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Previous: BIOCONTROL TECHNOLOGY INC, 10-Q, 1996-08-15 |
Next: CONNECTICUT WATER SERVICE INC / CT, POS AM, 1996-08-15 |
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO
OF ANALYTIC OPTIONED EQUITY FUND, INC.
- --------------------------------------------
July 31, 1996
Dear Fellow Shareholders:
As you may know, the Analytic Optioned Equity Fund celebrated its 18th
anniversary on July 1, 1996. The Fund and its advisor, Analytic-TSA Global Asset
Management, have been pioneers in providing stock market investors with a
defensive strategy that limits downside risk while allowing for participation in
the market's advances. In acknowledgment of the Fund's 18 year commitment to
providing investors with a lower risk alternative, the Analytic Optioned Equity
Fund will include the phrase "Defensive Equity Portfolio" in future literature.
For the quarter ending June 30, 1996, your Fund's net asset value increased
3.8% per share, while the S&P 500 increased 4.5%, both with dividends
reinvested. At quarter end, the Fund's share price was $14.25 after paying its
72nd consecutive quarterly dividend from net investment income of $0.04.
The Fund's net total return (dividends plus appreciation) was 584.56%, after
all expenses including management fees, over the eighteen years since inception
on July 1, 1978. Over the most recent ten years, the net total return was
154.2%. This ten year return is equivalent to an annualized compound growth rate
of 9.8%, well ahead of the 3.6% average annual rate of inflation (consumer price
index) over this period. Although the S&P 500 was also well ahead of inflation
(13.8%), the Fund's return was achieved with 43% less risk (volatility) as
measured by standard deviation.
The Fund's capitalization weighting at quarter end showed 89% of the Fund in
large capitalization stocks, with 11% in mid-capitalization stocks. (Large
capitalization is defined as companies with over $5 billion total market value
and mid-capitalization as companies between $200 million and $5 billion total
market value.) The Fund currently has less than 1% of its portfolio in small
capitalization (under $200 million) issues.
Of interest to our shareholders is an article that appeared in the July 1,
1996, issue of BARRON'S. Sheldon Jacobs, publisher of the NO LOAD FUND INVESTOR,
suggests your Fund as one of several that had either gains or modest losses in
bear markets, or have such low correlations to the market averages that they
would outperform in a down cycle. The Fund has never had a negative calendar
year since inception.
1
<PAGE>
The Fund remains committed to its proven strategy of remaining virtually
fully invested in a well diversified portfolio of hedged, higher quality stocks.
The portfolio is well positioned to protect against market declines and to gain
substantially from market advances.
Should you have any questions regarding your Fund's investment strategy or
results, please do not hesitate to call us at 1-800-374-2633.
WE APPRECIATE AND THANK YOU FOR INVESTING WITH US.
/s/ ALAN L. LEWIS /s/ CHARLES L. DOBSON
Alan L. Lewis Charles L. Dobson
President Executive Vice President &
Portfolio Manager
AVERAGE ANNUAL COMPOUND TOTAL RETURN(1)
PERIODS ENDING 6/30/96, PERCENT
One Year 17.01
Five Years 10.10
Ten Years 9.78
(1) The investment returns quoted in this letter represent past returns, net of
all fees and expenses. 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.
2
<PAGE>
The first half of 1996 saw the S&P 500 increase 10.1% while the Defensive
Equity Portfolio appreciated 8.2%. These returns, if annualized, would show the
S&P 500 at 21.2% versus 17.1% for the Fund. Normally, your Fund expects to
capture two-thirds of a market that rises this rapidly. As you can see the Fund
captured 81% of the rise. This higher than expected return can be attributed to
several factors. First, the Fund has a lower weighting (11% vs 18%) in
mid-capitalization stocks relative to the S&P 500. Mid-capitalization stocks
only appreciated 9.2% in the first half of 1996, one percent less than
large-capitalization stocks, so our underweighting improved the portfolio
performance. Second, our option valuation model suggested writing or selling of
options that were out-of-the-money. This allowed your Fund to capture more of
the stock appreciation while still providing protection in a declining market.
However, beginning in June our option valuation model suggested writing options
at-the-money (see definitions). This will provide more protection in a flat or
declining market, but again, will capture about two-thirds of a sharp rise.
The yearly risk comparison chart shows the conservative investment
philosophy of the Fund. It has maintained this conservative strategy since
inception, 18 years ago. This has enabled your Fund to produce consistent and
predictable results.
OUT-OF-THE-MONEY: A call option is out-of-the-money if the strike price is
greater than the market price of the underlying security. A put option is
out-of-the-money if the strike price is less than the market price of the
underlying security.
AT-THE-MONEY: An option is at-the-money if the strike price equals the
market price of the underlying security.
SHAREHOLDER SERVICES (800) 374-2633
COMPLETE INVESTMENT RECORD FROM INCEPTION ON 7/1/78 TO 6/30/96
(PERCENTAGE)
<TABLE>
<CAPTION>
CPI
Defensive Equity S&P 500 Index (Inflation)
----------------- -------------- -------------
<S> <C> <C> <C>
Cumulative Total Return........................................ 584.6 1,319.7 138.6
Average Annual Compound Total Return........................... 11.3 15.9 5.0
Standard Deviation (Risk Level)................................ 9.0 14.5 1.2
Beta........................................................... 0.6 1.0 N/A
</TABLE>
It is with sorrow that we share the news of the passing of long time Board of
Directors member Dr. Robert E. Villagrana on May 15, 1996. Bob was trained as a
scientist and placed "thinking and gaining knowledge" above all else. His
participation on the Board will be greatly missed.
