<PAGE>
THE BENCHMARK FUNDS
Investment Adviser, Transfer Agent and Custodian:
The Northern Trust Company 50 S. LaSalle Street Chicago, IL 60675
Administrator and Distributor:
Goldman, Sachs & Co. 4900 Sears Tower Chicago, IL 60606
The
Benchmark
Funds
Fixed
Income and Equity
Portfolios
PROSPECTUS
OCTOBER 1, 1997
<PAGE>
THE BENCHMARK FUNDS
(Advised by The Northern Trust Company)
This Prospectus describes six fixed income, one balanced and six equity
portfolios (the "Portfolios") offered by The Benchmark Funds (the "Trust") to
institutional investors.
The U.S. GOVERNMENT SECURITIES PORTFOLIO seeks to maximize total return with
reasonable risk by investing in a broad range of U.S. Government securities
and maintaining a dollar-weighted average maturity of between 1 and 5 years.
The SHORT-INTERMEDIATE BOND PORTFOLIO seeks to maximize total return
consistent with reasonable risk by investing in a broad range of bonds and
other fixed income securities and maintaining a dollar-weighted average
maturity of between 2 and 5 years.
The U.S. TREASURY INDEX PORTFOLIO seeks to provide investment results
approximating the performance of the Lehman Brothers Treasury Bond Index (the
"Lehman Index") by investing primarily in securities represented in the
Lehman Index.
The BOND PORTFOLIO seeks to maximize total return consistent with reasonable
risk by investing in a broad range of bonds and other fixed income securities
and maintaining a dollar-weighted average maturity of between 5 and 15 years.
The INTERMEDIATE BOND PORTFOLIO seeks to maximize total return consistent
with reasonable risk by investing in a broad range of bonds and other fixed
income securities and maintaining a dollar-weighted average maturity of
between 3 and 10 years.
The INTERNATIONAL BOND PORTFOLIO seeks to maximize total return consistent
with reasonable risk by investing primarily in a broad range of bonds and
other fixed income securities of foreign issuers while maintaining a dollar-
weighted average maturity of between 3 and 11 years.
The BALANCED PORTFOLIO seeks to provide long-term capital appreciation and
current income by investing in stocks, bonds and cash equivalents.
The EQUITY INDEX PORTFOLIO seeks to provide investment results approximating
the aggregate price and dividend performance of the securities included in
the Standard & Poor's 500 Composite Stock Price Index (the "S&P Index") by
investing substantially all of its assets in securities comprising the S&P
Index.
The DIVERSIFIED GROWTH PORTFOLIO seeks to provide long-term capital
appreciation with income a secondary consideration by investing principally
in common and preferred stocks and securities convertible into common stock
of growth companies.
The FOCUSED GROWTH PORTFOLIO seeks to provide long-term capital appreciation
by investing primarily in common stocks of growth companies. Any income
received is incidental to the objective of capital appreciation.
The SMALL COMPANY INDEX PORTFOLIO seeks to provide investment results
approximating the aggregate price and dividend performance of the securities
included in the Russell 2000 Small Stock Index (the "Russell Index") by
investing substantially all of its assets in securities represented in the
Russell Index.
The INTERNATIONAL EQUITY INDEX PORTFOLIO seeks to provide investment results
approximating the aggregate price and dividend performance of the securities
in the Morgan Stanley Capital International (MSCI) Europe, Australia and Far
East Index (the "EAFE Index").
The INTERNATIONAL GROWTH PORTFOLIO seeks to provide long-term capital
appreciation by investing principally in common and preferred stocks and
securities convertible into common stock of foreign issuers. Any income
received is incidental to the objective of capital appreciation.
This Prospectus provides information about the Portfolios that you should
know before investing. It should be read and retained for future reference.
If you would like more detailed information, a Statement of Additional
Information (the "Additional Statement") dated October 1, 1997 is available
upon request without charge by writing to the Trust's distributor, Goldman,
Sachs & Co. ("Goldman Sachs"), 4900 Sears Tower, Chicago, Illinois 60606 or
by calling 1-800-621-2550.
UNITS OF THE TRUST ARE NOT BANK DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED,
ENDORSED OR OTHERWISE SUPPORTED BY, THE NORTHERN TRUST COMPANY, ITS PARENT
COMPANY OR ITS AFFILIATES, AND ARE NOT FEDERALLY INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL
RESERVE BOARD OR ANY OTHER GOVERNMENTAL AGENCY. INVESTMENT IN THE PORTFOLIOS
INVOLVES INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS
A CRIMINAL OFFENSE.
The date of this Prospectus is October 1, 1997.
<PAGE>
THE NORTHERN TRUST COMPANY INVESTMENT ADVISER, TRANSFER AGENT AND
50 S. LaSalle Street CUSTODIAN
Chicago, Illinois 60675
312-630-6000
Each Portfolio is advised by The Northern Trust Company ("Northern"). Units of
all Portfolios other than the Small Company Index and International Equity
Index Portfolios are sold and redeemed without any purchase or redemption
charge imposed by the Trust, although Northern and other institutions may
charge their customers for services provided in connection with their
investments. The Small Company Index and International Equity Index Portfolios
require the payment of an additional transaction fee with respect to purchase
transactions equal to 0.75% and 1.00%, respectively, of the amount invested.
INDEX
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
SUMMARY OF EXPENSES 3
- -------------------
FINANCIAL HIGHLIGHTS 9
- --------------------
INVESTMENT INFORMATION 25
- ----------------------
Introduction 25
U.S. Government Securities Portfo-
lio 25
Short-Intermediate Bond Portfolio 25
U.S. Treasury Index Portfolio 26
Bond Portfolio 26
Intermediate Bond Portfolio 27
International Bond Portfolio 27
Balanced Portfolio 28
Equity Index Portfolio 29
Diversified Growth Portfolio 30
Focused Growth Portfolio 30
Small Company Index Portfolio 30
International Equity Index Portfo-
lio 31
International Growth Portfolio 33
Special Risks and Other Considera-
tions 33
Description of Securities and
Common Investment Techniques 36
Investment Restrictions 48
</TABLE>
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
TRUST INFORMATION 48
- -----------------
Board of Trustees 48
Investment Adviser, Transfer Agent
and Custodian 48
Portfolio Managers 50
Administrator and Distributor 52
Unitholder Servicing Plan 52
Service Information 53
INVESTING 53
- ---------
Purchase of Units 53
Redemption of Units 56
Distributions 58
Taxes 59
NET ASSET VALUE 61
- ---------------
PERFORMANCE INFORMATION 61
- -----------------------
ORGANIZATION 62
- ------------
MISCELLANEOUS 63
- -------------
</TABLE>
2
<PAGE>
SUMMARY OF EXPENSES
The following table sets forth certain information regarding the unitholder
transaction expenses imposed by the Trust and the annualized operating
expenses the Portfolios (except the Intermediate Bond and the International
Equity Index Portfolio) incurred during the Trust's last fiscal year, and the
estimated annualized operating expenses the Intermediate Bond and the
International Equity Index Portfolio expect to incur during the current fiscal
year. Hypothetical examples based on the table are also shown. Investors
should note that units of each Portfolio have been classified into four
separate classes, Class A, B, C and D units. Each class is distinguished by
the level of administrative support and transfer agency services provided.
Class A, B, C and D units represent pro rata interests in a Portfolio except
that different unitholder servicing fees and transfer agency fees are payable
by Class A, B, C and D units in a Portfolio. See "Trust Information--
Unitholder Servicing Plan."
<TABLE>
<CAPTION>
U.S. Government Securities Short-Intermediate Bond
------------------------------- --------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
------- ------- ------- ------- ------- ------- -------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount invested)... None None None None None None None None
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and Fee
Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .25% .25% .25% .25% .25% .25% .25% .25%
12b-1 Fees............. None None None None None None None None
Other Operating Ex-
penses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee Reductions(3,4).. .10% .10% .10% .10% .10% .10% .10% .10%
---- ---- ---- ---- ---- ---- ---- ----
Total Other Operating
Expenses(3,4)........ .11% .25% .35% .50% .11% .25% .35% .50%
---- ---- ---- ---- ---- ---- ---- ----
Total Operating
Expenses(1,2,3,4)..... .36% .50% .60% .75% .36% .50% .60% .75%
==== ==== ==== ==== ==== ==== ==== ====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $4 $5 $6 $8 $4 $5 $6 $8
Three Years............ $12 $16 $19 $24 $12 $16 $19 $24
Five Years............. $20 $28 $33 $42 $20 $28 $33 $42
Ten Years.............. $46 $63 $75 $93 $46 $63 $75 $93
</TABLE>
3
<PAGE>
<TABLE>
<CAPTION>
U.S. Treasury Index Bond
------------------------------- -------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount invested)... None None None None None None None None
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and Fee
Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .15% .15% .15% .15% .25% .25% .25% .25%
12b-1 Fees............. None None None None None None None None
Other Operating Ex-
penses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee Reductions(3,4).. .10% .10% .10% .10% .10% .10% .10% .10%
---- ---- ---- ---- ---- ---- ---- ----
Total Other Operating
Expenses(3,4)........ .11% .25% .35% .50% .11% .25% .35% .50%
---- ---- ---- ---- ---- ---- ---- ----
Total Operating
Expenses(1,2,3,4)..... .26% .40% .50% .65% .36% .50% .60% .75%
==== ==== ==== ==== ==== ==== ==== ====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $3 $4 $5 $7 $4 $5 $6 $8
Three Years............ $8 $13 $16 $21 $12 $16 $19 $24
Five Years............. $15 $22 $28 $36 $20 $28 $33 $42
Ten Years.............. $33 $51 $63 $81 $46 $63 $75 $93
</TABLE>
<TABLE>
<CAPTION>
Intermediate Bond Portfolio(7)
-------------------------------
Class A Class B Class C Class D
Units Units Units Units
------- ------- ------- -------
<S> <C> <C> <C> <C>
Unitholder Transaction Expenses
Maximum Sales Charge Imposed on Purchases.... None None None None
Additional Transaction Fee (as a percentage
of the amount invested)..................... None None None None
Deferred Sales Charge Imposed on Reinvested
Distributions............................... None None None None
Deferred Sales Charge Imposed on Redemptions. None None None None
Redemption Fees.............................. None None None None
Exchange Fees................................ None None None None
Annual Operating Expenses After Expense
Reimbursements and
Fee Reductions (as a percentage of average
daily net assets).
Management Fees After Fee Reductions(1)...... .25% .25% .25% .25%
12b-1 Fees................................... None None None None
Other Operating Expenses
Servicing Fees(2)........................... None .10% .15% .25%
Transfer Agency Fees(2)..................... .01% .05% .10% .15%
Other Expenses (After Expense Reimbursements
and
Fee Reductions(3,4)........................ .10% .10% .10% .10%
---- ---- ---- ----
Total Other Operating Expenses(3,4)......... .11% .25% .35% .50%
---- ---- ---- ----
Total Operating Expenses(1,2,3,4)............ .36% .50% .60% .75%
==== ==== ==== ====
Example of Expenses. Based on the foregoing
table, you would pay the following expenses
on a hypothetical $1,000 investment, assuming
a 5% annual return and redemption at the end
of each time period:
One Year..................................... $4 $5 $6 $8
Three Years.................................. $12 $16 $19 $24
Five Years................................... N/A N/A N/A N/A
Ten Years.................................... N/A N/A N/A N/A
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
International Bond Balanced
------------------------------- -------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount invested)... None None None None None None None None
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and Fee
Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .70% .70% .70% .70% .50% .50% .50% .50%
12b-1 Fees............. None None None None None None None None
Other Operating Ex-
penses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee Reductions(3,4).. .25% .25% .25% .25% .10% .10% .10% .10%
---- ----- ----- ----- ---- ---- ---- -----
Total Other Operating
Expenses(3,4)........ .26% .40% .50% .65% .11% .25% .35% .50%
---- ----- ----- ----- ---- ---- ---- -----
Total Operating
Expenses(1,2,3,4)..... .96% 1.10% 1.20% 1.35% .61% .75% .85% 1.00%
==== ===== ===== ===== ==== ==== ==== =====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $10 $11 $12 $14 $6 $8 $9 $10
Three Years............ $31 $35 $38 $43 $20 $24 $27 $32
Five Years............. $53 $61 $66 $74 $34 $42 $47 $55
Ten Years.............. $118 $134 $145 $162 $76 $93 $105 $122
<CAPTION>
Equity Index(6) Diversified Growth
------------------------------- -------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount invested)... None None None None None None None None
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and Fee
Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .10% .10% .10% .10% .55% .55% .55% .55%
12b-1 Fees............. None None None None None None None None
Other Operting Expenses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee
Reductions(3,4,5).... .11% .11% .11% .11% .10% .10% .10% .10%
---- ----- ----- ----- ---- ---- ---- -----
Total Other Operating
Expenses(3,4,5)...... .12% .26% .36% .51% .11% .25% .35% .50%
---- ----- ----- ----- ---- ---- ---- -----
Total Operating
Expenses(1,2,3,4,5)... .22% .36% .46% .61% .66% .80% .90% 1.05%
==== ===== ===== ===== ==== ==== ==== =====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $2 $4 $5 $6 $7 $8 $9 $11
Three Years............ $7 $12 $15 $20 $21 $26 $29 $33
Five Years............. $12 $20 $26 $34 $37 $44 $50 $58
Ten Years.............. $28 $46 $58 $76 $82 $99 $111 $128
</TABLE>
5
<PAGE>
<TABLE>
<CAPTION>
Focused Growth Small Company Index(6)
------------------------------- -------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
------- ------- ------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount
invested)(6).......... None None None None .75% .75% .75% .75%
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and
Fee Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .80% .80% .80% .80% .20% .20% .20% .20%
12b-1 Fees............. None None None None None None None None
Other Operating Ex-
penses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee
Reductions(3,4,5).... .10% .10% .10% .10% .11% .11% .11% .11%
---- ----- ----- ----- ---- ---- ---- ----
Total Other Operating
Expenses(3,4,5)...... .11% .25% .35% .50% .12% .26% .36% .51%
---- ----- ----- ----- ---- ---- ---- ----
Total Operating
Expenses(1,2,3,4,5,).. .91% 1.05% 1.15% 1.30% .32% .46% .56% .71%
==== ===== ===== ===== ==== ==== ==== ====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $9 $11 $12 $13 $11 $12 $13 $15
Three Years............ $29 $33 $37 $41 $18 $22 $25 $30
Five Years............. $50 $58 $63 $71 $25 $33 $39 $47
Ten Years.............. $112 $128 $140 $157 $48 $65 $77 $95
</TABLE>
<TABLE>
<CAPTION>
International Equity Index Portfolio(7) International Growth
------------------------------------------ -------------------------------
Class A Class B Class C Class D Class A Class B Class C Class D
Units Units Units Units Units Units Units Units
--------- --------- --------- --------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Unitholder Transaction
Expenses
Maximum Sales Charge
Imposed on Purchases.. None None None None None None None None
Additional Transaction
Fee (as a percentage
of amount
invested)(6).......... 1.00% 1.00% 1.00% 1.00% None None None None
Deferred Sales Charge
Imposed on Reinvested
Distributions......... None None None None None None None None
Deferred Sales Charge
Imposed on
Redemptions........... None None None None None None None None
Redemption Fees........ None None None None None None None None
Exchange Fees.......... None None None None None None None None
Annual Operating
Expenses After Expense
Reimbursements and
Fee Reductions (as a
percentage of average
daily net assets).
Management Fees After
Fee Reductions(1)..... .25% .25% .25% .25% .80% .80% .80% .80%
12b-1 Fees............. None None None None None None None None
Other Operating Ex-
penses
Servicing Fees(2)..... None .10% .15% .25% None .10% .15% .25%
Transfer Agency
Fees(2).............. .01% .05% .10% .15% .01% .05% .10% .15%
Other Expenses After
Expense
Reimbursements and
Fee Reductions(3,4).. .25% .25% .25% .25% .25% .25% .25% .25%
--------- --------- --------- --------- ----- ----- ----- -----
Total Other Operating
Expenses(3,4)........ .26% .40% .50% .65% .26% .40% .50% .65%
--------- --------- --------- --------- ----- ----- ----- -----
Total Operating
Expenses(1,2,3,4)..... .51% .65% .75% .90% 1.06% 1.20% 1.30% 1.45%
========= ========= ========= ========= ===== ===== ===== =====
Example of Expenses.
Based on the foregoing
table, you would pay
the following expenses
on a hypothetical
$1,000 investment,
assuming a 5% annual
return and redemption
at the end of each time
period:
One Year............... $15 $17 $18 $19 $11 $12 $13 $15
Three Years............ $22 $24 $25 $26 $34 $38 $41 $46
Five Years............. NA NA NA NA $58 $66 $71 $79
Ten Years.............. NA NA NA NA $129 $145 $157 $174
</TABLE>
6
<PAGE>
- ----------
(1) For the fiscal year ending November 30, 1996, Northern voluntarily reduced
its advisory fee for the U.S. Government Securities, Short-Intermediate
Bond, U.S. Treasury Index, Bond, International Bond, Balanced, Equity
Index, Diversified Growth, Focused Growth, Small Company Index and
International Growth Portfolios to .25%, .25%, .15%, .25%, .70%, .50%,
.10%, .55%, .80%, .20% and .80%, respectively, of the Portfolios'
respective average daily net assets (advisory fees are otherwise payable
at the annual rate of .60%, .60%, .40%, .60%, .90%, .80%, .30%, .80%,
1.10%, .40% and 1.00%, respectively, of the Portfolios' respective average
daily net assets). In addition, Northern has voluntarily agreed to reduce
its advisory fee for the Intermediate Bond and International Equity Index
Portfolios to .25% of the Portfolios' average daily net assets for the
current fiscal year (advisory fees are otherwise payable at the annual
rate of .60% and .50% of the Intermediate Bond and International Equity
Index Portfolios' respective average daily net assets).
(2) The Trust has adopted a Unitholder Servicing Plan pursuant to which the
Trust may enter into agreements with Institutions or other financial
intermediaries under which they render (or arrange to have rendered)
certain unitholder administrative support services for their Customers or
other Investors who beneficially own Class B, C and D units in return for
a fee ("Servicing Fee") of up to .10%, .15%, and .25%, respectively, per
annum of the value of each Portfolio's outstanding Class B, C and D units,
respectively. The Trust also allocates transfer agency fees, which are
attributable to the Class A, B, C and D units in a Portfolio, separately
to such units, as reflected in the table. For further information, see
"Investment Adviser, Transfer Agent and Custodian" and "Unitholder
Servicing Plan" under the heading "Trust Information" in this Prospectus.
(3) For the fiscal year ending November 30, 1996, Goldman Sachs reduced its
administration fee (otherwise payable with respect to each Portfolio
during such period at the annual rate of .25% of the first $100 million,
.15% of the next $200 million, .075% of the next $450 million and .05% of
any excess over $750 million of the Portfolio's net assets) to .10% of
each Portfolio's average net assets. In addition, Goldman Sachs reimbursed
expenses for each Portfolio to the extent that the sum of a Portfolio's
expenses (including the fees payable to Goldman Sachs as administrator,
but excluding the fees payable to Nothern for its duties as adviser and
certain other expenses) exceeded on an annualized basis .25% of the
International Bond, International Growth and International Equity Index
Portfolio's average daily net assets and .10% of each other Portfolio's
average daily net assets for such fiscal year. The expense information in
the table has, accordingly, been presented to reflect these fee reductions
and expense reimbursements (estimated in the case of the Intermediate Bond
and International Equity Index Portfolios). Effective May 1, 1997, Goldman
Sachs is entitled to an administration fee from each Portfolio at an
annual rate of .15% of the average daily net assets of each of the
International Equity Index, International Growth and International Bond
Portfolios and .10% of the average daily net assets of each other
Portfolio. In addition, Goldman Sachs has agreed that it will reimburse
"Other Operating Expenses" for each Portfolio (including the fees payable
to Goldman Sachs as administrator, but excluding the fees payable to
Northern for its duties as adviser and transfer agent, servicing fees and
certain extraordinary expenses) which exceed on an annualized basis .25%
of the International Bond, International Growth and International Equity
Index Portfolio's average daily net assets and .10% of each other
Portfolio's average daily net assets for a fiscal year.
(4) Without the undertakings of Northern and Goldman Sachs, and had all
classes of units been outstanding during the year ending November 30,
1996, "Other Expenses" in the foregoing table would have been as follows:
U.S. Government Securities Portfolio -- .33%; Short-Intermediate Bond
Portfolio -- .27%; U.S. Treasury Index Portfolio -- .63%; Bond Portfolio
-- .23%; International Bond Portfolio -- .67%; Balanced Portfolio--.39%;
Equity Index Portfolio--.19%; Diversified Growth Portfolio--.29%; Focused
Growth Portfolio--.32%; Small Company Index Portfolio--.38%; and
International Growth Portfolio--.42%; and the total annual operating
expenses would have been as follows for Class A, B, C and D units,
respectively: U.S. Government Securities Portfolio--.94%, 1.08%, 1.18% and
1.33%; Short-Intermediate Bond Portfolio--.88%, 1.02%, 1.12% and 1.27%;
U.S. Treasury Index Portfolio--1.04%, 1.18%, 1.28% and 1.43%; Bond
Portfolio--.84%, .98%, 1.08% and 1.23%; International Bond Portfolio--
1.58%, 1.72%, 1.82% and 1.97%; Balanced Portfolio--1.20%, 1.34%, 1.44% and
1.59%; Equity Index Portfolio--.50%, .64%, .74% and .89%; Diversified
Growth Portfolio--1.10%, 1.24%, 1.34% and 1.49%; Focused Growth
Portfolio--1.43%, 1.57%, 1.67% and 1.82%; Small Company Index Portfolio--
.79%, .93%, 1.03% and 1.18%; and International Growth Portfolio--1.43%,
1.57%, 1.67% and 1.82%, based on actual expenses incurred during the
fiscal year ended November 30, 1996. Without the undertakings of Northern
and Goldman Sachs, it is estimated that "Other Expenses" would be .46% for
the Intermediate Bond Portfolio and .59% for the International Equity
Index Portfolio, and total annual operating expenses for the Intermediate
Bond and International Equity Index Portfolio's Class A, B, C and D units
would be 1.07%, 1.21%, 1.31% and 1.46% and 1.10%, 1.24%, 1.34% and 1.49%,
respectively, for the current fiscal year. See note (7) below. For a more
complete description of the Portfolios' expenses, see "Trust Information"
in this Prospectus.
(5) The actual expense ratios reflected in the above table for each class of
the Equity Index and Small Company Index Portfolios include interest
expense of .01%, associated with temporary borrowings. Interest expense is
not subject to voluntary expense limitations. Had the Portfolios not
experienced such temporary borrowings, the total annual operating expense
ratios would have been as follows: Equity Index Class A, B, C and D
units--.21%, .35%, .45% and .60%, respectively, and Small Company Index
Class A, B, C and D units--
7
<PAGE>
.31%, .45%, .55% and .70%, respectively. Whether such borrowings will occur
in any given year and the actual amount of such borrowings is difficult to
predict. The expenses noted in the table under "Other Expenses After Expense
Reimbursements and Fee Reductions" have been restated with respect to Class
B and C units of the Small Company Index Portfolios and Class B units of the
Equity Index Portfolio to reflect what such expenses would have been had
such classes of units of those Portfolios been outstanding for the entire
fiscal year ended November 30, 1996.
(6) To prevent the Small Company Index Portfolio and International Equity
Index Portfolio from being adversely affected by the transaction costs
associated with unit purchases, the Portfolios will sell units at a price
equal to the net asset value of the units plus an additional transaction
fee equal to .75% and 1.00%, respectively, of such value. Such amounts are
not sales charges, but are retained by the Portfolio for the benefit of
all unitholders. (See "Investment Information--Small Company Index
Portfolio," "Investment Information--International Equity Index
Portfolio," "Investing--Purchase of Units" and "Investing--Redemption of
Units").
(7) Since the Portfolio does not yet have an operating history for a full
fiscal year, the costs and expenses included in the table and hypothetical
example above are based on estimated fees and expenses for the current
fiscal year and should not be considered as representative of past or
future expenses. Actual fees and expenses may be greater or less than
those indicated.
--------------------
THE PURPOSE OF THE FOREGOING TABLE IS TO ASSIST YOU IN UNDERSTANDING THE
VARIOUS UNITHOLDER TRANSACTION AND OPERATING EXPENSES OF EACH PORTFOLIO THAT
UNITHOLDERS BEAR DIRECTLY OR INDIRECTLY. IT DOES NOT, HOWEVER, REFLECT ANY
CHARGES WHICH MAY BE IMPOSED BY NORTHERN, ITS AFFILIATES AND CORRESPONDENT
BANKS AND OTHER INSTITUTIONS ON THEIR CUSTOMERS AS DESCRIBED UNDER
"INVESTING--PURCHASE OF UNITS." THE EXAMPLE SHOWN ABOVE SHOULD NOT BE
CONSIDERED A REPRESENTATION OF PAST OR FUTURE EXPENSES OR RATE OF RETURN.
ACTUAL EXPENSES AND RATE OF RETURN MAY BE MORE OR LESS THAN THOSE SHOWN.
8
<PAGE>
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
The following data with respect to a unit (of the class specified) of the
Portfolios outstanding for the period ended May 31, 1997 is unaudited. The
remaining data has been audited by Ernst & Young LLP, independent auditors, as
indicated in their report incorporated by reference into the Additional
Statement from the annual report to unitholders for the fiscal year ended
November 30, 1996 (the "Annual Report"), and should be read in conjunction
with the financial statements and related notes incorporated by reference and
attached to the Additional Statement. No information is presented with respect
to Class C units of the Short-Intermediate Bond, U.S. Treasury Index,
International Bond, Diversified Growth, Small Company Index and International
Growth Portfolios, units of any class of the Intermediate Bond Portfolio, and
Class B units of the Portfolios because no such units were outstanding during
the periods presented. The Annual Report also contains additional performance
information and is available upon request and without charge by calling the
telephone number or writing to the address on the first page of this
Prospectus.
9
<PAGE>
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
U.S. Government Securities Portfolio
---------------------------------------------
Class A
---------------------------------------------
1997 1996 1995 1994 1993 (a)
<S> <C> <C> <C> <C> <C>
------- ------- ------- ------- -------
NET ASSET VALUE, BEGINNING OF PE-
RIOD $ 20.07 $ 20.08 $ 19.05 $ 20.07 $ 20.00
Income from investment
operations:
Net investment income 0.58 1.02 1.05 0.91 0.55
Net realized and unrealized gain
(loss) (0.23) (0.01) 1.02 (1.02) 0.05
------- ------- ------- ------- -------
Total income (loss) from
investment operations 0.35 1.01 2.07 (0.11) 0.60
------- ------- ------- ------- -------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.57) (1.02) (1.04) (0.91) (0.53)
------- ------- ------- ------- -------
Total distributions to
unitholders (0.57) (1.02) (1.04) (0.91) (0.53)
------- ------- ------- ------- -------
Net increase (decrease) (0.22) (0.01) 1.03 (1.02) 0.07
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 19.85 $ 20.07 $ 20.08 $ 19.05 $ 20.07
======= ======= ======= ======= =======
Total return (d) 1.82% 5.15% 11.18% (0.57)% 3.00%
Ratio to average net assets
of (e):
Expenses, net of waivers and re-
imbursements 0.36% 0.36% 0.36% 0.36% 0.43%
Expenses, before waivers and
reimbursements 0.92% 0.94% 1.09% 1.12% 1.18%
Net investment income, net of
waivers and reimbursements 5.83% 5.22% 5.43% 4.62% 4.18%
Net investment income, before
waivers and reimbursements 5.27% 4.64% 4.70% 3.86% 3.43%
Portfolio turnover rate 68.48% 119.75% 141.14% 45.55% 20.59%
Net assets at end of period (in
thousands) $79,575 $92,351 $56,329 $25,293 $32,479
======= ======= ======= ======= =======
</TABLE>
(a)Commenced investment operations on April 5, 1993.
(b)Class C units were issued on December 29, 1995.
(c)Class D units were issued on September 15, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(e)Annualized for periods less than a full year.
10
<PAGE>
<TABLE>
<CAPTION>
U.S. Government Securities Portfolio
--------------------------------------------------
Class C Class D
---------------- --------------------------------
<S> <C> <C> <C> <C> <C> <C>
1997 1996 (b) 1997 1996 1995 1994 (c)
------ -------- ------ ------ ------ --------
NET ASSET VALUE, BEGINNING OF PERIOD $20.14 $20.13 $20.03 $20.04 $19.05 $19.43
Income from investment operations:
Net investment income 0.55 0.91 0.53 0.96 0.96 0.22
Net realized and unrealized gain (loss) (0.29) (0.12) (0.22) (0.03) 1.00 (0.38)
------ -------- ------ ------ ------ --------
Total income (loss) from investment
operations 0.26 0.79 0.31 0.93 1.96 (0.16)
------ -------- ------ ------ ------ --------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
------ -------- ------ ------ ------ --------
Total distributions to unitholders (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
------ -------- ------ ------ ------ --------
Net increase (decrease) (0.29) (0.07) (0.22) (0.01) 0.99 (0.38)
------ -------- ------ ------ ------ --------
NET ASSET VALUE, END OF PERIOD $19.85 $20.06 $19.81 $20.03 $20.04 $19.05
====== ======== ====== ====== ====== ========
Total return (d) 1.72% 4.05% 1.63% 4.77% 10.66% (0.90)%
Ratio to average net assets of (e):
Expenses, net of waivers and
reimbursements 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before waivers and
reimbursements 1.16% 1.18% 1.31% 1.33% 1.48% 1.51%
Net investment income, net of waivers and
reimbursements 5.59% 4.97% 5.44% 4.83% 5.08% 4.65%
Net investment income, before waivers and
reimbursements 5.03% 4.39% 4.88% 4.25% 4.35% 3.89%
Portfolio turnover rate 68.48% 119.75% 68.48% 119.75% 141.14% 45.55%
Net assets at end of period (in thousands) $3,692 $3,535 $ 299 $ 225 $ 67 $ 13
====== ======== ====== ====== ====== ========
</TABLE>
11
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Short-Intermediate Bond Portfolio
---------------------------------------------------------------------------------
Class A Class D
----------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
-------- -------- -------- ------- -------- ------ ------ ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.70 $ 20.73 $ 19.53 $ 20.33 $ 20.00 $20.66 $20.71 $19.53 $19.82
Income from investment
operations:
Net investment income 0.67 1.14 1.02 0.97 0.85 0.63 1.07 0.94 0.23
Net realized and
unrealized gain (loss) (0.36) (0.01) 1.19 (0.80) 0.31 (0.36) (0.02) 1.18 (0.29)
-------- -------- -------- ------- -------- ------ ------ ------ ------
Total income (loss) from
investment operations 0.31 1.13 2.21 0.17 1.16 0.27 1.05 2.12 (0.06)
-------- -------- -------- ------- -------- ------ ------ ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.65) (1.16) (1.01) (0.97) (0.83) (0.62) (1.10) (0.94) (0.23)
Net realized gain (0.05) -- -- -- -- (0.05) -- -- --
-------- -------- -------- ------- -------- ------ ------ ------ ------
Total distributions to
unitholders (0.70) (1.16) (1.01) (0.97) (0.83) (0.67) (1.10) (0.94) (0.23)
-------- -------- -------- ------- -------- ------ ------ ------ ------
Net increase (decrease) (0.39) (0.03) 1.20 (0.80) 0.33 (0.40) (0.05) 1.18 (0.29)
-------- -------- -------- ------- -------- ------ ------ ------ ------
NET ASSET VALUE, END OF
PERIOD $ 20.31 $ 20.70 $ 20.73 $ 19.53 $ 20.33 $20.26 $20.66 $20.71 $19.53
======== ======== ======== ======= ======== ====== ====== ====== ======
Total return (c) 1.57% 5.68% 11.58% 0.84% 5.90% 1.37% 5.22% 11.09% (0.30)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36% 0.75% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and reimbursements 0.87% 0.88% 0.91% 0.95% 1.00% 1.26% 1.27% 1.30% 1.34%
Net investment income,
net of waivers and
reimbursements 6.63% 5.83% 5.14% 4.84% 4.79% 6.24% 4.96% 4.85% 4.42%
Net investment income,
before waivers and
reimbursements 6.12% 5.31% 4.59% 4.25% 4.15% 5.73% 4.44% 4.30% 3.83%
Portfolio turnover rate 36.24% 47.68% 54.68% 48.67% 19.48% 36.24% 47.68% 54.68% 48.67%
Net assets at end of pe-
riod (in thousands) $157,461 $153,675 $158,678 $96,209 $107,550 $ 460 $ 343 $ 13 $ 1
======== ======== ======== ======= ======== ====== ====== ====== ======
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
12
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
U.S. Treasury Index Portfolio
-------------------------------------------------------------------------------
Class A Class D
--------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
------- ------- ------- ------- -------- ------ ------ ------ --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.60 $ 20.78 $ 18.77 $ 21.05 $ 20.00 $20.57 $20.75 $18.77 $18.80
Income from investment
operations:
Net investment income 0.59 1.19 1.11 1.15 0.95 0.55 1.17 1.00 0.09
Net realized and
unrealized gain (loss) (0.52) (0.18) 2.01 (1.93) 1.02 (0.52) (0.24) 2.03 (0.03)
------- ------- ------- ------- ------- ------ ------ ------ ------
Total income (loss) from
investment operations 0.07 1.01 3.12 (0.78) 1.97 0.03 0.93 3.03 0.06
------- ------- ------- ------- ------- ------ ------ ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.58) (1.19) (1.11) (1.14) (0.92) (0.55) (1.11) (1.05) (0.09)
Net realized gain -- -- -- (0.36) -- -- -- -- --
------- ------- ------- ------- ------- ------ ------ ------ ------
Total distributions to
unitholders (0.58) (1.19) (1.11) (1.50) (0.92) (0.55) (1.11) (1.05) (0.09)
------- ------- ------- ------- ------- ------ ------ ------ ------
Net increase (decrease) (0.51) (0.18) 2.01 (2.28) 1.05 (0.52) (0.18) 1.98 (0.03)
------- ------- ------- ------- ------- ------ ------ ------ ------
NET ASSET VALUE, END OF
PERIOD $ 20.09 $ 20.60 $ 20.78 $ 18.77 $ 21.05 $20.05 $20.57 $20.75 $18.77
======= ======= ======= ======= ======= ====== ====== ====== ======
Total return (c) 0.40% 5.10% 16.95% (3.80)% 9.94% 0.21% 4.72% 16.43% 0.37%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.26% 0.26% 0.26% 0.26% 0.26% 0.65% 0.65% 0.65% 0.65%
Expenses, before
waivers and
reimbursements 0.88% 1.04% 0.89% 0.79% 0.83% 1.27% 1.43% 1.28% 1.18%
Net investment income,
net of waivers and
reimbursements 5.98% 5.93% 5.09% 5.60% 5.11% 5.59% 5.57% 5.41% 6.05%
Net investment income,
before waivers and
reimbursements 5.36% 5.15% 4.46% 5.07% 4.54% 4.97% 4.79% 4.78% 5.52%
Portfolio turnover rate 28.92% 42.49% 80.36% 52.80% 77.75% 28.92% 42.49% 80.36% 52.80%
Net assets at end of
period (in thousands) $29,206 $26,273 $17,674 $37,305 $71,456 $1,390 $ 848 $ 286 $ --
======= ======= ======= ======= ======= ====== ====== ====== ======
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
13
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Bond Portfolio
-------------------------------------------------
Class A
-------------------------------------------------
1997 1996 1995 1994 1993 (a)
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 20.77 $ 20.96 $ 18.29 $ 20.70 $ 20.00
Income from investment
operations:
Net investment income 0.64 1.29 1.17 1.42 1.42
Net realized and unrealized
gain (loss) (0.36) (0.19) 2.66 (2.21) 0.66
-------- -------- -------- -------- --------
Total income (loss) from
investment operations 0.28 1.10 3.83 (0.79) 2.08
-------- -------- -------- -------- --------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.63) (1.26) (1.14) (1.46) (1.38)
Net realized gain -- -- -- (0.15) --
Return of capital -- (0.03) (0.02) (0.01) --
-------- -------- -------- -------- --------
Total distributions to
unitholders (0.63) (1.29) (1.16) (1.62) (1.38)
-------- -------- -------- -------- --------
Net increase (decrease) (0.35) (0.19) 2.67 (2.41) 0.70
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD $ 20.42 $ 20.77 $ 20.96 $ 18.29 $ 20.70
======== ======== ======== ======== ========
Total return (b) 1.38% 5.57% 21.55% (4.04)% 10.60%
Ratio to average net assets
of (c):
Expenses, net of waivers
and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36%
Expenses, before waivers
and reimbursements 0.81% 0.84% 0.84% 0.87% 0.92%
Net investment income, net
of waivers and
reimbursements 6.45% 6.39% 5.94% 7.31% 7.84%
Net investment income, be-
fore waivers and
reimbursements 6.00% 5.91% 5.46% 6.80% 7.28%
Portfolio turnover rate 59.12% 101.38% 74.19% 103.09% 89.06%
Net assets at end of period
(in thousands) $409,859 $366,850 $286,301 $257,391 $245,112
======== ======== ======== ======== ========
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
14
<PAGE>
<TABLE>
<CAPTION>
Bond Portfolio
------------------------------------------------------------
Class C Class D
-------------------------- ---------------------------------
1997 1996 1995 (a) 1997 1996 1995 1994 (b)
------- ------- -------- ------ ------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.78 $ 20.96 $20.21 $20.76 $ 20.94 $18.29 $18.74
Income from investment
operations:
Net investment income 0.59 1.25 0.47 0.63 1.22 1.08 0.28
Net realized and
unrealized gain (loss) (0.34) (0.18) 0.74 (0.40) (0.18) 2.66 (0.45)
------- ------- ------ ------ ------- ------ ------
Total income (loss) from
investment operations 0.25 1.07 1.21 0.23 1.04 3.74 (0.17)
------- ------- ------ ------ ------- ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.61) (1.22) (0.45) (0.59) (1.19) (1.09) (0.28)
Return of capital -- (0.03) (0.01) -- (0.03) -- --
------- ------- ------ ------ ------- ------ ------
Total distributions to
unitholders (0.61) (1.25) (0.46) (0.59) (1.22) (1.09) (0.28)
------- ------- ------ ------ ------- ------ ------
Net increase (decrease) (0.36) (0.18) 0.75 (0.36) (0.18) 2.65 (0.45)
------- ------- ------ ------ ------- ------ ------
Net asset value, end of
period $ 20.42 $ 20.78 $20.96 $20.40 $ 20.76 $20.94 $18.29
======= ======= ====== ====== ======= ====== ======
Total return (c) 1.24% 5.33% 6.08% 1.19% 5.17% 21.06% (0.94)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.60% 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before
waivers and
reimbursements 1.05% 1.08% 1.08% 1.20% 1.23% 1.23% 1.26%
Net investment income,
net of waivers and
reimbursements 5.75% 6.09% 5.59% 6.01% 5.99% 5.48% 6.31%
Net investment income,
before waivers and
reimbursements 5.30% 5.61% 5.11% 5.56% 5.51% 5.00% 5.80%
Portfolio turnover rate 59.12% 101.38% 74.19% 59.12% 101.38% 74.19% 103.09%
Net assets at end of pe-
riod (in thousands) $55,664 $ 7,342 $3,704 $ 166 $ 220 $ 120 $ 15
======= ======= ====== ====== ======= ====== ======
</TABLE>
(a) Class C units were issued on July 3, 1995.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
15
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
International Bond Portfolio
----------------------------------------------------------------
Class A Class D
------------------------------------- -------------------------
1997 1996 1995 1994 (a) 1997 1996 1995 (b)
<S> <C> <C> <C> <C> <C> <C> <C>
-------- ------- ------- ------- ------ ------ ------
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 22.16 $ 21.74 $ 19.93 $ 20.00 $22.14 $21.74 $22.17
Income from investment
operations:
Net investment income 0.60 1.54 1.26 0.79 0.47 1.37 0.02
Net realized and
unrealized gain (loss) (1.71) 0.43 2.28 0.01 (1.61) 0.51 (0.08)
-------- ------- ------- ------- ------ ------ ------
Total income (loss) from
investment operations (1.11) 1.97 3.54 0.80 (1.14) 1.88 (0.06)
-------- ------- ------- ------- ------ ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
(c) (0.39) (1.55) (1.73) (0.87) (0.38) (1.48) (0.37)
Net realized gain (0.34) -- -- -- (0.34) -- --
-------- ------- ------- ------- ------ ------ ------
Total distributions to
unitholders (0.73) (1.55) (1.73) (0.87) (0.72) (1.48) (0.37)
-------- ------- ------- ------- ------ ------ ------
Net increase (decrease) (1.84) 0.42 1.81 (0.07) (1.86) 0.40 (0.43)
-------- ------- ------- ------- ------ ------ ------
NET ASSET VALUE, END OF
PERIOD $ 20.32 $ 22.16 $ 21.74 $ 19.93 $20.28 $22.14 $21.74
======== ======= ======= ======= ====== ====== ======
Total return (d) (5.10)% 9.47% 18.20% 4.03% (5.29)% 9.04% (0.30)%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.96% 0.96% 0.96% 0.96% 1.35% 1.35% 1.35%
Expenses, before waiv-
ers and reimbursements 1.56% 1.58% 1.47% 1.49% 1.95% 1.97% 1.86%
Net investment income,
net of waivers and re-
imbursements 5.64% 5.91% 5.92% 5.93% 5.04% 5.67% 3.26%
Net investment income,
before waivers and re-
imbursements 5.04% 5.29% 5.41% 5.40% 4.44% 5.05% 2.75%
Portfolio turnover rate 12.78% 33.89% 54.46% 88.65% 12.78% 33.89% 54.46%
Net assets at end of pe-
riod (in thousands) $28,464 $34,183 $32,673 $26,947 $ 57 $ 52 $ 9
======== ======= ======= ======= ====== ====== ======
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 20, 1995.
(c) Distributions to unitholders from net investment income include amounts
relating to foreign currency transactions which are treated as ordinary
income for Federal income tax purposes.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
16
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Balanced Portfolio
-----------------------------------------------------------------------------------
Class A Class C Class D
--------------------------------------------- ----------------- -----------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 (c)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
------- ------- ------- ------- ------- ------- ------- ------- -------
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 10.00 $ 12.24 $ 11.12 $ 12.23 $ 11.34
Income (loss) from in-
vestment operations:
Net investment income 0.18 0.34 0.34 0.24 0.09 0.17 0.29 0.16 0.22
Net realized and
unrealized gain (loss) 0.60 1.19 1.55 (0.72) 0.22 0.59 1.12 0.60 0.96
------- ------- ------- ------- ------- ------- ------- ------- -------
Total income (loss) from
investment operations 0.78 1.53 1.89 (0.48) 0.31 0.76 1.41 0.76 1.18
------- ------- ------- ------- ------- ------- ------- ------- -------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.18) (0.34) (0.34) (0.22) (0.09) (0.17) (0.29) (0.17) (0.29)
Net realized gain (0.31) -- -- (0.02) -- (0.31) -- (0.31) --
------- ------- ------- ------- ------- ------- ------- ------- -------
Total distributions to
unitholders (0.49) (0.34) (0.34) (0.24) (0.09) (0.48) (0.29) (0.48) (0.29)
------- ------- ------- ------- ------- ------- ------- ------- -------
Net increase (decrease) 0.29 1.19 1.55 (0.72) 0.22 0.28 1.12 0.28 0.89
------- ------- ------- ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF
PERIOD $ 12.53 $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 12.52 $ 12.24 $ 12.51 $ 12.23
======= ======= ======= ======= ======= ======= ======= ======= =======
Total return (d) 6.54% 14.07% 20.22% (4.76)% 3.12% 6.39% 12.72% 6.34% 10.55%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.61% 0.61% 0.61% 0.61% 0.61% 0.85% 0.85% 1.00% 1.00%
Expenses, before waiv-
ers and reimbursements 1.18% 1.20% 1.28% 1.50% 1.62% 1.42% 1.44% 1.57% 1.59%
Net investment income,
net of waivers and re-
imbursements 2.97% 3.03% 3.36% 2.56% 2.20% 2.73% 2.80% 2.58% 2.78%
Net investment income,
before waivers and re-
imbursements 2.40% 2.44% 2.69% 1.68% 1.19% 2.16% 2.21% 2.01% 2.19%
Portfolio turnover rate 36.07% 104.76% 93.39% 75.69% 35.03% 36.07% 104.76% 36.07% 104.76%
Average commission rate
per share $0.0685 $0.0718 NA NA NA $0.0685 $0.0718 $0.0685 $0.0718
Net assets at end of pe-
riod (in thousands) $49,298 $45,157 $38,897 $31,462 $15,928 $ 5,116 $ 5,997 $ 292 $ 232
======= ======= ======= ======= ======= ======= ======= ======= =======
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on December 29, 1995.
(c) Class D units were issued on February 20, 1996.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
17
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Equity Index Portfolio
---------------------------------------------------------
Class A
------------------------------------------------
1997 1996 1995 1994 1993 (a)
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 16.79 $ 13.86 $ 10.60 $ 10.78 $ 10.00
Income from investment
operations:
Net investment income 0.15 0.31 0.30 0.27 0.22
Net realized and
unrealized gain (loss) 1.90 3.36 3.47 (0.18) 0.78
-------- -------- -------- -------- --------
Total income from
investment operations 2.05 3.67 3.77 0.09 1.00
-------- -------- -------- -------- --------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.15) (0.31) (0.30) (0.27) (0.22)
Net realized gain (0.83) (0.43) (0.21) -- --
-------- -------- -------- -------- --------
Total distributions to
unitholders (0.98) (0.74) (0.51) (0.27) (0.22)
-------- -------- -------- -------- --------
Net increase (decrease) 1.07 2.93 3.26 (0.18) 0.78
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF
PERIOD $ 17.86 $ 16.79 $ 13.86 $ 10.60 $ 10.78
======== ======== ======== ======== ========
Total return (d) 12.96% 27.53% 36.60% 0.87% 10.08%
Ratio to average net
assets of (e):
Expenses, net of
waivers and
reimbursements 0.22% 0.22% 0.22% 0.23% 0.21%
Expenses, before
waivers and
reimbursements 0.47% 0.50% 0.54% 0.59% 0.66%
Net investment income,
net of waivers and
reimbursements 1.83% 2.12% 2.54% 2.62% 2.62%
Net investment income,
before waivers and
reimbursements 1.58% 1.84% 2.22% 2.25% 2.17%
Portfolio turnover rate 5.16% 18.02% 15.27% 71.98% 2.06%
Average commission rate
per share $ 0.0279 $ 0.0228 NA NA NA
Net assets at end of
period (in thousands) $747,088 $675,804 $479,763 $281,817 $219,282
======== ======== ======== ======== ========
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class C units were issued on September 28, 1995.
(c) Class D units were issued on September 14, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
18
<PAGE>
<TABLE>
<CAPTION>
Equity Index Portfolio
--------------------------------------------------------------
Class C Class D
-------------------------- ----------------------------------
1997 1996 1995 (b) 1997 1996 1995 1994 (c)
------- ------- -------- ------- ------- ------ --------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 16.79 $ 13.86 $ 13.43 $ 16.77 $ 13.83 $10.60 $10.96
Income (loss) from
investment operations:
Net investment income 0.13 0.28 0.05 0.14 0.27 0.25 0.02
Net realized and
unrealized gain (loss) 1.91 3.35 0.45 1.88 3.36 3.47 (0.31)
------- ------- ------- ------- ------- ------ ------
Total income (loss) from
investment operations 2.04 3.63 0.50 2.02 3.63 3.72 (0.29)
------- ------- ------- ------- ------- ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.15) (0.27) (0.07) (0.14) (0.26) (0.28) (0.07)
Net realized gain (0.83) (0.43) -- (0.83) (0.43) (0.21) --
------- ------- ------- ------- ------- ------ ------
Total distributions to
unitholders (0.98) (0.70) (0.07) (0.97) (0.69) (0.49) (0.07)
------- ------- ------- ------- ------- ------ ------
Net increase (decrease) 1.06 2.93 0.43 1.05 2.94 3.23 (0.36)
------- ------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF
PERIOD $ 17.85 $ 16.79 $ 13.86 $ 17.82 $ 16.77 $13.83 $10.60
======= ======= ======= ======= ======= ====== ======
Total return (d) 12.83% 27.24% 3.94% 12.76% 27.20% 36.20% (2.68)%
Ratio to average net
assets of (e):
Expenses, net of
waivers and
reimbursements 0.46% 0.46% 0.46% 0.61% 0.61% 0.61% 0.60%
Expenses, before
waivers and
reimbursements 0.71% 0.74% 0.78% 0.86% 0.89% 0.93% 0.96%
Net investment income,
net of waivers and
reimbursements 1.59% 1.89% 2.29% 1.44% 1.78% 2.07% 2.67%
Net investment income,
before waivers and
reimbursements 1.34% 1.61% 1.97% 1.19% 1.50% 1.75% 2.31%
Portfolio turnover rate 5.16% 18.02% 15.27% 5.16% 18.02% 15.27% 71.98%
Average commission rate
per share $0.0279 $0.0228 NA $0.0279 $0.0228 NA NA
Net assets at end of
period (in thousands) $64,838 $53,929 $18,390 $18,924 $ 8,005 $ 810 $ 3
======= ======= ======= ======= ======= ====== ======
</TABLE>
19
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Diversified Growth Portfolio
-------------------------------------------------------------------------------------
Class A Class D
------------------------------------------------- ----------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-------- -------- -------- -------- -------- ------- ------- ------ ------
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 10.00 $ 14.26 $ 12.16 $ 9.88 $10.41
Income (loss) from
investment operations:
Net investment income 0.06 0.14 0.15 0.09 0.09 0.06 0.11 0.11 0.01
Net realized and
unrealized gain (loss) 1.50 2.33 2.26 (0.83) 0.65 1.46 2.29 2.25 (0.54)
-------- -------- -------- -------- -------- ------- ------- ------ ------
Total income (loss) from
investment operations 1.56 2.47 2.41 (0.74) 0.74 1.52 2.40 2.36 (0.53)
-------- -------- -------- -------- -------- ------- ------- ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.14) (0.15) (0.09) (0.01) (0.09) (0.13) (0.14) (0.08) --
Net realized gain (1.46) (0.16) -- (0.02) -- (1.46) (0.16) -- --
-------- -------- -------- -------- -------- ------- ------- ------ ------
Total distributions to
unitholders (1.60) (0.31) (0.09) (0.03) (0.09) (1.59) (0.30) (0.08) --
-------- -------- -------- -------- -------- ------- ------- ------ ------
Net increase (decrease) (0.04) 2.16 2.32 (0.77) 0.65 (0.07) 2.10 2.28 (0.53)
-------- -------- -------- -------- -------- ------- ------- ------ ------
NET ASSET VALUE, END OF
PERIOD $ 14.32 $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 14.19 $ 14.26 $12.16 $ 9.88
======== ======== ======== ======== ======== ======= ======= ====== ======
Total return (c) 12.27% 20.83% 24.55% (6.98)% 7.38% 12.06% 20.39% 24.19% (5.14)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.67% 0.66% 0.69% 0.67% 0.71% 1.06% 1.05% 1.08% 1.05%
Expenses, before
waivers and
reimbursements 1.09% 1.10% 1.12% 1.08% 1.13% 1.48% 1.49% 1.51% 1.46%
Net investment income,
net of waivers and
reimbursements 0.82% 0.98% 1.16% 0.77% 1.04% 0.43% 0.59% 0.73% 0.94%
Net investment income,
before waivers and
reimbursements 0.40% 0.54% 0.73% 0.35% 0.62% 0.01% 0.15% 0.30% 0.53%
Portfolio turnover rate 13.99% 59.99% 81.65% 78.94% 140.88% 13.99% 59.99% 81.65% 78.94%
Average commission rate
per share $ 0.0684 $ 0.0655 NA NA NA $0.0684 $0.0655 NA NA
Net assets at end of pe-
riod (in thousands) $140,667 $142,055 $146,731 $164,963 $199,053 $ 607 $ 433 $ 221 $ 40
======== ======== ======== ======== ======== ======= ======= ====== ======
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
20
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
Focused Growth Portfolio
------------------------------------------------------------------------------------------------------
Class A Class C Class D
-------------------------------------------------- ------------------ ----------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 1995 (c)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 10.00 $ 14.47 $ 13.46 $ 14.37 $ 12.48 $ 9.55
Income (loss) from
investment operations:
Net investment income
(loss) 0.01 0.02 0.05 0.02 0.01 -- (0.01) -- (0.03) 0.02
Net realized and
unrealized gain (loss) 1.40 2.17 2.71 (0.66) 0.43 1.39 1.02 1.37 2.15 2.93
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
Total income (loss) from
investment operations 1.41 2.19 2.76 (0.64) 0.44 1.39 1.01 1.37 2.12 2.95
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.02) (0.05) (0.02) -- (0.01) (0.01) -- (0.01) (0.04) (0.02)
Net realized gain (1.68) (0.19) -- -- -- (1.68) -- (1.68) (0.19) --
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
Total distributions to
unitholders (1.70) (0.24) (0.02) -- (0.01) (1.69) -- (1.69) (0.23) (0.02)
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
Net increase (decrease) (0.29) 1.95 2.74 (0.64) 0.43 (0.30) 1.01 (0.32) 1.89 2.93
-------- -------- ------- ------- ------- ------- ------- ------- ------- ------
NET ASSET VALUE, END OF
PERIOD $ 14.19 $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 14.17 $ 14.47 $ 14.05 $ 14.37 $12.48
======== ======== ======= ======= ======= ======= ======= ======= ======= ======
Total return (d) 11.25% 17.82% 28.38% (6.15)% 4.33% 11.13% 7.51% 11.04% 17.42% 30.97%
Ratio to average net as-
sets of (e):
Expenses, net of waivers
and reimbursements 0.92% 0.91% 0.91% 0.91% 0.91% 1.16% 1.15% 1.31% 1.30% 1.30%
Expenses, before waivers
and reimbursements 1.41% 1.43% 1.47% 1.55% 1.88% 1.65% 1.67% 1.80% 1.82% 1.86%
Net investment income
(loss), net of waivers
and reimbursements 0.22% 0.12% 0.46% 0.24% 0.14% (0.02)% (0.12)% (0.17)% (0.28)% (0.11)%
Net investment income
(loss), before waivers
and reimbursements (0.27)% (0.40)% (0.10)% (0.39)% (0.83)% (0.51)% (0.64)% (0.66)% (0.80)% (0.67)%
Portfolio turnover rate 60.73% 116.78% 85.93% 74.28% 27.48% 60.73% 116.78% 60.73% 116.78% 85.93%
Average commission rate
per share $ 0.0671 $ 0.0730 NA NA NA $0.0671 $0.0730 $0.0671 $0.0730 NA
Net assets at end of
period (in thousands) $114,152 $106,250 $86,099 $57,801 $32,099 $ 7,333 $ 6,993 $ 724 $ 656 $ 489
======== ======== ======= ======= ======= ======= ======= ======= ======= ======
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on June 14, 1996.
(c) Class D units were issued on December 8, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
21
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and Years Ended November 30,
<TABLE>
<CAPTION>
Small Company Index Portfolio
----------------------------------------------------------------------------
Class A Class D
------------------------------------------------ --------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 (b)
-------- -------- ------- -------- -------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 10.00 $ 13.96 $ 12.95 $10.51
Income (loss) from in-
vestment operations:
Net investment income 0.09 0.19 0.16 0.14 0.11 0.14 0.13 0.18
Net realized and
unrealized gain (loss) 0.94 1.75 2.67 (0.30) 1.29 0.88 1.83 2.96
-------- -------- ------- -------- ------- ------- ------- ------
Total income (loss) from
investment operations 1.03 1.94 2.83 (0.16) 1.40 1.02 1.96 3.14
-------- -------- ------- -------- ------- ------- ------- ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.17) (0.14) (0.15) (0.02) (0.11) (0.15) (0.14) (0.14)
Net realized gain (1.59) (0.81) (0.56) (0.25) -- (1.59) (0.81) (0.56)
-------- -------- ------- -------- ------- ------- ------- ------
Total distributions to
unitholders (1.76) (0.95) (0.71) (0.27) (0.11) (1.74) (0.95) (0.70)
-------- -------- ------- -------- ------- ------- ------- ------
Net increase (decrease) (0.73) 0.99 2.12 (0.43) 1.29 (0.72) 1.01 2.44
-------- -------- ------- -------- ------- ------- ------- ------
NET ASSET VALUE, END OF
PERIOD $ 13.24 $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 13.24 $ 13.96 $12.95
======== ======== ======= ======== ======= ======= ======= ======
Total return (c) 8.33% 15.96% 27.76% (1.54)% 14.09% 8.18% 16.20% 31.62%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.31% 0.32% 0.32% 0.33% 0.31% 0.70% 0.71% 0.71%
Expenses, before
waivers and
reimbursements 0.74% 0.79% 0.81% 0.86% 1.02% 1.13% 1.18% 1.20%
Net investment income,
net of waivers and
reimbursements 1.36% 1.36% 1.31% 1.27% 1.25% 0.97% 1.02% 0.90%
Net investment income,
before waivers and
reimbursements 0.93% 0.89% 0.82% 0.74% 0.54% 0.54% 0.55% 0.41%
Portfolio turnover rate 3.06% 46.26% 38.46% 98.43% 26.31% 3.06% 46.26% 38.46%
Average commission rate
per share $ 0.0286 $ 0.0257 NA NA NA $0.0286 $0.0257 NA
Net assets at end of pe-
riod (in thousands) $123,264 $112,856 $94,899 $ 77,120 $54,763 $ 247 $ 269 $ 44
======== ======== ======= ======== ======= ======= ======= ======
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on December 8, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
22
<PAGE>
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
<TABLE>
<CAPTION>
International Growth Portfolio
---------------------------------------------------------------------------
Class A Class D
--------------------------------------- ----------------------------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(b)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
-------- -------- -------- -------- ------- ------- ------ ------
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 10.63 $ 9.88 $ 10.21 $ 10.00 $ 10.54 $ 9.83 $10.21 $10.47
Income (loss) from in-
vestment operations:
Net investment income 0.04 0.10 0.12 0.05 0.05 0.01 0.19 --
Net realized and
unrealized gain (loss) 0.53 0.87 (0.36) 0.16 0.49 0.92 (0.48) (0.26)
-------- -------- -------- -------- ------- ------- ------ ------
Total income (loss) from
investment operations 0.57 0.97 (0.24) 0.21 0.54 0.93 (0.29) (0.26)
-------- -------- -------- -------- ------- ------- ------ ------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.08) (0.22) (0.05) -- (0.08) (0.22) (0.05) --
Net realized gain (0.45) -- (0.04) -- (0.45) -- (0.04) --
-------- -------- -------- -------- ------- ------- ------ ------
Total distributions to
unitholders (0.53) (0.22) (0.09) -- (0.53) (0.22) (0.09) --
-------- -------- -------- -------- ------- ------- ------ ------
Net increase (decrease) 0.04 0.75 (0.33) 0.21 0.01 0.71 (0.38) (0.26)
-------- -------- -------- -------- ------- ------- ------ ------
NET ASSET VALUE, END OF
PERIOD $ 10.67 $ 10.63 $ 9.88 $ 10.21 $ 10.55 $ 10.54 $ 9.83 $10.21
======== ======== ======== ======== ======= ======= ====== ======
Total return (c) 5.69% 9.96% (2.32)% 2.11% 5.47% 9.59% (2.78)% (2.56)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 1.06% 1.06% 1.06% 1.04% 1.45% 1.45% 1.45% 1.35%
Expenses, before waiv-
ers and reimbursements 1.41% 1.43% 1.38% 1.47% 1.80% 1.82% 1.77% 1.78%
Net investment income,
net of waivers and
reimbursements 0.84% 0.73% 1.22% 0.76% 0.45% 0.44% 2.01% --
Net investment income,
before waivers and
reimbursements 0.49% 0.36% 0.90% 0.33% 0.10% 0.07% 1.69% (0.43)%
Portfolio turnover rate 88.69% 202.47% 215.31% 77.79% 88.69% 202.47% 215.31% 77.79%
Average commission rate
per share $ 0.0200 $ 0.0292 NA NA $0.0200 $0.0292 NA NA
Net assets at end of pe-
riod (in thousands) $124,958 $138,182 $148,704 $133,212 $ 149 $ 94 $ 20 --
======== ======== ======== ======== ======= ======= ====== ======
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
23
<PAGE>
FINANCIAL HIGHLIGHTS
For the Period Ended May 31, 1997 (Unaudited)
<TABLE>
<CAPTION>
International
Equity Index
Portfolio
-------------
Class A
-------------
1997 (a)
-------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income 0.05
Net realized and unrealized gain 0.96
-------
Total income from investment operations 1.01
-------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income --
-------
Total distributions to unitholders --
-------
Net increase 1.01
-------
NET ASSET VALUE, END OF PERIOD $ 11.01
=======
Total return (b) 10.07%
Ratio to average net assets of (c):
Expenses, net of waivers and reimbursements 0.51%
Expenses, before waivers and reimbursements 2.61%
Net investment income, net of waivers and reimbursements 2.62%
Net investment income, before waivers and reimbursements 0.52%
Portfolio turnover rate 0.03%
Average commission rate per share $0.0152
Net assets at end of period (in thousands) $15,199
=======
</TABLE>
(a) Commenced investment operations on April 1, 1997.
(b) Assumes investment at net asset value at beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total return
is not annualized for periods less than one year.
(c) Annualized.
24
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INVESTMENT INFORMATION
INTRODUCTION
The Trust is an open-end management investment company registered under the
Investment Company Act of 1940 (the "1940 Act"). Each Portfolio consists of a
separate pool of assets with separate investment objectives and policies, as
described below. Each Portfolio, other than the International Bond Portfolio,
is classified as a diversified investment company. The International Bond
Portfolio is classified as a non-diversified investment company. Units of each
Portfolio have been classified into four classes--Class A units, Class B
units, Class C units and Class D units. Northern serves as investment adviser,
transfer agent and custodian. Goldman Sachs serves as distributor and
administrator. With the exception of the Intermediate Bond Portfolio, the
investment objective of a Portfolio may not be changed without the vote of the
majority of the outstanding units of the particular Portfolio. Except as
expressly noted below, however, each Portfolio's investment policies may be
changed without a vote of unitholders. The U.S. Government Securities, Short-
Intermediate Bond, U.S. Treasury Index, Bond, Intermediate Bond and
International Bond Portfolios may collectively be referred to as the "Fixed
Income Portfolios" and the Balanced, Equity Index, Diversified Growth, Focused
Growth, Small Company Index, International Equity Index and International
Growth Portfolios may collectively be referred to as the "Equity Portfolios."
U.S. GOVERNMENT SECURITIES PORTFOLIO
The U.S. Government Portfolio's investment objective is to seek to maximize
total return with minimal reasonable risk. In pursuing its investment
objective, the U.S. Government Securities Portfolio will, under normal market
conditions, invest at least 65% of its total assets in a broad range of
securities issued or guaranteed by the U.S. Government, its agencies and
instrumentalities and repurchase agreements relating to such securities,
including mortgage-related securities issued by agencies of the U.S.
Government. The Portfolio's dollar-weighted average maturity will be between
one and five years.
The Portfolio may enter into interest rate swaps and may invest in options and
futures contracts and related options. The Portfolio may also invest in
certain short-term fixed income securities as cash reserves. See "Description
of Securities and Common Investment Techniques" below for more information.
SHORT-INTERMEDIATE BOND PORTFOLIO
The investment objective of the Short-Intermediate Bond Portfolio is to seek
to maximize total return consistent with reasonable risk. In pursuing its
investment objective, the Short-Intermediate Bond Portfolio invests in a broad
range of bonds and other fixed income securities. The Portfolio's dollar-
weighted average maturity will be between two and five years. The Portfolio
will invest primarily in fixed income securities of all types and in any
proportion that generally are rated investment grade at the time of purchase,
and may include obligations of the U.S. Government, its agencies or
instrumentalities, obligations of foreign governments, obligations of U.S. and
foreign corporations and obligations of U.S. and foreign banks. The
obligations of a foreign issuer will not be purchased by the Short-
Intermediate Bond Portfolio if, as a result of the purchase, more than 20% of
the total assets of the Portfolio will be invested in the obligations of
issuers within a single foreign country. The Portfolio may also invest up to
10% of its total assets in non-investment grade securities. Under normal
market conditions, at least 65% of the Portfolio's total assets will be
invested in bonds, debentures, mortgage and other asset-related
25
<PAGE>
securities, zero coupon bonds and convertible debentures. The Portfolio may
also invest in short-term notes, bills, commercial paper and certificates of
deposit.
The Portfolio may enter into forward currency contracts and interest rate
swaps and may invest in options and futures contracts and related options. The
Portfolio may also invest in certain short-term fixed income securities as
cash reserves. See "Description of Securities and Common Investment
Techniques" below for more information.
U.S. TREASURY INDEX PORTFOLIO
The investment objective of the U.S. Treasury Index Portfolio is to seek to
provide investment results approximating the performance of the Lehman Index.
In pursuing its investment objective, the U.S. Treasury Index Portfolio under
normal conditions will invest directly or indirectly at least 80% of its total
assets in a representative sample of the U.S. Treasury obligations included in
the Lehman Index. The Lehman Index is comprised of all public obligations of
the U.S. Treasury, excluding flower bonds and foreign-targeted issues.
Northern will select securities for the Portfolio based on their expected
contribution to its overall duration, quality and total return as compared to
the Lehman Index and comparable investment characteristics. Lehman Brothers
("Lehman") makes no representation or warranty, implied or express, to
purchasers of Portfolio units or any member of the public regarding the
advisability of investing in the Portfolio or the ability of the Lehman Index
to track general bond market performance.
The Portfolio is managed through the use of a "passive" or "indexing"
investment approach, which attempts to duplicate the investment composition
and performance of the Lehman Index through statistical procedures. As a
result, Northern does not employ traditional methods of fund investment
management, such as selecting securities on the basis of economic, financial
and market analysis.
The Portfolio may invest in options and futures contracts and related options.
The Portfolio may also invest in certain short-term fixed income securities as
cash reserves. See "Description of Securities and Common Investment
Techniques" and "Special Risks and Other Considerations" below for more
information.
BOND PORTFOLIO
The investment objective of the Bond Portfolio is to seek to maximize total
return consistent with reasonable risk. In pursuing its investment objective,
the Bond Portfolio invests in a broad range of bonds and other fixed income
securities. The Portfolio's dollar-weighted average maturity will range
between five and fifteen years.
The Portfolio will invest primarily in fixed income securities of all types
and in any proportion that generally are rated investment grade at the time of
purchase, and may include obligations of the U.S. Government, its agencies or
instrumentalities, obligations of foreign, state and local governments,
obligations of U.S. and foreign corporations and obligations of U.S. and
foreign banks. The obligations of a foreign issuer will not be purchased by
the Bond Portfolio if, as a result of the purchase, more than 20% of the total
assets of the Portfolio will be invested in the obligations of issuers within
a single foreign country. The Portfolio may also invest up to 10% of its total
assets in non-investment grade securities. Under normal market conditions, at
least 65% of the Portfolio's total assets will be invested in bonds,
debentures, mortgage and other asset-related securities, zero coupon bonds and
convertible debentures. The Portfolio may also invest in short-term notes,
bills, commercial paper and certificates of deposits.
26
<PAGE>
The Portfolio may enter into forward currency contracts and interest rate
swaps and may invest in options and futures contracts and related options. The
Portfolio may also invest in certain short-term fixed income securities as
cash reserves. See "Description of Securities and Common Investment
Techniques" below for more information.
INTERMEDIATE BOND PORTFOLIO
The investment objective of the Intermediate Bond Portfolio is to seek to
maximize total return consistent with reasonable risk. In pursuing its
investment objective, the Intermediate Bond Portfolio invests in a broad range
of bonds and other fixed income securities. The Portfolio's dollar-weighted
average maturity will range between three and ten years. The Portfolio will
invest primarily in fixed income securities of all types and in any proportion
that generally are rated investment grade at the time of purchase, and may
include obligations of the U.S. Government, its agencies or instrumentalities,
obligations of foreign, state and local governments, obligations of U.S. and
foreign corporations and obligations of U.S. and foreign banks. The Portfolio
may invest up to 25% of its total assets in foreign securities, including up
to 15% of its total assets in securities of issuers in countries with emerging
economies or securities markets. The obligations of a foreign issuer will not
be purchased by the Portfolio if, as a result of the purchase, more than 20%
of the total assets of the Portfolio will be invested in the obligations of
issuers within a single foreign country. The Portfolio may also invest up to
10% of its total assets in non-investment grade securities. Under normal
market conditions, at least 65% of the Portfolio's total assets will be
invested in bonds, debentures, mortgage and other asset-related securities,
zero coupon bonds and convertible debentures. The Portfolio may also invest in
short-term notes, bills, commercial paper and certificates of deposits.
The Portfolio may enter into forward currency contracts and interest rate
swaps and may invest in options and futures contracts and related options. The
Portfolio may also invest in certain short-term fixed income securities as
cash reserves. See "Description of Securities and Common Investment
Techniques" below for more information.
INTERNATIONAL BOND PORTFOLIO
The investment objective of the International Bond Portfolio is to seek to
maximize total return consistent with reasonable risk. In pursuing its
investment objective, the International Bond Portfolio invests primarily (at
least 65% of its total assets under normal market conditions) in a broad range
of bonds and other fixed income securities of foreign issuers. The Portfolio's
dollar-weighted average maturity will range between three and eleven years.
The Portfolio will be invested at all times in the securities of issuers
located in at least three different foreign countries. These countries
include, but are not limited to: Argentina, Australia, Belgium, Brazil,
Canada, Chile, Colombia, Denmark, Finland, France, Germany, Greece, Hong Kong,
Hungary, Indonesia, Ireland, Italy, Japan, Luxembourg, Malaysia, Mexico, the
Netherlands, New Zealand, Norway, Peru, the Philippines, Poland, Portugal,
Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan,
Thailand, Turkey, the United Kingdom and Venezuela. Criteria for determining
the appropriate distribution of investments among various countries and
regions include prospects for relative economic growth, expected levels of
inflation, government policies influencing business conditions, the outlook
for currency relationships, and the range of investment opportunities
available to international investors.
27
<PAGE>
The Portfolio will invest primarily in fixed income securities of all types as
set forth below and in any proportion that generally are rated investment
grade at the time of purchase, although a portion of its assets may be
invested in non-investment grade securities. These securities may include
obligations of foreign governments, their agencies, instrumentalities and
political subdivisions; supranational organizations (e.g., European Investment
Bank, Inter-American Development Bank and the World Bank); and foreign
corporations and banks. These obligations may consist of bonds, debentures,
mortgage and other asset-related securities, zero coupon bonds and convertible
debentures. The Portfolio may also invest in obligations of the U.S.
Government, its agencies and instrumentalities (including repurchase
agreements collateralized by such obligations) and of U.S. corporations and
banks as well as short-term notes, bills, commercial paper and certificates of
deposit. It is expected that during the current fiscal year a substantial
portion of the Portfolio's assets will be invested in foreign governmental
obligations.
The International Bond Portfolio is classified as a non-diversified portfolio
under the 1940 Act. Investment return on a non-diversified portfolio typically
is dependent upon the performance of the securities of a smaller number of
issuers relative to the number held in a diversified portfolio. Consequently,
the change in value of any one security may affect the overall value of a non-
diversified portfolio more than it would a diversified portfolio.
The Portfolio may enter into forward currency exchange contracts and currency
and interest rate swaps and utilize options and futures contracts. Pending
investment, as a temporary defensive measure and to meet anticipated
redemption requests, the Portfolio may invest, in accordance with its
investment policies, in various short-term obligations, such as U.S.
Government obligations, high quality money market investments and repurchase
agreements. See "Description of Securities and Common Investment Techniques"
and "Special Risks and Other Considerations" below for more information.
BALANCED PORTFOLIO
The investment objective of the Balanced Portfolio is to seek to provide long-
term capital appreciation and current income. The Portfolio will invest at
least 25% of the value of its total assets in fixed income senior securities
and no more than 75% in equity securities under normal market conditions. The
actual percentage of assets invested in equity and fixed income securities
will vary from time to time, depending upon Northern's judgment as to general
market and economic conditions, trends and yields, interest rates and changes
in fiscal and monetary policies. The Portfolio reserves the right to hold as a
temporary defensive measure up to 100% of its total assets in cash and short-
term obligations (having remaining maturities of 18 months or less) at such
times and in such proportions as, in the opinion of Northern, is warranted.
For purposes of determining the percentages of the Portfolio's assets that are
invested in equity and fixed income securities, respectively, only that
portion of the value of convertible securities attributable to their fixed
income characteristics will be deemed to be a fixed income investment.
The Portfolio may invest in common and preferred stocks and securities
convertible into common stock ("equity securities"). The Portfolio selects
equity securities based on such factors as growth of sales, return on equity,
growth and consistency of earnings, financial condition, market share, product
leadership and other investment criteria. The Portfolio will normally limit
its equity investments to the securities of companies which together with
their predecessors have been in continuous operation for at least five years
and have stock market capitalization in excess of $200 million. The Portfolio
may also purchase warrants and rights which entitle the holder to buy equity
securities at a specified price for a specified period of time.
28
<PAGE>
The Portfolio will invest in fixed income securities of all types as set forth
below and in any proportions that generally are rated investment-grade at the
time of purchase. These securities may include bonds, debentures, mortgage and
other asset-related securities, zero coupon bonds, convertible debentures, and
other obligations issued by the U.S. Government, its agencies or
instrumentalities, foreign governments, U.S. and foreign corporations and U.S.
and foreign banks. The Portfolio may also purchase bonds that are issued in
tandem with warrants which entitle the holder to purchase certain common stock
at a specified price valid during a specified period of time. The Portfolio
may also invest in short-term notes, bills, commercial paper and certificates
of deposit. The dollar-weighted average maturity of the fixed income portion
of the Portfolio will, under normal market conditions, range between two and
ten years.
The Portfolio may also enter into forward currency contracts and utilize
options and futures contracts and related options. Pending investment, as a
temporary defensive measure and to meet anticipated redemption requests, the
Portfolio may also invest in various short-term obligations. See "Description
of Securities and Common Investment Techniques" and "Special Risks and Other
Considerations" below for more information.
EQUITY INDEX PORTFOLIO
The investment objective of the Equity Index Portfolio is to seek to provide
investment results approximating the aggregate price and dividend performance
of the securities included in the S&P Index. Under normal market conditions
the Portfolio will invest directly or indirectly at least 80% of the
Portfolio's total assets in the common stocks of the companies that constitute
the S&P Index, in approximately the same proportions as they are represented
in the S&P Index. The S&P Index is a market value-weighted index consisting of
500 common stocks which are traded on the New York Stock Exchange, American
Stock Exchange and the NASDAQ National Market System and selected by Standard
& Poor's Corporation ("S&P") through a detailed screening process starting on
a macro-economic level and working toward a micro-economic level dealing with
company-specific information such as market value, industry group
classification, capitalization and trading activity. S&P's primary objective
for the S&P Index is to be the performance benchmark for the U.S. equity
markets. The companies chosen for inclusion in the S&P Index tend to be
leaders in important industries within the U.S. economy. However, companies
are not selected by S&P for inclusion because they are expected to have
superior stock price performance relative to the market in general or other
stocks in particular. S&P makes no representation or warranty, implied or
express, to purchasers of Portfolio units or any member of the public
regarding the advisability of investing in the Portfolio or the ability of the
S&P Index to track general stock market performance.
The Equity Index Portfolio is managed through the use of a "passive" or
"indexing" investment approach, which attempts to duplicate the investment
composition and performance of the S&P Index through statistical procedures.
As a result, Northern does not employ traditional methods of fund investment
management, such as selecting securities on the basis of economic, financial
and market analysis.
The Portfolio may invest in options and futures contracts and related options.
The Portfolio may also invest in certain short-term fixed income securities as
cash reserves. However, it is not anticipated that the Portfolio will invest
in cash reserves, options or futures contracts and related options as part of
a temporary defensive strategy such as lowering its investment in common
stocks to protect against potential stock market declines. See
29
<PAGE>
"Description of Securities and Common Investment Techniques" and "Special
Risks and Other Considerations" below for more information.
DIVERSIFIED GROWTH PORTFOLIO
The investment objective of the Diversified Growth Portfolio is to seek to
provide long-term capital appreciation with income a secondary consideration.
The Portfolio invests principally in common and preferred stocks and
securities convertible into common stock. The Portfolio will, under normal
market conditions, invest at least 65% of its assets in equity securities of
domestic and foreign issuers. The Portfolio selects investments based on such
factors as growth of sales, return on equity, growth and consistency of
earnings, financial condition, market share, product leadership and other
investment criteria. The Portfolio may also purchase warrants and rights which
entitle the holder to buy equity securities at a specific price for a specific
period of time.
The Portfolio may also enter into forward currency contracts and utilize
options and futures contracts and related options. Pending investment, as a
temporary defensive measure and to meet anticipated redemption requests, the
Portfolio may also invest in various short-term obligations. See "Description
of Securities and Common Investment Techniques" below for more information.
FOCUSED GROWTH PORTFOLIO
The investment objective of the Focused Growth Portfolio is to seek to provide
long-term capital appreciation. Any income received is incidental to the
objective of capital appreciation. The Portfolio invests in common and
preferred stocks and securities convertible into common stock of companies
believed by Northern to have superior quality and growth characteristics.
Under normal market conditions at least 65% of the Portfolio's total assets
will be invested in equity securities of domestic and foreign issuers. The
Portfolio selects equity securities based on such factors as growth of sales,
return on equity, growth and consistency of earnings, financial condition,
market share, product leadership and other investment criteria. Companies in
which the Portfolio invests often retain their earnings to finance current and
future growth and generally pay little or no dividends. The Portfolio may also
purchase warrants and rights which entitle the holder to buy equity securities
at a specific price for a specific period of time. The Portfolio intends to
invest in the securities of companies which together with their predecessors
have been in continuous operation for at least five years and have stock
market capitalization in excess of $200 million.
The Portfolio may also enter into forward currency contracts and utilize
options and futures contracts and related options. Pending investment, as a
temporary defensive measure and to meet anticipated redemption requests, the
Portfolio may also invest in various short-term obligations. See "Description
of Securities and Common Investment Techniques" below for more information.
SMALL COMPANY INDEX PORTFOLIO
The investment objective of the Small Company Index Portfolio is to seek to
provide investment results approximating the aggregate price and dividend
performance of the securities included in the Russell Index. Under normal
market conditions, the Portfolio will invest directly or indirectly at least
80% of its total assets in the stocks included in the Russell Index. The
Russell Index is a market value-weighted index comprised of the stocks of the
smallest 2,000 companies in the Russell 3000 Index which is comprised of the
stocks of the 3,000
30
<PAGE>
largest U.S. domiciled companies (based on market capitalization) that
represent approximately 83% of the investable U.S. equity markets. Because of
its emphasis on the smallest 2,000 companies, the Russell Index represents
approximately 10% of the total market capitalization of the Russell 3000
Index. As of January 31, 1997, the average market capitalization of the
companies included in the Russell Index, adjusted for cross-holdings, was
approximately $447 million. The Russell Index is reconstituted annually to
reflect changes in market capitalization. The primary criteria used by Frank
Russell & Company ("Russell") to determine the initial list of securities
eligible for inclusion in the Russell 3000 Index (and, accordingly, the
Russell Index) is total market capitalization adjusted for large private
holdings and cross-ownership. However, companies are not selected by Russell
for inclusion in the Russell Index because they are expected to have superior
stock price performance relative to the stock market in general or other
stocks in particular. Russell makes no representation or warranty, implied or
express, to purchasers of Portfolio units or any member of the public
regarding the advisability of investing in the Portfolio or the ability of the
Russell Index to track general market performance of small capitalization
stocks.
The Portfolio will be constructed to have aggregate investment characteristics
similar to those of the Russell Index as a whole. The Portfolio will invest in
securities which will be selected on the basis of such factors as
market capitalization, beta, industry sectors and economic factors. The number
of issues included will be a function of the Portfolio's liquidity and size.
The Portfolio will be restructured annually when the Russell Index is
reconstituted.
It should be noted that small companies in which the Portfolio may invest may
have limited product lines, markets, or financial resources, or may be
dependent upon a small management group, and their securities may be subject
to more abrupt or erratic market movements than larger, more established
companies, both because their securities typically are traded in lower volume
and because the issuers typically are subject to a greater degree of changes
in their earnings and prospects.
The Small Company Index Portfolio is managed through the use of a "passive" or
"indexing" investment approach, which attempts to duplicate the investment
composition and performance of the Russell Index through statistical
procedures. As a result, Northern does not employ traditional methods of fund
investment management, such as selecting securities on the basis of economic,
financial and market analysis.
The Portfolio may invest in options and futures contracts and related options.
The Portfolio may also invest in certain short-term fixed income securities as
cash reserves. However, it is not anticipated that the Portfolio will invest
in cash reserves, options or futures contracts and related options as part of
a temporary defensive strategy such as lowering its investment in common
stocks to protect against potential stock market declines. See "Description of
Securities and Common Investment Techniques" and "Special Risks and Other
Considerations" below for more information.
The Portfolio requires the payment of an additional transaction fee on the
purchase of units equal to 0.75% of the dollar amount invested. See
"Investing--Purchase of Units" and "Investing--Redemption of Units" below for
more information.
INTERNATIONAL EQUITY INDEX PORTFOLIO
The investment objective of the International Equity Index Portfolio is to
seek to provide investment results approximating the aggregate price and
dividend performance of the securities in the EAFE Index. The EAFE Index is a
broad-based market capitalization weighted index currently comprised of more
than 1,100 securities
31
<PAGE>
in twenty countries. Fourteen European countries (Austria, Belgium, Denmark,
Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Spain,
Sweden, Switzerland and the United Kingdom) constitute approximately 55% of
the EAFE Index. Six Asian/Pacific countries (Australia, Hong Kong, Japan,
Malaysia, New Zealand and Singapore) account for the remaining 45%. Under
normal market conditions, the Portfolio will invest, directly or indirectly,
at least 65% of its total assets in the securities that constitute the EAFE
Index.
The International Equity Index Portfolio is managed through the use of a
"passive" or "indexing" investment approach, which attempts to duplicate the
investment composition and performance of the EAFE Index through statistical
procedures. As a result, Northern does not employ traditional methods of fund
investment management, such as selecting securities on the basis of economic,
financial and market analysis. The Portfolio will be constructed to have
aggregate investment characteristics similar to those of the EAFE Index as a
whole. The proportion of assets invested in each country will approximate the
weight of each country in the EAFE Index, and the Portfolio will invest in
securities selected on the basis of such factors as country exposure, market
capitalization, beta, industry sectors and economic factors. The number of
issuers included will be a function of the Portfolio's liquidity and size.
Because the Portfolio will invest in countries according to their weights in
the EAFE Index, more than 25% of the Portfolio's assets may be invested in a
single country. In particular, Japan currently constitutes approximately one-
third of the EAFE Index and would comprise a similar percentage of the
Portfolio's assets, making the Portfolio's performance more dependent upon the
political and economic circumstances in Japan than a portfolio that is more
widely diversified among the issuers in different countries.
It is anticipated that, in seeking to achieve its investment objective, the
Portfolio may, during the current fiscal year, invest a substantial portion of
its assets in instruments such as World Equity Benchmark Shares SM issued by
The Foreign Fund, Inc. ("WEBS") and similar securities of other issuers. WEBS
are shares of an investment company that invests substantially all of its
assets in securities included in the MSCI indices for specific countries.
Because the expense associated with an investment in WEBS can be substantially
lower than the expense of small investments directly in the securities
comprising the indices they seek to track, Northern believes that investments
in WEBS of countries that are included in the EAFE Index can provide a cost-
effective means of diversifying the Portfolio's assets across a broad range of
equity securities until the Portfolio gains sufficient assets to economically
invest directly in the securities included in the EAFE Index.
WEBS are listed on the American Stock Exchange (the "AMEX"), and were
initially offered to the public in 1996. The market prices of WEBS are
expected to fluctuate in accordance with both changes in the net asset values
of their underlying indices and supply and demand of WEBS on the AMEX. To date
WEBS have traded at relatively modest discounts and premiums to their net
asset values. However, WEBS have a limited operating history, and information
is lacking regarding the actual performance and trading liquidity of WEBS for
extended periods or over complete market cycles. In addition, there is no
assurance that the requirements of the AMEX necessary to maintain the listing
of WEBS will continue to be met or will remain unchanged. In the event
substantial market or other disruptions affecting WEBS should occur in the
future, the liquidity and value of the Portfolio's units could also be
substantially and adversely affected, and the Portfolio's ability to provide
investment results approximating the performance of securities in the EAFE
Index could be impaired. If such disruptions were to occur, the Portfolio
could be required to reconsider the use of WEBS as part of its investment
strategy.
The Portfolio may invest in convertible securities and may enter into forward
currency contracts and utilize options, futures contracts and related options
and currency swaps. The Portfolio may also purchase warrants and rights which
entitle the holder to buy equity securities at a specific price for a specific
period of time. In addition,
32
<PAGE>
the Portfolio may also invest in certain short-term fixed income securities as
cash reserves. However, it is not anticipated that the Portfolio will invest
in cash reserves, options or futures contracts and related options as part of
a temporary defensive strategy such as lowering its investment in equity
securities to protect against potential market declines. See "Description of
Securities and Common Investment Techniques" and "Special Risks and Other
Considerations" for more information.
The Portfolio requires the payment of an additional transaction fee on the
purchase of units equal to 1.00% of the dollar amount invested. See
"Investing--Purchase of Units" and "Investing--Redemption of Units" below for
more information.
INTERNATIONAL GROWTH PORTFOLIO
The investment objective of the International Growth Portfolio is to seek to
provide long-term capital appreciation. Any income received is incidental to
the objective of capital appreciation. The Portfolio invests principally in
common and preferred stocks and securities convertible into common stock of
foreign issuers. The Portfolio will, under normal market conditions, invest
directly or indirectly at least 65% of its total assets in equity securities
of foreign issuers. The Portfolio selects investments based on such factors as
growth of sales, return on equity, growth and consistency of earnings,
financial condition, market share, product leadership and other investment
criteria. The Portfolio will normally limit its equity investments to the
securities of companies which together with their predecessors have been in
continuous operation for at least five years and have stock market
capitalizations in excess of $200 million. The Portfolio invests in securities
listed on foreign and domestic securities exchanges and securities traded in
foreign and domestic over-the-counter markets, and may invest in unlisted
securities. Securities issued in certain countries are currently accessible to
the Portfolio only through investment in other investment companies that are
specifically authorized to invest in such securities.
The Portfolio will be invested at all times in the securities of issuers
located in at least three different foreign countries. These countries
include, but are not limited to: Argentina, Australia, Austria, Belgium,
Brazil, Canada, Chile, Colombia, Czech Republic, Denmark, Finland, France,
Germany, Greece, Hong Kong, Hungary, Indonesia, Ireland, Italy, Japan,
Luxembourg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Peru, the
Philippines, Poland, Portugal, Singapore, South Africa, South Korea, Spain,
Sweden, Switzerland, Taiwan, Thailand, Turkey, the United Kingdom and
Venezuela. Criteria for determining the appropriate distribution of
investments among various countries and regions include prospects for relative
economic growth, expected levels of inflation, government policies influencing
business conditions, the outlook for currency relationships, and the range of
investment opportunities available to international investors.
The Portfolio may also enter into forward currency contracts, purchase
convertible bonds, and utilize options, futures contracts and currency swaps.
In addition, the Portfolio may purchase warrants and rights which entitle the
holder to buy equity securities at a specific price for a specific period of
time. Pending investment, as a temporary defensive measure and to meet
anticipated redemption requests, the Portfolio may invest, in accordance with
its investment policies, in various short-term obligations, such as U.S.
Government obligations, high quality money market instruments and repurchase
agreements. See "Description of Securities and Common Investment Techniques"
and "Special Risks and Other Considerations" below for more information.
SPECIAL RISKS AND OTHER CONSIDERATIONS
FOREIGN SECURITIES. The Short-Intermediate Bond, Bond, Intermediate Bond,
Balanced, Diversified Growth and Focused Growth Portfolios may, and the
International Bond, International Equity Index and International Growth
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<PAGE>
Portfolios will, invest directly or indirectly in the securities of foreign
issuers, whether or not U.S. dollar-denominated. In addition, each such
Portfolio may acquire the obligations of foreign banks and foreign branches of
U.S. banks as stated below under "Description of Securities and Common
Investment Techniques--Short-Term Obligations." There are certain risks and
costs involved in investing in securities of companies and governments of
foreign nations, which are in addition to the usual risks inherent in U.S.
investments. Foreign securities, and in particular foreign debt securities,
are sensitive to changes in interest rates and the interest rate environment.
In addition, investment in foreign debt, or the securities of foreign
governments, will subject a Portfolio to risks, including the risk that
foreign governments may default on their obligations, may not respect the
integrity of such debt, may attempt to renegotiate the debt at a lower rate,
and may not honor investments by United States entities or citizens. The
performance of investments in securities denominated in a foreign currency
will also depend, in part, on the strength of the foreign currency against the
U.S. dollar and the interest rate environment in the country issuing the
currency. Absent other events which could otherwise affect the value of a
foreign security (such as a change in the political climate or an issuer's
credit quality), appreciation in the value of the foreign currency generally
can be expected to increase the value of a foreign currency-denominated
security in terms of U.S. dollars. A rise in foreign interest rates or decline
in the value of the foreign currency relative to the U.S. dollar generally can
be expected to depress the value of a foreign currency-denominated security.
Investment in foreign securities also involves higher costs than investment in
U.S. securities, including higher transaction and custody costs as well as the
imposition of additional taxes by foreign governments. Foreign investments may
also involve risks associated with the level of currency exchange rates, less
complete financial information about the issuers, less market liquidity, more
market volatility and political instability. Future political and economic
developments, the possible imposition of withholding taxes on dividend income,
the possible seizure or nationalization of foreign holdings, the possible
establishment of exchange controls or freezes on the convertibility of
currency, or the adoption of other governmental restrictions might adversely
affect an investment in foreign securities. Additionally, foreign banks and
foreign branches of domestic banks may be subject to less stringent reserve
requirements, and to different accounting, auditing and recordkeeping
requirements.
In addition, there are other risks of investing in countries with emerging
economies or securities markets. These countries are located in the
Asia/Pacific region, Eastern Europe, Latin and South America and Africa.
Political and economic structures in many such countries may be undergoing
significant evolution and rapid development, and such countries may lack the
social, political and economic stability characteristic of more developed
countries. Some of these countries may have in the past failed to recognize
private property rights and may have at times nationalized or expropriated the
assets of private companies. As a result, the risks described above, including
the risks of nationalization or expropriation of assets, may be heightened.
While the Portfolios' investments may, if permitted, be denominated in foreign
currencies, the portfolio securities and other assets held by the Portfolios
are valued in U.S. dollars. Currency exchange rates may fluctuate
significantly over short periods of time causing, together with other factors,
a Portfolio's net asset value to fluctuate as well. Currency exchange rates
can be affected unpredictably by the intervention or the failure to intervene
by U.S. or foreign governments or central banks, or by currency controls or
political developments in the U.S. or abroad. A Portfolio's net long and short
foreign currency exposure will not exceed its total asset value. To the extent
that a Portfolio is invested in foreign securities while also maintaining
currency positions, it
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may be exposed to greater combined risk. The Portfolios' respective net
currency positions may expose them to risks independent of their securities
positions.
Because the securities markets in the following countries are highly
developed, liquid and subject to extensive regulation, the International
Growth Portfolio and International Bond Portfolio may invest more than 25% of
their total assets in the securities of issuers located in Japan, the United
Kingdom, France, Germany or Switzerland. Because the International Equity
Index Portfolio invests in countries according to their weightings in the EAFE
Index, more than 25% of such Portfolio's assets may also be invested in the
securities of issuers in a single country. Investment in a particular country
of 25% or more of the Portfolio's total assets will make the Portfolio's
performance more dependent upon the political and economic circumstances of a
particular country than a mutual fund that is more widely diversified among
issuers in different countries. Although the five foreign countries listed
above have developed economies, they are not immune from these risks. For
example, efforts by the member countries of the European Union to move toward
monetary union and a single currency have encountered opposition arising from
the conflicting economic, political and cultural interests and traditions of
the member countries and their citizens. The end of the Cold War, the
reunification of Germany, the accession of new Western European members to the
European Union and the aspirations of Eastern European states to join and
other political and social events in Europe have caused considerable economic,
social and political dislocation. In addition, events in the Japanese economy,
as well as political and social developments there have affected Japanese
securities and currency markets, and the relationship of the Japanese yen with
other currencies and with the U.S. dollar. Future political, economic and
social developments in Japan and in the Asia/Pacific regional context can be
expected to produce continuing effects on securities and currency markets.
DERIVATIVE INSTRUMENTS. Each Portfolio may also purchase certain "derivative"
instruments. "Derivative" instruments are instruments that derive value from
the performance of underlying assets, interest or currency exchange rates, or
indices, and include interest rate and currency swaps, futures contracts,
options, forward currency contracts and structured debt obligations (including
collateralized mortgage obligations and other types of asset-backed
securities, "stripped" securities and various floating rate instruments,
including "inverse floaters"). Derivative instruments present, to varying
degrees, market risk that the performance of the underlying assets, exchange
rates or indices will decline; credit risk that the dealer or other
counterparty to the transaction will fail to pay its obligations; volatility
and leveraging risk that, if interest or exchange rates change adversely, the
value of the derivative instrument will decline more than the assets, rates or
indices on which it is based; liquidity risk that a Portfolio will be unable
to sell a derivative instrument when it wants because of lack of market depth
or market disruption; pricing risk that the value of a derivative instrument
(such as an option) will not correlate exactly to the value of the underlying
assets, rates or indices on which it is based; and operations risk that loss
will occur as a result of inadequate systems and controls, human error or
otherwise. Some derivative instruments are more complex than others, and for
those instruments that have been developed recently, data is lacking regarding
their actual performance over complete market cycles. Northern will evaluate
the risks presented by the derivative instruments purchased by the Portfolios,
and will determine, in connection with its day-to-day management of the
Portfolios, how they will be used in furtherance of the Portfolios' investment
objectives. It is possible, however, that Northern's evaluations will prove to
be inaccurate or incomplete and, even when accurate and complete, it is
possible that the Portfolios will, because of the risks discussed above, incur
loss as a result of their investments in derivative instruments.
AVERAGE MATURITIES. The Fixed Income Portfolios will normally maintain the
dollar-weighted average maturities of their portfolios within the specified
ranges previously described. The maturities of certain
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instruments, however, such as those subject to prepayment or redemption by the
issuers, are subject to estimation. There can be no assurance that the
estimates used by the Fixed Income Portfolios for such instruments will, in
fact, be accurate or that, if inaccurate, a Fixed Income Portfolio's dollar-
weighted average maturity will remain within the specified limits.
TRACKING VARIANCE. Northern believes that under normal market conditions, the
quarterly performance of the Equity Index, Small Company Index, International
Equity Index and U.S. Treasury Index Portfolios, before Portfolio expenses,
will be within a .95 correlation with the S&P Index, Russell Index, EAFE Index
and Lehman Index, respectively. However, there is no assurance that a
Portfolio will be able to do so on a consistent basis. Deviations from the
performance of its designated Index ("tracking variance") may result from
unitholder purchases and redemptions of units of a Portfolio that occur daily,
as well as from the expenses borne by a Portfolio. Such purchases and
redemptions may necessitate the purchase and sale of securities by the
Portfolio and the resulting transaction costs which may be substantial because
of the number and the characteristics of the securities held. In addition,
transaction costs are incurred because sales of securities received in
connection with spin-offs and other corporate reorganizations are made to
conform the Portfolio's holdings with its investment objective. Tracking
variance may also occur due to factors such as the size of a Portfolio, the
maintenance of a cash reserve pending investment or to meet expected
redemptions, changes made in the Portfolio's designated Index or the manner in
which the Index is calculated or because the indexing and investment approach
of Northern does not produce the intended goal of the Portfolio. In the event
the performance of a Portfolio is not comparable to the performance of its
designated Index, the Board of Trustees will evaluate the reasons for the
deviation and the availability of corrective measures. If substantial
deviation in a Portfolio's performance were to continue for extended periods,
it is expected that the Board of Trustees would consider recommending to
unitholders possible changes to the Portfolio's investment objective.
DESCRIPTION OF SECURITIES AND COMMON INVESTMENT TECHNIQUES
UNITED STATES GOVERNMENT OBLIGATIONS. Each Portfolio may invest, to the extent
consistent with its investment policies, in a variety of U.S. Treasury
obligations consisting of bills, notes and bonds, which principally differ
only in their interest rates, maturities and time of issuance. Each Portfolio
(other than the U.S. Treasury Index Portfolio) may also invest in other
securities issued or guaranteed by the U.S. Government, its agencies or
instrumentalities consisting of bills, notes and bonds, which principally
differ only in their interest rates, maturities and time of issuance.
Obligations of certain agencies and instrumentalities, such as the Government
National Mortgage Association ("GNMA"), are supported by the full faith and
credit of the U.S. Treasury; others, such as those of the Export-Import Bank
of the United States, are supported by the right of the issuer to borrow from
the Treasury; others, such as those of the Federal National Mortgage
Association ("FNMA"), are supported by the discretionary authority of the U.S.
Government to purchase the agency's obligations; still others are supported
only by the credit of the instrumentalities. No assurance can be given that
the U.S. Government would provide financial support to its agencies or
instrumentalities if it is not obligated to do so by law. There is no
assurance that these commitments will be undertaken or complied with in the
future.
Securities guaranteed as to principal and interest by the U.S. Government, its
agencies or instrumentalities are deemed to include (a) securities for which
the payment of principal and interest is backed by an irrevocable letter of
credit issued by the U.S. Government or an agency or instrumentality thereof,
and (b) participations in loans made to foreign governments or their agencies
that are so guaranteed. The secondary market for certain of these
participations is limited. Such participations will therefore be regarded as
illiquid.
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CONVERTIBLE SECURITIES. The Short-Intermediate Bond, Bond, Intermediate Bond,
International Bond, Balanced, Diversified Growth, Focused Growth,
International Growth and International Equity Index Portfolios may each
acquire convertible securities. A convertible security is a security that may
be converted either at a stated price or rate within a specified period of
time into a specified number of shares of common stock. By investing in
convertible securities, a Portfolio seeks the opportunity, through the
conversion feature, to participate in the capital appreciation of the common
stock into which the securities are convertible, while earning higher current
income than is available from the common stock. Convertible securities
acquired by the Portfolios will be subject to the same rating requirements as
a Portfolio's investments in its fixed income securities, or if unrated, will
be of comparable quality as determined by Northern in accordance with
guidelines approved by the Board of Trustees, except that a Portfolio may
acquire convertible securities rated below investment grade so long as a
Portfolio's investments in all non-investment grade securities does not exceed
the limitations set forth below under "Non-Investment Grade Securities." The
Fixed Income Portfolios will ordinarily sell units of common stock received
upon conversion.
CORPORATE OBLIGATIONS. A Portfolio (other than the U.S. Government Securities
and U.S. Treasury Index Portfolios) may purchase debt obligations of domestic
or foreign corporations subject to the Portfolio's minimum rating requirements
for purchases of debt securities. See discussion of "Investment Grade
Securities" and "Non-Investment Grade Securities" below.
INVESTMENT GRADE SECURITIES. The Fixed Income and Balanced Portfolios may
invest in fixed income securities of all types, and the Short-Intermediate
Bond, Bond, Intermediate Bond, International Bond, Balanced, Diversified
Growth, Focused Growth, International Growth and International Equity Index
Portfolios may invest a portion of their assets in convertible securities.
Such securities will generally be investment grade. Investment grade
securities include those securities which are rated BBB or higher by Standard
and Poor's Ratings Group ("S&P"), Baa or higher by Moody's Investors Service,
Inc. ("Moody's"), BBB or higher by Duff & Phelps Credit Rating Co. ("Duff") or
BBB or higher by Fitch Investors Service, Inc. ("Fitch") at the time of
purchase, or if unrated, are of comparable quality as determined by Northern.
Securities rated BBB by S&P, Duff or Fitch, or Baa by Moody's have certain
speculative characteristics and changes in economic conditions or other
circumstances are more likely to lead to a weakened capacity to make principal
and interest payments than in the case of higher rated securities. Commercial
paper and other short-term obligations acquired by a Portfolio will be rated
A-2 or higher by S&P, P-2 or higher by Moody's, D-2 or higher by Duff, or F-2
or higher by Fitch at the time of purchase or, if unrated, determined to be of
comparable quality by Northern. Subsequent to its purchase by a Portfolio, a
rated security may cease to be rated or its rating may be reduced below the
minimum rating required for purchase by the Portfolio. Northern will consider
such an event in determining whether the Portfolio should continue to hold
such security. In addition, certain Portfolios may acquire fixed income
securities rated below investment grade when Northern believes that the
investment characteristics of such securities make them desirable
acquisitions. In either case, a Portfolio's total investment in non-investment
grade securities will not exceed the limitations set forth below under "Non-
Investment Grade Securities."
NON-INVESTMENT GRADE SECURITIES. Although the fixed income securities in which
the Fixed Income Portfolios and Balanced Portfolio may invest and the
convertible securities in which the Short-Intermediate Bond, Bond,
Intermediate Bond, International Bond, Balanced, Diversified Growth, Focused
Growth, International Growth and International Equity Index Portfolios may
invest will normally be rated investment grade at the time of purchase, the
Portfolios (other than the U.S. Government Securities and U.S. Treasury Index
Portfolios) may
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invest in non-investment grade or convertible securities when Northern
believes that the investment characteristics of such securities make them
desirable in light of the Portfolios' investment objectives and current
portfolio mix, so long as under normal market and economic conditions, (i) no
more than 5% of the respective total assets of the International Bond,
International Growth and International Equity Index Portfolios and no more
than 10% of the respective total assets of the Short-Intermediate Bond, Bond,
Intermediate Bond, Balanced, Diversified Growth and Focused Growth Portfolios
are invested in non-investment grade securities and (ii) such securities are
rated "B" or higher at the time of purchase by at least one major rating
agency, or if unrated will be of comparable quality as determined by Northern.
Non-investment grade securities (those that are rated "Ba" or lower by Moody's
or "BB" or lower by S&P, Duff or Fitch) are commonly referred to as "junk
bonds." To the extent that securities, including convertible securities,
acquired by a Portfolio are not rated investment grade, there is a greater
risk as to the timely repayment of the principal on, and timely payment of
interest or dividends with respect to, such securities. Particular risks
associated with lower-rated securities are (a) the relative youth and growth
of the market for such securities, (b) the sensitivity of such securities to
interest rate and economic changes, (c) the lower degree of protection of
principal and interest payments, (d) the relatively low trading market
liquidity for the securities, (e) the impact that legislation may have on the
high yield bond market (and, in turn, on a Portfolio's net asset value and
investment practices), and (f) the creditworthiness of the issuers of such
securities. During an economic downturn or substantial period of rising
interest rates, leveraged issuers may experience financial stress which would
adversely affect their ability to service their principal and interest payment
obligations, to meet projected business goals, and to obtain additional
financing. An economic downturn could also disrupt the market for lower-rated
securities and adversely affect the value of outstanding securities and the
ability of the issuers to repay principal and interest. If the issuer of a
security held by a Portfolio defaulted, the Portfolio could incur additional
expenses to seek recovery.
FORWARD CURRENCY EXCHANGE CONTRACTS. The Short-Intermediate Bond, Bond,
Intermediate Bond, International Bond, Balanced, Diversified Growth, Focused
Growth, International Growth and International Equity Index Portfolios may
enter into forward currency exchange contracts for hedging purposes and in an
effort to reduce the level of volatility caused by changes in foreign currency
exchange rates or where such transactions are economically appropriate for the
reduction of risks inherent in the ongoing management of the Portfolios. The
International Bond and International Growth Portfolios may also enter into
forward currency exchange contracts for speculative purposes (to seek to
increase total return). In addition, the International Growth and
International Bond Portfolios may engage in cross-hedging by using forward
contracts in one currency to hedge against fluctuations in the value of
securities denominated in a different currency if Northern believes that there
is a pattern of correlation between the two currencies.
A forward currency exchange contract is 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 agreed upon by the parties, at a price set at the
time of contract. Although such contracts tend to minimize the risk of loss
due to a decline in the value of the hedged currency, at the same time they
tend to limit any potential gain that might be realized should the value of
such currency increase. Consequently, a Portfolio may choose to refrain from
entering into such contracts. In connection with forward currency exchange
contracts, the Portfolios will create a segregated account of liquid assets in
accordance with applicable requirements of the Securities and Exchange
Commission (the "SEC").
The International Bond Portfolio may also invest in debt securities
denominated in the European Currency Unit ("ECU"), which is a "basket"
consisting of specified amounts in the currencies of certain of the twelve
member
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states of the European Community. The specific amounts of currencies
comprising the ECU may be adjusted by the Council of Ministries of the
European Community from time to time to reflect changes in relative values of
the underlying currencies. In addition, the Portfolio may invest in securities
denominated in other currency "baskets".
OPTIONS. Each Portfolio may write covered call options, buy put options, buy
call options and write secured put options for hedging (or cross-hedging)
purposes or for the purpose of earning additional income. Such options may
relate to particular securities, foreign or domestic securities indices,
financial instruments or foreign currencies and may or may not be listed on a
foreign or domestic securities exchange and issued by the Options Clearing
Corporation. The Portfolios will not purchase put and call options in an
amount that exceeds 5% of their respective net assets at the time of purchase.
The aggregate value of a Portfolio's assets that will be subject to options
written by the Portfolio will not exceed 25% of its net assets at the time the
option is written.
In the case of a call option on a security or currency, the option is
"covered" if a Portfolio owns the security or currency underlying the call or
has an absolute and immediate right to acquire that security or currency
without additional cash consideration (or, if additional cash consideration is
required, liquid assets in such amount are held in a segregated account by its
custodian) upon conversion or exchange of other securities or instruments held
by it. For a call option on an index, the option is covered if a Portfolio
maintains with its custodian a portfolio of securities substantially
replicating the movement of the index, or liquid assets equal to the contract
value. A call option is also covered if a Portfolio holds a call on the same
security, currency or index as the call written where the exercise price of
the call held is (i) equal to or less than the exercise price of the call
written, or (ii) greater than the exercise price of the call written provided
the difference is maintained by the Portfolio in liquid assets in a segregated
account with its custodian. Put options written by a Portfolio are "secured"
if the Portfolio maintains liquid assets in a segregated account with its
custodian in an amount not less than the exercise price of the option at all
times during the option period.
Options trading is a highly specialized activity which entails greater than
ordinary investment risks. A call option for a particular security or currency
gives the purchaser of the option the right to buy, and a writer the
obligation to sell, the underlying security or currency at the stated exercise
price at any time prior to the expiration of the option, regardless of the
market price of the security or currency. The premium paid to the writer is in
consideration for undertaking the obligation under the option contract. A put
option for a particular security or currency gives the purchaser the right to
sell the security or currency at the stated exercise price to the expiration
date of the option, regardless of the market price of the security or
currency. In contrast to an option on a particular security, an option on an
index provides the holder with the right to make or receive a cash settlement
upon exercise of the option. The amount of this settlement will be equal to
the difference between the closing price of the index at the time of exercise
and the exercise price of the option expressed in dollars, times a specified
multiple.
Each Portfolio will invest and trade in unlisted over-the-counter options only
with firms deemed creditworthy by Northern. However, unlisted options are not
subject to the protections afforded purchasers of listed options by the
Options Clearing Corporation, which performs the obligations of its members
which fail to perform them in connection with the purchase or sale of options.
FUTURES CONTRACTS AND RELATED OPTIONS. Each Portfolio may invest in futures
contracts and options on futures contracts for hedging purposes, to increase
total return (i.e., for speculative purposes) or to maintain liquidity to
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meet potential unitholder redemptions, invest cash balances or dividends or
minimize trading costs. The value of a Portfolio's contracts may equal or
exceed 100% of its total assets, although a Portfolio will not purchase or
sell a futures contract unless immediately after any such transaction the sum
of the aggregate amount of margin deposits on its existing futures positions
and the amount of premiums paid for related options entered into for other
than bona fide hedging purposes is 5% or less of its total assets.
Futures contracts obligate a Portfolio, at maturity, to take or make delivery
of certain domestic or foreign securities, the cash value of a securities
index or, in the case of the International Bond, International Growth and
International Equity Index Portfolios, a stated quantity of a foreign
currency. When used as a hedge, a Portfolio may sell a futures contract in
order to offset a decrease in the market value of its portfolio securities
that might otherwise result from a market decline or currency exchange
fluctuations. A Portfolio may do so either to hedge the value of its portfolio
of securities as a whole, or to protect against declines, occurring prior to
sales of securities, in the value of the securities to be sold. Conversely, a
Portfolio may purchase a futures contract as a hedge in anticipation of
purchases of securities. In addition, a Portfolio may utilize futures
contracts in anticipation of changes in the composition of its portfolio
holdings.
The Portfolios may purchase and sell call and put options on futures contracts
traded on a domestic or foreign exchange or board of trade. When a Portfolio
purchases an option on a futures contract, it has the right to assume a
position as a purchaser or seller of a futures contract at a specified
exercise price during the option period. When a Portfolio sells an option on a
futures contract, it becomes obligated to purchase or sell a futures contract
if the option is exercised. In connection with a Portfolio's position in a
futures contract or option thereon, the Portfolio will create a segregated
account of liquid assets, in accordance with applicable requirements of the
SEC.
The primary risks associated with the use of futures contracts and options
are: (i) imperfect correlation between the change in market value of the
securities held by a Portfolio and the price of futures contracts and options;
(ii) possible lack of a liquid secondary market for a futures contract and the
resulting inability to close a futures contract when desired; (iii) losses due
to unanticipated market movements which are potentially unlimited; and (iv)
Northern's ability to predict correctly the direction of securities prices,
interest rates, currency exchange rates and other economic factors. For a
further discussion see "Additional Investment Information--Futures Contracts
and Related Options" and Appendix B in the Additional Statement.
The Portfolios intend to comply with the regulations of the Commodity Futures
Trading Commission exempting the Portfolios from registration as a "commodity
pool operator."
INTEREST RATE SWAPS, FLOORS AND CAPS AND CURRENCY SWAPS. Each Fixed Income
Portfolio (other than the U.S. Treasury Index Portfolio) and the Balanced
Portfolio may, in order to protect its value from interest rate fluctuations
and to hedge against fluctuations in the floating rate market, enter into
interest rate swaps or purchase interest rate floors or caps. The Portfolios
expect to enter into these hedging transactions primarily to preserve a return
or spread of a particular investment or portion of its holdings and to protect
against an increase in the price of securities the Portfolios anticipate
purchasing at a later date. Interest rate swaps involve the exchange by a
Portfolio with another party of their respective commitments to pay or receive
interest (e.g., an exchange of floating rate payments for fixed rate
payments). The purchase of an interest rate floor entitles the purchaser, to
the extent that a specified index falls below a predetermined interest rate,
to receive payments of interest on a
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notional principal amount from the party selling such interest rate floor. The
purchase of an interest rate cap entitles the purchaser, to the extent that a
specified index exceeds a predetermined interest rate, to receive payments of
interest on a notional principal amount from the party selling such interest
rate cap. In order to protect against currency fluctuations, the International
Bond, International Growth and International Equity Index Portfolios may enter
into currency swaps. Currency swaps involve the exchange of the rights of a
Portfolio and another party to make or receive payments in specified
currencies.
The net amount of the excess, if any, of a Portfolio's obligations over its
entitlements with respect to each interest rate or currency swap will be
accrued on a daily basis and an amount of liquid assets having an aggregate
net asset value at least equal to such accrued excess will be maintained in a
segregated account by the Portfolio's custodian. If the other party to an
interest rate swap defaults, a Portfolio's risk of loss consists of the net
amount of interest payments that the Portfolio is contractually entitled to
receive. In contrast, currency swaps usually involve the delivery of the
entire principal value of one designated currency in exchange for the other
designated currency. Therefore, the entire principal value of a currency swap
is subject to the risk that the other party to the swap will default on its
contractual delivery obligations. A Portfolio will not enter into any interest
rate swap, floor or cap transaction or any currency swap unless the unsecured
commercial paper, senior debt, or claims paying ability of the other party is
rated either A or A-1 or better by S&P, Duff or Fitch, or A or P-1 or better
by Moody's.
SECURITIES LENDING. The Portfolios may seek additional income from time to
time by lending their respective portfolio securities on a short-term basis to
banks, brokers and dealers under agreements requiring that the loans be
secured by collateral in the form of cash, cash equivalents, U.S. Government
securities or irrevocable bank letters of credit maintained on a current basis
equal in value to at least the market value of the securities loaned. A
Portfolio may not make such loans in excess of 33 1/3% of the value of the
Portfolio's total assets. Loans of securities involve risks of delay in
receiving additional collateral or in recovering the securities loaned, or
possible loss of rights in the collateral should the borrower of the
securities become insolvent. The proceeds received by a Portfolio in
connection with loans of portfolio securities may be invested in U.S.
Government securities and other liquid high grade debt obligations.
FORWARD COMMITMENTS, WHEN-ISSUED SECURITIES AND DELAYED-DELIVERY TRANSACTIONS.
The Portfolios may purchase or sell securities on a when-issued or delayed-
delivery basis and make contracts to purchase or sell securities for a fixed
price at a future date beyond customary settlement time. Securities purchased
on a when-issued, delayed-delivery or forward commitment basis involve a risk
of loss if the value of the security to be purchased declines prior to the
settlement date. Conversely, securities sold on a delayed-delivery or forward
commitment basis involve the risk that the value of the security to be sold
may increase prior to the settlement date. Securities purchased on a forward
commitment basis also involve the risk that the seller may fail to deliver the
security on the agreed upon future date. A Portfolio is required to hold and
maintain liquid assets in a segregated account with the Portfolio's custodian
until the settlement date having a value (determined daily) at least equal to
the amount of the Portfolio's purchase commitments. In the case of a forward
commitment to sell portfolio securities, a Portfolio is required to hold the
portfolio securities themselves in a segregated account with the custodian
while the commitment is outstanding. Although the Portfolios would generally
purchase securities on a when-issued, delayed-delivery or a forward commitment
basis with the intention of acquiring the securities, the Portfolios may
dispose of such securities prior to settlement if Northern deems it
appropriate to do so.
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BORROWINGS. The Portfolios are authorized to make limited borrowings for
temporary purposes to the extent described below under "Investment
Restrictions." If the securities held by the Portfolios should decline in
value while borrowings are outstanding, the net asset value of the Portfolios'
outstanding units will decline in value by proportionately more than the
decline in value suffered by the Portfolios' securities. Borrowings may be
effected through reverse repurchase agreements under which the Portfolios
would sell portfolio securities to financial institutions such as banks and
broker-dealers and agree to repurchase them at a particular date and price.
The Fixed Income and Balanced Portfolios may utilize reverse repurchase
agreements, when it is anticipated that the interest income to be earned from
the investment of the proceeds of the transaction is greater than the interest
expense of the reverse repurchase transaction. See "Description of Securities
and Common Investment Techniques--Reverse Repurchase Agreements" below for
additional information concerning reverse repurchase agreements. For
additional information on borrowings, see "Additional Investment Information--
Investment Restrictions" in the Additional Statement.
SHORT-TERM OBLIGATIONS. Subject to each Portfolio's investment objective and
policies, a Portfolio may also invest in short-term U.S. government
obligations, high quality money market instruments and repurchase agreements,
pending investment, to meet anticipated redemption requests, or as a temporary
defensive measure. Such obligations may include those issued by foreign banks
and foreign branches of U.S. banks. See "Special Risks and Other
Considerations--Foreign Securities" above.
REPURCHASE AGREEMENTS. The Portfolios may agree to purchase portfolio
securities from financial institutions such as banks and broker/dealers which
are deemed to be creditworthy by Northern under guidelines approved by the
Board of Trustees subject to the seller's agreement to repurchase them at a
mutually agreed upon date and price ("repurchase agreements"). Although the
securities subject to a repurchase agreement may bear maturities exceeding one
year, settlement for the repurchase agreement will never be more than one year
after a Portfolio's acquisition of the securities and normally will be within
a shorter period of time. Securities subject to repurchase agreements are held
either by the Trust's custodian or subcustodian (if any), or in the Federal
Reserve/Treasury Book-Entry System. The seller under a repurchase agreement
will be required to maintain the value of the securities which are subject to
the agreement and held by a Portfolio in an amount that exceeds the agreed
upon repurchase price (including accrued interest). Default by or bankruptcy
of the seller would, however, expose a Portfolio to possible loss because of
adverse market action or delays in connection with the disposition of the
underlying obligations.
REVERSE REPURCHASE AGREEMENTS. The Portfolios may enter into reverse
repurchase agreements which involve the sale of securities held by them, with
an agreement to repurchase the securities at an agreed upon price (including
interest) and date. The Portfolios will use the proceeds of reverse repurchase
agreements to purchase other securities either maturing, or under an agreement
to resell, at a date simultaneous with or prior to the expiration of the
reverse repurchase agreement. The Portfolios will utilize reverse repurchase
agreements, which may be viewed as borrowings (or leverage), when it is
anticipated that the interest income to be earned from the investment of the
proceeds of the transaction is greater than the interest expense of the
reverse repurchase transaction. Reverse repurchase agreements involve the
risks that the interest income earned from the investment of the proceeds of
the transaction will be less than the interest expense of the reverse
repurchase agreement, that the market value of the securities sold by the
Portfolio may decline below the price of the securities the Portfolio is
obligated to repurchase and that the securities may not be returned to the
Portfolio. During the time a reverse repurchase agreement is outstanding, a
Portfolio will maintain a segregated account with the Trust's custodian
42
<PAGE>
containing liquid assets having a value at least equal to the repurchase
price. A Portfolio may enter into reverse repurchase agreements with banks,
brokers and dealers, and has the authority to enter into reverse repurchase
agreements in amounts not exceeding in the aggregate one-third of the
Portfolio's total assets. See "Additional Investment Information--Investment
Restrictions" in the Additional Statement.
VARIABLE AND FLOATING RATE INSTRUMENTS. The Portfolios may purchase rated and
unrated variable and floating rate instruments. These instruments may include
variable amount master demand notes that permit the indebtedness thereunder to
vary in addition to providing for periodic adjustments in the interest rate.
The Portfolios may also invest in leveraged inverse floating rate debt
instruments ("inverse floaters"). The interest rate on an inverse floater
resets in the opposite direction from the market rate of interest to which the
inverse floater is indexed. An inverse floater may be considered to be
leveraged to the extent that its interest rate varies by a magnitude that
exceeds the magnitude of the change in the index rate of interest. The higher
degree of leverage inherent in inverse floaters is associated with greater
volatility in their market values. Accordingly, the duration of an inverse
floater may exceed its stated final maturity. Unrated variable and floating
rate instruments will be determined by Northern to be of comparable quality at
the time of the purchase to rated instruments which may be purchased by the
Portfolios.
The absence of an active secondary market with respect to particular variable
and floating rate instruments could make it difficult for the Portfolios to
dispose of the instruments if the issuer defaulted on its payment obligation
or during periods that the Portfolios are not entitled to exercise their
demand rights, and the Portfolios could, for these or other reasons, suffer a
loss with respect to such instruments. Variable and floating rate instruments
including inverse floaters held by a Portfolio will be subject to the
Portfolio's 15% limitation on illiquid investments when the Portfolio may not
demand payment of the principal amount within seven days absent a reliable
trading market.
INVESTMENT COMPANIES. In connection with the management of their daily cash
positions, the Portfolios may invest in securities issued by other investment
companies which invest in short-term, high-quality debt securities and which
determine their net asset value per share based on the amortized cost or
penny-rounding method of valuation. The U.S. Treasury Index, Equity Index,
Small Company Index and International Equity Index Portfolios may also invest
in shares of other investment companies that are structured to seek a similar
correlation to the performance of the Lehman Index, S&P Index, Russell Index
or EAFE Index, respectively. The International Bond, International Growth and
International Equity Index Portfolios may also purchase shares of investment
companies investing primarily in foreign securities, including "country
funds." Country funds have portfolios consisting primarily of securities of
issuers located in one foreign country or region. As stated above, the
International Equity Index Portfolio may invest in WEBS and similar securities
that invest in securities included in foreign securities indices. In addition,
the Portfolios may invest in securities issued by other investment companies
if otherwise consistent with their respective investment objectives and
policies. As a shareholder of another investment company, a Portfolio would
bear, along with other shareholders, its pro rata portion of the other
investment company's expenses including advisory fees. These expenses would be
in addition to the advisory fees and other expenses the Portfolio bears
directly in connection with its own operations. To the extent required by the
1940 Act and the regulations and orders of the SEC thereunder, each Portfolio
currently intends to limit its investments in securities issued by other
investment companies so that, as determined immediately after a purchase is
made, not more than 3% of the total outstanding stock of any investment
company will be owned by the Portfolio, the Trust as a whole and their
affiliated persons (as defined
43
<PAGE>
in the 1940 Act). The Intermediate Bond Portfolio is authorized, however, to
invest substantially all of its assets in one or more investment companies in
the future. As stated in the Additional Statement, the unitholders of the
Trust's other Portfolios have also approved a proposed investment policy that,
when effective, will give them similar authorization.
ILLIQUID OR RESTRICTED SECURITIES. Each Portfolio may invest up to 15% of its
net assets in securities which are illiquid. Illiquid securities would
generally include repurchase agreements and time deposits with
notice/termination dates in excess of seven days, unlisted over-the-counter
options, certain guaranteed investment contracts ("GICs") and other securities
that are traded in the United States but are subject to trading restrictions
because they are not registered under the Securities Act of 1933 (the "1933
Act"), interest rate and currency swaps and stripped mortgage-backed
securities ("SMBS") issued by private issuers.
If otherwise consistent with their respective investment objectives and
policies, the Portfolios may purchase domestically-traded securities which are
not registered under the 1933 Act but which can be sold to "qualified
institutional buyers" in accordance with Rule 144A under the 1933 Act. Any
such security will not be considered illiquid so long as it is determined by
Northern, under guidelines approved by the Trust's Board of Trustees, that an
adequate trading market exists for that security. This investment practice
could have the effect of increasing the level of illiquidity in a Portfolio
during any period that qualified institutional buyers become uninterested in
purchasing these restricted securities.
STRIPPED OBLIGATIONS. To the extent consistent with their investment
objectives, the Fixed Income and Balanced Portfolios may purchase Treasury
receipts and other "stripped" securities that evidence ownership in either the
future interest payments or the future principal payments on U.S. Government
and other domestic and foreign obligations. These participations, which may be
issued by the U.S. Government (or a U.S. Government agency or
instrumentality), foreign governments or by private issuers such as banks and
other financial institutions, are issued at a discount to their "face value,"
and may include SMBS, which are derivative multi-class mortgage securities.
Stripped securities, particularly SMBS, may exhibit greater price volatility
than ordinary debt securities because of the manner in which their principal
and interest are returned to investors.
CUSTODIAL RECEIPTS FOR TREASURY SECURITIES. Each Fixed Income Portfolio (other
than the U.S. Treasury Index and International Bond Portfolios) and the
Balanced Portfolio may also purchase participations in trusts that hold U.S.
Treasury securities (such as TIGRs and CATS) where the trust participations
evidence ownership in either the future interest payments or the future
principal payments on the U.S. Treasury obligations. Like other stripped
securities, these participations are also normally issued at a discount to
their "face value," and may exhibit greater price volatility than ordinary
debt securities because of the manner in which their principal and interest
are returned to investors. Investments by a Portfolio in such receipts will
not exceed 5% of the value of the Portfolio's total assets.
BANK OBLIGATIONS. The Portfolios may invest in domestic and foreign bank
obligations, including certificates of deposit, bank and deposit notes,
bankers' acceptances and fixed time deposits. Such obligations may be general
obligations of the parent bank or may be limited to the issuing branch or
subsidiary by the terms of the specific obligation or by government
regulation.
ASSET-BACKED SECURITIES. The U.S. Government Securities Portfolio may purchase
securities that are secured or backed by mortgages and issued by an agency of
the U.S. Government. The Short-Intermediate Bond, Bond, Intermediate Bond,
International Bond and Balanced Portfolios may purchase asset-backed
securities that are secured or backed by mortgages or other assets (e.g.,
automobile loans, credit card receivables and other financial
44
<PAGE>
assets) and are issued by entities such as GNMA, FNMA, FHLMC, commercial
banks, financial companies, finance subsidiaries of industrial companies,
savings and loan associations, mortgage banks, investment banks and certain
special purpose entities. Asset-backed securities acquired by such Portfolios
will be rated BBB or better by S&P, Duff or Fitch, or Baa or better by Moody's
at the time of purchase or, if not rated, will be determined by Northern to be
of comparable quality. The Portfolios will not purchase non-mortgage asset-
backed securities that are not rated by S&P, Duff, Fitch or Moody's.
Presently there are several types of mortgage-backed securities that may be
acquired by the Short-Intermediate Bond, Bond, Intermediate Bond,
International Bond and Balanced Portfolios, including guaranteed mortgage
pass-through certificates, which provide the holder with a pro rata interest
in the underlying mortgages, and collateralized mortgage obligations ("CMOs"),
which provide the holder with a specified interest in the cash flow of a pool
of underlying mortgages or other mortgage-backed securities. Issuers of CMOs
ordinarily elect to be taxed as pass-through entities known as real estate
mortgage investment conduits ("REMICs"). CMOs are issued in multiple classes,
each with a specified fixed or floating interest rate and a final distribution
date. The relative payment rights of the various CMO classes may be structured
in a variety of ways. The Portfolios will not purchase "residual" CMO
interests, which normally exhibit greater price volatility.
The yield characteristics of asset-backed securities differ from traditional
debt securities. A major difference is that the principal amount of the
obligations may be prepaid at any time because the underlying assets (i.e.,
loans) generally may be prepaid at any time. As a result, if an asset-backed
security is purchased at a premium, a prepayment rate that is faster than
expected will reduce yield to maturity, while a prepayment rate that is slower
than expected will have the opposite effect of increasing yield to maturity.
Conversely, if an asset-backed security is purchased at a discount, faster
than expected prepayments will increase, while slower than expected
prepayments will decrease, yield to maturity. In calculating the average
weighted maturity of the U.S. Government Securities, Short-Intermediate Bond,
Bond, Intermediate Bond and International Bond Portfolios or the fixed income
portion of the Balanced Portfolio, the maturity of asset-backed securities
will be based on estimates of average life.
Prepayments on asset-backed securities generally increase with falling
interest rates and decrease with rising interest rates; furthermore,
prepayment rates are influenced by a variety of economic and social factors.
In general, the collateral supporting non-mortgage asset-backed securities is
of shorter maturity than mortgage loans and is less likely to experience
substantial prepayments. Like other fixed income securities, when interest
rates rise the value of an asset-backed security generally will decline;
however, when interest rates decline, the value of an asset-backed security
with prepayment features may not increase as much as that of other fixed
income securities.
The value of asset-backed securities may change because of actual or perceived
changes in the creditworthiness of the originator, servicing agent, or of the
financial institution providing credit support. In addition, non-mortgage
asset-backed securities involve certain risks not presented by mortgage-backed
securities. Primarily, these securities do not have the benefit of the same
security interest in the underlying collateral. Credit card receivables are
generally unsecured, and the debtors are entitled to the protection of a
number of state and Federal consumer credit laws many of which give debtors
the right to set off certain amounts owed on the credit cards, thereby
reducing the balance due. Most issuers of automobile receivables permit the
servicers to retain possession of the underlying obligations. If the servicer
were to sell these obligations to another party, there is a risk that the
purchaser would acquire an interest superior to that of the holders of the
related automobile receivables. In
45
<PAGE>
addition, because of the large number of vehicles involved in a typical
issuance and technical requirements under state laws, the trustee for the
holders of the automobile receivables may not have an effective security
interest in all of the obligations backing such receivables. Therefore, there
is a possibility that recoveries on repossessed collateral may not, in some
cases, be able to support payment on these securities.
EXCHANGE RATE-RELATED SECURITIES. The Short-Intermediate Bond, Bond,
Intermediate Bond, International Bond and Balanced Portfolios may invest in
securities for which the principal repayment at maturity, while paid in U.S.
dollars, is determined by reference to the exchange rate between the U.S.
dollar and the currency of one or more foreign countries ("Exchange Rate-
Related Securities"). The interest payable on these securities is denominated
in U.S. dollars and is not subject to foreign currency risk and, in most
cases, is paid at rates higher than most other similarly rated securities in
recognition of the foreign currency risk component of Exchange Rate-Related
Securities. Investments in Exchange Rate-Related Securities entail certain
risks. There is the possibility of significant changes in rates of exchange
between the U.S. dollar and any foreign currency to which an Exchange Rate-
Related Security is linked. In addition, potential illiquidity in the forward
foreign exchange market and the high volatility of the foreign exchange market
may from time to time combine to make it difficult to sell an Exchange Rate-
Related Security prior to maturity without incurring a significant price loss.
GUARANTEED INVESTMENT CONTRACTS. The Short-Intermediate Bond, Bond,
Intermediate Bond and Balanced Portfolios may make limited investments in
guaranteed investment contracts ("GICs") issued by U.S. insurance companies.
Pursuant to such contracts, a Portfolio makes cash contributions to a deposit
fund of the insurance company's general account. The insurance company then
credits to the Portfolio on a monthly basis interest which is based on an
index (in most cases this index is expected to be the Salomon Brothers CD
Index), but is guaranteed not to be less than a certain minimum rate. A GIC is
normally a general obligation of the issuing insurance company and not a
separate account. The purchase price paid for a GIC becomes part of the
general assets of the insurance company, and the contract is paid from the
company's general assets. A Portfolio will only purchase GICs from insurance
companies which, at the time of purchase, have assets of $1 billion or more
and meet quality and credit standards established by Northern. Generally, GICs
are not assignable or transferable without the permission of the issuing
insurance companies, and an active secondary market in GICs does not currently
exist. Therefore, GICs will be subject to a Portfolio's limitation on
investments in illiquid securities when a Portfolio may not demand payment of
the principal amount within seven days and a reliable trading market is
absent.
WARRANTS. The Balanced, Diversified Growth, Focused Growth, International
Growth, Small Company Index and International Equity Index Portfolios may
invest up to 5% of their respective assets at the time of purchase in warrants
and similar rights (other than those that have been acquired in units or
attached to other securities). Warrants represent rights to purchase
securities at a specific price valid for a specific period of time. The
Balanced, Diversified Growth, Focused Growth and International Growth
Portfolios may also purchase bonds that are issued in tandem with warrants.
The prices of warrants do not necessarily correlate with the prices of the
underlying securities.
AMERICAN, EUROPEAN AND GLOBAL DEPOSITORY RECEIPTS. The Balanced, Diversified
Growth, Focused Growth, International Growth and International Equity Index
Portfolios may invest in securities of foreign issuers in the form of American
Depository Receipts ("ADRs"), European Depository Receipts ("EDRs") and Global
Depository Receipts ("GDRs") or similar securities representing securities of
foreign issuers. These securities may not be denominated in the same currency
as the securities they represent. ADRs are receipts typically issued
46
<PAGE>
by a United States bank or trust company evidencing ownership of the
underlying foreign securities and are denominated in U.S. dollars. EDRs and
GDRs are receipts issued by a non-U.S. financial institution evidencing
ownership of the underlying foreign or U.S. securities and are generally
denominated in foreign currencies. ADRs may be listed on a national securities
exchange or may be traded in the over-the-counter market. EDRs and GDRs are
generally designed for use in a foreign securities exchange and over-the-
counter markets. Investments in ADRs, EDRs and GDRs involve risks similar to
those accompanying direct investments in foreign securities. See "Special
Risks and Other Considerations--Foreign Securities" above.
Certain such institutions issuing ADRs, EDRs and GDRs may not be sponsored by
the issuer. A non-sponsored depository may not provide the same unitholder
information that a sponsored depository is required to provide under its
contractual arrangement with the issuer. The Balanced, Diversified Growth and
Focused Growth Portfolios will limit investments in ADRs to 20% of their
respective assets and will limit investments in EDRs and GDRs to 5% of their
respective assets.
FIXED INCOME INVESTMENTS. Even though interest-bearing securities are
investments which often offer a stable stream of income, the prices of fixed
income securities will vary inversely with changes in the prevailing level of
interest rates. These securities experience appreciation when interest rates
decline and depreciation when interest rates rise. An investment portfolio
consisting of fixed income securities will react in a similar manner.
Generally, the longer the maturity of a fixed income security, the higher its
yield and the greater its price volatility. Conversely, the shorter the
maturity, the lower the yield but the greater the price stability. The values
of fixed income securities also may be affected by changes in the credit
rating or financial condition of the issuing entities. A security's rating
normally depends on the likelihood that the borrower will meet each interest
and principal installment on a timely basis. As a result, lower-rated bonds
typically yield more than higher-rated bonds of the same maturity. Credit
ratings evaluate the safety of principal and interest payments, not market
risk, and rating agencies may or may not make timely changes in a rating to
reflect economic or company conditions that affect a security's market value.
As a result, the ratings of rating services are used by Northern only as
indicators of investment quality. For a more complete discussion of ratings,
see Appendix A to the Additional Statement.
PORTFOLIO TURNOVER. The portfolio turnover rate of the International Bond,
International Growth and International Equity Index Portfolios will be
affected by changes in country and currency weightings, as well as changes in
the holdings of specific issuers and investments in issuers in smaller or
emerging markets. The Trust cannot accurately predict the turnover rate for
any Portfolio, which may vary from year to year. The portfolio turnover rate
of each Portfolio for the last fiscal year or fiscal period, as the case may
be, except the Intermediate Bond Portfolio which had not commenced operations
during the periods reported, is stated above under "Financial Highlights." It
is expected that the portfolio turnover rates for the Intermediate Bond and
International Equity Index Portfolios will not exceed 100% and 50%,
respectively, during the current fiscal year. High portfolio turnover (in
excess of 100%) may result in the realization of short-term capital gains
which are taxable to unitholders as ordinary income (see "Taxes"). In
addition, high portfolio turnover rates may result in corresponding increases
in brokerage commissions and other transaction costs. The Portfolios will not
consider portfolio turnover rate a limiting factor in making investment
decisions consistent with their respective objectives and policies.
MISCELLANEOUS. The Portfolios do not intend to purchase certificates of
deposit of Northern or its affiliate banks, commercial paper issued by
Northern's parent holding company or other securities issued or guaranteed by
Northern, its parent holding company or their subsidiaries or affiliates.
47
<PAGE>
The Equity Index, Small Company Index and International Equity Index
Portfolios may experience higher custody costs than other stock funds because
they maintain large portfolios of securities consistent with their respective
investment objectives.
Each Portfolio may also purchase other types of financial instruments, however
designated, whose investment and credit quality characteristics are determined
by Northern to be substantially similar to those of any other investment
otherwise permitted by the investment policies described above.
INVESTMENT RESTRICTIONS
The Portfolios are subject to certain investment restrictions which, as
described in more detail in the Additional Statement, are fundamental policies
that cannot be changed without the approval of a majority of the outstanding
units of a Portfolio. These fundamental policies relate, among other things,
to the classification of each Portfolio (except the International Bond
Portfolio) as a diversified investment company under the 1940 Act, and to the
policy of each Portfolio not to invest more than 25% of its total assets in
securities of issuers in any one industry (with certain limited exceptions).
In addition, each Portfolio may borrow money from banks for temporary or
emergency purposes or to meet redemption requests, provided that the Portfolio
maintains asset coverage of at least 300% for all such borrowings.
As a non-fundamental investment restriction that can be changed without
unitholder approval, the International Bond Portfolio may not, at the end of
any tax quarter, invest more than 5% of the total value of its assets in the
securities of any one issuer (except U.S. Government securities), except that
up to 50% of the total value of the Portfolio's assets may be invested in any
securities without regard to this 5% limitation so long as no more than 25% of
the total value of its assets is invested in the securities of any one issuer
(except U.S. Government securities).
TRUST INFORMATION
BOARD OF TRUSTEES
The business and affairs of the Trust and each Portfolio are managed under the
direction of the Trust's Board of Trustees. The Additional Statement contains
the name of each Trustee and background information regarding the Trustees.
INVESTMENT ADVISER, TRANSFER AGENT AND CUSTODIAN
Northern, which has offices at 50 S. LaSalle Street, Chicago, Illinois 60675,
serves as investment adviser, transfer agent and custodian for each Portfolio.
As transfer agent, Northern performs various administrative servicing
functions, and any unitholder inquiries should be directed to it.
Northern, a member of the Federal Reserve System, is an Illinois state-
chartered commercial bank and the principal subsidiary of Northern Trust
Corporation, a bank holding company. Northern was formed in 1889 with
capitalization of $1 million. As of June 30, 1997, Northern Trust Corporation
and its subsidiaries had approximately $23.9 billion in assets, $15.9 billion
in deposits and employed over 7,200 persons.
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<PAGE>
Northern and its affiliates administered in various capacities (including as
master trustee, investment manager or custodian) approximately $889 billion of
assets as of June 30, 1997, including approximately $149 billion of assets for
which Northern and its affiliates had investment management responsibility.
Under its Advisory Agreement with the Trust, Northern, subject to the general
supervision of the Trust's Board of Trustees, is responsible for making
investment decisions for the Portfolios and placing purchase and sale orders
for portfolio securities. Northern is also responsible for monitoring and
preserving the records required to be maintained under the regulations of the
SEC (with certain exceptions unrelated to its activities for the Trust). As
compensation for its advisory services and its assumption of related expenses,
Northern is entitled to a fee, computed daily and payable monthly, at annual
rates set forth in the table below (expressed as a percentage of the
Portfolio's respective average daily net assets). The table also reflects the
advisory fees (after voluntary fee waivers) paid by the Portfolios for the
fiscal year ended November 30, 1996.
<TABLE>
<CAPTION>
MAXIMUM
ANNUAL ADVISORY FEE PAID
ADVISORY FOR FISCAL YEAR
FEE ENDED 11/30/96
-------- -----------------
<S> <C> <C>
U.S. Government Securities Portfolio.............. .60% .25%
Short-Intermediate Bond Portfolio................. .60% .25%
U.S. Treasury Index Portfolio..................... .40% .15%
Bond Portfolio.................................... .60% .25%
Intermediate Bond Portfolio*...................... .60% N/A
International Bond Portfolio...................... .90% .70%
Balanced Portfolio................................ .80% .50%
Equity Index Portfolio............................ .30% .10%
Diversified Growth Portfolio...................... .80% .55%
Focused Growth Portfolio.......................... 1.10% .80%
Small Company Index Portfolio..................... .40% .20%
International Equity Index Portfolio*............. .50% N/A
International Growth Portfolio.................... 1.00% .80%
</TABLE>
- --------
* In addition, Northern has voluntarily agreed to reduce its advisory fee for
the Intermediate Bond and International Equity Index Portfolios to .25% of
the Portfolios' respective average daily net assets for the current fiscal
year.
The difference between the stated advisory fee and the actual advisory fees
paid by the Portfolios reflects the fact that Northern did not charge the full
amount of the advisory fees to which it would have been entitled.
49
<PAGE>
Northern also receives compensation as the Trust's custodian and transfer
agent under separate agreements. The fees payable by the Portfolios for these
services are described in this Prospectus under "Summary of Expenses" and in
the Additional Statement. Different transfer agency fees are payable with
respect to the Class A, B, C and D units in the Portfolios.
On September 2, 1997, the unitholders of the International Growth Portfolio
approved a new investment advisory agreement which would allow this Portfolio
to implement a "manager of managers" structure and allow the Portfolio's
investment advisers to enter into sub-advisory agreements with respect to the
Portfolio with other firms in the future without further unitholder approval.
This structure cannot be implemented, however, without an exemptive order of
the SEC and final authorization by the Board of Trustees, and at present it is
uncertain when, or if, this structure will become effective.
PORTFOLIO MANAGERS
The table below sets forth information on the persons primarily responsible
for the day-to-day management of the following Portfolios:
<TABLE>
<CAPTION>
YEARS PRIMARILY FIVE YEAR
NAME AND TITLE PORTFOLIO RESPONSIBLE EMPLOYMENT HISTORY
- --------------------- -------------------------- --------------- ------------------
<S> <C> <C> <C>
Jon D. Brorson Balanced Since 1996 Mr. Brorson joined Northern
Vice President Diversified Growth in 1996. From 1990 to 1996,
Focused Growth he was with Hartline
Investment Corp. where his
primary responsibilities
included portfolio
management, investment
research, sales and trading.
Andrew C. Buchner International Equity Index Since 1997 Mr. Buchner joined Northern
Investment Officer Small Company Index Since 1996 in 1992. During the past
five years, Mr. Buchner has
managed equity index funds
including common and
collective trust funds. In
addition, Mr. Buchner served
as a credit analyst at
Northern following both
telecommunication companies
and public utilities prior
thereto.
Robert Bergson Small Company Index Since 1997 Mr. Bergson joined Northern
Second Vice President in 1997. From 1995 to 1997
he was the director of
investment research at Real
Estate Research Corp. In
addition, Mr. Bergson was a
practicing architect with
firms in Chicago and
Cleveland from 1988-1995.
Susan J. French Equity Index Since 1996 Ms. French joined Northern
Vice President in 1986. During the past
five years, Ms. French has
managed short-term
investment funds and equity
index funds including common
and collective trust funds
and a mutual fund for
another investment company.
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
YEARS PRIMARILY FIVE YEAR
NAME AND TITLE PORTFOLIO RESPONSIBLE EMPLOYMENT HISTORY
- --------------------- -------------------------- --------------- ------------------
<S> <C> <C> <C>
Robert A. LaFleur International Growth Since 1994 Mr. LaFleur joined Northern
Senior Vice President in 1982. During the past
five years, Mr. LaFleur has
managed international equity
portfolios, including common
and collective trust funds
invested principally in
foreign securities.
Michael J. Lannan International Bond Since 1994 Mr. Lannan joined Northern
Vice President in 1986. During the past
five years, Mr. Lannan has
managed various fixed income
portfolios, including common
and collective trust funds
and a portfolio of another
investment company invested
in obligations of domestic
and foreign issuers.
Monty M. Memler Balanced Since 1993 Mr. Memler joined Northern
Vice President in 1986. During the past
five years, Mr. Memler has
managed various fixed income
portfolios, including common
and collective trust funds
and a mutual fund for
another investment company.
Steven Schafer U.S. Government Securities Since 1995 During the past five years,
Second Vice President Intermediate Bond Since 1997 Mr. Schafer has managed
various fixed income
portfolios, including common
and collective funds and a
portfolio of another
investment company, as
portfolio manager in
Northern's Fixed Income
Management Group. In
addition, Mr. Schafer served
as Credit Analyst at
Northern following both
industrial companies and
utilities prior thereto.
Richard Steck U.S. Treasury Index Since 1993 Mr. Steck joined Northern in
Vice President August 1985. During the past
five years, Mr. Steck has
managed various fixed income
portfolios, including common
and collective trust funds.
He is also involved in the
underlying analytical
systems and technology of
investment management.
Mark J. Wirth Short-Intermediate Bond Since 1993 Mr. Wirth joined Northern in
Vice President Bond Since 1993 1986. During the past five
years, Mr. Wirth has managed
various fixed income
portfolios, including common
and collective trust funds.
He is a senior strategist in
the taxable fixed income
group.
</TABLE>
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<PAGE>
ADMINISTRATOR AND DISTRIBUTOR
Goldman Sachs, 85 Broad Street, New York, New York 10004, acts as
administrator and distributor for the Portfolios. As compensation for its
administrative services (which include supervision with respect to the Trust's
non-investment advisory operations) and the assumption of related expenses,
Goldman Sachs is entitled to a fee from each Portfolio, computed daily and
payable monthly, at an annual rate of .15% of the average daily net assets of
each of the International Equity Index, International Growth and International
Bond Portfolios, and .10% of the average daily net assets of each other
Portfolio. No compensation is payable by the Trust to Goldman Sachs for its
distribution services.
In addition, Goldman Sachs has agreed that it will reimburse each Portfolio
for all expenses (including the fees payable to Goldman Sachs as
administrator, but excluding the fees payable to Northern for its duties as
investment adviser and transfer agent, servicing fees and extraordinary
expenses, such as interest, taxes and indemnification expenses) which exceed
on an annualized basis .25% of each of the International Bond, International
Growth and International Equity Index Portfolios' average daily net assets and
.10% of each other Portfolio's average daily net assets for any fiscal year.
In addition, Northern intends to voluntarily reduce its advisory fee for the
U.S. Government Securities, Short-Intermediate Bond, U.S. Treasury Index,
Bond, Intermediate Bond, International Bond, Balanced, Equity Index,
Diversified Growth, Focused Growth, Small Company Index, International Equity
Index and International Growth Portfolios during the Trust's current fiscal
year. The result of these reimbursements and fee reductions will be to
increase the performance of the Portfolios during the periods for which the
reimbursements and reductions are made.
UNITHOLDER SERVICING PLAN
Pursuant to a Unitholder Servicing Plan ("Servicing Plan") adopted by the
Board of Trustees of the Trust, the Trust may enter into agreements
("Servicing Agreements") with banks, corporations, brokers, dealers and other
financial institutions which may include Northern and its affiliates
("Servicing Agents"), under which they will render (or arrange for the
rendering of) administrative support services for investors who beneficially
own Class B, C and D units of each Portfolio. Beneficial owners of Class C and
D units require extensive administrative support services while beneficial
owners of Class B units need only some of these services. Administrative
support services, which are described more fully in the Additional Statement,
may include processing purchase and redemption requests from investors,
placing net purchase and redemption orders with Northern acting as the Trust's
transfer agent, providing necessary personnel and facilities to establish and
maintain investor accounts and records, and providing information periodically
to investors showing their positions in Portfolio units.
For these services, fees are payable by the Trust to Servicing Agents at an
annual rate of up to .10%, .15% and .25% of the average daily net asset value
of Class B units, Class C units and Class D units, respectively, held or
serviced by such Servicing Agents for beneficial unitholders ("Servicing
Fees"). Servicing Agents are required to provide investors with a schedule of
any credits, fees or other conditions that may be applicable to the investment
of their assets in Portfolio units.
Conflict of interest restrictions may apply to the receipt of compensation
paid by the Trust to a Servicing Agent in connection with the investment of
fiduciary funds in Portfolio units. Banks and other institutions regulated by
the Office of Comptroller of the Currency, Board of Governors of the Federal
Reserve System and state banking commissions, and investment advisers and
other money managers subject to the jurisdiction of the SEC, the Department of
Labor or state securities commissions, are urged to consult legal counsel
before entering into Servicing Agreements.
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<PAGE>
SERVICE INFORMATION
Class A units are designed to be purchased by institutional investors or
others who can obtain information about their unitholder accounts and who do
not require the Transfer Agent or Servicing Agent services that are provided
for Class B, C and D unitholders.
Class B units are designed to be purchased by organizations maintaining record
ownership on behalf of beneficial owners where certain services of the
Transfer Agent and a Servicing Agent are required that are incident to the
separation of record and beneficial ownership.
Class C units are designed to be purchased by institutional investors who
require certain account related services of the Transfer Agent and a Servicing
Agent that are incident to the investor being the beneficial owner of units.
Class D units are designed to be purchased by investors having a relationship
with an organization which requires that account related services and
information be provided to the investor and organization by the Transfer Agent
and a Servicing Agent.
Any person entitled to receive compensation for selling or servicing units of
a Portfolio may receive different compensation with respect to one particular
class of units over another in the same Portfolio.
EXPENSES
Except as set forth above and in the Additional Statement under "Additional
Trust Information," each Portfolio is responsible for the payment of its
expenses. Such expenses include, without limitation, the fees and expenses
payable to Northern and Goldman Sachs, brokerage fees and commissions, fees
for the registration or qualification of Portfolio units under Federal or
state securities laws, expenses of the organization of the Portfolio, taxes,
interest, costs of liability insurance, fidelity bonds, indemnification or
contribution, any costs, expenses or losses arising out of any liability of,
or claim for damages or other relief asserted against, the Trust for violation
of any law, legal, tax and auditing fees and expenses, Servicing Fees,
expenses of preparing and printing prospectuses, statements of additional
information, proxy materials, reports and notices and the printing and
distributing of the same to the Trust's unitholders and regulatory
authorities, compensation and expenses of its Trustees, expenses of industry
organizations such as the Investment Company Institute, miscellaneous expenses
and extraordinary expenses incurred by the Trust.
INVESTING
PURCHASE OF UNITS
Units of the Portfolios are sold on a continuous basis by the Trust's
distributor, Goldman Sachs, to institutional investors that either maintain
certain qualified accounts at Northern or its affiliates or invest an
aggregate of at least $5 million in one or more Portfolios of the Trust.
Goldman Sachs has established several procedures for purchasing Portfolio
units in order to accommodate different types of institutional investors.
PURCHASE OF UNITS THROUGH QUALIFIED ACCOUNTS. Class A, B, C and D units of
each Portfolio are offered to Northern, its affiliates and other institutions
and organizations (the "Institutions") acting on behalf of their customers,
clients, employees and others (the "Customers") and for their own account.
Institutions may purchase units of a Portfolio through procedures established
in connection with the requirements of their qualified
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<PAGE>
accounts or through procedures set forth herein with respect to Institutions
that invest directly. Institutions should contact Northern or an affiliate for
further information regarding purchases through qualified accounts. There is
no minimum initial investment for Institutions that maintain qualified
accounts with Northern or its affiliates.
PURCHASE OF UNITS DIRECTLY FROM THE TRUST. An Institution that purchases units
directly may do so by means of one of the following procedures, provided that
it makes an aggregate minimum initial investment of $5 million in one or more
Portfolios of the Trust:
PURCHASE BY MAIL. An Institution desiring to purchase units of a Portfolio
by mail should mail a check or Federal Reserve draft payable to the
specific Portfolio together with a completed and signed new account
application to The Benchmark Funds, c/o The Northern Trust Company, P.O.
Box 75943, Chicago, Illinois 60675-5943. An application will be incomplete
if it does not include a corporate resolution with the corporate seal and
secretary's certification within the preceding 30 days, or other acceptable
evidence of authority. If an Institution desires to purchase the units of
more than one Portfolio, the Institution should send a separate check for
each Portfolio. All checks must be payable in U.S. dollars and drawn on a
bank located in the United States. A $20 charge will be imposed if a check
does not clear. The Trust may delay transmittal of redemption proceeds for
units recently purchased by check until such time as it has assured itself
that good funds have been collected for the purchase of such units. This
may take up to fifteen (15) days. Cash and third party checks are not
acceptable for the purchase of Trust units.
PURCHASE BY TELEPHONE. An Institution desiring to purchase units of a
Portfolio by telephone should call Northern acting as the Trust's transfer
agent ("Transfer Agent") at 1-800-637-1380. Please be prepared to identify
the name of the Portfolio with respect to which units are to be purchased
and the manner of payment. Please indicate whether a new account is being
established or an additional payment is being made to an existing account.
If an additional payment is being made to an existing account, please
provide the Institution's name and Portfolio Account Number. Purchase
orders are effected upon receipt by the Transfer Agent of Federal funds or
other immediately available funds in accordance with the terms set forth
below.
PURCHASE BY WIRE OR ACH TRANSFER. An Institution desiring to purchase units
of a Portfolio by wire or ACH Transfer should call the Transfer Agent at 1-
800-637-1380 for instructions if it is not making an additional payment to
an existing account. An Institution that wishes to add to an existing
account should wire Federal funds or effect an ACH Transfer to:
The Northern Trust Company
Chicago, Illinois
ABA Routing No. 0710-00152
(Reference 10 Digit Portfolio Account Number)
(Reference Unitholder's Name)
For more information concerning requirements for the purchase of units,
call the Transfer Agent at 1-800-637-1380.
EFFECTIVE TIME OF PURCHASES. A purchase order for Portfolio units received by
the Transfer Agent by 3:00 p.m., Chicago time, on a Business Day (as defined
under "Miscellaneous") will be effected on that Business Day at the net asset
value determined on that day with respect to each Portfolio (other than the
Small Company Index and International Equity Index Portfolios), and at the net
asset value plus an additional transaction fee of .75% and 1.00% of the net
asset value determined on that day with respect to the Small Company Index and
International Equity Index Portfolios, respectively, provided that either: (a)
the Transfer Agent receives the purchase price in Federal funds or other
immediately available funds prior to 3:00 p.m., Chicago time, on the
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<PAGE>
same Business Day such order is received; or (b) payment is received on the
next Business Day in the form of Federal funds or other immediately available
funds in a qualified account maintained by an Institution with Northern or an
affiliate. Orders received after 3:00 p.m. will be effected at the next
determined net asset value, provided that payment is made as provided herein.
If an Institution accepts a purchase order from a Customer on a non-Business
Day, the order will not be executed until it is received and accepted by the
Transfer Agent on a Business Day in accordance with the foregoing procedures.
MISCELLANEOUS PURCHASE INFORMATION. Units are purchased without a sales charge
imposed by the Trust. The minimum initial investment is $5 million for
Institutions that invest directly in one or more investment portfolios of the
Trust. The Trust reserves the right to waive this minimum and to determine the
manner in which the minimum investment is satisfied. There is no minimum for
subsequent investments.
The Small Company Index and International Equity Index Portfolios require the
payment of an additional transaction fee on purchases of units of the
Portfolios equal to 0.75% and 1.00%, respectively, of the dollar amount
invested. The additional transaction fee is paid to the Portfolios, not to
Goldman Sachs or Northern. It is not a sales charge. The amount applies to
initial investments in the Portfolios and all subsequent purchases (including
purchases made by exchange from the other Portfolios of the Trust), but not to
reinvested dividends or capital gain distributions. The purpose of the
additional transaction fee is to indirectly allocate transaction costs
associated with new purchases to investors making those purchases, thus
protecting existing unitholders. These costs include: (1) brokerage costs; (2)
market impact costs--i.e., the increase in market prices which may result when
the Portfolios purchase thinly traded stocks; and, most importantly, (3) the
effect of the "bid-ask" spread in the over-the-counter market. (Securities in
the over-the-counter market are bought at the "ask" or purchase price, but are
valued in the Portfolios at the last quoted bid price). The additional
transaction fees represent Northern's estimate of the brokerage and other
transaction costs which may be incurred by the Small Company Index and
International Equity Index Portfolios in acquiring stocks of small
capitalization or foreign companies. Without the additional transaction fee,
the Portfolio would generally be selling their units at a price less than the
cost to the Portfolios of acquiring the portfolio securities necessary to
maintain their investment characteristics, thereby resulting in reduced
investment performance for all unitholders in the Portfolios. With the
additional transaction fee, the transaction costs of acquiring additional
stocks are not borne by all existing unitholders, but are defrayed by the
transaction fees paid by those investors making additional purchases of units.
Because these transaction costs do not need to be paid out of the Portfolios'
other assets, the Portfolios are expected to track their designated indices
more closely.
Institutions may impose different minimum investment and other requirements on
Customers purchasing units through them. Depending on the terms governing the
particular account, Institutions may impose account charges such as asset
allocation fees, account maintenance fees, compensating balance requirements
or other charges based upon account transactions, assets or income which will
have the effect of reducing the net return on an investment in a Portfolio. In
addition, certain Institutions may enter into Servicing Agreements with the
Trust whereby they will perform (or arrange to have performed) various
administrative support services for Customers who are the beneficial owners of
Class B, C and D units and receive fees from the Portfolios for such services;
such fees will be borne exclusively by the beneficial owners of Class B, C and
D units, respectively. See "Trust Information--Unitholder Servicing Plan." The
level of administrative support services, as well as transfer agency services,
required by an Institution and its Customers generally will determine whether
they purchase units of Class A, B, C or D. The exercise of voting rights and
the delivery to Customers of unitholder communications from the Trust will be
governed by the Customers' account agreements with the Institutions.
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<PAGE>
Customers should read this Prospectus in connection with any relevant
agreement describing the services provided by an Institution and any related
requirements and charges, or contact the Institution at which the Customer
maintains its account for further information.
Institutions that purchase units on behalf of Customers are responsible for
transmitting purchase orders to the Transfer Agent and delivering required
funds on a timely basis. An Institution will be responsible for all losses and
expenses of a Portfolio as a result of a check that does not clear, an ACH
transfer that is rejected, or any other failure to make payment in the time
and manner described above, and Northern may redeem units from an account it
maintains to protect the Portfolio and Northern against loss. The Trust
reserves the right to reject any purchase order. Federal regulations require
that the Transfer Agent be furnished with a taxpayer identification number
upon opening or reopening an account. Purchase orders without such a number or
an indication that a number has been applied for will not be accepted. If a
number has been applied for, the number must be provided and certified within
sixty days of the date of the order.
Payment for units of a Portfolio may, in the discretion of Northern, be made
in the form of securities that are permissible investments for the Portfolio.
For further information about the terms of such purchases, see the Additional
Statement.
In the interests of economy and convenience, certificates representing units
of the Portfolios are not issued.
Institutions investing in the Portfolios on behalf of their Customers should
note that state securities laws regarding the registration of dealers may
differ from the interpretations of Federal law and such Institutions may be
required to register as dealers pursuant to state law.
Northern may, at its own expense, provide compensation to certain dealers
whose customers purchase significant amounts of units of the Trust. The amount
of such compensation may be made on a one-time and/or periodic basis, and may
represent all or a portion of the annual fees that are earned by Northern as
investment adviser (after adjustments) and are attributable to units held by
such customers. Such compensation will not represent an additional expense to
the Trust or its unitholders, since it will be paid from assets of Northern or
its affiliates.
REDEMPTION OF UNITS
REDEMPTION OF UNITS THROUGH QUALIFIED ACCOUNTS. Institutions may redeem units
of a class through procedures established by Northern and its affiliates in
connection with the requirements of their qualified accounts. Institutions
should contact Northern or an affiliate for further information regarding
redemptions through qualified accounts.
REDEMPTION OF UNITS DIRECTLY. Institutions that purchase units directly from
the Trust through the Transfer Agent may redeem all or part of their Portfolio
units in accordance with procedures set forth below.
REDEMPTION BY MAIL. An Institution may redeem units by sending a written
request to The Benchmark Funds, c/o The Northern Trust Company, P.O. Box
75943, Chicago, Illinois 60675-5943. Redemption requests must be signed by
a duly authorized person, and must state the number of units or the dollar
amount to be redeemed and identify the Portfolio Account Number. See "Other
Requirements."
REDEMPTION BY TELEPHONE. An Institution may redeem units by placing a
redemption order by telephone by calling the Transfer Agent at 1-800-637-
1380. During periods of unusual economic or market changes, telephone
redemptions may be difficult to implement. In such event, unitholders
should follow procedures outlined above under "Redemption by Mail."
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<PAGE>
REDEMPTION BY WIRE. If an Institution has given authorization for expedited
wire redemption, units can be redeemed and the proceeds sent by Federal
wire transfer to a single previously designated bank account. The minimum
amount which may be redeemed by this method is $10,000. The Trust reserves
the right to change or waive this minimum or to terminate the wire
redemption privilege. See "Other Requirements."
TELEPHONE PRIVILEGE. An Institution that has notified the Transfer Agent in
writing of the Institution's election to redeem or exchange units by
placing an order by telephone may do so by calling the Transfer Agent at
1-800-637-1380. Neither the Trust nor its Transfer Agent will be
responsible for the authenticity of instructions received by telephone that
are reasonably believed to be genuine. To the extent that the Trust fails
to use reasonable procedures to verify the genuineness of telephone
instructions, it or its service providers may be liable for such
instructions that prove to be fraudulent or unauthorized. In all other
cases, the unitholder will bear the risk of loss for fraudulent telephone
transactions. However, the Transfer Agent has adopted procedures in an
effort to establish reasonable safeguards against fraudulent telephone
transactions. The proceeds of redemption orders received by telephone will
be sent by check, by wire or by transfer pursuant to proper instructions.
All checks will be made payable to the unitholder of record and mailed only
to the unitholder's address of record. See "Other Requirements."
Additionally, the Transfer Agent utilizes recorded lines for telephone
transactions and retains such tape recordings for six months, and will
request a form of identification if such identification has been furnished
to the Transfer Agent or the Trust.
OTHER REQUIREMENTS. A change of wiring instructions and a change of the
address of record may be effected only by a written request to the Transfer
Agent accompanied by (i) a corporate resolution which evidences authority
to sign on behalf of the Institution (including the corporate seal and
secretary's certification within the preceding 30 days), (ii) a signature
guarantee by a financial institution that is a participant in the Stock
Transfer Agency Medallion Program ("STAMP") in accordance with rules
promulgated by the SEC (a signature notarized by a notary public is not
acceptable) or (iii) such other evidence of authority as may be acceptable
to the Transfer Agent. A redemption request by mail will not be effective
unless signed by a person authorized by the corporate resolution or other
acceptable evidence of authority on file with the Transfer Agent.
EXCHANGE PRIVILEGE. Institutions and, to the extent permitted by their account
agreements, Customers, may, after appropriate prior authorization, exchange
Class A, B, C or D units of a Portfolio having a value of at least $1,000 for
Class A, B, C or D units, respectively, of other portfolios of the Trust as to
which the Institution or Customer maintains an existing account with an
identical title.
Exchanges will be effected by a redemption of Class A, B, C or D units of the
Portfolio held and the purchase of units of the Portfolio acquired. Customers
of Institutions should contact their Institutions for further information
regarding the Trust's exchange privilege and Institutions should contact the
Transfer Agent as appropriate. The Trust reserves the right to modify or
terminate the exchange privilege at any time upon 60 days' written notice to
unitholders and to reject any exchange request. Exchanges are only available
in states where an exchange can legally be made.
EFFECTIVE TIME OF REDEMPTIONS AND EXCHANGES. Redemption orders of Portfolio
units are effected at the net asset value per unit next determined after
receipt in good order by the Transfer Agent. Good order means that the request
includes the following: the account number and Portfolio name; the amount of
the transaction (as specified in dollars or units); and the signature of a
duly authorized person (except for telephone and wire redemptions). See
"Investing--Redemption of Units--Other Requirements." Exchange orders
involving the purchase of units of the Small Company Index Portfolio and
International Equity Index Portfolio are effected at the net asset value per
unit next determined after receipt in good order by the Transfer Agent plus an
additional transaction fee equal to .75% and 1.00%, respectively, of such
value. See "Purchase of Units--Miscellaneous
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<PAGE>
Purchase Information" above. Exchange orders of the other Portfolios are
effected at the net asset value per unit next determined after receipt in good
order by the Transfer Agent. If received by Northern with respect to a
qualified account it maintains or the Transfer Agent by 3:00 p.m., Chicago
time, on a Business Day, a redemption request normally will result in proceeds
being credited to such account or sent on the next Business Day. Proceeds for
redemption orders received on a non-Business Day will normally be sent on the
second Business Day after receipt in good order.
MISCELLANEOUS REDEMPTION INFORMATION. All redemption proceeds will be sent by
check unless Northern or the Transfer Agent is directed otherwise. The ACH
system may be utilized for payment of redemption proceeds. Redemption of units
may not be effected if a unitholder has failed to submit a completed and
properly executed (with corporate resolution or other acceptable evidence of
authority) new account application. If units to be redeemed were recently
purchased by check, the Trust may delay transmittal of redemption proceeds
until such time as it has assured itself that good funds have been collected
for the purchase of such units. This may take up to fifteen (15) days. The
Trust reserves the right to defer crediting, sending or wiring redemption
proceeds for up to seven days after receiving the redemption order if, in its
judgment, an earlier payment could adversely affect a Portfolio.
The Trust may require any information reasonably necessary to ensure that a
redemption has been duly authorized.
It is the responsibility of Institutions acting on behalf of Customers to
transmit redemption orders to the Transfer Agent and to credit Customers'
accounts with the redemption proceeds on a timely basis. If a Customer has
agreed with a particular Institution to maintain a minimum balance in his
account at such Institution and the balance in such account falls below that
minimum, such Customer may be obliged to redeem all or part of his units to
the extent necessary to maintain the required minimum balance. The Trust also
reserves the right to redeem units held by any unitholder who provides
incorrect or incomplete account information or when such involuntary
redemptions are necessary to avoid adverse consequences to the Trust and its
unitholders.
DISTRIBUTIONS
Distributions from a Portfolio's net investment income and annualized capital
gains are made as follows:
<TABLE>
<CAPTION>
INVESTMENT INCOME
DIVIDENDS CAPITAL
------------------- GAINS
DECLARED PAID DISTRIBUTION
--------- --------- ------------
<S> <C> <C> <C>
U.S. Government Securities Portfolio........... Monthly Monthly Annually
Short-Intermediate Bond Portfolio.............. Monthly Monthly Annually
U.S. Treasury Index Portfolio.................. Monthly Monthly Annually
Bond Portfolio................................. Monthly Monthly Annually
Intermediate Bond Portfolio.................... Monthly Monthly Annually
International Bond Portfolio................... Quarterly Quarterly Annually
Balanced Portfolio............................. Quarterly Quarterly Annually
Equity Index Portfolio......................... Quarterly Quarterly Annually
Diversified Growth Portfolio................... Annually Annually Annually
Focused Growth Portfolio....................... Annually Annually Annually
Small Company Index Portfolio.................. Annually Annually Annually
International Equity Index Portfolio........... Annually Annually Annually
International Growth Portfolio................. Annually Annually Annually
</TABLE>
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<PAGE>
Dividends and distributions will reduce a Portfolio's net asset value by the
amount of the dividend or distribution. All dividends and distributions are
automatically reinvested (without any sales charge or additional purchase
price amount) in additional units of the same Portfolio at their net asset
value per unit determined on the payment date. However, a holder may elect,
upon written notification to the Transfer Agent, to have dividends or capital
gain distributions (or both) paid in cash or reinvested in the same class of
units of another Portfolio at their net asset value per unit (plus an
additional purchase price amount equal to .75% and 1.00% of the amount
invested in the case of the Small Company Index Portfolio and International
Equity Index Portfolio, respectively) determined on the payment date (provided
the holder maintains an account in such Portfolio). Unitholders of record must
make such election, or any revocation thereof, in writing to the Transfer
Agent. The election will become effective with respect to dividends paid two
days after its receipt by the Transfer Agent.
Net loss, if any, from certain foreign currency transactions or instruments
that is otherwise taken into account with respect to the International Bond,
International Growth and International Equity Index Portfolios in calculating
net investment income or net realized capital gains for accounting purposes
may not be taken into account in determining the amount of dividends to be
declared and paid, with the result that a portion of the Portfolios' dividends
may be treated as a return of capital, nontaxable to the extent of a
unitholder's tax basis in his units.
Because of the different servicing fees and transfer agency fees payable with
respect to the Class A, B, C and D units in a Portfolio, the amount of such
Portfolio's net investment income available for distribution to the holders of
such units will be effectively reduced by the amount of such fees. See
"Unitholder Service Plan" and "Investment Adviser, Transfer Agent and
Custodian" under the heading "Trust Information" in this Prospectus.
TAXES
Each Portfolio intends to qualify as a separate "regulated investment company"
under the Internal Revenue Code of 1986, as amended (the "Code"). Such
qualification generally will relieve the Portfolios of liability for Federal
income taxes to the extent their earnings are distributed in accordance with
the Code.
Qualification as a regulated investment company under the Code for a taxable
year requires, among other things, that each Portfolio distribute to its
unitholders an amount equal to at least 90% of its investment company taxable
income for such year. In general, a Portfolio's investment company taxable
income will be its taxable income, subject to certain adjustments and
excluding the excess of any net long-term capital gain for the taxable year
over the net short-term capital loss, if any, for such year. Each Portfolio
intends to distribute as dividends substantially all of its investment company
taxable income each year. Such dividends will be taxable as ordinary income to
the Portfolio's unitholders who are not currently exempt from Federal income
taxes whether they are received in cash or reinvested in additional units.
(Federal income taxes for distributions to an IRA or other qualified
retirement plan are deferred under the Code.) Such ordinary income
distributions will qualify for the dividends received deduction for
corporations to the extent of the total qualifying dividends received by the
distributing Portfolio from domestic corporations for the taxable year. It is
not expected that any Fixed Income Portfolio distributions will qualify for
the dividends received deduction for corporations.
