENT INCOME AND EXPENSES- Securities
transactions are recorded on the financial statements based on trade date. Gains
and losses on sales of investments are determined on the identified cost basis
for both financial statement and Federal income tax purposes. Interest income
and operating expenses are recorded daily on an accrual basis. Dividend income
is recorded on the ex-dividend date. Expenses not directly attributable to a
Fund are evenly disbursed among the Funds.
FEDERAL INCOME TAXES- Each Fund is a separate entity for Federal income tax
purposes. Each Fund intends to meet the requirements of the Internal Revenue
Code applicable to regulated investment companies, and to distribute to its
shareholders all of its net investment income and any net realized capital
gains. Accordingly, no provision for Federal income tax or excise tax has been
made.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS- Each Fund will pay dividends from
net investment income and distributions from capital gain, if any, at least
annually. Net investment income and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles. These differences are primarily due to differing
treatments of income and gains on various investment securities held by the
Funds, timing differences and differing characterization of distributions made
by the Funds.
RECLASSIFICATIONS- Generally accepted accounting principles require that
certain components of net assets be adjusted to reflect permanent differences
between financial and tax reporting. Accordingly, the U.S. Core Equity Fund's
current year book/tax difference of $87,247 has been reclassified between
undistributed net investment loss and paid in capital. The Aggressive Equity
Fund's current year book/tax difference of $107,250 has been reclassified
between undistributed net investment loss and accumulated net realized gain on
investments, futures contracts and currency transactions. These
reclassifications have no effect on net assets or net asset values per share.
REDEMPTION OF FUND SHARES- Each Fund will deduct a redemption fee equal to
1.00% of the net asset value of the shares from the redemption amount if a
shareholder sells shares after holding them less
- ---25
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1999
than 90 days. This fee is paid to the Fund, and is designed to offset the
brokerage commissions, market impact and other costs associated with
fluctuations in fund asset levels and cash flow caused by short-term shareholder
trading. For the period ended October 31, 1999, there were no redemption fees
collected.
ORGANIZATION EXPENSES- The Adviser has borne all costs associated with the
organization of the Trust.
USE OF ESTIMATES- The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements. Actual results could differ from those
estimates.
NOTE C-INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has an Investment Management Agreement with the Adviser, under
which the Adviser manages the investments of each Fund. The management fee paid
to the Adviser for providing advisory services to the Funds consists of a basic
fee and a performance adjustment calculated by comparing the Fund's performance
to a target. The basic fee for the U.S. Core Equity Fund, the Aggressive Equity
Fund and the Global Independence Fund is 1.00%, 1.50%, and 1.75% of the
respective Fund's average daily net assets. This basic management fee may be
adjusted upward or downward by applying the performance adjustment. The
performance adjustment is calculated monthly by comparing the U.S. Core Equity
Fund and the Aggressive Equity Funds' investment performance to the S&P 500
Index and the Global Independence Fund's investment performance to a blended
index composed of 50% of the MSCI World Index and 50% of the JP Morgan Global
Bond Index (Blended Index). The difference between the Fund's performance
compared to the performance of the S&P 500 Index for the U.S. Core Equity and
the Aggressive Equity Funds' is multiplied by a performance adjustment factor
rate of 25%. The annualized performance adjustment is limited to no greater than
1.00% and no less than (1.00%) for the U.S. Core Equity Fund and limited to no
greater than 1.50% and no less than (1.50%) for the Aggressive Equity Fund. The
difference between the Global Independence Fund's performance compared to the
performance of the blended index is multiplied by a performance adjustment
factor rate of 5%. The annualized performance adjustment for the Global
Independence Fund is limited to no greater than 0.25% and no less than (0.25%).
Each Fund's performance is calculated based on its net asset value per share
after expenses but before the management fee. For the first year of operations,
the performance adjustment will be based on inception to date performance,
afterward, on a rolling twelve-month basis.