3
<PAGE>
YEARLY RISK COMPARISON
1/1/86-12/31/95
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DEFENSIVE EQUITY S&P 500
<S> <C> <C>
86 10.4485 17.9359
87 16.7847 30.5012
88 5.40993 10.0717
89 7.09326 12.3535
90 11.1993 18.3895
91 8.47336 15.8044
92 4.06443 7.36764
93 3.64349 6.11632
94 6.92063 10.5374
95 3.53907 5.18414
</TABLE>
THE DEFENSIVE EQUITY PORTFOLIO TOTAL RETURN
Growth of $10,000 Investment 7/1/86-6/30/96
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
DEFENSIVE EQUITY S&P 500 CPI
<S> <C> <C> <C>
Jul-86 9662.00 9441.00 10003.00
Aug-86 10205.00 10141.52 10021.01
Sep-86 9741.70 9302.82 10070.11
Oct-86 10161.56 9839.59 10079.17
Nov-86 10334.31 10078.69 10068.24
Dec-86 10201.00 9821.69 10097.32
Jan-87 10855.90 11144.87 10157.91
Feb-87 10997.03 11584.88 10197.52
Mar-87 11138.89 11919.66 10243.41
Apr-87 11092.11 11813.60 10295.73
May-87 11216.34 11916.38 10329.62
Jun-87 11525.91 12518.16 10371.97
Jul-87 11637.11 13152.83 10393.75
Aug-87 12031.24 13643.43 10451.96
Sep-87 11984.32 13344.63 10504.22
Oct-87 10479.09 10470.20 10531.53
Nov-87 10110.22 9607.46 10546.27
Dec-87 10634.94 10338.58 10543.11
Jan-88 11055.02 10773.84 10574.74
Feb-88 11317.03 11275.90 10595.89
Mar-88 11158.59 10927.47 10648.87
Apr-88 11319.27 11048.77 10691.46
May-88 11508.30 11144.89 10723.54
Jun-88 11725.81 11656.44 10755.71
Jul-88 11773.89 11612.15 10798.73
Aug-88 11630.25 11217.34 10841.93
Sep-88 11936.12 11695.19 10874.45
Oct-88 12118.74 12020.32 10917.95
Nov-88 12109.05 11848.43 10950.70
Dec-88 12294.32 12055.78 10983.56
Jan-89 12773.80 12938.26 11038.47
Feb-89 12640.95 12616.10 11083.73
Mar-89 12814.13 12910.05 11148.02
Apr-89 13185.74 13580.08 11220.48
May-89 13463.96 14130.08 11284.44
Jun-89 13422.22 14049.54 11311.52
Jul-89 14129.57 15318.21 11338.67
Aug-89 14348.58 15618.45 11356.81
Sep-89 14306.97 15554.41 11374.98
Oct-89 14055.17 15193.55 11431.85
Nov-89 14327.84 15503.50 11477.58
Dec-89 14475.41 15875.58 11523.49
Jan-90 13896.40 14810.33 11650.25
Feb-90 14129.66 15001.38 11708.50
Mar-90 14419.52 15398.92 11767.04
Apr-90 14149.87 15013.95 11785.87
May-90 14857.37 16477.51 11812.98
Jun-90 14734.05 16365.78 11840.15
Jul-90 14790.04 16313.39 11887.51
Aug-90 14057.51 14838.66 11982.61
Sep-90 13645.16 14116.01 12078.47
Oct-90 13679.28 14055.32 12150.94
Nov-90 14365.98 14983.29 12187.39
Dec-90 14697.83 15380.76 12223.96
Jan-91 15031.47 16051.37 12278.96
Feb-91 15500.45 17199.04 12305.98
Mar-91 15697.31 17615.25 12297.36
Apr-91 15684.75 17657.53 12324.42
May-91 16119.22 18420.34 12361.39
Jun-91 15709.79 17576.69 12388.59
Jul-91 16097.82 18395.76 12415.84
Aug-91 16360.22 18831.74 12443.18
Sep-91 16284.96 18517.25 12489.20
Oct-91 16411.98 18765.38 12497.94
Nov-91 15831.00 18009.13 12552.93
Dec-91 16651.05 20069.38 12589.33
Jan-92 16705.99 19696.09 12599.40
Feb-92 16814.58 19952.14 12634.66
Mar-92 16720.42 19583.07 12697.86
Apr-92 17088.27 20138.23 12725.79
May-92 17197.63 20236.90 12743.61
Jun-92 17020.50 19935.37 12780.56
Jul-92 17417.08 20750.73 12798.46
Aug-92 17225.49 20325.34 12834.29
Sep-92 17225.49 20565.18 12861.24
Oct-92 17225.49 20637.16 12915.26
Nov-92 17570.00 24340.88 12942.38
Dec-92 17680.69 21603.38 12960.50
Jan-93 17901.70 21784.85 13024.01
Feb-93 18123.88 22081.12 13069.59
Mar-93 18315.79 22547.03 13087.89
Apr-93 18211.39 22001.39 13106.21
May-93 18375.29 22591.03 13124.56
Jun-93 18448.79 22656.54 13124.56
Jul-93 18389.76 22565.92 13133.75
Aug-93 18809.04 23421.17 13170.52
Sep-93 18748.86 23240.82 13170.52
Oct-93 19020.71 23721.91 13224.52
Nov-93 18735.40 23496.55 13252.29
Dec-93 18870.30 23780.88 13280.12
Jan-94 19438.29 24589.41 13306.01
Feb-94 19043.70 23920.58 13343.94
Mar-94 18506.66 22877.84 13383.98
Apr-94 18680.63 23170.47 13402.71
May-94 18902.93 23550.47 13421.48
Jun-94 18744.14 22973.48 13448.32
Jul-94 19207.12 23727.01 13475.22
Aug-94 19685.39 24699.82 13521.03
Sep-94 19445.22 24094.67 13567.00
Oct-94 19686.34 24636.80 13594.14
Nov-94 19253.24 23740.02 13603.85
Dec-94 19334.10 24091.38 13640.38
Jan-95 19629.91 24715.34 13667.66
Feb-95 20185.44 25679.24 13704.57
Mar-95 20532.63 26436.78 13741.57
Apr-95 20900.17 27216.66 13777.30
May-95 21369.23 28305.33 13832.41
Jun-95 21720.76 28962.01 13868.37
Jul-95 22107.39 29923.56 13886.40
Aug-95 22282.04 29998.36 13914.17
Sep-95 22756.55 31264.29 13932.26
Oct-95 22563.22 31151.74 13950.37
Nov-95 23251.39 32519.30 13996.41
Dec-95 23497.86 33146.93 13996.41
Jan-96 24118.20 34273.92 13986.61
Feb-96 24224.32 34592.67 14049.55
Mar-96 24490.79 34924.78 14076.25
Apr-96 24845.91 35438.15 14131.14
May-96 25362.70 36352.46 14186.25
Jun-96 25415.96 36490.60 14231.65
Average Annual Compound Total Return
1 Year 17.01%
5 Years 10.10%
10 Years 9.76%
Past performance is not predictive of future performance.