Substantially all of each Portfolio's net realized long-term capital gains
will be distributed at least annually to its unitholders. The Portfolios
generally will have no tax liability with respect to such gains and the
distributions will be taxable to Portfolio unitholders who are not currently
exempt from Federal income taxes as long-term capital gains, regardless of how
long the unitholders have held the units and whether such gains are received
in
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<PAGE>
cash or reinvested in additional units. Unitholders should note that, upon
sale or exchange of Portfolio units, if the unitholder has not held such units
for more than six months, any loss on the sale or exchange of those units will
be treated as long term capital loss to the extent of the capital gain
dividends received with respect to the units.
Dividends declared in October, November or December of any year payable to
unitholders of record on a specified date in such months will be deemed for
Federal tax purposes to have been paid by the Portfolio and received by the
unitholders on December 31 of such year if such dividends are paid during
January of the following year.
An investor considering buying units of a Portfolio on or just before the
record date of a dividend should be aware that the amount of the forthcoming
dividend payment, although in effect a return of capital, will be taxable.
A taxable gain or loss may be realized by a unitholder upon the redemption,
transfer or exchange of units of a Portfolio depending upon the tax basis and
their price at the time of redemption, transfer or exchange.
It is expected that dividends and certain interest income earned by the
International Bond, International Growth and International Equity Index
Portfolios from foreign securities will be subject to foreign withholding
taxes or other taxes. So long as more than 50% of the value of the Portfolios'
total assets at the close of any taxable year consists of stock or securities
(including debt securities) of foreign corporations, the Portfolios may elect,
for Federal income tax purposes, to treat certain foreign taxes paid by them,
including generally any withholding taxes and other foreign income taxes, as
paid by their unitholders. Should the Portfolios make this election, the
amount of such foreign taxes paid by the Portfolios will be included in their
unitholders' income pro rata (in addition to taxable distributions actually
received by them), and such unitholders will be entitled either (a) to credit
their proportionate amounts of such taxes against their Federal income tax
liabilities, or (b) to deduct such proportionate amounts from their Federal
taxable income under certain circumstances.
If the International Bond, International Growth and International Equity Index
Portfolios invest in certain "passive foreign investment companies" ("PFICs"),
they will be subject to Federal income tax (and possibly additional interest
charges) on a portion of any "excess distribution" or gain from the
disposition of such investments, even if they distribute such income to their
unitholders. If a Portfolio elects to treat the PFIC as a "qualified electing
fund" ("QEF") and the PFIC furnishes certain financial information in the
required form, a Portfolio would instead be required to include in income each
year its allocable share of the ordinary earnings and net capital gains of the
QEF, regardless of whether such income is received, and such amounts would be
subject to the various distribution requirements described above. In addition,
a Portfolio may be permitted in the future to elect instead to recognize any
appreciation in the PFIC shares that it owns by marking them to market as of
the last Business Day of each taxable year (and on certain other dates
prescribed in the Code). Again, gain recognized under this "mark-to-market"
approach would be subject to the various distribution requirements described
above, even if no cash is received currently from the PFIC investment.
Unitholders of record will be advised by the Trust at least annually as to the
Federal income tax consequences of distributions made to them each year.
The foregoing discussion summarizes some of the important Federal tax
considerations generally affecting the Portfolios and their unitholders and is
not intended as a substitute for careful tax planning. Accordingly, potential
investors in the Portfolios should consult their tax advisers with specific
reference to their own Federal, state and local tax situation.
60
<PAGE>
NET ASSET VALUE
The net asset value per unit of each Portfolio for purposes of pricing
purchase and redemption orders is calculated by Northern as of 3:00 p.m.,
Chicago Time, on each Business Day. Net asset value per unit of a particular
class in a Portfolio is calculated by dividing the value of all securities and
other assets belonging to a Portfolio that are allocated to such class, less
the liabilities charged to that class, by the number of the outstanding units
of that class.
U.S. and foreign investments held by a Portfolio are valued at the last quoted
sales price on the exchange on which such securities are primarily traded,
except that securities listed on an exchange in the United Kingdom are valued
at the average of the closing bid and ask prices. If any securities listed on
a U.S. securities exchange are not traded on a valuation date, they will be
valued at the last quoted bid price. If securities listed on a foreign
securities exchange are not traded on a valuation date, they will be valued at
the most recent quoted trade price. Securities which are traded in the U.S.
over-the-counter markets are valued at the last quoted bid price. Securities
which are traded in the foreign over-the-counter markets are valued at the
last sales price, except that such securities traded in the United Kingdom are
valued at the average of the closing bid and ask prices. Any securities,
including restricted securities, for which current quotations are not readily
available are valued at fair value as determined in good faith by Northern
under the supervision of the Board of Trustees. Short-term investments are
valued at amortized cost which Northern has determined, pursuant to Board
authorization, approximates market value. Securities may be valued on the
basis of prices provided by independent pricing services when such prices are
believed to reflect the fair market value of such securities.
PERFORMANCE INFORMATION
The performance of a class of units of a Portfolio may be compared to those of
other mutual funds with similar investment objectives and to bond, stock and
other relevant indices or to rankings prepared by independent services or
other financial or industry publications that monitor the performance of
mutual funds. For example, the performance of a class of units may be compared
to data prepared by Lipper Analytical Services, Inc. or other independent
mutual fund reporting services. In addition, the performance of a class may be
compared to the Lehman Brothers Government/Corporate Bond Index (or its
components, including the Treasury Bond Index), S&P Index, S&P/Barra Growth
Index, the Russell Index, the EAFE Index or other unmanaged stock and bond
indices, including, but not limited to, the Merrill Lynch 1-5 Year Government
Bond Index, the Merrill Lynch 1-5 Year Corporate/Government Bond Index, the 3-
month LIBOR Index, the 91-day Treasury Bill Rate, the Composite Index, the
J.P. Morgan Non-U.S. Government Bond Index, and the Dow Jones Industrial
Average, a recognized unmanaged index of common stocks of 30 industry
companies listed on the New York Stock Exchange. Performance data as reported
in national financial publications such as Money Magazine, Morningstar,
Forbes, Barron's, The Wall Street Journal and The New York Times, or in
publications of a local or regional nature, may also be used in comparing the
performance of a class of units of a Portfolio.
The Portfolios calculate their total returns for each class of units on an
"average annual total return" basis for various periods from the dates the
respective Portfolios commenced investment operations and for other periods as
permitted under the rules of the SEC. Average annual total return reflects the
average annual percentage change in value of an investment in the class over
the measuring period. Total returns for each class of units may also be
calculated on an "aggregate total return" basis for various periods. Aggregate
total return reflects
61
<PAGE>
the total percentage change in value over the measuring period. Both methods
of calculating total return reflect changes in the price of the units and
assume that any dividends and capital gain distributions made by the Portfolio
with respect to a class during the period are reinvested in the units of that
class. When considering average total return figures for periods longer than
one year, it is important to note that the annual total return of a class for
any one year in the period might have been more or less than the average for
the entire period. The Portfolios may also advertise from time to time the
total return of one or more classes of units on a year-by-year or other basis
for various specified periods by means of quotations, charts, graphs or
schedules.
The yield of a class of units in the Fixed Income Portfolios and the Balanced
Portfolio is computed based on the net income of such class during a 30-day
(or one month) period (which period will be identified in connection with the
particular yield quotation). More specifically, a Portfolio's yield for a
class of units is computed by dividing the per unit net income for the class
during a 30-day (or one month) period by the net asset value per unit on the
last day of the period and annualizing the result on a semi-annual basis.
The Small Company Index and International Equity Index Portfolios may
advertise total return data without reflecting the .75% and 1.00% portfolio
transaction fee, respectively, if, in accordance with the rules of the SEC,
they are accompanied by average annual total return data reflecting this fee.
Quotations which do not reflect the fee will, of course, be higher than
quotations which do.
Because of the different servicing fees and transfer agency fees payable with
respect to the Class A, B, C and D units in a Portfolio, the performance of
such units will be effectively reduced by the amount of such fees. For
example, because Class A units bear the lowest servicing and transfer agency
fees, the return of Class A units will be more than the return of other
classes of units of the same Portfolio. See "Unitholder Servicing Plan" and
"Investment Adviser, Transfer Agent and Custodian" under the heading "Trust
Information" in this Prospectus.
The performance of each class of units of the Portfolios is based on
historical earnings, will fluctuate and is not intended to indicate future
performance. The investment return and principal value of an investment in a
class will fluctuate so that a unitholder's units, when redeemed, may be worth
more or less than their original cost. Performance data may not provide a
basis for comparison with bank deposits and other investments which provide a
fixed yield for a stated period of time. Total return data should also be
considered in light of the risks associated with a Portfolio's composition,
quality, maturity, operating expenses and market conditions. Any fees charged
by Institutions directly to their Customer accounts in connection with
investments in a Portfolio will not be included in calculations of performance
data.
ORGANIZATION
The Trust was formed as a Massachusetts business trust on July 15, 1982 under
an Agreement and Declaration of Trust (the "Trust Agreement"). The Trust
Agreement permits the Board of Trustees to issue an unlimited number of units
of beneficial interest of one or more separate series representing interests
in one or more investment portfolios. As of the date of this Prospectus, the
Trust offers seventeen separate series of units of beneficial interest
representing interests in seventeen investment portfolios, thirteen of which
are described in this Prospectus; the other series of units are described in a
separate prospectus. The Trustees of the Trust are responsible for the overall
management and supervision of its affairs. The Declaration of Trust of the
Trust authorizes the Board of Trustees to classify or reclassify any unissued
units into additional series or subseries
62
<PAGE>
within a series. Pursuant to such authority, the Board of Trustees has
classified four subseries (sometimes referred to as "Classes") of units in
each Portfolio: the Class A units, Class B units, Class C units and Class D
units. Each unit of a Portfolio is without par value, represents an equal
proportionate interest in that Portfolio with each other unit of its class in
that Portfolio and is entitled to such dividends and distributions earned on
such Portfolio's assets as are declared in the discretion of the Board of
Trustees.
The Trust's unitholders are entitled to one vote for each full unit held and
proportionate fractional votes for fractional units held. Each series entitled
to vote on a matter will vote thereon in the aggregate and not by series,
except as otherwise required by law or when the matter to be voted on affects
only the interests of unitholders of a particular series. The Additional
Statement gives examples of situations in which the law requires voting by
series. Voting rights are not cumulative and, accordingly, the persons holding
more than 50% of the aggregate voting power of the Trust may elect all of the
Trustees irrespective of the vote of the other unitholders. In addition,
holders of each of the Class A, B, C and D units representing interests in the
same Portfolio have equal voting rights except that only units of a particular
class within the Portfolio will be entitled to vote on matters submitted to a
vote of unitholders (if any) relating to unitholder servicing expenses and
transfer agency fees that are payable by that class.
As of September 15, 1997, Northern possessed sole or shared voting or
investment power for its customer accounts with respect to more than 50% of
the outstanding units of the Trust.
The Trust does not presently intend to hold annual meetings of unitholders
except as required by the 1940 Act or other applicable law. Pursuant to the
Trust Agreement, the Trustees will promptly call a meeting of unitholders to
vote upon the removal of any Trustee when so requested in writing by the
record holders of 10% or more of the outstanding units. To the extent required
by law, the Trust will assist in unitholder communications in connection with
such a meeting.
The Trust Agreement provides that each unitholder, by virtue of becoming such,
will be held to have expressly assented and agreed to the terms of the Trust
Agreement and to have become a party thereto.
MISCELLANEOUS
The address of the Trust is 4900 Sears Tower, Chicago, Illinois 60606 and the
telephone number is (800) 621-2550.
As used in this Prospectus, the term "Business Day" refers to each day when
Northern and the New York Stock Exchange are open, which is Monday through
Friday, except for holidays observed by Northern and/or the Exchange. For 1997
the holidays of Northern and/or the Exchange are: New Year's Day, Martin
Luther King, Jr. Day, Presidents' Day, Good Friday, Memorial Day, Independence
Day, Labor Day, Columbus Day, Veteran's Day, Thanksgiving and Christmas Day.
On those days when Northern or the Exchange closes early as a result of
unusual weather or other circumstances, the right is reserved to advance the
time on that day by which purchase and redemption requests must be received.
In addition, on any Business Day when the Public Securities Association (PSA)
recommends that the securities markets close early, the Portfolios
reserve the right to cease or to advance the deadline for accepting purchase
and redemption orders for same Business Day credit up to one
63
<PAGE>
hour before the PSA recommended closing time. Purchase and redemption requests
received after the advanced closing time will be effected on the next Business
Day.
---------------------
The U.S. Treasury Index Portfolio is not sponsored, endorsed, sold or promoted
by Lehman, nor does Lehman guarantee the accuracy and/or completeness of the
Lehman Index or any data included therein. Lehman makes no warranty, express
or implied, as to the results to be obtained by the Portfolio, owners of the
Portfolio, any person or any entity from the use of the Lehman Index or any
data included therein. Lehman makes no express or implied warranties and
expressly disclaims all such warranties of merchantability or fitness for a
particular purpose or use with respect to the Lehman Index or any data
included therein.
---------------------
The Equity Index Portfolio is not sponsored, endorsed, sold or promoted by
S&P, nor does S&P guarantee the accuracy and/or completeness of the S&P Index
or any data included therein. S&P makes no warranty, express or implied, as to
the results to be obtained by the Portfolio, owners of the Portfolio, any
person or any entity from the use of the S&P Index or any data included
therein. S&P makes no express or implied warranties and expressly disclaims
all such warranties of merchantability or fitness for a particular purpose for
use with respect to the S&P Index or any data included therein.
---------------------
The International Equity Index Portfolio is not sponsored, endorsed, sold or
promoted by MSCI, nor does MSCI guarantee the accuracy and/or completeness of
the EAFE Index or any data included therein. MSCI makes no warranty, express
or implied, as to the results to be obtained by the Portfolio, owners of the
Portfolio, any person or any entity from the use of the EAFE Index or any data
included therein. MSCI makes no express or implied warranties and expressly
disclaims all such warranties of merchantability or fitness for a particular
purpose for use with respect to the EAFE Index or any data included therein.
---------------------
The Small Company Index Portfolio is not sponsored, endorsed, sold or promoted
by Russell, nor does Russell guarantee the accuracy and/or completeness of the
Russell Index or any data included therein. Russell makes no warranty, express
or implied, as to the results to be obtained by the Portfolio, owners of the
Portfolio, any person or any entity from the use of the Russell Index or any
data included therein. Russell makes no express or implied warranties and
expressly disclaims all such warranties of merchantability or fitness for a
particular purpose for use with respect to the Russell Index or any data
included therein.
---------------------
NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS NOT CONTAINED IN THIS PROSPECTUS, OR IN THE TRUST'S STATEMENT
OF ADDITIONAL INFORMATION INCORPORATED HEREIN BY REFERENCE, IN CONNECTION WITH
THE OFFERING MADE BY THIS PROSPECTUS AND, IF GIVEN OR MADE, SUCH INFORMATION
OR REPRESENTATIONS MUST NOT BE RELIED UPON AS HAVING BEEN AUTHORIZED BY THE
TRUST OR ITS DISTRIBUTOR. THIS PROSPECTUS DOES NOT CONSTITUTE AN OFFERING BY
THE TRUST OR BY THE DISTRIBUTOR IN ANY JURISDICTION IN WHICH SUCH OFFERING MAY
NOT LAWFULLY BE MADE.
64
<PAGE>
PART B
STATEMENT OF ADDITIONAL INFORMATION
THE BENCHMARK FUNDS
4900 SEARS TOWER
CHICAGO, ILLINOIS 60606
U.S. GOVERNMENT SECURITIES PORTFOLIO
SHORT-INTERMEDIATE BOND PORTFOLIO
U.S. TREASURY INDEX PORTFOLIO
BOND PORTFOLIO
INTERMEDIATE BOND PORTFOLIO
INTERNATIONAL BOND PORTFOLIO
This Statement of Additional Information (the "Additional Statement") dated
October 1, 1997 is not a prospectus. This Additional Statement should be read
in conjunction with the Prospectus for the U.S. Government Securities, Short-
Intermediate Bond, U.S. Treasury Index, Bond, Intermediate Bond and
International Bond Portfolios (the "Portfolios") of The Benchmark Funds (the
"Prospectus") dated October 1, 1997. Copies of the Prospectus may be obtained
without charge by calling Goldman, Sachs & Co. ("Goldman Sachs") toll-free at
1-800-621-2550 (outside Illinois) or by writing to the address stated above.
Capitalized terms not otherwise defined have the same meaning as in the
Prospectus.
---------------------
INDEX
<TABLE>
<CAPTION>
Page
----
<S> <C>
ADDITIONAL INVESTMENT INFORMATION B-3
Investment Objectives and Policies B-3
Investment Restrictions Applicable to the
U.S. Government Securities, Short-Intermediate
Bond, U.S. Treasury Index, Bond, Intermediate
Bond and International Bond Portfolios B-17
17
ADDITIONAL TRUST INFORMATION B-21
Trustees and Officers B-21
Investment Adviser, Transfer Agent and Custodian B-28
Administrator and Distributor B-35
Unitholder Servicing Plan B-38
Counsel and Auditors B-40
In-Kind Purchases B-40
PERFORMANCE INFORMATION B-41
TAXES B-49
General B-49
Taxation of Certain Financial Instruments B-51
Foreign Investors B-53
</TABLE>
B-1
<PAGE>
<TABLE>
<S> <C>
Conclusion B-54
DESCRIPTION OF UNITS B-54
OTHER INFORMATION B-58
FINANCIAL STATEMENTS B-60
60
APPENDIX A (Description of Bond Ratings) 1-A
APPENDIX B (Futures Contracts) 1-B
</TABLE>
NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS NOT CONTAINED IN THIS ADDITIONAL STATEMENT OR IN THE PROSPECTUS
IN CONNECTION WITH THE OFFERING MADE BY THE PROSPECTUS AND, IF GIVEN OR MADE,
SUCH INFORMATION OR REPRESENTATIONS MUST NOT BE RELIED UPON AS HAVING BEEN
AUTHORIZED BY THE TRUST OR ITS DISTRIBUTOR. THE PROSPECTUS DOES NOT CONSTITUTE
AN OFFERING BY THE TRUST OR BY THE DISTRIBUTOR IN ANY JURISDICTION IN WHICH SUCH
OFFERING MAY NOT LAWFULLY BE MADE.
UNITS OF THE TRUST ARE NOT BANK DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED,
ENDORSED OR OTHERWISE SUPPORTED BY, THE NORTHERN TRUST COMPANY, ITS PARENT
COMPANY OR ITS AFFILIATES, AND ARE NOT FEDERALLY INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE
BOARD OR ANY OTHER GOVERNMENTAL AGENCY. INVESTMENT IN THE PORTFOLIOS INVOLVES
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
B-2
<PAGE>
ADDITIONAL INVESTMENT INFORMATION
INVESTMENT OBJECTIVES AND POLICIES
The following supplements the investment objectives and policies of the U.S.
Government Securities, Short-Intermediate Bond, U.S. Treasury Index, Bond,
Intermediate Bond and International Bond Portfolios of The Benchmark Funds (the
"Trust") as set forth in the Prospectus.
U.S. Government Obligations. Examples of other types of U.S. Government
- ---------------------------
obligations that may be acquired by the Portfolios include U.S. Treasury Bills,
Treasury Notes and Treasury Bonds and the obligations of Federal Home Loan
Banks, Federal Farm Credit Banks, Federal Land Banks, the Federal Housing
Administration, Farmers Home Administration, Export-Import Bank of the United
States, Small Business Administration, General Services Administration, Student
Loan Marketing Association, Central Bank for Cooperatives, Federal Home Loan
Mortgage Corporation, Federal Intermediate Credit Banks, and the Maritime
Administration.
Supranational Bank Obligations. Each Portfolio (other than the U.S. Treasury
- ------------------------------
Index Portfolio) may invest in obligations of supranational banks.
Supranational banks are international banking institutions designed or supported
by national governments to promote economic reconstruction, development or trade
between nations (e.g., the World Bank). Obligations of supranational banks may
be supported by appropriated but unpaid commitments of their member countries
and there is no assurance that these commitments will be undertaken or met in
the future.
Stripped Securities. The Treasury Department has facilitated transfers of
- -------------------
ownership of zero coupon securities by accounting separately for the beneficial
ownership of particular interest coupon and principal payments on Treasury
securities through the Federal Reserve book-entry record-keeping system. The
Federal Reserve program as established by the Treasury Department is known as
"STRIPS" or "Separate Trading of Registered Interest and Principal of
Securities." Each Portfolio may purchase securities registered in the STRIPS
program. Under the STRIPS program, a Portfolio will be able to have its
beneficial ownership of zero coupon securities recorded directly in the book-
entry record-keeping system in lieu of having to hold certificates or other
evidences of ownership of the underlying U.S. Treasury securities.
In addition, each Portfolio (other than the U.S. Treasury Index Portfolio) may
acquire U.S. Government obligations and their unmatured interest coupons that
have been separated ("stripped") by their holder, typically a custodian bank or
investment brokerage firm. Having separated the interest coupons from the
B-3
<PAGE>
underlying principal of the U.S. Government obligations, the holder will resell
the stripped securities in custodial receipt programs with a number of different
names, including "Treasury Income Growth Receipts" ("TIGRs") and "Certificate of
Accrual on Treasury Securities" ("CATS"). The stripped coupons are sold
separately from the underlying principal, which is usually sold at a deep
discount because the buyer receives only the right to receive a future fixed
payment on the security and does not receive any rights to periodic interest
(cash) payments. The underlying U.S. Treasury bonds and notes themselves are
held in book-entry form at the Federal Reserve Bank or, in the case of bearer
securities (i.e., unregistered securities which are ostensibly owned by the
bearer or holder), in trust on behalf of the owners. Counsel to the
underwriters of these certificates or other evidences of ownership of U.S.
Treasury securities have stated that, in their opinion, purchasers of the
stripped securities most likely will be deemed the beneficial holders of the
underlying U.S. Government obligations for Federal tax purposes. The Trust is
not aware of any binding legislative, judicial or administrative authority on
this issue.
To the extent consistent with its investment objectives, each Portfolio may
purchase stripped mortgage-backed securities ("SMBS"). SMBS are usually
structured with two or more classes that receive different proportions of the
interest and principal distributions from a pool of mortgage-backed obligations.
A common type of SMBS will have one class receiving all of the interest, while
the other class receives all of the principal. However, in some instances, one
class will receive some of the interest and most of the principal while the
other class will receive most of the interest and the remainder of the
principal. If the underlying obligations experience greater than anticipated
prepayments of principal, the Portfolio may fail to fully recoup its initial
investment in these securities. The market value of the class consisting
entirely of principal payments generally is extremely volatile in response to
changes in interest rates. The yields on a class of SMBS that receives all or
most of the interest are generally higher than prevailing market yields on other
mortgage-backed obligations because their cash flow patterns are also volatile
and there is a risk that the initial investment will not be fully recouped.
SMBS issued by the U.S. Government (or a U.S. Government agency or
instrumentality) may be considered liquid under guidelines established by the
Trust's Board of Trustees if they can be disposed of promptly in the ordinary
course of business at a value reasonably close to that used in the calculation
of the net asset value per unit.
Asset-Backed Securities. The U.S. Government Securities Portfolio may purchase
- -----------------------
securities that are secured or backed by mortgages and issued by an agency of
the U.S. Government, and the Short-Intermediate Bond, Bond, Intermediate Bond
and International Bond Portfolios may purchase asset-backed
B-4
<PAGE>
securities, which are securities backed by mortgages, installment contracts,
credit card receivables or other assets. Asset-backed securities represent
interests in "pools" of assets in which payments of both interest and principal
on the securities are made monthly, thus in effect "passing through" monthly
payments made by the individual borrowers on the assets that underlie the
securities, net of any fees paid to the issuer or guarantor of the securities.
The average life of asset-backed securities varies with the maturities of the
underlying instruments, and the average life of a mortgage-backed instrument, in
particular, is likely to be substantially less than the original maturity of the
mortgage pools underlying the securities as a result of mortgage prepayments.
For this and other reasons, an asset-backed security's stated maturity may be
shortened, and the security's total return may be difficult to predict
precisely. Asset-backed securities acquired by a Portfolio may include
collateralized mortgage obligations ("CMOs") issued by private companies.
There are a number of important differences among the agencies and
instrumentalities of the U.S. Government that issue mortgage-related securities
and among the securities that they issue. Mortgage-related securities
guaranteed by the Government National Mortgage Association ("GNMA") include GNMA
Mortgage Pass-Through Certificates (also known as "Ginnie Maes") which are
guaranteed as to the timely payment of principal and interest by GNMA and such
guarantee is backed by the full faith and credit of the United States. GNMA is
a wholly-owned U.S. Government corporation within the Department of Housing and
Urban Development. GNMA certificates also are supported by the authority of
GNMA to borrow funds from the U.S. Treasury to make payments under its
guarantee. Mortgage-backed securities issued by the Federal National Mortgage
Association ("FNMA") include FNMA Guaranteed Mortgage Pass-Through Certificates
(also known as "Fannie Maes") which are solely the obligations of the FNMA and
are not backed by or entitled to the full faith and credit of the United States,
but are supported by the right of the issuer to borrow from the U.S. Treasury.
FNMA is a government-sponsored organization owned entirely by private
stockholders. Fannie Maes are guaranteed as to timely payment of the principal
and interest by FNMA. Mortgage-related securities issued by the Federal Home
Loan Mortgage Corporation ("FHLMC") include FHLMC Mortgage Participation
Certificates (also known as "Freddie Macs" or "PCs"). FHLMC is a corporate
instrumentality of the United States, created pursuant to an Act of Congress,
which is owned entirely by Federal Home Loan Banks. Freddie Macs are not
guaranteed by the United States or by any Federal Home Loan Banks and do not
constitute a debt or obligation of the United States or of any Federal Home Loan
Bank. Freddie Macs entitle the holder to timely payment of interest, which is
guaranteed by the FHLMC. FHLMC guarantees either ultimate collection or timely
payment of all principal payments on the underlying mortgage loans. When FHLMC
does not guarantee timely payment of
B-5
<PAGE>
principal, FHLMC may remit the amount due on account of its guarantee of
ultimate payment of principal at any time after default on an underlying
mortgage, but in no event later than one year after it becomes payable.
Non-mortgage asset-backed securities involve certain risks that are not
presented by mortgage-backed securities. Primarily, these securities do not
have the benefit of the same security interest in the underlying collateral.
Credit card receivables are generally unsecured and the debtors are entitled to
the protection of a number of state and federal consumer credit laws, many of
which have given debtors the right to set off certain amounts owed on the credit
cards, thereby reducing the balance due. Most issuers of automobile receivables
permit the servicers to retain possession of the underlying obligations. If the
servicer were to sell these obligations to another party, there is a risk that
the purchaser would acquire an interest superior to that of the holders of the
related automobile receivables. In addition, because of the large number of
vehicles involved in a typical issuance and technical requirements under state
laws, the trustee for the holders of the automobile receivables may not have an
effective security interest in all of the obligations backing such receivables.
Therefore, there is a possibility that recoveries on repossessed collateral may
not, in some cases, be able to support payments on these securities.
Foreign Securities. Unanticipated political or social developments may affect
- ------------------
the value of a Portfolio's investments in emerging market countries and the
availability to the Portfolio of additional investments in those countries. The
small size and inexperience of the securities markets in certain of such
countries and the limited volume of trading in securities in those countries may
make the Portfolio's investments in such countries illiquid and more volatile
than investments in Japan or most Western European countries, and the Portfolio
may be required to establish special custodial or other arrangements before
making certain investments in those countries. There may be little financial or
accounting information available with respect to issuers located in certain of
such countries, and it may be difficult as a result to assess the value or
prospects of an investment in such issuers.
Investors should understand that the expense ratio of the International Bond
Portfolio can be expected to be higher than those of funds investing in domestic
securities. The costs attributable to investing abroad are usually higher for
several reasons, such as the higher cost of investment research, higher cost of
custody of foreign securities, higher commissions paid on comparable
transactions on foreign markets and additional costs arising from delays in
settlements of transactions involving foreign securities.
B-6
<PAGE>
Foreign Currency Transactions. In order to protect against a possible loss on
- -----------------------------
investments resulting from a decline or appreciation in the value of a
particular foreign currency against the U.S. dollar or another foreign currency
or for other reasons, the Short-Intermediate Bond, Bond, Intermediate Bond and
International Bond Portfolios are authorized to enter into forward currency
exchange contracts. These contracts involve an obligation to purchase or sell a
specified currency at a future date at a price set at the time of the contract.
Forward currency contracts do not eliminate fluctuations in the values of
portfolio securities but rather allow a Portfolio to establish a rate of
exchange for a future point in time.
When entering into a contract for the purchase or sale of a security, a
Portfolio may enter into a forward foreign currency exchange contract for the
amount of the purchase or sale price to protect against variations, between the
date the security is purchased or sold and the date on which payment is made or
received, in the value of the foreign currency relative to the U.S. dollar or
other foreign currency.
When Northern anticipates that a particular foreign currency may decline
substantially relative to the U.S. dollar or other leading currencies, in order
to reduce risk, a Portfolio may enter into a forward contract to sell, for a
fixed amount, the amount of foreign currency approximating the value of some or
all of the Portfolio's securities denominated in such foreign currency.
Similarly, when the obligations held by a Portfolio create a short position in a
foreign currency, the Portfolio may enter into a forward contract to buy, for a
fixed amount, an amount of foreign currency approximating the short position.
With respect to any forward foreign currency contract, it will not generally be
possible to match precisely the amount covered by that contract and the value of
the securities involved due to the changes in the values of such securities
resulting from market movements between the date the forward contract is entered
into and the date it matures. In addition, while forward contracts may offer
protection from losses resulting from declines or appreciation in the value of a
particular foreign currency, they also limit potential gains which might result
from changes in the value of such currency. A Portfolio may also incur costs in
connection with forward foreign currency exchange contracts and conversions of
foreign currencies and U.S. dollars.
In addition, with respect to the International Bond Portfolio, Northern may
purchase or sell forward foreign currency exchange contracts to seek to increase
total return.
A separate account consisting of liquid assets equal to the amount of a
Portfolio's assets that could be required to consummate forward contracts will
be established with the
B-7
<PAGE>
Portfolios' custodian except to the extent the contracts are otherwise
"covered." For the purpose of determining the adequacy of the securities in the
account, the deposited securities will be valued at market or fair value. If
the market or fair value of such securities declines, additional liquid
securities will be placed in the account daily so that the value of the account
will equal the amount of such commitments by the Portfolio. A forward contract
to sell a foreign currency is "covered" if a Portfolio owns the currency (or
securities denominated in the currency) underlying the contract, or holds a
forward contract (or call option) permitting the Portfolio to buy the same
currency at a price that is (i) no higher than the Portfolio's price to sell the
currency or (ii) greater than the Portfolio's price to sell the currency
provided the difference is maintained by the Portfolio in liquid assets in a
segregated account with its custodian. A forward contract to buy a foreign
currency is "covered" if a Portfolio holds a forward contract (or call option)
permitting the Portfolio to sell the same currency at a price that is (i) as
high as or higher than the Portfolio's price to buy the currency or (ii) lower
than the Portfolio's price to buy the currency provided the difference in
maintained by the Portfolio in liquid assets in a segregated account with its
custodian.
Interest Rate Swaps, Floors and Caps and Currency Swaps. The Portfolios (other
- -------------------------------------------------------
than the U.S. Treasury Index Portfolio) may enter into interest rate swaps,
floors and caps for hedging purposes and not for speculation. Interest rate
swaps involve the exchange by a Portfolio with another party of their respective
commitments to pay or receive interest, such as an exchange of fixed rate
payments for floating rate payments. A Portfolio will typically use interest
rate swaps to preserve a return on a particular investment or portion of its
portfolio or to shorten the effective duration of its portfolio investments. The
purchase of an interest rate floor or cap entitles the purchaser to receive
payments of interest on a notional principal amount from the seller, to the
extent the specified index falls below (floor) or exceeds (cap) a predetermined
interest rate. The Portfolios will only enter into interest rate swaps or
interest rate floor or cap transactions on a net basis, i.e. the two payment
streams are netted out, with a Portfolio receiving or paying, as the case may
be, only the net amount of the two payments.
The International Bond Portfolio may enter into currency swaps, which involve
the exchange of the rights of the Portfolio and another party to make or receive
payments in specified currencies. Currency swaps usually involve the delivery
of the entire principal value of one designated currency in exchange for the
other designated currency.
B-8
<PAGE>
Inasmuch as interest rate and currency swaps are entered into for good faith
hedging purposes, the Trust and Northern believe that such transactions do not
constitute senior securities as defined in the 1940 Act and, accordingly, will
not treat them as being subject to the Portfolio's borrowing restrictions. The
net amount of the excess, if any, of a Portfolio's obligations over its
entitlements with respect to interest rate or currency swaps will be accrued on
a daily basis and an amount of liquid assets having an aggregate net asset value
at least equal to such accrued excess will be maintained in a segregated account
by the Portfolio's custodian.
The Portfolios will not enter into an interest rate or currency swap or interest
rate floor or cap transaction unless the unsecured commercial paper, senior debt
or the claims-paying ability of the other party thereto is rated either A or A-1
or better by S&P, Duff or Fitch, or A or P-1 or better by Moody's. If there is
a default by the other party to such transaction, the Portfolios will have
contractual remedies pursuant to the agreements related to the transaction. The
swap market has grown substantially in recent years with a large number of banks
and investment banking firms acting both as principals and as agents utilizing
standardized swap documentation. As a result, the swap market has become
relatively liquid in comparison with markets for other similar instruments which
are traded in the interbank market.
Options. Each Portfolio may buy put options and call options and write covered
- -------
call and secured put options. Such options may relate to particular securities,
financial instruments, foreign currencies, foreign or domestic securities
indices or (in the case of the International Bond Portfolio) the yield
differential between two securities ("yield curve options") and may or may not
be listed on a domestic or foreign securities exchange (an "Exchange") or issued
by the Options Clearing Corporation. Options trading is a highly specialized
activity which entails greater than ordinary investment risk. Options on
particular securities may be more volatile than the underlying instruments and,
therefore, on a percentage basis, an investment in options may be subject to
greater fluctuation than an investment in the underlying instruments themselves.
The Portfolios will write call options only if they are "covered." In the case
of a call option on a security or currency, the option is "covered" if a
Portfolio owns the security or currency underlying the call or has an absolute
and immediate right to acquire that security or currency without additional cash
consideration (or, if additional cash consideration is required, liquid assets
in such amount are held in a segregated account by its custodian) upon
conversion or exchange of other securities or instruments held by it. For a
call option on an index, the option is covered if a Portfolio
B-9
<PAGE>
maintains with its custodian, a portfolio of securities substantially
replicating the movement of the index, or liquid assets equal to the contract
value. A call option is also covered if a Portfolio holds a call on the same
security, currency or index as the call written where the exercise price of the
call held is (i) equal to or less than the exercise price of the call written,
or (ii) greater than the exercise price of the call written provided the
difference is maintained by the Portfolio in liquid assets in a segregated
account with its custodian. The Portfolios will write put options only if they
are "secured" by liquid assets maintained in a segregated account by the
Portfolios' custodian in an amount not less than the exercise price of the
option at all times during the option period.
With respect to yield curve options, a call (or put) option is covered if the
International Bond Portfolio holds another call (or put) option on the spread
between the same two securities and maintains in a segregated account with its
custodian liquid assets sufficient to cover the Portfolio's net liability under
the two options. Therefore, the Portfolio's liability for such a covered option
is generally limited to the difference between the amount of the Portfolio's
liability under the option written by the Portfolio less the value of the option
held by the Portfolio. Yield curve options may also be covered in such other
manner as may be in accordance with the requirements of the counterparty with
which the option is traded and applicable laws and regulations. Yield curve
options are traded over-the-counter, and because they have been only recently
introduced, established trading markets for these securities have not yet
developed.
A Portfolio's obligation to sell a security or currency subject to a covered
call option written by it, or to purchase a security or currency subject to a
secured put option written by it, may be terminated prior to the expiration date
of the option by the Portfolio's execution of a closing purchase transaction,
which is effected by purchasing on an exchange an option of the same series
(i.e., same underlying security or currency, exercise price and expiration date)
as the option previously written. Such a purchase does not result in the
ownership of an option. A closing purchase transaction will ordinarily be
effected to realize a profit on an outstanding option, to prevent an underlying
security or currency from being called, to permit the sale of the underlying
security or currency or to permit the writing of a new option containing
different terms on such underlying security. The cost of such a liquidation
purchase plus transaction costs may be greater than the premium received upon
the original option, in which event the Portfolio will have incurred a loss in
the transaction. There is no assurance that a liquid secondary market will
exist for any particular option. An option writer, unable to effect a closing
purchase transaction, will not be able to sell the underlying security or
currency (in
B-10
<PAGE>
the case of a covered call option) or liquidate the segregated account (in the
case of a secured put option) until the option expires or the optioned security
or currency is delivered upon exercise with the result that the writer in such
circumstances will be subject to the risk of market decline or appreciation in
the security or currency during such period.
When a Portfolio purchases an option, the premium paid by it is recorded as an
asset of the Portfolio. When the Portfolio writes an option, an amount equal to
the net premium (the premium less the commission) received by the Portfolio is
included in the liability section of the Portfolio's statement of assets and
liabilities as a deferred credit. The amount of this asset or deferred credit
will be subsequently marked-to-market to reflect the current value of the option
purchased or written. The current value of the traded option is the last sale
price or, in the absence of a sale, the current bid price. If an option
purchased by the Portfolio expires unexercised the Portfolio realizes a loss
equal to the premium paid. If the Portfolio enters into a closing sale
transaction on an option purchased by it, the Portfolio will realize a gain if
the premium received by the Portfolio on the closing transaction is more than
the premium paid to purchase the option, or a loss if it is less. If an option
written by the Portfolio expires on the stipulated expiration date or if the
Portfolio enters into a closing purchase transaction, it will realize a gain (or
loss if the cost of a closing purchase transaction exceeds the net premium
received when the option is sold) and the deferred credit related to such option
will be eliminated. If an option written by the Portfolio is exercised, the
proceeds of the sale will be increased by the net premium originally received
and the Portfolio will realize a gain or loss.
There are several risks associated with transactions in certain options. For
example, there are significant differences between the securities and options
markets that could result in an imperfect correlation between these markets,
causing a given transaction not to achieve its objectives. In addition, a
liquid secondary market for particular options, whether traded over-the-counter
or on an Exchange may be absent for reasons which include the following: there
may be insufficient trading interest in certain options; restrictions may be
imposed by an Exchange on opening transactions or closing transactions or both;
trading halts, suspensions or other restrictions may be imposed with respect to
particular classes or series of options or underlying securities or currencies;
unusual or unforeseen circumstances may interrupt normal operations on an
Exchange; the facilities of an Exchange or the Options Clearing Corporation may
not at all times be adequate to handle current trading value; or one or more
Exchanges could, for economic or other reasons, decide or be compelled at some
future date to discontinue the trading of options (or a particular class or
series of options), in which
B-11
<PAGE>
event the secondary market on that Exchange (or in that class or series of
options) would cease to exist, although outstanding options that had been issued
by the Options Clearing Corporation as a result of trades on that Exchange would
continue to be exercisable in accordance with their terms.
Futures Contracts and Related Options. Each Portfolio may invest in futures
- -------------------------------------
contracts and interest rate futures contracts and may purchase and sell call and
put options on futures contracts for hedging purposes, for speculative purposes
(to seek to increase total return), or for liquidity management purposes. For a
detailed description of futures contracts and related options, see Appendix B to
this Additional Statement.
Securities Lending. Collateral for loans of portfolio securities made by a
- ------------------
Portfolio may consist of cash, securities issued or guaranteed by the U.S.
Government or its agencies or irrevocable bank letters of credit (or any
combination thereof). The borrower of securities will be required to maintain
the market value of the collateral at not less than the market value of the
loaned securities, and such value will be monitored on a daily basis. When a
Portfolio lends its securities, it continues to receive dividends and/or
interest on the securities loaned and may simultaneously earn interest on the
investment of the cash collateral which will be invested in readily marketable,
high quality, short-term obligations. Although voting rights, or rights to
consent, attendant to securities on loan pass to the borrower, such loans will
be called so that the securities may be voted by a Portfolio if a material event
affecting the investment is to occur.
Forward Commitments, When-Issued Securities and Delayed Delivery Transactions.
- -----------------------------------------------------------------------------
When a Portfolio purchases securities on a when-issued, delayed delivery or
forward commitment basis, the Portfolio's custodian (or subcustodian) will
maintain in a segregated account liquid assets having a value (determined daily)
at least equal to the amount of the Portfolio's purchase commitments. In the
case of a forward commitment to sell portfolio securities, the custodian or
subcustodian will hold the portfolio securities themselves in a segregated
account while the commitment is outstanding. These procedures are designed to
ensure that the Portfolio will maintain sufficient assets at all times to cover
its obligations under when-issued purchases, forward commitments and delayed
delivery transactions.
As described in the Prospectus, the U.S. Government Securities, Short-
Intermediate Bond and Bond Portfolios may dispose of or negotiate a when-issued
or forward commitment after entering into it in connection with pair-off
transactions. A Portfolio will normally realize a capital gain or loss in
connection with these transactions. For purposes of determining a Portfolio's
average dollar-weighted maturity, the maturity of when-issued or forward
B-12
<PAGE>
commitment securities will be calculated from the commitment date.
Commercial Paper, Bankers' Acceptances, Certificates of Deposit, Time Deposits
- ------------------------------------------------------------------------------
and Bank Notes. Commercial paper represents short-term unsecured promissory
- --------------
notes issued in bearer form by banks or bank holding companies, corporations and
finance companies. Certificates of deposit are negotiable certificates issued
against funds deposited in a commercial bank for a definite period of time and
earning a specified return. Bankers' acceptances are negotiable drafts or bills
of exchange, normally drawn by an importer or exporter to pay for specific
merchandise, which are "accepted" by a bank, meaning, in effect, that the bank
unconditionally agrees to pay the face value of the instrument on maturity.
Fixed time deposits are bank obligations payable at a stated maturity date and
bearing interest at a fixed rate. Fixed time deposits may be withdrawn on
demand by the investor, but may be subject to early withdrawal penalties that
vary depending upon market conditions and the remaining maturity of the
obligation. There are no contractual restrictions on the right to transfer a
beneficial interest in a fixed time deposit to a third party. Bank notes rank
junior to deposit liabilities of banks and pari passu with other senior,
----------
unsecured obligations of the bank. Some states have "depositor preference" laws
that give depositors of their state chartered banks priority over holders of
bank notes and other general creditors. In addition, the U.S. Congress has
adopted legislation which creates a Federal "depositor preference" law providing
the claims of certain creditors of an insured depository institution (including
its depositors) with priority over the claims of that institution's unsecured
creditors (including holders of its notes), in the event of that institution's
insolvency or other resolution. Bank notes are classified as "other borrowings"
on a bank's balance sheet, while deposit notes and certificates of deposit are
classified as deposits. Bank notes are not insured by the Federal Deposit
Insurance Corporation or any other insurer. Deposit notes are insured by the
Federal Deposit Insurance Corporation to the extent of $100,000 per depositor.
A Portfolio may invest a portion of its assets in the obligations of foreign
banks and foreign branches of domestic banks. Such obligations include
Eurodollar Certificates of Deposit ("ECDs") which are U.S. dollar-denominated
certificates of deposit issued by offices of foreign and domestic banks located
outside the United States; Eurodollar Time Deposits ("ETDs") which are U.S.
dollar-denominated deposits in a foreign branch of a U.S. bank or a foreign
bank; Canadian Time Deposits ("CTDs") which are essentially the same as ETDs
except they are issued by Canadian offices of major Canadian banks; Schedule Bs,
which are obligations issued by Canadian branches of foreign or domestic banks;
Yankee Certificates of Deposit ("Yankee CDs") which are U.S. dollar-denominated
certificates of deposit issued by a U.S.
B-13
<PAGE>
branch of a foreign bank and held in the United States; and Yankee Bankers'
Acceptances ("Yankee BAs") which are U.S. dollar-denominated bankers'
acceptances issued by a U.S. branch of a foreign bank and held in the United
States.
Variable and Floating Rate Instruments. With respect to the variable and
- --------------------------------------
floating rate instruments that may be acquired by the Portfolios, Northern will
consider the earning power, cash flows and other liquidity ratios of the issuers
and guarantors of such instruments and, if the instruments are subject to demand
features, will continuously monitor their financial status and ability to meet
payment on demand. Where necessary to ensure that a variable or floating rate
instrument meets the Portfolios' quality requirements, the issuer's obligation
to pay the principal of the instrument will be backed by an unconditional bank
letter or line of credit, guarantee or commitment to lend.
Investment Companies. To the extent required by the 1940 Act and the
- --------------------
regulations and orders of the SEC thereunder, each Portfolio currently intends
to limit its investments in securities issued by other investment companies so
that, as determined immediately after a purchase of such securities is made, not
more than 3% of the total outstanding stock of any one investment company will
be owned by a Portfolio, the Trust as a whole and their affiliated persons (as
defined in the 1940 Act). An investment company whose securities are purchased
by a Portfolio or the Trust is not obligated to redeem such securities in an
amount exceeding 1% of the investment company's total outstanding securities
during any period of less than 30 days. Therefore, such securities that exceed
this amount may be illiquid. Notwithstanding the foregoing, a Portfolio may
adhere to more restrictive limitations with respect to its investments in
securities issued by other investment companies if required by the SEC or deemed
to be in the best interests of the Trust and will comply with any fundamental
investment restriction that may otherwise be applicable to such investments. To
the extent required by the 1940 Act, each Portfolio expects to vote the shares
of other investment companies that are held by it in the same proportion as the
vote of all other holders of such securities.
Repurchase Agreements. Each Portfolio may enter into repurchase agreements with
- ---------------------
financial institutions, such as banks and broker-dealers, as are deemed
creditworthy by Northern under guidelines approved by the Trust's Board of
Trustees. The repurchase price under the repurchase agreements will generally
equal the price paid by a Portfolio plus interest negotiated on the basis of
current short-term rates (which may be more or less than the rate on the
securities underlying the repurchase agreement). Securities subject to
repurchase agreements will be held by the Trust's custodian (or subcustodian),
in the Federal
B-14
<PAGE>
Reserve/Treasury book-entry system or by another authorized securities
depository. Repurchase agreements are considered to be loans by a Portfolio
under the 1940 Act.
Reverse Repurchase Agreements. Each Portfolio may borrow funds for temporary or
- -----------------------------
emergency purposes by selling portfolio securities to financial institutions
such as banks and broker/dealers and agreeing to repurchase them at a mutually
specified date and price ("reverse repurchase agreements"). Reverse repurchase
agreements involve the risk that the market value of the securities sold by a
Portfolio may decline below the repurchase price. The Portfolios will pay
interest on amounts obtained pursuant to a reverse repurchase agreement. While
reverse repurchase agreements are outstanding, a Portfolio will maintain in a
segregated account liquid assets in an amount at least equal to the market value
of the securities, plus accrued interest, subject to the agreement. Reverse
repurchase agreements are considered to be borrowings by a Portfolio under the
1940 Act.
Risks Related to Lower-Rated Securities. While any investment carries some
- ---------------------------------------
risk, certain risks associated with lower-rated securities are different than
those for investment-grade securities. The risk of loss through default is
greater because lower-rated securities are usually unsecured and are often
subordinate to an issuer's other obligations. Additionally, the issuers of
these securities frequently have high debt levels and are thus more sensitive to
difficult economic conditions, individual corporate developments and rising
interest rates. Consequently, the market price of these securities may be quite
volatile and may result in wider fluctuations of a Portfolio's net asset value
per unit.
There remains some uncertainty about the performance level of the market for
lower-rated securities under adverse market and economic environments. An
economic downturn or increase in interest rates could have a negative impact on
both the markets for lower-rated securities (resulting in a greater number of
bond defaults) and the value of lower-rated securities held in a portfolio of
investments.
The economy and interest rates can affect lower-rated securities differently
than other securities. For example, the prices of lower-rated securities are
more sensitive to adverse economic changes or individual corporate developments
than are the prices of higher-rated investments. In addition, during an
economic downturn or period in which interest rates are rising significantly,
highly leveraged issuers may experience financial difficulties, which, in turn,
would adversely affect their ability to service their principal and interest
payment obligations, meet projected business goals and obtain additional
financing.
B-15
<PAGE>
If an issuer of a security defaults, a Portfolio may incur additional expenses
to seek recovery. In addition, periods of economic uncertainty would likely
result in increased volatility for the market prices of lower-rated securities
as well as a Portfolio's net asset value. In general, both the prices and
yields of lower-rated securities will fluctuate.
In certain circumstances it may be difficult to determine a security's fair
value due to a lack of reliable objective information. Such instances occur
where there is not an established secondary market for the security or the
security is lightly traded. As a result, a Portfolio's valuation of a security
and the price it is actually able to obtain when it sells the security could
differ.
Adverse publicity and investor perceptions, whether or not based on fundamental
analysis, may decrease the value and liquidity of lower-rated securities held by
a Portfolio, especially in a thinly traded market. Illiquid or restricted
securities held by the Portfolio may involve special registration
responsibilities, liabilities and costs, and could involve other liquidity and
valuation difficulties.
The rating assigned by a rating agency evaluates the safety of a lower-rated
security's principal and interest payments, but does not address market value
risk. Because the ratings of the rating agencies may not always reflect current
conditions and events, in addition to using recognized rating agencies and other
sources, Northern performs its own analysis of the issuers whose lower-rated
securities the Portfolios hold. Because of this, the Portfolios' performance
may depend more on Northern's own credit analysis than in the case of mutual
funds investing in higher-rated securities.
In selecting lower-rated securities, Northern considers factors such as those
relating to the creditworthiness of issuers, the ratings and performance of the
securities, the protections afforded the securities and the diversity of a
Portfolio's investment portfolio. Northern monitors the issuers of lower-rated
securities held by a Portfolio for their ability to make required principal and
interest payments, as well as in an effort to control the liquidity of the
Portfolio so that it can meet redemption requests.
Yields and Ratings. The yields on certain obligations, including the
- ------------------
instruments in which the Portfolios may invest, are dependent on a variety of
factors, including general market conditions, conditions in the particular
market for the obligation, financial condition of the issuer, size of the
offering, maturity of the obligation and ratings of the issue. The ratings of
S&P, Moody's, Duff, Fitch and TBW represent their respective opinions as to the
quality of the obligations they undertake to rate.
B-16
<PAGE>
Ratings, however, are general and are not absolute standards of quality.
Consequently, obligations with the same rating, maturity and interest rate may
have different market prices.
Subject to the limitations stated in the Prospectus, if a Portfolio security
undergoes a rating revision, a Portfolio may continue to hold the security if
Northern determines that retention is warranted.
Calculation of Portfolio Turnover Rate. The portfolio turnover rate for the
- --------------------------------------
Portfolios is calculated by dividing the lesser of purchases or sales of
portfolio investments for the reporting period by the monthly average value of
the portfolio investments owned during the reporting period. The calculation
excludes all securities, including options, whose maturities or expiration dates
at the time of acquisition are one year or less. Portfolio turnover may vary
greatly from year to year as well as within a particular year, and may be
affected by cash requirements for redemption of units and by requirements which
enable the Portfolios to receive favorable tax treatment.
INVESTMENT RESTRICTIONS APPLICABLE TO THE U.S. GOVERNMENT SECURITIES, SHORT-
INTERMEDIATE BOND, U.S. TREASURY INDEX, BOND, INTERMEDIATE BOND AND
INTERNATIONAL BOND PORTFOLIOS
The U.S. Government Securities, Short-Intermediate Bond, U.S. Treasury Index,
Bond, Intermediate Bond and International Bond Portfolios are subject to the
fundamental investment restrictions enumerated below which may be changed with
respect to these particular Portfolios only by a vote of the holders of a
majority of a Portfolio's outstanding units.
No Portfolio may:
(1) Make loans, except (a) through the purchase of debt obligations in
accordance with the Portfolio's investment objective and policies, (b) through
repurchase agreements with banks, brokers, dealers and other financial
institutions, and (c) loans of securities.
(2) Mortgage, pledge or hypothecate any assets (other than pursuant to
reverse repurchase agreements) except to secure permitted borrowings.
(3) Purchase or sell real estate, but this restriction shall not prevent
a Portfolio from investing directly or indirectly in portfolio instruments
secured by real estate or interests therein or acquiring securities of real
estate investment trusts or other issuers that deal in real estate.
(4) Purchase or sell commodities or commodity contracts or oil or gas or
other mineral exploration or development programs,
B-17
<PAGE>
except that each Portfolio may, to the extent appropriate to its investment
policies, purchase securities of companies engaging in whole or in part in such
activities, enter into futures contracts and related options, and enter into
forward currency contracts in accordance with its investment objective and
policies.
(5) Invest in companies for the purpose of exercising control.
(6) Act as underwriter of securities, except as a Portfolio may be deemed
to be an underwriter under the Securities Act of 1933 in connection with the
purchase and sale of portfolio instruments in accordance with its investment
objective and portfolio management policies.
(7) Write puts, calls or combinations thereof, except for transactions in
options on securities, financial instruments, currencies and indices of
securities (and in the case of the International Bond Portfolio, yield curve
options); futures contracts; options on futures contracts; forward currency
contracts; short sales of securities against the box; interest rate swaps (and
in the case of the International Bond Portfolio, currency swaps); and pair-off
transactions (except in the case of the International Bond Portfolio).
(8) Purchase the securities of any issuer if such purchase would cause
more than 10% of the voting securities of such issuer to be held by the
Portfolio, except that up to 25% of the value of its total assets may be
invested without regard to this 10% limitation; provided that this restriction
does not apply to the International Bond Portfolio or Intermediate Bond
Portfolio.
(9) Purchase securities (other than obligations issued or guaranteed by
the U.S. Government, its agencies or instrumentalities) if such purchase would
cause more than 25% in the aggregate of the market value of the total assets of
a Portfolio to be invested in the securities of one or more issuers having their
principal business activities in the same industry. For the purposes of this
restriction, as to utility companies, the gas, electric, water and telephone
businesses are considered separate industries; personal credit finance companies
and business credit finance companies are deemed to be separate industries; and
wholly-owned finance companies are considered to be in the industries of their
parents if their activities are primarily related to financing the activities of
their parents.
(10) Borrow money (other than pursuant to reverse repurchase agreements),
except (a) as a temporary measure, and then only in amounts not exceeding 5% of
the value of the Portfolio's total assets or (b) from banks, provided that
immediately after any such borrowing all borrowings of the Portfolio do not
exceed one-third of the Portfolio's total
B-18
<PAGE>
assets. No purchases of securities will be made if borrowings subject to this
restriction exceed 5% of the value of the Portfolio's assets. The exceptions in
(a) and (b) to this restriction are not for investment leverage purposes but are
solely for extraordinary or emergency purposes or to facilitate management of
the Portfolios by enabling the Trust to meet redemption requests when the
liquidation of Portfolio instruments is deemed to be disadvantageous or not
possible. If due to market fluctuations or other reasons the total assets of a
Portfolio fall below 300% of its borrowings, the Trust will promptly reduce the
borrowings of such Portfolio in accordance with the 1940 Act.
IN ADDITION, THE U.S. GOVERNMENT SECURITIES, SHORT-INTERMEDIATE BOND, U.S.
TREASURY INDEX AND BOND PORTFOLIOS MAY NOT:
(11) Purchase the securities of any one issuer, other than obligations
issued or guaranteed by the U.S. Government, its agencies or instrumentalities,
if immediately after such purchase more than 5% of the value of such Portfolio's
total assets would be invested in such issuer, except that: (a) up to 25% of the
value of the total assets of each Portfolio may be invested in any securities
without regard to this 5% limitation; and (b) with respect to each Portfolio,
such 5% limitation shall not apply to repurchase agreements collateralized by
obligations of the U.S. Government, its agencies or instrumentalities.
In applying Restriction No. 11 above, a security is considered to be issued by
the entity, or entities, whose assets and revenues back the security. A
guarantee of a security is not deemed to be a security issued by the guarantor
when the value of all securities issued and guaranteed by the guarantor, and
owned by the Portfolio, does not exceed 10% of the value of the Portfolio's
total assets.
IN ADDITION, WITH RESPECT TO THE INTERMEDIATE BOND PORTFOLIO:
(12) The Portfolio may not make any investment inconsistent with the
Portfolio's classification as a diversified investment company under the 1940
Act.
(13) Notwithstanding any of the Trust's other fundamental investment
restrictions (including, without limitation, those restrictions relating to
issuer diversification, industry concentration and control), the Intermediate
Bond Portfolio may (a) purchase securities of other investment companies to the
full extent permitted under Section 12 of the 1940 Act (or any successor
provision thereto) or under any regulation or order of the Securities and
Exchange Commission; and (b)invest all or substantially all of its assets in a
single open-end investment company or series thereof with substantially the same
investment
B-19
<PAGE>
objective, policies and fundamental restrictions as the Portfolio.
Except to the extent otherwise provided in Investment Restriction (9) for the
purpose of such restriction, in determining industry classification the Trust
intends to use the industry classification titles in the Standard Industrial
Classification Manual (except that the International Bond Portfolio will use the
Morgan Stanley Capital International industry classification titles).
Securities held in escrow or separate accounts in connection with a Portfolio's
investment practices described in this Additional Statement and in the
Prospectus are not deemed to be mortgaged, pledged or hypothecated for purposes
of the foregoing Investment Restrictions.
In addition, as a matter of fundamental policy, the International Bond Portfolio
will not issue senior securities except as stated in the Prospectus or this
Additional Statement.
As a non-fundamental investment restriction, the International Bond Portfolio
may not, at the end of any tax quarter, hold more than 10% of the outstanding
voting securities of any one issuer, except that up to 50% of the total value of
the assets of the Portfolio may be invested in any securities without regard to
this 10% limitation so long as no more than 25% of the total value of its assets
is invested in the securities of any one issuer (except the U.S. Government).
As a non-fundamental investment restriction that can be changed without
unitholder approval, the International Bond Portfolio may not, at the end of any
tax quarter, invest more than 5% of the total value of its assets in the
securities of any one issuer (except U.S. Government securities), except that up
to 50% of the total value of the Portfolio's assets may be invested in any
securities without regard to this 5% limitation so long as no more than 25% of
the total value of its assets is invested in the securities of any one issuer
(except U.S. Government securities).
Any restriction which involves a maximum percentage will not be considered
violated unless an excess over the percentage occurs immediately after, and is
caused by, an acquisition or encumbrance of securities or assets of, or
borrowings by, a Portfolio.
B-20
<PAGE>
ADDITIONAL TRUST INFORMATION
TRUSTEES AND OFFICERS
Information pertaining to the Trustees and officers of the Trust is set forth
below.
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- ------------------------
William H. Springer, 68 Chairman Vice Chairman of Ameritech (a
701 Morningside Drive and telecommunications holding company),
Lake Forest, IL 60045 Trustee February 1987 to retirement in August
1992; Vice Chairman, Chief Financial and
Administrative Officer of Ameritech prior
to 1987; Director, Walgreen Co. (a retail
drug store business); and Director of
Baker, Fentress & Co. (a closed-end, non-
diversified management investment
company) from April 1992 to present;
Trustee, Goldman Sachs Trust from 1989 to
present.
Richard Gordon Cline, 62 Trustee Chairman, Hawthorne Investors, Inc. (a
4200 Commerce Court management advisory services and private
Suite 300 investment company) since January 1996;
Chairman and CEO of NICOR Inc. (a
diversified public utility holding
company) from 1986 to 1995, and
President, 1992-1993; Director: Whitman
Corporation (a diversified holding
company); Kmart Corporation (a retailing
company); Ryerson Tull, Inc. (a metals
distribution company); and University of
Illinois Foundation.
Edward J. Condon, Jr., 57 Trustee Chairman of The Paradigm Group, Ltd. (a
227 West Monroe Street financial advisor) since July 1993; Vice
Chicago, IL 60606 President and Treasurer of Sears, Roebuck
and Co. (a retail corporation) from
February 1989 to July 1993; within the
last five years he
B-21
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
has served as a Director of: Sears
Roebuck Acceptance Corp.; Discover Credit
Corp.; Sears Receivables Financing Group,
Inc.; Sears Credit Corp.; and Sears
Overseas Finance N.V.; Member of the
Board of Managers of The Liberty
Hampshire Company, LLC; Vice Chairman and
Director of Energenics LLC; Director of
University Eldercare, Inc.; Director of
the Girl Scouts of Chicago; and Trustee
of Dominican University.
John W. English, 64 Trustee Private Investor; Vice President and
50-H New England Avenue Chief Investment Officer of The Ford
P.O. Box 640 Foundation (a charitable trust) from
Summit, NJ 07902-0640. 1981 until 1993; Trustee: The China Fund,
Inc.; Retail Property Trust; Sierra
Trust; American Red Cross in Greater New
York; Mote Marine Laboratory; and United
Board for Christian Higher Education in
Asia. Director: University of Iowa
Foundation; Blanton-Peale Institutes of
Religion and Health; Community Foundation
of Sarasota County; Duke Management
Company; and John Ringling Centre
Foundation.
James J. Gavin, Jr., 75 Trustee Vice Chairman from January 1985 to
161 Thorntree Lane August 1987 and Senior Vice President-
Winnetka, Illinois 60093 Finance and Chief Financial Officer from
1975 to January 1985 of Borg-Warner
Corporation (a diversified manufacturing
company also engaged in providing
financial and protective services);
Director of Service Corporation
International (a funeral service/cemetery
company) since September 1986 and
Huntco., Inc. (a major inter-
B-22
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
mediate steel processor) since June 1993.
Sandra Polk Guthman, 53 Trustee President and CEO of Polk Bros.
420 N. Wabash Avenue Foundation (an Illinois not-for-profit
Suite 204 corporation) from 1993 to present;
Chicago, IL 60611 Director of Business Transformation from
1992-1993, and Midwestern Director of
Marketing from 1988-1992, IBM
Corporation; Director: MBIA Insurance
Corporation of Illinois (bank holding
company) since 1994 and Avondale
Financial Corporation (a stock savings
and loan holding company) since 1995.
Frederick T. Kelsey, 70 Trustee Consultant to Goldman Sachs from
738 York Court December 1985 through February 1988;
Northbrook, IL 60062 Director of Goldman Sachs Funds Group and
Vice President of Goldman Sachs from May
1981 until his retirement in November
1985; President and Treasurer of the
Trust and other investment companies
affiliated with Goldman Sachs through
August 1985; President from 1983 to 1985,
and Trustee from 1983 to 1984, Trustee,
various management investment companies
affiliated with Zurich Kemper
Investments.
Richard P. Strubel, 57 Trustee Managing Director, Tandem Partners, Inc.
70 West Madison St (a privately held management services
Suite 1400 firm) since 1990; President and Chief
Chicago, IL 60602 Executive Officer, Microdot, Inc. (a
privately held manufacturing firm) from
1984 to 1994; Trustee, Goldman Sachs
Trust from 1987 to present; Director of
Kaynar Tech-
B-23
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
nologies, Inc. (a leading manufacturer of
aircraft fasteners); Trustee of the
University of Chicago; Director of
Children's Memorial Medical Center.
Nancy L. Mucker, 47 Vice Vice President, Goldman Sachs President
4900 Sears Tower (since April 1985); Manager, Shareholder
Chicago, IL 60606 Servicing of GSAM (since November 1989).
John W. Mosior, 58 Vice Vice President, Goldman Sachs; Manager,
4900 Sears Tower President Shareholder Servicing of GSAM (since
Chicago, IL 60606 November 1989).
Scott M. Gilman, 37 Treasurer Director, Mutual Funds Administration
One New York Plaza of GSAM (since April 1994);
New York, NY 10004 Assistant Treasurer of Goldman Sachs
Funds Management, Inc. (since March
1993); Vice President, Goldman Sachs
(since March 1990).
John Perlowski, 32 Assistant Vice President, Goldman Sachs (since
One New York Plaza Treasurer July 1995); Director, Investors Bank and
New York, NY 10004 Trust Company (November 1993 to July
1995); Audit Manager of Arthur Anderson,
LLP (prior thereto).
Michael J. Richman, 36 Secretary Associate General Counsel of GSAM (since
85 Broad Street February 1994); Vice President and
New York, NY 10004 Assistant General Counsel of Goldman
Sachs (since June 1992); Counsel to the
Funds Group, GSAM (since June 1992);
Partner of Hale and Dorr from September
1991 to June 1992.
Howard B. Surloff, 32 Assistant Vice President and Assistant General
85 Broad Street Secretary Counsel of Goldman Sachs (since
New York, NY 10004 November 1993 and May 1994,
respectively); Counsel to the Funds
Group, GSAM (since November 1993);
Associate of Shereff Friedman,
B-24
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
Hoffman & Goodman, LLP prior thereto.
Valerie A. Zondorak, 31 Assistant Vice President, Goldman Sachs (since
85 Broad Street Secretary March 1997); Counsel to the Funds
New York, NY 10004 Group, GSAM (since March 1997); Associate
of Shereff Friedman, Hoffman & Goodman,
LLP (prior thereto).
Steven E. Hartstein, 33 Assistant Legal Products Analyst, Goldman Sachs
85 Broad Street Secretary (since June 1993); Funds Compliance
New York, NY 10004 Officer, Citibank Global Asset Management
(August 1991 to June 1993).
Deborah A. Farrell, 26 Assistant Legal Assistant, Goldman Sachs (since
85 Broad Street Secretary January 1994); Formerly at Cleary,
New York, NY 10004 Gottlieb, Steen & Hamilton.
Certain of the Trustees and officers and the organizations with which they are
associated have had in the past, and may have in the future, transactions with
Northern, Goldman Sachs and their respective affiliates. The Trust has been
advised by such Trustees and officers that all such transactions have been and
are expected to be in the ordinary course of business and the terms of such
transactions, including all loans and loan commitments by such persons, have
been and are expected to be substantially the same as the prevailing terms for
comparable transactions for other customers. Messrs. Springer, Kelsey,
Strubel, Mosior, Gilman, Richman, Surloff and Hartstein and Mmes. Farrell,
Mucker, and Zondorak hold similar positions with one or more investment
companies that are advised by Goldman Sachs. As a result of the
responsibilities assumed by Northern under its Advisory Agreement, Transfer
Agency Agreement, Custodian Agreement and Foreign Custody Agreement with the
Trust and by Goldman Sachs under its Administration Agreement and Distribution
Agreement with the Trust, the Trust itself requires no employees.
Each officer holds comparable positions with certain other investment companies
of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser,
administrator and/or distributor.
Each Trustee earns a quarterly retainer of $6,250 and the Chairman of the Board
earns a quarterly retainer of $9,375. Each
B-25
<PAGE>
Trustee, including the Chairman of the Board, earns an additional fee of $1,500
for each meeting attended, plus reimbursement of expenses incurred as a Trustee.
In addition, the Trustees established an Audit Committee consisting of three
members including a Chairman of the Committee. Each member earns a fee of
$1,500 for each meeting attended and the Chairman earns a quarterly retainer of
$1,250.
Each Trustee will hold office for an indefinite term until the earliest of (1)
the next meeting of Unitholders if any, called for the purpose of considering
the election or re-election of such Trustee and until the election and
qualification of his or her successor, if any, elected at such meeting; (2) the
date a Trustee resigns or retires, or a Trustee is removed by the Board of
Trustees or Unitholders, in accordance with the Trust's Agreement and
Declaration of Trust; or (3) in accordance with the current resolutions of the
Board of Trustees (which may be changed without Unitholder vote), on the last
day of the fiscal year of the Trust in which he or she attains the age of 72
years (or, in the case of Mr. Gavin, until November 30, 1997).
The Trust's officers do not receive fees from the Trust for services in such
capacities, although Goldman Sachs, of which they are also officers, receives
fees from the Trust for administrative services.
B-26
<PAGE>
The following table sets forth certain information with respect to the
compensation of each Trustee of the Trust for the one-year period ended November
30, 1996:+
<TABLE>
<CAPTION>
Pension or
Retirement
Benefits Total Compensation
Aggregate Accrued as from Registrant and
Compensation Part of Fund Complex Paid to
Name of Trustee from Registrant Trust's Expenses Trustees
- --------------- --------------- ---------------- --------------------
<S> <C> <C> <C>
William H. Springer $45,000 $0 $45,000
Edward J. Condon, Jr. $32,500 $0 $32,500
John W. English $31,000 $0 $31,000
James J. Gavin $35,000 $0 $35,500
William B. Jordan* $ 2,083 $0 $2,083
Frederick T. Kelsey $35,500 $5,325** $40,825
Richard P. Strubel $40,500 $0 $40,500
</TABLE>
* Retired as of December 31, 1995.
** Interest from deferred compensation.
+ Mr. Cline and Ms. Guthman are not included in the foregoing table as they
were not elected as Trustees of the Trust until September 1997.
B-27
<PAGE>
INVESTMENT ADVISER, TRANSFER AGENT AND CUSTODIAN
Northern is one of the nation's leading providers of trust and investment
management services. As of June 30, 1997, Northern had approximately $149
billion in assets under management for clients including public and private
retirement funds, endowments, foundations, trusts, corporations, other
investment companies and individuals. Northern is one of the strongest banking
organizations in the United States. Northern believes it has built its
organization by serving clients with integrity, a commitment to quality, and
personal attention. Its stated mission with respect to all its financial
products and services is to achieve unrivaled client satisfaction. With respect
to such clients, the Trust is designed to assist (i) defined contribution plan
sponsors and their employees by offering a range of diverse investment options
to help comply with 404(c) regulation and may also provide educational material
to their employees, (ii) employers who provide post-retirement Employees'
Beneficiary Associations ("VEBA") and require investments that respond to the
impact of federal regulations, (iii) insurance companies with the day-to-day
management of uninvested cash balances as well as with longer-term investment
needs, and (iv) charitable and not-for-profit organizations, such as endowments
and foundations, demanding investment management solutions that balance the
requirement for sufficient current income to meet operating expenses and the
need for capital appreciation to meet future investment objectives.
Subject to the general supervision of the Board of Trustees, Northern makes
decisions with respect to and places orders for all purchases and sales of
portfolio securities for each Portfolio. Northern's Advisory Agreement with the
Trust provides that in selecting brokers or dealers to place orders for
transactions Northern shall attempt to obtain best net price and execution. In
assessing the best overall terms available for any transaction, Northern is to
consider all factors it deems relevant, including the breadth of the market in
the security, the price of the security, the financial condition and execution
capability of the broker or dealer, and the reasonableness of the commission, if
any, both for the specific transaction and on a continuing basis. In evaluating
the best overall terms available and in selecting the broker or dealer to
execute a particular transaction, Northern may consider the brokerage and
research services provided to the Portfolios and/or other accounts over which
Northern or an affiliate of Northern exercises investment discretion. These
brokerage and research services may include industry and company analyses,
portfolio services, quantitative data, market information systems and economic
and political consulting and analytical services. Transactions on U.S. stock
exchanges involve the payment of negotiated brokerage commissions. On exchanges
on which commissions are negotiated, the cost of transactions may vary among
different brokers.
B-28
<PAGE>
Transactions on foreign securities exchanges involve payment for brokerage
commissions which are generally fixed. Over-the-counter issues, including
corporate debt and government securities, are normally traded on a "net" basis
(i.e., without commission) through dealers, or otherwise involve transactions
directly with the issuer of an instrument. With respect to over-the-counter
transactions, Northern will normally deal directly with dealers who make a
market in the instruments involved except in those circumstances where more
favorable prices and execution are available elsewhere. The cost of foreign and
domestic securities purchased from underwriters includes an underwriting
commission or concession, and the prices at which securities are purchased from
and sold to dealers include a dealer's mark-up or mark-down.
The Portfolios may participate, if and when practicable, in bidding for the
purchase of portfolio securities directly from an issuer in order to take
advantage of the lower purchase price available to members of a bidding group.
The Portfolios will engage in this practice, however, only when Northern
believes such practice to be in the Portfolios' interests.
Northern's investment advisory duties for the Trust are carried out through its
Trust Department. On occasions when Northern deems the purchase or sale of a
security to be in the best interests of a Portfolio as well as other fiduciary
or agency accounts managed by it (including any other Portfolio, investment
company or account for which Northern acts as adviser), the Agreement provides
that Northern, to the extent permitted by applicable laws and regulations, may
aggregate the securities to be sold or purchased for such Portfolio with those
to be sold or purchased for such other accounts in order to obtain the best net
price and execution. In such event, allocation of the securities so purchased or
sold, as well as the expenses incurred in the transaction, will be made by
Northern in the manner it considers to be most equitable and consistent with its
fiduciary obligations to the Portfolio and other accounts involved. In some
instances, this procedure may adversely affect the size of the position
obtainable for a Portfolio or the amount of the securities that are able to be
sold for a Portfolio. To the extent that the execution and price available from
more than one broker or dealer are believed to be comparable, the Agreement
permits Northern, at its discretion but subject to applicable law, to select the
executing broker or dealer on the basis of Northern's opinion of the reliability
and quality of such broker or dealer.
The Advisory Agreement provides that Northern may render similar services to
others so long as its services under such Agreement are not impaired thereby.
The Advisory Agreement also provides that the Trust will indemnify Northern
against certain liabilities (including liabilities under the Federal securities
B-29
<PAGE>
laws relating to untrue statements or omissions of material fact and actions
that are in accordance with the terms of the Agreement) or, in lieu thereof,
contribute to resulting losses.
Under its Transfer Agency Agreement with the Trust, with respect to units held
by Institutions, Northern has undertaken to perform some or all of the following
services: (1) establish and maintain an omnibus account in the name of each
Institution; (2) process purchase orders and redemption requests from an
Institution, furnish confirmations and disburse redemption proceeds; (3) act as
the income disbursing agent of the Trust; (4) answer inquiries from
Institutions; (5) provide periodic statements of account to each Institution;
(6) process and record the issuance and redemption of units in accordance with
instructions from the Trust or its administrator; (7) if required by law,
prepare and forward to Institutions unitholder communications (such as proxy
statements and proxies, annual and semi-annual financial statements, and
dividend, distribution and tax notices); (8) preserve all records; and (9)
furnish necessary office space, facilities and personnel. Under the Transfer
Agency Agreement, with respect to units held by investors, Northern has also
undertaken to perform some or all of the following services: (1) establish and
maintain separate accounts in the name of the investors; (2) process purchase
orders and redemption requests, and furnish confirmations in accordance with
applicable law; (3) disburse redemption proceeds; (4) process and record the
issuance and redemption of units in accordance with instructions from the Trust
or its administrator; (5) act as income disbursing agent of the Trust in
accordance with the terms of the Prospectus and instructions from the Trust or
its administrator; (6) provide periodic statements of account; (7) answer
inquiries (including requests for Prospectuses and Additional Statements, and
assistance in the completion of new account applications) from investors and
respond to all requests for information regarding the Trust (such as current
price, recent performance, and yield data) and questions relating to accounts of
investors (such as possible errors in statements, and transactions); (8) respond
to and seek to resolve all complaints of investors with respect to the Trust or
their accounts; (9) furnish proxy statements and proxies, annual and semi-annual
financial statements, and dividend, distribution and tax notices to investors;
(10) furnish the Trust all pertinent Blue Sky information; (11) perform all
required tax withholding; (12) preserve records; and (13) furnish necessary
office space, facilities and personnel. Northern may appoint one or more sub-
transfer agents in the performance of its services.
As compensation for the services rendered by Northern under the Transfer Agency
Agreement and the assumption by Northern of related expenses, Northern is
entitled to a fee from the Trust, payable monthly, at an annual rate of .01%,
.05%, .10% and .15%
B-30
<PAGE>
of the average daily net asset value of the Class A, B, C and D units,
respectively, in the Portfolios.
Under its Custodian Agreement (and in the case of the International Bond
Portfolio its Foreign Custody Agreement) with the Trust, Northern (1) holds each
Portfolio's cash and securities, (2) maintains such cash and securities in
separate accounts in the name of the Portfolio, (3) makes receipts and
disbursements of funds on behalf of the Portfolio, (4) receives, delivers and
releases securities on behalf of the Portfolio, (5) collects and receives all
income, principal and other payments in respect of the Portfolio's investments
held by Northern under the Agreement, and (6) maintains the accounting records
of the Trust. Northern may employ one or more subcustodians, provided that
Northern shall have no more responsibility or liability to the Trust on account
of any action or omission of any subcustodian so employed than such subcustodian
has to Northern and that the responsibility or liability of the subcustodian to
Northern shall conform to the resolution of the Trustees of the Trust
authorizing the appointment of the particular subcustodian (or, in the case of
foreign securities, to the terms of any agreement entered into between Northern
and such subcustodian to which such resolution relates). In addition, the
Trust's custodial arrangements provide, with respect to foreign securities, that
Northern shall not be: (i) responsible for the solvency of any subcustodian
appointed by it with reasonable care; (ii) responsible for any act, omission,
default or for the solvency of any eligible foreign securities depository; or
(iii) liable for any loss, damage, cost, expense, liability or claim resulting
from nationalization, expropriation, currency restrictions, or acts of war or
terrorism or any loss where the subcustodian has otherwise exercised reasonable
care. Northern may also appoint agents to carry out such of the provisions of
the Custodian Agreement and the Foreign Custody Agreement as Northern may from
time to time direct, provided that the appointment of an agent shall not relieve
Northern of any of its responsibilities under either Agreement. Northern has
entered into agreements with financial institutions and depositories located in
foreign countries with respect to the custody of the Portfolios' foreign
securities.
As compensation for the services rendered to the Trust by Northern as custodian
to the U.S. Government Securities, Short-Intermediate Bond, U.S. Treasury Index,
Bond and Intermediate Bond Portfolios, and the assumption by Northern of certain
related expenses, Northern is entitled to payment from the Trust as follows: (i)
$18,000 annually for each Portfolio, plus (ii) 1/100th of 1% annually of each
Portfolio's average daily net assets to the extent they exceed $100 million,
plus (iii) a fixed dollar fee for each trade in portfolio securities, plus (iv)
a fixed dollar fee for each time that Northern as Custodian receives or
transmits funds via wire, plus (v) reimbursement of
B-31
<PAGE>
expenses incurred by Northern as custodian for telephone, postage, courier fees,
office supplies and duplicating. The fees referred to in clauses (iii) and (iv)
are subject to annual upward adjustments based on increases in the Consumer
Price Index for All Urban Consumers, provided that Northern may permanently or
temporarily waive all or any portion of any upward adjustment.
As compensation for the services rendered to the Trust under the Foreign Custody
Agreement with respect to the International Bond Portfolio, and the assumption
by Northern of certain related expenses, Northern is entitled to payment from
the Trust as follows: (i) $35,000 annually for the International Bond Portfolio,
plus (ii) 9/100th of 1% annually of the Portfolio's average daily net assets,
plus (iii) reimbursement for fees incurred by Northern as foreign Custodian for
telephone, postage, courier fees, office supplies and duplicating.
Unless sooner terminated, the Advisory Agreement, Custodian Agreement (or in the
case of the International Bond Portfolio the Foreign Custody Agreement) and
Transfer Agency Agreement between Northern and the Trust will continue in effect
with respect to a particular Portfolio until April 30, 1998 and thereafter for
successive 12-month periods, provided that the continuance is approved at least
annually (1) by the vote of a majority of the Trustees who are not parties to
the agreement or "interested persons" (as such term is defined in the 1940 Act)
of any party thereto, cast in person at a meeting called for the purpose of
voting on such approval and (2) by the Trustees or by the vote of a majority of
the outstanding units of such Portfolio (as defined below under "Other
Information"). Each agreement is terminable at any time without penalty by the
Trust (by specified Trustee or unitholder action) on 60 days' written notice to
Northern and by Northern on 60 days' written notice to the Trust.
For the fiscal periods ended November 30 as indicated, the amount of the
Advisory Fee incurred by each Portfolio (after fee waivers) was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
------- ------- --------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 219,457 77,685 67,880
Short-Intermediate Bond
Portfolio (2) 421,548 305,155 260,009
U.S. Treasury Index Portfolio (2) 26,172 49,400 83,790
Bond Portfolio (2) 830,217 663,400 608,504
International Bond Portfolio (3) 224,098 224,564 $122,985
</TABLE>
_____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the same fiscal periods ended November 30 as indicated.
Northern waived additional advisory fees as follows:
B-32
<PAGE>
<TABLE>
<CAPTION>
1996 1995 1994
--------- ------- -------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 307,297 108,759 95,031
Short-Intermediate Bond
Portfolio (2) 589,702 427,217 364,019
U.S. Treasury Index Portfolio (2) 43,719 82,333 139,653
Bond Portfolio (2) 1,162,601 928,746 851,339
International Bond Portfolio (3) 63,958 64,150 34,908
</TABLE>
___________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated, the amount of the
Transfer Agency Fee incurred by each Portfolio was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 12,058 3,163 2,980
Short-Intermediate Bond
Portfolio (2) 16,929 12,216 10,000
U.S. Treasury Index Portfolio (2) 2,414 3,366 6,173
Bond Portfolio (2) 39,420 28,014 24,006
International Bond Portfolio (3) 3,220 3,209 2,000
</TABLE>
____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated, the amount of the
Custodian Fee (and, in the case of the International Bond Portfolio, the Foreign
Custodian Fee) incurred by each Portfolio was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
------ ------ ------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 19,709 23,744 24,000
Short-Intermediate Bond
Portfolio (2) 28,060 24,834 22,343
U.S. Treasury Index Portfolio (2) 20,242 22,734 23,070
Bond Portfolio (2) 46,249 35,344 36,609
International Bond Portfolio (3) 67,555 46,838 25,000
</TABLE>
____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
Banking laws and regulations currently prohibit a bank holding company
registered under the Federal Bank Holding Company Act of 1956 or any bank or
non-bank affiliate thereof from sponsoring, organizing, controlling or
distributing the shares of a
B-33
<PAGE>
registered open-end investment company continuously engaged in the issuance of
its shares, but such banking laws and regulations do not prohibit such a holding
company or affiliate or banks generally from acting as investment adviser,
transfer agent or custodian to such an investment company, or from purchasing
shares of such a company as agent for and upon the order of customers. Northern
believes that it may perform the services contemplated by its agreements with
the Trust without violation of such banking laws or regulations, which are
applicable to it. It should be noted, however, that future changes in either
Federal or state statutes and regulations relating to the permissible activities
of banks and their subsidiaries or affiliates, as well as future judicial or
administrative decisions or interpretations of current and future statutes and
regulations, could prevent Northern from continuing to perform such services for
the Trust.
Should future legislative, judicial or administrative action prohibit or
restrict the activities of Northern in connection with the provision of services
on behalf of the Trust, the Trust might be required to alter materially or
discontinue its arrangements with Northern and change its method of operations.
It is not anticipated, however, that any change in the Trust's method of
operations would affect the net asset value per unit of any Portfolio or result
in a financial loss to any unitholder. Moreover, if current restrictions
preventing a bank from legally sponsoring, organizing, controlling or
distributing units of an open-end investment company were relaxed, the Trust
expects that Northern would consider the possibility of offering to perform some
or all of the services now provided by Goldman Sachs. It is not possible, of
course, to predict whether or in what form such restrictions might be relaxed or
the terms upon which Northern might offer to provide services for consideration
by the Trustees.
Goldman Sachs is also an active investor, dealer and/or underwriter in many
types of stocks, bonds and other instruments. Its activities in this regard
could have some effect on the market for those instruments which the Portfolios
acquire, hold or sell.
In the Advisory Agreement, Northern agrees that the name "The Benchmark" may be
used in connection with the Trust's business on a royalty-free basis. Northern
has reserved to itself the right to grant the non-exclusive right to use the
name "The Benchmark" to any other person. The Advisory Agreement provides that
at such time as the Agreement is no longer in effect, the Trust will cease using
the name "The Benchmark." (This undertaking by the Trust may be subject to
certain legal limitations.)
B-34
<PAGE>
PORTFOLIO TRANSACTIONS
To the extent that a Portfolio effects brokerage transactions with Goldman Sachs
or any broker-dealer affiliated directly or indirectly with Northern, such
transactions, including the frequency thereof, the receipt of any commissions
payable in connection therewith, and the selection of the affiliated broker-
dealer effecting such transactions, will be fair and reasonable to the
unitholders of the Portfolio. For the past three fiscal years, none of the
Portfolios paid brokerage commissions.
During the fiscal year ended November 30, 1996, the Short-Intermediate Bond
Portfolio acquired and sold securities of Salomon Brothers, Inc. and Donaldson,
Lufkin & Jenrette Securities, Inc. each a regular broker/dealer. At November 30,
1996, the Short-Intermediate Bond Portfolio owned the following amounts of
securities of its regular broker/dealers, as defined in Rule 10b-1 under the
1940 Act, or their parents: Salomon Brothers, Inc., with an approximate
aggregate value of $4,982,000 and Donaldson, Lufkin & Jenrette Securities, Inc.,
with an approximate aggregate market value of $8,826,000.
During the fiscal year ended November 30, 1996, the Bond Portfolio acquired and
sold securities of Salomon Brothers, Inc. and Donaldson, Lufkin & Jenrette
Securities, Inc., each a regular broker/dealer. At November 30, 1996, the Bond
Portfolio owned the following amounts of securities of its regular
broker/dealers, as defined in Rule 10b-1 under the 1940 Act, or their parents:
Salomon Brothers, Inc., with an approximate aggregate market value of $9,515,000
and Donaldson, Lufkin & Jenrette Securities, Inc., with an approximate aggregate
market value of $7,450,000.
ADMINISTRATOR AND DISTRIBUTOR
Under its Administration Agreement with the Trust, Goldman Sachs, subject to the
general supervision of the Trust's Board of Trustees, acts as the Trust's
Administrator. In this capacity, Goldman Sachs (1) provides supervision of
certain aspects of the Trust's non-investment advisory operations (the parties
giving recognition to the fact that certain of such operations are performed by
Northern pursuant to the Trust's agreements with Northern), (2) provides the
Trust, to the extent not provided pursuant to such agreements, with such
personnel as are reasonably necessary for the conduct of the Trust's affairs,
(3) arranges, to the extent not provided pursuant to such agreements, for the
preparation at the Trust's expense of its tax returns, reports to unitholders,
periodic updating of the Prospectus issued by the Trust, and reports filed with
the SEC and other regulatory authorities (including qualification under state
securities or Blue Sky laws of the Trust's units), and (4) provides the Trust,
to the extent not provided pursuant to such
B-35
<PAGE>
agreements, with adequate office space and equipment and certain related
services in Chicago.
For the fiscal periods ended November 30 as indicated, Goldman Sachs received
fees under the Administration Agreement (after fee waivers) in the amount of:
<TABLE>
<CAPTION>
1996 1995 1994
------- ------- -------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 87,782 31,074 27,152
Short-Intermediate Bond
Portfolio (2) 168,616 122,062 104,003
U.S. Treasury Index Portfolio (2) 17,448 32,933 55,859
Bond Portfolio (2) 332,084 265,356 243,234
International Bond Portfolio (3) 32,014 32,075 17,569
</TABLE>
_____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated and prior to May 1, 1997,
Goldman Sachs voluntarily agreed to waive a portion of its Administration Fee
for each Portfolio then in existence resulting in an effective fee of .10% of
the average daily net assets for each Portfolio. The effect of these waivers by
Goldman Sachs was to reduce Administration Fees by the following amounts:
<TABLE>
<CAPTION>
1996 1995 1994
------- -------- --------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 131,975 $ 46,611 $ 40,727
Short-Intermediate Bond
Portfolio (2) 185,161 161,031 162,000
U.S. Treasury Index Portfolio (2) 26,353 49,400 83,790
Bond Portfolio (2) 243,306 232,678 221,000
International Bond Portfolio (3) 48,221 48,112 26,180
</TABLE>
____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
In addition, pursuant to an undertaking that commenced August 1, 1992, Goldman
Sachs agreed that, if its administration fees (less expense reimbursements paid
by Goldman Sachs to the Trust and less certain marketing expenses paid by
Goldman Sachs) exceed a specified amount ($1 million for the Trust's first
twelve invest ment portfolios plus $50,000 for each additional portfolio) during
the current fiscal year, Goldman Sachs will waive a portion of its
administration fees during the following fiscal year. This undertaking may be
terminated by Goldman Sachs at any
B-36
<PAGE>
time without the consent of the Trust or the unitholders. There have been no
waivers pursuant to this agreement during the last three fiscal periods.
Goldman Sachs has agreed for the current fiscal year to reimburse each Portfolio
for all expenses (including fees payable to Goldman Sachs as administrator, but
excluding the fees payable to Northern for its duties as investment adviser or
transfer agent, servicing fees and extraordinary expenses) which exceed on an
annualized basis .25% of the International Bond Portfolio's average daily net
assets and .10% of each other Portfolio's average daily net assets. Prior to May
1, 1997, this undertaking was voluntary with respect to the Portfolios. As of
May 1, 1997, this undertaking is contractual with respect to all Portfolios. The
effect of these reimbursements by Goldman Sachs for the fiscal periods ended
November 30 as indicated, were to reduce the expenses of each Portfolio by:
<TABLE>
<CAPTION>
1996 1995 1994
------- ------- -------
<S> <C> <C> <C>
U.S. Government Securities
Portfolio (1) 68,799 72,798 67,523
Short-Intermediate Bond
Portfolio (2) 97,056 87,069 82,935
U.S. Treasury Index Portfolio (2) 67,218 76,730 72,034
Bond Portfolio (2) 142,673 112,995 156,721
International Bond Portfolio (3) 87,159 52,493 30,840
</TABLE>
_____________
(1) Commenced investment operations on April 5, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
Unless sooner terminated the Administration Agreement will continue in effect
with respect to a particular Portfolio until April 30, 1998, and thereafter for
successive 12-month periods, provided that the agreement is approved annually
(1) by the vote of a majority of the Trustees who are not parties to the
agreement or "interested persons" (as such term is defined by the 1940 Act) of
any party thereto, cast in person at a meeting called for the purpose of voting
on such approval, and (2) by the Trustees or by the vote of a majority of the
outstanding units of such Portfolio (as defined below under "Other
Information"). The Administration Agreement is terminable at any time without
penalty by the Trust (upon specified Trustee or unitholder action) on 60 days'
written notice to Goldman Sachs and by Goldman Sachs on 60 days' written notice
to the Trust.
The Trust has entered into a Distribution Agreement under which Goldman Sachs,
as agent, sells units of each Portfolio on a continuous basis. Goldman Sachs
pays the cost of printing and distributing prospectuses to persons who are not
unitholders of
B-37
<PAGE>
the Trust (excluding preparation and typesetting expenses) and of certain other
distribution efforts. No compensation is payable by the Trust to Goldman Sachs
for such distribution services.
The Administration Agreement and the Distribution Agreement provide that Goldman
Sachs may render similar services to others so long as its services under such
Agreements are not impaired thereby. The Administration Agreement provides that
the Trust will indemnify Goldman Sachs against certain liabilities (including
liabilities under the Federal securities laws relating to untrue statements or
omissions of material fact and actions that are in accordance with the terms of
the Administration Agreement and Distribution Agreement) or, in lieu thereof,
contribute to resulting losses.
UNITHOLDER SERVICING PLAN
As stated in the Portfolios' Prospectus, Institutions may enter into Servicing
Agreements with the Trust under which they provide (or arrange to have provided)
support services to their Customers or other investors who beneficially own such
units in consideration of the Portfolios' payment of not more than .10%, .15%
and .25% (on an annualized basis) of the average daily net asset value of the
Class B, C and D units, respectively, of the U.S. Government Securities, Short-
Intermediate Bond, U.S. Treasury Index, Bond, Intermediate Bond and
International Bond Portfolios beneficially owned by such Customers or investors.
For the fiscal periods ended November 30 as indicated, the aggregate amount of
the Unitholder Service Fee incurred by each class of each Portfolio then in
existence was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
U.S. Government Securities Portfolio
Class B N/A N/A N/A
Class C (6) $5,040.82 N/A N/A
Class D (1) 451.87 $97.59 $3.47
Short-Intermediate Bond Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (2) 126.73 16.96 0.30
U.S. Treasury Index Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (3) 1,198.29 129.80 0.03
Bond Portfolio
Class B N/A N/A N/A
Class C (4) 6,685.99 2,292.16 N/A
Class D (2) 396.78 180.56 3.70
</TABLE>
B-38
<PAGE>
<TABLE>
<CAPTION>
1996 1995 1994
----- ---- ----
<S> <C> <C> <C>
International Bond Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (5) 29.96 0.48 N/A
</TABLE>
(1) Class D Units were issued on September 15, 1994.
(2) Class D Units were issued on September 14, 1994.
(3) Class D Units were issued on November 16, 1994.
(4) Class C Units were issued on July 3, 1995.
(5) Class D Units were issued on November 20, 1995.
(6) Class C Units were issued on December 29, 1995.
Services provided by or arranged to be provided by Institutions under their
Servicing Agreements may include: (1) establishing and maintaining separate
account records of Customers or other investors; (2) providing Customers or
other investors with a service that invests their assets in units of certain
classes pursuant to specific or pre-authorized instructions, and assistance with
new account applications; (3) aggregating and processing purchase and redemption
requests for units of certain classes from Customers or other investors, and
placing purchase and redemption orders with the Transfer Agent; (4) issuing,
confirmations to Customers or other investors in accordance with applicable law;
(5) arranging for the timely transmission of funds representing the net purchase
price or redemption proceeds; (6) processing dividend payments on behalf of
Customers or other investors; (7) providing information periodically to
Customers or other investors showing their positions in units; (8) responding to
Customer or other investor inquiries (including requests for prospectuses), and
complaints relating to the services performed by the Institutions; (9) acting as
liaison with respect to all inquiries and complaints from Customers and other
investors relating to errors committed by the Trust or its agents, and other
matters pertaining to the Trust; (10) providing or arranging for another person
to provide subaccounting with respect to units of certain classes beneficially
owned by Customers or other investors; (11) if required by law, forwarding
unitholder communications from the Trust (such as proxy statements and proxies,
unitholder reports, annual and semi-annual financial statements and dividend,
distribution and tax notices) to Customers and other investors; (12) providing
such office space, facilities and personnel as may be required to perform its
services under the Servicing Agreements; (13) maintaining appropriate management
reporting and statistical information; (14) paying expenses related to the
preparation of educational and other explanatory materials in connection with
the development of investor services; (15) developing and monitoring investment
programs; and (16) providing such other similar services as the Trust may
reasonably request to the extent the Institutions are permitted to do so under
applicable statutes, rules and regulations.
B-39
<PAGE>
The Trust's agreements with Institutions are governed by a Plan (called the
"Unitholder Servicing Plan") which has been adopted by the Board of Trustees.
Pursuant to the Unitholder Servicing Plan, the Board of Trustees will review, at
least quarterly, a written report of the amounts expended under the Trust's
agreements with Institutions and the purposes for which the expenditures were
made. In addition, the arrangements with Institutions must be approved annually
by a majority of the Board of Trustees, including a majority of the Trustees who
are not "interested persons" of the Trust, as defined in the 1940 Act, and have
no direct or indirect financial interest in such arrangements.
The Board of Trustees has approved the arrangements with Institutions based on
information provided by the Trust's service contractors that there is a
reasonable likelihood that the arrangements will benefit the Portfolios and
their unitholders by affording the Portfolios greater flexibility in connection
with the servicing of the accounts of the beneficial owners of their units in an
efficient manner.
COUNSEL AND AUDITORS
Drinker Biddle & Reath LLP, with offices at 1345 Chestnut Street, Suite 1100,
Philadelphia, Pennsylvania 19107, serve as counsel to the Trust.
Ernst & Young LLP, independent auditors, 233 S. Wacker Drive, Chicago, Illinois
60606-6301, have been selected as auditors of the Trust. In addition to audit
services, Ernst & Young LLP reviews the Trust's Federal and state tax returns,
and provides consultation and assistance on accounting, internal control and
related matters.
IN-KIND PURCHASES
Payment for units of a Portfolio may, in the discretion of Northern, be made in
the form of securities that are permissible investments for the Portfolio as
described in the Prospectus. For further information about this form of
payment, contact Northern. In connection with an in-kind securities payment, a
Portfolio will require, among other things, that the securities be valued on the
day of purchase in accordance with the pricing methods used by the Portfolio and
that the Portfolio receive satisfactory assurances that it will have good and
marketable title to the securities received by it; that the securities be in
proper form for transfer to the Portfolio; and that adequate information be
provided concerning the basis and other tax matters relating to the securities.
B-40
<PAGE>
PERFORMANCE INFORMATION
Each Portfolio that advertises an "average annual total return" for a class of
units computes such return by determining the average annual compounded rate of
return during specified periods that equates the initial amount invested to the
ending redeemable value of such investment according to the following formula:
T = (/ERVP)/Pn - 1
Where: T = average annual total return;
ERV = ending redeemable value at the end of the applicable
period (or fractional portion thereof) of a hypothetical
$1,000 payment made at the beginning of the 1, 5 or 10
year (or other) period;
P = hypothetical initial payment of $1,000; and
n = period covered by the computation, expressed in years.
Each Portfolio that advertises an "aggregate total return" for a class of units
computes such return by determining the aggregate compounded rates of return
during specified periods that likewise equate the initial amount invested to the
ending redeemable value of such investment. The formula for calculating
aggregate total return is as follows:
T = [(/ERVP) -1
The calculations are made assuming that (1) all dividends and capital gain
distributions are reinvested on the reinvestment dates at the price per unit
existing on the reinvestment date and (2) all recurring fees charged to all
unitholder accounts are included. The ending redeemable value (variable "ERV"
in the formula) is determined by assuming complete redemption of the
hypothetical investment after deduction of all nonrecurring charges at the end
of the measuring period.
The average annual total returns and aggregate total returns shown below for the
Short-Intermediate Bond, U.S. Treasury Index and Bond Portfolios include, for
periods prior to the
B-41
<PAGE>
commencement of the Portfolios' operations, the performance of a predecessor
collective fund adjusted to reflect the higher estimated fees and expenses
applicable to such Portfolios' Class A Units at the time of their inception.
Although all such predecessor collective funds were managed by Northern for the
periods stated in a manner and pursuant to investment objectives that were
equivalent in all material respects to the management and investment objectives
of the corresponding Portfolios, such predecessor collective funds were not
registered under the 1940 Act and were not subject to certain investment
restrictions imposed by the 1940 Act. If they had been registered under the 1940
Act, performance might have been adversely affected. The average annual total
returns and aggregate total returns shown for the Portfolios for their Class C
and/or Class D Units also include, for the periods prior to the inception of
such classes, the performance of the Portfolios' Class A Units. Because the fees
and expenses of Class C and Class D Units are, respectively, 0.24% and 0.39%
higher than those of Class A Units, actual performance for periods prior to the
inception of Class C and Class D Units would have been lower if such higher fees
and expenses had been taken into account.
Following commencement of operations of the Portfolios, Goldman Sachs reimbursed
expenses to the Portfolios and voluntarily agreed to reduce a portion of its
administration fee for each Portfolio pursuant to the undertaking described
above under "Additional Trust Information - Administrator and Distributor" and
"-Investment Adviser, Transfer Agent and Custodian," and Northern waived a
portion of its investment advisory fees with respect to the Portfolios. The
average annual total returns and aggregate total returns of each Portfolio with
respect to Class A, Class C and Class D Units, as applicable, are shown below
with and without such fee waivers and expense reimbursements.
B-42
<PAGE>
<TABLE>
<CAPTION>
FOR PERIODS ENDED MAY 31, 1997
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
Since Since
1 Year 5 Year 10 Year Inception 1 Year 5 Year 10 Year Inception
------ ------ ------- --------- ------ ------ ------- ---------
BOND/1/
- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
with fee waivers and
expense reimbursements 8.68 8.41 9.39 - 8.68 49.73 145.26 -
w/o fee waivers and
expense reimbursements 8.18 7.87 8.86 - 8.18 46.06 133.62 -
CLASS C
with fee waivers and
expense reimbursements 8.41 8.31 9.34 - 8.41 49.05 144.14 -
w/o fee waivers and
expense reimbursements 7.91 7.77 8.81 - 7.91 45.39 132.54 -
CLASS D
with fee waivers and
expense reimbursements 8.25 8.18 9.27 - 8.25 48.13 142.64 -
w/o fee waivers and
expense reimbursements 7.76 7.65 8.74 - 7.76 44.54 131.19 -
SHORT-INTERMEDIATE BOND/ 2/
CLASS A
with fee waivers and
expense reimbursements 6.27 6.14 7.20 - 6.27 34.72 100.47 -
w/o fee waivers and
expense reimbursements 5.72 5.55 6.61 - 5.72 30.98 89.69 -
CLASS D
with fee waivers and
expense reimbursements 5.82 5.91 7.09 - 5.82 33.28 98.32 -
w/o fee waivers and
expense reimbursements 5.28 5.30 6.49 - 5.28 29.47 87.46 -
</TABLE>
B-43
<PAGE>
<TABLE>
<CAPTION>
FOR PERIODS ENDED MAY 31, 1997
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 Year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
U.S. TREASURY INDEX/3/
CLASS A
with fee waivers and
expense reimbursements 7.35 6.81 8.27 - 7.35 39.02 121.45 -
w/o fee waivers and
expense reimbursements 6.61 6.14 7.60 - 6.61 34.73 108.01 -
CLASS D
with fee waivers and
expense reimbursements 6.92 6.60 8.17 - 6.92 37.65 119.28 -
w/o fee waivers and
expense reimbursements 6.18 5.93 7.49 - 6.18 33.41 101.05 -
U.S. GOVERNMENT SECURITIES/4/
CLASS A
with fee waivers and
expense reimbursements 6.49 - - 4.87 6.49 - - 21.89
w/o fee waivers and
expense reimbursements 5.89 - - 4.16 5.89 - - 18.49
CLASS C
with fee waivers and
expense reimbursements 6.25 - - 4.79 6.25 - - 21.49
w/o fee waivers and
expense reimbursements 5.65 - - 4.09 5.65 - - 18.16
CLASS D
with fee waivers and
expense reimbursements 6.10 - - 4.59 6.10 - - 20.51
w/o fee waivers and
expense reimbursements 5.49 - - 3.88 5.49 - - 17.14
</TABLE>
B-44
<PAGE>
<TABLE>
<CAPTION>
FOR PERIODS ENDED MAY 31, 1997
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 Year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL BOND/5/
CLASS A
with fee waivers and
expense reimbursements 3.31 - - 8.00 3.31 - - 27.75
w/o fee waivers and
expense reimbursements 2.68 - - 7.40 2.68 - - 25.49
CLASS D
with fee waivers and
expense reimbursements 2.90 - - 7.81 2.90 - - 27.00
w/o fee waivers and
expense reimbursements 2.27 - - 7.20 2.27 - - 24.74
- ----------------------
</TABLE>
B-45
<PAGE>
1. For Class A, C and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class C and D Units, performance data from January 11, 1993 to July 3, 1995
(commencement of Class C Units) and September 14, 1994 (commencement of
Class D Units), respectively, is that of Class A Units. Because the fees
and expenses of Class C and Class D Units are .24% and .39%, respectively,
higher than those of Class A Units, actual performance would have been
lower had such fees and expenses been taken into account. The predecessor
collective fund has been managed in a manner and pursuant to investment
objectives equivalent in all material respects to the management and
investment objective of the Portfolio for the periods shown. The
performance data of the predecessor collective fund is adjusted to reflect
the higher fees and expenses applicable to Class A Units at the time of
their inception.
2. For Class A and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class D Units, performance data from January 11, 1993 to September 14, 1994
(commencement of Class D Units) is that of Class A Units. Because the fees
and expenses of Class D Units are .39% higher than those of Class A Units,
actual performance would have been lower had such higher fees and expenses
been taken into account. The predecessor collective fund has been managed
in a manner and pursuant to investment objectives equivalent in all
material respects to the management and investment objective of the
Portfolio for the periods shown. The performance data of the predecessor
collective fund is adjusted to reflect the higher fees and expenses
applicable to Class A Units at the time of their inception.
3. For Class A and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class D Units, performance data from January 11, 1993 to November 16, 1994
(commencement of Class D Units) is that of Class A Units. Because the fees
and expenses of Class D Units are .39% higher than those of Class A Units,
actual performance would have been lower had such higher fees and expenses
been taken into account. Performance data of the predecessor collective
fund is shown from January 1, 1987, the date from which the predecessor
fund has been managed in a manner and pursuant to investment objectives
equivalent in all material respects to the management and investment
objective of the Portfolio. The performance data of the predecessor
collective fund is adjusted to reflect the higher fees and expenses
applicable to Class A Units at the time of their inception.
4. For Class C and D Units, performance data prior to December 29, 1995
(commencement of Class C Units), and September 15, 1994 (commencement of
Class D Units), respectively, is that of Class A Units. Class A Units
commenced operations April 5, 1993. Because fees and expenses of Class C
and D Units are .24% and .39%, respectively, higher than those of Class A
Units, actual performance would have been lower had such higher fees and
expenses been taken into account.
5. For Class D Units, performance data prior to November 20, 1995
(commencement of Class D Units) is that of Class A Units. Class A Units
commenced operations on March 28, 1994. Because the fees and expenses of
Class D Units are .39% higher than those of Class A Units, actual
performance would have been lower had such higher fees and expenses been
taken into account.
B-46
<PAGE>
The Portfolios' 30-day (or one month) standard yield described in the Prospectus
is calculated for each class of the Portfolios in accordance with the method
prescribed by the SEC for mutual funds:
Yeild = 2[(/a b + 1)/6/ - 1]
---
cd
Where: a = dividends and interest earned by a
Portfolio during the period;
b = expenses accrued for the period (net of reimbursements);
c = average daily number of units outstanding during the
period entitled to receive dividends; and
d = net asset value per unit on the last day of the period.
For the 30 day period ended May 31, 1997, the annualized yields for the Class A,
Class B, Class C and Class D units of the Portfolios were as follows:
<TABLE>
<CAPTION>
30-Day Yield
-------------
<S> <C>
U.S. Government Securities
Portfolio
Class A 6.25%
Class B N/A
Class C 6.01
Class D 5.86
Short-Intermediate Bond
Portfolio
Class A 6.32
Class B N/A
Class C N/A
Class D 5.94
U.S. Treasury Index Portfolio
Class A 6.44
Class B N/A
Class C N/A
Class D 6.04
Bond Portfolio
Class A 6.33
Class B N/A
Class C 6.08
Class D 5.91
</TABLE>
B-47
<PAGE>
<TABLE>
<CAPTION>
30-Day Yield
------------
<S> <C>
International Bond Portfolio
Class A 4.58
Class B N/A
Class C N/A
Class D 4.18
</TABLE>
The information set forth in the foregoing table reflects certain fee reductions
and expense limitations. See "Investment Adviser, Transfer Agent and Custodian"
and "Administrator and Distributor" under "Additional Trust Information." In
the absence of such fee reductions and expense limitations, the annualized 30-
day yields of each Portfolio with respect to Class A, Class B, Class C and Class
D units would have been as follows:
<TABLE>
<CAPTION>
30-Day Yield
------------
<S> <C>
U.S. Government Securities
Portfolio
Class A 6.18
Class B N/A
Class C 5.94
Class D 5.79
Short-Intermediate Bond Portfolio
Class A 6.26
Class B N/A
Class C N/A
Class D 5.88
U.S. Treasury Index Portfolio
Class A 6.20
Class B N/A
Class C N/A
Class D 5.28
Bond Portfolio
Class A 6.30
Class B N/A
Class C 6.05
Class D 5.88
International Bond Portfolio
Class A 4.25
Class B N/A
Class C N/A
Class D 3.85
</TABLE>
The performance of any investment is generally a function of portfolio quality
and maturity, type of investment and operating expenses.
Because of the different Servicing Fees and transfer agency fees payable with
respect to Class A, B, C and D units in a Portfolio, performance quotations for
units of Class B, C and D of the
B-48
<PAGE>
Portfolio will be lower than the quotations for Class A units of the Portfolio,
which will not bear any fees for unitholder support services and will bear
minimal transfer agency fees.
TAXES
The following summarizes certain additional tax considerations generally
affecting the Portfolios and their unitholders that are not described in the
Portfolios' Prospectuses. No attempt is made to present a detailed explanation
of the tax treatment of the Portfolios or their unitholders, and the discussion
here and in the applicable Prospectus is not intended as a substitute for
careful tax planning. Potential investors should consult their tax advisers with
specific reference to their own tax situations.
GENERAL
Each Portfolio will elect to be taxed separately as a regulated investment
company under Part I of Subchapter M of Subtitle A, Chapter 1 of the Internal
Revenue Code of 1986, as amended (the "Code"). As a regulated investment
company, each Portfolio generally is exempt from Federal income tax on its net
investment income and realized capital gains which it distributes to
unitholders, provided that it distributes an amount equal to at least 90% of its
investment company taxable income (net investment income and the excess of net
short-term capital gain over net long-term capital loss), if any, for the year
(the "Distribution Requirement") and satisfies certain other requirements of the
Code that are described below.
In addition to satisfying the Distribution Requirement, each Portfolio must
derive with respect to a taxable year at least 90% of its gross income from
dividends, interest, certain payments with respect to securities loans and gains
from the sale or other disposition of stock or securities or foreign currencies,
or from other income derived with respect to its business of investing in such
stock, securities, or currencies (the "Income Requirement") and derive less than
30% of its gross income from the sale or other disposition of securities and
certain other investments held for less than three months (the "Short-Short
Test"). Interest (including original issue discount and "accrued market
discount") received by a Portfolio at maturity or on disposition of a security
held for less than three months will not be treated as gross income derived from
the sale or other disposition of such security within the meaning of this
requirement. However, any other income which is attributable to realized market
appreciation will be treated as gross income from the sale or other disposition
of securities for this purpose. Under the recently-enacted Taxpayer Relief Act
of 1997, the Short-Short Test is repealed for taxable year beginning after
August 11, 1997.
In addition to the foregoing requirements, at the close of each quarter of its
taxable year, at least 50% of the value of each
B-49
<PAGE>
Portfolio's assets must consist of cash and cash items, U.S. Government
securities, securities of other regulated investment companies, and securities
of other issuers (as to which a Portfolio has not invested more than 5% of the
value of its total assets in securities of such issuer and as to which a
Portfolio does not hold more than 10% of the outstanding voting securities of
such issuer) and no more than 25% of the value of each Portfolio's total assets
may be invested in the securities of any one issuer (other than U.S. Government
securities and securities of other regulated investment companies), or in two or
more issuers which such Portfolio controls and which are engaged in the same or
similar trades or businesses.
Each Portfolio intends to distribute to unitholders any excess of net long-term
capital gain over net short-term capital loss ("net capital gain") for each
taxable year. Such gain is distributed as a capital gain dividend and is taxable
to unitholders as long-term capital gain, regardless of the length of time the
unitholder has held the units, whether such gain was recognized by the Portfolio
prior to the date on which a unitholder acquired units of the Portfolio and
whether the distribution was paid in cash or reinvested in units. In addition,
investors should be aware that any loss realized upon the sale, exchange or
redemption of units held for six months or less will be treated as a long-term
capital loss to the extent of the capital gain dividends the unitholder has
received with respect to such units. It is not expected that any distributions
will qualify for the dividends received deduction for corporations.
Ordinary income of individuals is taxable at a maximum marginal rate of 39.6%,
but because of limitations on itemized deductions otherwise allowable and the
phase-out of personal exemptions, the maximum effective marginal rate of tax for
some taxpayers may be higher. Under the Taxpayer Relief Act of 1997, for capital
gains on securities recognized after July 28, 1997, the maximum tax rate for
individuals is 20% if the property was held more than 18 months; for property
held for more than 12 months, but no longer than 18 months, the maximum tax rate
on capital gains continues to be 28%. Capital gains and ordinary income of
corporate taxpayers are both taxed at a nominal maximum rate of 35%.
If for any taxable year any Portfolio does not qualify as a regulated investment
company, all of its taxable income will be subject to tax at regular corporate
rates without any deduction for distributions to unitholders. In such event, all
distributions (whether or not derived from exempt-interest income) would be
taxable as ordinary income, to the extent of such Portfolio's current and
accumulated earnings and profits and would be eligible for the dividends
received deduction in the case of corporate unitholders.
Unitholders will be advised annually as to the Federal income tax consequences
of distributions made by the Portfolios each year.
B-50
<PAGE>
The Code imposes a non-deductible 4% excise tax on regulated investment
companies that fail to currently distribute an amount equal to specified
percentages of their ordinary taxable income and capital gain net income (excess
of capital gains over capital losses). Each Portfolio intends to make sufficient
distributions or deemed distributions of its ordinary taxable income and capital
gain net income each calendar year to avoid liability for this excise tax.
The Trust will be required in certain cases to withhold and remit to the United
States Treasury 31% of taxable dividends or 31% of gross sale proceeds paid to
any unitholder (i) who has provided either an incorrect tax identification
number or no number at all, (ii) who is subject to backup withholding by the
Internal Revenue Service for failure to report the receipt of taxable interest
or dividend income properly, or (iii) who has failed to certify to the Trust,
when required to do so, that he is not subject to backup withholding or that he
is an "exempt recipient."
TAXATION OF CERTAIN FINANCIAL INSTRUMENTS
Special rules govern the Federal income tax treatment of financial instruments
that may be held by the Portfolios. These rules may have a particular impact on
the amount of income or gain that the Portfolios must distribute to their
respective unitholders to comply with the Distribution Requirement, on the
income or gain qualifying under the Income Requirement and on their ability to
comply with the Short-Short Test described above.
Generally, futures contracts, options on futures contracts and certain foreign
currency contracts held by a Portfolio (collectively, the "Instruments") at the
close of its taxable year are treated for Federal income tax purposes as sold
for their fair market value on the last business day of such year, a process
known as "mark-to-market." Forty percent of any gain or loss resulting from such
constructive sales will be treated as short-term capital gain or loss and 60% of
such gain or loss will be treated as long-term capital gain or loss without
regard to the period a Portfolio has held the Instruments ("the 40%-60% rule").
The amount of any capital gain or loss actually realized by a Portfolio in a
subsequent sale or other disposition of those Instruments is adjusted to reflect
any capital gain or loss taken into account by the Portfolio in a prior year as
a result of the constructive sale of the Instruments. Losses with respect to
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<PAGE>
futures contracts to sell, related options and certain foreign currency
contracts, which are regarded as parts of a "mixed straddle" because their
values fluctuate inversely to the values of specific securities held by the
Portfolios, are subject to certain loss deferral rules which limit the amount of
loss currently deductible on either part of the straddle to the amount thereof
which exceeds the unrecognized gain (if any) with respect to the other part of
the straddle, and to certain wash sales regulations. Under short sales rules,
which are also applicable, the holding period of the securities forming part of
the straddle (if they have not been held for the long-term holding period) will
be deemed not to begin prior to termination of the straddle. With respect to
certain Instruments, deductions for interest and carrying charges may not be
allowed. Notwithstanding the rules described above, with respect to futures
contracts which are part of a "mixed straddle" to sell related options and
certain foreign currency contracts which are properly identified as such, a
Portfolio may make an election which will exempt (in whole or in part) those
identified futures contracts, options and foreign currency contracts from the
Rules of Section 1256 of the Code including "the 40%-60% rule" and the mark-to-
market on gains and losses being treated for Federal income tax purposes as sold
on the last business day of the Portfolio's taxable year, but gains and losses
will be subject to such short sales, wash sales and loss deferral rules and the
requirement to capitalize interest and carrying charges. Under Temporary
Regulations, each Portfolio would be allowed (in lieu of the foregoing) to elect
either (1) to offset gains or losses from portions which are part of a mixed
straddle by separately identifying each mixed straddle to which such treatment
applies, or (2) to establish a mixed straddle account for which gains and losses
would be recognized and offset on a periodic basis during the taxable year.
Under either election, "the 40%-60% rule" will apply to the net gain or loss
attributable to the Instruments, but, in the case of a mixed straddle account
election, not more than 50% of any net gain may be treated as long-term and no
more than 40% of any net loss may be treated as short-term.
A foreign currency contract must meet the following conditions in order to be
subject to the mark-to-market rules described above: (1) the contract must
require delivery of a foreign currency of a type in which regulated futures
contracts are traded or upon which the settlement value of the contract depends;
(2) the contract must be entered into at arm's length at a price determined by
reference to the price in the interbank market; and (3) the contract must be
traded in the interbank market. The Treasury Department has broad authority to
issue regulations under the provisions respecting foreign currency contracts. As
of the date of this Additional Statement, the Treasury Department has not issued
any such regulations. Other foreign currency contracts entered into by a
Portfolio may result in the creation of one or more straddles for Federal income
tax purposes, in
B-52
<PAGE>
which case certain loss deferral, short sales, and wash sales rules and the
requirement to capitalize interest and carrying charges may apply.
Some of the non-U.S. dollar denominated investments that the Portfolios may
make, such as foreign debt securities and foreign currency contracts, may be
subject to provisions of the Code which govern the Federal income tax treatment
of certain transactions denominated in terms of a currency other than the U.S.
dollar or determined by reference to the value of one or more currencies other
than the U.S. dollar. The types of transactions covered by these provisions
include the following: (1) the acquisition of, or becoming the obligor under, a
bond or other debt instrument (including, to the extent provided in Treasury
regulations, preferred stock); (2) the accruing of certain trade receivables and
payables; and (3) the entering into or acquisition of any forward contract,
futures contract, option and similar financial instrument. The disposition of a
currency other than the U.S. dollar by a U.S. taxpayer also is treated as a
transaction subject to the special currency rules. However, regulated futures
contracts and nonequity options are generally not subject to the special
currency rules if they are or would be treated as sold for their fair market
value at year-end under the mark-to-market rules, unless an election is made to
have such currency rules apply. With respect to transactions covered by the
special rules, foreign currency gain or loss is calculated separately from any
gain or loss on the underlying transaction and is normally taxable as ordinary
gain or loss. A taxpayer may elect to treat as capital gain or loss foreign
currency gain or loss arising from certain identified forward contracts, futures
contracts and options that are capital assets in the hands of the taxpayer and
which are not part of a straddle. In accordance with Treasury regulations,
certain transactions that are part of a "Section 988 hedging transaction" (as
defined in the Code and Treasury regulations) may be integrated and treated as a
single transaction or otherwise treated consistently for purposes of the Code.
"Section 988 hedging transactions" are not subject to the mark-to-market or loss
deferral rules under the Code. Gain or loss attributable to the foreign currency
component of transactions engaged in by the Portfolios which are not subject to
the special currency rules (such as foreign equity investments other than
certain preferred stocks) is treated as capital gain or loss and is not
segregated from the gain or loss on the underlying transaction.
FOREIGN INVESTORS
Foreign unitholders generally will be subject to U.S. withholding tax at a rate
of 30% (or a lower treaty rate, if applicable) on distributions by a Portfolio
of net interest income, other ordinary income, and the excess, if any, of net
short-term capital gain over net long-term capital loss for the year. For
B-53
<PAGE>
this purpose, foreign unitholders include individuals other than U.S. citizens,
residents and certain nonresident aliens, and foreign corporations,
partnerships, trusts and estates. A foreign unitholder generally will not be
subject to U.S. income or withholding tax in respect of proceeds from or gain on
the redemption of units or in respect of capital gain dividends, provided such
unitholder submits a statement, signed under penalties of perjury, attesting to
such unitholder's exempt status. Different tax consequences apply to a foreign
unitholder engaged in a U.S. trade or business. Foreign unitholders should
consult their tax advisers regarding the U.S. and foreign tax consequences of
investing in a Portfolio.
CONCLUSION
The foregoing discussion is based on Federal tax laws and regulations which are
in effect on the date of this Additional Statement. Such laws and regulations
may be changed by legislative or administrative action. No attempt is made to
present a detailed explanation of the tax treatment of the Portfolio or its
unitholders, and the discussion here and in the Prospectus is not intended as a
substitute for careful tax planning. Unitholders are advised to consult their
tax advisers with specific reference to their own tax situation, including the
application of state and local taxes.
Although each Portfolio expects to qualify as a "regulated investment company"
and to be relieved of all or substantially all Federal income taxes, depending
upon the extent of its activities in states and localities in which its offices
are maintained, in which its agents or independent contractors are located or in
which it is otherwise deemed to be conducting business, each Portfolio may be
subject to the tax laws of such states or localities.
DESCRIPTION OF UNITS
The Trust Agreement permits the Trust's Board of Trustees to issue an unlimited
number of full and fractional units of beneficial interest of one or more
separate series representing interests in one or more investment portfolios. The
Trust may hereafter create series in addition to the Trust's seventeen existing
series, which represent interests in the Trust's seventeen respective
portfolios, seven of which are discussed in this Additional Statement. The Trust
Agreement further permits the Board of Trustees to classify or reclassify any
unissued units into additional series or subseries within a series. Pursuant to
such authority, the Trustees have authorized the issuance of an unlimited number
of units of beneficial interest in four separate subseries (sometimes referred
to as "classes") of units in each of the Trust's non-money market portfolios:
Class A, B,
B-54
<PAGE>
C and D units. Under the terms of the Trust Agreement, each unit of each
Portfolio is without par value, represents an equal proportionate interest in
the particular Portfolio with each other unit of its class in the same Portfolio
and is entitled to such dividends and distributions out of the income belonging
to the Portfolio as are declared by the Trustees. Upon any liquidation of a
Portfolio, unitholders of each class of a Portfolio are entitled to share pro
rata in the net assets belonging to that class available for distribution. Units
do not have any preemptive or conversion rights. The right of redemption is
described under "Investing-Redemption of Units" in the Prospectus. In addition,
pursuant to the terms of the 1940 Act, the right of a unitholder to redeem units
and the date of payment by a Portfolio may be suspended for more than seven days
(a) for any period during which the New York Stock Exchange is closed, other
than the customary weekends or holidays, or trading in the markets the Portfolio
normally utilizes is closed or is restricted as determined by the SEC, (b)
during any emergency, as determined by the SEC, as a result of which it is not
reasonably practicable for the Portfolio to dispose of instruments owned by it
or fairly to determine the value of its net assets, or (c) for such other period
as the SEC may by order permit for the protection of the unitholders of the
Portfolio. The Trust may also suspend or postpone the recordation of the
transfer of its units upon the occurrence of any of the foregoing conditions. In
addition, units of each Portfolio are redeemable at the unilateral option of the
Trust if the Trustees determine in their sole discretion that failure to so
redeem may have material adverse consequences to the unitholders of the
Portfolio. Units when issued as described in the Prospectus are validly issued,
fully paid and nonassessable, except as stated below.
The proceeds received by each Portfolio for each issue or sale of its units, and
all net investment income, realized and unrealized gain and proceeds thereof,
subject only to the rights of creditors, will be specifically allocated to and
constitute the underlying assets of that Portfolio. The underlying assets of
each Portfolio will be segregated on the books of account, and will be charged
with the liabilities in respect to that Portfolio and with a share of the
general liabilities of the Trust. Expenses with respect to the Portfolios are
normally allocated in proportion to the net asset value of the respective
Portfolios except where allocations of direct expenses can otherwise be fairly
made.
Rule 18f-2 under the 1940 Act provides that any matter required by the
provisions of the 1940 Act or applicable state law, or otherwise, to be
submitted to the holders of the outstanding voting securities of an investment
company such as the Trust shall not be deemed to have been effectively acted
upon unless approved by the holders of a majority of the outstanding units of
each investment portfolio affected by such matter. Rule 18f-2
B-55
<PAGE>
further provides that an investment portfolio shall be deemed to be affected by
a matter unless the interests of each investment portfolio in the matter are
substantially identical or the matter does not affect any interest of the
investment portfolio. Under the Rule, the approval of an investment advisory
agreement or any change in a fundamental investment policy would be effectively
acted upon with respect to an investment portfolio only if approved by a
majority of the outstanding units of such investment portfolio. However, the
Rule also provides that the ratification of the appointment of independent
accountants, the approval of principal underwriting contracts and the election
of Trustees may be effectively acted upon by unitholders of the Trust voting
together in the aggregate without regard to a particular investment portfolio.
In addition, unitholders of each of the classes in a particular investment
portfolio have equal voting rights except that only units of a particular class
of an investment portfolio will be entitled to vote on matters submitted to a
vote of unitholders (if any) relating to unitholder servicing expenses and
transfer agency fees that are payable by that class.
As a general matter, the Trust does not hold annual or other meetings of
unitholders. This is because the Trust Agreement provides for unitholder voting
only for the election or removal of one or more Trustees, if a meeting is called
for that purpose, and for certain other designated matters. Each Trustee serves
until the next meeting of unitholders, if any, called for the purpose of
considering the election or reelection of such Trustee or of a successor to such
Trustee, and until the election and qualification of his successor, if any,
elected at such meeting, or until such Trustee sooner dies, resigns, retires or
is removed by the unitholders or two-thirds of the Trustees.
Under Massachusetts law, there is a possibility that unitholders of a business
trust could, under certain circumstances, be held personally liable as partners
for the obligations of the Trust. The Trust Agreement contains an express
disclaimer of unitholder (as well as Trustee and officer) liability for acts or
obligations of the Trust and requires that notice of such disclaimer be given in
each contract, undertaking or instrument entered into or executed by the Trust
or the Trustees. The Trust Agreement provides for indemnification out of Trust
property of any unitholder charged or held personally liable for the obligations
or liabilities of the Trust solely by reason of being or having been a
unitholder of the Trust and not because of such unitholder's acts or omissions
or for some other reason. The Trust Agreement also provides that the Trust
shall, upon proper and timely request, assume the defense of any charge made
against any unitholder as such for any obligation or liability of the Trust and
satisfy any judgment thereon. Thus, the risk of a unitholder incurring financial
loss on account of unitholder
B-56
<PAGE>
liability is limited to circumstances in which the Trust itself would be unable
to meet its obligations.
The Trust Agreement provides that each Trustee of the Trust will be liable for
his own wilful misfeasance, bad faith, gross negligence or reckless disregard of
the duties involved in the conduct of the office of Trustee ("disabling
conduct"), and for nothing else, and will not be liable for errors of judgment
or mistakes of fact or law. The Trust Agreement provides further that the Trust
will indemnify Trustees and officers of the Trust against liabilities and
expenses incurred in connection with litigation and other proceedings in which
they may be involved (or with which they may be threatened) by reason of their
positions with the Trust, except that no Trustee or officer will be indemnified
against any liability to the Trust or its unitholders to which he would
otherwise be subject by reason of disabling conduct.
As of September 9, 1997 substantially all of the Portfolios' outstanding units
were held of record by Northern for the benefit of its customers and the
customers of its affiliates and correspondent banks that have invested in the
Portfolios. As of the same date, the Trust's Trustees and officers owned
beneficially less than 1% of the outstanding units of each Portfolio. Northern
has advised the Trust that the following persons (whose mailing address is: c/o
The Northern Trust Company, 50 South LaSalle, Chicago, IL 60675) beneficially
owned five percent or more of the outstanding units of the following Portfolios
as of September 9, 1997:
<TABLE>
<CAPTION>
Number Percentage
of Units of Units
-------- -----------
<S> <C> <C>
International Bond Portfolio
The Northern Trust Company Pension 853,569 63.49%
Plan
Doe Run Resources Corporation 175,256 13.04%
Retirement Plan
U.S. Treasury Index Portfolio
Moody Bible Institute/General 501,811 30.46%
Liberty Healthcare System Inc. 213,487 12.96%
Pension Plan
Purina Mills Inc. Master Retirement 147,607 8.96%
Trust
Moody Bible Institute/Annuity 97,943 5.95%
Herget National Bank 94,466 5.73%
Short Intermediate Bond Portfolio
Nathan Cummings Foundation 838,464 8.38%
</TABLE>
B-57
<PAGE>
<TABLE>
<S> <C> <C>
Bond Fund Portfolio
The Northern Trust Company Pension 1,930,600 8.48%
Plan
Americlean Systems Inc. Salaried 1,170,926 5.14%
Pension Plan
The Northern Trust Company Thrift 1,512,415 6.64%
Incentive Plan
Phycor, Inc. Savings and Profit 1,170,593 7.78%
Sharing Plan
U.S. Government Securities Portfolio
Schlumberger Limited Master Profit 1,820,749 38.83%
Sharing Trust
Electrical Insurance Trust 545,252 11.63%
Supplemental Unemployment Benefit
Fund
Schlumberger Limited Master Pension 352,121 7.51%
Trust
Sheet Metal Workers Local 265 Health 396,306 8.45%
& Welfare Plan
</TABLE>
OTHER INFORMATION
The Prospectus and this Additional Statement do not contain all the information
included in the Registration Statement filed with the SEC under the Securities
Act of 1933 with respect to the securities offered by the Trust's Prospectus.
Certain portions of the Registration Statement have been omitted from the
Prospectus and this Additional Statement pursuant to the rules and regulations
of the SEC. The Registration Statement including the exhibits filed therewith
may be examined at the office of the SEC in Washington, D.C.
Each Portfolio is responsible for the payment of its expenses. Such expenses
include, without limitation, the fees and expenses payable to Northern and
Goldman Sachs, brokerage fees and commissions, any portfolio losses, fees for
the registration or qualification of Portfolio units under Federal or state
securities laws, expenses of the organization of the Portfolios, taxes,
interest, costs of liability insurance, fidelity bonds, indemnification or
contribution, any costs, expenses or losses arising out of any liability of, or
claim for damages or other relief asserted against, the Trust for violation of
any law, legal, tax and auditing fees and expenses, Servicing Fees, expenses of
preparing and printing prospectuses, statements of additional information, proxy
materials, reports and notices and the printing and distributing of the same to
the Trust's unitholders and regulatory authorities, compensation and expenses of
its Trustees, expenses of industry organizations such as the Investment Company
Institute, miscellaneous expenses and extraordinary expenses incurred by the
Trust.
B-58
<PAGE>
The term "majority of the outstanding units" of either the Trust or a particular
Portfolio means, with respect to the approval of an investment advisory
agreement or a change in a fundamental investment restriction, the vote of the
lesser of (i) 67% of more of the units of the Trust or such Portfolio present at
a meeting, if the holders of more than 50% of the outstanding units of the Trust
or such Portfolio are present or represented by proxy, or (ii) more than 50% of
the outstanding units of the Trust or such Portfolio.
STATEMENTS CONTAINED IN THE PROSPECTUS OR IN THIS ADDITIONAL STATEMENT AS TO THE
CONTENTS OF ANY CONTRACT OR OTHER DOCUMENTS REFERRED TO ARE NOT NECESSARILY
COMPLETE, AND IN EACH INSTANCE REFERENCE IS MADE TO THE COPY OF SUCH CONTRACT OR
OTHER DOCUMENT FILED AS AN EXHIBIT TO THE REGISTRATION STATEMENT OF WHICH THE
PROSPECTUS AND THIS ADDITIONAL STATEMENT FORM A PART, EACH SUCH STATEMENT BEING
QUALIFIED IN ALL RESPECTS BY SUCH REFERENCE.
At a Special Meeting held on September 2, 1997 (the "Meeting" and adjourned to
September 16, 1997), the unitholders of each Portfolio (except as described
below) voted on two proposed new fundamental investment policies and a proposed
reorganization of the Portfolios into a corresponding series of a new Delaware
business trust (the "Delaware Trust").
At the Meeting, the unitholders of each Portfolio approved a proposed new
fundamental policy which will allow each Portfolio to invest in securities of
other investment companies to the full extent permitted under the 1940 Act and
any regulation or order of the SEC, notwithstanding the Portfolio's other
fundamental policies. This new policy will permit a Portfolio to implement the
"master-feeder" structure by investing all or substantially all of its assets in
a single open-end investment company. The unitholders of each Portfolio except
the U.S. Government Securities Portfolio and the International Bond Portfolio
(which is non-diversified and did not vote on the proposal) also approved a
proposed new fundamental issuer diversification policy which will require
diversification only to the extent required under the 1940 Act. The
aforementioned investment policies will become effective in connection with the
Trust's annual amendment to its registration statement to be filed in 1998 with
respect to those Portfolios whose unitholders have approved them at the meeting.
At the Meeting, each Portfolio except the U.S. Government Securities Portfolio
also approved a proposal to reorganize the Portfolio into a newly-established
series of the Delaware Trust. Because this reorganization was not approved with
respect to all of the Trust's Portfolios, it is uncertain whether any Portfolios
will be so reorganized. The Board of Trustees of the Trust will determine what
further actions, if any, will be taken with respect to this proposal.
B-59
<PAGE>
FINANCIAL STATEMENTS
The audited financial statements and related report of Ernst & Young LLP,
independent auditors, contained in the Annual Report for the fiscal year ended
November 30, 1996 are hereby incorporated herein by reference and attached
hereto.* No other parts of the Annual Report, including without limitation
"Management's Discussion of Portfolio Performance," are incorporated by
reference herein. Unaudited financial statements for each Portfolio for the six
months ended May 31, 1997, contained in the Semi-Annual Report dated May 31,
1997, are also attached hereto and incorporated by reference into this
Additional Statement* Copies of the Annual Report and the Semi-Annual Report may
be obtained by writing to Goldman, Sachs & Co., Funds Group, 4900 Sears Tower,
Chicago, Illinois 60606, or by calling Goldman, Sachs toll-free at 800-621-2550.
_________________________
/1/ The Intermediate Bond Portfolio had not commenced investment
operations at May 31, 1997.
*Financial Statements for periods indicated are included for the Short
Duration Portfolio as they were prepared jointly with the financial statements
for the other Portfolios. The Short Duration Portfolio terminated operations on
June 30, 1997.
B-60
<PAGE>
The
Benchmark Funds
Fixed Income
and
Equity
Portfolios
Semi-Annual Report
May 31, 1997
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Investment Outlook......................................................... 2
Fixed Income Portfolios
Statements of Investments
Bond Portfolio......................................................... 6
International Bond Portfolio........................................... 8
Short Duration Portfolio............................................... 9
Short-Intermediate Bond Portfolio...................................... 10
U.S. Government Securities Portfolio................................... 11
U.S. Treasury Index Portfolio.......................................... 12
Statements of Assets and Liabilities..................................... 13
Statements of Operations................................................. 14
Statements of Changes in Net Assets...................................... 15
Financial Highlights..................................................... 17
Equity Portfolios
Statements of Investments
Balanced Portfolio..................................................... 25
Diversified Growth Portfolio........................................... 27
Equity Index Portfolio................................................. 28
Focused Growth Portfolio............................................... 34
International Equity Index Portfolio................................... 36
International Growth Portfolio......................................... 46
Small Company Index Portfolio.......................................... 48
Statements of Assets and Liabilities..................................... 68
Statements of Operations................................................. 69
Statements of Changes in Net Assets...................................... 70
Financial Highlights..................................................... 72
Notes to the Financial Statements.......................................... 80
</TABLE>
- -------------------------------------------------------------------------------
OTHER INFORMATION
. The percentage shown for each investment category reflects the value of the
investments in that category as a percentage of net assets.
. Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes or, for floating rate securities, the
current reset rate.
. Stripped securities represent the right to receive either future interest
payments (interest only stripped securities) or principal payments
(principal only stripped securities). The value of variable rate interest
only stripped securities varies directly with changes in interest rates,
while the value of fixed rate interest only stripped securities and the
value of principal only stripped securities vary inversely with changes in
interest rates.
1
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
INVESTMENT OUTLOOK
WHAT HAS CHANGED
Financial markets moved higher during the period as the flow of economic data
remained market friendly. Weaker-than-expected retail sales and still-benign
inflation reports convinced investors that growth was slowing materially and
that price pressures did not warrant a tightening of Federal Reserve policy.
Bonds rallied on the good news and drew further support from the Treasury's
reduced financing calendar. Stocks also did well, moving further into record
territory amid increased volatility. Overseas, the financial outlook for
Europe remained ambiguous as European Monetary Union participants signed the
stability pact without reconciling France's desire to loosen the fiscal
discipline demanded by the Treaty.
ECONOMY: MODERATE GROWTH TO CONTINUE IN 1997
The pace of economic activity slowed significantly in the second quarter. Just
as first quarter final demand was artificially boosted by unseasonably good
weather, second quarter final demand has been artificially dampened by
unseasonably bad weather. But the underlying fundamentals for domestic demand,
plentiful employment opportunities, rising labor compensation, and increasing
household wealth remain favorable, suggesting that demand growth will pick up
in the second half of the year. Despite the softening in domestic demand,
foreign demand has been strong. The demand for U.S. exports has been
especially robust in Canada, Mexico, the United Kingdom, and Latin America.
After their surge in the first quarter, inventories continued to rise early in
the second three-month period of the year. Nevertheless, these inventories do
not yet appear to be increasing involuntarily as they continue to remain low
relative to sales. The labor markets remain tight as evidenced by an
unemployment rate below 5%. There continues to be anecdotal reports of
increased difficulties of finding qualified job applicants at current wage
rates. So far, the relative scarcity of labor has not translated into
appreciably higher core inflation. In recent months, however, there have been
indications of a marginal acceleration in the prices of consumer services. It
is in the service sector where the most vulnerability to higher inflation
lies. This sector's prices are less affected by the behavior of foreign
exchange rates because services are not traded internationally to the extent
that goods are. Because the service sector is more labor intensive than the
goods sector, tight labor market conditions could more quickly result in
higher prices for services. Despite signs of a slow drift up in service sector
inflation, consumer goods inflation shows no similar upward drift. Falling
energy prices have kept overall inflation well in check.
As long as the economy continues to grow near its potential, which is our
forecast, risks will remain on the side of a drift up in inflation. As a
result, the Federal Reserve will have a bias de facto if not de jure toward
tightening policy. To some degree, the Federal Reserve's latitude to act
preemptively against inflation may have been restricted by its past success in
holding down inflation. There is an evolving view that we are now in an
economic environment incapable of generating higher inflation. This belief is
especially popular in Congress currently, which opens up the Federal Reserve
to severe bipartisan criticism whenever it tightens. Also, with more people
coming off the welfare rolls because of system reforms, the Federal Reserve is
under political pressure to allow the economy to continue to grow relatively
rapidly in order to create employment opportunities for former welfare
recipients. But even if these pressures were to keep the Federal Reserve from
tightening as soon as it might otherwise do, the lack of inflation psychology
in the economy, the lack of big new government spending programs, continued
low inflation in the Group of Seven industrial nations, and a continued large
volume of goods being exported from China and former Iron Curtain countries
should still enable the Federal Reserve to remain in a fine-tuning tightening
mode rather than having to engage in tightening of a major countercyclical
nature.
THE BOND MARKET IS ATTRACTIVE
Rates fell moderately and the yield curve flattened during the period on
evidence of decelerating economic activity and still-benign inflation. Reduced
Treasury issuance, reflecting lowered funding needs due to the shrinking
federal deficit, helped to fuel the rally. By quarter's end, the market had
removed expectations of a rate hike at July's meeting of the Federal Open
Market Committee but continued to reflect one modest increase prior to years
end. The yield on the 10-year Treasury closed near its low for the quarter and
48 basis points below its mid-April highs.
Units of The Benchmark Funds are not bank deposits or obligations of, or
guaranteed, endorsed or otherwise supported by The Northern Trust Company, its
parent company, or its affiliates, and are not Federally insured or guaranteed
by the U.S. Government, Federal Deposit Insurance Corporation, Federal Reserve
Board, or any other governmental agency. Investment in the portfolios involves
investment risks, including possible loss of principal amount invested.
2
<PAGE>
- -------------------------------------------------------------------------------
We continue to view the bond market as attractive and believe that today's
generous real yields provide adequate compensation for the risk that rates may
move temporarily higher due to cyclical pressures beyond those already
factored into the market. On a secular basis, we believe that the growth and
inflation assumptions underpinning the balanced budget agreement will require
that our elected representatives adhere to policies supportive of low
inflationary growth. Additionally, the implicit benchmarking provided by the
budget agreement heightens our longer-term confidence that U.S. fiscal policy
will stay on track. In the shorter term, surging tax receipts spawned by the
vibrant U.S. economy and ongoing efforts to downsize government spending have
created a very favorable supply/demand situation in the Treasury market.
Although the deficit has declined from $255 billion in fiscal 1993 to near $70
billion in fiscal 1997, net interest payments on outstanding government debt
have risen from $200 billion to $250 billion. On a purely technical basis, the
pool of interest payment cash flows increasingly outstripping the supply of
new government bonds supports higher Treasury prices. In addition, sharp
reductions in the supply of Treasuries should lessen recurring concerns about
potential selling by foreign central banks and/or hedge funds. Importantly, we
believe that the sound fiscal policies manifested in these favorable technical
trends should, over time, help reduce the risk premium priced into today's
bond yields.
In contrast, the fiscal outlook for Europe remains ambiguous,
notwithstanding France's recent decision to sign off on the European Monetary
Union stability pact. Growing uncertainties regarding the viability of
European Monetary Union and the timing of fundamental structural reform in
Europe appear to be making U.S. financial markets look relatively attractive.
U.S. debt securities have benefited versus German debt instruments as the
yield spread on 10-year U.S. versus German bonds has contracted nearly 35
basis points in the past six weeks. Risks to European investments are unlikely
to dissipate in the near future and favor a further reduction in the U.S.
market's risk premium.
Our characterization of the U.S. bond market remains modestly positive. Real
yields remain attractive, and we expect the balanced budget agreement to
promote bond-friendly policies in the years to come. In addition, the
combination of sound fiscal policies and reduced Treasury issuance should help
to lower the risk premium incorporated in today's yield structure. We
recommend positioning bond portfolios neutral to slightly long relative to
their benchmarks.
EARNINGS AND INTEREST RATES SHOULD CONTINUE TO SUPPORT EQUITIES
The market roared ahead from the corrective lows of early April, setting
record after record along the way. It climbed 20% in the quarter and broadened
in May and June to include small- and middle-capitalization stocks even as the
technology sector faltered a bit. Profits remained healthy as fears of labor
cost increases proved unfounded. Every time interest rates fell, stocks seemed
to rally to new highs. Add the ample liquidity of the public to good earnings
and lower rates, and the rally was not surprising even though its intensity
was. Certainly the biggest market story of the past 18 months has been the
incessant rise in stocks fueled by good fundamentals and strong liquidity,
completely overwhelming valuation concerns. The fundamentals are strong but
stocks look expensive; the fundamentals are consistently winning this
conundrum.
Most foreigners mistrust the U.S. market despite the three-year uptrend
mainly because valuations are rich and they have been persistently
underweighted. Foreigners en masse so far have refused to jump in. Yet the
trend may yet prove irresistible, and, coupled with strong individual demand
against a backdrop of falling rates, stocks could move still higher. For
example, if rates were to fall below their old low of 5.75% in the next 18
months, stocks could easily sell at between 23 and 24 times S&P 500 earnings
of nearly $50.00 per share. That translates to nearly 1,200 on the S&P 500,
double last July's correction low. If earnings are sustained via productivity
gains from the aggressive spending on technology, considerable upside is still
possible. These indeed are some concepts and possibilities we will address in
next month's roundtable discussion.
Volatility has been on the rise, and, unfortunately for investors' sleep
patterns, it appears set to stay. While point moves seem exaggerated, in
percentage terms the change is more reasonable. However, with high valuations
and ample liquidity, investors' response to news seems to push stocks up or
down at a faster pace. We would not be surprised to see 300- to 500-point
swings occur in any one week, but as the last few years have shown, investors
remain prepared to buy each dip, halting more downside action. Inflation and
interest rates still look good and there is little else to attract the long-
term investment dollar. Cash flow supports and pushes shares higher, but more
volatile trading days
3
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
INVESTMENT OUTLOOK--CONTINUED
and weeks are the result. We suggest riding through the short-term bumps as
long as the journey seems destined to end at higher levels.
FOREIGN MARKETS ARE BEING DRIVEN BY PROFITS AND LIQUIDITY
The past quarter proved quite profitable for most foreign bourses as EAFE
(Europe, Australia, Far East) rose about 12% led by a rebound in markets such
as Japan (up 12%), Hong Kong (up 21%), the core deutschemark block countries
(up 15%), and Spain (up 24%). In addition, the U.S. dollar fell about 10%
versus the yen while staying steady versus most other currencies, enhancing
Japanese returns to U.S.-based investors. The trigger for the various rallies
was benign interest rates coupled with improving profit prospects. For the
first time in nearly three years, onsensus earnings for Japan and Europe
actually rose. Pacific Rim problems remained in force outside of Hong Kong,
plagued by profit downgrades, a questionable electronic cycle, and the still
weak yen compared with year-ago levels. In addition, the traditional growth
region of the world has faced stiff competition for the investment dollar as
both Eastern Europe and Latin America compete strongly for growth investors.
In fact, last quarter Latin America also performed strongly as the stock
markets of Mexico, Argentina, Peru, and Brazil all rose at least 17%. We are
just back from a trip to Europe, and the view from there towards both Europe
and the rest of the world is very interesting. Of course, European Monetary
Union, in the wake of the French elections in which the Socialists were
returned to power, dominated concerns. Nonetheless, an upbeat attitude toward
Europe is strongly in evidence. Cyclically things are improving as growth in
1997 and 1998 is expected to rise 2.5% to 3%, profit estimates are being
raised, and restructuring and shareholder value have reached near manic
proportions. The key will be who delivers on the promises, but evidence
abounds that it is happening on a company-by-company basis.
Longer term, the benefits of European Monetary Union will kick in and
further spur growth beyond 1999, in most people's view. The situation in the
short- and long-term looks good, but many leading strategists are a bit
concerned over valuation levels as prices seem to reflect a lot of good news.
However, the fundamentals look good, liquidity is ample, and restructuring is
just beginning. In view of the last seven years in the U.S., the optimists see
several years of good earnings in Europe, especially since spending on
technology (and thus the productivity benefits) still significantly lags the
U.S. Stocks are selling at mid to high teens price/earnings ratios, and with
most of the earnings cycle still ahead, Europe looks attractive even though a
correction or consolidation is expected after a 20% gain in 1996 and a 25% to
30% climb to date in 1997. As one observer put it, the stronger dollar is just
icing on the cake.
Most U.K. investors also are bullish on Japan and cautious on Asia,
following the relative earnings momentum. More than one person observed that
after badly missing the last 30-month rally in the U.S., global investors
cannot afford to miss a big rally in the second-biggest world market. Thus,
some of the bullishness is perhaps defensive, but nonetheless, Japan is viewed
positively with various objectives of 15% to 25% higher prices from present
levels, a potential we agree with, at least on the lower end. In the rest of
Asia, the consensus is "long and wrong" although a heavy weighting in Hong
Kong has helped ease the pain of poor performance in Malaysia, Singapore, the
Philippines, and especially Thailand. As growth in Southeast Asia has slowed
and consequently has picked up in Latin America, investment flows have
certainly moved toward the Latin markets. As detailed earlier, the view on the
U.S. market is a bit mixed, but generally Europeans see earnings peaking and
the market as having run too far, certainly in regards to jumping in now after
several years of underweighting positions and poor relative performance in
their global accounts.
July 8, 1997
4
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
5
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Description
- -----------------------------------------------
Principal Maturity
Amount Rate Date Value
- -----------------------------------------------
BOND PORTFOLIO
<C> <S> <C> <C>
ASSET-BACKED SECURITIES--2.2%
AUTOMOTIVE--2.2%
General Motors
Acceptance Corp.
Series: 1993-B,
Class A
$ 426 4.000% 09/15/98 $ 424
WFS Financial Owner
Trust
Series: 1997-A,
Class A-3
10,000 6.500 09/20/01 9,995
--------
10,419
--------
HOME EQUITY LOANS--0.0%
U.S. Home Equity
Loan, Series: 1991-
2
62 8.500 04/15/21 62
- -----------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $10,483) $ 10,481
- -----------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--
10.7%
American Southwest
Financial Securities
Corp., Series: 1996
FHA-1, Class A-1
$ 9,585 6.675% 12/25/01 $ 9,576
Countrywide Funding
Corp.,
Series: 1993-1,
Class A-4
13,567 4.384 10/25/23 11,597
Countrywide Mortgage
Backed Securities
Inc., Series: 1993-
D, Class A-11
6,047 5.796 01/25/09 4,645
Delta Funding Corp.,
Interest Only
Stripped Security*,
Series: 1991-1,
Class A-4(/1/)
-- -- 01/01/06 116
Donaldson, Lufkin, &
Jenrette
Mortgage Acceptance
Corp.,
Adjustable Rate,
Interest Only
Stripped Security*,
Series: 1995-QE9
-- -- 11/25/25 1,183
Donaldson, Lufkin, &
Jenrette
Mortgage Acceptance
Corp.,
Series: 1994-Q8,
Class 2-A1
4,864 7.250 05/25/24 4,834
PaineWebber Mortgage
Acceptance Corp.,
Series: 1993-9,
Class A-15
7,919 7.000 10/25/23 7,632
PNC Mortgage
Securities Corp.,
Series: 1996-PR1,
Class A(/1/)
10,207 8.151 04/28/27 10,345
- -----------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $50,949) $ 49,928
- -----------------------------------------------
CORPORATE AND FOREIGN GOVERNMENT BONDS--
11.2%
FINANCIAL--1.0%
General Motors
Acceptance Corp.
$ 4,285 8.875% 06/01/00 $ 4,856
--------
</TABLE>
<TABLE>
<CAPTION>
Description
- -----------------------------------------
Principal Maturity
Amount Rate Date Value
- -----------------------------------------
<C> <S> <C> <C>
FOREIGN GOVERNMENT BOND--3.4%
Quebec Province,
Canada Medium Term
Note
$15,450 7.220% 07/22/36 $15,899
-------
INDUSTRIAL--1.7%
Penney (J.C.) & Co.,
Inc.
7,700 6.900 08/15/03 7,691
-------
INSURANCE SERVICES--2.7%
Lumberman's Mutual
Casualty Co.
6,000 9.150 07/01/26 6,432
Anthem
Insurance(/1/)
6,000 9.000 04/01/27 6,071
-------
12,503
-------
SANITARY SERVICES--2.4%
WMX Technologies
11,000 7.100 08/01/03 11,041
- -----------------------------------------
TOTAL CORPORATE AND FOREIGN
GOVERNMENT BONDS (Cost
$50,881) $51,990
- -----------------------------------------
U.S. GOVERNMENT AGENCIES--9.3%
COLLATERALIZED MORTGAGE OBLIGATIONS--
9.3%
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
INTEREST ONLY STRIPPED SECURI-
TY*--0.0%
Series: 1392, Class
S
$ -- --% 09/15/18 $ 31
-------
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
PRINCIPAL ONLY STRIPPED SECU-
RITY*--0.1%
Series: G011, Class
B
912 -- 04/25/23 636
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--4.1%
Series: 1991-127,
Class SA
588 11.658 09/25/98 601
Series: 1996-M4,
Class A
8,479 7.750 03/17/17 8,563
Series: 1990-3,
Class 3-D
604 8.500 07/25/18 609
Series: 1992-73,
Class G
7,500 7.500 04/25/21 7,562
Series: 1886, Class
SD
2,306 2.550 12/15/23 1,605
-------
18,940
-------
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST
INTEREST ONLY STRIPPED SECURI-
TIES*--1.1%
Series: G-12, Class
S
-- -- 05/25/21 509
Series: 1997-20,
Class IO
-- -- 03/25/27 4,482
-------
4,991
-------
</TABLE>
See accompanying notes to financial statements.
6
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ------------------------------------------
Principal
Amount/ Maturity
Shares Rate Date Value
- ------------------------------------------
<C> <S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST
PRINCIPAL ONLY STRIPPED SECU-
RITIES*--4.0%
Series: 1993-161,
Class B
$ 3,641 --% 10/25/18 $ 3,470
Series: 1993-132,
Class D
1,947 -- 10/25/22 969
Series: 1993-184,
Class L
7,585 -- 09/25/23 4,731
Series: 1993-205,
Class EA
3,150 -- 09/25/23 2,072
Series: 1994-9,
Class G
1,623 -- 11/25/23 1,532
Series: 1996-14,
Class PR
9,000 -- 01/25/24 5,727
--------
18,501
--------
MORTGAGE-BACKED SECURITIES--
0.0%
FEDERAL HOME LOAN MORTGAGE
CORP.--0.0%
$ 1 6.500% 06/01/04 $ 1
- ------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $42,341) $ 43,100
- ------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--
47.3%
U.S. TREASURY NOTES--35.4%
$23,600 6.750% 05/31/99 $ 23,836
28,745 6.870 08/31/99 29,109
3,300 7.750 01/31/00 3,413
85,400 6.625 07/31/01 85,853
21,675 7.500 02/15/05 22,789
--------
165,000
--------
U.S. TREASURY BONDS--11.9%
41,365 7.125 02/15/23 41,947
15,000 6.125 02/15/26 13,202
--------
55,149
- ------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $220,710) $220,149
- ------------------------------------------
PREFERRED STOCKS--9.6%
AGENCY--3.2%
15,000 Home Ownership
Funding Corp. $ 14,806
--------
ENTERTAINMENT AND LEISURE--1.8%
8,450 Lazara Corp. 8,440
--------
FINANCIAL--1.8%
8,190 Marquette Real
Estate Funding
Corp. 8,142
--------
REAL ESTATE--2.8%
8,600 1585 Broadway Corp. 8,582
4,600 Tier One Properties,
Inc. 4,631
--------
13,213
- ------------------------------------------
TOTAL PREFERRED STOCKS (Cost
$44,854) $ 44,601
- ------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
FLOATING RATE BANK NOTES--5.5%
Lloyds Bank PLC
$11,450 5.875% 06/13/97 $ 10,470
National Australia
Bank
3,000 6.181 10/15/97 2,712
National Westminster
Bank
13,800 5.938 08/29/97 12,343
- -------------------------------------------
TOTAL FLOATING RATE BANK NOTES
(Cost $24,194) $ 25,525
- -------------------------------------------
SHORT-TERM INVESTMENT--5.4%
Bank of Tokyo-
Mitsubishi, Grand
Cayman
$25,261 5.750% 06/02/97 $ 25,261
- -------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $25,261) $ 25,261
- -------------------------------------------
TOTAL INVESTMENTS--101.2%
(Cost $469,673) $471,035
- -------------------------------------------
Liabilities, less other as-
sets--(1.2)% (5,346)
- -------------------------------------------
NET ASSETS--100.0% $465,689
- -------------------------------------------
- -------------------------------------------
</TABLE>
*At May 31, 1997, effective yields on these Interest Only and Principal Only
stripped securities ranged from approximately 5.00% to 15.00%.
(/1/)At May 31, 1997, the Portfolio owned restricted securities valued at
approximately $16,532,000 (3.6% of net assets), with an aggregate cost basis
of $16,799,000. These securities may not be publicly sold without
registration under the Securities Act of 1933 (the 1933 Act). The value of
these securities is determined by valuations supplied by a pricing service or
brokers or, if not available, in good faith by or at the direction of the
Trustees.
See accompanying notes to financial statements.
7
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Local
Currency/
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
INTERNATIONAL BOND PORTFOLIO
<C> <S> <C> <C>
DEBT OBLIGATIONS--95.0%
AUSTRALIAN DOLLAR--4.8%
Commonwealth of
Australia
1,580 10.000% 10/15/02 $ 1,368
-------
BELGIAN FRANC--2.0%
Kingdom of Belgium
18,275 7.500 07/29/08 573
-------
BRITISH POUND STERLING--17.6%
Abbey National PLC
825 6.000 08/10/99 1,317
Lloyds Bank PLC
800 7.375 03/11/04 1,289
Treasury of Great
Britain
1,420 8.000 06/10/03 2,420
-------
5,026
-------
CANADIAN DOLLAR--6.7%
Province of Ontario
1,050 7.300 09/27/05 786
Province of Quebec
1,325 10.300 10/15/01 1,112
-------
1,898
-------
DANISH KRONE--6.0%
Kingdom of Denmark
10,100 8.000 03/15/06 1,718
-------
FRENCH FRANC--4.4%
Electricite de
France
6,200 8.600 04/09/04 1,259
-------
GERMAN MARK--14.6%
Federal Republic of
Germany
1,795 6.300 01/04/24 989
LKB Global Bond
1,500 6.000 05/10/99 915
Republic of Austria
1,670 8.000 01/30/02 1,104
Republic of Finland
1,920 5.500 02/09/01 1,162
-------
4,170
-------
ITALIAN LIRA--8.8%
Republic of Italy
4,000,000 8.500 04/01/04 2,514
-------
JAPANESE YEN--15.4%
Asian Development
Bank
90,000 5.000 02/05/03 884
European Bank for
Reconstruction and
Development
95,000 5.900 11/26/99 904
</TABLE>
<TABLE>
<CAPTION>
Description
- -----------------------------------------
Local
Currency/
Principal Maturity
Amount Rate Date Value
- -----------------------------------------
<C> <S> <C> <C>
International Bank
for Reconstruction
and Development
100,000 4.500% 03/20/03 $ 967
Japan Development
Bank
160,000 6.500 09/20/01 1,630
-------
4,385
-------
NETHERLANDS GUILDER--5.4%
Kingdom of the
Netherlands
2,615 8.500 03/15/01 1,546
-------
SPANISH PESETA--4.6%
Kingdom of Spain
120,000 11.300 01/15/02 1,014
35,000 10.000 02/28/05 293
-------
1,307
-------
SWEDISH KRONA--4.0%
Kingdom of Sweden
7,400 10.300 05/05/03 1,137
-------
UNITED STATES DOLLAR--0.7%
U.S. Treasury Bond
200 7.100 02/15/23 203
- -----------------------------------------
TOTAL DEBT OBLIGATIONS (Cost
$26,864) $27,104
- -----------------------------------------
SHORT-TERM INVESTMENT--2.6%
United States Dollar
Bank of Tokyo-
Mitsubishi, Grand
Cayman
$ 746 5.750% 06/02/97 $ 746
- -----------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $746) $ 746
- -----------------------------------------
TOTAL INVESTMENTS--97.6% $27,850
(Cost $27,610)
- -----------------------------------------
Other assets, less liabili-
ties--2.4% 671
- -----------------------------------------
NET ASSETS--100.0% $28,521
- -----------------------------------------
- -----------------------------------------
</TABLE>
See accompanying notes to financial statements.
8
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------------------
SHORT DURATION PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATION--
11.0%
U.S. Treasury Note
$ 5,000 5.875% 11/15/99 $ 4,948
- ----------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TION
(Cost $5,009) $ 4,948
- ----------------------------------------------------
FOREIGN CERTIFICATE OF DEPOS-
IT--2.2%
Sanwa Bank, New York
Branch
$ 1,000 5.630% 06/23/97 $ 1,000
- ----------------------------------------------------
TOTAL FOREIGN CERTIFICATE OF
DEPOSIT
(Cost $1,000) $ 1,000
- ----------------------------------------------------
COMMERCIAL PAPER--66.1%
ASSET-BACKED SECURITIES--4.4%
Kitty Hawk Funding
Corp.
$ 1,000 5.728% 06/20/97 $ 997
Variable Funding
Capital
1,000 5.611 06/10/97 998
-------
1,995
-------
BROKERAGE SERVICES--2.2%
Morgan Stanley
Group, Inc.
1,000 5.621 06/30/97 995
-------
INDUSTRIAL MACHINES AND COM-
PUTER EQUIPMENT--4.6%
International
Business Machines
Corp.
100 5.525 06/26/97 99
John Deere Capital
Corp.
2,000 5.482 06/26/97 1,992
-------
2,091
-------
ELECTRONIC AND OTHER ELECTRICAL
COMPONENTS--4.4%
General Electric
Capital Corp.
2,000 5.506 06/30/97 1,991
-------
EXECUTIVE, LEGISLATIVE & GEN-
ERAL GOVERNMENT--2.2%
APEX Funding Corp.
1,000 5.625 06/25/97 996
-------
GENERAL MERCHANDISE STORES--
4.4%
Sears Roebuck
Acceptance Corp.
2,000 5.506 06/30/97 1,991
-------
INSURANCE CARRIERS--8.4%
New Center Asset
Trust
2,000 5.506 06/30/97 1,991
NFC Asset Trust
1,000 5.636 06/24/97 996
Special Purpose
Accounts Receivable
Cooperative Corp.
800 5.617 06/10/97 799
-------
3,786
-------
</TABLE>
<TABLE>
<CAPTION>
Description
- ------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------
<C> <S> <C> <C>
NONDEPOSITORY BUSINESS CREDIT
INSTITUTIONS--22.2%
American Express
Credit Co.
$ 2,000 5.556% 06/30/97 $ 1,991
American General
Finance Corp.
2,000 5.591 06/30/97 1,991
Associates
Corporation of North
America
2,000 5.519 06/30/97 1,991
Beneficial Corp.
2,000 5.516 06/30/97 1,991
Household Finance
Corp.
2,000 5.476 06/30/97 1,991
-------
9,955
-------
REAL ESTATE--2.2%
SRD Finance, Inc.
1,000 5.631 06/26/97 996
-------
TRANSPORTATION--11.1%
Chrysler Financial
Corp.
2,000 5.576 06/27/97 1,992
Ford Credit Canada
Ltd.
1,000 5.655 06/10/97 998
General Motors
Acceptance Corp.
2,000 5.536 06/30/97 1,991
-------
4,981
- ------------------------------------------
TOTAL COMMERCIAL PAPER
(Cost $29,777) $29,777
- ------------------------------------------
SHORT-TERM INVESTMENT--1.0%
Bank of Montreal,
Canada
$ 462 5.688% 06/02/97 $ 462
- ------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $462) $ 462
- ------------------------------------------
REPURCHASE AGREEMENT--22.2%
Bear Stearns & Co.,
Inc., Dated
05/30/97, Repurchase
Price $10,005 (U.S.
Government
Securities
Collateralized)
$10,000 5.700% 06/02/97 $10,000
- ------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $10,000) $10,000
- ------------------------------------------
TOTAL INVESTMENTS--102.5%
(Cost $46,248) $46,187
- ------------------------------------------
Liabilities, less other as-
sets--(2.5)% (1,138)
- ------------------------------------------
NET ASSETS--100.0% $45,049
- ------------------------------------------
- ------------------------------------------
</TABLE>
See accompanying notes to financial statements.
9
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- --------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- --------------------------------------------------------
SHORT-INTERMEDIATE BOND PORTFOLIO
<C> <S> <C> <C>
ASSET-BACKED SECURITIES--9.0%
AUTOMOTIVE--9.0%
Olympic Automobile
Receivables Trust
$ 2,931 5.950% 11/15/99 $ 2,937
2,062 7.875 07/15/01 2,099
Olympic Automobile
Receivables Trust,
Interest Only
Stripped Security*
-- -- 01/15/99 925
Premier Auto Trust
1,177 4.750 02/02/00 1,174
Western Financial
Automobile Loan
Trust
Series: 1992, Class
3
192 4.700 01/01/98 192
Series: 1994-4,
Class A-1
1,083 7.100 01/01/00 1,088
Series: 1997-A,
Class A-3
5,800 6.500 09/20/01 5,797
- --------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $14,693) $ 14,212
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--
17.6%
Donaldson, Lufkin &
Jenrette
Mortgage Acceptance
Corp.,
Series: 1994-Q8,
Class 2-A1
$ 2,091 7.250% 05/25/24 $ 2,078
Financial Asset
Securitization,
Inc.,
Series: 1997-NAMC,
Class FXA-3
6,074 7.350 04/25/27 6,083
GE Capital Mortgage
Services, Inc.,
Series: 1994-15,
Class A-16
8,299 6.000 04/25/09 7,841
PNC Mortgage
Securities Corp.,
Series: 1996-PR1,
Class A
2,932 8.150 04/28/27 2,971
Prudential Home
Mortgage Securities
Co.,
Series: 94-1, Class
A
9,143 6.000 02/25/09 8,869
- --------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $28,040) $ 27,842
- --------------------------------------------------------
CORPORATE OBLIGATIONS--10.2%
BROKERAGE SERVICES--7.1%
Donaldson, Lufkin &
Jenrette, Inc.
Medium Term Note
$ 6,500 5.625% 02/15/16 $ 6,227
Salomon Brothers,
Inc. Medium Term
Notes
3,000 5.500 01/31/98 2,984
2,000 5.700 02/11/98 1,991
--------
11,202
--------
ELECTRICAL UTILITY--3.1%
Tenaga Nasional
Berhad
4,800 7.200 04/29/07 4,852
- --------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS
(Cost $16,272) $ 16,054
- --------------------------------------------------------
U.S. GOVERNMENT AGENCIES--7.8%
COLLATERALIZED MORTGAGE OBLIGATIONS--
7.8%
FEDERAL HOME LOAN MORTGAGE AS-
SOCIATION REMIC TRUST PRINCI-
PAL ONLY STRIPPED SECURITY*--
2.7%
Series: 1571, Class
BA
$ 4,490 --% 04/15/19 $ 4,215
--------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--3.6%
Series: 1996-M4,
Class A
$ 5,652 7.750% 03/17/17 $ 5,709
--------
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST PRINCIPAL
ONLY STRIPPED SECURITIES*--
1.5%
Series: 1993-161,
Class B
910 -- 10/25/18 868
Series: 1994-9,
Class G
1,623 -- 11/25/23 1,532
--------
2,400
- -------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $11,156) $ 12,324
- -------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--
48.6%
U.S. TREASURY NOTES--48.6%
$ 4,000 5.375% 05/31/98 $ 3,981
2,000 5.125 11/30/98 1,974
23,525 6.750 05/31/99 23,760
13,675 6.875 08/31/99 13,848
11,900 7.750 01/31/00 12,305
4,000 5.500 12/31/00 3,883
4,890 6.625 06/30/01 4,915
12,000 6.625 07/31/01 12,064
- -------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $77,003) $ 76,730
- -------------------------------------------
SHORT-TERM INVESTMENT--9.2%
Bank of Tokyo-
Mitsubishi, Grand
Cayman
<CAPTION>
$14,515 5.750% 06/02/97 $ 14,515
- -------------------------------------------
<C> <S> <C> <C>
TOTAL SHORT-TERM INVESTMENT
(Cost $14,515) $ 14,515
- -------------------------------------------
TOTAL INVESTMENTS--102.4%
(Cost $161,679) $161,677
- -------------------------------------------
Liabilities, less other as-
sets--(2.4)% (3,756)
- -------------------------------------------
NET ASSETS--100.0% $157,921
- -------------------------------------------
- -------------------------------------------
</TABLE>
*At May 31, 1997, effective yields on these Interest Only and Principal Only
stripped securities ranged from approximately 5.00% to 7.00%.
See accompanying notes to financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCIES--33.6%
COLLATERALIZED MORTGAGE OBLIGATIONS--
26.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
3.1%
Series: 1296, Class
H
$ 1,781 11.956% 07/15/99 $ 1,911
Series: 1520, Class
F
672 5.650 09/15/04 666
--------
2,577
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--23.5%
Series: 1991-127,
Class S
2,590 11.979 09/25/98 2,716
Series: 1997-M1,
Class A
3,343 6.783 01/17/03 3,342
Series: 1993-085,
Class PD
4,191 5.500 07/25/03 4,163
Series: 1993-133,
Class EZ
3,734 5.850 02/25/17 3,658
Series: 1996-M4,
Class A
3,768 7.750 03/17/17 3,806
Series: 1992-200,
Class E
1,000 6.250 06/25/17 997
Series: 1998-14,
Class 14-F
246 9.200 12/25/17 253
Series: 1992-20,
Class IO,
Interest Only
Stripped Security*
-- -- 03/25/27 727
--------
19,662
--------
MORTGAGE-BACKED SECURITIES--4.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
0.6%
$ 493 7.722% 11/01/24 $ 506
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--
4.0%
3,139 7.776 01/01/31 3,304
--------
3,810
--------
AGENCY OBLIGATIONS--2.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
0.6%
$ 500 7.130% 06/30/05 $ 490
--------
TENNESSEE VALLEY AUTHORITY NOTE--1.8%
1,500 6.235 07/15/45 1,484
--------
1,974
- ----------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $27,976) $ 28,023
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--76.4%
U.S. TREASURY NOTES
$ 7,000 5.500% 11/15/98 $ 6,946
9,000 6.750 05/31/99 9,090
12,000 7.750 01/31/00 12,409
25,000 6.125 07/31/00 24,820
715 6.625 06/30/01 719
9,840 6.625 07/31/01 9,892
- -------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $64,244) $ 63,876
- -------------------------------------------
SHORT-TERM INVESTMENT--3.6%
Federal Home Loan
Bank Discount Note
$ 2,995 5.400% 06/02/97 $ 2,995
- -------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $2,995) $ 2,995
- -------------------------------------------
TOTAL INVESTMENTS--113.6%
(Cost $95,215) $ 94,894
- -------------------------------------------
Liabilities, less other as-
sets--(13.6)% (11,328)
- -------------------------------------------
NET ASSETS--100.0% $ 83,566
- -------------------------------------------
</TABLE>
*At May 31, 1997, the effective yield on this Interest Only stripped security
was 7.00%.
See accompanying notes to financial statements.