The Adviser has agreed, for the 12-month period ended June 30, 2000, to
reimburse expenses to each Fund if necessary so that the Fund's "Other Expenses"
(all expenses with the exception of interest, taxes, brokerage, extraordinary
expenses including litigation expenses and management fees), do not exceed 0.35%
of each Fund's average net assets.
The Trust pays Trustees who are not "affiliated persons" (as defined in the
1940 Act) of CDC Investment Management Corporation, the administrator or
distributor an annual fee of $10,000 and $3,000 for each meeting attended by the
Trustee for services as Trustee, and each such Trustee is reimbursed for
expenses incurred with the Trustee's attendance at meetings.
As of October 31, 1999, CDC Investment Management Corporation and its
affiliates held the following percentages of outstanding shares of each of the
Funds: U.S. Core Equity Fund 97%; Aggressive Equity Fund 98%; and Global
Independence Fund 97%.
26---
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1999
NOTE D-PURCHASES AND SALES OF SECURITIES
Purchases and proceeds of securities (excluding short-term investments) for
each Fund for the period ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
<S> <C> <C>
FUND PROCEEDS OF
PURCHASES SALES/MATURITIES
- -----------------------------------------------------------------------------------------
U.S. Core Equity Fund $40,459,039 $9,363,689
Aggressive Equity Fund 29,841,739 68,072
Global Independence Fund -- --
</TABLE>
NOTE E-CAPITAL STOCK TRANSACTIONS
The tables below summarizes the transactions in Fund shares for the period
from July 1, 1999 (commencement of investment operations) through October 31,
1999:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
<S> <C>
U.S. CORE EQUITY FUND SHARES
- -----------------------------------------------------------------------
Issued from the sale of shares 2,925,628
Redeemed 0
- -----------------------------------------------------------------------
Net Change 2,925,628
=======================================================================
AGGRESSIVE EQUITY FUND SHARES
- -----------------------------------------------------------------------
Issued from the sale of shares 2,540,687
Redeemed 0
- -----------------------------------------------------------------------
Net Change 2,540,687
=======================================================================
GLOBAL INDEPENDENCE FUND SHARES
- -----------------------------------------------------------------------
Issued from the sale of shares 2,564,244
Redeemed 0
- -----------------------------------------------------------------------
Net Change 2,564,244
=======================================================================
</TABLE>
- ---27
<PAGE>
CDC MPT+ FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
October 31, 1999
NOTE F-RISKS
Investment in the Funds involves special risks, some not typically
associated with mutual funds. However, each Fund has limitations and policies
designed to reduce these risks. All Funds are subject to different types of
investment risks including but not limited to credit, leverage, liquidity, and
market risks, risks of derivative instruments and Year 2000 processing risk. The
Aggressive Equity and Global Independence Funds are also subject to risks
associated with using futures, interest rate risks, and risks associated with
investing in foreign securities including, but not limited to, revaluation of
currencies and future adverse political and economic developments. In addition,
these two funds are non-diversified portfolios, thus investing a greater
proportion of their assets in the securities of a smaller number of issuers.
NOTE G-RESULTS OF SHAREHOLDER MEETING (UNAUDITED)
On November 18, 1999, the Trust held a special meeting of shareholders
(1) to elect two additional Trustees of the Trust and (2) to ratify or reject
the selection of Deloitte & Touche LLP as the independent accountants for the
Trust for the Trust's current fiscal year. Below are the results of each item
voted:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
TOTAL
ITEM SHARES TOTAL TOTAL SHARES
OUTSTANDING SHARES FOR AGAINST
- ---------------------------------------------------------------------------------------------
(1) To elect Richard Levich and Luc De
Clapiers 7,918,501 7,908,827 0
(2) Ratify Deloitte & Touche LLP 7,918,501 7,908,827 0
</TABLE>
NOTE H-YEAR 2000 MATTERS (UNAUDITED)
As you may know, there has been extensive media coverage about possible
problems that may arise as a result of uncertainties about the ability of
computers to "understand" dates using the year 2000. Potentially, these problems
could disrupt the services and systems that the Trust relies on in its daily
operation.