</TABLE>
4
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
AEROSPACE & DEFENSE--1.34%
Boeing Co. 3,000 $ 261,375 3,000 Aug 85 $ 16,875
McDonnell Douglas Corp. 4,000 Nov 50* 16,250
Northrop Grumman Corp. 3,000 204,375 3,000 Aug 60 25,312
Raytheon Co. 5,000 258,125 5,000 Nov 55 8,750
------------ --------
723,875 67,187
------------ --------
AIR TRANSPORTATION--.03%
Southwest Airlines 5,000 Dec 30 $ 13,750
--------
13,750
--------
AUTO RELATED--.62%
Goodyear Tire & Rubber Co. 3,000 144,750 3,000 Oct 55 2,719
Pep Boys - Manny, Moe & Jack 5,000 170,000 5,000 Oct 35 8,437
------------ --------
314,750 11,156
------------ --------
AUTOS & TRUCKS--2.46%
Chrysler Corp. 8,500 527,000 5,000 Jul 60* 3,750
3,500 Jan 75 7,000
Ford Motor Co. 6,000 194,250
General Motors Corp. 9,100 476,612 4,100 Sep 55* 15,375
5,000 Dec 60 5,000
------------ -------- --------
1,197,862 19,125 12,000
------------ -------- --------
BANKS/SAVINGS & LOANS--5.69%
Banc One Corp. 5,500 187,000 5,500 Aug 31.875* 2,062
Bank of New York, Inc. 5,100 261,375 5,100 Oct 55 6,056
Bankamerica Corp. 5,500 416,625 5,500 Oct 80 14,781
Bankers Trust New York Corp. 6,000 443,250 3,000 Oct 70 20,250
3,000 Jan 80 9,937
Barnett Banks, Inc. 8,000 488,000 8,000 Oct 65 14,000
Citicorp 5,500 454,438 5,500 Oct 80 35,406
J.P. Morgan & Co. 4,000 338,500 4,000 Sep 85 13,750
Republic New York Corp. 5,000 311,250 5,000 Sep 65 5,312
------------ -------- --------
2,900,438 2,062 119,492
------------ -------- --------
</TABLE>
5
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
BREWERY/SPIRITS & TOBACCO--.83%
Anheuser-Busch Companies, Inc. 3,500 $ 262,500 3,500 Sep 70 $ 25,375
RJR Nabisco Holdings Corp. 4,000 Sep 35 $ 3,000
Seagram Co., Ltd. 5,000 168,125 5,000 Aug 37.50 937
------------ -------- --------
430,625 3,000 26,312
------------ -------- --------
BROADCAST RADIO & TELEVISION--.48%
Comcast Corp. Special Class A 5,000 Jul 17.50 5,000
Viacom, Inc., Class A** 5,800 221,125 5,800 Aug 45 1,450
Viacom, Inc., Class B** 226 8,786
------------ -------- --------
229,911 5,000 1,450
------------ -------- --------
BUILDING/PACKAGE MATERIALS--.19%
Masco Corp. 3,000 90,750 3,000 Jul 35 188
------------ --------
90,750 188
------------ --------
CHEMICALS--3.15%
Avery Dennison Corp. 5,000 274,375 5,000 Oct 60 5,312
Du Pont (E.I.) De Nemours Co. 6,000 474,750 6,000 Oct 85 11,250
Grace (W R) & Co. 5,000 354,375 5,000 Aug 80 5,000
Hercules, Inc. 5,000 276,250 5,000 Dec 60 13,125
Union Carbide Corp. 5,000 198,750 5,000 Oct 50 1,250
------------ --------
1,578,500 35,937
------------ --------
COMPUTER SERVICES/SOFTWARE--2.62%
Cisco Systems, Inc.** 12,000 679,500 6,000 Oct 60 26,250
6,000 Jan 60 39,750
Microsoft Corp.** 6,000 720,750 3,000 Oct 120 28,125
3,000 Jan 130 23,625
------------ --------
1,400,250 117,750
------------ --------
</TABLE>
6
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
COMPUTERS--2.17%
Compaq Computer Corp.** 7,500 $ 369,375 4,000 Jul 55 $ 750
International Business Machines Corp. 5,900 584,100 2,900 Oct 120 3,806
3,000 Jan 130 5,062
Sillicon Graphic, Inc.** 5,000 120,000 5,000 Aug 30 1,562
------------ --------
1,073,475 11,180
------------ --------
COSMETICS & PERSONAL CARE--.97%
Gillette Co. 4,000 249,500 4,000 Dec 65 12,000
International Flavors & Fragrances,
Inc. 5,000 238,125 5,000 Aug 55 625
------------ --------
487,625 12,625
------------ --------
ELECTRIC/GAS/WATER UTILITIES--3.97%
American Electric Power Co. 5,000 213,125
Consolidated Edison Company of New
York 3,300 96,525
Dominion Resources, Inc. 10,000 400,000
Duke Power Co. 5,000 256,250 2,500 Oct 55 1,094
F P L Group, Inc. 5,000 230,000
Pacific Gas & Electric Co. 8,000 186,000
Public Service Enterprise Group, Inc. 6,000 164,250
Southern Co. 16,000 394,000
------------ --------
1,940,150 1,094
------------ --------
ELECTRICAL EQUIPMENT--.84%
Honeywell, Inc. 8,000 436,000 3,000 Aug 50 15,000
5,000 Nov 60 7,812
Thomas & Betts Corp. 3,000 Sep 37.50* 5,250
------------ --------
436,000 28,062
------------ --------
</TABLE>
7
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
ELECTRONICS--6.85%
General Electric Co. 16,200 $ 1,401,300 6,000 Sep 85 $ 25,500
4,700 Sep 90 9,400
5,500 Dec 90 19,250
Hewlett-Packard Co. 4,000 398,500 4,000 Nov 120 11,500
Intel Corp. 10,000 734,376 5,000 Jul 65* $ 1,250
5,000 Oct 75 25,000
Micron Technology, Inc. 5,000 129,375 5,000 Jul 40 312
Motorola, Inc. 9,000 565,875 4,500 Oct 70 8,156
4,500 Jan 80 5,062
Texas Instruments, Inc. 4,000 199,500 4,000 Jul 55* 23,000
------------ -------- --------
3,428,926 24,250 104,180
------------ -------- --------
ENTERTAINMENT/ADVERTISING--.94%
The Walt Disney Co. 7,000 440,125 3,500 Jul 65 1,750
3,500 Oct 70 3,719
Mirage Resorts, Inc. 3,500 Aug 45 26,250
------------ -------- --------
440,125 26,250 5,469
------------ -------- --------
ENVIRONMENTAL CONTROL--.40%
WMX Technologies, Inc. 6,000 196,500 6,000 Aug 27.50* 375
------------ --------
196,500 375
------------ --------
FINANCIAL SERVICES & BROKERS--2.55%
Dean Witter Discover and Co. 5,000 286,250 5,000 Oct 55 26,250
Federal National Mortgage Association 7,000 234,500 3,500 Sep 32.50 8,750
3,500 Dec 35 7,219
Merrill Lynch & Co. 6,000 390,750 6,000 Oct 65 27,000
Salomon, Inc. 4,100 180,400 4,100 Oct 45 9,737