11
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
U.S. TREASURY INDEX PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--
95.0%
U.S. TREASURY NOTES--66.6%
$1,115 9.250% 08/15/98 $ 1,157
6,100 5.000 01/31/99 5,994
1,400 5.250 02/28/99 1,385
850 7.875 11/15/99 880
3,800 7.750 01/13/00 3,929
2,100 6.500 05/31/01 2,103
4,000 6.250 02/15/03 3,945
1,000 6.250 02/15/07 973
-------
20,366
-------
U.S. TREASURY BONDS--28.4%
435 13.875 05/15/11 640
660 14.000 11/15/11 989
490 13.250 05/15/14 742
1,250 7.250 05/15/16 1,286
900 8.125 05/15/21 1,015
1,700 6.250 08/15/23 1,549
2,500 6.875 08/15/25 2,469
-------
8,690
- ------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $29,184) $29,056
- ------------------------------------------------------
SHORT-TERM INVESTMENT--3.6%
Federal Home Loan
Bank Discount Note
$1,095 5.400% 06/02/97 $ 1,095
- ------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $1,095) $ 1,095
- ------------------------------------------------------
TOTAL INVESTMENTS--98.6%
(Cost $30,279) $30,151
- ------------------------------------------------------
Other assets, less liabili-
ties--1.4% 445
- ------------------------------------------------------
NET ASSETS--100.0% $30,596
- ------------------------------------------------------
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
12
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
May 31, 1997
(All amounts in thousands, except net asset value per unit)
(Unaudited)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securi-
ties, at cost $469,673 $27,610 $36,248 $161,679 $95,215 $30,279
Repurchase agreement, at
cost -- -- 10,000 -- -- --
- ---------------------------------------------------------------------------------------------
Investments in securi-
ties, at value $471,035 $27,850 $36,187 $161,677 $94,894 $30,151
Repurchase agreement, at
value -- -- 10,000 -- -- --
Cash and foreign curren-
cies 1,095 22 -- 848 308 4
Unrealized appreciation
on forward foreign cur-
rency contracts -- 25 -- -- -- --
Receivables:
Interest 6,332 607 18 1,642 1,281 444
Fund units sold 199 -- 1 200 -- --
Investment securities
sold -- -- -- -- 19 --
Foreign tax reclaims -- 17 -- -- -- --
Administrator 11 -- 7 8 6 6
Deferred organization
costs, net 8 29 19 8 11 8
Other assets 6 9 4 1 2 1
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS 478,686 28,559 46,236 164,384 96,521 30,614
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Payable for:
Investment securities
purchased 9,997 -- -- 5,798 -- --
Fund units redeemed 2,818 -- 1,138 600 12,913 --
Distributions to
unitholders -- -- 28 -- -- --
Accrued expenses:
Advisory fees 99 17 6 33 21 4
Administration fees 39 4 4 13 8 3
Transfer agent fees 8 -- -- 1 1 --
Custodian fees 3 7 4 4 2 2
Other liabilities 33 10 7 14 10 9
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES 12,997 38 1,187 6,463 12,955 18
- ---------------------------------------------------------------------------------------------
NET ASSETS $465,689 $28,521 $45,049 $157,921 $83,566 $30,596
- ---------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $463,078 $28,096 $45,654 $157,909 $84,182 $31,677
Accumulated undistrib-
uted net investment in-
come 318 320 35 171 122 43
Accumulated net realized
gains (losses) on in-
vestments, forward for-
eign currency contracts
and foreign currency
transactions 931 (159) (579) (157) (417) (996)
Net unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions 1,362 265 (61) (2) (321) (128)
Net unrealized losses on
translation of other
assets and liabilities
denominated in foreign
currencies -- (1) -- -- -- --
- ---------------------------------------------------------------------------------------------
NET ASSETS $465,689 $28,521 $45,049 $157,921 $83,566 $30,596
- ---------------------------------------------------------------------------------------------
Total units outstanding
(no par value), unlim-
ited units authorized
Class A 20,069 1,401 4,515 7,753 4,008 1,454
Class C 2,726 -- -- -- 186 --
Class D 8 3 -- 23 15 69
- ---------------------------------------------------------------------------------------------
Net asset value, offer-
ing and redemption price
per unit
Class A $ 20.42 $ 20.32 $ 9.98 $ 20.31 $ 19.85 $ 20.09
Class C $ 20.42 -- -- -- $ 19.85 --
Class D $ 20.40 $ 20.28 -- $ 20.26 $ 19.81 $ 20.05
- ---------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
13
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTEREST INCOME: $13,260 $ 985(a) $1,355 $5,276 $2,677 $885
- ---------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,184 134 98 453 260 57
Administration fees 292 33 55 148 96 32
Transfer agent fees 30 2 -- 8 6 2
Custodian fees 24 34 19 15 11 11
Registration fees 23 11 7 14 14 12
Unitholder servicing
fees 17 -- -- 1 3 1
Professional fees 9 2 2 4 2 2
Amortization of deferred
organization costs 7 8 10 7 7 7
Trustee fees and ex-
penses 5 1 1 2 1 1
Other 8 6 3 3 3 3
- ---------------------------------------------------------------------------------------------
TOTAL EXPENSES 1,599 231 195 655 403 128
Less voluntary waivers
of:
Investment advisory
fees (691) (30) (61) (264) (152) (36)
Administration fees (95) (19) -- (73) (53) (18)
Less: Expenses reimburs-
able by Administrator (74) (38) (73) (46) (37) (35)
- ---------------------------------------------------------------------------------------------
Net expenses 739 144 61 272 161 39
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 12,521 841 1,294 5,004 2,516 846
Net realized gains
(losses) on:
Investment transactions 3,370 112 3 (392) (110) 3
Foreign currency trans-
actions -- (279) -- -- -- --
Net change in unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions (8,873) (2,343) (44) (2,169) (670) (685)
Net change in unrealized
gains on translation of
other assets and
liabilities denominated
in foreign currencies -- 4 -- -- -- --
- ---------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $ 7,018 $(1,665) $1,253 $2,443 $1,736 $164
- ---------------------------------------------------------------------------------------------
</TABLE>
(a)Net of $19 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
14
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended May 31, 1997 (Unaudited) and the Year Ended November
30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Bond International Short Duration
Portfolio Bond Portfolio Portfolio
------------------ ---------------- ----------------
1997 1996 1997 1996 1997 1996
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM OPERA-
TIONS:
Net investment income $ 12,521 $ 21,225 $ 841 $ 1,892 $ 1,294 $ 2,571
Net realized gains
(losses) on
investments, forward
foreign currency
contracts and foreign
currency transactions 3,370 2,094 (167) 976 3 29
Net change in
unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions (8,873) (3,905) (2,343) 20 (44) --
Net change in
unrealized gains on
translations of other
assets and liabili-
ties denominated in
foreign currencies -- -- 4 6 -- --
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets result-
ing from operations 7,018 19,414 (1,665) 2,894 1,253 2,600
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
A UNITHOLDERS FROM:
Net investment income (11,517) (20,213) (551) (2,300) (1,294) (2,571)
Net realized gains -- -- (520) -- -- --
Return of capital -- (556) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class A unitholders (11,517) (20,769) (1,071) (2,300) (1,294) (2,571)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
C UNITHOLDERS FROM:
Net investment income (679) (264) -- -- -- --
Return of capital -- (7) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class C unitholders (679) (271) -- -- -- --
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
D UNITHOLDERS FROM:
Net investment income (7) (8) (1) (1) -- --
Net realized gains -- -- (1) -- -- --
Return of capital -- (1) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class D unitholders (7) (9) (2) (1) -- --
- --------------------------------------------------------------------------------
CLASS A UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 86,524 143,593 748 5,918 27,070 64,087
Reinvested distribu-
tions 10,439 18,565 874 1,747 1,269 2,425
Cost of units redeemed (48,338) (79,885) (4,609) (6,747) (25,062) (70,201)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class A
unit transactions 48,625 82,273 (2,987) 918 3,277 (3,689)
- --------------------------------------------------------------------------------
CLASS C UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 51,632 4,311 -- -- -- --
Reinvested distribu-
tions 679 271 -- -- -- --
Cost of units redeemed (4,423) (1,032) -- -- -- --
- --------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
Class C unit transac-
tions 47,888 3,550 -- -- -- --
- --------------------------------------------------------------------------------
CLASS D UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 67 127 9 41 -- --
Reinvested distribu-
tions 6 9 2 1 -- --
Cost of units redeemed (124) (37) -- -- -- --
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class D
unit transactions (51) 99 11 42 -- --
- --------------------------------------------------------------------------------
Net increase (decrease) 91,277 84,287 (5,714) 1,553 3,236 (3,660)
Net assets--beginning
of period 374,412 290,125 34,235 32,682 41,813 45,473
- --------------------------------------------------------------------------------
NET ASSETS--END OF PE-
RIOD $465,689 $374,412 $28,521 $34,235 $45,049 $41,813
- --------------------------------------------------------------------------------
ACCUMULATED UNDISTRIB-
UTED NET INVESTMENT
INCOME $ 318 $ -- $ 320 $ 31 $ 35 $ 35
- --------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
For the Six Months Ended May 31, 1997 (Unaudited) and the Year Ended November
30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Short-
Intermediate U.S. Government U.S. Treasury
Bond Portfolio Securities Portfolio Index Portfolio
------------------ ---------------------- ----------------
1997 1996 1997 1996 1997 1996
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM OPERA-
TIONS:
Net investment income $ 5,004 $ 9,828 $ 2,516 $ 4,572 $ 846 $ 1,035
Net realized gains
(losses) on invest-
ments (392) 392 (110) (58) 3 91
Net change in
unrealized
appreciation
(depreciation) on
investments (2,169) (1,308) (670) (201) (685) (239)
- --------------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
operations 2,443 8,912 1,736 4,313 164 887
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
A UNITHOLDERS FROM:
Net investment income (4,865) (9,596) (2,365) (4,393) (798) (1,005)
Net realized gains (414) -- -- -- -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class A unitholders (5,279) (9,596) (2,365) (4,393) (798) (1,005)
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
C UNITHOLDERS FROM:
Net investment income -- -- (97) (159) -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class C unitholders -- -- (97) (159) -- --
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
D UNITHOLDERS FROM:
Net investment income (13) (3) (7) (9) (30) (26)
Net realized gains (1) -- -- -- -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class D unitholders (14) (3) (7) (9) (30) (26)
- --------------------------------------------------------------------------------------
CLASS A UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 41,577 69,730 39,434 104,606 4,407 13,176
Reinvested distribu-
tions 4,692 8,697 2,232 4,198 682 746
Cost of units redeemed (39,639) (82,742) (53,746) (72,555) (1,513) (5,169)
- --------------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class A
unit transactions 6,630 (4,315) (12,080) 36,249 3,576 8,753
- --------------------------------------------------------------------------------------
CLASS C UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units -- -- 806 4,695 -- --
Reinvested distribu-
tions -- -- 97 159 -- --
Cost of units redeemed -- -- (712) (1,298) -- --
- --------------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
Class C unit transac-
tions -- -- 191 3,556 -- --
- --------------------------------------------------------------------------------------
CLASS D UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 138 328 94 210 839 592
Reinvested distribu-
tions 9 3 3 8 18 26
Cost of units redeemed (24) (2) (20) (60) (294) (66)
- --------------------------------------------------------------------------------------
Net increase in net
assets resulting from
Class D unit
transactions 123 329 77 158 563 552
- --------------------------------------------------------------------------------------
Net increase (decrease) 3,903 (4,673) (12,545) 39,715 3,475 9,161
Net assets--beginning
of period 154,018 158,691 96,111 56,396 27,121 17,960
- --------------------------------------------------------------------------------------
NET ASSETS--END OF PE-
RIOD $157,921 $154,018 $ 83,566 $ 96,111 $30,596 $27,121
- --------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIB-
UTED NET INVESTMENT
INCOME $ 171 $ 45 $ 122 $ 75 $ 43 $ 25
- --------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A
-------------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 20.77 $ 20.96 $ 18.29 $ 20.70 $ 20.00
Income from investment
operations:
Net investment income 0.64 1.29 1.17 1.42 1.42
Net realized and unrealized
gain (loss) (0.36) (0.19) 2.66 (2.21) 0.66
- --------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.28 1.10 3.83 (0.79) 2.08
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.63) (1.26) (1.14) (1.46) (1.38)
Net realized gain -- -- -- (0.15) --
Return of capital -- (0.03) (0.02) (0.01) --
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.63) (1.29) (1.16) (1.62) (1.38)
- --------------------------------------------------------------------------------
Net increase (decrease) (0.35) (0.19) 2.67 (2.41) 0.70
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.42 $ 20.77 $ 20.96 $ 18.29 $ 20.70
- --------------------------------------------------------------------------------
Total return (b) 1.38% 5.57% 21.55% (4.04)% 10.60%
Ratio to average net assets
of (c):
Expenses, net of waivers
and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36%
Expenses, before waivers
and reimbursements 0.81% 0.84% 0.84% 0.87% 0.92%
Net investment income, net
of waivers and
reimbursements 6.45% 6.39% 5.94% 7.31% 7.84%
Net investment income, be-
fore waivers and
reimbursements 6.00% 5.91% 5.46% 6.80% 7.28%
Portfolio turnover rate 59.12% 101.38% 74.19% 103.09% 89.06%
Net assets at end of period
(in thousands) $409,859 $366,850 $286,301 $257,391 $245,112
- --------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
17
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BOND PORTFOLIO--CONTINUED
<TABLE>
<CAPTION>
Class C Class D
-------------------------- ---------------------------------
1997 1996 1995 (a) 1997 1996 1995 1994 (b)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.78 $ 20.96 $20.21 $20.76 $ 20.94 $18.29 $18.74
Income from investment
operations:
Net investment income 0.59 1.25 0.47 0.63 1.22 1.08 0.28
Net realized and
unrealized gain (loss) (0.34) (0.18) 0.74 (0.40) (0.18) 2.66 (0.45)
- ---------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.25 1.07 1.21 0.23 1.04 3.74 (0.17)
- ---------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.61) (1.22) (0.45) (0.59) (1.19) (1.09) (0.28)
Return of capital -- (0.03) (0.01) -- (0.03) -- --
- ---------------------------------------------------------------------------------------
Total distributions to
unitholders (0.61) (1.25) (0.46) (0.59) (1.22) (1.09) (0.28)
- ---------------------------------------------------------------------------------------
Net increase (decrease) (0.36) (0.18) 0.75 (0.36) (0.18) 2.65 (0.45)
- ---------------------------------------------------------------------------------------
Net asset value, end of
period $ 20.42 $ 20.78 $20.96 $20.40 $ 20.76 $20.94 $18.29
- ---------------------------------------------------------------------------------------
Total return (c) 1.24% 5.33% 6.08% 1.19% 5.17% 21.06% (0.94)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.60% 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before
waivers and
reimbursements 1.05% 1.08% 1.08% 1.20% 1.23% 1.23% 1.26%
Net investment income,
net of waivers and
reimbursements 5.75% 6.09% 5.59% 6.01% 5.99% 5.48% 6.31%
Net investment income,
before waivers and
reimbursements 5.30% 5.61% 5.11% 5.56% 5.51% 5.00% 5.80%
Portfolio turnover rate 59.12% 101.38% 74.19% 59.12% 101.38% 74.19% 103.09%
Net assets at end of pe-
riod (in thousands) $55,664 $ 7,342 $3,704 $ 166 $ 220 $ 120 $ 15
- ---------------------------------------------------------------------------------------
</TABLE>
(a) Class C units were issued on July 3, 1995.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
18
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
INTERNATIONAL BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
------------------------------------- -------------------------
1997 1996 1995 1994 (a) 1997 1996 1995 (b)
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 22.16 $ 21.74 $ 19.93 $ 20.00 $22.14 $21.74 $22.17
Income from investment
operations:
Net investment income 0.60 1.54 1.26 0.79 0.47 1.37 0.02
Net realized and
unrealized gain (loss) (1.71) 0.43 2.28 0.01 (1.61) 0.51 (0.08)
- -------------------------------------------------------------------------------------------
Total income (loss) from
investment operations (1.11) 1.97 3.54 0.80 (1.14) 1.88 (0.06)
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
(c) (0.39) (1.55) (1.73) (0.87) (0.38) (1.48) (0.37)
Net realized gain (0.34) -- -- -- (0.34) -- --
- -------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.73) (1.55) (1.73) (0.87) (0.72) (1.48) (0.37)
- -------------------------------------------------------------------------------------------
Net increase (decrease) (1.84) 0.42 1.81 (0.07) (1.86) 0.40 (0.43)
- -------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.32 $ 22.16 $ 21.74 $ 19.93 $20.28 $22.14 $21.74
- -------------------------------------------------------------------------------------------
Total return (d) (5.10)% 9.47% 18.20% 4.03% (5.29)% 9.04% (0.30)%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.96% 0.96% 0.96% 0.96% 1.35% 1.35% 1.35%
Expenses, before waiv-
ers and reimbursements 1.56% 1.58% 1.47% 1.49% 1.95% 1.97% 1.86%
Net investment income,
net of waivers and re-
imbursements 5.64% 5.91% 5.92% 5.93% 5.04% 5.67% 3.26%
Net investment income,
before waivers and re-
imbursements 5.04% 5.29% 5.41% 5.40% 4.44% 5.05% 2.75%
Portfolio turnover rate 12.78% 33.89% 54.46% 88.65% 12.78% 33.89% 54.46%
Net assets at end of pe-
riod (in thousands) $28,464 $34,183 $32,673 $26,947 $ 57 $ 52 $ 9
- -------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 20, 1995.
(c) Distributions to unitholders from net investment income include amounts
relating to foreign currency transactions which are treated as ordinary
income for Federal income tax purposes.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
See accompanying notes to financial statements.
19
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
SHORT DURATION PORTFOLIO
<TABLE>
<CAPTION>
Class A
----------------------------------------------
1997 1996 1995 1994 1993 (a)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 9.99 $ 9.99 $ 9.97 $ 10.03 $ 10.00
Income from investment opera-
tions:
Net investment income 0.26 0.53 0.59 0.40 0.14
Net realized and unrealized
gain (loss) (0.01) -- 0.01 (0.05) 0.03
- -------------------------------------------------------------------------------
Total income from investment
operations 0.25 0.53 0.60 0.35 0.17
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.26) (0.53) (0.58) (0.40) (0.14)
Net realized gain -- -- -- (0.01) --
- -------------------------------------------------------------------------------
Total distributions to
unitholders (0.26) (0.53) (0.58) (0.41) (0.14)
- -------------------------------------------------------------------------------
Net increase (decrease) (0.01) -- 0.02 (0.06) 0.03
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.98 $ 9.99 $ 9.99 $ 9.97 $ 10.03
- -------------------------------------------------------------------------------
Total return (b) 2.59% 5.45% 6.14% 3.64% 1.73%
Ratio to average net assets of
(c):
Expenses, net of waivers and
reimbursements 0.25% 0.25% 0.25% 0.25% 0.32%
Expenses, before waivers and
reimbursements 0.80% 0.81% 0.80% 0.77% 0.50%
Net investment income, net of
waivers and reimbursements 5.31% 5.30% 5.80% 3.93% 3.00%
Net investment income, before
waivers and reimbursements 4.76% 4.74% 5.25% 3.41% 2.82%
Portfolio turnover rate 35.09% 828.58% 1,272.21% 1,364.00% 434.32%
Net assets at end of period
(in thousands) $45,049 $41,813 $45,473 $89,803 $186,765
- -------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on June 2, 1993.
(b) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
20
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
SHORT-INTERMEDIATE BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
----------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.70 $ 20.73 $ 19.53 $ 20.33 $ 20.00 $20.66 $20.71 $19.53 $19.82
Income from investment
operations:
Net investment income 0.67 1.14 1.02 0.97 0.85 0.63 1.07 0.94 0.23
Net realized and
unrealized gain (loss) (0.36) (0.01) 1.19 (0.80) 0.31 (0.36) (0.02) 1.18 (0.29)
- ------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.31 1.13 2.21 0.17 1.16 0.27 1.05 2.12 (0.06)
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.65) (1.16) (1.01) (0.97) (0.83) (0.62) (1.10) (0.94) (0.23)
Net realized gain (0.05) -- -- -- -- (0.05) -- -- --
- ------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.70) (1.16) (1.01) (0.97) (0.83) (0.67) (1.10) (0.94) (0.23)
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.39) (0.03) 1.20 (0.80) 0.33 (0.40) (0.05) 1.18 (0.29)
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.31 $ 20.70 $ 20.73 $ 19.53 $ 20.33 $20.26 $20.66 $20.71 $19.53
- ------------------------------------------------------------------------------------------------------------
Total return (c) 1.57% 5.68% 11.58% 0.84% 5.90% 1.37% 5.22% 11.09% (0.30)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36% 0.75% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and reimbursements 0.87% 0.88% 0.91% 0.95% 1.00% 1.26% 1.27% 1.30% 1.34%
Net investment income,
net of waivers and
reimbursements 6.63% 5.83% 5.14% 4.84% 4.79% 6.24% 4.96% 4.85% 4.42%
Net investment income,
before waivers and
reimbursements 6.12% 5.31% 4.59% 4.25% 4.15% 5.73% 4.44% 4.30% 3.83%
Portfolio turnover rate 36.24% 47.68% 54.68% 48.67% 19.48% 36.24% 47.68% 54.68% 48.67%
Net assets at end of pe-
riod (in thousands) $157,461 $153,675 $158,678 $96,209 $107,550 $ 460 $ 343 $ 13 $ 1
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
21
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
U.S. GOVERNMENT SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
Class A
---------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PE-
RIOD $ 20.07 $ 20.08 $ 19.05 $ 20.07 $ 20.00
Income from investment
operations:
Net investment income 0.58 1.02 1.05 0.91 0.55
Net realized and unrealized gain
(loss) (0.23) (0.01) 1.02 (1.02) 0.05
- --------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.35 1.01 2.07 (0.11) 0.60
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.57) (1.02) (1.04) (0.91) (0.53)
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.57) (1.02) (1.04) (0.91) (0.53)
- --------------------------------------------------------------------------------
Net increase (decrease) (0.22) (0.01) 1.03 (1.02) 0.07
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 19.85 $ 20.07 $ 20.08 $ 19.05 $ 20.07
- --------------------------------------------------------------------------------
Total return (d) 1.82% 5.15% 11.18% (0.57)% 3.00%
Ratio to average net assets
of (e):
Expenses, net of waivers and re-
imbursements 0.36% 0.36% 0.36% 0.36% 0.43%
Expenses, before waivers and
reimbursements 0.92% 0.94% 1.09% 1.12% 1.18%
Net investment income, net of
waivers and reimbursements 5.83% 5.22% 5.43% 4.62% 4.18%
Net investment income, before
waivers and reimbursements 5.27% 4.64% 4.70% 3.86% 3.43%
Portfolio turnover rate 68.48% 119.75% 141.14% 45.55% 20.59%
Net assets at end of period (in
thousands) $79,575 $92,351 $56,329 $25,293 $32,479
- --------------------------------------------------------------------------------
</TABLE>
(a)Commenced investment operations on April 5, 1993.
(b)Class C units were issued on December 29, 1995.
(c)Class D units were issued on September 15, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e)Annualized for periods less than a full year.
See accompanying notes to financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Class D
---------------- --------------------------------
<S> <C> <C> <C> <C> <C> <C>
1997 1996 (b) 1997 1996 1995 1994 (c)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.14 $20.13 $20.03 $20.04 $19.05 $19.43
Income from investment operations:
Net investment income 0.55 0.91 0.53 0.96 0.96 0.22
Net realized and unrealized gain (loss) (0.29) (0.12) (0.22) (0.03) 1.00 (0.38)
- ------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations 0.26 0.79 0.31 0.93 1.96 (0.16)
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
- ------------------------------------------------------------------------------------------------
Total distributions to unitholders (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) (0.29) (0.07) (0.22) (0.01) 0.99 (0.38)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $19.85 $20.06 $19.81 $20.03 $20.04 $19.05
- ------------------------------------------------------------------------------------------------
Total return (d) 1.72% 4.05% 1.63% 4.77% 10.66% (0.90)%
Ratio to average net assets of (e):
Expenses, net of waivers and
reimbursements 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before waivers and
reimbursements 1.16% 1.18% 1.31% 1.33% 1.48% 1.51%
Net investment income, net of waivers and
reimbursements 5.59% 4.97% 5.44% 4.83% 5.08% 4.65%
Net investment income, before waivers and
reimbursements 5.03% 4.39% 4.88% 4.25% 4.35% 3.89%
Portfolio turnover rate 68.48% 119.75% 68.48% 119.75% 141.14% 45.55%
Net assets at end of period (in thousands) $3,692 $3,535 $ 299 $ 225 $ 67 $ 13
- ------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
U.S. TREASURY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
--------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.60 $ 20.78 $ 18.77 $ 21.05 $ 20.00 $20.57 $20.75 $18.77 $18.80
Income from investment
operations:
Net investment income 0.59 1.19 1.11 1.15 0.95 0.55 1.17 1.00 0.09
Net realized and
unrealized gain (loss) (0.52) (0.18) 2.01 (1.93) 1.02 (0.52) (0.24) 2.03 (0.03)
- ---------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.07 1.01 3.12 (0.78) 1.97 0.03 0.93 3.03 0.06
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.58) (1.19) (1.11) (1.14) (0.92) (0.55) (1.11) (1.05) (0.09)
Net realized gain -- -- -- (0.36) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.58) (1.19) (1.11) (1.50) (0.92) (0.55) (1.11) (1.05) (0.09)
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.51) (0.18) 2.01 (2.28) 1.05 (0.52) (0.18) 1.98 (0.03)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.09 $ 20.60 $ 20.78 $ 18.77 $ 21.05 $20.05 $20.57 $20.75 $18.77
- ---------------------------------------------------------------------------------------------------------
Total return (c) 0.40% 5.10% 16.95% (3.80)% 9.94% 0.21% 4.72% 16.43% 0.37%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.26% 0.26% 0.26% 0.26% 0.26% 0.65% 0.65% 0.65% 0.65%
Expenses, before waiv-
ers and reimbursements 0.88% 1.04% 0.89% 0.79% 0.83% 1.27% 1.43% 1.28% 1.18%
Net investment income,
net of waivers and
reimbursements 5.98% 5.93% 5.09% 5.60% 5.11% 5.59% 5.57% 5.41% 6.05%
Net investment income,
before waivers and
reimbursements 5.36% 5.15% 4.46% 5.07% 4.54% 4.97% 4.79% 4.78% 5.52%
Portfolio turnover rate 28.92% 42.49% 80.36% 52.80% 77.75% 28.92% 42.49% 80.36% 52.80%
Net assets at end of pe-
riod (in thousands) $29,206 $26,273 $17,674 $37,305 $71,456 $1,390 $ 848 $ 286 $ --
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
24
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
BALANCED PORTFOLIO
<C> <S> <C>
COMMON STOCKS--57.4%
BANKING--1.1%
13,200 Banc One Corp. $ 571
-------
BROKERAGE AND FINANCIAL SERVICES--1.0%
14,000 Schwab (Charles) Corp. 569
-------
CHEMICALS AND ALLIED PRODUCTS--6.4%
11,600 American Home Products Corp. 885
2,800 Bristol-Myers Squibb Co. 205
3,200 du Pont (E.I.) de Nemours & Co. 348
9,400 Merck & Co., Inc. 845
11,800 Praxair, Inc. 621
6,000 Warner-Lambert Co. 605
-------
3,509
-------
COMMUNICATIONS--2.5%
20,600 Ameritech Corp. 1,349
-------
COMPUTERS AND OFFICE MACHINES--4.2%
11,300 Cisco Systems, Inc.* 766
6,600 Hewlett-Packard Co. 340
9,800 Microsoft Corp.* 1,215
-------
2,321
-------
CONSUMER PRODUCTS--3.2%
6,400 Proctor & Gamble Co. 882
9,500 Gillette Co. 844
-------
1,726
-------
CREDIT INSTITUTIONS--1.5%
24,450 MBNA Corp. 828
-------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--5.1%
19,400 General Electric Co. 1,171
7,200 Intel Corp. 1,091
10,300 Linear Technology Corp. 516
-------
2,778
-------
FOOD AND BEVERAGES--5.3%
10,000 Coca-Cola (The) Co. 683
14,400 PepsiCo, Inc. 529
23,700 Philip Morris Cos., Inc. 1,043
20,400 Starbucks Corp.* 643
-------
2,898
-------
HEALTH SERVICES--3.8%
25,300 Health Management Associates, Inc., Class A* 740
13,200 Johnson & Johnson Co. 790
7,700 Medtronic, Inc. 570
-------
2,100
-------
INSURANCE SERVICES--2.7%
5,400 American International Group, Inc. 731
6,700 MBIA, Inc. 719
-------
1,450
-------
MORTGAGE AGENCIES--1.4%
17,900 Federal National Mortgage Association 781
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- --------------------------------------------------------------
<C> <S> <C>
OIL AND GAS--6.7%
9,600 Chevron Corp. $ 672
13,400 Exxon Corp. 794
14,100 Noble Affiliates, Inc. 594
3,700 Royal Dutch Petroleum Co. ADR 722
7,300 Schlumberger Ltd. ADR 870
-------
3,652
-------
PAPER PRODUCTS--1.3%
14,400 Kimberly-Clark Corp. 722
-------
PROFESSIONAL SERVICE--5.0%
7,200 Cintas Corp. 446
6,800 Computer Sciences Corp.* 526
17,100 First Data Corp. 684
12,000 Newell Co. 459
12,700 Oracle Systems Corp.* 592
-------
2,707
-------
RETAIL--5.0%
8,100 Home Depot (The), Inc. 510
22,700 Staples, Inc.* 500
5,400 Tommy Hilfiger Corp.* 240
19,500 Walgreen Co. 912
20,000 Wal-Mart Stores, Inc. 595
-------
2,757
-------
TRANSPORTATION PARTS AND EQUIPMENT--1.2%
6,400 Boeing (The) Co. 674
- --------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $22,057) $31,392
- --------------------------------------------------------------
PREFERRED STOCKS--4.2%
AGENCY--1.8%
1,000 Home Ownership Funding Corp. $ 987
-------
ENTERTAINMENT AND LEISURE--1.8%
1,000 Lazara Corp. 999
-------
FINANCIAL--0.6%
330 Marquette Real Estate Funding Corp. 328
- --------------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $2,330) $ 2,314
- --------------------------------------------------------------
ASSET-BACKED SECURITIES--2.1%
FINANCIAL--2.1%
Olympic Automobile Receivables Trust
Series: 1995-D, Class A3
$ 513 5.950% Due 11/15/99 $ 514
Premier Auto Trust
Series: 1994-1, Class A3
82 4.750 Due 02/02/00 82
Western Financial Grantor Trust
Series: 1994-4, Class A1
108 7.100 Due 01/01/00 109
Western Financial Grantor Trust
Series: 1995-5, Class A1
463 5.875 Due 03/01/02 462
- --------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost $703) $ 1,167
- --------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------
BALANCED PORTFOLIO--CONTINUED
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS--2.1%
Donaldson, Lufkin & Jenrette
Mortgage Acceptance Corp.
Series: 1994-Q8, Class 2-A1
$ 276 7.250% Due 05/25/24 $ 275
Financial Asset Securitization, Inc.
Series: 1997-NAMC, Class FXA-3
900 7.350 Due 04/25/27 901
- -------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $1,633) $1,176
- -------------------------------------------------------------
CORPORATE AND FOREIGN GOVERNMENT BONDS--9.9%
FINANCIAL--4.7%
Equitable Life Assurance Co.
$ 400 6.950% Due 12/01/05 $ 389
Lehman Brothers Holdings, Inc.
570 7.375 Due 05/15/00 581
Lehman Brothers Holdings, Inc.
Medium Term Note
305 6.900 Due 01/29/01 304
Lumbermens Mutual Casualty Co.
350 9.150 Due 07/01/26 375
Prudential Insurance Co. of America
400 7.650 Due 07/01/07 400
Salomon, Inc. Medium Term Note
500 5.500 Due 01/31/98 497
-------
2,546
-------
INDUSTRIAL--0.8%
Penney (J. C.), Inc.
420 6.900 Due 08/15/26 420
-------
SANITARY SERVICES--1.5%
WMX Technologies, Inc.
800 7.100 Due 08/01/26 803
-------
SOVEREIGN--1.1%
Quebec Province, Canada Medium Term Note
600 7.220 Due 07/22/36 617
-------
UTILITY--1.8%
Tenaga Nasional Berhad
1,000 7.200 Due 04/29/07 1,011
- -------------------------------------------------------------
TOTAL CORPORATE AND FOREIGN GOVERNMENT BONDS (Cost
$5,373) $ 5,397
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCIES--2.7%
FEDERAL NATIONAL MORTGAGE ASSOCIATION REMIC TRUST--2.7%
Series: 1991-37, Class G
$ 250 8.150% Due 08/25/05 $ 254
Series: 1992-200, Class E
500 6.250 Due 06/25/17 499
Series: 1996-M4, Class A
707 7.750 Due 03/17/17 714
- -------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES (Cost $1,446) $ 1,467
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS--13.5%
U.S. TREASURY NOTES--13.5%
$ 450 5.375% Due 05/31/98 $ 448
835 6.750 Due 05/31/99 843
640 6.875 Due 08/31/99 648
175 6.250 Due 05/31/00 174
1,325 7.750 Due 02/15/01 1,382
1,550 6.625 Due 06/30/01 1,558
1,525 6.625 Due 07/31/01 1,533
800 6.250 Due 02/15/03 789
- -------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $7,437) $ 7,375
- -------------------------------------------------------------
FLOATING RATE BANK NOTES--3.5%--
Lloyds Bank PLC
$1,000 5.875% Due 06/13/97 $ 914
National Westminster Bank
1,100 5.938 Due 08/29/97 984
- -----------------------------------------------------------
TOTAL FLOATING RATE BANK NOTES
(Cost $1,848) $ 1,898
- -----------------------------------------------------------
SHORT-TERM INVESTMENT--3.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$2,085 5.750% Due 06/02/97 $ 2,085
- -----------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,085) $ 2,085
- -----------------------------------------------------------
TOTAL INVESTMENTS--99.2%
(Cost $44,912) $54,271
- -----------------------------------------------------------
Other assets, less liabilities--0.8% 435
- -----------------------------------------------------------
NET ASSETS--100.0% $54,706
- -----------------------------------------------------------
- -----------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------------------
DIVERSIFIED GROWTH PORTFOLIO
<C> <S> <C>
COMMON STOCKS--94.3%
BANKING--2.0%
66,940 Banc One Corp. $ 2,895
--------
BROKERAGE SERVICES--2.8%
98,000 Schwab (Charles) Corp. 3,981
--------
CHEMICALS AND ALLIED PRODUCTS--13.7%
40,000 Abbott Laboratories 2,520
45,700 Air Products and Chemicals, Inc. 3,553
15,000 du Pont (E.I.) de Nemours & Co. 1,633
30,400 Merck & Co., Inc. 2,732
47,837 Morton International, Inc. 1,543
16,600 Pfizer, Inc. 1,708
60,500 Praxair, Inc. 3,184
17,900 Procter & Gamble Co. 2,468
--------
19,341
--------
COMMUNICATIONS--2.2%
49,000 Ameritech Corp. 3,209
--------
COMPUTERS AND OFFICE MACHINES--5.3%
26,300 Cisco Systems, Inc.* 1,782
17,000 Compaq Computer Corp.* 1,840
31,800 Microsoft Corp.* 3,943
--------
7,565
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--11.7%
35,000 Emerson Electric Co. 1,890
91,000 General Electric Co. 5,494
22,400 Intel Corp. 3,394
53,900 Linear Technology Corp. 2,702
45,000 Motorola, Inc. 2,987
--------
16,467
--------
FOOD AND BEVERAGES--8.2%
54,000 Coca-Cola (The) Co. 3,686
55,800 PepsiCo, Inc. 2,051
78,000 Philip Morris Cos., Inc. 3,432
75,000 Starbucks Corp.* 2,362
--------
11,531
--------
GLASS, CLAY AND STONE PRODUCTS--2.3%
84,700 Newell Co. 3,240
--------
HEALTH SERVICES--2.4%
35,000 Health Management Associates, Inc., Class A* 1,024
39,000 Johnson & Johnson Co. 2,335
--------
3,359
--------
INDUSTRIAL INSTRUMENTS--1.3%
36,600 Hewlett-Packard Co. 1,885
--------
INSURANCE SERVICES--4.1%
23,900 American International Group, Inc. 3,235
23,400 MBIA, Inc. 2,513
--------
5,748
--------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- -------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE AGENCIES--2.8%
89,700 Federal National Mortgage Association $ 3,913
--------
OIL AND GAS--12.0%
42,000 Chevron Corp. 2,940
72,800 Exxon Corp. 4,313
29,850 Mobil Corp. 4,175
13,700 Royal Dutch Petroleum Co. ADR 2,675
24,400 Schlumberger Ltd. ADR 2,907
--------
17,010
--------
PAPER PRODUCTS--2.2%
61,000 Kimberly-Clark Corp. 3,058
--------
PROFESSIONAL SERVICES--5.2%
34,200 Cintas Corp. 2,120
22,400 Computer Sciences Corp.* 1,733
31,936 First Data Corp. 1,277
46,300 Oracle Systems Corp.* 2,159
--------
7,289
--------
RECREATION AND LEISURE SERVICES--2.3%
85,900 Carnival Corp., Class A 3,264
--------
RETAIL--11.1%
56,700 Home Depot (The), Inc. 3,572
127,850 Staples, Inc.* 2,813
23,500 Tommy Hilfiger Corp.* 1,046
112,700 Wal-Mart Stores, Inc. 3,353
104,300 Walgreen Co. 4,876
--------
15,660
--------
TRANSPORTATION PARTS AND EQUIPMENT--2.7%
36,000 Boeing (The) Co. 3,789
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $87,025) $133,204
- -------------------------------------------------------------------------------
OTHER INVESTMENT--3.6%
60,000 Standard & Poor's Depository Receipt Unit Trust, Series:
1 $ 5,107
- -------------------------------------------------------------------------------
TOTAL OTHER INVESTMENT (Cost $4,815) $ 5,107
- -------------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.7%
$ 2,365 Bank of Tokyo-Mitsubishi, Grand Cayman 5.750% Due 06/02/97 $ 2,365
- -------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,365) $ 2,365
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS--99.6%
(Cost $94,205) $140,676
- -------------------------------------------------------------------------------
Other assets, less liabilities--0.4% 598
- -------------------------------------------------------------------------------
NET ASSETS--100.0% $141,274
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
*Non-income producing security.
See accompanying notes to financial statements.
27
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
EQUITY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--101.3%
AGRICULTURE--0.1%
10,700 Pioneer Hi-Bred International, Inc. $ 746
--------
APPAREL--0.1%
9,200 Liz Claiborne, Inc. 420
8,200 VF Corp. 641
--------
1,061
--------
BANKING--7.6%
13,700 Ahmanson (H. F.) & Co. 558
55,349 Banc One Corp. 2,394
19,800 Bank of Boston Corp. 1,445
50,800 Bank of New York Co., Inc. 2,165
46,476 BankAmerica Corp. 5,432
10,600 Bankers Trust New York Corp. 897
27,000 Barnett Banks, Inc. 1,421
56,846 Chase Manhattan Corp. 5,372
60,000 Citicorp 6,862
13,900 Comerica, Inc. 869
28,900 Corestates Financial Corp. 1,528
13,700 Fifth Third Bancorp 1,058
17,400 First Bank System, Inc. 1,427
41,307 First Chicago NBD Corp. 2,447
36,715 First Union Corp. 3,153
7,400 Golden West Financial Corp. 501
17,800 Great Western Financial Corp. 863
29,200 KeyCorp 1,588
16,750 Mellon Bank Corp. 1,466
24,000 Morgan (J. P.) & Co., Inc. 2,580
28,900 National City Corp. 1,488
94,560 NationsBank Corp. 5,567
47,900 Norwest Corp. 2,563
43,400 PNC Bank Corp. 1,817
7,100 Republic New York Corp. 708
28,900 SunTrust Banks, Inc. 1,543
19,600 U.S. Bancorp 1,203
21,400 Wachovia Corp. 1,303
11,966 Wells Fargo & Co. 3,153
--------
63,371
--------
BITUMINOUS COAL AND LIGNITE SURFACE MINING--
0.1%
30,300 Houston Industries, Inc. 629
1,100 NACCO Industries, Inc. 56
--------
685
--------
BROKERAGE AND FINANCIAL SERVICES--1.4%
61,300 American Express Co. 4,260
34,001 Fleet Financial Group, Inc. 2,078
17,800 Green Tree Financial Corp. 623
21,300 Merrill Lynch & Co., Inc. 2,258
19,700 Morgan Stanley Group, Inc. 1,330
14,100 Salomon, Inc. 756
--------
11,305
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--10.9%
100,500 Abbott Laboratories $ 6,331
14,500 Air Products and Chemicals, Inc. 1,127
8,500 Allergan, Inc. 252
82,700 American Home Products Corp. 6,306
34,200 Amgen, Inc.* 2,287
35,300 Baxter International, Inc. 1,862
129,600 Bristol-Myers Squibb Co. 9,509
6,700 Clorox Co. 846
38,000 Colgate-Palmolive Co. 2,356
31,400 Dow Chemical Co. 2,618
72,900 du Pont (E.I.) de Nemours & Co. 7,937
10,075 Eastman Chemical Co. 599
8,400 Ecolab, Inc. 350
71,398 Lilly (Eli) & Co. 6,640
4,800 FMC Corp.* 346
6,900 Goodrich (B.F.) Co. 297
9,400 Grace (W.R.) & Co. 491
7,800 Great Lakes Chemical Corp. 381
13,200 Hercules, Inc. 619
14,300 International Flavors & Fragrances, Inc. 635
156,000 Merck & Co., Inc. 14,020
18,400 Morton International, Inc. 593
8,700 Nalco Chemical Co. 323
83,400 Pfizer, Inc. 8,580
65,720 Pharmacia & Upjohn, Inc. 2,276
23,700 PPG Industries, Inc. 1,378
20,200 Praxair, Inc. 1,063
8,300 Rohm & Haas Co. 716
47,800 Schering-Plough Corp. 4,338
22,200 Sherwin-Williams Co. 666
12,900 Sigma-Aldrich Corp. 395
16,500 Union Carbide Corp. 771
35,100 Warner-Lambert Co. 3,536
--------
90,444
--------
COMMUNICATIONS--7.6%
64,900 AirTouch Communications, Inc.* 1,809
24,200 Alltel Corp. 796
71,100 Ameritech Corp. 4,657
209,700 AT&T Corp. 7,733
56,700 Bell Atlantic Corp. 3,969
128,300 Bellsouth Corp. 5,822
42,200 Comcast Corp., Class A Special 733
21,200 Frontier Corp. 390
124,500 GTE Corp. 5,494
82,564 Lucent Technologies, Inc. 5,253
9,600 Mallinckrodt, Inc. 359
88,600 MCI Communications Corp. 3,400
56,900 Nynex Corp. 3,058
12,100 Providian Corp. 724
118,656 SBC Communications, Inc. 6,941
55,700 Sprint Corp. 2,722
23,200 Tellabs, Inc.* 1,166
80,800 US WEST Media Group* 1,606
62,000 US WEST Communications Group 2,271
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
45,800 Viacom, Inc., Class B* $ 1,360
112,000 Worldcom, Inc.* 3,318
--------
63,581
--------
COMPUTERS AND OFFICE MACHINES--6.5%
9,300 Adobe Systems, Inc. 415
15,600 Amdahl Corp.* 156
16,100 Apple Computer, Inc.* 268
25,500 Bay Networks, Inc.* 625
20,200 Cabletron Systems, Inc.* 889
10,400 Ceridian Corp.* 382
85,100 Cisco Systems, Inc.* 5,766
35,000 Compaq Computer Corp.* 3,789
5,200 Data General Corp.* 111
22,700 Dell Computer Corp.* 2,554
20,400 Digital Equipment Corp.* 732
31,800 EMC Corp.* 1,268
6,100 Intergraph Corp.* 43
134,000 International Business Machines Corp. 11,591
155,700 Microsoft Corp.* 19,307
16,500 Parametric Technology Corp.* 740
19,200 Pitney Bowes, Inc. 1,349
32,000 Seagate Technology, Inc.* 1,300
22,800 Silicon Graphics, Inc.* 430
15,300 Tandem Computers, Inc.* 218
7,500 Tandy Corp. 405
22,800 3Com Corp.* 1,106
22,600 Unisys Corp.* 155
--------
53,599
--------
CONSTRUCTION--0.2%
14,600 Dover Corp. 836
22,800 Dresser Industries, Inc. 781
--------
1,617
--------
CONSUMER PRODUCTS--5.7%
17,200 Avon Products, Inc. 1,097
71,800 Gillette Co. 6,381
172,400 Johnson & Johnson 10,322
73,084 Kimberly-Clark Corp.* 3,663
316,200 Philip Morris Cos., Inc.* 13,913
87,900 Procter & Gamble Co. 12,119
--------
47,495
--------
CREDIT INSTITUTIONS--0.7%
7,000 Beneficial Corp. 450
41,644 Dean Witter Discover & Co. 1,718
12,600 Household International, Inc. 1,238
43,225 MBNA Corp. 1,464
7,600 MGIC Investment Corp. 676
--------
5,546
--------
ELECTRICAL SERVICES--2.3%
24,300 American Electric Power Co. 990
19,100 Baltimore Gas & Electric Co. 501
19,600 Carolina Power & Light Co. 681
27,300 Central & South West Corp. 580
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
20,410 Cinergy Corp. $ 714
30,400 Consolidated Edison Co. of New York, Inc. 885
23,300 Dominion Resources, Inc. 807
18,800 DTE Energy Co. 501
26,100 Duke Power Co. 1,174
56,100 Edison International 1,311
29,900 Entergy Corp. 789
23,700 FPL Group, Inc. 1,102
15,600 GPU, Inc. 546
18,700 Niagara Mohawk Power Corp.* 164
8,900 Northern States Power Co. 436
19,700 Ohio Edison Co. 419
38,100 PacifiCorp 757
28,800 Peco Energy Co. 547
53,400 PG&E Corp. 1,235
21,000 PP&L Resources, Inc. 423
30,900 Public Service Enterprise Group, Inc. 765
87,200 Southern Co. 1,853
29,100 Texas Utilities Co. 1,000
27,900 Unicom Corp. 635
13,200 Union Electric Co. 483
--------
19,298
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--8.1%
17,700 Advanced Micro Devices, Inc.* 708
28,456 AMP, Inc. 1,170
11,730 Andrew Corp.* 320
23,400 Applied Materials, Inc.* 1,527
15,300 Cooper Industries, Inc. 780
15,200 DSC Communications Corp.* 389
57,900 Emerson Electric Co. 3,127
426,200 General Electric Co. 25,732
17,700 General Instrument Corp.* 429
5,000 Harris Corp. 443
106,200 Intel Corp. 16,089
15,100 ITT Corp.* 900
18,200 LSI Logic Corp.* 760
13,000 Maytag Corp. 348
27,100 Micron Technology, Inc.* 1,152
76,700 Motorola, Inc. 5,091
18,100 National Semiconductor Corp.* 509
5,900 National Service Industries, Inc. 259
33,400 Northern Telecom Ltd. 2,806
5,800 Raychem Corp. 430
10,000 Scientific-Atlanta, Inc. 181
85,900 Tele-Communications, Inc.* 1,299
24,600 Texas Instruments, Inc. 2,211
6,900 Thomas & Betts Corp. 351
9,600 Whirlpool Corp. 479
--------
67,490
--------
FOOD AND BEVERAGES--7.7%
64,600 Anheuser-Busch Cos., Inc. 2,770
70,309 Archer-Daniels-Midland Co. 1,406
8,900 Brown-Forman Corp., Class B 455
60,500 Campbell Soup Co. 2,783
</TABLE>
See accompanying notes to financial statements.
29
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
FOOD AND BEVERAGES--CONTINUED
322,000 Coca-Cola (The) Co. $ 21,976
31,050 ConAgra, Inc. 1,867
4,900 Coors (Adolph) Co., Class B 119
18,600 CPC International, Inc. 1,600
20,900 General Mills, Inc. 1,322
47,700 Heinz (H.J.) Co. 2,051
19,900 Hershey Foods Corp. 1,117
27,300 Kellogg Co. 2,013
90,300 McDonalds Corp. 4,538
201,100 PepsiCo, Inc. 7,390
17,600 Quaker Oats Co. 726
13,800 Ralston-Ralston Purina Group 1,176
62,300 Sara Lee Corp. 2,547
48,000 Seagram (The) Co. Ltd. 1,932
20,700 Unilever N.V. 4,011
24,100 UST, Inc. 687
13,400 Whitman Corp. 323
15,000 Wrigley (Wm.) Jr. Co. 889
--------
63,698
--------
FURNITURE AND FIXTURES--0.1%
20,800 Masco Corp. 809
--------
GENERAL BUILDING CONTRACTORS--0.2%
3,700 Centex Corp. 148
16,400 Honeywell, Inc. 1,193
5,000 Kaufman & Broad Home Corp. 75
--------
1,416
--------
GLASS, CLAY AND STONE PRODUCTS--0.3%
29,600 Corning, Inc. 1,491
20,600 Newell Co. 788
--------
2,279
--------
HEALTH SERVICES--1.2%
10,900 Alza Corp.* 322
12,900 Beverly Enterprises, Inc.* 182
86,895 Columbia/HCA Healthcare Corp. 3,183
9,600 Guidant Corp. 745
40,800 HEALTHSOUTH Corp.* 933
21,000 Humana, Inc.* 475
8,150 Manor Care, Inc. 233
31,100 Medtronic, Inc. 2,301
11,800 St. Jude Medical, Inc.* 400
39,000 Tenet Healthcare Corp.* 1,072
--------
9,846
--------
HEAVY CONSTRUCTION--0.2%
10,900 Fluor Corp. 576
5,300 Foster Wheeler Corp. 205
16,200 Halliburton Co. 1,253
--------
2,034
--------
INDUSTRIAL INSTRUMENTS--2.4%
7,400 Bard (C.R.), Inc. 237
7,200 Bausch & Lomb, Inc. 290
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
15,900 Becton, Dickinson & Co. $ 783
14,800 Biomet, Inc. 277
25,100 Boston Scientific Corp.* 1,340
43,100 Eastman Kodak Co. 3,572
131,300 Hewlett-Packard Co. 6,762
10,800 Johnson Controls, Inc. 458
5,600 Millipore Corp. 242
5,600 Perkin-Elmer Corp. 426
5,900 Polaroid Corp. 301
30,500 Raytheon Co. 1,456
4,300 Tektronix, Inc. 247
9,100 United States Surgical Corp. 307
42,000 Xerox Corp., Inc. 2,845
--------
19,543
--------
INSURANCE SERVICES--4.6%
19,557 Aetna, Inc. 1,975
57,565 Allstate Corp. 4,238
26,300 American General Corp. 1,164
60,775 American International Group, Inc. 8,227
21,000 AON Corp. 1,024
22,500 Chubb Corp. 1,373
9,700 CIGNA Corp. 1,685
23,200 Conseco, Inc. 928
10,700 General Re Corp. 1,875
15,200 Hartford Financial Services Group 1,186
9,125 Jefferson-Pilot Corp. 581
13,500 Lincoln National Corp. 822
14,900 Loews Corp. 1,449
10,600 Marsh & McLennan Cos., Inc. 1,397
5,600 MBIA, Inc. 601
16,300 Safeco Corp. 709
10,700 St. Paul Cos., Inc. 766
9,150 Torchmark Corp. 600
8,600 Transamerica Corp. 782
82,716 Travelers Group, Inc. 4,539
23,800 United Healthcare Corp. 1,345
9,500 UNUM Corp. 752
15,000 USF&G Corp. 323
4,400 USLIFE Corp. 215
--------
38,556
--------
JEWELRY AND PRECIOUS METALS--0.0%
5,000 Jostens, Inc. 123
--------
LEATHER PRODUCTS--0.0%
6,400 Stride Rite Corp. 98
--------
LUMBER AND WOOD PRODUCTS--0.0%
14,100 Louisiana-Pacific Corp. 275
--------
MACHINERY--1.4%
18,800 Baker Hughes, Inc. 705
12,200 Black & Decker Corp. 424
3,700 Briggs & Stratton Corp. 191
12,700 Brunswick Corp. 387
9,500 Case Corp. 560
24,800 Caterpillar, Inc. 2,421
</TABLE>
See accompanying notes to financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
5,200 Cincinnati Milacron, Inc. $ 120
5,100 Cummins Engine Co., Inc. 325
33,100 Deere & Co. 1,692
6,500 General Signal Corp. 274
4,300 Giddings & Lewis, Inc. 81
6,400 Harnischfeger Industries, Inc. 274
14,200 Ingersoll-Rand Co. 774
22,100 Tenneco, Inc. 989
19,300 Thermo Electron Corp.* 666
4,000 Timken (The) Co. 274
21,600 Tyco International Ltd. 1,372
--------
11,529
--------
MANUFACTURING--0.1%
3,600 Aeroquip-Vickers, Inc. 156
7,200 Alberto-Culver Co., Class B 205
15,300 ITT Industries, Inc. 379
2,700 Pulte Corp. 85
--------
825
--------
MERCHANDISE GENERAL--0.1%
7,900 Snap-On, Inc. 315
11,500 Stanley Works (The) 471
--------
786
--------
METAL MINING--0.6%
46,200 Barrick Gold Corp. 1,167
29,100 Battle Mountain Gold Co. 178
12,050 Cyprus Amax Minerals Co. 294
17,900 Echo Bay Mines Ltd.* 110
25,000 Freeport-McMoRan Copper & Gold, Inc., Class B 728
19,000 Homestake Mining Co. 264
21,800 Inco Ltd. 719
20,197 Newmont Mining Corp. 790
31,000 Placer Dome, Inc. 566
--------
4,816
--------
METAL PRODUCTS--0.2%
22,527 Allegheny Teledyne, Inc. 580
3,900 Ball Corp. 114
5,900 Crane Co. 242
7,100 McDermott International, Inc. 197
9,650 Parker-Hannifin Corp. 508
--------
1,641
--------
MORTGAGE AGENCIES--1.1%
92,600 Federal Home Loan Mortgage Corp. 3,056
141,300 Federal National Mortgage Association 6,164
--------
9,220
--------
NATURAL GAS TRANSMISSION--0.7%
13,600 Coastal Corp. 682
7,100 Columbia Gas System, Inc. 457
12,300 Consolidated Natural Gas Co. 653
2,600 Eastern Enterprises 90
32,900 Enron Corp. 1,341
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
9,000 Enserch Corp. $ 192
6,400 Nicor, Inc. 220
17,800 Noram Energy Corp. 271
3,500 Oneok, Inc. 106
11,000 Pacific Enterprises 360
4,500 Peoples Energy Corp. 160
11,200 Sonat, Inc. 644
20,350 Williams Company, Inc. 898
--------
6,074
--------
OFFICE EQUIPMENT--0.1%
17,400 Ikon Office Solutions, Inc. 505
--------
OIL AND GAS--5.7%
16,200 Burlington Resources, Inc. 753
84,400 Chevron Corp. 5,908
321,400 Exxon Corp. 19,043
3,200 Helmerich & Payne, Inc. 180
4,400 Louisiana Land & Exploration Co. 227
42,600 Occidental Petroleum Corp. 990
13,600 Oryx Energy Co.* 314
19,600 Panenergy Corp. 916
11,100 Rowan Cos., Inc.* 257
69,400 Royal Dutch Petroleum Co. ADR 13,550
12,900 Santa Fe Energy Resources, Inc.* 195
31,900 Schlumberger Ltd. ADR 3,800
32,376 Union Pacific Resources Group, Inc. 935
6,900 Western Atlas, Inc.* 467
--------
47,535
--------
PACKAGING AND CONTAINER PRODUCTS--0.1%
16,600 Crown Cork & Seal Co., Inc. 967
--------
PAPER PRODUCTS--1.6%
13,500 Avery Dennison Corp. 508
6,800 Bemis Co., Inc. 272
6,300 Boise Cascade Co. 239
12,400 Champion International Corp. 612
11,800 Georgia-Pacific Corp. 1,041
38,835 International Paper Co. 1,864
11,100 James River Corp. 390
6,800 Mead Corp. 433
54,100 Minnesota Mining & Manufacturing Co. 4,964
12,804 Stone Container Corp. 176
7,200 Temple Inland, Inc. 436
9,000 Union Camp Corp. 472
13,150 Westvaco Corp. 411
25,700 Weyerhaeuser Co. 1,282
--------
13,100
--------
PERSONAL SERVICES--0.6%
13,500 Block (H&R), Inc. 445
20,400 HFS, Inc.* 1,099
32,000 Hilton Hotels Corp. 904
16,600 Marriot International, Inc. 959
30,500 Service Corp. International 1,075
7,200 Willamette Industries, Inc. 536
--------
5,018
--------
</TABLE>
See accompanying notes to financial statements.
31
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares and number of contracts)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
PETROLEUM PRODUCTS--3.1%
12,100 Amerada Hess Corp. $ 647
64,400 Amoco Corp. 5,756
9,600 Ashland, Inc. 460
20,800 Atlantic Richfield Co. 3,026
6,300 Kerr-McGee Corp. 408
51,000 Mobil Corp. 7,134
6,000 Pennzoil Co. 332
34,100 Phillips Petroleum Co. 1,449
9,400 Sun Co., Inc. 281
34,200 Texaco, Inc. 3,732
32,400 Unocal Corp. 1,381
37,200 USX--Marathon Group 1,107
--------
25,713
--------
PRINTING AND PUBLISHING--1.3%
97,00 American Greetings Corp. 332
10,700 Deluxe Corp. 348
19,500 Donnelley (R.R.) & Sons Co. 724
12,500 Dow Jones & Co., Inc. 486
18,200 Gannett Co., Inc. 1,683
4,000 Harland (John H.) Co. 91
12,100 Knight-Ridder, Inc. 522
12,900 McGraw Hill Cos., Inc. 705
6,900 Meredith Corp. 179
11,400 Moore Corp. Ltd. 254
12,500 New York Times Co. 576
73,600 Time Warner, Inc. 3,422
12,100 Times Mirror Co. 679
15,900 Tribune Co. 688
--------
10,689
--------
PROFESSIONAL SERVICES--1.9%
6,200 Autodesk, Inc. 241
37,800 Automatic Data Processing, Inc. 1,857
46,950 Computer Associates International, Inc. 2,571
9,900 Computer Sciences Corp.* 766
51,325 CUC International, Inc.* 1,180
57,900 First Data Corp. 2,316
10,500 Interpublic Group of Cos., Inc. 629
44,800 Novell, Inc.* 353
87,500 Oracle Corp.* 4,080
9,800 Ryder System, Inc. 325
7,500 Safety-Kleen Corp. 117
3,000 Shared Medical Systems Corp. 159
47,600 Sun Microsystems, Inc.* 1,535
--------
16,129
--------
RECREATION AND LEISURE SERVICES--1.1%
87,400 Disney (Walt) Co. 7,156
9,200 Harcourt General, Inc. 436
13,300 Harrah's Entertainment, Inc.* 248
4,800 King World Productions, Inc.* 181
37,345 Mattel, Inc. 1,116
--------
9,137
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
RESEARCH AND CONSULTING SERVICES--0.2%
22,000 Cognizant Corp. $ 814
22,000 Dun & Bradstreet Corp. 575
6,100 EG&G, Inc. 119
--------
1,508
--------
RETAIL--4.9%
32,500 Albertson's, Inc. 1,089
18,900 American Stores Co. 860
19,500 Autozone, Inc.* 456
13,500 Charming Shoppes, Inc.* 71
12,700 Circuit City Stores, Inc. 502
27,203 Costco Cos., Inc.* 918
13,700 CVS Corp. 656
20,700 Darden Restaurants, Inc. 173
28,100 Dayton-Hudson Corp. 1,352
14,700 Dillard Department Stores, Inc. 496
26,900 Federated Department Stores, Inc.* 995
36,100 Gap, Inc. 1,236
7,700 Giant Food, Inc. 254
4,900 Great Atlantic & Pacific Tea Co., Inc. 135
16,775 Hasbro, Inc. 486
62,200 Home Depot (The), Inc. 3,919
62,700 Kmart Corp.* 878
32,700 Kroger Co.* 838
35,100 Limited, Inc. (The) 711
5,000 Longs Drug Stores, Inc. 119
22,400 Lowe's Cos., Inc. 882
31,700 May Department Stores Co. 1,494
4,800 Mercantile Stores Co., Inc. 258
37,300 Nike, Inc. 2,126
10,400 Nordstrom, Inc. 499
32,000 Penney (J.C.) Co., Inc. 1,648
7,800 Pep Boys--Manny, Moe & Jack 244
7,200 Reebok International, Ltd.* 295
15,900 Rite Aid Corp. 739
50,700 Sears, Roebuck & Co. 2,491
8,700 SUPERVALU, Inc. 290
10,100 TJX Cos., Inc. 485
37,600 Toys "R" Us, Inc.* 1,170
296,900 Wal-Mart Stores, Inc. 8,833
31,900 Walgreen Co. 1,491
16,700 Wendy's International, Inc. 390
19,400 Winn-Dixie Stores, Inc. 742
17,300 Woolworth Corp.* 417
--------
40,638
--------
RUBBER AND PLASTICS--0.7%
5,300 Armstrong World Industries, Inc. 360
10,200 Cooper Tire & Rubber Co. 228
20,100 Goodyear Tire & Rubber Co. 1,176
76,100 Monsanto Co. 3,348
19,400 Rubbermaid, Inc. 541
8,100 Tupperware Corp. 294
--------
5,947
--------
</TABLE>
See accompanying notes to financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
SANITARY SERVICES--0.4%
27,600 Browning-Ferris Industries, Inc. $ 904
40,600 Laidlaw, Inc. 548
58,580 WMX Technologies, Inc. 1,860
--------
3,312
--------
SERVICE INDUSTRY MACHINERY--0.2%
16,266 Pall Corp. 384
78,200 Westinghouse Electric Corp. 1,584
--------
1,968
--------
STEEL PRODUCTS--0.8%
29,300 Alcan Aluminium Ltd. 1,051
22,400 Aluminum Co. of America 1,649
13,700 Armco, Inc.* 51
5,500 Asarco, Inc. 171
14,500 Bethlehem Steel Corp.* 145
18,587 Engelhard Corp. 402
6,300 Inland Steel Industries, Inc. 155
11,400 Nucor Corp. 673
6,700 Owens Corning Fiberglass Corp. 280
8,400 Phelps Dodge Corp. 702
9,400 Reynolds Metals Co. 638
11,000 USX-U.S. Steel Group 355
12,475 Worthington Industries, Inc. 231
--------
6,503
--------
TEXTILES--0.1%
10,000 Fruit of the Loom, Inc.* 349
5,000 Russell Corp. 153
2,600 Springs Industries, Inc., Class A 132
--------
634
--------
TOBACCO PRODUCTS--0.1%
22,000 American Brands, Inc. 1,078
--------
TRANSPORTATION PARTS AND EQUIPMENT--4.5%
36,600 AlliedSignal, Inc. 2,809
176 Autoliv, Inc. 7
46,355 Boeing Co. 4,879
90,900 Chrysler Corp. 2,886
13,200 Dana Corp. 477
10,000 Eaton Corp. 798
8,100 Echlin, Inc. 270
4,600 Fleetwood Enterprises, Inc. 124
153,400 Ford Motor Co. 5,752
8,200 General Dynamics Corp. 614
97,800 General Motors Corp. 5,599
32,000 Illinois Tool Works, Inc. 1,588
24,954 Lockheed Martin Corp.* 2,336
27,500 McDonnell Douglas Corp. 1,770
9,420 Navistar International Corp.* 157
7,500 Northrop Grumman Corp. 636
10,120 PACCAR, Inc. 458
28,300 Rockwell International Corp. 1,825
10,700 Textron, Inc. 1,268
16,400 TRW, Inc. 877
30,700 United Technologies Corp. 2,468
--------
37,598
--------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ---------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICES--1.3%
11,800 AMR Corp.* $ 1,173
19,765 Burlington Northern Santa Fe Corp. 1,640
5,100 Caliber System, Inc. 163
28,100 CSX Corp. 1,489
9,500 Delta Air Lines, Inc. 891
14,800 Federal Express Corp.* 775
16,200 Norfolk Southern Corp. 1,573
18,800 Southwest Airlines Co. 484
31,700 Union Pacific Corp. 2,148
8,300 USAir Group* 288
--------
10,624
--------
<PAGE>
WHOLESALE--0.4%
14,100 Cardinal Health, Inc. 821
4,900 Fleming Cos., Inc. 93
23,375 Genuine Parts Co. 783
6,900 Grainger (W.W.), Inc. 554
3,700 Potlatch Corp. 159
22,900 Sysco Corp. 799
--------
3,209
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $573,604) $841,618
- -----------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--0.1%
U.S. Treasury Bill #
$ 1,205 5.260% Due 06/26/97 $ 1,191
- -----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $1,191) $ 1,191
- -----------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$15,075 5.750% Due 06/02/97 $ 15,075
- -----------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $15,075) $ 15,075
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS--103.2%
(Cost $589,870) $857,884
- -----------------------------------------------------------------------------
Liabilities, less other assets--(3.2)% (27,034)
- -----------------------------------------------------------------------------
NET ASSETS--100.0% $830,850
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
</TABLE>
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 38 $15,337 Long 06/20/97 $780
- -------------------------------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
33
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
FOCUSED GROWTH PORTFOLIO
<C> <S> <C>
COMMON STOCKS--94.5%
BANKING--5.1%
19,200 Chase Manhattan Corp. $ 1,814
22,300 MBNA Corp. 755
54,800 State Street Bank Boston Corp. 2,445
4,575 Wells Fargo & Co. 1,206
--------
6,220
--------
CHEMICALS AND ALLIED PRODUCTS--18.3%
24,400 Abbott Laboratories 1,537
16,500 American Home Products Corp. 1,258
36,600 Bristol Myers Squibb Co. 2,686
20,300 du Pont (E.I.) de Nemours & Co. 2,210
20,100 Lilly (Eli) & Co. 1,869
44,900 Merck & Co., Inc. 4,035
22,800 Pfizer, Inc. 2,346
26,700 Procter & Gamble Co. 3,681
12,600 Schering-Plough Corp. 1,143
15,000 Warner-Lambert Co. 1,511
--------
22,276
--------
COMMUNICATIONS--2.2%
23,700 Lucent Technologies, Inc. 1,508
19,900 SBC Communications, Inc. 1,164
--------
2,672
--------
COMPUTERS AND OFFICE MACHINES--12.1%
37,100 Cisco Systems, Inc.* 2,514
26,500 Compaq Computer Corp.* 2,869
20,700 Computer Sciences Corp.* 1,602
32,800 Hewlett-Packard Co. 1,689
48,700 Microsoft Corp.* 6,038
--------
14,712
--------
CONSUMER PRODUCTS--1.6%
22,300 Gillette Co. 1,982
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
9.3%
115,200 General Electric Co. 6,955
29,000 Intel Corp. 4,394
--------
11,349
--------
FINANCIAL--3.3%
46,400 Federal National Mortgage Association 2,024
50,000 Schwab Charles Corp. 2,031
--------
4,055
--------
FOOD AND BEVERAGES--12.5%
91,100 Coca-Cola (The) Co. 6,218
52,900 PepsiCo, Inc. 1,944
105,900 Philip Morris Cos., Inc. 4,660
77,000 Starbucks Corp.* 2,425
--------
15,247
--------
GLASS, CLAY AND STONE PRODUCTS--1.0%
33,000 Newell Co. 1,262
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
HEALTH SERVICES--4.7%
53,600 Johnson & Johnson Co. $ 3,209
34,200 Medtronic, Inc. 2,531
--------
5,740
--------
INDUSTRIAL INSTRUMENTS--0.8%
12,300 Eastman Kodak Co. 1,019
--------
INSURANCE SERVICES--4.0%
17,300 American International Group, Inc. 2,342
23,800 MBIA, Inc. 2,556
--------
4,898
--------
OIL AND GAS--1.0%
10,200 Schlumberger Ltd. ADR 1,215
--------
PAPER PRODUCTS--0.9%
21,000 Kimberly-Clark Corp. 1,053
--------
PRINTING AND PUBLISHING--0.6%
16,700 Time Warner, Inc. 777
--------
PROFESSIONAL SERVICES--3.7%
20,600 Cintas Corp. 1,277
14,700 First Data Corp. 588
85,000 Olsten Corp. 1,668
22,200 Oracle Corp.* 1,035
--------
4,568
--------
RECREATION AND LEISURE SERVICES--3.2%
51,300 Carnival Corp., Class A 1,949
24,000 Disney (The Walt) Co. 1,965
--------
3,914
--------
RETAIL--8.4%
16,000 Home Depot (The) Inc. 1,008
46,700 Kohls Corp.* 2,516
15,000 Nike, Inc.* 855
81,000 Staples, Inc.* 1,782
13,300 Tommy Hilfiger Corp.* 592
4,300 Unilever N.V. 833
14,000 Walgreen Co. 655
70,000 Wal-Mart Stores, Inc. 2,083
--------
10,324
--------
TRANSPORTATION PARTS AND EQUIPMENT--1.8%
20,700 Boeing (The) Co. 2,179
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $93,230) $115,462
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ------------------------------------------------------------
<C> <S> <C>
OTHER INVESTMENT--3.3%
48,000 Standard & Poor's Depository Receipt
Unit Trust, Series: 1 $ 4,086
- ------------------------------------------------------------
TOTAL OTHER INVESTMENT (Cost $3,737) $ 4,086
- ------------------------------------------------------------
SHORT-TERM INVESTMENT--1.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$2,222 5.750% Due 06/02/97 $ 2,222
- ------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,222) $ 2,222
- ------------------------------------------------------------
TOTAL INVESTMENTS--99.6%
(Cost $99,189) $121,770
- ------------------------------------------------------------
Other assets, less liabilities--0.4% 439
- ------------------------------------------------------------
NET ASSETS--100.0% $122,209
- ------------------------------------------------------------
- ------------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
35
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--95.0%
AUSTRALIA--2.7%
200 Aberfoyle Ltd. $ 1
1,600 Amcor Ltd. 10
500 Ashton Mining Ltd. 1
1,500 Australian National Industries Ltd. 2
700 Australian Gas Light Co. Ltd. 4
2,900 Boral Ltd. 9
600 Brambles Industries Ltd. 11
5,000 Broken Hill Proprietary Co. Ltd. 72
1,300 Burns Philp & Co. Ltd. 2
1,400 Coca-Cola Amatil Ltd. 16
2,700 Coles Myer Ltd. 13
800 CRA Ltd. 13
1,600 Crown Ltd.* 3
2,500 CSR Ltd. 9
700 David Jones Ltd. 1
200 Delta Gold NL 0
700 Email Ltd. 2
200 Faulding (F.H.) & Co. Ltd. 1
4,900 Foster's Brewing Group Ltd. 10
800 Futuris Corp. Ltd. 1
2,900 General Property Trust Units 6
1,500 Gio Australia Holdings Ltd. 4
3,000 Goodman Fielder Ltd. 4
500 Great Central Mines Ltd. 1
1,000 Hardie (James) Industries Ltd. 3
750 Ici Australia Ltd. 7
500 Leighton Holdings Ltd. 2
650 Lend Lease Corp. Ltd. 13
4,100 M.I.M. Holdings Ltd. 6
300 Metal Manufactures Ltd. 1
3,700 National Australia Bank 53
400 Newcrest Mining Ltd. 1
5,000 News Corp. Ltd. 22
4,000 Normandy Mining Ltd. 5
1,800 North Ltd. 7
2,600 Pacific Dunlop Ltd. 7
2,200 Pioneer International Ltd. 7
300 Plutonic Resources Ltd. 1
600 QBE Insurance Group Ltd. 4
1,200 QCT Resources Ltd. 1
400 Resolute Ltd. 1
400 RGC Ltd. 2
300 Rothmans Holdings Ltd. 2
1,300 Santos Ltd. 5
700 Schroders Property Fund 1
450 Smith (Howard) Ltd. 4
200 Sons of Gwalia Ltd. 1
1,500 Southcorp Holdings Ltd. 6
600 Stockland Trust Group 2
800 TABCORP Holdings Ltd. 4
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------------
<C> <S> <C>
2,900 Westfield Trust $ 5
4,500 Westpac Banking Corp. Ltd. 24
2,800 WMC Ltd. 18
-------
411
-------
AUSTRIA--0.4%
5 Austria Mikro Systeme International A.G. 0
5 Austrian Airlines Osterreichische Luftverkehrs A.G.* 1
144 Bank Austria A.G. 9
12 Bank Austria A.G. (Partial Certificates) 0
8 Bau Holdings A.G. 1
28 Bohler-Uddeholm A.G. 2
3 BWT A.G. 0
74 Creditanstalt-Bankverein 4
18 Ea-Generali A.G. 4
50 Flughafen Wien A.G. 2
6 Lenzing 0
32 Mayr-Melnhof Karton A.G. 2
24 Oesterreichische Brau-Beteiligungs A.G. 1
78 Oesterreichische Elektrizitaetswirtschafts A.G. 6
68 OMV A.G. 9
36 Radex-Heraklith Industriebeteiligungs A.G. 2
20 Steyr-Daimler-Puch A.G. 1
9 Universale-Bau A.G. 0
38 VA Technologies A.G. 7
18 Wienerberger Baustoffindustrie A.G. 4
-------
55
-------
BELGIUM--1.2%
50 Barco Industries 9
6 Bekaert N.V. 3
40 CBR Cementbedrisven 4
98 Delhaize-Le Lion 5
150 Electrabel S.A. 34
100 Fortis A.G. 19
50 Generale de Banque S.A. 20
50 Gevaert N.V. 4
50 Groupe Bruxelles Lambert S.A. 8
33 Kredietbank N.V. 14
33 Kredietbank N.V., Rights* 0
60 Petrofina S.A. 21
39 Royale Belge 11
25 Solvay S.A. 15
25 Tractebel 11
50 Union Miniere Group 4
-------
182
-------
DENMARK--0.9%
33 Bang & Olufsen Holdings A/S 2
99 Carlsberg A/S, Class A 6
55 Carlsberg A/S, Class B 3
1 D/S 1912, Class B 35
154 Danisco A/S 9
200 Den Danske Bank 19
20 FLS Industries A/S, Class B 3
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
14 GN Store Nord A/S $ 2
66 International Service System A/S, Class B* 2
20 Nkt Holdings A/S 1
196 Novo-Nordisk A/S 21
48 Det Ostasiatiske Kompagni A/S* 1
33 Radiometer A/S, Class B 2
116 SAS Danmark A/S 1
15 Sophus Berendsen A/S, Class A 2
52 Sophus Berendsen A/S, Class B 8
90 Superfos A/S 2
336 Tele Danmark A/S 17
148 Unidanmark A/S, Class A 8
-------
144
-------
FINLAND--0.7%
300 Kemira Oy 3
300 Kesko 4
2,000 Merita Ltd., Class A 7
100 Metra Oy, Class A 3
100 Metra Oy, Class B 3
500 Nokia AB, Class A 33
300 Nokia AB, Class K 19
300 Outokumpu Oy, Class A 6
100 Pohjola Insurance Group, Class A 3
16 Rauma Group 0
100 Sampo Insurance Co. Ltd., Class A 9
700 Upm-Kymmene Corp. 16
-------
106
-------
FRANCE--6.4%
100 Accor S.A. 14
400 Alcatel Alsthom S.A. 43
800 AXA-UAP 48
550 Banque Nationale de Paris 23
50 Bouygues 4
60 Canal Plus 10
100 Carrefour S.A. 66
100 Casino Guichard-Perrachori 4
300 Cie Generale des Eaux 37
300 Cie Generale des Eaux Warrants* 0
50 Club Mediterranee 4
50 Compagnie Bancaire S.A. 5
220 Compagnie de Saint Gobain 30
400 Compagnie de Suez 20
275 Compagnie Financiere de Paribas 18
25 Compagnie Parisienne de Reescompte 2
10 Comptoirs Modernes 4
50 Credit National 3
300 CSF 9
200 Danone 30
700 Elf Aquitaine S.A. 70
50 Eridania Beghin-Say S.A. 7
20 Essilor International 5
5 Eurafrance S.A. 2
10 Groupe Saint Louis 2
200 Havas S.A. 14
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
50 Imetal S.A. $ 7
200 Lafarage S.A. 13
200 Lagardere S.C.A. 6
200 L'Air Liquide 31
70 Legrand S.A. 11
170 L'OREAL 62
220 LVMH Moet Hennessy Louis Vuitton 53
125 Lyonnaise des Eaux S.A. 12
310 Michelin, Class B 17
50 Moulinex 1
10 Pathe 2
100 Pernod-Ricard 5
150 Peugeot Citroen 15
50 Pinault Printemps-Redoute S.A. 21
50 Primagaz Cie 5
50 Promodes 17
850 Rhone-Poulenc, Class A 28
10 Sagem S.A. 5
50 Salomon 4
300 Sanofi S.A. 26
350 Schneider S.A. 17
50 SEFIMEG 4
100 SEITA 3
50 Sidel S.A. 4
25 Simco S.A. 2
100 Societe BIC S.A. 15
250 Societe Generale 28
50 Societe Technip 5
20 Sodexho Alliance S.A. 9
600 Total S.A., Class B 55
600 Usinor Sacilor 9
150 Valeo S.A. 9
-------
975
-------
GERMANY--8.2%
100 Adidas A.G. 11
560 Allianz A.G. 119
1,550 BASF A.G. 57
1,800 Bayer A.G. 70
650 Bayer Hypotheken-und Wechsel-Bank A.G. 21
650 Bayerische Vereinsbank A.G. 27
200 Beiersdorf A.G. 11
50 CKAG Colonia Konzern A.G. 5
1,300 Daimler-Benz A.G. 100
1,250 Deutsche Bank A.G. 69
800 Deutsche Lufthansa A.G. 13
5,500 Deutsche Telekom A.G. 122
50 Deutz A.G.* 0
850 Dresdner Bank A.G. 30
50 FAG Kugelfischer Georg Schaefer A.G. 1
100 Heidelbergerzement A.G. 9
150 Hochtief A.G. 6
20 Karstadt A.G. 7
20 Linde A.G. 14
50 Man A.G. 14
90 Mannesmann A.G. 37
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
GERMANY--Continued
<C> <S> <C>
300 Merck KGaA $ 12
250 Metro A.G. 27
50 Muenchener Ruckversicherungs-Gesellschaft A.G. 128
30 Preussag A.G. 8
850 RWE A.G. 36
150 SAP A.G. 27
150 Schering A.G. 15
50 SGL Carbon A.G. 7
1,400 Siemens A.G. 79
60 Thyssen A.G. 14
1,200 VEBA A.G. 68
50 Viag A.G. 23
80 Volkswagen A.G. 52
-------
1,239
-------
HONG KONG--3.7%
10,000 Applied International Holdings* 1
3,400 Bank of East Asia Ltd. 12
7,000 Cathay Pacific Airways 11
6,000 Cheung Kong Holdings Ltd. 61
6,500 China Light & Power Co. Ltd. 33
4,000 Chinese Estates Holdings 4
1,000 Dickson Concepts International Ltd 4
5,000 Elec & Eltek International Holdings Ltd. 1
2,000 Giordano International Ltd. 1
3,000 Hang Lung Development Co. 6
5,000 Hang Seng Bank Ltd. 60
9,200 Hong Kong China Gas Co. Ltd. 16
29,600 Hong Kong Telecommunications Ltd. 66
2,000 Hong Kong & Shanghai Hotels Ltd. 3
8,000 Hopewell Holdings Ltd. 4
10,000 Hutchinson Whampoa Ltd. 83
2,000 Hysan Development Co. Ltd. 7
1,000 Johnson Electric Holdings Ltd. 3
1,000 Kumagai Gum Ltd. 1
1,000 Miramar Hotel & Investment Ltd. 2
4,000 New World Development Co. Ltd. 25
2,000 Oriental Press Group 1
1,000 Peregrine Investments Holdings Ltd. 2
2,000 Playmates Toys Holdings 0
6,000 Regal Hotels International 2
3,000 Shangri-La Asia Ltd. 4
2,000 Shun Tak Holdings Ltd. 1
2,000 Stelux Holdings 0
4,000 South China Morning Post Holdings Ltd. 4
6,000 Sun Hung Kai Properties Ltd. 74
4,000 Swire Pacific Ltd. 34
1,000 Tai Cheung Holdings Ltd. 1
1,000 Television Broadcasts Ltd. 4
5,000 Wharf Holdings Ltd. 22
1,000 Wing Lung Bank 6
-------
559
-------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
IRELAND--0.1%
1,218 Allied Irish Banks PLC $ 9
79 Crean (James) PLC 0
682 CRH PLC 7
514 Fyffes PLC 1
334 Greencore Group PLC 2
441 Independent Newspapers PLC 2
554 Irish Life PLC 3
294 Kerry Group PLC 3
1,939 Smurfit (Jefferson) Group PLC 5
1,294 Waterford Wedgewood PLC 1
387 Woodchester Investments PLC 2
-------
35
-------
ITALY--2.8%
2,000 Assicurazioni Generali 34
5,000 Banca Commerciale Italiana 10
1,000 Banco Ambrosiano S.p.A. 2
1,000 Banco Ambrosiano Veneto S.p.A. 1
1,000 Banco Popolare di Milano 5
1,000 Cementir S.p.A. 1
6,000 Credito Italiano 9
2,000 Edison S.p.A. 9
20,000 ENI S.p.A. 100
8,000 Fiat S.p.A. 26
2,000 Fiat-RNC S.p.A. 3
1,000 Impregilo S.p.A.* 1
2,000 Istituto Bancario San Paolo di Torino 12
2,000 Istituto Mobiliare Italiano S.p.A. 17
10,000 Istituto Nationale Assicurazioni 14
2,000 Italgas S.p.A. 6
1,000 Magneti Marelli 2
3,000 Mediaset S.p.A.* 13
1,000 Mediobanca S.p.A.* 6
13,000 Montedison S.p.A. 8
2,000 Montedison-RNC S.p.A. 1
9,000 Olivetti Group* 3
4,000 Parmalat Finanziaria S.p.A. 6
4,000 Pirelli S.p.A. 9
1,000 Riunione Adriatic di Sicurta S.p.A. 8
1,000 Sirti S.p.A. 6
2,000 Snia BPD S.p.A. 2
17,000 Telecom Italia Mobile S.p.A. 50
4,000 Telecom Italia Mobile-RNC S.p.A. 7
17,000 Telecom Italia S.p.A. 47
4,000 Telecom Italia-RNC S.p.A. 9
-------
427
-------
JAPAN--29.5%
1,000 77 Bank 9
2,000 Ajinomoto Co. 20
1,000 Amada Co. Ltd. 8
1,000 Aoki Corp.* 1
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------
<C> <S> <C>
200 Arabian Oil Co. $ 7
6,000 Asahi Bank Ltd. 39
1,000 Asahi Breweries Ltd. 14
4,000 Asahi Chemical Industry Co. Ltd. 22
3,000 Asahi Glass Co. Ltd. 29
2,000 Ashikaga Bank Ltd. 7
100 Autobacs Seven Co. Ltd. 7
12,000 Bank of Tokyo-Mitsubishi Ltd. 208
3,000 Bank of Yokohama Ltd. 15
2,000 Bridgestone Corp. 45
1,000 Brother Industries Ltd. 4
2,000 Canon, Inc. 51
1,000 Casio Computer Co. Ltd. 8
2,000 Chiba Bank Ltd. 10
1,000 Chichibu Onoda Cement Corp. 4
1,000 Chiyoda Corp.* 5
1,000 Chugai Pharmaceutical Co. Ltd. 8
1,000 Citizen Watch Co. Ltd. 7
2,000 Cosmo Oil Co. Ltd. 9
200 CSK Corp. 6
2,000 Dai Nippon Ink & Chemicals, Inc. 7
2,000 Dai Nippon Printing Co. Ltd. 40
1,000 Daicel Chemical Industry Ltd. 4
1,000 Daido Steel Co. Ltd. 3
2,000 Daiei, Inc. 13
1,000 Daiichi Pharmaceutical 17
1,000 Daikin Industries Ltd. 10
1,000 Daimaru, Inc. 5
400 Daito Trust Construction Co. 4
1,000 Daiwa House Industry Co. Ltd. 12
3,000 Daiwa Securities Co. Ltd. 22
1,000 Denki Kagaku Kogyo Kabushiki Kaisha 2
2,000 Denso Corp. 50
11 East Japan Railway Co. 54
1,000 Ebara Corp. 14
1,000 Eisai Co. Ltd. 20
600 Fanuc 21
7,000 Fuji Bank Ltd. 90
1,000 Fuji Photo Film Co. 39
1,000 Fujikura Ltd. 9
1,000 Fujita Corp. 2
5,000 Fujitsu Ltd. 61
2,000 Furukawa Electric Co. Ltd. 12
1,000 Gunma Bank 8
1,000 Gunze Ltd. 4
2,000 Hankyu Corp. 10
1,000 Haseko 2
1,000 Hazama Corp. 2
1,000 Higo Bank 6
8,000 Hitachi Ltd. 85
3,000 Hitachi Zosen Corp. 11
2,000 Hokuriku Bank 7
2,000 Honda Motor Co. Ltd. 59
1,000 Inax 7
6,000 Industrial Bank of Japan 72
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
1,000 Isetan $ 13
1,000 Ishihara Sangyo Kaisha 3
1,000 Ito-Yokado Co. 57
4,000 Itochu Corp. 20
1,000 Itoham Foods 6
1,000 Iwataini International Corp. 4
4,000 Japan Airlines* 17
3,000 Japan Energy Corp. 8
1,000 Japan Steel Works* 2
2,000 Joyo Bank 10
1,000 JUSCO Co. 34
2,000 Kajima Corp. 11
1,000 Kamigumi Co. Ltd. 6
1,000 Kandenko Co. Ltd. 8
1,000 Kanebo Ltd. 2
1,000 Kaneka Corp. 6
2,500 Kansai Electric Power Co., Inc. 47
1,000 Kansai Paint 4
2,000 Kao Corp. 27
4,000 Kawasaki Heavy Industries Ltd. 17
1,000 Kawasaki Kisen Kaisha Ltd. 2
8,000 Kawasaki Steel Corp. 23
1,000 Keihin Electric Express Railway Co. Ltd. 5
1,000 Kikkoman Corp. 7
1,000 Kinden Corp. 13
4,000 Kinki Nippon Railway 24
3,000 Kirin Brewery Co. Ltd. 30
3,000 Komatsu Ltd. 23
100 Konami Co. Ltd. 4
1,000 Konica Corp. 6
1,000 Koyo Seiko Co. 8
1,000 Kuarabo Industries 3
4,000 Kubota Corp. 18
2,000 Kumagai Gumi Co. Ltd. 3
1,000 Kuraray Co. Ltd. 10
1,000 Kureha Chemical Industry 4
1,000 Kyowa Hakko Kogyo 7
1,000 Lion Corp. 4
4,000 Marubeni Corp. 17
1,000 Maruha Corp. 2
1,000 Marui Co. Ltd. 19
5,000 Matsushita Electric Industrial Co. Ltd. 94
1,000 Meiji Milk Products Co. Ltd. 5
1,000 Meiji Seika 5
1,000 Minebea Co. Ltd. 10
6,000 Mitsubishi Chemical Corp. 18
4,000 Mitsubishi Corp. 47
5,000 Mitsubishi Electric Corp. 28
3,000 Mitsubishi Estate Co. Ltd. 41
1,000 Mitsubishi Gas Chemical Go. 4
8,000 Mitsubishi Heavy Industries Ltd. 58
3,000 Mitsubishi Materials Corp. 12
1,000 Mitsubishi Oil Co. Ltd. 5
1,000 Mitsubishi Paper Mills 4
2,000 Mitsubishi Rayon Co. 8
</TABLE>
See accompanying notes to financial statements.
39
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
JAPAN--Continued
<C> <S> <C>
3,000 Mitsubishi Trust & Banking Corp. $ 43
4,000 Mitsui & Co. 35
2,000 Mitsui Engineering & Shipbuilding Co. Ltd. 4
2,000 Mitsui Fudosan Co. Ltd. 25
2,000 Mitsui Marine & Fire Insurance Co. Ltd. 13
1,000 Mitsui Mining & Smelting 4
3,000 Mitsui O.S.K. Lines Ltd.* 7
2,000 Mitsui Toatsu Chemicals, Inc. 5
3,000 Mitsui Trust & Banking Co. Ltd. 23
1,000 Mitsukoshi Ltd. 7
1,000 Murata Manufacturing Co. Ltd. 40
1,000 Mycal Corp. 14
2,000 Nagoya Railroad Co. Ltd. 8
1,000 Nankai Electric Railway 5
4,000 NEC Corp. 56
1,000 NGK Insulators Ltd. 10
1,000 NGK Spark Plug Co. 11
1,000 Nichido Fire & Marine Insurance 6
1,000 Nichirei Corp. 5
1,000 Nihon Cement Co. Ltd. 5
1,000 Niigata Engineering Co. Ltd.* 2
1,000 Nikon Corp. 17
3,000 Nippon Express Co. Ltd. 23
1,000 Nippon Fire & Marine Insurance 5
1,000 Nippon Light Metal Co. 4
1,000 Nippon Meat Packers, Inc. 12
3,000 Nippon Oil Co. Ltd. 15
2,000 Nippon Paper Industries Co. 11
1,000 Nippon Sheet Glass Co. Ltd. 4
1,000 Nippon Shinpan Co. 3
1,000 Nippon Shokubai K.K. Co. 7
17,000 Nippon Steel Corp. 50
1,000 Nippon Suisan Kaisha Ltd.* 3
3,000 Nippon Yusen Kabushiki Kaisha 12
1,000 Nishimatsu Construction 7
6,000 Nissan Motor Co. Ltd. 40
1,000 Nisshinbo Industries, Inc. 9
9,000 NKK Corp. 18
1,000 NOF Corp. 4
5,000 Nomura Securities Co. Ltd. 59
1,000 NSK Ltd. 7
1,000 NTN Corp. 5
2,000 Obayashi Corp. 12
2,000 Odakyu Electric Railway 11
3,000 Oji Paper Co. Ltd. 17
1,000 Okumura Corp. 5
1,000 Olympus Optical Co. Ltd. 9
1,000 Omron Corp. 20
1,000 Orient Corp. 3
6,000 Osaka Gas Co. Ltd. 16
100 Oyo Corp. 4
1,000 Penta-Ocean Construction 3
1,000 Renown, Inc.* 2
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------
<C> <S> <C>
9,000 Sakura Bank Ltd. $ 54
1,000 Sankyo Aluminium Industry Co. 3
1,000 Sankyo Co. Ltd. 32
1,000 Sanwa Shutter Corp. 9
5,000 Sanyo Electric Co. 21
1,000 Sapporo Breweries Ltd. 8
1,000 Sato Kogyo 2
300 Sega Enterprises 10
1,000 Seiyu Ltd. 8
1,000 Sekisui Chemical Co. Ltd. 10
2,000 Sekisui House Ltd. 20
3,000 Sharp Corp. 39
2,000 Shimizu Corp. 12
1,000 Shin-Etsu Chemical Co. Ltd. 25
1,000 Shionogi & Co. 7
1,000 Shiseido Co. Ltd. 15
2,000 Shizuoka Bank 19
3,000 Showa Denko K.K. 8
1,000 Snow Brand Milk Products 5
1,000 Sony Corp. 84
8,000 Sumitomo Bank Ltd. 111
4,000 Sumitomo Chemicals Co. 17
3,000 Sumitomo Corp. 27
2,000 Sumitomo Electric Industries 31
2,000 Sumitomo Heavy Industries Ltd. 7
2,000 Sumitomo Marine & Fire Insurance 15
8,000 Sumitomo Metal Industries 20
1,000 Sumitomo Metal Mining Co. 7
1,000 Sumitomo Osaka Cement Co. Ltd. 3
3,000 Taisei Corp. 13
1,000 Taisho Pharmaceutical Co. 25
1,000 Takara Shuzo 7
1,000 Takashimaya Co. Ltd. 13
2,000 Takeda Chemical Industries 51
2,000 Teijin Ltd. 8
1,000 Teikoku Oil Co. Ltd. 5
1,000 Toa Corp. 4
2,000 Tobu Railway Co. 9
100 Toho Co. 16
1,300 Tohoku Electric Power 22
5,000 Tokai Bank 41
4,000 Tokio Marine & Fire Insurance 47
3,400 Tokyo Electric Power Co. 65
7,000 Tokyo Gas Co. Ltd. 18
400 Tokyo Steel Manufacturing 5
1,000 Tokyo Tatemono Co. Ltd. 5
1,000 Tokyotokeiba 3
3,000 Tokyu Corp. 17
2,000 Toppan Printing Co. Ltd. 27
4,000 Toray Industries, Inc. 27
2,000 Tosoh Corp. 7
1,000 Tostem Corp. 27
1,000 Toto Ltd. 11
1,000 Toyo Seikan Kaisha 19
2,000 Toyobo Ltd. 5
1,000 Toyoda Automatic Loom Works 22
</TABLE>
See accompanying notes to financial statements.
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
9,000 Toyota Motor Corp. $ 258
1,000 Tsubakimoto Chain 6
2,000 Ube Industries Ltd. 6
1,000 Unitika Ltd.* 2
1,000 Yamaguchi Bank 14
1,000 Yamaha Corp. 19
3,000 Yamaichi Securities Co. Ltd. 8
1,000 Yamanouchi Pharmaceutical Co. Ltd. 25
1,000 Yamato Transport Co. Ltd. 12
1,000 Yamazaki Baking Co. Ltd. 17
3,000 Yasuda Trust & Banking 9
1,000 Yokogawa Electric 8
--------
4,477
--------
MALAYSIA--2.2%
1,000 AMMB Holdings Berhad 6
2,000 Amsteel Corp. Berhad 2
1,000 Antah Holdings Berhad 1
1,000 Aokam Perdana Berhad* 1
1,000 Berjaya Group Berhad 1
1,000 Berjaya Leisure Berhad 3
2,000 Commerce Asset Holdings Berhad 6
400 Commerce Asset Holdings Berhad Rights* 0
250 Commerce Asset Holdings Berhad Warrants* 0
1,000 DCB Holdings Berhad 3
1,000 Edaran Otomobil Nasional Berhad 9
1,000 Ekran Berhad 2
1,000 Golden Hope Plantations Berhad 2
1,000 Golden Plus Holdings Berhad 2
1,000 Guinness Anchor Berhad 2
666 Guolene Paper Products Berhad Rights* 0
1,000 Highlands & Lowlands Berhad 2
1,000 Hong Leong Industries Berhad 3
1,000 Hong Leong Properties Berhad 1
1,000 Hume Industries Berhad 5
1,000 Idris Hydraulic Berhad* 1
1,000 IGB Corp. Berhad 1
1,000 IOI Corp. Berhad 1
1,000 Jaya Tiasa Holdings Berhad 5
1,000 Johan Holdings Berhad 1
1,000 Kedah Cement Holdings Berhad 1
1,000 Kemayan Corp. Berhad 1
1,000 Kian Joo Can Factory Berhad 4
1,000 Kuala Lumpur Kepong Berhad 3
1,000 Land and General Berhad 1
1,000 Landmarks 1
1,000 Leader Universal Holdings Berhad 2
2,000 Magnum Corp. Berhad 3
2,800 Malayan Banking Berhad 30
1,000 Malayan Cement Berhad 2
2,000 Malayan United Industries Berhad 1
1,000 Malayawata Steel Berhad 2
3,000 Malaysia International Shipping Berhad 7
1,000 Malaysia Mining Corp. Berhad 1
1,000 Malaysian Airline System Berhad 2
1,000 Malaysian Mosaics Berhad 1
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------------
<C> <S> <C>
1,000 Malaysian Oxygen Berhad $ 5
1,000 Malaysian Pacific Industries 4
1,000 Malaysian Resources Corp. Berhad 3
1,000 MBF Capital Berhad 2
1,000 Metroplex Berhad 1
1,000 Mulpha International Berhad 1
1,000 Multi-Purpose Holdings 2
1,000 Mycom Berhad 1
1,000 Nestle Berhad 7
1,000 New Straits Times Press Berhad 6
1,000 Oriental Holdings Berhad 8
1,000 Palmco Holdings Berhad 1
1,000 Pan-Malaysia Cement Works Berhad 1
1,000 Perlis Plantations Berhad 3
1,000 Perlis Plantations Berhad Rights* 2
1,000 Perusahaan Otomolbil Nasional Berhad 5
1,000 Petaling Garden Berhad 2
1,000 Pilecon Engineering Berhad 2
1,000 Promet Berhad* 1
2,000 Public Bank Berhad 3
1,000 R.J. Reynolds Berhad 3
1,000 Rashid Hussain Berhad 6
2,000 Resorts World Berhad 7
400 Roghmans of Pall Mall Berhad 4
1,000 Selangor Properties Berhad 1
1,000 Shell Refining Co. Berhad 3
6,000 Sime Darby Berhad 20
1,000 Sungei Way Holdings Berhad 2
1,000 Ta Enterprise Berhad 1
1,000 Tan Chong Motor Holdings Berhad 2
1,000 Technology Resources Industries Berhad* 2
5,000 Telekom Malaysia Berhad 37
8,000 Tenaga Nasional Berhad 37
1,000 Time Engineering Berhad 2
1,000 UMW Holdings Berhad 5
2,000 United Engineers Malaysia Ltd. 16
1,000 YTL Corp. Berhad 4
-------
334
-------
NETHERLANDS--4.8%
3,440 ABN AMRO Holdings N.V. 64
168 Akzo Nobel 22
59 Assurantieconcern Stad Rotterdam anno 1720 N.V. 3
1,668 Elsevier N.V. 28
157 Getronics N.V. 5
126 Heineken N.V. 21
6 Hollandsche Beton Groep N.V. 1
48 IHC Caland N.V. 3
1,969 ING Groep N.V. 87
166 KLM Royal Dutch Airlines N.V. 5
422 Koninklijke Ahold N.V. 32
58 Koninklijke Hoogovens N.V. 3
185 Koninklijke KNP BT N.V. 4
23 Koninklijke Nedlloyd N.V. 1
56 Koninklijke Pakhoed N.V. 2
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
NETHERLANDS--Continued
<C> <S> <C>
1,172 Koninklijke PTT Nederland N.V. $ 41
36 Oce-Van Der Grinten N.V. 5
883 Philips Electronics N.V. 48
1,343 Royal Dutch Petroleum Co. 260
54 Stork N.V. 2
401 Unilever N.V. 77
170 Wolters Kluwer N.V. 21
-------
735
-------
NEW ZEALAND--0.4%
7,000 Brierley Investments Ltd. 6
4,400 Carter Holt Harvey Ltd. 10
200 Fisher & Paykel Industries Ltd. 1
800 Fletcher Challenge Building 2
1,000 Fletcher Challenge Energy 3
2,000 Fletcher Challenge Forests 3
2,000 Fletcher Challenge Paper 5
1,400 Lion Nathan Ltd. 4
4,800 Telecom Corp. of New Zealand Ltd. 23
-------
57
-------
NORWAY--0.5%
200 Aker RGI ASA 4
40 Aker RGI ASA, Class B 1
100 Bergesen d.y. ASA, Class A 2
100 Bergesen d.y. ASA, Class B 2
1,400 Christiania Bank Og Kreditkasse 5
100 Dyno Industrier ASA 2
100 Elkem ASA 2
200 Hafslund ASA 1
100 Kvaerner ASA 6
100 Leif Hoegh & Co. ASA 2
200 NCL Holdings ASA* 1
600 Norsk Hydro ASA 30
100 Norske Skogindustrier ASA 3
200 Nycomed ASA, Class A 3
100 Nycomed ASA, Class B 1
100 Orkla ASA, Class A 9
100 Petroleum Geo-Services ASA* 4
700 Storebrand ASA* 5
-------
83
-------
SINGAPORE--1.0%
1,000 City Developments Ltd. 9
1,000 Comfort Group Ltd. 1
1,000 Cycle & Carriage Ltd. 10
2,000 DBS Land Ltd. 7
1,000 Development Bank of Singapore Ltd. 12
1,000 First Capital Corp. Ltd. 3
1,000 Fraser & Neave Ltd. 8
1,000 Goldtron Ltd. 1
1,000 Hai Sun Hup Group Ltd. 1
1,000 Hotel Properties Ltd. 2
2,000 IPC Corp. 1
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------------------
<C> <S> <C>
1,000 Keppel Corp. Ltd. $ 5
250 Keppel Corp. Ltd., Class A * 1
1,000 Lum Chang Holdings Ltd. 1
1,000 NatSteel Ltd. 3
1,000 Neptune Orient Lines Ltd. 1
1,000 Overseas Chinese Banking Corp. Ltd. 12
1,000 Parkways Holdings Ltd. 5
1,000 Singapore Airlines Ltd. 8
1,000 Singapore Press Holdings Ltd. 20
1,000 Singapore Technologies Industrial Corp. 3
11,000 Singapore Telecommunications Ltd. 20
1,000 Straits Trading Co. Ltd. 2
2,000 United Industrial Corp. Ltd. 1
1,000 United Overseas Bank Ltd. 10
1,000 United Overseas Land Ltd. 1
-------
148
-------
SPAIN--2.3%
25 Acerinox S.A. 4
325 Corporacion Bancaria de Espana S.A. 16
500 Autopistas Concesionaria ESP 6
400 Banco Santander S.A. 34
562 Banco Bilbao Vizcaya S.A. 40
410 Banco Central Hispanoamericano 13
25 Corporacion Financiera Alba 3
69 Corporacion Mapfre 4
105 Dragados & Construcciones S.A. 2
100 Ebro Agricolas Compania de Alimentacion S.A. 2
650 Empresa Nacional de Electricidad S.A. 50
25 Fomenta de Construcciones S.A. 3
100 Gas Natural SDG S.A., Class E 19
2,278 Iberdrola S.A. 28
50 Inmobiliaria Metropolitana Vasco Central S.A. 2
25 Portland Valderrivas S.A. 2
150 Prosegur CIA de Seguridad S.A. 2
750 Repsol S.A. 31
63 Sarrio S.A. 0
100 Sociedade General de Aguas de Barcelona S.A. 4
75 Tabacalera S.A. 4
2,351 Telefonica de Espana 68
762 Union Electrica Fenosa S.A. 7
100 Uralita S.A. 1
100 Vallehermoso S.A. 3
50 Viscofan Industria Navarra de Envolturas Celulosicas S.A. 1
25 Zardoya Otis S.A. 3
-------
352
-------
SWEDEN--2.4%
2,000 ABB AB, Class A 27
1,000 ABB AB, Class B 14
300 AGA AB, Class A 4
200 AGA AB, Class B 3
3,466 Astra AB, Class A 56
800 Astra AB, Class B 12
300 Atlas Copco AB, Class A 8
</TABLE>
See accompanying notes to financial statements.
42
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------------------
<C> <S> <C>
100 Atlas Copco AB, Class B $ 3
184 Electrolux AB, Class B 11
92 Granges AB* 1
500 Hennes & Mauritz AB, Class B 16
100 Scancem AB, Class A 4
200 Securitas AB, Class B 5
239 Skandia Forsakrings AB 8
1,300 Skandinaviska Enskilda Banken, Class A 14
300 Skanska AB, Class B 12
300 Skanska AB, Rights* 0
100 SKF AB, Class A 2
115 SKF AB, Class B 3
700 Stora Kopparbergs Bergslags Aktiebolag, Class A 10
100 Stora Kopparbergs Bergslags Aktiebolag, Class B 1
500 Svenska Cellulosa AB, Class B 11
500 Svenska Handelsbanken, Class A 14
1,000 Swedish Match AB 3
2,400 Telefonaktiebolaget LM Ericsson, Class B 85
200 Trelleborg AB, Class B 3
300 Volvo AB, Class A 8
300 Volvo AB, Class A, Rights* 0
800 Volvo AB, Class B 22
800 Volvo AB, Class B, Rights* 0
-------
360
-------
SWITZERLAND--6.2%
20 ABB A.G. (Bearer)* 28
25 Adecco S.A. 9
10 Alusuisse-Lonza Holdings A.G. (Registered) 9
450 Credit Suisse Group (Registered) 57
10 Holderbank Financiere Glarus A.G., Class B 9
25 Holderbank Financiere Glarus A.G. (Registered) 4
100 Nestle S.A. (Registered) 124
20 Novartis A.G. (Bearer) 27
160 Novartis A.G. (Registered) 217
5 Roche Holdings A.G. (Bearer) 66
18 Roche Holdings A.G. (Genusss) 160
200 Schweizerischer Bankverein (Registered)* 48
5 SGS Societe Generale de Surveillance Holdings S.A., Class B 11
10 SMH A.G. (Bearer) 6
40 Swiss Re (Registered) 54
60 Union Bank of Switzerland (Bearer) 66
50 Union Bank of Switzerland (Registered) 11
100 Zurich Versicherungsgesellschaft (Registered) 37
-------
943
-------
UNITED KINGDOM--18.6%
4,000 Abbey National PLC 58
1,000 Anglian Water PLC 11
1,000 Argos PLC 10
2,000 Arjo Wiggins Appleton PLC 6
2,000 Associated British Foods PLC 19
3,788 Barclays PLC 74
2,217 Bass PLC 29
7,755 B.A.T. Industries PLC 70
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------
<C> <S> <C>
1,000 BBA Group PLC $ 5
11,000 BG PLC 37
1,000 BICC Group PLC 3
2,000 Blue Circle Industries PLC 14
1,212 BOC Group PLC 20
2,265 Boots Co. PLC 26
1,000 BPB PLC 6
14,187 British Petroleum Co. PLC 168
1,000 British Aerospace PLC 20
3,000 British Airways PLC 35
1,000 British Land Co. PLC 10
4,000 British Sky Broadcasting Group PLC 38
4,000 British Steel PLC 10
15,766 British Telecommunications PLC 114
10,069 BTR PLC 33
1,000 Burmah Castrol PLC 17
6,000 Cable & Wireless PLC 49
2,490 Cadbury Schweppes PLC 22
900 Caradon PLC 3
1,000 Carlton Communications PLC 9
11,000 Centrica PLC* 12
1,000 Coats Viyella PLC 2
2,000 Commercial Union PLC 22
727 Courtaulds PLC 4
1,000 De La Rue PLC 8
1,000 Electrocomponents PLC 7
1,080 EMI Group PLC 21
1,000 English China Clays PLC 3
1,000 FKI PLC 3
6,924 General Electric Co. PLC 39
877 GKN PLC 15
9,000 Glaxo Wellcome PLC 180
2,000 Granada Group PLC 28
5,000 Grand Metropolitan PLC 46
1,000 Great Portland Estates PLC 4
3,000 Great Universal Stores PLC 32
2,000 Guardian Royal Exchange PLC 9
4,830 Guiness PLC 45
1,000 Hammerson PLC 8
2,000 Hanson PLC 10
1,000 Harrisons & Crosfield PLC 2
1,000 Hepworth PLC 4
4,000 HSBC Holdings PLC 119
2,000 HSBC Holdings PLC (75P) 62
1,000 IMI PLC 6
2,000 Imperial Chemical Industries PLC 27
1,000 Johnson Matthey PLC 8
2,000 Kingfisher PLC 23
3,000 Ladbroke Group PLC 11
1,290 Land Securities Group PLC 19
2,000 LASMO PLC 8
3,000 Legal & General Group PLC 22
13,419 Lloyds TSB Group PLC 135
1,403 Lonrho PLC 3
3,000 LucasVarity PLC 9
7,068 Marks & Spencer PLC 59
964 MEPC PLC 8
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
UNITED KINGDOM--Continued
<C> <S> <C>
4,000 National Grid Group PLC $ 15
3,000 National Power PLC 27
1,000 Next PLC 12
1,519 Peninsular and Oriental Steam Navigation Co. 16
1,424 Pearson PLC 17
1,800 Pilkington PLC 4
1,000 Provident Financial PLC 10
5,000 Prudential Corp. PLC 50
1,000 Racal Electronics PLC 4
1,000 Railtrack Group PLC (Partial Paid) 7
2,000 Rank Group PLC 14
1,000 Redland PLC 5
2,832 Reed International PLC 28
4,000 Reuters Holdings PLC 45
1,000 Rexam PLC 5
1,000 RMC Group PLC 15
4,000 Rolls-Royce PLC 16
2,000 Royal Bank Scotland Group PLC 20
4,000 Royal & Sun Alliance Insurance Group PLC 30
2,680 RTZ Corp. PLC 46
1,000 Rugby Group PLC 2
3,000 Safeway PLC 18
4,597 Sainsbury (J) PLC 26
2,000 Scottish & Newcastle PLC 23
3,000 Scottish Power PLC 19
2,728 Sears PLC 3
1,000 Sedgwick Group PLC 2
1,000 Slough Estates PLC 5
7,000 SmithKline Beecham PLC 120
1,000 Smiths Industries PLC 13
1,000 Southern Electric PLC 7
1,000 T&N PLC 2
1,661 Tarmac PLC 3
1,000 Tate & Lyle PLC 7
1,000 Taylor Woodrow PLC 3
5,414 Tesco PLC 33
1,000 Thames Water PLC 11
1,000 Thorn PLC 3
1,000 TI Group PLC 9
426 Unigate PLC 3
2,042 Unilever PLC 55
950 United Biscuits Holdingsss PLC 3
1,000 United Utilities PLC 11
1,000 Vickers PLC 4
8,000 Vodafone Group PLC 35
1,666 Williams PLC 8
1,000 Willis Corroon 2
1,000 Wimpey (George) PLC 2
1,000 Wolseley PLC 8
2,000 Zeneca Group PLC 61
-------
2,826
- ---------------------------------------------------------------
TOTAL COMMON STOCK (Cost $13,323) $14,448
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
PREFERRED STOCK--0.4%
AUSTRALIA--0.1%
3,800 News Corp. Ltd. $ 14
1,000 Sydney Harbour Casino Holdings Ltd.* 2
-------
16
-------
AUSTRIA--0.0%
4 Bau Holdings A.G.--Vorzug 0
12 Bank Austria A.G.--Vorzug 1
42 Creditanstalt-Bankverein--Vorzug 2
-------
3
-------
GERMANY--0.3%
400 RWE A.G.--Non Voting 14
100 SAP A.G.--Vorzug 18
-------
32
-------
ITALY--0.0%
2,000 Fiat S.p.A. 3
- -------------------------------------------------------
TOTAL PREFERRED STOCK (Cost $52) $ 54
- -------------------------------------------------------
OTHER--3.6%
WORLD EQUITY BENCHMARK SHARES(WEBS)--3.6%
AUSTRALIA--0.1%
1,500 WEBS Index Series--Australia $ 17
-------
AUSTRIA--0.0%
100 WEBS Index Series--Austria 1
-------
BELGIUM--0.0%
300 WEBS Index Series--Belgium 5
-------
FRANCE--0.3%
2,600 WEBS Index Series--France 38
-------
GERMANY--0.3%
3,200 WEBS Index Series--Germany 52
-------
HONG KONG--0.1%
1,200 WEBS Index Series--Hong Kong 19
-------
ITALY--0.1%
1,000 WEBS Index Series--Italy 15
-------
JAPAN--1.2%
13,400 WEBS Index Series--Japan* 179
-------
MALAYSIA--0.1%
900 WEBS Index Series--Malaysia 12
-------
NETHERLANDS--0.2%
1,200 WEBS Index Series--Netherlands 26
-------
SINGAPORE--0.0%
500 WEBS Index Series--Singapore 6
-------
SPAIN--0.1%
700 WEBS Index Series--Spain 14
-------
SWEDEN--0.1%
700 WEBS Index Series--Sweden 12
-------
SWITZERLAND--0.2%
2,500 WEBS Index Series--Switzerland 36
-------
UNITED KINGDOM--0.8%
6,900 WEBS Index Series--United Kingdom 115
- -------------------------------------------------------
TOTAL OTHER (Cost $507) $ 547
- -------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
SHORT-TERM INVESTMENT--0.4%
Bank of Tokyo--Mitsubishi, Grand Cayman
$ 65 5.750% Due 06/02/97 $ 65
- ---------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $65) $ 65
- ---------------------------------------------------------------
TOTAL INVESTMENTS--99.4%
(Cost $13,947) $15,114
- ---------------------------------------------------------------
Other assets, less liabilities--0.6% 85
- ---------------------------------------------------------------
NET ASSETS--100.0% $15,199
- ---------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
*Non-income producing security.
At May 31, 1997 the Portfolio's investments, excluding the short-term
investment, were diversified as follows:
<TABLE>
<S> <C>
Industry/Sector
- -------------------------
Auto 4.5%
Banks 14.2
Capital Goods 8.0
Consumer Goods 14.3
Energy/Utilities 10.3
Financial Services 8.7
Medical 6.5
Multi-Industry 10.8
Raw Materials 8.2
Retail 4.1
Transportation 2.5
Other 7.9
- -------------------------
Total 100.0%
- -------------------------
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------
INTERNATIONAL GROWTH PORTFOLIO
<C> <S> <C> <C>
COMMON STOCKS--92.9%
AUSTRALIA--2.9%
475,000 Foster's Brewing Group Ltd. $ 933
305,000 News Corp. Ltd. 1,354
200,000 WMC Ltd. 1,292
--------
3,579
--------
AUSTRIA--0.8%
6,000 VA Technologies A.G. 1,058
--------
CZECH REPUBLIC--0.5%
90,000 Czechoslovakia & Slovak
Investment Corp.* 608
12,000 Czechoslovakia & Slovak
Investment Corp. Warrants* 8
--------
616
--------
FINLAND--0.3%
6,000 Nokia Corp. ADR 396
--------
FRANCE--6.7%
14,000 Alcatel Alsthom S.A. 1,519
14,000 AXA-UAP 839
12,000 Cie Generale des Eaux 1,479
12,000 Cie Gererale des Eaux Warrants* 8
18,000 Elf Aquitaine S.A. 1,803
25,000 Lafarge S.A. 1,601
40,000 Lagardere S.C.A. 1,179
--------
8,428
--------
GERMANY--8.2%
6,500 Allianz A.G. 1,378
50,000 Commerzbank A.G. 1,472
15,000 Daimler-Benz A.G. 1,157
20,000 Deutsche Telekom A.G. 444
30,000 Deutsche Telekom A.G. ADR 682
33,000 Siemens A.G. 1,864
32,000 VEBA A.G. 1,812
2,200 Volkswagen A.G. 1,424
--------
10,233
--------
HONG KONG--3.5%
335,000 China Light & Power Co. 1,677
175,000 Hutchison Whampoa Ltd. 1,457
270,000 Wharf Holdings Ltd. 1,209
--------
4,343
--------
INDONESIA--1.0%
40,000 PT Indosat ADR 1,195
--------
ITALY--3.2%
85,000 Assicurazioni Generali 1,457
250,000 ENI S.p.A. 1,249
250,000 Stet Societa' Finanziaria Telefonica S.p.A. 1,263
--------
3,969
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
JAPAN--31.2%
230,000 Asahi Bank Ltd. $ 1,502
50,000 Bank Of Tokyo-Mitsubishi Ltd. 867
55,000 Canon, Inc. 1,392
15,000 Forval Corp. 398
110,000 Fujitsu Ltd. 1,340
70,000 Isetan 901
375,000 Ishikawajima-Harima Heavy Industries Co. 1,461
350,000 Isuzu Motors Ltd. 1,343
395,000 Itochu Corp. 2,010
335,000 Kawasaki Steel Corp. 983
30,000 Matsumotokiyoshi 1,187
60,000 Matsushita Electric Industrial Co. Ltd. 1,128
130,000 Minebea Co. Ltd. 1,272
70,000 Mitsubishi Estate Co. Ltd. 955
140,000 Mitsui & Co. 1,237
32,000 Murata Manufacturing Co. Ltd. 1,266
12,000 Nichii Gakkan Co. 638
40,000 Nikon Corp. 676
18,000 Nintendo Corp. Ltd. 1,406
150 Nippon Telegraph & Telephone Corp. 1,429
1,500 Nippon Television Network 598
105,000 Nissan Motor Co. Ltd. 696
90,000 Nomura Securities Co. Ltd. 1,066
185,000 Oji Paper Co. Ltd. 1,068
20,000 Promise Co., Ltd. 961
100,000 Ricoh Co. Ltd. 1,313
15,000 Sony Corp. 1,263
150,000 Sumitomo Corp. 1,326
40,000 Sumitomo Electric Industries 628
110,000 Sumitomo Marine & Fire Insurance 831
225,000 Sumitomo Realty & Developement Co. Ltd. 1,767
40,000 Takeda Chemical Industries 1,013
10,000 TDK Corp. 767
50,000 Toyota Motor Corp. 1,433
45,000 Uny Co. Ltd. 884
--------
39,005
--------
MALAYSIA--0.0%
500 Genting Berhad 3
--------
MEXICO--1.1%
425,000 Cifra S.A. ADR 701
25,000 Panamerican Beverages, Inc. 725
--------
1,426
--------
NETHERLANDS--3.0%
40,000 ING Groep N.V. 1,770
35,000 Vendex International N.V. 1,966
--------
3,736
--------
NORWAY--1.1%
70,000 Saga Petroleum A.S.A. 1,412
--------
SINGAPORE--0.9%
90,000 Development Bank of Singapore Ltd. 1,127
--------
SOUTH AFRICA--1.1%
45,000 Nedcor Ltd. 876
20,000 South African Breweries Ltd. 568
--------
1,444
--------
</TABLE>
See accompanying notes to financial statements.
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
SOUTH KOREA--0.0%
368 Daewoo Corp. $ 3
--------
SPAIN--2.5%
12,000 Banco Santander S.A. 1,025
20,000 Repsol S.A. ADR 843
14,000 Telefonica de Espana ADR 1,223
--------
3,091
--------
SWITZERLAND--5.6%
14,000 Credit Suisse Group A.G. 1,759
1,400 Nestle S.A. 1,742
1,100 Novartis A.G. 1,493
5,500 Zurich Versicherungsgesellschaft 2,022
--------
7,016
--------
UNITED KINGDOM--18.2%
250,000 British Telecommunications PLC 1,810
475,000 BTR PLC 1,543
200,000 Cable & Wireless PLC 1,633
120,000 General Electric Co. PLC 684
40,000 Glaxo Wellcome PLC ADR 1,610
200,000 Grand Metropolitan PLC 1,858
435,000 Ladbroke Group PLC 1,637
325,000 National Grid Group PLC 1,204
150,000 National Westminster Bank PLC 1,827
150,000 Pearson PLC 1,761
220,000 Rank Group PLC 1,544
75,000 RTZ Corp. PLC 1,287
450,000 Tomkins PLC 1,958
35,000 Vodafone Group PLC ADR 1,562
70,000 United Utilities PLC 801
--------
22,719
--------
UNITED STATES--1.1%
40,000 Pharmacia & Upjohn, Inc. 1,385
- ----------------------------------------------------------
TOTAL COMMON STOCKS (Cost $106,014) $116,184
- ----------------------------------------------------------
PREFERRED STOCKS--1.1%
BRAZIL--1.1%
5,000 Telecomunicacoes Brasileiras S.A. ADR $ 687
20,000 Uniao de Bancos Brasileiros S.A. GDR* 690
- ----------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,101) $ 1,377
- ----------------------------------------------------------
OTHER--0.8%
75,000 The Korea Fund, Inc. $ 1,031
- ----------------------------------------------------------
TOTAL OTHER (Cost $1,104) $ 1,031
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ----------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENT--2.9%
Bank of Tokyo-Mitsubishi, Grand Cayman
$ 3,593 5.75% Due 06/02/97 $ 3,593
- ----------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $3,593) $ 3,593
- ----------------------------------------------------------
TOTAL INVESTMENTS--97.7%
(Cost $111,812) $122,185
- ----------------------------------------------------------
Other assets, less liabilities--2.3% 2,922
- ----------------------------------------------------------
NET ASSETS--100.0% $125,107
- ----------------------------------------------------------
- ----------------------------------------------------------
</TABLE>
*Non-income producing security.
At May 31, 1997 the Portfolio's investments, excluding the short-term
investment, were diversified as follows:
<TABLE>
<CAPTION>
Industry/Sector
- --------------------------
<S> <C>
Auto 3.0%
Basic Industry 15.7
Capital Goods 8.6
Consumer Goods 17.6
Financial Services 18.6
Medical 5.2
Real Estate 3.3
Retail 3.2
Technology 15.9
Other 8.9
- --------------------------
Total 100.0%
- --------------------------
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--97.9%
AGRICULTURE--0.5%
2,700 DeKalb Genetics Corp. $ 192
4,665 Delta & Pine Land Co. 142
5,600 Dimon, Inc. 130
8,500 Longview Fibre Co. 143
2,400 Northland Cranberries, Inc. 31
1,500 Tejon Ranch Co. 26
--------
664
--------
APPAREL--0.5%
1,600 Donnkenny, Inc.* 7
800 Fossil, Inc.* 14
1,500 Gadzooks, Inc.* 50
4,200 Genesco, Inc.* 58
4,300 Hartmarx Corp.* 42
3,450 Kellwood Co. 91
1,100 Kenneth Cole Productions, Inc.* 17
1,100 Marisa Christina, Inc.* 11
6,200 Nautica Enterprises, Inc.* 146
1,900 Oshkosh B' Gosh, Inc. 32
2,500 St. John Knits, Inc. 106
1,900 Starter Corp.* 9
1,650 Unitog Co. 39
1,800 Vans, Inc.* 23
--------
645
--------
BANKING--8.4%
4,250 Aames Financial Corp. 55
1,880 Albank Financial Corp. 72
1,900 Amcore Financial, Inc. 54
1,900 American Federal Bank 58
1,000 Anchor Bancorp, Inc. 43
3,690 Associated Banc-Corp. 140
3,200 BancorpSouth, Inc. 93
1,402 Bank of Granite Corp. 40
1,700 BankAtlantic Bancorp, Inc. 24
2,264 Bankers Corp. 57
1,200 Banknorth Group, Inc. 52
1,100 Bay View Capital Corp. 55
1,089 Brenton Banks, Inc. 28
1,400 CBT Corp. 31
2,600 CCB Financial Corp. 183
4,000 Centura Banks, Inc. 173
1,787 Chittenden Corp. 53
1,350 CitFed Bancorp, Inc. 50
1,800 Citizens Banking Corp. 58
6,500 City National Corp. 156
3,278 CNB Bancshares, Inc. 144
3,200 Coast Savings Financial, Inc.* 136
3,500 Collective Bancorp, Inc. 150
3,800 Colonial BancGroup, Inc. 92
2,061 Commerce Bancorp, Inc. 71
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------------
<C> <S> <C>
3,750 Commercial Federal Corp. $ 130
2,954 Commonwealth Bancorp 44
2,800 Community First Bankshares, Inc. 97
1,430 Community Trust Bancorp, Inc.* 36
800 CPB, Inc. 28
3,880 Cullen/Frost Bankers, Inc. 152
2,863 Downey Financial Corp. 57
3,055 F & M Bancorp 72
1,188 F & M National Corp. 38
1,767 Fidelity National Corp. 23
1,370 Financial Trust Corp.* 67
1,900 First Citizens Bancshares, Inc. 157
1,900 First Commercial Bancshares, Inc. 48
3,837 First Commercial Corp. 157
3,600 First Commonwealth Financial Corp. 69
1,700 First Federal Financial Corp.* 46
2,452 First Financial Bancorp 93
1,025 First Financial Bancshares, Inc. 42
6,375 First Financial Corp. 177
4,000 First Hawaiian, Inc. 142
1,298 First Indiana Corp. 27
4,782 First Michigan Bank Corp. 137
2,575 First Midwest Bancorp, Inc. 84
1,900 First Savings Bank of Washington Bancorp, Inc. 39
1,050 First United Bancshares, Inc. 42
1,388 First Western Bancorp, Inc. 48
1,800 Firstbank of Illinois Co. 67
2,025 FirstBank Puerto Rico 49
5,200 Firstmerit Corp. 238
1,559 FNB Corp. 41
1,950 Fort Wayne National Corp. 87
6,225 Fulton Financial Corp. 163
7,476 Glendale Federal Bank FSB* 190
2,300 Great Financial Corp. 75
1,610 Hancock Holding Co. 67
1,113 Harleysville National Corp. 33
500 Harris Savings Bank 10
900 Heritage Financial Services, Inc. 24
3,229 Hubco, Inc. 84
3,022 Imperial Bancorp* 75
3,964 Imperial Credit Industries, Inc.* 74
1,000 Irwin Financial Corp. 27
2,600 Jefferson Bancshares, Inc. 76
6,449 Keystone Financial, Inc. 191
2,100 Klamath First Bancorp 39
900 Liberty Bancorp, Inc. 44
4,200 Long Island Bancorp, Inc. 146
2,200 Magna Bancorp, Inc. 52
5,994 Magna Group, Inc. 193
3,359 Mid-Am, Inc. 59
2,600 ML Bancorp, Inc. 45
700 National Bancorp of Alaska, Inc. 55
1,638 National City Bancshares, Inc. 61
</TABLE>
See accompanying notes to financial statements.
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
8,500 National Commerce Bancorp $ 201
1,126 National Penn Bancshares, Inc. 34
2,476 New York Bancorp, Inc. 81
10,868 North Fork Bancorp, Inc. 228
4,595 Old National Bancorp 184
1,500 Omega Financial Corp. 50
2,195 ONBANCorp, Inc. 103
3,225 One Valley Bancorp of West Virginia, Inc. 130
700 Park National Corp. 43
3,000 Peoples Bank of Bridgeport, CT 70
4,300 Peoples Heritage Financial Group, Inc. 142
1,100 Pinnacle Banc Group, Inc. 20
3,050 Provident Bancorp, Inc. 122
1,394 Provident Bankshares Corp. 52
1,800 Queen City Bancorp 74
1,900 RCSB Financial, Inc. 78
1,400 Reliance Acceptance Group, Inc. 8
2,791 Republic Bancorp, Inc. 36
1,797 Resource Bancshares Mortgage Group, Inc.* 26
3,300 Riggs National Corp.* 61
5,714 Roosevelt Financial Group, Inc. 132
1,800 S & T Bancorp, Inc. 65
1,600 Security Capital Corp. 147
1,600 Silicon Valley Bancshares* 63
10,788 Sovereign Bancorp, Inc. 141
3,913 St. Paul Bancorp, Inc. 124
2,900 Standard Financial, Inc.* 67
700 Student Loan Corp. 26
700 Sumitomo Bank of California 19
2,275 Susquehanna Bancshares, Inc. 89
3,000 T.R. Financial Corp.* 60
3,200 Trust Co. of Jersey City 59
3,283 Trustco Bank Corp. 67
4,500 Trustmark Corp. 122
2,832 UMB Financial Corp. 113
2,500 United Bankshares, Inc. 93
4,100 United Carolina Bancshares Corp. 184
900 USBancorp, Inc. 43
2,800 UST Corp. 59
7,590 Washington Federal, Inc. 200
1,500 Wesbanco, Inc. 55
2,500 Westamerica Bancorp 170
1,718 Westcorp, Inc. 28
2,775 Whitney Holding Corp. 106
--------
10,360
--------
BITUMINOUS COAL AND LIGNITE SURFACE MINING--0.1%
1,400 Ashland Coal, Inc. 37
1,200 Nacco Industries, Inc. 61
--------
98
--------
BROKERAGE AND FINANCIAL SERVICES--1.7%
3,750 Alex Brown, Inc. 251
2,200 Allied Capital Commercial Corp. 51
400 American Financial Enterprises, Inc. 15
2,400 Amresco, Inc. 42
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
867 BOK Financial Corp.* $ 29
700 CapMAC Holdings, Inc. 19
1,920 Carolina First Corp. 29
800 Cityscape Financial Corp.* 11
4,000 CMAC Investment Corp. 167
5,850 Crawford & Co., Class B 97
5,000 Crimmi Mae, Inc. 81
1,000 Cybercash, Inc.* 13
1,700 Financial Federal Corp.* 33
5,400 Insignia Financial Group, Inc., Class A* 96
2,100 Interra Financial, Inc. 91
600 Investment Technology Group, Inc.* 13
1,700 Jefferies Group, Inc. 91
2,700 Legg Mason, Inc. 124
1,540 McDonald & Co. Investments, Inc. 59
2,625 Morgan Keegan, Inc. 47
3,900 Penncorp Financial Group, Inc. 133
7,550 Phoenix Duff & Phelps Corp. 56
3,700 Pioneer Group, Inc. 92
1,900 Piper Jaffray Cos., Inc. 37
2,785 Quick & Reilly Group, Inc. 64
4,050 Raymond James Financial, Inc. 111
2,200 SEI Corp. 50
3,400 U.S. Trust Corp. 160
300 Value Line, Inc. 10
770 WFS Financial, Inc.* 10
500 Winthrop Resource Corp.* 15
--------
2,097
--------
CHEMICALS AND ALLIED PRODUCTS--3.7%
2,600 Advanced Polymer Systems, Inc.* 19
4,900 Alliance Pharmaceutical Corp.* 50
2,300 Alpharma, Inc., Class A* 39
3,500 Amylin Pharmaceuticals, Inc.* 46
1,000 Aphton Corp.* 15
6,000 Arcadian Corp. 62
2,838 Avatex Corp.* 3
1,100 Bush Boake Allen, Inc.* 32
6,600 Calgon Carbon Corp. 92
2,200 Capstone Pharmacy Services, Inc.* 22
900 Cardinal Health ,Inc. 52
3,900 Carter-Wallace, Inc. 64
2,500 Cellpro, Inc.* 16
4,000 Cephalone, Inc.* 50
1,500 Chemed Corp. 55
3,500 Chemfirst, Inc. 91
3,100 Church & Dwight, Inc. 82
1,500 Collagen Corp. 26
1,274 Copley Pharmaceutical, Inc.* 8
12,439 Crompton & Knowles Corp. 291
2,800 Cygnus, Inc.* 46
4,000 Dexter Corp. 121
1,800 Diagnostic Products Corp. 54
7,200 Dura Pharmaceuticals, Inc.* 286
2,200 Epitope, Inc.* 19
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--Continued
1,500 Ergo Science Corp.* $ 20
2,400 Fuller (H.B.) Co. 133
2,200 GelTex Pharmaceuticals, Inc.* 42
5,900 Genelabs Technologies, Inc.* 14
3,600 Geon Co. 78
2,100 Herbalife International, Inc. 44
4,100 Hybridon, Inc. 27
6,101 ICN Pharmaceuticals, Inc. 132
5,200 ICOS Corp.* 42
3,200 Immulogic Pharmaceutical Corp.* 13
4,200 Isis Pharmaceuticals, Inc.* 66
3,900 Jones Medical Industries, Inc. 140
1,400 Kronos, Inc.* 36
500 Landec Corp.* 3
5,000 Lawter International, Inc. 58
1,200 Learonal, Inc. 32
1,771 Life Technologies, Inc. 48
3,175 Lilly Industrial, Inc. 67
900 MacDermid, Inc. 41
3,000 Matrix Pharmaceutical, Inc.* 21
1,100 McWhorter Technologies, Inc.* 24
2,300 Medimmune, Inc.* 36
3,900 Mineral Technologies, Inc. 154
4,568 Mississippi Chemical Corp. 104
2,700 NBTY, Inc.* 63
600 NCH Corp. 39
4,200 NL Industries, Inc.* 54
2,600 Noven Pharmaceuticals, Inc.* 20
3,300 OM Group, Inc. 104
1,000 PDT, Inc.* 28
1,000 Petrolite Corp. 60
1,800 Pharmacopeia, Inc.* 27
3,400 Regeneron Pharmaceuticals, Inc.* 36
3,300 Rexene Corp.* 49
2,000 Roberts Pharmaceutical Corp.* 25
3,600 Ross Cosmetics Distribution Centers, Inc. 11
6,500 Schulman (A.), Inc. 145
3,100 Scotts Co.* 91
4,400 Sepracor, Inc.* 108
4,800 Sequus Pharmaceuticals, Inc.* 34
3,100 Somatogen, Inc.* 17
1,600 Stepan Co. 31
1,500 Techne Corp.* 41
2,135 Tetra Tech, Inc.* 43
2,200 Tetra Technologies, Inc.* 54
1,000 USA Detergents, Inc.* 13
1,800 Valhi, Inc. 15
5,300 Valspar Corp. 148
3,300 Vertex Pharmaceuticals, Inc.* 134
1,165 WD-40 Co. 66
4,700 Wellman, Inc. 84
--------
4,556
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS--3.5%
2,300 ACC Corp.* $ 59
3,400 Ackerley Communications, Inc. 42
2,700 Adelphia Communications Corp.* 16
6,000 Aliant Communications, Inc. 123
2,700 American Mobile Satellite Corp.* 24
600 American Paging, Inc.* 1
4,690 American Radio Systems, Inc.* 175
1,700 American Telecasting, Inc.* 2
1,000 Ancor Communications, Inc.* 6
4,300 ANTEC Corp.* 53
2,100 Applied Digital Access, Inc.* 13
1,600 Applied Innovation, Inc.* 10
1,800 Argyle Television, Inc.* 42
2,900 ATC Communications Group, Inc.* 12
900 Atlantic Tele-Network, Inc.* 11
1,200 BET Holdings, Inc.* 39
2,800 Black Box Corp.* 99
2,390 Block Drug Co., Inc. 106
2,812 Brightpoint, Inc.* 87
1,500 Brite Voice Systems, Inc.* 13
1,900 Broadband Technologies, Inc.* 18
2,200 C-TEC Corp.* 67
2,850 Cable Design Technologies Corp.* 78
5,470 CAI Wireless Systems, Inc.* 8
1,600 Cellstar Corp.* 57
1,800 Cellular Communications International, Inc.* 48
3,480 Cellular Technical Services, Inc.* 47
900 Cellularvision USA, Inc.* 6
5,500 Century Communications Corp., Class A* 30
2,100 CFW Communications Co. 39
2,500 CIDCO, Inc.* 36
2,400 Commnet Cellular, Inc.* 82
2,000 Corecomm, Inc.* 32
1,500 Data Transmission Network Corp.* 41
1,350 Davox Corp.* 44
1,100 Desktop Data, Inc.* 9
7,700 DSP Communications, Inc.* 86
1,400 EIS International, Inc.* 10
1,200 Emmis Broadcasting Corp., Class A* 46
4,850 Evergreen Media Corp., Class A* 189
2,600 Executive Telecard Ltd.* 19
8,000 Executone Information Systems, Inc.* 16
1,700 FastComm Communications Corp.* 13
4,100 General Communications, Inc.* 28
1,700 Harmonic Lightwaves, Inc.* 28
2,200 Heartland Wireless Communications, Inc.* 6
1,100 Heftel Broadcasting Corp., Class A* 54
5,500 Heritage Media Corp.* 100
3,600 HighwayMaster Communications, Inc.* 50
8,028 HSN, Inc. 246
1,600 Intercel, Inc.* 22
2,600 Intermedia Communications, Inc.* 78
2,400 International Cabletel, Inc.* 56
600 IPC Information Systems, Inc.* 8
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
1,100 Jacor Communications, Inc.* $ 38
3,478 Jones Intercable, Inc., Class A* 37
2,200 Level One Communications, Inc.* 83
2,000 Lin Television Corp* 87
1,800 Mastec, Inc.* 73
1,900 Media General, Inc. 58
3,550 Metrocall, Inc.* 18
6,057 Metromedia International Group, Inc.* 66
2,700 MIDCOM Communications, Inc.* 20
8,900 Mobile Telecommunications Technologies Corp.* 108
7,400 MobileMedia Corp.* 4
4,933 NTL, Inc.* 113
1,500 Ods Networks, Inc.* 24
1,100 Ortel Corp.* 15
2,700 P-COM, Inc.* 87
1,200 Palmer Wireless, Inc.* 19
200 Paxson Communications Corp.* 2
1,800 People's Choice TV Corp.* 2
1,600 Periphonics Corp.* 30
1,500 Plantronics, Inc.* 66
1,800 ProNet, Inc.* 6
500 Renaissance Communications Corp.* 19
1,500 SAGA Communications, Inc.* 28
1,000 SFX Broadcasting, Inc., Class A* 32
1,800 TCA Cable TV, Inc. 12
2,700 Tel-Save Holdings, Inc.* 42
1,800 Telco Systems, Inc.* 19
1,000 Teltrend, Inc.* 17
1,250 Transaction Network Services, Inc.* 18
2,000 Trescom International, Inc.* 15
3,000 True North Communications, Inc. 60
2,600 U.S. Long Distance Corp.* 40
6,400 United International Holdings, Inc., Class A* 64
700 United Television, Inc. 62
1,800 United Video Satellite Group, Inc.* 31
4,800 Valuevision International, Inc.* 19
4,700 Vanguard Cellular Systems, Inc.* 62
2,100 VideoLan Technologies, Inc.* 1
5,300 Westwood One, Inc.* 144
4,600 WinStar Communications, Inc.* 65
2,600 Wireless One Corp.* 8
1,500 Young Broadcasting Corp.* 40
--------
4,384
--------
COMPUTERS AND OFFICE MACHINES--3.1%
1,600 ACT Networks, Inc.* 28
3,100 Actel Corp.* 65
3,900 Alliance Semiconductor Corp.* 33
1,400 Applix, Inc.* 6
5,600 AST Research, Inc.* 29
4,200 Auspex Systems, Inc.* 44
3,400 Avid Technology, Inc.* 80
3,366 BancTec, Inc.* 85
900 Boca Research, Inc.* 6
5,400 Borland International, Inc.* 39
1,500 Brooktrout Technology, Inc.* 20
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
1,700 BT Office Products International, Inc.* $ 13
2,300 Caere Corp.* 19
1,896 Cambrex Corp. 68
2,000 Centennial Technologies, Inc.* 6
3,700 Chips & Technologies, Inc.* 41
2,100 Chronimed, Inc.* 21
4,000 Computer Network Technology Corp.* 19
3,700 Comverse Technology, Inc.* 169
2,300 Control Data Systems, Inc.* 34
7,600 Copytele, Inc.* 39
6,600 Data General Corp.* 141
900 Day Runner, Inc.* 25
1,300 Dialogic Corp.* 38
5,000 Diamond Multimedia Systems, Inc.* 40
2,000 Digi International, Inc.* 18
3,100 Dynatech Corp.* 116
1,500 Encad, Inc.* 56
1,600 Evans & Sutherland Computer Corp.* 42
3,600 Exabyte Corp.* 51
1,500 Excalibur Technologies Corp.* 7
2,400 Filenet Corp.* 40
5,200 FTP Software, Inc.* 29
1,100 General Binding Corp. 32
2,900 Hyperion Software Corp.* 52
1,300 Infinium Software, Inc. 11
4,500 Information Resources, Inc.* 68
5,300 Intelligent Electronics, Inc. 14
6,600 Intergraph Corp.* 47
2,700 Interpool, Inc.* 38
1,600 Itron, Inc.* 43
2,184 Logicon, Inc. 110
1,200 Media 100 Inc.* 7
2,700 Mercury Interactive Corp.* 47
1,400 Microcom, Inc.* 35
1,400 Micros Systems, Inc.* 56
8,000 Miller (Herman), Inc. 286
3,400 Mylex Corp.* 34
2,200 National Computer Systems, Inc. 56
5,300 Netmanage, Inc.* 18
3,700 Nu-Kote Holding, Inc.* 9
3,000 Phoenix Technologies Ltd.* 42
1,400 Planar Systems, Inc.* 17
8,098 Platinum Technology, Inc.* 117
1,600 Proxim, Inc.* 41
900 Radisys, Inc.* 33
8,400 S3, Inc.* 103
2,800 Sandisk Corp.* 40
3,400 Santa Cruz Operation, Inc.* 15
4,900 Sequent Computer Systems, Inc.* 83
3,400 Silicon Storage Technology, Inc.* 12
2,400 SMART Modular Technologies, Inc.* 81
2,300 Standard Microsystems Corp.* 21
500 Storage Computer Corp.* 7
3,000 StorMedia, Inc.* 36
4,200 Stratus Computer, Inc.* 192
2,000 SubMicron Systems, Inc.* 5
</TABLE>
See accompanying notes to financial statements.
51
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
COMPUTERS AND OFFICE MACHINES--Continued
3,150 Sylvan Learning Systems, Inc.* $ 113
2,900 Synetic, Inc.* 113
1,200 3D Systems Corp.* 9
1,100 Tech Data Corp.* 35
2,100 Trident Microsystems, Inc.* 30
2,400 Tseng Laboratories, Inc.* 9
1,200 USDATA Corp., Inc.* 6
1,300 Wall Data, Inc.* 33
6,200 Wang Labs, Inc.* 127
2,300 Wonderware Corp.* 31
600 Xpedite Systems, Inc.* 11
3,200 Zebra Technologies Corp.* 98
--------
3,890
--------
CREDIT INSTITUTIONS--0.4%
2,800 Astoria Financial Corp. 116
3,400 Credit Acceptance Corp.* 48
2,700 First Colorado Bancorp 47
902 First Financial Corp. 32
1,200 Firstplus Financial Group* 31
1,700 Jayhawk Acceptance Corp.* 3
1,500 JSB Financial, Inc. 66
2,200 National Auto Credit, Inc.* 21
2,400 North American Mortgage Co. 48
2,600 Ryland Group, Inc. 34
3,600 World Acceptance Corp.* 22
--------
468
--------
ELECTRICAL SERVICES--2.4%
600 Advanced Lighting Technologies, Inc.* 15
9,000 Atlantic Energy, Inc. 148
2,500 Black Hills Corp. 71
3,000 Central Hudson Gas & Electric Corp. 96
3,800 Central Louisiana Electric Co., Inc. 95
5,300 Central Maine Power Co. 58
3,400 Checkfree Corp.* 59
2,200 CILCORP, Inc. 85
13,391 Citizens Utilities Co., Series B* 126
3,400 Commonwealth Energy Systems Cos. 73
3,300 Eastern Utilities Association 58
9,800 El Paso Electric Co.* 69
3,100 Electroglas, Inc.* 78
2,800 Empire District Electric Co. 49
2,200 Envoy Corp.* 66
5,100 IES Industries, Inc. 149
1,700 Interstate Power Co. 48
2,550 Madison Gas & Electric Co. 51
5,100 Minnesota Power & Light Co. 148
8,300 Nevada Power Co. 171
3,178 Northwestern Public Service Co. 62
2,200 Orange & Rockland Utilities, Inc. 70
1,800 Otter Tail Power Co. 55
4,800 PMT Services, Inc.* 77
6,400 Public Service Co. of New Mexico* 113
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
6,600 Rochester Gas & Electric Corp. $ 132
5,200 Sierra Pacific Resources 154
4,050 SIGCORP, Inc. 102
1,900 TNP Enterprises, Inc. 42
5,280 Tucson Electric Power Co.* 78
2,300 United Illuminating Co. 66
5,300 WPL Holdings, Inc. 146
4,100 WPS Resources Corp. 109
1,850 Yankee Energy System, Inc. 43
2,000 Zurn Industries, Inc. 53
--------
3,015
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
6.1%
1,000 Advanced Energy Industries, Inc.* 12
2,500 Altron, Inc.* 42
5,600 Ametek, Inc. 131
4,800 Ampex Corp.* 31
1,200 ANADIGICS, Inc.* 40
6,200 Anixter International, Inc.* 105
4,122 Applied Magnetics Corp.* 103
1,000 Associated Group, Inc.* 41
2,975 Avant! Corp.* 68
3,420 Baldor Electric Co. 96
4,100 Belden, Inc. 149
1,000 Berg Electronics Corp.* 35
4,800 BMC Industries, Inc. 158
4,000 Boston Technology, Inc.* 115
4,050 Burr-Brown Corp.* 127
1,700 C-COR Electronics, Inc.* 17
1,700 C.P. Clare Corp.* 24
2,000 California Amplifier, Inc.* 8
2,800 California Microwave, Inc.* 34
1,000 Charter Power Systems, Inc. 34
750 Chicago Miniature Lamp, Inc.* 18
5,333 Chyron Corp.* 25
1,500 Coherent Communications Systems Corp.* 33
1,600 Cohu, Inc. 55
4,000 Computer Products, Inc.* 89
3,600 Credence Systems Corp.* 106
1,800 Cree Research, Inc.* 23
663 CTS Corp. 46
2,900 Cyrix Corp.* 73
4,800 Dallas Semiconductor Corp. 185
2,500 Digital Microwave Corp.* 78
2,000 DII Group* 64
1,500 Electro Scientific Industries, Inc.* 57
900 Eltron International, Inc.* 25
1,800 Energy Conversion Devices, Inc.* 27
3,100 ESS Technology, Inc.* 48
1,500 Esterline Technologies Corp.* 45
768 Franklin Electric Co., Inc.* 36
1,100 Galileo Corp.* 8
3,600 General DataComm Industries, Inc.* 32
1,300 General Scanning, Inc.* 17
2,800 Genus, Inc.* 16
5,100 Griffon Corp.* 69
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
1,400 HADCO Corp.* $ 84
2,610 Harman International Industries, Inc. 109
1,800 Holophane Corp.* 38
2,700 Hutchinson Technologies, Inc.* 74
12,600 Imatron, Inc.* 35
1,600 Imnet Systems, Inc.* 40
4,700 IMP, Inc.* 8
13,300 Integrated Device Technology, Inc.* 187
2,600 Integrated Silicon Solution, Inc.* 25
1,400 Inter-Tel, Inc.* 22
7,600 Interdigital Communications Corp.* 50
2,086 Intermagnetics General Corp.* 29
4,900 International Family Entertainment, Inc.* 137
2,700 Intervoice, Inc.* 30
1,500 ITI Technologies, Inc.* 24
3,000 Juno Lighting, Inc. 48
2,300 Kuhlman Corp.* 64
3,850 Lattice Semiconductor Corp.* 223
4,200 Lincoln Electric Co. 164
1,900 Littelfuse, Inc.* 98
3,800 Lojack Corp.* 44
1,200 LSI Industries, Inc. 18
6,100 LTX Corp.* 37
3,500 Magnetek, Inc.* 61
1,800 Mattson Technology, Inc.* 19
600 Merix Corp.* 10
5,150 Methode Electronics, Inc., Class A 87
1,000 Mosaix, Inc.* 14
8,750 Microchip Technology, Inc.* 311
2,100 MRV Communications, Inc.* 52
700 National Presto Industries, Inc. 26
4,600 NexGen, Inc. 50
3,040 Oak Industries, Inc.* 75
3,500 Palomar Medical Technologies, Inc.* 11
1,698 Park Electrochemical Corp.* 43
6,500 Pentair, Inc. 214
1,200 Perceptron, Inc.* 34
3,937 Pioneer Standard Electronics, Inc. 49
3,150 Pittway Corp. 167
3,875 PriCellular Corp.* 35
2,400 Quickturn Design Systems, Inc.* 25
4,700 Ramtron International Corp.* 24
1,698 Recoton Corp.* 22
1,700 Rival Co. 24
3,000 Robotic Vision Systems, Inc.* 35
3,000 Sammina Corp.* 174
1,400 SDL, Inc.* 28
1,150 Semitool, Inc.* 14
1,500 Sheldahl, Inc.* 32
4,900 Sierra Semiconductor Corp.* 118
5,000 Silicon Valley Group, Inc.* 120
1,700 Siliconix, Inc.* 43
700 Speedfam International, Inc.* 26
1,200 SPS Transaction Services, Inc.* 23
1,400 Standard Motor Products, Inc. 19
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
1,500 Stanford Telecommunications, Inc.* $ 25
1,200 Supertex, Inc.* 18
2,700 Symetricon, Inc. 43
2,900 3DO Co.* 13
2,400 Technitrol, Inc. 60
1,200 Tekelec* 42
500 ThermoSpectra Corp.* 7
1,800 Thomas Industries, Inc. 51
4,900 Top Source Technologies, Inc.* 9
2,000 TranSwitch Corp.* 13
1,300 Triquint Semiconductor, Inc.* 52
3,100 Ultratech Stepper, Inc.* 63
2,700 Uniphase Corp.* 142
1,800 Unitrode Corp.* 89
5,100 Vicor Corp.* 101
5,000 Vitesse Semiconductor Corp.* 179
7,800 VLSI Technology, Inc.* 190
2,900 Windmere Corp. 43
2,100 Wyle Electronics 78
3,200 Xicor, Inc.* 22
4,447 Zenith Electronics Corp.* 49
3,350 Zilog, Inc.* 75
1,400 Zygo Corp.* 41
1,100 Zytec Corp.* 20
--------
7,543
--------
FOOD AND BEVERAGES--1.8%
5,300 Applebee's International, Inc. 132
7,000 Bob Evans Farms, Inc. 99
2,800 Boston Beer Co., Inc.* 25
2,900 Canandaigua Wine Company, Inc.* 104
1,500 Cheesecake Factory, Inc.* 30
4,900 Chiquita Brands International, Inc. 75
1,000 Coca-Cola Bottling Co. 45
6,200 Coors (Adolph) Co., Class B 151
6,900 Dean Foods Co. 262
1,800 Dreyer's Grand Ice Cream, Inc. 66
1,600 Earthgrains Co. 91
6,500 Fleming Companies, Inc. 124
5,500 Host Marriott Services Corp.* 55
3,500 Hudson Foods, Inc. 56
1,400 IHOP Corp.* 39
2,700 Lance, Inc. 53
2,700 Landry's Seafood Restaurants, Inc.* 50
3,800 Luby's Cafeterias, Inc. 74
400 Manhattan Bagel Co., Inc.* 3
2,100 Michael Foods, Inc. 30
1,400 Mondavi (Robert) Corp., Class A* 62
2,050 Papa Johns International, Inc.* 65
2,900 Pepsi-Cola Puerto Rico Bottling Co. 15
1,400 Pete's Brewing Co.* 8
1,500 Quality Dining, Inc.* 9
1,500 Rainforest Cafe, Inc.* 37
1,200 Rare Hospitality Intl, Inc.* 19
1,500 Redhook Ale Brewery, Inc.* 11
</TABLE>
See accompanying notes to financial statements.
53
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
FOOD AND BEVERAGES--Continued
<C> <S> <C>
1,300 Riviana Foods, Inc. $ 25
2,500 Ruby Tuesday, Inc.* 54
8,400 Ryan's Family Steak Houses, Inc.* 77
2,150 Sbarro, Inc. 63
6,400 Shoney's, Inc.* 36
2,700 Smithfield Foods, Inc.* 148
3,920 Triarc Cos., Inc., Class A* 90
2,764 WLR Foods, Inc. 28
--------
2,311
--------
FOOD AND MANUFACTURING--1.1%
2,000 Daka International, Inc.* 25
198 Farmer Bros. Co. 25
14,850 Flowers Industries, Inc., Class A 262
3,600 M & F Worldwide Corp.* 28
1,350 Performance Food Group Co.* 28
10,400 Premark International, Inc. 283
5,000 Ralcorp Holding, Inc.* 61
1,400 Riser Foods, Inc.* 58
1,200 Sanderson Farms, Inc. 18
3,300 Savannah Foods & Industries, Inc. 52
100 Seaboard Corp. 28
5,000 Smucker (J.M.) Co. 97
3,134 Tootsie Roll Industries, Inc. 151
700 TurboChef, Inc.* 10
4,300 Universal Foods Corp. 154
--------
1,280
--------
FURNITURE AND FIXTURES--0.7%
2,200 Bassett Furniture Industries, Inc. 55
1,600 Bush Industries, Inc. 36
2,100 CORT Business Services Corp.* 58
2,400 Ethan Allen Interiors, Inc.* 125
1,100 Falcon Building Products, Inc.* 19
8,900 Heilig-Meyers Co. 147
4,000 HON Industries, Inc. 194
3,000 Kimball International, Inc. 119
2,300 La-Z-Boy Chair Co. 79
2,600 Triangle Pacific Corp.* 78
--------
910
--------
GENERAL BUILDING CONTRACTORS--1.0%
1,800 ABT Building Products Corp.* 45
3,000 AMCOL International Co. 55
2,100 AMRE, Inc.* 0
1,800 Blount, Inc. 74
13,100 Catellus Development Corp.* 221
5,000 Centex Corp. 199
1,200 Continental Homes Holding Corp. 20
4,000 Eagle Hardware & Garden, Inc.* 96
3,158 Horton (D.R.), Inc.* 30
6,800 Kaufman & Broad Home Corp. 102
1,100 NCI Building Systems, Inc.* 32
2,000 NVR, Inc.* 31
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
1,825 Palm Harbor Homes, Inc.* $ 52
3,000 Pulte Corp. 95
1,650 Southern Energy Homes, Inc.* 18
5,200 Standard Pacific Corp. 53
3,600 Toll Brothers, Inc.* 66
1,879 U.S. Home Corp.* 50
3,000 Webb (Del E.) Corp. 46
--------
1,285
--------
GLASS, CLAY AND STONE PRODUCTS--0.6%
700 Ameron, Inc. 39
5,200 Ball Corp. 151
2,000 Centex Construction Products, Inc.* 40
1,200 Florida Rock Industries, Inc. 40
5,000 Gentex Corp.* 101
2,600 Medusa Corp. 100
1,290 Mikasa, Inc.* 15
1,500 Photronics, Inc.* 67
800 Puerto Rican Cement Co. 26
3,600 Southdown, Inc.* 145
--------
724
--------
HEALTH SERVICES--4.5%
2,200 Access Health Marketing, Inc.* 48
2,700 Alteon, Inc.* 11
1,400 American HomePatient, Inc.* 27
1,300 Amisys Managed Care Systems* 29
4,600 Angeion Corp.* 23
4,700 Apogee, Inc. 87
1,000 Arbor Health Care Co.* 29
1,200 Barr Labs, Inc.* 32
1,700 Bio-Rad Labs, Inc.* 43
1,300 Carrington Laboratories, Inc.* 10
4,000 Cerner Corp.* 78
2,800 Coastal Physician Group, Inc.* 3
3,300 Cocensys, Inc.* 13
1,700 Compdent Corp.* 31
3,400 COR Therapeutics, Inc.* 30
7,100 Coram Healthcare Corp.* 20
5,000 Creative BioMolecules, Inc.* 51
1,200 Cryolife, Inc.* 14
1,700 Curative Health Services, Inc.* 47
3,300 Cytel Corp.* 7
1,400 Emeritus Corp.* 21
3,323 Enzo Biochem, Inc.* 50
2,400 Equimed, Inc.* 8
7,424 Extended Stay America, Inc.* 103
2,100 Fuisz Technologies, Ltd.* 18
1,300 Fusion Systems Corp.* 40
6,100 Genesis Health Ventures, Inc.* 201
4,400 Gensia, Inc.* 20
3,785 Grancare, Inc.* 35
2,200 Gulf South Medical Supply, Inc.* 43
3,800 Haemonetics Corp.* 65
2,500 Health Management Systems, Inc.* 14
2,121 Healthdyne Technologies, Inc.* 31
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
<C> <S> <C>
2,043 HealthPlan Services Corp.* $ 34
1,200 Henry Schien, Inc.* 40
8,892 Horizon Healthcare Corp.* 162
3,200 Human Genome Sciences, Inc.* 124
2,100 I-STAT Corp.* 37
1,300 ICU Medical, Inc.* 12
2,000 IDEC Pharmaceuticals Corp.* 45
900 IDX Systems Corp.* 29
2,600 Immune Response Corp.* 22
3,600 Immunomedics, Inc.* 19
1,575 INBRAND Corp.* 42
1,200 Incyte Pharmaceuticals, Inc.* 79
1,800 Inhale Therapeutic Systems* 36
1,900 Inphynet Medical Management, Inc.* 41
4,557 Integra Lifesciences Corp.* 14
3,800 Integrated Health Services, Inc. 137
400 Intercardia, Inc.* 8
5,000 Invacare Corp. 108
2,100 KeraVision, Inc.* 20
2,800 Kinetic Concepts, Inc. 46
400 Labone, Inc. 7
13,800 Laboratory Corporation of America Holdings* 40
1,500 Landauer, Inc. 34
400 LCA-Vision, Inc.* 2
1,900 Lifecore Biomedical, Inc.* 27
3,958 Ligand Pharmaceuticals, Inc.* 47
2,200 Living Centers of America, Inc.* 84
5,500 Magellan Health Services, Inc.* 150
4,800 Mariner Health Group, Inc.* 58
2,200 Martek Biosciences Corp.* 37
5,700 Matria Healthcare, Inc.* 25
3,000 Maxicare Health Plans, Inc.* 72
1,800 MedCath, Inc.* 27
1,600 Meridian Diagnostics, Inc. 14
600 MiniMed, Inc.* 15
1,700 MMI Cos., Inc. 40
1,633 Morrison Health Care, Inc. 27
2,200 Multicare Cos., Inc.* 55
1,500 Myriad Genetics, Inc.* 40
5,200 NABI, Inc.* 36
1,500 National Surgery Centers, Inc.* 58
3,100 Neoprobe Corp.* 47
1,400 Neose Technologies, Inc.* 18
2,500 Neurex Corp.* 37
2,100 Neurogen Corp.* 40
4,800 Neuromedical Systems, Inc.* 32
2,100 Northfield Laboratories, Inc.* 21
10,700 NovaCare, Inc.* 135
3,400 OccuSystems, Inc.* 89
3,100 OIS Optical Imaging Systems, Inc.* 8
3,300 Oncogene Science, Inc.* 21
3,300 OrthoLogic Corp.* 19
4,400 Owen Healthcare, Inc.* 56
1,900 PathoGenesis Corp.* 52
1,500 Pediatrix Medical Group* 60
1,300 Perclose, Inc.* 30
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
11,000 Perrigo Co.* $ 132
1,900 PHP Healthcare Corp.* 29
6,300 Physician Corporation Of America* 45
1,200 Physicians Health Services, Inc.* 32
1,600 Prime Medical Services, Inc.* 18
2,900 Regency Health Services, Inc.* 36
800 RES-CARE, Inc.* 16
2,800 Resound Corp.* 14
1,650 Rexall Sundown, Inc.* 44
600 RightCHOICE Managed Care, Inc., Class A* 7
4,200 RoTech Medical Corp.* 71
1,600 Rural/Metro Corp.* 51
2,600 Safeskin Corp.* 65
2,100 Serologicals Corp.* 40
3,700 Sofamor/Danek Group, Inc.* 170
3,700 Somatix Therapy Corp.* 8
6,580 Sun Healthcare Group, Inc.* 110
5,400 Target Therapeutics, Inc.* 70
7,200 Transitional Hospitals Corp.* 114
1,400 Universal Health Realty Income Trust 27
5,600 Universal Health Services, Inc.* 227
3,400 Uromed Corp.* 16
2,800 Veterinary Centers of America, Inc.* 34
2,500 Vical, Inc.* 31
2,209 Vitalink Pharmacy Services, Inc.* 42
2,900 Vivus, Inc.* 119
5,500 XOMA Corp.* 28
3,800 Zila, Inc.* 26
--------
5,519
--------
HEAVY CONSTRUCTION--0.3%
420 Diana Corp.* 1
1,750 Granite Construction, Inc. 35
2,600 Greenfield Industries, Inc. 68
3,716 Instituform Technologies, Inc.* 22
4,600 Lennar Corp. 121
1,900 Lone Star Industries, Inc.* 76
2,791 Morrison Knudsen Corp.* 35
--------
358
--------
INDUSTRIAL INSTRUMENTS--3.6%
3,500 Acuson Corp.* 91
3,100 ADAC Laboratories 81
2,600 Advanced Technology Laboratories, Inc.* 101
2,400 Alkermes, Inc.* 40
3,800 Allen Group, Inc. 88
1,300 Analogic Corp. 42
1,800 Arrow International, Inc.* 58
900 ArthroCare Corp. 7
2,600 ATS Medical, Inc.* 16
4,400 Ballard Medical Products 85
2,200 Barnett, Inc.* 49
1,200 Biomatrix, Inc.* 21
2,700 Buckeye Cellulose Corp.* 85
1,751 Chad Therapeutics, Inc.* 14
6,800 Cincinnati Milacron, Inc.* 157
</TABLE>
See accompanying notes to financial statements.
55
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
INDUSTRIAL INSTRUMENTS--Continued
<C> <S> <C>
1,800 Circon Corp.* $ 23
3,300 CNS, Inc. 29
5,500 Cognex Corp.* 143
1,800 Coherent, Inc.* 79
8,400 Coltec Industries, Inc.* 165
400 Conceptus, Inc.* 4
2,450 CONMED Corp.* 46
876 Cubic Corp. 21
700 Cytyc Corp.* 17
2,500 Daniel Industries, Inc. 33
2,400 Datascope Corp.* 46
2,000 DepoTech Corp.* 28
2,100 Dionex Corp.* 111
2,200 Endosonics Corp. 24
2,600 Etec Systems, Inc. 116
4,500 Ferro Corp. 168
3,600 Fisher Scientific International, Inc. 131
1,000 Fluke (John) Manufacturing Co., Inc.* 50
4,200 Genrad, Inc.* 78
5,200 Gilead Sciences, Inc.* 141
575 Hach Co. 9
1,900 Hologic, Inc.* 46
2,000 InControl, Inc.* 19
3,900 Isolyser Company, Inc.* 15
4,600 Kennametal, Inc. 183
5,300 Keystone International, Inc. 173
900 Lunar Corp.* 18
1,700 Marquette Medical Systems, Inc.* 39
5,900 Mascotech, Inc. 132
3,764 Mentor Corp. 99
600 Mine Safety Appliances Co. 36
1,600 MTS Systems Corp. 41
700 OnTrak Systems, Inc.* 20
1,600 Ostex International, Inc.* 3
2,700 Physio-Control International Corp.* 34
2,100 Possis Corp.* 32
1,300 Protocol Systems, Inc.* 10
4,000 R.P. Scherer Corp.* 210
2,800 Respironics, Inc.* 57
2,100 SangStat Medical Corp.* 53
1,700 Spine-Tech, Inc. 59
2,200 Staar Surgical Co.* 29
1,200 Starrett (L.S.) Co. 36
2,900 Sunrise Medical, Inc.* 37
2,600 Tech-Sym Corp.* 61
2,650 TECNOL Medical Products, Inc.* 51
1,600 Theragenics Corp.* 36
2,600 Theratech, Inc.* 29
3,400 Thoratec Laboratories, Inc.* 20
3,200 Trimble Navigation Ltd.* 49
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
2,400 UROHEALTH Systems, Inc.* $ 20
1,000 Vital Signs, Inc. 20
4,400 Waters Corp.* 142
1,396 Watkins-Johnson Co. 44
2,200 Watsco, Inc. 64
2,300 X-Rite, Inc. 43
1,300 Zoltek Companies, Inc.* 41
--------
4,398
--------
INSURANCE SERVICES--4.5%
2,100 Acceptance Insurance Cos., Inc.* 44
2,300 Acordia, Inc. 82
3,500 Alfa Corp. 44
3,375 Allied Group, Inc. 134
1,524 American Annuity Group, Inc.* 28
3,600 American Bankers Insurance Group, Inc. 204
1,450 American Heritage Life Investment Corp. 42
4,000 Amerin Corp.* 94
2,200 Amvestors Financial Corp. 39
3,000 Argonaut Group, Inc. 89
2,300 Baldwin & Lyons, Inc. 40
2,300 Berkley (W.R.) Corp. 119
1,800 Blanch (E.W.) Holdings, Inc. 45
1,800 Capital RE Corp. 79
1,200 Citizens Corp. 30
3,200 Commerce Group, Inc. 72
4,700 Coventry Corp.* 68
1,999 Delphi Financial Group, Inc.* 76
2,000 Enhance Financial Services Group, Inc. 84
1,800 Executive Risk, Inc. 94
5,174 Financial Security Assurance International 187
1,700 First American Financial Corp. 61
1,500 Foremost Corp. of America 85
3,612 Fremont General Corp. 127
1,784 Frontier Insurance Group, Inc. 98
1,100 Fund American Enterprises Holdings, Inc.* 112
3,285 Gainsco, Inc. 27
2,800 Gallagher (Arthur J.) & Co. 89
1,700 Guarantee Life Companies, Inc. 35
2,600 Guaranty National Corp. 56
1,100 Harleysville Group, Inc. 40
3,300 Hartford Steam Boiler 168
4,800 HCC Insurance Holdings, Inc.* 125
1,800 Highlands Insurance Group, Inc.* 36
2,400 Hilb, Rogal & Hamilton Co. 35
4,000 Horace Mann Educators Corp. 193
2,300 Integon Corp. 29
3,800 John Alden Financial Corp. 81
500 Kansas City Life Insurance Co. 36
2,400 Liberty Corp. 95
800 Liberty Financial Cos., Inc. 36
1,700 Life Reinsurance Corp. 73
2,900 Life USA Holding, Inc.* 35
</TABLE>
See accompanying notes to financial statements.
56
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
1,498 MAIC Holdings, Inc.* $ 57
700 Markel Corp.* 87
800 Meadowbrook Insurance Group, Inc. 20
2,600 NAC RE Corp. 104
400 National Western Life Insurance Co.* 35
900 Nymagic, Inc. 17
2,390 Orion Capital Corp. 160
1,400 Pioneer Financial Services, Inc. 39
950 Poe & Brown, Inc. 29
4,100 Presidential Life Corp. 59
2,751 PXRE Corp. 74
2,900 Reinsurance Group of America, Inc. 157
10,700 Reliance Group Holdings, Inc. 131
2,900 Risk Capital Holdings, Inc.* 55
1,065 RLI Corp. 34
800 Seafield Capital Corp. 26
1,500 Security Connecticut Corp. 73
2,500 Selective Insurance Group, Inc. 111
2,400 Sierra Health Services, Inc.* 75
1,050 State Auto Financial Corp. 20
7,900 20th Century Industries* 152
1,350 Trenwick Group, Inc. 46
5,800 UICI* 156
4,620 United Cos. Financial Corp. 106
900 United Dental Care, Inc. 15
1,650 United Fire & Casualty Co. 59
1,100 United Wisconsin Services, Inc. 39
3,100 Vesta Insurance Group, Inc. 142
1,900 Washington National Corp. 53
1,800 Zenith National Insurance Corp. 45
1,800 Zurich Reinsurance Centre Holdings, Inc. 70
--------
5,612
--------
JEWELRY AND PRECIOUS METALS--0.0%
1,600 Oneida Ltd. 38
--------
LEATHER PRODUCTS--0.3%
3,100 Brown Group, Inc. 62
3,300 Justin Industries, Inc. 39
1,400 Timberland Co.* 82
7,331 Wolverine World Wide, Inc. 190
--------
373
--------
LUMBER AND WOOD PRODUCTS--0.1%
1,500 Fibreboard Corp.* 82
1,900 Ply-Gem Industries, Inc. 32
2,300 Pope & Talbot, Inc. 38
--------
152
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
MACHINERY--2.3%
700 Ag-Chem Equipment Co., Inc.* $ 14
1,400 Alamo Group, Inc. 27
1,600 Allied Products Corp. 52
2,000 Avondale Industries, Inc.* 38
2,100 Borg-Warner Security Corp.* 33
1,700 Cascade Corp. 29
900 Columbus McKinnon Corp. 16
3,600 Donaldson Co., Inc. 132
900 DT Industries, Inc. 29
4,000 Duriron Co., Inc. 113
3,000 Figgie International Holdings, Inc.* 37
3,900 FSI International, Inc.* 55
1,450 Gasonics International Corp.* 17
5,400 Giddings & Lewis, Inc. 102
600 Gleason Corp. 22
3,700 Global Industrial Technologies, Inc.* 68
3,500 Goulds Pumps, Inc. 130
2,197 Graco, Inc. 62
1,300 Helix Technology Corp. 53
4,425 IDEX Corp. 126
3,100 Indentix, Inc. 31
2,500 Integrated Process Equipment Corp.* 46
2,800 Ionics, Inc.* 134
2,700 Kaydon Corp. 134
3,400 Kulicke & Soffa Industries, Inc.* 115
1,600 Lindsay Manufacturing Co.* 58
1,850 Manitowoc Co., Inc. 83
7,100 Marine Drilling Co., Inc.* 143
3,800 Modine Manufacturing Co. 111
3,450 Mohawk Industries, Inc.* 73
2,400 Molten Metal Technology, Inc.* 17
1,300 Morningstar Group, Inc.* 34
1,700 Osmonics, Inc.* 28
3,300 Outboard Marine Corp. 49
699 Pilgrims Pride Corp. 9
3,300 Regal-Beloit Corp. 88
2,200 Rexel, Inc.* 40
1,348 Robbins & Myers, Inc. 46
2,300 Roper Industries, Inc. 113
2,000 Specialty Equipment Cos., Inc.* 28
200 Spinnaker Industries* 8
1,900 SPX Corp. 113
800 Thermo Power Corp.* 5
2,000 Toro Co. 75
800 Tractor Supply Co.* 16
3,000 Varco International, Inc.* 83
--------
2,835
--------
</TABLE>
See accompanying notes to financial statements.