As a general manner, we believe the financial industry has taken a
leadership role addressing year 2000 (Y2K) issues and this should help to
inspire confidence among concerned investors. More specifically, CDC Investment
Management Corporation and the Trust's transfer agent, custodian, administrator
and other providers of services critical to the Trust have been actively working
on reviewing and replacing or updating computer systems and computer-to-computer
interfaces, as needed. Each has completed or is in the process of testing new or
revised systems and interfaces and generally expects that their systems, as well
as those of their key external service providers, will be ready to handle Y2K
without significant problems. Furthermore, the Trust has been routinely taking
companies' Y2K preparations into account when considering or reviewing
investments.
In summary, while the Y2K problem is unprecedented and we cannot eliminate
altogether the possibility that the Trust could be affected in some way, we are
confident that all parties involved are taking steps to resolve Y2K concerns.
28---
<PAGE>
REPORT OF INDEPENDENT AUDITORS
The Board of Trustees and Shareholders,
CDC MPT+ Funds
We have audited the accompanying statements of assets and liabilities,
including the schedules of investments of CDC MPT+ Funds (comprising, the U.S.
Core Equity Fund, Aggressive Equity Fund and Global Independence Fund) as of
October 31, 1999, the related statements of operations and changes in net
assets, and the financial highlights, for the period July 1, 1999 (commencement
of investment operations) through October 31, 1999. These financial statements
and financial highlights are the responsibility of the Trust's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at October
31, 1999, by correspondence with the Trust's custodian and brokers; where
replies were not received from brokers, we performed other auditing procedures.
An audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, such financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of CDC
MPT+ Funds as of October 31, 1999, the results of their operations, the changes
in their net assets, and the financial highlights for the period, July 1, 1999
to October 31, 1999, in conformity with generally accepted accounting
principles.
DELOITTE & TOUCHE LLP
New York, New York
December 10, 1999
- ---29
<PAGE>
NOTES:
- ------------------------------------------------------------------
(THIS PAGE HAS BEEN INTENTIONALLY LEFT BLANK.)
<PAGE>
NOTES:
- ------------------------------------------------------------------
(THIS PAGE HAS BEEN INTENTIONALLY LEFT BLANK.)
<PAGE>
Trustees and Officers
- ------------------------------------------------------------------
PRESIDENT, CHIEF INVESTMENT OFFICER AND TRUSTEE
Bluford H. Putnam, Ph.D.
TRUSTEE
Luc de Clapiers
TRUSTEE
Richard Levich, Ph.D.
TRUSTEE
Mike West, Ph.D.
TRUSTEE
Arnold Zellner, Ph.D.
VICE PRESIDENT & INVESTMENT OFFICER
D. Sykes Wilford, Ph.D.
VICE PRESIDENT & INVESTMENT OFFICER
Jose M. Quintana, Ph.D.
TREASURER
C. Peter Paterno
SECRETARY
Rachel D. Manney
ASSISTANT SECRETARY
Charles Rosenberg
<PAGE>
INVESTMENT ADVISER
CDC Investment Management Corp.
9 West 57th Street, 35th Floor
New York, New York 10019
DISTRIBUTION AND SHAREHOLDER SERVICING AGENT
Funds Distributor, Inc.
60 State Street, Suite 1300
Boston, Massachusetts 02109
ADMINISTRATOR, CUSTODIAN AND TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
INDEPENDENT AUDITORS
Deloitte & Touche LLP
Two World Financial Center
New York, New York 10281-1414
LEGAL COUNSEL
Willkie Farr & Gallagher
787 Seventh Avenue
New York, New York 10019
This report has been prepared for the shareholders of the Funds and is not
authorized for distribution to prospective investors in the Funds unless it is
accompanied or preceded by an effective prospectus.
For current performance, current net asset value, or for assistance with your
account, please contact the Fund at (800) 774-9838 or by writing to the CDC MPT+
Funds at P.O. Box 8122, Boston, Massachusetts, 02266-8122.