Transamerica Corp. 3,000 243,000 3,000 Aug 80 9,937
------------ --------
1,334,900 88,893
------------ --------
</TABLE>
8
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
FOOD PROCESSING & WHOLESALE--7.39%
Campbell Soup Co. 5,000 $ 352,500 5,000 Nov 70 $ 26,250
Coca Cola Enterprises, Inc. 5,000 173,125 5,000 Nov 35 15,000
Coca-Cola Co. 27,000 1,319,625 7,000 Aug 50 10,500
10,000 Aug 42.50 63,750
10,000 Nov 50 30,000
Conagra, Inc. 5,000 226,875 5,000 Sep 45 9,687
Earthgrains, Co. 140 4,585
Heinz (H.J.) Co. 8,550 259,706
Kellogg Co. 5,000 366,250 5,000 Dec 70 35,937
Pepsico, Inc. 10,000 353,750 10,000 Jul 27.50 312
10,000 Oct 35 22,500
Philip Morris Companies, Inc. 6,500 676,000 3,000 Sep 95 39,000
3,500 Sep 105 16,625
Quaker Oats Co. 4,200 143,325 4,200 Jul 35* $ 7,875
------------ -------- --------
3,875,741 7,875 269,561
------------ -------- --------
FOREST PRODUCTS & PAPER--1.09%
Champion International Corp. 3,500 146,125 3,500 Dec 45 9,187
Georgia-Pacific Corp. 3,000 213,000 3,000 Jul 75 1,875
International Paper Co. 5,000 184,375 5,000 Oct 45 1,875
Louisiana-Pacific Corp. 5,000 Nov 25 4,219
------------ -------- --------
543,500 4,219 12,937
------------ -------- --------
HOME--CONSTRUCTION/TOOLS/FURNISHING--.51%
Whirlpool Corp. 5,000 248,125 5,000 Sep 60 1,562
------------ --------
248,125 1,562
------------ --------
HOUSEHOLD PRODUCTS/WARES--2.12%
Clorox Co. 2,500 221,562 2,500 Jul 90 3,125
Premark International, Inc. 3,000 55,500 3,000 Jul 55 15,750
Procter & Gamble Co. 7,500 679,687 2,500 Jul 95 937
5,000 Oct 90 27,500
Tupperware Corp.** 3,000 126,750
------------ --------
1,083,499 47,312
------------ --------
</TABLE>
9
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
INSURANCE--3.78%
Allstate, Corp. 9,270 $ 422,944 5,000 Oct 45 $ 16,250
4,200 Oct 50 5,250
American International Group, Inc. 3,000 295,875 3,000 Aug 105 1,875
Cigna Corp. 3,500 412,562 3,500 Oct 120 22,094
Humana, Inc. 5,000 Aug 25 $ 625
Loews Corp. 4,000 315,500 3,000 Dec 80 15,000
1,000 Dec 85 3,062
Torchmark Corp. 11,000 481,250 6,000 Nov 45 12,000
5,000 Nov 50 3,125
------------ -------- --------
1,928,131 625 78,656
------------ -------- --------
IRON & STEEL--.04%
Corning, Inc. 5,000 Aug 35 19,375
--------
19,375
--------
MACHINE CONSTRUCTION/DIVERSIFIED--.83%
Caterpillar, Inc. 3,200 216,800
Deere & Co. 5,000 200,000 5,000 Sep 40 11,250
------------ --------
416,800 11,250
------------ --------
MEDICAL SUPPLIES & SERVICES--1.73%
C.R. Bard, Inc. 5,000 170,000 4,000 Jul 40 250
1,000 Oct 40 438
Becton Dickinson & Co. 3,000 240,750 3,000 Sep 90 3,188
Columbia HCA/Healthcare Corp. 5,500 293,562 5,500 Aug 55 6,188
St. Jude Medical, Inc.** 3,750 125,625 3,700 Oct 40 3,238
United States Surgical Corp. 1,000 31,000
------------ --------
860,937 13,302
------------ --------
METALS & MINING--1.32%
Alcan Aluminum 6,000 183,000 6,000 Dec 30 15,375
Aluminum Co. of America 6,000 344,250 3,000 Jul 70 281
Barrick Gold, Corp. 5,000 135,625 5,000 Oct 35 1,094
------------ --------
662,875 16,750
------------ --------
</TABLE>
10
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
MISCELLANENEOUS MANUFACTURING--2.01%
Allied Signal Corp. 5,000 $ 285,625 5,000 Sep 55 $ 20,313
Eastman Kodak Co. 3,500 272,125 3,500 Jul 75 13,125
Minnesota Mining & Manufacturing Co. 5,000 345,000 5,000 Jul 70 5,000
Parker Hannifin Corp. 3,000 127,125 3,000 Aug 40 9,938
------------ --------
1,029,875 48,376
------------ --------
OFFICE/BUSINESS EQUIPMENT--.70%
Xerox Corp. 7,500 401,250 7,500 Oct 46.625 60,000
------------ --------
401,250 60,000
------------ --------
OIL/GAS DOMESTIC--2.04%
Atlantic Richfield Co. 5,000 592,500 3,500 Jul 120 4,375
Pennzoil Co. 2,000 92,500 2,000 Jul 45 3,500
Tenneco, Inc. 6,300 322,088 2,000 Aug 55 938
4,300 Aug 60 403
------------ --------
1,007,088 9,216
------------ --------
OIL/GAS INTERNATIONAL--5.74%
Amoco Corp. 4,500 325,688 4,500 Nov 75 7,594
Chevron Corp. 7,800 460,200 2,800 Sep 60 4,550
5,000 Dec 65 4,063
Exxon Corp. 12,500 1,085,938 6,500 Oct 85 30,875
6,000 Oct 90 12,000
Mobil Corp. 6,000 672,750 6,000 Nov 120 15,000
Royal Dutch Petroleum Co. 3,000 Jul 140* 375
Texaco, Inc. 4,000 335,500 4,000 Jul 90 625
------------ --------
2,880,076 75,082
------------ --------
OIL EQUIPMENT/EXPLORATION & SERVICES--.47%
Baker-Hughes, Inc. 5,000 Jul 30 $ 16,875
Halliburton Co. 4,000 222,000 4,000 Oct 60 11,000
------------ -------- --------
222,000 16,875 11,000
------------ -------- --------
</TABLE>
11
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
PHARMACEUTICALS & BIOTECHNOLOGY--8.43%
Allergan, Inc. 5,100 $ 200,175 5,100 Jul 45 $ 638
American Home Products Corp. 6,000 360,750 6,000 Oct 52.50 50,250
Amgen, Inc.** 5,000 270,000 5,000 Oct 60 8,750
Bristol Myers Squibb Co. 3,000 270,000 3,000 Sep 95 3,375
Johnson & Johnson 10,000 495,000 10,000 Jul 47.50 25,000
Eli Lilly & Co. 10,000 650,000 5,000 Oct 70 12,500
5,000 Jan 70 20,000
Medtronic, Inc. 7,000 392,000 7,000 Nov 60 18,375
Merck & Co. 15,000 969,375 7,500 Jul 70 1,406
7,500 Oct 70 10,313
Molecular Biosystems, Inc.** 16 144
Mylan Laboratories 1,000 Jan 20 $ 1,000
Pfizer, Inc. 6,000 428,250 6,000 Dec 80 13,500
Warner-Lambert Co. 5,000 275,000 5,000 Jul 50 25,938