57
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
MANUFACTURING--GENERAL--1.1%
500 Bacou U.S.A., Inc.* $ 7
3,580 Brady (W.H.) Co. 102
3,150 Cuno, Inc. 52
10,300 Furniture Brands International, Inc.* 161
6,400 Hexcel Corp.* 115
1,400 Hunt Manufacturing Co. 26
1,600 Insilico Corp.* 60
1,000 Jabil Circuit, Inc.* 59
6,700 Kemet Corp.* 170
1,300 Matthews International Corp., Class A 45
2,700 Novellus Systems, Inc.* 221
1,700 Optical Coating Laboratory, Inc. 18
2,000 Samsonite Corp.* 90
2,100 Seattle Filmworks, Inc.* 25
700 Simpson Manufacturing Co.* 18
850 Simula, Inc.* 15
3,000 Toy Biz, Inc.* 27
3,500 Tracor, Inc.* 89
800 Tremont Corp.* 33
700 Trigen Energy Corp. 17
2,000 U.S. Can Corp.* 33
700 Visioneer, Inc.* 2
2,400 Wireless Telecom Group, Inc. 26
--------
1,411
--------
MERCHANDISE--GENERAL--0.5%
1,200 Action Performance Companies, Inc.* 29
4,200 Amerisource Corp.* 179
3,600 Cross (A.T.) Co. 70
3,500 Department 56, Inc.* 74
5,600 Jostens, Inc. 138
2,500 Libbey, Inc. 83
6,200 Playtex Products, Inc.* 60
1,900 Strategic Distribution, Inc.* 7
--------
640
--------
METAL MINING--0.6%
39,100 Battle Mountain Gold Co. 239
1,700 Cleveland Cliffs, Inc. 72
3,600 Coeur D'Alene Mines Corp. 49
4,200 Freeport-McMoran Copper and Gold, Inc. 119
4,417 Getchell Gold Corp.* 176
8,400 Hecla Mining Co.* 48
2,600 Stillwater Mining Co. 60
39,600 Sunshine Mining Co.* 32
--------
795
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
METAL PRODUCTS--1.0%
1,400 Alltrista Corp.* $ 34
8,200 Amax Gold, Inc.* 54
800 American Buildings Co.* 23
2,000 Applied Industrial Tech, Inc. 70
3,100 Aptargroup, Inc. 138
1,800 Barnes Group, Inc. 48
1,050 Butler Manufacturing Co. 38
1,600 Chase Brass Industries, Inc.* 36
1,200 Citation Corp.* 18
2,700 Clarcor, Inc. 63
1,600 Commonwealth Industrial, Inc. 30
1,000 Greenbriar Cos., Inc. 11
1,100 Hardinge, Inc. 29
2,700 Material Sciences Corp.* 38
2,800 Miller Industries, Inc.* 46
1,500 NN Ball & Roller, Inc. 17
1,300 Oregon Metallurgical Corp.* 34
1,400 Penn Engineering & Manufacturing Corp. 32
2,000 Quanex Corp. 55
1,064 SPS Technologies, Inc.* 78
2,600 TriMas Corp. 74
3,100 Watts Industries, Inc., Class A 77
1,800 Whittaker Corp.* 20
2,300 Wolverine Tube, Inc.* 68
3,300 Wyman-Gordon Co.* 75
2,600 Zero Corp. 60
--------
1,266
--------
MINING, QUARRYING OF NONMETALLIC MINERAL--0.2%
1,300 Cliff's Drilling Co.* 91
2,300 Dravo Corp.* 25
1,900 RMI Titanium Corp.* 44
2,600 Solv-Ex Corp.* 17
2,600 Zeigler Coal Holding Co. 60
--------
237
--------
MISCELLANEOUS INVESTING INSTITUTIONS--3.2%
5,424 BRE Properties, Inc. 134
3,000 Burnham Pacific Properties, Inc. 40
400 Capital Southwest Corp. 29
5,975 Capstead Mortgage Corp. 143
9,104 Champion Enterprises, Inc.* 167
1,699 Chemical Financial Corp. 61
</TABLE>
See accompanying notes to financial statements.
58
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
1,400 Corus Bankshares, Inc. $ 36
10,600 Crescent Real Estate Equities, Inc.* 289
8,300 CWM Mortgage Holdings, Inc. 173
5,300 Dauphin Deposit Corp. 234
6,500 Deposit Guaranty Corp. 204
7,000 Franchise Finance Corp. 169
9,400 Geotek Communications, Inc.* 42
3,108 Horizon Group, Inc. 40
3,900 Hospital Properties Trust 124
4,500 IRT Property Co. 52
1,000 John Nuveen and Company, Inc. 30
4,600 Kimco Realty Corp. 145
3,200 Koger Equity, Inc.* 53
3,200 LTC Properties, Inc. 57
1,873 MAF Bancorp, Inc. 78
1,900 Meridian Industrial Trust, Inc. 44
6,300 Merry Land & Investment Co., Inc. 132
2,000 MGI Properties, Inc. 42
6,800 Mid Atlantic Medical Services, Inc.* 88
7,100 Nationwide Health Properties, Inc. 153
3,500 Noel Group, Inc.* 12
7,200 Patriot American Hospitality, Inc. 156
1,000 PEC Israel Economic Corp.* 23
1,504 Peoples First Corp. 40
10,800 Public Storage, Inc. 288
3,700 Realty Income Corp. 95
3,200 Reckson Associates Realty Corp. 72
1,500 Redwood Trust, Inc. 86
1,800 Seacor Holdings, Inc.* 93
1,200 Sirrom Capital Corp. 47
1,700 Smith, (Charles E.) Residential Realty, Inc. 47
1,800 Trans Financial Bancorp, Inc. 45
1,000 Union Acceptance Corp.* 9
4,000 Weingarten Realty Investors 172
--------
3,944
--------
NATURAL GAS TRANSMISSION--1.8%
2,550 Atmos Energy Corp. 59
2,200 Bay State Gas Co. 59
1,500 Colonial Gas Co. 31
1,600 Connecticut Energy Corp. 36
1,700 CTG Resources, Inc. 37
3,500 Eastern Enterprises 121
1,700 Energen Corp. 56
3,200 Indiana Energy, Inc. 76
12,300 Kelley Oil and Gas Corp.* 30
3,551 KN Energy, Inc. 150
2,800 Laclede Gas Co. 61
3,100 New Jersey Resources Corp. 96
1,100 North Carolina Natural Gas Corp. 34
3,600 Northwest Natural Gas Co. 88
1,700 NUI Corp. 37
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
4,000 Oneok, Inc. $ 121
5,076 Piedmont Natural Gas Co. 124
4,300 Primark Corp.* 102
3,150 Public Service Co. of North Carolina, Inc. 59
1,320 South Jersey Industries, Inc. 30
1,419 Southern Union Co.* 34
4,300 Southwest Gas Corp. 74
4,000 Southwestern Energy Co. 53
2,357 Tejas Gas Corp.* 110
1,700 TransTexas Gas Corp.* 28
5,700 UGI Corp. 128
2,100 United Cities Gas Co. 48
7,500 Washington Gas Light Co. 185
3,000 Wicor, Inc. 110
--------
2,177
--------
OIL AND GAS--3.2%
9,500 AGL Resources, Inc. 182
900 Aquila Gas Pipeline Corp. 13
900 Atwood Oceanics, Inc.* 60
5,140 Barrett Resources Corp.* 172
1,000 Belco Oil & Gas Corp.* 23
1,800 Belden & Blake Corp.* 48
4,900 Benton Oil & Gas Co.* 76
3,400 Berry Petroleum Co. 51
6,543 BJ Services Co.* 362
3,200 Box Energy Corp.* 24
2,900 Brown (Tom), Inc.* 52
3,400 Cabot Oil & Gas Corp. 63
2,600 Cairn Energy USA, Inc.* 31
3,100 Calmat Co. 62
2,000 Capsure Holdings Corp.* 25
2,200 Cross Timbers Oil Co. 24
2,400 Destec Energy, Inc.* 51
3,300 Devon Energy Corp. 123
4,800 Energy Ventures, Inc.* 181
2,200 Falcon Drilling Co., Inc.* 101
1,900 Flores & Rucks, Inc.* 93
1,600 Forcenergy, Inc.* 56
3,800 Forest Oil Corp.* 53
1,200 Giant Industries, Inc. 17
13,300 Harken Energy Corp.* 63
4,200 Helmerich & Payne, Inc. 236
499 Hondo Oil & Gas Co.* 5
2,100 Hugoton Energy Corp.* 23
1,700 KCS Energy, Inc. 71
1,800 KFX, Inc.* 7
11,800 Mesa, Inc.* 65
6,100 Mitchell Energy & Development Corp. 135
2,100 Nuevo Energy Co.* 92
3,900 Oceaneering International, Inc.* 66
6,100 Parker & Parsley Petroleum Co. 207
9,100 Parker Drilling Co.* 88
2,900 Plains Resources, Inc.* 41
</TABLE>
See accompanying notes to financial statements.
59
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
OIL AND GAS--Continued
<C> <S> <C>
2,800 Pool Energy Services Co.* $ 47
4,900 Pride Petroleum Services, Inc.* 109
1,400 Production Operators Corp. 94
10,436 Seagull Energy Corp.* 188
2,293 Semco Energy, Inc. 41
4,500 Snyder Oil Corp. 82
2,400 Swift Energy Co.* 64
7,300 Tuboscope Vetco International Corp.* 119
1,800 Vintage Petroleum, Inc. 61
2,600 Western Gas Resources, Inc. 51
--------
3,898
--------
ORDNANCE AND ACCESSORIES--0.1%
1,500 Alliant Techsystems, Inc.* 72
3,200 Sturm Ruger & Co., Inc. 60
--------
132
--------
OTHER SERVICES--0.8%
4,800 Aeroequip-Vickers Inc 208
800 Central Parking Corp. 25
400 CKS Group, Inc.* 12
1,600 Integrated Packaging Assembly Corp.* 6
2,200 McGrath Rentcorp 41
8,500 Ogden Corp. 166
1,400 Pixar, Inc.* 21
1,100 Quick Response Services, Inc.* 42
3,500 Rollins, Inc. 68
24 Score Board, Inc. 0
1,800 Sovran Self Storage, Inc. 52
700 Summit Care Corp.* 8
750 Thermo Ecotek Corp.* 12
250 Thermo Remediation, Inc. 2
6,800 United Waste Systems, Inc.* 261
900 Wackenhut Corrections Corp.* 18
6,600 Walter Industries, Inc.* 94
--------
1,036
--------
PAPER PRODUCTS--0.6%
3,600 Chesapeake Corp. 121
8,700 Gaylord Container Corp.* 71
3,100 Greif Bros. Corp. 87
2,479 Mosinee Paper Corp. 67
3,946 Paxar Corp.* 76
5,570 Rock-Tenn Co. 84
2,600 Schweitzer-Mauduit International, Inc. 89
2,500 Shorewood Packaging Corp.* 51
2,100 Universal Forest Products, Inc. 29
4,600 Wausau Paper Mills Co. 86
--------
761
--------
PERSONAL SERVICES--0.8%
1,600 Angelica Corp. 29
2,800 Bristol Hotel Co.* 103
3,200 Catalina Marketing Corp.* 118
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
2,400 CPI Corp. $ 45
1,300 Craig (Jenny), Inc.* 8
1,500 Equity Corp. International 36
3,250 G & K Services, Inc. 106
4,200 Glatfelter (P.H) Co. 74
5,033 HFS, Inc. 271
1,973 Marcus Corp. 48
1,700 Red Roof Inns, Inc.* 28
3,300 Unifirst Corp. 65
--------
931
--------
PETROLEUM PRODUCTS--0.9%
4,200 Camco International, Inc. 215
1,200 Crown Central Petroleum Corp.* 16
1,500 Elcor Corp. 42
2,500 Lomak Petroleum, Inc. 44
1,300 Louis Dreyfus Natural Gas Corp.* 21
6,200 Newfield Exploration, Inc.* 133
2,490 Newpark Resources, Inc.* 131
5,900 Quaker Chemical Corp. 89
2,000 Royal Gold, Inc.* 18
1,100 RPC, Inc.* 15
1,700 Seitel, Inc.* 63
1,500 Stone Energy Corp.* 42
4,400 Tesoro Petroleum Corp.* 58
5,510 United Meridian Corp.* 198
--------
1,085
--------
PRINTING AND PUBLISHING--1.5%
1,800 American Business Information, Inc.* 37
1,950 American Business Products, Inc. 48
7,300 American Media, Inc., Class A 44
2,600 Big Flower Press Holdings, Inc.* 56
2,900 Bowne & Co., Inc. 87
1,200 CSS Industries, Inc.* 36
1,100 Devon Group, Inc.* 34
1,290 DH Technology, Inc.* 21
2,900 Ennis Business Forms, Inc. 29
2,700 Express Scripts, Inc.* 123
1,400 Franklin Electronic Publishers, Inc.* 14
2,800 Gibson Greetings, Inc.* 61
3,200 Golden Books Family Entertainment, Inc.* 36
5,100 Harland (John H.) Co. 117
2,757 Harte-Hanks Communications, Inc. 82
4,100 Hollinger International, Inc. 46
2,400 Houghton Mifflin Co. 142
6,475 McClatchy Newspapers, Inc., Class A 180
954 Merrill Corp. 31
2,250 Nelson (Thomas), Inc. 23
2,100 New England Business Service, Inc. 61
3,300 Playboy Enterprises, Inc.* 39
966 Pulitzer Publishing Co. 47
2,000 Scholastic Corp.* 60
2,100 Standard Register Co. 73
400 Steck-Vaughn Publishing Corp.* 5
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
7,300 Topps, Inc.* $ 28
3,500 Valassis Communications, Inc.* 97
500 Waverly, Inc.* 11
2,100 Wiley (John) & Sons, Inc. 67
6,000 World Color Press, Inc.* 158
--------
1,893
--------
PROFESSIONAL SERVICES--7.5%
2,520 ABM Industries, Inc. 49
3,400 ADR Information Services, Inc.* 109
5,300 Acclaim Entertainment, Inc.* 22
2,000 Activision, Inc.* 26
7,800 Acxiom Corp.* 133
600 Advent Software, Inc.* 18
3,725 Advo, Inc. 52
4,200 Affiliated Computer Services, Inc.* 111
5,800 Allwaste, Inc.* 50
2,200 Alternative Resources Corp.* 41
3,100 AMERCO* 85
7,700 American Oncology Resources, Inc.* 109
2,474 Analysts International Corp. 90
1,900 Arbor Software Corp.* 57
3,500 Aspen Technologies, Inc.* 134
600 Astea International, Inc.* 2
5,300 Banta Corp. 147
900 Barra, Inc.* 27
3,400 BBN Corp.* 98
4,800 BDM International* 125
3,000 BE Aerospace, Inc.* 73
2,300 Bell & Howell Co.* 62
2,400 Billing Information Concepts* 70
4,300 Bisys Group, Inc.* 164
2,884 Boole & Babbage, Inc.* 60
900 BRC Holdings, Inc.* 34
2,800 Broderbund Software, Inc.* 70
3,900 BWIP Holding, Inc. 75
1,700 Casino Data Systems* 7
1,700 CDI Corp.* 69
1,400 Ciber, Inc.* 58
4,100 Citrix Systems, Inc.* 154
1,700 Clarify, Inc.* 21
1,500 ClinTrials Research, Inc.* 15
1,200 CMG Information Services, Inc.* 21
700 COMFORCE Corp.* 4
2,400 Computer Horizons Corp.* 134
600 Computer Language Research, Inc. 7
1,500 Computer Task Group, Inc. 92
10,600 Computervision Corp.* 52
1,700 Comshare, Inc.* 23
2,100 COREStaff, Inc.* 50
500 CRA Managed Care, Inc.* 23
500 CSG Systems International, Inc.* 12
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
700 Datastream Systems, Inc.* $ 14
1,300 DecisionOne Corp.* 28
1,500 Dendrite International, Inc.* 19
1,600 Documentum, Inc.* 31
1,100 Elcom International, Inc.* 6
1,284 Electro Rent Corp.* 30
1,100 EmCare Holdings, Inc. 33
3,200 Employee Solutions, Inc.* 17
700 Enterprise Systems, Inc.* 20
600 Excite, Inc.* 7
1,300 Fair Isaac & Co. 51
2,900 Franklin Quest Co.* 70
2,300 General Magic, Inc.* 4
1,700 Geoworks* 11
3,000 Gerber Scientific, Inc. 57
4,300 Global Industries Ltd.* 95
200 Grey Advertising, Inc. 58
1,400 HA-LO Industries, Inc.* 33
2,850 Harbinger Corp.* 88
400 HCIA, Inc.* 10
1,950 Henry (Jack) & Associates, Inc. 44
1,600 HNC Software, Inc.* 21
978 Holly Corp. 24
2,300 HPR, Inc.* 37
3,200 HNC Software, Inc. 106
800 IDT Corp.* 6
1,400 IKOS Systems, Inc.* 35
3,300 Imclone Systems 20
1,600 Inacom Corp.* 52
400 Individual, Inc.* 2
600 Indus Group, Inc.* 11
1,300 Inference Corp.* 6
1,600 Infocus Systems* 42
1,300 Inso Corp.* 37
500 Integrated Measurement Systems, Inc.* 8
2,500 Integrated Systems Consulting Group, Inc.* 36
3,500 InteliData Technologies Corp.* 18
400 IntelliQuest Information Group, Inc.* 8
2,600 Interim Services, Inc.* 101
1,200 International Imaging Materials, Inc.* 21
3,400 Intersolv, Inc.* 34
500 Intevac, Inc.* 8
800 Iron Mountain, Inc.* 22
750 ITT Educational Services, Inc.* 17
500 JDA Software Group, Inc.* 14
2,400 Katz Media Group* 13
5,750 Keane, Inc.* 324
2,100 Landstar Systems, Inc.* 56
1,200 Learning Tree International, Inc.* 47
3,100 Legato Systems, Inc.* 62
1,200 Logic Works, Inc.* 8
1,200 Manugistics Group, Inc.* 78
1,100 Maxis, Inc.* 12
</TABLE>
See accompanying notes to financial statements.
61
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
PROFESSIONAL SERVICES--Continued
<C> <S> <C>
1,200 May & Speh, Inc.* $ 14
4,650 MDU Resources Group, Inc. 113
1,500 MetaTools, Inc.* 18
2,000 Metricom, Inc.* 16
1,000 Microware Systems Corp.* 8
4,400 National Data Corp. 193
3,200 National Health Investors, Inc. 121
1,400 National Instruments Corp.* 46
1,900 NETCOM On-Line Communication Services, Inc.* 27
2,800 Network Data Processing Corp. 114
3,500 Network Equipment Technologies, Inc.* 60
1,700 Network Peripherals, Inc.* 16
1,200 NHP, Inc.* 26
1,550 Nichols Research Corp.* 30
2,400 Nimbus CD International, Inc.* 27
2,300 Norrell Corp. 74
1,900 Novadigm, Inc.* 10
5,900 Oak Technology, Inc.* 55
800 On Assignment, Inc.* 31
2,500 Orthodontic Centers of America, Inc.* 42
1,900 Personnel Group of America, Inc.* 58
1,200 PhyMatrix Corp.* 17
3,600 Physician Resource Group, Inc.* 42
3,200 Physician Computer Network, Inc.* 18
1,000 Pinkertons, Inc.* 29
5,050 Players International, Inc.* 20
2,500 Policy Management Systems Corp.* 119
3,700 Pre-Paid Legal Services, Inc.* 75
2,800 Precision Systems, Inc.* 10
1,000 Premenos Technology Corp.* 7
1,100 Premiere Technologies, Inc.* 30
800 Prism Solutions, Inc.* 6
800 Profit (The) Recovery Group International, Inc.* 10
1,900 Progress Software Corp.* 33
1,000 Project Software & Development, Inc.* 19
1,800 Protein Design Labs, Inc.* 57
4,200 PSINET, Inc.* 32
4,162 Pure Atria Corp.* 67
5,500 Quarterdeck Corp.* 15
1,000 Rainbow Technologies, Inc.* 16
500 Raptor Systems, Inc.* 7
2,100 Red Brick Systems, Inc.* 19
1,800 Remedy Corp.* 73
4,800 Renaissance Solutions, Inc.* 138
6,100 RISCORP, Inc.* 22
6,200 Rollins Truck Leasing Corp. 85
1,000 Romac International, Inc.* 29
1,900 RTW, Inc.* 16
2,300 7th Level, Inc.* 4
300 Sapient Corp.* 13
2,250 Scopus Technologies, Inc.* 68
2,400 Secure Computing Corp.* 17
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
500 Segue Software, Inc.* $ 5
3,500 Sitel Corp.* 58
600 Smith Micro Software, Inc.* 2
7,500 Sotheby's Holdings, Inc., Class A 116
4,600 Spectrum Holobyte, Inc. 29
1,000 SPSS, Inc.* 32
2,000 Spyglass, Inc.* 19
3,600 Stac, Inc.* 15
1,600 State of the Art, Inc.* 18
6,000 Structural Dynamics Research Corp.* 147
1,100 Summit Medical Systems* 3
3,800 SunRiver Corp.* 4
2,600 Sync Research, Inc.* 11
4,750 System Software Associates, Inc. 44
2,400 Systems & Computer Technology Corp.* 58
2,900 Systemsoft Corp.* 35
6,400 TCSI Corp.* 190
2,800 Telxon Corp. 52
565 Thermo TerraTech, Inc.* 6
1,650 Thermotrex Corp.* 48
4,600 Transaction Systems Architects, Inc.* 193
3,100 Transcend Services, Inc.* 12
750 Unison Software, Inc.* 6
2,600 Vanstar Corp.* 26
1,500 Vantive Corp. 40
2,600 Veritas DGC, Inc.* 54
1,650 Veritas Software Corp.* 82
1,400 Verity, Inc.* 9
2,900 Viasoft, Inc.* 154
2,100 VideoServer, Inc.* 36
2,800 Viewlogic Systems, Inc.* 42
1,300 Visio Corp.* 75
1,800 VISX Corp.* 53
1,200 Volt Information Sciences, Inc.* 52
1,897 Wackenhut Corp. 33
2,425 Wind River Systems* 82
600 Workgroup Technology Corp.* 3
2,800 Xircom, Inc.* 41
400 Yahoo!, Inc.* 13
800 Zoran Corp.* 17
--------
8,974
--------
REAL ESTATE--5.7%
3,400 American Health Properties, Inc. 85
975 American Homestar Corp.* 20
1,500 AMLI Residential Properties 35
2,300 Apartment Investment & Management Co. 64
1,800 Associated Estates Realty Corp. 41
5,000 Avalon Properties, Inc. 138
1,200 Avatar Holdings, Inc.* 39
3,100 Bay Apartment Communities, Inc. 109
6,700 Beacon Properties Corp. 208
4,100 Berkshire Realty, Inc. 44
3,503 Bradley Real Estate, Inc. 66
</TABLE>
See accompanying notes to financial statements.
62
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
4,400 Cali Realty Corp. $ 130
4,364 Camden Property Trust 128
5,700 Carr Realty Corp. 162
2,700 Castle & Cooke, Inc.* 41
2,000 Cavalier Homes, Inc. 23
3,400 CBL & Associates Properties, Inc. 81
2,300 Centerpoint Properties Corp. 69
2,000 Chelsea GCA Realty, Inc. 73
4,400 Colonial Properties Trust* 129
1,900 Columbus Realty Trust 42
3,500 Commercial Net Lease Realty, Inc. 53
4,000 Cousins Properties, Inc. 107
4,200 Crown American Realty Trust 34
3,100 Developers Diversified Realty Corp. 115
6,833 Doubletree Corp.* 306
5,000 Duke Realty Investments, Inc. 191
7,000 Dynex Capital, Inc. 96
3,900 Equity Inns, Inc. 51
3,000 Evans Withycombe Residential, Inc. 62
2,400 Excel Realty Trust, Inc. 62
5,900 Federal Realty Investment Trust 154
4,000 FelCor Suite Hotel, Inc. 149
4,100 First Industrial Realty Trust, Inc. 121
900 Forest City Enterprises, Inc. 40
3,300 Gables Residential Trust 83
4,600 General Growth Properties, Inc. 148
1,162 Getty Realty Corp. 19
3,600 Glimcher Realty Trust 72
4,900 Health Care Property Investors, Inc. 165
2,400 Health Care REIT, Inc. 58
2,000 Healthcare Realty Trust 52
5,600 Highwoods Properties, Inc. 169
3,000 Irvine Apartment Communities, Inc. 84
1,800 JDN Realty Co. 52
2,100 JP Realty, Inc. 54
4,900 Liberty Property Trust 118
3,600 Macerich Co. 97
4,000 Manufactured Home Communities, Inc. 88
900 Maxxam, Inc.* 40
1,800 Mid-America Apartment Communities, Inc. 48
2,600 Mills Corp. 66
1,900 National Golf Properties, Inc. 62
2,500 Oasis Residential, Inc. 58
1,800 Paragon Group, Inc. 29
1,300 Pennsylvania REIT 29
3,700 Post Properties, Inc. 147
2,200 PRI Automation, Inc.* 84
2,500 Price Enterprises, Inc.* 46
1,400 Price REIT, Inc. 53
1,700 Regency Realty Corp.* 45
4,000 RFS Hotel Investors, Inc. 75
1,700 Saul Centers, Inc. 28
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
4,000 Shurguard Storage Centers, Inc. $ 112
5,200 Spieker Properties, Inc. 192
2,000 Storage Trust Realty 50
4,200 Storage USA, Inc. 160
2,900 Summit Property, Inc. 58
2,500 Sun Communities, Inc. 82
4,100 Taubman Centers, Inc. 31
2,700 Thornburg Mortgage Asset Corp. 54
2,700 Town & Country Trust 40
2,000 Trinet Corporate Realty Trust 66
13,485 United Dominion Realty Trust 199
2,200 Urban Shopping Centers, Inc. 64
4,200 Vornado Realty Trust 288
1,900 Walden Residential Properties, Inc. 45
5,200 Washington Real Estate Investment Trust 88
2,100 Weeks Corp. 66
2,800 Wellsford Residential Property Trust 91
3,000 Western Investment Real Estate Trust 41
--------
7,064
--------
RECREATIONAL AND LEISURE SERVICES--1.1%
500 AMC Entertainment, Inc.* 12
500 Ameristar Casinos, Inc.* 3
1,100 Anchor Gaming* 47
2,500 Argosy Gaming Corp.* 8
1,000 Ascent Entertainment Group, Inc. 10
737 Autotote Corp. Class A 1
3,200 Authentic Fitness Corp. 47
7,300 Aztar Corp.* 51
200 Bally's Grand, Inc.* 8
4,200 Boyd Gaming Corp.* 25
1,700 Carmike Cinemas, Inc.* 59
3,750 Casino America, Inc.* 9
4,300 Casino Magic Corp.* 6
3,000 Galoob (Lewis) Toys, Inc.* 54
1,000 GC Cos., Inc.* 43
1,000 Harvey's Casino Resorts 17
2,600 Hollywood Park, Inc. 36
2,317 K2, Inc. 67
2,900 Lydall, Inc.* 66
800 Movie Gallery, Inc.* 6
1,000 Penn National Gaming, Inc.* 18
1,400 Primadonna Resorts, Inc.* 31
5,100 Prime Hospitality Corp.* 95
700 Quintel Entertainment, Inc.* 7
4,662 Regal Cinemas, Inc.* 153
2,900 Rio Hotel & Casino, Inc.* 42
2,100 Scientific Games Holdings Corp.* 51
2,600 Showboat, Inc. 51
1,950 Shuffle Master, Inc.* 16
1,600 Skyline Corp. 39
1,500 Sodak Gaming, Inc.* 22
2,300 Spelling Entertainment Group, Inc.* 16
3,200 Station Casinos, Inc.* 28
</TABLE>
See accompanying notes to financial statements.
63
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
RECREATIONAL AND LEISURE SERVICES--Continued
<C> <S> <C>
1,700 Stratosphere Corp.* $ 1
3,900 Trump Hotels and Casino Resorts, Inc.* 38
750 WHG Resorts & Casinos, Inc. 8
800 White River Corp.* 51
3,000 WMS Industries, Inc.* 62
--------
1,304
--------
RESEARCH AND CONSULTING SERVICES--1.4%
6,100 Advance Tissue Science, Inc.* 79
2,300 Agouron Pharmaceuticals, Inc.* 184
3,200 Air & Water Technologies Corp.* 15
2,800 Alliance Entertainment Corp.* 2
10,800 Aura Systems, Inc.* 20
8,000 Bio-Technology General Corp.* 116
4,600 Columbia Laboratories, Inc.* 90
675 Computer Management Sciences, Inc.* 14
7,900 Cytogen Corp.* 44
2,800 Dames & Moore, Inc. 33
4,600 Data Broadcasting Corp.* 22
500 Data Processing Resources Corp.* 11
700 Eagle River Interactive, Inc.* 7
1,600 GRC International, Inc.* 8
3,500 Jacobs Engineering Group, Inc.* 94
5,500 Liposome Technology, Inc.* 140
2,100 Mercer International, Inc.* 24
3,000 Mycogen Corp.* 71
1,900 NeoPath, Inc.* 38
1,500 NFO Research, Inc.* 30
3,400 OHM Corp.* 27
2,600 Organogenesis, Inc.* 49
3,200 Parexel International Corp.* 105
2,345 Pharmaceutical Product Development, Inc.* 45
6,000 Scios-Nova, Inc.* 38
1,800 Spacelabs Medical, Inc.* 40
1,300 Stone & Webster, Inc. 56
5,050 Summit Technology, Inc.* 39
9,400 Symantec Corp.* 179
2,800 Technology Solutions Co.* 102
3,500 U.S. Bioscience, Inc.* 37
--------
1,759
--------
RETAIL--4.7%
2,500 Aaron Rents, Inc. 31
670 Alexander's, Inc.* 44
700 American Eagle Outfitters, Inc.* 8
5,200 Americredit Corp.* 98
4,300 AnnTaylor Stores, Inc.* 100
4,112 Apple South, Inc. 62
4,400 Arbor Drugs, Inc. 86
5,200 Best Buy, Inc.* 71
1,400 Blair Corp. 23
6,500 Bombay Company, Inc.* 29
1,800 Books-a-Million, Inc.* 9
600 Buckle, Inc.* 13
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
7,540 Buffets, Inc.* $ 67
2,800 Burlington Coat Factory Warehouse* 50
2,700 Carson Pirie Scott & Co.* 87
5,000 Cash America International, Inc. 49
4,100 Cato Corp. 21
15,600 Charming Shoppes, Inc.* 82
5,700 CKE Restaurants, Inc. 136
8,050 Claire's Stores, Inc. 155
8,600 CML Group, Inc. 20
1,900 Cole National Corp.* 72
2,123 Consolidated Products, Inc.* 36
268 Dart Group Corp. 27
983 Delchamps, Inc. 27
2,800 Dress Barn, Inc.* 48
3,200 Duty Free International, Inc. 50
2,500 Fabri-Centers of America, Inc., Class A* 59
7,100 Family Dollar Stores, Inc. 183
7,000 Fedders Corp. 45
8,300 Fingerhut Cos., Inc. 146
6,400 Foodmaker, Inc.* 90
2,300 Friedmans, Inc., Class A* 43
2,800 Garden Ridge Corp.* 34
4,400 Gymboree Corp.* 110
3,700 Hancock Fabrics, Inc. 45
10,200 HEARx Ltd.* 18
5,300 Hechinger Co. 7
3,500 Hollywood Entertainment Corp.* 70
1,200 Ingles Markets, Inc. 17
3,400 Jumbosports, Inc.* 15
3,050 Just For Feet, Inc.* 60
1,100 L.L. Knickerbocker Co.* 6
2,500 Lands' End, Inc. 75
4,400 Longs Drug Stores, Inc. 105
4,400 Mac Frugal's Bargains Close-Outs, Inc.* 131
700 Mafco Consolidated Group* 23
1,300 Mail Boxes Etc.* 30
2,075 Men's (The) Warehouse, Inc.* 69
4,500 Meyer (Fred), Inc.* 206
3,200 Michael's Stores, Inc.* 63
2,800 National Media Corp.* 21
2,623 Natures Sunshine Products, Inc. 44
2,900 NPC International, Inc.* 34
800 O'Reilly Automotive, Inc.* 29
6,900 Payless Cashways, Inc.* 11
2,550 Petco Animal Supplies, Inc.* 68
4,400 Petroleum Heat & Power, Inc. 16
7,735 Pier I Imports, Inc. 173
2,900 Proffitt's, Inc.* 116
1,500 Quality Food Centers, Inc.* 57
1,900 Regis Corp.* 41
2,400 Renters Choice, Inc.* 46
8,300 Ross Stores, Inc. 233
16,500 Service Merchandise Co., Inc.* 54
3,000 Shopko Stores, Inc. 71
</TABLE>
See accompanying notes to financial statements.
64
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
2,750 Showbiz Pizza Time, Inc.* $ 62
3,098 Smith Food & Drug Centers, Inc., Class B 146
2,200 Sonic Corp.* 39
5,300 Sports Authority, Inc.* 95
2,900 Stanhome, Inc. 91
1,550 Stein Mart, Inc.* 47
1,220 Strawbridge & Clothier, Class A 20
8,200 Stride Rite Corp. 125
6,300 U.S. Office Products Co.* 156
6,000 Universal Corp. 218
1,500 Urban Outfitters, Inc.* 24
1,500 Valmont Industries, Inc. 63
1,700 Value City Department Stores, Inc.* 15
5,300 Waban, Inc.* 161
1,300 West Marine, Inc.* 34
900 Wet Seal, Inc.* 26
3,100 Whole Foods Market, Inc.* 97
3,300 Williams-Sonoma, Inc.* 122
1,400 Wilmar Industries, Inc.* 31
5,600 Zale Corp.* 113
--------
5,850
--------
RUBBER AND PLASTICS--0.6%
2,200 ACX Technologies, Inc.* 47
4,700 Carlisle Cos., Inc. 143
2,500 Foamex International, Inc.* 38
1,500 Furon Co. 38
800 Liqui-Box Corp. 27
2,195 Myers Industries, Inc.* 38
2,200 O'Sullivan Corp. 20
1,300 Park Ohio Industries, Inc.* 17
1,200 Rogers Corp.* 40
4,200 Sola International, Inc.* 120
2,700 Spartech Corp. 34
1,300 Tredegar Industries, Inc. 71
2,200 West Co., Inc. 65
--------
698
--------
SANITARY SERVICES--0.3%
10,100 Allied Waste Industries, Inc.* 149
2,800 Centennial Cellular Corp.* 39
10,500 Laidlaw Environment Services, Inc.* 30
10,000 Safety-Kleen Corp. 156
600 Superior Services, Inc.* 13
--------
387
--------
SERVICE INDUSTRY MACHINERY--0.5%
2,200 Applied Power, Inc. 97
2,450 Commercial Intertech Corp. 32
1,100 Greenwich Air Services, Inc. 32
1,700 Scotsman Industries, Inc. 45
1,550 St. Jude Medical, Inc. 53
1,500 Tennant Co. 45
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
8,975 United States Filter Corp.* $ 283
2,362 Wynn's International, Inc. 58
--------
645
--------
SOCIAL SERVICES--0.3%
547 Berlitz International, Inc.* 13
4,300 DeVry, Inc.* 119
6,000 National Education Corp.* 126
3,018 Omega Healthcare Investors, Inc. 99
1,100 Youth Services International, Inc.* 15
--------
372
--------
STEEL PRODUCTS--1.3%
2,000 Acme Metals, Inc.* 31
1,500 Amcast Industrial Corp. 37
14,200 Armco, Inc.* 53
4,700 Birmingham Steel Corp. 75
2,800 Brush Wellman, Inc. 60
2,700 Carpenter Technology Corp. 117
1,000 Chaparral Steel Co. 15
1,100 Coastcast Corp.* 14
400 Curtiss Wright Corp. 23
2,200 Geneva Steel Co.* 5
500 Gibraltar Steel Corp.* 11
2,400 Handy & Harman 40
1,000 Huntco, Inc., Class A 13
1,800 IMCO Recycling, Inc. 32
3,100 Intermet Corp.* 43
3,100 J & L Specialty Steel, Inc. 40
1,700 Kaiser Aluminum Corp.* 20
3,300 Lone Star Technologies, Inc. 78
2,600 Lukens, Inc. 51
3,300 Mueller Industries, Inc.* 132
3,700 National Steel Corp., Class B* 50
3,700 Oregon Steel Mills, Inc. 69
3,750 Precision Castparts Corp. 234
1,300 Reliance Steel & Aluminum Co. 47
1,500 Rouge Steel Co. 22
700 Schnitzer Steel Industries, Inc. 18
900 Shiloh Industries, Inc.* 15
1,900 Standex International Corp. 52
1,250 Steel Technologies, Inc. 13
3,900 Texas Industries, Inc. 94
4,000 UNR Industries, Inc. 25
4,000 WHX Corp.* 27
--------
1,556
--------
TEXTILES--0.7%
4,200 Albany International Corp. 96
10,800 Burlington Industries, Inc.* 119
3,400 Cone Mills Corp.* 29
800 Fab Industries, Inc. 25
1,582 Fieldcrest Cannon, Inc.* 30
4,496 Guilford Mills, Inc. 88
3,400 Interface, Inc. 79
</TABLE>
See accompanying notes to financial statements.
65
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares and number of contracts)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
TEXTILES--Continued
<C> <S> <C>
4,100 Phillips-Van Heusen $ 57
1,200 Quiksilver, Inc.* 33
4,400 Ruddick Corp. 67
2,400 Springs Industries, Inc. 122
2,800 West Point Stevens, Inc.* 106
--------
851
--------
TRANSPORTATION PARTS AND EQUIPMENT--2.5%
2,800 AAR Corp. 87
1,400 ABC Rail Products Corp.* 23
2,200 APS Holding Corp. 22
3,850 Arctic Cat, Inc. 40
3,700 Arvin Industries, Inc. 103
2,700 Aviall, Inc. 40
2,400 Borg Warner Automotive, Inc. 117
2,200 Breed Technologies, Inc. 43
1,100 Cannondale Corp.* 19
3,100 Chancellor Corp.* 107
2,500 Coachmen Industries, Inc. 43
11,500 Collins & Aikman Corp.* 134
1,300 Copart, Inc.* 20
1,500 Detroit Diesel Corp.* 33
2,400 Eaton Vance Corp. 59
3,000 Exide Corp. 66
2,300 Fairchild Corp.* 38
6,000 Federal-Mogul Corp. 175
4,400 Gencorp, Inc. 93
2,300 Huffy Corp. 30
4,700 Mesa Airlines, Inc.* 24
12,100 Navistar International Corp.* 201
2,700 OEA, Inc. 102
4,600 Orbital Sciences Corp.* 76
2,104 Pacific Scientific Co. 28
4,500 Polaris Industries, Inc. 133
4,400 Rohr, Inc.* 93
1,300 Sequa Corp.* 63
2,800 Simpson Industries, Inc. 29
2,500 Smith (A.O.) Corp. 92
2,325 Standard Products Co. 58
5,400 Stewart & Stevenson Services, Inc. 144
3,400 Superior Industries International, Inc. 87
3,200 Teleflex, Inc. 197
3,200 Thiokol Corp. 230
889 Thor Industries, Inc. 21
2,525 Titan Wheel International, Inc. 39
1,000 Tower Automotive, Inc. 40
3,100 Wabash National Corp. 69
1,500 Walbro Corp. 30
3,200 Westinghouse Air Brake Co. 53
2,500 Winnebago Industries, Inc. 17
--------
3,118
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICES--2.0%
3,100 Air Express International Corp. $ 113
3,300 Airborne Freight Corp. 126
2,300 Alaska Air Group, Inc.* 57
7,830 America West Airlines, Inc.* 120
3,600 American Freightways, Inc.* 50
3,700 APL Ltd. 112
3,600 Arnold Industries, Inc. 60
3,700 Asa Holdings, Inc. 97
1,800 Circle International Corp., Inc. 50
1,800 Covenant Transportation, Inc., Class A* 27
800 Eagle USA Airfreight, Inc.* 16
4,100 Expeditors International of Washington, Inc. 118
1,822 First Source Corp. 46
600 Florida East Coast Industries, Inc. 65
1,553 Frozen Food Express Industries, Inc. 14
3,500 GATX Corp. 199
7,900 Greyhound Lines, Inc.* 33
2,739 Heartland Express, Inc.* 60
3,700 Hunt (J.B.) Transportation Services, Inc. 56
4,100 Kirby Corp.* 77
400 Knight Transportation, Inc.* 10
1,500 M.S. Carriers, Inc.* 32
1,350 Midwest Express Holdings, Inc.* 43
3,200 Offshore Logistics, Inc.* 58
5,000 OMI Corp.* 48
4,600 Overseas Shipholding Group, Inc. 87
3,200 Pittston Burlington Group 82
1,600 Railtex, Inc.* 30
2,300 Roadway Express, Inc. 44
1,300 Skywest, Inc. 20
1,900 Swift Transportation Co., Inc.* 61
2,900 Trans World Airlines, Inc.* 25
3,850 USFreightways, Corp.* 93
5,800 ValuJet, Inc.* 40
3,450 Werner Enterprises, Inc. 67
1,300 Western Pacific Airlines, Inc.* 7
2,500 Xtra Corp. 107
3,600 Yellow Corp.* 69
--------
2,419
--------
WATER SUPPLY--0.4%
1,200 Aquarion Co. 31
1,063 California Water Service Co. 48
3,100 Culligan Water Technologies, Inc.* 138
1,300 E'Town Corp. 43
1,400 Pennsylvania Enterprises, Inc.* 35
2,700 Philadelphia Suburban Corp. 51
1,360 Southern California Water Co. 32
4,152 United Water Resources, Inc. 75
1,200 Western Water Co.* 17
--------
470
--------
</TABLE>
See accompanying notes to financial statements.
66
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
WHOLESALE--1.4%
3,385 Arch Communications Group, Inc.* $ 26
1,400 Bindley Western Industries, Inc. 31
1,950 BMC West Corp.* 26
4,300 Caraustar Industries, Inc. 124
4,300 Casey's General Stores, Inc. 86
1,756 Castle (A. M.) & Co. 38
1,966 Commercial Metals Co. 58
3,900 Compucom Systems, Inc.* 28
400 Culbro Corp.* 51
600 Daisytek International Corp.* 19
1,500 Discount Auto Parts, Inc.* 28
2,600 Egghead, Inc.* 12
5,800 Handleman Co. 38
1,400 Hughes Supply, Inc. 54
3,100 Immunex Corp.* 97
2,800 International Multifoods Corp. 79
2,300 JP Foodservice, Inc.* 67
3,200 Kaman Corp. 44
4,100 Kent Electronics Corp.* 133
1,200 Lawson Products, Inc. 30
2,800 Marshall Industries* 102
2,450 Microage, Inc.* 44
1,900 Nash-Finch Co. 38
2,200 Patterson Dental Co.* 76
1,500 Peak (The) Technologies Group* 27
1,700 Russ Berrie & Co., Inc. 35
4,375 Rykoff-Sexton, Inc. 84
2,400 Sciclone Pharmaceuticals, Inc.* 17
1,700 Smart & Final, Inc. 36
2,800 TBC Corp.* 95
2,400 United Stationers, Inc.* 52
3,100 VWR Corp.* 48
--------
1,723
- ---------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $100,699) $120,911
- ---------------------------------------------------------------
RIGHTS--0.0%
76 Alpha 1 Biomedical* $ 0
1,650 Metrocall, Inc.* 0
- ---------------------------------------------------------------
TOTAL RIGHTS (Cost $0) $ 0
- ---------------------------------------------------------------
WARRANTS--0.0%
350 Milicom American Satellite Corp.,
Exp. 06/30/99* $ 0
57 PerSeptive Biosystems, Inc., Exp. 09/11/03* 0
- ---------------------------------------------------------------
TOTAL WARRANTS (Cost $0) $ 0
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ------------------------------------------------------------
<C> <S> <C>
OTHER INVESTMENTS--0.0%
2,000 Escrow CFS Group, Inc.* $ 0
1,400 Escrow Millicom, Inc.* 0
900 Escrow Northeast Bancorp, Inc.* 0
2,790 Escrow Statesman Group, Inc.* 0
1,700 Escrow Takecare, Inc.* 0
- ------------------------------------------------------------
TOTAL OTHER INVESTMENTS (Cost $0) $ 0
- ------------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--0.1%
U.S. Treasury Bill #
$ 95 4.845% Due 06/26/97 $ 94
- ------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $94) $ 94
- ------------------------------------------------------------
SHORT-TERM INVESTMENT--1.9%
Bank of Tokyo-Mitsubishi, Grand Cayman
$ 2,346 5.750% Due 6/02/97 $ 2,346
- ------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,346) $ 2,346
- ------------------------------------------------------------
TOTAL INVESTMENTS--99.9%
(Cost $103,139) $123,351
- ------------------------------------------------------------
Other assets, less liabilities--0.1% 160
- ------------------------------------------------------------
NET ASSETS--100.0% $123,511
- ------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
OPEN FUTURES CONTRACTS:
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RUSSELL 2000 11 $1,938 Long 06/20/97 $156
- ---------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
67
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
May 31, 1997
(All amounts in thousands, except net asset value per unit)
(Unaudited)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International International Company
Balanced Growth Index Growth Equity Index Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in
securities, at cost $44,912 $ 94,205 $589,870 $ 99,189 $13,947 $111,812 $103,139
- ---------------------------------------------------------------------------------------------------------
Investments in
securities, at value $54,271 $140,676 $857,884 $121,770 $15,114 $122,185 $123,351
Cash and foreign
currencies 143 214 6 150 52 362 3
Receivables:
Dividends and interest 346 227 1,845 107 17 319 99
Fund units sold 4 6 303 149 -- -- 65
Investment securities
sold 600 226 34 111 -- 3,612 --
Foreign tax reclaims -- -- -- -- 5 132 --
Administrator 7 8 24 8 14 9 10
Deferred organization
costs, net 14 8 8 19 14 26 8
Other assets 3 2 139 1 28 3 18
- ---------------------------------------------------------------------------------------------------------
TOTAL ASSETS 55,388 141,367 860,243 122,315 15,244 126,648 123,554
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for:
Fund units redeemed 66 -- 29,161 -- -- 269 --
Investment securities
purchased 579 -- 18 -- -- 1,140 --
Accrued expenses:
Advisory fees 23 65 71 81 3 86 20
Administration fees 5 12 71 10 2 16 10
Custodian fees 2 3 12 1 19 15 6
Transfer agent fees 1 1 14 2 -- 1 1
Other liabilities 6 12 46 12 21 14 6
- ---------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 682 93 29,393 106 45 1,541 43
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $54,706 $141,274 $830,850 $122,209 $15,199 $125,107 $123,511
- ---------------------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $44,889 $ 89,591 $546,525 $ 91,713 $13,959 $117,406 $102,052
Accumulated
undistributed net
investment income 51 532 400 89 71 238 574
Accumulated net realized
gains (losses) on
investments, options,
futures and foreign
currency transactions 407 4,680 15,131 7,826 2 (2,924) 517
Net unrealized
appreciation on
investments, options,
futures and foreign
currency transactions 9,359 46,471 268,794 22,581 1,167 10,373 20,368
Net unrealized gains on
translation of other
assets and liabilities
denominated in foreign
currencies -- -- -- -- -- 14 --
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $54,706 $141,274 $830,850 $122,209 $15,199 $125,107 $123,511
- ---------------------------------------------------------------------------------------------------------
Total units outstanding
(no par value),
unlimited units
authorized
Class A 3,934 9,824 41,819 8,046 1,381 11,716 9,306
Class C 409 -- 3,633 518 -- -- --
Class D 23 43 1,062 52 -- 14 19
- ---------------------------------------------------------------------------------------------------------
Net asset value,
offering and redemption
price per unit
Class A $ 12.53 $ 14.32 $ 17.86 $ 14.19 $ 11.01 $ 10.67 $ 13.24
Class C $ 12.52 -- $ 17.85 $ 14.17 -- -- --
Class D $ 12.51 $ 14.19 $ 17.82 $ 14.05 -- $ 10.55 $ 13.24
- ---------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
68
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Period Ended May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International International Company
Balanced Growth Index Growth Equity Index Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio (a) Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 202 $ 963 $ 7,376 $ 603 $ 70 $1,098 $ 855
Interest 731 40 546 23 13 128 104
- ---------------------------------------------------------------------------------------------------------
TOTAL INCOME 933 1,003 7,922 626 83(b) 1,226(c) 959
- ---------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 209 539 1,162 608 11 648 230
Administration fees 59 137 441 119 17 147 122
Custodian fees 12 14 70 12 23 79 35
Registration fees 11 12 27 12 4 12 12
Amortization of deferred
organization costs 6 7 7 8 1 7 6
Transfer agent fees 5 7 75 9 -- 7 6
Unitholder servicing
fees 5 1 61 6 -- -- --
Professional fees 2 4 16 2 1 4 4
Trustee fees and ex-
penses 1 2 9 1 1 2 2
Other 5 13 42 8 2 6 6
- ---------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 315 736 1,910 785 60 912 423
Less voluntary waivers
of:
Investment advisory
fees (79) (169) (775) (166) (6) (130) (115)
Administration fees (32) (69) (54) (63) (14) (77) (65)
Less: Expenses reimburs-
able by Administrator (38) (44) (142) (42) (28) (19) (64)
- ---------------------------------------------------------------------------------------------------------
Net expenses 166 454 939 514 12 686 179
- ---------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 767 549 6,983 112 71 540 780
Net realized gains
(losses) on:
Investment transactions 442 4,727 14,944 9,122 -- (136) 978
Written options trans-
actions -- -- -- 86 -- -- --
Futures transactions -- -- 3,622 -- -- -- 207
Foreign currency trans-
actions -- -- -- -- 2 (28) --
Net change in unrealized
appreciation on
investments, options,
futures and foreign
currency transactions 2,131 10,306 72,963 2,815 1,167 6,150 7,536
Net change in unrealized
losses on translation
of other assets and li-
abilities denominated
in foreign currencies -- -- -- -- -- (1) --
- ---------------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS RESULTING FROM OP-
ERATIONS $3,340 $15,582 $98,512 $12,135 $1,240 $6,525 $9,501
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations April 1, 1997.
(b) Net of $8 in non-reclaimable foreign withholding taxes.
(c) Net of $151 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
69
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Period Ended May 31, 1997 (Unaudited) and the Year Ended November 30,
1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Balanced Diversified
Portfolio Growth Portfolio
----------------- ------------------
1997 1996 1997 1996
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 767 $ 1,366 $ 549 $ 1,372
Net realized gains (losses) on invest-
ments, options, futures and foreign
currency transactions 442 1,834 4,727 14,453
Net change in unrealized appreciation
on investments, options, futures and
foreign currency transactions 2,131 2,874 10,306 10,529
Net change in unrealized losses on
translations of other assets and lia-
bilities denominated in foreign cur-
rencies -- -- -- --
- ------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 3,340 6,074 15,582 26,354
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS A UNITHOLDERS
FROM:
Net investment income (682) (1,231) (1,368) (1,750)
Net realized gains (1,132) -- (14,420) (1,919)
- ------------------------------------------------------------------------------
Total distributions to Class A
unitholders (1,814) (1,231) (15,788) (3,669)
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS C UNITHOLDERS:
Net investment income (79) (132) -- --
Net realized gains (152) -- -- --
- ------------------------------------------------------------------------------
Total distributions to Class C
unitholders (231) (132) -- --
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS D UNITHOLDERS:
Net investment income (4) (2) (4) (2)
Net realized gains (6) -- (45) (3)
- ------------------------------------------------------------------------------
Total distributions to Class D
unitholders (10) (2) (49) (5)
- ------------------------------------------------------------------------------
CLASS A UNIT TRANSACTIONS:
Proceeds from the sale of units 4,814 11,431 6,216 14,860
Reinvested distributions 1,794 1,076 14,520 3,424
Cost of units redeemed (3,655) (10,419) (21,856) (45,585)
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class A unit transac-
tions 2,953 2,088 (1,120) (27,301)
- ------------------------------------------------------------------------------
CLASS C UNIT TRANSACTIONS:
Proceeds from the sale of units 761 6,132 -- --
Reinvested distributions 231 132 -- --
Cost of units redeemed (1,961) (797) -- --
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class C unit transac-
tions (969) 5,467 -- --
- ------------------------------------------------------------------------------
CLASS D UNIT TRANSACTIONS:
Proceeds from the sale of units 138 232 135 227
Reinvested distributions 9 2 49 5
Cost of units redeemed (96) (9) (23) (75)
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class D unit transac-
tions 51 225 161 157
- ------------------------------------------------------------------------------
Net increase (decrease) 3,320 12,489 (1,214) (4,464)
Net assets--beginning of period 51,386 38,897 142,488 146,952
- ------------------------------------------------------------------------------
NET ASSETS--END OF PERIOD $54,706 $ 51,386 $141,274 $142,488
- ------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED NET INVEST-
MENT INCOME $ 51 $ 49 $ 532 $ 1,355
- ------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on April 1, 1997.
See accompanying notes to financial statements.
70
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International
Equity Index Focused Growth Equity Index International Small Company
Portfolio Portfolio Portfolio Growth Portfolio Index Portfolio
- -------------------- ------------------ ------------- ------------------ ------------------
1997 1996 1997 1996 1997 (a) 1997 1996 1997 1996
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 6,983 $ 12,697 $ 112 $ 110 $ 71 $ 540 $ 989 $ 780 $ 1,443
18,566 36,012 9,208 11,548 2 (164) 8,942 1,185 12,846
72,963 100,945 2,815 5,017 1,167 6,150 3,186 7,536 976
-- -- -- -- -- (1) (22) -- --
- -----------------------------------------------------------------------------------------------
98,512 149,654 12,135 16,675 1,240 6,525 13,095 9,501 15,265
- -----------------------------------------------------------------------------------------------
(6,427) (11,982) (130) (317) -- (1,021) (2,919) (1,364) (1,002)
(32,814) (15,194) (12,040) (1,293) -- (5,790) -- (13,019) (5,764)
- -----------------------------------------------------------------------------------------------
(39,241) (27,176) (12,170) (1,610) -- (6,811) (2,919) (14,383) (6,766)
- -----------------------------------------------------------------------------------------------
(505) (603) (4) -- -- -- -- -- --
(2,679) (570) (811) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
(3,184) (1,173) (815) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
(119) (60) -- (2) -- (1) (1) (1) (1)
(399) (26) (79) (8) -- (4) -- (13) (2)
- -----------------------------------------------------------------------------------------------
(518) (86) (79) (10) -- (5) (1) (14) (3)
- -----------------------------------------------------------------------------------------------
147,495 338,095 9,868 32,348 13,959 8,676 28,193 11,276 28,946
36,716 24,880 11,306 1,413 -- 5,984 2,297 13,462 6,297
(162,906) (279,296) (12,405) (27,923) -- (27,590) (51,182) (9,431) (25,770)
- -----------------------------------------------------------------------------------------------
21,305 83,679 8,769 5,838 13,959 (12,930) (20,692) 15,307 9,473
- -----------------------------------------------------------------------------------------------
12,037 52,571 110 6,934 -- -- -- -- --
3,184 1,029 814 -- -- -- -- -- --
(8,311) (25,869) (523) (598) -- -- -- -- --
- -----------------------------------------------------------------------------------------------
6,910 27,731 401 6,336 -- -- -- -- --
- -----------------------------------------------------------------------------------------------
10,382 6,392 84 168 -- 48 71 162 223
420 86 79 10 -- 5 -- 14 3
(1,474) (332) (94) (96) -- (1) (2) (201) (13)
- -----------------------------------------------------------------------------------------------
9,328 6,146 69 82 -- 52 69 (25) 213
- -----------------------------------------------------------------------------------------------
93,112 238,775 8,310 27,311 15,199 (13,169) (10,448) 10,386 18,182
737,738 498,963 113,899 86,588 -- 138,276 148,724 113,125 94,943
- -----------------------------------------------------------------------------------------------
$830,850 $ 737,738 $122,209 $113,899 $15,199 $125,107 $138,276 $123,511 $113,125
- -----------------------------------------------------------------------------------------------
$ 400 $ 468 $ 89 $ 111 $ 71 $ 238 $ 720 $ 574 $ 1,159
- -----------------------------------------------------------------------------------------------
</TABLE>
71
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
Class A Class C Class D
--------------------------------------------- ----------------- -----------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 (c)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 10.00 $ 12.24 $ 11.12 $ 12.23 $ 11.34
Income (loss) from in-
vestment operations:
Net investment income 0.18 0.34 0.34 0.24 0.09 0.17 0.29 0.16 0.22
Net realized and
unrealized gain (loss) 0.60 1.19 1.55 (0.72) 0.22 0.59 1.12 0.60 0.96
- -------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.78 1.53 1.89 (0.48) 0.31 0.76 1.41 0.76 1.18
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.18) (0.34) (0.34) (0.22) (0.09) (0.17) (0.29) (0.17) (0.29)
Net realized gain (0.31) -- -- (0.02) -- (0.31) -- (0.31) --
- -------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.49) (0.34) (0.34) (0.24) (0.09) (0.48) (0.29) (0.48) (0.29)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) 0.29 1.19 1.55 (0.72) 0.22 0.28 1.12 0.28 0.89
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 12.53 $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 12.52 $ 12.24 $ 12.51 $ 12.23
- -------------------------------------------------------------------------------------------------------------
Total return (d) 6.54% 14.07% 20.22% (4.76)% 3.12% 6.39% 12.72% 6.34% 10.55%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.61% 0.61% 0.61% 0.61% 0.61% 0.85% 0.85% 1.00% 1.00%
Expenses, before waiv-
ers and reimbursements 1.18% 1.20% 1.28% 1.50% 1.62% 1.42% 1.44% 1.57% 1.59%
Net investment income,
net of waivers and
reimbursements 2.97% 3.03% 3.36% 2.56% 2.20% 2.73% 2.80% 2.58% 2.78%
Net investment income,
before waivers and
reimbursements 2.40% 2.44% 2.69% 1.68% 1.19% 2.16% 2.21% 2.01% 2.19%
Portfolio turnover rate 36.07% 104.76% 93.39% 75.69% 35.03% 36.07% 104.76% 36.07% 104.76%
Average commission rate
per share $0.0685 $0.0718 NA NA NA $0.0685 $0.0718 $0.0685 $0.0718
Net assets at end of pe-
riod (in thousands) $49,298 $45,157 $38,897 $31,462 $15,928 $ 5,116 $ 5,997 $ 292 $ 232
- -------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on December 29, 1995.
(c) Class D units were issued on February 20, 1996.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
72
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended and May 31, 1997 (Unaudited) and the Years Ended
November 30,
DIVERSIFIED GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
------------------------------------------------- ----------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 10.00 $ 14.26 $ 12.16 $ 9.88 $10.41
Income (loss) from
investment operations:
Net investment income 0.06 0.14 0.15 0.09 0.09 0.06 0.11 0.11 0.01
Net realized and
unrealized gain (loss) 1.50 2.33 2.26 (0.83) 0.65 1.46 2.29 2.25 (0.54)
- ----------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.56 2.47 2.41 (0.74) 0.74 1.52 2.40 2.36 (0.53)
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.14) (0.15) (0.09) (0.01) (0.09) (0.13) (0.14) (0.08) --
Net realized gain (1.46) (0.16) -- (0.02) -- (1.46) (0.16) -- --
- ----------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.60) (0.31) (0.09) (0.03) (0.09) (1.59) (0.30) (0.08) --
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.04) 2.16 2.32 (0.77) 0.65 (0.07) 2.10 2.28 (0.53)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 14.32 $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 14.19 $ 14.26 $12.16 $ 9.88
- ----------------------------------------------------------------------------------------------------------------
Total return (c) 12.27% 20.83% 24.55% (6.98)% 7.38% 12.06% 20.39% 24.19% (5.14)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.67% 0.66% 0.69% 0.67% 0.71% 1.06% 1.05% 1.08% 1.05%
Expenses, before
waivers and
reimbursements 1.09% 1.10% 1.12% 1.08% 1.13% 1.48% 1.49% 1.51% 1.46%
Net investment income,
net of waivers and
reimbursements 0.82% 0.98% 1.16% 0.77% 1.04% 0.43% 0.59% 0.73% 0.94%
Net investment income,
before waivers and
reimbursements 0.40% 0.54% 0.73% 0.35% 0.62% 0.01% 0.15% 0.30% 0.53%
Portfolio turnover rate 13.99% 59.99% 81.65% 78.94% 140.88% 13.99% 59.99% 81.65% 78.94%
Average commission rate
per share $ 0.0684 $ 0.0655 NA NA NA $0.0684 $0.0655 NA NA
Net assets at end of pe-
riod (in thousands) $140,667 $142,055 $146,731 $164,963 $199,053 $ 607 $ 433 $ 221 $ 40
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
73
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended and May 31, 1997 (Unaudited) and the Years Ended
November 30,
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A
------------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 16.79 $ 13.86 $ 10.60 $ 10.78 $ 10.00
Income from investment
operations:
Net investment income 0.15 0.31 0.30 0.27 0.22
Net realized and unrealized
gain (loss) 1.90 3.36 3.47 (0.18) 0.78
- --------------------------------------------------------------------------------
Total income from investment
operations 2.05 3.67 3.77 0.09 1.00
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.15) (0.31) (0.30) (0.27) (0.22)
Net realized gain (0.83) (0.43) (0.21) -- --
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.98) (0.74) (0.51) (0.27) (0.22)
- --------------------------------------------------------------------------------
Net increase (decrease) 1.07 2.93 3.26 (0.18) 0.78
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 17.86 $ 16.79 $ 13.86 $ 10.60 $ 10.78
- --------------------------------------------------------------------------------
Total return (d) 12.96% 27.53% 36.60% 0.87% 10.08%
Ratio to average net assets
of (e):
Expenses, net of waivers and
reimbursements 0.22% 0.22% 0.22% 0.23% 0.21%
Expenses, before waivers and
reimbursements 0.47% 0.50% 0.54% 0.59% 0.66%
Net investment income, net
of waivers and
reimbursements 1.83% 2.12% 2.54% 2.62% 2.62%
Net investment income,
before waivers and
reimbursements 1.58% 1.84% 2.22% 2.25% 2.17%
Portfolio turnover rate 5.16% 18.02% 15.27% 71.98% 2.06%
Average commission rate per
share $ 0.0279 $ 0.0228 NA NA NA
Net assets at end of period
(in thousands) $747,088 $675,804 $479,763 $281,817 $219,282
- --------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class C units were issued on September 28, 1995.
(c) Class D units were issued on September 14, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
74
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Class D
-------------------------- ----------------------------------
1997 1996 1995 (b) 1997 1996 1995 1994 (c)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 16.79 $ 13.86 $ 13.43 $ 16.77 $ 13.83 $10.60 $10.96
Income (loss) from
investment operations:
Net investment income 0.13 0.28 0.05 0.14 0.27 0.25 0.02
Net realized and
unrealized gain (loss) 1.91 3.35 0.45 1.88 3.36 3.47 (0.31)
- -----------------------------------------------------------------------------------------
Total income (loss) from
investment operations 2.04 3.63 0.50 2.02 3.63 3.72 (0.29)
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.15) (0.27) (0.07) (0.14) (0.26) (0.28) (0.07)
Net realized gain (0.83) (0.43) -- (0.83) (0.43) (0.21) --
- -----------------------------------------------------------------------------------------
Total distributions to
unitholders (0.98) (0.70) (0.07) (0.97) (0.69) (0.49) (0.07)
- -----------------------------------------------------------------------------------------
Net increase (decrease) 1.06 2.93 0.43 1.05 2.94 3.23 (0.36)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 17.85 $ 16.79 $ 13.86 $ 17.82 $ 16.77 $13.83 $10.60
- -----------------------------------------------------------------------------------------
Total return (d) 12.83% 27.24% 3.94% 12.76% 27.20% 36.20% (2.68)%
Ratio to average net
assets of (e):
Expenses, net of
waivers and
reimbursements 0.46% 0.46% 0.46% 0.61% 0.61% 0.61% 0.60%
Expenses, before
waivers and
reimbursements 0.71% 0.74% 0.78% 0.86% 0.89% 0.93% 0.96%
Net investment income,
net of waivers and
reimbursements 1.59% 1.89% 2.29% 1.44% 1.78% 2.07% 2.67%
Net investment income,
before waivers and
reimbursements 1.34% 1.61% 1.97% 1.19% 1.50% 1.75% 2.31%
Portfolio turnover rate 5.16% 18.02% 15.27% 5.16% 18.02% 15.27% 71.98%
Average commission rate
per share $0.0279 $0.0228 NA $0.0279 $0.0228 NA NA
Net assets at end of
period (in thousands) $64,838 $53,929 $18,390 $18,924 $ 8,005 $ 810 $ 3
- -----------------------------------------------------------------------------------------
</TABLE>
75
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
FOCUSED GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class C Class D
-------------------------------------------------- ------------------ ----------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 1995 (c)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 10.00 $ 14.47 $ 13.46 $ 14.37 $ 12.48 $ 9.55
Income (loss) from
investment operations:
Net investment income
(loss) 0.01 0.02 0.05 0.02 0.01 -- (0.01) -- (0.03) 0.02
Net realized and
unrealized gain (loss) 1.40 2.17 2.71 (0.66) 0.43 1.39 1.02 1.37 2.15 2.93
- ---------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.41 2.19 2.76 (0.64) 0.44 1.39 1.01 1.37 2.12 2.95
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.02) (0.05) (0.02) -- (0.01) (0.01) -- (0.01) (0.04) (0.02)
Net realized gain (1.68) (0.19) -- -- -- (1.68) -- (1.68) (0.19) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.70) (0.24) (0.02) -- (0.01) (1.69) -- (1.69) (0.23) (0.02)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.29) 1.95 2.74 (0.64) 0.43 (0.30) 1.01 (0.32) 1.89 2.93
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 14.19 $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 14.17 $ 14.47 $ 14.05 $ 14.37 $12.48
- ---------------------------------------------------------------------------------------------------------------------------------
Total return (d) 11.25% 17.82% 28.38% (6.15)% 4.33% 11.13% 7.51% 11.04% 17.42% 30.97%
Ratio to average net as-
sets of (e):
Expenses, net of waivers
and reimbursements 0.92% 0.91% 0.91% 0.91% 0.91% 1.16% 1.15% 1.31% 1.30% 1.30%
Expenses, before waivers
and reimbursements 1.41% 1.43% 1.47% 1.55% 1.88% 1.65% 1.67% 1.80% 1.82% 1.86%
Net investment income
(loss), net of waivers
and reimbursements 0.22% 0.12% 0.46% 0.24% 0.14% (0.02)% (0.12)% (0.17)% (0.28)% (0.11)%
Net investment income
(loss), before waivers
and reimbursements (0.27)% (0.40)% (0.10)% (0.39)% (0.83)% (0.51)% (0.64)% (0.66)% (0.80)% (0.67)%
Portfolio turnover rate 60.73% 116.78% 85.93% 74.28% 27.48% 60.73% 116.78% 60.73% 116.78% 85.93%
Average commission rate
per share $ 0.0671 $ 0.0730 NA NA NA $0.0671 $0.0730 $0.0671 $0.0730 NA
Net assets at end of
period (in thousands) $114,152 $106,250 $86,099 $57,801 $32,099 $ 7,333 $ 6,993 $ 724 $ 656 $ 489
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on June 14, 1996.
(c) Class D units were issued on December 8, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
76
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Period Ended May 31, 1997 (Unaudited)
INTERNATIONAL EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A
--------
1997 (a)
- ------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income 0.05
Net realized and unrealized gain 0.96
- ------------------------------------------------------------------
Total income from investment operations 1.01
- ------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income --
- ------------------------------------------------------------------
Total distributions to unitholders --
- ------------------------------------------------------------------
Net increase 1.01
- ------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.01
- ------------------------------------------------------------------
Total return (b) 10.07%
Ratio to average net assets of (c):
Expenses, net of waivers and reimbursements 0.51%
Expenses, before waivers and reimbursements 2.61%
Net investment income, net of waivers and reimbursements 2.62%
Net investment income, before waivers and reimbursements 0.52%
Portfolio turnover rate 0.03%
Average commission rate per share $0.0152
Net assets at end of period (in thousands) $15,199
- ------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on April 1, 1997.
(b) Assumes investment at net asset value at beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value of the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
77
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
INTERNATIONAL GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
--------------------------------------- ----------------------------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(b)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 10.63 $ 9.88 $ 10.21 $ 10.00 $ 10.54 $ 9.83 $10.21 $10.47
Income (loss) from in-
vestment operations:
Net investment income 0.04 0.10 0.12 0.05 0.05 0.01 0.19 --
Net realized and
unrealized gain (loss) 0.53 0.87 (0.36) 0.16 0.49 0.92 (0.48) (0.26)
- ------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.57 0.97 (0.24) 0.21 0.54 0.93 (0.29) (0.26)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.08) (0.22) (0.05) -- (0.08) (0.22) (0.05) --
Net realized gain (0.45) -- (0.04) -- (0.45) -- (0.04) --
- ------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.53) (0.22) (0.09) -- (0.53) (0.22) (0.09) --
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) 0.04 0.75 (0.33) 0.21 0.01 0.71 (0.38) (0.26)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 10.67 $ 10.63 $ 9.88 $ 10.21 $ 10.55 $ 10.54 $ 9.83 $10.21
- ------------------------------------------------------------------------------------------------------
Total return (c) 5.69% 9.96% (2.32)% 2.11% 5.47% 9.59% (2.78)% (2.56)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 1.06% 1.06% 1.06% 1.04% 1.45% 1.45% 1.45% 1.35%
Expenses, before waiv-
ers and reimbursements 1.41% 1.43% 1.38% 1.47% 1.80% 1.82% 1.77% 1.78%
Net investment income,
net of waivers and
reimbursements 0.84% 0.73% 1.22% 0.76% 0.45% 0.44% 2.01% --
Net investment income,
before waivers and
reimbursements 0.49% 0.36% 0.90% 0.33% 0.10% 0.07% 1.69% (0.43)%
Portfolio turnover rate 88.69% 202.47% 215.31% 77.79% 88.69% 202.47% 215.31% 77.79%
Average commission rate
per share $ 0.0200 $ 0.0292 NA NA $0.0200 $0.0292 NA NA
Net assets at end of pe-
riod (in thousands) $124,958 $138,182 $148,704 $133,212 $ 149 $ 94 $ 20 --
- ------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
78
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and Years Ended November 30,
SMALL COMPANY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
-----------------------------------------------
--------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 (b)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 10.00 $ 13.96 $ 12.95 $10.51
Income (loss) from in-
vestment operations:
Net investment income 0.09 0.19 0.16 0.14 0.11 0.14 0.13 0.18
Net realized and
unrealized gain (loss) 0.94 1.75 2.67 (0.30) 1.29 0.88 1.83 2.96
- ------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.03 1.94 2.83 (0.16) 1.40 1.02 1.96 3.14
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.17) (0.14) (0.15) (0.02) (0.11) (0.15) (0.14) (0.14)
Net realized gain (1.59) (0.81) (0.56) (0.25) -- (1.59) (0.81) (0.56)
- ------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.76) (0.95) (0.71) (0.27) (0.11) (1.74) (0.95) (0.70)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.73) 0.99 2.12 (0.43) 1.29 (0.72) 1.01 2.44
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 13.24 $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 13.24 $ 13.96 $12.95
- ------------------------------------------------------------------------------------------------------
Total return (c) 8.33% 15.96% 27.76% (1.54)% 14.09% 8.18% 16.20% 31.62%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.31% 0.32% 0.32% 0.33% 0.31% 0.70% 0.71% 0.71%
Expenses, before waiv-
ers and reimbursements 0.74% 0.79% 0.81% 0.86% 1.02% 1.13% 1.18% 1.20%
Net investment income,
net of waivers and
reimbursements 1.36% 1.36% 1.31% 1.27% 1.25% 0.97% 1.02% 0.90%
Net investment income,
before waivers and
reimbursements 0.93% 0.89% 0.82% 0.74% 0.54% 0.54% 0.55% 0.41%
Portfolio turnover rate 3.06% 46.26% 38.46% 98.43% 26.31% 3.06% 46.26% 38.46%
Average commission rate
per share $ 0.0286 $ 0.0257 NA NA NA $0.0286 $0.0257 NA
Net assets at end of pe-
riod (in thousands) $123,264 $112,856 $94,899 $ 77,120 $54,763 $ 247 $ 269 $ 44
- ------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on December 8, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
79
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
May 31, 1997
(Unaudited)
1. ORGANIZATION
The Benchmark Funds (the "Trust") is a Massachusetts business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end
management investment company. The Trust includes seventeen portfolios, each
with its own investment objective. Each Portfolio, other than the
International Bond Portfolio, is classified as a diversified investment
company. The Northern Trust Company ("Northern") acts as the Trust's
investment adviser, transfer agent, and custodian. Goldman, Sachs & Co.
("Goldman Sachs") acts as the Trust's administrator and distributor. Presented
herein are the financial statements of the fixed income and equity portfolios
("the Portfolios").
Each of the Portfolios, except the Short Duration Portfolio, may issue four
separate classes: Class A, B, C and D. Each class is distinguished by the
level of administrative support and transfer agent service provided. As of May
31, 1997, Class A, Class C and Class D units are outstanding for certain
Portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
These policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
(a) Investment Valuation
Investments held by a Portfolio are valued at the last quoted sale price on
the exchange on which such securities are primarily traded, or if any
securities are not traded on a valuation date, at the last quoted bid price.
Securities which are traded in the over-the-counter markets are valued at the
last quoted bid price. Exchange traded futures and options are valued at the
settlement price as established by the exchange on which they are traded.
Index futures are marked to market on a daily basis. Any securities, including
restricted securities, for which current quotations are not readily available
are valued at fair value as determined in good faith by Northern under the
supervision of the Board of Trustees ("Board"). Short-term investments are
valued at amortized cost which Northern has determined, pursuant to Board
authorization, approximates market value.
(b) Repurchase Agreements
During the term of a repurchase agreement, the market value of the underlying
collateral, including accrued interest, is required to exceed the market value
of the repurchase agreement. The underlying collateral for all repurchase
agreements is held in a customer-only account of Northern, as custodian for
the Trust, at the Federal Reserve Bank of Chicago.
(c) Futures Contracts
Each Portfolio may invest in long or short futures contracts for hedging
purposes, to increase total return (i.e., for speculative purposes) or to
maintain liquidity. The Portfolios bear the market risk arising from changes
in the value of these financial instruments. At the time a Portfolio enters
into a futures contract it is required to make a margin deposit with the
custodian of a specified amount of liquid assets. Subsequently, as the market
price of the futures contract fluctuates, gains or losses are recorded and
payments are made, on a daily basis, between the portfolio and the broker. The
Statements of Operations reflects gains and losses as realized for closed
futures contracts and as unrealized for open futures contracts.
At May 31, 1997, the Equity Index and Small Company Index Portfolios had
entered into long exchange traded futures contracts. The aggregate market
value of assets pledged to cover margin requirements for open positions at May
31, 1997 was approximately $1,191,000 and $94,000 for the Equity Index and
Small Company Index Portfolios, respectively.
(d) Options Contracts
Each Portfolio may purchase and write (sell) put and call options on foreign
and domestic stock indices, foreign currencies, and U.S. and foreign
securities that are traded on U.S. and foreign securities exchanges and over-
the-counter markets. These transactions are for hedging (or cross-hedging)
purposes or for the purposes of earning additional income.
The risk associated with purchasing an option is that the Portfolio pays a
premium whether or not the option is exercised. Additionally, the Portfolio
bears the risk of loss of premium and change in market value should the
counterparty not perform under the contract. Put and call options purchased
are accounted for in the same manner as
80
<PAGE>
- -------------------------------------------------------------------------------
Portfolio securities. The cost of securities acquired through the exercise of
call options is increased by the premiums paid. The proceeds from securities
sold through the exercise of put options are decreased by the premiums paid.
In writing an option, the Portfolio bears the market risk of an unfavorable
change in the price of the security or currency underlying the written option.
Exercise of an option written by the Portfolio could result in the Portfolio
selling or buying a security or currency at a price different from the current
market value. Transactions in written call options for the six months ended
May 31, 1997 for the Portfolios were as follows:
<TABLE>
<CAPTION>
Premiums Focused Growth
- -------------------------------------------------------------------
(In thousands)
<S> <C>
Options outstanding, at November 30, 1996 $ --
Options written 111
Options terminated in closing purchase transactions (26)
Options expired (67)
Options exercised (18)
- -------------------------------------------------------------------
Options outstanding, at May 31,1997 $ --
- -------------------------------------------------------------------
</TABLE>
The Portfolios did not write put options during the six months ended May 31,
1997.
(e) Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into
U.S. dollars using the spot market rate of exchange at the time of valuation.
Cost of purchases and proceeds from sales of investments, interest and
dividend income are translated into U.S. dollars using the spot market rate of
exchange prevailing on the respective dates of such transactions.
The gains or losses on investments resulting from changes in foreign exchange
rates are included with net realized and unrealized gain (loss) on
investments.
(f) Investment Transactions and Investment Income
Investment transactions are recorded on the trade date. Realized gains and
losses on investment transactions are calculated on the identified-cost basis.
Interest income is recorded on the accrual basis and includes amortization of
discounts and premiums. Dividend income is recorded on the ex-dividend date.
Dividends from foreign securities are recorded on the ex-date, or as soon as
the information is available.
(g) Forward Foreign Currency Exchange Contracts
Certain Portfolios are authorized to enter into forward foreign currency
exchange contracts for the purchase of a specific foreign currency at a fixed
price on a future date as a hedge or cross-hedge against either specific
transactions or portfolio positions. In addition, the International Bond and
International Growth Portfolios may enter into foreign currency exchange
contracts for speculative purposes. The objective of the Portfolio's foreign
currency hedging transactions is to reduce the risk that the U.S. dollar value
of the Portfolio's foreign currency denominated securities will decline in
value due to changes in foreign currency exchange rates. All forward foreign
currency contracts are "marked-to-market" daily at the applicable exchange
rates and any resulting unrealized gains or losses are recorded in the
financial statements. The Portfolio records realized gains or losses when the
forward contract is offset by entry into a closing transaction or extinguished
by delivery of the currency. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
At May 31, 1997, the International Bond Portfolio had outstanding contracts
to sell 91,714,400 Japanese yen in exchange for $800,000. Unrealized
appreciation on this contract totaled approximately $25,000 at May 31, 1997.
(h) Federal Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all of its taxable income and capital gains to its
unitholders. Therefore, no provision is made for federal taxes.
At November 30, 1996, the Trust's most recent tax year end, the Portfolios
had approximately the following amounts of capital loss carryforwards for U.S.
federal tax purposes:
<TABLE>
<CAPTION>
Amount Year(s) of Expiration
- ----------------------------------------------------------------
(in thousands)
<S> <C> <C>
Bond $1,398 2002 to 2003
Short Duration 581 2002 to 2003
U.S. Government Securities 168 2001 to 2003
U.S. Treasury Index 979 2002
- ----------------------------------------------------------------
</TABLE>
81
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
May 31, 1997
(Unaudited)
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
(i) Deferred Organization Costs
Organization related costs are being amortized on a straight-line basis over
five years.
(j) Expenses
Expenses arising in connection with a specific Portfolio are allocated to that
Portfolio. Certain expenses arising in connection with a class of units are
allocated to that class of units. Expenses incurred which do not specifically
relate to an individual Portfolio are allocated among the Portfolios based on
each Portfolio's relative net assets.
(k) Distributions
Dividends from net investment income are declared and paid as follows:
<TABLE>
<CAPTION>
Declared Paid
- -----------------------------------------------
<S> <C> <C>
Bond Monthly Monthly
International Bond Quarterly Quarterly
Short Duration Daily Monthly
Short-Intermediate Bond Monthly Monthly
U.S. Government Securities Monthly Monthly
U.S. Treasury Index Monthly Monthly
Balanced Quarterly Quarterly
Diversified Growth Annually Annually
Equity Index Quarterly Quarterly
Focused Growth Annually Annually
International Equity Index Annually Annually
International Growth Annually Annually
Small Company Index Annually Annually
- -----------------------------------------------
</TABLE>
Each Portfolio's net realized capital gains are distributed at least
annually. Income dividends and capital gain distributions are determined in
accordance with income tax regulations. Such amounts may differ from income
and capital gains recorded in accordance with generally accepted accounting
principles.
(l) Reclassifications
At November 30, 1996, certain Portfolios made reclassifications among their
capital accounts to reflect the characterization of certain income and capital
gains distributions for federal income tax purposes, as follows:
<TABLE>
<CAPTION>
Undistributed Undistributed
Net Investment Net Capital
Amounts in Thousands Income Gains/(Losses)
- ---------------------------------------------------------
<S> <C> <C>
Bond $740 $(740)
International Bond 404 (404)
Short-Intermediate Bond (390) 390
U.S. Government Securities (11) 11
International Growth 72 (72)
Small Company Index (5) 5
- ---------------------------------------------------------
</TABLE>
These reclassifications had no impact on the net asset value of the
Portfolios and are designed to present those Portfolios' capital accounts on a
tax basis.
3. ADVISORY, TRANSFER AGENCY AND CUSTODIAN AGREEMENTS
The Trust has an investment advisory agreement with Northern whereby each
Portfolio pays Northern a fee, computed daily and payable monthly, based on a
specified percentage of its average daily net assets. For the current fiscal
year, Northern voluntarily agreed to waive a portion of the advisory fees as
shown on the accompanying Statements of Operations. The annual advisory fees
and waiver rates expressed as a percentage of average daily net assets for the
six months ended May 31, 1997, are as follows:
<TABLE>
<CAPTION>
Net
Advisory Less: Advisory
Fee Waiver Fee
- ----------------------------------------------------
<S> <C> <C> <C>
Bond .60% .35% .25%
International Bond .90 .20 .70
Short Duration .40 .25 .15
Short-Intermediate Bond .60 .35 .25
U.S. Government Securities .60 .35 .25
U.S. Treasury Index .40 .25 .15
Balanced .80 .30 .50
Diversified Growth .80 .25 .55
Equity Index .30 .20 .10
Focused Growth 1.10 .30 .80
International Equity Index .50 .25 .25
International Growth 1.00 .20 .80
Small Company Index .40 .20 .20
- ----------------------------------------------------
</TABLE>
As compensation for the services rendered as transfer agent, including the
assumption by Northern of the expenses related thereto, Northern receives a
fee, computed daily and payable monthly, at an annual rate of .01%, .05%, .10%
and .15% of the average daily net asset value of the outstanding Class A, B, C
and D units, respectively, for the Portfolios, except the Short Duration
Portfolio.
As compensation for the services rendered as custodian for the Portfolios and
for services rendered as transfer agent for the Short Duration Portfolio,
including the assumption by Northern of the expenses related thereto, Northern
receives compensation based on a pre-determined schedule of charges approved
by the Board.
82
<PAGE>
- -------------------------------------------------------------------------------
4. ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust has an administration agreement with Goldman Sachs whereby each
Portfolio pays the Administrator a fee, computed daily and payable monthly, at
an annual rate of .10% of the Portfolios daily net assets, except the
International Bond, International Equity Index and International Growth
Portfolios which pay the Administrators a fee, computed daily and payable
monthly, at an annual rate of .15% of their respective daily net assets. In
addition, if in any fiscal year, the sum of a Portfolio's expenses (including
the administration fee, but excluding the investment advisory fee and transfer
agency fee payable to Northern pursuant to its agreements with the Trust and
servicing fees, and extraordinary expenses (such as taxes, interest, and
indemnification expenses)), exceeds on an annualized basis .10% of a
Portfolio's average net assets (0.25% for International Growth Portfolio,
International Bond Portfolio and International Equity Index Portfolio),
Goldman Sachs will reimburse each Portfolio for the amount of the excess
pursuant to the terms of the administration agreement.
Prior to May 1, 1997 each Portfolio paid the Administrator a fee, computed
daily and payable monthly, based on the average net assets of each Portfolio
at the rates set forth below:
<TABLE>
<CAPTION>
Average net assets Rate
- ---------------------------------------
<S> <C>
For the first $100,000,000 .250%
For the next $200,000,000 .150
For the next $450,000,000 .075
For net assets over $750,000,000 .050
- ---------------------------------------
</TABLE>
Prior to May 1, 1997, Goldman Sachs also voluntarily agreed to limit
administration fees to .10% of average daily net assets for each Portfolio,
except the Short Duration Portfolio. In addition, Goldman Sachs agreed to
waive a portion of its administrative fees should overall administration fees
earned during the preceding year exceed certain specified levels. No waiver
was required under this agreement during the six months ended May 31, 1997.
Furthermore, Goldman Sachs voluntarily agreed to reimburse each Portfolio for
certain expenses in the event that such expenses, as defined, exceed on an
annualized basis .10% of its average daily net assets for such fiscal year for
the Bond, Short-Intermediate Bond, Short Duration, U.S. Government Securities,
U.S. Treasury Index, Balanced, Diversified Growth, Equity Index, Focused
Growth and Small Company Index Portfolios and .25% of the average daily net
assets for such fiscal year for the International Bond, International Equity
Index and International Growth Portfolios.
The administration fees waived and expenses reimbursed during the six months
ended May 31, 1997 are shown on the accompanying Statements of Operations.
Goldman Sachs receives no compensation under the distribution agreement.
5. UNITHOLDER SERVICING PLAN
The Trust has adopted a Unitholder Servicing Plan pursuant to which the Trust
may enter into agreements with institutions or other financial intermediaries
under which they will render certain unitholder administrative support
services for their customers or other investors who beneficially own Class B,
C and D units. As compensation under the Unitholder Servicing Plan, the
institution or other financial intermediary receives a fee at an annual rate
of up to .10%, .15% and .25% of the average daily net asset value of the
outstanding Class B, C and D units, respectively.
6. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended May 31, 1997(excluding short-
term investments) were as follows:
<TABLE>
<CAPTION>
Proceeds
from sales Proceeds
and from
Purchases maturities sales and
of U.S. Purchases of U.S. maturities
Government of other Government of other
Obligations securities Obligations securities
- -------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $107,189 $205,917 $184,040 $32,882
International Bond -- 3,663 -- 6,344
Short Duration 2,496 -- -- 8,824
Short-Intermediate Bond 17,214 37,065 43,953 8,040
U.S. Government Securities 56,887 -- 57,555 --
U.S. Treasury Index 11,292 -- 7,939 --
Balanced 5,068 14,204 7,787 10,054
Diversified Growth -- 18,782 -- 36,744
Equity Index -- 67,701 -- 39,300
Focused Growth -- 67,091 -- 71,514
International Equity Index -- 13,887 -- 4
International Growth -- 109,745 -- 126,339
Small Company Index -- 10,033 -- 3,411
- -------------------------------------------------------------------------
</TABLE>
83
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
May 31, 1997
(Unaudited)
As of May 31, 1997, the composition of unrealized appreciation (depreciation)
of investment securities (including the effects of foreign currency
translation) based on the aggregate cost of investments for federal income tax
purposes were as follows:
<TABLE>
<CAPTION>
Cost for
Federal
Net Income
Appreciation Tax
Appreciation Depreciation (Depreciation) Purposes
- -----------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $ 4,931 $ 4,750 $ 181 $470,854
International Bond 2,354 2,117 237 27,613
Short Duration -- 61 (61) 46,248
Short-Intermediate Bond 1,375 1,377 (2) 161,679
U.S. Government Securities 324 685 (361) 95,255
U.S. Treasury Index 163 300 (137) 30,288
Balanced 9,685 328 9,357 44,914
Diversified Growth 46,762 334 46,428 94,248
Equity Index 277,040 10,631 266,409 591,475
Focused Growth 23,857 1,298 22,559 99,211
International Equity Index 1,328 161 1,167 13,947
International Growth 13,045 3,058 9,987 112,198
Small Company Index 32,154 12,027 20,127 103,224
- -----------------------------------------------------------------------------
</TABLE>
7. BANK LOANS
The Trust maintains a $5,000,000 revolving bank credit line and a $15,000,000
conditional revolving credit line for liquidity and other purposes. Borrowings
under this arrangement bear interest at 1% above the Fed Funds rate and are
secured by pledged securities equal to or exceeding 120% of the outstanding
balance.
Interest expense for the six months ended May 31, 1997 was approximately
$8,000, $29,000, $3,000 and $1,000 for the Diversified Growth, Equity Index,
Focused Growth and International Growth Portfolios, respectively. These
amounts are included in "Other Expenses" on the Statements of Operations.
As of May 31, 1997, there were no outstanding borrowings.
8. UNIT TRANSACTIONS
Transactions in Class A units for the six months ended May 31, 1997 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- ----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 4,251 513 2,356 2,408
International Bond 36 42 220 (142)
Short Duration 2,713 127 2,512 328
Short-Intermediate Bond 2,038 231 1,939 330
U.S. Government Securities 1,996 113 2,703 (594)
U.S. Treasury Index 219 34 75 178
Balanced 398 149 303 244
Diversified Growth 470 1,144 1,682 (68)
Equity Index 9,010 2,283 9,729 1,564
Focused Growth 743 905 939 709
International Equity Index 1,381 -- -- 1,381
International Growth 863 606 2,751 (1,282)
Small Company Index 890 1,087 752 1,225
- ----------------------------------------------------------------------
</TABLE>
Transactions in Class A units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 7,010 910 3,920 4,000
International Bond 272 81 313 40
Short Duration 6,424 243 7,034 (367)
Short-Intermediate Bond 3,372 424 4,028 (232)
U.S. Government Securities 5,223 211 3,637 1,797
U.S. Treasury Index 642 37 254 425
Balanced 989 93 911 171
Diversified Growth 1,187 290 3,615 (2,138)
Equity Index 22,992 1,743 19,101 5,634
Focused Growth 2,500 117 2,151 466
International Growth 2,737 230 5,018 (2,051)
Small Company Index 2,188 516 1,933 771
- -----------------------------------------------------------------------
</TABLE>
84
<PAGE>
- -------------------------------------------------------------------------------
Transactions in Class C units for the six months ended May 31, 1997 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 2,558 34 219 2,373
U.S. Government Securities 41 5 36 10
Balanced 63 19 163 (81)
Equity Index 722 198 500 420
Focused Growth 10 63 38 35
- -------------------------------------------------------------------------------
Transactions in the Class C units for the year ended November 30, 1996 were as
follows:
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 214 13 51 176
U.S. Government Securities 234 8 66 176
Balanced 548 11 69 490
Equity Index 3,499 70 1,685 1,884
Focused Growth 529 0 46 483
- -------------------------------------------------------------------------------
Transactions in Class D units for the six months ended May 31, 1997 were as
follows:
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 3 -- 6 (3)
International Bond 1 -- -- 1
Short-Intermediate Bond 7 -- 1 6
U.S. Government Securities 5 -- 1 4
U.S. Treasury Index 42 1 15 28
Balanced 11 1 8 4
Diversified Growth 10 4 1 13
Equity Index 649 26 90 585
Focused Growth 6 6 6 6
International Growth 5 -- -- 5
Small Company Index 12 1 13 --
- -------------------------------------------------------------------------------
</TABLE>
Transactions in Class D units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- --------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 6 -- 1 5
International Bond 1 -- -- 1
Short-Intermediate Bond 16 -- -- 16
U.S. Government Securities 10 1 3 8
U.S. Treasury Index 29 1 3 27
Balanced 20 -- 1 19
Diversified Growth 17 1 6 12
Equity Index 436 6 24 418
Focused Growth 13 1 7 7
International Growth 7 -- -- 7
Small Company Index 17 -- 1 16
- --------------------------------------------------------------------
</TABLE>
9. SUBSEQUENT EVENT
The Short Duration Portfolio ceased investment operations on June 30, 1997.
85
<PAGE>
THE BENCHMARK FUNDS
Investment Adviser, Transfer Agent and
Custodian
The Northern Trust Company
50 S. LaSalle Street
Chicago, IL 60675
Administrator and Distributor
Goldman, Sachs & Co.
4900 Sears Tower
Chicago, IL 60606
Trustees
William H. Springer, Chairman
Edward J. Condon, Jr.
John W. English
James J. Gavin, Jr.
Frederick T. Kelsey
Richard P. Strubel
Officers
Paul W. Klug, Jr., President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
Legal Counsel
Drinker Biddle & Reath LLP
1345 Chestnut Street
Philadelphia, PA 19107
This Semi-Annual Report is authorized for distribution to prospective
investors only when preceded or accompanied by a Prospectus which contains
facts concerning the objectives and policies, management expenses and other
information.
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK BOND PORTFOLIO
Yields on securities with two- to 30-year maturities remained relatively
stable, moving only 0.20% to 0.30% higher from the beginning of the fiscal year
to the end. Nevertheless, the interest rate environment during the fiscal year
was volatile, as investors tried to anticipate Federal Reserve activity. Two-
year securities traversed a 1.64% range, and the 30-year Treasury moved in a
1.24% range. The Fed, however, remained on hold after adjusting policy on
January 31, 1996. In this uncertain interest rate environment, investors
continued to reach for yield in their search for incremental return. As a
result, the corporate and mortgage sectors outperformed Treasuries, with the
best performance coming from lower-quality issues.
Before fees, the portfolio provided a marginally higher return than its
benchmark index. The portfolio's interest rate posture was neutral to its
index, which neither added nor detracted from performance. The portfolio's
outperformance was generated through overweightings in non-Treasury sectors
and, in particular, through exposure to surplus notes and perpetual floating
rate notes.
Moving into 1997, we continue to hold a normal interest rate posture. The
current inflation rate continues to make yields attractive from an historical
real yield perspective, though the tight labor market gives us pause. If
meaningful progress is made toward balancing the budget and entitlement reform,
we may become more constructive on the market. While corporate spreads remain
tight by historical standards, we continue to find opportunity to add value and
remain overweighted in the corporate and mortgage sectors.
Mark Wirth, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK BOND
PORTFOLIO VS. THE LEHMAN BROTHERS
GOVERNMENT/CORPORATE BOND INDEX
[PERFORMANCE GRAPH APPEARS HERE]
Bond Portfolio Lehman Brothers Government/Corporate Bond Index
-------------- -----------------------------------------------
1/11/93 $10,000 $10,000
11/30/93 $11,060 $11,052
11/30/94 $10,613 $10,641
11/30/95 $12,900 $12,587
11/30/96 $13,619 $13,291
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Lehman Brothers
Average Annual Total Returns Government/
For Periods Ended Class A Corporate
November 30, 1996: Units Bond Index
- ---------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 5.57% 5.59%
- ---------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 8.26% 7.58%
- ---------------------------------------------------------------------------------------
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
Bond Portfolio Lehman Brothers Government/Corporate Bond Index
-------------- -----------------------------------------------
7/3/95 $10,000 $10,000
11/30/95 $10,608 $10,499
11/30/96 $11,174 $11,086
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Lehman Brothers
Average Annual Total Returns Government/
For Periods Ended Class C Corporate
November 30, 1996: Units Bond Index
- -----------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 5.33% 5.59%
- -----------------------------------------------------------------------------------------
Since Commencement on 7/3/95: 8.17% 7.55%
- -----------------------------------------------------------------------------------------
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
Bond Portfolio Lehman Brothers Government/Corporate Bond Index
-------------- -----------------------------------------------
9/14/94 $10,000 $10,000
11/30/94 $ 9,906 $ 9,891
11/30/95 $11,992 $11,700
11/30/96 $12,612 $12,354
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Lehman Brothers
Average Annual Total Returns Government/
For Periods Ended Class D Corporate
November 30, 1996: Units Bond Index
- ---------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 5.17% 5.59%
- ---------------------------------------------------------------------------------------
Since Commencement on 9/14/94: 11.05% 10.02%
- ---------------------------------------------------------------------------------------
</TABLE>
Units of The Benchmark Funds are not bank deposits or obligations of, or
guaranteed, endorsed or otherwise supported by The Northern Trust Company, its
parent company or its affiliates, and are not federally insured or guaranteed
by the U.S. Government, Federal Deposit Insurance Corporation, Federal Reserve
Board, or any other governmental agency. Investment in the portfolios involves
investment risks, including possible loss of principal amount invested.
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK INTERNATIONAL BOND PORTFOLIO
Total return performance of most non-U.S. bond markets was excellent for the
fiscal year ended November 30, 1996. Economic growth in these countries turned
out to be slower than expected and, as a result, monetary policy remained loose
during the year. In addition inflation was cooperative as it actually declined
in many markets.
The portfolio significantly outperformed its benchmark during the period, due
primarily to its 10% underweighting in the Japanese bond and currency markets.
Of the non-U.S. bond markets, Japan performed the worst during the year, and
the yen fell nearly 11% in value versus the U.S. dollar.
Whenever the dollar increases in value versus other currencies, such as the
yen, the portfolio's nominal return is likely to suffer. However, because the
portfolio was significantly underweighted in Japan throughout the year, we were
able to avoid some of the currency effects caused by the stronger dollar and
weaker yen.
In addition to underweighting the Japanese market, another strategy that
contributed to the portfolio's relative performance was overweighting the
Canadian and Australian markets, both of which performed exceptionally well
compared to other countries.
We recently reduced the portfolio's underweight in Japan and its overweight
in U.S. dollars. Even though the yen may continue to fall further, going
forward, we don't believe it's prudent to take as strong a stand as we did over
the past 12 months. From an overall interest rate sensitivity standpoint, the
portfolio is positioned near neutral versus its benchmark.
Mike Lannan, Portfolio Manager
COMPARISON OF CHANGE IN VALUE
OF $10,000 INVESTMENT IN BENCHMARK INTERNATIONAL BOND PORTFOLIO VS. THE J.P.
MORGAN NON-U.S. GOVERNMENT BOND INDEX
[PERFORMANCE GRAPH APPEARS HERE]
International Bond Portfolio J.P. Morgan Non-U.S. Government Bond Index
---------------------------- ------------------------------------------
3/28/94 $10,000 $10,000
11/30/94 $10,403 $10,521
11/30/95 $12,296 $12,589
11/30/96 $13,461 $13,487
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
J.P.
Morgan
Average Annual Total Returns Non-U.S.
For Periods Ended Class A Government
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 9.47% 7.13%
- -------------------------------------------------------------------------------------------
Since Commencement on 3/28/94: 11.72% 11.80%
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
Diversified Growth Portfolio J.P. Morgan Non-U.S. Government Bond Index
---------------------------- ------------------------------------------
11/20/95 $10,000 $10,000
11/30/95 $ 9,970 $ 9,912
11/30/96 $10,871 $10,619
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
J.P.
Morgan
Average Annual Total Returns Non-U.S.
For Periods Ended Class D Government
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 9.04% 7.13%
- ------------------------------------------------------------------------------------------
Since Commencement on 11/20/95: 8.45% 6.02%
</TABLE>
2
<PAGE>
- --------------------------------------------------------------------------------
THE BENCHMARK SHORT DURATION PORTFOLIO
The portfolio's composition did not change much during the fiscal year ended
November 30, 1996. We continued to invest primarily in asset-backed and other
floating-rate securities, two-year Treasuries and commercial notes. We tended
to favor securities from the bank and finance sectors, as they offered the most
attractive yields without sacrificing quality.
Compared to the three-month LIBOR Index and the 90-day Treasury Bill Index,
the portfolio performed relatively poorly from February through April. However,
during the final three months of the fiscal year, the portfolio recovered
nicely, with its yield surpassing both indices.
The portfolio's duration was approximately 100 days at the beginning of the
fiscal year, peaked at approximately 160 days in June and decreased to
approximately 80 days by year end, reflecting the more defensive nature of the
portfolio.
With the economy continuing to show some strength, future Federal Reserve
actions are uncertain. As such, we expect to maintain a more defensive
position. We feel that the portfolio remains an attractive alternative to money
market funds for those who want to keep their investments in a short-term
strategy for more than three to six months.
Jerry Pearson, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK
SHORT DURATION PORTFOLIO, THE LEHMAN
BROTHERS SHORT (1-3) INVESTMENT
GRADE DEBT INDEX AND THE 3 MONTH
LIBOR INDEX
[PERFORMANCE GRAPH APPEARS HERE]
Short Duration Lehman Brothers Short
Portfolio (1-3) Inv't. Grade Debt Index 3 Month LIBOR Index
-------------- ----------------------------- -------------------
6/2/93 $10,000 $10,000 $10,000
11/30/93 $10,173 $10,294 $10,157
11/30/94 $10,543 $10,422 $10,561
11/30/95 $11,191 $11,608 $11,193
11/30/96 $11,801 $12,362 $11,840
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A Lehman 3 Month
November 30, 1996: Units Brothers LIBOR
<S> <C> <C> <C>
One Year: 5.45% 6.49% 5.60%
- -------------------------------------------------------------------------------------------
Since Commencement on 6/2/93: 4.84% 6.24% 4.94%
</TABLE>
3
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK SHORT-INTERMEDIATE BOND PORTFOLIO
Yields on securities with two- to five-year maturities remained relatively
stable, moving only 0.20% to 0.30% higher from the beginning of the fiscal year
to the end. Nevertheless, the interest rate environment during the fiscal year
was volatile, as investors tried to anticipate Federal Reserve activity. Two-
year securities traversed a 1.64% range, while five-year securities moved in a
1.72% range. The Fed, however, remained on hold after adjusting policy on
January 31, 1996. In this uncertain interest rate environment, investors
continued to reach for yield in their search for incremental return. As a
result, the corporate and mortgage sectors outperformed Treasuries, with the
best performance coming from lower-quality issues.
Before fees, the portfolio provided a marginally higher return than its
benchmark index. The portfolio's interest rate posture was neutral to its
index, which neither added nor detracted from performance. The portfolio's
outperformance was generated through overweightings in non-Treasury sectors.
Moving into 1997, we continue to hold a normal interest rate posture. The
current inflation rate continues to make yields attractive from an historical
real yield perspective, though the tight labor market gives us pause. If
meaningful progress is made toward balancing the budget and entitlement reform,
we may become more constructive on the market. While corporate spreads remain
tight by historical standards, we continue to find opportunity to add value and
remain overweighted in the corporate and mortgage sectors.
Mark Wirth, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK
SHORT-INTERMEDIATE BOND PORTFOLIO VS.
THE MERRILL LYNCH 1-5
CORPORATE/GOVERNMENT INDEX
[PERFORMANCE GRAPH APPEARS HERE]
Short-Intermediate Merrill Lynch 1-5
Bond Portfolio Corporate/Government Index
------------------ --------------------------
1/11/93 $10,000 $10,000
11/30/93 $10,590 $10,641
11/30/94 $10,679 $10,596
11/30/95 $11,916 $11,893
11/30/96 $12,592 $12,582
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Merrill Lynch
Average Annual Total Returns 1-5 Corporate/
For Periods Ended Class A Government
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 5.68% 5.79%
- ------------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 6.10% 6.08%
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
Short-Intermediate Merrill Lynch 1-5
Bond Portfolio Corporate/Government Index
------------------ --------------------------
9/14/94 $10,000 $10,000
11/30/94 $ 9,970 $ 9,928
11/30/95 $11,076 $11,143
11/30/96 $11,654 $11,788
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Merrill Lynch
Average Annual Total Returns 1-5 Corporate/
For Periods Ended Class D Government
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 5.22% 5.79%
- ------------------------------------------------------------------------------------------
Since Commencement on 9/14/94: 7.16% 7.72%
</TABLE>
4
<PAGE>
- --------------------------------------------------------------------------------
THE BENCHMARK U.S. GOVERNMENT SECURITIES PORTFOLIO
A static snapshot of the fiscal year would show short-term government bond
yields rising 0.25% higher during the year, on average. By most measures, this
movement would be considered modest. Nevertheless, this seeming stability does
not serve as an accurate portrayal of the volatility experienced. Two-year
Treasury bonds, for example, traded in a 1.75% range--from 4.75% to 6.50%--
during the fiscal year. Investors moved the market in this sideways fashion
based on ever-changing views of the future economic environment and its impact
on future interest rates. In general, the Federal Reserve was quiet during the
year, as it has not adjusted short-term rates since January 31, 1996.
As we have maintained since April 1996 (when two-year Treasury rates moved
above 6.00%), the current benign inflation outlook makes short-term interest
rates attractive from a "real" return standpoint for long-term investors. Thus,
the portfolio has been in a normal interest rate posture with respect to short-
term government bonds throughout the year, and it has correspondingly earned
market-type returns.
With the portfolio limited to investing in U.S. Treasury, government agency
and government agency mortgage-backed securities, we continually monitor the
agency/Treasury relative value trade-off. While government agency securities do
not typically compensate investors for the liquidity foregone relative to
Treasuries, we have found opportunities in mortgage securities to add
incremental yield with only a minimal level of call risk.
Steve Schafer, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK
U.S. GOVERNMENT SECURITIES PORTFOLIO
VS. THE MERRILL LYNCH 1-5 GOVERNMENT
INDEX
[PERFORMANCE GRAPH APPEARS HERE]
U.S. Government Merrill Lynch 1-5
Securities Portfolio Government Index
-------------------- ------------------
4/5/93 $10,000 $10,000
11/30/93 $10,300 $10,346
11/30/94 $10,241 $10,295
11/30/95 $11,386 $11,538
11/30/96 $11,972 $12,192
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns Merrill Lynch
For Periods Ended Class A 1-5 Government
November 30, 1996: Units Index
<S> <C> <C>
One Year: 5.15% 5.67%
- ------------------------------------------------------------------------------------------
Since Commencement on 4/5/93: 5.04% 5.57%
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
U.S. Government Merrill Lynch 1-5
Securities Portfolio Government Index
-------------------- ------------------
12/29/95 $10,000 $10,000
11/30/96 $10,405 $10,476
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns** Merrill Lynch
For Period Ended Class C 1-5 Government
November 30, 1996: Units Index
<S> <C> <C>
Since Commencement on 12/29/95: 4.05% 4.76%
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
U.S. Government Merrill Lynch 1-5
Securities Portfolio Government Index
-------------------- ------------------
9/15/94 $10,000 $10,000
11/30/94 $ 9,910 $ 9,913
11/30/95 $10,966 $11,110
11/30/96 $11,490 $11,740
Past performance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns Merrill Lynch
For Periods Ended Class D 1-5 Government
November 30, 1996: Units Index
<S> <C> <C>
One Year: 4.77% 5.67%
- ------------------------------------------------------------------------------------------
Since Commencement on 9/15/94: 6.48% 7.53%
</TABLE>
**Average Annual Total Returns are not annualized for periods less than one
year.
5
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK U.S. TREASURY INDEX PORTFOLIO
On average, Treasury yields remained relatively stable from the beginning of
the fiscal year to the end. In between, however, there was significant short-
term volatility, as the ever-changing views on where the economy was headed and
what impact that would have on future interest rates caused yields to go up and
down.
Yields on two-year Treasury bonds, for example, moved in a 1.75% range, while
yields on the 30-year Treasury bond moved in a 1.24% range during the year.
As it is designed to do, the U.S. Treasury Index Portfolio performed in line
with the Lehman Brothers U.S. Treasury Bond Index during the period from
December 1, 1995, to November 30, 1996. We will continue to invest in
securities represented by the Index in our effort to provide returns that
closely approximate those of the Index.
Richard Steck, Portfolio Manager
COMPARISON OF CHANGE IN VALUE
OF $10,000 INVESTMENT IN BENCHMARK U.S. TREASURY INDEX PORTFOLIO VS. THE LEHMAN
BROTHERS U.S. TREASURY BOND INDEX
[PERFORMANCE GRAPH APPEARS HERE]
U.S. Treasury Lehman Brothers U.S.
Index Portfolio Treasury Bond Index
--------------- --------------------
1/11/93 $10,000 $10,000
11/30/93 $10,994 $11,019
11/30/94 $10,576 $10,625
11/30/95 $12,369 $12,473
11/30/96 $13,000 $13,127
Past preformance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns Lehman Brothers
For Periods Ended Class A U.S. Treasury
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 5.10% 5.24%
- ----------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 6.97% 7.24%
</TABLE>
[PERFORMANCE GRAPH APPEARS HERE]
[PLOT POINTS TO COME]
Past preformance is not predictive of future performance.
<TABLE>
<CAPTION>
Average Annual Total Returns Lehman Brothers
For Periods Ended Class D U.S. Treasury
November 30, 1996: Units Bond Index
<S> <C> <C>
One Year: 4.72% 5.24%
- -----------------------------------------------------------------------------------------
Since Commencement on 11/16/94: 10.40% 11.29%
</TABLE>
6
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
7
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Description
- -----------------------------------------------
Principal Maturity
Amount Rate Date Value
- -----------------------------------------------
BOND PORTFOLIO
<C> <C> <S> <C>
ASSET-BACKED SECURITIES--0.2%
AUTOMOTIVE--0.2%
General Motors
Acceptance Corp.
Class A, Series:
1993-B
$ 827 4.000% 09/15/98 $ 819
HOME EQUITY LOANS--0.0%
U.S. Home Equity
Loan, Series: 1991-2
116 8.500 04/15/21 117
- -----------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $941) $ 936
- -----------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--
12.3%
Countrywide Funding
Corp.
Class A4, Series:
1993-1
$13,567 5.321% 10/25/23 $ 12,244
Delta Funding Corp.,
Interest Only
Stripped Security,
Class A-4, Series:
1991-1*
-- -- 01/01/06 202
Donaldson, Lufkin &
Jenrette, Inc.
Mortgage Acceptance
Corp.,
Series 1994-Q8,
Class 2A1
5,752 7.250 05/25/24 5,752
Donaldson, Lufkin &
Jenrette, Inc.
Mortgage Acceptance
Corp.,
Adjustable Rate,
Interest Only
Stripped Security,
Series 1995-QE9*
-- -- 11/25/25 1,698
GE Capital Mortgage
Services Inc.
Class A-23, Series:
1994-10
13,850 6.500 03/25/24 12,160
PaineWebber Mortgage
Acceptance Corp.
Class A15, Series:
1993-9
7,919 7.000 10/25/23 7,848
Prudential Home
Mortgage Securities,
Adjustable Rate,
Interest Only
Stripped Security
Class A-17,
Series: 1993-36*
-- -- 10/25/23 2,972
Class A-18,
Series: 1994-8*
-- -- 03/25/24 1,123
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------------------
<C> <C> <S> <C> <C> <C> <C> <C>
Residential
Funding Mortgage
Securities,
Adjustable Rate,
Interest Only
Stripped Security
Class A-14,
Series: 1993-S22*
$ -- --% 06/25/23 $ 2,140
- -------------------------------------------------------
TOTAL COLLATERALIZED
MORTGAGE OBLIGATIONS (Cost
$46,317) $ 46,139
- -------------------------------------------------------
CORPORATE BONDS--10.9%
BROKERAGE SERVICES--2.5%
Salomon Brothers,
Inc.
$ 9,450 8.000% 03/28/97 $ 9,515
FINANCIAL--1.4%
General Motors
Acceptance Corp.
4,285 8.875 06/01/00 5,119
INSURANCE SERVICES--1.8%
Lumberman's
Mutual Casualty
Co.
6,000 9.150 07/01/26 6,717
RETAIL--2.1%
Penney (J.C.) &
Co., Inc.
7,700 6.900 08/15/03 7,939
SANITARY SERVICES--3.1%
WMX Technologies
11,000 7.100 08/01/03 11,604
- -------------------------------------------------------
TOTAL CORPORATE BONDS (Cost
$38,843) $ 40,894
- -------------------------------------------------------
U.S. GOVERNMENT AGENCIES--
21.9%
COLLATERALIZED MORTGAGE OBLIGA-
TIONS--15.7%
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
INTEREST ONLY STRIPPED SE-
CURITY*--0.0%
Class 1392-S,
Series: 1392
$ -- --% 09/15/18 $ 37
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
PRINCIPAL ONLY STRIPPED
SECURITIES*--4.2%
Class B, Series:
G011
$ 912 -- 04/25/23 632
Class D, Series:
1571
13,511 -- 08/15/23 8,525
Class PD, Series:
1750-C
10,054 -- 03/15/24 6,550
--------
15,707
</TABLE>
See accompanying notes to financial statements.
8
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------
<C> <C> <S> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--5.8%
Class 3-D, Series:
1990-3
$ 953 8.500% 07/25/18 $ 966
Class A, Series:
1996-M4
8,947 7.750 03/17/17 9,216
Class G, Series:
1992-73
7,500 7.500 04/25/21 7,660
Class SA, Series:
1991-127
660 12.661 09/25/98 671
Class SB, Series:
1994-59
6,364 2.880 03/25/24 3,304
--------
21,817
FEDERAL NATIONAL MORTGAGE
ASSOCIATION REMIC TRUST
INTEREST ONLY STRIPPED SE-
CURITY*--0.2%
Class S, Series:
G-12
-- -- 05/25/21 705
FEDERAL NATIONAL MORTGAGE
ASSOCIATION REMIC TRUST
PRINCIPAL ONLY STRIPPED SE-
CURITIES*--5.5%
Class B, Series:
1993-161
$ 4,732 -- 10/25/18 4,504
Class D, Series:
1993-132
1,947 -- 10/25/22 1,082
Class EA, Series:
1993-205
3,150 -- 09/25/23 2,165
Class G, Series:
1994-9
1,999 -- 11/25/23 1,870
Class L, Series:
1993-184
7,585 -- 09/25/23 4,982
Class PR, Series:
1996-14
9,000 -- 01/25/24 6,019
--------
20,622
MORTGAGE-BACKED SECURITIES--
6.2%
FEDERAL HOME LOAN MORTGAGE CORP.--
0.0%
1 6.500 06/01/04 1
GOVERNMENT NATIONAL MORTGAGE ASSOCIA-
TION--6.2%
7,615 8.000 11/15/26 7,852
Series: 2026
8,802 8.000 08/15/26 9,072
5,940 8.000 09/15/26 6,122
--------
23,046
- ----------------------------------------
TOTAL U.S. GOVERNMENT AGEN-
CIES
(Cost $76,677) $ 81,935
- ----------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--43.6%
U.S. TREASURY NOTES--41.4%
$12,310 6.750% 02/28/97 $ 12,352
25,000 5.875 10/31/98 25,125
13,600 6.750 05/31/99 13,942
38,745 6.875 08/31/99 39,901
14,000 7.750 01/31/00 14,807
8,450 5.750 08/15/03 8,363
37,000 7.500 02/15/05 40,486
--------
154,976
U.S. TREASURY BOND--2.2%
7,635 7.125 02/15/23 8,239
- -------------------------------------------
TOTAL U.S. GOVERNMENT OBLI-
GATIONS
(Cost $160,865) $163,215
- -------------------------------------------
FLOATING RATE BANK NOTES--
6.0%
Lloyds Bank PLC
$11,450 6.063% 12/13/96 $ 10,138
National
Westminster Bank
13,800 5.625 02/28/97 12,101
- -------------------------------------------
TOTAL FLOATING RATE BANK
NOTES
(Cost $21,480) $ 22,239
- -------------------------------------------
SHORT-TERM INVESTMENT--4.2%
Berliner Handels und
Frankfurter,
Grand Cayman
$15,853 5.688% 12/02/96 $ 15,853
- -------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $15,853) $ 15,853
- -------------------------------------------
TOTAL INVESTMENTS--99.1%
(Cost $360,976) $371,211
- -------------------------------------------
Other assets, less
liabilities--0.9% 3,201
- -------------------------------------------
NET ASSETS--100.0% $374,412
- -------------------------------------------
- -------------------------------------------
</TABLE>
*At November 30, 1996, effective yields on these securities ranged from
approximately 5.00% to 15.00%. Refer to notes to statements of investments for
a discussion of stripped securities.
See accompanying notes to financial statements.
9
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Local Currency Maturity
Principal Amount Rate Date Value
- ------------------------------------------------------
INTERNATIONAL BOND PORTFOLIO
<C> <C> <S> <C>
DEBT OBLIGATIONS--93.8%
AUSTRALIAN DOLLAR--4.3%
Commonwealth of
Australia
1,580 10.000% 10/15/02 $ 1,471
BELGIAN FRANC--1.9%
Kingdom of Belgium
18,275 7.500 07/29/08 641
BRITISH POUND STERLING--15.0%
Abbey National PLC
825 6.000 08/10/99 1,352
Lloyds Bank PLC
800 7.375 03/11/04 1,302
Treasury of United
Kingdom
1,420 8.000 06/10/03 2,490
-------
5,144
CANADIAN DOLLAR--8.4%
Dominion of Canada
1,075 7.500 12/01/03 880
Province of Ontario
1,050 7.250 09/27/05 826
Province of Quebec
1,325 10.250 10/15/01 1,187
-------
2,893
DANISH KRONE--5.5%
Kingdom of Denmark
10,100 8.000 03/15/06 1,872
FRENCH FRANC--8.9%
Electricite de
France
6,200 8.600 04/09/04 1,416
Republic of France
3,000 8.500 03/12/97 582
4,600 8.250 02/27/04 1,041
-------
3,039
GERMAN MARK--13.6%
Federal Republic of
Germany
1,795 6.250 01/04/24 1,117
LKB Global Bond
1,500 6.000 05/10/99 1,023
</TABLE>
<TABLE>
<CAPTION>
Description
- ----------------------------------------------
Local Currency Maturity
Principal Amount Rate Date Value
- ----------------------------------------------
<C> <C> <S> <C>
Republic of Austria
1,670 8.000% 01/30/02 $ 1,230
Republic of Finland
1,920 5.500 02/09/01 1,289
-------
4,659
ITALIAN LIRA--8.2%
Republic of Italy
4,000,000 8.500 04/01/04 2,808
JAPANESE YEN--13.5%
Asian Development
Bank
90,000 5.000 02/05/03 926
European Bank for
Reconstruction and
Development
95,000 5.875 11/26/99 953
International Bank
for
Reconstruction and
Development
100,000 4.500 03/20/03 1,010
Japan Development
Bank
160,000 6.500 09/20/01 1,721
-------
4,610
NETHERLANDS GUILDER--3.3%
Kingdom of the
Netherlands
1,675 8.500 03/15/01 1,118
SPANISH PESETA--4.1%
Kingdom of Spain
35,000 11.450 08/30/98 294
120,000 11.300 01/15/02 1,120
-------
1,414
SWEDISH KRONA--3.8%
Kingdom of Sweden
7,400 10.250 05/05/03 1,317
UNITED STATES DOLLAR--3.3%
U.S. Treasury Note
1,000 7.875 11/15/04 1,117
- ----------------------------------------------
TOTAL DEBT OBLIGATIONS
(Cost $29,495) $32,103
- ----------------------------------------------
</TABLE>
See accompanying notes to financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- -----------------------------------------------------------
Local Currency Maturity
Principal Amount Rate Date Value
- -----------------------------------------------------------
INTERNATIONAL BOND PORTFOLIO--CONTINUED
<C> <C> <S> <C>
SHORT-TERM INVESTMENT--2.6%
UNITED STATES DOLLAR
Berliner Handels und
Frankfurter,
Grand Cayman
$ 895 5.688% 12/02/96 $ 895
- -----------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost
$895) $ 895
- -----------------------------------------------------------
TOTAL INVESTMENTS--96.4%
(Cost $30,390) $32,998
- -----------------------------------------------------------
Other assets, less liabilities--
3.6% 1,237
- -----------------------------------------------------------
NET ASSETS--100.0% $34,235
- -----------------------------------------------------------
- -----------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
11
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
<C> <C> <S> <C> <C> <C> <C> <C>
SHORT DURATION PORTFOLIO
ASSET-BACKED SECURITY--5.6%
Household Consumer
Loan Trust
Series: 96-2A
$ 2,324 5.545% 08/15/06 $ 2,324
- ------------------------------------------------------
TOTAL ASSET-BACKED SECURITY
(Cost $2,324) $ 2,324
- ------------------------------------------------------
FLOATING RATE NOTES--15.5%
Beneficial Corp.
$ 2,500 5.570% 11/04/99 $ 2,489
Household Finance
Co.
2,500 5.681 11/01/01 2,495
USL Capital Corp.
Series D
1,500 5.705 04/19/99 1,497
- ------------------------------------------------------
TOTAL FLOATING RATE NOTES
(Cost $6,499) $ 6,481
- ------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--6.0%
U.S. Treasury Note
$ 2,500 5.733% 11/15/99 $ 2,512
- ------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $2,511) $ 2,512
- ------------------------------------------------------
COMMERCIAL PAPER--35.6%
ASSET-BACKED SECURITIES--13.5%
Ascot Capital
Corp.
$ 1,000 5.391% 02/10/97 $ 989
Cooperative
Association of
Tractor Dealers
500 5.376 12/10/96 499
Corporate
Receivables Corp.
400 5.317 12/09/96 399
Gotham Funding
Corp.
1,000 5.444 02/05/97 990
Old Line Funding
785 5.373 12/12/96 784
Strategic Asset
Funding Corp.
1,000 5.476 01/31/97 991
Wood Street
Funding Corp.
1,000 5.371 12/10/96 999
-------
5,651
COMMUNICATIONS--2.3%
NYNEX Corp.
1,000 5.375 12/16/96 998
</TABLE>
<TABLE>
<CAPTION>
Description
- --------------------------------------------------
Principal Maturity
Amount Rate Date Value
- --------------------------------------------------
<C> <C> <S> <C> <C> <C> <C>
FOOD AND KINDRED PRODUCTS--
4.8%
Coca-Cola
Enterprises Inc.
$ 1,000 5.466% 12/05/96 $ 999
Thames Asset
Global
Securitization No.
1, Inc.
1,000 5.427 02/18/97 988
-------
1,987
HOLDING AND OTHER INVESTMENT
OFFICES--4.2%
CSW Credit, Inc.
900 5.309 12/04/96 899
400 5.314 12/10/96 399
Enterprise Funding
Corp.
466 5.354 12/13/96 465
-------
1,763
INSURANCE CARRIERS--4.8%
John Hancock
Capital Corp.
2,000 5.291 12/10/96 1,997
MISCELLANEOUS RETAIL--1.0%
Mont Blanc Capital
423 5.366 12/04/96 423
NONDEPOSITORY BUSINESS
CREDIT INSTITUTIONS--2.6%
PHH Corp.
1,000 5.327 12/16/96 999
Transamerica Corp.
100 5.261 12/05/96 100
-------
1,099
TRANSPORTATION--2.4%
General Motors
Acceptance Corp.
1,000 5.747 03/11/97 984
- --------------------------------------------------
TOTAL COMMERCIAL PAPER
(Cost $14,902) $14,902
- --------------------------------------------------
SHORT-TERM INVESTMENTS--15.6%
Federal Home Loan
Mortgage
Association
$ 4,525 5.703% 12/02/96 $ 4,524
Norinchukin Bank
1,000 5.340 12/06/96 1,000
Swiss Bank
1,000 5.520 12/18/96 1,000
- --------------------------------------------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $6,524) $ 6,524
- --------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- --------------------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- --------------------------------------------------------------------
<C> <C> <S> <C>
REPURCHASE AGREEMENTS--23.9%
Bear Stearns & Co., Inc., Dated 11/29/96,
Repurchase Price $10,005
(U.S. Government Securities Colld.)
$10,000 5.680% 12/02/96 $10,000
Donaldson Lufkin & Jenrette Securities, Inc.,
Dated 11/29/96, Repurchase Price $3
(U.S. Government Securities Colld.)
3 5.920% 12/02/96 3
- --------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS
(Cost $10,003) $10,003
- --------------------------------------------------------------------
TOTAL INVESTMENTS--102.2%
(Cost $42,763) $42,746
- --------------------------------------------------------------------
Liabilities, less other assets--(2.2)% (933)
- --------------------------------------------------------------------
NET ASSETS--100.0% $41,813
- --------------------------------------------------------------------
- --------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
13
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Description
- --------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- --------------------------------------------------------
SHORT-INTERMEDIATE BOND PORTFOLIO
ASSET-BACKED SECURITIES--8.2%
AUTOMOTIVE--8.2%
<C> <C> <S> <C>
Olympic Automobile
Receivables Trust
$4,000 5.950% 11/15/99 $4,017
2,627 7.875 07/15/01 2,693
Olympic Automobile
Receivables Trust,
Interest Only
Stripped Security*
-- -- 01/15/99 1,703
Premier Auto Trust
2,222 4.750 02/02/00 2,209
Western Financial
Automobile Loan
Trust
507 4.700 01/01/98 507
1,505 7.100 01/01/00 1,526
- --------------------------------------------------------
TOTAL ASSET-BACKED SECURI-
TIES
(Cost $12,880) $12,655
- --------------------------------------------------------
COLLATERALIZED MORTGAGE
OBLIGATION--1.6%
Donaldson, Lufkin
& Jenrette, Inc.
Mortgage
Acceptance Corp.,
Series 1994-Q8,
Class 2A1
$2,473 7.250% 05/25/24 $ 2,473
- --------------------------------------------------------
TOTAL COLLATERALIZED MORT-
GAGE
OBLIGATION (Cost $2,429) $ 2,473
- --------------------------------------------------------
CORPORATE OBLIGATIONS--9.7%
BROKERAGE SERVICES--7.4%
Donaldson Lufkin &
Jenrette, Inc.
Medium Term Note
$6,500 5.625% 02/15/16 $ 6,353
Salomon Brothers,
Inc. Medium Term
Notes
3,000 5.500 01/31/98 2,987
2,000 5.700 02/11/98 1,995
-------
11,335
FINANCIAL--2.3%
Greyhound
Financial Corp.
3,590 8.250 03/11/97 3,613
- --------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS
(Cost $15,075) $14,948
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- ---------------------------------------
Principal Maturity
Amount Rate Date Value
- ---------------------------------------
<C> <C> <S> <C>
U.S. GOVERNMENT AGENCIES--
9.2%
COLLATERALIZED MORTGAGE OBLIGATIONS
FEDERAL HOME LOAN MORTGAGE
ASSOCIATION
REMIC TRUST PRINCIPAL ON-
LY*--3.3%
Class
BA, Series: 1571
$ 5,472 -- % 04/15/19 $ 5,098
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
REMIC TRUST--4.0%
Class
A, Series: 1996-M4
5,965 7.750 03/17/17 6,144
FEDERAL NATIONAL MORTGAGE
ASSOCIATION
REMIC TRUST PRINCIPAL ON-
LY*--1.9%
Class B, Series:
1993-161
1,183 -- 10/25/18 1,126
Class G, Series:
1994-9
1,999 -- 11/25/23 1,870
--------
2,996
- ---------------------------------------
TOTAL U.S. GOVERNMENT AGEN-
CIES
(Cost $12,738) $ 14,238
- ---------------------------------------
U.S. GOVERNMENT OBLIGA-
TIONS--67.1%
U.S. TREASURY NOTES--67.1%
$ 5,000 5.375% 11/30/97 $ 4,996
7,000 5.625 01/31/98 7,010
12,000 5.125 03/31/98 11,942
8,000 5.375 05/31/98 7,983
2,000 5.125 11/30/98 1,982
26,600 6.750 05/31/99 27,269
13,675 6.875 08/31/99 14,083
18,000 7.750 01/31/00 19,038
4,000 5.500 12/31/00 3,958
4,890 6.625 06/30/01 5,046
- ---------------------------------------
TOTAL U.S. GOVERNMENT OBLI-
GATIONS
(Cost $102,332) $103,307
- ---------------------------------------
SHORT-TERM INVESTMENT--2.3%
Berliner Handels
und Frankfurter,
Grand Cayman
$ 3,537 5.688% 12/02/96 $ 3,537
- ---------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $3,537) $ 3,537
- ---------------------------------------
TOTAL INVESTMENTS--98.1%
(Cost $148,991) $151,158
- ---------------------------------------
Other assets, less other
liabilities--1.9% 2,860
- ---------------------------------------
NET ASSETS--100.0% $154,018
- ---------------------------------------
- ---------------------------------------
</TABLE>
*At November 30, 1996, the effective yields on these securities ranged from
approximately 5.00% to 7.00%. Refer to notes to statements of investments for a
discussion of stripped securities.
See accompanying notes to financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO
U.S. GOVERNMENT AGENCIES--25.0%
COLLATERALIZED MORTGAGE OBLIGATIONS--15.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION--0.8%
<C> <C> <S> <C>
Class F, Series:
1520
$ 750 5.650% 09/15/04 $ 745
FEDERAL NATIONAL MORTGAGE ASSOCIATION--14.2%
Class A, Series:
1996-M4
3,977 7.750 03/17/17 4,096
Class E, Series:
1992-200
1,000 6.250 06/25/17 1,000
Class EZ, Series:
1993-133
3,626 5.850 02/25/17 3,574
Class PD, Series:
1993-085
4,700 5.500 07/25/03 4,678
Class 14-F,
Series: 1988-14
297 9.200 12/25/17 308
-------
13,656
MORTGAGE-BACKED SECURITIES--7.9%
FEDERAL HOME LOAN MORTGAGE CORPORATION--0.6%
594 7.599 11/01/24 605
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--7.3%
6,632 8.000 08/15/26 6,835
179 8.000 11/15/26 184
-------
7,019
AGENCY OBLIGATIONS--2.1%
FEDERAL HOME LOAN MORTGAGE CORPORATION--0.5%
500 7.130 06/30/05 505
TENNESSEE VALLEY AUTHORITY NOTE--1.6%
1,500 6.235 07/15/45 1,524
-------
2,029
- ----------------------------------------------
TOTAL U.S. GOVERNMENT AGEN-
CIES
(Cost $23,881) $24,054
- ----------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--72.3%
U.S. TREASURY NOTES
<C> <C> <S> <C>
$15,000 6.750% 02/28/97 $15,051
18,000 5.500 11/15/98 17,966
7,500 6.750 05/31/99 7,689
15,000 7.750 01/31/00 15,865
12,000 6.125 07/31/00 12,141
715 6.625 06/30/01 738
- ------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $69,274) $69,450
- ------------------------------------------------------
SHORT TERM INVESTMENT--1.3%
Federal Home Loan Bank
Discount Note
$ 1,225 5.700% 12/02/96 $ 1,225
- ------------------------------------------------------
TOTAL SHORT TERM INVESTMENT
(Cost $1,225) $ 1,225
- ------------------------------------------------------
TOTAL INVESTMENTS--98.6%
(Cost $94,380) $94,729
- ------------------------------------------------------
</TABLE>
<TABLE>
<S> <C>
Other assets, less liabilities--1.4% 1,382
- ------------------------------------------------------------------------------
NET ASSETS--100.0% $96,111
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Description
- ------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------
U.S. TREASURY INDEX PORTFOLIO
<C> <C> <S> <C>
U.S. GOVERNMENT OBLIGA-
TIONS--97.4%
U.S. TREASURY NOTES--63.7%
$1,500 5.500% 07/31/97 $ 1,502
1,115 9.250 08/15/98 1,181
6,100 5.000 01/31/99 6,024
1,400 5.500 02/28/99 1,396
2,350 7.875 11/15/99 2,487
2,900 6.375 01/15/00 2,954
1,700 6.250 02/15/03 1,730
-------
17,274
U.S. TREASURY BONDS--32.0%
435 13.875 05/15/11 673
660 14.000 11/15/11 1,040
490 13.250 05/15/14 781
1,000 7.250 05/15/16 1,089
900 8.125 05/15/21 1,078
1,100 6.250 08/15/23 1,067
2,800 6.875 08/15/25 2,954
-------
8,682
U.S. TREASURY INTEREST ONLY
STRIPPED SECURITY*--1.7%
475 -- 08/15/97 458
- ------------------------------------
TOTAL U.S. GOVERNMENT OB-
LIGATIONS
(Cost $25,857) $26,414
- ------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- ------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------
<C> <C> <S> <C>
SHORT TERM INVESTMENT--1.1%
Federal Home
Loan Bank
Discount Note
$ 310 5.700% 12/02/96 $ 310
- ------------------------------------
TOTAL SHORT TERM INVEST-
MENT
(Cost $310) $ 310
- ------------------------------------
TOTAL INVESTMENTS--98.5%
(Cost $26,167) $26,724
- ------------------------------------
Other assets, less liabil-
ities--1.5% 397
- ------------------------------------
NET ASSETS--100.0% $27,121
- ------------------------------------
- ------------------------------------
</TABLE>
*The effective yield on this Interest Only Stripped Security was 5.44% at
November 30, 1996. Refer to notes to statements of investments for a discussion
of stripped securities.
See accompanying notes to financial statements.
16
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
NOTES TO STATEMENTS OF INVESTMENTS
November 30, 1996
- --The percentage shown for each investment category reflects the value of
investments in that category as a percentage of net assets.
- --Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes or, for floating rate securities, the
current reset rate.
- --Stripped securities represent the right to receive either future interest
payments (interest only stripped securities) or principal payments (principal
only stripped securities). The value of variable rate interest only stripped
securities varies directly with changes in interest rates, while the value of
fixed rate interest only stripped securities and the value of principal only
stripped securities varies inversely with changes in interest rates.
17
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
November 30, 1996
(All amounts in thousands, except net asset value per unit)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securi-
ties, at cost $360,976 $30,390 $32,760 $148,991 $94,380 $26,167
Repurchase agreements,
at cost -- -- 10,003 -- -- --
- ----------------------------------------------------------------------------------------------
Investments in securi-
ties, at value $371,211 $32,998 $32,743 $151,158 $94,729 $26,724
Repurchase agreements,
at value -- -- 10,003 -- -- --
Cash 196 141 -- 1,301 7 6
Receivables:
Interest 5,134 1,078 74 1,589 1,387 381
Foreign tax reclaims -- 17 -- -- -- --
Fund units sold 3 -- -- 36 -- --
Administrator 11 5 14 8 6 6
Deferred organization
costs, net 15 37 29 15 18 15
Other assets -- 2 2 -- -- --
- ----------------------------------------------------------------------------------------------
TOTAL ASSETS 376,570 34,278 42,865 154,107 96,147 27,132
- ----------------------------------------------------------------------------------------------
LIABILITIES:
Payable for:
Fund units redeemed 2,027 -- 1,000 30 -- --
Distributions to
unitholders -- -- 25 -- -- --
Accrued expenses:
Advisory fees 76 20 7 32 20 3
Administration fees 30 3 11 13 8 2
Custodian fees 4 5 4 2 2 2
Transfer agent fees 4 -- -- 1 1 --
Other liabilities 17 15 5 11 5 4
- ----------------------------------------------------------------------------------------------
TOTAL LIABILITIES 2,158 43 1,052 89 36 11
- ----------------------------------------------------------------------------------------------
NET ASSETS $374,412 $34,235 $41,813 $154,018 $96,111 $27,121
- ----------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $366,616 $31,072 $42,377 $151,156 $95,994 $27,538
Accumulated undistrib-
uted net investment in-
come -- 31 35 45 75 25
Accumulated net realized
gain (loss) on
investments (2,439) 529 (582) 650 (307) (999)
Net unrealized apprecia-
tion (depreciation) on
investments 10,235 2,608 (17) 2,167 349 557
Net unrealized loss on
translation of other
assets and liabilities
denominated in foreign
currencies -- (5) -- -- -- --
- ----------------------------------------------------------------------------------------------
NET ASSETS $374,412 $34,235 $41,813 $154,018 $96,111 $27,121
- ----------------------------------------------------------------------------------------------
Total units outstanding
(no par value), unlim-
ited units authorized
Class A 17,661 1,543 4,187 7,423 4,602 1,276
Class C 353 -- -- -- 176 --
Class D 11 2 -- 17 11 41
- ----------------------------------------------------------------------------------------------
Net asset value, offer-
ing and redemption price
per unit
Class A $ 20.77 $ 22.16 $ 9.99 $ 20.70 $ 20.07 $ 20.60
Class C $ 20.78 -- -- -- $ 20.06 --
Class D $ 20.76 $ 22.14 -- $ 20.66 $ 20.03 $ 20.57
- ----------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
18
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTEREST INCOME: $22,432 $2,199(a) $2,692 $10,435 $4,897 $1,082
- ---------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,993 288 194 1,011 527 70
Administration fees 575 80 121 353 220 44
Custodian fees 46 67 32 28 20 20
Transfer agent fees 38 3 -- 17 12 2
Registration fees 33 42 8 25 22 20
Professional fees 19 5 6 11 4 4
Trustee fees 12 2 2 7 2 2
Amortization of deferred
organization costs, net 14 17 20 14 13 13
Unitholder Servicing
Fees 7 -- -- -- 5 1
Other 19 2 12 12 8 8
- ---------------------------------------------------------------------------------------------
TOTAL EXPENSES 2,756 506 395 1,478 833 184
Less voluntary waivers
of:
Investment advisory
fees (1,163) (64) (121) (590) (307) (44)
Administration fees (243) (48) -- (184) (132) (26)
Less: Expenses reimburs-
able by Administrator (143) (87) (153) (97) (69) (67)
- ---------------------------------------------------------------------------------------------
Net expenses 1,207 307 121 607 325 47
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 21,225 1,892 2,571 9,828 4,572 1,035
Net realized gains
(losses) on:
Investment transactions 2,094 1,011 29 392 (58) 91
Foreign currency trans-
actions -- (35) -- -- -- --
Net change in unrealized
appreciation
(depreciation) on in-
vestments (3,905) 20 -- (1,308) (201) (239)
Net change in unrealized
gains on translation of
other assets and lia-
bilities denominated in
foreign currencies -- 6 -- -- -- --
- ---------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS RESULTING FROM
OPERATIONS $19,414 $2,894 $2,600 $ 8,912 $4,313 $ 887
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Net of $49 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
19
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended November 30, 1996 and 1995
(All amounts in thousands)
<TABLE>
<CAPTION>
Bond International
Portfolio Bond Portfolio
------------------ ----------------
1996 1995 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 21,225 $ 15,744 $ 1,892 $ 1,898
Net realized gains (losses) on invest-
ments and foreign currency transactions 2,094 1,622 976 731
Net change in unrealized appreciation
(depreciation) on investments (3,905) 34,676 20 2,711
Net change in unrealized gains (losses)
on translations of other assets and li-
abilities denominated in foreign cur-
rencies -- -- 6 (11)
- --------------------------------------------------------------------------------
Net increase in net assets resulting from
operations 19,414 52,042 2,894 5,329
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS A UNITHOLDERS
FROM:
Net investment income (20,213) (15,211) (2,300) (2,605)
Return of capital (556) (347) -- --
- --------------------------------------------------------------------------------
Total distributions to Class A
unitholders (20,769) (15,558) (2,300) (2,605)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS C UNITHOLDERS
FROM:
Net investment income (264) (82) -- --
Return of capital (7) (2) -- --
- --------------------------------------------------------------------------------
Total distributions to Class C
unitholders (271) (84) -- --
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS D UNITHOLDERS
FROM:
Net investment income (8) (4) (1) --
Return of capital (1) -- -- --
- --------------------------------------------------------------------------------
Total distributions to Class D
unitholders (9) (4) (1) --
- --------------------------------------------------------------------------------
CLASS A UNIT TRANSACTIONS:
Proceeds from the sale of units 143,593 65,433 5,918 6,142
Reinvested distributions 18,565 13,688 1,747 2,073
Cost of units redeemed (79,885) (86,462) (6,747) (5,213)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets re-
sulting from Class A unit transactions 82,273 (7,341) 918 3,002
- --------------------------------------------------------------------------------
CLASS C UNIT TRANSACTIONS:
Proceeds from the sale of units 4,311 4,059 -- --
Reinvested distributions 271 84 -- --
Cost of units redeemed (1,032) (574) -- --
- --------------------------------------------------------------------------------
Net increase in net assets resulting from
Class C unit transactions 3,550 3,569 -- --
- --------------------------------------------------------------------------------
CLASS D UNIT TRANSACTIONS:
Proceeds from the sale of units 127 100 41 9
Reinvested distributions 9 4 1 --
Cost of units redeemed (37) (9) -- --
- --------------------------------------------------------------------------------
Net increase in net assets resulting from
Class D unit transactions 99 95 42 9
- --------------------------------------------------------------------------------
Net increase (decrease) 84,287 32,719 1,553 5,735
Net assets--beginning of year 290,125 257,406 32,682 26,947
- --------------------------------------------------------------------------------
NET ASSETS--END OF YEAR $374,412 $290,125 $34,235 $32,682
- --------------------------------------------------------------------------------
UNDISTRIBUTED NET INVESTMENT INCOME: $ -- $ -- $ 31 $ 36
- --------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short-
Short Duration Intermediate U.S. Government U.S. Treasury
Portfolio Bond Portfolio Securities Portfolio Index Portfolio
- ----------------- ------------------ ---------------------- ----------------
1996 1995 1996 1995 1996 1995 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,571 $ 4,196 $ 9,828 $ 6,272 $ 4,572 $ 1,688 $ 1,035 $ 1,675
29 (41) 392 735 (58) 60 91 823
-- 161 (1,308) 6,055 (201) 1,548 (239) 3,234
-- -- -- -- -- -- -- --
- --------------------------------------------------------------------------------
2,600 4,316 8,912 13,062 4,313 3,296 887 5,732
- --------------------------------------------------------------------------------
(2,571) (4,196) (9,596) (6,177) (4,393) (1,644) (1,005) (1,700)
-- -- -- -- -- -- -- --
- --------------------------------------------------------------------------------
(2,571) (4,196) (9,596) (6,177) (4,393) (1,644) (1,005) (1,700)
- --------------------------------------------------------------------------------
-- -- -- -- (159) -- -- --
-- -- -- -- -- -- -- --
- --------------------------------------------------------------------------------
-- -- -- -- (159) -- -- --
- --------------------------------------------------------------------------------
-- -- (3) (1) (9) (2) (26) (4)
-- -- -- -- -- -- -- --
- --------------------------------------------------------------------------------
-- -- (3) (1) (9) (2) (26) (4)
- --------------------------------------------------------------------------------
64,087 48,728 69,730 84,233 104,606 58,790 13,176 14,609
2,425 3,722 8,697 5,697 4,198 1,508 746 1,392
(70,201) (96,900) (82,742) (34,345) (72,555) (30,910) (5,169) (39,656)
- --------------------------------------------------------------------------------
(3,689) (44,450) (4,315) 55,585 36,249 29,388 8,753 (23,655)
- --------------------------------------------------------------------------------
-- -- -- -- 4,695 -- -- --
-- -- -- -- 159 -- -- --
-- -- -- -- (1,298) -- -- --
- --------------------------------------------------------------------------------
-- -- -- -- 3,556 -- -- --
- --------------------------------------------------------------------------------
-- -- 328 12 210 55 592 281
-- -- 3 -- 8 2 26 4
-- -- (2) -- (60) (5) (66) (3)
- --------------------------------------------------------------------------------
-- -- 329 12 158 52 552 282
- --------------------------------------------------------------------------------
(3,660) (44,330) (4,673) 62,481 39,715 31,090 9,161 (19,345)
45,473 89,803 158,691 96,210 56,396 25,306 17,960 37,305
- --------------------------------------------------------------------------------
$41,813 $45,473 $154,018 $158,691 $ 96,111 $ 56,396 $27,121 $17,960
- --------------------------------------------------------------------------------
$ 35 $ 35 $ 45 $ 206 $ 75 $ 75 $ 25 $ 21
- --------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Bond Portfolio
------------------------------------------------------------------------------------
Class A Class C Class D
--------------------------------------- ---------------- --------------------------
1996 1995 1994 1993 (a) 1996 1995 (b) 1996 1995 1994 (c)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.96 $ 18.29 $ 20.70 $ 20.00 $20.96 $20.21 $ 20.94 $ 18.29 $18.74
Income (loss) from in-
vestment operations:
Net investment income 1.29 1.17 1.42 1.42 1.25 0.47 1.22 1.08 0.28
Net realized and
unrealized gain (loss)
on investments (0.19) 2.66 (2.21) 0.66 (0.18) 0.74 (0.18) 2.66 (0.45)
- ---------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment
operations 1.10 3.83 (0.79) 2.08 1.07 1.21 1.04 3.74 (0.17)
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (1.26) (1.14) (1.46) (1.38) (1.22) (0.45) (1.19) (1.09) (0.28)
Net realized gain on
investments -- -- (0.15) -- -- -- -- -- --
Return of capital (.03) (0.02) (0.01) -- (.03) (0.01) (.03) -- --
- ---------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.29) (1.16) (1.62) (1.38) (1.25) (0.46) (1.22) (1.09) (0.28)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.19) 2.67 (2.41) 0.70 (0.18) 0.75 (0.18) 2.65 (0.45)
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.77 $ 20.96 $ 18.29 $ 20.70 $20.78 $20.96 $ 20.76 $ 20.94 $18.29
- ---------------------------------------------------------------------------------------------------------------
Total return (d) 5.57% 21.55% (4.04)% 10.60% 5.33% 6.08% 5.17% 21.06% (0.94)%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and
reimbursements 0.36% 0.36% 0.36% 0.36% 0.60% 0.60% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and
reimbursements 0.84% 0.84% 0.87% 0.92% 1.08% 1.08% 1.23% 1.23% 1.26%
Net investment income,
net of waivers and re-
imbursements 6.39% 5.94% 7.31% 7.84% 6.09% 5.59% 5.99% 5.48% 6.31%
Net investment income,
before waivers and re-
imbursements 5.91% 5.46% 6.80% 7.28% 5.61% 5.11% 5.51% 5.00% 5.80%
Portfolio turnover rate 101.38% 74.19% 103.09% 89.06% 101.38% 74.19% 101.38% 74.19% 103.09%
Net assets at end of pe-
riod (in
thousands) $366,850 $286,301 $257,391 $245,112 $7,342 $3,704 $ 220 $ 120 $ 15
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class C units were issued on July 3, 1995.
(c) Class D units were issued on September 14, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
See accompanying notes to financial statements.
22
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International Bond Portfolio Short Duration Portfolio
-------------------------------------------- -------------------------------------
Class A Class D Class A
-------------------------- ---------------- -------------------------------------
1996 1995 1994 (a) 1996 1995 (b) 1996 1995 1994 1993 (c)
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 21.74 $ 19.93 $ 20.00 $21.74 $22.17 $ 9.99 $ 9.97 $ 10.03 $ 10.00
Income (loss) from
investment operations:
Net investment income 1.54 1.26 0.79 1.37 0.02 0.53 0.59 0.40 0.14
Net realized and
unrealized gain (loss)
on investments and
foreign currency
transactions 0.43 2.28 0.01 0.51 (0.08) -- 0.01 (0.05) 0.03
- --------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.97 3.54 0.80 1.88 (0.06) 0.53 0.60 0.35 0.17
- --------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
(d) (1.55) (1.73) (0.87) (1.48) (0.37) (0.53) (0.58) (0.40) (0.14)
Net realized gain on
investments
transactions -- -- -- -- -- -- -- (0.01) --
- --------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.55) (1.73) (0.87) (1.48) (0.37) (0.53) (0.58) (0.41) (0.14)
- --------------------------------------------------------------------------------------------------------------
Net increase (decrease) 0.42 1.81 (0.07) 0.40 (0.43) -- 0.02 (0.06) 0.03
- --------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 22.16 $ 21.74 $ 19.93 $22.14 $21.74 $ 9.99 $ 9.99 $ 9.97 $ 10.03
- --------------------------------------------------------------------------------------------------------------
Total return (e) 9.47% 18.20% 4.03% 9.04% (0.30)% 5.45% 6.14% 3.64% 1.73%
Ratio to average net as-
sets of (f):
Expenses, net of
waivers and
reimbursements 0.96% 0.96% 0.96% 1.35% 1.35% 0.25% 0.25% 0.25% 0.32%
Expenses, before
waivers and
reimbursements 1.58% 1.47% 1.49% 1.97% 1.86% 0.81% 0.80% 0.77% 0.50%
Net investment income,
net of waivers and
reimbursements 5.91% 5.92% 5.93% 5.67% 3.26% 5.30% 5.80% 3.93% 3.00%
Net investment income,
before waivers and re-
imbursements 5.29% 5.41% 5.40% 5.05% 2.75% 4.74% 5.25% 3.41% 2.82%
Portfolio turnover rate 33.89% 54.46% 88.65% 33.89% 54.46% 828.58% 1,272.21% 1,364.00% 434.32%
Net assets at end of
period (in thousands) $34,183 $32,673 $26,947 $ 52 $ 9 $41,813 $ 45,473 $ 89,803 $186,765
- --------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 20, 1995.
(c) Commenced investment operations on June 2, 1993.
(d) For the International Bond Portfolio, distributions to unitholders from
net investment income include amounts relating to foreign currency
transactions which are treated as ordinary income for Federal income tax
purposes.
(e) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(f) Annualized for periods less than a full year.
See accompanying notes to financial statements.
23
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Short-Intermediate Bond Portfolio
---------------------------------------------------------------
Class A Class D
------------------------------------- ------------------------
1996 1995 1994 1993 (a) 1996 1995 1994 (b)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.73 $ 19.53 $ 20.33 $ 20.00 $20.71 $19.53 $19.82
Income (loss) from in-
vestment operations:
Net investment income 1.14 1.02 0.97 0.85 1.07 0.94 0.23
Net realized and
unrealized gain (loss)
on investments (0.01) 1.19 (0.80) 0.31 (0.02) 1.18 (0.29)
- ------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.13 2.21 0.17 1.16 1.05 2.12 (0.06)
- ------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (1.16) (1.01) (0.97) (0.83) (1.10) (0.94) (0.23)
- ------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.16) (1.01) (0.97) (0.83) (1.10) (0.94) (0.23)
- ------------------------------------------------------------------------------------------
Net increase (decrease) (0.03) 1.20 (0.80) 0.33 (0.05) 1.18 (0.29)
- ------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.70 $ 20.73 $ 19.53 $ 20.33 $20.66 $20.71 $19.53
- ------------------------------------------------------------------------------------------
Total return (c) 5.68% 11.58% 0.84% 5.90% 5.22% 11.09% (0.30)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.36% 0.36% 0.36% 0.36% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and reimbursements 0.88% 0.91% 0.95% 1.00% 1.27% 1.30% 1.34%
Net investment income,
net of waivers and re-
imbursements 5.83% 5.14% 4.84% 4.79% 4.96% 4.85% 4.42%
Net investment income,
before waivers and re-
imbursements 5.31% 4.59% 4.25% 4.15% 4.44% 4.30% 3.83%
Portfolio turnover rate 47.68% 54.68% 48.67% 19.48% 47.68% 54.68% 48.67%
Net assets at end of pe-
riod (in thousands) $153,675 $158,678 $96,209 $107,550 $ 343 $ 13 $ 1
- ------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
24
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Securities Portfolio
-------------------------------------------------------------------------
Class A Class C Class D
----------------------------------- -------- --------------------------
1996 1995 1994 1993 (a) 1996 (b) 1996 1995 1994 (c)
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.08 $ 19.05 $ 20.07 $ 20.00 $ 20.13 $ 20.04 $ 19.05 $19.43
Income (loss) from in-
vestment operations:
Net investment income 1.02 1.05 0.91 0.55 0.91 0.96 0.96 0.22
Net realized and
unrealized gain (loss)
on investments (0.01) 1.02 (1.02) 0.05 (0.12) (0.03) 1.00 (0.38)
- ----------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.01 2.07 (0.11) 0.60 0.79 0.93 1.96 (0.16)
- ----------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (1.02) (1.04) (0.91) (0.53) (0.86) (0.94) (0.97) (0.22)
- ----------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.02) (1.04) (0.91) (0.53) (0.86) (0.94) (0.97) (0.22)
- ----------------------------------------------------------------------------------------------------
Net increase (decrease) (0.01) 1.03 (1.02) 0.07 (0.07) (0.01) 0.99 (0.38)
- ----------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.07 $ 20.08 $ 19.05 $ 20.07 $ 20.06 $ 20.03 $ 20.04 $19.05
- ----------------------------------------------------------------------------------------------------
Total return (d) 5.15% 11.18% (0.57)% 3.00% 4.05% 4.77% 10.66% (0.90)%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.36% 0.36% 0.36% 0.43% 0.60% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and reimbursements 0.94% 1.09% 1.12% 1.18% 1.18% 1.33% 1.48% 1.51%
Net investment income,
net of waivers and
reimbursements 5.22% 5.43% 4.62% 4.18% 4.97% 4.83% 5.08% 4.65%
Net investment income,
before waivers and
reimbursements 4.64% 4.70% 3.86% 3.43% 4.39% 4.25% 4.35% 3.89%
Portfolio turnover rate 119.75% 141.14% 45.55% 20.59% 119.75% 119.75% 141.14% 45.55%
Net assets at end of pe-
riod (in thousands) $92,351 $56,329 $25,293 $32,479 $ 3,535 $ 225 $ 67 $ 13
- ----------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on April 5, 1993.
(b) Class C units were issued on December 29, 1995.
(c) Class D units were issued on September 15, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
See accompanying notes to financial statements.
25
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
U.S. Treasury Index Portfolio
------------------------------------------------------------
Class A Class D
----------------------------------- -----------------------
1996 1995 1994 1993(a) 1996 1995 1994(b)
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.78 $ 18.77 $ 21.05 $ 20.00 $20.75 $18.77 $18.80
Income (loss) from in-
vestment operations:
Net investment income 1.19 1.11 1.15 0.95 1.17 1.00 0.09
Net realized and
unrealized gain (loss)
on investments (0.18) 2.01 (1.93) 1.02 (0.24) 2.03 (0.03)
- --------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.01 3.12 (0.78) 1.97 0.93 3.03 0.06
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (1.19) (1.11) (1.14) (0.92) (1.11) (1.05) (0.09)
Net realized gain on
investments -- -- (0.36) -- -- -- --
- --------------------------------------------------------------------------------------
Total distributions to
unitholders (1.19) (1.11) (1.50) (0.92) (1.11) (1.05) (0.09)
- --------------------------------------------------------------------------------------
Net increase (decrease) (0.18) 2.01 (2.28) 1.05 (0.18) 1.98 (0.03)
- --------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.60 $ 20.78 $ 18.77 $ 21.05 $20.57 $20.75 $18.77
- --------------------------------------------------------------------------------------
Total return (c) 5.10% 16.95% (3.80)% 9.94% 4.72% 16.43% 0.37%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.26% 0.26% 0.26% 0.26% 0.65% 0.65% 0.65%
Expenses, before waiv-
ers and reimbursements 1.04% 0.89% 0.79% 0.83% 1.43% 1.28% 1.18%
Net investment income,
net of waivers and re-
imbursements 5.93% 5.09% 5.60% 5.11% 5.57% 5.41% 6.05%
Net investment income,
before waivers and re-
imbursements 5.15% 4.46% 5.07% 4.54% 4.79% 4.78% 5.52%
Portfolio turnover rate 42.49% 80.36% 52.80% 77.75% 42.49% 80.36% 52.80%
Net assets at end of pe-
riod (in thousands) $26,273 $17,674 $37,305 $71,456 $ 848 $ 286 $ --
- --------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
26
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
November 30, 1996
1. ORGANIZATION
The Benchmark Funds (the "Trust") is a Massachusetts business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end
management investment company. The Trust includes sixteen portfolios, each
with its own investment objective. The Northern Trust Company ("Northern")
acts as the Trust's investment adviser, transfer agent, and custodian.
Goldman, Sachs & Co. ("Goldman Sachs") acts as the Trust's administrator and
distributor. Presented herein are the financial statements of the fixed income
portfolios (the "Portfolios").
The Bond, International Bond, Short-Intermediate Bond, U.S. Government
Securities, and U.S. Treasury Index Portfolios may issue four separate unit
classes: Class A, B, C and D. Each class is distinguished by the level of
administrative support and transfer agent service provided. As of November 30,
1996, Class A, Class C and Class D units are outstanding for certain
portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
These policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates and assumptions.
(a) Investment Valuation
Investments held by a portfolio are valued at the last quoted sale price on
the exchange on which such securities are primarily traded, or if any
securities are not traded on a valuation date, at the last quoted bid price.
Securities which are traded in the over-the-counter markets are valued at the
last quoted bid price. Any securities, including restricted securities, for
which current quotations are not readily available are valued at fair value as
determined in good faith by Northern under the supervision of the Board of
Trustees ("Board"). Short-term investments are valued at amortized cost which
Northern has determined, pursuant to Board authorization, approximates market
value.
(b) Repurchase Agreements
During the term of a repurchase agreement, the market value of the underlying
collateral, including accrued interest, is required to exceed the market value
of the repurchase agreement. The underlying collateral for all repurchase
agreements is held in a customer-only account of Northern, as custodian for
the Trust, at the Federal Reserve Bank of Chicago.
(c) Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into
U.S. dollars using the spot market rate of exchange at the time of valuation.
Cost of purchases and proceeds from sales of investments and interest income
are translated into U.S. dollars using the spot market rate of exchange
prevailing on the respective dates of such transactions.
The gains or losses on investments resulting from changes in foreign exchange
rates are included with net realized and unrealized gain (loss) on
investments.
(d) Investment Transactions and Investment Income
Investment transactions are recorded on the trade date. Realized gains and
losses on investment transactions are calculated on the identified-cost basis.
Interest income is recorded on the accrual basis and includes amortization of
discounts and premiums.
(e) Forward Foreign Currency Exchange Contracts
The International Bond Portfolio is authorized to enter into forward foreign
currency exchange contracts for the
27
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
November 30, 1996
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
purchase or sale of a specific foreign currency at a fixed price on a future
date as a hedge or cross-hedge against either specific transactions or
portfolio positions. In addition, the International Bond Portfolio may enter
into foreign currency contracts for speculative purposes. The objective of the
Portfolio's foreign currency hedging transactions is to reduce the risk that
the U.S. dollar value of the Portfolio's foreign currency denominated
securities will decline in value due to changes in foreign currency exchange
rates. All forward foreign currency contracts are "marked-to-market" daily at
the applicable translation rates and any resulting unrealized gains or losses
are recorded in the financial statements. The portfolio records realized gains
or losses when the forward contract is offset by entry into a closing
transaction or extinguished by delivery of the currency. Risks may arise upon
entering into these contracts from the potential inability of counterparties
to meet the terms of their contracts and from unanticipated movements in the
value of a foreign currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
(f) Federal Taxes
It is each portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all of its taxable income and capital gains to its
unitholders. Therefore, no provision is made for federal taxes.
At November 30, 1996, the Trust's most recent tax year end, the portfolios
had approximately the following amounts of capital loss carryforwards for U.S.
federal tax purposes:
<TABLE>
<CAPTION>
Amount Year(s) of Expiration
- ----------------------------------------------------------------
(in thousands)
<S> <C> <C>
Bond $1,398 2002 to 2003
Short Duration 581 2002 to 2003
U.S. Government Securities 168 2001 to 2003
U.S. Treasury Index 979 2002
</TABLE>
- -------------------------------------------------------------------------------
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
(g) Deferred Organization Costs
Organization related costs are being amortized on a straight-line basis over
five years.
(h) Expenses
Expenses arising in connection with a specific portfolio are allocated to that
portfolio. Certain expenses arising in connection with a class of units are
allocated to that class of units. Expenses incurred which do not specifically
relate to an individual portfolio are allocated among the portfolios based on
each portfolio's relative net assets.
(i) Distributions
Dividends from net investment income are declared and paid as follows:
<TABLE>
<CAPTION>
Declared Paid
- -----------------------------------------------
<S> <C> <C>
Bond Monthly Monthly
International Bond Quarterly Quarterly
Short Duration Daily Monthly
Short-Intermediate Bond Monthly Monthly
U.S. Government Securities Monthly Monthly
U.S. Treasury Index Monthly Monthly
- -----------------------------------------------
</TABLE>
Each portfolio's net realized capital gains are distributed at least
annually.
28
<PAGE>
- -------------------------------------------------------------------------------
Income dividends and capital gains distributions are determined in accordance
with income tax regulations. Such amounts may differ from income and capital
gains recorded in accordance with generally accepted accounting principles.
Distributions of short-term and long-term capital gains were declared and
paid December 24, 1996 to unitholders of record on December 23, 1996, as
follows:
<TABLE>
<CAPTION>
Short-Term Long-Term
Capital Capital
Gain Gain Total
- -----------------------------------------------------
<S> <C> <C> <C>
International Bond $0.0872 $0.2491 $0.3363
Short-Intermediate Bond 0.0123 0.0426 0.0549
- -----------------------------------------------------
</TABLE>
(j) Reclassifications
At November 30, 1996, the Bond Portfolio reclassified approximately $740,000
from accumulated net realized loss on investment transactions to undistributed
net investment income. The International Bond Portfolio reclassified
approximately $439,000 from accumulated net realized gain (loss) on investment
transactions, and $35,000 from net realized loss on foreign currency
transactions, to accumulated undistributed net investment income. The Short-
Intermediate Bond Portfolio reclassified approximately $390,000 from
accumulated net realized gain (loss) on investment transactions to
undistributed net investment income, and the U.S. Government Securities
Portfolio reclassified approximately $11,000 from accumulated net realized
gain (loss) on investment transactions to undistributed net investment income.
These reclassifications had no impact on the net asset value of the Portfolios
and are designed to present the Portfolios' capital accounts on a tax basis.
3. ADVISORY, TRANSFER AGENCY AND CUSTODIAN AGREEMENTS
The Trust has an investment advisory agreement with Northern whereby each
portfolio pays Northern a fee, computed daily and payable monthly, based on a
specified percentage of its average daily net assets. For the current fiscal
year, Northern voluntarily agreed to waive a portion of the advisory fees as
shown on the accompanying Statements of Operations. The annual advisory fees
and waiver rates, expressed as a percentage of average daily net assets for
the year ended November 30, 1996, are as follows:
<TABLE>
<CAPTION>
Net
Advisory Less: Advisory
Fee Waiver Fee
- ----------------------------------------------------
<S> <C> <C> <C>
Bond .60% .35% .25%
International Bond .90 .20 .70
Short Duration .40 .25 .15
Short-Intermediate Bond .60 .35 .25
U.S. Government Securities .60 .35 .25
U.S. Treasury Index .40 .25 .15
- ----------------------------------------------------
</TABLE>
As compensation for the services rendered as transfer agent, including the
assumption by Northern of the expenses related thereto, Northern receives a
fee, computed daily and payable monthly, at an annual rate of .01%, .05%,
.10%, and .15% of the average daily net asset value of the outstanding Class
A, B, C and D units, respectively, for the Bond, International Bond, Short-
Intermediate Bond, U.S. Government Securities and U.S. Treasury Index
Portfolios.
As compensation for the services rendered as custodian for the portfolios,
and for the services rendered as transfer agent for the Short Duration
Portfolio, including the assumption by Northern of the expenses related
thereto, Northern receives compensation based on a pre-determined schedule of
charges approved by the Board.
4. ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust has an administration agreement with Goldman Sachs whereby each
portfolio pays the Administrator a fee, computed daily and payable monthly,
based on the average net assets of each portfolio at the rates set forth
below:
29
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
November 30, 1996
<TABLE>
<CAPTION>
Average net assets Rate
- ---------------------------------------
<S> <C>
For the first $100,000,000 .250%
For the next $200,000,000 .150
For the next $450,000,000 .075
For net assets over $750,000,000 .050
- ---------------------------------------
</TABLE>
For the current fiscal year, Goldman Sachs voluntarily agreed to limit
administration fees to .10% of average daily net assets for the Bond,
International Bond, Short-Intermediate Bond, U.S. Government Securities and
U.S. Treasury Index Portfolios. In addition, Goldman Sachs agreed to waive a
portion of its administrative fees should overall administration fees earned
during the preceding year exceed certain specified levels. No waiver was
required under this agreement during the year ended November 30, 1996.
Furthermore, Goldman Sachs has agreed to reimburse each portfolio for certain
expenses in the event that such expenses, as defined, exceed on an annualized
basis .10% of the average daily net assets for the Bond, Short-Intermediate
Bond, Short Duration, U.S. Government Securities and U.S. Treasury Index
Portfolios and .25% of the average daily net assets for the International Bond
Portfolio.
The administration fees waived and expenses reimbursed during the year ended
November 30, 1996, are shown on the accompanying Statements of Operations.
Goldman Sachs receives no compensation under the distribution agreement.
5. UNITHOLDER SERVICING PLAN
The Trust has adopted a Unitholder Servicing Plan pursuant to which the Trust
may enter into agreements with institutions or other financial intermediaries
under which they will render certain unitholder administrative support
services for their customers or other investors who beneficially own Class B,
C and D units. As compensation under the Unitholder Servicing Plan, the
institution or other financial intermediary receives a fee at an annual rate
of up to .10%, .15% and .25% of the average daily net asset value of the
outstanding Class B, C and D units, respectively.
6. INVESTMENT TRANSACTIONS
Investment transactions for the year ended November 30, 1996 (excluding short-
term investments) were as follows:
<TABLE>
<CAPTION>
Proceeds
from sales Proceeds
and from sales
Purchases maturities and
of U.S. Purchases of U.S. maturities
Government of other Government of other
Obligations securities Obligations securities
- ------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $299,522 $95,138 $230,507 $62,706
International Bond -- 10,260 -- 10,601
Short Duration 49,240 36,941 51,720 38,111
Short-Intermediate Bond 62,699 12,135 62,188 13,881
U.S.Government Securities 136,302 -- 95,525 --
U.S. Treasury Index 16,514 -- 7,346 --
- ------------------------------------------------------------------------
</TABLE>
As of November 30, 1996, the composition of unrealized appreciation
(depreciation) of investment securities (including the effects of foreign
currency translation) based on the aggregate cost of investments for federal
income tax purposes were as follows:
<TABLE>
<CAPTION>
Cost for
Federal
Net Income
Appreciation Tax
Appreciation Depreciation (Depreciation) Purposes
- -----------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $12,054 $2,860 $9,194 $362,017
International Bond 2,935 327 2,608 30,390
Short Duration 2 19 (17) 42,763
Short-Intermediate Bond 2,687 520 2,167 148,991
U.S. Government Securities 655 433 222 94,507
U.S. Treasury Index 571 14 557 26,167
- -----------------------------------------------------------------------------
</TABLE>
30
<PAGE>
- -------------------------------------------------------------------------------
7. BANK LOANS
The Trust maintains a $5,000,000 revolving bank credit line and a $15,000,000
conditional revolving credit line for liquidity and other purposes. Borrowings
under this arrangement bear interest at 1% above the Fed Funds rate and are
secured by pledged securities equal to or exceeding 120% of the outstanding
balance.
Interest expense for the year ended November 30, 1996 was approximately
$1,000 for the International Bond Portfolio. This amount is included in other
expenses on the Statements of Operations.
As of November 30, 1996, there were no outstanding borrowings.
8. UNIT TRANSACTIONS
Transactions in Class A units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- ----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 7,010 910 3,920 4,000
International Bond 272 81 313 40
Short Duration 6,424 243 7,034 (367)
Short-Intermediate Bond 3,372 424 4,028 (232)
U.S. Government Securities 5,223 211 3,637 1,797
U.S. Treasury
Index 642 37 254 425
- ----------------------------------------------------------------------
</TABLE>
Transactions in Class A units for the year ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- ----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 3,353 696 4,459 (410)
International Bond 297 97 243 151
Short Duration 4,868 388 9,707 (4,451)
Short-Intermediate Bond 4,158 285 1,714 2,729
U.S. Government Securities 2,965 77 1,564 1,478
U.S. Treasury
Index 748 70 1,953 (1,135)
- ----------------------------------------------------------------------
</TABLE>
Transactions in Class C units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- -------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 214 13 51 176
U.S.Government Securities 234 8 66 176
- -------------------------------------------------------------------
</TABLE>
Transactions in Class C units for the period ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- ----------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 201 4 28 177
- ----------------------------------------------
</TABLE>
Transactions in Class D units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- --------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 6 -- 1 5
International Bond 1 -- -- 1
Short-Intermediate Bond 16 -- -- 16
U.S. Government Securities 10 1 3 8
U.S. Treasury Index 29 1 3 27
- --------------------------------------------------------------------
</TABLE>
Transactions in Class D units for the period ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- ---------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 5 -- -- 5
International Bond 1 -- -- 1
U.S. Government Securities 3 -- 1 2
U.S. Treasury Index 13 -- -- 13
- ---------------------------------------------------------------------
</TABLE>
31
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS
To the Unitholders and Trustees of
The Benchmark Funds
Fixed Income Portfolios
We have audited the accompanying statements of assets and liabilities,
including the statements of investments, of the Bond, International Bond,
Short Duration, Short-Intermediate Bond, U.S. Government Securities and U.S.
Treasury Index Portfolios, comprising the Fixed Income Portfolios of The
Benchmark Funds, as of November 30, 1996, and the related statements of
operations for the year then ended and changes in net assets for each of the
two years in the period then ended and financial highlights for the periods
indicated therein. These financial statements and financial highlights are the
responsibility of the Funds' 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 the
investments owned at November 30, 1996 by physical examination of the
securities held by the custodian and by correspondence with outside
depositories and brokers. 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, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Bond, International Bond, Short Duration, Short-Intermediate Bond, U.S.
Government Securities and U.S. Treasury Index Portfolios, comprising the Fixed
Income Portfolios of The Benchmark Funds, at November 30, 1996, the results of
their operations for the year then ended and the changes in their net assets
for each of the two years in the period then ended and financial highlights
for the periods indicated therein, in conformity with generally accepted
accounting principles.
/s/ Ernst & Young LLP
Chicago, Illinois
January 21, 1997
32
<PAGE>
THE BENCHMARK FUNDS
Investment Adviser, Transfer Agent and Custodian
The Northern Trust Company
50 S. LaSalle Street
Chicago, IL 60675
Administrator and Distributor
Goldman, Sachs & Co.
4900 Sears Tower
Chicago, IL 60606
Trustees
William H. Springer, Chairman
Edward J. Condon, Jr.
John W. English
James J. Gavin, Jr.
Frederick T. Kelsey
Richard P. Strubel
Officers
Paul W. Klug, Jr., President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Independent Auditors
Ernst & Young LLP
233 S. Wacker Dr.
Chicago, IL 60606
Legal Counsel
Drinker Biddle & Reath
1345 Chestnut Street
Philadelphia, PA 19107
This Annual Report is
authorized for distribution to
prospective investors only
when preceded or accompanied
by a Prospectus which contains
facts concerning the
objectives and policies,
management, expenses and other
information.
The
Benchmark
Funds
Fixed
Income
Portfolios
Annual Report
November 30, 1996
<PAGE>
APPENDIX A
DESCRIPTION OF BOND RATINGS
The following summarizes the highest six ratings used by Standard & Poor's
Ratings Group, Inc., a division of McGraw Hill ("S&P") for corporate and
municipal debt:
AAA: Debt rated AAA has the highest rating assigned by S&P. Capacity to
pay interest and repay principal is extremely strong.
AA: Debt rated AA has a very strong capacity to pay interest and repay
principal and differs from AAA issues only in a small degree.
A: Debt rated A has a strong capacity to pay interest and repay principal
although it is somewhat more susceptible to the adverse effects of changes
in circumstances and economic conditions than debt in higher rated
categories.
BBB: Debt rated BBB is regarded as having an adequate capacity to pay
interest and repay principal. Whereas such issues normally exhibits
adequate protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for debt in this category than for those in
higher rated categories.
BB AND B: Debt rated BB and B is regarded, on balance, as predominantly
speculative with respect to capacity to pay interest and repay principal in
accordance with the terms of the obligation. Debt rated BB has less near-
term vulnerability to default than other speculative issues. However, it
faces major ongoing uncertainties or exposure to adverse business,
financial, or economic conditions which could lead to inadequate capacity
to meet timely interest and principal payments. Debt rated B has a greater
vulnerability to default but currently has the capacity to meet interest
payments and principal repayments. Adverse business, financial, or
economic conditions will likely impair capacity or willingness to pay
interest and repay principal. The B rating category is also used for debt
subordinated to senior debt that is assigned an actual or implied BB or BB-
rating.
To provide more detailed indications of credit quality, the ratings AA and lower
may be modified by the addition of a plus or minus sign to show relative
standing within these major rating categories.
1-A
<PAGE>
S&P may attach the rating "r" to highlight derivative, hybrid and certain other
obligations that S&P believes may experience high volatility or high variability
in expected returns due to non-credit risks.
The following summarizes the highest six ratings used by Moody's Investors
Service, Inc. ("Moody's") for corporate and municipal long-term debt:
AAA: Bonds that are rated Aaa are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred to
as "gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be visualized
are most unlikely to impair the fundamentally strong position of such
issues.
AA: Bonds that are rated Aa are judged to be of high quality by all
standards. Together with the Aaa group they comprise what are generally
known as high grade bonds. They are rated lower than the best bonds
because margins of protection may not be as large as in Aaa securities or
fluctuation of protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks appear somewhat
larger than in Aaa securities.
A: Bonds that are rated A possess many favorable investment attributes and
are to be considered upper medium grade obligations. Factors giving
security to principal and interest are considered adequate, but elements
may be present which suggest a susceptibility to impairment sometime in the
future.
BAA: Bonds that are rated Baa are considered medium grade obligations,
i.e., they are neither highly protected nor poorly secured. Interest
payments and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically unreliable
over any great length of time. Such bonds lack outstanding investment
characteristics and in fact have speculative characteristics as well.
BA AND B: Bonds that possess one of these ratings provide questionable
protection of interest and principal. Ba indicates some speculative
elements. B indicates a general lack of characteristics of desirable
investment.
The foregoing ratings for corporate and municipal long-term debt are sometimes
presented in parenthesis preceded with a "con" indicating the bonds are rated
conditionally. Such parenthetical
2-A
<PAGE>
rating denotes the probable credit stature upon completion of some act or the
fulfillment of some condition. The notation (P) when applied to forward delivery
bonds indicates that the rating is provisional pending delivery of the bonds.
The rating may be revised prior to delivery if changes occur in the legal
documents or the underlying credit quality of the bond.
The following summarizes the highest six ratings used by Duff & Phelps Credit
Rating Co. ("D&P") for corporate and municipal long term debt:
AAA: Debt rated AAA is of the highest credit quality. The risk factors
are considered to be negligible, being only slightly more than for risk-
free U.S. Treasury debt.
AA: Debt rated AA is of high credit quality. Protection factors are
strong. Risk is modest but may vary slightly from time to time because of
economic conditions.
A: Bonds that are rated A have protection factors which are average but
adequate. However risk factors are more variable and greater in periods of
economic stress.
BBB: Bonds that are rated BBB have below average protection factors but
such protection factors are still considered sufficient for prudent
investment. Considerable variability in risk during economic cycles.
BB AND B: Bonds that are rated BB or B are below investment grade. Bonds
rated BB are deemed likely to meet obligations when due. Bonds rated B
possess the risk that the obligations will not be met when due.
To provide more detailed indications of credit quality, the ratings AA and lower
may be modified by the addition of a plus or minus sign to show relative
standing within these major categories.
The following summarizes the highest six ratings used by Fitch Investors
Service, Inc. ("Fitch") for corporate and municipal bonds:
AAA: Bonds considered to be investment grade and of the highest credit
quality. The obligor has an exceptionally strong ability to pay interest
and repay principal, which is unlikely to be affected by reasonably
foreseeable events.
AA: Bonds considered to be investment grade and of very high credit
quality. The obligor's ability to pay interest and repay principal is
very strong, although not quite as strong as bonds rated "AAA". Because
bonds related in the "AAA" and "AA" categories are not significantly
vulnerable
3-A
<PAGE>
to foreseeable future developments, short-term debt of these issuers is
generally rated "F-1+."
A: Bonds considered to be investment grade and of high credit quality.
The obligor's ability to pay interest and repay principal is considered to
be strong, but may be more vulnerable to adverse changes in economic
conditions and circumstances than bonds with higher ratings.
BBB: Bonds considered to be investment grade and of satisfactory credit
quality. The obligor's ability to pay interest and repay principal is
considered to be adequate. Adverse changes in economic conditions and
circumstances, however, are more likely to have an adverse impact on these
bonds, and therefore, impair timely payment. The likelihood that the
ratings of these bonds will fall below investment grade is higher than for
bonds with higher ratings.
BB: Bonds considered to be speculative. The obligor's ability to pay
interest and repay principal may be affected over time by adverse economic
changes. However, business and financial alternatives can be identified,
which could assist the obligor in satisfying its debt service requirements.
B: Bonds are considered highly speculative. While securities in this
class are currently meeting debt service requirements, the probability of
continued timely payment of principal and interest reflects the obligor's
limited margin of safety and the need for reasonable business and economic
activity throughout the life of the instrument.
To provide more detailed indications of credit quality, the Fitch ratings "AA"
and lower may be modified by the addition of a plus (+) or minus (-) sign to
show relative standing within these major rating categories.
DESCRIPTION OF MUNICIPAL NOTE RATINGS
The following summarizes the two highest ratings by S&P for short-term municipal
notes:
SP-1: Strong capacity to pay principal and interest. Those issues
determined to possess very strong characteristics are given a "plus" (+)
designation.
SP-2: Satisfactory capacity to pay principal and interest.
The following summarizes the two highest ratings used by Moody's for short-term
municipal notes and variable rate demand obligations:
4-A
<PAGE>
MIG-1/VMIG-1: Obligations bearing these designations are of the best
quality, enjoying strong protection by established cash flows, superior
liquidity support or demonstrated broad-based access to the market for
refinancing.
MIG-2/VMIG-2: Obligations bearing these designations are of high quality
with margins of protection ample although not as large as in the preceding
group.
The two highest rating categories of D&P for short-term debt are D1 and D2. D&P
employs three designations, D1+, D1 and D1-, within the highest rating category.
D1+ indicates highest certainty of timely payment. Short-term liquidity,
including internal operating factors and/or access to alternative sources of
funds, is outstanding, and safety is just below risk-free U.S. Treasury short-
term obligations. D1 indicates very high certainty of timely payment. Liquidity
factors are excellent and supported by good fundamental protection factors. Risk
factors are minor. D1- indicates high certainty of timely payment. Liquidity
factors are strong and supported by good fundamental protection factors. Risk
factors are very small. D2 indicates good certainty of timely payment. Liquidity
factors and company fundamentals are sound. Although ongoing funding needs may
enlarge total financing requirements, access to capital markets is good. Risk
factors are small.
D&P uses the fixed-income ratings described above under "Description of Bond
Ratings" for tax-exempt notes and other short-term obligations. Fitch uses the
short-term ratings described below under "Description of Commercial Paper
Ratings" for new municipal notes.
DESCRIPTION OF COMMERCIAL PAPER RATINGS
Commercial paper rated A-1 by S&P indicates that the degree of safety regarding
timely payment is strong. Those issues determined to possess extremely strong
safety characteristics are denoted in A-1+. Capacity for timely payment on
commercial paper rated A-2 is satisfactory but the relative degree of safety is
not as high as for issues designated A-1.
The rating Prime-1 is the highest commercial paper rating assigned by Moody's.
Issuers or related supporting institutions rated Prime-1 are considered to have
a superior capacity for repayment of short-term promissory obligations. Prime-1
repayment capacity will often be evidenced by the following characteristics:
leading market positions in well-established industries; high rates of return on
funds employed; conservative capitalization structures with moderate reliance on
debt and ample asset protection; broad margins in earning coverage of fixed
financial charges and high internal cash generation; and well-established access
to a range of financial markets and
5-A
<PAGE>
assured sources of alternate liquidity. Issuers or related supporting
institutions rated Prime-2 are considered to have a strong capacity for
repayment of short-term promissory obligations. This will normally be evidenced
by many of the characteristics cited above but to a lesser degree. Earnings
trends and coverage ratios, while sound, will be more subject to variation.
Capitalization characteristics, while still appropriate, may be more affected by
external conditions. Ample alternate liquidity is maintained.
The following summarizes the highest ratings used by Fitch for short-term
obligations:
F-1+ securities possess exceptionally strong credit quality. Issues
assigned this rating are regarded as having the strongest degree of
assurance for timely payment.
F-1 securities possess very strong credit quality. Issues assigned this
rating reflect an assurance of timely payment only slightly less in degree
than issues rated F-1+.
F-2 securities possess good credit quality. Issues assigned this rating
have a satisfactory degree of assurance for timely payment, but the margin
of safety is not as great as the F-1+ and F-1 categories.
D&P uses the short-term ratings described above under "Description of Note
Ratings" for commercial paper.
6-A
<PAGE>
APPENDIX B
As stated in their Prospectus, the Portfolios may enter into futures
transactions and options thereon. Such transactions are described more fully in
this Appendix.
I. INTEREST RATE FUTURES CONTRACTS
Use of Interest Rate Futures Contracts. Bond prices are established in
--------------------------------------
both the cash market and the futures market. In the cash market, bonds are
purchased and sold with payment for the full purchase price of the bond being
made in cash, generally within three business days after the trade. In the
futures market, only a contract is made to purchase or sell a bond in the future
for a set price on a certain date. Historically, the prices for bonds
established in the futures markets have tended to move generally in the
aggregate in concert with the cash market prices and have maintained fairly
predictable relationships. Accordingly, a Portfolio could use interest rate
futures contracts as a defense, or hedge, against anticipated interest rate
changes. As described below, this could include the use of futures contract
sales to protect against expected increases in interest rates and the use of
futures contract purchases to offset the impact of interest rate declines.
A Portfolio presently could accomplish a similar result to that which it
hopes to achieve through the use of futures contracts by selling bonds with long
maturities and investing in bonds with short maturities when interest rates are
expected to increase, or conversely, selling short-term bonds and investing in
long-term bonds when interest rates are expected to decline. However, because
of the liquidity that is often available in the futures market, the protection
is more likely to be achieved, perhaps at a lower cost and without changing the
rate of interest being earned by a Portfolio, through using futures contracts.
Interest rate futures contracts can also be used by a portfolio for
nonhedging (speculative) purposes to increase total return.
Description of Interest Rate Futures Contracts. An interest rate futures
----------------------------------------------
contract sale would create an obligation by a Portfolio, as seller, to deliver
the specific type of financial instrument called for in the contract at a
specific future time for a specified price. A futures contract purchase would
create an obligation by a Portfolio, as purchaser, to take delivery of the
specific type of financial instrument at a specific future time at a specific
price. The specific securities delivered or taken, respectively, at settlement
date, would not be determined until at or near that date. The determination
would be in
1-B
<PAGE>
accordance with the rules of the exchange on which the futures contract sale or
purchase was made.
Although interest rate futures contracts by their terms call for actual
delivery or acceptance of securities, in most cases the contracts are closed out
before a settlement date without the making or taking of delivery of securities.
Closing out a futures contract sale is effected by a Portfolio's entering into a
futures contract purchase for the same aggregate amount of the specific type of
financial instrument and the same delivery date. If the price of a sale exceeds
the price of the offsetting purchase, a Portfolio is immediately paid the
difference and thus realizes a gain. If the offsetting purchase price exceeds
the sale price, a Portfolio pays the difference and realizes a loss. Similarly,
the closing out of a futures contract purchase is effected by a Portfolio
entering into a futures contract sale. If the offsetting sale price exceeds the
purchase price, a Portfolio realizes a gain, and if the purchase price exceeds
the offsetting sale price, a Portfolio realizes a loss.
Interest rate futures contracts are traded in an auction environment on the
floors of several exchanges -- principally, the Chicago Board of Trade, the
Chicago Mercantile Exchange and the New York Futures Exchange. A Portfolio
would deal only in standardized contracts on recognized exchanges. Each
exchange guarantees performance under contract provisions through a clearing
corporation, a nonprofit organization managed by the exchange membership.
A public market now exists in futures contracts covering various financial
instruments including long-term United States Treasury Bonds and Notes;
Government National Mortgage Association (GNMA) modified pass-through mortgage
backed securities; three-month United States Treasury Bills; and ninety-day
commercial paper. A Portfolio may trade in any interest rate futures contracts
for which there exists a public market, including, without limitation, the
foregoing instruments.
II. INDEX FUTURES CONTRACTS
GENERAL. A stock or bond index assigns relative values to the securities
included in the index and the index fluctuates with changes in the market values
of the securities included.
A Portfolio may sell index futures contracts in order to offset a decrease
in market value of its portfolio securities that might otherwise result from a
market decline. A Portfolio may do so either to hedge the value of its
portfolio as a whole, or to protect against declines, occurring prior to sales
of securities, in the value of the securities to be sold. Conversely, a
Portfolio may purchase index futures contracts in anticipation of purchases of
securities. A long futures position
2-B
<PAGE>
may be terminated without a corresponding purchase of securities.
In addition, a Portfolio may utilize index futures contracts in
anticipation of changes in the composition of its portfolio holdings. For
example, in the event that a Portfolio expects to narrow the range of industry
groups represented in its holdings it may, prior to making purchases of the
actual securities, establish a long futures position based on a more restricted
index, such as an index comprised of securities of a particular industry group.
A Portfolio may also sell futures contracts in connection with this strategy, in
order to protect against the possibility that the value of the securities to be
sold as part of the restructuring of the portfolio will decline prior to the
time of sale.
Index futures contracts may also be used by a Portfolio for non-hedging
(speculative) purposes to increase total return.
III. FUTURES CONTRACTS ON FOREIGN CURRENCIES (INTERNATIONAL EQUITY INDEX AND
INTERNATIONAL GROWTH PORTFOLIOS)
A futures contract on foreign currency creates a binding obligation on one
party to deliver, and a corresponding obligation on another party to accept
delivery of, a stated quantity of foreign currency, for an amount fixed in U.S.
dollars. Foreign currency futures may be used by a Portfolio for hedging
purposes in anticipation of fluctuations in exchange rates between the U.S.
dollars and other currencies arising from multinational transactions.
The International Bond Portfolio may also use futures contracts on foreign
currencies for non-hedging (speculative) purposes to increase total return.
IV. MARGIN PAYMENTS
Unlike purchases or sales of portfolio securities, no price is paid or
received by a Portfolio upon the purchase or sale of a futures contract.
Initially, the Portfolio will be required to deposit with the broker or in a
segregated account with the Custodian or a sub-custodian an amount of liquid
assets known as initial margin, based on the value of the contract. The nature
of initial margin in futures transactions is different from that of margin in
security transactions in that futures contract margin does not involve the
borrowing of funds by the customer to finance the transactions. Rather, the
initial margin is in the nature of a performance bond or good faith deposit on
the contract which is returned to the Portfolio upon termination of the futures
contract assuming all contractual obligations have been satisfied. Subsequent
payments, called variation margin, to and from the broker, will be made on a
daily basis as the price of the underlying instruments fluctuates making the
long and
3-B
<PAGE>
short positions in the futures contract more or less valuable, a process known
as marking-to-the-market. For example, when a particular Portfolio has purchased
a futures contract and the price of the contract has risen in response to a rise
in the underlying instruments, that position will have increased in value and
the Portfolio will be entitled to receive from the broker a variation margin
payment equal to that increase in value. Conversely, where the Portfolio has
purchased a futures contract and the price of the future contract has declined
in response to a decrease in the underlying instruments, the position would be
less valuable and the Portfolio would be required to make a variation margin
payment to the broker. At any time prior to expiration of the futures contract,
the Portfolio's adviser may elect to close the position by taking an opposite
position, subject to the availability of a secondary market, which will operate
to terminate the Portfolio's position in the futures contract. A final
determination of variation margin is then made, additional cash is required to
be paid by or released to the Portfolio, and the Portfolio realizes a loss or
gain.
V. RISKS OF TRANSACTIONS IN FUTURES CONTRACTS
There are several risks in connection with the use of futures by the
Portfolios. In connection with the use of futures for hedging purposes, the
risk arises because of the imperfect correlation between movements in the price
of the futures and movements in the price of the instruments which are the
subject of a hedge. The price of the future may move more than or less than the
price of the instruments being hedged. If the price of the futures moves less
than the price of the instruments which are the subject of hedge, the hedge will
not be fully effective but, if the price of the instruments being hedged has
moved in an unfavorable direction, the Portfolio would be in a better position
than if it had not hedged at all. If the price of the instruments being hedged
has moved in a favorable direction, this advantage will be partially offset by
the loss on the futures. If the price of the futures moves more than the price
of the hedged instruments, the Portfolio involved will experience either a loss
or gain on the futures which will not be completely offset by movements in the
price of the instruments which are the subject of the hedge. To compensate for
the imperfect correlation of movements in the price of instruments being hedged
and movements in the price of futures contracts, the Portfolio may buy or sell
futures contracts in a greater dollar amount than the dollar amount of
instruments being hedged if the volatility over a particular time period of the
prices of such instruments has been greater than the volatility over such time
period of the futures, or if otherwise deemed to be appropriate by Northern.
Conversely, the Portfolios may buy or sell fewer futures contracts if the
volatility over a particular time period of the prices of the instruments being
hedged is less than the
4-B
<PAGE>
volatility over such time period of the futures contract being used, or if
otherwise deemed to be appropriate by Northern. It is also possible that, where
a Portfolio had sold futures to hedge its portfolio against a decline in the
market, the market may advance and the value of instruments held in the
Portfolio may decline. If this occurred, the Portfolio would lose money on the
futures and also experience a decline in value in its portfolio securities.
Where futures are purchased to hedge against a possible increase in the
price of securities before a Portfolio is able to invest its cash (or cash
equivalents) in an orderly fashion, it is possible that the market may decline
instead; if the Portfolio then concludes not to invest its cash at that time
because of concern as to possible further market decline or for other reasons,
the Portfolio will realize a loss on the futures contract that is not offset by
a reduction in the price of the instruments that were to be purchased.
In addition to the possibility that there may be an imperfect correlation,
or no correlation at all, between movements in the futures and the instruments
being hedged, the price of futures may not correlate perfectly with movement in
the cash market due to certain market distortions. Rather than meeting
additional margin deposit requirements, investors may close futures contracts
through off-setting transactions which could distort the normal relationship
between the cash and futures markets. Second, with respect to financial futures
contracts, the liquidity of the futures market depends on participants entering
into off-setting transactions rather than making or taking delivery. To the
extent participants decide to make or take delivery, liquidity in the futures
market could be reduced thus producing distortions. Third, from the point of
view of speculators, the deposit requirements in the futures market are less
onerous than margin requirements in the securities market. Therefore, increased
participation by speculators in the futures market may also cause temporary
price distortions. Due to the possibility of price distortion in the futures
market, and because of the imperfect correlation between the movements in the
cash market and movements in the price of futures, a correct forecast of general
market trends or interest rate movements by Northern may still not result in a
successful hedging transaction over a short time frame.
Positions in futures may be closed out only on an exchange or board of
trade which provides a secondary market for such futures. Although the
Portfolios intend to purchase or sell futures only on exchanges or boards of
trade where there appear to be active secondary markets, there is no assurance
that a liquid secondary market on any exchange or board of trade will exist for
any particular contract or at any particular time. In such event, it may not be
possible to close a futures investment
5-B
<PAGE>
position, and in the event of adverse price movements, the Portfolios would
continue to be required to make daily cash payments of variation margin.
However, in the event futures contracts have been used to hedge portfolio
securities, such securities will generally not be sold until the futures
contract can be terminated. In such circumstances, an increase in the price of
the securities, if any, may partially or completely offset losses on the futures
contract. However, as described above, there is no guarantee that the price of
the securities will in fact correlate with the price movements in the futures
contract and thus provide an offset on a futures contract.
Further, it should be noted that the liquidity of a secondary market in a
futures contract may be adversely affected by "daily price fluctuation limits"
established by commodity exchanges which limit the amount of fluctuation in a
futures contract price during a single trading day. Once the daily limit has
been reached in the contract, no trades may be entered into at a price beyond
the limit, thus preventing the liquidation of open futures positions. The
trading of futures contracts is also subject to the risk of trading halts,
suspensions, exchange or clearing house equipment failures, government
intervention, insolvency of a brokerage firm or clearing house or other
disruptions of normal activity, which could at times make it difficult or
impossible to liquidate existing positions or to recover excess variation margin
payments.
Successful use of futures by the Portfolios is also subject to Northern's
ability to predict correctly movements in the direction of the market. For
example, if a particular Portfolio has hedged against the possibility of a
decline in the market adversely affecting securities held by it and securities
prices increase instead, the Portfolio will lose part or all of the benefit to
the increased value of its securities which it has hedged because it will have
offsetting losses in its futures positions. In addition, in such situations, if
the Portfolio has insufficient cash, it may have to sell securities to meet
daily variation margin requirements. Such sales of securities may be, but will
not necessarily be, at increased prices which reflect the rising market. The
Portfolios may have to sell securities at a time when they may be
disadvantageous to do so.
Futures purchased or sold by the International Growth and International
Equity Portfolios (and related options) may be traded in foreign securities.
Participation in foreign futures and foreign options transactions involves the
execution and clearing of trades on or subject to the rules of a foreign board
of trade. Neither the National Futures Association nor any domestic exchange
regulates activities of any foreign boards of trade, including the execution,
delivery and clearing of transactions, or has the power to compel enforcement of
the rules of a foreign board of trade or any applicable foreign law. This is
true even
6-B
<PAGE>
if the exchange is formally linked to a domestic market so that a position taken
on the market may be liquidated by a transaction on another market. Moreover,
such laws or regulations will vary depending on the foreign country in which the
foreign futures or foreign options transaction occurs. For these reasons,
customers who trade foreign futures of foreign options contracts may not be
afforded certain of the protective measures provided by the Commodity Exchange
Act, the Commodity Futures Trading Commission's ("CFTC") regulations and the
rules of the National Futures Association and any domestic exchange, including
the right to use reparations proceedings before the CFTC and arbitration
proceedings provided by the National Futures Association or any domestic futures
exchange. In particular, the investments of the International Growth Portfolio
and International Equity Index Portfolio in foreign futures or foreign options
transactions may not be provided the same protections in respect of transactions
on United States futures exchanges. In addition, the price of any foreign
futures or foreign options contract and, therefore the potential profit and loss
thereon may be affected by any variance in the foreign exchange rate between the
time an order is placed and the time it is liquidated, offset or exercised.
VI. OPTIONS ON FUTURES CONTRACTS
The Portfolios may purchase and write options on the futures contracts
described above. A futures option gives the holder, in return for the premium
paid, the right to buy (call) from or sell (put) to the writer of the option a
futures contract at a specified price at any time during the period of the
option. Upon exercise, the writer of the option is obligated to pay the
difference between the cash value of the futures contract and the exercise
price. Like the buyer or seller of a futures contract, the holder, or writer,
of an option has the right to terminate its position prior to the scheduled
expiration of the option by selling, or purchasing an option of the same series,
at which time the person entering into the closing transaction will realize a
gain or loss. A Portfolio will be required to deposit initial margin and
variation margin with respect to put and call options on futures contracts
written by it pursuant to brokers' requirements similar to those described
above. Net option premiums received will be included as initial margin
deposits.
Investments in futures options involve some of the same considerations that
are involved in connection with investments in futures contracts (for example,
the existence of a liquid secondary market). See "Risks of Transactions in
Futures Contracts" above. In addition, the purchase or sale of an option also
entails the risk that changes in the value of the underlying futures contract
will not correspond to changes in the value of the option purchased. Depending
on the pricing of the option compared to either the futures contract upon which
it is based, or upon the price of any underlying instruments, an option may or
7-B
<PAGE>
may not be less risky than ownership of the futures contract or such
instruments. In general, the market prices of options can be expected to be more
volatile than the market prices on the underlying futures contract. Compared to
the purchase or sale of futures contracts, however, the purchase of call or put
options on futures contracts may, unlike futures contracts where the risk of
loss is potentially unlimited, frequently involve less potential risk to the
Portfolio because the maximum amount at risk is the premium paid for the options
(plus transaction costs). The writing of an option on a futures contract
involves risks similar to those risks relating to the sale of futures contracts.
VII. OTHER MATTERS
Accounting for futures contracts will be in accordance with generally
accepted accounting principles.
8-B
<PAGE>
PART B
STATEMENT OF ADDITIONAL INFORMATION
THE BENCHMARK FUNDS
4900 SEARS TOWER
CHICAGO, ILLINOIS 60606
BALANCED PORTFOLIO
EQUITY INDEX PORTFOLIO
DIVERSIFIED GROWTH PORTFOLIO
FOCUSED GROWTH PORTFOLIO
SMALL COMPANY INDEX PORTFOLIO
INTERNATIONAL EQUITY INDEX PORTFOLIO
INTERNATIONAL GROWTH PORTFOLIO
This Statement of Additional Information (the "Additional Statement") dated
October 1, 1997 is not a prospectus. This Additional Statement should be read
in conjunction with the Prospectus for the Balanced Portfolio, Equity Index
Portfolio, Diversified Growth Portfolio, Focused Growth Portfolio, Small Company
Index Portfolio, International Equity Index Portfolio and International Growth
Portfolio (the "Portfolios") of The Benchmark Funds (the "Prospectus") dated
October 1, 1997. Copies of the Prospectus may be obtained without charge by
calling Goldman, Sachs & Co. ("Goldman Sachs") toll-free at 1-800-621-2550
(outside Illinois) or by writing to the address stated above. Capitalized terms
not otherwise defined have the same meaning as in the Prospectus.
------------------------------------
INDEX
<TABLE>
<CAPTION>
Page
a ----
<S> <C>
ADDITIONAL INVESTMENT INFORMATION B-3
Investment Objectives and Policies B-3
Investment Restrictions B-17
ADDITIONAL TRUST INFORMATION B-20
Trustees and Officers B-20
Investment Adviser, Transfer Agent and Custodian B-25
Portfolio Transactions B-32
Administrator and Distributor B-36
Unitholder Servicing Plan B-39
Counsel and Auditors B-41
In-Kind Purchases B-41
PERFORMANCE INFORMATION B-42
TAXES B-49
General B-50
Taxation of Certain Financial Instruments B-52
Foreign Investors B-54
Conclusion B-55
DESCRIPTION OF UNITS B-55
OTHER INFORMATION B-60
FINANCIAL STATEMENTS B-61
APPENDIX A (Description of Bond Ratings) 1-A
APPENDIX B (Futures Contracts) 1-B
</TABLE>
<PAGE>
NO PERSON HAS BEEN AUTHORIZED TO GIVE ANY INFORMATION OR TO MAKE ANY
REPRESENTATIONS NOT CONTAINED IN THIS ADDITIONAL STATEMENT OR IN THE PROSPECTUS
IN CONNECTION WITH THE OFFERING MADE BY THE PROSPECTUS AND, IF GIVEN OR MADE,
SUCH INFORMATION OR REPRESENTATIONS MUST NOT BE RELIED UPON AS HAVING BEEN
AUTHORIZED BY THE TRUST OR ITS DISTRIBUTOR. THE PROSPECTUS DOES NOT CONSTITUTE
AN OFFERING BY THE TRUST OR BY THE DISTRIBUTOR IN ANY JURISDICTION IN WHICH SUCH
OFFERING MAY NOT LAWFULLY BE MADE.
UNITS OF THE TRUST ARE NOT BANK DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED,
ENDORSED OR OTHERWISE SUPPORTED BY, THE NORTHERN TRUST COMPANY, ITS PARENT
COMPANY OR ITS AFFILIATES, AND ARE NOT FEDERALLY INSURED OR GUARANTEED BY THE
U.S. GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL RESERVE
BOARD OR ANY OTHER GOVERNMENTAL AGENCY. INVESTMENT IN THE PORTFOLIOS INVOLVES
INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF PRINCIPAL.
B-2
<PAGE>
ADDITIONAL INVESTMENT INFORMATION
INVESTMENT OBJECTIVES AND POLICIES
The following supplements the investment objectives and policies of the
Balanced, Equity Index, Diversified Growth, Focused Growth, Small Company Index,
International Equity Index, and International Growth Portfolios of The Benchmark
Funds (the "Trust") as set forth in the Prospectus.
Warrants. The Balanced, Diversified Growth, Focused Growth, Small Company
--------
Index, International Equity Index and International Growth Portfolios may
purchase warrants and similar rights, which are privileges issued by
corporations enabling the owners to subscribe to and purchase a specified number
of shares of the corporation at a specified price during a specified period of
time. The purchase of warrants involves the risk that a Portfolio could lose
the purchase value of a warrant if the right to subscribe to additional shares
is not exercised prior to the warrant's expiration. Also, the purchase of
warrants involves the risk that the effective price paid for the warrant added
to the subscription price of the related security may exceed the value of the
subscribed security's market price such as when there is no movement in the
level of the underlying security. A Portfolio will not invest more than 5% of
its total assets, taken at market value, in warrants. Warrants acquired by a
Portfolio in units or attached to other securities are not subject to this
restriction.
U.S. Government Obligations. Examples of types of U.S. Government
---------------------------
obligations that may be acquired by the Portfolios includes U.S. Treasury Bills,
Treasury Notes and Treasury Bonds and the obligations of Federal Home Loan
Banks, Federal Farm Credit Banks, Federal Land Banks, the Federal Housing
Administration, Farmers Home Administration, Export-Import Bank of the United
States, Small Business Administration, General Services Administration, Student
Loan Marketing Association, Central Bank for Cooperatives, Federal Home Loan
Mortgage Corporation, Federal Intermediate Credit Banks, and the Maritime
Administration.
Foreign Securities. Unanticipated political or social developments
-------------------
may also affect the value of a Portfolio's investments in emerging market
countries and the availability to a Portfolio of additional investments in those
countries. The small size and inexperience of the securities markets in certain
of such countries and the limited volume of trading in securities in those
countries may make a Portfolio's investments in such countries illiquid and more
volatile than investments in Japan or most Western European countries, and a
Portfolio may be required to establish special custodial or other arrangements
before
B-3
<PAGE>
making certain investments in those countries. There may be little financial or
accounting information available with respect to issuers located in certain of
such countries, and it may be difficult as a result to assess the value or
prospects of an investment in such issuers.
Investors should understand that the expense ratios of the International Equity
Index and International Growth Portfolios can be expected to be higher than
those funds investing primarily in domestic securities. The costs attributable
to investing abroad are usually higher for several reasons, such as the higher
cost of investment research, higher cost of custody of foreign securities,
higher commissions paid on comparable transactions on foreign markets and
additional costs arising from delays in settlements of transactions involving
foreign securities.
Foreign Currency Transactions. In order to protect against a possible loss
-----------------------------
on investments resulting from a decline or appreciation in the value of a
particular foreign currency against the U.S. dollar or another foreign currency
or for other reasons, the Balanced, Diversified Growth, Focused Growth,
International Equity Index and International Growth Portfolios are authorized to
enter into forward currency exchange contracts. These contracts involve an
obligation to purchase or sell a specified currency at a future date at a price
set at the time of the contract. Forward currency contracts do not eliminate
fluctuations in the values of portfolio securities but rather allow a Portfolio
to establish a rate of exchange for a future point in time.
When entering into a contract for the purchase or sale of a security, a
Portfolio may enter into a forward foreign currency exchange contract for the
amount of the purchase or sale price to protect against variations, between the
date the security is purchased or sold and the date on which payment is made or
received, in the value of the foreign currency relative to the U.S. dollar or
other foreign currency.
When Northern anticipates that a particular foreign currency may decline
substantially relative to the U.S. dollar or other leading currencies, in order
to reduce risk, a Portfolio may enter into a forward contract to sell, for a
fixed amount, the amount of foreign currency approximating the value of some or
all of the Portfolio's securities denominated in such foreign currency.
Similarly, when the securities held by a Portfolio create a short position in a
foreign currency, the Portfolio may enter into a forward contract to buy, for a
fixed amount, an amount of foreign currency approximating the short position.
With respect to any forward foreign currency contract, it will not generally be
possible to match precisely the amount covered by that contract and the value of
the securities involved due to the changes in the values of such securities
resulting from
B-4
<PAGE>
market movements between the date the forward contract is entered into and the
date it matures. In addition, while forward contracts may offer protection from
losses resulting from declines or appreciation in the value of a particular
foreign currency, they also limit potential gains which might result from
changes in the value of such currency. A Portfolio may also incur costs in
connection with forward foreign currency exchange contracts and conversions of
foreign currencies and U.S. dollars.
In addition, with respect to the International Growth Portfolio, Northern
may purchase or sell forward foreign currency exchange contracts to seek to
increase total return.
A separate account consisting of liquid assets equal to the amount of a
Portfolio's assets that could be required to consummate forward contracts will
be established with the Portfolios' custodian except to the extent the contracts
are otherwise "covered." For the purpose of determining the adequacy of the
securities in the account, the deposited securities will be valued at market or
fair value. If the market or fair value of such securities declines, additional
cash or securities will be placed in the account daily so that the value of the
account will equal the amount of such commitments by the Portfolio. A forward
contract to sell a foreign currency is "covered" if a Portfolio owns the
currency (or securities denominated in the currency) underlying the contract, or
holds a forward contract (or call option) permitting the Portfolio to buy the
same currency at a price that is (i) no higher than the Portfolio's price to
sell the currency or (ii) greater than the Portfolio's price to sell the
currency provided the difference is maintained by the Portfolio in liquid assets
in a segregated account with its custodian. A forward contract to buy a foreign
currency is "covered" if a Portfolio holds a forward contract (or call option)
permitting the Portfolio to sell the same currency at a price that is (i) as
high as or higher than the Portfolio's price to buy the currency or (ii) lower
than the Portfolio's price to buy the currency provided the difference is
maintained by the Portfolio in liquid assets in a segregated account with its
custodian.
Options. Each Portfolio may buy put options and buy call options and write
-------
covered call and secured put options. Such options may relate to particular
securities, foreign and domestic stock indices, financial instruments, or
foreign currencies and may or may not be listed on a domestic or foreign
securities exchange or issued by the Options Clearing Corporation. Options
trading is a highly specialized activity which entails greater than ordinary
investment risk. Options on particular securities may be more volatile than the
underlying instruments, and therefore, on a percentage basis, an investment in
options may be subject to greater fluctuation than an investment in the
underlying instruments themselves.
B-5
<PAGE>
The Portfolios will write call options only if they are "covered." In the
case of a call option on a security or currency, the option is "covered" if a
Portfolio owns the security or currency underlying the call or has an absolute
and immediate right to acquire that security or currency without additional cash
consideration (or, if additional cash consideration is required, liquid assets
in such amount are held in a segregated account by its custodian) upon
conversion or exchange of other securities held by it. For a call option on an
index, the option is covered if a Portfolio maintains with its custodian a
portfolio of securities substantially replicating the movement of the index, or
liquid assets equal to the contract value. A call option is also covered if a
Portfolio holds a call on the same security, currency or index as the call
written where the exercise price of the call held is (i) equal to or less than
the exercise price of the call written, or (ii) greater than the exercise price
of the call written provided the difference is maintained by the Portfolio in
liquid assets in a segregated account with its custodian. The Portfolios will
write put options only if they are "secured" by liquid assets maintained in a
segregated account by the Portfolios' custodian in an amount not less than the
exercise price of the option at all times during the option period.
A Portfolio's obligation to sell a security subject to a covered call
option written by it, or to purchase a security or currency subject to a secured
put option written by it, may be terminated prior to the expiration date of the
option by the Portfolio's execution of a closing purchase transaction, which is
effected by purchasing on an exchange an option of the same series (i.e., same
underlying security or currency, exercise price and expiration date) as the
option previously written. Such a purchase does not result in the ownership of
an option. A closing purchase transaction will ordinarily be effected to
realize a profit on an outstanding option, to prevent an underlying security or
currency from being called, to permit the sale of the underlying security or
currency or to permit the writing of a new option containing different terms on
such underlying security. The cost of such a liquidation purchase plus
transaction costs may be greater than the premium received upon the original
option, in which event the Portfolio will have incurred a loss in the
transaction. There is no assurance that a liquid secondary market will exist
for any particular option. An option writer, unable to effect a closing
purchase transaction, will not be able to sell the underlying security or
currency (in the case of a covered call option) or liquidate the segregated
account (in the case of a secured put option) until the option expires or the
optioned security or currency is delivered upon exercise with the result that
the writer in such circumstances will be subject to the risk of market decline
or appreciation in the security or currency during such period.
B-6
<PAGE>
When a Portfolio purchases an option, the premium paid by it is recorded as
an asset of the Portfolio. When the Portfolio writes an option, an amount equal
to the net premium (the premium less the commission) received by the Portfolio
is included in the liability section of the Portfolio's statement of assets and
liabilities as a deferred credit. The amount of this asset or deferred credit
will be subsequently marked-to-market to reflect the current value of the option
purchased or written. The current value of the traded option is the last sale
price or, in the absence of a sale, the current bid price. If an option
purchased by the Portfolio expires unexercised the Portfolio realizes a loss
equal to the premium paid. If the Portfolio enters into a closing sale
transaction on an option purchased by it, the Portfolio will realize a gain if
the premium received by the Portfolio on the closing transaction is more than
the premium paid to purchase the option, or a loss if it is less. If an option
written by the Portfolio expires on the stipulated expiration date or if the
Portfolio enters into a closing purchase transaction, it will realize a gain (or
loss if the cost of a closing purchase transaction exceeds the net premium
received when the option is sold) and the deferred credit related to such option
will be eliminated. If an option written by the Portfolio is exercised, the
proceeds of the sale will be increased by the net premium originally received
and the Portfolio will realize a gain or loss.
There are several risks associated with transactions in certain options.
For example, there are significant differences between the securities, currency
and options markets that could result in an imperfect correlation between these
markets, causing a given transaction not to achieve its objectives. In
addition, a liquid secondary market for particular options, whether traded over-
the-counter or on a national securities exchange ("Exchange") may be absent for
reasons which include the following: there may be insufficient trading interest
in certain options; restrictions may be imposed by an Exchange on opening
transactions or closing transactions or both; trading halts, suspensions or
other restrictions may be imposed with respect to particular classes or series
of options or underlying securities or currencies; unusual or unforeseen
circumstances may interrupt normal operations on an Exchange; the facilities of
an Exchange or the Options Clearing Corporation may not at all times be adequate
to handle current trading value; or one or more Exchanges could, for economic or
other reasons, decide or be compelled at some future date to discontinue the
trading of options (or a particular class or series of options), in which event
the secondary market on that Exchange (or in that class or series of options)
would cease to exist, although outstanding options that had been issued by the
Options Clearing Corporation as a result of trades on that Exchange would
continue to be exercisable in accordance with their terms.
B-7
<PAGE>
Supranational Bank Obligations. The Balanced Portfolio may invest in
------------------------------
obligations of supranational banks. Supranational banks are international
banking institutions designed or supported by national governments to promote
economic reconstruction, development or trade between nations (e.g., the World
Bank). Obligations of supranational banks may be supported by appropriated but
unpaid commitments of their member countries and there is no assurance that
these commitments will be undertaken or met in the future.
Stripped Securities. The Balanced Portfolio may purchase stripped
-------------------
securities. The Treasury Department has facilitated transfers of ownership of
zero coupon securities by accounting separately for the beneficial ownership of
particular interest coupon and principal payments on Treasury securities through
the Federal Reserve book-entry record-keeping system. The Federal Reserve
program as established by the Treasury Department is known as "STRIPS" or
"Separate Trading of Registered Interest and Principal of Securities." The
Portfolio may purchase securities registered in the STRIPS program. Under the
STRIPS program, the Portfolio will be able to have its beneficial ownership of
zero coupon securities recorded directly in the book-entry record-keeping system
in lieu of having to hold certificates or other evidences of ownership of the
underlying U.S. Treasury securities.
In addition, the Balanced Portfolio may acquire U.S. Government
obligations and their unmatured interest coupons that have been separated
("stripped") by their holder, typically a custodian bank or investment brokerage
firm. Having separated the interest coupons from the underlying principal of
the U.S. Government obligations, the holder will resell the stripped securities
in custodial receipt programs with a number of different names, including
"Treasury Income Growth Receipts" ("TIGRs") and "Certificate of Accrual on
Treasury Securities" ("CATS"). The stripped coupons are sold separately from
the underlying principal, which is usually sold at a deep discount because the
buyer receives only the right to receive a future fixed payment on the security
and does not receive any rights to periodic interest (cash) payments. The
underlying U.S. Treasury bonds and notes themselves are held in book-entry form
at the Federal Reserve Bank or, in the case of bearer securities (i.e.,
unregistered securities which are ostensibly owned by the bearer or holder), in
trust on behalf of the owners. Counsel to the underwriters of these
certificates or other evidences of ownership of U.S. Treasury securities have
stated that, in their opinion, purchasers of the stripped securities most likely
will be deemed the beneficial holders of the underlying U.S. Government
obligations for Federal tax purposes. The Trust is not aware of any binding
legislative, judicial or administrative authority on this issue.
B-8
<PAGE>
The Prospectus discusses other types of stripped securities that may be
purchased by the Portfolio, including stripped mortgage-backed securities
("SMBS"). SMBS are usually structured with two or more classes that receive
different proportions of the interest and principal distributions from a pool of
mortgage-backed obligations. A common type of SMBS will have one class receiving
all of the interest, while the other class receives all of the principal.
However, in some instances, one class will receive some of the interest and most
of the principal while the other class will receive most of the interest and the
remainder of the principal. If the underlying obligations experience greater
than anticipated prepayments of principal, the Portfolio may fail to fully
recoup its initial investment in these securities. The market value of the class
consisting entirely of principal payments generally is extremely volatile in
response to changes in interest rates. The yields on a class of SMBS that
receives all or most of the interest are generally higher than prevailing market
yields on other mortgage-backed obligations because their cash flow patterns are
also volatile and there is a risk that the initial investment will not be fully
recouped. SMBS issued by the U.S. Government (or a U.S. Government agency or
instrumentality) may be considered liquid under guidelines established by the
Trust's Board of Trustees if they can be disposed of promptly in the ordinary
course of business at a value reasonably close to that used in the calculation
of the net asset value per unit.
Asset-Backed Securities. The Balanced Portfolio may purchase asset backed
-----------------------
securities, which are securities backed by mortgages, installment contracts,
credit card receivables or other assets. Asset-backed securities represent
interests in "pools" of assets in which payments of both interest and principal
on the securities are made monthly, thus in effect "passing through" monthly
payments made by the individual borrowers on the assets that underlie the
securities, net of any fees paid to the issuer or guarantor of the securities.
The average life of asset-backed securities varies with the maturities of the
underlying instruments, and the average life of a mortgage-backed instrument, in
particular, is likely to be substantially less than the original maturity of the
mortgage pools underlying the securities as a result of mortgage prepayments.
For this and other reasons, an asset-backed security's stated maturity may be
shortened, and the security's total return may be difficult to predict
precisely. Asset-backed securities acquired by the Portfolio may include
collateralized mortgage obligations ("CMOs") issued by private companies.
There are a number of important differences among the agencies and
instrumentalities of the U.S. Government that issue mortgage-related securities
and among the securities that they
B-9
<PAGE>
issue. Mortgage-related securities guaranteed by the Government National
Mortgage Association ("GNMA") include GNMA Mortgage Pass-Through Certificates
(also known as "Ginnie Maes") which are guaranteed as to the timely payment of
principal and interest by GNMA and such guarantee is backed by the full faith
and credit of the United States. GNMA is a wholly-owned U.S. Government
corporation within the Department of Housing and Urban Development. GNMA
certificates also are supported by the authority of GNMA to borrow funds from
the U.S. Treasury to make payments under its guarantee. Mortgage-backed
securities issued by the Federal National Mortgage Association ("FNMA") include
FNMA Guaranteed Mortgage Pass-Through Certificates (also known as "Fannie Maes")
which are solely the obligations of the FNMA and are not backed by or entitled
to the full faith and credit of the United States, but are supported by the
right of the issuer to borrow from the Treasury. FNMA is a government-sponsored
organization owned entirely by private stockholders. Fannie Maes are guaranteed
as to timely payment of the principal and interest by FNMA. Mortgage-related
securities issued by the Federal Home Loan Mortgage Corporation ("FHLMC")
include FHLMC Mortgage Participation Certificates (also known as "Freddie Macs"
or "PCs"). FHLMC is a corporate instrumentality of the United States, created
pursuant to an Act of Congress, which is owned entirely by Federal Home Loan
Banks. Freddie Macs are not guaranteed by the United States or by any Federal
Home Loan Banks and do not constitute a debt or obligation of the United States
or of any Federal Home Loan Bank. Freddie Macs entitle the holder to timely
payment of interest, which is guaranteed by the FHLMC. FHLMC guarantees either
ultimate collection or timely payment of all principal payments on the
underlying mortgage loans. When FHLMC does not guarantee timely payment of
principal, FHLMC may remit the amount due on account of its guarantee of
ultimate payment of principal at any time after default on an underlying
mortgage, but in no event later than one year after it becomes payable.
Non-mortgage asset-backed securities involve certain risks that are not
presented by mortgage-backed securities. Primarily, these securities do not
have the benefit of the same security interest in the underlying collateral.
Credit card receivables are generally unsecured and the debtors are entitled to
the protection of a number of state and federal consumer credit laws, many of
which have given debtors the right to set off certain amounts owed on the credit
cards, thereby reducing the balance due. Most issuers of automobile receivables
permit the servicers to retain possession of the underlying obligations. If the
servicer were to sell these obligations to another party, there is a risk that
the purchaser would acquire an interest superior to that of the holders of the
related automobile receivables. In addition, because of the large number of
vehicles involved in a typical issuance and technical requirements under state
laws, the trustee for the holders of the automobile receivables may not
B-10
<PAGE>
have an effective security interest in all of the obligations backing such
receivables. Therefore, there is a possibility that recoveries on repossessed
collateral may not, in some cases, be able to support payments on these
securities.
Interest Rate Swaps, Floors and Caps and Currency Swaps. The Balanced
-------------------------------------------------------
Portfolio may enter into interest rate swaps for hedging purposes and not for
speculation. Interest rate swaps, floors and swaps involve the exchange by the
Portfolio with another party of their respective commitments to pay or receive
interest, such as an exchange of fixed rate payments for floating rate payments.
The Portfolio will typically use interest rate swaps to preserve a return on a
particular investment or portion of its portfolio or to shorten the effective
duration of its portfolio investments. The purchase of an interest rate floor
or cap entitles the purchaser to receive payments of interest on a notional
principal amount from the seller, to the extent the specified index falls below
(floor) or exceeds (cap) a predetermined interest rate. The Portfolio will only
enter into interest rate swaps or interest rate floor or cap transactions on a
net basis, i.e. the two payment streams are netted out, with the Portfolio
receiving or paying, as the case may be, only the net amount of the two
payments.
The International Equity Index and International Growth Portfolios may
enter into currency swaps, which involve the exchange of the rights of a
Portfolio and another party to make or receive payments in specified currencies.
Currency swaps usually involve the delivery of the entire principal value of one
designated currency in exchange for the other designated currency.
Inasmuch as interest rate and currency swaps are entered into for good
faith hedging purposes, the Trust and Northern believe that such transactions do
not constitute senior securities as defined in the 1940 Act and, accordingly,
will not treat them as being subject to the Portfolios' borrowing restrictions.
The net amount of the excess, if any, of a Portfolio's obligations over its
entitlements with respect to interest rate or currency swaps will be accrued on
a daily basis and an amount of liquid assets having an aggregate net asset value
at least equal to such accrued excess will be maintained in a segregated account
by the Portfolio's custodian.
The Balanced Portfolio will not enter into an interest rate swap, floor or
cap transaction, and the International Equity Index and International Growth
Portfolios will not enter into currency swap transactions unless the unsecured
commercial paper, senior debt or the claims-paying ability of the other party
thereto is rated either A or A-l or better by S&P, Duff or Fitch, or A or P-1 or
better by Moody's. If there is a default by the other party to such
transaction, the Portfolios will have
B-11
<PAGE>
contractual remedies pursuant to the agreements related to the transaction. The
swap market has grown substantially in recent years with a large number of banks
and investment banking firms acting both as principals and as agents utilizing
standardized swap documentation. As a result, the swap market has become
relatively liquid in comparison with markets for other similar instruments which
are traded in the interbank market.
Futures Contracts and Related Options. Each Portfolio may invest in
-------------------------------------
futures contracts and may purchase and sell call and put options on futures
contracts for hedging purposes, for speculative purposes (to seek to increase
total return), or for liquidity management purposes. For a detailed description
of futures contracts and related options, see Appendix B to this Additional
Statement.
Real Estate Investment Trusts. The Small Company Index Portfolio may
-----------------------------
invest in equity real estate investment trusts ("REITs") that constitute a part
of the Russell 2000 Small Stock Index. REITs pool investors' funds for
investment primarily in commercial real estate properties. Investments in REITs
may subject the Portfolio to certain risks. REITs may be affected by changes in
the value of the underlying property owned by the trust. REITs are dependent
upon specialized management skill, may not be diversified and are subject to the
risks of financing projects. REITs are also subject to heavy cash flow
dependency, defaults by borrowers, self liquidation and the possibility of
failing to qualify for the beneficial tax treatment available to REITs under the
Internal Revenue Code of 1986, as amended, and to maintain exemption from the
1940 Act. As a shareholder in a REIT, the Portfolio would bear, along with
other shareholders, its pro rata portion of the REIT's operating expenses.
These expenses would be in addition to the advisory and other expenses the
Portfolio bears directly in connection with its own operations.
Securities Lending. Collateral for loans of portfolio securities made by a
------------------
Portfolio may consist of cash, securities issued or guaranteed by the U.S.
Government or its agencies or irrevocable bank letters of credit (or any
combination thereof). The borrower of securities will be required to maintain
the market value of the collateral at not less than the market value of the
loaned securities, and such value will be monitored on a daily basis. When a
Portfolio lends its securities, it continues to receive dividends and interest
on the securities loaned and may simultaneously earn interest on the investment
of the cash collateral. Although voting rights, or rights to consent, attendant
to securities on loan pass to the borrower, such loans will be called so that
the securities may be voted by a Portfolio if a material event affecting the
investment is to occur.
B-12
<PAGE>
Forward Commitments, When-Issued Securities and Delayed Delivery
----------------------------------------------------------------
Transactions. When a Portfolio purchases securities on a when-issued, delayed
- ------------
delivery or forward commitment basis, the Portfolio's custodian (or
subcustodian) will maintain in a segregated account liquid assets having a value
(determined daily) at least equal to the amount of the Portfolio's purchase
commitments. In the case of a forward commitment to sell portfolio securities,
the custodian or subcustodian will hold the portfolio securities themselves in a
segregated account while the commitment is outstanding. These procedures are
designed to ensure that the Portfolio will maintain sufficient assets at all
times to cover its obligations under when-issued purchases, forward commitments
and delayed delivery transactions.
Commercial Paper, Bankers' Acceptances, Certificates of Deposit, Time
---------------------------------------------------------------------
Deposits and Bank Notes. Commercial paper represents short-term unsecured
- -----------------------
promissory notes issued in bearer form by banks or bank holding companies,
corporations and finance companies. Certificates of deposit are negotiable
certificates issued against funds deposited in a commercial bank for a definite
period of time and earning a specified return. Bankers' acceptances are
negotiable drafts or bills of exchange, normally drawn by an importer or
exporter to pay for specific merchandise, which are "accepted" by a bank,
meaning, in effect, that the bank unconditionally agrees to pay the face value
of the instrument on maturity. Fixed time deposits are bank obligations payable
at a stated maturity date and bearing interest at a fixed rate. Fixed time
deposits may be withdrawn on demand by the investor, but may be subject to early
withdrawal penalties that vary depending upon market conditions and the
remaining maturity of the obligation. There are no contractual restrictions on
the right to transfer a beneficial interest in a fixed time deposit to a third
party. Bank notes rank junior to deposit liabilities of banks and pari passu
---- -----
with other senior, unsecured obligations of the bank. Bank notes are classified
as "other borrowings" on a bank's balance sheet, while deposit notes and
certificates of deposit are classified as deposits. Bank notes are not insured
by the Federal Deposit Insurance Corporation or any other insurer. Deposit notes
are insured by the Federal Deposit Insurance Corporation only to the extent of
$100,000 per depositor per bank.
Each Portfolio may invest a portion of its assets in the obligations of
foreign banks and foreign branches of domestic banks. Such obligations include
Eurodollar Certificates of Deposit ("ECDs") which are U.S. dollar-denominated
certificates of deposit issued by offices of foreign and domestic banks located
outside the United States; Eurodollar Time Deposits ("ETDs") which are U.S.
dollar-denominated deposits in a foreign branch of a U.S. bank or a foreign
bank; Canadian Time Deposits ("CTDs") which are essentially the same as ETDs
except they are issued by Canadian offices of major Canadian banks; Schedule Bs,
B-13
<PAGE>
which are obligations issued by Canadian branches of foreign or domestic banks;
Yankee Certificates of Deposit ("Yankee CDs") which are U.S. dollar-denominated
certificates of deposit issued by a U.S. branch of a foreign bank and held in
the United States; and Yankee Bankers' Acceptances ("Yankee BAs") which are U.S.
dollar-denominated bankers' acceptances issued by a U.S. branch of a foreign
bank and held in the United States.
Variable and Floating Rate Instruments. With respect to the variable and
--------------------------------------
floating rate instruments that may be acquired by the Portfolios, Northern will
consider the earning power, cash flows and other liquidity ratios of the issuers
and guarantors of such instruments and, if the instruments are subject to demand
features, will continuously monitor their financial status and ability to meet
payment on demand. Where necessary to ensure that a variable or floating rate
instrument meets the Portfolios' quality requirements, the issuer's obligation
to pay the principal of the instrument will be backed by an unconditional bank
letter or line of credit, guarantee or commitment to lend.
Repurchase Agreements. Each Portfolio may enter into repurchase agreements
---------------------
with financial institutions, such as banks and broker-dealers, as are deemed
creditworthy by Northern under guidelines approved by the Trust's Board of
Trustees. The repurchase price under the repurchase agreements will generally
equal the price paid by a Portfolio plus interest negotiated on the basis of
current short-term rates (which may be more or less than the rate on the
securities underlying the repurchase agreement). Securities subject to
repurchase agreements will be held by the Trust's custodian (or subcustodian),
in the Federal Reserve/Treasury book-entry system or by another authorized
securities depository. Repurchase agreements are considered to be loans by a
Portfolio under the 1940 Act.
Reverse Repurchase Agreements. Each Portfolio may borrow funds for
-----------------------------
temporary or emergency purposes by selling portfolio securities to financial
institutions such as banks and broker/dealers and agreeing to repurchase them at
a mutually specified date and price ("reverse repurchase agreements"). Reverse
repurchase agreements involve the risk that the market value of the securities
sold by a Portfolio may decline below the repurchase price. The Portfolio will
pay interest on amounts obtained pursuant to a reverse repurchase agreement.
While reverse repurchase agreements are outstanding, a Portfolio will maintain
in a segregated account liquid assets in an amount at least equal to the market
value of the securities, plus accrued interest, subject to the agreement.
Reverse repurchase agreements are considered to be borrowings by a Portfolio
under the 1940 Act.
Investment Companies. To the extent required by the 1940 Act and the
--------------------
regulations and orders of the SEC thereunder, each
B-14
<PAGE>
Portfolio currently intends to limit its investments in securities issued by
other investment companies so that, as determined immediately after a purchase
of such securities is made, not more than 3% of the total outstanding stock of
any one investment company will be owned by the Portfolio, the Trust as a whole
and their affiliated persons (as defined in the 1940 Act). An investment
company whose securities are purchased by a Portfolio or the Trust is not
obligated to redeem such securities in an amount exceeding 1% of the investment
company's total outstanding securities during any period of less than 30 days.
Therefore, such securities that exceed this amount may be illiquid.
Notwithstanding the foregoing, a Portfolio may adhere to more restrictive
limitations with respect to its investments in securities issued by other
investment companies if required by the SEC or deemed to be in the best
interests of the Trust, and will comply with any fundamental investment
restriction that may otherwise be applicable to such investments. To the extent
required by the 1940 Act, each Portfolio expects to vote the shares of other
investment companies that are held by it in the same proportion as the vote of
all other holders of such securities.
Risks Related to Lower-Rated Securities. While any investment carries some
---------------------------------------
risk, certain risks associated with lower-rated securities are different than
those for investment-grade securities. The risk of loss through default is
greater because lower-rated securities are usually unsecured and are often
subordinate to an issuer's other obligations. Additionally, the issuers of
these securities frequently have high debt levels and are thus more sensitive to
difficult economic conditions, individual corporate developments and rising
interest rates. Consequently, the market price of these securities may be quite
volatile and may result in wider fluctuations of a Portfolio's net asset value
per unit.
There remains some uncertainty about the performance level of the market
for lower-rated securities under adverse market and economic environments. An
economic downturn or increase in interest rates could have a negative impact on
both the market for lower-rated securities (resulting in a greater number of
bond defaults) and the value of lower-rated securities held in the portfolio of
investments.
The economy and interest rates can affect lower-rated securities
differently than other securities. For example, the prices of lower-rated
securities are more sensitive to adverse economic changes or individual
corporate developments than are the prices of higher-rated investments. In
addition, during an economic downturn or period in which interest rates are
rising significantly, highly leveraged issuers may experience financial
difficulties, which, in turn, would adversely affect their ability to service
their principal and interest payment
B-15
<PAGE>
obligations, meet projected business goals and obtain additional financing.
If an issuer of a security defaults, a Portfolio may incur additional
expenses to seek recovery. In addition, periods of economic uncertainty would
likely result in increased volatility for the market prices of lower-rated
securities as well as a Portfolio's net asset value. In general, both the
prices and yields of lower-rated securities will fluctuate.
In certain circumstances it may be difficult to determine a security's fair
value due to a lack of reliable objective information. Such instances occur
where there is not an established secondary market for the security or the
security is lightly traded. As a result, a Portfolio's valuation of a security
and the price it is actually able to obtain when it sells the security could
differ.
Adverse publicity and investor perceptions, whether or not based on
fundamental analysis, may decrease the value and liquidity of lower-rated
securities held by a Portfolio, especially in a thinly traded market. Illiquid
or restricted securities held by the Portfolio may involve special registration
responsibilities, liabilities and costs, and could involve other liquidity and
valuation difficulties.
The ratings of S&P, Moody's, Duff and Fitch evaluate the safety of a
lower-rated security's principal and interest payments, but do not address
market value risk. Because the ratings of the rating agencies may not always
reflect current conditions and events, in addition to using recognized rating
agencies and other sources, Northern performs its own analysis of the issuers
whose lower-rated securities the Portfolio purchases. Because of this, the
Portfolio's performance may depend more on its own credit analysis than is the
case of mutual funds investing in higher-rated securities.
In selecting lower-rated securities, Northern considers factors such as
those relating to the creditworthiness of issuers, the ratings and performance
of the securities, the protections afforded the securities and the diversity of
a Portfolio's investment portfolio. Northern continuously monitors the issuers
of lower-rated securities held by a Portfolio for their ability to make required
principal and interest payments, as well as in an effort to control the
liquidity of the Portfolio so that it can meet redemption requests.
Yields and Ratings. The yields on certain obligations, including the
------------------
instruments in which the Portfolios may invest, are dependent on a variety of
factors, including general market conditions, conditions in the particular
market for the obligation, financial condition of the issuer, size of the
B-16
<PAGE>
offering, maturity of the obligation and ratings of the issue. The ratings of
S&P, Moody's, Duff, Fitch and TBW represent their respective opinions as to the
quality of the obligations they undertake to rate. Ratings, however, are
general and are not absolute standards of quality. Consequently, obligations
with the same rating, maturity and interest rate may have different market
prices.
Subject to the limitations stated in the Prospectus, if a portfolio
security undergoes a rating revision, a Portfolio may continue to hold the
security if Northern determines such retention is warranted.
Calculation of Portfolio Turnover Rate. The portfolio turnover rate for
--------------------------------------
the Portfolios is calculated by dividing the lesser of purchases or sales of
portfolio investments for the reporting period by the monthly average value of
the portfolio investments owned during the reporting period. The calculation
excludes all securities, including options, whose maturities or expiration dates
at the time of acquisition are one year or less. Portfolio turnover may vary
greatly from year to year as well as within a particular year, and may be
affected by cash requirements for redemption of units and by requirements which
enable the Portfolios to receive favorable tax treatment.
INVESTMENT RESTRICTIONS
In addition to the fundamental investment restrictions disclosed in the
Prospectus, each Portfolio is subject to the fundamental investment restrictions
enumerated below which may be changed with respect to a particular Portfolio
only by a vote of the holders of a majority of such Portfolio's outstanding
units.
No Portfolio may:
(1) Make loans, except (a) through the purchase of debt obligations in
accordance with the Portfolio's investment objective and policies, (b)
through repurchase agreements with banks, brokers, dealers and other
financial institutions, and (c) loans of securities.
(2) Mortgage, pledge or hypothecate any assets (other than pursuant to
reverse repurchase agreements) except to secure permitted borrowings.
(3) Purchase or sell real estate, but this restriction shall not
prevent a Portfolio from investing directly or indirectly in portfolio
instruments secured by real estate or interests therein or acquiring
securities of real estate investment trusts or other issuers that deal
in real estate.
B-17
<PAGE>
(4) Purchase or sell commodities or commodity contracts or oil or gas
or other mineral exploration or development programs, except that each
Portfolio may, to the extent appropriate to its investment policies,
purchase securities of companies engaging in whole or in part in such
activities, enter into futures contracts and related options, and
enter into forward currency contracts in accordance with its
investment objective and policies.
(5) Invest in companies for the purpose of exercising control.
(6) Act as underwriter of securities, except as a Portfolio may be
deemed to be an underwriter under the Securities Act of 1933 in
connection with the purchase and sale of portfolio instruments in
accordance with its investment objective and portfolio management
policies.
(7) Write puts, calls or combinations thereof, except for transactions
in options on securities, financial instruments, currencies and
indices of securities (and in the case of the International Growth
Portfolio, yield curve options); futures contracts; options on futures
contracts; forward currency contracts; short sales of securities
against the box; interest rate swaps; and pair-off transactions
(except in the case of the International Growth Portfolio).
(8) Purchase the securities of any issuer if such purchase would cause
more than 10% of the voting securities of such issuer to be held by
the Portfolio, except that up to 25% of the value of its total assets
may be invested without regard to this 10% limitation, and also except
that with respect to the International Equity Index Portfolio, this
investment restriction does not apply to securities of other
investment companies.
(9) Purchase securities (other than obligations issued or guaranteed
by the U.S. Government, its agencies or instrumentalities and, in the
case of the International Equity Index Portfolio, securities of other
investment companies) if such purchase would cause more than 25% in
the aggregate of the market value of the total assets of a Portfolio
to be invested in the securities of one or more issuers having their
principal business activities in the same industry. For the
purposes of this restriction, as to utility companies, the gas,
electric, water and telephone businesses are considered separate
industries; personal
B-18
<PAGE>
credit finance companies and business credit finance companies are
deemed to be separate industries; and wholly-owned finance companies
are considered to be in the industries of their parents if their
activities are primarily related to financing the activities of their
parents.
(10) Borrow money (other than pursuant to reverse repurchase
agreements), except (a) as a temporary measure, and then only in
amounts not exceeding 5% of the value of the Portfolio's total assets
or (b) from banks, provided that immediately after any such borrowing
all borrowings of the Portfolio do not exceed one-third of the
Portfolio's total assets. No purchases of securities will be made if
borrowings subject to this restriction exceed 5% of the value of the
Portfolio's assets. The exceptions in (a) and (b) to this restriction
are not for investment leverage purposes but are solely for
extraordinary or emergency purposes or to facilitate management of the
Portfolios by enabling the Trust to meet redemption requests when the
liquidation of Portfolio instruments is deemed to be disadvantageous
or not possible. If due to market fluctuations or other reasons the
total assets of a Portfolio fall below 300% of its borrowings, the
Trust will promptly reduce the borrowings of such Portfolio in
accordance with the 1940 Act.
(11) Purchase the securities of any one issuer, (other than
obligations issued or guaranteed by the U.S. Government, its agencies
or instrumentalities and, in the case of the International Equity
Index Portfolios, securities of other investment companies) if
immediately after such purchase more than 5% of the value of such
Portfolio's total assets would be invested in such issuer, except
that: (a) up to 25% of the value of the total assets of each
Portfolio may be invested in any securities without regard to this 5%
limitation; and (b) with respect to each Portfolio, such 5% limitation
shall not apply to repurchase agreements collateralized by obligations
of the U.S. Government, its agencies or instrumentalities.
* * *
In applying Restriction No. 11 above, a security is considered to be issued
by the entity, or entities, whose assets and revenues back the security. A
guarantee of a security is not deemed to be a security issued by the guarantor
when the value of all securities issued and guaranteed by the guarantor, and
owned by a Portfolio, does not exceed 10% of the value of the Portfolio's total
assets.
B-19
<PAGE>
Except to the extent otherwise provided in Investment Restriction (9) for
the purpose of such restriction, in determining industry classification the
Trust intends to use the industry classification titles in the Standard
Industrial Classification Manual (except that the International Growth Portfolio
and the International Equity Index Portfolio will use The Morgan Stanley Capital
International industry classification titles). Securities held in escrow or
separate accounts in connection with a Portfolio's investment practices
described in this Additional Statement and in the Prospectus are not deemed to
be mortgaged, pledged or hypothecated for purposes of the foregoing Investment
Restrictions.
In addition, as a matter of fundamental policy, the International Equity
Index and International Growth Portfolios will not issue senior securities
except as stated in the Prospectus or this Additional Statement.
Any restriction which involves a maximum percentage will not be considered
violated unless an excess over the percentage occurs immediately after, and is
caused by, an acquisition or encumbrance of securities or assets of, or
borrowings by, a Portfolio.
ADDITIONAL TRUST INFORMATION
TRUSTEES AND OFFICERS
Information pertaining to the Trustees and officers of the Trust is set forth
below.
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
William H. Springer, 68 Chairman Vice Chairman of Ameritech
701 Morningside Drive and Trustee (a telecommunications holding
Lake Forest, IL 60045 company), from February 1987
to retirement in August 1992;
Vice Chairman, Chief Financial
and Administrative Officer of
Ameritech prior to 1987;
Director, Walgreen Co. (a
retail drug store business);
Director of Baker, Fentress &
Co. (a closed-end, non-diver-
sified management investment
company) from April 1992 to
B-20
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
present; Trustee, Goldman
Sachs Trust from 1989 to present.
Richard Gordon Cline, 62 Trustee Chairman, Hawthorne Investors,
4200 Commerce Court Inc. (a management advisory
Suite 300 services and private
Lisle, IL 60532 investment company) since
January 1996; Chairman and CEO
of NICOR Inc. (adiversified
public utility holding
company) from 1986 to 1995,
and President, 1992-1993;
Director: Whitman Corporation
(a diversified holding
company); Kmart Corporation (a
retailing company); Ryerson
Tull, Inc. (a metals
distribution company); and
University of Illinois Foundation.
Edward J. Condon, Jr., 57 Trustee Chairman of The Paradigm Group,
227 West Monroe Street Ltd. (a financial advisor)
Chicago, IL 60606. since July 1993; Vice
President and Treasurer of
Sears, Roebuck and Co. (a
retail corporation) from
February 1989 to July 1993;
within the last five years he
has served as a Director of:
Sears Roebuck Acceptance Corp.;
Discover Credit Corp.;
Sears Receivables Financing
Group, Inc.; Sears Credit
Corp.; and Sears Overseas
Finance N.V; Member of the
Board of Managers of The
Liberty Hampshire Company,
LLC; Vice Chairman and
Director of Energenics LLC;
Director of University
Eldercare, Inc.; Director of
the Girl Scouts of Chicago;
and Trustee of Dominican
University.
B-21
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
John W. English, 64 Trustee Private Investor; Vice President
50-H New England Avenue and Chief Investment Officer
P.O. Box 640 of The Ford Foundation
Summit, NJ 07902-0640. (a charitable trust) from 1981
until 1993; Trustee: The
China Fund, Inc.; Retail
Property Trust; Sierra Trust;
American Red Cross in Greater
New York; Mote Marine
Laboratory; and United Board
for Christian Higher Education
in Asia. Director:
University of Iowa
Foundation; Blanton-Peale
Institutes of Religion and
Health; Community Foundation
of Sarasota County; Duke
Management Company; and John
Ringling Centre Foundation.
James J. Gavin, Jr., 75 Trustee Vice Chairman from January
161 Thorntree Lane 1985 to August 1987 and Senior
Winnetka, Illinois 60093 Vice President-Finance and
Chief Financial Officer from
1975 to January 1985 of
Borg-Warner Corporation (a
diversified manufacturing
company also engaged in
providing financial and
protective services); Director
of Service Corporation
International (a funeral
service/cemetery company)
since September 1986 and
Huntco, Inc. (a major
intermediate steel processor)
since June 1993.
Sandra Polk Guthman, 53 Trustee President and CEO of Polk
420 N. Wabash Avenue Bros. Foundation (an Illinois
Suite 204 not-for-profit corporation)
Chicago, IL 60611 from 1993 to present; Director
of Business Transformation
from 1992-1993, and Midwestern
Director of Marketing from
1988-1992, IBM Corporation;
Director: MBIA Insurance
Corporation of Illinois (bank
holding company) since 1994
and Avondale Financial
B-22
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
Corporation (a stock savings
and loan holding company)
since 1995.
Frederick T. Kelsey, 70 Trustee Consultant to Goldman Sachs
738 York Court from December 1985 through
Northbrook, IL 60062 February 1988; Director of
Goldman Sachs Funds Group
and Vice President of Goldman
Sachs from May 1981 until his
retirement in November 1985;
President and Treasurer of the
Trust and other investment
companies affiliated with
Goldman Sachs through August
1985; President from 1983 to
1985, and Trustee from 1983 to
1984, The Centerland Funds and
its successor, The Pilot Funds;
Trustee, various management
investment companies affiliated
with Zurich Kemper Investments.
Richard P. Strubel, 57 Trustee Managing Director, Tandem
70 West Madison St Partners, Inc. (a privately
Suite 1400 held management services firm)
Chicago, IL 60602 since 1990; President and Chief
Executive Officer, Microdot, Inc.
(a privately held manufacturing
firm) from 1984 to 1994;
Trustee, Goldman Sachs Trust
from 1987 to present; Director
of Kaynar Technologies, Inc.
(a leading manufacturer of
aircraft fasteners); Trustee
of the University of Chicago;
Director of Children's Memorial
Medical Center.
Nancy L. Mucker, 47 Vice Vice President, Goldman Sachs
4900 Sears Tower President (since April 1985); Manager,
Chicago, IL 60606 Shareholder Servicing of GSAM
(since November 1989).
John W. Mosior, 58 Vice Vice President, Goldman Sachs;
4900 Sears Tower President Manager, Shareholder
Chicago, IL 60606 Servicing of GSAM (since
November 1989).
B-23
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
Scott M. Gilman, 37 Treasurer Director, Mutual Funds Admin-
One New York Plaza istration of GSAM (since April
New York, NY 10004 1994); Assistant Treasurer
of Goldman Sachs Funds
Management, Inc. (since March
1993); Vice President, Goldman
Sachs (since March 1990).
John Perlowski, 32 Assistant Vice President, Goldman Sachs
One New York Plaza Treasurer (since July 1995); Director,
New York, NY 10004 Investors Bank and Trust
Company (November 1993 to
July 1995); Audit Manager of
Arthur Anderson, LLP (prior
thereto).
Michael J. Richman, 36 Secretary Associate General Counsel of
85 Broad Street GSAM (since February 1994);
New York, NY 10004 Vice President and Assistant
General Counsel of Goldman
Sachs (since June 1992);
Counsel to the Funds Group,
GSAM (since June 1992);
Partner of Hale and Dorr from
September 1991 to June 1992.
Howard B. Surloff, 32 Assistant Vice President and Assistant
85 Broad Street Secretary General Counsel of Goldman Sachs
New York, NY 10004 (since November 1993 and May
1994, respectively); Counsel
to the Funds Group, GSAM (since
November 1993); Associate
of Shereff Friedman, Hoffman &
Goodman LLP (prior thereto).
Valerie A. Zondorak, 31 Assistant Vice President, Goldman Sachs
85 Broad Street Secretary (since March 1997); Counsel to
New York, NY 10004 the Funds Group, GSAM (since
March 1997); Associate of
Shereff Friedman, Hoffman &
Goodman, LLP (prior thereto).
Steven E. Hartstein, 33 Assistant Legal Products Analyst,
85 Broad Street Secretary Goldman Sachs (since June
New York, NY 10004 1993); Funds Compliance
B-24
<PAGE>
NAME, AGE POSITIONS PRINCIPAL OCCUPATION(S)
AND ADDRESS WITH TRUST DURING PAST 5 YEARS
- ----------- ---------- -------------------
Officer, Citibank Global Asset
Management (August 1991 to
June 1993).
Deborah A. Farrell, 26 Assistant Legal Assistant, Goldman Sachs
85 Broad Street Secretary (since January 1994); Formerly
New York, NY 10004 at Cleary, Gottlieb, Steen
& Hamilton.
Certain of the Trustees and officers and the organizations with which they are
associated have had in the past, and may have in the future, transactions with
Northern, Goldman Sachs and their respective affiliates. The Trust has been
advised by such Trustees and officers that all such transactions have been and
are expected to be in the ordinary course of business and the terms of such
transactions, including all loans and loan commitments by such persons, have
been and are expected to be substantially the same as the prevailing terms for
comparable transactions for other customers. Messrs. Springer, Kelsey, Strubel,
Mosior, Gilman, Richman, Surloff and Hartstein and Mmes. Farrell, Mucker, and
Zondorak hold similar positions with one or more investment companies that are
advised by Goldman Sachs. As a result of the responsibilities assumed by
Northern under its Advisory Agreement, Transfer Agency Agreement, Custodian
Agreement and Foreign Custody Agreement with the Trust and by Goldman Sachs
under its Administration Agreement and Distribution Agreement with the Trust,
the Trust itself requires no employees.
Each officer holds comparable positions with certain other investment companies
of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser,
administrator and/or distributor.
Each Trustee earns a quarterly retainer of $6,250 and the Chairman of the Board
earns a quarterly retainer of $9,375. Each Trustee, including the Chairman of
the Board, earns an additional fee of $1,500 for each meeting attended, plus
reimbursement of expenses incurred as a Trustee.
In addition, the Trustees established an Audit Committee consisting of three
members including a Chairman of the Committee. Each member earns a fee of $1,500
for each meeting attended and the Chairman earns a quarterly retainer of $1,250.
Each Trustee will hold office for an indefinite term until the earliest of (1)
the next meeting of Unitholders if any, called for the purpose of considering
the election or re-election of such Trustee and until the election and
qualification of his or
B-25
<PAGE>
her successor, if any, elected at such meeting; (2) the date a Trustee resigns
or retires, or a Trustee is removed by the Board of Trustees or Unitholders, in
accordance with the Trust's Agreement and Declaration of Trust; or (3) in
accordance with the current resolutions of the Board of Trustees (which may be
changed without Unitholder vote), on the last day of the fiscal year of the
Trust in which he or she attains the age of 72 years (or, in the case of Mr.
Gavin, until November 30, 1997).
The Trust's officers do not receive fees from the Trust for services in such
capacities, although Goldman Sachs, of which they are also officers, receives
fees from the Trust for administrative services.
B-26
<PAGE>
The following table sets forth certain information with respect to the
compensation of each Trustee of the Trust for the one-year period ended November
30, 1996:+
<TABLE>
<CAPTION>
Pension or
Retirement
Benefits Total Compensation
Aggregate Accrued as from Registrant and
Compensation Part of Fund Complex Paid to
Name of Trustee from Registrant Trust's Expenses Trustees
- --------------- --------------- ---------------- -----------------
<S> <C> <C> <C>
William H. Springer $45,000 $0 $45,000
Edward J. Condon, Jr. $32,500 $0 $32,500
John W. English $31,000 $0 $31,000
James J. Gavin $35,000 $0 $35,500
William B. Jordan* $ 2,083 $0 $ 2,083
Frederick T. Kelsey $35,500 $5,325** $40,825
Richard P. Strubel $40,500 $0 $40,500
</TABLE>
* Retired as of December 31, 1995.
** Interest from deferred compensation.
+ Mr. Cline and Ms. Guthman are not included in the foregoing table as they
were not elected as Trustees of the Trust until September 1997.
B-27
<PAGE>
INVESTMENT ADVISER, TRANSFER AGENT AND CUSTODIAN
Northern is one of the nation's leading providers of trust and investment
management services. As of June 30, 1997, Northern had over $149 billion in
assets under management for clients including public and private retirement
funds, endowments, foundations, trusts, corporations, other investment companies
and individuals. Northern is one of the strongest banking organizations in the
United States. Northern believes it has built its organization by serving
clients with integrity, a commitment to quality, and personal attention. Its
stated mission with respect to all its financial products and services is to
achieve unrivaled client satisfaction. With respect to such clients, the Trust
is designed to assist (i) defined contribution plan sponsors and their employees
by offering a range of diverse investment options to help comply with 404(c)
regulation and may also provide educational material to their employees, (ii)
employers who provide post-retirement Employees' Beneficiary Associations
("VEBA") and require investments that respond to the impact of federal
regulations, (iii) insurance companies with the day-to-day management of
uninvested cash balances as well as with longer-term investment needs, and (iv)
charitable and not-for-profit organizations, such as endowments and foundations,
demanding investment management solutions that balance the requirement for
sufficient current income to meet operating expenses and the need for capital
appreciation to meet future investment objectives.
Subject to the general supervision of the Board of Trustees, Northern makes
decisions with respect to and places orders for all purchases and sales of
portfolio securities for the Portfolios. Northern's Advisory Agreement with the
Trust provides that in selecting brokers or dealers to place orders for
transactions (a) on common and preferred stocks, Northern shall use its best
judgment to obtain the best overall terms available, and (b) on bonds and other
fixed income obligations, Northern shall attempt to obtain best net price and
execution. In assessing the best overall terms available for any transaction,
Northern is to consider all factors it deems relevant, including the breadth of
the market in the security, the price of the security, the financial condition
and execution capability of the broker or dealer, and the reasonableness of the
commission, if any, both for the specific transaction and on a continuing basis.
In evaluating the best overall terms available and in selecting the broker or
dealer to execute a particular transaction, Northern may consider the brokerage
and research services provided to the Portfolios and/or other accounts over
which Northern or an affiliate of Northern exercises investment discretion.
These brokerage and research services may include industry and company analyses,
portfolio services, quantitative data, market information systems and economic
and political consulting and analytical services.
B-28
<PAGE>
Transactions on U.S. stock exchanges involve the payment of negotiated
brokerage commissions. On exchanges on which commissions are negotiated, the
cost of transactions may vary among different brokers. Transactions on foreign
stock exchanges involve payment for brokerage commissions which are generally
fixed. Over-the-counter issues, including corporate debt and government
securities, are normally traded on a "net" basis (i.e., without commission)
through dealers, or otherwise involve transactions directly with the issuer of
an instrument. With respect to over-the-counter transactions, Northern will
normally deal directly with dealers who make a market in the instruments
involved except in those circumstances where more favorable prices and execution
are available elsewhere. The cost of foreign and domestic securities purchased
from underwriters includes an underwriting commission or concession, and the
prices at which securities are purchased from and sold to dealers include a
dealer's mark-up or mark-down.
The Portfolios may participate, if and when practicable, in bidding for the
purchase of portfolio securities directly from an issuer in order to take
advantage of the lower purchase price available to members of a bidding group.
The Portfolios will engage in this practice, however, only when Northern
believes such practice to be in the Portfolios' interests.
Northern's investment advisory duties for the Trust are carried out through
its Trust Department. On occasions when Northern deems the purchase or sale of
a security to be in the best interests of a Portfolio as well as other fiduciary
or agency accounts managed by it (including any other Portfolio, investment
company or account for which Northern acts as adviser), the Agreement provides
that Northern, to the extent permitted by applicable laws and regulations, may
aggregate the securities to be sold or purchased for such Portfolio with those
to be sold or purchased for such other accounts in order to obtain best overall
terms available with respect to common and preferred stock, and best net price
and execution with respect to bonds and other fixed income obligations. In such
event, allocation of the securities so purchased or sold, as well as the
expenses incurred in the transaction, will be made by Northern in the manner it
considers to be most equitable and consistent with its fiduciary obligations to
the Portfolio and other accounts involved. In some instances, this procedure
may adversely affect the size of the position obtainable for a Portfolio or the
amount of the securities that are able to be sold for a Portfolio. To the
extent that the execution and price available from more than one broker or
dealer are believed to be comparable, the Agreement permits Northern, at is
discretion but subject to applicable law, to select the executing broker or
dealer on the basis of Northern's opinion of the reliability and quality of such
broker or dealer.
B-29
<PAGE>
The Advisory Agreement provides that Northern may render similar services
to others so long as its services under such Agreement are not impaired thereby.
The Advisory Agreement also provides that the Trust will indemnify Northern
against certain liabilities (including liabilities under the Federal securities
laws relating to untrue statements or omissions of material fact and actions
that are in accordance with the terms of the Agreement) or, in lieu thereof,
contribute to resulting losses.
Under its Transfer Agency Agreement with the Trust, with respect to units
held by Institutions, Northern has undertaken to perform some or all of the
following services: (1) establish and maintain an omnibus account in the name of
each Institution; (2) process purchase orders and redemption requests from an
Institution, furnish confirmations and disburse redemption proceeds; (3) act as
the income disbursing agent of the Trust; (4) answer inquiries from
Institutions; (5) provide periodic statements of account to each Institution;
(6) process and record the issuance and redemption of units in accordance with
instructions from the Trust or its administrator; (7) if required by law,
prepare and forward to Institutions unitholder communications (such as proxy
statements and proxies, annual and semi-annual financial statements, and
dividend, distribution and tax notices); (8) preserve all records; and (9)
furnish necessary office space, facilities and personnel. Under the Transfer
Agency Agreement, with respect to units held by investors, Northern has also
undertaken to perform some or all of the following services: (1) establish and
maintain separate accounts in the name of the investors; (2) process purchase
orders and redemption requests, and furnish confirmations in accordance with
applicable law; (3) disburse redemption proceeds; (4) process and record the
issuance and redemption of units in accordance with instructions from the Trust
or its administrator; (5) act as income disbursing agent of the Trust in
accordance with the terms of the Prospectus and instructions from the Trust or
its administrator; (6) provide periodic statements of account; (7) answer
inquiries (including requests for Prospectuses and Additional Statements, and
assistance in the completion of new account applications) from investors and
respond to all requests for information regarding the Trust (such as current
price, recent performance, and yield data) and questions relating to accounts of
investors (such as possible errors in statements, and transactions); (8) respond
to and seek to resolve all complaints of investors with respect to the Trust or
their accounts; (9) furnish proxy statements and proxies, annual and semi-annual
financial statements, and dividend, distribution and tax notices to investors;
(10) furnish the Trust all pertinent Blue Sky information; (11) perform all
required tax withholding; (12) preserve records; and (13) furnish necessary
office space, facilities and personnel. Northern may appoint one or more sub-
transfer agents in the performance of its services.
B-30
<PAGE>
As compensation for the services rendered by Northern under the Transfer
Agency Agreement and the assumption by Northern of related expenses, Northern is
entitled to a fee from the Trust, payable monthly, at an annual rate of .01%,
.05%, .10% and .15% of the average daily net asset value of the Class A, B, C
and D units, respectively, in the Portfolios.
Under its Custodian Agreement (and in the case of the International Growth
Portfolio and International Equity Index Portfolio, its Foreign Custody
Agreement) with the Trust, Northern (1) holds each Portfolio's cash and
securities, (2) maintains such cash and securities in separate accounts in the
name of the Portfolio, (3) makes receipts and disbursements of funds on behalf
of the Portfolio, (4) receives, delivers and releases securities on behalf of
the Portfolio, (5) collects and receives all income, principal and other
payments in respect of the Portfolio's investments held by Northern under the
Agreement, and (6) maintains the accounting records of the Trust. Northern may
employ one or more subcustodians, provided that Northern shall have no more
responsibility or liability to the Trust on account of any action or omission of
any subcustodian so employed than such subcustodian has to Northern and that the
responsibility or liability of the subcustodian to Northern shall conform to the
resolution of the Trustees of the Trust authorizing the appointment of the
particular subcustodian (or, in the case of foreign securities, to the terms of
any agreement entered into between Northern and such subcustodian to which such
resolution relates). In addition, the Trust's custodial arrangements provide,
with respect to foreign securities, that Northern shall not be: (i) responsible
for the solvency of any subcustodian appointed by it with reasonable care; (ii)
responsible for any act, omission, default or for the solvency of any eligible
foreign securities depository; and (iii) liable for any loss, damage, cost,
expense, liability or claim resulting from nationalization, expropriation,
currency restrictions, or acts of war or terrorism or any loss where the
subcustodian has otherwise exercised reasonable care. Northern may also appoint
agents to carry out such of the provisions of the Custodian Agreement and the
Foreign Custody Agreement as Northern may from time to time direct, provided
that the appointment of an agent shall not relieve Northern of any of its
responsibilities under either Agreement. Northern has entered into agreements
with financial institutions and depositories located in foreign countries with
respect to the custody of the Portfolio's foreign securities.
As compensation for the services rendered to the Trust by Northern as
custodian with respect to each Portfolio except the International Growth
Portfolio and International Equity Index Portfolio, and the assumption by
Northern of certain related expenses, Northern is entitled to payment from the
Trust as follows: (i) $18,000 annually for each Portfolio, plus (ii)
B-31
<PAGE>
1/100th of 1% annually of each Portfolio's average daily net assets to the
extent they exceed $100 million, plus (iii) a fixed dollar fee for each trade in
portfolio securities, plus (iv) a fixed dollar fee for each time that Northern
as Custodian receives or transmits funds via wire, plus (v) reimbursement of
expenses incurred by Northern as custodian for telephone, postage, courier fees,
office supplies and duplicating. The fees referred to in clauses (iii) and (iv)
are subject to annual upward adjustments based on increases in the Consumer
Price Index for All Urban Consumers, provided that Northern may permanently or
temporarily waive all or any portion of any upward adjustment.
As compensation for the services rendered to the Trust under the Foreign
Custody Agreement with respect to the International Growth Portfolio and
International Equity Index Portfolio, and the assumption by Northern of certain
related expenses, Northern is entitled to payment from the Trust as follows:
(i) $35,000 annually for the International Growth Portfolio and International
Equity Index Portfolio, plus (ii) 9/100th of 1% annually of the Portfolios'
average daily net assets, plus (iii) reimbursement for fees incurred by Northern
as foreign custodian for telephone, postage, courier fees, office supplies and
duplicating.
Unless sooner terminated, the Advisory Agreement, Custodian Agreement (or
in the case of the International Growth Portfolio and International Equity Index
Portfolio, the Foreign Custody Agreement) and Transfer Agency Agreement between
Northern and the Trust will continue in effect with respect to a particular
Portfolio until April 30, 1998 and thereafter for successive 12-month periods,
provided that the continuance is approved at least annually (1) by the vote of a
majority of the Trustees who are not parties to the agreement or "interested
persons" (as such term is defined in the 1940 Act) of any party thereto, cast in
person at a meeting called for the purpose of voting on such approval, and (2)
by the Trustees or by the vote of a majority of the outstanding units of such
Portfolio (as defined below under "Other Information"). Each agreement is
terminable at any time without penalty by the Trust (by specified Trustee or
unitholder action) on 60 days' written notice to Northern and by Northern on 60
days' written notice to the Trust.
For the fiscal periods ended November 30 as indicated, the amount of the
Advisory Fee incurred by each Portfolio (after fee waivers) was:
<TABLE>
<CAPTION>
1996 1995 1994
-------- --------- ---------
<S> <C> <C> <C>
Balanced Portfolio (1) $226,872 $181,249 $118,582
Equity Index Portfolio (2) 603,016 380,061 265,647
Diversified Growth Portfolio (2) 768,689 845,029 1,019,000
Focused Growth Portfolio (1) 811,643 609,180 389,125
</TABLE>
B-32
<PAGE>
Small Company Index Portfolio (2) 212,150 172,085 148,538
International Growth Portfolio (3) 1,089,874 1,180,413 648,520
____________________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the same fiscal periods ended November 30 as indicated,
Northern waived advisory fees as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
Balanced Portfolio (1) $ 136,185 $ 108,249 $ 71,150
Equity Index Portfolio (2) 1,206,801 760,122 531,397
Diversified Growth Portfolio (2) 349,197 384,104 463,246
Focused Growth Portfolio (1) 304,447 228,443 145,930
Small Company Index Portfolio (2) 212,148 172,085 148,544
International Growth Portfolio (3) 272,159 295,103 161,282
</TABLE>
________________________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated, the amount of the
Transfer Agency Fee incurred by each Portfolio was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
Balanced Portfolio (1) $ 8,853 $ 3,624 $ 2,372
Equity Index Portfolio (2) 92,186 40,881 26,570
Diversified Growth Portfolio (2) 14,368 15,548 18,530
Focused Growth Portfolio (1) 12,738 7,810 4,864
Small Company Index Portfolio (2) 11,706 8,647 7,427
International Growth Portfolio (3) 13,559 14,784 8,107
</TABLE>
__________________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated, the amount of the
Custodian Fee (and in the case of the International Growth Portfolio, the
Foreign Custodian Fee) incurred by each Portfolio was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---- ---- ----
<S> <C> <C> <C>
Balanced Portfolio (1) $ 21,294 $ 25,924 $ 24,023
Equity Index Portfolio (2) 154,259 126,649 108,000
Diversified Growth Portfolio (2) 26,634 34,074 30,346
Focused Growth Portfolio (1) 21,498 25,698 19,578
Small Company Index Portfolio (2) 67,319 65,810 120,118
International Growth Portfolio (3) 170,117 160,492 17,124
</TABLE>
___________________
B-33
<PAGE>
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
Banking laws and regulations currently prohibit a bank holding company
registered under the Federal Bank Holding Company Act of 1956 or any bank or
non-bank affiliate thereof from sponsoring, organizing, controlling or
distributing the shares of a registered open-end investment company continuously
engaged in the issuance of its shares, but such banking laws and regulations do
not prohibit such a holding company or affiliate or banks generally from acting
as investment adviser, transfer agent or custodian to such an investment
company, or from purchasing shares of such a company as agent for and upon the
order of customers. Northern believes that it may perform the services
contemplated by its agreements with the Trust without violation of such banking
laws or regulations, which are applicable to it. It should be noted, however,
that future changes in either Federal or state statutes and regulations relating
to the permissible activities of banks and their subsidiaries or affiliates, as
well as future judicial or administrative decisions or interpretations of
current and future statutes and regulations, could prevent Northern from
continuing to perform such services for the Trust.
Should future legislative, judicial or administrative action prohibit or
restrict the activities of Northern in connection with the provision of services
on behalf of the Trust, the Trust might be required to alter materially or
discontinue its arrangements with Northern and change its method of operations.
It is not anticipated, however, that any change in the Trust's method of
operations would affect the net asset value per unit of any Portfolio or result
in a financial loss to any unitholder. Moreover, if current restrictions
preventing a bank from legally sponsoring, organizing, controlling or
distributing units of an open-end investment company were relaxed, the Trust
expects that Northern would consider the possibility of offering to perform some
or all of the services now provided by Goldman Sachs. It is not possible, of
course, to predict whether or in what form such restrictions might be relaxed or
the terms upon which Northern might offer to provide services for consideration
by the Trustees.
Goldman Sachs is also an active investor, dealer and/or underwriter in many
types of stocks, bonds and other instruments. Its activities in this regard
could have some effect on the market for those instruments which the Portfolios
acquire, hold or sell.
In the Advisory Agreement, Northern agrees that the name "The Benchmark"
may be used in connection with the Trust's business on a royalty-free basis.
Northern has reserved to
B-34
<PAGE>
itself the right to grant the non-exclusive right to use the name "The
Benchmark" to any other person. The Advisory Agreement provides that at such
time as the Agreement is no longer in effect, the Trust will cease using the
name "The Benchmark." (This undertaking by the Trust may be subject to certain
legal limitations.)
PORTFOLIO TRANSACTIONS
To the extent that a Portfolio effects brokerage transactions with Goldman
Sachs or any broker-dealer affiliated directly or indirectly with Northern or
its manager, such transactions, including the frequency thereof, the receipt of
any commissions payable in connection therewith, and the selection of the
affiliated broker-dealer effecting such transactions, will be fair and
reasonable to the unitholders of the Portfolio.
B-35
<PAGE>
For the fiscal periods ended November 30 as indicated each Portfolio paid
brokerage commissions as follows:
<TABLE>
<CAPTION>
Total Total Brokerage
Fiscal Brokerage Amount of Commissions
Year Total Commissions Transactions Paid
Ended Brokerage Paid to On Which to Brokers
November Commissions Affiliated Commissions Providing
30, 1996: Paid Persons Paid Research
- --------- ---- ------- ---- --------
<S> <C> <C> <C> <C>
Balanced
Portfolio $ 53,002 $ 0 $ 33,133,354 $ 34,545
Equity
Index
Portfolio 86,325 0 176,685,003 71,053
Focused
Growth
Portfolio 325,022 5.607 189,320,203 248,133
(1.73)* (1.10%)**
Diversified
Growth
Portfolio 266,884 0 170,853,039 228,062
Small
Company
Index
Portfolio 90,057 0 74,698,179 44,761
International
Growth
Portfolio 1,797,065 0 531,192,806 636,028
</TABLE>
(*) Percentage of total commissions paid.
(**) Percentage of total amount of transactions involving the payment of
commissions effected through affiliated persons.
B-36
<PAGE>
<TABLE>
<CAPTION>
Total Total Brokerage
Fiscal Brokerage Amount of Commissions
Year Total Commissions Transactions Paid
Ended Brokerage Paid to On Which to Brokers
November Commissions Affiliated Commissions Providing
30, 1995: Paid Persons Paid Research
- --------- ---- ------- ---- --------
<S> <C> <C> <C> <C>
Balanced
Portfolio $ 45,837 $ 0 $ 24,906,175 $ 39,287
Equity
Index
Portfolio 112,575 0 152,546,455 112,575
Focused
Growth
Portfolio 192,628 0 111,053,831 146,993
Diversified
Growth
Portfolio 438,884 3,360 248,311,354 367,010
(.76%)* (.51%)**
Small
Company
Index
Portfolio 102,688 0 58,429,480 51,692
International
Growth
Portfolio 2,121,410 4,425 575,340,692 787,039
(.21%)* (.36%)**
</TABLE>
(*) Percentage of total commissions paid.
(**) Percentage of total amount of transactions involving the payment of
commissions effected through affiliated persons.
B-37
<PAGE>
<TABLE>
<CAPTION>
Total Total Brokerage
Fiscal Brokerage Amount of Commissions
Year Total Commissions Transactions Paid
Ended Brokerage Paid to On Which to Brokers
November Commissions Affiliated Commissions Providing
30, 1994: Paid Persons Paid Research
- --------- ---- ------- ---- --------
<S> <C> <C> <C> <C>
Balanced $ 37,199 $ 0 $ 20,763,184 $ 23,386
Portfolio (0%)**
Equity 100,947 322 (.32%)* 191,367,381 70,919
Index (.08%)**
Portfolio
Diversified 357,742 0 220,310,149 267,491
Growth (0%)**
Portfolio
Focused 118,543 0 100,491,832 96,058
Growth (0%)**
Portfolio
Small $188,410 $ 0 $110,249,401 114,478
Company (0%)**
Index
Portfolio
International $843,097 $194 (.02%)* $205,832,703 0
Growth (.04%)**
Portfolio***
</TABLE>
(*) Percentage of total commissions paid.
(**) Percentage of total amount of transactions involving the payment of
commissions effected through affiliated persons.
(***) For the period March 28, 1994 through November 30, 1994.
B-38
<PAGE>
During the fiscal year ended November 30, 1996, the Equity Index Portfolio
acquired and sold securities of Merrill Lynch & Co., Inc., Salomon Brothers,
Inc., Morgan Stanley Group, Inc. and J.P. Morgan & Co., Inc., each a regular
broker/dealer. At November 30, 1996, the Equity Index Portfolio owned the
following amounts of securities of its regular broker/dealers, as defined in
Rule 10b-1 under the 1940 Act, or their parents: Merrill Lynch, with an
approximate aggregate value of $1,709,000, Salomon Brothers, with an approximate
aggregate value of $607,000, Morgan Stanley, with an approximate aggregate value
of $1,148,000 and J.P. Morgan, with an approximate aggregate value of
$2,218,000.
During the fiscal year ended November 30, 1996, the International Growth
Portfolio acquired and sold securities of Nomura Securities Co., Ltd., a regular
broker/dealer. At November 30, 1996, the International Growth Portfolio owned
the following amounts of securities of its regular broker/dealers, as defined in
Rule 10b-1 under the 1940 Act, or their parents: Nomura Securities, with an
approximate aggregate value of $422,000.
During the fiscal year ended November 30, 1996, the Balanced Portfolio
acquired and sold securities of Lehman Brothers, Inc. and Salomon Brothers,
Inc., each a regular broker/dealer. At November 30, 1996, the Balanced Portfolio
owned the following amounts of securities of its regular/dealers, as defined in
Rule 10b-1 under the 1940 Act, or their parents: Lehman Brothers, with an
approximate aggregate value of $480,000 and Salomon Brothers, with an
approximate aggregate value of $498,000.
ADMINISTRATOR AND DISTRIBUTOR
Under its Administration Agreement with the Trust, Goldman Sachs, subject
to the general supervision of the Trust's Board of Trustees, acts as the Trust's
Administrator. In this capacity, Goldman Sachs (1) provides supervision of
certain aspects of the Trust's non-investment advisory operations (the parties
giving due recognition to the fact that certain of such operations are performed
by Northern pursuant to the Trust's agreements with Northern), (2) provides the
Trust, to the extent not provided pursuant to such agreements, with such
personnel as are reasonably necessary for the conduct of the Trust's affairs,
(3) arranges, to the extent not provided pursuant to such agreements, for the
preparation at the Trust's expense of its tax returns, reports to unitholders,
periodic updating of the Prospectus issued by the Trust, and reports filed with
the SEC and other regulatory authorities (including qualification under state
securities or Blue Sky laws of the Trust's units), and (4) provides the Trust,
to the extent not provided pursuant to such agreements, with adequate office
space and equipment and certain related services in Chicago.
B-39
<PAGE>
For the fiscal periods ended November 30 as indicated, Goldman Sachs
received fees under the Administration Agreement (after fee waivers) in the
amount of:
<TABLE>
<CAPTION>
1996 1995 1994
--------- -------- --------
<S> <C> <C> <C>
Balanced Portfolio (1) $ 45,373 $ 36,250 $ 23,716
Equity Index Portfolio (2) 603,816 380,061 265,699
Diversified Growth Portfolio (2) 139,259 153,642 185,295
Focused Growth Portfolio (1) 101,553 76,148 48,643
Small Company Index Portfolio (2) 106,073 86,043 74,272
International Growth Portfolio (3) 136,235 147,552 81,070
</TABLE>
____________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
For the fiscal periods ended November 30 as indicated and prior to May 1,
1997, Goldman Sachs voluntarily agreed to waive a portion of its Administration
Fee for each Portfolio resulting in an effective fee of .10% of the average
daily net assets for each Portfolio. The effect of these waivers by Goldman
Sachs was to reduce administration fees by the following amounts:
<TABLE>
<CAPTION>
1996 1995 1994
-------- -------- --------
<S> <C> <C> <C>
Balanced Portfolio (1) $ 68,595 $ 54,375 $ 34,000
Equity Index Portfolio (2) 176,462 229,985 232,849
Diversified Growth Portfolio (2) 170,691 176,821 192,499
Focused Growth Portfolio (1) 148,402 114,221 72,967
Small Company Index Portfolio (2) 152,457 129,064 111,408
International Growth Portfolio (3) 168,984 173,776 187,000
</TABLE>
__________________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
In addition, pursuant to an undertaking that commenced August 1, 1992,
Goldman Sachs agreed that, if its administration fees (less expense
reimbursements paid by Goldman Sachs to the Trust and less certain marketing
expenses paid by Goldman Sachs) exceed a specified amount ($1 million for the
Trust's first twelve investment portfolios plus $50,000 for each additional
portfolio) during the current fiscal year, Goldman Sachs will waive a portion of
its administration fees during the following fiscal year. This undertaking may
be terminated by Goldman Sachs at any time without the consent of the Trust or
the unitholders. There have been no waivers pursuant to this agreement during
the last three fiscal periods.
Goldman Sachs has agreed for the current fiscal year to reimburse each
Portfolio for all expenses (including fees payable to Goldman Sachs as
administrator, but excluding the fees payable to Northern for its duties as
investment adviser or transfer
B-40
<PAGE>
agent, servicing fees and extraordinary expenses) which exceed on an annualized
basis .25% of the International Equity Index and International Growth
Portfolios' respective average daily net assets and .10% of each other
Portfolio's average daily net assets. Prior to May 1, 1997, this undertaking
was voluntary with respect to the Portfolios. As of May 1, 1997, this
undertaking is contractual with respect to all Portfolios. The effect of these
reimbursements by Goldman Sachs for the fiscal periods ended November 30 as
indicated were to reduce the expenses of each Portfolio by:
<TABLE>
<CAPTION>
1996 1995 1994
-------- -------- --------
<S> <C> <C> <C>
Balanced Portfolio (1) $ 65,547 $ 79,928 $104,929
Equity Index Portfolio (2) 306,865 194,615 208,610
Diversified Growth Portfolio (2) 98,425 100,038 118,579
Focused Growth Portfolio (1) 80,020 87,261 91,040
Small Company Index Portfolio (2) 134,838 116,594 132,794
International Growth Portfolio (3) 55,347 N/A N/A
</TABLE>
__________
(1) Commenced investment operations on July 1, 1993.
(2) Commenced investment operations on January 11, 1993.
(3) Commenced investment operations on March 28, 1994.
Unless sooner terminated the Administration Agreement will continue in
effect with respect to a particular Portfolio until April 30, 1998, and
thereafter for successive 12-month periods, provided that the agreement is
approved annually (1) by the vote of a majority of the Trustees who are not
parties to the agreement or "interested persons" (as such term is defined by the
1940 Act) of any party thereto, cast in person at a meeting called for the
purpose of voting on such approval, and (2) by the Trustees or by the vote of a
majority of the outstanding units of such Portfolio (as defined below under
"Other Information"). The Administration Agreement is terminable at any time
without penalty by the Trust (upon specified Trustee or unitholder action) on 60
days' written notice to Goldman Sachs and by Goldman Sachs on 60 days' written
notice to the Trust.
The Trust has entered into a Distribution Agreement under which Goldman
Sachs, as agent, sells units of each Portfolio on a continuous basis. Goldman
Sachs pays the cost of printing and distributing prospectuses to persons who are
not unitholders of the Trust (excluding preparation and typesetting expenses)
and of certain other distribution efforts. No compensation is payable by the
Trust to Goldman Sachs for such distribution services.
The Administration Agreement and the Distribution Agreement provide that
Goldman Sachs may render similar services to others so long as its services
under such Agreements are not impaired thereby. The Administration Agreement
provides that the Trust will indemnify Goldman Sachs against certain liabilities
B-41
<PAGE>
(including liabilities under the Federal securities laws relating to untrue
statements or omissions of material fact and actions that are in accordance with
the terms of the Administration Agreement and Distribution Agreement) or, in
lieu thereof, contribute to resulting losses.
UNITHOLDER SERVICING PLAN
As stated in the Portfolios' Prospectus, Institutions may enter into
Servicing Agreements with the Trust under which they provide (or arrange to have
provided) support services to their Customers or other investors who
beneficially own such units in consideration of the Portfolios' payment of not
more than .10%, .15% and .25% (on an annualized basis) of the average daily net
asset value of the Class B, C and D units, respectively, beneficially owned by
such Customers or investors.
For the fiscal periods ended November 30 as indicated, the aggregate amount
of the Unitholder Service Fee incurred by each class of each Portfolio then in
existence was as follows:
<TABLE>
<CAPTION>
1996 1995 1994
---------- --------- ------
<S> <C> <C> <C>
Balanced Portfolio
Class B N/A N/A N/A
Class C (1) $7,122.84 N/A N/A
Class D (2) 61.37 N/A N/A
Equity Index Portfolio
Class B N/A N/A N/A
Class C (3) 46,497.48 $4,339.08 N/A
Class D (4) 7,257.26 479.72 $ 0.34
Diversified Growth Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (4) 703.37 326.04 10.94
Focused Growth Portfolio
Class B N/A N/A N/A
Class C (5) 3,027.51 N/A N/A
Class D (6) 1,223.71 436.94 N/A
Small Company Index Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (6) 251.66 44.71 N/A
International Growth Portfolio
Class B N/A N/A N/A
Class C N/A N/A N/A
Class D (7) 200.72 4.25 0.20
</TABLE>
(1) Class C Units were issued on December 29, 1995.
(2) Class D Units were issued on February 20, 1996.
(3) Class C Units were issued on September 28, 1995.
(4) Class D Units were issued on September 14, 1994.
(5) Class C Units were issued on June 14, 1996.
B-42
<PAGE>
(6) Class D Units were issued on December 8, 1994.
(7) Class D Units were issued on November 16, 1994.
Services provided by or arranged to be provided by Institutions under their
Servicing Agreements may include: (1) establishing and maintaining separate
account records of Customers or other investors; (2) providing Customers or
other investors with a service that invests their assets in units of certain
classes pursuant to specific or pre-authorized instructions, and assistance with
new account applications; (3) aggregating and processing purchase and redemption
requests for units of certain classes from Customers or other investors, and
placing purchase and redemption orders with the Transfer Agent; (4) issuing
confirmations to Customers or other investors in accordance with applicable law;
(5) arranging for the timely transmission of funds representing the net purchase
price or redemption proceeds; (6) processing dividend payments on behalf of
Customers or other investors; (7) providing information periodically to
Customers or other investors showing their positions in units; (8) responding to
Customer or other investor inquiries (including requests for prospectuses), and
complaints relating to the services performed by the Institutions; (9) acting as
liaison with respect to all inquiries and complaints from Customers and other
investors relating to errors committed by the Trust or its agents, and other
matters pertaining to the Trust; (10) providing or arranging for another person
to provide subaccounting with respect to units of certain classes beneficially
owned by Customers or other investors; (11) if required by law, forwarding
unitholder communications from the Trust (such as proxy statements and proxies,
unitholder reports, annual and semi-annual financial statements and dividend,
distribution and tax notices) to Customers and other investors; (12) providing
such office space, facilities and personnel as may be required to perform its
services under the Servicing Agreement; (13) maintaining appropriate management
reporting and statistical information; (14) paying expenses related to the
preparation of educational and other explanatory materials in connection with
the development of investor services; (15) developing and monitoring investment
programs; and (16) providing such other similar services as the Trust may
reasonably request to the extent the Institutions are permitted to do so under
applicable statutes, rules and regulations.
The Trust's agreements with Institutions are governed by a Plan (called the
"Unitholder Servicing Plan"), which has been adopted by the Board of Trustees.
Pursuant to the Unitholder Servicing Plan, the Board of Trustees will review, at
least quarterly, a written report of the amounts expended under the Trust's
agreements with Institutions and the purposes for which the expenditures were
made. In addition, the arrangements with Institutions must be approved annually
by a majority of the Board of Trustees, including a majority of the Trustees who
are not
B-43
<PAGE>
"interested persons" of the Trust, as defined in the 1940 Act, and have no
direct or indirect financial interest in such arrangements.
The Board of Trustees has approved the arrangements with Institutions based
on information provided by the Trust's service contractors that there is a
reasonable likelihood that the arrangements will benefit the Portfolios and
their unitholders by affording the Portfolios greater flexibility in connection
with the servicing of the accounts of the beneficial owners of their units in an
efficient manner.
COUNSEL AND AUDITORS
Drinker Biddle & Reath LLP, with offices at 1345 Chestnut Street, Suite
1100, Philadelphia, Pennsylvania 19107, serve as counsel to the Trust.
Ernst & Young LLP, independent auditors, Sears Tower, 233 S. Wacker Drive,
Chicago, Illinois 60606-6301, have been selected as auditors of the Trust. In
addition to audit services, Ernst & Young LLP reviews the Trust's Federal and
state tax returns, and provides consultation and assistance on accounting,
internal control and related matters.
IN-KIND PURCHASES
Payment for units of a Portfolio may, in the discretion of Northern, be
made in the form of securities that are permissible investments for the
Portfolio as described in the Prospectus. For further information about this
form of payment, contact Northern. In connection with an in-kind securities
payment, a Portfolio will require, among other things, that the securities be
valued on the day of purchase in accordance with the pricing methods used by the
Portfolio and that the Portfolio receive satisfactory assurances that it will
have good and marketable title to the securities received by it; that the
securities be in proper form for transfer to the Portfolio; and that adequate
information be provided concerning the basis and other tax matters relating to
the securities.
The additional transaction fee described in the Prospectus with respect to
the Small Company Index Portfolio and the International Equity Index Portfolio
does not apply to in-kind purchases of units that are structured to minimize the
related brokerage, market impact costs and other transaction costs to such
Portfolios as described in the Prospectus.
B-44
<PAGE>
PERFORMANCE INFORMATION
Each Portfolio that advertises an "average annual total return" for a class
of units computes such return by determining the average annual compounded rate
of return during specified periods that equates the initial amount invested to
the ending redeemable value of such investment according to the following
formula:
T-(ERV)1 1
--- -
(P) 2
Where: T = average annual total return.
ERV = ending redeemable value at the end of the applicable
period (or fractional portion thereof) of a hypothetical $1,000
payment made at the beginning of the period.
P = hypothetical initial payment of $1,000.
n = period covered by the computation, expressed in
terms of years.
Each Portfolio that advertises an "aggregate total return" for a class of
units computes such return by determining the aggregate compounded rates of
return during specified periods that likewise equate the initial amount invested
to the ending redeemable value of such investment. The formula for calculating
aggregate total return is as follows:
T-[(ERV)]-1
---
[(P)]
The calculations are made assuming that (1) all dividends and capital gain
distributions are reinvested on the reinvestment dates at the price per unit
existing on the reinvestment date, (2) all recurring fees charged to all
unitholder accounts are included, and (3) the portfolio transaction fee is taken
into account for purchases of units of the Small Company Index Portfolio and the
International Equity Index Portfolio. The ending redeemable value (variable
"ERV" in the formula) is determined by assuming complete redemption of the
hypothetical investment after deduction of all nonrecurring charges at the end
of the measuring period.
The average annual total and aggregate total returns shown below for the
Diversified Growth, Equity Index, Small Company
B-45
<PAGE>
Index and International Growth Portfolios include, for periods prior to the
commencement of the Portfolios' operations, the performance of predecessor
collective funds adjusted to reflect the higher estimated fees and expenses
applicable to such Portfolios' Class A Units at the time of their commencement.
Although all such predecessor collective funds were managed by Northern for the
periods stated in a manner and pursuant to investment objectives that were
equivalent in all material respects to the management and investment objectives
of the corresponding Portfolios, such predecessor collective funds were not
registered under the 1940 Act and were not subject to certain investment
restrictions imposed by the 1940 Act. If they had been registered under the 1940
Act, performance might have been adversely affected. The average annual total
returns and aggregate total returns shown for the Portfolios for their Class C
and/or Class D units also include, for the periods prior to the inception of
such classes, the performance of the Portfolios' Class A Units. Because the fees
and expenses of Class C and Class D Units are, respectively, 0.24% and 0.39%
higher than those of Class A Units, actual performance for periods prior to the
inception of Class C and Class D Units would have been lower if such higher fees
and expenses had been taken into account.
Following commencement of operations of the Portfolios, Goldman Sachs reimbursed
expenses to the Portfolios and voluntarily agreed to reduce a portion of its
administration fee for each Portfolio pursuant to the undertaking described
above under "Additional Trust Information - Administrator and Distributor" and
"-Investment Adviser, Transfer Agent and Custodian," and Northern waived a
portion of its investment advisory fees with respect to the Portfolios. The
average annual total returns and aggregate total returns of each Portfolio with
respect to Class A, Class C and Class D Units, as applicable, are shown below
with and without such fee waivers and expense reimbursements.
B-46
<PAGE>
FOR PERIODS ENDED MAY 31, 1997
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 Year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
DIVERSIFIED GROWTH/1/
CLASS A
with fee waivers and
expense reimbursements 24.03 12.20 11.09 - 24.03 77.81 186.25 -
w/o fee waivers and
expense reimbursements 23.51 11.72 10.62 - 23.51 74.06 174.37 -
CLASS D
with fee waivers and
expense reimbursements 23.57 11.99 10.99 - 23.57 76.16 183.68 -
w/o fee waivers and
expense reimbursements 23.03 11.51 10.51 - 23.03 72.38 171.72 -
FOCUSED GROWTH/2/
CLASS A
with fee waivers and
expense reimbursements 18.25 - - 13.59 18.25 - - 64.78
w/o fee waivers and
expense reimbursements 17.66 - - 12.91 17.66 - - 60.95
CLASS C
with fee waivers and
expense reimbursements 18.03 - - 13.53 18.03 - - 64.46
w/o fee waivers and
expense reimbursements 17.44 - - 12.88 17.44 - - 60.78
CLASS D
with fee waivers and
expense reimbursements 17.79 - - 13.31 17.79 - - 63.22
w/o fee waivers and
expense reimbursements 17.20 - - 12.64 17.20 - - 59.47
</TABLE>
B-47
<PAGE>
FOR PERIODS ENDED MAY 31, 1997
==============================
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS (%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
EQUITY INDEX /3/
CLASS A
with fee waivers and
expense reimbursements 29.04 18.05 14.37 - 29.04 129.26 282.93 -
w/o fee waivers and
expense reimbursements 28.70 17.66 13.99 - 28.70 125.52 270.54 -
CLASS C
with fee waivers and
expense reimbursements 28.74 17.97 14.32 - 28.74 128.47 281.40 -
w/o fee waivers and
expense reimbursements 28.40 17.58 13.95 - 28.40 124.71 269.22 -
CLASS D
with fee waivers and
expense reimbursements 28.58 17.87 14.28 - 28.58 127.54 279.84 -
w/o fee waivers and
expense reimbursements 28.24 17.49 13.91 - 28.24 123.86 267.81 -
SMALL COMPANY INDEX/4/
CLASS A
with fee waivers and
expense reimbursements 6.68 15.06 - 12.64 6.68 101.69 - 186.37
w/o fee waivers and
expense reimbursements 6.20 14.46 - 12.08 6.20 96.47 - 173.93
CLASS D
with fee waivers and
expense reimbursements 6.94 15.02 - 12.62 6.94 101.31 - 185.84
w/o fee waivers and
expense reimbursements 6.46 14.16 - 11.91 6.46 93.91 - 170.24
</TABLE>
B-48
<PAGE>
<TABLE>
<CAPTION>
FOR PERIODS ENDED MAY 31, 1997
==============================
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 Year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL GROWTH/5/
CLASS A
with fee waivers and
expense reimbursements 7.55 7.81 - 5.83 7.55 45.64 - 48.08
w/o fee waivers and
expense reimbursements 7.16 7.42 - 5.46 7.16 43.03 - 44.54
CLASS D
with fee waivers and
expense reimbursements 7.13 7.59 - 5.68 7.13 44.13 - 46.54
w/o fee waivers and
expense reimbursements 6.75 7.21 - 5.31 6.75 41.62 - 43.11
BALANCED/6/
CLASS A
with fee waivers and
expense reimbursements 16.01 - - 9.65 16.01 - - 43.49
w/o fee waivers and
expense reimbursements 15.35 - - 8.86 15.35 - - 39.47
CLASS C
with fee waivers and
expense reimbursements 15.77 - - 9.54 15.77 - - 42.96
w/o fee waivers and
expense reimbursements 15.11 - - 8.78 15.11 - - 39.07
CLASS D
with fee waivers and
expense reimbursements 15.55 - - 9.51 15.55 - - 42.80
w/o fee waivers and
expense reimbursements 14.89 - - 8.75 14.89 - - 38.91
</TABLE>
B-49
<PAGE>
FOR PERIODS ENDED MAY 31, 1997
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS(%) AGGREGATE TOTAL RETURNS(%)
1 Year 5 Year 10 Year Since 1 Year 5 Year 10 Year Since
------ ------ ------- ------ ------ -------
Inception Inception
--------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY INDEX 7
CLASS A
with fee waivers and
expense reimbursements - - - 10.07 - - - 10.07
w/o fee waivers and
expense reimbursements - - - 8.52 - - - 8.52
</TABLE>
____________________
1. For Class A and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class D Units, performance data from January 11, 1993 to September 14, 1994
(commencement of Class D Units) is that of Class A Units. Because the fees
and expenses of Class D Units are .39% higher than those of Class A Units,
actual performance would have been lower had such higher fees and expenses
been taken into account. The predecessor collective fund has been managed
in a manner and pursuant to investment objectives equivalent in all
material respects to the management and investment objective of the
Portfolio for the periods shown. The performance data of the predecessor
collective fund is adjusted to reflect the higher fees and expenses
applicable to Class A Units at the time of their inception.
2. For Class C and Class D Units, performance from July 1, 1993 to June 14,
1996 (commencement of Class C Units) and December 8, 1994 (commencement of
Class D Units), respectively, is that of Class A Units. Class A Units
commenced operations on July 1, 1993. Because fees and expenses of Class C
and Class D Units are .24% and .39%, respectively, higher than those of
Class A Units, actual performance would have been lower had such higher
expenses been taken into account.
3. For Class A, C and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class C and D Units, performance data from January 11, 1993 to September
28, 1995 (commencement of Class C Units) and September 14, 1994
(commencement of Class D Units), respectively, is that of Class A Units.
Because fees and expenses of Class C and Class D Units are .24% and .39%,
respectively, higher than those of Class A Units, actual performance would
have been lower had such higher fees and expenses been taken into account.
The predecessor collective fund has been managed in a manner and pursuant
to investment objectives equivalent in all material respects to the
management and investment objective of the Portfolio for the periods shown.
The performance data of the predecessor collective fund is adjusted to
reflect the higher fees and expenses applicable to Class A Units at the
time of their inception.
B-50
<PAGE>
4. For Class A and D Units, performance data prior to January 11, 1993
(commencement of Portfolio) is that of a predecessor collective fund. For
Class D Units, performance data from January 11, 1993 to December 8, 1994,
(commencement of Class D Units) is that of Class A Units. Because the fees
and expenses of Class D Units are .39% higher than those of Class A Units,
actual performance would have been lower had such higher fees and expenses
been taken into account. Performance data of the predecessor collective
fund is shown from August 1, 1988 (the date such collective fund was first
managed in a manner and pursuant to investment objectives equivalent in all
material respects to the management and investment objective of the
Portfolio) and is adjusted to reflect the higher fees and expenses
applicable to Class A Units at the time of their inception.
5. For Class A and Class D Units, performance data prior to March 28, 1994
(commencement of Portfolio) is that of a predecessor collective fund. For
Class D Units, performance data from March 28, 1994 to November 16, 1994
(commencement of Class D Units) is that of Class A Units. Because the fees
and expenses of Class D Units are .39% higher than those of Class A Units,
actual performance would have been lower had such higher fees and expenses
been taken into account. Performance data of the predecessor collective
fund is shown from July 1, 1990 (the date such fund was first managed in a
manner and pursuant to investment objectives equivalent in all material
respects to the management and investment objective of the Portfolio) and
is adjusted to reflect the higher fees and expenses applicable to Class A
Units at the time of their inception.
6. For Class C and Class D Units, performance from July 1, 1993 to December
29, 1995 (commencement of Class C Units) and February 20, 1996
(commencement of Class D Units), respectively, is that of Class A Units.
Class A Units commenced operations on July 1, 1993. Because fees and
expenses of Class C and Class D Units are .24% and .39%, respectively,
higher than those of Class A Units, actual performance would have been
lower had such higher expenses been taken into account.
7. Commenced operations on April 1, 1997.
B-51
<PAGE>
The Balanced Portfolio calculates its 30-day (or one month) standard yield as
described in the Prospectus for each class of units in accordance with the
method prescribed by the SEC for mutual funds:
Yield - 2 [(a-b + 1)/6/ - 1]
---
ed
Where: a = dividends and interest earned during the period;
b = expenses accrued for the period (net of reimbursements);
c = average daily number of units outstanding during the period
that were entitled to receive dividends.
d = maximum offering price per unit on the last day of the
period.
For the 30 day period ended May 31, 1997, the annualized yields of the
Class A, Class C and Class D units was 2.99% 2.73% and 2.71%, respectively.
During such period, Goldman to reduce a portion of its administration fees under
"Additional Trust Information - Administrator and Distributor", and Northern
waived a portion of its investment advisory fees with respect to administration
fee reductions and expense limitations, the 30 day yield for Class A, Class C
and Class D units would have been 2.85%, 2.59% and 2.57%, respectively.
The performance of any investment is generally a function of portfolio
quality and maturity, type of investment and operating expenses.
Because of the different Servicing Fees and transfer agency fees payable
with respect to Class A, B, C and D units in a Portfolio, performance quotations
for units of Class B, C and D of the Portfolio will be lower than the quotations
for Class A units of the Portfolio, which will not bear any fees for unitholder
support services and will bear minimal transfer agency fees.
TAXES
The following summarizes certain additional tax considerations generally
affecting the Portfolios and their unitholders that are not described in the
Portfolios'
B-52
<PAGE>
Prospectuses. No attempt is made to present a detailed explanation of the tax
treatment of the Portfolios or their unitholders, and the discussion here and in
the applicable Prospectus is not intended as a substitute for careful tax
planning. Potential investors should consult their tax advisers with specific
reference to their own tax situations.
GENERAL
Each Portfolio will elect to be taxed separately as a regulated investment
company under Part I of Subchapter M of Subtitle A, Chapter 1 of the Internal
Revenue Code of 1986, as amended (the "Code"). As a regulated investment
company, each Portfolio generally is exempt from Federal income tax on its net
investment income and realized capital gains which it distributes to
unitholders, provided that it distributes an amount equal to at least 90% of its
investment company taxable income (net investment income and the excess of net
short-term capital gain over net long-term capital loss), if any, for the year
(the "Distribution Requirement") and satisfies certain other requirements of the
Code that are described below.
In addition to satisfying the Distribution Requirement, each Portfolio must
derive with respect to a taxable year at least 90% of its gross income from
dividends, interest, certain payments with respect to securities loans and gains
from the sale or other disposition of stock or securities or foreign currencies,
or from other income derived with respect to its business of investing in such
stock, securities, or currencies (the "Income Requirement") and derive less than
30% of its gross income from the sale or other disposition of securities and
certain other investments held for less than three months (the "Short-Short
Test"). Interest (including original issue discount and "accrued market
discount") received by a Portfolio at maturity or on disposition of a security
held for less than three months will not be treated as gross income from the
sale or other disposition of such security within the meaning of this
requirement. However any other income which is attributable to realized market
appreciation will be treated as gross income from the sale or other disposition
of securities for this purpose. Under the recently-enacted Taxpayer Relief Act
of 1997, the Short-Short Test is repealed for taxable years beginning after
August 11, 1997.
In addition to the foregoing requirements, at the close of each quarter of
its taxable year, at least 50% of the value of each Portfolio's assets must
consist of cash and cash items, U.S. Government securities, securities of other
regulated investment companies, and securities of other issuers (as to which a
Portfolio has not invested more than 5% of the value of its total assets in
securities of such issuer and as to which a Portfolio does not hold more than
10% of the outstanding voting securities of such issuer) and no more than 25% of
the value of each Portfolio's total assets may be invested in the securities of
any one issuer (other than U.S. Government securities and securities
B-53
<PAGE>
of other regulated investment companies), or in two or more issuers which such
Portfolio controls and which are engaged in the same or similar trades or
businesses.
Each Portfolio intends to distribute to unitholders any excess of net long-
term capital gain over net short-term capital loss ("net capital gain") for each
taxable year. Such gain is distributed as a capital gain dividend and is taxable
to unitholders as long-term capital gain, regardless of the length of time the
unitholder has held the units, whether such gain was recognized by the Portfolio
prior to the date on which a unitholder acquired units of the Portfolio and
whether the distribution was paid in cash or reinvested in units. In addition,
investors should be aware that any loss realized upon the sale, exchange or
redemption of units held for six months or less will be treated as a long-term
capital loss to the extent of the capital gain dividends the unitholder has
received with respect to such units.
In the case of corporate unitholders, distributions of a Portfolio for any
taxable year generally qualify for the dividends received deduction to the
extent of the gross amount of "qualifying dividends" received by such Portfolio
for the year. Generally, a dividend will be treated as a "qualifying dividend"
if it has been received from a domestic corporation.
Ordinary income of individuals is taxable at a maximum marginal rate of
39.6%, but because of limitations on itemized deductions otherwise allowable and
the phase-out of personal exemptions, the maximum effective marginal rate of tax
for some taxpayers may be higher. Under the Taxpayer Relief Act of 1997, for
capital gains on securities recognized after July 28, 1997, the maximum tax rate
for individuals is 20% if the property was held more than 18 months; for
property held for more than 12 months, but no longer than 18 months, the maximum
tax rate on capital gains continues to be 28%. Capital gains and ordinary income
of corporate taxpayers are both taxed at a nominal maximum rate of 35%.
If for any taxable year any Portfolio does not qualify as a regulated
investment company, all of its taxable income will be subject to tax at regular
corporate rates without any deduction for distributions to unitholders. In such
event, all distributions (whether or not derived from exempt-interest income)
would be taxable as ordinary income, to the extent of such Portfolio's current
and accumulated earnings and profits and would be eligible for the dividends
received deduction in the case of corporate unitholders.
Unitholders will be advised annually as to the Federal income tax
consequences of distributions made by the Portfolios each year.
The Code imposes a non-deductible 4% excise tax on regulated investment
companies that fail to currently distribute an amount equal to specified
percentages of their ordinary taxable income
B-54
<PAGE>
and capital gain net income (excess of capital gains over capital losses). Each
Portfolio intends to make sufficient distributions or deemed distributions of
its ordinary taxable income and capital gain net income each calendar year to
avoid liability for this excise tax.
The Trust will be required in certain cases to withhold and remit to the
United States Treasury 31% of taxable dividends or 31% of gross sale proceeds
paid to any unitholder (i) who has provided either an incorrect tax
identification number or no number at all, (ii) who is subject to backup
withholding by the Internal Revenue Service for failure to report the receipt of
taxable interest or dividend income properly, or (iii) who has failed to certify
to the Trust to do so, that he is not subject to backup withholding or that he
is an "exempt recipient."
TAXATION OF CERTAIN FINANCIAL INSTRUMENTS
Special rules govern the Federal income tax treatment of financial
instruments that may be held by the Portfolios. These rules may have a
particular impact on the amount of income or gain that a Portfolio must
distribute to its respective unitholders to comply with the Distribution
Requirement, on the income or gain qualifying under the Income Requirement and
on its ability to comply with the Short-Short Test described above.
Generally, futures contracts, options on futures contracts and certain
foreign currency contracts held by a Portfolio (collectively, the "Instruments")
at the close of its taxable year are treated for Federal income tax purposes as
sold for their fair market value on the last business day of such year, a
process known as "mark-to-market." Forty percent of any gain or loss resulting
from such constructive sales will be treated as short-term capital gain or loss
and 60% of such gain or loss will be treated as long-term capital gain or loss
without regard to the period a Portfolio has held the Instruments ("the 40%-60%
rule"). The amount of any capital gain or loss actually realized by a Portfolio
in a subsequent sale or other disposition of those Instruments is adjusted to
reflect any capital gain or loss taken into account by the Portfolio in a prior
year as a result of the constructive sale of the Instruments. Losses with
respect to futures contracts to sell related options and certain foreign
currency contracts, which are regarded as parts of a "mixed straddle" because
their values fluctuate inversely to the values of specific securities held by
the Portfolios, are subject to certain loss deferral rules which limit the
amount of loss currently deductible on either part of the straddle to the amount
thereof which exceeds the unrecognized gain (if any) with respect to the other
part of the straddle, and to certain wash sales regulations. Under short sales
rules, which are also applicable,
B-55
<PAGE>
the holding period of the securities forming part of the straddle will (if they
have not been held for the long-term holding period) be deemed not to begin
prior to termination of the straddle. With respect to certain Instruments,
deductions for interest and carrying charges may not be allowed. Notwithstanding
the rules described above, with respect to futures contracts which are part of a
"mixed straddle" to sell related options and certain foreign currency contracts
which are properly identified as such, a Portfolio may make an election which
will exempt (in whole or in part) those identified futures contracts, options
and foreign currency contracts from the rules of Section 1256 of the Code
including "the 40%-60% rule" and the mark-to-market on gains and losses being
treated for Federal income tax purposes as sold on the last business day of each
Portfolio's taxable year, but gains and losses will be subject to such short
sales, wash sales and loss deferral rules and the requirement to capitalize
interest and carrying charges. Under Temporary Regulations, each Portfolio would
be allowed (in lieu of the foregoing) to elect either (1) to offset gains or
losses from portions which are part of a mixed straddle by separately
identifying each mixed straddle to which such treatment applies, or (2) to
establish a mixed straddle account for which gains and losses would be
recognized and offset on a periodic basis during the taxable year. Under either
election, "the 40%-60% rule" will apply to the net gain or loss attributable to
the Instruments, but in the case of a mixed straddle account election, not more
than 50% of any net gain may be treated as long-term and no more than 40% of any
net loss may be treated as short-term.
A foreign currency contract must meet the following conditions in order to
be subject to the mark-to-market rules described above: (1) the contract must
require delivery of a foreign currency of a type in which regulated futures
contracts are traded or upon which the settlement value of the contract depends;
(2) the contract must be entered into at arm's length at a price determined by
reference to the price in the interbank market; and (3) the contract must be
traded in the interbank market. The Treasury Department has broad authority to
issue regulations under the provisions respecting foreign currency contracts. As
of the date of this Additional Statement, the Treasury Department has not issued
any such regulations. Other foreign currency contracts entered into by a
Portfolio may result in the creation of one or more straddles for Federal income
tax purposes, in which case certain loss deferral, short sales, and wash sales
rules and the requirement to capitalize interest and carrying charges may apply.
Some of the non-U.S. dollar denominated investments that the Portfolios may
make, such as foreign debt securities and foreign currency contracts, may be
subject to provisions of the Code which govern the Federal income tax treatment
of certain transactions denominated in terms of a currency other than the
B-56
<PAGE>
U.S. dollar or determined by reference to the value of one or more currencies
other than the U.S. dollar. The types of transactions covered by these
provisions include the following: (1) the acquisition of, or becoming the
obligor under, a bond or other debt instrument (including, to the extent
provided in Treasury regulations, preferred stock); (2) the accruing of certain
trade receivables and payables; and (3) the entering into or acquisition of any
forward contract, futures contract, option and similar financial instrument. The
disposition of a currency other than the U.S. dollar by a U.S. taxpayer also is
treated as a transaction subject to the special currency rules. However,
regulated futures contracts and nonequity options are generally not subject to
the special currency rules if they are or would be treated as sold for their
fair market value at year-end under the mark-to-market rules, unless an election
is made to have such currency rules apply. With respect to transactions covered
by the special rules, foreign currency gain or loss is calculated separately
from any gain or loss on the underlying transaction and is normally taxable as
ordinary gain or loss. A taxpayer may elect to treat as capital gain or loss
foreign currency gain or loss arising from certain identified forward contracts,
futures contracts and options that are capital assets in the hands of the
taxpayer and which are not part of a straddle. In accordance with Treasury
regulations, certain transactions that are part of a "Section 988 hedging
transaction" (as defined in the Code and Treasury regulations) may be integrated
and treated as a single transaction or otherwise treated consistently for
purposes of the Code. "Section 988 hedging transactions" are not subject to the
mark-to-market or loss deferral rules under the Code. Gain or loss attributable
to the foreign currency component of transactions engaged in by the Portfolios
which are not subject to the special currency rules (such as foreign equity
investments other than certain preferred stocks) is treated as capital gain or
loss and is not segregated from the gain or loss on the underlying transaction.
FOREIGN INVESTORS
Foreign unitholders generally will be subject to U.S. withholding tax at a rate
of 30% (or a lower treaty rate, if applicable) on distributions by a Portfolio
of net interest income, other ordinary income, and the excess, if any, of net
short-term capital gain over net long-term capital loss for the year. For this
purpose, foreign unitholders include individuals other than U.S. citizens,
residents and certain nonresident aliens, and foreign corporations,
partnerships, trusts and estates. A foreign unitholder generally will not be
subject to U.S. income or withholding tax in respect of proceeds from or gain on
the redemption of units or in respect of capital gain dividends, provided such
unitholder submits a statement, signed under penalties of perjury, attesting to
such unitholder's exempt status. Different tax consequences apply to a foreign
unitholder
B-57
<PAGE>
engaged in a U.S. trade or business. Foreign unitholders should consult their
tax advisers regarding the U.S. and foreign tax consequences of investing in a
Portfolio.
CONCLUSION
The foregoing discussion is based on Federal tax laws and regulations which are
in effect on the date of this Additional Statement. Such laws and regulations
may be changed by legislative or administrative action. No attempt is made to
present a detailed explanation of the tax treatment of the Portfolio or its
unitholders, and the discussion here and in the Prospectus is not intended as a
substitute for careful tax planning. Unitholders are advised to consult their
tax advisers with specific reference to their own tax situation, including the
application of state and local taxes.
Although each Portfolio expects to qualify as a "regulated investment
company" and to be relieved of all or substantially all Federal income taxes,
depending upon the extent of its activities in states and localities in which
its offices are maintained, in which its agents or independent contractors are
located or in which it is otherwise deemed to be conducting business, each
Portfolio may be subject to the tax laws of such states or localities.
DESCRIPTION OF UNITS
The Trust Agreement permits the Trust's Board of Trustees to issue an
unlimited number of full and fractional units of beneficial interest of one or
more separate series representing interests in one or more investment
portfolios. The Trust may hereafter create series in addition to the Trust's
seventeen existing series, which represent interests in the Trust's seventeen
respective portfolios, six of which are described in this Additional Statement.
The Trust Agreement further permits the Board of Trustees to classify or
reclassify any unissued units into additional series or subseries within a
series. Pursuant to such authority, the Trustees have authorized the issuance of
an unlimited number of units of beneficial interest in four separate subseries
(sometimes referred to as "classes") of units in each of its non-money market
portfolios: Class A, B, C and D units. Under the terms of the Trust Agreement,
each unit of each Portfolio is without par value, represents an equal
proportionate interest in the particular Portfolio with each other unit of its
class in the same Portfolio and is entitled to such dividends and distributions
out of the income belonging to the Portfolio as are declared by the Trustees.
Upon any liquidation of a Portfolio, unitholders of each class of a Portfolio
are entitled to share pro rata in the net assets belonging to that class
available for distribution. Units do not have any preemptive or conversion
rights. The right
B-58
<PAGE>
of redemption is described under "Investing-Redemption of Units" in the
Prospectus. In addition, pursuant to the terms of the 1940 Act, the right of a
unitholder to redeem units and the date of payment by a Portfolio may be
suspended for more than seven days (a) for any period during which the New York
Stock Exchange is closed, other than the customary weekends or holidays, or
trading in the markets the Portfolio normally utilizes is closed or is
restricted as determined by the SEC, (b) during any emergency, as determined by
the SEC, as a result of which it is not reasonably practicable for the Portfolio
to dispose of instruments owned by it or fairly to determine the value of its
net assets, or (c) for such other period as the SEC may by order permit for the
protection of the unitholders of the Portfolio. The Trust may also suspend or
postpone the recordation of the transfer of its units upon the occurrence of any
of the foregoing conditions. In addition, units of each Portfolio are redeemable
at the unilateral option of the Trust if the Trustees determine in their sole
discretion that failure to so redeem may have material adverse consequences to
the unitholders of the Portfolio. Units when issued as described in the
Prospectus are validly issued, fully paid and nonassessable, except as stated
below.
The proceeds received by each Portfolio for each issue or sale of its
units, and all net investment income, realized and unrealized gain and proceeds
thereof, subject only to the rights of creditors, will be specifically allocated
to and constitute the underlying assets of that Portfolio. The underlying assets
of each Portfolio will be segregated on the books of account, and will be
charged with the liabilities in respect to that Portfolio and with a share of
the general liabilities of the Trust. Expenses with respect to the Portfolios
are normally allocated in proportion to the net asset value of the respective
Portfolios except where allocations of direct expenses can otherwise be fairly
made.
Rule 18f-2 under the 1940 Act provides that any matter required by the
provisions of the 1940 Act or applicable state law, or otherwise, to be
submitted to the holders of the outstanding voting securities of an investment
company such as the Trust shall not be deemed to have been effectively acted
upon unless approved by the holders of a majority of the outstanding units of
each investment portfolio affected by such matter. Rule 18f-2 further provides
that an investment portfolio shall be deemed to be affected by a matter unless
the interests of each investment portfolio in the matter are substantially
identical or the matter does not affect any interest of the investment
portfolio. Under the Rule, the approval of an investment advisory agreement or
any change in a fundamental investment policy would be effectively acted upon
with respect to an investment portfolio only if approved by a majority of the
outstanding units of such investment portfolio. However, the
B-59
<PAGE>
Rule also provides that the ratification of the appointment of independent
accountants, the approval of principal underwriting contracts and the election
of Trustees may be effectively acted upon by unitholders of the Trust voting
together in the aggregate without regard to a particular investment portfolio.
In addition, unitholders of each of the classes in a particular investment
portfolio have equal voting rights except that only units of a particular class
of an investment portfolio will be entitled to vote on matters submitted to a
vote of unitholders (if any) relating to unitholder servicing expenses and
transfer agency fees that are payable by that class.
As a general matter, the Trust does not hold annual or other meetings of
unitholders. This is because the Trust Agreement provides for unitholder voting
only for the election or removal of one or more Trustees, if a meeting is called
for that purpose, and for certain other designated matters. Each Trustee serves
until the next meeting of unitholders, if any, called for the purpose of
considering the election or reelection of such Trustee or of a successor to such
Trustee, and until the election and qualification of his successor, if any,
elected at such meeting, or until such Trustee sooner dies, resigns, retires or
is removed by the unitholders or two-thirds of the Trustees.
Under Massachusetts law, there is a possibility that unitholders of a
business trust could, under certain circumstances, be held personally liable as
partners for the obligations of the Trust. The Trust Agreement contains an
express disclaimer of unitholder (as well as Trustee and officer) liability for
acts or obligations of the Trust and requires that notice of such disclaimer be
given in each contract, undertaking or instrument entered into or executed by
the Trust or the Trustees. The Trust Agreement provides for indemnification out
of Trust property of any unitholder charged or held personally liable for the
obligations or liabilities of the Trust solely by reason of being or having been
a unitholder of the Trust and not because of such unitholder's acts or omissions
or for some other reason. The Trust Agreement also provides that the Trust
shall, upon proper and timely request, assume the defense of any charge made
against any unitholder as such for any obligation or liability of the Trust and
satisfy any judgment thereon. Thus, the risk of a unitholder incurring financial
loss on account of unitholder liability is limited to circumstances in which the
Trust itself would be unable to meet its obligations.
The Trust Agreement provides that each Trustee of the Trust will be liable
for his own wilful misfeasance, bad faith, gross negligence or reckless
disregard of the duties involved in the conduct of the office of Trustee
("disabling conduct"), and for nothing else, and will not be liable for errors
of judgment or mistakes of fact or law. The Trust Agreement provides further
that the Trust will indemnify Trustees and officers of the Trust
B-60
<PAGE>
against liabilities and expenses incurred in connection with litigation and
other proceedings in which they may be involved (or with which they may be
threatened) by reason of their positions with the Trust, except that no Trustee
or officer will be indemnified against any liability to the Trust or its
unitholders to which he would otherwise be subject by reason of disabling
conduct.
As of September 9, 1997 substantially all of the Portfolios' outstanding units
were held of record by Northern for the benefit of its customers and the
customers of its affiliates and correspondent banks that have invested in the
Portfolios. As of the same date, the Trust's Trustees and officers owned
beneficially less than 1% of the outstanding units of each Portfolio. Northern
has advised the Trust that the following persons (whose mailing address is: c/o
The Northern Trust Company, 50 South LaSalle, Chicago, IL 60675) beneficially
owned five percent or more of the outstanding units of the following Portfolios
as of September 9, 1997:
<TABLE>
<CAPTION>
NUMBER PERCENTAGE
OF OUTSTANDING
UNITS UNITS
-------- -----------
<S> <C> <C>
BALANCED PORTFOLIO
The Northern Trust Company
Thrift Incentive Plan 1,336,875 31.95%
Retirement Trust for Employees
of Tetra Pak Inc. 774,115 18.50%
Jordan Industries, Inc 430,595 10.29
LaPorte, The Retirement Plus Plan 336,782 8.05
DIVERSIFIED GROWTH PORTFOLIO
The Northern Trust Company
Pension Plan 3,865,159 39.21
The Pension Plan for Home
Office Employees of Mutual
Trust Equity 501,857 5.09
EQUITY INDEX PORTFOLIO
The Northern Trust Company
Thrift Incentive Plan 7,727,654 16.56
Libby-Owens-Ford Company
Savings Trust 3,870,649 8.29
</TABLE>
B-61
<PAGE>
<TABLE>
<CAPTION>
NUMBER PERCENTAGE
OF OUTSTANDING
UNITS UNITS
----- -----------
<S> <C> <C>
FOCUSED GROWTH PORTFOLIO
The Northern Trust Company
Thrift Incentive Plan 3,388,659 43.21%
Doe Run Resources Corporation
Retirement Plan 1,023,091 13.05
Rexene Corporation
Retirement Plan 516,935 6.59
Kitch Drotchas Planability
Trust Profit Sharing Plan 394,346 5.03
SMALL COMPANY PORTFOLIO
The Northern Trust Company
Pension Plan 2,770,021 33.50
Doe Run Resources Corporation
Retirement Plan 587,399 7.10
INTERNATIONAL EQUITY INDEX
The Northern Trust Company
Pension Plan 1,158,976 39.69
NI Gas Savings Investment
and Thrift Trust 837,720 28.69
The Northern Trust Company
Thrift Incentive Plan 474,344 16.24
Sisters of the Precious
Blood Fund 197,230 6.75
INTERNATIONAL GROWTH PORTFOLIO
The Northern Trust Company
Pension Plan 1,363,888 12.70
First National Bank of
North Dakota 792,574 7.38
Global Industrial Technologies, Inc.
Master Retirement Trust 962,649 8.96
Tuthill Corporation Master
Retirement Trust 674,067 6.28
White Cap, Inc. Master
Retirement Trust 621,973 5.79
</TABLE>
B-62
<PAGE>
OTHER INFORMATION
The Prospectus and this Additional Statement do not contain all the
information included in the Registration Statement filed with the SEC under the
Securities Act of 1933 with respect to the securities offered by the Trust's
Prospectus. Certain portions of the Registration Statement have been omitted
from the Prospectus and this Additional Statement pursuant to the rules and
regulations of the SEC. The Registration Statement including the exhibits filed
therewith may be examined at the office of the SEC in Washington, D.C.
Each Portfolio is responsible for the payment of its expenses. Such
expenses include, without limitation, the fees and expenses payable to Northern
and Goldman Sachs, brokerage fees and commissions, fees for the registration or
qualification of Portfolio units under Federal or state securities laws,
expenses of the organization of the Portfolio, taxes, interest, costs of
liability insurance, fidelity bonds, indemnification or contribution, any costs,
expenses or losses arising out of any liability of, or claim for damages or
other relief asserted against, the Trust for violation of any law, legal, tax
and auditing fees and expenses, Servicing Fees, expenses of preparing and
printing prospectuses, statements of additional information, proxy materials,
reports and notices and the printing and distributing of the same to the Trust's
unitholders and regulatory authorities, compensation and expenses of its
Trustees, expenses of industry organizations such as the Investment Company
Institute, miscellaneous expenses and extraordinary expenses incurred by the
Trust.
The term "majority of the outstanding units" of either the Trust or a
particular Portfolio means, with respect to the approval of an investment
advisory agreement or a change in a fundamental investment policy, the vote of
the lesser of (i) 67% or more of the units of the Trust or such Portfolio
present at a meeting, if the holders of more than 50% of the outstanding units
of the Trust or such Portfolio are present or represented by proxy, or (ii) more
than 50% of the outstanding units of the Trust or such Portfolio.
STATEMENTS CONTAINED IN THE PROSPECTUS OR IN THIS ADDITIONAL STATEMENT AS
TO THE CONTENTS OF ANY CONTRACT OR OTHER DOCUMENTS REFERRED TO ARE NOT
NECESSARILY COMPLETE, AND IN EACH INSTANCE REFERENCE IS MADE TO THE COPY OF SUCH
CONTRACT OR OTHER DOCUMENT FILED AS AN EXHIBIT TO THE REGISTRATION STATEMENT OF
WHICH THE PROSPECTUS AND THIS ADDITIONAL STATEMENT FORM A PART, EACH SUCH
STATEMENT BEING QUALIFIED IN ALL RESPECTS BY SUCH REFERENCE.
B-63
<PAGE>
At a Special Meeting held on September 2, 1997 (the "Meeting"), the
unitholders of each Portfolio voted on two proposed new fundamental investment
policies and a proposed reorganization of the Portfolio into a corresponding
series of a new Delaware business trust (the "Delaware Trust").
At the Meeting, the unitholders of each Portfolio approved a proposed new
fundamental policy which will allow each Portfolio to invest in securities of
other investment companies to the full extent permitted under the 1940 Act and
any regulation or order of the SEC, notwithstanding the Portfolio's other
fundamental policies. This new policy will permit a Portfolio to implement the
"master-feeder" structure by investing all or substantially all of its assets in
a single open-end investment company. The unitholders of each Portfolio also
approved a proposed new fundamental issuer diversification policy which will
require diversification only to the extent required under the 1940 Act. The
aforementioned investment policies will become effective in connection with the
Trust's annual amendment to its registration statement to be filed in 1998.
At the Meeting, each Portfolio also approved a proposal to reorganize the
Portfolio into a newly-established series of the Delaware Trust. However,
because one fixed income portfolio of the Trust, the U.S. Government Securities
Portfolio, did not approve the reorganization it is uncertain whether any
Portfolios will be so reorganized. The Board of Trustees of the Trust will
determine what further actions, if any, will be taken with respect to this
proposal.
FINANCIAL STATEMENTS
The audited financial statements and related report of Ernst & Young LLP,
independent auditors, for the U.S. Treasury Index Portfolio, U.S. Government
Securities Portfolio, Short Intermediate Bond Portfolio, Bond Portfolio and
International Bond Portfolio contained in the Annual Report for the fiscal year
ended November 30, 1996 are hereby incorporated herein by reference and attached
hereto. No other parts of the Annual Report, including without limitation
"Management's Discussion of Portfolio Performance," are incorporated by
reference herein. Unaudited financial statements for each Portfolio for each
Portfolio for the six months ended May 31, 1997, contained in the Semi-Annual
Report dated May 31, 1997, are also attached hereto and incorporated by
reference into this Additional Statement. Copies of the Annual Report and the
Semi-Annual Report may be obtained by writing to Goldman, Sachs & Co., Funds
Group, 4900 Sears Tower, Chicago, Illinois 60606, or by calling Goldman, Sachs
toll-free at 800-621-2550.
B-64
<PAGE>
The
Benchmark Funds
Fixed Income
and
Equity
Portfolios
Semi-Annual Report
May 31, 1997
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
----
<S> <C>
Investment Outlook......................................................... 2
Fixed Income Portfolios
Statements of Investments
Bond Portfolio......................................................... 6
International Bond Portfolio........................................... 8
Short Duration Portfolio............................................... 9
Short-Intermediate Bond Portfolio...................................... 10
U.S. Government Securities Portfolio................................... 11
U.S. Treasury Index Portfolio.......................................... 12
Statements of Assets and Liabilities..................................... 13
Statements of Operations................................................. 14
Statements of Changes in Net Assets...................................... 15
Financial Highlights..................................................... 17
Equity Portfolios
Statements of Investments
Balanced Portfolio..................................................... 25
Diversified Growth Portfolio........................................... 27
Equity Index Portfolio................................................. 28
Focused Growth Portfolio............................................... 34
International Equity Index Portfolio................................... 36
International Growth Portfolio......................................... 46
Small Company Index Portfolio.......................................... 48
Statements of Assets and Liabilities..................................... 68
Statements of Operations................................................. 69
Statements of Changes in Net Assets...................................... 70
Financial Highlights..................................................... 72
Notes to the Financial Statements.......................................... 80
</TABLE>
- -------------------------------------------------------------------------------
OTHER INFORMATION
. The percentage shown for each investment category reflects the value of the
investments in that category as a percentage of net assets.
. Interest rates represent either the stated coupon rate, annualized yield on
date of purchase for discounted notes or, for floating rate securities, the
current reset rate.
. Stripped securities represent the right to receive either future interest
payments (interest only stripped securities) or principal payments
(principal only stripped securities). The value of variable rate interest
only stripped securities varies directly with changes in interest rates,
while the value of fixed rate interest only stripped securities and the
value of principal only stripped securities vary inversely with changes in
interest rates.
1
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
INVESTMENT OUTLOOK
WHAT HAS CHANGED
Financial markets moved higher during the period as the flow of economic data
remained market friendly. Weaker-than-expected retail sales and still-benign
inflation reports convinced investors that growth was slowing materially and
that price pressures did not warrant a tightening of Federal Reserve policy.
Bonds rallied on the good news and drew further support from the Treasury's
reduced financing calendar. Stocks also did well, moving further into record
territory amid increased volatility. Overseas, the financial outlook for
Europe remained ambiguous as European Monetary Union participants signed the
stability pact without reconciling France's desire to loosen the fiscal
discipline demanded by the Treaty.
ECONOMY: MODERATE GROWTH TO CONTINUE IN 1997
The pace of economic activity slowed significantly in the second quarter. Just
as first quarter final demand was artificially boosted by unseasonably good
weather, second quarter final demand has been artificially dampened by
unseasonably bad weather. But the underlying fundamentals for domestic demand,
plentiful employment opportunities, rising labor compensation, and increasing
household wealth remain favorable, suggesting that demand growth will pick up
in the second half of the year. Despite the softening in domestic demand,
foreign demand has been strong. The demand for U.S. exports has been
especially robust in Canada, Mexico, the United Kingdom, and Latin America.
After their surge in the first quarter, inventories continued to rise early in
the second three-month period of the year. Nevertheless, these inventories do
not yet appear to be increasing involuntarily as they continue to remain low
relative to sales. The labor markets remain tight as evidenced by an
unemployment rate below 5%. There continues to be anecdotal reports of
increased difficulties of finding qualified job applicants at current wage
rates. So far, the relative scarcity of labor has not translated into
appreciably higher core inflation. In recent months, however, there have been
indications of a marginal acceleration in the prices of consumer services. It
is in the service sector where the most vulnerability to higher inflation
lies. This sector's prices are less affected by the behavior of foreign
exchange rates because services are not traded internationally to the extent
that goods are. Because the service sector is more labor intensive than the
goods sector, tight labor market conditions could more quickly result in
higher prices for services. Despite signs of a slow drift up in service sector
inflation, consumer goods inflation shows no similar upward drift. Falling
energy prices have kept overall inflation well in check.
As long as the economy continues to grow near its potential, which is our
forecast, risks will remain on the side of a drift up in inflation. As a
result, the Federal Reserve will have a bias de facto if not de jure toward
tightening policy. To some degree, the Federal Reserve's latitude to act
preemptively against inflation may have been restricted by its past success in
holding down inflation. There is an evolving view that we are now in an
economic environment incapable of generating higher inflation. This belief is
especially popular in Congress currently, which opens up the Federal Reserve
to severe bipartisan criticism whenever it tightens. Also, with more people
coming off the welfare rolls because of system reforms, the Federal Reserve is
under political pressure to allow the economy to continue to grow relatively
rapidly in order to create employment opportunities for former welfare
recipients. But even if these pressures were to keep the Federal Reserve from
tightening as soon as it might otherwise do, the lack of inflation psychology
in the economy, the lack of big new government spending programs, continued
low inflation in the Group of Seven industrial nations, and a continued large
volume of goods being exported from China and former Iron Curtain countries
should still enable the Federal Reserve to remain in a fine-tuning tightening
mode rather than having to engage in tightening of a major countercyclical
nature.
THE BOND MARKET IS ATTRACTIVE
Rates fell moderately and the yield curve flattened during the period on
evidence of decelerating economic activity and still-benign inflation. Reduced
Treasury issuance, reflecting lowered funding needs due to the shrinking
federal deficit, helped to fuel the rally. By quarter's end, the market had
removed expectations of a rate hike at July's meeting of the Federal Open
Market Committee but continued to reflect one modest increase prior to years
end. The yield on the 10-year Treasury closed near its low for the quarter and
48 basis points below its mid-April highs.
Units of The Benchmark Funds are not bank deposits or obligations of, or
guaranteed, endorsed or otherwise supported by The Northern Trust Company, its
parent company, or its affiliates, and are not Federally insured or guaranteed
by the U.S. Government, Federal Deposit Insurance Corporation, Federal Reserve
Board, or any other governmental agency. Investment in the portfolios involves
investment risks, including possible loss of principal amount invested.
2
<PAGE>
- -------------------------------------------------------------------------------
We continue to view the bond market as attractive and believe that today's
generous real yields provide adequate compensation for the risk that rates may
move temporarily higher due to cyclical pressures beyond those already
factored into the market. On a secular basis, we believe that the growth and
inflation assumptions underpinning the balanced budget agreement will require
that our elected representatives adhere to policies supportive of low
inflationary growth. Additionally, the implicit benchmarking provided by the
budget agreement heightens our longer-term confidence that U.S. fiscal policy
will stay on track. In the shorter term, surging tax receipts spawned by the
vibrant U.S. economy and ongoing efforts to downsize government spending have
created a very favorable supply/demand situation in the Treasury market.
Although the deficit has declined from $255 billion in fiscal 1993 to near $70
billion in fiscal 1997, net interest payments on outstanding government debt
have risen from $200 billion to $250 billion. On a purely technical basis, the
pool of interest payment cash flows increasingly outstripping the supply of
new government bonds supports higher Treasury prices. In addition, sharp
reductions in the supply of Treasuries should lessen recurring concerns about
potential selling by foreign central banks and/or hedge funds. Importantly, we
believe that the sound fiscal policies manifested in these favorable technical
trends should, over time, help reduce the risk premium priced into today's
bond yields.
In contrast, the fiscal outlook for Europe remains ambiguous,
notwithstanding France's recent decision to sign off on the European Monetary
Union stability pact. Growing uncertainties regarding the viability of
European Monetary Union and the timing of fundamental structural reform in
Europe appear to be making U.S. financial markets look relatively attractive.
U.S. debt securities have benefited versus German debt instruments as the
yield spread on 10-year U.S. versus German bonds has contracted nearly 35
basis points in the past six weeks. Risks to European investments are unlikely
to dissipate in the near future and favor a further reduction in the U.S.
market's risk premium.
Our characterization of the U.S. bond market remains modestly positive. Real
yields remain attractive, and we expect the balanced budget agreement to
promote bond-friendly policies in the years to come. In addition, the
combination of sound fiscal policies and reduced Treasury issuance should help
to lower the risk premium incorporated in today's yield structure. We
recommend positioning bond portfolios neutral to slightly long relative to
their benchmarks.
EARNINGS AND INTEREST RATES SHOULD CONTINUE TO SUPPORT EQUITIES
The market roared ahead from the corrective lows of early April, setting
record after record along the way. It climbed 20% in the quarter and broadened
in May and June to include small- and middle-capitalization stocks even as the
technology sector faltered a bit. Profits remained healthy as fears of labor
cost increases proved unfounded. Every time interest rates fell, stocks seemed
to rally to new highs. Add the ample liquidity of the public to good earnings
and lower rates, and the rally was not surprising even though its intensity
was. Certainly the biggest market story of the past 18 months has been the
incessant rise in stocks fueled by good fundamentals and strong liquidity,
completely overwhelming valuation concerns. The fundamentals are strong but
stocks look expensive; the fundamentals are consistently winning this
conundrum.
Most foreigners mistrust the U.S. market despite the three-year uptrend
mainly because valuations are rich and they have been persistently
underweighted. Foreigners en masse so far have refused to jump in. Yet the
trend may yet prove irresistible, and, coupled with strong individual demand
against a backdrop of falling rates, stocks could move still higher. For
example, if rates were to fall below their old low of 5.75% in the next 18
months, stocks could easily sell at between 23 and 24 times S&P 500 earnings
of nearly $50.00 per share. That translates to nearly 1,200 on the S&P 500,
double last July's correction low. If earnings are sustained via productivity
gains from the aggressive spending on technology, considerable upside is still
possible. These indeed are some concepts and possibilities we will address in
next month's roundtable discussion.
Volatility has been on the rise, and, unfortunately for investors' sleep
patterns, it appears set to stay. While point moves seem exaggerated, in
percentage terms the change is more reasonable. However, with high valuations
and ample liquidity, investors' response to news seems to push stocks up or
down at a faster pace. We would not be surprised to see 300- to 500-point
swings occur in any one week, but as the last few years have shown, investors
remain prepared to buy each dip, halting more downside action. Inflation and
interest rates still look good and there is little else to attract the long-
term investment dollar. Cash flow supports and pushes shares higher, but more
volatile trading days
3
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
INVESTMENT OUTLOOK--CONTINUED
and weeks are the result. We suggest riding through the short-term bumps as
long as the journey seems destined to end at higher levels.
FOREIGN MARKETS ARE BEING DRIVEN BY PROFITS AND LIQUIDITY
The past quarter proved quite profitable for most foreign bourses as EAFE
(Europe, Australia, Far East) rose about 12% led by a rebound in markets such
as Japan (up 12%), Hong Kong (up 21%), the core deutschemark block countries
(up 15%), and Spain (up 24%). In addition, the U.S. dollar fell about 10%
versus the yen while staying steady versus most other currencies, enhancing
Japanese returns to U.S.-based investors. The trigger for the various rallies
was benign interest rates coupled with improving profit prospects. For the
first time in nearly three years, onsensus earnings for Japan and Europe
actually rose. Pacific Rim problems remained in force outside of Hong Kong,
plagued by profit downgrades, a questionable electronic cycle, and the still
weak yen compared with year-ago levels. In addition, the traditional growth
region of the world has faced stiff competition for the investment dollar as
both Eastern Europe and Latin America compete strongly for growth investors.
In fact, last quarter Latin America also performed strongly as the stock
markets of Mexico, Argentina, Peru, and Brazil all rose at least 17%. We are
just back from a trip to Europe, and the view from there towards both Europe
and the rest of the world is very interesting. Of course, European Monetary
Union, in the wake of the French elections in which the Socialists were
returned to power, dominated concerns. Nonetheless, an upbeat attitude toward
Europe is strongly in evidence. Cyclically things are improving as growth in
1997 and 1998 is expected to rise 2.5% to 3%, profit estimates are being
raised, and restructuring and shareholder value have reached near manic
proportions. The key will be who delivers on the promises, but evidence
abounds that it is happening on a company-by-company basis.
Longer term, the benefits of European Monetary Union will kick in and
further spur growth beyond 1999, in most people's view. The situation in the
short- and long-term looks good, but many leading strategists are a bit
concerned over valuation levels as prices seem to reflect a lot of good news.
However, the fundamentals look good, liquidity is ample, and restructuring is
just beginning. In view of the last seven years in the U.S., the optimists see
several years of good earnings in Europe, especially since spending on
technology (and thus the productivity benefits) still significantly lags the
U.S. Stocks are selling at mid to high teens price/earnings ratios, and with
most of the earnings cycle still ahead, Europe looks attractive even though a
correction or consolidation is expected after a 20% gain in 1996 and a 25% to
30% climb to date in 1997. As one observer put it, the stronger dollar is just
icing on the cake.
Most U.K. investors also are bullish on Japan and cautious on Asia,
following the relative earnings momentum. More than one person observed that
after badly missing the last 30-month rally in the U.S., global investors
cannot afford to miss a big rally in the second-biggest world market. Thus,
some of the bullishness is perhaps defensive, but nonetheless, Japan is viewed
positively with various objectives of 15% to 25% higher prices from present
levels, a potential we agree with, at least on the lower end. In the rest of
Asia, the consensus is "long and wrong" although a heavy weighting in Hong
Kong has helped ease the pain of poor performance in Malaysia, Singapore, the
Philippines, and especially Thailand. As growth in Southeast Asia has slowed
and consequently has picked up in Latin America, investment flows have
certainly moved toward the Latin markets. As detailed earlier, the view on the
U.S. market is a bit mixed, but generally Europeans see earnings peaking and
the market as having run too far, certainly in regards to jumping in now after
several years of underweighting positions and poor relative performance in
their global accounts.
July 8, 1997
4
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
5
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Description
- -----------------------------------------------
Principal Maturity
Amount Rate Date Value
- -----------------------------------------------
BOND PORTFOLIO
<C> <S> <C> <C>
ASSET-BACKED SECURITIES--2.2%
AUTOMOTIVE--2.2%
General Motors
Acceptance Corp.
Series: 1993-B,
Class A
$ 426 4.000% 09/15/98 $ 424
WFS Financial Owner
Trust
Series: 1997-A,
Class A-3
10,000 6.500 09/20/01 9,995
--------
10,419
--------
HOME EQUITY LOANS--0.0%
U.S. Home Equity
Loan, Series: 1991-
2
62 8.500 04/15/21 62
- -----------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $10,483) $ 10,481
- -----------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--
10.7%
American Southwest
Financial Securities
Corp., Series: 1996
FHA-1, Class A-1
$ 9,585 6.675% 12/25/01 $ 9,576
Countrywide Funding
Corp.,
Series: 1993-1,
Class A-4
13,567 4.384 10/25/23 11,597
Countrywide Mortgage
Backed Securities
Inc., Series: 1993-
D, Class A-11
6,047 5.796 01/25/09 4,645
Delta Funding Corp.,
Interest Only
Stripped Security*,
Series: 1991-1,
Class A-4(/1/)
-- -- 01/01/06 116
Donaldson, Lufkin, &
Jenrette
Mortgage Acceptance
Corp.,
Adjustable Rate,
Interest Only
Stripped Security*,
Series: 1995-QE9
-- -- 11/25/25 1,183
Donaldson, Lufkin, &
Jenrette
Mortgage Acceptance
Corp.,
Series: 1994-Q8,
Class 2-A1
4,864 7.250 05/25/24 4,834
PaineWebber Mortgage
Acceptance Corp.,
Series: 1993-9,
Class A-15
7,919 7.000 10/25/23 7,632
PNC Mortgage
Securities Corp.,
Series: 1996-PR1,
Class A(/1/)
10,207 8.151 04/28/27 10,345
- -----------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $50,949) $ 49,928
- -----------------------------------------------
CORPORATE AND FOREIGN GOVERNMENT BONDS--
11.2%
FINANCIAL--1.0%
General Motors
Acceptance Corp.
$ 4,285 8.875% 06/01/00 $ 4,856
--------
</TABLE>
<TABLE>
<CAPTION>
Description
- -----------------------------------------
Principal Maturity
Amount Rate Date Value
- -----------------------------------------
<C> <S> <C> <C>
FOREIGN GOVERNMENT BOND--3.4%
Quebec Province,
Canada Medium Term
Note
$15,450 7.220% 07/22/36 $15,899
-------
INDUSTRIAL--1.7%
Penney (J.C.) & Co.,
Inc.
7,700 6.900 08/15/03 7,691
-------
INSURANCE SERVICES--2.7%
Lumberman's Mutual
Casualty Co.
6,000 9.150 07/01/26 6,432
Anthem
Insurance(/1/)
6,000 9.000 04/01/27 6,071
-------
12,503
-------
SANITARY SERVICES--2.4%
WMX Technologies
11,000 7.100 08/01/03 11,041
- -----------------------------------------
TOTAL CORPORATE AND FOREIGN
GOVERNMENT BONDS (Cost
$50,881) $51,990
- -----------------------------------------
U.S. GOVERNMENT AGENCIES--9.3%
COLLATERALIZED MORTGAGE OBLIGATIONS--
9.3%
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
INTEREST ONLY STRIPPED SECURI-
TY*--0.0%
Series: 1392, Class
S
$ -- --% 09/15/18 $ 31
-------
FEDERAL HOME LOAN MORTGAGE
CORP. MULTICLASS
PRINCIPAL ONLY STRIPPED SECU-
RITY*--0.1%
Series: G011, Class
B
912 -- 04/25/23 636
-------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--4.1%
Series: 1991-127,
Class SA
588 11.658 09/25/98 601
Series: 1996-M4,
Class A
8,479 7.750 03/17/17 8,563
Series: 1990-3,
Class 3-D
604 8.500 07/25/18 609
Series: 1992-73,
Class G
7,500 7.500 04/25/21 7,562
Series: 1886, Class
SD
2,306 2.550 12/15/23 1,605
-------
18,940
-------
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST
INTEREST ONLY STRIPPED SECURI-
TIES*--1.1%
Series: G-12, Class
S
-- -- 05/25/21 509
Series: 1997-20,
Class IO
-- -- 03/25/27 4,482
-------
4,991
-------
</TABLE>
See accompanying notes to financial statements.