------------ -------- --------
4,310,694 1,000 190,045
------------ -------- --------
PUBLISHING--.91%
Donnelley R R & Sons 6,000 209,250 6,000 Dec 35 15,375
Dun & Bradstreet 4,000 250,000 4,000 Aug 70 625
------------ --------
459,250 16,000
------------ --------
RAILROAD/TRUCKING/MISCELLANEOUS--1.27%
C.S.X. Corp. 2,000 96,500
Consolidated Rail Corp. 3,000 199,125 3,000 Jul 75 375
Norfolk Southern 4,000 339,000 4,000 Sep 85 11,750
------------ --------
634,625 12,125
------------ --------
RESTAURANTS & LODGING--.90%
Hilton Hotels Corp. 2,500 281,250 2,500 Jan 60* 156
McDonald's Corp. 3,500 163,625 3,500 Dec 50 7,438
------------ -------- --------
444,875 156 7,438
------------ -------- --------
</TABLE>
12
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
RETAIL--GENERAL/DEPARTMENT--2.64%
Dayton-Hudson Corp. 3,000 $ 309,375 3,000 Jul 95 $ 26,250
Dillard Department Stores, Inc. 5,000 Aug 40* 19,688
Gap, Inc. 10,000 321,250 10,000 Sep 7.50 53,750
J.C. Penny Company, Inc. 5,500 288,750 1,000 Feb 55 2,500
Sears Roebuck & Co. 10,000 486,250 5,000 Oct 55 4,375
5,000 Jan 55 8,750
------------ --------
1,405,625 115,313
------------ --------
RETAIL--GROCERY/DRUG STORES--.29%
Albertsons, Inc. 1,900 78,612
Great Atlantic & Pacific Tea Co. 2,000 65,750
Winn-Dixie Stores, Inc. 5,000 Jul 35* 2,813
------------ --------
144,362 2,813
------------ --------
SPECIALTY RETAIL/WHOLESALE--1.44%
Alco Standard Corp. 5,000 226,250 5,000 Dec 50 16,875
Home Depot, Inc. 5,000 270,000 5,000 Aug 50 25,000
NIKE, Inc. 3,000 308,250 3,000 Oct 95 42,375
V F Corp. 3,000 Nov 60* 14,813
------------ --------
804,500 99,063
------------ --------
TELECOMMUNICATION UTILITIES--8.09%
American Telephone & Telegraph 18,600 1,153,200 5,000 Oct 70 1,875
Ameritech Corp. 5,000 296,875 5,000 Oct 65 4,375
Bell Atlantic Corp. 5,000 318,750 5,000 Oct 70 2,500
Bellsouth Corp. 18,400 779,700 5,000 Jul 45 625
5,000 Oct 45 4,688
5,000 Jan 45 7,500
G T E Corp. 12,500 559,375 5,000 Sep 47.50 4,063
7,500 Dec 47.50 11,250
Hong Kong Telecom, Ltd. 2,000 36,000
Nynex Corp. 8,500 403,750 5,000 Jul 55 313
3,500 Jul 60 219
SBC Communications, Inc. 9,000 443,250
U S West, Inc. 3,000 Jan 32.50 $ 4,594
------------ -------- --------
3,990,900 4,594 37,408
------------ -------- --------
</TABLE>
13
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO (UNAUDITED) JUNE 30, 1996
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS (CONTINUED)
<TABLE>
<CAPTION>
Outstanding Options (* Indicates Put)
------------------------------------------------------
Investments Market Value
------------------------ -------------------
Number Market Shares Expiration Exercise Options Options
Common Stocks of Shares Value Optioned Date Price Bought Sold
- ---------------------------------------- --------- ------------ -------- ---------- --------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
TELECOMMUNICATIONS & EQUIPMENT--.68%
British Telecommunication PLC-ADR 3,500 $ 188,125 3,000 Oct 55 $ 4,875
D.S.C. Communications Corp.** 5,000 150,625
------------ --------
338,750 4,875
------------ --------
TOTAL COMMONS STOCKS--93.87%
(Cost $37,096,506) 45,898,140
------------
TOTAL OPTIONS PURCHASED--.30%
(Cost $181,629) 148,531
------------
TOTAL INVESTMENTS--94.17%
(Cost $37,278,135) 46,046,671
------------
TOTAL OPTIONS SOLD (3.65%)
(Premiums $1,704,836) (1,783,059)
------------
OTHER ASSETS AND LIABILITIES--9.48%
Cash Equivalents 4,608,708
Other Assets and Liabilities (net) 26,603
------------
NET ASSETS--100.00% $ 48,898,923
------------
------------
</TABLE>
** Non-income producing security
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
14
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C>
ASSETS:
Securities portfolio at market value (identified cost $37,278,135).............................. $ 46,046,671
Cash equivalents (includes cash reserved for short puts options of $1,562,500).................. 4,608,708
Dividends receivable............................................................................ 78,441
Interest receivable............................................................................. 21,976
-------------
Total assets.................................................................................. 50,755,796
-------------
LESS LIABILITIES:
Options outstanding at market value (premiums received $1,704,836).............................. 1,783,059
Payable for capital shares redeemed............................................................. 44,309
Accrued expenses................................................................................ 29,505
-------------
Total liabilities............................................................................. 1,856,873
-------------
Net assets...................................................................................... $ 48,898,923
-------------
-------------
REPRESENTED BY:
Paid-in capital................................................................................. $ 38,433,842
Net unrealized appreciation of investments...................................................... 8,690,312
Undistributed net investment income............................................................. 21,988