6
<PAGE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ------------------------------------------
Principal
Amount/ Maturity
Shares Rate Date Value
- ------------------------------------------
<C> <S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST
PRINCIPAL ONLY STRIPPED SECU-
RITIES*--4.0%
Series: 1993-161,
Class B
$ 3,641 --% 10/25/18 $ 3,470
Series: 1993-132,
Class D
1,947 -- 10/25/22 969
Series: 1993-184,
Class L
7,585 -- 09/25/23 4,731
Series: 1993-205,
Class EA
3,150 -- 09/25/23 2,072
Series: 1994-9,
Class G
1,623 -- 11/25/23 1,532
Series: 1996-14,
Class PR
9,000 -- 01/25/24 5,727
--------
18,501
--------
MORTGAGE-BACKED SECURITIES--
0.0%
FEDERAL HOME LOAN MORTGAGE
CORP.--0.0%
$ 1 6.500% 06/01/04 $ 1
- ------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $42,341) $ 43,100
- ------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--
47.3%
U.S. TREASURY NOTES--35.4%
$23,600 6.750% 05/31/99 $ 23,836
28,745 6.870 08/31/99 29,109
3,300 7.750 01/31/00 3,413
85,400 6.625 07/31/01 85,853
21,675 7.500 02/15/05 22,789
--------
165,000
--------
U.S. TREASURY BONDS--11.9%
41,365 7.125 02/15/23 41,947
15,000 6.125 02/15/26 13,202
--------
55,149
- ------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $220,710) $220,149
- ------------------------------------------
PREFERRED STOCKS--9.6%
AGENCY--3.2%
15,000 Home Ownership
Funding Corp. $ 14,806
--------
ENTERTAINMENT AND LEISURE--1.8%
8,450 Lazara Corp. 8,440
--------
FINANCIAL--1.8%
8,190 Marquette Real
Estate Funding
Corp. 8,142
--------
REAL ESTATE--2.8%
8,600 1585 Broadway Corp. 8,582
4,600 Tier One Properties,
Inc. 4,631
--------
13,213
- ------------------------------------------
TOTAL PREFERRED STOCKS (Cost
$44,854) $ 44,601
- ------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
FLOATING RATE BANK NOTES--5.5%
Lloyds Bank PLC
$11,450 5.875% 06/13/97 $ 10,470
National Australia
Bank
3,000 6.181 10/15/97 2,712
National Westminster
Bank
13,800 5.938 08/29/97 12,343
- -------------------------------------------
TOTAL FLOATING RATE BANK NOTES
(Cost $24,194) $ 25,525
- -------------------------------------------
SHORT-TERM INVESTMENT--5.4%
Bank of Tokyo-
Mitsubishi, Grand
Cayman
$25,261 5.750% 06/02/97 $ 25,261
- -------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $25,261) $ 25,261
- -------------------------------------------
TOTAL INVESTMENTS--101.2%
(Cost $469,673) $471,035
- -------------------------------------------
Liabilities, less other as-
sets--(1.2)% (5,346)
- -------------------------------------------
NET ASSETS--100.0% $465,689
- -------------------------------------------
- -------------------------------------------
</TABLE>
*At May 31, 1997, effective yields on these Interest Only and Principal Only
stripped securities ranged from approximately 5.00% to 15.00%.
(/1/)At May 31, 1997, the Portfolio owned restricted securities valued at
approximately $16,532,000 (3.6% of net assets), with an aggregate cost basis
of $16,799,000. These securities may not be publicly sold without
registration under the Securities Act of 1933 (the 1933 Act). The value of
these securities is determined by valuations supplied by a pricing service or
brokers or, if not available, in good faith by or at the direction of the
Trustees.
See accompanying notes to financial statements.
7
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Local
Currency/
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
INTERNATIONAL BOND PORTFOLIO
<C> <S> <C> <C>
DEBT OBLIGATIONS--95.0%
AUSTRALIAN DOLLAR--4.8%
Commonwealth of
Australia
1,580 10.000% 10/15/02 $ 1,368
-------
BELGIAN FRANC--2.0%
Kingdom of Belgium
18,275 7.500 07/29/08 573
-------
BRITISH POUND STERLING--17.6%
Abbey National PLC
825 6.000 08/10/99 1,317
Lloyds Bank PLC
800 7.375 03/11/04 1,289
Treasury of Great
Britain
1,420 8.000 06/10/03 2,420
-------
5,026
-------
CANADIAN DOLLAR--6.7%
Province of Ontario
1,050 7.300 09/27/05 786
Province of Quebec
1,325 10.300 10/15/01 1,112
-------
1,898
-------
DANISH KRONE--6.0%
Kingdom of Denmark
10,100 8.000 03/15/06 1,718
-------
FRENCH FRANC--4.4%
Electricite de
France
6,200 8.600 04/09/04 1,259
-------
GERMAN MARK--14.6%
Federal Republic of
Germany
1,795 6.300 01/04/24 989
LKB Global Bond
1,500 6.000 05/10/99 915
Republic of Austria
1,670 8.000 01/30/02 1,104
Republic of Finland
1,920 5.500 02/09/01 1,162
-------
4,170
-------
ITALIAN LIRA--8.8%
Republic of Italy
4,000,000 8.500 04/01/04 2,514
-------
JAPANESE YEN--15.4%
Asian Development
Bank
90,000 5.000 02/05/03 884
European Bank for
Reconstruction and
Development
95,000 5.900 11/26/99 904
</TABLE>
<TABLE>
<CAPTION>
Description
- -----------------------------------------
Local
Currency/
Principal Maturity
Amount Rate Date Value
- -----------------------------------------
<C> <S> <C> <C>
International Bank
for Reconstruction
and Development
100,000 4.500% 03/20/03 $ 967
Japan Development
Bank
160,000 6.500 09/20/01 1,630
-------
4,385
-------
NETHERLANDS GUILDER--5.4%
Kingdom of the
Netherlands
2,615 8.500 03/15/01 1,546
-------
SPANISH PESETA--4.6%
Kingdom of Spain
120,000 11.300 01/15/02 1,014
35,000 10.000 02/28/05 293
-------
1,307
-------
SWEDISH KRONA--4.0%
Kingdom of Sweden
7,400 10.300 05/05/03 1,137
-------
UNITED STATES DOLLAR--0.7%
U.S. Treasury Bond
200 7.100 02/15/23 203
- -----------------------------------------
TOTAL DEBT OBLIGATIONS (Cost
$26,864) $27,104
- -----------------------------------------
SHORT-TERM INVESTMENT--2.6%
United States Dollar
Bank of Tokyo-
Mitsubishi, Grand
Cayman
$ 746 5.750% 06/02/97 $ 746
- -----------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $746) $ 746
- -----------------------------------------
TOTAL INVESTMENTS--97.6% $27,850
(Cost $27,610)
- -----------------------------------------
Other assets, less liabili-
ties--2.4% 671
- -----------------------------------------
NET ASSETS--100.0% $28,521
- -----------------------------------------
- -----------------------------------------
</TABLE>
See accompanying notes to financial statements.
8
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------------------
SHORT DURATION PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATION--
11.0%
U.S. Treasury Note
$ 5,000 5.875% 11/15/99 $ 4,948
- ----------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TION
(Cost $5,009) $ 4,948
- ----------------------------------------------------
FOREIGN CERTIFICATE OF DEPOS-
IT--2.2%
Sanwa Bank, New York
Branch
$ 1,000 5.630% 06/23/97 $ 1,000
- ----------------------------------------------------
TOTAL FOREIGN CERTIFICATE OF
DEPOSIT
(Cost $1,000) $ 1,000
- ----------------------------------------------------
COMMERCIAL PAPER--66.1%
ASSET-BACKED SECURITIES--4.4%
Kitty Hawk Funding
Corp.
$ 1,000 5.728% 06/20/97 $ 997
Variable Funding
Capital
1,000 5.611 06/10/97 998
-------
1,995
-------
BROKERAGE SERVICES--2.2%
Morgan Stanley
Group, Inc.
1,000 5.621 06/30/97 995
-------
INDUSTRIAL MACHINES AND COM-
PUTER EQUIPMENT--4.6%
International
Business Machines
Corp.
100 5.525 06/26/97 99
John Deere Capital
Corp.
2,000 5.482 06/26/97 1,992
-------
2,091
-------
ELECTRONIC AND OTHER ELECTRICAL
COMPONENTS--4.4%
General Electric
Capital Corp.
2,000 5.506 06/30/97 1,991
-------
EXECUTIVE, LEGISLATIVE & GEN-
ERAL GOVERNMENT--2.2%
APEX Funding Corp.
1,000 5.625 06/25/97 996
-------
GENERAL MERCHANDISE STORES--
4.4%
Sears Roebuck
Acceptance Corp.
2,000 5.506 06/30/97 1,991
-------
INSURANCE CARRIERS--8.4%
New Center Asset
Trust
2,000 5.506 06/30/97 1,991
NFC Asset Trust
1,000 5.636 06/24/97 996
Special Purpose
Accounts Receivable
Cooperative Corp.
800 5.617 06/10/97 799
-------
3,786
-------
</TABLE>
<TABLE>
<CAPTION>
Description
- ------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------
<C> <S> <C> <C>
NONDEPOSITORY BUSINESS CREDIT
INSTITUTIONS--22.2%
American Express
Credit Co.
$ 2,000 5.556% 06/30/97 $ 1,991
American General
Finance Corp.
2,000 5.591 06/30/97 1,991
Associates
Corporation of North
America
2,000 5.519 06/30/97 1,991
Beneficial Corp.
2,000 5.516 06/30/97 1,991
Household Finance
Corp.
2,000 5.476 06/30/97 1,991
-------
9,955
-------
REAL ESTATE--2.2%
SRD Finance, Inc.
1,000 5.631 06/26/97 996
-------
TRANSPORTATION--11.1%
Chrysler Financial
Corp.
2,000 5.576 06/27/97 1,992
Ford Credit Canada
Ltd.
1,000 5.655 06/10/97 998
General Motors
Acceptance Corp.
2,000 5.536 06/30/97 1,991
-------
4,981
- ------------------------------------------
TOTAL COMMERCIAL PAPER
(Cost $29,777) $29,777
- ------------------------------------------
SHORT-TERM INVESTMENT--1.0%
Bank of Montreal,
Canada
$ 462 5.688% 06/02/97 $ 462
- ------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $462) $ 462
- ------------------------------------------
REPURCHASE AGREEMENT--22.2%
Bear Stearns & Co.,
Inc., Dated
05/30/97, Repurchase
Price $10,005 (U.S.
Government
Securities
Collateralized)
$10,000 5.700% 06/02/97 $10,000
- ------------------------------------------
TOTAL REPURCHASE AGREEMENT
(Cost $10,000) $10,000
- ------------------------------------------
TOTAL INVESTMENTS--102.5%
(Cost $46,248) $46,187
- ------------------------------------------
Liabilities, less other as-
sets--(2.5)% (1,138)
- ------------------------------------------
NET ASSETS--100.0% $45,049
- ------------------------------------------
- ------------------------------------------
</TABLE>
See accompanying notes to financial statements.
9
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- --------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- --------------------------------------------------------
SHORT-INTERMEDIATE BOND PORTFOLIO
<C> <S> <C> <C>
ASSET-BACKED SECURITIES--9.0%
AUTOMOTIVE--9.0%
Olympic Automobile
Receivables Trust
$ 2,931 5.950% 11/15/99 $ 2,937
2,062 7.875 07/15/01 2,099
Olympic Automobile
Receivables Trust,
Interest Only
Stripped Security*
-- -- 01/15/99 925
Premier Auto Trust
1,177 4.750 02/02/00 1,174
Western Financial
Automobile Loan
Trust
Series: 1992, Class
3
192 4.700 01/01/98 192
Series: 1994-4,
Class A-1
1,083 7.100 01/01/00 1,088
Series: 1997-A,
Class A-3
5,800 6.500 09/20/01 5,797
- --------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $14,693) $ 14,212
- --------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATIONS--
17.6%
Donaldson, Lufkin &
Jenrette
Mortgage Acceptance
Corp.,
Series: 1994-Q8,
Class 2-A1
$ 2,091 7.250% 05/25/24 $ 2,078
Financial Asset
Securitization,
Inc.,
Series: 1997-NAMC,
Class FXA-3
6,074 7.350 04/25/27 6,083
GE Capital Mortgage
Services, Inc.,
Series: 1994-15,
Class A-16
8,299 6.000 04/25/09 7,841
PNC Mortgage
Securities Corp.,
Series: 1996-PR1,
Class A
2,932 8.150 04/28/27 2,971
Prudential Home
Mortgage Securities
Co.,
Series: 94-1, Class
A
9,143 6.000 02/25/09 8,869
- --------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $28,040) $ 27,842
- --------------------------------------------------------
CORPORATE OBLIGATIONS--10.2%
BROKERAGE SERVICES--7.1%
Donaldson, Lufkin &
Jenrette, Inc.
Medium Term Note
$ 6,500 5.625% 02/15/16 $ 6,227
Salomon Brothers,
Inc. Medium Term
Notes
3,000 5.500 01/31/98 2,984
2,000 5.700 02/11/98 1,991
--------
11,202
--------
ELECTRICAL UTILITY--3.1%
Tenaga Nasional
Berhad
4,800 7.200 04/29/07 4,852
- --------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS
(Cost $16,272) $ 16,054
- --------------------------------------------------------
U.S. GOVERNMENT AGENCIES--7.8%
COLLATERALIZED MORTGAGE OBLIGATIONS--
7.8%
FEDERAL HOME LOAN MORTGAGE AS-
SOCIATION REMIC TRUST PRINCI-
PAL ONLY STRIPPED SECURITY*--
2.7%
Series: 1571, Class
BA
$ 4,490 --% 04/15/19 $ 4,215
--------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--3.6%
Series: 1996-M4,
Class A
$ 5,652 7.750% 03/17/17 $ 5,709
--------
FEDERAL NATIONAL MORTGAGE ASSO-
CIATION REMIC TRUST PRINCIPAL
ONLY STRIPPED SECURITIES*--
1.5%
Series: 1993-161,
Class B
910 -- 10/25/18 868
Series: 1994-9,
Class G
1,623 -- 11/25/23 1,532
--------
2,400
- -------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $11,156) $ 12,324
- -------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--
48.6%
U.S. TREASURY NOTES--48.6%
$ 4,000 5.375% 05/31/98 $ 3,981
2,000 5.125 11/30/98 1,974
23,525 6.750 05/31/99 23,760
13,675 6.875 08/31/99 13,848
11,900 7.750 01/31/00 12,305
4,000 5.500 12/31/00 3,883
4,890 6.625 06/30/01 4,915
12,000 6.625 07/31/01 12,064
- -------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $77,003) $ 76,730
- -------------------------------------------
SHORT-TERM INVESTMENT--9.2%
Bank of Tokyo-
Mitsubishi, Grand
Cayman
<CAPTION>
$14,515 5.750% 06/02/97 $ 14,515
- -------------------------------------------
<C> <S> <C> <C>
TOTAL SHORT-TERM INVESTMENT
(Cost $14,515) $ 14,515
- -------------------------------------------
TOTAL INVESTMENTS--102.4%
(Cost $161,679) $161,677
- -------------------------------------------
Liabilities, less other as-
sets--(2.4)% (3,756)
- -------------------------------------------
NET ASSETS--100.0% $157,921
- -------------------------------------------
- -------------------------------------------
</TABLE>
*At May 31, 1997, effective yields on these Interest Only and Principal Only
stripped securities ranged from approximately 5.00% to 7.00%.
See accompanying notes to financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Description
- ----------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ----------------------------------------------------------
U.S. GOVERNMENT SECURITIES PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT AGENCIES--33.6%
COLLATERALIZED MORTGAGE OBLIGATIONS--
26.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
3.1%
Series: 1296, Class
H
$ 1,781 11.956% 07/15/99 $ 1,911
Series: 1520, Class
F
672 5.650 09/15/04 666
--------
2,577
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION
REMIC TRUST--23.5%
Series: 1991-127,
Class S
2,590 11.979 09/25/98 2,716
Series: 1997-M1,
Class A
3,343 6.783 01/17/03 3,342
Series: 1993-085,
Class PD
4,191 5.500 07/25/03 4,163
Series: 1993-133,
Class EZ
3,734 5.850 02/25/17 3,658
Series: 1996-M4,
Class A
3,768 7.750 03/17/17 3,806
Series: 1992-200,
Class E
1,000 6.250 06/25/17 997
Series: 1998-14,
Class 14-F
246 9.200 12/25/17 253
Series: 1992-20,
Class IO,
Interest Only
Stripped Security*
-- -- 03/25/27 727
--------
19,662
--------
MORTGAGE-BACKED SECURITIES--4.6%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
0.6%
$ 493 7.722% 11/01/24 $ 506
--------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--
4.0%
3,139 7.776 01/01/31 3,304
--------
3,810
--------
AGENCY OBLIGATIONS--2.4%
FEDERAL HOME LOAN MORTGAGE CORPORATION--
0.6%
$ 500 7.130% 06/30/05 $ 490
--------
TENNESSEE VALLEY AUTHORITY NOTE--1.8%
1,500 6.235 07/15/45 1,484
--------
1,974
- ----------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $27,976) $ 28,023
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Description
- -------------------------------------------
Principal Maturity
Amount Rate Date Value
- -------------------------------------------
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--76.4%
U.S. TREASURY NOTES
$ 7,000 5.500% 11/15/98 $ 6,946
9,000 6.750 05/31/99 9,090
12,000 7.750 01/31/00 12,409
25,000 6.125 07/31/00 24,820
715 6.625 06/30/01 719
9,840 6.625 07/31/01 9,892
- -------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $64,244) $ 63,876
- -------------------------------------------
SHORT-TERM INVESTMENT--3.6%
Federal Home Loan
Bank Discount Note
$ 2,995 5.400% 06/02/97 $ 2,995
- -------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $2,995) $ 2,995
- -------------------------------------------
TOTAL INVESTMENTS--113.6%
(Cost $95,215) $ 94,894
- -------------------------------------------
Liabilities, less other as-
sets--(13.6)% (11,328)
- -------------------------------------------
NET ASSETS--100.0% $ 83,566
- -------------------------------------------
</TABLE>
*At May 31, 1997, the effective yield on this Interest Only stripped security
was 7.00%.
See accompanying notes to financial statements.
11
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Description
- ------------------------------------------------------
Principal Maturity
Amount Rate Date Value
- ------------------------------------------------------
U.S. TREASURY INDEX PORTFOLIO
<C> <S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS--
95.0%
U.S. TREASURY NOTES--66.6%
$1,115 9.250% 08/15/98 $ 1,157
6,100 5.000 01/31/99 5,994
1,400 5.250 02/28/99 1,385
850 7.875 11/15/99 880
3,800 7.750 01/13/00 3,929
2,100 6.500 05/31/01 2,103
4,000 6.250 02/15/03 3,945
1,000 6.250 02/15/07 973
-------
20,366
-------
U.S. TREASURY BONDS--28.4%
435 13.875 05/15/11 640
660 14.000 11/15/11 989
490 13.250 05/15/14 742
1,250 7.250 05/15/16 1,286
900 8.125 05/15/21 1,015
1,700 6.250 08/15/23 1,549
2,500 6.875 08/15/25 2,469
-------
8,690
- ------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGA-
TIONS
(Cost $29,184) $29,056
- ------------------------------------------------------
SHORT-TERM INVESTMENT--3.6%
Federal Home Loan
Bank Discount Note
$1,095 5.400% 06/02/97 $ 1,095
- ------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $1,095) $ 1,095
- ------------------------------------------------------
TOTAL INVESTMENTS--98.6%
(Cost $30,279) $30,151
- ------------------------------------------------------
Other assets, less liabili-
ties--1.4% 445
- ------------------------------------------------------
NET ASSETS--100.0% $30,596
- ------------------------------------------------------
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
12
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
May 31, 1997
(All amounts in thousands, except net asset value per unit)
(Unaudited)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securi-
ties, at cost $469,673 $27,610 $36,248 $161,679 $95,215 $30,279
Repurchase agreement, at
cost -- -- 10,000 -- -- --
- ---------------------------------------------------------------------------------------------
Investments in securi-
ties, at value $471,035 $27,850 $36,187 $161,677 $94,894 $30,151
Repurchase agreement, at
value -- -- 10,000 -- -- --
Cash and foreign curren-
cies 1,095 22 -- 848 308 4
Unrealized appreciation
on forward foreign cur-
rency contracts -- 25 -- -- -- --
Receivables:
Interest 6,332 607 18 1,642 1,281 444
Fund units sold 199 -- 1 200 -- --
Investment securities
sold -- -- -- -- 19 --
Foreign tax reclaims -- 17 -- -- -- --
Administrator 11 -- 7 8 6 6
Deferred organization
costs, net 8 29 19 8 11 8
Other assets 6 9 4 1 2 1
- ---------------------------------------------------------------------------------------------
TOTAL ASSETS 478,686 28,559 46,236 164,384 96,521 30,614
- ---------------------------------------------------------------------------------------------
LIABILITIES:
Payable for:
Investment securities
purchased 9,997 -- -- 5,798 -- --
Fund units redeemed 2,818 -- 1,138 600 12,913 --
Distributions to
unitholders -- -- 28 -- -- --
Accrued expenses:
Advisory fees 99 17 6 33 21 4
Administration fees 39 4 4 13 8 3
Transfer agent fees 8 -- -- 1 1 --
Custodian fees 3 7 4 4 2 2
Other liabilities 33 10 7 14 10 9
- ---------------------------------------------------------------------------------------------
TOTAL LIABILITIES 12,997 38 1,187 6,463 12,955 18
- ---------------------------------------------------------------------------------------------
NET ASSETS $465,689 $28,521 $45,049 $157,921 $83,566 $30,596
- ---------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $463,078 $28,096 $45,654 $157,909 $84,182 $31,677
Accumulated undistrib-
uted net investment in-
come 318 320 35 171 122 43
Accumulated net realized
gains (losses) on in-
vestments, forward for-
eign currency contracts
and foreign currency
transactions 931 (159) (579) (157) (417) (996)
Net unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions 1,362 265 (61) (2) (321) (128)
Net unrealized losses on
translation of other
assets and liabilities
denominated in foreign
currencies -- (1) -- -- -- --
- ---------------------------------------------------------------------------------------------
NET ASSETS $465,689 $28,521 $45,049 $157,921 $83,566 $30,596
- ---------------------------------------------------------------------------------------------
Total units outstanding
(no par value), unlim-
ited units authorized
Class A 20,069 1,401 4,515 7,753 4,008 1,454
Class C 2,726 -- -- -- 186 --
Class D 8 3 -- 23 15 69
- ---------------------------------------------------------------------------------------------
Net asset value, offer-
ing and redemption price
per unit
Class A $ 20.42 $ 20.32 $ 9.98 $ 20.31 $ 19.85 $ 20.09
Class C $ 20.42 -- -- -- $ 19.85 --
Class D $ 20.40 $ 20.28 -- $ 20.26 $ 19.81 $ 20.05
- ---------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
13
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Six Months Ended May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Short- U.S. U.S.
International Short Intermediate Government Treasury
Bond Bond Duration Bond Securities Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INTEREST INCOME: $13,260 $ 985(a) $1,355 $5,276 $2,677 $885
- ---------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 1,184 134 98 453 260 57
Administration fees 292 33 55 148 96 32
Transfer agent fees 30 2 -- 8 6 2
Custodian fees 24 34 19 15 11 11
Registration fees 23 11 7 14 14 12
Unitholder servicing
fees 17 -- -- 1 3 1
Professional fees 9 2 2 4 2 2
Amortization of deferred
organization costs 7 8 10 7 7 7
Trustee fees and ex-
penses 5 1 1 2 1 1
Other 8 6 3 3 3 3
- ---------------------------------------------------------------------------------------------
TOTAL EXPENSES 1,599 231 195 655 403 128
Less voluntary waivers
of:
Investment advisory
fees (691) (30) (61) (264) (152) (36)
Administration fees (95) (19) -- (73) (53) (18)
Less: Expenses reimburs-
able by Administrator (74) (38) (73) (46) (37) (35)
- ---------------------------------------------------------------------------------------------
Net expenses 739 144 61 272 161 39
- ---------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 12,521 841 1,294 5,004 2,516 846
Net realized gains
(losses) on:
Investment transactions 3,370 112 3 (392) (110) 3
Foreign currency trans-
actions -- (279) -- -- -- --
Net change in unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions (8,873) (2,343) (44) (2,169) (670) (685)
Net change in unrealized
gains on translation of
other assets and
liabilities denominated
in foreign currencies -- 4 -- -- -- --
- ---------------------------------------------------------------------------------------------
NET INCREASE (DECREASE)
IN NET ASSETS RESULTING
FROM OPERATIONS $ 7,018 $(1,665) $1,253 $2,443 $1,736 $164
- ---------------------------------------------------------------------------------------------
</TABLE>
(a)Net of $19 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
14
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Six Months Ended May 31, 1997 (Unaudited) and the Year Ended November
30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Bond International Short Duration
Portfolio Bond Portfolio Portfolio
------------------ ---------------- ----------------
1997 1996 1997 1996 1997 1996
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM OPERA-
TIONS:
Net investment income $ 12,521 $ 21,225 $ 841 $ 1,892 $ 1,294 $ 2,571
Net realized gains
(losses) on
investments, forward
foreign currency
contracts and foreign
currency transactions 3,370 2,094 (167) 976 3 29
Net change in
unrealized
appreciation
(depreciation) on
investments, forward
foreign currency
contracts and foreign
currency transactions (8,873) (3,905) (2,343) 20 (44) --
Net change in
unrealized gains on
translations of other
assets and liabili-
ties denominated in
foreign currencies -- -- 4 6 -- --
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets result-
ing from operations 7,018 19,414 (1,665) 2,894 1,253 2,600
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
A UNITHOLDERS FROM:
Net investment income (11,517) (20,213) (551) (2,300) (1,294) (2,571)
Net realized gains -- -- (520) -- -- --
Return of capital -- (556) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class A unitholders (11,517) (20,769) (1,071) (2,300) (1,294) (2,571)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
C UNITHOLDERS FROM:
Net investment income (679) (264) -- -- -- --
Return of capital -- (7) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class C unitholders (679) (271) -- -- -- --
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
D UNITHOLDERS FROM:
Net investment income (7) (8) (1) (1) -- --
Net realized gains -- -- (1) -- -- --
Return of capital -- (1) -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to
Class D unitholders (7) (9) (2) (1) -- --
- --------------------------------------------------------------------------------
CLASS A UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 86,524 143,593 748 5,918 27,070 64,087
Reinvested distribu-
tions 10,439 18,565 874 1,747 1,269 2,425
Cost of units redeemed (48,338) (79,885) (4,609) (6,747) (25,062) (70,201)
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class A
unit transactions 48,625 82,273 (2,987) 918 3,277 (3,689)
- --------------------------------------------------------------------------------
CLASS C UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 51,632 4,311 -- -- -- --
Reinvested distribu-
tions 679 271 -- -- -- --
Cost of units redeemed (4,423) (1,032) -- -- -- --
- --------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
Class C unit transac-
tions 47,888 3,550 -- -- -- --
- --------------------------------------------------------------------------------
CLASS D UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 67 127 9 41 -- --
Reinvested distribu-
tions 6 9 2 1 -- --
Cost of units redeemed (124) (37) -- -- -- --
- --------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class D
unit transactions (51) 99 11 42 -- --
- --------------------------------------------------------------------------------
Net increase (decrease) 91,277 84,287 (5,714) 1,553 3,236 (3,660)
Net assets--beginning
of period 374,412 290,125 34,235 32,682 41,813 45,473
- --------------------------------------------------------------------------------
NET ASSETS--END OF PE-
RIOD $465,689 $374,412 $28,521 $34,235 $45,049 $41,813
- --------------------------------------------------------------------------------
ACCUMULATED UNDISTRIB-
UTED NET INVESTMENT
INCOME $ 318 $ -- $ 320 $ 31 $ 35 $ 35
- --------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS--CONTINUED
For the Six Months Ended May 31, 1997 (Unaudited) and the Year Ended November
30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Short-
Intermediate U.S. Government U.S. Treasury
Bond Portfolio Securities Portfolio Index Portfolio
------------------ ---------------------- ----------------
1997 1996 1997 1996 1997 1996
- --------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS FROM OPERA-
TIONS:
Net investment income $ 5,004 $ 9,828 $ 2,516 $ 4,572 $ 846 $ 1,035
Net realized gains
(losses) on invest-
ments (392) 392 (110) (58) 3 91
Net change in
unrealized
appreciation
(depreciation) on
investments (2,169) (1,308) (670) (201) (685) (239)
- --------------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
operations 2,443 8,912 1,736 4,313 164 887
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
A UNITHOLDERS FROM:
Net investment income (4,865) (9,596) (2,365) (4,393) (798) (1,005)
Net realized gains (414) -- -- -- -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class A unitholders (5,279) (9,596) (2,365) (4,393) (798) (1,005)
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
C UNITHOLDERS FROM:
Net investment income -- -- (97) (159) -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class C unitholders -- -- (97) (159) -- --
- --------------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS
D UNITHOLDERS FROM:
Net investment income (13) (3) (7) (9) (30) (26)
Net realized gains (1) -- -- -- -- --
- --------------------------------------------------------------------------------------
Total distributions to
Class D unitholders (14) (3) (7) (9) (30) (26)
- --------------------------------------------------------------------------------------
CLASS A UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 41,577 69,730 39,434 104,606 4,407 13,176
Reinvested distribu-
tions 4,692 8,697 2,232 4,198 682 746
Cost of units redeemed (39,639) (82,742) (53,746) (72,555) (1,513) (5,169)
- --------------------------------------------------------------------------------------
Net increase (decrease)
in net assets
resulting from Class A
unit transactions 6,630 (4,315) (12,080) 36,249 3,576 8,753
- --------------------------------------------------------------------------------------
CLASS C UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units -- -- 806 4,695 -- --
Reinvested distribu-
tions -- -- 97 159 -- --
Cost of units redeemed -- -- (712) (1,298) -- --
- --------------------------------------------------------------------------------------
Net increase in net as-
sets resulting from
Class C unit transac-
tions -- -- 191 3,556 -- --
- --------------------------------------------------------------------------------------
CLASS D UNIT TRANSAC-
TIONS:
Proceeds from the sale
of units 138 328 94 210 839 592
Reinvested distribu-
tions 9 3 3 8 18 26
Cost of units redeemed (24) (2) (20) (60) (294) (66)
- --------------------------------------------------------------------------------------
Net increase in net
assets resulting from
Class D unit
transactions 123 329 77 158 563 552
- --------------------------------------------------------------------------------------
Net increase (decrease) 3,903 (4,673) (12,545) 39,715 3,475 9,161
Net assets--beginning
of period 154,018 158,691 96,111 56,396 27,121 17,960
- --------------------------------------------------------------------------------------
NET ASSETS--END OF PE-
RIOD $157,921 $154,018 $ 83,566 $ 96,111 $30,596 $27,121
- --------------------------------------------------------------------------------------
ACCUMULATED UNDISTRIB-
UTED NET INVESTMENT
INCOME $ 171 $ 45 $ 122 $ 75 $ 43 $ 25
- --------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A
-------------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING
OF PERIOD $ 20.77 $ 20.96 $ 18.29 $ 20.70 $ 20.00
Income from investment
operations:
Net investment income 0.64 1.29 1.17 1.42 1.42
Net realized and unrealized
gain (loss) (0.36) (0.19) 2.66 (2.21) 0.66
- --------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.28 1.10 3.83 (0.79) 2.08
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.63) (1.26) (1.14) (1.46) (1.38)
Net realized gain -- -- -- (0.15) --
Return of capital -- (0.03) (0.02) (0.01) --
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.63) (1.29) (1.16) (1.62) (1.38)
- --------------------------------------------------------------------------------
Net increase (decrease) (0.35) (0.19) 2.67 (2.41) 0.70
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.42 $ 20.77 $ 20.96 $ 18.29 $ 20.70
- --------------------------------------------------------------------------------
Total return (b) 1.38% 5.57% 21.55% (4.04)% 10.60%
Ratio to average net assets
of (c):
Expenses, net of waivers
and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36%
Expenses, before waivers
and reimbursements 0.81% 0.84% 0.84% 0.87% 0.92%
Net investment income, net
of waivers and
reimbursements 6.45% 6.39% 5.94% 7.31% 7.84%
Net investment income, be-
fore waivers and
reimbursements 6.00% 5.91% 5.46% 6.80% 7.28%
Portfolio turnover rate 59.12% 101.38% 74.19% 103.09% 89.06%
Net assets at end of period
(in thousands) $409,859 $366,850 $286,301 $257,391 $245,112
- --------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
17
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BOND PORTFOLIO--CONTINUED
<TABLE>
<CAPTION>
Class C Class D
-------------------------- ---------------------------------
1997 1996 1995 (a) 1997 1996 1995 1994 (b)
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.78 $ 20.96 $20.21 $20.76 $ 20.94 $18.29 $18.74
Income from investment
operations:
Net investment income 0.59 1.25 0.47 0.63 1.22 1.08 0.28
Net realized and
unrealized gain (loss) (0.34) (0.18) 0.74 (0.40) (0.18) 2.66 (0.45)
- ---------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.25 1.07 1.21 0.23 1.04 3.74 (0.17)
- ---------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.61) (1.22) (0.45) (0.59) (1.19) (1.09) (0.28)
Return of capital -- (0.03) (0.01) -- (0.03) -- --
- ---------------------------------------------------------------------------------------
Total distributions to
unitholders (0.61) (1.25) (0.46) (0.59) (1.22) (1.09) (0.28)
- ---------------------------------------------------------------------------------------
Net increase (decrease) (0.36) (0.18) 0.75 (0.36) (0.18) 2.65 (0.45)
- ---------------------------------------------------------------------------------------
Net asset value, end of
period $ 20.42 $ 20.78 $20.96 $20.40 $ 20.76 $20.94 $18.29
- ---------------------------------------------------------------------------------------
Total return (c) 1.24% 5.33% 6.08% 1.19% 5.17% 21.06% (0.94)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.60% 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before
waivers and
reimbursements 1.05% 1.08% 1.08% 1.20% 1.23% 1.23% 1.26%
Net investment income,
net of waivers and
reimbursements 5.75% 6.09% 5.59% 6.01% 5.99% 5.48% 6.31%
Net investment income,
before waivers and
reimbursements 5.30% 5.61% 5.11% 5.56% 5.51% 5.00% 5.80%
Portfolio turnover rate 59.12% 101.38% 74.19% 59.12% 101.38% 74.19% 103.09%
Net assets at end of pe-
riod (in thousands) $55,664 $ 7,342 $3,704 $ 166 $ 220 $ 120 $ 15
- ---------------------------------------------------------------------------------------
</TABLE>
(a) Class C units were issued on July 3, 1995.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
18
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
INTERNATIONAL BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
------------------------------------- -------------------------
1997 1996 1995 1994 (a) 1997 1996 1995 (b)
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 22.16 $ 21.74 $ 19.93 $ 20.00 $22.14 $21.74 $22.17
Income from investment
operations:
Net investment income 0.60 1.54 1.26 0.79 0.47 1.37 0.02
Net realized and
unrealized gain (loss) (1.71) 0.43 2.28 0.01 (1.61) 0.51 (0.08)
- -------------------------------------------------------------------------------------------
Total income (loss) from
investment operations (1.11) 1.97 3.54 0.80 (1.14) 1.88 (0.06)
- -------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income
(c) (0.39) (1.55) (1.73) (0.87) (0.38) (1.48) (0.37)
Net realized gain (0.34) -- -- -- (0.34) -- --
- -------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.73) (1.55) (1.73) (0.87) (0.72) (1.48) (0.37)
- -------------------------------------------------------------------------------------------
Net increase (decrease) (1.84) 0.42 1.81 (0.07) (1.86) 0.40 (0.43)
- -------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.32 $ 22.16 $ 21.74 $ 19.93 $20.28 $22.14 $21.74
- -------------------------------------------------------------------------------------------
Total return (d) (5.10)% 9.47% 18.20% 4.03% (5.29)% 9.04% (0.30)%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.96% 0.96% 0.96% 0.96% 1.35% 1.35% 1.35%
Expenses, before waiv-
ers and reimbursements 1.56% 1.58% 1.47% 1.49% 1.95% 1.97% 1.86%
Net investment income,
net of waivers and re-
imbursements 5.64% 5.91% 5.92% 5.93% 5.04% 5.67% 3.26%
Net investment income,
before waivers and re-
imbursements 5.04% 5.29% 5.41% 5.40% 4.44% 5.05% 2.75%
Portfolio turnover rate 12.78% 33.89% 54.46% 88.65% 12.78% 33.89% 54.46%
Net assets at end of pe-
riod (in thousands) $28,464 $34,183 $32,673 $26,947 $ 57 $ 52 $ 9
- -------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 20, 1995.
(c) Distributions to unitholders from net investment income include amounts
relating to foreign currency transactions which are treated as ordinary
income for Federal income tax purposes.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
See accompanying notes to financial statements.
19
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
SHORT DURATION PORTFOLIO
<TABLE>
<CAPTION>
Class A
----------------------------------------------
1997 1996 1995 1994 1993 (a)
- -------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 9.99 $ 9.99 $ 9.97 $ 10.03 $ 10.00
Income from investment opera-
tions:
Net investment income 0.26 0.53 0.59 0.40 0.14
Net realized and unrealized
gain (loss) (0.01) -- 0.01 (0.05) 0.03
- -------------------------------------------------------------------------------
Total income from investment
operations 0.25 0.53 0.60 0.35 0.17
- -------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.26) (0.53) (0.58) (0.40) (0.14)
Net realized gain -- -- -- (0.01) --
- -------------------------------------------------------------------------------
Total distributions to
unitholders (0.26) (0.53) (0.58) (0.41) (0.14)
- -------------------------------------------------------------------------------
Net increase (decrease) (0.01) -- 0.02 (0.06) 0.03
- -------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 9.98 $ 9.99 $ 9.99 $ 9.97 $ 10.03
- -------------------------------------------------------------------------------
Total return (b) 2.59% 5.45% 6.14% 3.64% 1.73%
Ratio to average net assets of
(c):
Expenses, net of waivers and
reimbursements 0.25% 0.25% 0.25% 0.25% 0.32%
Expenses, before waivers and
reimbursements 0.80% 0.81% 0.80% 0.77% 0.50%
Net investment income, net of
waivers and reimbursements 5.31% 5.30% 5.80% 3.93% 3.00%
Net investment income, before
waivers and reimbursements 4.76% 4.74% 5.25% 3.41% 2.82%
Portfolio turnover rate 35.09% 828.58% 1,272.21% 1,364.00% 434.32%
Net assets at end of period
(in thousands) $45,049 $41,813 $45,473 $89,803 $186,765
- -------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on June 2, 1993.
(b) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
20
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
SHORT-INTERMEDIATE BOND PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
----------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.70 $ 20.73 $ 19.53 $ 20.33 $ 20.00 $20.66 $20.71 $19.53 $19.82
Income from investment
operations:
Net investment income 0.67 1.14 1.02 0.97 0.85 0.63 1.07 0.94 0.23
Net realized and
unrealized gain (loss) (0.36) (0.01) 1.19 (0.80) 0.31 (0.36) (0.02) 1.18 (0.29)
- ------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.31 1.13 2.21 0.17 1.16 0.27 1.05 2.12 (0.06)
- ------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.65) (1.16) (1.01) (0.97) (0.83) (0.62) (1.10) (0.94) (0.23)
Net realized gain (0.05) -- -- -- -- (0.05) -- -- --
- ------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.70) (1.16) (1.01) (0.97) (0.83) (0.67) (1.10) (0.94) (0.23)
- ------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.39) (0.03) 1.20 (0.80) 0.33 (0.40) (0.05) 1.18 (0.29)
- ------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.31 $ 20.70 $ 20.73 $ 19.53 $ 20.33 $20.26 $20.66 $20.71 $19.53
- ------------------------------------------------------------------------------------------------------------
Total return (c) 1.57% 5.68% 11.58% 0.84% 5.90% 1.37% 5.22% 11.09% (0.30)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.36% 0.36% 0.36% 0.36% 0.36% 0.75% 0.75% 0.75% 0.75%
Expenses, before waiv-
ers and reimbursements 0.87% 0.88% 0.91% 0.95% 1.00% 1.26% 1.27% 1.30% 1.34%
Net investment income,
net of waivers and
reimbursements 6.63% 5.83% 5.14% 4.84% 4.79% 6.24% 4.96% 4.85% 4.42%
Net investment income,
before waivers and
reimbursements 6.12% 5.31% 4.59% 4.25% 4.15% 5.73% 4.44% 4.30% 3.83%
Portfolio turnover rate 36.24% 47.68% 54.68% 48.67% 19.48% 36.24% 47.68% 54.68% 48.67%
Net assets at end of pe-
riod (in thousands) $157,461 $153,675 $158,678 $96,209 $107,550 $ 460 $ 343 $ 13 $ 1
- ------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
21
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
U.S. GOVERNMENT SECURITIES PORTFOLIO
<TABLE>
<CAPTION>
Class A
---------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PE-
RIOD $ 20.07 $ 20.08 $ 19.05 $ 20.07 $ 20.00
Income from investment
operations:
Net investment income 0.58 1.02 1.05 0.91 0.55
Net realized and unrealized gain
(loss) (0.23) (0.01) 1.02 (1.02) 0.05
- --------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.35 1.01 2.07 (0.11) 0.60
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.57) (1.02) (1.04) (0.91) (0.53)
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.57) (1.02) (1.04) (0.91) (0.53)
- --------------------------------------------------------------------------------
Net increase (decrease) (0.22) (0.01) 1.03 (1.02) 0.07
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 19.85 $ 20.07 $ 20.08 $ 19.05 $ 20.07
- --------------------------------------------------------------------------------
Total return (d) 1.82% 5.15% 11.18% (0.57)% 3.00%
Ratio to average net assets
of (e):
Expenses, net of waivers and re-
imbursements 0.36% 0.36% 0.36% 0.36% 0.43%
Expenses, before waivers and
reimbursements 0.92% 0.94% 1.09% 1.12% 1.18%
Net investment income, net of
waivers and reimbursements 5.83% 5.22% 5.43% 4.62% 4.18%
Net investment income, before
waivers and reimbursements 5.27% 4.64% 4.70% 3.86% 3.43%
Portfolio turnover rate 68.48% 119.75% 141.14% 45.55% 20.59%
Net assets at end of period (in
thousands) $79,575 $92,351 $56,329 $25,293 $32,479
- --------------------------------------------------------------------------------
</TABLE>
(a)Commenced investment operations on April 5, 1993.
(b)Class C units were issued on December 29, 1995.
(c)Class D units were issued on September 15, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e)Annualized for periods less than a full year.
See accompanying notes to financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Class D
---------------- --------------------------------
<S> <C> <C> <C> <C> <C> <C>
1997 1996 (b) 1997 1996 1995 1994 (c)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, BEGINNING OF PERIOD $20.14 $20.13 $20.03 $20.04 $19.05 $19.43
Income from investment operations:
Net investment income 0.55 0.91 0.53 0.96 0.96 0.22
Net realized and unrealized gain (loss) (0.29) (0.12) (0.22) (0.03) 1.00 (0.38)
- ------------------------------------------------------------------------------------------------
Total income (loss) from investment
operations 0.26 0.79 0.31 0.93 1.96 (0.16)
- ------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
- ------------------------------------------------------------------------------------------------
Total distributions to unitholders (0.55) (0.86) (0.53) (0.94) (0.97) (0.22)
- ------------------------------------------------------------------------------------------------
Net increase (decrease) (0.29) (0.07) (0.22) (0.01) 0.99 (0.38)
- ------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $19.85 $20.06 $19.81 $20.03 $20.04 $19.05
- ------------------------------------------------------------------------------------------------
Total return (d) 1.72% 4.05% 1.63% 4.77% 10.66% (0.90)%
Ratio to average net assets of (e):
Expenses, net of waivers and
reimbursements 0.60% 0.60% 0.75% 0.75% 0.75% 0.75%
Expenses, before waivers and
reimbursements 1.16% 1.18% 1.31% 1.33% 1.48% 1.51%
Net investment income, net of waivers and
reimbursements 5.59% 4.97% 5.44% 4.83% 5.08% 4.65%
Net investment income, before waivers and
reimbursements 5.03% 4.39% 4.88% 4.25% 4.35% 3.89%
Portfolio turnover rate 68.48% 119.75% 68.48% 119.75% 141.14% 45.55%
Net assets at end of period (in thousands) $3,692 $3,535 $ 299 $ 225 $ 67 $ 13
- ------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
The Benchmark Funds
Fixed Income Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
U.S. TREASURY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
--------------------------------------------- --------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 20.60 $ 20.78 $ 18.77 $ 21.05 $ 20.00 $20.57 $20.75 $18.77 $18.80
Income from investment
operations:
Net investment income 0.59 1.19 1.11 1.15 0.95 0.55 1.17 1.00 0.09
Net realized and
unrealized gain (loss) (0.52) (0.18) 2.01 (1.93) 1.02 (0.52) (0.24) 2.03 (0.03)
- ---------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.07 1.01 3.12 (0.78) 1.97 0.03 0.93 3.03 0.06
- ---------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.58) (1.19) (1.11) (1.14) (0.92) (0.55) (1.11) (1.05) (0.09)
Net realized gain -- -- -- (0.36) -- -- -- -- --
- ---------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.58) (1.19) (1.11) (1.50) (0.92) (0.55) (1.11) (1.05) (0.09)
- ---------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.51) (0.18) 2.01 (2.28) 1.05 (0.52) (0.18) 1.98 (0.03)
- ---------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 20.09 $ 20.60 $ 20.78 $ 18.77 $ 21.05 $20.05 $20.57 $20.75 $18.77
- ---------------------------------------------------------------------------------------------------------
Total return (c) 0.40% 5.10% 16.95% (3.80)% 9.94% 0.21% 4.72% 16.43% 0.37%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.26% 0.26% 0.26% 0.26% 0.26% 0.65% 0.65% 0.65% 0.65%
Expenses, before waiv-
ers and reimbursements 0.88% 1.04% 0.89% 0.79% 0.83% 1.27% 1.43% 1.28% 1.18%
Net investment income,
net of waivers and
reimbursements 5.98% 5.93% 5.09% 5.60% 5.11% 5.59% 5.57% 5.41% 6.05%
Net investment income,
before waivers and
reimbursements 5.36% 5.15% 4.46% 5.07% 4.54% 4.97% 4.79% 4.78% 5.52%
Portfolio turnover rate 28.92% 42.49% 80.36% 52.80% 77.75% 28.92% 42.49% 80.36% 52.80%
Net assets at end of pe-
riod (in thousands) $29,206 $26,273 $17,674 $37,305 $71,456 $1,390 $ 848 $ 286 $ --
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
See accompanying notes to financial statements.
24
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
BALANCED PORTFOLIO
<C> <S> <C>
COMMON STOCKS--57.4%
BANKING--1.1%
13,200 Banc One Corp. $ 571
-------
BROKERAGE AND FINANCIAL SERVICES--1.0%
14,000 Schwab (Charles) Corp. 569
-------
CHEMICALS AND ALLIED PRODUCTS--6.4%
11,600 American Home Products Corp. 885
2,800 Bristol-Myers Squibb Co. 205
3,200 du Pont (E.I.) de Nemours & Co. 348
9,400 Merck & Co., Inc. 845
11,800 Praxair, Inc. 621
6,000 Warner-Lambert Co. 605
-------
3,509
-------
COMMUNICATIONS--2.5%
20,600 Ameritech Corp. 1,349
-------
COMPUTERS AND OFFICE MACHINES--4.2%
11,300 Cisco Systems, Inc.* 766
6,600 Hewlett-Packard Co. 340
9,800 Microsoft Corp.* 1,215
-------
2,321
-------
CONSUMER PRODUCTS--3.2%
6,400 Proctor & Gamble Co. 882
9,500 Gillette Co. 844
-------
1,726
-------
CREDIT INSTITUTIONS--1.5%
24,450 MBNA Corp. 828
-------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--5.1%
19,400 General Electric Co. 1,171
7,200 Intel Corp. 1,091
10,300 Linear Technology Corp. 516
-------
2,778
-------
FOOD AND BEVERAGES--5.3%
10,000 Coca-Cola (The) Co. 683
14,400 PepsiCo, Inc. 529
23,700 Philip Morris Cos., Inc. 1,043
20,400 Starbucks Corp.* 643
-------
2,898
-------
HEALTH SERVICES--3.8%
25,300 Health Management Associates, Inc., Class A* 740
13,200 Johnson & Johnson Co. 790
7,700 Medtronic, Inc. 570
-------
2,100
-------
INSURANCE SERVICES--2.7%
5,400 American International Group, Inc. 731
6,700 MBIA, Inc. 719
-------
1,450
-------
MORTGAGE AGENCIES--1.4%
17,900 Federal National Mortgage Association 781
-------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- --------------------------------------------------------------
<C> <S> <C>
OIL AND GAS--6.7%
9,600 Chevron Corp. $ 672
13,400 Exxon Corp. 794
14,100 Noble Affiliates, Inc. 594
3,700 Royal Dutch Petroleum Co. ADR 722
7,300 Schlumberger Ltd. ADR 870
-------
3,652
-------
PAPER PRODUCTS--1.3%
14,400 Kimberly-Clark Corp. 722
-------
PROFESSIONAL SERVICE--5.0%
7,200 Cintas Corp. 446
6,800 Computer Sciences Corp.* 526
17,100 First Data Corp. 684
12,000 Newell Co. 459
12,700 Oracle Systems Corp.* 592
-------
2,707
-------
RETAIL--5.0%
8,100 Home Depot (The), Inc. 510
22,700 Staples, Inc.* 500
5,400 Tommy Hilfiger Corp.* 240
19,500 Walgreen Co. 912
20,000 Wal-Mart Stores, Inc. 595
-------
2,757
-------
TRANSPORTATION PARTS AND EQUIPMENT--1.2%
6,400 Boeing (The) Co. 674
- --------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $22,057) $31,392
- --------------------------------------------------------------
PREFERRED STOCKS--4.2%
AGENCY--1.8%
1,000 Home Ownership Funding Corp. $ 987
-------
ENTERTAINMENT AND LEISURE--1.8%
1,000 Lazara Corp. 999
-------
FINANCIAL--0.6%
330 Marquette Real Estate Funding Corp. 328
- --------------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $2,330) $ 2,314
- --------------------------------------------------------------
ASSET-BACKED SECURITIES--2.1%
FINANCIAL--2.1%
Olympic Automobile Receivables Trust
Series: 1995-D, Class A3
$ 513 5.950% Due 11/15/99 $ 514
Premier Auto Trust
Series: 1994-1, Class A3
82 4.750 Due 02/02/00 82
Western Financial Grantor Trust
Series: 1994-4, Class A1
108 7.100 Due 01/01/00 109
Western Financial Grantor Trust
Series: 1995-5, Class A1
463 5.875 Due 03/01/02 462
- --------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES (Cost $703) $ 1,167
- --------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
25
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------
BALANCED PORTFOLIO--CONTINUED
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS--2.1%
Donaldson, Lufkin & Jenrette
Mortgage Acceptance Corp.
Series: 1994-Q8, Class 2-A1
$ 276 7.250% Due 05/25/24 $ 275
Financial Asset Securitization, Inc.
Series: 1997-NAMC, Class FXA-3
900 7.350 Due 04/25/27 901
- -------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE
OBLIGATIONS (Cost $1,633) $1,176
- -------------------------------------------------------------
CORPORATE AND FOREIGN GOVERNMENT BONDS--9.9%
FINANCIAL--4.7%
Equitable Life Assurance Co.
$ 400 6.950% Due 12/01/05 $ 389
Lehman Brothers Holdings, Inc.
570 7.375 Due 05/15/00 581
Lehman Brothers Holdings, Inc.
Medium Term Note
305 6.900 Due 01/29/01 304
Lumbermens Mutual Casualty Co.
350 9.150 Due 07/01/26 375
Prudential Insurance Co. of America
400 7.650 Due 07/01/07 400
Salomon, Inc. Medium Term Note
500 5.500 Due 01/31/98 497
-------
2,546
-------
INDUSTRIAL--0.8%
Penney (J. C.), Inc.
420 6.900 Due 08/15/26 420
-------
SANITARY SERVICES--1.5%
WMX Technologies, Inc.
800 7.100 Due 08/01/26 803
-------
SOVEREIGN--1.1%
Quebec Province, Canada Medium Term Note
600 7.220 Due 07/22/36 617
-------
UTILITY--1.8%
Tenaga Nasional Berhad
1,000 7.200 Due 04/29/07 1,011
- -------------------------------------------------------------
TOTAL CORPORATE AND FOREIGN GOVERNMENT BONDS (Cost
$5,373) $ 5,397
- -------------------------------------------------------------
U.S. GOVERNMENT AGENCIES--2.7%
FEDERAL NATIONAL MORTGAGE ASSOCIATION REMIC TRUST--2.7%
Series: 1991-37, Class G
$ 250 8.150% Due 08/25/05 $ 254
Series: 1992-200, Class E
500 6.250 Due 06/25/17 499
Series: 1996-M4, Class A
707 7.750 Due 03/17/17 714
- -------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES (Cost $1,446) $ 1,467
- -------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS--13.5%
U.S. TREASURY NOTES--13.5%
$ 450 5.375% Due 05/31/98 $ 448
835 6.750 Due 05/31/99 843
640 6.875 Due 08/31/99 648
175 6.250 Due 05/31/00 174
1,325 7.750 Due 02/15/01 1,382
1,550 6.625 Due 06/30/01 1,558
1,525 6.625 Due 07/31/01 1,533
800 6.250 Due 02/15/03 789
- -------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $7,437) $ 7,375
- -------------------------------------------------------------
FLOATING RATE BANK NOTES--3.5%--
Lloyds Bank PLC
$1,000 5.875% Due 06/13/97 $ 914
National Westminster Bank
1,100 5.938 Due 08/29/97 984
- -----------------------------------------------------------
TOTAL FLOATING RATE BANK NOTES
(Cost $1,848) $ 1,898
- -----------------------------------------------------------
SHORT-TERM INVESTMENT--3.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$2,085 5.750% Due 06/02/97 $ 2,085
- -----------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,085) $ 2,085
- -----------------------------------------------------------
TOTAL INVESTMENTS--99.2%
(Cost $44,912) $54,271
- -----------------------------------------------------------
Other assets, less liabilities--0.8% 435
- -----------------------------------------------------------
NET ASSETS--100.0% $54,706
- -----------------------------------------------------------
- -----------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------------------
DIVERSIFIED GROWTH PORTFOLIO
<C> <S> <C>
COMMON STOCKS--94.3%
BANKING--2.0%
66,940 Banc One Corp. $ 2,895
--------
BROKERAGE SERVICES--2.8%
98,000 Schwab (Charles) Corp. 3,981
--------
CHEMICALS AND ALLIED PRODUCTS--13.7%
40,000 Abbott Laboratories 2,520
45,700 Air Products and Chemicals, Inc. 3,553
15,000 du Pont (E.I.) de Nemours & Co. 1,633
30,400 Merck & Co., Inc. 2,732
47,837 Morton International, Inc. 1,543
16,600 Pfizer, Inc. 1,708
60,500 Praxair, Inc. 3,184
17,900 Procter & Gamble Co. 2,468
--------
19,341
--------
COMMUNICATIONS--2.2%
49,000 Ameritech Corp. 3,209
--------
COMPUTERS AND OFFICE MACHINES--5.3%
26,300 Cisco Systems, Inc.* 1,782
17,000 Compaq Computer Corp.* 1,840
31,800 Microsoft Corp.* 3,943
--------
7,565
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--11.7%
35,000 Emerson Electric Co. 1,890
91,000 General Electric Co. 5,494
22,400 Intel Corp. 3,394
53,900 Linear Technology Corp. 2,702
45,000 Motorola, Inc. 2,987
--------
16,467
--------
FOOD AND BEVERAGES--8.2%
54,000 Coca-Cola (The) Co. 3,686
55,800 PepsiCo, Inc. 2,051
78,000 Philip Morris Cos., Inc. 3,432
75,000 Starbucks Corp.* 2,362
--------
11,531
--------
GLASS, CLAY AND STONE PRODUCTS--2.3%
84,700 Newell Co. 3,240
--------
HEALTH SERVICES--2.4%
35,000 Health Management Associates, Inc., Class A* 1,024
39,000 Johnson & Johnson Co. 2,335
--------
3,359
--------
INDUSTRIAL INSTRUMENTS--1.3%
36,600 Hewlett-Packard Co. 1,885
--------
INSURANCE SERVICES--4.1%
23,900 American International Group, Inc. 3,235
23,400 MBIA, Inc. 2,513
--------
5,748
--------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- -------------------------------------------------------------------------------
<C> <S> <C>
MORTGAGE AGENCIES--2.8%
89,700 Federal National Mortgage Association $ 3,913
--------
OIL AND GAS--12.0%
42,000 Chevron Corp. 2,940
72,800 Exxon Corp. 4,313
29,850 Mobil Corp. 4,175
13,700 Royal Dutch Petroleum Co. ADR 2,675
24,400 Schlumberger Ltd. ADR 2,907
--------
17,010
--------
PAPER PRODUCTS--2.2%
61,000 Kimberly-Clark Corp. 3,058
--------
PROFESSIONAL SERVICES--5.2%
34,200 Cintas Corp. 2,120
22,400 Computer Sciences Corp.* 1,733
31,936 First Data Corp. 1,277
46,300 Oracle Systems Corp.* 2,159
--------
7,289
--------
RECREATION AND LEISURE SERVICES--2.3%
85,900 Carnival Corp., Class A 3,264
--------
RETAIL--11.1%
56,700 Home Depot (The), Inc. 3,572
127,850 Staples, Inc.* 2,813
23,500 Tommy Hilfiger Corp.* 1,046
112,700 Wal-Mart Stores, Inc. 3,353
104,300 Walgreen Co. 4,876
--------
15,660
--------
TRANSPORTATION PARTS AND EQUIPMENT--2.7%
36,000 Boeing (The) Co. 3,789
- -------------------------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $87,025) $133,204
- -------------------------------------------------------------------------------
OTHER INVESTMENT--3.6%
60,000 Standard & Poor's Depository Receipt Unit Trust, Series:
1 $ 5,107
- -------------------------------------------------------------------------------
TOTAL OTHER INVESTMENT (Cost $4,815) $ 5,107
- -------------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.7%
$ 2,365 Bank of Tokyo-Mitsubishi, Grand Cayman 5.750% Due 06/02/97 $ 2,365
- -------------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,365) $ 2,365
- -------------------------------------------------------------------------------
TOTAL INVESTMENTS--99.6%
(Cost $94,205) $140,676
- -------------------------------------------------------------------------------
Other assets, less liabilities--0.4% 598
- -------------------------------------------------------------------------------
NET ASSETS--100.0% $141,274
- -------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
*Non-income producing security.
See accompanying notes to financial statements.
27
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
EQUITY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--101.3%
AGRICULTURE--0.1%
10,700 Pioneer Hi-Bred International, Inc. $ 746
--------
APPAREL--0.1%
9,200 Liz Claiborne, Inc. 420
8,200 VF Corp. 641
--------
1,061
--------
BANKING--7.6%
13,700 Ahmanson (H. F.) & Co. 558
55,349 Banc One Corp. 2,394
19,800 Bank of Boston Corp. 1,445
50,800 Bank of New York Co., Inc. 2,165
46,476 BankAmerica Corp. 5,432
10,600 Bankers Trust New York Corp. 897
27,000 Barnett Banks, Inc. 1,421
56,846 Chase Manhattan Corp. 5,372
60,000 Citicorp 6,862
13,900 Comerica, Inc. 869
28,900 Corestates Financial Corp. 1,528
13,700 Fifth Third Bancorp 1,058
17,400 First Bank System, Inc. 1,427
41,307 First Chicago NBD Corp. 2,447
36,715 First Union Corp. 3,153
7,400 Golden West Financial Corp. 501
17,800 Great Western Financial Corp. 863
29,200 KeyCorp 1,588
16,750 Mellon Bank Corp. 1,466
24,000 Morgan (J. P.) & Co., Inc. 2,580
28,900 National City Corp. 1,488
94,560 NationsBank Corp. 5,567
47,900 Norwest Corp. 2,563
43,400 PNC Bank Corp. 1,817
7,100 Republic New York Corp. 708
28,900 SunTrust Banks, Inc. 1,543
19,600 U.S. Bancorp 1,203
21,400 Wachovia Corp. 1,303
11,966 Wells Fargo & Co. 3,153
--------
63,371
--------
BITUMINOUS COAL AND LIGNITE SURFACE MINING--
0.1%
30,300 Houston Industries, Inc. 629
1,100 NACCO Industries, Inc. 56
--------
685
--------
BROKERAGE AND FINANCIAL SERVICES--1.4%
61,300 American Express Co. 4,260
34,001 Fleet Financial Group, Inc. 2,078
17,800 Green Tree Financial Corp. 623
21,300 Merrill Lynch & Co., Inc. 2,258
19,700 Morgan Stanley Group, Inc. 1,330
14,100 Salomon, Inc. 756
--------
11,305
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--10.9%
100,500 Abbott Laboratories $ 6,331
14,500 Air Products and Chemicals, Inc. 1,127
8,500 Allergan, Inc. 252
82,700 American Home Products Corp. 6,306
34,200 Amgen, Inc.* 2,287
35,300 Baxter International, Inc. 1,862
129,600 Bristol-Myers Squibb Co. 9,509
6,700 Clorox Co. 846
38,000 Colgate-Palmolive Co. 2,356
31,400 Dow Chemical Co. 2,618
72,900 du Pont (E.I.) de Nemours & Co. 7,937
10,075 Eastman Chemical Co. 599
8,400 Ecolab, Inc. 350
71,398 Lilly (Eli) & Co. 6,640
4,800 FMC Corp.* 346
6,900 Goodrich (B.F.) Co. 297
9,400 Grace (W.R.) & Co. 491
7,800 Great Lakes Chemical Corp. 381
13,200 Hercules, Inc. 619
14,300 International Flavors & Fragrances, Inc. 635
156,000 Merck & Co., Inc. 14,020
18,400 Morton International, Inc. 593
8,700 Nalco Chemical Co. 323
83,400 Pfizer, Inc. 8,580
65,720 Pharmacia & Upjohn, Inc. 2,276
23,700 PPG Industries, Inc. 1,378
20,200 Praxair, Inc. 1,063
8,300 Rohm & Haas Co. 716
47,800 Schering-Plough Corp. 4,338
22,200 Sherwin-Williams Co. 666
12,900 Sigma-Aldrich Corp. 395
16,500 Union Carbide Corp. 771
35,100 Warner-Lambert Co. 3,536
--------
90,444
--------
COMMUNICATIONS--7.6%
64,900 AirTouch Communications, Inc.* 1,809
24,200 Alltel Corp. 796
71,100 Ameritech Corp. 4,657
209,700 AT&T Corp. 7,733
56,700 Bell Atlantic Corp. 3,969
128,300 Bellsouth Corp. 5,822
42,200 Comcast Corp., Class A Special 733
21,200 Frontier Corp. 390
124,500 GTE Corp. 5,494
82,564 Lucent Technologies, Inc. 5,253
9,600 Mallinckrodt, Inc. 359
88,600 MCI Communications Corp. 3,400
56,900 Nynex Corp. 3,058
12,100 Providian Corp. 724
118,656 SBC Communications, Inc. 6,941
55,700 Sprint Corp. 2,722
23,200 Tellabs, Inc.* 1,166
80,800 US WEST Media Group* 1,606
62,000 US WEST Communications Group 2,271
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
45,800 Viacom, Inc., Class B* $ 1,360
112,000 Worldcom, Inc.* 3,318
--------
63,581
--------
COMPUTERS AND OFFICE MACHINES--6.5%
9,300 Adobe Systems, Inc. 415
15,600 Amdahl Corp.* 156
16,100 Apple Computer, Inc.* 268
25,500 Bay Networks, Inc.* 625
20,200 Cabletron Systems, Inc.* 889
10,400 Ceridian Corp.* 382
85,100 Cisco Systems, Inc.* 5,766
35,000 Compaq Computer Corp.* 3,789
5,200 Data General Corp.* 111
22,700 Dell Computer Corp.* 2,554
20,400 Digital Equipment Corp.* 732
31,800 EMC Corp.* 1,268
6,100 Intergraph Corp.* 43
134,000 International Business Machines Corp. 11,591
155,700 Microsoft Corp.* 19,307
16,500 Parametric Technology Corp.* 740
19,200 Pitney Bowes, Inc. 1,349
32,000 Seagate Technology, Inc.* 1,300
22,800 Silicon Graphics, Inc.* 430
15,300 Tandem Computers, Inc.* 218
7,500 Tandy Corp. 405
22,800 3Com Corp.* 1,106
22,600 Unisys Corp.* 155
--------
53,599
--------
CONSTRUCTION--0.2%
14,600 Dover Corp. 836
22,800 Dresser Industries, Inc. 781
--------
1,617
--------
CONSUMER PRODUCTS--5.7%
17,200 Avon Products, Inc. 1,097
71,800 Gillette Co. 6,381
172,400 Johnson & Johnson 10,322
73,084 Kimberly-Clark Corp.* 3,663
316,200 Philip Morris Cos., Inc.* 13,913
87,900 Procter & Gamble Co. 12,119
--------
47,495
--------
CREDIT INSTITUTIONS--0.7%
7,000 Beneficial Corp. 450
41,644 Dean Witter Discover & Co. 1,718
12,600 Household International, Inc. 1,238
43,225 MBNA Corp. 1,464
7,600 MGIC Investment Corp. 676
--------
5,546
--------
ELECTRICAL SERVICES--2.3%
24,300 American Electric Power Co. 990
19,100 Baltimore Gas & Electric Co. 501
19,600 Carolina Power & Light Co. 681
27,300 Central & South West Corp. 580
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
20,410 Cinergy Corp. $ 714
30,400 Consolidated Edison Co. of New York, Inc. 885
23,300 Dominion Resources, Inc. 807
18,800 DTE Energy Co. 501
26,100 Duke Power Co. 1,174
56,100 Edison International 1,311
29,900 Entergy Corp. 789
23,700 FPL Group, Inc. 1,102
15,600 GPU, Inc. 546
18,700 Niagara Mohawk Power Corp.* 164
8,900 Northern States Power Co. 436
19,700 Ohio Edison Co. 419
38,100 PacifiCorp 757
28,800 Peco Energy Co. 547
53,400 PG&E Corp. 1,235
21,000 PP&L Resources, Inc. 423
30,900 Public Service Enterprise Group, Inc. 765
87,200 Southern Co. 1,853
29,100 Texas Utilities Co. 1,000
27,900 Unicom Corp. 635
13,200 Union Electric Co. 483
--------
19,298
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--8.1%
17,700 Advanced Micro Devices, Inc.* 708
28,456 AMP, Inc. 1,170
11,730 Andrew Corp.* 320
23,400 Applied Materials, Inc.* 1,527
15,300 Cooper Industries, Inc. 780
15,200 DSC Communications Corp.* 389
57,900 Emerson Electric Co. 3,127
426,200 General Electric Co. 25,732
17,700 General Instrument Corp.* 429
5,000 Harris Corp. 443
106,200 Intel Corp. 16,089
15,100 ITT Corp.* 900
18,200 LSI Logic Corp.* 760
13,000 Maytag Corp. 348
27,100 Micron Technology, Inc.* 1,152
76,700 Motorola, Inc. 5,091
18,100 National Semiconductor Corp.* 509
5,900 National Service Industries, Inc. 259
33,400 Northern Telecom Ltd. 2,806
5,800 Raychem Corp. 430
10,000 Scientific-Atlanta, Inc. 181
85,900 Tele-Communications, Inc.* 1,299
24,600 Texas Instruments, Inc. 2,211
6,900 Thomas & Betts Corp. 351
9,600 Whirlpool Corp. 479
--------
67,490
--------
FOOD AND BEVERAGES--7.7%
64,600 Anheuser-Busch Cos., Inc. 2,770
70,309 Archer-Daniels-Midland Co. 1,406
8,900 Brown-Forman Corp., Class B 455
60,500 Campbell Soup Co. 2,783
</TABLE>
See accompanying notes to financial statements.
29
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
FOOD AND BEVERAGES--CONTINUED
322,000 Coca-Cola (The) Co. $ 21,976
31,050 ConAgra, Inc. 1,867
4,900 Coors (Adolph) Co., Class B 119
18,600 CPC International, Inc. 1,600
20,900 General Mills, Inc. 1,322
47,700 Heinz (H.J.) Co. 2,051
19,900 Hershey Foods Corp. 1,117
27,300 Kellogg Co. 2,013
90,300 McDonalds Corp. 4,538
201,100 PepsiCo, Inc. 7,390
17,600 Quaker Oats Co. 726
13,800 Ralston-Ralston Purina Group 1,176
62,300 Sara Lee Corp. 2,547
48,000 Seagram (The) Co. Ltd. 1,932
20,700 Unilever N.V. 4,011
24,100 UST, Inc. 687
13,400 Whitman Corp. 323
15,000 Wrigley (Wm.) Jr. Co. 889
--------
63,698
--------
FURNITURE AND FIXTURES--0.1%
20,800 Masco Corp. 809
--------
GENERAL BUILDING CONTRACTORS--0.2%
3,700 Centex Corp. 148
16,400 Honeywell, Inc. 1,193
5,000 Kaufman & Broad Home Corp. 75
--------
1,416
--------
GLASS, CLAY AND STONE PRODUCTS--0.3%
29,600 Corning, Inc. 1,491
20,600 Newell Co. 788
--------
2,279
--------
HEALTH SERVICES--1.2%
10,900 Alza Corp.* 322
12,900 Beverly Enterprises, Inc.* 182
86,895 Columbia/HCA Healthcare Corp. 3,183
9,600 Guidant Corp. 745
40,800 HEALTHSOUTH Corp.* 933
21,000 Humana, Inc.* 475
8,150 Manor Care, Inc. 233
31,100 Medtronic, Inc. 2,301
11,800 St. Jude Medical, Inc.* 400
39,000 Tenet Healthcare Corp.* 1,072
--------
9,846
--------
HEAVY CONSTRUCTION--0.2%
10,900 Fluor Corp. 576
5,300 Foster Wheeler Corp. 205
16,200 Halliburton Co. 1,253
--------
2,034
--------
INDUSTRIAL INSTRUMENTS--2.4%
7,400 Bard (C.R.), Inc. 237
7,200 Bausch & Lomb, Inc. 290
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
15,900 Becton, Dickinson & Co. $ 783
14,800 Biomet, Inc. 277
25,100 Boston Scientific Corp.* 1,340
43,100 Eastman Kodak Co. 3,572
131,300 Hewlett-Packard Co. 6,762
10,800 Johnson Controls, Inc. 458
5,600 Millipore Corp. 242
5,600 Perkin-Elmer Corp. 426
5,900 Polaroid Corp. 301
30,500 Raytheon Co. 1,456
4,300 Tektronix, Inc. 247
9,100 United States Surgical Corp. 307
42,000 Xerox Corp., Inc. 2,845
--------
19,543
--------
INSURANCE SERVICES--4.6%
19,557 Aetna, Inc. 1,975
57,565 Allstate Corp. 4,238
26,300 American General Corp. 1,164
60,775 American International Group, Inc. 8,227
21,000 AON Corp. 1,024
22,500 Chubb Corp. 1,373
9,700 CIGNA Corp. 1,685
23,200 Conseco, Inc. 928
10,700 General Re Corp. 1,875
15,200 Hartford Financial Services Group 1,186
9,125 Jefferson-Pilot Corp. 581
13,500 Lincoln National Corp. 822
14,900 Loews Corp. 1,449
10,600 Marsh & McLennan Cos., Inc. 1,397
5,600 MBIA, Inc. 601
16,300 Safeco Corp. 709
10,700 St. Paul Cos., Inc. 766
9,150 Torchmark Corp. 600
8,600 Transamerica Corp. 782
82,716 Travelers Group, Inc. 4,539
23,800 United Healthcare Corp. 1,345
9,500 UNUM Corp. 752
15,000 USF&G Corp. 323
4,400 USLIFE Corp. 215
--------
38,556
--------
JEWELRY AND PRECIOUS METALS--0.0%
5,000 Jostens, Inc. 123
--------
LEATHER PRODUCTS--0.0%
6,400 Stride Rite Corp. 98
--------
LUMBER AND WOOD PRODUCTS--0.0%
14,100 Louisiana-Pacific Corp. 275
--------
MACHINERY--1.4%
18,800 Baker Hughes, Inc. 705
12,200 Black & Decker Corp. 424
3,700 Briggs & Stratton Corp. 191
12,700 Brunswick Corp. 387
9,500 Case Corp. 560
24,800 Caterpillar, Inc. 2,421
</TABLE>
See accompanying notes to financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
5,200 Cincinnati Milacron, Inc. $ 120
5,100 Cummins Engine Co., Inc. 325
33,100 Deere & Co. 1,692
6,500 General Signal Corp. 274
4,300 Giddings & Lewis, Inc. 81
6,400 Harnischfeger Industries, Inc. 274
14,200 Ingersoll-Rand Co. 774
22,100 Tenneco, Inc. 989
19,300 Thermo Electron Corp.* 666
4,000 Timken (The) Co. 274
21,600 Tyco International Ltd. 1,372
--------
11,529
--------
MANUFACTURING--0.1%
3,600 Aeroquip-Vickers, Inc. 156
7,200 Alberto-Culver Co., Class B 205
15,300 ITT Industries, Inc. 379
2,700 Pulte Corp. 85
--------
825
--------
MERCHANDISE GENERAL--0.1%
7,900 Snap-On, Inc. 315
11,500 Stanley Works (The) 471
--------
786
--------
METAL MINING--0.6%
46,200 Barrick Gold Corp. 1,167
29,100 Battle Mountain Gold Co. 178
12,050 Cyprus Amax Minerals Co. 294
17,900 Echo Bay Mines Ltd.* 110
25,000 Freeport-McMoRan Copper & Gold, Inc., Class B 728
19,000 Homestake Mining Co. 264
21,800 Inco Ltd. 719
20,197 Newmont Mining Corp. 790
31,000 Placer Dome, Inc. 566
--------
4,816
--------
METAL PRODUCTS--0.2%
22,527 Allegheny Teledyne, Inc. 580
3,900 Ball Corp. 114
5,900 Crane Co. 242
7,100 McDermott International, Inc. 197
9,650 Parker-Hannifin Corp. 508
--------
1,641
--------
MORTGAGE AGENCIES--1.1%
92,600 Federal Home Loan Mortgage Corp. 3,056
141,300 Federal National Mortgage Association 6,164
--------
9,220
--------
NATURAL GAS TRANSMISSION--0.7%
13,600 Coastal Corp. 682
7,100 Columbia Gas System, Inc. 457
12,300 Consolidated Natural Gas Co. 653
2,600 Eastern Enterprises 90
32,900 Enron Corp. 1,341
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
9,000 Enserch Corp. $ 192
6,400 Nicor, Inc. 220
17,800 Noram Energy Corp. 271
3,500 Oneok, Inc. 106
11,000 Pacific Enterprises 360
4,500 Peoples Energy Corp. 160
11,200 Sonat, Inc. 644
20,350 Williams Company, Inc. 898
--------
6,074
--------
OFFICE EQUIPMENT--0.1%
17,400 Ikon Office Solutions, Inc. 505
--------
OIL AND GAS--5.7%
16,200 Burlington Resources, Inc. 753
84,400 Chevron Corp. 5,908
321,400 Exxon Corp. 19,043
3,200 Helmerich & Payne, Inc. 180
4,400 Louisiana Land & Exploration Co. 227
42,600 Occidental Petroleum Corp. 990
13,600 Oryx Energy Co.* 314
19,600 Panenergy Corp. 916
11,100 Rowan Cos., Inc.* 257
69,400 Royal Dutch Petroleum Co. ADR 13,550
12,900 Santa Fe Energy Resources, Inc.* 195
31,900 Schlumberger Ltd. ADR 3,800
32,376 Union Pacific Resources Group, Inc. 935
6,900 Western Atlas, Inc.* 467
--------
47,535
--------
PACKAGING AND CONTAINER PRODUCTS--0.1%
16,600 Crown Cork & Seal Co., Inc. 967
--------
PAPER PRODUCTS--1.6%
13,500 Avery Dennison Corp. 508
6,800 Bemis Co., Inc. 272
6,300 Boise Cascade Co. 239
12,400 Champion International Corp. 612
11,800 Georgia-Pacific Corp. 1,041
38,835 International Paper Co. 1,864
11,100 James River Corp. 390
6,800 Mead Corp. 433
54,100 Minnesota Mining & Manufacturing Co. 4,964
12,804 Stone Container Corp. 176
7,200 Temple Inland, Inc. 436
9,000 Union Camp Corp. 472
13,150 Westvaco Corp. 411
25,700 Weyerhaeuser Co. 1,282
--------
13,100
--------
PERSONAL SERVICES--0.6%
13,500 Block (H&R), Inc. 445
20,400 HFS, Inc.* 1,099
32,000 Hilton Hotels Corp. 904
16,600 Marriot International, Inc. 959
30,500 Service Corp. International 1,075
7,200 Willamette Industries, Inc. 536
--------
5,018
--------
</TABLE>
See accompanying notes to financial statements.
31
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares and number of contracts)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
PETROLEUM PRODUCTS--3.1%
12,100 Amerada Hess Corp. $ 647
64,400 Amoco Corp. 5,756
9,600 Ashland, Inc. 460
20,800 Atlantic Richfield Co. 3,026
6,300 Kerr-McGee Corp. 408
51,000 Mobil Corp. 7,134
6,000 Pennzoil Co. 332
34,100 Phillips Petroleum Co. 1,449
9,400 Sun Co., Inc. 281
34,200 Texaco, Inc. 3,732
32,400 Unocal Corp. 1,381
37,200 USX--Marathon Group 1,107
--------
25,713
--------
PRINTING AND PUBLISHING--1.3%
97,00 American Greetings Corp. 332
10,700 Deluxe Corp. 348
19,500 Donnelley (R.R.) & Sons Co. 724
12,500 Dow Jones & Co., Inc. 486
18,200 Gannett Co., Inc. 1,683
4,000 Harland (John H.) Co. 91
12,100 Knight-Ridder, Inc. 522
12,900 McGraw Hill Cos., Inc. 705
6,900 Meredith Corp. 179
11,400 Moore Corp. Ltd. 254
12,500 New York Times Co. 576
73,600 Time Warner, Inc. 3,422
12,100 Times Mirror Co. 679
15,900 Tribune Co. 688
--------
10,689
--------
PROFESSIONAL SERVICES--1.9%
6,200 Autodesk, Inc. 241
37,800 Automatic Data Processing, Inc. 1,857
46,950 Computer Associates International, Inc. 2,571
9,900 Computer Sciences Corp.* 766
51,325 CUC International, Inc.* 1,180
57,900 First Data Corp. 2,316
10,500 Interpublic Group of Cos., Inc. 629
44,800 Novell, Inc.* 353
87,500 Oracle Corp.* 4,080
9,800 Ryder System, Inc. 325
7,500 Safety-Kleen Corp. 117
3,000 Shared Medical Systems Corp. 159
47,600 Sun Microsystems, Inc.* 1,535
--------
16,129
--------
RECREATION AND LEISURE SERVICES--1.1%
87,400 Disney (Walt) Co. 7,156
9,200 Harcourt General, Inc. 436
13,300 Harrah's Entertainment, Inc.* 248
4,800 King World Productions, Inc.* 181
37,345 Mattel, Inc. 1,116
--------
9,137
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
RESEARCH AND CONSULTING SERVICES--0.2%
22,000 Cognizant Corp. $ 814
22,000 Dun & Bradstreet Corp. 575
6,100 EG&G, Inc. 119
--------
1,508
--------
RETAIL--4.9%
32,500 Albertson's, Inc. 1,089
18,900 American Stores Co. 860
19,500 Autozone, Inc.* 456
13,500 Charming Shoppes, Inc.* 71
12,700 Circuit City Stores, Inc. 502
27,203 Costco Cos., Inc.* 918
13,700 CVS Corp. 656
20,700 Darden Restaurants, Inc. 173
28,100 Dayton-Hudson Corp. 1,352
14,700 Dillard Department Stores, Inc. 496
26,900 Federated Department Stores, Inc.* 995
36,100 Gap, Inc. 1,236
7,700 Giant Food, Inc. 254
4,900 Great Atlantic & Pacific Tea Co., Inc. 135
16,775 Hasbro, Inc. 486
62,200 Home Depot (The), Inc. 3,919
62,700 Kmart Corp.* 878
32,700 Kroger Co.* 838
35,100 Limited, Inc. (The) 711
5,000 Longs Drug Stores, Inc. 119
22,400 Lowe's Cos., Inc. 882
31,700 May Department Stores Co. 1,494
4,800 Mercantile Stores Co., Inc. 258
37,300 Nike, Inc. 2,126
10,400 Nordstrom, Inc. 499
32,000 Penney (J.C.) Co., Inc. 1,648
7,800 Pep Boys--Manny, Moe & Jack 244
7,200 Reebok International, Ltd.* 295
15,900 Rite Aid Corp. 739
50,700 Sears, Roebuck & Co. 2,491
8,700 SUPERVALU, Inc. 290
10,100 TJX Cos., Inc. 485
37,600 Toys "R" Us, Inc.* 1,170
296,900 Wal-Mart Stores, Inc. 8,833
31,900 Walgreen Co. 1,491
16,700 Wendy's International, Inc. 390
19,400 Winn-Dixie Stores, Inc. 742
17,300 Woolworth Corp.* 417
--------
40,638
--------
RUBBER AND PLASTICS--0.7%
5,300 Armstrong World Industries, Inc. 360
10,200 Cooper Tire & Rubber Co. 228
20,100 Goodyear Tire & Rubber Co. 1,176
76,100 Monsanto Co. 3,348
19,400 Rubbermaid, Inc. 541
8,100 Tupperware Corp. 294
--------
5,947
--------
</TABLE>
See accompanying notes to financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
SANITARY SERVICES--0.4%
27,600 Browning-Ferris Industries, Inc. $ 904
40,600 Laidlaw, Inc. 548
58,580 WMX Technologies, Inc. 1,860
--------
3,312
--------
SERVICE INDUSTRY MACHINERY--0.2%
16,266 Pall Corp. 384
78,200 Westinghouse Electric Corp. 1,584
--------
1,968
--------
STEEL PRODUCTS--0.8%
29,300 Alcan Aluminium Ltd. 1,051
22,400 Aluminum Co. of America 1,649
13,700 Armco, Inc.* 51
5,500 Asarco, Inc. 171
14,500 Bethlehem Steel Corp.* 145
18,587 Engelhard Corp. 402
6,300 Inland Steel Industries, Inc. 155
11,400 Nucor Corp. 673
6,700 Owens Corning Fiberglass Corp. 280
8,400 Phelps Dodge Corp. 702
9,400 Reynolds Metals Co. 638
11,000 USX-U.S. Steel Group 355
12,475 Worthington Industries, Inc. 231
--------
6,503
--------
TEXTILES--0.1%
10,000 Fruit of the Loom, Inc.* 349
5,000 Russell Corp. 153
2,600 Springs Industries, Inc., Class A 132
--------
634
--------
TOBACCO PRODUCTS--0.1%
22,000 American Brands, Inc. 1,078
--------
TRANSPORTATION PARTS AND EQUIPMENT--4.5%
36,600 AlliedSignal, Inc. 2,809
176 Autoliv, Inc. 7
46,355 Boeing Co. 4,879
90,900 Chrysler Corp. 2,886
13,200 Dana Corp. 477
10,000 Eaton Corp. 798
8,100 Echlin, Inc. 270
4,600 Fleetwood Enterprises, Inc. 124
153,400 Ford Motor Co. 5,752
8,200 General Dynamics Corp. 614
97,800 General Motors Corp. 5,599
32,000 Illinois Tool Works, Inc. 1,588
24,954 Lockheed Martin Corp.* 2,336
27,500 McDonnell Douglas Corp. 1,770
9,420 Navistar International Corp.* 157
7,500 Northrop Grumman Corp. 636
10,120 PACCAR, Inc. 458
28,300 Rockwell International Corp. 1,825
10,700 Textron, Inc. 1,268
16,400 TRW, Inc. 877
30,700 United Technologies Corp. 2,468
--------
37,598
--------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ---------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICES--1.3%
11,800 AMR Corp.* $ 1,173
19,765 Burlington Northern Santa Fe Corp. 1,640
5,100 Caliber System, Inc. 163
28,100 CSX Corp. 1,489
9,500 Delta Air Lines, Inc. 891
14,800 Federal Express Corp.* 775
16,200 Norfolk Southern Corp. 1,573
18,800 Southwest Airlines Co. 484
31,700 Union Pacific Corp. 2,148
8,300 USAir Group* 288
--------
10,624
--------
<PAGE>
WHOLESALE--0.4%
14,100 Cardinal Health, Inc. 821
4,900 Fleming Cos., Inc. 93
23,375 Genuine Parts Co. 783
6,900 Grainger (W.W.), Inc. 554
3,700 Potlatch Corp. 159
22,900 Sysco Corp. 799
--------
3,209
- -----------------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $573,604) $841,618
- -----------------------------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--0.1%
U.S. Treasury Bill #
$ 1,205 5.260% Due 06/26/97 $ 1,191
- -----------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $1,191) $ 1,191
- -----------------------------------------------------------------------------
SHORT-TERM INVESTMENT--1.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$15,075 5.750% Due 06/02/97 $ 15,075
- -----------------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $15,075) $ 15,075
- -----------------------------------------------------------------------------
TOTAL INVESTMENTS--103.2%
(Cost $589,870) $857,884
- -----------------------------------------------------------------------------
Liabilities, less other assets--(3.2)% (27,034)
- -----------------------------------------------------------------------------
NET ASSETS--100.0% $830,850
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
</TABLE>
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 38 $15,337 Long 06/20/97 $780
- -------------------------------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
33
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
FOCUSED GROWTH PORTFOLIO
<C> <S> <C>
COMMON STOCKS--94.5%
BANKING--5.1%
19,200 Chase Manhattan Corp. $ 1,814
22,300 MBNA Corp. 755
54,800 State Street Bank Boston Corp. 2,445
4,575 Wells Fargo & Co. 1,206
--------
6,220
--------
CHEMICALS AND ALLIED PRODUCTS--18.3%
24,400 Abbott Laboratories 1,537
16,500 American Home Products Corp. 1,258
36,600 Bristol Myers Squibb Co. 2,686
20,300 du Pont (E.I.) de Nemours & Co. 2,210
20,100 Lilly (Eli) & Co. 1,869
44,900 Merck & Co., Inc. 4,035
22,800 Pfizer, Inc. 2,346
26,700 Procter & Gamble Co. 3,681
12,600 Schering-Plough Corp. 1,143
15,000 Warner-Lambert Co. 1,511
--------
22,276
--------
COMMUNICATIONS--2.2%
23,700 Lucent Technologies, Inc. 1,508
19,900 SBC Communications, Inc. 1,164
--------
2,672
--------
COMPUTERS AND OFFICE MACHINES--12.1%
37,100 Cisco Systems, Inc.* 2,514
26,500 Compaq Computer Corp.* 2,869
20,700 Computer Sciences Corp.* 1,602
32,800 Hewlett-Packard Co. 1,689
48,700 Microsoft Corp.* 6,038
--------
14,712
--------
CONSUMER PRODUCTS--1.6%
22,300 Gillette Co. 1,982
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
9.3%
115,200 General Electric Co. 6,955
29,000 Intel Corp. 4,394
--------
11,349
--------
FINANCIAL--3.3%
46,400 Federal National Mortgage Association 2,024
50,000 Schwab Charles Corp. 2,031
--------
4,055
--------
FOOD AND BEVERAGES--12.5%
91,100 Coca-Cola (The) Co. 6,218
52,900 PepsiCo, Inc. 1,944
105,900 Philip Morris Cos., Inc. 4,660
77,000 Starbucks Corp.* 2,425
--------
15,247
--------
GLASS, CLAY AND STONE PRODUCTS--1.0%
33,000 Newell Co. 1,262
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
HEALTH SERVICES--4.7%
53,600 Johnson & Johnson Co. $ 3,209
34,200 Medtronic, Inc. 2,531
--------
5,740
--------
INDUSTRIAL INSTRUMENTS--0.8%
12,300 Eastman Kodak Co. 1,019
--------
INSURANCE SERVICES--4.0%
17,300 American International Group, Inc. 2,342
23,800 MBIA, Inc. 2,556
--------
4,898
--------
OIL AND GAS--1.0%
10,200 Schlumberger Ltd. ADR 1,215
--------
PAPER PRODUCTS--0.9%
21,000 Kimberly-Clark Corp. 1,053
--------
PRINTING AND PUBLISHING--0.6%
16,700 Time Warner, Inc. 777
--------
PROFESSIONAL SERVICES--3.7%
20,600 Cintas Corp. 1,277
14,700 First Data Corp. 588
85,000 Olsten Corp. 1,668
22,200 Oracle Corp.* 1,035
--------
4,568
--------
RECREATION AND LEISURE SERVICES--3.2%
51,300 Carnival Corp., Class A 1,949
24,000 Disney (The Walt) Co. 1,965
--------
3,914
--------
RETAIL--8.4%
16,000 Home Depot (The) Inc. 1,008
46,700 Kohls Corp.* 2,516
15,000 Nike, Inc.* 855
81,000 Staples, Inc.* 1,782
13,300 Tommy Hilfiger Corp.* 592
4,300 Unilever N.V. 833
14,000 Walgreen Co. 655
70,000 Wal-Mart Stores, Inc. 2,083
--------
10,324
--------
TRANSPORTATION PARTS AND EQUIPMENT--1.8%
20,700 Boeing (The) Co. 2,179
- ------------------------------------------------------
TOTAL COMMON STOCKS (Cost $93,230) $115,462
- ------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ------------------------------------------------------------
<C> <S> <C>
OTHER INVESTMENT--3.3%
48,000 Standard & Poor's Depository Receipt
Unit Trust, Series: 1 $ 4,086
- ------------------------------------------------------------
TOTAL OTHER INVESTMENT (Cost $3,737) $ 4,086
- ------------------------------------------------------------
SHORT-TERM INVESTMENT--1.8%
Bank of Tokyo-Mitsubishi, Grand Cayman
$2,222 5.750% Due 06/02/97 $ 2,222
- ------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,222) $ 2,222
- ------------------------------------------------------------
TOTAL INVESTMENTS--99.6%
(Cost $99,189) $121,770
- ------------------------------------------------------------
Other assets, less liabilities--0.4% 439
- ------------------------------------------------------------
NET ASSETS--100.0% $122,209
- ------------------------------------------------------------
- ------------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
35
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--95.0%
AUSTRALIA--2.7%
200 Aberfoyle Ltd. $ 1
1,600 Amcor Ltd. 10
500 Ashton Mining Ltd. 1
1,500 Australian National Industries Ltd. 2
700 Australian Gas Light Co. Ltd. 4
2,900 Boral Ltd. 9
600 Brambles Industries Ltd. 11
5,000 Broken Hill Proprietary Co. Ltd. 72
1,300 Burns Philp & Co. Ltd. 2
1,400 Coca-Cola Amatil Ltd. 16
2,700 Coles Myer Ltd. 13
800 CRA Ltd. 13
1,600 Crown Ltd.* 3
2,500 CSR Ltd. 9
700 David Jones Ltd. 1
200 Delta Gold NL 0
700 Email Ltd. 2
200 Faulding (F.H.) & Co. Ltd. 1
4,900 Foster's Brewing Group Ltd. 10
800 Futuris Corp. Ltd. 1
2,900 General Property Trust Units 6
1,500 Gio Australia Holdings Ltd. 4
3,000 Goodman Fielder Ltd. 4
500 Great Central Mines Ltd. 1
1,000 Hardie (James) Industries Ltd. 3
750 Ici Australia Ltd. 7
500 Leighton Holdings Ltd. 2
650 Lend Lease Corp. Ltd. 13
4,100 M.I.M. Holdings Ltd. 6
300 Metal Manufactures Ltd. 1
3,700 National Australia Bank 53
400 Newcrest Mining Ltd. 1
5,000 News Corp. Ltd. 22
4,000 Normandy Mining Ltd. 5
1,800 North Ltd. 7
2,600 Pacific Dunlop Ltd. 7
2,200 Pioneer International Ltd. 7
300 Plutonic Resources Ltd. 1
600 QBE Insurance Group Ltd. 4
1,200 QCT Resources Ltd. 1
400 Resolute Ltd. 1
400 RGC Ltd. 2
300 Rothmans Holdings Ltd. 2
1,300 Santos Ltd. 5
700 Schroders Property Fund 1
450 Smith (Howard) Ltd. 4
200 Sons of Gwalia Ltd. 1
1,500 Southcorp Holdings Ltd. 6
600 Stockland Trust Group 2
800 TABCORP Holdings Ltd. 4
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------------
<C> <S> <C>
2,900 Westfield Trust $ 5
4,500 Westpac Banking Corp. Ltd. 24
2,800 WMC Ltd. 18
-------
411
-------
AUSTRIA--0.4%
5 Austria Mikro Systeme International A.G. 0
5 Austrian Airlines Osterreichische Luftverkehrs A.G.* 1
144 Bank Austria A.G. 9
12 Bank Austria A.G. (Partial Certificates) 0
8 Bau Holdings A.G. 1
28 Bohler-Uddeholm A.G. 2
3 BWT A.G. 0
74 Creditanstalt-Bankverein 4
18 Ea-Generali A.G. 4
50 Flughafen Wien A.G. 2
6 Lenzing 0
32 Mayr-Melnhof Karton A.G. 2
24 Oesterreichische Brau-Beteiligungs A.G. 1
78 Oesterreichische Elektrizitaetswirtschafts A.G. 6
68 OMV A.G. 9
36 Radex-Heraklith Industriebeteiligungs A.G. 2
20 Steyr-Daimler-Puch A.G. 1
9 Universale-Bau A.G. 0
38 VA Technologies A.G. 7
18 Wienerberger Baustoffindustrie A.G. 4
-------
55
-------
BELGIUM--1.2%
50 Barco Industries 9
6 Bekaert N.V. 3
40 CBR Cementbedrisven 4
98 Delhaize-Le Lion 5
150 Electrabel S.A. 34
100 Fortis A.G. 19
50 Generale de Banque S.A. 20
50 Gevaert N.V. 4
50 Groupe Bruxelles Lambert S.A. 8
33 Kredietbank N.V. 14
33 Kredietbank N.V., Rights* 0
60 Petrofina S.A. 21
39 Royale Belge 11
25 Solvay S.A. 15
25 Tractebel 11
50 Union Miniere Group 4
-------
182
-------
DENMARK--0.9%
33 Bang & Olufsen Holdings A/S 2
99 Carlsberg A/S, Class A 6
55 Carlsberg A/S, Class B 3
1 D/S 1912, Class B 35
154 Danisco A/S 9
200 Den Danske Bank 19
20 FLS Industries A/S, Class B 3
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
14 GN Store Nord A/S $ 2
66 International Service System A/S, Class B* 2
20 Nkt Holdings A/S 1
196 Novo-Nordisk A/S 21
48 Det Ostasiatiske Kompagni A/S* 1
33 Radiometer A/S, Class B 2
116 SAS Danmark A/S 1
15 Sophus Berendsen A/S, Class A 2
52 Sophus Berendsen A/S, Class B 8
90 Superfos A/S 2
336 Tele Danmark A/S 17
148 Unidanmark A/S, Class A 8
-------
144
-------
FINLAND--0.7%
300 Kemira Oy 3
300 Kesko 4
2,000 Merita Ltd., Class A 7
100 Metra Oy, Class A 3
100 Metra Oy, Class B 3
500 Nokia AB, Class A 33
300 Nokia AB, Class K 19
300 Outokumpu Oy, Class A 6
100 Pohjola Insurance Group, Class A 3
16 Rauma Group 0
100 Sampo Insurance Co. Ltd., Class A 9
700 Upm-Kymmene Corp. 16
-------
106
-------
FRANCE--6.4%
100 Accor S.A. 14
400 Alcatel Alsthom S.A. 43
800 AXA-UAP 48
550 Banque Nationale de Paris 23
50 Bouygues 4
60 Canal Plus 10
100 Carrefour S.A. 66
100 Casino Guichard-Perrachori 4
300 Cie Generale des Eaux 37
300 Cie Generale des Eaux Warrants* 0
50 Club Mediterranee 4
50 Compagnie Bancaire S.A. 5
220 Compagnie de Saint Gobain 30
400 Compagnie de Suez 20
275 Compagnie Financiere de Paribas 18
25 Compagnie Parisienne de Reescompte 2
10 Comptoirs Modernes 4
50 Credit National 3
300 CSF 9
200 Danone 30
700 Elf Aquitaine S.A. 70
50 Eridania Beghin-Say S.A. 7
20 Essilor International 5
5 Eurafrance S.A. 2
10 Groupe Saint Louis 2
200 Havas S.A. 14
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
50 Imetal S.A. $ 7
200 Lafarage S.A. 13
200 Lagardere S.C.A. 6
200 L'Air Liquide 31
70 Legrand S.A. 11
170 L'OREAL 62
220 LVMH Moet Hennessy Louis Vuitton 53
125 Lyonnaise des Eaux S.A. 12
310 Michelin, Class B 17
50 Moulinex 1
10 Pathe 2
100 Pernod-Ricard 5
150 Peugeot Citroen 15
50 Pinault Printemps-Redoute S.A. 21
50 Primagaz Cie 5
50 Promodes 17
850 Rhone-Poulenc, Class A 28
10 Sagem S.A. 5
50 Salomon 4
300 Sanofi S.A. 26
350 Schneider S.A. 17
50 SEFIMEG 4
100 SEITA 3
50 Sidel S.A. 4
25 Simco S.A. 2
100 Societe BIC S.A. 15
250 Societe Generale 28
50 Societe Technip 5
20 Sodexho Alliance S.A. 9
600 Total S.A., Class B 55
600 Usinor Sacilor 9
150 Valeo S.A. 9
-------
975
-------
GERMANY--8.2%
100 Adidas A.G. 11
560 Allianz A.G. 119
1,550 BASF A.G. 57
1,800 Bayer A.G. 70
650 Bayer Hypotheken-und Wechsel-Bank A.G. 21
650 Bayerische Vereinsbank A.G. 27
200 Beiersdorf A.G. 11
50 CKAG Colonia Konzern A.G. 5
1,300 Daimler-Benz A.G. 100
1,250 Deutsche Bank A.G. 69
800 Deutsche Lufthansa A.G. 13
5,500 Deutsche Telekom A.G. 122
50 Deutz A.G.* 0
850 Dresdner Bank A.G. 30
50 FAG Kugelfischer Georg Schaefer A.G. 1
100 Heidelbergerzement A.G. 9
150 Hochtief A.G. 6
20 Karstadt A.G. 7
20 Linde A.G. 14
50 Man A.G. 14
90 Mannesmann A.G. 37
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
GERMANY--Continued
<C> <S> <C>
300 Merck KGaA $ 12
250 Metro A.G. 27
50 Muenchener Ruckversicherungs-Gesellschaft A.G. 128
30 Preussag A.G. 8
850 RWE A.G. 36
150 SAP A.G. 27
150 Schering A.G. 15
50 SGL Carbon A.G. 7
1,400 Siemens A.G. 79
60 Thyssen A.G. 14
1,200 VEBA A.G. 68
50 Viag A.G. 23
80 Volkswagen A.G. 52
-------
1,239
-------
HONG KONG--3.7%
10,000 Applied International Holdings* 1
3,400 Bank of East Asia Ltd. 12
7,000 Cathay Pacific Airways 11
6,000 Cheung Kong Holdings Ltd. 61
6,500 China Light & Power Co. Ltd. 33
4,000 Chinese Estates Holdings 4
1,000 Dickson Concepts International Ltd 4
5,000 Elec & Eltek International Holdings Ltd. 1
2,000 Giordano International Ltd. 1
3,000 Hang Lung Development Co. 6
5,000 Hang Seng Bank Ltd. 60
9,200 Hong Kong China Gas Co. Ltd. 16
29,600 Hong Kong Telecommunications Ltd. 66
2,000 Hong Kong & Shanghai Hotels Ltd. 3
8,000 Hopewell Holdings Ltd. 4
10,000 Hutchinson Whampoa Ltd. 83
2,000 Hysan Development Co. Ltd. 7
1,000 Johnson Electric Holdings Ltd. 3
1,000 Kumagai Gum Ltd. 1
1,000 Miramar Hotel & Investment Ltd. 2
4,000 New World Development Co. Ltd. 25
2,000 Oriental Press Group 1
1,000 Peregrine Investments Holdings Ltd. 2
2,000 Playmates Toys Holdings 0
6,000 Regal Hotels International 2
3,000 Shangri-La Asia Ltd. 4
2,000 Shun Tak Holdings Ltd. 1
2,000 Stelux Holdings 0
4,000 South China Morning Post Holdings Ltd. 4
6,000 Sun Hung Kai Properties Ltd. 74
4,000 Swire Pacific Ltd. 34
1,000 Tai Cheung Holdings Ltd. 1
1,000 Television Broadcasts Ltd. 4
5,000 Wharf Holdings Ltd. 22
1,000 Wing Lung Bank 6
-------
559
-------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
IRELAND--0.1%
1,218 Allied Irish Banks PLC $ 9
79 Crean (James) PLC 0
682 CRH PLC 7
514 Fyffes PLC 1
334 Greencore Group PLC 2
441 Independent Newspapers PLC 2
554 Irish Life PLC 3
294 Kerry Group PLC 3
1,939 Smurfit (Jefferson) Group PLC 5
1,294 Waterford Wedgewood PLC 1
387 Woodchester Investments PLC 2
-------
35
-------
ITALY--2.8%
2,000 Assicurazioni Generali 34
5,000 Banca Commerciale Italiana 10
1,000 Banco Ambrosiano S.p.A. 2
1,000 Banco Ambrosiano Veneto S.p.A. 1
1,000 Banco Popolare di Milano 5
1,000 Cementir S.p.A. 1
6,000 Credito Italiano 9
2,000 Edison S.p.A. 9
20,000 ENI S.p.A. 100
8,000 Fiat S.p.A. 26
2,000 Fiat-RNC S.p.A. 3
1,000 Impregilo S.p.A.* 1
2,000 Istituto Bancario San Paolo di Torino 12
2,000 Istituto Mobiliare Italiano S.p.A. 17
10,000 Istituto Nationale Assicurazioni 14
2,000 Italgas S.p.A. 6
1,000 Magneti Marelli 2
3,000 Mediaset S.p.A.* 13
1,000 Mediobanca S.p.A.* 6
13,000 Montedison S.p.A. 8
2,000 Montedison-RNC S.p.A. 1
9,000 Olivetti Group* 3
4,000 Parmalat Finanziaria S.p.A. 6
4,000 Pirelli S.p.A. 9
1,000 Riunione Adriatic di Sicurta S.p.A. 8
1,000 Sirti S.p.A. 6
2,000 Snia BPD S.p.A. 2
17,000 Telecom Italia Mobile S.p.A. 50
4,000 Telecom Italia Mobile-RNC S.p.A. 7
17,000 Telecom Italia S.p.A. 47
4,000 Telecom Italia-RNC S.p.A. 9
-------
427
-------
JAPAN--29.5%
1,000 77 Bank 9
2,000 Ajinomoto Co. 20
1,000 Amada Co. Ltd. 8
1,000 Aoki Corp.* 1
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------
<C> <S> <C>
200 Arabian Oil Co. $ 7
6,000 Asahi Bank Ltd. 39
1,000 Asahi Breweries Ltd. 14
4,000 Asahi Chemical Industry Co. Ltd. 22
3,000 Asahi Glass Co. Ltd. 29
2,000 Ashikaga Bank Ltd. 7
100 Autobacs Seven Co. Ltd. 7
12,000 Bank of Tokyo-Mitsubishi Ltd. 208
3,000 Bank of Yokohama Ltd. 15
2,000 Bridgestone Corp. 45
1,000 Brother Industries Ltd. 4
2,000 Canon, Inc. 51
1,000 Casio Computer Co. Ltd. 8
2,000 Chiba Bank Ltd. 10
1,000 Chichibu Onoda Cement Corp. 4
1,000 Chiyoda Corp.* 5
1,000 Chugai Pharmaceutical Co. Ltd. 8
1,000 Citizen Watch Co. Ltd. 7
2,000 Cosmo Oil Co. Ltd. 9
200 CSK Corp. 6
2,000 Dai Nippon Ink & Chemicals, Inc. 7
2,000 Dai Nippon Printing Co. Ltd. 40
1,000 Daicel Chemical Industry Ltd. 4
1,000 Daido Steel Co. Ltd. 3
2,000 Daiei, Inc. 13
1,000 Daiichi Pharmaceutical 17
1,000 Daikin Industries Ltd. 10
1,000 Daimaru, Inc. 5
400 Daito Trust Construction Co. 4
1,000 Daiwa House Industry Co. Ltd. 12
3,000 Daiwa Securities Co. Ltd. 22
1,000 Denki Kagaku Kogyo Kabushiki Kaisha 2
2,000 Denso Corp. 50
11 East Japan Railway Co. 54
1,000 Ebara Corp. 14
1,000 Eisai Co. Ltd. 20
600 Fanuc 21
7,000 Fuji Bank Ltd. 90
1,000 Fuji Photo Film Co. 39
1,000 Fujikura Ltd. 9
1,000 Fujita Corp. 2
5,000 Fujitsu Ltd. 61
2,000 Furukawa Electric Co. Ltd. 12
1,000 Gunma Bank 8
1,000 Gunze Ltd. 4
2,000 Hankyu Corp. 10
1,000 Haseko 2
1,000 Hazama Corp. 2
1,000 Higo Bank 6
8,000 Hitachi Ltd. 85
3,000 Hitachi Zosen Corp. 11
2,000 Hokuriku Bank 7
2,000 Honda Motor Co. Ltd. 59
1,000 Inax 7
6,000 Industrial Bank of Japan 72
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
1,000 Isetan $ 13
1,000 Ishihara Sangyo Kaisha 3
1,000 Ito-Yokado Co. 57
4,000 Itochu Corp. 20
1,000 Itoham Foods 6
1,000 Iwataini International Corp. 4
4,000 Japan Airlines* 17
3,000 Japan Energy Corp. 8
1,000 Japan Steel Works* 2
2,000 Joyo Bank 10
1,000 JUSCO Co. 34
2,000 Kajima Corp. 11
1,000 Kamigumi Co. Ltd. 6
1,000 Kandenko Co. Ltd. 8
1,000 Kanebo Ltd. 2
1,000 Kaneka Corp. 6
2,500 Kansai Electric Power Co., Inc. 47
1,000 Kansai Paint 4
2,000 Kao Corp. 27
4,000 Kawasaki Heavy Industries Ltd. 17
1,000 Kawasaki Kisen Kaisha Ltd. 2
8,000 Kawasaki Steel Corp. 23
1,000 Keihin Electric Express Railway Co. Ltd. 5
1,000 Kikkoman Corp. 7
1,000 Kinden Corp. 13
4,000 Kinki Nippon Railway 24
3,000 Kirin Brewery Co. Ltd. 30
3,000 Komatsu Ltd. 23
100 Konami Co. Ltd. 4
1,000 Konica Corp. 6
1,000 Koyo Seiko Co. 8
1,000 Kuarabo Industries 3
4,000 Kubota Corp. 18
2,000 Kumagai Gumi Co. Ltd. 3
1,000 Kuraray Co. Ltd. 10
1,000 Kureha Chemical Industry 4
1,000 Kyowa Hakko Kogyo 7
1,000 Lion Corp. 4
4,000 Marubeni Corp. 17
1,000 Maruha Corp. 2
1,000 Marui Co. Ltd. 19
5,000 Matsushita Electric Industrial Co. Ltd. 94
1,000 Meiji Milk Products Co. Ltd. 5
1,000 Meiji Seika 5
1,000 Minebea Co. Ltd. 10
6,000 Mitsubishi Chemical Corp. 18
4,000 Mitsubishi Corp. 47
5,000 Mitsubishi Electric Corp. 28
3,000 Mitsubishi Estate Co. Ltd. 41
1,000 Mitsubishi Gas Chemical Go. 4
8,000 Mitsubishi Heavy Industries Ltd. 58
3,000 Mitsubishi Materials Corp. 12
1,000 Mitsubishi Oil Co. Ltd. 5
1,000 Mitsubishi Paper Mills 4
2,000 Mitsubishi Rayon Co. 8
</TABLE>
See accompanying notes to financial statements.
39
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
JAPAN--Continued
<C> <S> <C>
3,000 Mitsubishi Trust & Banking Corp. $ 43
4,000 Mitsui & Co. 35
2,000 Mitsui Engineering & Shipbuilding Co. Ltd. 4
2,000 Mitsui Fudosan Co. Ltd. 25
2,000 Mitsui Marine & Fire Insurance Co. Ltd. 13
1,000 Mitsui Mining & Smelting 4
3,000 Mitsui O.S.K. Lines Ltd.* 7
2,000 Mitsui Toatsu Chemicals, Inc. 5
3,000 Mitsui Trust & Banking Co. Ltd. 23
1,000 Mitsukoshi Ltd. 7
1,000 Murata Manufacturing Co. Ltd. 40
1,000 Mycal Corp. 14
2,000 Nagoya Railroad Co. Ltd. 8
1,000 Nankai Electric Railway 5
4,000 NEC Corp. 56
1,000 NGK Insulators Ltd. 10
1,000 NGK Spark Plug Co. 11
1,000 Nichido Fire & Marine Insurance 6
1,000 Nichirei Corp. 5
1,000 Nihon Cement Co. Ltd. 5
1,000 Niigata Engineering Co. Ltd.* 2
1,000 Nikon Corp. 17
3,000 Nippon Express Co. Ltd. 23
1,000 Nippon Fire & Marine Insurance 5
1,000 Nippon Light Metal Co. 4
1,000 Nippon Meat Packers, Inc. 12
3,000 Nippon Oil Co. Ltd. 15
2,000 Nippon Paper Industries Co. 11
1,000 Nippon Sheet Glass Co. Ltd. 4
1,000 Nippon Shinpan Co. 3
1,000 Nippon Shokubai K.K. Co. 7
17,000 Nippon Steel Corp. 50
1,000 Nippon Suisan Kaisha Ltd.* 3
3,000 Nippon Yusen Kabushiki Kaisha 12
1,000 Nishimatsu Construction 7
6,000 Nissan Motor Co. Ltd. 40
1,000 Nisshinbo Industries, Inc. 9
9,000 NKK Corp. 18
1,000 NOF Corp. 4
5,000 Nomura Securities Co. Ltd. 59
1,000 NSK Ltd. 7
1,000 NTN Corp. 5
2,000 Obayashi Corp. 12
2,000 Odakyu Electric Railway 11
3,000 Oji Paper Co. Ltd. 17
1,000 Okumura Corp. 5
1,000 Olympus Optical Co. Ltd. 9
1,000 Omron Corp. 20
1,000 Orient Corp. 3
6,000 Osaka Gas Co. Ltd. 16
100 Oyo Corp. 4
1,000 Penta-Ocean Construction 3
1,000 Renown, Inc.* 2
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------
<C> <S> <C>
9,000 Sakura Bank Ltd. $ 54
1,000 Sankyo Aluminium Industry Co. 3
1,000 Sankyo Co. Ltd. 32
1,000 Sanwa Shutter Corp. 9
5,000 Sanyo Electric Co. 21
1,000 Sapporo Breweries Ltd. 8
1,000 Sato Kogyo 2
300 Sega Enterprises 10
1,000 Seiyu Ltd. 8
1,000 Sekisui Chemical Co. Ltd. 10
2,000 Sekisui House Ltd. 20
3,000 Sharp Corp. 39
2,000 Shimizu Corp. 12
1,000 Shin-Etsu Chemical Co. Ltd. 25
1,000 Shionogi & Co. 7
1,000 Shiseido Co. Ltd. 15
2,000 Shizuoka Bank 19
3,000 Showa Denko K.K. 8
1,000 Snow Brand Milk Products 5
1,000 Sony Corp. 84
8,000 Sumitomo Bank Ltd. 111
4,000 Sumitomo Chemicals Co. 17
3,000 Sumitomo Corp. 27
2,000 Sumitomo Electric Industries 31
2,000 Sumitomo Heavy Industries Ltd. 7
2,000 Sumitomo Marine & Fire Insurance 15
8,000 Sumitomo Metal Industries 20
1,000 Sumitomo Metal Mining Co. 7
1,000 Sumitomo Osaka Cement Co. Ltd. 3
3,000 Taisei Corp. 13
1,000 Taisho Pharmaceutical Co. 25
1,000 Takara Shuzo 7
1,000 Takashimaya Co. Ltd. 13
2,000 Takeda Chemical Industries 51
2,000 Teijin Ltd. 8
1,000 Teikoku Oil Co. Ltd. 5
1,000 Toa Corp. 4
2,000 Tobu Railway Co. 9
100 Toho Co. 16
1,300 Tohoku Electric Power 22
5,000 Tokai Bank 41
4,000 Tokio Marine & Fire Insurance 47
3,400 Tokyo Electric Power Co. 65
7,000 Tokyo Gas Co. Ltd. 18
400 Tokyo Steel Manufacturing 5
1,000 Tokyo Tatemono Co. Ltd. 5
1,000 Tokyotokeiba 3
3,000 Tokyu Corp. 17
2,000 Toppan Printing Co. Ltd. 27
4,000 Toray Industries, Inc. 27
2,000 Tosoh Corp. 7
1,000 Tostem Corp. 27
1,000 Toto Ltd. 11
1,000 Toyo Seikan Kaisha 19
2,000 Toyobo Ltd. 5
1,000 Toyoda Automatic Loom Works 22
</TABLE>
See accompanying notes to financial statements.
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
9,000 Toyota Motor Corp. $ 258
1,000 Tsubakimoto Chain 6
2,000 Ube Industries Ltd. 6
1,000 Unitika Ltd.* 2
1,000 Yamaguchi Bank 14
1,000 Yamaha Corp. 19
3,000 Yamaichi Securities Co. Ltd. 8
1,000 Yamanouchi Pharmaceutical Co. Ltd. 25
1,000 Yamato Transport Co. Ltd. 12
1,000 Yamazaki Baking Co. Ltd. 17
3,000 Yasuda Trust & Banking 9
1,000 Yokogawa Electric 8
--------
4,477
--------
MALAYSIA--2.2%
1,000 AMMB Holdings Berhad 6
2,000 Amsteel Corp. Berhad 2
1,000 Antah Holdings Berhad 1
1,000 Aokam Perdana Berhad* 1
1,000 Berjaya Group Berhad 1
1,000 Berjaya Leisure Berhad 3
2,000 Commerce Asset Holdings Berhad 6
400 Commerce Asset Holdings Berhad Rights* 0
250 Commerce Asset Holdings Berhad Warrants* 0
1,000 DCB Holdings Berhad 3
1,000 Edaran Otomobil Nasional Berhad 9
1,000 Ekran Berhad 2
1,000 Golden Hope Plantations Berhad 2
1,000 Golden Plus Holdings Berhad 2
1,000 Guinness Anchor Berhad 2
666 Guolene Paper Products Berhad Rights* 0
1,000 Highlands & Lowlands Berhad 2
1,000 Hong Leong Industries Berhad 3
1,000 Hong Leong Properties Berhad 1
1,000 Hume Industries Berhad 5
1,000 Idris Hydraulic Berhad* 1
1,000 IGB Corp. Berhad 1
1,000 IOI Corp. Berhad 1
1,000 Jaya Tiasa Holdings Berhad 5
1,000 Johan Holdings Berhad 1
1,000 Kedah Cement Holdings Berhad 1
1,000 Kemayan Corp. Berhad 1
1,000 Kian Joo Can Factory Berhad 4
1,000 Kuala Lumpur Kepong Berhad 3
1,000 Land and General Berhad 1
1,000 Landmarks 1
1,000 Leader Universal Holdings Berhad 2
2,000 Magnum Corp. Berhad 3
2,800 Malayan Banking Berhad 30
1,000 Malayan Cement Berhad 2
2,000 Malayan United Industries Berhad 1
1,000 Malayawata Steel Berhad 2
3,000 Malaysia International Shipping Berhad 7
1,000 Malaysia Mining Corp. Berhad 1
1,000 Malaysian Airline System Berhad 2
1,000 Malaysian Mosaics Berhad 1
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------------
<C> <S> <C>
1,000 Malaysian Oxygen Berhad $ 5
1,000 Malaysian Pacific Industries 4
1,000 Malaysian Resources Corp. Berhad 3
1,000 MBF Capital Berhad 2
1,000 Metroplex Berhad 1
1,000 Mulpha International Berhad 1
1,000 Multi-Purpose Holdings 2
1,000 Mycom Berhad 1
1,000 Nestle Berhad 7
1,000 New Straits Times Press Berhad 6
1,000 Oriental Holdings Berhad 8
1,000 Palmco Holdings Berhad 1
1,000 Pan-Malaysia Cement Works Berhad 1
1,000 Perlis Plantations Berhad 3
1,000 Perlis Plantations Berhad Rights* 2
1,000 Perusahaan Otomolbil Nasional Berhad 5
1,000 Petaling Garden Berhad 2
1,000 Pilecon Engineering Berhad 2
1,000 Promet Berhad* 1
2,000 Public Bank Berhad 3
1,000 R.J. Reynolds Berhad 3
1,000 Rashid Hussain Berhad 6
2,000 Resorts World Berhad 7
400 Roghmans of Pall Mall Berhad 4
1,000 Selangor Properties Berhad 1
1,000 Shell Refining Co. Berhad 3
6,000 Sime Darby Berhad 20
1,000 Sungei Way Holdings Berhad 2
1,000 Ta Enterprise Berhad 1
1,000 Tan Chong Motor Holdings Berhad 2
1,000 Technology Resources Industries Berhad* 2
5,000 Telekom Malaysia Berhad 37
8,000 Tenaga Nasional Berhad 37
1,000 Time Engineering Berhad 2
1,000 UMW Holdings Berhad 5
2,000 United Engineers Malaysia Ltd. 16
1,000 YTL Corp. Berhad 4
-------
334
-------
NETHERLANDS--4.8%
3,440 ABN AMRO Holdings N.V. 64
168 Akzo Nobel 22
59 Assurantieconcern Stad Rotterdam anno 1720 N.V. 3
1,668 Elsevier N.V. 28
157 Getronics N.V. 5
126 Heineken N.V. 21
6 Hollandsche Beton Groep N.V. 1
48 IHC Caland N.V. 3
1,969 ING Groep N.V. 87
166 KLM Royal Dutch Airlines N.V. 5
422 Koninklijke Ahold N.V. 32
58 Koninklijke Hoogovens N.V. 3
185 Koninklijke KNP BT N.V. 4
23 Koninklijke Nedlloyd N.V. 1
56 Koninklijke Pakhoed N.V. 2
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
NETHERLANDS--Continued
<C> <S> <C>
1,172 Koninklijke PTT Nederland N.V. $ 41
36 Oce-Van Der Grinten N.V. 5
883 Philips Electronics N.V. 48
1,343 Royal Dutch Petroleum Co. 260
54 Stork N.V. 2
401 Unilever N.V. 77
170 Wolters Kluwer N.V. 21
-------
735
-------
NEW ZEALAND--0.4%
7,000 Brierley Investments Ltd. 6
4,400 Carter Holt Harvey Ltd. 10
200 Fisher & Paykel Industries Ltd. 1
800 Fletcher Challenge Building 2
1,000 Fletcher Challenge Energy 3
2,000 Fletcher Challenge Forests 3
2,000 Fletcher Challenge Paper 5
1,400 Lion Nathan Ltd. 4
4,800 Telecom Corp. of New Zealand Ltd. 23
-------
57
-------
NORWAY--0.5%
200 Aker RGI ASA 4
40 Aker RGI ASA, Class B 1
100 Bergesen d.y. ASA, Class A 2
100 Bergesen d.y. ASA, Class B 2
1,400 Christiania Bank Og Kreditkasse 5
100 Dyno Industrier ASA 2
100 Elkem ASA 2
200 Hafslund ASA 1
100 Kvaerner ASA 6
100 Leif Hoegh & Co. ASA 2
200 NCL Holdings ASA* 1
600 Norsk Hydro ASA 30
100 Norske Skogindustrier ASA 3
200 Nycomed ASA, Class A 3
100 Nycomed ASA, Class B 1
100 Orkla ASA, Class A 9
100 Petroleum Geo-Services ASA* 4
700 Storebrand ASA* 5
-------
83
-------
SINGAPORE--1.0%
1,000 City Developments Ltd. 9
1,000 Comfort Group Ltd. 1
1,000 Cycle & Carriage Ltd. 10
2,000 DBS Land Ltd. 7
1,000 Development Bank of Singapore Ltd. 12
1,000 First Capital Corp. Ltd. 3
1,000 Fraser & Neave Ltd. 8
1,000 Goldtron Ltd. 1
1,000 Hai Sun Hup Group Ltd. 1
1,000 Hotel Properties Ltd. 2
2,000 IPC Corp. 1
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------------------
<C> <S> <C>
1,000 Keppel Corp. Ltd. $ 5
250 Keppel Corp. Ltd., Class A * 1
1,000 Lum Chang Holdings Ltd. 1
1,000 NatSteel Ltd. 3
1,000 Neptune Orient Lines Ltd. 1
1,000 Overseas Chinese Banking Corp. Ltd. 12
1,000 Parkways Holdings Ltd. 5
1,000 Singapore Airlines Ltd. 8
1,000 Singapore Press Holdings Ltd. 20
1,000 Singapore Technologies Industrial Corp. 3
11,000 Singapore Telecommunications Ltd. 20
1,000 Straits Trading Co. Ltd. 2
2,000 United Industrial Corp. Ltd. 1
1,000 United Overseas Bank Ltd. 10
1,000 United Overseas Land Ltd. 1
-------
148
-------
SPAIN--2.3%
25 Acerinox S.A. 4
325 Corporacion Bancaria de Espana S.A. 16
500 Autopistas Concesionaria ESP 6
400 Banco Santander S.A. 34
562 Banco Bilbao Vizcaya S.A. 40
410 Banco Central Hispanoamericano 13
25 Corporacion Financiera Alba 3
69 Corporacion Mapfre 4
105 Dragados & Construcciones S.A. 2
100 Ebro Agricolas Compania de Alimentacion S.A. 2
650 Empresa Nacional de Electricidad S.A. 50
25 Fomenta de Construcciones S.A. 3
100 Gas Natural SDG S.A., Class E 19
2,278 Iberdrola S.A. 28
50 Inmobiliaria Metropolitana Vasco Central S.A. 2
25 Portland Valderrivas S.A. 2
150 Prosegur CIA de Seguridad S.A. 2
750 Repsol S.A. 31
63 Sarrio S.A. 0
100 Sociedade General de Aguas de Barcelona S.A. 4
75 Tabacalera S.A. 4
2,351 Telefonica de Espana 68
762 Union Electrica Fenosa S.A. 7
100 Uralita S.A. 1
100 Vallehermoso S.A. 3
50 Viscofan Industria Navarra de Envolturas Celulosicas S.A. 1
25 Zardoya Otis S.A. 3
-------
352
-------
SWEDEN--2.4%
2,000 ABB AB, Class A 27
1,000 ABB AB, Class B 14
300 AGA AB, Class A 4
200 AGA AB, Class B 3
3,466 Astra AB, Class A 56
800 Astra AB, Class B 12
300 Atlas Copco AB, Class A 8
</TABLE>
See accompanying notes to financial statements.
42
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------------------
<C> <S> <C>
100 Atlas Copco AB, Class B $ 3
184 Electrolux AB, Class B 11
92 Granges AB* 1
500 Hennes & Mauritz AB, Class B 16
100 Scancem AB, Class A 4
200 Securitas AB, Class B 5
239 Skandia Forsakrings AB 8
1,300 Skandinaviska Enskilda Banken, Class A 14
300 Skanska AB, Class B 12
300 Skanska AB, Rights* 0
100 SKF AB, Class A 2
115 SKF AB, Class B 3
700 Stora Kopparbergs Bergslags Aktiebolag, Class A 10
100 Stora Kopparbergs Bergslags Aktiebolag, Class B 1
500 Svenska Cellulosa AB, Class B 11
500 Svenska Handelsbanken, Class A 14
1,000 Swedish Match AB 3
2,400 Telefonaktiebolaget LM Ericsson, Class B 85
200 Trelleborg AB, Class B 3
300 Volvo AB, Class A 8
300 Volvo AB, Class A, Rights* 0
800 Volvo AB, Class B 22
800 Volvo AB, Class B, Rights* 0
-------
360
-------
SWITZERLAND--6.2%
20 ABB A.G. (Bearer)* 28
25 Adecco S.A. 9
10 Alusuisse-Lonza Holdings A.G. (Registered) 9
450 Credit Suisse Group (Registered) 57
10 Holderbank Financiere Glarus A.G., Class B 9
25 Holderbank Financiere Glarus A.G. (Registered) 4
100 Nestle S.A. (Registered) 124
20 Novartis A.G. (Bearer) 27
160 Novartis A.G. (Registered) 217
5 Roche Holdings A.G. (Bearer) 66
18 Roche Holdings A.G. (Genusss) 160
200 Schweizerischer Bankverein (Registered)* 48
5 SGS Societe Generale de Surveillance Holdings S.A., Class B 11
10 SMH A.G. (Bearer) 6
40 Swiss Re (Registered) 54
60 Union Bank of Switzerland (Bearer) 66
50 Union Bank of Switzerland (Registered) 11
100 Zurich Versicherungsgesellschaft (Registered) 37
-------
943
-------
UNITED KINGDOM--18.6%
4,000 Abbey National PLC 58
1,000 Anglian Water PLC 11
1,000 Argos PLC 10
2,000 Arjo Wiggins Appleton PLC 6
2,000 Associated British Foods PLC 19
3,788 Barclays PLC 74
2,217 Bass PLC 29
7,755 B.A.T. Industries PLC 70
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------
<C> <S> <C>
1,000 BBA Group PLC $ 5
11,000 BG PLC 37
1,000 BICC Group PLC 3
2,000 Blue Circle Industries PLC 14
1,212 BOC Group PLC 20
2,265 Boots Co. PLC 26
1,000 BPB PLC 6
14,187 British Petroleum Co. PLC 168
1,000 British Aerospace PLC 20
3,000 British Airways PLC 35
1,000 British Land Co. PLC 10
4,000 British Sky Broadcasting Group PLC 38
4,000 British Steel PLC 10
15,766 British Telecommunications PLC 114
10,069 BTR PLC 33
1,000 Burmah Castrol PLC 17
6,000 Cable & Wireless PLC 49
2,490 Cadbury Schweppes PLC 22
900 Caradon PLC 3
1,000 Carlton Communications PLC 9
11,000 Centrica PLC* 12
1,000 Coats Viyella PLC 2
2,000 Commercial Union PLC 22
727 Courtaulds PLC 4
1,000 De La Rue PLC 8
1,000 Electrocomponents PLC 7
1,080 EMI Group PLC 21
1,000 English China Clays PLC 3
1,000 FKI PLC 3
6,924 General Electric Co. PLC 39
877 GKN PLC 15
9,000 Glaxo Wellcome PLC 180
2,000 Granada Group PLC 28
5,000 Grand Metropolitan PLC 46
1,000 Great Portland Estates PLC 4
3,000 Great Universal Stores PLC 32
2,000 Guardian Royal Exchange PLC 9
4,830 Guiness PLC 45
1,000 Hammerson PLC 8
2,000 Hanson PLC 10
1,000 Harrisons & Crosfield PLC 2
1,000 Hepworth PLC 4
4,000 HSBC Holdings PLC 119
2,000 HSBC Holdings PLC (75P) 62
1,000 IMI PLC 6
2,000 Imperial Chemical Industries PLC 27
1,000 Johnson Matthey PLC 8
2,000 Kingfisher PLC 23
3,000 Ladbroke Group PLC 11
1,290 Land Securities Group PLC 19
2,000 LASMO PLC 8
3,000 Legal & General Group PLC 22
13,419 Lloyds TSB Group PLC 135
1,403 Lonrho PLC 3
3,000 LucasVarity PLC 9
7,068 Marks & Spencer PLC 59
964 MEPC PLC 8
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
UNITED KINGDOM--Continued
<C> <S> <C>
4,000 National Grid Group PLC $ 15
3,000 National Power PLC 27
1,000 Next PLC 12
1,519 Peninsular and Oriental Steam Navigation Co. 16
1,424 Pearson PLC 17
1,800 Pilkington PLC 4
1,000 Provident Financial PLC 10
5,000 Prudential Corp. PLC 50
1,000 Racal Electronics PLC 4
1,000 Railtrack Group PLC (Partial Paid) 7
2,000 Rank Group PLC 14
1,000 Redland PLC 5
2,832 Reed International PLC 28
4,000 Reuters Holdings PLC 45
1,000 Rexam PLC 5
1,000 RMC Group PLC 15
4,000 Rolls-Royce PLC 16
2,000 Royal Bank Scotland Group PLC 20
4,000 Royal & Sun Alliance Insurance Group PLC 30
2,680 RTZ Corp. PLC 46
1,000 Rugby Group PLC 2
3,000 Safeway PLC 18
4,597 Sainsbury (J) PLC 26
2,000 Scottish & Newcastle PLC 23
3,000 Scottish Power PLC 19
2,728 Sears PLC 3
1,000 Sedgwick Group PLC 2
1,000 Slough Estates PLC 5
7,000 SmithKline Beecham PLC 120
1,000 Smiths Industries PLC 13
1,000 Southern Electric PLC 7
1,000 T&N PLC 2
1,661 Tarmac PLC 3
1,000 Tate & Lyle PLC 7
1,000 Taylor Woodrow PLC 3
5,414 Tesco PLC 33
1,000 Thames Water PLC 11
1,000 Thorn PLC 3
1,000 TI Group PLC 9
426 Unigate PLC 3
2,042 Unilever PLC 55
950 United Biscuits Holdingsss PLC 3
1,000 United Utilities PLC 11
1,000 Vickers PLC 4
8,000 Vodafone Group PLC 35
1,666 Williams PLC 8
1,000 Willis Corroon 2
1,000 Wimpey (George) PLC 2
1,000 Wolseley PLC 8
2,000 Zeneca Group PLC 61
-------
2,826
- ---------------------------------------------------------------
TOTAL COMMON STOCK (Cost $13,323) $14,448
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
PREFERRED STOCK--0.4%
AUSTRALIA--0.1%
3,800 News Corp. Ltd. $ 14
1,000 Sydney Harbour Casino Holdings Ltd.* 2
-------
16
-------
AUSTRIA--0.0%
4 Bau Holdings A.G.--Vorzug 0
12 Bank Austria A.G.--Vorzug 1
42 Creditanstalt-Bankverein--Vorzug 2
-------
3
-------
GERMANY--0.3%
400 RWE A.G.--Non Voting 14
100 SAP A.G.--Vorzug 18
-------
32
-------
ITALY--0.0%
2,000 Fiat S.p.A. 3
- -------------------------------------------------------
TOTAL PREFERRED STOCK (Cost $52) $ 54
- -------------------------------------------------------
OTHER--3.6%
WORLD EQUITY BENCHMARK SHARES(WEBS)--3.6%
AUSTRALIA--0.1%
1,500 WEBS Index Series--Australia $ 17
-------
AUSTRIA--0.0%
100 WEBS Index Series--Austria 1
-------
BELGIUM--0.0%
300 WEBS Index Series--Belgium 5
-------
FRANCE--0.3%
2,600 WEBS Index Series--France 38
-------
GERMANY--0.3%
3,200 WEBS Index Series--Germany 52
-------
HONG KONG--0.1%
1,200 WEBS Index Series--Hong Kong 19
-------
ITALY--0.1%
1,000 WEBS Index Series--Italy 15
-------
JAPAN--1.2%
13,400 WEBS Index Series--Japan* 179
-------
MALAYSIA--0.1%
900 WEBS Index Series--Malaysia 12
-------
NETHERLANDS--0.2%
1,200 WEBS Index Series--Netherlands 26
-------
SINGAPORE--0.0%
500 WEBS Index Series--Singapore 6
-------
SPAIN--0.1%
700 WEBS Index Series--Spain 14
-------
SWEDEN--0.1%
700 WEBS Index Series--Sweden 12
-------
SWITZERLAND--0.2%
2,500 WEBS Index Series--Switzerland 36
-------
UNITED KINGDOM--0.8%
6,900 WEBS Index Series--United Kingdom 115
- -------------------------------------------------------
TOTAL OTHER (Cost $507) $ 547
- -------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ---------------------------------------------------------------
INTERNATIONAL EQUITY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
SHORT-TERM INVESTMENT--0.4%
Bank of Tokyo--Mitsubishi, Grand Cayman
$ 65 5.750% Due 06/02/97 $ 65
- ---------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $65) $ 65
- ---------------------------------------------------------------
TOTAL INVESTMENTS--99.4%
(Cost $13,947) $15,114
- ---------------------------------------------------------------
Other assets, less liabilities--0.6% 85
- ---------------------------------------------------------------
NET ASSETS--100.0% $15,199
- ---------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
*Non-income producing security.
At May 31, 1997 the Portfolio's investments, excluding the short-term
investment, were diversified as follows:
<TABLE>
<S> <C>
Industry/Sector
- -------------------------
Auto 4.5%
Banks 14.2
Capital Goods 8.0
Consumer Goods 14.3
Energy/Utilities 10.3
Financial Services 8.7
Medical 6.5
Multi-Industry 10.8
Raw Materials 8.2
Retail 4.1
Transportation 2.5
Other 7.9
- -------------------------
Total 100.0%
- -------------------------
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------
INTERNATIONAL GROWTH PORTFOLIO
<C> <S> <C> <C>
COMMON STOCKS--92.9%
AUSTRALIA--2.9%
475,000 Foster's Brewing Group Ltd. $ 933
305,000 News Corp. Ltd. 1,354
200,000 WMC Ltd. 1,292
--------
3,579
--------
AUSTRIA--0.8%
6,000 VA Technologies A.G. 1,058
--------
CZECH REPUBLIC--0.5%
90,000 Czechoslovakia & Slovak
Investment Corp.* 608
12,000 Czechoslovakia & Slovak
Investment Corp. Warrants* 8
--------
616
--------
FINLAND--0.3%
6,000 Nokia Corp. ADR 396
--------
FRANCE--6.7%
14,000 Alcatel Alsthom S.A. 1,519
14,000 AXA-UAP 839
12,000 Cie Generale des Eaux 1,479
12,000 Cie Gererale des Eaux Warrants* 8
18,000 Elf Aquitaine S.A. 1,803
25,000 Lafarge S.A. 1,601
40,000 Lagardere S.C.A. 1,179
--------
8,428
--------
GERMANY--8.2%
6,500 Allianz A.G. 1,378
50,000 Commerzbank A.G. 1,472
15,000 Daimler-Benz A.G. 1,157
20,000 Deutsche Telekom A.G. 444
30,000 Deutsche Telekom A.G. ADR 682
33,000 Siemens A.G. 1,864
32,000 VEBA A.G. 1,812
2,200 Volkswagen A.G. 1,424
--------
10,233
--------
HONG KONG--3.5%
335,000 China Light & Power Co. 1,677
175,000 Hutchison Whampoa Ltd. 1,457
270,000 Wharf Holdings Ltd. 1,209
--------
4,343
--------
INDONESIA--1.0%
40,000 PT Indosat ADR 1,195
--------
ITALY--3.2%
85,000 Assicurazioni Generali 1,457
250,000 ENI S.p.A. 1,249
250,000 Stet Societa' Finanziaria Telefonica S.p.A. 1,263
--------
3,969
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
JAPAN--31.2%
230,000 Asahi Bank Ltd. $ 1,502
50,000 Bank Of Tokyo-Mitsubishi Ltd. 867
55,000 Canon, Inc. 1,392
15,000 Forval Corp. 398
110,000 Fujitsu Ltd. 1,340
70,000 Isetan 901
375,000 Ishikawajima-Harima Heavy Industries Co. 1,461
350,000 Isuzu Motors Ltd. 1,343
395,000 Itochu Corp. 2,010
335,000 Kawasaki Steel Corp. 983
30,000 Matsumotokiyoshi 1,187
60,000 Matsushita Electric Industrial Co. Ltd. 1,128
130,000 Minebea Co. Ltd. 1,272
70,000 Mitsubishi Estate Co. Ltd. 955
140,000 Mitsui & Co. 1,237
32,000 Murata Manufacturing Co. Ltd. 1,266
12,000 Nichii Gakkan Co. 638
40,000 Nikon Corp. 676
18,000 Nintendo Corp. Ltd. 1,406
150 Nippon Telegraph & Telephone Corp. 1,429
1,500 Nippon Television Network 598
105,000 Nissan Motor Co. Ltd. 696
90,000 Nomura Securities Co. Ltd. 1,066
185,000 Oji Paper Co. Ltd. 1,068
20,000 Promise Co., Ltd. 961
100,000 Ricoh Co. Ltd. 1,313
15,000 Sony Corp. 1,263
150,000 Sumitomo Corp. 1,326
40,000 Sumitomo Electric Industries 628
110,000 Sumitomo Marine & Fire Insurance 831
225,000 Sumitomo Realty & Developement Co. Ltd. 1,767
40,000 Takeda Chemical Industries 1,013
10,000 TDK Corp. 767
50,000 Toyota Motor Corp. 1,433
45,000 Uny Co. Ltd. 884
--------
39,005
--------
MALAYSIA--0.0%
500 Genting Berhad 3
--------
MEXICO--1.1%
425,000 Cifra S.A. ADR 701
25,000 Panamerican Beverages, Inc. 725
--------
1,426
--------
NETHERLANDS--3.0%
40,000 ING Groep N.V. 1,770
35,000 Vendex International N.V. 1,966
--------
3,736
--------
NORWAY--1.1%
70,000 Saga Petroleum A.S.A. 1,412
--------
SINGAPORE--0.9%
90,000 Development Bank of Singapore Ltd. 1,127
--------
SOUTH AFRICA--1.1%
45,000 Nedcor Ltd. 876
20,000 South African Breweries Ltd. 568
--------
1,444
--------
</TABLE>
See accompanying notes to financial statements.
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
SOUTH KOREA--0.0%
368 Daewoo Corp. $ 3
--------
SPAIN--2.5%
12,000 Banco Santander S.A. 1,025
20,000 Repsol S.A. ADR 843
14,000 Telefonica de Espana ADR 1,223
--------
3,091
--------
SWITZERLAND--5.6%
14,000 Credit Suisse Group A.G. 1,759
1,400 Nestle S.A. 1,742
1,100 Novartis A.G. 1,493
5,500 Zurich Versicherungsgesellschaft 2,022
--------
7,016
--------
UNITED KINGDOM--18.2%
250,000 British Telecommunications PLC 1,810
475,000 BTR PLC 1,543
200,000 Cable & Wireless PLC 1,633
120,000 General Electric Co. PLC 684
40,000 Glaxo Wellcome PLC ADR 1,610
200,000 Grand Metropolitan PLC 1,858
435,000 Ladbroke Group PLC 1,637
325,000 National Grid Group PLC 1,204
150,000 National Westminster Bank PLC 1,827
150,000 Pearson PLC 1,761
220,000 Rank Group PLC 1,544
75,000 RTZ Corp. PLC 1,287
450,000 Tomkins PLC 1,958
35,000 Vodafone Group PLC ADR 1,562
70,000 United Utilities PLC 801
--------
22,719
--------
UNITED STATES--1.1%
40,000 Pharmacia & Upjohn, Inc. 1,385
- ----------------------------------------------------------
TOTAL COMMON STOCKS (Cost $106,014) $116,184
- ----------------------------------------------------------
PREFERRED STOCKS--1.1%
BRAZIL--1.1%
5,000 Telecomunicacoes Brasileiras S.A. ADR $ 687
20,000 Uniao de Bancos Brasileiros S.A. GDR* 690
- ----------------------------------------------------------
TOTAL PREFERRED STOCKS (Cost $1,101) $ 1,377
- ----------------------------------------------------------
OTHER--0.8%
75,000 The Korea Fund, Inc. $ 1,031
- ----------------------------------------------------------
TOTAL OTHER (Cost $1,104) $ 1,031
- ----------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ----------------------------------------------------------
<S> <C> <C>
SHORT-TERM INVESTMENT--2.9%
Bank of Tokyo-Mitsubishi, Grand Cayman
$ 3,593 5.75% Due 06/02/97 $ 3,593
- ----------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $3,593) $ 3,593
- ----------------------------------------------------------
TOTAL INVESTMENTS--97.7%
(Cost $111,812) $122,185
- ----------------------------------------------------------
Other assets, less liabilities--2.3% 2,922
- ----------------------------------------------------------
NET ASSETS--100.0% $125,107
- ----------------------------------------------------------
- ----------------------------------------------------------
</TABLE>
*Non-income producing security.
At May 31, 1997 the Portfolio's investments, excluding the short-term
investment, were diversified as follows:
<TABLE>
<CAPTION>
Industry/Sector
- --------------------------
<S> <C>
Auto 3.0%
Basic Industry 15.7
Capital Goods 8.6
Consumer Goods 17.6
Financial Services 18.6
Medical 5.2
Real Estate 3.3
Retail 3.2
Technology 15.9
Other 8.9
- --------------------------
Total 100.0%
- --------------------------
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--97.9%
AGRICULTURE--0.5%
2,700 DeKalb Genetics Corp. $ 192
4,665 Delta & Pine Land Co. 142
5,600 Dimon, Inc. 130
8,500 Longview Fibre Co. 143
2,400 Northland Cranberries, Inc. 31
1,500 Tejon Ranch Co. 26
--------
664
--------
APPAREL--0.5%
1,600 Donnkenny, Inc.* 7
800 Fossil, Inc.* 14
1,500 Gadzooks, Inc.* 50
4,200 Genesco, Inc.* 58
4,300 Hartmarx Corp.* 42
3,450 Kellwood Co. 91
1,100 Kenneth Cole Productions, Inc.* 17
1,100 Marisa Christina, Inc.* 11
6,200 Nautica Enterprises, Inc.* 146
1,900 Oshkosh B' Gosh, Inc. 32
2,500 St. John Knits, Inc. 106
1,900 Starter Corp.* 9
1,650 Unitog Co. 39
1,800 Vans, Inc.* 23
--------
645
--------
BANKING--8.4%
4,250 Aames Financial Corp. 55
1,880 Albank Financial Corp. 72
1,900 Amcore Financial, Inc. 54
1,900 American Federal Bank 58
1,000 Anchor Bancorp, Inc. 43
3,690 Associated Banc-Corp. 140
3,200 BancorpSouth, Inc. 93
1,402 Bank of Granite Corp. 40
1,700 BankAtlantic Bancorp, Inc. 24
2,264 Bankers Corp. 57
1,200 Banknorth Group, Inc. 52
1,100 Bay View Capital Corp. 55
1,089 Brenton Banks, Inc. 28
1,400 CBT Corp. 31
2,600 CCB Financial Corp. 183
4,000 Centura Banks, Inc. 173
1,787 Chittenden Corp. 53
1,350 CitFed Bancorp, Inc. 50
1,800 Citizens Banking Corp. 58
6,500 City National Corp. 156
3,278 CNB Bancshares, Inc. 144
3,200 Coast Savings Financial, Inc.* 136
3,500 Collective Bancorp, Inc. 150
3,800 Colonial BancGroup, Inc. 92
2,061 Commerce Bancorp, Inc. 71
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------------
<C> <S> <C>
3,750 Commercial Federal Corp. $ 130
2,954 Commonwealth Bancorp 44
2,800 Community First Bankshares, Inc. 97
1,430 Community Trust Bancorp, Inc.* 36
800 CPB, Inc. 28
3,880 Cullen/Frost Bankers, Inc. 152
2,863 Downey Financial Corp. 57
3,055 F & M Bancorp 72
1,188 F & M National Corp. 38
1,767 Fidelity National Corp. 23
1,370 Financial Trust Corp.* 67
1,900 First Citizens Bancshares, Inc. 157
1,900 First Commercial Bancshares, Inc. 48
3,837 First Commercial Corp. 157
3,600 First Commonwealth Financial Corp. 69
1,700 First Federal Financial Corp.* 46
2,452 First Financial Bancorp 93
1,025 First Financial Bancshares, Inc. 42
6,375 First Financial Corp. 177
4,000 First Hawaiian, Inc. 142
1,298 First Indiana Corp. 27
4,782 First Michigan Bank Corp. 137
2,575 First Midwest Bancorp, Inc. 84
1,900 First Savings Bank of Washington Bancorp, Inc. 39
1,050 First United Bancshares, Inc. 42
1,388 First Western Bancorp, Inc. 48
1,800 Firstbank of Illinois Co. 67
2,025 FirstBank Puerto Rico 49
5,200 Firstmerit Corp. 238
1,559 FNB Corp. 41
1,950 Fort Wayne National Corp. 87
6,225 Fulton Financial Corp. 163
7,476 Glendale Federal Bank FSB* 190
2,300 Great Financial Corp. 75
1,610 Hancock Holding Co. 67
1,113 Harleysville National Corp. 33
500 Harris Savings Bank 10
900 Heritage Financial Services, Inc. 24
3,229 Hubco, Inc. 84
3,022 Imperial Bancorp* 75
3,964 Imperial Credit Industries, Inc.* 74
1,000 Irwin Financial Corp. 27
2,600 Jefferson Bancshares, Inc. 76
6,449 Keystone Financial, Inc. 191
2,100 Klamath First Bancorp 39
900 Liberty Bancorp, Inc. 44
4,200 Long Island Bancorp, Inc. 146
2,200 Magna Bancorp, Inc. 52
5,994 Magna Group, Inc. 193
3,359 Mid-Am, Inc. 59
2,600 ML Bancorp, Inc. 45
700 National Bancorp of Alaska, Inc. 55
1,638 National City Bancshares, Inc. 61
</TABLE>
See accompanying notes to financial statements.
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
8,500 National Commerce Bancorp $ 201
1,126 National Penn Bancshares, Inc. 34
2,476 New York Bancorp, Inc. 81
10,868 North Fork Bancorp, Inc. 228
4,595 Old National Bancorp 184
1,500 Omega Financial Corp. 50
2,195 ONBANCorp, Inc. 103
3,225 One Valley Bancorp of West Virginia, Inc. 130
700 Park National Corp. 43
3,000 Peoples Bank of Bridgeport, CT 70
4,300 Peoples Heritage Financial Group, Inc. 142
1,100 Pinnacle Banc Group, Inc. 20
3,050 Provident Bancorp, Inc. 122
1,394 Provident Bankshares Corp. 52
1,800 Queen City Bancorp 74
1,900 RCSB Financial, Inc. 78
1,400 Reliance Acceptance Group, Inc. 8
2,791 Republic Bancorp, Inc. 36
1,797 Resource Bancshares Mortgage Group, Inc.* 26
3,300 Riggs National Corp.* 61
5,714 Roosevelt Financial Group, Inc. 132
1,800 S & T Bancorp, Inc. 65
1,600 Security Capital Corp. 147
1,600 Silicon Valley Bancshares* 63
10,788 Sovereign Bancorp, Inc. 141
3,913 St. Paul Bancorp, Inc. 124
2,900 Standard Financial, Inc.* 67
700 Student Loan Corp. 26
700 Sumitomo Bank of California 19
2,275 Susquehanna Bancshares, Inc. 89
3,000 T.R. Financial Corp.* 60
3,200 Trust Co. of Jersey City 59
3,283 Trustco Bank Corp. 67
4,500 Trustmark Corp. 122
2,832 UMB Financial Corp. 113
2,500 United Bankshares, Inc. 93
4,100 United Carolina Bancshares Corp. 184
900 USBancorp, Inc. 43
2,800 UST Corp. 59
7,590 Washington Federal, Inc. 200
1,500 Wesbanco, Inc. 55
2,500 Westamerica Bancorp 170
1,718 Westcorp, Inc. 28
2,775 Whitney Holding Corp. 106
--------
10,360
--------
BITUMINOUS COAL AND LIGNITE SURFACE MINING--0.1%
1,400 Ashland Coal, Inc. 37
1,200 Nacco Industries, Inc. 61
--------
98
--------
BROKERAGE AND FINANCIAL SERVICES--1.7%
3,750 Alex Brown, Inc. 251
2,200 Allied Capital Commercial Corp. 51
400 American Financial Enterprises, Inc. 15
2,400 Amresco, Inc. 42
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
867 BOK Financial Corp.* $ 29
700 CapMAC Holdings, Inc. 19
1,920 Carolina First Corp. 29
800 Cityscape Financial Corp.* 11
4,000 CMAC Investment Corp. 167
5,850 Crawford & Co., Class B 97
5,000 Crimmi Mae, Inc. 81
1,000 Cybercash, Inc.* 13
1,700 Financial Federal Corp.* 33
5,400 Insignia Financial Group, Inc., Class A* 96
2,100 Interra Financial, Inc. 91
600 Investment Technology Group, Inc.* 13
1,700 Jefferies Group, Inc. 91
2,700 Legg Mason, Inc. 124
1,540 McDonald & Co. Investments, Inc. 59
2,625 Morgan Keegan, Inc. 47
3,900 Penncorp Financial Group, Inc. 133
7,550 Phoenix Duff & Phelps Corp. 56
3,700 Pioneer Group, Inc. 92
1,900 Piper Jaffray Cos., Inc. 37
2,785 Quick & Reilly Group, Inc. 64
4,050 Raymond James Financial, Inc. 111
2,200 SEI Corp. 50
3,400 U.S. Trust Corp. 160
300 Value Line, Inc. 10
770 WFS Financial, Inc.* 10
500 Winthrop Resource Corp.* 15
--------
2,097
--------
CHEMICALS AND ALLIED PRODUCTS--3.7%
2,600 Advanced Polymer Systems, Inc.* 19
4,900 Alliance Pharmaceutical Corp.* 50
2,300 Alpharma, Inc., Class A* 39
3,500 Amylin Pharmaceuticals, Inc.* 46
1,000 Aphton Corp.* 15
6,000 Arcadian Corp. 62
2,838 Avatex Corp.* 3
1,100 Bush Boake Allen, Inc.* 32
6,600 Calgon Carbon Corp. 92
2,200 Capstone Pharmacy Services, Inc.* 22
900 Cardinal Health ,Inc. 52
3,900 Carter-Wallace, Inc. 64
2,500 Cellpro, Inc.* 16
4,000 Cephalone, Inc.* 50
1,500 Chemed Corp. 55
3,500 Chemfirst, Inc. 91
3,100 Church & Dwight, Inc. 82
1,500 Collagen Corp. 26
1,274 Copley Pharmaceutical, Inc.* 8
12,439 Crompton & Knowles Corp. 291
2,800 Cygnus, Inc.* 46
4,000 Dexter Corp. 121
1,800 Diagnostic Products Corp. 54
7,200 Dura Pharmaceuticals, Inc.* 286
2,200 Epitope, Inc.* 19
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--Continued
1,500 Ergo Science Corp.* $ 20
2,400 Fuller (H.B.) Co. 133
2,200 GelTex Pharmaceuticals, Inc.* 42
5,900 Genelabs Technologies, Inc.* 14
3,600 Geon Co. 78
2,100 Herbalife International, Inc. 44
4,100 Hybridon, Inc. 27
6,101 ICN Pharmaceuticals, Inc. 132
5,200 ICOS Corp.* 42
3,200 Immulogic Pharmaceutical Corp.* 13
4,200 Isis Pharmaceuticals, Inc.* 66
3,900 Jones Medical Industries, Inc. 140
1,400 Kronos, Inc.* 36
500 Landec Corp.* 3
5,000 Lawter International, Inc. 58
1,200 Learonal, Inc. 32
1,771 Life Technologies, Inc. 48
3,175 Lilly Industrial, Inc. 67
900 MacDermid, Inc. 41
3,000 Matrix Pharmaceutical, Inc.* 21
1,100 McWhorter Technologies, Inc.* 24
2,300 Medimmune, Inc.* 36
3,900 Mineral Technologies, Inc. 154
4,568 Mississippi Chemical Corp. 104
2,700 NBTY, Inc.* 63
600 NCH Corp. 39
4,200 NL Industries, Inc.* 54
2,600 Noven Pharmaceuticals, Inc.* 20
3,300 OM Group, Inc. 104
1,000 PDT, Inc.* 28
1,000 Petrolite Corp. 60
1,800 Pharmacopeia, Inc.* 27
3,400 Regeneron Pharmaceuticals, Inc.* 36
3,300 Rexene Corp.* 49
2,000 Roberts Pharmaceutical Corp.* 25
3,600 Ross Cosmetics Distribution Centers, Inc. 11
6,500 Schulman (A.), Inc. 145
3,100 Scotts Co.* 91
4,400 Sepracor, Inc.* 108
4,800 Sequus Pharmaceuticals, Inc.* 34
3,100 Somatogen, Inc.* 17
1,600 Stepan Co. 31
1,500 Techne Corp.* 41
2,135 Tetra Tech, Inc.* 43
2,200 Tetra Technologies, Inc.* 54
1,000 USA Detergents, Inc.* 13
1,800 Valhi, Inc. 15
5,300 Valspar Corp. 148
3,300 Vertex Pharmaceuticals, Inc.* 134
1,165 WD-40 Co. 66
4,700 Wellman, Inc. 84
--------
4,556
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
COMMUNICATIONS--3.5%
2,300 ACC Corp.* $ 59
3,400 Ackerley Communications, Inc. 42
2,700 Adelphia Communications Corp.* 16
6,000 Aliant Communications, Inc. 123
2,700 American Mobile Satellite Corp.* 24
600 American Paging, Inc.* 1
4,690 American Radio Systems, Inc.* 175
1,700 American Telecasting, Inc.* 2
1,000 Ancor Communications, Inc.* 6
4,300 ANTEC Corp.* 53
2,100 Applied Digital Access, Inc.* 13
1,600 Applied Innovation, Inc.* 10
1,800 Argyle Television, Inc.* 42
2,900 ATC Communications Group, Inc.* 12
900 Atlantic Tele-Network, Inc.* 11
1,200 BET Holdings, Inc.* 39
2,800 Black Box Corp.* 99
2,390 Block Drug Co., Inc. 106
2,812 Brightpoint, Inc.* 87
1,500 Brite Voice Systems, Inc.* 13
1,900 Broadband Technologies, Inc.* 18
2,200 C-TEC Corp.* 67
2,850 Cable Design Technologies Corp.* 78
5,470 CAI Wireless Systems, Inc.* 8
1,600 Cellstar Corp.* 57
1,800 Cellular Communications International, Inc.* 48
3,480 Cellular Technical Services, Inc.* 47
900 Cellularvision USA, Inc.* 6
5,500 Century Communications Corp., Class A* 30
2,100 CFW Communications Co. 39
2,500 CIDCO, Inc.* 36
2,400 Commnet Cellular, Inc.* 82
2,000 Corecomm, Inc.* 32
1,500 Data Transmission Network Corp.* 41
1,350 Davox Corp.* 44
1,100 Desktop Data, Inc.* 9
7,700 DSP Communications, Inc.* 86
1,400 EIS International, Inc.* 10
1,200 Emmis Broadcasting Corp., Class A* 46
4,850 Evergreen Media Corp., Class A* 189
2,600 Executive Telecard Ltd.* 19
8,000 Executone Information Systems, Inc.* 16
1,700 FastComm Communications Corp.* 13
4,100 General Communications, Inc.* 28
1,700 Harmonic Lightwaves, Inc.* 28
2,200 Heartland Wireless Communications, Inc.* 6
1,100 Heftel Broadcasting Corp., Class A* 54
5,500 Heritage Media Corp.* 100
3,600 HighwayMaster Communications, Inc.* 50
8,028 HSN, Inc. 246
1,600 Intercel, Inc.* 22
2,600 Intermedia Communications, Inc.* 78
2,400 International Cabletel, Inc.* 56
600 IPC Information Systems, Inc.* 8
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
1,100 Jacor Communications, Inc.* $ 38
3,478 Jones Intercable, Inc., Class A* 37
2,200 Level One Communications, Inc.* 83
2,000 Lin Television Corp* 87
1,800 Mastec, Inc.* 73
1,900 Media General, Inc. 58
3,550 Metrocall, Inc.* 18
6,057 Metromedia International Group, Inc.* 66
2,700 MIDCOM Communications, Inc.* 20
8,900 Mobile Telecommunications Technologies Corp.* 108
7,400 MobileMedia Corp.* 4
4,933 NTL, Inc.* 113
1,500 Ods Networks, Inc.* 24
1,100 Ortel Corp.* 15
2,700 P-COM, Inc.* 87
1,200 Palmer Wireless, Inc.* 19
200 Paxson Communications Corp.* 2
1,800 People's Choice TV Corp.* 2
1,600 Periphonics Corp.* 30
1,500 Plantronics, Inc.* 66
1,800 ProNet, Inc.* 6
500 Renaissance Communications Corp.* 19
1,500 SAGA Communications, Inc.* 28
1,000 SFX Broadcasting, Inc., Class A* 32
1,800 TCA Cable TV, Inc. 12
2,700 Tel-Save Holdings, Inc.* 42
1,800 Telco Systems, Inc.* 19
1,000 Teltrend, Inc.* 17
1,250 Transaction Network Services, Inc.* 18
2,000 Trescom International, Inc.* 15
3,000 True North Communications, Inc. 60
2,600 U.S. Long Distance Corp.* 40
6,400 United International Holdings, Inc., Class A* 64
700 United Television, Inc. 62
1,800 United Video Satellite Group, Inc.* 31
4,800 Valuevision International, Inc.* 19
4,700 Vanguard Cellular Systems, Inc.* 62
2,100 VideoLan Technologies, Inc.* 1
5,300 Westwood One, Inc.* 144
4,600 WinStar Communications, Inc.* 65
2,600 Wireless One Corp.* 8
1,500 Young Broadcasting Corp.* 40
--------
4,384
--------
COMPUTERS AND OFFICE MACHINES--3.1%
1,600 ACT Networks, Inc.* 28
3,100 Actel Corp.* 65
3,900 Alliance Semiconductor Corp.* 33
1,400 Applix, Inc.* 6
5,600 AST Research, Inc.* 29
4,200 Auspex Systems, Inc.* 44
3,400 Avid Technology, Inc.* 80
3,366 BancTec, Inc.* 85
900 Boca Research, Inc.* 6
5,400 Borland International, Inc.* 39
1,500 Brooktrout Technology, Inc.* 20
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
1,700 BT Office Products International, Inc.* $ 13
2,300 Caere Corp.* 19
1,896 Cambrex Corp. 68
2,000 Centennial Technologies, Inc.* 6
3,700 Chips & Technologies, Inc.* 41
2,100 Chronimed, Inc.* 21
4,000 Computer Network Technology Corp.* 19
3,700 Comverse Technology, Inc.* 169
2,300 Control Data Systems, Inc.* 34
7,600 Copytele, Inc.* 39
6,600 Data General Corp.* 141
900 Day Runner, Inc.* 25
1,300 Dialogic Corp.* 38
5,000 Diamond Multimedia Systems, Inc.* 40
2,000 Digi International, Inc.* 18
3,100 Dynatech Corp.* 116
1,500 Encad, Inc.* 56
1,600 Evans & Sutherland Computer Corp.* 42
3,600 Exabyte Corp.* 51
1,500 Excalibur Technologies Corp.* 7
2,400 Filenet Corp.* 40
5,200 FTP Software, Inc.* 29
1,100 General Binding Corp. 32
2,900 Hyperion Software Corp.* 52
1,300 Infinium Software, Inc. 11
4,500 Information Resources, Inc.* 68
5,300 Intelligent Electronics, Inc. 14
6,600 Intergraph Corp.* 47
2,700 Interpool, Inc.* 38
1,600 Itron, Inc.* 43
2,184 Logicon, Inc. 110
1,200 Media 100 Inc.* 7
2,700 Mercury Interactive Corp.* 47
1,400 Microcom, Inc.* 35
1,400 Micros Systems, Inc.* 56
8,000 Miller (Herman), Inc. 286
3,400 Mylex Corp.* 34
2,200 National Computer Systems, Inc. 56
5,300 Netmanage, Inc.* 18
3,700 Nu-Kote Holding, Inc.* 9
3,000 Phoenix Technologies Ltd.* 42
1,400 Planar Systems, Inc.* 17
8,098 Platinum Technology, Inc.* 117
1,600 Proxim, Inc.* 41
900 Radisys, Inc.* 33
8,400 S3, Inc.* 103
2,800 Sandisk Corp.* 40
3,400 Santa Cruz Operation, Inc.* 15
4,900 Sequent Computer Systems, Inc.* 83
3,400 Silicon Storage Technology, Inc.* 12
2,400 SMART Modular Technologies, Inc.* 81
2,300 Standard Microsystems Corp.* 21
500 Storage Computer Corp.* 7
3,000 StorMedia, Inc.* 36
4,200 Stratus Computer, Inc.* 192
2,000 SubMicron Systems, Inc.* 5
</TABLE>
See accompanying notes to financial statements.
51
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
COMPUTERS AND OFFICE MACHINES--Continued
3,150 Sylvan Learning Systems, Inc.* $ 113
2,900 Synetic, Inc.* 113
1,200 3D Systems Corp.* 9
1,100 Tech Data Corp.* 35
2,100 Trident Microsystems, Inc.* 30
2,400 Tseng Laboratories, Inc.* 9
1,200 USDATA Corp., Inc.* 6
1,300 Wall Data, Inc.* 33
6,200 Wang Labs, Inc.* 127
2,300 Wonderware Corp.* 31
600 Xpedite Systems, Inc.* 11
3,200 Zebra Technologies Corp.* 98
--------
3,890
--------
CREDIT INSTITUTIONS--0.4%
2,800 Astoria Financial Corp. 116
3,400 Credit Acceptance Corp.* 48
2,700 First Colorado Bancorp 47
902 First Financial Corp. 32
1,200 Firstplus Financial Group* 31
1,700 Jayhawk Acceptance Corp.* 3
1,500 JSB Financial, Inc. 66
2,200 National Auto Credit, Inc.* 21
2,400 North American Mortgage Co. 48
2,600 Ryland Group, Inc. 34
3,600 World Acceptance Corp.* 22
--------
468
--------
ELECTRICAL SERVICES--2.4%
600 Advanced Lighting Technologies, Inc.* 15
9,000 Atlantic Energy, Inc. 148
2,500 Black Hills Corp. 71
3,000 Central Hudson Gas & Electric Corp. 96
3,800 Central Louisiana Electric Co., Inc. 95
5,300 Central Maine Power Co. 58
3,400 Checkfree Corp.* 59
2,200 CILCORP, Inc. 85
13,391 Citizens Utilities Co., Series B* 126
3,400 Commonwealth Energy Systems Cos. 73
3,300 Eastern Utilities Association 58
9,800 El Paso Electric Co.* 69
3,100 Electroglas, Inc.* 78
2,800 Empire District Electric Co. 49
2,200 Envoy Corp.* 66
5,100 IES Industries, Inc. 149
1,700 Interstate Power Co. 48
2,550 Madison Gas & Electric Co. 51
5,100 Minnesota Power & Light Co. 148
8,300 Nevada Power Co. 171
3,178 Northwestern Public Service Co. 62
2,200 Orange & Rockland Utilities, Inc. 70
1,800 Otter Tail Power Co. 55
4,800 PMT Services, Inc.* 77
6,400 Public Service Co. of New Mexico* 113
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
6,600 Rochester Gas & Electric Corp. $ 132
5,200 Sierra Pacific Resources 154
4,050 SIGCORP, Inc. 102
1,900 TNP Enterprises, Inc. 42
5,280 Tucson Electric Power Co.* 78
2,300 United Illuminating Co. 66
5,300 WPL Holdings, Inc. 146
4,100 WPS Resources Corp. 109
1,850 Yankee Energy System, Inc. 43
2,000 Zurn Industries, Inc. 53
--------
3,015
--------
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
6.1%
1,000 Advanced Energy Industries, Inc.* 12
2,500 Altron, Inc.* 42
5,600 Ametek, Inc. 131
4,800 Ampex Corp.* 31
1,200 ANADIGICS, Inc.* 40
6,200 Anixter International, Inc.* 105
4,122 Applied Magnetics Corp.* 103
1,000 Associated Group, Inc.* 41
2,975 Avant! Corp.* 68
3,420 Baldor Electric Co. 96
4,100 Belden, Inc. 149
1,000 Berg Electronics Corp.* 35
4,800 BMC Industries, Inc. 158
4,000 Boston Technology, Inc.* 115
4,050 Burr-Brown Corp.* 127
1,700 C-COR Electronics, Inc.* 17
1,700 C.P. Clare Corp.* 24
2,000 California Amplifier, Inc.* 8
2,800 California Microwave, Inc.* 34
1,000 Charter Power Systems, Inc. 34
750 Chicago Miniature Lamp, Inc.* 18
5,333 Chyron Corp.* 25
1,500 Coherent Communications Systems Corp.* 33
1,600 Cohu, Inc. 55
4,000 Computer Products, Inc.* 89
3,600 Credence Systems Corp.* 106
1,800 Cree Research, Inc.* 23
663 CTS Corp. 46
2,900 Cyrix Corp.* 73
4,800 Dallas Semiconductor Corp. 185
2,500 Digital Microwave Corp.* 78
2,000 DII Group* 64
1,500 Electro Scientific Industries, Inc.* 57
900 Eltron International, Inc.* 25
1,800 Energy Conversion Devices, Inc.* 27
3,100 ESS Technology, Inc.* 48
1,500 Esterline Technologies Corp.* 45
768 Franklin Electric Co., Inc.* 36
1,100 Galileo Corp.* 8
3,600 General DataComm Industries, Inc.* 32
1,300 General Scanning, Inc.* 17
2,800 Genus, Inc.* 16
5,100 Griffon Corp.* 69
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
1,400 HADCO Corp.* $ 84
2,610 Harman International Industries, Inc. 109
1,800 Holophane Corp.* 38
2,700 Hutchinson Technologies, Inc.* 74
12,600 Imatron, Inc.* 35
1,600 Imnet Systems, Inc.* 40
4,700 IMP, Inc.* 8
13,300 Integrated Device Technology, Inc.* 187
2,600 Integrated Silicon Solution, Inc.* 25
1,400 Inter-Tel, Inc.* 22
7,600 Interdigital Communications Corp.* 50
2,086 Intermagnetics General Corp.* 29
4,900 International Family Entertainment, Inc.* 137
2,700 Intervoice, Inc.* 30
1,500 ITI Technologies, Inc.* 24
3,000 Juno Lighting, Inc. 48
2,300 Kuhlman Corp.* 64
3,850 Lattice Semiconductor Corp.* 223
4,200 Lincoln Electric Co. 164
1,900 Littelfuse, Inc.* 98
3,800 Lojack Corp.* 44
1,200 LSI Industries, Inc. 18
6,100 LTX Corp.* 37
3,500 Magnetek, Inc.* 61
1,800 Mattson Technology, Inc.* 19
600 Merix Corp.* 10
5,150 Methode Electronics, Inc., Class A 87
1,000 Mosaix, Inc.* 14
8,750 Microchip Technology, Inc.* 311
2,100 MRV Communications, Inc.* 52
700 National Presto Industries, Inc. 26
4,600 NexGen, Inc. 50
3,040 Oak Industries, Inc.* 75
3,500 Palomar Medical Technologies, Inc.* 11
1,698 Park Electrochemical Corp.* 43
6,500 Pentair, Inc. 214
1,200 Perceptron, Inc.* 34
3,937 Pioneer Standard Electronics, Inc. 49
3,150 Pittway Corp. 167
3,875 PriCellular Corp.* 35
2,400 Quickturn Design Systems, Inc.* 25
4,700 Ramtron International Corp.* 24
1,698 Recoton Corp.* 22
1,700 Rival Co. 24
3,000 Robotic Vision Systems, Inc.* 35
3,000 Sammina Corp.* 174
1,400 SDL, Inc.* 28
1,150 Semitool, Inc.* 14
1,500 Sheldahl, Inc.* 32
4,900 Sierra Semiconductor Corp.* 118
5,000 Silicon Valley Group, Inc.* 120
1,700 Siliconix, Inc.* 43
700 Speedfam International, Inc.* 26
1,200 SPS Transaction Services, Inc.* 23
1,400 Standard Motor Products, Inc. 19
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
1,500 Stanford Telecommunications, Inc.* $ 25
1,200 Supertex, Inc.* 18
2,700 Symetricon, Inc. 43
2,900 3DO Co.* 13
2,400 Technitrol, Inc. 60
1,200 Tekelec* 42
500 ThermoSpectra Corp.* 7
1,800 Thomas Industries, Inc. 51
4,900 Top Source Technologies, Inc.* 9
2,000 TranSwitch Corp.* 13
1,300 Triquint Semiconductor, Inc.* 52
3,100 Ultratech Stepper, Inc.* 63
2,700 Uniphase Corp.* 142
1,800 Unitrode Corp.* 89
5,100 Vicor Corp.* 101
5,000 Vitesse Semiconductor Corp.* 179
7,800 VLSI Technology, Inc.* 190
2,900 Windmere Corp. 43
2,100 Wyle Electronics 78
3,200 Xicor, Inc.* 22
4,447 Zenith Electronics Corp.* 49
3,350 Zilog, Inc.* 75
1,400 Zygo Corp.* 41
1,100 Zytec Corp.* 20
--------
7,543
--------
FOOD AND BEVERAGES--1.8%
5,300 Applebee's International, Inc. 132
7,000 Bob Evans Farms, Inc. 99
2,800 Boston Beer Co., Inc.* 25
2,900 Canandaigua Wine Company, Inc.* 104
1,500 Cheesecake Factory, Inc.* 30
4,900 Chiquita Brands International, Inc. 75
1,000 Coca-Cola Bottling Co. 45
6,200 Coors (Adolph) Co., Class B 151
6,900 Dean Foods Co. 262
1,800 Dreyer's Grand Ice Cream, Inc. 66
1,600 Earthgrains Co. 91
6,500 Fleming Companies, Inc. 124
5,500 Host Marriott Services Corp.* 55
3,500 Hudson Foods, Inc. 56
1,400 IHOP Corp.* 39
2,700 Lance, Inc. 53
2,700 Landry's Seafood Restaurants, Inc.* 50
3,800 Luby's Cafeterias, Inc. 74
400 Manhattan Bagel Co., Inc.* 3
2,100 Michael Foods, Inc. 30
1,400 Mondavi (Robert) Corp., Class A* 62
2,050 Papa Johns International, Inc.* 65
2,900 Pepsi-Cola Puerto Rico Bottling Co. 15
1,400 Pete's Brewing Co.* 8
1,500 Quality Dining, Inc.* 9
1,500 Rainforest Cafe, Inc.* 37
1,200 Rare Hospitality Intl, Inc.* 19
1,500 Redhook Ale Brewery, Inc.* 11
</TABLE>
See accompanying notes to financial statements.