Undistributed realized gains.................................................................... 1,752,781
-------------
$ 48,898,923
-------------
-------------
Net asset value, purchase and redemption price per outstanding share
(100,000,000 shares of no par capital shares authorized; 3,431,595 shares outstanding)......... $ 14.25
-------------
-------------
</TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
----------------- -------------------
<S> <C> <C>
OPERATIONS:
Net investment income................................................. $ 325,892 $ 862,933
Net realized gain (loss) on investments and options................... 1,937,299 (185,575)
Change in unrealized appreciation (depreciation) of investments and
options.............................................................. 1,305,877 8,394,839
----------------- -------------------
Increase in net assets from operations.............................. 3,569,068 9,072,197
----------------- -------------------
DISTRIBUTION TO SHAREHOLDERS:
From net investment income............................................ (310,448) (847,716)
From net realized gains............................................... 0 0
----------------- -------------------
Decrease in net assets from distributions........................... (310,448) (847,716)
----------------- -------------------
FUND SHARE TRANSACTIONS:
Proceeds from sales of 641,040 and 424,638 capital shares............. 8,746,591 5,108,441
Proceeds from 19,290 and 64,633 capital shares issued in reinvestment
of distributions..................................................... 269,632 805,478
Redemption of 444,756 and 1,614,600 capital shares.................... (6,023,529) (19,744,905)
----------------- -------------------
Decrease in net assets from fund share transactions................... 2,992,694 (13,830,986)
----------------- -------------------
Net increase (decrease) in net assets................................. 6,251,314 (5,606,505)
Net assets, beginning of period..................................... 42,647,609 48,254,114
----------------- -------------------
Net assets, end of period........................................... $ 48,898,923 $ 42,647,609
----------------- -------------------
----------------- -------------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
15
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO
STATEMENT OF OPERATIONS
JUNE 30, 1996
(UNAUDITED)
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends............................................................ $ 495,489
Interest............................................................. 126,990
------------
Total investment income............................................ 622,479
------------
EXPENSES:
FEES PAID TO ANALYTIC/TSA GLOBAL ASSET MANAGEMENT (THE ADVISER):
Investment advisory and management fees............................ 172,300
Transfer agent and accounting fees................................. 62,700
Audit fees......................................................... 42,310
Registration fees, insurance and other expenses.................... 22,704
Shareholder services, reports and notices.......................... 19,750
Custodian fees..................................................... 13,147
Directors' fees and expenses....................................... 9,040
Legal fees......................................................... 6,634
------------
Total expenses................................................... 348,585
Expenses paid indirectly........................................... (51,998)
------------
Net expenses....................................................... 296,587
------------
Net investment income.............................................. 325,892
------------
REALIZED & UNREALIZED GAINS (LOSSES) ON INVESTMENTS AND OPTIONS:
Realized gains (losses):
Proceeds from sales of investments................................... $ 11,279,435
Cost of investments sold............................................. 9,175,609
-------------
Realized net gain on investments..................................... 2,103,826
------------
Premiums received on options closed.................................. 779,606
Cost of closing purchase transactions................................ 1,785,223
-------------
Realized net loss on options closed.................................. (1,005,617)
Premiums received on options expired................................. 839,090
------------
Realized net loss on options......................................... (166,527)
------------
Total realized net loss............................................ 1,937,299
Unrealized gains:
Change in unrealized appreciation of investments..................... 574,684
Change in unrealized appreciation of options outstanding............. 731,193
-------------
Net change in unrealized appreciation.............................. 1,305,877
------------
Net realized and unrealized gain on investments and options........ 3,243,176
------------
Net increase in net assets from operations....................... $ 3,569,068
------------
------------
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS
16
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO
OF ANALYTIC OPTIONED EQUITY FUND, INC.