53
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
FOOD AND BEVERAGES--Continued
<C> <S> <C>
1,300 Riviana Foods, Inc. $ 25
2,500 Ruby Tuesday, Inc.* 54
8,400 Ryan's Family Steak Houses, Inc.* 77
2,150 Sbarro, Inc. 63
6,400 Shoney's, Inc.* 36
2,700 Smithfield Foods, Inc.* 148
3,920 Triarc Cos., Inc., Class A* 90
2,764 WLR Foods, Inc. 28
--------
2,311
--------
FOOD AND MANUFACTURING--1.1%
2,000 Daka International, Inc.* 25
198 Farmer Bros. Co. 25
14,850 Flowers Industries, Inc., Class A 262
3,600 M & F Worldwide Corp.* 28
1,350 Performance Food Group Co.* 28
10,400 Premark International, Inc. 283
5,000 Ralcorp Holding, Inc.* 61
1,400 Riser Foods, Inc.* 58
1,200 Sanderson Farms, Inc. 18
3,300 Savannah Foods & Industries, Inc. 52
100 Seaboard Corp. 28
5,000 Smucker (J.M.) Co. 97
3,134 Tootsie Roll Industries, Inc. 151
700 TurboChef, Inc.* 10
4,300 Universal Foods Corp. 154
--------
1,280
--------
FURNITURE AND FIXTURES--0.7%
2,200 Bassett Furniture Industries, Inc. 55
1,600 Bush Industries, Inc. 36
2,100 CORT Business Services Corp.* 58
2,400 Ethan Allen Interiors, Inc.* 125
1,100 Falcon Building Products, Inc.* 19
8,900 Heilig-Meyers Co. 147
4,000 HON Industries, Inc. 194
3,000 Kimball International, Inc. 119
2,300 La-Z-Boy Chair Co. 79
2,600 Triangle Pacific Corp.* 78
--------
910
--------
GENERAL BUILDING CONTRACTORS--1.0%
1,800 ABT Building Products Corp.* 45
3,000 AMCOL International Co. 55
2,100 AMRE, Inc.* 0
1,800 Blount, Inc. 74
13,100 Catellus Development Corp.* 221
5,000 Centex Corp. 199
1,200 Continental Homes Holding Corp. 20
4,000 Eagle Hardware & Garden, Inc.* 96
3,158 Horton (D.R.), Inc.* 30
6,800 Kaufman & Broad Home Corp. 102
1,100 NCI Building Systems, Inc.* 32
2,000 NVR, Inc.* 31
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
1,825 Palm Harbor Homes, Inc.* $ 52
3,000 Pulte Corp. 95
1,650 Southern Energy Homes, Inc.* 18
5,200 Standard Pacific Corp. 53
3,600 Toll Brothers, Inc.* 66
1,879 U.S. Home Corp.* 50
3,000 Webb (Del E.) Corp. 46
--------
1,285
--------
GLASS, CLAY AND STONE PRODUCTS--0.6%
700 Ameron, Inc. 39
5,200 Ball Corp. 151
2,000 Centex Construction Products, Inc.* 40
1,200 Florida Rock Industries, Inc. 40
5,000 Gentex Corp.* 101
2,600 Medusa Corp. 100
1,290 Mikasa, Inc.* 15
1,500 Photronics, Inc.* 67
800 Puerto Rican Cement Co. 26
3,600 Southdown, Inc.* 145
--------
724
--------
HEALTH SERVICES--4.5%
2,200 Access Health Marketing, Inc.* 48
2,700 Alteon, Inc.* 11
1,400 American HomePatient, Inc.* 27
1,300 Amisys Managed Care Systems* 29
4,600 Angeion Corp.* 23
4,700 Apogee, Inc. 87
1,000 Arbor Health Care Co.* 29
1,200 Barr Labs, Inc.* 32
1,700 Bio-Rad Labs, Inc.* 43
1,300 Carrington Laboratories, Inc.* 10
4,000 Cerner Corp.* 78
2,800 Coastal Physician Group, Inc.* 3
3,300 Cocensys, Inc.* 13
1,700 Compdent Corp.* 31
3,400 COR Therapeutics, Inc.* 30
7,100 Coram Healthcare Corp.* 20
5,000 Creative BioMolecules, Inc.* 51
1,200 Cryolife, Inc.* 14
1,700 Curative Health Services, Inc.* 47
3,300 Cytel Corp.* 7
1,400 Emeritus Corp.* 21
3,323 Enzo Biochem, Inc.* 50
2,400 Equimed, Inc.* 8
7,424 Extended Stay America, Inc.* 103
2,100 Fuisz Technologies, Ltd.* 18
1,300 Fusion Systems Corp.* 40
6,100 Genesis Health Ventures, Inc.* 201
4,400 Gensia, Inc.* 20
3,785 Grancare, Inc.* 35
2,200 Gulf South Medical Supply, Inc.* 43
3,800 Haemonetics Corp.* 65
2,500 Health Management Systems, Inc.* 14
2,121 Healthdyne Technologies, Inc.* 31
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
<C> <S> <C>
2,043 HealthPlan Services Corp.* $ 34
1,200 Henry Schien, Inc.* 40
8,892 Horizon Healthcare Corp.* 162
3,200 Human Genome Sciences, Inc.* 124
2,100 I-STAT Corp.* 37
1,300 ICU Medical, Inc.* 12
2,000 IDEC Pharmaceuticals Corp.* 45
900 IDX Systems Corp.* 29
2,600 Immune Response Corp.* 22
3,600 Immunomedics, Inc.* 19
1,575 INBRAND Corp.* 42
1,200 Incyte Pharmaceuticals, Inc.* 79
1,800 Inhale Therapeutic Systems* 36
1,900 Inphynet Medical Management, Inc.* 41
4,557 Integra Lifesciences Corp.* 14
3,800 Integrated Health Services, Inc. 137
400 Intercardia, Inc.* 8
5,000 Invacare Corp. 108
2,100 KeraVision, Inc.* 20
2,800 Kinetic Concepts, Inc. 46
400 Labone, Inc. 7
13,800 Laboratory Corporation of America Holdings* 40
1,500 Landauer, Inc. 34
400 LCA-Vision, Inc.* 2
1,900 Lifecore Biomedical, Inc.* 27
3,958 Ligand Pharmaceuticals, Inc.* 47
2,200 Living Centers of America, Inc.* 84
5,500 Magellan Health Services, Inc.* 150
4,800 Mariner Health Group, Inc.* 58
2,200 Martek Biosciences Corp.* 37
5,700 Matria Healthcare, Inc.* 25
3,000 Maxicare Health Plans, Inc.* 72
1,800 MedCath, Inc.* 27
1,600 Meridian Diagnostics, Inc. 14
600 MiniMed, Inc.* 15
1,700 MMI Cos., Inc. 40
1,633 Morrison Health Care, Inc. 27
2,200 Multicare Cos., Inc.* 55
1,500 Myriad Genetics, Inc.* 40
5,200 NABI, Inc.* 36
1,500 National Surgery Centers, Inc.* 58
3,100 Neoprobe Corp.* 47
1,400 Neose Technologies, Inc.* 18
2,500 Neurex Corp.* 37
2,100 Neurogen Corp.* 40
4,800 Neuromedical Systems, Inc.* 32
2,100 Northfield Laboratories, Inc.* 21
10,700 NovaCare, Inc.* 135
3,400 OccuSystems, Inc.* 89
3,100 OIS Optical Imaging Systems, Inc.* 8
3,300 Oncogene Science, Inc.* 21
3,300 OrthoLogic Corp.* 19
4,400 Owen Healthcare, Inc.* 56
1,900 PathoGenesis Corp.* 52
1,500 Pediatrix Medical Group* 60
1,300 Perclose, Inc.* 30
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
11,000 Perrigo Co.* $ 132
1,900 PHP Healthcare Corp.* 29
6,300 Physician Corporation Of America* 45
1,200 Physicians Health Services, Inc.* 32
1,600 Prime Medical Services, Inc.* 18
2,900 Regency Health Services, Inc.* 36
800 RES-CARE, Inc.* 16
2,800 Resound Corp.* 14
1,650 Rexall Sundown, Inc.* 44
600 RightCHOICE Managed Care, Inc., Class A* 7
4,200 RoTech Medical Corp.* 71
1,600 Rural/Metro Corp.* 51
2,600 Safeskin Corp.* 65
2,100 Serologicals Corp.* 40
3,700 Sofamor/Danek Group, Inc.* 170
3,700 Somatix Therapy Corp.* 8
6,580 Sun Healthcare Group, Inc.* 110
5,400 Target Therapeutics, Inc.* 70
7,200 Transitional Hospitals Corp.* 114
1,400 Universal Health Realty Income Trust 27
5,600 Universal Health Services, Inc.* 227
3,400 Uromed Corp.* 16
2,800 Veterinary Centers of America, Inc.* 34
2,500 Vical, Inc.* 31
2,209 Vitalink Pharmacy Services, Inc.* 42
2,900 Vivus, Inc.* 119
5,500 XOMA Corp.* 28
3,800 Zila, Inc.* 26
--------
5,519
--------
HEAVY CONSTRUCTION--0.3%
420 Diana Corp.* 1
1,750 Granite Construction, Inc. 35
2,600 Greenfield Industries, Inc. 68
3,716 Instituform Technologies, Inc.* 22
4,600 Lennar Corp. 121
1,900 Lone Star Industries, Inc.* 76
2,791 Morrison Knudsen Corp.* 35
--------
358
--------
INDUSTRIAL INSTRUMENTS--3.6%
3,500 Acuson Corp.* 91
3,100 ADAC Laboratories 81
2,600 Advanced Technology Laboratories, Inc.* 101
2,400 Alkermes, Inc.* 40
3,800 Allen Group, Inc. 88
1,300 Analogic Corp. 42
1,800 Arrow International, Inc.* 58
900 ArthroCare Corp. 7
2,600 ATS Medical, Inc.* 16
4,400 Ballard Medical Products 85
2,200 Barnett, Inc.* 49
1,200 Biomatrix, Inc.* 21
2,700 Buckeye Cellulose Corp.* 85
1,751 Chad Therapeutics, Inc.* 14
6,800 Cincinnati Milacron, Inc.* 157
</TABLE>
See accompanying notes to financial statements.
55
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
INDUSTRIAL INSTRUMENTS--Continued
<C> <S> <C>
1,800 Circon Corp.* $ 23
3,300 CNS, Inc. 29
5,500 Cognex Corp.* 143
1,800 Coherent, Inc.* 79
8,400 Coltec Industries, Inc.* 165
400 Conceptus, Inc.* 4
2,450 CONMED Corp.* 46
876 Cubic Corp. 21
700 Cytyc Corp.* 17
2,500 Daniel Industries, Inc. 33
2,400 Datascope Corp.* 46
2,000 DepoTech Corp.* 28
2,100 Dionex Corp.* 111
2,200 Endosonics Corp. 24
2,600 Etec Systems, Inc. 116
4,500 Ferro Corp. 168
3,600 Fisher Scientific International, Inc. 131
1,000 Fluke (John) Manufacturing Co., Inc.* 50
4,200 Genrad, Inc.* 78
5,200 Gilead Sciences, Inc.* 141
575 Hach Co. 9
1,900 Hologic, Inc.* 46
2,000 InControl, Inc.* 19
3,900 Isolyser Company, Inc.* 15
4,600 Kennametal, Inc. 183
5,300 Keystone International, Inc. 173
900 Lunar Corp.* 18
1,700 Marquette Medical Systems, Inc.* 39
5,900 Mascotech, Inc. 132
3,764 Mentor Corp. 99
600 Mine Safety Appliances Co. 36
1,600 MTS Systems Corp. 41
700 OnTrak Systems, Inc.* 20
1,600 Ostex International, Inc.* 3
2,700 Physio-Control International Corp.* 34
2,100 Possis Corp.* 32
1,300 Protocol Systems, Inc.* 10
4,000 R.P. Scherer Corp.* 210
2,800 Respironics, Inc.* 57
2,100 SangStat Medical Corp.* 53
1,700 Spine-Tech, Inc. 59
2,200 Staar Surgical Co.* 29
1,200 Starrett (L.S.) Co. 36
2,900 Sunrise Medical, Inc.* 37
2,600 Tech-Sym Corp.* 61
2,650 TECNOL Medical Products, Inc.* 51
1,600 Theragenics Corp.* 36
2,600 Theratech, Inc.* 29
3,400 Thoratec Laboratories, Inc.* 20
3,200 Trimble Navigation Ltd.* 49
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
2,400 UROHEALTH Systems, Inc.* $ 20
1,000 Vital Signs, Inc. 20
4,400 Waters Corp.* 142
1,396 Watkins-Johnson Co. 44
2,200 Watsco, Inc. 64
2,300 X-Rite, Inc. 43
1,300 Zoltek Companies, Inc.* 41
--------
4,398
--------
INSURANCE SERVICES--4.5%
2,100 Acceptance Insurance Cos., Inc.* 44
2,300 Acordia, Inc. 82
3,500 Alfa Corp. 44
3,375 Allied Group, Inc. 134
1,524 American Annuity Group, Inc.* 28
3,600 American Bankers Insurance Group, Inc. 204
1,450 American Heritage Life Investment Corp. 42
4,000 Amerin Corp.* 94
2,200 Amvestors Financial Corp. 39
3,000 Argonaut Group, Inc. 89
2,300 Baldwin & Lyons, Inc. 40
2,300 Berkley (W.R.) Corp. 119
1,800 Blanch (E.W.) Holdings, Inc. 45
1,800 Capital RE Corp. 79
1,200 Citizens Corp. 30
3,200 Commerce Group, Inc. 72
4,700 Coventry Corp.* 68
1,999 Delphi Financial Group, Inc.* 76
2,000 Enhance Financial Services Group, Inc. 84
1,800 Executive Risk, Inc. 94
5,174 Financial Security Assurance International 187
1,700 First American Financial Corp. 61
1,500 Foremost Corp. of America 85
3,612 Fremont General Corp. 127
1,784 Frontier Insurance Group, Inc. 98
1,100 Fund American Enterprises Holdings, Inc.* 112
3,285 Gainsco, Inc. 27
2,800 Gallagher (Arthur J.) & Co. 89
1,700 Guarantee Life Companies, Inc. 35
2,600 Guaranty National Corp. 56
1,100 Harleysville Group, Inc. 40
3,300 Hartford Steam Boiler 168
4,800 HCC Insurance Holdings, Inc.* 125
1,800 Highlands Insurance Group, Inc.* 36
2,400 Hilb, Rogal & Hamilton Co. 35
4,000 Horace Mann Educators Corp. 193
2,300 Integon Corp. 29
3,800 John Alden Financial Corp. 81
500 Kansas City Life Insurance Co. 36
2,400 Liberty Corp. 95
800 Liberty Financial Cos., Inc. 36
1,700 Life Reinsurance Corp. 73
2,900 Life USA Holding, Inc.* 35
</TABLE>
See accompanying notes to financial statements.
56
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
1,498 MAIC Holdings, Inc.* $ 57
700 Markel Corp.* 87
800 Meadowbrook Insurance Group, Inc. 20
2,600 NAC RE Corp. 104
400 National Western Life Insurance Co.* 35
900 Nymagic, Inc. 17
2,390 Orion Capital Corp. 160
1,400 Pioneer Financial Services, Inc. 39
950 Poe & Brown, Inc. 29
4,100 Presidential Life Corp. 59
2,751 PXRE Corp. 74
2,900 Reinsurance Group of America, Inc. 157
10,700 Reliance Group Holdings, Inc. 131
2,900 Risk Capital Holdings, Inc.* 55
1,065 RLI Corp. 34
800 Seafield Capital Corp. 26
1,500 Security Connecticut Corp. 73
2,500 Selective Insurance Group, Inc. 111
2,400 Sierra Health Services, Inc.* 75
1,050 State Auto Financial Corp. 20
7,900 20th Century Industries* 152
1,350 Trenwick Group, Inc. 46
5,800 UICI* 156
4,620 United Cos. Financial Corp. 106
900 United Dental Care, Inc. 15
1,650 United Fire & Casualty Co. 59
1,100 United Wisconsin Services, Inc. 39
3,100 Vesta Insurance Group, Inc. 142
1,900 Washington National Corp. 53
1,800 Zenith National Insurance Corp. 45
1,800 Zurich Reinsurance Centre Holdings, Inc. 70
--------
5,612
--------
JEWELRY AND PRECIOUS METALS--0.0%
1,600 Oneida Ltd. 38
--------
LEATHER PRODUCTS--0.3%
3,100 Brown Group, Inc. 62
3,300 Justin Industries, Inc. 39
1,400 Timberland Co.* 82
7,331 Wolverine World Wide, Inc. 190
--------
373
--------
LUMBER AND WOOD PRODUCTS--0.1%
1,500 Fibreboard Corp.* 82
1,900 Ply-Gem Industries, Inc. 32
2,300 Pope & Talbot, Inc. 38
--------
152
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
MACHINERY--2.3%
700 Ag-Chem Equipment Co., Inc.* $ 14
1,400 Alamo Group, Inc. 27
1,600 Allied Products Corp. 52
2,000 Avondale Industries, Inc.* 38
2,100 Borg-Warner Security Corp.* 33
1,700 Cascade Corp. 29
900 Columbus McKinnon Corp. 16
3,600 Donaldson Co., Inc. 132
900 DT Industries, Inc. 29
4,000 Duriron Co., Inc. 113
3,000 Figgie International Holdings, Inc.* 37
3,900 FSI International, Inc.* 55
1,450 Gasonics International Corp.* 17
5,400 Giddings & Lewis, Inc. 102
600 Gleason Corp. 22
3,700 Global Industrial Technologies, Inc.* 68
3,500 Goulds Pumps, Inc. 130
2,197 Graco, Inc. 62
1,300 Helix Technology Corp. 53
4,425 IDEX Corp. 126
3,100 Indentix, Inc. 31
2,500 Integrated Process Equipment Corp.* 46
2,800 Ionics, Inc.* 134
2,700 Kaydon Corp. 134
3,400 Kulicke & Soffa Industries, Inc.* 115
1,600 Lindsay Manufacturing Co.* 58
1,850 Manitowoc Co., Inc. 83
7,100 Marine Drilling Co., Inc.* 143
3,800 Modine Manufacturing Co. 111
3,450 Mohawk Industries, Inc.* 73
2,400 Molten Metal Technology, Inc.* 17
1,300 Morningstar Group, Inc.* 34
1,700 Osmonics, Inc.* 28
3,300 Outboard Marine Corp. 49
699 Pilgrims Pride Corp. 9
3,300 Regal-Beloit Corp. 88
2,200 Rexel, Inc.* 40
1,348 Robbins & Myers, Inc. 46
2,300 Roper Industries, Inc. 113
2,000 Specialty Equipment Cos., Inc.* 28
200 Spinnaker Industries* 8
1,900 SPX Corp. 113
800 Thermo Power Corp.* 5
2,000 Toro Co. 75
800 Tractor Supply Co.* 16
3,000 Varco International, Inc.* 83
--------
2,835
--------
</TABLE>
See accompanying notes to financial statements.
57
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
MANUFACTURING--GENERAL--1.1%
500 Bacou U.S.A., Inc.* $ 7
3,580 Brady (W.H.) Co. 102
3,150 Cuno, Inc. 52
10,300 Furniture Brands International, Inc.* 161
6,400 Hexcel Corp.* 115
1,400 Hunt Manufacturing Co. 26
1,600 Insilico Corp.* 60
1,000 Jabil Circuit, Inc.* 59
6,700 Kemet Corp.* 170
1,300 Matthews International Corp., Class A 45
2,700 Novellus Systems, Inc.* 221
1,700 Optical Coating Laboratory, Inc. 18
2,000 Samsonite Corp.* 90
2,100 Seattle Filmworks, Inc.* 25
700 Simpson Manufacturing Co.* 18
850 Simula, Inc.* 15
3,000 Toy Biz, Inc.* 27
3,500 Tracor, Inc.* 89
800 Tremont Corp.* 33
700 Trigen Energy Corp. 17
2,000 U.S. Can Corp.* 33
700 Visioneer, Inc.* 2
2,400 Wireless Telecom Group, Inc. 26
--------
1,411
--------
MERCHANDISE--GENERAL--0.5%
1,200 Action Performance Companies, Inc.* 29
4,200 Amerisource Corp.* 179
3,600 Cross (A.T.) Co. 70
3,500 Department 56, Inc.* 74
5,600 Jostens, Inc. 138
2,500 Libbey, Inc. 83
6,200 Playtex Products, Inc.* 60
1,900 Strategic Distribution, Inc.* 7
--------
640
--------
METAL MINING--0.6%
39,100 Battle Mountain Gold Co. 239
1,700 Cleveland Cliffs, Inc. 72
3,600 Coeur D'Alene Mines Corp. 49
4,200 Freeport-McMoran Copper and Gold, Inc. 119
4,417 Getchell Gold Corp.* 176
8,400 Hecla Mining Co.* 48
2,600 Stillwater Mining Co. 60
39,600 Sunshine Mining Co.* 32
--------
795
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
METAL PRODUCTS--1.0%
1,400 Alltrista Corp.* $ 34
8,200 Amax Gold, Inc.* 54
800 American Buildings Co.* 23
2,000 Applied Industrial Tech, Inc. 70
3,100 Aptargroup, Inc. 138
1,800 Barnes Group, Inc. 48
1,050 Butler Manufacturing Co. 38
1,600 Chase Brass Industries, Inc.* 36
1,200 Citation Corp.* 18
2,700 Clarcor, Inc. 63
1,600 Commonwealth Industrial, Inc. 30
1,000 Greenbriar Cos., Inc. 11
1,100 Hardinge, Inc. 29
2,700 Material Sciences Corp.* 38
2,800 Miller Industries, Inc.* 46
1,500 NN Ball & Roller, Inc. 17
1,300 Oregon Metallurgical Corp.* 34
1,400 Penn Engineering & Manufacturing Corp. 32
2,000 Quanex Corp. 55
1,064 SPS Technologies, Inc.* 78
2,600 TriMas Corp. 74
3,100 Watts Industries, Inc., Class A 77
1,800 Whittaker Corp.* 20
2,300 Wolverine Tube, Inc.* 68
3,300 Wyman-Gordon Co.* 75
2,600 Zero Corp. 60
--------
1,266
--------
MINING, QUARRYING OF NONMETALLIC MINERAL--0.2%
1,300 Cliff's Drilling Co.* 91
2,300 Dravo Corp.* 25
1,900 RMI Titanium Corp.* 44
2,600 Solv-Ex Corp.* 17
2,600 Zeigler Coal Holding Co. 60
--------
237
--------
MISCELLANEOUS INVESTING INSTITUTIONS--3.2%
5,424 BRE Properties, Inc. 134
3,000 Burnham Pacific Properties, Inc. 40
400 Capital Southwest Corp. 29
5,975 Capstead Mortgage Corp. 143
9,104 Champion Enterprises, Inc.* 167
1,699 Chemical Financial Corp. 61
</TABLE>
See accompanying notes to financial statements.
58
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
1,400 Corus Bankshares, Inc. $ 36
10,600 Crescent Real Estate Equities, Inc.* 289
8,300 CWM Mortgage Holdings, Inc. 173
5,300 Dauphin Deposit Corp. 234
6,500 Deposit Guaranty Corp. 204
7,000 Franchise Finance Corp. 169
9,400 Geotek Communications, Inc.* 42
3,108 Horizon Group, Inc. 40
3,900 Hospital Properties Trust 124
4,500 IRT Property Co. 52
1,000 John Nuveen and Company, Inc. 30
4,600 Kimco Realty Corp. 145
3,200 Koger Equity, Inc.* 53
3,200 LTC Properties, Inc. 57
1,873 MAF Bancorp, Inc. 78
1,900 Meridian Industrial Trust, Inc. 44
6,300 Merry Land & Investment Co., Inc. 132
2,000 MGI Properties, Inc. 42
6,800 Mid Atlantic Medical Services, Inc.* 88
7,100 Nationwide Health Properties, Inc. 153
3,500 Noel Group, Inc.* 12
7,200 Patriot American Hospitality, Inc. 156
1,000 PEC Israel Economic Corp.* 23
1,504 Peoples First Corp. 40
10,800 Public Storage, Inc. 288
3,700 Realty Income Corp. 95
3,200 Reckson Associates Realty Corp. 72
1,500 Redwood Trust, Inc. 86
1,800 Seacor Holdings, Inc.* 93
1,200 Sirrom Capital Corp. 47
1,700 Smith, (Charles E.) Residential Realty, Inc. 47
1,800 Trans Financial Bancorp, Inc. 45
1,000 Union Acceptance Corp.* 9
4,000 Weingarten Realty Investors 172
--------
3,944
--------
NATURAL GAS TRANSMISSION--1.8%
2,550 Atmos Energy Corp. 59
2,200 Bay State Gas Co. 59
1,500 Colonial Gas Co. 31
1,600 Connecticut Energy Corp. 36
1,700 CTG Resources, Inc. 37
3,500 Eastern Enterprises 121
1,700 Energen Corp. 56
3,200 Indiana Energy, Inc. 76
12,300 Kelley Oil and Gas Corp.* 30
3,551 KN Energy, Inc. 150
2,800 Laclede Gas Co. 61
3,100 New Jersey Resources Corp. 96
1,100 North Carolina Natural Gas Corp. 34
3,600 Northwest Natural Gas Co. 88
1,700 NUI Corp. 37
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
4,000 Oneok, Inc. $ 121
5,076 Piedmont Natural Gas Co. 124
4,300 Primark Corp.* 102
3,150 Public Service Co. of North Carolina, Inc. 59
1,320 South Jersey Industries, Inc. 30
1,419 Southern Union Co.* 34
4,300 Southwest Gas Corp. 74
4,000 Southwestern Energy Co. 53
2,357 Tejas Gas Corp.* 110
1,700 TransTexas Gas Corp.* 28
5,700 UGI Corp. 128
2,100 United Cities Gas Co. 48
7,500 Washington Gas Light Co. 185
3,000 Wicor, Inc. 110
--------
2,177
--------
OIL AND GAS--3.2%
9,500 AGL Resources, Inc. 182
900 Aquila Gas Pipeline Corp. 13
900 Atwood Oceanics, Inc.* 60
5,140 Barrett Resources Corp.* 172
1,000 Belco Oil & Gas Corp.* 23
1,800 Belden & Blake Corp.* 48
4,900 Benton Oil & Gas Co.* 76
3,400 Berry Petroleum Co. 51
6,543 BJ Services Co.* 362
3,200 Box Energy Corp.* 24
2,900 Brown (Tom), Inc.* 52
3,400 Cabot Oil & Gas Corp. 63
2,600 Cairn Energy USA, Inc.* 31
3,100 Calmat Co. 62
2,000 Capsure Holdings Corp.* 25
2,200 Cross Timbers Oil Co. 24
2,400 Destec Energy, Inc.* 51
3,300 Devon Energy Corp. 123
4,800 Energy Ventures, Inc.* 181
2,200 Falcon Drilling Co., Inc.* 101
1,900 Flores & Rucks, Inc.* 93
1,600 Forcenergy, Inc.* 56
3,800 Forest Oil Corp.* 53
1,200 Giant Industries, Inc. 17
13,300 Harken Energy Corp.* 63
4,200 Helmerich & Payne, Inc. 236
499 Hondo Oil & Gas Co.* 5
2,100 Hugoton Energy Corp.* 23
1,700 KCS Energy, Inc. 71
1,800 KFX, Inc.* 7
11,800 Mesa, Inc.* 65
6,100 Mitchell Energy & Development Corp. 135
2,100 Nuevo Energy Co.* 92
3,900 Oceaneering International, Inc.* 66
6,100 Parker & Parsley Petroleum Co. 207
9,100 Parker Drilling Co.* 88
2,900 Plains Resources, Inc.* 41
</TABLE>
See accompanying notes to financial statements.
59
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
OIL AND GAS--Continued
<C> <S> <C>
2,800 Pool Energy Services Co.* $ 47
4,900 Pride Petroleum Services, Inc.* 109
1,400 Production Operators Corp. 94
10,436 Seagull Energy Corp.* 188
2,293 Semco Energy, Inc. 41
4,500 Snyder Oil Corp. 82
2,400 Swift Energy Co.* 64
7,300 Tuboscope Vetco International Corp.* 119
1,800 Vintage Petroleum, Inc. 61
2,600 Western Gas Resources, Inc. 51
--------
3,898
--------
ORDNANCE AND ACCESSORIES--0.1%
1,500 Alliant Techsystems, Inc.* 72
3,200 Sturm Ruger & Co., Inc. 60
--------
132
--------
OTHER SERVICES--0.8%
4,800 Aeroequip-Vickers Inc 208
800 Central Parking Corp. 25
400 CKS Group, Inc.* 12
1,600 Integrated Packaging Assembly Corp.* 6
2,200 McGrath Rentcorp 41
8,500 Ogden Corp. 166
1,400 Pixar, Inc.* 21
1,100 Quick Response Services, Inc.* 42
3,500 Rollins, Inc. 68
24 Score Board, Inc. 0
1,800 Sovran Self Storage, Inc. 52
700 Summit Care Corp.* 8
750 Thermo Ecotek Corp.* 12
250 Thermo Remediation, Inc. 2
6,800 United Waste Systems, Inc.* 261
900 Wackenhut Corrections Corp.* 18
6,600 Walter Industries, Inc.* 94
--------
1,036
--------
PAPER PRODUCTS--0.6%
3,600 Chesapeake Corp. 121
8,700 Gaylord Container Corp.* 71
3,100 Greif Bros. Corp. 87
2,479 Mosinee Paper Corp. 67
3,946 Paxar Corp.* 76
5,570 Rock-Tenn Co. 84
2,600 Schweitzer-Mauduit International, Inc. 89
2,500 Shorewood Packaging Corp.* 51
2,100 Universal Forest Products, Inc. 29
4,600 Wausau Paper Mills Co. 86
--------
761
--------
PERSONAL SERVICES--0.8%
1,600 Angelica Corp. 29
2,800 Bristol Hotel Co.* 103
3,200 Catalina Marketing Corp.* 118
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
2,400 CPI Corp. $ 45
1,300 Craig (Jenny), Inc.* 8
1,500 Equity Corp. International 36
3,250 G & K Services, Inc. 106
4,200 Glatfelter (P.H) Co. 74
5,033 HFS, Inc. 271
1,973 Marcus Corp. 48
1,700 Red Roof Inns, Inc.* 28
3,300 Unifirst Corp. 65
--------
931
--------
PETROLEUM PRODUCTS--0.9%
4,200 Camco International, Inc. 215
1,200 Crown Central Petroleum Corp.* 16
1,500 Elcor Corp. 42
2,500 Lomak Petroleum, Inc. 44
1,300 Louis Dreyfus Natural Gas Corp.* 21
6,200 Newfield Exploration, Inc.* 133
2,490 Newpark Resources, Inc.* 131
5,900 Quaker Chemical Corp. 89
2,000 Royal Gold, Inc.* 18
1,100 RPC, Inc.* 15
1,700 Seitel, Inc.* 63
1,500 Stone Energy Corp.* 42
4,400 Tesoro Petroleum Corp.* 58
5,510 United Meridian Corp.* 198
--------
1,085
--------
PRINTING AND PUBLISHING--1.5%
1,800 American Business Information, Inc.* 37
1,950 American Business Products, Inc. 48
7,300 American Media, Inc., Class A 44
2,600 Big Flower Press Holdings, Inc.* 56
2,900 Bowne & Co., Inc. 87
1,200 CSS Industries, Inc.* 36
1,100 Devon Group, Inc.* 34
1,290 DH Technology, Inc.* 21
2,900 Ennis Business Forms, Inc. 29
2,700 Express Scripts, Inc.* 123
1,400 Franklin Electronic Publishers, Inc.* 14
2,800 Gibson Greetings, Inc.* 61
3,200 Golden Books Family Entertainment, Inc.* 36
5,100 Harland (John H.) Co. 117
2,757 Harte-Hanks Communications, Inc. 82
4,100 Hollinger International, Inc. 46
2,400 Houghton Mifflin Co. 142
6,475 McClatchy Newspapers, Inc., Class A 180
954 Merrill Corp. 31
2,250 Nelson (Thomas), Inc. 23
2,100 New England Business Service, Inc. 61
3,300 Playboy Enterprises, Inc.* 39
966 Pulitzer Publishing Co. 47
2,000 Scholastic Corp.* 60
2,100 Standard Register Co. 73
400 Steck-Vaughn Publishing Corp.* 5
</TABLE>
See accompanying notes to financial statements.
60
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
7,300 Topps, Inc.* $ 28
3,500 Valassis Communications, Inc.* 97
500 Waverly, Inc.* 11
2,100 Wiley (John) & Sons, Inc. 67
6,000 World Color Press, Inc.* 158
--------
1,893
--------
PROFESSIONAL SERVICES--7.5%
2,520 ABM Industries, Inc. 49
3,400 ADR Information Services, Inc.* 109
5,300 Acclaim Entertainment, Inc.* 22
2,000 Activision, Inc.* 26
7,800 Acxiom Corp.* 133
600 Advent Software, Inc.* 18
3,725 Advo, Inc. 52
4,200 Affiliated Computer Services, Inc.* 111
5,800 Allwaste, Inc.* 50
2,200 Alternative Resources Corp.* 41
3,100 AMERCO* 85
7,700 American Oncology Resources, Inc.* 109
2,474 Analysts International Corp. 90
1,900 Arbor Software Corp.* 57
3,500 Aspen Technologies, Inc.* 134
600 Astea International, Inc.* 2
5,300 Banta Corp. 147
900 Barra, Inc.* 27
3,400 BBN Corp.* 98
4,800 BDM International* 125
3,000 BE Aerospace, Inc.* 73
2,300 Bell & Howell Co.* 62
2,400 Billing Information Concepts* 70
4,300 Bisys Group, Inc.* 164
2,884 Boole & Babbage, Inc.* 60
900 BRC Holdings, Inc.* 34
2,800 Broderbund Software, Inc.* 70
3,900 BWIP Holding, Inc. 75
1,700 Casino Data Systems* 7
1,700 CDI Corp.* 69
1,400 Ciber, Inc.* 58
4,100 Citrix Systems, Inc.* 154
1,700 Clarify, Inc.* 21
1,500 ClinTrials Research, Inc.* 15
1,200 CMG Information Services, Inc.* 21
700 COMFORCE Corp.* 4
2,400 Computer Horizons Corp.* 134
600 Computer Language Research, Inc. 7
1,500 Computer Task Group, Inc. 92
10,600 Computervision Corp.* 52
1,700 Comshare, Inc.* 23
2,100 COREStaff, Inc.* 50
500 CRA Managed Care, Inc.* 23
500 CSG Systems International, Inc.* 12
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
700 Datastream Systems, Inc.* $ 14
1,300 DecisionOne Corp.* 28
1,500 Dendrite International, Inc.* 19
1,600 Documentum, Inc.* 31
1,100 Elcom International, Inc.* 6
1,284 Electro Rent Corp.* 30
1,100 EmCare Holdings, Inc. 33
3,200 Employee Solutions, Inc.* 17
700 Enterprise Systems, Inc.* 20
600 Excite, Inc.* 7
1,300 Fair Isaac & Co. 51
2,900 Franklin Quest Co.* 70
2,300 General Magic, Inc.* 4
1,700 Geoworks* 11
3,000 Gerber Scientific, Inc. 57
4,300 Global Industries Ltd.* 95
200 Grey Advertising, Inc. 58
1,400 HA-LO Industries, Inc.* 33
2,850 Harbinger Corp.* 88
400 HCIA, Inc.* 10
1,950 Henry (Jack) & Associates, Inc. 44
1,600 HNC Software, Inc.* 21
978 Holly Corp. 24
2,300 HPR, Inc.* 37
3,200 HNC Software, Inc. 106
800 IDT Corp.* 6
1,400 IKOS Systems, Inc.* 35
3,300 Imclone Systems 20
1,600 Inacom Corp.* 52
400 Individual, Inc.* 2
600 Indus Group, Inc.* 11
1,300 Inference Corp.* 6
1,600 Infocus Systems* 42
1,300 Inso Corp.* 37
500 Integrated Measurement Systems, Inc.* 8
2,500 Integrated Systems Consulting Group, Inc.* 36
3,500 InteliData Technologies Corp.* 18
400 IntelliQuest Information Group, Inc.* 8
2,600 Interim Services, Inc.* 101
1,200 International Imaging Materials, Inc.* 21
3,400 Intersolv, Inc.* 34
500 Intevac, Inc.* 8
800 Iron Mountain, Inc.* 22
750 ITT Educational Services, Inc.* 17
500 JDA Software Group, Inc.* 14
2,400 Katz Media Group* 13
5,750 Keane, Inc.* 324
2,100 Landstar Systems, Inc.* 56
1,200 Learning Tree International, Inc.* 47
3,100 Legato Systems, Inc.* 62
1,200 Logic Works, Inc.* 8
1,200 Manugistics Group, Inc.* 78
1,100 Maxis, Inc.* 12
</TABLE>
See accompanying notes to financial statements.
61
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
PROFESSIONAL SERVICES--Continued
<C> <S> <C>
1,200 May & Speh, Inc.* $ 14
4,650 MDU Resources Group, Inc. 113
1,500 MetaTools, Inc.* 18
2,000 Metricom, Inc.* 16
1,000 Microware Systems Corp.* 8
4,400 National Data Corp. 193
3,200 National Health Investors, Inc. 121
1,400 National Instruments Corp.* 46
1,900 NETCOM On-Line Communication Services, Inc.* 27
2,800 Network Data Processing Corp. 114
3,500 Network Equipment Technologies, Inc.* 60
1,700 Network Peripherals, Inc.* 16
1,200 NHP, Inc.* 26
1,550 Nichols Research Corp.* 30
2,400 Nimbus CD International, Inc.* 27
2,300 Norrell Corp. 74
1,900 Novadigm, Inc.* 10
5,900 Oak Technology, Inc.* 55
800 On Assignment, Inc.* 31
2,500 Orthodontic Centers of America, Inc.* 42
1,900 Personnel Group of America, Inc.* 58
1,200 PhyMatrix Corp.* 17
3,600 Physician Resource Group, Inc.* 42
3,200 Physician Computer Network, Inc.* 18
1,000 Pinkertons, Inc.* 29
5,050 Players International, Inc.* 20
2,500 Policy Management Systems Corp.* 119
3,700 Pre-Paid Legal Services, Inc.* 75
2,800 Precision Systems, Inc.* 10
1,000 Premenos Technology Corp.* 7
1,100 Premiere Technologies, Inc.* 30
800 Prism Solutions, Inc.* 6
800 Profit (The) Recovery Group International, Inc.* 10
1,900 Progress Software Corp.* 33
1,000 Project Software & Development, Inc.* 19
1,800 Protein Design Labs, Inc.* 57
4,200 PSINET, Inc.* 32
4,162 Pure Atria Corp.* 67
5,500 Quarterdeck Corp.* 15
1,000 Rainbow Technologies, Inc.* 16
500 Raptor Systems, Inc.* 7
2,100 Red Brick Systems, Inc.* 19
1,800 Remedy Corp.* 73
4,800 Renaissance Solutions, Inc.* 138
6,100 RISCORP, Inc.* 22
6,200 Rollins Truck Leasing Corp. 85
1,000 Romac International, Inc.* 29
1,900 RTW, Inc.* 16
2,300 7th Level, Inc.* 4
300 Sapient Corp.* 13
2,250 Scopus Technologies, Inc.* 68
2,400 Secure Computing Corp.* 17
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
500 Segue Software, Inc.* $ 5
3,500 Sitel Corp.* 58
600 Smith Micro Software, Inc.* 2
7,500 Sotheby's Holdings, Inc., Class A 116
4,600 Spectrum Holobyte, Inc. 29
1,000 SPSS, Inc.* 32
2,000 Spyglass, Inc.* 19
3,600 Stac, Inc.* 15
1,600 State of the Art, Inc.* 18
6,000 Structural Dynamics Research Corp.* 147
1,100 Summit Medical Systems* 3
3,800 SunRiver Corp.* 4
2,600 Sync Research, Inc.* 11
4,750 System Software Associates, Inc. 44
2,400 Systems & Computer Technology Corp.* 58
2,900 Systemsoft Corp.* 35
6,400 TCSI Corp.* 190
2,800 Telxon Corp. 52
565 Thermo TerraTech, Inc.* 6
1,650 Thermotrex Corp.* 48
4,600 Transaction Systems Architects, Inc.* 193
3,100 Transcend Services, Inc.* 12
750 Unison Software, Inc.* 6
2,600 Vanstar Corp.* 26
1,500 Vantive Corp. 40
2,600 Veritas DGC, Inc.* 54
1,650 Veritas Software Corp.* 82
1,400 Verity, Inc.* 9
2,900 Viasoft, Inc.* 154
2,100 VideoServer, Inc.* 36
2,800 Viewlogic Systems, Inc.* 42
1,300 Visio Corp.* 75
1,800 VISX Corp.* 53
1,200 Volt Information Sciences, Inc.* 52
1,897 Wackenhut Corp. 33
2,425 Wind River Systems* 82
600 Workgroup Technology Corp.* 3
2,800 Xircom, Inc.* 41
400 Yahoo!, Inc.* 13
800 Zoran Corp.* 17
--------
8,974
--------
REAL ESTATE--5.7%
3,400 American Health Properties, Inc. 85
975 American Homestar Corp.* 20
1,500 AMLI Residential Properties 35
2,300 Apartment Investment & Management Co. 64
1,800 Associated Estates Realty Corp. 41
5,000 Avalon Properties, Inc. 138
1,200 Avatar Holdings, Inc.* 39
3,100 Bay Apartment Communities, Inc. 109
6,700 Beacon Properties Corp. 208
4,100 Berkshire Realty, Inc. 44
3,503 Bradley Real Estate, Inc. 66
</TABLE>
See accompanying notes to financial statements.
62
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
4,400 Cali Realty Corp. $ 130
4,364 Camden Property Trust 128
5,700 Carr Realty Corp. 162
2,700 Castle & Cooke, Inc.* 41
2,000 Cavalier Homes, Inc. 23
3,400 CBL & Associates Properties, Inc. 81
2,300 Centerpoint Properties Corp. 69
2,000 Chelsea GCA Realty, Inc. 73
4,400 Colonial Properties Trust* 129
1,900 Columbus Realty Trust 42
3,500 Commercial Net Lease Realty, Inc. 53
4,000 Cousins Properties, Inc. 107
4,200 Crown American Realty Trust 34
3,100 Developers Diversified Realty Corp. 115
6,833 Doubletree Corp.* 306
5,000 Duke Realty Investments, Inc. 191
7,000 Dynex Capital, Inc. 96
3,900 Equity Inns, Inc. 51
3,000 Evans Withycombe Residential, Inc. 62
2,400 Excel Realty Trust, Inc. 62
5,900 Federal Realty Investment Trust 154
4,000 FelCor Suite Hotel, Inc. 149
4,100 First Industrial Realty Trust, Inc. 121
900 Forest City Enterprises, Inc. 40
3,300 Gables Residential Trust 83
4,600 General Growth Properties, Inc. 148
1,162 Getty Realty Corp. 19
3,600 Glimcher Realty Trust 72
4,900 Health Care Property Investors, Inc. 165
2,400 Health Care REIT, Inc. 58
2,000 Healthcare Realty Trust 52
5,600 Highwoods Properties, Inc. 169
3,000 Irvine Apartment Communities, Inc. 84
1,800 JDN Realty Co. 52
2,100 JP Realty, Inc. 54
4,900 Liberty Property Trust 118
3,600 Macerich Co. 97
4,000 Manufactured Home Communities, Inc. 88
900 Maxxam, Inc.* 40
1,800 Mid-America Apartment Communities, Inc. 48
2,600 Mills Corp. 66
1,900 National Golf Properties, Inc. 62
2,500 Oasis Residential, Inc. 58
1,800 Paragon Group, Inc. 29
1,300 Pennsylvania REIT 29
3,700 Post Properties, Inc. 147
2,200 PRI Automation, Inc.* 84
2,500 Price Enterprises, Inc.* 46
1,400 Price REIT, Inc. 53
1,700 Regency Realty Corp.* 45
4,000 RFS Hotel Investors, Inc. 75
1,700 Saul Centers, Inc. 28
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
4,000 Shurguard Storage Centers, Inc. $ 112
5,200 Spieker Properties, Inc. 192
2,000 Storage Trust Realty 50
4,200 Storage USA, Inc. 160
2,900 Summit Property, Inc. 58
2,500 Sun Communities, Inc. 82
4,100 Taubman Centers, Inc. 31
2,700 Thornburg Mortgage Asset Corp. 54
2,700 Town & Country Trust 40
2,000 Trinet Corporate Realty Trust 66
13,485 United Dominion Realty Trust 199
2,200 Urban Shopping Centers, Inc. 64
4,200 Vornado Realty Trust 288
1,900 Walden Residential Properties, Inc. 45
5,200 Washington Real Estate Investment Trust 88
2,100 Weeks Corp. 66
2,800 Wellsford Residential Property Trust 91
3,000 Western Investment Real Estate Trust 41
--------
7,064
--------
RECREATIONAL AND LEISURE SERVICES--1.1%
500 AMC Entertainment, Inc.* 12
500 Ameristar Casinos, Inc.* 3
1,100 Anchor Gaming* 47
2,500 Argosy Gaming Corp.* 8
1,000 Ascent Entertainment Group, Inc. 10
737 Autotote Corp. Class A 1
3,200 Authentic Fitness Corp. 47
7,300 Aztar Corp.* 51
200 Bally's Grand, Inc.* 8
4,200 Boyd Gaming Corp.* 25
1,700 Carmike Cinemas, Inc.* 59
3,750 Casino America, Inc.* 9
4,300 Casino Magic Corp.* 6
3,000 Galoob (Lewis) Toys, Inc.* 54
1,000 GC Cos., Inc.* 43
1,000 Harvey's Casino Resorts 17
2,600 Hollywood Park, Inc. 36
2,317 K2, Inc. 67
2,900 Lydall, Inc.* 66
800 Movie Gallery, Inc.* 6
1,000 Penn National Gaming, Inc.* 18
1,400 Primadonna Resorts, Inc.* 31
5,100 Prime Hospitality Corp.* 95
700 Quintel Entertainment, Inc.* 7
4,662 Regal Cinemas, Inc.* 153
2,900 Rio Hotel & Casino, Inc.* 42
2,100 Scientific Games Holdings Corp.* 51
2,600 Showboat, Inc. 51
1,950 Shuffle Master, Inc.* 16
1,600 Skyline Corp. 39
1,500 Sodak Gaming, Inc.* 22
2,300 Spelling Entertainment Group, Inc.* 16
3,200 Station Casinos, Inc.* 28
</TABLE>
See accompanying notes to financial statements.
63
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
RECREATIONAL AND LEISURE SERVICES--Continued
<C> <S> <C>
1,700 Stratosphere Corp.* $ 1
3,900 Trump Hotels and Casino Resorts, Inc.* 38
750 WHG Resorts & Casinos, Inc. 8
800 White River Corp.* 51
3,000 WMS Industries, Inc.* 62
--------
1,304
--------
RESEARCH AND CONSULTING SERVICES--1.4%
6,100 Advance Tissue Science, Inc.* 79
2,300 Agouron Pharmaceuticals, Inc.* 184
3,200 Air & Water Technologies Corp.* 15
2,800 Alliance Entertainment Corp.* 2
10,800 Aura Systems, Inc.* 20
8,000 Bio-Technology General Corp.* 116
4,600 Columbia Laboratories, Inc.* 90
675 Computer Management Sciences, Inc.* 14
7,900 Cytogen Corp.* 44
2,800 Dames & Moore, Inc. 33
4,600 Data Broadcasting Corp.* 22
500 Data Processing Resources Corp.* 11
700 Eagle River Interactive, Inc.* 7
1,600 GRC International, Inc.* 8
3,500 Jacobs Engineering Group, Inc.* 94
5,500 Liposome Technology, Inc.* 140
2,100 Mercer International, Inc.* 24
3,000 Mycogen Corp.* 71
1,900 NeoPath, Inc.* 38
1,500 NFO Research, Inc.* 30
3,400 OHM Corp.* 27
2,600 Organogenesis, Inc.* 49
3,200 Parexel International Corp.* 105
2,345 Pharmaceutical Product Development, Inc.* 45
6,000 Scios-Nova, Inc.* 38
1,800 Spacelabs Medical, Inc.* 40
1,300 Stone & Webster, Inc. 56
5,050 Summit Technology, Inc.* 39
9,400 Symantec Corp.* 179
2,800 Technology Solutions Co.* 102
3,500 U.S. Bioscience, Inc.* 37
--------
1,759
--------
RETAIL--4.7%
2,500 Aaron Rents, Inc. 31
670 Alexander's, Inc.* 44
700 American Eagle Outfitters, Inc.* 8
5,200 Americredit Corp.* 98
4,300 AnnTaylor Stores, Inc.* 100
4,112 Apple South, Inc. 62
4,400 Arbor Drugs, Inc. 86
5,200 Best Buy, Inc.* 71
1,400 Blair Corp. 23
6,500 Bombay Company, Inc.* 29
1,800 Books-a-Million, Inc.* 9
600 Buckle, Inc.* 13
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
7,540 Buffets, Inc.* $ 67
2,800 Burlington Coat Factory Warehouse* 50
2,700 Carson Pirie Scott & Co.* 87
5,000 Cash America International, Inc. 49
4,100 Cato Corp. 21
15,600 Charming Shoppes, Inc.* 82
5,700 CKE Restaurants, Inc. 136
8,050 Claire's Stores, Inc. 155
8,600 CML Group, Inc. 20
1,900 Cole National Corp.* 72
2,123 Consolidated Products, Inc.* 36
268 Dart Group Corp. 27
983 Delchamps, Inc. 27
2,800 Dress Barn, Inc.* 48
3,200 Duty Free International, Inc. 50
2,500 Fabri-Centers of America, Inc., Class A* 59
7,100 Family Dollar Stores, Inc. 183
7,000 Fedders Corp. 45
8,300 Fingerhut Cos., Inc. 146
6,400 Foodmaker, Inc.* 90
2,300 Friedmans, Inc., Class A* 43
2,800 Garden Ridge Corp.* 34
4,400 Gymboree Corp.* 110
3,700 Hancock Fabrics, Inc. 45
10,200 HEARx Ltd.* 18
5,300 Hechinger Co. 7
3,500 Hollywood Entertainment Corp.* 70
1,200 Ingles Markets, Inc. 17
3,400 Jumbosports, Inc.* 15
3,050 Just For Feet, Inc.* 60
1,100 L.L. Knickerbocker Co.* 6
2,500 Lands' End, Inc. 75
4,400 Longs Drug Stores, Inc. 105
4,400 Mac Frugal's Bargains Close-Outs, Inc.* 131
700 Mafco Consolidated Group* 23
1,300 Mail Boxes Etc.* 30
2,075 Men's (The) Warehouse, Inc.* 69
4,500 Meyer (Fred), Inc.* 206
3,200 Michael's Stores, Inc.* 63
2,800 National Media Corp.* 21
2,623 Natures Sunshine Products, Inc. 44
2,900 NPC International, Inc.* 34
800 O'Reilly Automotive, Inc.* 29
6,900 Payless Cashways, Inc.* 11
2,550 Petco Animal Supplies, Inc.* 68
4,400 Petroleum Heat & Power, Inc. 16
7,735 Pier I Imports, Inc. 173
2,900 Proffitt's, Inc.* 116
1,500 Quality Food Centers, Inc.* 57
1,900 Regis Corp.* 41
2,400 Renters Choice, Inc.* 46
8,300 Ross Stores, Inc. 233
16,500 Service Merchandise Co., Inc.* 54
3,000 Shopko Stores, Inc. 71
</TABLE>
See accompanying notes to financial statements.
64
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
2,750 Showbiz Pizza Time, Inc.* $ 62
3,098 Smith Food & Drug Centers, Inc., Class B 146
2,200 Sonic Corp.* 39
5,300 Sports Authority, Inc.* 95
2,900 Stanhome, Inc. 91
1,550 Stein Mart, Inc.* 47
1,220 Strawbridge & Clothier, Class A 20
8,200 Stride Rite Corp. 125
6,300 U.S. Office Products Co.* 156
6,000 Universal Corp. 218
1,500 Urban Outfitters, Inc.* 24
1,500 Valmont Industries, Inc. 63
1,700 Value City Department Stores, Inc.* 15
5,300 Waban, Inc.* 161
1,300 West Marine, Inc.* 34
900 Wet Seal, Inc.* 26
3,100 Whole Foods Market, Inc.* 97
3,300 Williams-Sonoma, Inc.* 122
1,400 Wilmar Industries, Inc.* 31
5,600 Zale Corp.* 113
--------
5,850
--------
RUBBER AND PLASTICS--0.6%
2,200 ACX Technologies, Inc.* 47
4,700 Carlisle Cos., Inc. 143
2,500 Foamex International, Inc.* 38
1,500 Furon Co. 38
800 Liqui-Box Corp. 27
2,195 Myers Industries, Inc.* 38
2,200 O'Sullivan Corp. 20
1,300 Park Ohio Industries, Inc.* 17
1,200 Rogers Corp.* 40
4,200 Sola International, Inc.* 120
2,700 Spartech Corp. 34
1,300 Tredegar Industries, Inc. 71
2,200 West Co., Inc. 65
--------
698
--------
SANITARY SERVICES--0.3%
10,100 Allied Waste Industries, Inc.* 149
2,800 Centennial Cellular Corp.* 39
10,500 Laidlaw Environment Services, Inc.* 30
10,000 Safety-Kleen Corp. 156
600 Superior Services, Inc.* 13
--------
387
--------
SERVICE INDUSTRY MACHINERY--0.5%
2,200 Applied Power, Inc. 97
2,450 Commercial Intertech Corp. 32
1,100 Greenwich Air Services, Inc. 32
1,700 Scotsman Industries, Inc. 45
1,550 St. Jude Medical, Inc. 53
1,500 Tennant Co. 45
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
8,975 United States Filter Corp.* $ 283
2,362 Wynn's International, Inc. 58
--------
645
--------
SOCIAL SERVICES--0.3%
547 Berlitz International, Inc.* 13
4,300 DeVry, Inc.* 119
6,000 National Education Corp.* 126
3,018 Omega Healthcare Investors, Inc. 99
1,100 Youth Services International, Inc.* 15
--------
372
--------
STEEL PRODUCTS--1.3%
2,000 Acme Metals, Inc.* 31
1,500 Amcast Industrial Corp. 37
14,200 Armco, Inc.* 53
4,700 Birmingham Steel Corp. 75
2,800 Brush Wellman, Inc. 60
2,700 Carpenter Technology Corp. 117
1,000 Chaparral Steel Co. 15
1,100 Coastcast Corp.* 14
400 Curtiss Wright Corp. 23
2,200 Geneva Steel Co.* 5
500 Gibraltar Steel Corp.* 11
2,400 Handy & Harman 40
1,000 Huntco, Inc., Class A 13
1,800 IMCO Recycling, Inc. 32
3,100 Intermet Corp.* 43
3,100 J & L Specialty Steel, Inc. 40
1,700 Kaiser Aluminum Corp.* 20
3,300 Lone Star Technologies, Inc. 78
2,600 Lukens, Inc. 51
3,300 Mueller Industries, Inc.* 132
3,700 National Steel Corp., Class B* 50
3,700 Oregon Steel Mills, Inc. 69
3,750 Precision Castparts Corp. 234
1,300 Reliance Steel & Aluminum Co. 47
1,500 Rouge Steel Co. 22
700 Schnitzer Steel Industries, Inc. 18
900 Shiloh Industries, Inc.* 15
1,900 Standex International Corp. 52
1,250 Steel Technologies, Inc. 13
3,900 Texas Industries, Inc. 94
4,000 UNR Industries, Inc. 25
4,000 WHX Corp.* 27
--------
1,556
--------
TEXTILES--0.7%
4,200 Albany International Corp. 96
10,800 Burlington Industries, Inc.* 119
3,400 Cone Mills Corp.* 29
800 Fab Industries, Inc. 25
1,582 Fieldcrest Cannon, Inc.* 30
4,496 Guilford Mills, Inc. 88
3,400 Interface, Inc. 79
</TABLE>
See accompanying notes to financial statements.
65
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
May 31, 1997
(All amounts in thousands, except shares and number of contracts)
(Unaudited)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
TEXTILES--Continued
<C> <S> <C>
4,100 Phillips-Van Heusen $ 57
1,200 Quiksilver, Inc.* 33
4,400 Ruddick Corp. 67
2,400 Springs Industries, Inc. 122
2,800 West Point Stevens, Inc.* 106
--------
851
--------
TRANSPORTATION PARTS AND EQUIPMENT--2.5%
2,800 AAR Corp. 87
1,400 ABC Rail Products Corp.* 23
2,200 APS Holding Corp. 22
3,850 Arctic Cat, Inc. 40
3,700 Arvin Industries, Inc. 103
2,700 Aviall, Inc. 40
2,400 Borg Warner Automotive, Inc. 117
2,200 Breed Technologies, Inc. 43
1,100 Cannondale Corp.* 19
3,100 Chancellor Corp.* 107
2,500 Coachmen Industries, Inc. 43
11,500 Collins & Aikman Corp.* 134
1,300 Copart, Inc.* 20
1,500 Detroit Diesel Corp.* 33
2,400 Eaton Vance Corp. 59
3,000 Exide Corp. 66
2,300 Fairchild Corp.* 38
6,000 Federal-Mogul Corp. 175
4,400 Gencorp, Inc. 93
2,300 Huffy Corp. 30
4,700 Mesa Airlines, Inc.* 24
12,100 Navistar International Corp.* 201
2,700 OEA, Inc. 102
4,600 Orbital Sciences Corp.* 76
2,104 Pacific Scientific Co. 28
4,500 Polaris Industries, Inc. 133
4,400 Rohr, Inc.* 93
1,300 Sequa Corp.* 63
2,800 Simpson Industries, Inc. 29
2,500 Smith (A.O.) Corp. 92
2,325 Standard Products Co. 58
5,400 Stewart & Stevenson Services, Inc. 144
3,400 Superior Industries International, Inc. 87
3,200 Teleflex, Inc. 197
3,200 Thiokol Corp. 230
889 Thor Industries, Inc. 21
2,525 Titan Wheel International, Inc. 39
1,000 Tower Automotive, Inc. 40
3,100 Wabash National Corp. 69
1,500 Walbro Corp. 30
3,200 Westinghouse Air Brake Co. 53
2,500 Winnebago Industries, Inc. 17
--------
3,118
--------
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION SERVICES--2.0%
3,100 Air Express International Corp. $ 113
3,300 Airborne Freight Corp. 126
2,300 Alaska Air Group, Inc.* 57
7,830 America West Airlines, Inc.* 120
3,600 American Freightways, Inc.* 50
3,700 APL Ltd. 112
3,600 Arnold Industries, Inc. 60
3,700 Asa Holdings, Inc. 97
1,800 Circle International Corp., Inc. 50
1,800 Covenant Transportation, Inc., Class A* 27
800 Eagle USA Airfreight, Inc.* 16
4,100 Expeditors International of Washington, Inc. 118
1,822 First Source Corp. 46
600 Florida East Coast Industries, Inc. 65
1,553 Frozen Food Express Industries, Inc. 14
3,500 GATX Corp. 199
7,900 Greyhound Lines, Inc.* 33
2,739 Heartland Express, Inc.* 60
3,700 Hunt (J.B.) Transportation Services, Inc. 56
4,100 Kirby Corp.* 77
400 Knight Transportation, Inc.* 10
1,500 M.S. Carriers, Inc.* 32
1,350 Midwest Express Holdings, Inc.* 43
3,200 Offshore Logistics, Inc.* 58
5,000 OMI Corp.* 48
4,600 Overseas Shipholding Group, Inc. 87
3,200 Pittston Burlington Group 82
1,600 Railtex, Inc.* 30
2,300 Roadway Express, Inc. 44
1,300 Skywest, Inc. 20
1,900 Swift Transportation Co., Inc.* 61
2,900 Trans World Airlines, Inc.* 25
3,850 USFreightways, Corp.* 93
5,800 ValuJet, Inc.* 40
3,450 Werner Enterprises, Inc. 67
1,300 Western Pacific Airlines, Inc.* 7
2,500 Xtra Corp. 107
3,600 Yellow Corp.* 69
--------
2,419
--------
WATER SUPPLY--0.4%
1,200 Aquarion Co. 31
1,063 California Water Service Co. 48
3,100 Culligan Water Technologies, Inc.* 138
1,300 E'Town Corp. 43
1,400 Pennsylvania Enterprises, Inc.* 35
2,700 Philadelphia Suburban Corp. 51
1,360 Southern California Water Co. 32
4,152 United Water Resources, Inc. 75
1,200 Western Water Co.* 17
--------
470
--------
</TABLE>
See accompanying notes to financial statements.
66
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--CONTINUED
<C> <S> <C>
WHOLESALE--1.4%
3,385 Arch Communications Group, Inc.* $ 26
1,400 Bindley Western Industries, Inc. 31
1,950 BMC West Corp.* 26
4,300 Caraustar Industries, Inc. 124
4,300 Casey's General Stores, Inc. 86
1,756 Castle (A. M.) & Co. 38
1,966 Commercial Metals Co. 58
3,900 Compucom Systems, Inc.* 28
400 Culbro Corp.* 51
600 Daisytek International Corp.* 19
1,500 Discount Auto Parts, Inc.* 28
2,600 Egghead, Inc.* 12
5,800 Handleman Co. 38
1,400 Hughes Supply, Inc. 54
3,100 Immunex Corp.* 97
2,800 International Multifoods Corp. 79
2,300 JP Foodservice, Inc.* 67
3,200 Kaman Corp. 44
4,100 Kent Electronics Corp.* 133
1,200 Lawson Products, Inc. 30
2,800 Marshall Industries* 102
2,450 Microage, Inc.* 44
1,900 Nash-Finch Co. 38
2,200 Patterson Dental Co.* 76
1,500 Peak (The) Technologies Group* 27
1,700 Russ Berrie & Co., Inc. 35
4,375 Rykoff-Sexton, Inc. 84
2,400 Sciclone Pharmaceuticals, Inc.* 17
1,700 Smart & Final, Inc. 36
2,800 TBC Corp.* 95
2,400 United Stationers, Inc.* 52
3,100 VWR Corp.* 48
--------
1,723
- ---------------------------------------------------------------
TOTAL COMMON STOCKS (Cost $100,699) $120,911
- ---------------------------------------------------------------
RIGHTS--0.0%
76 Alpha 1 Biomedical* $ 0
1,650 Metrocall, Inc.* 0
- ---------------------------------------------------------------
TOTAL RIGHTS (Cost $0) $ 0
- ---------------------------------------------------------------
WARRANTS--0.0%
350 Milicom American Satellite Corp.,
Exp. 06/30/99* $ 0
57 PerSeptive Biosystems, Inc., Exp. 09/11/03* 0
- ---------------------------------------------------------------
TOTAL WARRANTS (Cost $0) $ 0
- ---------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ------------------------------------------------------------
<C> <S> <C>
OTHER INVESTMENTS--0.0%
2,000 Escrow CFS Group, Inc.* $ 0
1,400 Escrow Millicom, Inc.* 0
900 Escrow Northeast Bancorp, Inc.* 0
2,790 Escrow Statesman Group, Inc.* 0
1,700 Escrow Takecare, Inc.* 0
- ------------------------------------------------------------
TOTAL OTHER INVESTMENTS (Cost $0) $ 0
- ------------------------------------------------------------
U.S. GOVERNMENT OBLIGATION--0.1%
U.S. Treasury Bill #
$ 95 4.845% Due 06/26/97 $ 94
- ------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATION
(Cost $94) $ 94
- ------------------------------------------------------------
SHORT-TERM INVESTMENT--1.9%
Bank of Tokyo-Mitsubishi, Grand Cayman
$ 2,346 5.750% Due 6/02/97 $ 2,346
- ------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT (Cost $2,346) $ 2,346
- ------------------------------------------------------------
TOTAL INVESTMENTS--99.9%
(Cost $103,139) $123,351
- ------------------------------------------------------------
Other assets, less liabilities--0.1% 160
- ------------------------------------------------------------
NET ASSETS--100.0% $123,511
- ------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
OPEN FUTURES CONTRACTS:
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RUSSELL 2000 11 $1,938 Long 06/20/97 $156
- ---------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
67
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
May 31, 1997
(All amounts in thousands, except net asset value per unit)
(Unaudited)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International International Company
Balanced Growth Index Growth Equity Index Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in
securities, at cost $44,912 $ 94,205 $589,870 $ 99,189 $13,947 $111,812 $103,139
- ---------------------------------------------------------------------------------------------------------
Investments in
securities, at value $54,271 $140,676 $857,884 $121,770 $15,114 $122,185 $123,351
Cash and foreign
currencies 143 214 6 150 52 362 3
Receivables:
Dividends and interest 346 227 1,845 107 17 319 99
Fund units sold 4 6 303 149 -- -- 65
Investment securities
sold 600 226 34 111 -- 3,612 --
Foreign tax reclaims -- -- -- -- 5 132 --
Administrator 7 8 24 8 14 9 10
Deferred organization
costs, net 14 8 8 19 14 26 8
Other assets 3 2 139 1 28 3 18
- ---------------------------------------------------------------------------------------------------------
TOTAL ASSETS 55,388 141,367 860,243 122,315 15,244 126,648 123,554
- ---------------------------------------------------------------------------------------------------------
LIABILITIES:
Payable for:
Fund units redeemed 66 -- 29,161 -- -- 269 --
Investment securities
purchased 579 -- 18 -- -- 1,140 --
Accrued expenses:
Advisory fees 23 65 71 81 3 86 20
Administration fees 5 12 71 10 2 16 10
Custodian fees 2 3 12 1 19 15 6
Transfer agent fees 1 1 14 2 -- 1 1
Other liabilities 6 12 46 12 21 14 6
- ---------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 682 93 29,393 106 45 1,541 43
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $54,706 $141,274 $830,850 $122,209 $15,199 $125,107 $123,511
- ---------------------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $44,889 $ 89,591 $546,525 $ 91,713 $13,959 $117,406 $102,052
Accumulated
undistributed net
investment income 51 532 400 89 71 238 574
Accumulated net realized
gains (losses) on
investments, options,
futures and foreign
currency transactions 407 4,680 15,131 7,826 2 (2,924) 517
Net unrealized
appreciation on
investments, options,
futures and foreign
currency transactions 9,359 46,471 268,794 22,581 1,167 10,373 20,368
Net unrealized gains on
translation of other
assets and liabilities
denominated in foreign
currencies -- -- -- -- -- 14 --
- ---------------------------------------------------------------------------------------------------------
NET ASSETS $54,706 $141,274 $830,850 $122,209 $15,199 $125,107 $123,511
- ---------------------------------------------------------------------------------------------------------
Total units outstanding
(no par value),
unlimited units
authorized
Class A 3,934 9,824 41,819 8,046 1,381 11,716 9,306
Class C 409 -- 3,633 518 -- -- --
Class D 23 43 1,062 52 -- 14 19
- ---------------------------------------------------------------------------------------------------------
Net asset value,
offering and redemption
price per unit
Class A $ 12.53 $ 14.32 $ 17.86 $ 14.19 $ 11.01 $ 10.67 $ 13.24
Class C $ 12.52 -- $ 17.85 $ 14.17 -- -- --
Class D $ 12.51 $ 14.19 $ 17.82 $ 14.05 -- $ 10.55 $ 13.24
- ---------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
68
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Period Ended May 31, 1997
(All amounts in thousands)
(Unaudited)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International International Company
Balanced Growth Index Growth Equity Index Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio (a) Portfolio Portfolio
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 202 $ 963 $ 7,376 $ 603 $ 70 $1,098 $ 855
Interest 731 40 546 23 13 128 104
- ---------------------------------------------------------------------------------------------------------
TOTAL INCOME 933 1,003 7,922 626 83(b) 1,226(c) 959
- ---------------------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 209 539 1,162 608 11 648 230
Administration fees 59 137 441 119 17 147 122
Custodian fees 12 14 70 12 23 79 35
Registration fees 11 12 27 12 4 12 12
Amortization of deferred
organization costs 6 7 7 8 1 7 6
Transfer agent fees 5 7 75 9 -- 7 6
Unitholder servicing
fees 5 1 61 6 -- -- --
Professional fees 2 4 16 2 1 4 4
Trustee fees and ex-
penses 1 2 9 1 1 2 2
Other 5 13 42 8 2 6 6
- ---------------------------------------------------------------------------------------------------------
TOTAL EXPENSES 315 736 1,910 785 60 912 423
Less voluntary waivers
of:
Investment advisory
fees (79) (169) (775) (166) (6) (130) (115)
Administration fees (32) (69) (54) (63) (14) (77) (65)
Less: Expenses reimburs-
able by Administrator (38) (44) (142) (42) (28) (19) (64)
- ---------------------------------------------------------------------------------------------------------
Net expenses 166 454 939 514 12 686 179
- ---------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 767 549 6,983 112 71 540 780
Net realized gains
(losses) on:
Investment transactions 442 4,727 14,944 9,122 -- (136) 978
Written options trans-
actions -- -- -- 86 -- -- --
Futures transactions -- -- 3,622 -- -- -- 207
Foreign currency trans-
actions -- -- -- -- 2 (28) --
Net change in unrealized
appreciation on
investments, options,
futures and foreign
currency transactions 2,131 10,306 72,963 2,815 1,167 6,150 7,536
Net change in unrealized
losses on translation
of other assets and li-
abilities denominated
in foreign currencies -- -- -- -- -- (1) --
- ---------------------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS RESULTING FROM OP-
ERATIONS $3,340 $15,582 $98,512 $12,135 $1,240 $6,525 $9,501
- ---------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations April 1, 1997.
(b) Net of $8 in non-reclaimable foreign withholding taxes.
(c) Net of $151 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
69
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Period Ended May 31, 1997 (Unaudited) and the Year Ended November 30,
1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Balanced Diversified
Portfolio Growth Portfolio
----------------- ------------------
1997 1996 1997 1996
- ------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 767 $ 1,366 $ 549 $ 1,372
Net realized gains (losses) on invest-
ments, options, futures and foreign
currency transactions 442 1,834 4,727 14,453
Net change in unrealized appreciation
on investments, options, futures and
foreign currency transactions 2,131 2,874 10,306 10,529
Net change in unrealized losses on
translations of other assets and lia-
bilities denominated in foreign cur-
rencies -- -- -- --
- ------------------------------------------------------------------------------
Net increase in net assets resulting
from operations 3,340 6,074 15,582 26,354
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS A UNITHOLDERS
FROM:
Net investment income (682) (1,231) (1,368) (1,750)
Net realized gains (1,132) -- (14,420) (1,919)
- ------------------------------------------------------------------------------
Total distributions to Class A
unitholders (1,814) (1,231) (15,788) (3,669)
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS C UNITHOLDERS:
Net investment income (79) (132) -- --
Net realized gains (152) -- -- --
- ------------------------------------------------------------------------------
Total distributions to Class C
unitholders (231) (132) -- --
- ------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS D UNITHOLDERS:
Net investment income (4) (2) (4) (2)
Net realized gains (6) -- (45) (3)
- ------------------------------------------------------------------------------
Total distributions to Class D
unitholders (10) (2) (49) (5)
- ------------------------------------------------------------------------------
CLASS A UNIT TRANSACTIONS:
Proceeds from the sale of units 4,814 11,431 6,216 14,860
Reinvested distributions 1,794 1,076 14,520 3,424
Cost of units redeemed (3,655) (10,419) (21,856) (45,585)
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class A unit transac-
tions 2,953 2,088 (1,120) (27,301)
- ------------------------------------------------------------------------------
CLASS C UNIT TRANSACTIONS:
Proceeds from the sale of units 761 6,132 -- --
Reinvested distributions 231 132 -- --
Cost of units redeemed (1,961) (797) -- --
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class C unit transac-
tions (969) 5,467 -- --
- ------------------------------------------------------------------------------
CLASS D UNIT TRANSACTIONS:
Proceeds from the sale of units 138 232 135 227
Reinvested distributions 9 2 49 5
Cost of units redeemed (96) (9) (23) (75)
- ------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class D unit transac-
tions 51 225 161 157
- ------------------------------------------------------------------------------
Net increase (decrease) 3,320 12,489 (1,214) (4,464)
Net assets--beginning of period 51,386 38,897 142,488 146,952
- ------------------------------------------------------------------------------
NET ASSETS--END OF PERIOD $54,706 $ 51,386 $141,274 $142,488
- ------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED NET INVEST-
MENT INCOME $ 51 $ 49 $ 532 $ 1,355
- ------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on April 1, 1997.
See accompanying notes to financial statements.
70
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
International
Equity Index Focused Growth Equity Index International Small Company
Portfolio Portfolio Portfolio Growth Portfolio Index Portfolio
- -------------------- ------------------ ------------- ------------------ ------------------
1997 1996 1997 1996 1997 (a) 1997 1996 1997 1996
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$ 6,983 $ 12,697 $ 112 $ 110 $ 71 $ 540 $ 989 $ 780 $ 1,443
18,566 36,012 9,208 11,548 2 (164) 8,942 1,185 12,846
72,963 100,945 2,815 5,017 1,167 6,150 3,186 7,536 976
-- -- -- -- -- (1) (22) -- --
- -----------------------------------------------------------------------------------------------
98,512 149,654 12,135 16,675 1,240 6,525 13,095 9,501 15,265
- -----------------------------------------------------------------------------------------------
(6,427) (11,982) (130) (317) -- (1,021) (2,919) (1,364) (1,002)
(32,814) (15,194) (12,040) (1,293) -- (5,790) -- (13,019) (5,764)
- -----------------------------------------------------------------------------------------------
(39,241) (27,176) (12,170) (1,610) -- (6,811) (2,919) (14,383) (6,766)
- -----------------------------------------------------------------------------------------------
(505) (603) (4) -- -- -- -- -- --
(2,679) (570) (811) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
(3,184) (1,173) (815) -- -- -- -- -- --
- -----------------------------------------------------------------------------------------------
(119) (60) -- (2) -- (1) (1) (1) (1)
(399) (26) (79) (8) -- (4) -- (13) (2)
- -----------------------------------------------------------------------------------------------
(518) (86) (79) (10) -- (5) (1) (14) (3)
- -----------------------------------------------------------------------------------------------
147,495 338,095 9,868 32,348 13,959 8,676 28,193 11,276 28,946
36,716 24,880 11,306 1,413 -- 5,984 2,297 13,462 6,297
(162,906) (279,296) (12,405) (27,923) -- (27,590) (51,182) (9,431) (25,770)
- -----------------------------------------------------------------------------------------------
21,305 83,679 8,769 5,838 13,959 (12,930) (20,692) 15,307 9,473
- -----------------------------------------------------------------------------------------------
12,037 52,571 110 6,934 -- -- -- -- --
3,184 1,029 814 -- -- -- -- -- --
(8,311) (25,869) (523) (598) -- -- -- -- --
- -----------------------------------------------------------------------------------------------
6,910 27,731 401 6,336 -- -- -- -- --
- -----------------------------------------------------------------------------------------------
10,382 6,392 84 168 -- 48 71 162 223
420 86 79 10 -- 5 -- 14 3
(1,474) (332) (94) (96) -- (1) (2) (201) (13)
- -----------------------------------------------------------------------------------------------
9,328 6,146 69 82 -- 52 69 (25) 213
- -----------------------------------------------------------------------------------------------
93,112 238,775 8,310 27,311 15,199 (13,169) (10,448) 10,386 18,182
737,738 498,963 113,899 86,588 -- 138,276 148,724 113,125 94,943
- -----------------------------------------------------------------------------------------------
$830,850 $ 737,738 $122,209 $113,899 $15,199 $125,107 $138,276 $123,511 $113,125
- -----------------------------------------------------------------------------------------------
$ 400 $ 468 $ 89 $ 111 $ 71 $ 238 $ 720 $ 574 $ 1,159
- -----------------------------------------------------------------------------------------------
</TABLE>
71
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
Class A Class C Class D
--------------------------------------------- ----------------- -----------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 (c)
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 10.00 $ 12.24 $ 11.12 $ 12.23 $ 11.34
Income (loss) from in-
vestment operations:
Net investment income 0.18 0.34 0.34 0.24 0.09 0.17 0.29 0.16 0.22
Net realized and
unrealized gain (loss) 0.60 1.19 1.55 (0.72) 0.22 0.59 1.12 0.60 0.96
- -------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.78 1.53 1.89 (0.48) 0.31 0.76 1.41 0.76 1.18
- -------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.18) (0.34) (0.34) (0.22) (0.09) (0.17) (0.29) (0.17) (0.29)
Net realized gain (0.31) -- -- (0.02) -- (0.31) -- (0.31) --
- -------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.49) (0.34) (0.34) (0.24) (0.09) (0.48) (0.29) (0.48) (0.29)
- -------------------------------------------------------------------------------------------------------------
Net increase (decrease) 0.29 1.19 1.55 (0.72) 0.22 0.28 1.12 0.28 0.89
- -------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 12.53 $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 12.52 $ 12.24 $ 12.51 $ 12.23
- -------------------------------------------------------------------------------------------------------------
Total return (d) 6.54% 14.07% 20.22% (4.76)% 3.12% 6.39% 12.72% 6.34% 10.55%
Ratio to average net as-
sets of (e):
Expenses, net of waiv-
ers and reimbursements 0.61% 0.61% 0.61% 0.61% 0.61% 0.85% 0.85% 1.00% 1.00%
Expenses, before waiv-
ers and reimbursements 1.18% 1.20% 1.28% 1.50% 1.62% 1.42% 1.44% 1.57% 1.59%
Net investment income,
net of waivers and
reimbursements 2.97% 3.03% 3.36% 2.56% 2.20% 2.73% 2.80% 2.58% 2.78%
Net investment income,
before waivers and
reimbursements 2.40% 2.44% 2.69% 1.68% 1.19% 2.16% 2.21% 2.01% 2.19%
Portfolio turnover rate 36.07% 104.76% 93.39% 75.69% 35.03% 36.07% 104.76% 36.07% 104.76%
Average commission rate
per share $0.0685 $0.0718 NA NA NA $0.0685 $0.0718 $0.0685 $0.0718
Net assets at end of pe-
riod (in thousands) $49,298 $45,157 $38,897 $31,462 $15,928 $ 5,116 $ 5,997 $ 292 $ 232
- -------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on December 29, 1995.
(c) Class D units were issued on February 20, 1996.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
72
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended and May 31, 1997 (Unaudited) and the Years Ended
November 30,
DIVERSIFIED GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
------------------------------------------------- ----------------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 1994 (b)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 10.00 $ 14.26 $ 12.16 $ 9.88 $10.41
Income (loss) from
investment operations:
Net investment income 0.06 0.14 0.15 0.09 0.09 0.06 0.11 0.11 0.01
Net realized and
unrealized gain (loss) 1.50 2.33 2.26 (0.83) 0.65 1.46 2.29 2.25 (0.54)
- ----------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.56 2.47 2.41 (0.74) 0.74 1.52 2.40 2.36 (0.53)
- ----------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.14) (0.15) (0.09) (0.01) (0.09) (0.13) (0.14) (0.08) --
Net realized gain (1.46) (0.16) -- (0.02) -- (1.46) (0.16) -- --
- ----------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.60) (0.31) (0.09) (0.03) (0.09) (1.59) (0.30) (0.08) --
- ----------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.04) 2.16 2.32 (0.77) 0.65 (0.07) 2.10 2.28 (0.53)
- ----------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 14.32 $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 14.19 $ 14.26 $12.16 $ 9.88
- ----------------------------------------------------------------------------------------------------------------
Total return (c) 12.27% 20.83% 24.55% (6.98)% 7.38% 12.06% 20.39% 24.19% (5.14)%
Ratio to average net as-
sets of (d):
Expenses, net of
waivers and
reimbursements 0.67% 0.66% 0.69% 0.67% 0.71% 1.06% 1.05% 1.08% 1.05%
Expenses, before
waivers and
reimbursements 1.09% 1.10% 1.12% 1.08% 1.13% 1.48% 1.49% 1.51% 1.46%
Net investment income,
net of waivers and
reimbursements 0.82% 0.98% 1.16% 0.77% 1.04% 0.43% 0.59% 0.73% 0.94%
Net investment income,
before waivers and
reimbursements 0.40% 0.54% 0.73% 0.35% 0.62% 0.01% 0.15% 0.30% 0.53%
Portfolio turnover rate 13.99% 59.99% 81.65% 78.94% 140.88% 13.99% 59.99% 81.65% 78.94%
Average commission rate
per share $ 0.0684 $ 0.0655 NA NA NA $0.0684 $0.0655 NA NA
Net assets at end of pe-
riod (in thousands) $140,667 $142,055 $146,731 $164,963 $199,053 $ 607 $ 433 $ 221 $ 40
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
73
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended and May 31, 1997 (Unaudited) and the Years Ended
November 30,
EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A
------------------------------------------------
1997 1996 1995 1994 1993 (a)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD $ 16.79 $ 13.86 $ 10.60 $ 10.78 $ 10.00
Income from investment
operations:
Net investment income 0.15 0.31 0.30 0.27 0.22
Net realized and unrealized
gain (loss) 1.90 3.36 3.47 (0.18) 0.78
- --------------------------------------------------------------------------------
Total income from investment
operations 2.05 3.67 3.77 0.09 1.00
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS
FROM:
Net investment income (0.15) (0.31) (0.30) (0.27) (0.22)
Net realized gain (0.83) (0.43) (0.21) -- --
- --------------------------------------------------------------------------------
Total distributions to
unitholders (0.98) (0.74) (0.51) (0.27) (0.22)
- --------------------------------------------------------------------------------
Net increase (decrease) 1.07 2.93 3.26 (0.18) 0.78
- --------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 17.86 $ 16.79 $ 13.86 $ 10.60 $ 10.78
- --------------------------------------------------------------------------------
Total return (d) 12.96% 27.53% 36.60% 0.87% 10.08%
Ratio to average net assets
of (e):
Expenses, net of waivers and
reimbursements 0.22% 0.22% 0.22% 0.23% 0.21%
Expenses, before waivers and
reimbursements 0.47% 0.50% 0.54% 0.59% 0.66%
Net investment income, net
of waivers and
reimbursements 1.83% 2.12% 2.54% 2.62% 2.62%
Net investment income,
before waivers and
reimbursements 1.58% 1.84% 2.22% 2.25% 2.17%
Portfolio turnover rate 5.16% 18.02% 15.27% 71.98% 2.06%
Average commission rate per
share $ 0.0279 $ 0.0228 NA NA NA
Net assets at end of period
(in thousands) $747,088 $675,804 $479,763 $281,817 $219,282
- --------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class C units were issued on September 28, 1995.
(c) Class D units were issued on September 14, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
74
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Class C Class D
-------------------------- ----------------------------------
1997 1996 1995 (b) 1997 1996 1995 1994 (c)
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 16.79 $ 13.86 $ 13.43 $ 16.77 $ 13.83 $10.60 $10.96
Income (loss) from
investment operations:
Net investment income 0.13 0.28 0.05 0.14 0.27 0.25 0.02
Net realized and
unrealized gain (loss) 1.91 3.35 0.45 1.88 3.36 3.47 (0.31)
- -----------------------------------------------------------------------------------------
Total income (loss) from
investment operations 2.04 3.63 0.50 2.02 3.63 3.72 (0.29)
- -----------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.15) (0.27) (0.07) (0.14) (0.26) (0.28) (0.07)
Net realized gain (0.83) (0.43) -- (0.83) (0.43) (0.21) --
- -----------------------------------------------------------------------------------------
Total distributions to
unitholders (0.98) (0.70) (0.07) (0.97) (0.69) (0.49) (0.07)
- -----------------------------------------------------------------------------------------
Net increase (decrease) 1.06 2.93 0.43 1.05 2.94 3.23 (0.36)
- -----------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 17.85 $ 16.79 $ 13.86 $ 17.82 $ 16.77 $13.83 $10.60
- -----------------------------------------------------------------------------------------
Total return (d) 12.83% 27.24% 3.94% 12.76% 27.20% 36.20% (2.68)%
Ratio to average net
assets of (e):
Expenses, net of
waivers and
reimbursements 0.46% 0.46% 0.46% 0.61% 0.61% 0.61% 0.60%
Expenses, before
waivers and
reimbursements 0.71% 0.74% 0.78% 0.86% 0.89% 0.93% 0.96%
Net investment income,
net of waivers and
reimbursements 1.59% 1.89% 2.29% 1.44% 1.78% 2.07% 2.67%
Net investment income,
before waivers and
reimbursements 1.34% 1.61% 1.97% 1.19% 1.50% 1.75% 2.31%
Portfolio turnover rate 5.16% 18.02% 15.27% 5.16% 18.02% 15.27% 71.98%
Average commission rate
per share $0.0279 $0.0228 NA $0.0279 $0.0228 NA NA
Net assets at end of
period (in thousands) $64,838 $53,929 $18,390 $18,924 $ 8,005 $ 810 $ 3
- -----------------------------------------------------------------------------------------
</TABLE>
75
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
FOCUSED GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class C Class D
-------------------------------------------------- ------------------ ----------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 (b) 1997 1996 1995 (c)
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 10.00 $ 14.47 $ 13.46 $ 14.37 $ 12.48 $ 9.55
Income (loss) from
investment operations:
Net investment income
(loss) 0.01 0.02 0.05 0.02 0.01 -- (0.01) -- (0.03) 0.02
Net realized and
unrealized gain (loss) 1.40 2.17 2.71 (0.66) 0.43 1.39 1.02 1.37 2.15 2.93
- ---------------------------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.41 2.19 2.76 (0.64) 0.44 1.39 1.01 1.37 2.12 2.95
- ---------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.02) (0.05) (0.02) -- (0.01) (0.01) -- (0.01) (0.04) (0.02)
Net realized gain (1.68) (0.19) -- -- -- (1.68) -- (1.68) (0.19) --
- ---------------------------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.70) (0.24) (0.02) -- (0.01) (1.69) -- (1.69) (0.23) (0.02)
- ---------------------------------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.29) 1.95 2.74 (0.64) 0.43 (0.30) 1.01 (0.32) 1.89 2.93
- ---------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 14.19 $ 14.48 $ 12.53 $ 9.79 $ 10.43 $ 14.17 $ 14.47 $ 14.05 $ 14.37 $12.48
- ---------------------------------------------------------------------------------------------------------------------------------
Total return (d) 11.25% 17.82% 28.38% (6.15)% 4.33% 11.13% 7.51% 11.04% 17.42% 30.97%
Ratio to average net as-
sets of (e):
Expenses, net of waivers
and reimbursements 0.92% 0.91% 0.91% 0.91% 0.91% 1.16% 1.15% 1.31% 1.30% 1.30%
Expenses, before waivers
and reimbursements 1.41% 1.43% 1.47% 1.55% 1.88% 1.65% 1.67% 1.80% 1.82% 1.86%
Net investment income
(loss), net of waivers
and reimbursements 0.22% 0.12% 0.46% 0.24% 0.14% (0.02)% (0.12)% (0.17)% (0.28)% (0.11)%
Net investment income
(loss), before waivers
and reimbursements (0.27)% (0.40)% (0.10)% (0.39)% (0.83)% (0.51)% (0.64)% (0.66)% (0.80)% (0.67)%
Portfolio turnover rate 60.73% 116.78% 85.93% 74.28% 27.48% 60.73% 116.78% 60.73% 116.78% 85.93%
Average commission rate
per share $ 0.0671 $ 0.0730 NA NA NA $0.0671 $0.0730 $0.0671 $0.0730 NA
Net assets at end of
period (in thousands) $114,152 $106,250 $86,099 $57,801 $32,099 $ 7,333 $ 6,993 $ 724 $ 656 $ 489
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on June 14, 1996.
(c) Class D units were issued on December 8, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
76
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Period Ended May 31, 1997 (Unaudited)
INTERNATIONAL EQUITY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A
--------
1997 (a)
- ------------------------------------------------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 10.00
Income from investment operations:
Net investment income 0.05
Net realized and unrealized gain 0.96
- ------------------------------------------------------------------
Total income from investment operations 1.01
- ------------------------------------------------------------------
DISTRIBUTIONS TO UNITHOLDERS FROM:
Net investment income --
- ------------------------------------------------------------------
Total distributions to unitholders --
- ------------------------------------------------------------------
Net increase 1.01
- ------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $ 11.01
- ------------------------------------------------------------------
Total return (b) 10.07%
Ratio to average net assets of (c):
Expenses, net of waivers and reimbursements 0.51%
Expenses, before waivers and reimbursements 2.61%
Net investment income, net of waivers and reimbursements 2.62%
Net investment income, before waivers and reimbursements 0.52%
Portfolio turnover rate 0.03%
Average commission rate per share $0.0152
Net assets at end of period (in thousands) $15,199
- ------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on April 1, 1997.
(b) Assumes investment at net asset value at beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value of the end of the period. Total
return is not annualized for periods less than one year.
(c) Annualized for periods less than a full year.
See accompanying notes to financial statements.
77
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and the Years Ended November
30,
INTERNATIONAL GROWTH PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
--------------------------------------- ----------------------------------
1997 1996 1995 1994(a) 1997 1996 1995 1994(b)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 10.63 $ 9.88 $ 10.21 $ 10.00 $ 10.54 $ 9.83 $10.21 $10.47
Income (loss) from in-
vestment operations:
Net investment income 0.04 0.10 0.12 0.05 0.05 0.01 0.19 --
Net realized and
unrealized gain (loss) 0.53 0.87 (0.36) 0.16 0.49 0.92 (0.48) (0.26)
- ------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.57 0.97 (0.24) 0.21 0.54 0.93 (0.29) (0.26)
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.08) (0.22) (0.05) -- (0.08) (0.22) (0.05) --
Net realized gain (0.45) -- (0.04) -- (0.45) -- (0.04) --
- ------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.53) (0.22) (0.09) -- (0.53) (0.22) (0.09) --
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) 0.04 0.75 (0.33) 0.21 0.01 0.71 (0.38) (0.26)
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 10.67 $ 10.63 $ 9.88 $ 10.21 $ 10.55 $ 10.54 $ 9.83 $10.21
- ------------------------------------------------------------------------------------------------------
Total return (c) 5.69% 9.96% (2.32)% 2.11% 5.47% 9.59% (2.78)% (2.56)%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 1.06% 1.06% 1.06% 1.04% 1.45% 1.45% 1.45% 1.35%
Expenses, before waiv-
ers and reimbursements 1.41% 1.43% 1.38% 1.47% 1.80% 1.82% 1.77% 1.78%
Net investment income,
net of waivers and
reimbursements 0.84% 0.73% 1.22% 0.76% 0.45% 0.44% 2.01% --
Net investment income,
before waivers and
reimbursements 0.49% 0.36% 0.90% 0.33% 0.10% 0.07% 1.69% (0.43)%
Portfolio turnover rate 88.69% 202.47% 215.31% 77.79% 88.69% 202.47% 215.31% 77.79%
Average commission rate
per share $ 0.0200 $ 0.0292 NA NA $0.0200 $0.0292 NA NA
Net assets at end of pe-
riod (in thousands) $124,958 $138,182 $148,704 $133,212 $ 149 $ 94 $ 20 --
- ------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
78
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Six Months Ended May 31, 1997 (Unaudited) and Years Ended November 30,
SMALL COMPANY INDEX PORTFOLIO
<TABLE>
<CAPTION>
Class A Class D
-----------------------------------------------
--------------------------
1997 1996 1995 1994 1993 (a) 1997 1996 1995 (b)
- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 10.00 $ 13.96 $ 12.95 $10.51
Income (loss) from in-
vestment operations:
Net investment income 0.09 0.19 0.16 0.14 0.11 0.14 0.13 0.18
Net realized and
unrealized gain (loss) 0.94 1.75 2.67 (0.30) 1.29 0.88 1.83 2.96
- ------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.03 1.94 2.83 (0.16) 1.40 1.02 1.96 3.14
- ------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.17) (0.14) (0.15) (0.02) (0.11) (0.15) (0.14) (0.14)
Net realized gain (1.59) (0.81) (0.56) (0.25) -- (1.59) (0.81) (0.56)
- ------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (1.76) (0.95) (0.71) (0.27) (0.11) (1.74) (0.95) (0.70)
- ------------------------------------------------------------------------------------------------------
Net increase (decrease) (0.73) 0.99 2.12 (0.43) 1.29 (0.72) 1.01 2.44
- ------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 13.24 $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 13.24 $ 13.96 $12.95
- ------------------------------------------------------------------------------------------------------
Total return (c) 8.33% 15.96% 27.76% (1.54)% 14.09% 8.18% 16.20% 31.62%
Ratio to average net as-
sets of (d):
Expenses, net of waiv-
ers and reimbursements 0.31% 0.32% 0.32% 0.33% 0.31% 0.70% 0.71% 0.71%
Expenses, before waiv-
ers and reimbursements 0.74% 0.79% 0.81% 0.86% 1.02% 1.13% 1.18% 1.20%
Net investment income,
net of waivers and
reimbursements 1.36% 1.36% 1.31% 1.27% 1.25% 0.97% 1.02% 0.90%
Net investment income,
before waivers and
reimbursements 0.93% 0.89% 0.82% 0.74% 0.54% 0.54% 0.55% 0.41%
Portfolio turnover rate 3.06% 46.26% 38.46% 98.43% 26.31% 3.06% 46.26% 38.46%
Average commission rate
per share $ 0.0286 $ 0.0257 NA NA NA $0.0286 $0.0257 NA
Net assets at end of pe-
riod (in thousands) $123,264 $112,856 $94,899 $ 77,120 $54,763 $ 247 $ 269 $ 44
- ------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on December 8, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
79
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
May 31, 1997
(Unaudited)
1. ORGANIZATION
The Benchmark Funds (the "Trust") is a Massachusetts business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end
management investment company. The Trust includes seventeen portfolios, each
with its own investment objective. Each Portfolio, other than the
International Bond Portfolio, is classified as a diversified investment
company. The Northern Trust Company ("Northern") acts as the Trust's
investment adviser, transfer agent, and custodian. Goldman, Sachs & Co.
("Goldman Sachs") acts as the Trust's administrator and distributor. Presented
herein are the financial statements of the fixed income and equity portfolios
("the Portfolios").
Each of the Portfolios, except the Short Duration Portfolio, may issue four
separate classes: Class A, B, C and D. Each class is distinguished by the
level of administrative support and transfer agent service provided. As of May
31, 1997, Class A, Class C and Class D units are outstanding for certain
Portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
These policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
(a) Investment Valuation
Investments held by a Portfolio are valued at the last quoted sale price on
the exchange on which such securities are primarily traded, or if any
securities are not traded on a valuation date, at the last quoted bid price.
Securities which are traded in the over-the-counter markets are valued at the
last quoted bid price. Exchange traded futures and options are valued at the
settlement price as established by the exchange on which they are traded.
Index futures are marked to market on a daily basis. Any securities, including
restricted securities, for which current quotations are not readily available
are valued at fair value as determined in good faith by Northern under the
supervision of the Board of Trustees ("Board"). Short-term investments are
valued at amortized cost which Northern has determined, pursuant to Board
authorization, approximates market value.
(b) Repurchase Agreements
During the term of a repurchase agreement, the market value of the underlying
collateral, including accrued interest, is required to exceed the market value
of the repurchase agreement. The underlying collateral for all repurchase
agreements is held in a customer-only account of Northern, as custodian for
the Trust, at the Federal Reserve Bank of Chicago.
(c) Futures Contracts
Each Portfolio may invest in long or short futures contracts for hedging
purposes, to increase total return (i.e., for speculative purposes) or to
maintain liquidity. The Portfolios bear the market risk arising from changes
in the value of these financial instruments. At the time a Portfolio enters
into a futures contract it is required to make a margin deposit with the
custodian of a specified amount of liquid assets. Subsequently, as the market
price of the futures contract fluctuates, gains or losses are recorded and
payments are made, on a daily basis, between the portfolio and the broker. The
Statements of Operations reflects gains and losses as realized for closed
futures contracts and as unrealized for open futures contracts.
At May 31, 1997, the Equity Index and Small Company Index Portfolios had
entered into long exchange traded futures contracts. The aggregate market
value of assets pledged to cover margin requirements for open positions at May
31, 1997 was approximately $1,191,000 and $94,000 for the Equity Index and
Small Company Index Portfolios, respectively.
(d) Options Contracts
Each Portfolio may purchase and write (sell) put and call options on foreign
and domestic stock indices, foreign currencies, and U.S. and foreign
securities that are traded on U.S. and foreign securities exchanges and over-
the-counter markets. These transactions are for hedging (or cross-hedging)
purposes or for the purposes of earning additional income.
The risk associated with purchasing an option is that the Portfolio pays a
premium whether or not the option is exercised. Additionally, the Portfolio
bears the risk of loss of premium and change in market value should the
counterparty not perform under the contract. Put and call options purchased
are accounted for in the same manner as
80
<PAGE>
- -------------------------------------------------------------------------------
Portfolio securities. The cost of securities acquired through the exercise of
call options is increased by the premiums paid. The proceeds from securities
sold through the exercise of put options are decreased by the premiums paid.
In writing an option, the Portfolio bears the market risk of an unfavorable
change in the price of the security or currency underlying the written option.
Exercise of an option written by the Portfolio could result in the Portfolio
selling or buying a security or currency at a price different from the current
market value. Transactions in written call options for the six months ended
May 31, 1997 for the Portfolios were as follows:
<TABLE>
<CAPTION>
Premiums Focused Growth
- -------------------------------------------------------------------
(In thousands)
<S> <C>
Options outstanding, at November 30, 1996 $ --
Options written 111
Options terminated in closing purchase transactions (26)
Options expired (67)
Options exercised (18)
- -------------------------------------------------------------------
Options outstanding, at May 31,1997 $ --
- -------------------------------------------------------------------
</TABLE>
The Portfolios did not write put options during the six months ended May 31,
1997.
(e) Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into
U.S. dollars using the spot market rate of exchange at the time of valuation.
Cost of purchases and proceeds from sales of investments, interest and
dividend income are translated into U.S. dollars using the spot market rate of
exchange prevailing on the respective dates of such transactions.
The gains or losses on investments resulting from changes in foreign exchange
rates are included with net realized and unrealized gain (loss) on
investments.
(f) Investment Transactions and Investment Income
Investment transactions are recorded on the trade date. Realized gains and
losses on investment transactions are calculated on the identified-cost basis.
Interest income is recorded on the accrual basis and includes amortization of
discounts and premiums. Dividend income is recorded on the ex-dividend date.
Dividends from foreign securities are recorded on the ex-date, or as soon as
the information is available.
(g) Forward Foreign Currency Exchange Contracts
Certain Portfolios are authorized to enter into forward foreign currency
exchange contracts for the purchase of a specific foreign currency at a fixed
price on a future date as a hedge or cross-hedge against either specific
transactions or portfolio positions. In addition, the International Bond and
International Growth Portfolios may enter into foreign currency exchange
contracts for speculative purposes. The objective of the Portfolio's foreign
currency hedging transactions is to reduce the risk that the U.S. dollar value
of the Portfolio's foreign currency denominated securities will decline in
value due to changes in foreign currency exchange rates. All forward foreign
currency contracts are "marked-to-market" daily at the applicable exchange
rates and any resulting unrealized gains or losses are recorded in the
financial statements. The Portfolio records realized gains or losses when the
forward contract is offset by entry into a closing transaction or extinguished
by delivery of the currency. Risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms of
their contracts and from unanticipated movements in the value of a foreign
currency relative to the U.S. dollar.
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all
related and offsetting transactions are considered.
At May 31, 1997, the International Bond Portfolio had outstanding contracts
to sell 91,714,400 Japanese yen in exchange for $800,000. Unrealized
appreciation on this contract totaled approximately $25,000 at May 31, 1997.
(h) Federal Taxes
It is each Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all of its taxable income and capital gains to its
unitholders. Therefore, no provision is made for federal taxes.
At November 30, 1996, the Trust's most recent tax year end, the Portfolios
had approximately the following amounts of capital loss carryforwards for U.S.
federal tax purposes:
<TABLE>
<CAPTION>
Amount Year(s) of Expiration
- ----------------------------------------------------------------
(in thousands)
<S> <C> <C>
Bond $1,398 2002 to 2003
Short Duration 581 2002 to 2003
U.S. Government Securities 168 2001 to 2003
U.S. Treasury Index 979 2002
- ----------------------------------------------------------------
</TABLE>
81
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
May 31, 1997
(Unaudited)
These amounts are available to be carried forward to offset future capital
gains to the extent permitted by applicable laws or regulations.
(i) Deferred Organization Costs
Organization related costs are being amortized on a straight-line basis over
five years.
(j) Expenses
Expenses arising in connection with a specific Portfolio are allocated to that
Portfolio. Certain expenses arising in connection with a class of units are
allocated to that class of units. Expenses incurred which do not specifically
relate to an individual Portfolio are allocated among the Portfolios based on
each Portfolio's relative net assets.
(k) Distributions
Dividends from net investment income are declared and paid as follows:
<TABLE>
<CAPTION>
Declared Paid
- -----------------------------------------------
<S> <C> <C>
Bond Monthly Monthly
International Bond Quarterly Quarterly
Short Duration Daily Monthly
Short-Intermediate Bond Monthly Monthly
U.S. Government Securities Monthly Monthly
U.S. Treasury Index Monthly Monthly
Balanced Quarterly Quarterly
Diversified Growth Annually Annually
Equity Index Quarterly Quarterly
Focused Growth Annually Annually
International Equity Index Annually Annually
International Growth Annually Annually
Small Company Index Annually Annually
- -----------------------------------------------
</TABLE>
Each Portfolio's net realized capital gains are distributed at least
annually. Income dividends and capital gain distributions are determined in
accordance with income tax regulations. Such amounts may differ from income
and capital gains recorded in accordance with generally accepted accounting
principles.
(l) Reclassifications
At November 30, 1996, certain Portfolios made reclassifications among their
capital accounts to reflect the characterization of certain income and capital
gains distributions for federal income tax purposes, as follows:
<TABLE>
<CAPTION>
Undistributed Undistributed
Net Investment Net Capital
Amounts in Thousands Income Gains/(Losses)
- ---------------------------------------------------------
<S> <C> <C>
Bond $740 $(740)
International Bond 404 (404)
Short-Intermediate Bond (390) 390
U.S. Government Securities (11) 11
International Growth 72 (72)
Small Company Index (5) 5
- ---------------------------------------------------------
</TABLE>
These reclassifications had no impact on the net asset value of the
Portfolios and are designed to present those Portfolios' capital accounts on a
tax basis.
3. ADVISORY, TRANSFER AGENCY AND CUSTODIAN AGREEMENTS
The Trust has an investment advisory agreement with Northern whereby each
Portfolio pays Northern a fee, computed daily and payable monthly, based on a
specified percentage of its average daily net assets. For the current fiscal
year, Northern voluntarily agreed to waive a portion of the advisory fees as
shown on the accompanying Statements of Operations. The annual advisory fees
and waiver rates expressed as a percentage of average daily net assets for the
six months ended May 31, 1997, are as follows:
<TABLE>
<CAPTION>
Net
Advisory Less: Advisory
Fee Waiver Fee
- ----------------------------------------------------
<S> <C> <C> <C>
Bond .60% .35% .25%
International Bond .90 .20 .70
Short Duration .40 .25 .15
Short-Intermediate Bond .60 .35 .25
U.S. Government Securities .60 .35 .25
U.S. Treasury Index .40 .25 .15
Balanced .80 .30 .50
Diversified Growth .80 .25 .55
Equity Index .30 .20 .10
Focused Growth 1.10 .30 .80
International Equity Index .50 .25 .25
International Growth 1.00 .20 .80
Small Company Index .40 .20 .20
- ----------------------------------------------------
</TABLE>
As compensation for the services rendered as transfer agent, including the
assumption by Northern of the expenses related thereto, Northern receives a
fee, computed daily and payable monthly, at an annual rate of .01%, .05%, .10%
and .15% of the average daily net asset value of the outstanding Class A, B, C
and D units, respectively, for the Portfolios, except the Short Duration
Portfolio.
As compensation for the services rendered as custodian for the Portfolios and
for services rendered as transfer agent for the Short Duration Portfolio,
including the assumption by Northern of the expenses related thereto, Northern
receives compensation based on a pre-determined schedule of charges approved
by the Board.
82
<PAGE>
- -------------------------------------------------------------------------------
4. ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust has an administration agreement with Goldman Sachs whereby each
Portfolio pays the Administrator a fee, computed daily and payable monthly, at
an annual rate of .10% of the Portfolios daily net assets, except the
International Bond, International Equity Index and International Growth
Portfolios which pay the Administrators a fee, computed daily and payable
monthly, at an annual rate of .15% of their respective daily net assets. In
addition, if in any fiscal year, the sum of a Portfolio's expenses (including
the administration fee, but excluding the investment advisory fee and transfer
agency fee payable to Northern pursuant to its agreements with the Trust and
servicing fees, and extraordinary expenses (such as taxes, interest, and
indemnification expenses)), exceeds on an annualized basis .10% of a
Portfolio's average net assets (0.25% for International Growth Portfolio,
International Bond Portfolio and International Equity Index Portfolio),
Goldman Sachs will reimburse each Portfolio for the amount of the excess
pursuant to the terms of the administration agreement.
Prior to May 1, 1997 each Portfolio paid the Administrator a fee, computed
daily and payable monthly, based on the average net assets of each Portfolio
at the rates set forth below:
<TABLE>
<CAPTION>
Average net assets Rate
- ---------------------------------------
<S> <C>
For the first $100,000,000 .250%
For the next $200,000,000 .150
For the next $450,000,000 .075
For net assets over $750,000,000 .050
- ---------------------------------------
</TABLE>
Prior to May 1, 1997, Goldman Sachs also voluntarily agreed to limit
administration fees to .10% of average daily net assets for each Portfolio,
except the Short Duration Portfolio. In addition, Goldman Sachs agreed to
waive a portion of its administrative fees should overall administration fees
earned during the preceding year exceed certain specified levels. No waiver
was required under this agreement during the six months ended May 31, 1997.
Furthermore, Goldman Sachs voluntarily agreed to reimburse each Portfolio for
certain expenses in the event that such expenses, as defined, exceed on an
annualized basis .10% of its average daily net assets for such fiscal year for
the Bond, Short-Intermediate Bond, Short Duration, U.S. Government Securities,
U.S. Treasury Index, Balanced, Diversified Growth, Equity Index, Focused
Growth and Small Company Index Portfolios and .25% of the average daily net
assets for such fiscal year for the International Bond, International Equity
Index and International Growth Portfolios.
The administration fees waived and expenses reimbursed during the six months
ended May 31, 1997 are shown on the accompanying Statements of Operations.
Goldman Sachs receives no compensation under the distribution agreement.
5. UNITHOLDER SERVICING PLAN
The Trust has adopted a Unitholder Servicing Plan pursuant to which the Trust
may enter into agreements with institutions or other financial intermediaries
under which they will render certain unitholder administrative support
services for their customers or other investors who beneficially own Class B,
C and D units. As compensation under the Unitholder Servicing Plan, the
institution or other financial intermediary receives a fee at an annual rate
of up to .10%, .15% and .25% of the average daily net asset value of the
outstanding Class B, C and D units, respectively.
6. INVESTMENT TRANSACTIONS
Investment transactions for the six months ended May 31, 1997(excluding short-
term investments) were as follows:
<TABLE>
<CAPTION>
Proceeds
from sales Proceeds
and from
Purchases maturities sales and
of U.S. Purchases of U.S. maturities
Government of other Government of other
Obligations securities Obligations securities
- -------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $107,189 $205,917 $184,040 $32,882
International Bond -- 3,663 -- 6,344
Short Duration 2,496 -- -- 8,824
Short-Intermediate Bond 17,214 37,065 43,953 8,040
U.S. Government Securities 56,887 -- 57,555 --
U.S. Treasury Index 11,292 -- 7,939 --
Balanced 5,068 14,204 7,787 10,054
Diversified Growth -- 18,782 -- 36,744
Equity Index -- 67,701 -- 39,300
Focused Growth -- 67,091 -- 71,514
International Equity Index -- 13,887 -- 4
International Growth -- 109,745 -- 126,339
Small Company Index -- 10,033 -- 3,411
- -------------------------------------------------------------------------
</TABLE>
83
<PAGE>
The Benchmark Funds
Fixed Income and Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
May 31, 1997
(Unaudited)
As of May 31, 1997, the composition of unrealized appreciation (depreciation)
of investment securities (including the effects of foreign currency
translation) based on the aggregate cost of investments for federal income tax
purposes were as follows:
<TABLE>
<CAPTION>
Cost for
Federal
Net Income
Appreciation Tax
Appreciation Depreciation (Depreciation) Purposes
- -----------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond $ 4,931 $ 4,750 $ 181 $470,854
International Bond 2,354 2,117 237 27,613
Short Duration -- 61 (61) 46,248
Short-Intermediate Bond 1,375 1,377 (2) 161,679
U.S. Government Securities 324 685 (361) 95,255
U.S. Treasury Index 163 300 (137) 30,288
Balanced 9,685 328 9,357 44,914
Diversified Growth 46,762 334 46,428 94,248
Equity Index 277,040 10,631 266,409 591,475
Focused Growth 23,857 1,298 22,559 99,211
International Equity Index 1,328 161 1,167 13,947
International Growth 13,045 3,058 9,987 112,198
Small Company Index 32,154 12,027 20,127 103,224
- -----------------------------------------------------------------------------
</TABLE>
7. BANK LOANS
The Trust maintains a $5,000,000 revolving bank credit line and a $15,000,000
conditional revolving credit line for liquidity and other purposes. Borrowings
under this arrangement bear interest at 1% above the Fed Funds rate and are
secured by pledged securities equal to or exceeding 120% of the outstanding
balance.
Interest expense for the six months ended May 31, 1997 was approximately
$8,000, $29,000, $3,000 and $1,000 for the Diversified Growth, Equity Index,
Focused Growth and International Growth Portfolios, respectively. These
amounts are included in "Other Expenses" on the Statements of Operations.
As of May 31, 1997, there were no outstanding borrowings.
8. UNIT TRANSACTIONS
Transactions in Class A units for the six months ended May 31, 1997 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- ----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 4,251 513 2,356 2,408
International Bond 36 42 220 (142)
Short Duration 2,713 127 2,512 328
Short-Intermediate Bond 2,038 231 1,939 330
U.S. Government Securities 1,996 113 2,703 (594)
U.S. Treasury Index 219 34 75 178
Balanced 398 149 303 244
Diversified Growth 470 1,144 1,682 (68)
Equity Index 9,010 2,283 9,729 1,564
Focused Growth 743 905 939 709
International Equity Index 1,381 -- -- 1,381
International Growth 863 606 2,751 (1,282)
Small Company Index 890 1,087 752 1,225
- ----------------------------------------------------------------------
</TABLE>
Transactions in Class A units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -----------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 7,010 910 3,920 4,000
International Bond 272 81 313 40
Short Duration 6,424 243 7,034 (367)
Short-Intermediate Bond 3,372 424 4,028 (232)
U.S. Government Securities 5,223 211 3,637 1,797
U.S. Treasury Index 642 37 254 425
Balanced 989 93 911 171
Diversified Growth 1,187 290 3,615 (2,138)
Equity Index 22,992 1,743 19,101 5,634
Focused Growth 2,500 117 2,151 466
International Growth 2,737 230 5,018 (2,051)
Small Company Index 2,188 516 1,933 771
- -----------------------------------------------------------------------
</TABLE>
84
<PAGE>
- -------------------------------------------------------------------------------
Transactions in Class C units for the six months ended May 31, 1997 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 2,558 34 219 2,373
U.S. Government Securities 41 5 36 10
Balanced 63 19 163 (81)
Equity Index 722 198 500 420
Focused Growth 10 63 38 35
- -------------------------------------------------------------------------------
Transactions in the Class C units for the year ended November 30, 1996 were as
follows:
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 214 13 51 176
U.S. Government Securities 234 8 66 176
Balanced 548 11 69 490
Equity Index 3,499 70 1,685 1,884
Focused Growth 529 0 46 483
- -------------------------------------------------------------------------------
Transactions in Class D units for the six months ended May 31, 1997 were as
follows:
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -------------------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 3 -- 6 (3)
International Bond 1 -- -- 1
Short-Intermediate Bond 7 -- 1 6
U.S. Government Securities 5 -- 1 4
U.S. Treasury Index 42 1 15 28
Balanced 11 1 8 4
Diversified Growth 10 4 1 13
Equity Index 649 26 90 585
Focused Growth 6 6 6 6
International Growth 5 -- -- 5
Small Company Index 12 1 13 --
- -------------------------------------------------------------------------------
</TABLE>
Transactions in Class D units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- --------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Bond 6 -- 1 5
International Bond 1 -- -- 1
Short-Intermediate Bond 16 -- -- 16
U.S. Government Securities 10 1 3 8
U.S. Treasury Index 29 1 3 27
Balanced 20 -- 1 19
Diversified Growth 17 1 6 12
Equity Index 436 6 24 418
Focused Growth 13 1 7 7
International Growth 7 -- -- 7
Small Company Index 17 -- 1 16
- --------------------------------------------------------------------
</TABLE>
9. SUBSEQUENT EVENT
The Short Duration Portfolio ceased investment operations on June 30, 1997.
85
<PAGE>
THE BENCHMARK FUNDS
Investment Adviser, Transfer Agent and
Custodian
The Northern Trust Company
50 S. LaSalle Street
Chicago, IL 60675
Administrator and Distributor
Goldman, Sachs & Co.
4900 Sears Tower
Chicago, IL 60606
Trustees
William H. Springer, Chairman
Edward J. Condon, Jr.
John W. English
James J. Gavin, Jr.
Frederick T. Kelsey
Richard P. Strubel
Officers
Paul W. Klug, Jr., President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Valerie A. Zondorak, Assistant Secretary
Legal Counsel
Drinker Biddle & Reath LLP
1345 Chestnut Street
Philadelphia, PA 19107
This Semi-Annual Report is authorized for distribution to prospective
investors only when preceded or accompanied by a Prospectus which contains
facts concerning the objectives and policies, management expenses and other
information.
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK BALANCED PORTFOLIO
The relative superiority of stock returns over bond returns had the largest in-
fluence on the portfolio's absolute performance during the fiscal year ended
November 30, 1996.
In general, the stock market environment was most favorable to larger-capi-
talization portfolios. The Benchmark Balanced Portfolio underperformed its com-
posite index, primarily due to the portfolio's less-aggressive stance toward
technology stocks. In addition, the underperformance of medium-capitalization
health care stocks also was a factor.
We implemented three primary equity strategies during the year. First, we fo-
cused on holding fewer companies. Second, as trades transpired, we raised the
capitalization of new issues. And third, we gave a little more emphasis to the
energy sector.
In addition to raising the energy weighting, we increased the portfolio's
technology and financial weightings, and we reduced the weightings in utili-
ties, cyclicals and capital goods. In the technology area, we are favoring PC
and networking stocks, while the financial area remains attractive due to pos-
sible easing by the Federal Reserve and low inflation.
Over the next 12 months we will continue to emphasize quality growth stocks,
particularly those in the technology and financial sectors. We believe that
these securities should do well as the economic climate remains favorable and
inflation and interest rates remain low.
In the portfolio's bond component, we continue to hold a neutral interest
rate posture. The current inflation rate continues to make yields attractive
from a historical real yield perspective. While corporate spreads remain tight
by historical standards, we continue to find opportunity to add value and re-
main overweighted in the corporate and mortgage sectors.
Kurt Anderson, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN BENCHMARK BALANCED
PORTFOLIO VS. S&P 500 COMPOSITE STOCK PRICE INDEX, THE LEHMAN BROTHERS
INTERMEDIATE GOVERNMENT/CORPORATE INDEX AND THE COMPOSITE INDEX
-l-Balanced Portfolio
- - + - -
Composite Index
- -c- -S&P 500 Index
- -2 - -Lehman Brothers
Intermediate Government/
Corporate Index (Lehman
Brothers)
<TABLE>
<CAPTION>
Balanced Lehman Composite
Portfolio S&P 500 Brothers Index
---------- --------- -------- ---------
<S> <C> <C> <C> <C>
7/1/93 $10,000 $10,000 $10,000 $10,000
11/30/93 $10,312 $10,372 $10,195 $10,290
11/30/94 $9,821 $10,485 $10,009 $10,304
11/30/95 $11,807 $14,365 $11,462 $12,981
11/30/96 $13,468 $18,369 $12,130 $15,261
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A S&P 500 Lehman Composite
November 30, 1996: Units Index Brothers Index*
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
One Year: 14.07% 27.88% 5.83% 17.57%
- ---------------------------------------------------------------------------------
Since Commencement on 7/1/93: 9.09% 19.45% 5.80% 13.15%
- ---------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Balanced Composite Lehman
Portfolio S&P 500 Index Brothers
--------- ------- --------- --------
<S> <C> <C> <C> <C>
12/29/95 $10,000 $10,000 $10,000 $10,000
11/30/96 $11,272 $12,546 $11,582 $10,473
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns**
For Period Ended Class C S&P 500 Lehman Composite
November 30, 1996: Units Index Brothers Index*
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Since Commencement on 12/29/95: 12.72% 25.46% 4.73% 15.82%
- -----------------------------------------------------------------------------------
</TABLE>
Units of The Benchmark Funds are not bank deposits or obligations of, or
guaranteed, endorsed or otherwise supported by The Northern Trust Company, its
parent company or its affiliates, and are not federally insured or guaranteed
by the U.S. Government, Federal Deposit Insurance Corporation, Federal Reserve
Board, or any other governmental agency. Investment in the portfolios involves
investment risks, including possible loss of principal amount invested.
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN BENCHMARK BALANCED
PORTFOLIO VS. S&P 500 COMPOSITE STOCK PRICE INDEX, THE LEHMAN BROTHERS
INTERMEDIATE GOVERNMENT/CORPORATE INDEX AND THE COMPOSITE INDEX--CONTINUED
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
BALANCED S&P LEHMAN COMPOSITE
PORTFOLIO 500 INDEX BROTHERS INDEX
- ------------------- --------- --------- -------- ---------
<S> <C> <C> <C> <C>
2/20/96 $ 10,000 $ 10,000 $10,000 $10,000
11/30/96 $ 11,055 $ 12,026 $10,455 $11,227
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns**
For Period Ended Class D S&P 500 Lehman Composite
November 30, 1996: Units Index Brothers Index*
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Since Commencement on 2/20/96: 10.55% 20.26% 4.55% 12.27%
- -----------------------------------------------------------------------------------
</TABLE>
*The Composite Index consists of 55%, 40% and 5% of the S&P 500, The Lehman
Brothers Intermediate Government/Corporate Index and 91-Day Treasury Bills,
respectively.
**Average Annual Total Returns are not annualized for periods less than one
year.
2
<PAGE>
- --------------------------------------------------------------------------------
THE BENCHMARK DIVERSIFIED GROWTH PORTFOLIO
Several factors influenced the portfolio's fiscal-year performance, particu-
larly the portfolio's relative overweighting in selected financial and health
care issues and its overall exposure to larger-capitalization stocks, which
dominated this phase of the market cycle.
Compared to the return on the S&P 500 Index, the portfolio's performance
lagged. This was due to the portfolio's less-than-aggressive stance toward the
technology sector throughout most of the year. And, as we moved into the latter
part of the fiscal year, certain issues--such as Olsten and Electronic Data
Systems--fell short of anticipated earnings, which held back the portfolio's
performance.
Throughout the 12-month period, we reduced the number of issues in the port-
folio. Early on, the portfolio held as many as 75 stocks and was much more
broadly diversified across issues. By year-end, the portfolio held approxi-
mately 55 securities. We reduced the portfolio's exposure to more aggressive
stocks and focused instead on quality growth issues that had the potential to
reduce total portfolio risk.
We currently are not emphasizing any particular market sectors, but we are
focusing on specific issues that we believe will show favorable revenue compar-
isons and those that represent good value relative to their expected earnings
growth rates.
John Zielinski, Portfolio Manager
COMPARISON OF CHANGE IN VALUE
OF $10,000 INVESTMENT IN BENCHMARK DIVERSIFIED GROWTH PORTFOLIO VS. THE S&P 500
COMPOSITE STOCK PRICE INDEX
- -l- Diversified Growth Portfolio - -
c- - S&P 500 Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Diversified
Growth S&P
Portfolio 500 Index
---------- ---------
<S> <C> <C>
1/11/93 $10,000 $10,000
11/30/93 $10,738 $11,041
11/30/94 $ 9,988 $11,161
11/30/95 $12,441 $15,291
11/30/96 $15,032 $19,554
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 20.83% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 11.05% 18.81%
- -------------------------------------------------------------------------------------------
</TABLE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Diversified
Growth S&P
Portfolio 500 Index
---------- ---------
<S> <C> <C>
9/14/94 $10,000 $10,000
11/30/94 $ 9,486 $ 9,738
11/30/95 $11,781 $13,341
11/30/96 $14,183 $17,060
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class D S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 20.39% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 9/14/94: 17.10% 27.29%
- -------------------------------------------------------------------------------------------
</TABLE>
3
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK EQUITY INDEX PORTFOLIO
The S&P 500 Index continued its strong performance, returning 27.9% for the
fiscal year ended November 30, 1996. This surpassed the performance of small-
capitalization stocks as measured by the Russell 2000 Index, which returned
16.5% for the year.
After adjusting for expenses, the portfolio, which is designed to replicate
the S&P 500 Index's performance in an efficient, cost-effective manner, pro-
vided a return that closely matched the return for the Index.
There were 23 additions and deletions to the Index throughout the fiscal
year, the most notable being the Chemical Bank/Chase merger and the
Disney/Capital Cities merger. These changes, as well as quarterly rebalancings,
were made in the portfolio at the time they were initiated in the Index.
During the next 12 months, we will continue to follow a passive index strat-
egy designed to provide equity market returns, as defined by the S&P 500 Index.
Susan French, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK EQUITY INDEX PORTFOLIO VS. THE S&P 500
COMPOSITE STOCK PRICE INDEX
-l- Equity Index Portfolio - -
c- - S&P 500 Index
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
Equity
Index S&P
Portfolio 500 Index
- ------------------- --------- ---------
<S> <C> <C>
1/11/93 $10,000 $10,000
11/30/93 $11,008 $11,041
11/30/94 $11,104 $11,161
11/30/95 $15,168 $15,291
11/30/96 $19,344 $19,554
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 27.53% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 18.48% 18.81%
- -------------------------------------------------------------------------------------------
</TABLE>
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK EQUITY INDEX PORTFOLIO VS. THE S&P 500
COMPOSITE STOCK PRICE INDEX--CONTINUED
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
Equity
Index S&P
Portfolio 500 Index
- ------------------- --------- ---------
<S> <C> <C>
9/28/95 $10000 $10000
11/30/95 $10394 $10402
11/30/96 $13225 $13302
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class C S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 27.24% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 9/28/95: 26.85% 27.61%
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
Equity
Index S&P
Portfolio 500 Index
- ------------------- --------- ---------
<S> <C> <C>
9/14/94 $10000 $10000
11/30/94 $ 9732 $9738
11/30/95 $13255 $13341
11/30/96 $16860 $17060
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class D S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 27.20% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 9/14/94: 26.61% 27.29%
- -------------------------------------------------------------------------------------------
</TABLE>
4
<PAGE>
- --------------------------------------------------------------------------------
THE BENCHMARK FOCUSED GROWTH PORTFOLIO
Activity in the technology sector, and how we invested in technology stocks at
certain points during the year, had the largest influence on the portfolio's
performance for the fiscal year ended November 30, 1996.
The portfolio's underperformance relative to its market index can be attrib-
uted to two specific periods of time. In December 1995 a number of sectors, in-
cluding business services, technology, financial and health care,
underperformed the index by a large margin. As a result, the portfolio's per-
formance was off by approximately 2.6% for the month. In the summer, technology
stocks suffered a setback, which was reflected in the portfolio's performance.
We then implemented a hedge against technology, which prevented the portfolio
from participating in the technology upswing that occurred late in the third
quarter.
Investors should keep in mind that the portfolio normally contains a limited
number of stocks, which may create some underperformance, relative to the S&P
500 Index, over shorter time periods. Our system of identifying fundamentally
sound companies strives to provide good long-term performance.
Going forward, we believe it's doubtful that returns from the technology and
financial sectors will continue to be so relatively strong. As such, we may
take some profits from stocks in strong sectors and reinvest the proceeds in
promising areas of the market that haven't performed quite as well over the
prior year.
Tom Kirkenmeier, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK FOCUSED GROWTH
PORTFOLIO VS. THE S&P 500
COMPOSITE STOCK PRICE INDEX
-l- Focused Growth Portfolio - - c - - S&P 500 Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Focused
Growth 500 S&P 500
---------- -------
<S> <C> <C>
7/1/93 $10,000 $10,000
11/30/93 $10,433 $10,372
11/30/94 $ 9,791 $10,485
11/30/95 $12,570 $14,365
11/30/96 $14,811 $18,369
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A S&P 500
November 30, 1996: Units Index
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 17.82% 27.88%
- ---------------------------------------------------------------------------------------------
Since Commencement on 7/1/93: 12.16% 19.45%
- ---------------------------------------------------------------------------------------------
</TABLE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
FOCUSED S&P
GROWTH 500 INDEX
------- ---------
<S> <C> <C>
6/14/96 $10,000 $10,000
11/30/96 $10,751 $11,481
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns**
For Period Ended Class C S&P 500
November 30, 1996: Units Index
- --------------------------------------------------------------------------------------------
<S> <C> <C>
Since Commencement on 6/14/96: 7.51% 14.81%
- --------------------------------------------------------------------------------------------
</TABLE>
5
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
COMPARISON OF CHANGE IN VALUE OF
$10,000 INVESTMENT IN BENCHMARK FOCUSED GROWTH
PORTFOLIO VS. THE S&P 500
COMPOSITE STOCK PRICE INDEX--CONTINUED
-l- Focused Growth Portfolio - - c - - S&P 500 Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Focused
Growth S&P 500
------- -------
<S> <C> <C>
12/8/94 $10,000 $10,000
11/30/95 $13,097 $13,767
11/30/96 $15,378 $17,605
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class D S&P 500
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 17.42% 27.88%
- -------------------------------------------------------------------------------------------
Since Commencement on 12/8/94: 24.27% 33.05%
- -------------------------------------------------------------------------------------------
</TABLE>
**Average Annual Total Returns are not annualized for periods less than one
year.
6
<PAGE>
- --------------------------------------------------------------------------------
THE BENCHMARK INTERNATIONAL GROWTH PORTFOLIO
The portfolio's exposure to the underperforming Japanese stock market and the
strength of the U.S. dollar were the primary factors influencing performance
during the fiscal year. The portfolio maintained a slightly greater-than-aver-
age weighting in the Japanese market, but, more important, the dollar rose
about 10% against the yen, which magnified the underperformance in U.S. dollar
terms.
Relative to its market index, the portfolio lagged somewhat, primarily due to
its position in Japan, its less-than-aggressive stance toward Hong Kong and a
slight underexposure to Europe.
Throughout the fiscal year, we tended to favor the Asian markets, lead by Ja-
pan, rather than the European markets. In general, Asia accounted for more than
50% of the fund's weighting. Asia, however, underperformed Europe during the
period, as strong bond market performance helped propel Europe's stock markets
upward.
Recently, we reduced the portfolio's position in Asia and increased its posi-
tion in Europe, which now accounts for a little more than half of the portfo-
lio. We also reduced the portfolio's Japanese exposure to about 30%, compared
to the EAFE Index weighting of 35%.
Looking ahead, we believe that the portfolio's repositioning toward Japan and
Europe should help future performance. We will continue to emphasize specific
countries rather than economic sectors.
Robert A. LaFleur, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN BENCHMARK INTERNATIONAL
GROWTH PORTFOLIO VS. THE MORGAN STANLEY EUROPE, AUSTRALIA AND FAR EAST (EAFE)
INDEX
-l- International Growth
Portfolio
- -c- - EAFE Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International
Growth EAFE
Portfolio Index
------------- -------
<S> <C> <C>
3/28/94 $10,000 $10,000
11/30/94 $10,211 $10,204
11/30/95 $ 9,974 $10,976
11/30/96 $10,967 $12,267
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A EAFE
November 30, 1996: Units Index
- ---------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 9.96% 11.76%
- ---------------------------------------------------------------------------------------------
Since Commencement on 3/28/94: 3.50% 7.91%
- ---------------------------------------------------------------------------------------------
</TABLE>
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
International
Growth EAFE
Portfolio Index
------------- -------
<S> <C> <C>
11/16/94 $10,000 $10,000
11/30/94 $ 9,744 $ 9,823
11/30/95 $ 9,474 $10,567
11/30/96 $10,382 $11,809
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class D EAFE
November 30, 1996: Units Index
- -------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 9.59% 11.76%
- -------------------------------------------------------------------------------------------
Since Commencement on 11/16/94: 1.86% 8.49%
- -------------------------------------------------------------------------------------------
</TABLE>
7
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
MANAGEMENT'S DISCUSSION OF PORTFOLIO PERFORMANCE
THE BENCHMARK SMALL COMPANY INDEX PORTFOLIO
Small-capitalization stocks, as represented by the Russell 2000 Index, returned
16.5% for the fiscal year ended November 30, 1996. Compared to large-cap
stocks, as measured by the S&P 500 Index, small-cap stocks underperformed by
11.4%.
As it is designed to do, the portfolio's performance nearly matched that of
the Russell 2000 Index during the fiscal year.
The major changes to the portfolio occurred in June, when the Russell 2000
Index was reconstituted. Once a year, all eligible securities in the Index are
re-ranked according to market capitalization. This activity resulted in the ad-
dition of approximately 450 stocks and the deletion of approximately 350. These
changes were incorporated into the portfolio at the end of June.
At the end of the current fiscal year, the market capitalization of the com-
panies in the Index, adjusted for cross holdings, ranged from $26.13 million to
$2.10 billion. The average market capitalization of the Index's companies was
$424 million.
Going forward, we will continue to stay aligned with the Russell 2000, with
our focus on closely approximating the Index's return.
Andrew Buchner, Portfolio Manager
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT IN BENCHMARK SMALL COMPANY
PORTFOLIO VS. THE RUSSELL 2000 SMALL STOCK INDEX
-l- Small Company Portfolio - -c- -
Russell 2000 Index
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
Small Company Russell
Portfolio 2000 INDEX
- ------------------- ---------- ---------
<S> <C> <C>
1/11/93 $10000 $10000
11/30/93 $11409 $11515
11/30/94 $11233 $11363
11/30/95 $14352 $14576
11/30/96 $16642 $16976
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class A Russell 2000
November 30, 1996: Units Index
- ------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 15.96% 16.46%
- ------------------------------------------------------------------------------------------
Since Commencement on 1/11/93: 13.99% 14.57%
- ------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
[GRAPH APPEARS HERE]
<CAPTION>
Small Company Russell
Portfolio 2000 INDEX
- ------------------- ---------- ---------
<S> <C> <C>
12/08/94 $10000 $10000
11/30/95 $13162 $13263
11/30/96 $15295 $15447
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Returns
For Periods Ended Class D Russell 2000
November 30, 1996: Units Index
- ------------------------------------------------------------------------------------------
<S> <C> <C>
One Year: 16.20% 16.46%
- ------------------------------------------------------------------------------------------
Since Commencement on 12/8/94: 23.93% 24.55%
- ------------------------------------------------------------------------------------------
</TABLE>
8
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
BALANCED PORTFOLIO
<C> <S> <C>
COMMON STOCKS--54.4%
BANKING--1.2%
13,200 Banc One Corp. $ 629
BROKERAGE AND FINANCIAL SERVICES--1.2%
17,500 T. Rowe Price, Associates Inc.* 632
CHEMICALS AND ALLIED PRODUCTS--6.3%
9,100 American Home Products Corp. 585
9,400 Merck & Co., Inc. 780
14,211 Morton International, Inc. 574
11,800 Praxair, Inc. 574
6,400 Procter & Gamble Co. 696
-------
3,209
COMMUNICATIONS--1.2%
10,700 Ameritech Corp. 630
COMPUTERS AND OFFICE MACHINES--2.5%
9,300 Cisco Systems, Inc.* 631
4,300 Microsoft Corp.* 675
-------
1,306
COSMETICS AND PERSONAL CARE--1.3%
9,200 Gillette Co. 679
CREDIT INSTITUTIONS--2.5%
14,300 Green Tree Financial Corp. 599
16,300 MBNA Corp. 658
-------
1,257
ELECTRICAL SERVICES--1.1%
12,700 Duke Power Co. 589
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--5.8%
9,700 General Electric Co. 1,009
6,600 Intel Corp. 837
10,300 Linear Technology Corp. 485
11,400 Solectron Corp.* 667
-------
2,998
FOOD AND BEVERAGES--3.2%
14,400 PepsiCo, Inc. 430
4,900 Philip Morris Cos., Inc. 505
20,400 Starbucks Corp.* 706
-------
1,641
HEALTH SERVICES--3.4%
25,300 Health Management Associates, Inc.,
Class A* 560
10,898 Johnson & Johnson Co. 579
3,800 Invacare Corp. 103
7,700 Medtronic, Inc. 509
-------
1,751
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
INDUSTRIAL INSTRUMENTS--1.0%
11,100 Danaher Corp. $ 497
INSURANCE SERVICES--3.7%
5,400 American International Group, Inc. 621
3,500 General Re Corp. 591
6,700 MBIA, Inc. 678
-------
1,890
MORTGAGE AGENCIES--1.4%
17,900 Federal National Mortgage Association 738
OIL AND GAS--2.7%
6,400 Enron Corp. 293
9,900 Noble Affiliates, Inc. 466
5,900 Schlumberger Ltd. 614
-------
1,373
PAPER PRODUCTS--1.4%
7,200 Kimberly-Clark Corp. 704
PETROLEUM PRODUCTS--3.6%
9,100 Chevron Corp. 610
6,700 Exxon Corp. 634
3,400 Royal Dutch Petroleum Co. 577
-------
1,821
PROFESSIONAL SERVICES--5.3%
7,200 Cintas Corp. 437
6,800 Computer Sciences Corp.* 535
21,450 CUC International, Inc.* 566
13,800 First Data Corp. 550
12,700 Oracle Systems Corp.* 622
-------
2,710
RETAIL--4.5%
8,100 Home Depot, Inc. 422
22,700 Staples, Inc.* 448
5,000 Tommy Hilfiger Corp.* 270
10,900 Viking Office Products, Inc. 341
19,500 Walgreen Co. 814
-------
2,295
TRANSPORTATION PARTS AND EQUIPMENT--1.1%
5,900 Boeing Co. 586
- --------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $21,087) $27,935
- --------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
9
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------------------------
<C> <S> <C>
BALANCED PORTFOLIO--CONTINUED
ASSET-BACKED SECURITIES--3.1%
FINANCIAL--3.1%
Olympic Automobile Receivables Trust Series: 1995-D, Class
A3
$ 700 5.950%Due 11/15/99 $ 703
Premier Auto Trust
Series: 1994-1, Class A3
156 4.750%Due 02/02/00 155
Western Financial Grantor Trust
Series: 1994-4, Class A1
151 7.100%Due 01/01/00 153
Western Financial Grantor Trust
Series: 1995-5, Class A1
596 5.875%Due 03/01/02 597
- -------------------------------------------------------------------------------
TOTAL ASSET-BACKED SECURITIES
(Cost $1,603) $ 1,608
- -------------------------------------------------------------------------------
COLLATERALIZED MORTGAGE OBLIGATION--0.6%
Donaldson, Lufkin & Jenrette, Inc. Mortgage Acceptance
Corp.
Series: 1994-Q8, Class 2A1
$ 327 7.250% Due 05/25/24 $ 327
- -------------------------------------------------------------------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATION
(Cost $318) $ 327
- -------------------------------------------------------------------------------
CORPORATE BONDS--6.4%
FINANCIAL--4.3%
Equitable Life Assurance Co.
$ 400 6.950%Due 12/01/05 $ 402
Lehman Brothers Medium Term Note
475 6.875%Due 06/08/98 480
Lumbermens Mutual Casualty Co.
350 9.150%Due 07/01/26 392
Prudential Insurance Co. of America
400 7.650%Due 07/01/07 417
Salomon, Inc. Medium Term Note
500 5.500%Due 01/31/98 498
-------
2,189
RETAIL--0.8%
Penney (J. C.), Inc.
420 6.900%Due 08/15/26 433
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -----------------------------------------------
<C> <S> <C>
SANITARY SERVICES--1.3%
WMX Technologies, Inc.
$ 650 7.100%Due 08/01/26 $ 686
- -----------------------------------------------
TOTAL CORPORATE BONDS
(Cost $3,209) $ 3,308
- -----------------------------------------------
U.S. GOVERNMENT AGENCIES--6.0%
FEDERAL NATIONAL MORTGAGE ASSOCIATION REMIC
TRUST--3.0%
Series: 1991-37, Class G
$ 250 8.150% Due 08/25/05 $ 257
Series: 1996-M4, Class A
746 7.750% Due 03/17/17 768
Series: 1992-200, Class E
500 6.250% Due 06/25/17 500
--------
1,525
GOVERNMENT NATIONAL MORTGAGE ASSOCI-
ATION--3.0%
Pool # 432153
1,522 8.000% Due 11/15/26 1,570
- -----------------------------------------------
TOTAL U.S. GOVERNMENT AGENCIES
(Cost $3,048) $ 3,095
- -----------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--21.4%
U.S. TREASURY NOTES--21.4%
$ 1,550 8.125% Due 02/15/98 $ 1,596
750 5.375% Due 05/31/98 748
1,835 6.750% Due 05/31/99 1,881
640 6.875% Due 08/31/99 659
1,475 6.250% Due 05/31/00 1,498
1,325 7.750% Due 02/15/01 1,420
800 6.250% Due 02/15/03 814
1,000 5.750% Due 08/15/03 990
1,260 7.500% Due 02/15/05 1,379
- -----------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $10,792) $ 10,985
- -----------------------------------------------
FLOATING RATE BANK NOTE--1.6%
National Westminster Bank
$ 900 5.625%Due 02/28/97 $ 789
- -----------------------------------------------
TOTAL FLOATING RATE BANK NOTE
(Cost $762) $ 789
- -----------------------------------------------
</TABLE>
See accompanying notes to financial statements.
10
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT--6.6%
Berliner Handels und Frankfurter,
Grand Cayman
$ 3,401 5.688%Due 12/02/96 $ 3,401
- -------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $3,401) $ 3,401
- -------------------------------------------------------
TOTAL INVESTMENTS--100.1%
(Cost $44,220) $51,448
- -------------------------------------------------------
Liabilities, less other assets--(0.1)% (62)
- -------------------------------------------------------
NET ASSETS--100.0% $51,386
- -------------------------------------------------------
- -------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
11
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
DIVERSIFIED GROWTH PORTFOLIO
<C> <S> <C> <C>
COMMON STOCKS--99.1%
BANKING--4.8%
68,640 Banc One Corp. $ 3,269
108,200 First USA, Inc. 3,557
--------
6,826
BROKERAGE SERVICES--2.1%
100,000 Schwab (Charles) Corp. 3,012
CHEMICALS AND ALLIED PRODUCTS--14.3%
41,000 Abbott Laboratories 2,286
50,800 Air Products and Chemicals, Inc. 3,531
40,000 American Home Products Corp. 2,570
31,200 Merck & Co., Inc. 2,590
72,437 Morton International, Inc. 2,925
17,000 Pfizer, Inc. 1,523
62,000 Praxair, Inc. 3,015
18,300 Procter & Gamble Co. 1,990
--------
20,430
COMMUNICATIONS--3.6%
50,000 Ameritech Corp. 2,944
55,000 AT&T Corp. 2,159
--------
5,103
COMPUTERS AND OFFICE MACHINES--3.7%
27,000 Cisco Systems, Inc.* 1,833
20,000 Electronic Data Systems Corp. 967
16,300 Microsoft Corp.* 2,557
--------
5,357
COSMETICS AND PERSONAL CARE--0.7%
14,100 Gillette Co. 1,040
CREDIT INSTITUTIONS--1.5%
50,000 Green Tree Financial Corp. 2,094
ELECTRONICS AND OTHER ELECTRICAL EQUIP-
MENT--9.7%
18,000 Emerson Electric Co. 1,766
49,600 General Electric Co. 5,158
22,900 Intel Corp. 2,905
44,000 Linear Technology Corp. 2,074
35,000 Motorola, Inc. 1,938
--------
13,841
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
FOOD AND BEVERAGES--4.1%
117,000 Brinker International, Inc.* $ 2,165
45,000 PepsiCo, Inc. 1,344
22,000 Philip Morris Cos., Inc. 2,269
--------
5,778
GLASS, CLAY AND STONE PRODUCTS--1.3%
58,700 Newell Co. 1,820
HEALTH SERVICES--2.0%
35,000 Health Management Associates, Inc.,
Class A* 774
40,000 Johnson & Johnson Co. 2,125
--------
2,899
HEAVY CONSTRUCTION--2.4%
51,000 Fluor Corp. 3,468
INDUSTRIAL INSTRUMENTS--3.1%
37,600 Hewlett-Packard Co. 2,026
60,000 Sundstrand Corp. 2,340
--------
4,366
INSURANCE SERVICES--3.6%
23,900 American International Group, Inc. 2,748
23,400 MBIA, Inc. 2,366
--------
5,114
MORTGAGE AGENCIES--2.8%
92,000 Federal National Mortgage Association 3,795
OIL AND GAS--2.9%
45,000 Noble Affiliates, Inc. 2,121
20,000 Schlumberger Ltd. 2,080
--------
4,201
PAPER PRODUCTS--2.1%
31,300 Kimberly-Clark Corp. 3,059
PETROLEUM PRODUCTS--9.1%
43,000 Chevron Corp. 2,881
37,300 Exxon Corp. 3,529
34,650 Mobil Corp. 4,193
14,000 Royal Dutch Petroleum Co. 2,378
--------
12,981
PROFESSIONAL SERVICES--7.5%
35,000 Cintas Corp. 2,126
17,000 Computer Sciences Corp.* 1,337
100,700 CUC International, Inc.* 2,656
</TABLE>
See accompanying notes to financial statements.
12
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
32,736 First Data Corp. $ 1,305
71,900 Olsten Corp. 980
47,500 Oracle Systems Corp.* 2,327
--------
10,731
RECREATION AND LEISURE SERVICES--4.2%
88,100 Carnival Corp., Class A 2,786
88,000 Circus Circus Enterprises, Inc.* 3,212
--------
5,998
RETAIL--11.1%
58,200 Home Depot, Inc. 3,034
131,050 Staples, Inc.* 2,588
50,000 Tommy Hilfiger Corp.* 2,700
115,600 Wal-Mart Stores, Inc. 2,948
107,300 Walgreen Co. 4,480
--------
15,750
TRANSPORTATION PARTS AND EQUIPMENT--2.5%
36,000 Boeing Co. 3,578
- --------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $105,076) $141,241
- --------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -----------------------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT--1.1%
Berliner Handels und Frankfurter, Grand Cayman
$1,490 5.688%Due 12/02/96 $ 1,490
- -----------------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $1,490) $ 1,490
- -----------------------------------------------------------------------
TOTAL INVESTMENTS--100.2%
(Cost $106,566) $142,731
- -----------------------------------------------------------------------
Liabilities, less other assets--(0.2)% (243)
- -----------------------------------------------------------------------
NET ASSETS--100.0% $142,488
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
13
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
EQUITY INDEX PORTFOLIO
COMMON STOCKS--98.2%
AGRICULTURE--0.1%
10,400 Pioneer Hi-Bred International, Inc. $ 725
APPAREL--0.1%
9,200 Liz Claiborne, Inc. 390
8,000 V. F. Corp. 543
--------
933
BANKING--7.8%
13,500 Ahmanson (H.F.) & Co. 445
54,949 Banc One Corp. 2,617
19,200 Bank of Boston Corp. 1,342
48,600 Bank of New York Co., Inc. 1,744
45,376 BankAmerica Corp. 4,674
10,100 Bankers Trust New York Corp. 879
24,300 Barnett Banks, Inc. 1,069
19,800 Boatmen's Bancshares, Inc. 1,319
55,046 Chase Manhattan Corp. 5,202
60,600 Citicorp 6,620
14,500 Comerica, Inc. 848
28,100 Corestates Financial Corp. 1,514
13,300 Fifth Third Bancorp 931
17,800 First Bank System, Inc. 1,297
39,907 First Chicago NBD Corp. 2,345
34,815 First Union Corp. 2,659
7,300 Golden West Financial Corp. 493
17,300 Great Western Financial Corp. 538
29,000 Keycorp 1,519
16,350 Mellon Bank Corp. 1,181
23,500 Morgan (J.P.) & Co., Inc. 2,218
28,000 National City Corp. 1,298
36,668 NationsBank Corp. 3,800
46,700 Norwest Corp. 2,183
43,000 PNC Bank Corp. 1,698
7,000 Republic New York Corp. 618
28,100 Sun Trust Banks, Inc. 1,426
19,500 U.S. Bancorp 834
21,000 Wachovia Corp. 1,260
11,866 Wells Fargo & Co. 3,377
--------
57,948
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
BITUMINOUS COAL AND LIGNITE SURFACE MINING--0.1%
31,400 Houston Industries, Inc. $ 691
1,100 Nacco Industries, Inc. 52
--------
743
BROKERAGE AND FINANCIAL SERVICES--1.2%
59,800 American Express Co. 3,125
33,101 Fleet Financial Group, Inc. 1,833
17,300 Green Tree Financial Corp. 724
21,300 Merrill Lynch & Co., Inc. 1,709
19,100 Morgan Stanley Group, Inc. 1,148
13,300 Salomon Brothers, Inc. 607
--------
9,146
CHEMICALS AND ALLIED PRODUCTS--11.9%
98,400 Abbott Laboratories 5,486
14,100 Air Products and Chemicals, Inc. 980
8,200 Allergan, Inc. 263
10,600 Alza Corp.* 299
80,200 American Home Products Corp. 5,153
33,400 Amgen, Inc.* 2,033
16,800 Avon Products, Inc. 937
34,400 Baxter International, Inc. 1,462
63,200 Bristol-Myers Squibb Co. 7,189
6,500 Clorox Co. 678
18,500 Colgate-Palmolive Co. 1,714
30,900 Dow Chemical Co. 2,588
70,700 Du Pont (E.I.) de Nemours & Co., Inc. 6,663
9,875 Eastman Chemical Co. 564
8,100 Ecolab, Inc. 315
68,998 Eli Lilly & Co. 5,278
4,700 FMC Corp.* 363
6,800 Goodrich (B.F.) Co. 305
11,100 Grace (W.R.) & Co. 587
8,000 Great Lakes Chemical Corp. 429
13,500 Hercules, Inc. 655
14,000 International Flavors & Fragrances, Inc. 637
153,400 Merck & Co., Inc. 12,732
18,000 Morton International, Inc. 727
8,500 Nalco Chemical Co. 324
81,000 Pfizer, Inc. 7,260
64,120 Pharmacia & Upjohn, Inc. 2,477
23,500 PPG Industries, Inc. 1,439
</TABLE>
See accompanying notes to financial statements.
14
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
19,600 Praxair, Inc. $ 953
86,400 Procter & Gamble Co. 9,396
8,200 Rohm & Haas Co. 653
46,600 Schering-Plough Corp. 3,320
10,800 Sherwin-Williams Co. 613
16,300 Union Carbide Corp. 752
34,200 Warner-Lambert Co. 2,445
--------
87,669
COMMUNICATIONS--7.4%
62,900 AirTouch Communications, Inc.* 1,612
23,900 Alltel Corp. 762
69,300 Ameritech Corp. 4,080
203,300 AT&T Corp. 7,979
55,200 Bell Atlantic Corp. 3,471
125,300 Bellsouth Corp. 5,059
41,200 Comcast Corp. 690
122,000 GTE Corp. 5,475
80,264 Lucent Technologies, Inc.* 4,114
9,300 Mallinckrodt, Inc. 409
86,700 MCI Communications Corp. 2,644
55,300 Nynex Corp. 2,564
54,000 Pacific Telesis Group 1,998
11,800 Providian Corp. 631
76,800 SBC Communications, Inc. 4,042
54,300 Sprint Corp. 2,274
22,500 Tellabs, Inc.* 894
78,700 U.S. West Media Group 1,505
60,200 U.S. West, Inc.* 1,881
45,000 Viacom, Inc., Class B* 1,699
48,900 Worldcom, Inc.* 1,131
--------
54,914
COMPUTERS AND OFFICE MACHINES--5.5%
15,200 Amdahl Corp.* 181
15,700 Apple Computer, Inc.* 379
23,700 Bay Network Inc.* 634
19,200 Cabletron Systems, Inc.* 775
8,600 Ceridian Corp.* 414
81,600 Cisco Systems, Inc.* 5,539
34,000 Compaq Computer Corp.* 2,694
4,900 Data General Corp.* 72
11,400 Dell Computer Corp.* 1,159
19,600 Digital Equipment Corp.* 720
29,200 EMC Corp.* 942
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
5,900 Intergraph Corp.* $ 54
66,500 International Business Machines Corp. 10,598
75,400 Microsoft Corp.* 11,828
18,800 Pitney Bowes, Inc. 1,109
27,300 Seagate Technology Inc.* 1,078
21,700 Silicon Graphics, Inc.* 431
14,800 Tandem Computers, Inc.* 202
7,500 Tandy Corp. 316
21,300 3Com Corp.* 1,600
21,900 Unisys Corp.* 167
--------
40,892
CONSTRUCTION--0.2%
14,400 Dover Corp. 769
22,600 Dresser Industries, Inc. 740
--------
1,509
COSMETICS AND PERSONAL CARE--0.6%
56,200 Gillette Co. 4,145
CREDIT INSTITUTIONS--0.6%
6,800 Beneficial Corp. 422
20,672 Dean Witter Discover & Co. 1,413
12,200 Household International, Inc. 1,156
28,050 MBNA Corp. 1,133
7,400 MGIC Investment Corp. 554
--------
4,678
ELECTRICAL SERVICES--2.7%
23,600 American Electric Power Co., Inc. 979
18,600 Baltimore Gas and Electric Co. 518
19,200 Carolina Power & Light Co. 703
26,500 Central and South West Corp. 709
19,910 Cinergy Corp. 667
29,600 Consolidated Edison Co. of New York, Inc. 858
22,400 Dominion Resources, Inc. 854
18,300 DTE Energy Co. 586
25,600 Duke Power Co. 1,187
55,300 Edison International 1,099
28,800 Entergy Corp. 781
23,100 FPL Group, Inc. 1,066
15,200 General Public Utilities Corp. 511
18,200 Niagara Mohawk Power Corp.* 159
8,700 Northern States Power Co. 410
19,200 Ohio Edison Co. 442
52,400 Pacific Gas & Electric Co. 1,264
</TABLE>
See accompanying notes to financial statements.
15
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
EQUITY INDEX PORTFOLIO--CONTINUED
ELECTRICAL SERVICES--CONTINUED
37,100 PacifiCorp $ 779
28,100 Peco Energy Co. 717
20,400 PP&L Resources, Inc. 467
30,800 Public Service Enterprise Group, Inc. 882
84,900 Southern Co. 1,889
28,300 Texas Utilities Co. 1,118
27,200 Unicom Corp. 724
12,900 Union Electric Co. 513
--------
19,882
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--7.3%
17,000 Advanced Micro Devices, Inc.* 412
27,656 AMP, Inc. 1,058
7,587 Andrew Corp.* 439
13,600 Cooper Industries, Inc. 564
14,700 DSC Communications Corp.* 265
28,300 Emerson Electric Co. 2,777
208,200 General Electric Co. 21,653
17,300 General Instrument Corp.* 383
4,900 Harris Corp. 336
103,700 Intel Corp. 13,157
14,800 ITT Corp. * 683
16,300 LSI Logic Corp.* 491
12,800 Maytag Corp. 245
26,300 Micron Technology, Inc. 871
74,700 Motorola, Inc. 4,136
17,400 National Semiconductor Corp.* 426
6,000 National Service Industries, Inc. 210
32,600 Northern Telecom, Ltd. 2,143
5,600 Raychem Corp. 477
9,700 Scientific-Atlanta, Inc. 150
82,300 TeleCommunications, Inc.* 1,111
23,900 Texas Instruments, Inc. 1,524
5,100 Thomas & Betts Corp. 231
9,400 Whirlpool Corp. 470
--------
54,212
FOOD AND BEVERAGES--8.7%
62,500 Anheuser-Busch Cos., Inc. 2,649
68,809 Archer-Daniels-Midland Co. 1,514
8,700 Brown-Forman, Inc. 404
29,600 Campbell Soup Co. 2,446
314,300 Coca-Cola Co. 16,069
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------
<C> <S> <C>
30,650 ConAgra, Inc. $ 1,628
4,800 Coors (Adolph) Co. 95
18,300 CPC International, Inc. 1,524
20,000 General Mills, Inc. 1,270
46,600 Heinz (H.J.) Co. 1,765
19,400 Hershey Foods Corp. 968
26,700 Kellogg Co. 1,812
3,000 Luby's Cafeterias, Inc. 66
88,200 McDonalds Corp. 4,123
197,500 PepsiCo, Inc. 5,900
103,200 Philip Morris Cos., Inc. 10,643
17,100 Quaker Oats Co. 673
13,400 Ralston Purina Group 1,025
61,200 Sara Lee Corp. 2,402
47,200 Seagram Co., Ltd. 1,929
20,200 Unilever N.V. ADR 3,497
23,700 UST, Inc. 773
13,300 Whitman Corp. 306
14,600 Wrigley (WM) Jr. Co. 852
-------
64,333
FURNITURE AND FIXTURES--0.1%
20,200 Masco Corp. 737
GENERAL BUILDING CONTRACTORS--0.2%
3,600 Centex Corp. 130
16,000 Honeywell, Inc. 1,098
4,900 Kaufman & Broad Home Corp. 63
3,000 Pulte Corp. 92
-------
1,383
GLASS, CLAY AND STONE PRODUCTS--0.2%
29,000 Corning, Inc. 1,175
20,000 Newell Co. 620
-------
1,795
HEALTH SERVICES--1.9%
12,500 Beverly Enterprises, Inc.* 165
84,595 Columbia/HCA Healthcare Corp. 3,384
20,500 Humana, Inc.* 387
168,000 Johnson & Johnson Co. 8,925
7,950 Manor Care, Inc.* 201
10,200 St. Jude Medical, Inc.* 426
27,300 Tenet Healthcare Corp.* 611
-------
14,099
</TABLE>
See accompanying notes to financial statements.
16
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
HEAVY CONSTRUCTION--0.3%
10,500 Fluor Corp. $ 714
5,100 Foster Wheeler Corp. 184
15,800 Halliburton Co. 952
--------
1,850
INDUSTRIAL INSTRUMENTS--2.8%
7,200 Bard (C.R.), Inc. 202
7,100 Bausch & Lomb, Inc. 264
15,700 Becton Dickinson & Co. 659
14,600 Biomet, Inc.* 241
22,300 Boston Scientific Corp.* 1,302
42,500 Eastman Kodak Co. 3,442
128,900 Hewlett-Packard Co. 6,944
5,200 Johnson Controls, Inc. 403
30,200 Medtronic, Inc. 1,997
5,500 Millipore Corp. 225
5,500 Perkin-Elmer Co. 339
5,700 Polaroid Corp. 243
29,800 Raytheon Co. 1,523
4,100 Tektronix, Inc. 200
7,900 United States Surgical Corp. 317
41,000 Xerox Corp. 2,014
--------
20,315
INSURANCE SERVICES--4.1%
18,957 Aetna Life & Casualty Co. 1367
5,700 Alexander & Alexander Services, Inc. 83
56,065 Allstate Corp. 3,378
25,800 American General Corp. 1,061
59,175 American International Group, Inc. 6,805
13,600 AON Corp. 828
22,000 Chubb Corp. 1,193
9,600 CIGNA Corp. 1,357
10,400 General Re Corp. 1,755
14,800 ITT Hartford Group, Inc. 1,012
9,025 Jefferson-Pilot Corp. 526
13,100 Lincoln National Corp. 706
14,500 Loews Corp. 1,345
9,100 Marsh & McLennan Cos., Inc. 1,032
15,900 Safeco Corp. 662
10,600 St. Paul Cos., Inc. 624
9,050 Torchmark Corp. 471
8,300 Transamerica Corp. 659
80,716 Travelers Group, Inc. 3,632
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
23,200 United Healthcare Corp. $ 1,000
9,200 UNUM Corp. 654
14,900 USF & G Corp. 298
4,300 USLIFE Corp. 133
--------
30,581
JEWELRY AND PRECIOUS METALS--0.0%
4,900 Jostens, Inc. 104
LEATHER PRODUCTS--0.0%
6,300 Stride Rite Corp. 63
LUMBER AND WOOD PRODUCTS--0.1%
13,700 Louisiana-Pacific Corp. 310
MACHINERY--1.4%
22,600 Applied Materials, Inc.* 862
18,200 Baker Hughes, Inc. 666
11,100 Black & Decker Corp. 420
3,600 Briggs & Stratton Corp. 149
12,400 Brunswick Corp. 316
9,100 Case Equipment Corp. 478
24,300 Caterpillar, Inc. 1,923
5,000 Cincinnati Milacron, Inc. 104
5,000 Cummins Engine Co., Inc. 226
32,600 Deere & Co. 1,455
6,300 General Signal Corp. 272
4,400 Giddings & Lewis, Inc. 52
5,900 Harnischfeger Industries, Inc. 262
13,800 Ingersoll-Rand Co. 642
21,500 Tenneco, Inc. 1,096
4,000 Timken Co. 182
19,200 Tyco Laboratories, Inc. 1,051
--------
10,156
MANUFACTURING--0.1%
3,500 Alberto-Culver Co., Class B 166
14,900 ITT Industries 349
--------
515
MERCHANDISE--GENERAL--0.2%
16,400 Alco Standard Corp. 849
7,700 Snap-On, Inc. 279
11,200 Stanley Works 330
--------
1,458
</TABLE>
See accompanying notes to financial statements.
17
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
<C> <S> <C>
EQUITY INDEX PORTFOLIO--CONTINUED
METAL MINING--0.7%
45,000 Barrick Gold Corp. $ 1,350
28,300 Battle Mountain Gold Co. 205
11,750 Cyprus/Amax Minerals Co. 291
17,600 Echo Bay Mines Ltd. 109
24,600 Freeport-McMoran Copper & Gold, Inc. 775
18,500 Homestake Mining Co. 280
21,200 Inco Ltd. 739
12,539 Newmont Mining Corp. 600
30,200 Placer Dome, Inc. 713
16,580 Santa Fe Pacific Gold Corp. 191
--------
5,253
METAL PRODUCTS--0.3%
21,927 Allegheny Teledyne Corp. 512
3,800 Ball Corp. 93
3,800 Crane Co. 178
16,200 Crown Cork & Seal Co., Inc. 859
6,900 McDermott International, Inc. 122
9,350 Parker-Hannifin Co. 380
--------
2,144
MORTGAGE AGENCIES--1.1%
22,500 Federal Home Loan Mortgage Corp. 2,571
137,700 Federal National Mortgage Association 5,680
--------
8,251
NATURAL GAS TRANSMISSION--0.8%
13,300 Coastal Corp. 640
6,900 Columbia Gas System, Inc. 446
11,900 Consolidated Natural Gas Co. 680
2,600 Eastern Enterprises 98
32,000 Enron Corp. 1,464
8,700 Enserch Corp. 203
6,300 Nicor, Inc. 232
17,300 Norman Energy Corp. 268
3,400 Oneok, Inc. 94
10,700 Pacific Enterprises 328
4,400 Peoples Energy Corp. 159
10,900 Sonat, Inc. 564
13,200 Williams Company, Inc. 741
--------
5,917
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
OIL AND GAS--1.1%
15,800 Burlington Resources, Inc. $ 837
3,100 Helmerich & Payne, Inc. 167
4,300 Louisiana Land & Exploration Co. 257
40,700 Occidental Petroleum Corp. 977
13,200 Oryx Energy Co.* 274
19,000 Panenergy Corp. 836
10,700 Rowan Cos., Inc.* 253
11,400 Santa Fe Energy Resources, Inc.* 165
30,900 Schlumberger Ltd. 3,214
31,376 Union Pacific Resources Group, Inc.* 937
6,700 Western Atlas, Inc.* 472
--------
8,389
PAPER PRODUCTS--2.0%
6,600 Avery Dennison Corp. 466
6,600 Bemis Co., Inc. 235
6,100 Boise Cascade Co. 189
12,000 Champion International Corp. 516
11,500 Georgia-Pacific Corp. 837
37,835 International Paper Co. 1,608
10,700 James River Corp. 342
35,492 Kimberly-Clark Corp. 3,470
6,600 Mead Corp. 391
52,800 Minnesota Mining & Manufacturing Co. 4,422
12,504 Stone Container Corp. 192
7,000 Temple Inland, Inc. 376
8,600 Union Camp Corp. 423
12,850 Westvaco Corp. 363
25,000 Weyerhaeuser Co. 1,150
--------
14,980
PERSONAL SERVICES--0.6%
13,000 Block (H.& R.), Inc. 380
15,500 HFS Inc.* 1,004
24,600 Hilton Hotels Corp. 719
16,100 Marriott International Corp. 898
29,700 Service Corp. International 895
7,000 Willamette Industries, Inc. 476
--------
4,372
PETROLEUM PRODUCTS--7.4%
11,700 Amerada Hess Corp. 689
62,700 Amoco Corp. 4,867
8,100 Ashland Oil, Inc. 389
20,300 Atlantic Richfield Co. 2,824
</TABLE>
See accompanying notes to financial statements.
18
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
<C> <S> <C>
82,300 Chevron Corp. $ 5,514
156,600 Exxon Corp. 14,818
6,200 Kerr-McGee Corp. 434
49,700 Mobil Corp. 6,014
5,900 Pennzoil Co. 332
33,200 Phillips Petroleum Co. 1,498
67,600 Royal Dutch Petroleum Co. 11,484
9,300 Sun Co., Inc. 233
33,300 Texaco, Inc. 3,301
31,300 Unocal Corp. 1,275
36,200 USX-Marathon Group 828
--------
54,500
PRINTING AND PUBLISHING--1.3%
9,400 American Greetings Corp. 265
10,400 Deluxe Corp. 322
19,300 Donnelley (R.R.) & Sons Co. 647
12,200 Dow Jones & Co., Inc. 424
17,800 Gannett Co., Inc. 1,397
3,900 Harland (John H.) Co. 120
12,100 Knight-Ridder, Inc. 508
12,500 McGraw-Hill Cos., Inc. 569
3,400 Meredith Corp. 175
12,600 Moore Corp. Ltd. 265
12,300 New York Times Co. 460
71,700 Time Warner, Inc. 2,922
13,000 Times Mirror Co. 681
7,700 Tribune Co. 666
--------
9,421
PROFESSIONAL SERVICES--2.2%
5,800 Autodesk, Inc. 162
36,500 Automatic Data Processing, Inc. 1,565
45,950 Computer Associates International, Inc. 3,021
9,500 Computer Sciences Corp.* 747
49,625 CUC International, Inc.* 1,309
56,500 First Data Corp. 2,253
10,300 Interpublic Group of Cos., Inc. 510
44,500 Novell, Inc.* 490
82,500 Oracle Systems Corp.* 4,042
10,200 Ryder System, Inc. 310
7,300 Safety-Kleen Corp. 116
3,000 Shared Medical Systems Corp. 149
23,200 Sun Microsystems, Inc.* 1,351
--------
16,025
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
RECREATION AND LEISURE SERVICES--1.2%
6,400 Bally Entertainment Corp.* $ 186
85,500 Disney (Walt) Co. 6,306
9,200 Harcourt General, Inc. 503
13,000 Harrah's Entertainment, Inc.* 231
10,850 Hasbro, Inc. 446
4,700 King World Productions, Inc.* 179
34,445 Mattel, Inc. 1,063
--------
8,914
RESEARCH AND CONSULTING SERVICES--0.2%
21,400 Cognizant Corp.* 738
21,400 Dun & Bradstreet Corp. 484
6,000 EG&G, Inc. 110
--------
1,332
RETAIL--4.4%
31,800 Albertson's, Inc. 1,109
18,400 American Stores Co. 734
13,100 Charming Shoppes, Inc.* 67
12,300 Circuit City Stores, Inc. 411
13,300 CVS Corp 547
19,900 Darden Restaurants, Inc. 172
27,300 Dayton-Hudson Corp. 1,061
14,300 Dillard Department Stores, Inc. 438
26,200 Federated Department Stores, Inc.* 894
36,200 Gap, Inc. 1,163
7,500 Giant Food, Inc. 253
4,800 Great Atlantic & Pacific Tea Co., Inc. 157
60,400 Home Depot, Inc. 3,148
61,300 K-Mart Corp.* 682
15,800 Kroger Co.* 729
34,100 Limited, Inc. 614
2,500 Long Drug Stores Corp. 125
21,700 Lowe's Cos., Inc. 882
31,500 May Department Stores Co. 1,536
4,600 Mercantile Stores Co., Inc. 231
10,300 Nordstrom, Inc. 448
28,400 Penney (J.C.), Inc. 1,526
7,800 Pep Boys-Manny Moe & Jack 286
24,703 Price/Costco, Inc.* 574
10,600 Rite Aid Corp. 420
6,400 Ryan's Family Steak Houses, Inc.* 45
49,400 Sears, Roebuck & Co. 2,458
6,100 Shoney's, Inc.* 50
</TABLE>
See accompanying notes to financial statements.