NOTES TO FINANCIAL STATEMENTS
1. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Analytic Optioned Equity Fund, Inc. (the Fund) is registered under the
Investment Company Act of 1940, as amended, as a diversified, no-load, open-end
management investment company. The following is a summary of the Fund's
significant accounting policies.
SECURITIES VALUATION--Investments and outstanding options (collectively referred
to as securities) are stated at market value. Securities traded on securities
exchanges are valued at the last sale price on the days of valuation or, in the
absence of a sale that day, at the mean between the last current bid and asked
prices.
INVESTMENT INCOME AND SECURITIES TRANSACTIONS--Dividend income is recorded on
the ex-dividend date and interest income is accrued as earned. Interest income
on bonds is not reduced by amortization of premium paid but is increased by
amortization of any discount. Securities transactions are accounted for on the
trade date (the date the order to buy or sell is executed). Realized gains on
losses from securities transactions are reported on an identified cost basis for
both financial statement and Federal income tax purposes.
OPTION ACCOUNTING PRINCIPLES--When the Fund writes a call or put options, an
amount equal to the premium received by the Fund is included in the Fund's
Statement of Assets and Liabilities as an asset and an equivalent liability. The
amount of the liability will be subsequently marked-to-market to reflect the
current market value of the option written. The current market value of a traded
option is the last sale price or, in the absence of a sale, the mean between the
last current bid and asked prices.
When a call expires on its stipulated expiration date, or if the Fund enters
into a closing purchase transaction, the Fund will realize a gain (or loss if
the cost of a closing purchase transaction exceeds the premium received when the
call option was written) without regard to any unrealized gain or loss on the
underlying security, and the liability related to such option will be
extinguished. When a call option is exercised, the Fund will realize a gain or
loss from the sale of the underlying security and the proceeds of the sale are
increased by the premium originally received.
When the Fund writes a put option, cash equal to the exercise price is placed in
an interest bearing escrow account to secure the outstanding put option. When a
put option expires, or if the Fund enters into a closing purchase transaction,
the Fund will realize a gain or loss on the option transaction, the cash is
released from escrow and the liability related to such option is extinguished.
When a put option is exercised, the Fund uses the cash in escrow to purchase the
security, the cost of the security is reduced by the premium originally received
and no gain or loss is recognized.
17
<PAGE>
FUND SHARE VALUATION--Fund shares are sold and redeemed on a continuing basis at
net asset value. Net asset value per share is determined daily as of the close
of trading of the New York Stock Exchange on each day the Exchange is open for
trading by dividing the total value of the Fund's investments and other assets,
less the sum of liabilities and the value of the outstanding options, by the
number of Fund shares outstanding.
FEDERAL INCOME TAXES--It is the Fund's intention to continue to comply with the
provisions of the Internal Revenue Code enabling it to qualify as a regulated
investment company and, in the manner provided therein, to distribute all of its
taxable income to its shareholders. Accordingly, no provision for income taxes
has been made
The Fund had unused capital loss carryfowards of $185,664, at December 31, 1995.
These realized losses are intended to be used to offset future net capital
gains.
The cost of investments and options for Federal income tax purposes at December
31, 1995 was $32,974,069. Net unrealized appreciation of $7,384,435 was
comprised of aggregate gross unrealized appreciation of $9,791,738 less
aggregate gross depreciation of $2,407,303. During the year ended December 31,
1995, the Fund realized, on a federal tax basis and for financial reporting
purposes, net losses of $185,575.
2. DISTRIBUTIONS OF REALIZED GAINS
There were no capital gains distributed for the year ended December 31, 1995.
3. INVESTMENT ADVISORY AGREEMENT AND "AFFILIATED PERSONS"
Analytic-TSA Global Asset Management, Inc. is the investment adviser (the
"Adviser") of the Fund. The Adviser is a wholly owned subsidiary of United Asset
Management Corporation, a holding company that purchased all of the voting
common stock of the Adviser on May 9, 1985. The Adviser, subject to the control
and direction of the Fund's board of directors, manages and supervises the
investment operations of the Fund and the composition of it portfolio, including
the writing of options and making recommendations to the Fund's board of
directors as to investment policies.
As compensation for furnishing investment advisory, management, and other
services, and costs and expenses assumed, pursuant to the Investment Management
Agreement, the Fund pays the Adviser an annual fee equal to 0.75% of the first
$100,000,000 of average daily net assets, 0.65% of the next $100,000,000 of
average daily net assets, and 0.55% of average daily net assets in excess of
$200,000,000. The Adviser also acts as the Fund's transfer agent, dividend
disbursing agent, and shareholder relations servicing agent for which the Fund
pays a fee based on the number of accounts and net assets. The Fund also pays
the Adviser a fee based on its net assets to calculate its daily share price and
maintain its general accounting records. In order to comply with the
registration requirements of certain states, the Adviser has agreed that, in any
fiscal year, if the expenses of the Fund (including the advisory fee but
excluding interest, taxes, brokerage commissions, backup withholding,
litigation, indemnity and extraordinary expenses) exceed the limits set by
applicable regulations
18
<PAGE>
of state securities commission, the Adviser will reduce its fee by the amount of
such excess. Any such reductions are subject to readjustment during the year.
Currently, the Fund believes that the most restrictive applicable expense
limitation of state securities commissions is 2.50% of the Funds $30,000,000 of
the average net assets, 2.0% of the next $70,000,000 of such average net assets,
and 1.50% of the average net assets in excess of $100,000,00. Additionally, the
Adviser has agreed to absorb all costs of marketing the shares of the Fund,
although the Adviser is not required to do so by the investment advisory
agreement. At December 31, 1995, 7 officers and 1 director of the Fund are also
officers and directory of the Adviser.
4. INVESTMENT ACTIVITY
For the six months ended June 30, 1996, the cost basis of purchases and proceeds
of sales of investments aggregated $13,479,675 (reduced by $12,697 of premiums
for put options exercised), and $11,279,435 (including $319,240 of premiums for
call options exercised), respectively. Transactions in options contracts written
were as follows:
<TABLE>
<CAPTION>
Number of
Contracts Premiums
----------- -----------
<S> <C> <C>
Outstanding at beginning of period.......................... 5,972 $ 1,554,350
Options written............................................. 8,765 2,101,119
Options terminated in closing purchase transactions......... (3,085) (779,606)
Options expired............................................. (3,398) (839,090)
Options exercised........................................... (1,407) (331,937)
----------- -----------
Outstanding at June 30, 1996................................ 6,847 $ 1,704,836
----------- -----------
----------- -----------
</TABLE>
As of June 30, 1996, portfolio securities valued at $39,311,838 were held in
escrow by the custodian in connection with covered call options written by the
Fund.
5. REIMBURSED EXPENSES
The Fund has entered into an agreement whereby certain operating expenses of the
Fund are reimbursed by a broker, based upon a percentage of commissions earned
by the broker for execution of portfolio transactions. For the six months ended
June 30, 1996, such expenses amounted to $51,671. Gross commission rates for
this broker are consistent with those of other brokers utilized by the Fund.
19
<PAGE>
THE DEFENSIVE EQUITY PORTFOLIO
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Six Months Year Ended December 31,
Ended -------------------------------------------------------------------
June 30, 1996 1995 1994 1993 1992 1991
-------------- -------------- ----------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period....... $ 13.26 $ 11.12 $ 11.96 $ 11.97 $ 12.29 $ 11.92
-------------- -------------- ----------- ----------- ----------- ------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income.................... 0.09 0.24 0.31 0.33 0.27 0.40
Net gains or losses on securities (both
realized and unrealized)................ 0.99 2.14 (0.02) 0.48 0.48 1.17
-------------- -------------- ----------- ----------- ----------- ------------
Total from investment operations....... 1.08 2.38 0.29 0.81 0.75 1.57
LESS DISTRIBUTIONS
Dividends (from net investment income)... 0.09 0.24 0.31 0.33 0.29 0.40
Distributions (from capital gains)....... 0.00 0.00 0.82 0.49 0.78 0.80
-------------- -------------- ----------- ----------- ----------- ------------
Total distributions.................... 0.09 0.24 1.13 0.82 1.07 1.20
-------------- -------------- ----------- ----------- ----------- ------------
Net asset value, end of period............. $ 14.25 $ 13.26 $ 11.12 $ 11.96 $ 11.97 $ 12.29
-------------- -------------- ----------- ----------- ----------- ------------
-------------- -------------- ----------- ----------- ----------- ------------
TOTAL RETURN............................... 8.16% 21.52% 2.47% 6.73% 6.17% 13.29%
-------------- -------------- ----------- ----------- ----------- ------------
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (000)............ $ 48,899 $ 42,658 $ 48,254 $ 76,948 $ 91,561 $ 100,548
Ratio of expenses to average net assets.... 1.29%(1) 1.22%(1) 1.10% 1.07% 1.02% 1.10%
Ratio of net investment income to average
net assets................................ 1.41%+ 1.87% 3.45% 2.51% 2.33% 3.05%
Portfolio turnover rate.................... 24.79% 32.37% 48.71% 36.19% 81.73% 75.83%
Average commission rate (2)................ 0.0448 0.0442
</TABLE>
+ Annualized
(1) Net of expense reimbursements. Without expense reimbursements, the ratio of
expenses to average net assets would have been 1.51% for the six months
ended June 30, 1996 and 1.38% for the year ended December 31, 1995.
(2) The formula for calculating the average commission rate is total commission
paid divided by the total shares purchased and sold. Each option contract is
100 shares.
20
<PAGE>
OFFICERS AND DIRECTORS
CHAIRMAN OF THE
BOARD OF DIRECTORS.................................... Michael F. Koehn
DIRECTOR.............................................. Michael D. Butler
DIRECTOR.............................................. Robertson Whittemore
PRESIDENT............................................. Alan L. Lewis
EXECUTIVE VICE PRESIDENT
AND SECRETARY......................................... Charles L. Dobson
TREASURER............................................. Alan R. Adelman
SENIOR VICE PRESIDENT................................. Deborah D. Boedicker
VICE PRESIDENT AND PRINCIPAL
ACCOUNTING OFFICER.................................... Ricardo R. Porras
VICE PRESIDENT........................................ Deborah C. Sheflin
INVESTMENT ADVISER
Analytic-TSA Global Asset Management, Inc.
2222 Martin Street, Suite 230
Irvine, CA 92612-1454
TRANSFER AGENT, DIVIDEND DISBURSEMENT AGENT,
AND SHAREHOLDER RELATIONS SERVICING AGENT
Analytic TSA Global Asset Management, Inc.
2222 Martin Street, Suite 230
Irvine, California 92612-1454
CUSTODIAN
The Union Bank of California, N.A.
Mutual Fund Services
475 Sansome Street, 11th Floor
San Francisco, California 94111
COUNSEL
Paul, Hastings, Janofsky & Walker
555 South Flower Street
Los Angeles, California 90071
INDEPENDENT ACCOUNTANTS
Deloitte & Touche, LLP
1000 Wilshire Blvd., Suite 1500
Los Angeles, California 90017
THE DEFENSIVE EQUITY PORTFOLIO
Analytic Optioned Equity Fund, Inc.
2222 Martin Street, Suite 230
Irvine, California 92612-1454
Phone: (800) 374-2633
FAX: (714) 833-8049
- ---------------------------------------------------------
SEMI-ANNUAL REPORT
AND EIGHTEEN YEAR REVIEW
JUNE 30, 1996
- -----------------------------------
THE DEFENSIVE EQUITY PORTFOLIO
OF ANALYTIC OPTIONED EQUITY FUND, INC.
- -----------------------------------------
ANALYTIC - TSA
GLOBAL ASSET
MANAGEMENT, INC.
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