19
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
EQUITY INDEX PORTFOLIO--CONTINUED
RETAIL--CONTINUED
9,200 TJX Cos., Inc. $ 415
34,500 Toys "R" Us, Inc.* 1,190
289,200 Wal-Mart Stores, Inc. 7,375
31,000 Walgreen Co. 1,294
16,200 Wendy's International, Inc. 346
19,100 Winn-Dixie Stores, Inc. 642
16,800 Woolworth Corp.* 403
--------
32,425
RUBBER AND PLASTICS--0.8%
4,600 Armstrong World Industries, Inc. 346
10,500 Cooper Tire & Rubber Co. 215
19,600 Goodyear Tire & Rubber Co. 951
73,900 Monsanto Co. 2,938
18,900 Rubbermaid, Inc. 454
7,800 Tupperware Corp. 413
--------
5,317
SANITARY SERVICES--0.5%
26,800 Browning-Ferris Industries, Inc. 720
39,500 Laidlaw, Inc. 484
61,900 WMX Technologies, Inc. 2,229
--------
3,433
SERVICE INDUSTRY MACHINERY--0.2%
14,566 Pall Corp. 381
3,600 Trinova Corp. 131
53,100 Westinghouse Electric Corp. 996
--------
1,508
STEEL PRODUCTS--0.8%
28,500 Alcan Aluminum Ltd. 1,004
22,000 Aluminum Co. of America 1,400
13,400 Armco, Inc.* 60
5,400 Asarco, Inc. 147
14,000 Bethlehem Steel Corp.* 126
18,187 Engelhard Corp. 355
6,100 Inland Steel Industries, Inc. 114
11,100 Nucor Corp. 604
6,500 Owens Corning Fiberglass Corp. 279
8,300 Phelps Dodge Corp. 603
8,000 Reynolds Metals Co. 476
10,600 USX-U.S. Steel Group 319
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
11,475 Worthington Industries, Inc. $ 228
--------
5,715
TEXTILES--0.1%
9,600 Fruit of the Loom, Inc.* 342
4,900 Russell Corp. 141
2,500 Spring Industries, Inc. 116
--------
599
TOBACCO PRODUCTS--0.1%
21,500 American Brands, Inc. 1,027
TRANSPORTATION PARTS AND EQUIPMENT--4.7%
35,600 Allied Signal, Inc. 2,608
43,900 Boeing Co. 4,362
91,900 Chrysler Corp. 3,262
12,800 Dana Corp. 398
9,800 Eaton Corp. 679
7,700 Echlin, Inc. 259
4,500 Fleetwood Enterprises, Inc. 137
149,100 Ford Motor Co. 4,883
7,900 General Dynamics Corp. 583
95,300 General Motors Corp. 5,492
15,400 Illinois Tool Works, Inc. 1,320
25,254 Lockheed Martin Corp.* 2,289
27,100 McDonnell Douglas Corp. 1,433
9,520 Navistar International. Corp.* 90
7,300 Northrop Grumman Co. 607
4,860 PACCAR, Inc. 323
27,500 Rockwell International Corp. 1,767
10,200 Textron, Inc. 973
8,100 TRW, Inc. 789
15,400 United Technologies Corp. 2,160
--------
34,414
TRANSPORTATION SERVICES--1.4%
11,500 AMR Corp.* 1,049
19,265 Burlington Northern Santa Fe Corp. 1,732
4,900 Caliber Systems Inc. 95
10,200 Conrail, Inc. 992
5,500 Consolidated Freightways, Inc. 133
26,700 CSX Corp. 1,248
10,000 Delta Air Lines, Inc. 753
14,400 Federal Express Corp.* 637
15,900 Norfolk Southern Corp. 1,431
18,200 Southwest Airlines Co. 450
</TABLE>
See accompanying notes to financial statements.
20
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ---------------------------------------------------
<C> <S> <C>
30,700 Union Pacific Corp. $ 1,788
8,000 USAir Group* 186
--------
10,494
WHOLESALE--0.7%
4,800 Fleming Cos., Inc. 79
15,250 Genuine Parts Co. 686
6,400 Grainger (W.W.), Inc. 509
36,200 Nike, Inc. 2,059
3,600 Potlatch Corp. 159
7,100 Reebok International, Ltd.* 270
6,300 Sigma-Aldrich, Corp. 394
8,500 Supervalu Stores, Inc. 252
22,900 Sysco Corp. 781
--------
5,189
- ---------------------------------------------------
TOTAL COMMON STOCKS
(Cost $530,260) $724,714
- ---------------------------------------------------
U.S. GOVERNMENT OBLIGATIONS--0.3%
U.S. Treasury Bills #
$180 5.095% Due 12/26/96 $ 177
100 4.906% Due 01/09/97 99
820 4.940% Due 01/09/97 809
400 4.990% Due 01/09/97 395
390 5.220% Due 01/09/97 383
- ---------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $1,863) $ 1,863
- ---------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal
Amount Description Value
- ---------------------------------------------------------
<C> <S> <C>
SHORT-TERM INVESTMENT--1.3%
Berliner Handels und Frankfurter,
Grand Cayman
$9,787 5.688% Due 12/02/96 $ 9,787
- ---------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $9,787) $ 9,787
- ---------------------------------------------------------
TOTAL INVESTMENTS--99.8%
(Cost $541,910) $736,364
- ---------------------------------------------------------
Other assets, less liabilities--0.2% 1,374
- ---------------------------------------------------------
NET ASSETS--100.0% $737,738
- ---------------------------------------------------------
- ---------------------------------------------------------
</TABLE>
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- -------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
S&P 500 30 $9,997 Long 12/20/96 $1,377
- -------------------------------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
21
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
FOCUSED GROWTH PORTFOLIO
COMMON STOCKS--98.3%
BANKING--5.2%
125,800 First USA, Inc. $ 4,136
26,500 State Street Bank Boston Corp. 1,792
-------
5,928
CHEMICALS AND ALLIED PRODUCTS--10.4%
34,400 American Home Products Corp. 2,210
25,000 Lilly (Eli) & Co. 1,913
44,900 Merck & Co., Inc. 3,727
81,400 Praxair, Inc. 3,958
-------
11,808
COMMUNICATIONS--3.0%
43,999 Lucent Technologies, Inc. 2,255
15,400 Reuters Holding PLC ADR 1,118
-------
3,373
COMPUTERS AND OFFICE MACHINES--3.6%
30,200 Cisco Systems, Inc.* 2,050
37,000 Parametric Technology Corp.* 2,012
-------
4,062
CREDIT INSTITUTIONS--4.0%
41,300 Associates First Capital Corp. 1,998
62,500 Green Tree Financial Corp. 2,617
-------
4,615
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
18.7%
63,700 General Electric Co. 6,625
20,500 Intel Corp. 2,601
43,000 Linear Technology Corp. 2,026
64,900 Motorola, Inc. 3,594
110,000 Solectron Corp.* 6,435
-------
21,281
FOOD AND BEVERAGES--5.4%
43,000 Philip Morris Cos., Inc. 4,434
50,100 Starbucks Corp.* 1,735
-------
6,169
GLASS, CLAY AND STONE PRODUCTS--0.8%
33,000 Newell Co. 1,023
HEALTH SERVICES--4.2%
89,350 Health Management Associates, Inc.,
Class A* 1,977
53,600 Johnson & Johnson Co. 2,847
-------
4,824
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------------
<C> <S> <C> <C>
INDUSTRIAL INSTRUMENTS--4.0%
45,400 Hewlett-Packard Co. $ 2,446
41,800 Raytheon Co. 2,137
--------
4,583
INSURANCE SERVICES--4.1%
16,500 American International Group, Inc. 1,897
28,000 MBIA, Inc. 2,831
--------
4,728
MEDICAL PRODUCTS AND EQUIPMENT--2.1%
36,000 Medtronic, Inc. 2,380
MORTGAGE AGENCIES--2.0%
55,000 Federal National Mortgage Association 2,269
PROFESSIONAL SERVICES--13.4%
20,600 Cintas Corp. 1,251
34,100 Computer Associates International, Inc. 2,242
25,700 Computer Sciences Corp.* 2,021
135,150 CUC International, Inc.* 3,565
88,002 First Data Corp. 3,509
127,000 Olsten Corp. 1,730
15,500 Sun Microsystems, Inc.* 903
--------
15,221
RECREATION AND LEISURE SERVICES--10.3%
35,000 Callaway Golf Co. 1,063
120,500 Carnival Corp., Class A 3,811
104,100 Circus Circus Enterprises, Inc.* 3,800
41,600 Disney (Walt) Co. 3,068
--------
11,742
RETAIL--7.1%
65,000 Kohls Corp.* 2,592
18,300 Home Depot, Inc. 954
66,200 PETsMART, Inc.* 1,688
45,000 Staples, Inc.* 889
35,300 Tommy Hilfiger Corp.* 1,906
--------
8,029
- -------------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $92,269) $112,035
- -------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Principal
Amount Description Value
- -------------------------------------------------------------
<C> <S> <C> <C>
SHORT-TERM INVESTMENT--1.8%
Berliner Handels und Frankfurter,
Grand Cayman
$2,008 5.688% Due 12/02/96 $ 2,008
- -------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $2,008) $ 2,008
- -------------------------------------------------------------
TOTAL INVESTMENTS--100.1%
(Cost $94,277) $114,043
- -------------------------------------------------------------
Liabilities, less other assets--(0.1)% (144)
- -------------------------------------------------------------
NET ASSETS--100.0% $113,899
- -------------------------------------------------------------
- -------------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
23
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------------------
INTERNATIONAL GROWTH PORTFOLIO
<C> <S> <C>
COMMON STOCKS--89.0%
AUSTRALIA--2.8%
90,000 Broken Hill Proprietary Co. $ 1,321
270,000 News Corp. Ltd. 1,438
165,000 WMC Ltd. 1,048
--------
3,807
CZECH REPUBLIC--0.6%
90,000 Czechoslovakia & Slovak Investment Corp.* 756
12,000 Czechoslovakia & Slovak Investment Corp. Warrants * 12
--------
768
FINLAND--0.7%
16,000 Nokia Corp. ADR 898
FRANCE--7.3%
11,000 Cie Generale des Eaux 1,356
17,000 Elf Aquitaine S.A. 1,485
25,000 Havas S.A. 1,771
55,000 Lagardere S.C.A. 1,664
12,000 Lyonnaise Des Eaux S.A. 1,142
15,000 PSA Peugeot 1,844
27,000 Rhone-Poulenc, Class A 875
--------
10,137
GERMANY--6.0%
1,800 Bayerische Motoren Werke A.G. 1,168
45,000 Commerzbank A.G. 1,107
25,000 Hoechst A.G. 1,095
3,000 Mannesmann A.G. 1,252
33,000 VEBA A.G. 1,931
4,500 Volkswagen A.G. 1,805
--------
8,358
HONG KONG--3.3%
125,000 Citic Pacific Ltd. 652
80,000 Guoco Group Ltd. 437
600,000 Hong Kong Telecommunications Ltd. 1,040
140,000 Hutchison Whampoa Ltd. 1,082
135,000 Swire Pacific Ltd. 1,279
--------
4,490
ITALY--2.9%
1,000,000 Credito Italiano 1,096
225,000 Ente Nazionale Idrocarburi S.p.A. 1,185
675,000 Pirelli S.p.A. 1,234
125,000 Stet Societa' Finanziaria Telefonica S.p.A. 531
--------
4,046
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
<C> <S> <C>
JAPAN--27.2%
110,000 Asahi Bank Ltd. $ 1,073
5,000 Bellsystem 24, Inc. 620
45,000 CMK Corp. 637
40,000 CSK Corp. 1,128
60,000 Eisai Co. Ltd. 1,181
18,000 FamilyMart 712
14,000 Forval Corp. 578
280,000 Hitachi Zosen Corp. 1,297
30,000 Honda Motor Co., Ltd. 886
65,000 Industrial Bank of Japan 1,285
300,000 Ishikawajima-Harima Heavy Industries Co. 1,397
300,000 Isuzu Motors Ltd. 1,500
63,000 Japan Radio Co. 769
50,000 Laox 769
150,000 Long-Term Credit Bank of Japan 949
14,000 Mars Engineering Corp. 535
280,000 Marubeni Corp. 1,267
22,000 Matsumotokiyoshi 746
55,000 Matsushita Electric Industrial Co. Ltd. 952
30,000 Matsushita-Kotobuki Electron 770
120,000 Minebea Co. Ltd. 1,025
110,000 Mitsubishi Estate Co. Ltd. 1,392
13,000 Nichii Gakkan Co. 617
50,000 Nikko Securities Co. Ltd. 466
23,000 Nintendo Corp. Ltd 1,628
165 Nippon Telegraph & Telephone Corp. 1,177
575,000 NKK Corp.* 1,415
25,000 Nomura Securities Co. Ltd. 422
200,000 NSK Ltd. 1,278
24,000 Orix Corp. 915
120,000 Ricoh Co. Ltd. 1,286
30,000 Sagami Chain Co. Ltd. 535
20,000 Sony Corp. 1,281
80,000 Sumitomo Electric Industries 1,125
60,000 Takeda Chemical Industries 1,176
230,000 Teijin Ltd. 1,097
50,000 Tokyo Style 738
35,000 Toyota Motor Corp. 957
--------
37,581
MALAYSIA--2.4%
120,000 AMMB Holdings Berhad 954
200,500 Genting Berhad 1,428
100,000 Malayan Banking Berhad 989
--------
3,371
</TABLE>
See accompanying notes to financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------------------
<C> <S> <C>
NETHERLANDS--4.5%
23,000 ABN AMRO Holding N.V. $ 1,490
17,000 Akzo Nobel 2,256
35,000 ING Groep N.V. 1,226
20,000 Koninklijke Ahold N.V. 1,251
--------
6,223
NORWAY--0.8%
70,000 Saga Petroleum A.S.A. 1,135
SINGAPORE--1.4%
67,000 Development Bank of Singapore Ltd. 865
140,000 Keppel Corp. Ltd. 1,088
--------
1,953
SOUTH AFRICA--0.5%
28,000 South African Breweries Ltd. 706
SOUTH KOREA--0.5%
80,000 Cho Hung Bank Co. Ltd. General Depository Receipt 652
368 Daewoo Corp. 3
--------
655
SPAIN--3.4%
23,000 Banco Santander S.A. 1,247
30,000 Empresa Nacional de Electricidad S.A. 2,027
40,000 Repsol S.A. ADR 1,465
--------
4,739
SWEDEN--1.0%
30,000 Astra AB 1,439
SWITZERLAND--4.9%
1,200 Ciba-Geigy A.G. 1,486
19,000 CS Holding A.G. 2,024
9,000 SMH A.G. 1,306
7,000 Zurich Versicherungsgesellschaft 1,989
--------
6,805
TAIWAN--0.8%
433,500 Far Eastern Department Stores Ltd. 577
625,000 Pacific Construction* 527
--------
1,104
UNITED KINGDOM--18.0%
115,000 Barclays PLC 1,978
200,000 Cable & Wireless PLC 1,600
135,000 Commercial Union PLC 1,497
350,000 General Electric Co. PLC 2,191
30,000 Glaxo Wellcome PLC ADR 986
120,000 Imperial Chemical Industries PLC 1,556
</TABLE>
<TABLE>
<CAPTION>
Shares/
Principal
Amount Description Value
- ------------------------------------------------------------
<C> <S> <C>
175,000 Kingfisher PLC $ 1,908
175,000 Marks & Spencer PLC 1,492
600,000 National Grid Group PLC 1,976
175,000 National Westminster Bank PLC 2,024
125,000 Pearson PLC 1,544
200,000 Rank Group PLC 1,462
70,000 RTZ Corp. PLC 1,177
425,000 Tomkins PLC 1,775
38,000 Vodafone Group PLC ADR 1,644
--------
24,810
- ------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $118,511) $123,025
- ------------------------------------------------------------
PREFERRED STOCK--1.0%
GERMANY--1.0%
29,000 Henkel KGaA-Vorzug $ 1,445
- ------------------------------------------------------------
TOTAL PREFERRED STOCK
(Cost $1,223) $ 1,445
- ------------------------------------------------------------
OTHER--4.2%
JAPAN--4.2%
2,200,000 Nikkei 300 Stock Index Fund* $ 5,761
- ------------------------------------------------------------
TOTAL OTHER
(Cost $6,274) $ 5,761
- ------------------------------------------------------------
SHORT-TERM INVESTMENT--6.7%
Berliner Handels und Frankfurter,
Grand Cayman
$ 9,249 5.688% Due 12/02/96 $ 9,249
- ------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $9,249) $ 9,249
- ------------------------------------------------------------
TOTAL INVESTMENTS--100.9%
(Cost $135,257) $139,480
- ------------------------------------------------------------
Liabilities, less other assets--(0.9)% (1,204)
- ------------------------------------------------------------
NET ASSETS--100.0% $138,276
- ------------------------------------------------------------
- ------------------------------------------------------------
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements.
25
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
INTERNATIONAL GROWTH PORTFOLIO--CONTINUED
At November 30, 1996 the Portfolio's investments, excluding the short-term
investment, were diversified as follows:
<TABLE>
<CAPTION>
INDUSTRY/SECTOR
- --------------------------
<S> <C>
Auto 5.1%
Basic Industry 19.5
Capital Goods 8.1
Consumer Goods 14.1
Financial Services 19.5
Medical 5.3
Real Estate 1.5
Retail 6.1
Steel 1.0
Technology 5.0
Other 14.8
- --------------------------
TOTAL 100.0%
- --------------------------
</TABLE>
See accompanying notes to financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO
<C> <S> <C>
COMMON STOCKS--93.5%
AGRICULTURE--0.5%
2,600 Barefoot, Inc. $ 33
2,700 DeKalb Genetics Corp. 101
2,999 Delta & Pine Land Co. 96
5,300 Dimon, Inc. 110
8,100 Longview Fibre Co. 148
2,400 Northland Cranberries, Inc. 53
1,500 Tejon Ranch Co. 24
--------
565
APPAREL--0.5%
1,600 Donnkenny, Inc.* 6
800 Fossil, Inc.* 10
1,500 Gadzooks, Inc.* 43
4,200 Genesco, Inc.* 43
4,300 Hartmarx Corp.* 23
3,250 Kellwood Co. 58
1,100 Kenneth Cole Productions, Inc.* 17
1,100 Marisa Christina, Inc.* 8
5,600 Nautica Enterprises, Inc.* 179
1,900 Oshkosh B' Gosh, Inc. 28
2,300 St. John Knits, Inc. 99
1,900 Starter Corp.* 12
1,650 Unitog Co. 45
1,500 Vans, Inc.* 23
--------
594
BANKING--7.9%
2,000 Aames Financial Corp. 86
1,880 Albank Financial Corp. 62
1,900 Amcore Financial, Inc. 42
1,900 American Federal Bank 36
1,000 Anchor Bancorp, Inc. 35
3,075 Associated Banc-Corp. 135
2,900 BancorpSouth, Inc. 76
1,302 Bank of Granite Corp. 42
1,200 BankAtlantic Bancorp, Inc. 15
2,264 Bankers Corp. 44
1,200 Banknorth Group, Inc. 46
1,100 Bay View Capital Corp. 45
990 Brenton Banks, Inc. 25
7,180 Cal Fed Bancorp* 174
1,400 CBT Corp. 33
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
2,300 CCB Financial Corp. $ 153
3,600 Centura Banks, Inc. 164
1,787 Chittenden Corp. 45
900 CitFed Bancorp, Inc. 42
2,100 Citizens Bancorp 121
1,700 Citizens Banking Corp. 53
5,900 City National Corp. 122
2,978 CNB Bancshares, Inc. 107
2,900 Coast Savings Financial, Inc.* 103
1,400 Cole Taylor Financial Group, Inc. 40
3,100 Collective Bancorp, Inc. 110
1,700 Colonial BancGroup, Inc. 68
1,768 Commerce Bancorp, Inc. 51
2,300 Commercial Federal Corp. 111
2,654 Commonwealth Bancorp 38
1,800 Community First Bankshares, Inc. 49
800 CPB, Inc. 24
3,880 Cullen/Frost Bankers, Inc. 138
1,685 Downey Financial Corp. 48
1,080 F & M Bancorp 33
3,055 F & M National Corp. 60
1,607 Fidelity National Corp. 27
1,370 Financial Trust Corp.* 39
1,700 First Citizens Bancshares, Inc. 136
1,900 First Commercial Bancshares, Inc. 47
3,437 First Commercial Corp. 125
3,500 First Commonwealth Financial Corp. 64
1,700 First Federal Financial Corp.* 41
2,700 First Federal Savings Bank of Colorado 48
2,152 First Financial Bancorp 66
925 First Financial Bancshares, Inc. 33
4,700 First Financial Corp. 140
3,700 First Hawaiian, Inc. 120
1,039 First Indiana Corp. 26
4,054 First Michigan Bank Corp. 116
1,900 First Midwest Bancorp, Inc. 68
1,900 First Savings Bank of Washington Bancorp, Inc. 35
1,050 First United Bancshares, Inc. 29
1,388 First Western Bancorp, Inc. 37
1,800 Firstbank of Illinois Co. 61
2,025 FirstBank Puerto Rico 51
4,800 Firstmerit Corp. 167
1,559 FNB Corp. 36
</TABLE>
See accompanying notes to financial statements.
27
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
BANKING--CONTINUED
<C> <S> <C>
1,750 Fort Wayne National Corp. $ 66
5,159 Fulton Financial Corp. 107
6,876 Glendale Federal Bank FSB* 144
2,300 Great Financial Corp. 69
1,400 Hancock Holding Co. 59
1,113 Harleysville National Corp. 28
500 Harris Savings Bank 9
900 Heritage Financial Services, Inc. 19
3,897 Home Financial Corp. 67
1,000 Homeland Bankshares Corp. 41
2,529 Hubco, Inc. 62
2,556 Imperial Bancorp* 58
3,464 Imperial Credit Industries, Inc.* 74
69 Investors Financial Services Corp.,
Class A* 2
500 Irwin Financial Corp. 24
2,300 Jefferson Bancshares, Inc. 67
5,849 Keystone Financial, Inc. 158
2,100 Klamath First Bancorp 31
900 Liberty Bancorp, Inc. 37
3,900 Long Island Bancorp, Inc. 125
2,200 Magna Bancorp, Inc. 38
4,400 Magna Group, Inc. 134
2,250 Mark Twain Bancshares, Inc. 112
3,259 Mid-Am, Inc. 58
2,600 ML Bancorp, Inc. 38
600 National Bancorp of Alaska, Inc. 42
1,638 National City Bancshares, Inc. 48
3,950 National Commerce Bancorp 144
1,126 National Penn Bancshares, Inc. 29
1,651 New York Bancorp, Inc. 56
3,900 North Fork Bancorp, Inc. 133
729 North Side Savings Bank 38
3,900 Old National Bancorp 143
1,000 Omega Financial Corp. 34
2,195 ONBANCorp, Inc. 85
3,225 One Valley Bancorp of West Virginia, Inc. 121
600 Park National Corp. 30
2,000 Peoples Bank of Bridgeport, CT 56
4,000 Peoples Heritage Financial Group, Inc. 112
1,300 Pikeville National Corp. 28
1,100 Pinnacle Banc Group, Inc. 11
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
1,900 Provident Bancorp, Inc. $ 99
1,328 Provident Bankshares Corp. 51
1,200 Queen City Bancorp 56
1,900 RCSB Financial, Inc. 57
2,792 Republic Bancorp, Inc. 33
1,797 Resource Bancshares Mortgage Group, Inc.* 27
3,100 Riggs National Corp.* 54
5,414 Roosevelt Financial Group, Inc. 104
1,800 S & T Bancorp, Inc. 54
1,500 Security Capital Corp. 107
1,600 Silicon Valley Bancshares* 48
7,640 Sovereign Bancorp, Inc. 100
2,971 St. Paul Bancorp, Inc. 84
2,900 Standard Financial, Inc.* 57
700 Student Loan Corp. 27
700 Sumitomo Bank of California 17
2,075 Susquehanna Bancshares, Inc. 74
1,500 T.R. Financial Corp.* 44
3,100 Trust Co. of Jersey City 46
3,183 Trustco Bank Corp. 68
4,300 Trustmark Corp. 110
2,698 UMB Financial Corp. 106
2,100 United Bankshares, Inc. 67
3,800 United Carolina Bancshares Corp. 152
900 USBancorp, Inc. 37
2,800 UST Corp. 52
6,700 Washington Federal, Inc. 178
1,300 Wesbanco, Inc. 39
1,500 Westamerica Bancorp 87
1,718 Westcorp, Inc. 41
2,375 Whitney Holding Corp. 84
--------
8,985
BITUMINOUS COAL AND LIGNITE SURFACE MINING--0.1%
1,300 Addington Resources, Inc.* 39
1,200 Ashland Coal, Inc. 31
1,200 Nacco Industries, Inc. 57
--------
127
BROKERAGE AND FINANCIAL SERVICES--1.6%
2,200 Alex Brown, Inc. 132
2,200 Allied Capital Commercial Corp. 49
400 American Financial Enterprises, Inc. 11
2,300 Amresco, Inc. 49
2,900 Bankers Life Holding Corp. 71
</TABLE>
See accompanying notes to financial statements.
28
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
867 BOK Financial Corp.* $ 23
700 CapMAC Holdings, Inc. 23
1,600 Carolina First Corp. 31
800 Cityscape Financial Corp.* 21
1,700 CMAC Investment Corp. 130
3,800 Crawford & Co., Class B 78
4,800 Crimmi Mae, Inc. 59
1,000 Cybercash, Inc.* 25
1,700 Financial Federal Corp.* 26
4,000 Insignia Financial Group, Inc., Class A* 91
1,900 Inter-Regional Financial Group, Inc. 67
600 Investment Technology Group, Inc.* 11
1,700 Jefferies Group, Inc. 61
2,100 Legg Mason, Inc. 82
1,540 McDonald & Co. Investments, Inc. 47
2,625 Morgan Keegan, Inc. 46
5,100 Olympic Financial Ltd. 71
3,600 Penncorp Financial Group, Inc. 124
7,550 Phoenix Duff & Phelps Corp. 53
3,300 Pioneer Group, Inc. 80
1,900 Piper Jaffray Cos., Inc. 28
1,857 Quick & Reilly Group, Inc. 53
600 RAC Financial Group, Inc.* 32
2,400 Raymond James Financial, Inc. 68
2,100 SEI Corp. 47
1,500 U.S. Trust Corp. 111
300 Value Line, Inc. 12
770 WFS Financial, Inc.* 18
500 Winthrop Resource Corp.* 14
--------
1,844
CHEMICALS AND ALLIED PRODUCTS--3.6%
2,600 Advanced Polymer Systems, Inc.* 20
4,300 Alliance Pharmaceutical Corp.* 54
2,300 Alpharma, Inc., Class A* 29
3,100 Amylin Pharmaceuticals, Inc.* 37
1,000 Aphton Corp.* 18
6,000 Arcadian Corp. 152
1,100 Bush Boake Allen, Inc.* 28
6,300 Calgon Carbon Corp. 73
2,100 Capstone Pharmacy Services, Inc.* 23
3,900 Carter-Wallace, Inc. 61
2,500 Cellpro, Inc.* 32
3,700 Cephalone, Inc.* 64
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------
<C> <S> <C>
1,500 Chemed Corp. $ 56
2,800 Church & Dwight, Inc. 63
1,500 Collagen Corp. 30
1,274 Copley Pharmaceutical, Inc.* 17
10,839 Crompton & Knowles Corp. 199
2,800 Cygnus, Inc.* 35
3,800 Dexter Corp. 124
1,700 Diagnostic Products Corp. 45
5,000 Dura Pharmaceuticals, Inc.* 185
2,200 Epitope, Inc.* 27
1,500 Ergo Science Corp.* 18
3,200 First Mississippi Corp. 92
2,200 Fuller (H.B.) Co. 104
2,100 GelTex Pharmaceuticals, Inc.* 38
5,100 Genelabs Technologies, Inc.* 20
3,600 Geon Co. 68
2,100 Herbalife International, Inc. 54
4,100 Hybridon, Inc. 33
5,101 ICN Pharmaceuticals, Inc. 99
5,200 ICOS Corp.* 40
3,200 Immulogic Pharmaceutical Corp.* 27
3,900 Isis Pharmaceuticals, Inc.* 64
2,500 Jones Medical Industries, Inc. 100
1,400 Kronos, Inc.* 40
500 Landec Corp.* 4
4,800 Lawter International, Inc. 58
1,200 Learonal, Inc. 28
1,771 Life Technologies, Inc. 39
2,975 Lilly Industrial, Inc. 55
900 MacDermid, Inc. 31
2,900 Matrix Pharmaceutical, Inc.* 25
1,100 McWhorter Technologies, Inc.* 22
2,100 Medimmune, Inc.* 32
3,500 Mineral Technologies, Inc. 137
3,300 Mississippi Chemical Corp. 84
2,700 NBTY, Inc.* 44
600 NCH Corp. 34
4,200 NL Industries, Inc.* 40
2,600 Noven Pharmaceuticals, Inc.* 35
2,000 OM Group, Inc. 83
1,000 PDT, Inc.* 31
1,000 Petrolite Corp. 44
1,800 Pharmacopeia, Inc.* 33
3,000 Regeneron Pharmaceuticals, Inc.* 57
</TABLE>
See accompanying notes to financial statements.
29
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
CHEMICALS AND ALLIED PRODUCTS--CONTINUED
3,300 Rexene Corp.* $ 44
2,000 Roberts Pharmaceutical Corp.* 22
3,400 Ross Cosmetics Distribution Centers, Inc. 11
5,800 Schulman (A.), Inc. 138
3,000 Scotts Co.* 54
4,200 Sepracor, Inc.* 70
4,500 Sequus Pharmaceuticals, Inc.* 65
3,100 Somatogen, Inc.* 35
1,600 Stepan Co. 30
700 Systemix, Inc.* 10
1,500 Techne Corp.* 36
1,935 Tetra Tech, Inc.* 36
2,200 Tetra Technologies, Inc.* 56
1,000 USA Detergents, Inc.* 38
1,800 Valhi, Inc. 11
2,400 Valspar Corp. 138
2,800 Vertex Pharmaceuticals, Inc.* 90
1,065 WD-40 Co. 55
4,700 Wellman, Inc. 76
--------
4,100
COMMUNICATIONS--3.4%
1,800 ACC Corp.* 54
3,400 Ackerley Communications, Inc. 44
2,700 Adelphia Communications Corp.* 18
5,800 Aliant Communications, Inc. 93
2,700 American Mobile Satellite Corp.* 34
600 American Paging, Inc.* 3
2,300 American Radio Systems, Inc.* 63
1,700 American Telecasting, Inc.* 13
900 Ancor Communications, Inc.* 14
2,800 ANTEC Corp.* 27
2,100 Applied Digital Access, Inc.* 15
1,600 Applied Innovation, Inc.* 11
1,700 Argyle Television, Inc.* 44
2,800 ATC Communications Group, Inc.* 43
900 Atlantic Tele-Network, Inc.* 17
1,200 BET Holdings, Inc.* 33
2,600 Black Box Corp.* 107
2,321 Block Drug Co., Inc. 104
1,300 Brightpoint, Inc.* 47
1,500 Brite Voice Systems, Inc.* 22
1,900 Broadband Technologies, Inc.* 37
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------------
<C> <S> <C>
2,200 C-TEC Corp.* $ 54
2,450 Cable Design Technologies Corp.* 72
5,470 CAI Wireless Systems, Inc.* 14
1,600 Cellstar Corp.* 19
1,800 Cellular Communications International, Inc.* 47
2,980 Cellular Technical Services, Inc.* 49
900 Cellularvision USA, Inc.* 6
5,500 Century Communications Corp., Class A* 36
2,100 CFW Communications Co. 47
2,000 CIDCO, Inc.* 39
2,200 Commnet Cellular, Inc.* 62
1,000 Data Transmission Network Corp.* 22
800 Davox Corp.* 30
1,100 Desktop Data, Inc.* 25
1,000 Digital Systems International, Inc.* 15
3,400 DSP Communications, Inc.* 132
1,300 EIS International, Inc.* 11
1,200 Emmis Broadcasting Corp., Class A* 41
3,350 Evergreen Media Corp., Class A* 83
2,500 Executive Telecard Ltd.* 18
8,000 Executone Information Systems, Inc.* 20
1,100 EZ Communications, Inc., Class A* 38
1,700 FastComm Communications Corp.* 14
4,100 General Communications, Inc.* 29
1,700 Harmonic Lightwaves, Inc.* 34
2,100 Heartland Wireless Communications, Inc.* 25
400 Heftel Broadcasting Corp., Class A* 13
5,100 Heritage Media Corp.* 71
3,400 HighwayMaster Communications, Inc.* 71
900 Intercel, Inc.* 14
2,000 Intermedia Communications, Inc.* 59
4,733 International Cabletel, Inc.* 118
600 IPC Information Systems, Inc.* 10
1,100 Jacor Communications, Inc.* 26
3,278 Jones Intercable, Inc., Class A* 36
2,100 Level One Communications, Inc.* 72
2,000 Lin Television Corp* 80
1,200 Mastec, Inc.* 57
1,900 Media General, Inc. 60
3,903 Metrocall, Inc.* 21
5,057 Metromedia International Group, Inc.* 61
2,700 MIDCOM Communications, Inc.* 31
8,500 Mobile Telecommunications Technologies Corp.* 99
</TABLE>
See accompanying notes to financial statements.
30
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
7,400 MobileMedia Corp.* $ 9
1,000 Ortel Corp.* 22
2,500 P-COM, Inc.* 79
1,100 Palmer Wireless, Inc.* 16
200 Paxson Communications Corp.* 1
1,800 People's Choice TV Corp.* 11
1,600 Periphonics Corp.* 32
1,500 Plantronics, Inc.* 61
1,500 ProNet, Inc.* 7
1,850 Renaissance Communications Corp.* 66
1,200 SAGA Communications, Inc.* 24
1,000 SFX Broadcasting, Inc., Class A* 31
1,600 Silver King Communications, Inc.* 40
2,500 TCA Cable TV, Inc. 73
1,300 Tel-Save Holdings, Inc.* 28
1,800 Telco Systems, Inc.* 32
1,000 Teltrend, Inc.* 28
1,250 Transaction Network Services, Inc.* 16
2,000 Trescom International, Inc.* 21
2,900 True North Communications, Inc. 65
2,500 U.S. Long Distance Corp.* 22
5,100 United International Holdings, Inc.,
Class A* 69
600 United Television, Inc. 55
1,800 United Video Satellite Group, Inc.* 27
4,500 Valuevision International, Inc.* 25
4,600 Vanguard Cellular Systems, Inc.* 78
2,100 VideoLan Technologies, Inc.* 4
4,600 Westwood One, Inc.* 76
4,000 WinStar Communications, Inc.* 83
2,000 Wireless One Corp.* 19
1,500 Young Broadcasting Corp.* 46
-------
3,890
COMPUTERS AND OFFICE MACHINES--3.7%
1,300 ACT Networks, Inc.* 36
2,800 Actel Corp.* 62
3,900 Alliance Semiconductor Corp.* 31
1,400 Applix, Inc.* 28
4,700 AST Research, Inc.* 21
3,800 Auspex Systems, Inc.* 45
3,300 Avid Technology, Inc.* 42
3,166 BancTec, Inc.* 63
900 Boca Research, Inc.* 11
5,400 Borland International, Inc.* 44
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
1,400 Brooktrout Technology, Inc.* $ 45
1,700 BT Office Products International, Inc.* 16
2,300 Caere Corp.* 20
1,796 Cambrex Corp. 57
1,800 Centennial Technologies, Inc.* 64
3,200 Chips & Technologies, Inc.* 67
2,100 Chronimed, Inc.* 30
4,000 Computer Network Technology Corp.* 24
3,300 Comverse Technology, Inc.* 112
2,200 Control Data Systems, Inc.* 44
6,900 Copytele, Inc.* 41
5,500 Data General Corp.* 80
900 Day Runner, Inc.* 22
1,300 Dialogic Corp.* 40
4,900 Diamond Multimedia Systems, Inc.* 63
2,000 Digi International, Inc.* 26
2,900 Dynatech Corp.* 136
1,100 Encad, Inc.* 41
2,000 EPIC Design Technology, Inc.* 50
1,600 Evans & Sutherland Computer Corp.* 41
3,400 Exabyte Corp.* 49
1,500 Excalibur Technologies Corp.* 24
2,300 Filenet Corp.* 83
4,900 FTP Software, Inc.* 39
1,100 General Binding Corp. 30
1,500 HMT Technology Corp.* 26
2,900 Hyperion Software Corp.* 63
4,300 Information Resources, Inc.* 49
5,300 Intelligent Electronics, Inc. 40
6,300 Intergraph Corp.* 57
1,800 Interpool, Inc.* 43
1,600 Itron, Inc.* 31
1,884 Logicon, Inc. 77
2,700 Mercury Interactive Corp.* 27
2,700 Microcom, Inc.* 31
1,400 Micros Systems, Inc.* 41
1,400 MicroTouch Systems, Inc.* 35
3,900 Miller (Herman), Inc. 183
3,000 Mylex Corp.* 37
2,200 National Computer Systems, Inc. 52
5,300 Netmanage, Inc.* 44
3,700 Nu-Kote Holding, Inc.* 39
1,500 Optical Data Systems, Inc.* 20
5,400 PHH Corp. 242
</TABLE>
See accompanying notes to financial statements.
31
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
COMPUTERS AND OFFICE MACHINES--CONTINUED
2,400 Phoenix Technologies Ltd.* $ 41
1,400 Planar Systems, Inc.* 14
7,998 Platinum Technology, Inc.* 96
1,500 Proxim, Inc.* 28
800 Radisys, Inc.* 37
7,400 S3, Inc.* 126
2,700 Sandisk Corp.* 37
3,400 Santa Cruz Operation, Inc.* 22
4,700 Sequent Computer Systems, Inc.* 79
3,300 Silicon Storage Technology, Inc.* 27
2,200 SMART Modular Technologies, Inc.* 50
2,300 Standard Microsystems Corp.* 25
500 Storage Computer Corp.* 6
3,000 StorMedia, Inc.* 38
3,800 Stratus Computer, Inc.* 98
2,000 SubMicron Systems, Inc.* 9
2,050 Sylvan Learning Systems, Inc.* 54
2,700 Synetic, Inc.* 125
1,200 3D Systems Corp.* 12
5,400 Tech Data Corp.* 162
2,100 Trident Microsystems, Inc.* 45
2,400 Tseng Laboratories, Inc.* 16
1,200 USDATA Corp., Inc* 8
1,300 Wall Data, Inc.* 19
5,400 Wang Labs, Inc.* 114
2,300 Wonderware Corp.* 22
500 Xpedite Systems, Inc.* 9
2,800 Zebra Technologies Corp.* 72
--------
4,155
CREDIT INSTITUTIONS--0.4%
2,200 Astoria Financial Corp. 83
3,200 Credit Acceptance Corp.* 83
902 First Financial Corp. 31
1,700 Jayhawk Acceptance Corp.* 21
1,500 JSB Financial, Inc. 54
2,200 National Auto Credit, Inc.* 23
2,400 North American Mortgage Co. 55
2,600 Ryland Group, Inc. 36
3,600 World Acceptance Corp.* 23
--------
409
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
ELECTRICAL SERVICES--2.6%
600 Advanced Lighting Technologies, Inc.* $ 13
8,200 Atlantic Energy, Inc. 145
2,200 Black Hills Corp. 57
2,800 Central Hudson Gas & Electric Corp. 85
3,500 Central Louisiana Electric Co., Inc. 99
5,000 Central Maine Power Co. 59
3,200 Checkfree Corp.* 54
2,100 CILCORP, Inc. 77
12,095 Citizens Utilities Co., Series B* 136
3,400 Commonwealth Energy Systems Cos. 82
3,200 Eastern Utilities Association 54
9,400 El Paso Electric Co.* 56
3,100 Electroglas, Inc.* 55
2,800 Empire District Electric Co. 53
1,900 Envoy Corp.* 71
4,600 IES Industries, Inc. 141
1,700 Interstate Power Co. 51
2,450 Madison Gas & Electric Co. 52
4,900 Minnesota Power & Light Co. 138
7,500 Nevada Power Co. 154
1,589 Northwestern Public Service Co. 55
2,200 Orange & Rockland Utilities, Inc. 79
1,700 Otter Tail Power Co. 55
3,600 PMT Services, Inc.* 77
5,800 Public Service Co. of New Mexico* 111
6,000 Rochester Gas & Electric Corp. 115
4,700 Sierra Pacific Resources 135
2,400 SIGCORP, Inc. 83
1,800 TNP Enterprises, Inc. 46
4,980 Tucson Electric Power Co.* 93
2,200 United Illuminating Co. 73
4,800 WPL Holdings, Inc. 135
3,800 WPS Resources Corp. 112
1,850 Yankee Energy System, Inc. 41
1,900 Zurn Industries, Inc. 54
--------
2,896
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--
5.7%
1,000 Advanced Energy Industries, Inc.* 7
2,500 Altron, Inc.* 47
5,100 Ametek, Inc. 108
4,300 Ampex Corp.* 44
800 ANADIGICS, Inc.* 30
6,200 Anixter International, Inc.* 104
</TABLE>
See accompanying notes to financial statements.
32
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
4,122 Applied Magnetics Corp.* $ 113
1,000 Associated Group, Inc.* 29
2,900 Augat, Inc. 82
2,275 Avant! Corp.* 67
3,120 Baldor Electric Co. 73
3,700 Belden, Inc. 126
1,000 Berg Electronics Corp.* 30
4,300 BMC Industries, Inc. 124
3,400 Boston Technology, Inc.* 67
2,500 Burr-Brown Corp.* 65
1,700 C-COR Electronics, Inc.* 25
1,700 C.P. Clare Corp.* 14
2,000 California Amplifier, Inc.* 16
2,800 California Microwave, Inc.* 42
1,000 Charter Power Systems, Inc. 27
750 Chicago Miniature Lamp, Inc.* 25
14,900 Chyron Corp.* 56
1,500 Coherent Communications Systems Corp.* 31
1,600 Cohu, Inc. 38
3,800 Computer Products, Inc.* 76
3,300 Credence Systems Corp.* 65
1,800 Cree Research, Inc.* 18
563 CTS Corp. 22
2,900 Cyrix Corp.* 55
4,200 Dallas Semiconductor Corp. 91
2,500 Digital Microwave Corp.* 60
1,600 DII Group* 40
1,500 Electro Scientific Industries, Inc.* 36
900 Eltron International, Inc.* 28
1,800 Energy Conversion Devices, Inc.* 27
2,900 ESS Technology, Inc.* 57
1,500 Esterline Technologies Corp.* 38
768 Franklin Electric Co., Inc.* 31
1,100 Galileo Corp.* 26
3,600 General DataComm Industries, Inc.* 40
1,200 General Scanning, Inc.* 12
2,800 Genus, Inc.* 19
4,500 Griffon Corp.* 48
1,400 HADCO Corp.* 65
2,310 Harman International Industries, Inc. 118
1,800 Holophane Corp.* 34
900 Hutchinson Technologies, Inc.* 47
11,100 Imatron, Inc.* 39
1,600 Imnet Systems, Inc.* 29
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C>
4,700 IMP, Inc.* $ 15
12,100 Integrated Device Technology, Inc.* 150
2,600 Integrated Silicon Solution, Inc.* 26
1,400 Inter-Tel, Inc.* 25
7,200 Interdigital Communications Corp.* 52
2,086 Intermagnetics General Corp.* 28
4,200 International Family Entertainment, Inc.* 65
2,700 Intervoice, Inc.* 34
1,500 ITI Technologies, Inc.* 19
2,900 Juno Lighting, Inc. 45
2,300 Kuhlman Corp.* 41
3,450 Lattice Semiconductor Corp.* 154
3,900 Lincoln Electric Co. 125
1,900 Littelfuse, Inc.* 83
3,800 Lojack Corp.* 36
1,200 LSI Industries, Inc. 14
6,100 LTX Corp.* 36
3,500 Magnetek, Inc.* 44
1,800 Mattson Technology, Inc.* 19
600 Merix Corp.* 10
4,950 Methode Electronics, Inc., Class A 95
5,400 Microchip Technology, Inc.* 258
2,100 MRV Communications, Inc.* 48
700 National Presto Industries, Inc. 26
4,100 NexGen, Inc. 57
2,840 Oak Industries, Inc.* 66
2,900 Palomar Medical Technologies, Inc.* 20
1,698 Park Electrochemical Corp.* 39
5,800 Pentair, Inc. 168
1,200 Perceptron, Inc.* 42
3,937 Pioneer Standard Electronics, Inc. 43
2,350 Pittway Corp. 127
3,875 PriCellular Corp.* 43
2,400 Quickturn Design Systems, Inc.* 41
4,700 Ramtron International Corp.* 35
1,698 Recoton Corp.* 25
1,700 Rival Co. 38
2,600 Robotic Vision Systems, Inc.* 34
2,700 Sammina Corp.* 118
1,100 SDL, Inc.* 25
1,150 Semitool, Inc.* 12
1,500 Sheldahl, Inc.* 29
4,300 Sierra Semiconductor Corp.* 62
4,700 Silicon Valley Group, Inc.* 100
</TABLE>
See accompanying notes to financial statements.
33
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
ELECTRONICS AND OTHER ELECTRICAL EQUIPMENT--CONTIN-
UED
1,700 Siliconix, Inc.* $ 37
700 Speedfam International, Inc.* 14
1,200 SPS Transaction Services, Inc.* 19
1,400 Standard Motor Products, Inc. 19
700 Stanford Telecommunications, Inc.* 20
1,200 Supertex, Inc.* 23
2,700 Symetricon, Inc. 51
2,600 3DO Co.* 17
1,200 Technitrol, Inc. 43
1,200 Tekelec* 16
4,800 Tencor Instruments* 128
500 ThermoSpectra Corp.* 7
1,800 Thomas Industries, Inc. 36
4,900 Top Source Technologies, Inc.* 17
2,000 TranSwitch Corp.* 12
1,300 Triquint Semiconductor, Inc.* 29
1,500 TSX Corp. 14
3,100 Ultratech Stepper, Inc.* 71
1,700 Uniphase Corp.* 101
1,800 Unitrode Corp.* 48
4,900 Vicor Corp.* 96
2,400 Vitesse Semiconductor Corp.* 115
7,200 VLSI Technology, Inc.* 166
2,700 Windmere Corp. 39
2,000 Wyle Electronics 72
3,200 Xicor, Inc.* 31
4,147 Zenith Electronics Corp.* 55
3,050 Zilog, Inc.* 68
700 Zygo Corp.* 28
800 Zytec Corp.* 9
--------
6,484
FOOD AND BEVERAGES--1.8%
4,900 Applebee's International, Inc. 143
6,700 Bob Evans Farms, Inc. 87
2,600 Boston Beer Co., Inc.* 30
5,300 Calgene, Inc.* 29
2,700 Canandaigua Wine Company, Inc.* 77
4,700 Chiquita Brands International, Inc. 62
1,000 Coca-Cola Bottling Co. 46
5,900 Coors (Adolph) Co., Class B 117
6,300 Dean Foods Co. 176
1,800 Dreyer's Grand Ice Cream, Inc. 48
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
1,600 Earthgrains Co. $ 83
5,800 Fleming Companies, Inc. 95
2,200 FoodBrands America, Inc.* 29
5,500 Host Marriott Services Corp.* 49
3,300 Hudson Foods, Inc. 60
1,400 IHOP Corp.* 34
2,300 International Dairy Queen, Inc.* 44
2,700 Lance, Inc. 48
2,300 Landry's Seafood Restaurants, Inc.* 55
1,000 Longhorn Steaks, Inc.* 20
3,700 Luby's Cafeterias, Inc. 81
400 Manhattan Bagel Co., Inc.* 3
2,100 Michael Foods, Inc. 24
1,400 Mondavi (Robert) Corp., Class A* 51
1,950 Papa Johns International, Inc.* 63
2,900 Pepsi-Cola Puerto Rico Bottling Co. 13
1,400 Pete's Brewing Co.* 9
900 Quality Dining, Inc.* 20
1,500 Rainforest Cafe, Inc.* 44
1,300 Redhook Ale Brewery, Inc.* 18
1,300 Riviana Foods, Inc. 23
2,500 Ruby Tuesday, Inc.* 40
8,200 Ryan's Family Steak Houses, Inc.* 57
1,950 Sbarro, Inc. 51
5,800 Shoney's, Inc.* 48
2,500 Smithfield Foods, Inc.* 81
3,920 Triarc Cos., Inc., Class A* 44
2,750 WLR Foods, Inc. 35
--------
2,037
FOOD AND MANUFACTURING--1.0%
1,500 Cheesecake Factory, Inc.* 30
2,000 Daka International, Inc.* 18
198 Farmer Bros. Co. 29
9,100 Flowers Industries, Inc., Class A 215
1,350 Performance Food Group Co.* 16
8,700 Premark International, Inc. 211
4,900 Ralcorp Holding, Inc.* 96
1,400 Riser Foods, Inc.* 43
1,200 Sanderson Farms, Inc. 19
3,200 Savannah Foods & Industries, Inc. 46
100 Seaboard Corp. 22
4,600 Smucker (J.M.) Co. 83
2,749 Tootsie Roll Industries, Inc. 105
700 TurboChef, Inc.* 6
</TABLE>
See accompanying notes to financial statements.
34
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
4,000 Universal Foods Corp. $ 148
--------
1,087
FURNITURE AND FIXTURES--0.6%
2,200 Bassett Furniture Industries, Inc. 50
1,500 Bush Industires, Inc. 27
1,800 CORT Business Services Corp.* 40
2,200 Ethan Allen Interiors, Inc.* 73
1,100 Falcon Building Products, Inc.* 14
7,700 Heilig-Meyers Co. 107
3,700 HON Industries, Inc. 115
2,900 Kimball International, Inc. 121
2,100 La-Z-Boy Chair Co. 63
2,200 Triangle Pacific Corp.* 48
--------
658
GENERAL BUILDING CONTRACTORS--0.9%
1,800 ABT Building Products Corp.* 43
3,000 AMCOL International Co. 42
2,100 AMRE, Inc.* 6
1,400 Blount, Inc. 52
11,600 Catellus Development Corp.* 116
4,500 Centex Corp. 162
1,200 Continental Homes Holding Corp. 25
3,000 Eagle Hardware & Garden, Inc.* 73
3,158 Horton (D.R.), Inc.* 33
6,100 Kaufman & Broad Home Corp. 79
1,100 NCI Building Systems, Inc.* 32
2,000 NVR, Inc.* 20
1,725 Palm Harbor Homes, Inc.* 46
3,000 Pulte Corp. 92
1,650 Southern Energy Homes, Inc.* 20
5,200 Standard Pacific Corp. 31
3,400 Toll Brothers, Inc.* 68
1,779 U.S. Home Corp.* 44
3,000 Webb (Del E.) Corp. 51
--------
1,035
GLASS, CLAY AND STONE PRODUCTS--0.5%
700 Ameron, Inc. 34
4,700 Ball Corp. 115
2,000 Centex Construction Products, Inc.* 32
1,200 Florida Rock Industries, Inc. 37
5,000 Gentex Corp.* 97
2,500 Medusa Corp. 87
1,290 Mikasa, Inc.* 14
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------
<C> <S> <C>
1,500 Photronics, Inc.* $ 47
800 Puerto Rican Cement Co. 23
2,700 Southdown, Inc.* 88
-------
574
HEALTH SERVICES--4.4%
1,900 Access Health Marketing, Inc.* 75
2,700 Alteon, Inc.* 20
1,200 American HomePatient, Inc.* 28
2,800 American Medical Response, Inc.* 84
1,300 Amisys Managed Care Systems* 19
3,300 Angeion Corp.* 11
2,100 Apogee, Inc. 93
1,000 Arbor Health Care Co.* 24
800 Barr Labs, Inc.* 20
1,500 Bio-Rad Labs, Inc.* 45
1,300 Carrington Laboratories, Inc.* 13
3,800 Cerner Corp.* 57
2,800 Coastal Physician Group, Inc.* 10
3,300 Cocensys, Inc.* 20
6,900 Community Psychiatric Centers* 62
1,700 Compdent Corp.* 47
3,400 COR Therapeutics, Inc.* 36
7,100 Coram Healthcare Corp.* 31
5,000 Creative BioMolecules, Inc.* 40
1,200 Cryolife, Inc.* 17
1,700 Curative Health Services, Inc.* 44
3,300 Cytel Corp.* 13
1,400 Emeritus Corp.* 19
3,123 Enzo Biochem, Inc.* 59
2,400 Equimed, Inc.* 10
4,000 Extended Stay America, Inc.* 83
2,100 Fuisz Technologies, Ltd.* 17
1,300 Fusion Systems Corp.* 25
1,200 Gelman Sciences, Inc.* 38
3,800 Genesis Health Ventures, Inc.* 106
4,400 Gensia, Inc.* 20
3,785 Grancare, Inc.* 67
2,000 Gulf South Medical Supply, Inc.* 58
3,600 Haemonetics Corp.* 63
2,200 Health Management Systems, Inc.* 33
2,121 Healthdyne Technologies, Inc.* 19
1,400 HealthPlan Services Corp.* 27
1,100 Henry Schien, Inc.* 45
8,092 Horizon Healthcare Corp.* 87
</TABLE>
See accompanying notes to financial statements.
35
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
HEALTH SERVICES--CONTINUED
2,900 Human Genome Sciences, Inc.* $ 108
2,000 I-STAT Corp.* 49
1,300 ICU Medical, Inc.* 11
1,900 IDEC Pharmaceuticals Corp.* 46
900 IDX Systems Corp.* 22
2,600 Immune Response Corp.* 21
3,600 Immunomedics, Inc.* 24
1,575 INBRAND Corp.* 38
1,100 Incyte Pharmaceuticals, Inc.* 42
1,800 Inhale Therapeutic Systems* 27
1,900 Inphynet Medical Management, Inc.* 34
4,400 Integra Lifesciences Corp.* 25
3,500 Integrated Health Services, Inc. 77
400 Intercardia, Inc.* 7
4,700 Invacare Corp. 127
2,100 KeraVision, Inc.* 30
2,800 Kinetic Concepts, Inc. 35
400 Labone, Inc. 6
13,200 Laboratory Corporation of America Holdings* 36
1,500 Landauer, Inc. 31
400 LCA-Vision, Inc.* 1
1,800 Lifecore Biomedical, Inc.* 28
3,458 Ligand Pharmaceuticals, Inc.* 42
2,200 Living Centers of America, Inc.* 56
4,600 Magellan Health Services, Inc.* 96
4,300 Mariner Health Group, Inc.* 32
2,100 Martek Biosciences Corp.* 37
5,700 Matria Healthcare, Inc.* 34
3,000 Maxicare Health Plans, Inc.* 62
1,600 MedCath, Inc.* 24
1,600 Meridian Diagnostics, Inc. 18
600 MiniMed, Inc.* 16
1,600 MMI Cos., Inc. 49
1,633 Morrison Health Care, Inc. 23
2,200 Multicare Cos., Inc.* 43
1,500 Myriad Genetics, Inc.* 38
4,900 NABI, Inc.* 45
1,200 National Surgery Centers, Inc.* 38
3,000 Neoprobe Corp.* 43
1,400 Neose Technologies, Inc.* 21
2,500 Neurex Corp.* 32
2,100 Neurogen Corp.* 39
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
4,300 Neuromedical Systems, Inc.* $ 58
2,100 Northfield Laboratories, Inc.* 28
10,300 NovaCare, Inc.* 88
3,200 OccuSystems, Inc.* 93
3,100 OIS Optical Imaging Systems, Inc.* 8
3,000 Oncogene Science, Inc.* 21
2,200 OrthoLogic Corp.* 13
2,000 Owen Healthcare, Inc.* 51
1,900 PathoGenesis Corp.* 48
1,300 Pediatrix Medical Group* 50
1,300 Perclose, Inc.* 22
10,500 Perrigo Co.* 97
1,800 PHP Healthcare Corp.* 41
6,000 Physician Corporation Of America* 64
1,200 Physicians Health Services, Inc.* 18
1,500 Prime Medical Services, Inc.* 17
2,900 Regency Health Services, Inc.* 30
3,900 Renal Treatment Centers, Inc.* 101
700 RES-CARE, Inc.* 11
1,700 Research Medical, Inc.* 35
2,500 Resound Corp.* 22
1,450 Rexall Sundown, Inc.* 37
600 RightCHOICE Managed Care, Inc.,
Class A* 5
3,900 RoTech Medical Corp.* 66
1,600 Rural/Metro Corp.* 56
1,300 Safeskin Corp.* 67
1,300 Serologicals Corp.* 44
3,300 Sofamor/Danek Group, Inc.* 93
3,700 Somatix Therapy Corp.* 13
6,280 Sun Healthcare Group, Inc.* 78
1,600 Target Therapeutics, Inc.* 56
3,100 TheraTx, Inc.* 32
1,400 Universal Health Realty Income Trust 27
4,600 Universal Health Services, Inc.* 130
3,300 Uromed Corp.* 30
2,300 Veterinary Centers of America, Inc.* 24
2,500 Vical, Inc.* 46
400 Vitalink Pharmacy Services, Inc.* 9
2,300 Vivus, Inc.* 79
4,600 XOMA Corp.* 18
3,800 Zila, Inc.* 28
--------
5,052
</TABLE>
See accompanying notes to financial statements.
36
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
HEAVY CONSTRUCTION--0.3%
420 Diana Corp.* $ 14
1,750 Granite Construction, Inc. 35
2,500 Greenfield Industries, Inc. 73
3,716 Instituform Technologies, Inc.* 29
4,200 Lennar Corp. 109
1,900 Lone Star Industries, Inc.* 70
1,591 Morrison Knudsen Corp.* 14
--------
344
INDUSTRIAL INSTRUMENTS--3.4%
3,300 Acuson Corp.* 75
2,800 ADAC Laboratories 62
2,300 Advanced Technology Laboratories, Inc.* 66
2,400 Alkermes, Inc.* 34
3,600 Allen Group, Inc. 80
1,300 Analogic Corp. 36
1,800 Arrow International, Inc.* 48
900 ArthroCare Corp. 9
2,600 ATS Medical, Inc.* 20
4,200 Ballard Medical Products 79
2,100 Barnett, Inc.* 52
1,200 Biomatrix, Inc.* 18
2,700 Buckeye Cellulose Corp.* 73
1,751 Chad Therapeutics, Inc.* 28
6,200 Cincinnati Milacron, Inc.* 129
1,800 Circon Corp.* 29
3,100 CNS, Inc. 44
5,200 Cognex Corp.* 103
1,700 Coherent, Inc.* 74
7,900 Coltec Industries, Inc.* 146
400 Conceptus, Inc.* 4
2,450 CONMED Corp.* 43
876 Cubic Corp. 19
700 Cytyc Corp.* 18
1,800 Daniel Industries, Inc. 25
2,400 Datascope Corp.* 44
2,000 DepoTech Corp.* 28
2,100 Dionex Corp.* 73
2,200 Endosonics Corp. 25
2,300 Etec Systems, Inc. 68
4,200 Ferro Corp. 121
2,500 Fisher Scientific International, Inc. 114
1,000 Fluke (John) Manufacturing Co., Inc.* 43
3,300 Genrad, Inc.* 73
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
4,400 Gilead Sciences, Inc.* $ 113
575 Hach Co. 9
1,700 Hologic, Inc.* 42
1,900 InControl, Inc.* 17
3,900 Isolyser Company, Inc.* 31
4,100 Kennametal, Inc. 148
4,800 Keystone International, Inc. 94
900 Lunar Corp.* 28
1,300 Marquette Medical Systems, Inc.* 24
4,900 Mascotech, Inc. 81
2,200 Measurex Corp. 54
3,564 Mentor Corp. 98
600 Mine Safety Appliances Co. 30
1,600 MTS Systems Corp. 33
700 OnTrak Systems, Inc.* 13
1,600 Ostex International, Inc.* 10
101 PerSeptive Biosystems 1
2,600 Physio-Control International Corp.* 48
2,100 Possis Corp.* 37
3,600 Power Control Technologies, Inc.* 28
1,200 Protocol Systems, Inc.* 16
3,400 R.P. Scherer Corp.* 156
2,600 Respironics, Inc.* 38
1,900 SangStat Medical Corp.* 43
1,700 Spine-Tech, Inc. 45
2,200 Staar Surgical Co.* 25
1,200 Starrett (L.S.) Co. 33
2,900 Sunrise Medical, Inc.* 42
1,100 Tech-Sym Corp.* 32
2,650 TECNOL Medical Products, Inc.* 35
1,600 Theragenics Corp.* 36
2,500 Theratech, Inc.* 28
3,400 Thoratec Laboratories, Inc.* 32
3,100 Trimble Navigation Ltd.* 43
1,700 UROHEALTH Systems, Inc.* 15
3,000 Ventritex, Inc.* 70
1,000 Vital Signs, Inc. 22
3,800 Waters Corp.* 103
1,396 Watkins-Johnson Co. 36
1,800 Watsco, Inc. 45
2,300 X-Rite, Inc. 43
1,300 Zoltek Companies, Inc.* 46
--------
3,826
</TABLE>
See accompanying notes to financial statements.
37
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
INSURANCE SERVICES--4.3%
2,100 Acceptance Insurance Cos., Inc.* $ 43
2,200 Acordia, Inc. 65
6,500 Alexander & Alexander Services, Inc. 94
3,500 Alfa Corp. 39
2,250 Allied Group, Inc. 100
1,524 American Annuity Group, Inc.* 20
3,200 American Bankers Insurance Group, Inc. 156
1,450 American Heritage Life Investment Corp. 32
2,200 American Travelers Corp.* 78
4,000 Amerin Corp.* 91
2,200 Amvestors Financial Corp. 32
2,800 Argonaut Group, Inc. 83
2,000 Baldwin & Lyons, Inc. 36
2,200 Berkley (W.R.) Corp. 115
1,800 Blanch (E.W.) Holdings, Inc. 35
1,700 Capital RE Corp. 65
700 Capitol American Financial Corp. 25
1,200 Citizens Corp. 26
3,100 Commerce Group, Inc. 74
4,500 Coventry Corp.* 44
1,960 Delphi Financial Group, Inc.* 55
1,900 Enhance Financial Services Group, Inc. 65
1,800 Executive Risk, Inc. 72
4,974 Financial Security Assurance International 158
1,700 First American Financial Corp. 62
1,400 Foremost Corp. of America 78
3,112 Fremont General Corp. 97
1,684 Frontier Insurance Group, Inc. 64
1,100 Fund American Enterprises Holdings, Inc.* 101
3,285 Gainsco, Inc. 31
2,200 Gallagher (Arthur J.) & Co. 68
1,700 Guarantee Life Companies, Inc. 33
2,600 Guaranty National Corp. 43
1,100 Harleysville Group, Inc. 34
3,100 Hartford Steam Boiler 141
3,900 HCC Insurance Holdings, Inc.* 109
1,800 Highlands Insurance Group, Inc.* 35
2,400 Hilb, Rogal & Hamilton Co. 32
1,900 Home Beneficial Corp. 47
3,700 Horace Mann Educators Corp. 140
2,300 Integon Corp. 44
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
3,600 John Alden Financial Corp. $ 63
500 Kansas City Life Insurance Co. 29
2,300 Liberty Corp. 88
800 Liberty Financial Cos., Inc. 28
1,700 Life Reinsurance Corp. 63
2,700 Life USA Holding, Inc.* 27
1,414 MAIC Holdings, Inc.* 47
600 Markel Corp.* 51
800 Meadowbrook Insurance Group, Inc. 17
2,300 NAC RE Corp. 84
400 National Western Life Insurance Co.* 33
900 Nymagic, Inc. 16
2,190 Orion Capital Corp. 137
1,300 Pioneer Financial Services, Inc. 24
950 Poe & Brown, Inc. 25
4,000 Presidential Life Corp. 47
1,400 PXRE Corp. 34
2,600 Reinsurance Group of America, Inc. 122
9,500 Reliance Group Holdings, Inc. 85
2,900 Risk Capital Holdings, Inc.* 51
1,065 RLI Corp. 34
800 Seafield Capital Corp. 27
1,500 Security Connecticut Corp. 52
2,200 Selective Insurance Group, Inc. 74
2,200 Sierra Health Services, Inc.* 54
1,050 State Auto Financial Corp. 17
7,000 20th Century Industries* 105
900 Transnational Re Corp., Class A 23
900 Trenwick Group, Inc. 44
5,300 UICI* 148
3,820 United Cos. Financial Corp. 114
900 United Dental Care, Inc. 25
1,650 United Fire & Casualty Co. 51
1,100 United Wisconsin Services, Inc. 28
3,000 Vesta Insurance Group, Inc. 97
1,700 Washington National Corp. 47
1,800 Zenith National Insurance Corp. 49
1,700 Zurich Reinsurance Centre Holdings, Inc. 52
--------
4,874
JEWELRY AND PRECIOUS METALS--0.0%
1,600 Oneida, Ltd. 27
700 Syratech Corp.* 22
--------
49
</TABLE>
See accompanying notes to financial statements.
38
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
LEATHER PRODUCTS--0.2%
2,800 Brown Group, Inc. $ 53
3,300 Justin Industries, Inc. 35
1,400 Timberland Co.* 54
4,287 Wolverine World Wide, Inc. 115
--------
257
LUMBER AND WOOD PRODUCTS--0.2%
1,500 Fibreboard Corp.* 52
1,900 Ply-Gem Industries, Inc. 25
2,300 Pope & Talbot, Inc. 37
2,600 TJ International, Inc. 57
--------
171
MACHINERY--2.0%
700 Ag-Chem Equipment Co., Inc.* 11
1,400 Alamo Group, Inc. 23
1,600 Allied Products Corp. 38
2,000 Avondale Industries, Inc.* 35
2,100 Borg-Warner Security Corp.* 22
1,700 Cascade Corp. 24
700 Columbus McKinnon Corp. 11
3,300 Donaldson Co., Inc. 101
900 DT Industries, Inc. 31
3,800 Duriron Co., Inc. 103
2,900 Figgie International Holdings, Inc.* 37
3,900 FSI International, Inc.* 57
1,450 Gasonics International Corp.* 16
5,400 Giddings & Lewis, Inc. 63
600 Gleason Corp. 18
3,500 Global Industrial Technologies, Inc.* 72
3,300 Goulds Pumps, Inc. 81
2,197 Graco, Inc. 57
1,300 Helix Technology Corp. 41
2,650 IDEX Corp. 104
3,100 Indentix, Inc. 25
2,500 Integrated Process Equipment Corp.* 43
2,400 Ionics, Inc.* 116
2,600 Kaydon Corp. 106
3,400 Kulicke & Soffa Industries, Inc.* 69
1,000 Lindsay Manufacturing Co.* 41
1,750 Manitowoc Co., Inc. 77
6,300 Marine Drilling Co., Inc.* 100
3,400 Modine Manufacturing Co. 85
3,250 Mohawk Industries, Inc.* 77
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
2,400 Molten Metal Technology, Inc.* $ 36
1,300 Morningstar Group, Inc.* 22
1,600 Osmonics, Inc.* 34
3,100 Outboard Marine Corp. 50
699 Pilgrims Pride Corp. 6
3,200 Regal-Beloit Corp. 62
2,200 Rexel, Inc.* 31
1,348 Robbins & Myers, Inc. 32
2,000 Roper Industries, Inc. 86
1,700 Specialty Equipment Cos., Inc.* 20
100 Spinnaker Industries* 6
1,700 SPX Corp. 54
800 Thermo Power Corp.* 7
1,900 Toro Co. 68
800 Tractor Supply Co.* 17
3,000 Varco International, Inc.* 69
--------
2,284
MANUFACTURING--GENERAL--1.1%
500 Bacou U.S.A., Inc.* 8
3,380 Brady (W.H.) Co. 74
3,150 Cuno, Inc. 49
9,300 Furniture Brands International, Inc.* 115
5,800 Hexcel Corp.* 105
1,400 Hunt Manufacturing Co. 25
1,600 Insilico Corp.* 62
1,000 Jabil Circuit, Inc.* 25
6,000 Kemet Corp.* 138
1,300 Matthews International Corp., Class A 37
2,500 Novellus Systems, Inc.* 144
1,700 Optical Coating Laboratory, Inc. 19
1,800 Paragon Trade Brands, Inc.* 50
2,000 Samsonite Corp.* 76
1,400 Seattle Filmworks, Inc.* 27
700 Simpson Manufacturing Co.* 15
850 Simula, Inc.* 13
3,000 Toy Biz, Inc.* 55
2,400 Tracor, Inc.* 53
800 Tremont Corp.* 29
700 Trigen Energy Corp. 19
2,000 U.S. Can Corp.* 33
700 Visioneer, Inc.* 4
2,400 Wireless Telecom Group, Inc. 24
--------
1,199
</TABLE>
See accompanying notes to financial statements.
39
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
MERCHANDISE--GENERAL--0.4%
1,200 Action Performance Companies, Inc.* $ 21
3,700 Amerisource Corp.* 146
2,200 Cross (A.T.) Co. 24
3,300 Department 56, Inc.* 77
5,300 Jostens, Inc. 113
2,200 Libbey, Inc. 59
6,200 Playtex Products, Inc.* 50
1,900 Strategic Distribution, Inc.* 13
--------
503
METAL MINING--0.6%
20,200 Battle Mountain Gold Co. 146
1,700 Cleveland Cliffs, Inc. 75
3,300 Coeur D'Alene Mines Corp. 48
4,200 Freeport-McMoran Copper and Gold Inc. 128
4,017 Getchell Gold Corp.* 157
8,000 Hecla Mining Co.* 47
2,600 Stillwater Mining Co. 45
33,600 Sunshine Mining Co.* 38
--------
684
METAL PRODUCTS--0.9%
1,400 Alltrista Corp.* 35
7,800 Amax Gold, Inc.* 47
800 American Buildings Co.* 17
2,800 Aptargroup, Inc. 97
600 Barnes Group, Inc. 34
1,050 Butler Manufacturing Co. 33
1,600 Chase Brass Industries, Inc.* 29
1,200 Citation Corp.* 12
2,300 Clarcor, Inc. 51
1,000 Greenbriar Cos., Inc. 10
1,100 Hardinge, Inc. 29
2,700 Material Sciences Corp.* 45
1,800 Miller Industries, Inc.* 50
1,500 NN Ball & Roller, Inc. 20
1,100 Oregon Meetallurgical Corp.* 39
1,100 Penn Engineering & Manufacturing Corp. 22
1,900 Quanex Corp. 51
964 SPS Technologies, Inc.* 60
2,400 TriMas Corp. 61
3,100 Watts Industries, Inc., Class A 68
1,600 Whittaker Corp.* 22
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -------------------------------------------------------
<C> <S> <C>
2,200 Wolverine Tube, Inc.* $ 82
3,000 Wyman-Gordon Co.* 64
2,600 Zero Corp. 51
--------
1,029
MINING, QUARRYING OF NONMETALLIC MINERAL--
0.2%
1,100 Cliff's Drilling Co.* 57
2,300 Dravo Corp.* 30
1,800 RMI Titanium Corp.* 42
2,600 Solv-Ex Corp.* 34
2,600 Zeigler Coal Holding Co. 48
--------
211
MISCELLANEOUS INVESTING INSTITUTIONS--3.0%
5,424 BRE Properties, Inc. 120
3,000 Burnham Pacific Properties, Inc. 39
200 Capital Southwest Corp. 14
5,575 Capstead Mortgage Corp. 135
9,104 Champion Enterprises, Inc.* 190
1,619 Chemical Financial Corp. 59
1,400 Corus Bankshares, Inc. 45
3,200 Crescent Real Estate Equities, Inc.* 140
6,900 CWM Mortgage Holdings, Inc. 142
4,800 Dauphin Deposit Corp. 156
3,100 Deposit Guaranty Corp. 179
6,300 Franchise Finance Corp. 160
8,700 Geotek Communications, Inc.* 61
2,708 Horizon Group, Inc. 53
3,400 Hospital Properties Trust 92
4,500 IRT Property Co. 48
1,000 John Nuveen and Company, Inc. 27
4,200 Kimco Realty Corp. 122
2,700 Koger Equity, Inc.* 44
2,900 LTC Properties, Inc. 50
1,873 MAF Bancorp, Inc. 64
1,800 Meridian Industrial Trust, Inc. 34
5,500 Merry Land & Investment Co., Inc. 110
2,000 MGI Properties, Inc. 40
6,500 Mid Atlantic Medical Services, Inc.* 76
6,200 Nationwide Health Properties, Inc. 138
3,500 Noel Group, Inc.* 23
2,600 Patriot American Hospitality, Inc. 98
1,000 PEC Israel Economic Corp.* 17
1,433 Peoples First Corp. 32
6,000 Public Storage, Inc. 152
</TABLE>
See accompanying notes to financial statements.
40
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------------
<C> <S> <C>
3,600 Realty Income Corp. $ 86
1,600 Reckson Associates Realty Corp. 61
1,400 Redwood Trust, Inc. 53
3,100 Resource Mortgage Capital, Inc. 83
1,100 Seacor Holdings, Inc.* 70
1,000 Sirrom Capital Corp. 36
1,700 Smith, (Charles E.) Residential
Realty, Inc. 43
1,800 Trans Financial Bancorp, Inc. 38
1,000 Union Acceptance Corp.* 20
2,300 Vallicorp Holdings, Inc. 46
3,700 Weingarten Realty Investors 145
--------
3,341
NATURAL GAS TRANSMISSION--1.9%
2,450 Atmos Energy Corp. 60
2,100 Bay State Gas Co. 61
1,500 Colonial Gas Co. 34
1,600 Connecticut Energy Corp. 35
1,700 Connecticut Natural Gas Corp. 40
3,100 Eastern Enterprises 116
1,700 Energen Corp. 46
3,100 Indiana Energy, Inc. 75
12,300 Kelley Oil and Gas Corp.* 35
3,151 KN Energy, Inc. 128
2,700 Laclede Gas Co. 64
2,800 New Jersey Resources Corp. 83
1,100 North Carolina Natural Gas Corp. 32
3,500 Northwest Natural Gas Co. 88
1,700 NUI Corp. 34
3,700 Oneok, Inc. 102
4,576 Piedmont Natural Gas Co. 115
3,700 Primark Corp.* 97
2,950 Public Service Co. of North Carolina, Inc. 56
1,320 South Jersey Industries, Inc. 32
2,184 Southeastern Michigan Gas Enterprises, Inc. 39
1,420 Southern Union Co.* 35
3,900 Southwest Gas Corp. 76
3,900 Southwestern Energy Co. 62
1,957 Tejas Gas Corp.* 86
1,700 TransTexas Gas Corp.* 23
5,100 UGI Corp. 112
2,000 United Cities Gas Co. 47
3,800 Washington Energy Co. 73
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
6,700 Washington Gas Light Co. $ 160
2,900 Wicor, Inc. 105
--------
2,151
OIL AND GAS--2.9%
8,600 AGL Resources, Inc. 182
900 Aquila Gas Pipeline Corp. 13
800 Atwood Oceanics, Inc.* 44
4,040 Barrett Resources Corp.* 165
1,000 Belco Oil & Gas Corp.* 29
1,800 Belden & Blake Corp.* 45
4,100 Benton Oil & Gas Co.* 105
3,400 Berry Petroleum Co. 45
4,543 BJ Services Co.* 217
3,200 Box Energy Corp.* 27
2,900 Brown (Tom), Inc.* 55
3,200 Cabot Oil & Gas Corp. 57
2,600 Cairn Energy USA, Inc.* 31
3,000 Calmat Co. 55
2,000 Capsure Holdings Corp.* 19
2,400 Cross Timbers Oil Co. 58
2,400 Destec Energy, Inc.* 37
3,000 Devon Energy Corp. 109
1,900 Energy Ventures, Inc.* 93
1,800 Falcon Drilling Co., Inc.* 72
1,700 Flores & Rucks, Inc.* 84
1,600 Forcenergy, Inc.* 49
3,700 Forest Oil Corp.* 57
1,200 Giant Industries, Inc. 18
11,500 Harken Energy Corp.* 34
3,900 Helmerich & Payne, Inc. 210
499 Hondo Oil & Gas Co.* 6
2,100 Hugoton Energy Corp.* 23
1,700 KCS Energy, Inc. 57
1,800 KFX, Inc.* 11
11,800 Mesa, Inc.* 60
5,800 Mitchell Energy & Development Corp. 126
1,500 Nuevo Energy Co.* 75
3,600 Oceaneering International, Inc.* 60
5,600 Parker & Parsley Petroleum Co. 185
7,900 Parker Drilling Co.* 74
2,800 Plains Resources, Inc.* 46
2,400 Pool Energy Services Co.* 35
4,100 Pride Petroleum Services, Inc.* 74
1,400 Production Operators Corp. 63
</TABLE>
See accompanying notes to financial statements.
41
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
OIL AND GAS--CONTINUED
9,336 Seagull Energy Corp.* $ 214
4,300 Snyder Oil Corp. 74
2,100 Swift Energy Co.* 66
4,100 Tuboscope Vetco International Corp.* 63
1,800 Vintage Petroleum, Inc. 60
2,500 Western Gas Resources, Inc. 47
--------
3,329
ORDNANCE AND ACCESSORIES--0.1%
1,400 Alliant Techsystems, Inc.* 75
3,100 Sturm Ruger & Co., Inc. 55
--------
130
OTHER SERVICES--0.6%
800 Central Parking Corp. 27
400 CKS Group, Inc.* 8
1,600 Integrated Packaging Assembly Corp.* 13
1,100 McGrath Rentcorp 28
7,700 Ogden Corp. 149
1,400 Pixar, Inc.* 21
1,100 Quick Response Services, Inc.* 34
3,300 Rollins, Inc. 61
1,300 Sovran Self Storage, Inc. 37
700 Summit Care Corp.* 11
750 Thermo Ecotek Corp.* 12
250 Thermo Remediation, Inc. 3
5,600 United Waste Systems, Inc.* 188
800 Wackenhut Corrections Corp.* 14
6,000 Walter Industries, Inc.* 80
--------
686
PAPER PRODUCTS--0.7%
3,200 Chesapeake Corp. 98
8,500 Gaylord Container Corp.* 54
2,500 Greif Bros. Corp. 73
1,653 Mosinee Paper Corp. 57
4,000 P.H. Glatfelter Co. 73
3,646 Paxar Corp.* 62
5,270 Rock-Tenn Co. 111
2,500 Schweitzer-Mauduit International, Inc. 83
2,500 Shorewood Packaging Corp.* 47
2,100 Universal Forest Products, Inc. 27
4,400 Wausau Paper Mills Co. 90
--------
775
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
PERSONAL SERVICES--0.5%
1,600 Angelica Corp. $ 31
2,600 Bristol Hotel Co.* 70
2,900 Catalina Marketing Corp.* 148
2,400 CPI Corp. 41
1,300 Craig (Jenny), Inc.* 12
1,500 Equity Corp. International 32
3,150 G & K Services, Inc. 114
1,873 Marcus Corp. 43
1,700 Red Roof Inns, Inc.* 27
3,200 Unifirst Corp. 68
--------
586
PETROLEUM PRODUCTS--1.0%
3,800 Camco International, Inc. 159
1,200 Crown Central Petroleum Corp.* 17
3,700 Diamond Shamrock, Inc. 120
1,500 Elcor Corp. 32
2,300 Lomak Petroleum, Inc. 38
1,300 Louis Dreyfus Natural Gas Corp.* 22
2,700 Newfield Exploration, Inc.* 135
1,690 Newpark Resources, Inc.* 59
5,300 Quaker Chemical Corp. 91
2,000 Royal Gold, Inc.* 26
1,100 RPC, Inc.* 17
1,700 Seitel, Inc.* 69
1,500 Stone Energy Corp.* 35
4,100 Tesoro Petroleum Corp.* 59
4,210 United Meridian Corp.* 215
--------
1,094
PRINTING AND PUBLISHING--1.5%
1,800 American Business Information, Inc.* 31
1,950 American Business Products, Inc. 43
7,300 American Media, Inc., Class A 42
2,500 Big Flower Press Holdings, Inc.* 44
2,800 Bowne & Co., Inc. 69
1,200 CSS Industries, Inc.* 29
1,100 Devon Group, Inc.* 28
1,290 DH Technology, Inc.* 31
1,050 Edmark Corp.* 16
2,900 Ennis Business Forms, Inc. 29
2,500 Express Scripts, Inc.* 89
1,400 Franklin Electronic Publishers, Inc.* 18
2,800 Gibson Greetings, Inc.* 53
</TABLE>
See accompanying notes to financial statements.
42
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
3,000 Golden Books Family
Entertainment, Inc.* $ 35
4,800 Harland (John H.) Co. 148
2,457 Harte-Hanks Communications, Inc. 63
4,000 Hollinger International, Inc. 44
2,200 Houghton Mifflin Co. 115
4,700 McClatchy Newspapers, Inc., Class A 145
954 Merrill Corp. 22
2,250 Nelson (Thomas), Inc. 28
2,100 New England Business Service, Inc. 41
2,900 Playboy Enterprises, Inc.* 34
966 Pulitzer Publishing Co. 44
1,900 Scholastic Corp.* 142
2,100 Standard Register Co. 59
400 Steck-Vaughn Publishing Corp.* 4
7,300 Topps, Inc.* 31
3,400 Valassis Communications, Inc.* 61
400 Waverly, Inc.* 10
2,100 Wiley (John) & Sons, Inc. 62
5,300 World Color Press, Inc.* 127
--------
1,737
PROFESSIONAL SERVICES--7.0%
2,520 ABM Industries, Inc. 43
1,550 ADR Information Services, Inc.* 67
5,100 Acclaim Entertainment, Inc.* 26
2,000 Activision, Inc.* 23
7,200 Acxiom Corp.* 165
600 Advent Software, Inc.* 19
3,725 Advo, Inc. 47
3,600 Affiliated Computer Services, Inc.* 104
5,800 Allwaste, Inc.* 25
2,200 Alternative Resources Corp.* 38
2,700 AMERCO* 128
4,400 American Oncology Resources, Inc.* 43
2,474 Analysts International Corp. 67
1,700 Arbor Software Corp.* 49
1,400 Aspen Technologies, Inc.* 117
600 Astea International, Inc.* 3
4,800 Banta Corp. 114
800 Barra, Inc.* 21
3,200 BBN Corp.* 74
2,300 BDM International* 108
2,600 BE Aerospace, Inc.* 60
2,200 Bell & Howell Co.* 57
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------
<C> <S> <C>
700 Billing Information Concepts* $ 21
3,800 Bisys Group, Inc.* 142
1,856 Boole & Babbage, Inc.* 53
900 BRC Holdings, Inc.* 38
2,700 Broderbund Software, Inc.* 81
3,800 BWIP Holding, Inc. 58
1,700 Casino Data Systems* 22
1,700 CDI Corp.* 50
100 Cheyenne Software, Inc.* 3
1,300 Ciber, Inc.* 43
2,800 Citrix Systems, Inc.* 128
1,600 Clarify, Inc.* 72
1,200 ClinTrials Research, Inc.* 26
1,200 CMG Information Services, Inc.* 19
500 COMFORCE Corp.* 7
2,200 Computer Horizons Corp.* 74
600 Computer Language Research, Inc. 6
1,500 Computer Task Group, Inc. 63
9,900 Computervision Corp.* 94
1,700 Comshare, Inc.* 25
1,000 Cooper & Chyan Technology, Inc.* 33
1,900 COREStaff, Inc.* 49
500 CRA Managed Care, Inc.* 23
500 CSG Systems International, Inc.* 9
1,200 Data Translation, Inc.* 14
700 Datastream Systems, Inc.* 16
1,300 DecisionOne Corp.* 20
1,500 Dendrite International, Inc.* 36
1,600 Documentum, Inc.* 61
1,100 Elcom International, Inc.* 9
1,284 Electro Rent Corp.* 31
1,100 EmCare Holdings, Inc. 22
2,900 Employee Solutions, Inc.* 54
700 Enterprise Systems, Inc.* 11
600 Excite, Inc.* 6
1,200 Fair Isaac & Co. 42
2,900 Franklin Quest Co.* 62
2,300 General Magic, Inc.* 7
1,600 Geoworks* 35
3,000 Gerber Scientific, Inc. 47
3,400 Global Industries Ltd.* 60
200 Grey Advertising, Inc. 46
800 HA-LO Industries, Inc.* 31
1,500 Harbinger Corp.* 39
</TABLE>
See accompanying notes to financial statements.
43
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
PROFESSIONAL SERVICES--CONTINUED
400 HCIA, Inc.* $ 12
1,300 Henry (Jack) & Associates, Inc. 49
2,300 HNC Software, Inc.* 68
978 Holly Corp. 26
2,200 HPR, Inc.* 33
800 IDT Corp.* 11
1,300 IKOS Systems, Inc.* 25
1,600 Inacom Corp.* 50
400 Individual, Inc.* 2
600 Indus Group, Inc.* 13
1,300 Inference Corp.* 8
1,600 Infocus Systems* 34
1,300 Inso Corp.* 55
500 Integrated Measurement Systems, Inc.* 9
2,400 Integrated Systems Consulting
Group, Inc.* 52
3,500 InteliData Technologies Corp.* 26
400 IntelliQuest Information Group, Inc.* 10
2,400 Interim Services, Inc.* 94
1,200 International Imaging Materials, Inc.* 29
3,400 Intersolv, Inc.* 31
500 Intevac, Inc.* 8
800 Iron Mountain, Inc.* 25
750 ITT Educational Services, Inc.* 15
500 JDA Software Group, Inc.* 13
2,400 Katz Media Group* 24
2,475 Keane, Inc.* 131
2,000 Kinder Care Learning Centers, Inc.* 40
2,000 Landstar Systems, Inc.* 46
800 Learning Tree International, Inc.* 36
2,000 Legato Systems, Inc.* 70
1,200 Logic Works, Inc.* 7
1,200 Manugistics Group, Inc.* 45
1,100 Maxis, Inc.* 17
1,200 May & Speh, Inc.* 16
1,300 MDL Information Systems, Inc.* 22
4,450 MDU Resources Group, Inc. 100
1,400 MetaTools, Inc.* 26
2,000 Metricom, Inc.* 27
900 Microware Systems Corp.* 14
3,900 National Data Corp. 156
3,000 National Health Investors, Inc. 107
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------------
<C> <S> <C>
1,400 National Instruments Corp.* $ 45
1,900 NETCOM On-Line Communication Services, Inc.* 33
2,500 Network Data Processing Corp. 90
3,200 Network Equipment Technologies, Inc.* 49
1,700 Network Peripherals, Inc.* 27
1,200 NHP, Inc.* 21
1,350 Nichols Research Corp.* 33
2,300 Nimbus CD International, Inc.* 20
2,000 Norrell Corp. 46
1,900 Novadigm, Inc.* 20
5,500 Oak Technology, Inc.* 54
400 On Assignment, Inc.* 12
2,300 Orthodontic Centers of America, Inc.* 29
1,700 Personnel Group of America, Inc.* 38
1,200 PhyMatrix Corp.* 18
2,700 Physician Resource Group, Inc.* 56
3,100 Physician Computer Network, Inc.* 26
1,000 Pinkertons, Inc.* 25
5,050 Players International, Inc.* 33
2,400 Policy Management Systems Corp.* 96
3,700 Pre-Paid Legal Services, Inc.* 51
2,400 Precision Systems, Inc.* 13
1,000 Premenos Technology Corp.* 10
1,100 Premiere Technologies, Inc.* 26
800 Prism Solutions, Inc.* 6
800 Profit (The) Recovery Group
International, Inc.* 11
1,900 Progress Software Corp.* 38
1,000 Project Software & Development, Inc.* 42
1,700 Protein Design Labs, Inc.* 41
4,200 PSINET, Inc.* 53
3,862 Pure Atria Corp.* 108
5,100 Quarterdeck Corp.* 34
1,000 Rainbow Technologies, Inc.* 20
500 Raptor Systems, Inc.* 11
1,800 Red Brick Systems, Inc.* 42
1,800 Remedy Corp.* 81
500 Renaissance Solutions, Inc.* 19
5,500 RISCORP, Inc.* 24
5,900 Rollins Truck Leasing Corp. 71
900 Romac International, Inc.* 22
1,800 RTW, Inc.* 29
2,300 7th Level, Inc.* 11
</TABLE>
See accompanying notes to financial statements.
44
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
300 Sapient Corp.* $ 12
1,300 Scopus Technologies, Inc.* 49
1,500 Secure Computing Corp.* 14
500 Seque Software, Inc.* 6
2,300 Sitel Corp.* 45
600 Smith Micro Software, Inc.* 3
1,300 Software 2000, Inc.* 11
6,700 Sotheby's Holdings, Inc., Class A 118
4,300 Spectrum Holobyte, Inc. 22
1,000 SPSS, Inc.* 29
1,900 Spyglass, Inc.* 20
500 SQA, Inc.* 14
3,600 Stac, Inc.* 24
1,600 State of the Art, Inc.* 21
5,000 Structural Dynamics Research Corp.* 97
1,000 Summit Medical Systems* 8
3,800 SunRiver Corp.* 9
2,400 Sync Research, Inc.* 47
4,450 System Software Associates, Inc. 62
2,400 Systems & Computer Technology Corp.* 35
2,900 Systemsoft Corp.* 53
1,800 TCSI Corp.* 16
2,800 Telxon Corp. 34
565 Thermo TerraTech, Inc.* 6
1,650 Thermotrex Corp.* 56
3,400 Transaction Systems Architects, Inc.* 123
3,000 Transcend Services, Inc.* 18
500 Unison Software, Inc.* 12
2,300 Vanstar Corp.* 63
1,300 Vantive Corp. 45
1,600 Veritas DGC, Inc.* 34
1,550 Veritas Software Corp.* 72
1,400 Verity, Inc.* 23
2,600 Viasoft, Inc.* 118
2,000 VideoServer, Inc.* 98
2,800 Viewlogic Systems, Inc.* 28
1,100 Visio Corp.* 54
1,800 VISX Corp.* 42
800 Volt Information Sciences, Inc.* 28
1,697 Wackenhut Corp. 28
1,350 Wind River Systems* 66
600 Workgroup Technology Corp.* 3
2,800 Xircom, Inc.* 56
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- --------------------------------------------------------
<C> <S> <C>
400 Yahoo!, Inc.* $ 8
800 Zoran Corp.* 17
--------
8,049
REAL ESTATE--4.9%
3,300 American Health Properties, Inc. 73
700 American Homestar Corp.* 13
1,400 AMLI Residential Properties 30
2,000 Apartment Investment & Management Co. 50
1,800 Associated Estates Realty Corp. 40
4,600 Avalon Properties, Inc. 118
1,200 Avatar Holdings, Inc.* 37
1,800 Bay Apartment Communities, Inc. 59
3,700 Beacon Properties Corp. 117
4,000 Berkshire Realty, Inc. 38
2,403 Bradley Real Estate Trust 42
2,300 Cali Realty Corp. 65
2,200 Camden Property Trust 61
3,200 Carr Realty Corp. 83
2,700 Castle & Cooke, Inc.* 43
2,000 Cavalier Homes, Inc. 23
2,600 CBL & Associates Properties, Inc. 64
1,900 Centerpoint Properties Corp. 52
1,800 Chelsea GCA Realty, Inc. 57
2,800 Colonial Property Trust* 75
1,800 Columbus Realty Trust 38
2,700 Commercial Net Lease Realty, Inc. 39
3,600 Cousins Properties, Inc. 84
4,200 Crown American Realty Trust 32
3,000 Developers Diversified Realty Corp. 101
4,834 Doubletree Corp.* 203
4,500 Duke Realty Investments, Inc. 161
3,900 Equity Inns, Inc. 46
2,900 Evans Withycombe Residential, Inc. 59
2,200 Excel Realty Trust, Inc. 50
5,000 Federal Realty Investment Trust 130
3,600 FelCor Suite Hotel, Inc. 128
3,800 First Industrial Realty Trust, Inc. 109
600 Forest City Enterprises, Inc. 32
2,400 Gables Residential Trust 64
4,200 General Growth Properties, Inc. 117
3,400 Glimcher Realty Trust 66
4,500 Health Care Property Investors, Inc. 154
2,200 Health Care REIT, Inc. 55
1,800 Healthcare Realty Trust 46
</TABLE>
See accompanying notes to financial statements.
45
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
REAL ESTATE--CONTINUED
3,600 Highwoods Properties, Inc. $ 111
2,000 Irvine Apartment Communities, Inc. 49
1,700 JDN Realty Co. 44
2,100 JP Realty, Inc. 51
4,400 Liberty Property Trust 102
2,900 Macerich Co. 67
3,800 Manufactured Home Communities, Inc. 76
900 Maxxam, Inc.* 42
1,800 Mid-America Apartment Communities, Inc. 46
2,300 Mills Corp. 48
1,800 National Golf Properties, Inc. 51
2,400 Oasis Residential, Inc. 50
2,600 Paragon Group, Inc. 41
1,300 Pennsylvania REIT 30
3,400 Post Properties, Inc. 131
1,100 PRI Automation, Inc.* 53
2,500 Price Enterprises, Inc.* 43
1,400 Price REIT, Inc. 49
1,600 Regency Realty Corp.* 38
3,800 RFS Hotel Investors, Inc. 64
1,800 ROC Communities, Inc. 45
1,700 Saul Centers, Inc. 26
3,600 Shurguard Storage Centers, Inc. 99
3,125 South West Property Trust, Inc. 50
4,800 Spieker Properties, Inc. 147
1,400 Storage Trust Realty 34
3,100 Storage USA, Inc. 117
2,500 Summit Property, Inc. 49
1,900 Sun Communities, Inc. 61
4,800 Taubman Centers, Inc. 56
2,700 Thornburg Mortgage Asset Corp. 47
2,700 Town & Country Trust 39
1,900 Trinet Corporate Realty Trust 65
8,800 United Dominion Realty Trust 130
2,100 Urban Shopping Centers, Inc. 55
3,900 Vornado Realty Trust 176
1,700 Walden Residential Properties, Inc. 39
4,900 Washington Real Estate Investment Trust 81
1,700 Weeks Corp. 48
2,700 Wellsford Residential Property Trust 65
3,000 Western Investment Real Estate Trust 39
--------
5,508
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------------
<C> <S> <C>
RECREATIONAL AND LEISURE SERVICES--1.3%
500 AMC Entertainment, Inc.* $ 10
500 Ameristar Casinos, Inc.* 3
1,100 Anchor Gaming* 46
2,500 Argosy Gaming Corp.* 14
1,000 Ascent Entertainment Group, Inc. 17
3,100 Authentic Fitness Corp. 34
6,300 Aztar Corp.* 46
200 Bally's Grand, Inc.* 7
4,200 Boyd Gaming Corp.* 34
1,700 Carmike Cinemas, Inc.* 46
3,150 Casino America, Inc.* 11
4,300 Casino Magic Corp.* 12
2,300 Galoob (Lewis) Toys, Inc.* 67
1,000 GC Cos., Inc.* 35
1,000 Harvey's Casino Resorts 17
2,600 Hollywood Casino Corp., Class A* 31
2,217 K2, Inc. 58
2,700 Lydall, Inc.* 61
800 Movie Gallery, Inc.* 11
500 Penn National Gaming, Inc.* 19
1,400 Primadonna Resorts, Inc.* 26
4,900 Prime Hospitality Corp.* 81
600 Quintel Entertainment, Inc.* 5
3,662 Regal Cinemas, Inc.* 119
2,900 Rio Hotel & Casino, Inc.* 44
5,200 Savoy Pictures Entertainment, Inc.* 18
2,100 Scientific Games Holdings Corp.* 55
2,500 Showboat, Inc. 47
1,950 Shuffle Master, Inc.* 19
1,600 Skyline Corp. 42
1,500 Sodak Gaming, Inc.* 24
2,300 Spelling Entertainment Group, Inc.* 18
3,400 Sports & Recreation, Inc.* 29
3,800 Starsight Telecast Co.* 29
3,200 Station Casinos, Inc.* 34
1,700 Stratosphere Corp.* 2
1,650 Studio Plus Hotels* 29
3,000 Trump Hotels and Casino Resorts, Inc.* 42
6,100 Tyco Toys, Inc.* 72
800 White River Corp.* 43
2,900 WMS Industries, Inc.* 73
--------
1,430
</TABLE>
See accompanying notes to financial statements.
46
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------
<C> <S> <C>
RESEARCH AND CONSULTING SERVICES--1.3%
5,800 Advance Tissue Science, Inc.* $ 70
1,700 Agouron Pharmaceuticals, Inc.* 93
3,200 Air & Water Technologies Corp.* 20
2,600 Alliance Entertainment Corp.* 6
10,400 Aura Systems, Inc.* 26
7,100 Bio-Technology General Corp.* 65
4,300 Columbia Laboratories, Inc.* 52
675 Computer Management Sciences, Inc.* 11
7,700 Cytogen Corp.* 42
2,800 Dames & Moore, Inc. 38
4,300 Data Broadcasting Corp.* 33
500 Data Processing Resources Corp.* 9
700 Eagle River Interactive, Inc.* 4
1,600 GRC International, Inc.* 24
3,300 ImCrone Systems, Inc.* 34
3,300 Jacobs Engineering Group, Inc.* 80
4,900 Liposome Technology, Inc.* 88
2,100 Mercer International, Inc.* 25
3,000 Mycogen Corp.* 50
1,900 NeoPath, Inc.* 34
1,500 NFO Research, Inc.* 33
3,400 OHM Corp.* 29
1,980 Organogenesis, Inc.* 41
1,200 Parexel International Corp.* 62
2,345 Pharmaceutical Product
Development, Inc.* 52
6,000 Scios-Nova, Inc.* 35
1,800 Spacelabs Medical, Inc.* 36
1,300 Stone & Webster, Inc. 42
5,050 Summit Technology, Inc.* 27
8,500 Symantec Corp.* 126
2,400 Technology Solutions Co.* 108
3,200 U.S. Bioscience, Inc.* 38
--------
1,433
RETAIL--4.5%
1,900 Aaron Rents, Inc. 27
570 Alexander's, Inc.* 41
700 American Eagle Outfitters, Inc.* 17
4,500 Americredit Corp.* 89
3,600 AnnTaylor Stores, Inc.* 73
3,912 Apple South, Inc. 58
2,800 Arbor Drugs, Inc. 72
1,800 Baby Superstores, Inc.* 50
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
<C> <S> <C>
4,900 Best Buy, Inc.* $ 62
1,400 Blair Corp. 27
6,500 Bombay Company, Inc.* 31
1,800 Books-a-Million, Inc.* 12
300 Buckle, Inc.* 8
7,540 Buffets, Inc.* 70
2,800 Burlington Coat Factory Warehouse* 34
2,500 Carson Pirie Scott & Co.* 65
5,000 Cash America International, Inc. 39
4,100 Cato Corp. 20
14,700 Charming Shoppes, Inc.* 75
2,900 CKE Restaurants, Inc. 89
7,450 Claire's Stores, Inc. 120
8,600 CML Group, Inc. 34
1,800 Cole National Corp.* 47
1,930 Consolidated Products, Inc.* 35
268 Dart Group Corp. 25
983 Delchamps, Inc. 20
2,800 Dress Barn, Inc.* 40
3,100 Duty Free International, Inc. 49
2,500 Fabri-Centers of America, Inc., Class A* 39
6,500 Family Dollar Stores, Inc. 122
7,000 Fedders Corp. 40
7,200 Fingerhut Cos., Inc. 90
6,000 Foodmaker, Inc.* 55
2,200 Friedmans, Inc., Class A* 30
2,200 Garden Ridge Corp.* 18
3,900 Gymboree Corp.* 110
3,700 Hancock Fabrics, Inc. 34
9,000 HEARx Ltd.* 17
5,300 Hechinger Co. 15
3,300 Hollywood Entertainment Corp.* 66
1,200 Ingles Markets, Inc. 17
2,950 Just For Feet, Inc.* 70
1,100 L.L. Knickerbocker Co.* 10
2,500 Lands' End, Inc. 68
2,200 Longs Drug Stores, Inc. 110
4,000 Mac Frugal's Bargains Close-Outs, Inc.* 99
800 Mafco Consolidated Group* 23
1,300 Mail Boxes Etc.* 29
1,775 Men's (The) Warehouse, Inc.* 41
4,100 Meyer (Fred), Inc.* 137
3,100 Michael's Stores, Inc.* 31
2,300 National Media Corp.* 18
</TABLE>
See accompanying notes to financial statements.
47
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
RETAIL--CONTINUED
2,623 Natures Sunshine Products, Inc. $ 53
2,900 NPC International, Inc.* 24
800 O'Reilly Automotive, Inc.* 27
6,900 Payless Cashways, Inc.* 12
2,150 Petco Animal Supplies, Inc.* 47
4,400 Petroleum Heat & Power, Inc. 31
6,435 Pier I Imports, Inc. 88
2,400 Proffitt's, Inc.* 97
1,500 Quality Food Centers, Inc.* 57
1,600 Regis Corp.* 40
2,400 Renters Choice, Inc.* 44
3,800 Ross Stores, Inc. 193
15,700 Service Merchandise Co., Inc.* 86
3,000 Shopko Stores, Inc. 47
2,750 Showbiz Pizza Time, Inc.* 45
3,098 Smith Food & Drug Centers, Inc., Class B 94
2,100 Sonic Corp.* 48
4,900 Sports Authority, Inc.* 121
2,900 Stanhome, Inc. 79
1,550 Stein Mart, Inc.* 30
1,220 Strawbridge & Clothier, Class A 20
7,700 Stride Rite Corp. 77
9,300 Thrifty PayLess Holdings, Inc.* 238
3,800 U.S. Office Products Co.* 118
5,500 Universal Corp. 158
1,200 Urban Outfitters, Inc.* 18
1,500 Valmont Industries, Inc. 59
1,700 Value City Department Stores, Inc.* 22
4,900 Waban, Inc.* 129
1,200 West Marine, Inc.* 40
900 Wet Seal, Inc.* 20
2,200 Whole Foods Market, Inc.* 50
2,900 Williams-Sonoma, Inc.* 101
1,300 Wilmar Industries, Inc.* 30
5,000 Zale Corp.* 99
--------
5,060
RUBBER AND PLASTICS--0.7%
2,200 ACX Technologies, Inc.* 40
2,100 Carlisle Cos., Inc. 121
2,500 Foamex International, Inc.* 42
1,500 Furon Co. 31
800 Liqui-Box Corp. 26
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
<C> <S> <C> <C>
2,195 Myers Industries, Inc.* $ 33
2,200 O'Sullivan Corp. 24
1,300 Park Ohio Industries, Inc.* 19
1,200 Rogers Corp.* 33
3,500 Sola International, Inc.* 123
2,500 Spartech Corp. 27
1,300 Tredegar Industries, Inc. 52
4,200 TRINOVA Corp. 153
2,000 West Co., Inc. 57
--------
781
SANITARY SERVICES--0.3%
9,400 Allied Waste Industries, Inc.* 85
2,800 Centennial Cellular Corp.* 33
1,500 Continental Waste Industries, Inc.* 40
10,500 Rollins Environmental Services, Inc.* 21
9,100 Safety-Kleen Corp. 144
600 Superior Services, Inc.* 10
--------
333
SERVICE INDUSTRY MACHINERY--0.4%
1,900 Applied Power, Inc. 69
2,450 Commercial Intertech Corp. 25
600 Greenwich Air Services, Inc. 15
1,600 Scotsman Industries, Inc. 37
1,500 Tennant Co. 37
5,675 United States Filter Corp.* 194
1,575 Wynn's International, Inc. 46
--------
423
SOCIAL SERVICES--0.3%
547 Berlitz International, Inc.* 11
2,100 DeVry, Inc.* 94
5,600 National Education Corp.* 79
2,618 Omega Healthcare Investors, Inc. 85
1,000 Youth Services International, Inc.* 13
--------
282
STEEL PRODUCTS--1.3%
2,000 Acme Metals, Inc.* 42
1,500 Amcast Industrial Corp. 35
13,700 Armco, Inc.* 62
4,500 Birmingham Steel Corp. 79
2,800 Brush Wellman, Inc. 47
2,400 Carpenter Technology Corp. 85
1,000 Chaparral Steel Co. 13
1,100 Coastcast Corp.* 17
</TABLE>
See accompanying notes to financial statements.
48
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- ---------------------------------------------------
<C> <S> <C>
1,600 Commonwealth Aluminum Corp. $ 26
400 Curtiss Wright Corp. 20
2,200 Geneva Steel Co.* 8
500 Gibraltar Steel Corp.* 12
2,400 Handy & Harman 40
1,000 Huntco, Inc., Class A 16
1,800 IMCO Recycling, Inc. 29
3,100 Intermet Corp.* 41
3,100 J & L Specialty Steel, Inc. 38
1,700 Kaiser Aluminum Corp.* 18
3,100 Lone Star Technologies, Inc. 55
2,600 Lukens, Inc. 48
2,700 Mueller Industries, Inc.* 106
3,700 National Steel Corp., Class B* 35
3,200 Oregon Steel Mills, Inc. 55
3,150 Precision Castparts Corp. 148
1,300 Reliance Steel & Aluminum Co. 49
1,500 Rouge Steel Co. 32
700 Schnitzer Steel Industries, Inc. 19
900 Shiloh Industries, Inc.* 15
1,900 Standex International Corp. 59
1,250 Steel Technologies, Inc. 16
1,700 Texas Industries, Inc. 97
4,000 UNR Industries, Inc. 28
1,000 WCI Steel, Inc.* 10
4,000 WHX Corp.* 38
--------
1,438
TEXTILES--0.6%
4,000 Albany International Corp. 89
9,800 Burlington Industries, Inc.* 107
3,400 Cone Mills Corp.* 28
800 Fab Industries, Inc. 21
1,582 Fieldcrest Cannon, Inc.* 23
1,898 Guilford Mills, Inc. 49
3,000 Interface, Inc. 59
4,100 Phillips-Van Heusen 53
1,200 Quiksilver, Inc.* 24
4,100 Ruddick Corp. 54
2,200 Springs Industries, Inc. 102
2,700 West Point Stevens, Inc.* 81
--------
690
TRANSPORTATION PARTS AND EQUIPMENT--2.3%
2,500 AAR Corp. 75
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------------
<C> <S> <C>
1,400 ABC Rail Products Corp.* $ 28
2,200 APS Holding Corp. 42
3,850 Arctic Cat, Inc. 37
1,700 Armor All Products Corp. 32
3,500 Arvin Industries, Inc. 83
2,700 Aviall, Inc. 27
2,200 Borg Warner Automotive, Inc. 88
2,200 Breed Technologies, Inc. 59
1,100 Cannondale Corp.* 21
2,700 Chancellor Corp.* 78
2,300 Coachmen Industries, Inc. 59
10,800 Collins & Aikman Corp.* 65
1,300 Copart, Inc.* 23
1,500 Detroit Diesel Corp.* 30
1,200 Eaton Vance Corp. 52
2,900 Exide Corp. .74
2,300 Fairchild Corp.* 38
5,500 Federal-Mogul Corp. 122
4,100 Gencorp, Inc. 76
2,300 Huffy Corp. 32
4,700 Mesa Airlines, Inc.* 46
11,800 Navistar International Corp.* 112
2,600 OEA, Inc. 105
4,200 Orbital Sciences Corp.* 81
2,104 Pacific Scientific Co. 24
4,300 Polaris Industries, Inc. 94
3,300 Rohr, Inc.* 58
1,300 Sequa Corp.* 52
2,800 Simpson Industries, Inc. 29
2,400 Smith (A.O.) Corp. 71
2,225 Standard Products Co. 51
2,800 Stant Corp. 35
4,900 Stewart & Stevenson Services, Inc. 121
3,300 Superior Industries International, Inc. 83
2,700 Teleflex, Inc. 134
2,900 Thiokol Corp. 133
889 Thor Industries, Inc. 21
2,525 Titan Wheel International, Inc. 33
900 Tower Automotive, Inc. 29
3,000 Wabash National Corp. 53
1,500 Walbro Corp. 30
3,200 Westinghouse Air Brake Co. 36
2,500 Winnebago Industries, Inc. 19
--------
2,591
</TABLE>
See accompanying notes to financial statements.
49
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF INVESTMENTS
November 30, 1996
(All amounts in thousands, except shares)
<TABLE>
<CAPTION>
Shares Description Value
- ------------------------------------------------------------
SMALL COMPANY INDEX PORTFOLIO--
CONTINUED
<C> <S> <C>
TRANSPORTATION SERVICES--1.8%
2,600 Air Express International Corp. $ 85
3,100 Airborne Freight Corp. 67
2,200 Alaska Air Group, Inc.* 53
7,630 America West Airlines, Inc.* 112
3,600 American Freightways, Inc.* 37
3,500 APL Ltd. 84
3,100 Arnold Industries, Inc. 49
3,700 Atlantic Southeast Airlines, Inc. 84
1,800 Covenant Transportation, Inc., Class A* 27
400 Eagle USA Airfreight, Inc.* 11
1,900 Expeditors International of
Washington, Inc. 85
1,458 First Source Corp. 34
600 Florida East Coast Industries, Inc. 53
1,553 Frozen Food Express Industries, Inc. 15
3,100 GATX Corp. 155
7,900 Greyhound Lines, Inc.* 31
1,800 Harper Group, Inc. 41
2,739 Heartland Express, Inc.* 65
3,600 Hunt (J.B.) Transportation Services, Inc. 50
4,100 Kirby Corp.* 81
400 Knight Transportation, Inc.* 9
1,500 M.S. Carriers, Inc.* 29
900 Midwest Express Holdings, Inc.* 30
3,100 Offshore Logistics, Inc.* 62
4,800 OMI Corp.* 37
4,400 Overseas Shipholding Group, Inc. 70
900 Oxford Resources Corp., Class A* 23
3,200 Pittston Burlington Group 63
1,600 Railtex, Inc.* 40
2,300 Roadway Express, Inc. 38
1,300 Skywest, Inc. 19
1,800 Swift Transportation Co., Inc.* 43
2,900 Trans World Airlines, Inc.* 22
3,450 USFreightways, Corp.* 89
5,600 ValuJet, Inc.* 50
3,350 Werner Enterprises, Inc. 54
1,300 Western Pacific Airlines, Inc.* 11
1,900 Xtra Corp. 80
3,500 Yellow Corp.* 53
--------
2,041
</TABLE>
<TABLE>
<CAPTION>
Shares Description Value
- ----------------------------------------------------
<C> <S> <C>
WATER SUPPLY--0.4%
1,200 Aquarion Co. $ 30
1,063 California Water Service Co. 42
2,600 Culligan Water Technologies, Inc.* 97
1,300 E'Town Corp. 39
700 Pennsylvania Enterprises, Inc.* 31
2,700 Philadelphia Suburban Corp. 50
1,360 Southern California Water Co. 32
3,852 United Water Resources, Inc. 59
1,200 Western Water Co.* 22
-------
402
WHOLESALE--1.4%
3,185 Arch Communications Group, Inc.* 35
1,900 Bearings, Inc. 52
1,400 Bindley Western Industries, Inc. 25
1,750 BMC West Corp.* 21
4,000 Caraustar Industries, Inc. 136
4,000 Casey's General Stores, Inc. 69
1,756 Castle (A. M.) & Co. 32
Cellular Communications of Puerto
1,900 Rico, Inc.* 40
1,866 Commercial Metals Co. 59
3,700 Compucom Systems, Inc.* 43
400 Culbro Corp.* 23
600 Daisytek International Corp.* 21
1,500 Discount Auto Parts, Inc.* 38
2,600 Egghead, Inc.* 16
2,838 Foxmeyer Corp.* 6
1,162 Getty Petroleum Corp. 19
5,800 Handleman Co. 48
900 Hughes Supply, Inc. 39
3,100 Immunex Corp.* 42
2,800 International Multifoods Corp. 44
1,800 JP Foodservice, Inc.* 44
3,200 Kaman Corp. 40
3,800 Kent Electronics Corp.* 99
1,200 Lawson Products, Inc. 26
2,700 Marshall Industries* 84
2,450 Microage, Inc.* 55
1,900 Nash-Finch Co. 36
</TABLE>
See accompanying notes to financial statements.
50
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Description Value
- -----------------------------------------------------------------
<C> <S> <C>
4,400 Owens & Minor, Inc. $ 46
1,800 Patterson Dental Co.* 47
1,500 Peak (The) Technologies Group* 17
1,700 Russ Berrie & Co., Inc. 30
4,075 Rykoff-Sexton, Inc. 59
2,400 Sciclone Pharmaceuticals, Inc.* 20
1,700 Smart & Final, Inc. 37
4,100 TBC Corp.* 30
2,300 United Stationers, Inc.* 47
3,100 VWR Corp.* 48
--------
1,573
- -----------------------------------------------------------------
TOTAL COMMON STOCKS
(Cost $93,126) $105,786
- -----------------------------------------------------------------
WARRANTS--0.0%
247 Aquila Biopharmaceuticals, Inc., Exp.12/03/96* $ 0
Milicom American Satellite Corp.,
350 Exp. 06/30/99* 0
PerSeptive Biosystems, Inc.,
57 Exp. 08/08/97* 0
- -----------------------------------------------------------------
TOTAL WARRANTS
(Cost $0) $ 0
- -----------------------------------------------------------------
OTHER--0.0%
2,000 Escrow CFS Group, Inc.* $ 0
1,400 Escrow Millicom, Inc.* 0
900 Escrow Northeast Bancorp, Inc.* 0
2,790 Escrow Statesman Group, Inc.* 0
1,700 Escrow Takecare, Inc.* 0
- -----------------------------------------------------------------
TOTAL OTHER
(Cost $0) $ 0
- -----------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
Principal Amount Description Value
- --------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT OBLIGATIONS--0.2%
U.S. Treasury Bills #
$ 70 4.89% Due 01/09/97 $ 69
25 4.93% Due 01/09/97 25
80 4.96% Due 01/09/97 79
40 5.11% Due 01/09/97 39
- --------------------------------------------------------------
TOTAL U.S. GOVERNMENT OBLIGATIONS
(Cost $212) $ 212
- --------------------------------------------------------------
SHORT-TERM INVESTMENT--6.1%
Berliner Handels und Frankfurter,
Grand Cayman
$6,868 5.688% Due 12/02/96 $ 6,868
- --------------------------------------------------------------
TOTAL SHORT-TERM INVESTMENT
(Cost $6,868) $ 6,868
- --------------------------------------------------------------
TOTAL INVESTMENTS--99.8%
(Cost $100,206) $112,866
- --------------------------------------------------------------
Assets, less other liabilities--0.2% 259
- --------------------------------------------------------------
NET ASSETS--100.0% $113,125
- --------------------------------------------------------------
- --------------------------------------------------------------
</TABLE>
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
Number of Contract Contract Contract Unrealized
Type Contracts Amount Position Expiration Gain
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
RUSSELL 2000 40 $6,935 Long 12/20/96 $172
- ---------------------------------------------------------------------------------
</TABLE>
*Non-income producing security.
#Securities pledged to cover margin requirements for open futures contracts.
See accompanying notes to financial statements.
51
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
November 30, 1996
(All amounts in thousands, except net asset value per unit)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International Company
Balanced Growth Index Growth Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments in securities, at cost $44,220 $106,566 $541,910 $ 94,277 $135,257 $100,206
- --------------------------------------------------------------------------------------------------------------------------
Investments in securities, at value $51,448 $142,731 $736,364 $114,043 $139,480 $112,866
Cash 143 2 7 2 -- 4
Receivables:
Dividends and interest 293 200 1,557 65 143 109
Foreign tax reclaims -- -- -- -- 217 --
Fund units sold 15 -- 108 24 5 --
Investment securities sold 143 -- -- -- 4,297 158
Administrator 6 8 23 7 2 8
Deferred organization costs, net 20 15 15 27 33 14
Other assets 1 -- 2 -- 1 1
- --------------------------------------------------------------------------------------------------------------------------
TOTAL ASSETS 52,069 142,956 738,076 114,168 144,178 113,160
- --------------------------------------------------------------------------------------------------------------------------
LIABILITIES:
Due to custodian -- -- -- -- 684 --
Payable for:
Fund units redeemed 52 -- 119 27 5 --
Investment securities purchased 596 382 27 150 5,075 --
Accrued expenses:
Advisory fees 21 63 58 73 89 18
Administration fees 4 11 58 9 11 9
Custodian fees 2 2 23 1 13 --
Transfer agent fees 1 1 11 1 1 1
Other liabilities 7 9 42 8 24 7
- --------------------------------------------------------------------------------------------------------------------------
TOTAL LIABILITIES 683 468 338 269 5,902 35
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $51,386 $142,488 $737,738 $113,899 $138,276 $113,125
- --------------------------------------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS:
Paid-in capital $42,854 $90,550 $508,982 $82,474 $130,284 $86,770
Accumulated undistributed net investment income 49 1,355 468 111 720 1,159
Accumulated net realized gain on investments, options
and futures 1,255 14,418 32,457 11,548 3,034 12,364
Net unrealized appreciation on investments and futures 7,228 36,165 195,831 19,766 4,223 12,832
Net unrealized gain on translation of other assets and
liabilities denominated in foreign currencies -- -- -- -- 15 --
- --------------------------------------------------------------------------------------------------------------------------
NET ASSETS $51,386 $142,488 $737,738 $113,899 $138,276 $113,125
- --------------------------------------------------------------------------------------------------------------------------
Total units outstanding (no par value), unlimited units
authorized
Class A 3,690 9,892 40,255 7,337 12,998 8,081
Class C 490 -- 3,213 483 -- --
Class D 19 30 477 46 9 19
- --------------------------------------------------------------------------------------------------------------------------
Net asset value, offering and redemption price per unit
Class A $12.24 $14.36 $16.79 $14.48 $10.63 $13.97
Class C $12.24 -- $16.79 $14.47 -- --
Class D $12.23 $14.26 $16.77 $14.37 $10.54 $13.96
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
52
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
For the Year Ended November 30, 1996
(All amounts in thousands)
<TABLE>
<CAPTION>
Small
Diversified Equity Focused International Company
Balanced Growth Index Growth Growth Index
Portfolio Portfolio Portfolio Portfolio Portfolio Portfolio
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends $ 397 $ 2,151 $ 12,910 $ 927 $ 2,149 $ 1,638
Interest 1,256 146 1,191 116 293 141
- --------------------------------------------------------------------------------------------
TOTAL INCOME 1,653 2,297 14,101 1,043 2,442(a) 1,779
- --------------------------------------------------------------------------------------------
EXPENSES:
Investment advisory fees 363 1,118 1,810 1,116 1,362 424
Administration fees 114 310 780 250 305 258
Custodian fees 21 27 154 22 170 67
Transfer agent fees 9 14 92 13 14 12
Registration fees 17 25 42 23 46 27
Professional fees 5 15 45 5 14 9
Trustee fees 2 4 18 2 6 5
Amortization of deferred
organization costs 10 13 13 17 15 13
Unitholder Servicing
Fees 7 1 54 4 -- --
Other 10 16 86 14 17 20
- --------------------------------------------------------------------------------------------
TOTAL EXPENSES 558 1,543 3,094 1,466 1,949 835
Less voluntary waivers
of:
Investment advisory
fees (136) (349) (1,207) (305) (272) (212)
Administration fees (69) (171) (176) (148) (169) (152)
Less: Expenses reimburs-
able by Administrator (66) (98) (307) (80) (55) (135)
- --------------------------------------------------------------------------------------------
Net expenses 287 925 1,404 933 1,453 336
- --------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 1,366 1,372 12,697 110 989 1,443
Net realized gains on:
Investment transactions 1,703 14,070 30,814 11,332 8,918 12,772
Futures transactions -- -- 5,198 140 -- 74
Foreign currency trans-
actions -- -- -- -- 24 --
Options 131 383 -- 76 -- --
Net change in unrealized
appreciation on
investments and futures 2,874 10,529 100,945 5,017 3,186 976
Net change in unrealized
losses on translation
of other assets and li-
abilities denominated
in
foreign currencies -- -- -- -- (22) --
- --------------------------------------------------------------------------------------------
NET INCREASE IN NET AS-
SETS RESULTING FROM
OPERATIONS $6,074 $26,354 $149,654 $16,675 $13,095 $15,265
- --------------------------------------------------------------------------------------------
</TABLE>
(a) Net of $119 in non-reclaimable foreign withholding taxes.
See accompanying notes to financial statements.
53
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
For the Years Ended November 30, 1996 and 1995
(All amounts in thousands)
<TABLE>
<CAPTION>
Balanced Diversified Growth
Portfolio Portfolio
---------------- --------------------
1996 1995 1996 1995
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS:
Net investment income $ 1,366 $ 1,217 $ 1,372 $ 1,779
Net realized gains (losses) on invest-
ments, options,
futures, and foreign currency transac-
tions 1,834 587 14,453 3,960
Net change in unrealized appreciation
(depreciation) on:
Investments and futures transactions 2,874 4,957 10,529 27,492
Forward foreign currency contracts -- -- -- --
Net change in unrealized gains (loss-
es) on translations of other assets
and liabilities denominated in for-
eign currencies -- (5) -- 364
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from operations 6,074 6,756 26,354 33,595
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS A UNITHOLDERS
FROM:
Net investment income (1,231) (1,221) (1,750) (1,361)
Net realized gain on investment and
futures transactions -- -- (1,919) --
- --------------------------------------------------------------------------------
Total distributions to Class A
unitholders (1,231) (1,221) (3,669) (1,361)
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS C UNITHOLDERS:
Net investment income (132) -- -- --
Net realized gain on investment and
futures transactions -- -- -- --
- --------------------------------------------------------------------------------
Total distributions to Class C
unitholders (132) -- -- --
- --------------------------------------------------------------------------------
DISTRIBUTIONS TO CLASS D UNITHOLDERS:
Net investment income (2) -- (2) (1)
Net realized gain on investment and
futures transactions -- -- (3) --
- --------------------------------------------------------------------------------
Total distributions to Class D
unitholders (2) -- (5) (1)
- --------------------------------------------------------------------------------
CLASS A UNIT TRANSACTIONS:
Proceeds from the sale of units 11,431 10,695 14,860 32,849
Reinvested distributions 1,076 1,179 3,424 1,264
Cost of units redeemed (10,419) (9,974) (45,585) (84,547)
- --------------------------------------------------------------------------------
Net increase (decrease) in net assets
resulting from Class A unit transac-
tions 2,088 1,900 (27,301) (50,434)
- --------------------------------------------------------------------------------
CLASS C UNIT TRANSACTIONS:
Proceeds from the sale of units 6,132 -- -- --
Reinvested distributions 132 -- -- --
Cost of units redeemed (797) -- -- --
- --------------------------------------------------------------------------------
Net increase in net assets resulting
from Class C unit transactions 5,467 -- -- --
- --------------------------------------------------------------------------------
CLASS D UNIT TRANSACTIONS:
Proceeds from the sale of units 232 -- 227 185
Reinvested distributions 2 -- 5 --
Cost of units redeemed (9) -- (75) (35)
- --------------------------------------------------------------------------------
Net increase in net assets resulting
from Class D unit transactions 225 -- 157 150
- --------------------------------------------------------------------------------
Net increase (decrease) 12,489 7,435 (4,464) (18,051)
Net assets--beginning of year 38,897 31,462 146,952 165,003
- --------------------------------------------------------------------------------
NET ASSETS--END OF YEAR $51,386 $38,897 $ 142,488 $ 146,952
- --------------------------------------------------------------------------------
ACCUMULATED UNDISTRIBUTED NET INVEST-
MENT INCOME $49 $48 $1,355 $1,735
- --------------------------------------------------------------------------------
</TABLE>
See accompanying notes to financial statements.
54
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Equity Index Focused Growth International Small Company
Portfolio Portfolio Growth Portfolio Index Portfolio
- --------------------- ------------------ ------------------ -----------------
1996 1995 1996 1995 1996 1995 1996 1995
- ---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 12,697 $ 9,656 $ 110 $ 349 $ 989 $ 1,794 $ 1,443 $ 1,130
36,012 13,989 11,548 5,691 8,942 (4,915) 12,846 5,913
100,945 94,961 5,017 13,082 3,186 754 976 13,771
-- -- -- -- -- (62) -- --
-- -- -- (24) (22) 35 -- --
- ---------------------------------------------------------------------------------
149,654 118,606 16,675 19,098 13,095 (2,394) 15,265 20,814
- ---------------------------------------------------------------------------------
(11,982) (9,464) (317) (147) (2,919) (684) (1,002) (1,027)
(15,194) (5,459) (1,293) -- -- (510) (5,764) (3,919)
- ---------------------------------------------------------------------------------
(27,176) (14,923) (1,610) (147) (2,919) (1,194) (6,766) (4,946)
- ---------------------------------------------------------------------------------
(603) (93) -- -- -- -- -- --
(570) -- -- -- -- -- -- --
- ---------------------------------------------------------------------------------
(1,173) (93) -- -- -- -- -- --
- ---------------------------------------------------------------------------------
(60) (6) (2) -- (1) -- (1) --
(26) -- (8) -- -- -- (2) --
- ---------------------------------------------------------------------------------
(86) (6) (10) -- (1) -- (3) --
- ---------------------------------------------------------------------------------
338,095 216,653 32,348 27,342 28,193 63,136 28,946 17,266
24,880 13,649 1,413 100 2,297 962 6,297 4,615
(279,296) (135,290) (27,923) (18,063) (51,182) (45,016) (25,770) (19,967)
- ---------------------------------------------------------------------------------
83,679 95,012 5,838 9,379 (20,692) 19,082 9,473 1,914
- ---------------------------------------------------------------------------------
52,571 18,118 6,934 -- -- -- -- --
1,029 94 -- -- -- -- -- --
(25,869) (427) (598) -- -- -- -- --
- ---------------------------------------------------------------------------------
27,731 17,785 6,336 -- -- -- -- --
- ---------------------------------------------------------------------------------
6392 762 168 459 71 24 223 43
86 6 10 -- -- -- 3 --
(332) (6) (96) (2) (2) (6) (13) (2)
- ---------------------------------------------------------------------------------
6,146 762 82 457 69 18 213 41
- ---------------------------------------------------------------------------------
238,775 217,143 27,311 28,787 (10,448) 15,512 18,182 17,823
498,963 281,820 86,588 57,801 148,724 133,212 94,943 77,120
- ---------------------------------------------------------------------------------
$ 737,738 $ 498,963 $113,899 $ 86,588 $138,276 $148,724 $113,125 $94,943
- ---------------------------------------------------------------------------------
$468 $416 $111 $320 $720 $2,579 $1,159 $724
- ---------------------------------------------------------------------------------
</TABLE>
55
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Balanced Portfolio
---------------------------------------------------------
Class A Class C Class D
------------------------------------- -------- --------
1996 1995 1994 1993 (a) 1996 (b) 1996 (c)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 11.05 $ 9.50 $ 10.22 $ 10.00 $ 11.12 $ 11.34
Income (Loss) from in-
vestment operations:
Net investment income 0.34 0.34 0.24 0.09 0.29 0.22
Net realized and
unrealized gain (loss)
on investments and op-
tions 1.19 1.55 (0.72) 0.22 1.12 0.96
- -----------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.53 1.89 (0.48) 0.31 1.41 1.18
- -----------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.34) (0.34) (0.22) (0.09) (0.29) (0.29)
Net realized gain on
investments and op-
tions -- -- (0.02) -- -- --
- -----------------------------------------------------------------------------------
Total distributions to
unitholders (0.34) (0.34) (0.24) (0.09) (0.29) (0.29)
- -----------------------------------------------------------------------------------
Net increase (decrease) 1.19 1.55 (0.72) 0.22 1.12 0.89
- -----------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 12.24 $ 11.05 $ 9.50 $ 10.22 $ 12.24 $ 12.23
- -----------------------------------------------------------------------------------
Total return (d) 14.07% 20.22% (4.76)% 3.12% 12.72% 10.55%
Ratio to average net as-
sets of: (e)
Expenses, net of waiv-
ers and reimbursements 0.61% 0.61% 0.61% 0.61% 0.85% 1.00%
Expenses, before waiv-
ers and reimbursements 1.20% 1.28% 1.50% 1.62% 1.44% 1.59%
Net investment income,
net of waivers and re-
imbursements 3.03% 3.36% 2.56% 2.20% 2.80% 2.78%
Net investment income,
before waivers and re-
imbursements 2.44% 2.69% 1.68% 1.19% 2.21% 2.19%
Portfolio turnover rate 104.76% 93.39% 75.69% 35.03% 104.76% 104.76%
Average commission rate
per share $0.0718 NA NA NA $0.0718 $0.0718
Net assets at end of pe-
riod (in thousands) $45,157 $38,897 $ 31,462 $15,928 $ 5,997 $ 232
- -----------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on December 29, 1995.
(c) Class D units were issued on February 20, 1996.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
56
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Diversified Growth Portfolio
------------------------------------------------------------------
Class A Class D
--------------------------------------- -------------------------
1996 1995 1994 1993 (a) 1996 1995 1994 (b)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 12.20 $ 9.88 $ 10.65 $ 10.00 $ 12.16 $ 9.88 $10.41
Income (Loss) from in-
vestment operations:
Net investment income 0.14 0.15 0.09 0.09 0.11 0.11 0.01
Net realized and
unrealized gain (loss)
on investments
and options 2.33 2.26 (0.83) 0.65 2.29 2.25 (0.54)
- ---------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 2.47 2.41 (0.74) 0.74 2.40 2.36 (0.53)
- ---------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.15) (0.09) (0.01) (0.09) (0.14) (0.08) --
Net realized gain on
investments and op-
tions (0.16) -- (0.02) -- (0.16) -- --
- ---------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.31) (0.09) (0.03) (0.09) (0.30) (0.08) --
- ---------------------------------------------------------------------------------------------
Net increase (decrease) 2.16 2.32 (0.77) 0.65 2.10 2.28 (0.53)
- ---------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 14.36 $ 12.20 $ 9.88 $ 10.65 $ 14.26 $12.16 $ 9.88
- ---------------------------------------------------------------------------------------------
Total return (c) 20.83% 24.55% (6.98)% 7.38% 20.39% 24.19% (5.14)%
Ratio to average net as-
sets of: (d)
Expenses, net of waiv-
ers and reimbursements 0.66% 0.69% 0.67% 0.71% 1.05% 1.08% 1.05%
Expenses, before waiv-
ers and reimbursements 1.10% 1.12% 1.08% 1.13% 1.49% 1.51% 1.46%
Net investment income,
net of waivers and
reimbursements 0.98% 1.16% 0.77% 1.04% 0.59% 0.73% 0.94%
Net investment income,
before waivers and
reimbursements 0.54% 0.73% 0.35% 0.62% 0.15% 0.30% 0.53%
Portfolio turnover rate 59.99% 81.65% 78.94% 140.88% 59.99% 81.65% 78.94%
Average commission rate
per share $ 0.0655 NA NA NA $0.0655 NA NA
Net assets at end of pe-
riod (in thousands) $142,055 $146,731 $164,963 $199,053 $ 433 $ 221 $ 40
- ---------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on September 14, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
57
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Equity Index Portfolio
------------------------------------------------------------------------------------
Class A Class C Class D
-------------------------------------- ----------------- -------------------------
1996 1995 1994 1993 (a) 1996 1995 (b) 1996 1995 1994 (c)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN- $ 13.86 $ 10.60 $ 10.78 $ 10.00 $ 13.86 $ 13.43 $ 13.83 $10.60 $10.96
NING OF PERIOD
Income (Loss) from in-
vestment
operations:
Net investment income 0.31 0.30 0.27 0.22 0.28 0.05 0.27 0.25 0.02
Net realized and
unrealized gain (loss)
on investments and
futures 3.36 3.47 (0.18) 0.78 3.35 0.45 3.36 3.47 (0.31)
- ---------------------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 3.67 3.77 0.09 1.00 3.63 0.50 3.63 3.72 (0.29)
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.31) (0.30) (0.27) (0.22) (0.27) (0.07) (0.26) (0.28) (0.07)
Net realized gain on
investments and
futures (0.43) (0.21) -- -- (0.43) -- (0.43) (0.21) --
- ---------------------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.74) (0.51) (0.27) (0.22) (0.70) (0.07) (0.69) (0.49) (0.07)
- ---------------------------------------------------------------------------------------------------------------
Net increase (decrease) 2.93 3.26 (0.18) 0.78 2.93 0.43 2.94 3.23 (0.36)
- ---------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 16.79 $ 13.86 $ 10.60 $ 10.78 $ 16.79 $ 13.86 $ 16.77 $13.83 $10.60
- ---------------------------------------------------------------------------------------------------------------
Total return (d) 27.53% 36.60% 0.87% 10.08% 27.24% 3.94% 27.20% 36.20% (2.68)%
Ratio to average net
assets of: (e)
Expenses, net of
waivers and
reimbursements 0.22% 0.22% 0.23% 0.21% 0.46% 0.46% 0.61% 0.61% 0.60%
Expenses, before
waivers and
reimbursements 0.50% 0.54% 0.59% 0.66% 0.74% 0.78% 0.89% 0.93% 0.96%
Net investment income,
net of waivers and
reimbursements 2.12% 2.54% 2.62% 2.62% 1.89% 2.29% 1.78% 2.07% 2.67%
Net investment income,
before waivers and
reimbursements 1.84% 2.22% 2.25% 2.17% 1.61% 1.97% 1.50% 1.75% 2.31%
Portfolio turnover rate 18.02% 15.27% 71.98% 2.06% 18.02% 15.27% 18.02% 15.27% 71.98%
Average commission rate
per share $ 0.0228 NA NA NA $0.0228 NA $0.0228 NA NA
Net assets at end of
period (in thousands) $675,804 $479,763 $281,817 $219,282 $53,929 $18,390 $ 8,005 $ 810 $ 3
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class C units were issued on September 28, 1995.
(c) Class D units were issued on September 14, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
58
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Focused Growth Portfolio
-----------------------------------------------------------------------
Class A Class C Class D
--------------------------------------- -------- ------------------
1996 1995 1994 1993 (a) 1996 (b) 1996 1995 (c)
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD: $12.53 $9.79 $10.43 $10.00 $ 13.46 $ 12.48 $9.55
Income (Loss) from in-
vestment operations:
Net investment income
(loss) 0.02 0.05 0.02 0.01 (0.01) (0.03) 0.02
Net realized and
unrealized gain (loss)
on investments,
futures and options 2.17 2.71 (0.66) 0.43 1.02 2.15 2.93
- --------------------------------------------------------------------------------------------------
Total income (loss) from
investment operations 2.19 2.76 (0.64) 0.44 1.01 2.12 2.95
- --------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.05) (0.02) -- (0.01) -- (0.04) (0.02)
Net realized gain on
investments, futures
and options (0.19) -- -- -- -- (0.19) --
- --------------------------------------------------------------------------------------------------
Total distributions to
unitholders (0.24) (0.02) -- (0.01) -- (0.23) (0.02)
- --------------------------------------------------------------------------------------------------
Net increase (decrease) 1.95 2.74 (0.64) 0.43 1.01 1.89 2.93
- --------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $14.48 $12.53 $9.79 $10.43 $14.47 $14.37 $12.48
- --------------------------------------------------------------------------------------------------
Total return (d) 17.82% 28.38% (6.15)% 4.33% 7.51% 17.42% 30.97%
Ratio to average net as-
sets of: (e)
Expenses, net of waiv-
ers and reimbursements 0.91% 0.91% 0.91% 0.91% 1.15% 1.30% 1.30%
Expenses, before waiv-
ers and reimbursements 1.43% 1.47% 1.55% 1.88% 1.67% 1.82% 1.86%
Net investment income
(loss), net of waivers
and reimbursements 0.12% 0.46% 0.24% 0.14% (0.12)% (0.28)% (0.11)%
Net investment loss,
before waivers and
reimbursements (0.40)% (0.10)% (0.39)% (0.83)% (0.64)% (0.80)% (0.67)%
Portfolio turnover rate 116.78% 85.93% 74.28% 27.48% 116.78% 116.78% 85.93%
Average commission rate
per share $ 0.0730 NA NA NA $0.0730 $0.0730 NA
Net assets at end of pe-
riod (in thousands) $106,250 $86,099 $57,801 $32,099 $6,993 $656 $489
- --------------------------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on July 1, 1993.
(b) Class C units were issued on June 14, 1996.
(c) Class D units were issued on December 8, 1994.
(d) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(e) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
59
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
International Growth Portfolio
--------------------------------------------------------
Class A Class D
----------------------------- -------------------------
1996 1995 1994(a) 1996 1995 1994(b)
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 9.88 $ 10.21 $ 10.00 $ 9.83 $10.21 $10.47
Income (loss) from in-
vestment operations:
Net investment income 0.10 0.12 0.05 0.01 0.19 --
Net realized and
unrealized gain (loss)
on investments
and foreign currency
transactions 0.87 (0.36) 0.16 0.92 (0.48) (0.26)
- -----------------------------------------------------------------------------------
Total income (loss) from
investment operations 0.97 (0.24) 0.21 0.93 (0.29) (0.26)
- -----------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.22) (0.05) -- (0.22) (0.05) --
Net realized gain on
investments and for-
eign currency transac-
tions -- (0.04) -- -- (0.04) --
- -----------------------------------------------------------------------------------
Total distributions to
unitholders (0.22) (0.09) -- (0.22) (0.09) --
- -----------------------------------------------------------------------------------
Net increase (decrease) 0.75 (0.33) 0.21 0.71 (0.38) (0.26)
- -----------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 10.63 $ 9.88 $ 10.21 $ 10.54 $ 9.83 $10.21
- -----------------------------------------------------------------------------------
Total return (c) 9.96% (2.32)% 2.11% 9.59% (2.78)% (2.56)%
Ratio to average net as-
sets of: (d)
Expenses, net of waiv-
ers and reimbursements 1.06% 1.06% 1.04% 1.45% 1.45% 1.35%
Expenses, before waiv-
ers and reimbursements 1.43% 1.38% 1.47% 1.82% 1.77% 1.78%
Net investment income,
net of waivers and re-
imbursements 0.73% 1.22% 0.76% 0.44% 2.01% --
Net investment income
(loss), before waivers
and reimbursements 0.36% 0.90% 0.33% 0.07% 1.69% (0.43)%
Portfolio turnover rate 202.47% 215.31% 77.79% 202.47% 215.31% 77.79%
Average commission rate
per share $ 0.0292 NA NA $0.0292 NA NA
Net assets at end of pe-
riod (in thousands) $138,182 $148,704 $133,212 $ 94 $ 20 --
- -----------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on March 28, 1994.
(b) Class D units were issued on November 16, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
60
<PAGE>
The Benchmark Funds
Equity Portfolios
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
For the Years Ended November 30,
<TABLE>
<CAPTION>
Small Company Index Portfolio
--------------------------------------------------------
Class A Class D
------------------------------------- -----------------
1996 1995 1994 1993 (a) 1996 1995 (b)
- ----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGIN-
NING OF PERIOD $ 12.98 $ 10.86 $ 11.29 $ 10.00 $ 12.95 $ 10.51
Income (Loss) from in-
vestment operations:
Net investment income 0.19 0.16 0.14 0.11 0.13 0.18
Net realized and
unrealized gain (loss)
on investments and
futures 1.75 2.67 (0.30) 1.29 1.83 2.96
- ----------------------------------------------------------------------------------
Total income (loss) from
investment operations 1.94 2.83 (0.16) 1.40 1.96 3.14
- ----------------------------------------------------------------------------------
DISTRIBUTIONS TO
UNITHOLDERS FROM:
Net investment income (0.14) (0.15) (0.02) (0.11) (0.14) (0.14)
Net realized gain on
investments and
futures transactions (0.81) (0.56) (0.25) -- (0.81) (0.56)
- ----------------------------------------------------------------------------------
Total distributions to
unitholders (0.95) (0.71) (0.27) (0.11) (0.95) (0.70)
- ----------------------------------------------------------------------------------
Net increase (decrease) 0.99 2.12 (0.43) 1.29 1.01 2.44
- ----------------------------------------------------------------------------------
NET ASSET VALUE, END OF
PERIOD $ 13.97 $ 12.98 $ 10.86 $ 11.29 $ 13.96 $ 12.95
- ----------------------------------------------------------------------------------
Total return (c) 15.96% 27.76% (1.54)% 14.09% 16.20% 31.62%
Ratio to average net as-
sets of: (d)
Expenses, net of waiv-
ers and reimbursements 0.32% 0.32% 0.33% 0.31% 0.71% 0.71%
Expenses, before waiv-
ers and reimbursements 0.79% 0.81% 0.86% 1.02% 1.18% 1.20%
Net investment income,
net of waivers and re-
imbursements 1.36% 1.31% 1.27% 1.25% 1.02% 0.90%
Net investment income,
before waivers and re-
imbursements 0.89% 0.82% 0.74% 0.54% 0.55% 0.41%
Portfolio turnover rate 46.26% 38.46% 98.43% 26.31% 46.26% 38.46%
Average commission rate
per share $ 0.0257 NA NA NA $0.0257 NA
Net assets at end of pe-
riod (in thousands) $112,856 $94,899 $77,120 $54,763 $ 269 $ 44
- ----------------------------------------------------------------------------------
</TABLE>
(a) Commenced investment operations on January 11, 1993.
(b) Class D units were issued on December 8, 1994.
(c) Assumes investment at net asset value at the beginning of the period,
reinvestment of all dividends and distributions, and a complete redemption
of the investment at the net asset value at the end of the period. Total
return is not annualized for periods less than one year.
(d) Annualized for periods less than a full year.
NA--Disclosure not applicable to prior periods.
See accompanying notes to financial statements.
61
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
November 30, 1996
1. ORGANIZATION
The Benchmark Funds (the "Trust") is a Massachusetts business trust registered
under the Investment Company Act of 1940 (as amended) as an open-end manage-
ment investment company. The Trust includes sixteen portfolios, each with its
own investment objective. The Northern Trust Company ("Northern") acts as the
Trust's investment adviser, transfer agent, and custodian. Goldman, Sachs &
Co. ("Goldman Sachs") acts as the Trust's administrator and distributor. Pre-
sented herein are the financial statements of the equity portfolios ("the
Portfolios").
Each of the equity portfolios may issue four separate classes: Class A, B, C
and D. Each class is distinguished by the level of administrative support and
transfer agent service provided. As of November 30, 1996, Class A, Class C and
Class D units are outstanding for certain portfolios.
2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements.
These policies are in conformity with generally accepted accounting principles
("GAAP"). The presentation of financial statements in conformity with GAAP re-
quires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period. Ac-
tual results could differ from those estimates.
(a) Investment Valuation
Investments held by a portfolio are valued at the last quoted sale price on
the exchange on which such securities are primarily traded, or if any securi-
ties are not traded on a valuation date, at the last quoted bid price. Securi-
ties which are traded in the over-the-counter markets are valued at the last
quoted bid price. Exchange traded futures and options are valued at the set-
tlement price as established by the exchange on which they are traded. Index
futures are marked to market on a daily basis. Any securities, including re-
stricted securities, for which current quotations are not readily available
are valued at fair value as determined in good faith by Northern under the su-
pervision of the Board of Trustees ("Board"). Short-term investments are val-
ued at amortized cost which Northern has determined, pursuant to Board autho-
rization, approximates market value.
(b) Repurchase Agreements
During the term of a repurchase agreement, the market value of the underlying
collateral, including accrued interest, is required to exceed the market value
of the repurchase agreement. The underlying collateral for all repurchase
agreements is held in a customer-only account of Northern, as custodian for
the Trust, at the Federal Reserve Bank of Chicago.
(c) Foreign Currency Translations
Values of investments denominated in foreign currencies are converted into
U.S. dollars using the spot market rate of exchange at the time of valuation.
Cost of purchases and proceeds from sales of investments and dividend income
are translated into U.S. dollars using the spot market rate of exchange pre-
vailing on the respective dates of such transactions.
The gains or losses on investments resulting from changes in foreign exchange
rates are included with net realized and unrealized gain (loss) on invest-
ments.
(d) Investment Transactions and Investment Income
Investment transactions are recorded on the trade date. Realized gains and
losses on investment transactions are calculated on the identified-cost basis.
Dividend income is recorded on the ex-dividend date and interest income is re-
corded on the accrual basis and includes amortization of discounts and premi-
ums. Dividends from foreign securities are recorded on the ex-date, or as soon
as the information is available.
62
<PAGE>
- -------------------------------------------------------------------------------
(e) Forward Foreign Currency Exchange Contracts
Certain portfolios are authorized to enter into forward foreign currency ex-
change contracts for the purchase of a specific foreign currency at a fixed
price on a future date as a hedge or cross-hedge against either specific
transactions or portfolio positions. In addition, the International Growth
Portfolio may enter into foreign currency exchange contracts for speculative
purposes. The objective of the Portfolio's foreign currency hedging transac-
tions is to reduce the risk that the U.S. dollar value of the Portfolio's for-
eign currency denominated securities will decline in value due to changes in
foreign currency exchange rates. All forward foreign currency contracts are
"marked-to-market" daily at the applicable exchange rates and any resulting
unrealized gains or losses are recorded in the financial statements. The port-
folio records realized gains or losses when the forward contract is offset by
entry into a closing transaction or extinguished by delivery of the currency.
Risks may arise upon entering into these contracts from the potential inabil-
ity of counterparties to meet the terms of their contracts and from unantici-
pated movements in the value of a foreign currency relative to the U.S. dol-
lar.
The contractual amounts of forward foreign currency exchange contracts do not
necessarily represent the amounts potentially subject to risk. The measurement
of the risks associated with these instruments is meaningful only when all re-
lated and offsetting transactions are considered.
(f) Federal Taxes
It is each portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to regulated investment companies and to distribute
each year substantially all of its taxable income and capital gains to its
unitholders. Therefore, no provision is made for federal taxes.
At November 30, 1996, the Trust's most recent tax year end, there were no
capital loss carryforwards for U.S. federal tax purposes.
(g) Deferred Organization Costs
Organization related costs are being amortized on a straight-line basis over
five years.
(h) Expenses
Expenses arising in connection with a specific portfolio are allocated to that
portfolio. Certain expenses arising in connection with a class of units are
allocated to that class of units. Expenses incurred which do not specifically
relate to an individual portfolio are allocated among the portfolios based on
each portfolio's relative net assets.
(i) Distributions
Dividends from net investment income are declared and paid as follows:
<TABLE>
- -------------------------------
<S> <C>
Balanced Quarterly
Diversified Growth Annually
Equity Index Quarterly
Focused Growth Annually
International Growth Annually
Small Company Index Annually
- -------------------------------
</TABLE>
Each portfolio's net realized capital gains are distributed at least annual-
ly. Income dividends and capital gain distributions are determined in accor-
dance with income tax regulations. Such amounts may differ from income and
capital gains recorded in accordance with generally accepted accounting prin-
ciples.
Distributions of short-term and long-term capital gains were declared and
paid December 24, 1996 to unitholders of record on December 23, 1996, as fol-
lows:
<TABLE>
<CAPTION>
Short-Term Long-Term
Capital Capital
Gain Gain Total
- --------------------------------------------------
<S> <C> <C> <C>
Balanced -- $0.3085 $0.3085
Diversified Growth $0.5764 0.8847 1.4611
Equity Index 0.0188 0.8107 0.8295
Focused Growth 0.3562 1.3199 1.6761
International Growth 0.3956 0.0519 0.4475
Small Company Index 0.4540 1.1386 1.5926
- --------------------------------------------------
</TABLE>
63
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
November 30, 1996
(j) Reclassifications
The International Growth Portfolio reclassified approximately $48,000 from ac-
cumulated net realized gain on investment transactions, and $24,000 from net
realized gain on foreign currency transactions to accumulated undistributed
net investment income. The Small Company Index Portfolio reclassified approxi-
mately $5,000 from undistributed net investment income to accumulated net re-
alized gain on investment transactions. These reclassifications had no impact
on the net asset value of the Portfolios and are designed to present those
Portfolio's capital accounts on a tax basis.
3. ADVISORY, TRANSFER AGENCY AND CUSTODIAN AGREEMENTS
The Trust has an investment advisory agreement with Northern whereby each
portfolio pays Northern a fee, computed daily and payable monthly, based on a
specified percentage of its average daily net assets. For the current fiscal
year, Northern voluntarily agreed to waive a portion of the advisory fees as
shown on the accompanying Statements of Operations. The annual advisory fees
and waiver rates expressed as a percentage of average daily net assets for the
year ended November 30, 1996, are as follows:
<TABLE>
<CAPTION>
Net
Advisory Less: Advisory
Fee Waiver Fee
- ----------------------------------------------
<S> <C> <C> <C>
Balanced .80% .30% .50%
Diversified Growth .80 .25 .55
Equity Index .30 .20 .10
Focused Growth 1.10 .30 .80
International Growth 1.00 .20 .80
Small Company Index .40 .20 .20
- ----------------------------------------------
</TABLE>
As compensation for the services rendered as transfer agent, including the
assumption by Northern of the expenses related thereto, Northern receives a
fee, computed daily and payable monthly, at an annual rate of .01%, .05%, .10%
and .15% of the average daily net asset value of the outstanding Class A, B, C
and D units, respectively, of the portfolios.
As compensation for the services rendered as custodian, including the assump-
tion by Northern of the expenses related thereto, Northern receives compensa-
tion based on a pre-determined schedule of charges approved by the Board.
4. ADMINISTRATION AND DISTRIBUTION AGREEMENTS
The Trust has an administration agreement with Goldman Sachs whereby each
portfolio pays the Administrator a fee, computed daily and payable monthly,
based on the average net assets of each portfolio at the rates set forth be-
low:
<TABLE>
<CAPTION>
Average net assets Rate
- ---------------------------------------
<S> <C>
For the first $100,000,000 .250%
For the next $200,000,000 .150
For the next $450,000,000 .075
For net assets over $750,000,000 .050
- ---------------------------------------
</TABLE>
For the current fiscal year, Goldman Sachs voluntarily agreed to limit admin-
istration fees to .10% of average daily net assets for each portfolio. In ad-
dition, Goldman Sachs agreed to waive a portion of its administrative fees
should overall administration fees earned during the preceding year exceed
certain specified levels. No waiver was required under this agreement during
the year ended November 30, 1996. Furthermore, Goldman Sachs has agreed to re-
imburse each portfolio for certain expenses in the event that such expenses,
as defined, exceed on an annualized basis .10% of its average daily net assets
for the Balanced, Diversified Growth, Equity Index, Focused Growth and Small
Company Index Portfolios and .25% of the average daily net assets for the In-
ternational Growth Portfolio.
The administration fees waived and expenses reimbursed during the year ended
November 30, 1996 are shown on the accompanying Statements of Operations.
Goldman Sachs receives no compensation under the distribution agreement.
64
<PAGE>
- -------------------------------------------------------------------------------
5. UNITHOLDER SERVICING PLAN
The Trust has adopted a Unitholder Servicing Plan pursuant to which the Trust
may enter into agreements with institutions or other financial intermediaries
under which they will render certain unitholder administrative support serv-
ices for their customers or other investors who beneficially own Class B, C
and D units. As compensation under the Unitholder Servicing Plan, the institu-
tion or other financial intermediary receives a fee at an annual rate of up to
.10%, .15% and .25% of the average daily net asset value of the outstanding
Class B, C and D units, respectively.
6. FUTURES CONTRACTS
Each portfolio may invest in long equity index or currency futures to maintain
liquidity or short futures contracts for hedging purposes. The portfolios bear
the market risk arising from changes in the value of these financial instru-
ments. At the time a portfolio enters into a futures contract it is required
to make a margin deposit with the custodian of a specified amount of cash or
eligible securities. Subsequently, as the market price of the futures contract
fluctuates, gains or losses are recorded and payments are made, on a daily ba-
sis, between the portfolio and the broker. The Statements of Operations re-
flects gains and losses as realized for closed futures contracts and as
unrealized for open futures contracts.
At November 30, 1996, the Equity Index and Small Company Index Portfolios had
entered into long exchange traded futures contracts. The aggregate market
value of investments pledged to cover margin requirements for open positions
at November 30, 1996 was approximately $1,863,000 and $212,000 for the Equity
Index and Small Company Index Portfolios, respectively.
7. OPTIONS CONTRACTS
Each Portfolio may purchase and write (sell) put and call options on foreign
and domestic stock indices, foreign currencies, and U.S. and foreign securi-
ties that are traded on U.S. and foreign securities exchanges and over-the-
counter markets. These transactions are for hedging (or cross-hedging ) pur-
poses or for the purposes of earning additional income.
The risk associated with purchasing an option is that the portfolio pays a
premium whether or not the option is exercised. Additionally, the portfolio
bears the risk of loss of premium and change in market value should the
counterparty not perform under the contract. Put and call options purchased
are accounted for in the same manner as portfolio securities. The cost of se-
curities acquired through the exercise of call options is increased by the
premiums paid. The proceeds from securities sold through the exercise of put
options are decreased by the premiums paid.
In writing an option, the portfolio bears the market risk of an unfavorable
change in the price of the security or currency underlying the written option.
Exercise of an option written by the portfolio could result in the portfolio
selling or buying a security or currency at a price different from the current
market value. Transactions in written call options for the year ended November
30, 1996 for the Balanced, Diversified Growth and Focused Growth Portfolios
were as follows:
<TABLE>
<CAPTION>
Diversified Focused
Premiums Balanced Growth Growth
- ----------------------------------------------------------------------
(In thousands)
<S> <C> <C> <C>
Options outstanding, beginning of period $ -- $ -- $ --
Options written 169 383 1,203
Options terminated in closing purchase
transactions (38) -- (1,127)
Options expired (131) (383) (76)
- ----------------------------------------------------------------------
Options outstanding, end of period $ -- $ -- $ --
- ----------------------------------------------------------------------
</TABLE>
The Portfolios did not write put options during the year ended November 30,
1996.
65
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS--CONTINUED
November 30, 1996
8. INVESTMENT TRANSACTIONS
Investment transactions for the year ended November 30, 1996 (excluding short-
term investments) were as follows:
<TABLE>
<CAPTION>
Proceeds
from sales Proceeds
and from sales
Purchases maturities and
of U.S. Purchases of U.S. maturities
Government of other Government of other
Obligations securities Obligations securities
- -------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced $25,380 $ 26,459 $20,152 $ 24,199
Diversified Growth -- 82,570 -- 112,306
Equity Index -- 211,463 -- 104,654
Focused Growth -- 126,812 -- 116,129
International Growth -- 264,292 -- 291,224
Small Company Index -- 47,979 -- 48,418
- -------------------------------------------------------------------
</TABLE>
As of November 30, 1996, the composition of unrealized appreciation (depreci-
ation) of investment securities (including the effects of foreign currency
translation) based on the aggregate cost of investments for federal income tax
purposes were as follows:
<TABLE>
<CAPTION>
Cost for
Federal
Income
Net Tax
Appreciation Depreciation Appreciation Purposes
- ---------------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced $ 7,396 $ 196 $ 7,200 $ 44,248
Diversified Growth 38,097 1,944 36,153 106,578
Equity Index 203,920 10,500 193,420 542,944
Focused Growth 22,474 2,733 19,741 94,302
International Growth 8,829 6,914 1,915 137,565
Small Company Index 23,090 10,430 12,660 100,206
- ---------------------------------------------------------------------
</TABLE>
9. BANK LOANS
The Trust maintains a $5,000,000 revolving bank credit line and a $15,000,000
conditional revolving credit line for liquidity and other purposes. Borrowings
under this arrangement bear interest at 1% above the Fed Funds rate and are
secured by pledged securities equal to or exceeding 120% of the outstanding
balance.
Interest expense for the year ended November 30, 1996 was approximately
$2,000, $53,000, $3,000, $9,000 and $7,000 for the Diversified Growth, Equity
Index, Focused Growth, International Growth, and Small Company Index Portfo-
lios, respectively. These amounts are included in other expenses on the State-
ments of Operations.
As of November 30, 1996, there were no outstanding borrowings.
10. UNIT TRANSACTIONS
Transactions in Class A units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -----------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced 989 93 911 171
Diversified Growth 1,187 290 3,615 (2,138)
Equity Index 22,992 1,743 19,101 5,634
Focused Growth 2,500 117 2,151 466
International Growth 2,737 230 5,018 (2,051)
Small Company Index 2,188 516 1,933 771
- -----------------------------------------------------------------
</TABLE>
66
<PAGE>
- --------------------------------------------------------------------------------
Transactions in Class A units for the year ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Net
Reinvested increase
Sales distributions Redemptions (decrease)
- -----------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced 1,054 114 959 209
Diversified Growth 3,123 128 7,920 (4,669)
Equity Index 17,925 1,174 11,059 8,040
Focused Growth 2,560 10 1,605 965
International Growth 6,479 97 4,573 2,003
Small Company Index 1,491 451 1,736 206
- -----------------------------------------------------------------
</TABLE>
Transactions in Class C units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- --------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced 548 11 69 490
Equity Index 3,499 70 1,685 1,884
Focused Growth 529 0 46 483
- --------------------------------------------------------
</TABLE>
Transactions in the Class C units for the year ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- ------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Equity Index 1,353 7 31 1,239
</TABLE>
- --------------------------------------------------------------------------------
Transactions in Class D units for the year ended November 30, 1996 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- --------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Balanced 20 -- 1 19
Diversified
Growth 17 1 6 12
Equity Index 436 6 24 418
Focused Growth 13 1 7 7
International Growth 7 -- -- 7
Small Company Index 17 -- 1 16
</TABLE>
- --------------------------------------------------------------------------------
Transactions in Class D units for the year ended November 30, 1995 were as
follows:
<TABLE>
<CAPTION>
Reinvested Net
Sales distributions Redemptions increase
- ------------------------------------------------------------
(in thousands)
<S> <C> <C> <C> <C>
Diversified Growth 17 -- 3 14
Equity Index 58 1 1 58
Focused Growth 39 -- -- 39
Small Company
Index 3 -- -- 3
</TABLE>
- --------------------------------------------------------------------------------
67
<PAGE>
The Benchmark Funds
Equity Portfolios
- -------------------------------------------------------------------------------
REPORT OF INDEPENDENT AUDITORS
To the Unitholders and Trustees of
The Benchmark Funds
Equity Portfolios
We have audited the accompanying statements of assets and liabilities,
including the statements of investments, of the Balanced, Diversified Growth,
Equity Index, Focused Growth, International Growth and Small Company Index
Portfolios, comprising the Equity Portfolios of The Benchmark Funds, as of
November 30, 1996, and the related statements of operations for the year then
ended and changes in net assets for each of the two years in the period then
ended and financial highlights for the periods indicated therein. These
financial statements and financial highlights are the responsibility of the
Portfolios' 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 the
investments owned at November 30, 1996 by physical examination of the
securities held by the custodian and by correspondence with outside
depositories and brokers. 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, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Balanced, Diversified Growth, Equity Index, Focused Growth, International
Growth and Small Company Index Portfolio, comprising the Equity Portfolios of
The Benchmark Funds, at November 30, 1996, the results of their operations for
the year then ended and the changes in their net assets for each of the two
years in the period then ended and financial highlights for the periods
indicated therein, in conformity with generally accepted accounting
principles.
Ernst & Young LLP
Chicago, Illinois
January 21, 1997
68
<PAGE>
THE BENCHMARK FUNDS
Investment Adviser, Transfer Agent and Custodian
The Northern Trust Company
50 S. LaSalle Street
Chicago, IL 60675
Administrator and Distributor
Goldman, Sachs & Co.
4900 Sears Tower
Chicago, IL 60606
Trustees
William H. Springer, Chairman
Edward J. Condon, Jr.
John W. English
James J. Gavin, Jr.
Frederick T. Kelsey
Richard P. Strubel
Officers
Paul W. Klug, Jr., President
John W. Mosior, Vice President
Nancy L. Mucker, Vice President
Pauline Taylor, Vice President
Scott M. Gilman, Treasurer
John M. Perlowski, Assistant Treasurer
Michael J. Richman, Secretary
Howard B. Surloff, Assistant Secretary
Independent Auditors
Ernst & Young LLP
233 S. Wacker Drive
Chicago, IL 60606
Legal Counsel
Drinker Biddle & Reath
1345 Chestnut Street
Philadelphia, PA 19107
This Annual Report is
authorized for distribution to
prospective investors only
when preceded or accompanied
by a Prospectus which contains
facts concerning the
objectives and policies,
management, expenses and other
information.
The
Benchmark
Funds
Equity
Portfolios
Annual Report
November 30, 1996
<PAGE>
APPENDIX A
DESCRIPTION OF BOND RATINGS
The following summarizes the highest six ratings used by Standard & Poor's
Ratings Group, Inc., a division of McGraw Hill ("S&P") for corporate and
municipal debt:
AAA: Debt rated AAA has the highest rating assigned by S&P. Capacity to pay
interest and repay principal is extremely strong.
AA: Debt rated AA has a very strong capacity to pay interest and repay
principal and differs from AAA issues only in a small degree.
A: Debt rated A has a strong capacity to pay interest and repay principal
although it is somewhat more susceptible to the adverse effects of changes
in circumstances and economic conditions than debt in higher rated
categories.
BBB: Debt rated BBB is regarded as having an adequate capacity to pay
interest and repay principal. Whereas such issues normally exhibit adequate
protection parameters, adverse economic conditions or changing
circumstances are more likely to lead to a weakened capacity to pay
interest and repay principal for debt in this category than for those in
higher rated categories.
BB AND B: Debt rated BB and B is regarded, on balance, as predominantly
speculative with respect to capacity to pay interest and repay principal in
accordance with the terms of the obligation. Debt rated BB has less near-
term vulnerability to default than other speculative issues. However, it
faces major ongoing uncertainties or exposure to adverse business,
financial, or economic conditions which could lead to inadequate capacity
to meet timely interest and principal payments. Debt rated B has a greater
vulnerability to default but currently has the capacity to meet interest
payments and principal repayments. Adverse business, financial, or economic
conditions will likely impair capacity or willingness to pay interest and
repay principal. The B rating category is also used for debt subordinated
to senior debt that is assigned an actual or implied BB or BB- rating.
To provide more detailed indications of credit quality, the ratings AA and
lower may be modified by the addition of a plus or minus sign to show relative
standing within these major rating categories.
1-A
<PAGE>
S&P may attach the rating "r" to highlight derivative, hybrid and certain
other obligations that S&P believes may experience high volatility or high
variability in expected returns due to non-credit risks.
The following summarizes the highest six ratings used by Moody's Investors
Service, Inc. ("Moody's") for corporate and municipal long-term debt:
AAA: Bonds that are rated Aaa are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred to
as "gilt edge." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be visualized
are most unlikely to impair the fundamentally strong position of such
issues.
AA: Bonds that are rated Aa are judged to be of high quality by all
standards. Together with the Aaa group they comprise what are generally
known as high grade bonds. They are rated lower than the best bonds because
margins of protection may not be as large as in Aaa securities or
fluctuation of protective elements may be of greater amplitude or there may
be other elements present which make the long-term risks appear somewhat
larger than in Aaa securities.
A: Bonds that are rated A possess many favorable investment attributes and
are to be considered as upper medium-grade obligations. Factors giving
security to principal and interest are considered adequate but elements may
be present which suggest a susceptibility to impairment sometime in the
future.
BAA: Bonds that are rated Baa are considered medium-grade obligations,
i.e., they are neither highly protected nor poorly secured. Interest
payments and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically unreliable
over any great length of time. Such bonds lack outstanding investment
characteristics and in fact have speculative characteristics as well.
BA AND B: Bonds that possess one of these ratings provide questionable
protection of interest and principal. Ba indicates some speculative
elements. B indicates a general lack of characteristics of desirable
investment.
The foregoing ratings for corporate and municipal long-term debt are
sometimes presented in parenthesis preceded with a "con", indicating the bonds
are rated conditionally. Such
2-A
<PAGE>
parenthetical rating denotes the probable credit stature upon completion of some
act or the fulfillment of some condition. The notation (P) when applied to
forward delivery bonds indicates that the rating is provisional pending delivery
of the bonds. The rating may be revised prior to delivery if changes occur in
the legal documents or the underlying credit quality of the bonds.
The following summarizes the highest six ratings used by Duff & Phelps
Credit Rating Co. ("D&P") for corporate and municipal long-term debt:
AAA: Debt rated AAA is of the highest credit quality. The risk factors are
considered to be negligible, being only slightly more than for risk-free
U.S. Treasury debt.
AA: Debt rated AA is of high credit quality. Protection factors are strong.
Risk is modest but may vary slightly from time to time because of economic
conditions.
A: Bonds that are rated A have protection factors which are average but
adequate. However risk factors are more variable and greater in periods of
economic stress.
BBB: Bonds that are rated BBB have below average protection factors but
such protection factors are still considered sufficient for prudent
investment. Considerable variability in risk during economic cycles.
BB AND B: Bonds that are rated BB or B are below investment grade. Bonds
rated BB are deemed likely to meet obligations when due. Bonds rated B
possess the risk that the obligations will not be met when due.
To provide more detailed indications of credit quality, the ratings AA and
lower may be modified by the addition of a plus or minus sign to show relative
standing within these major categories.
The following summarizes the highest six ratings used by Fitch Investors
Service, Inc. ("Fitch") for corporate and municipal bonds:
AAA: Bonds considered to be investment grade and of the highest credit
quality. The obligor has an exceptionally strong ability to pay interest
and repay principal, which is unlikely to be affected by reasonably
foreseeable events.
AA: Bonds considered to be investment grade and of very high credit
quality. The obligor's ability to pay interest and repay principal is very
strong, although not quite as strong as bonds rated "AAA." Because bonds
related in the "AAA" and "AA" categories are not significantly
vulnerable
3-A
<PAGE>
to foreseeable future developments, short-term debt of these issuers is
generally rated "F-1+."
A: Bonds considered to be investment grade and of high credit quality. The
obligor's ability to pay interest and repay principal is considered to be
strong, but may be more vulnerable to adverse changes in economic
conditions and circumstances than bonds with higher ratings.
BBB: Bonds considered to be investment grade and of satisfactory credit
quality. The obligor's ability to pay interest and repay principal is
considered to be adequate. Adverse changes in economic conditions and
circumstances, however, are more likely to have an adverse impact on these
bonds, and therefore, impair timely payment. The likelihood that the
ratings of these bonds will fall below investment grade is higher than for
bonds with higher ratings.
BB: Bonds considered to be speculative. The obligor's ability to pay
interest and repay principal may be affected over time by adverse economic
changes. However, business and financial alternatives can be identified,
which could assist the obligor in satisfying its debt service
requirements.
B: Bonds are considered highly speculative. While securities in this class
are currently meeting debt service requirements, the probability of
continued timely payment of principal and interest reflects the obligor's
limited margin of safety and the need for reasonable business and economic
activity throughout the life of the instrument.
To provide more detailed indications of credit quality, the Fitch ratings
"AA" and lower may be modified by the addition of a plus (+) or minus (-) sign
to show relative standing within these major rating categories.
DESCRIPTION OF MUNICIPAL NOTE RATINGS
The following summarizes the two highest ratings by S&P for short-term
municipal notes:
SP-1: Strong capacity to pay principal and interest. Those issues
determined to possess very strong characteristics are given a "plus" (+)
designation.
SP-2: Satisfactory capacity to pay principal and interest.
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The following summarizes the two highest ratings used by Moody's for short-
term municipal notes and variable rate demand obligations:
MIG-1/VMIG-1: Obligations bearing these designations are of the best
quality, enjoying strong protection by established cash flows, superior
liquidity support or demonstrated broad-based access to the market for
refinancing.
MIG-2/VMIG-2: Obligations bearing these designations are of high quality
with margins of protection ample although not as large as in the preceding
group.
The two highest rating categories of D&P for short-term debt are D1 and D
2. D&P employs three designations, D1+, D1 and D1-, within the highest rating
category. D1+ indicates highest certainty of timely payment. Short-term
liquidity, including internal operating factors and/or access to alternative
sources of funds, is outstanding, and safety is just below risk-free U.S.
Treasury short-term obligations. D1 indicates very high certainty of timely
payment. Liquidity factors are excellent and supported by good fundamental
protection factors. Risk factors are minor. D1- indicates high certainty of
timely payment. Liquidity factors are strong and supported by good fundamental
protection factors. Risk factors are very small. D2 indicates good certainty of
timely payment. Liquidity factors and company fundamentals are sound. Although
ongoing funding needs may enlarge total financing requirements, access to
capital markets is good. Risk factors are small.
D&P uses the fixed-income ratings described above under "Description of
Bond Ratings" for tax-exempt notes and other short-term obligations. Fitch uses
the short-term ratings described below under "Description of Commercial Paper
Ratings" for municipal notes.
DESCRIPTION OF COMMERCIAL PAPER RATINGS
Commercial paper rated A-1 by S&P indicates that the degree of safety
regarding timely payment is strong. Those issues determined to possess extremely
strong safety characteristics are denoted in A-1+. Capacity for timely payment
on commercial paper rated A-2 is satisfactory but the relative degree of safety
is not as high as for issues designated A-1.
The rating Prime-1 is the highest commercial paper rating assigned by
Moody's. Issuers or related supporting institutions rated Prime-1 are considered
to have a superior capacity for repayment of short-term promissory obligations.
Prime-1 repayment capacity will often be evidenced by the following
characteristics: leading market positions in well-established
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industries; high rates of return on funds employed; conservative capitalization
structures with moderate reliance on debt and ample asset protection; broad
margins in earning coverage of fixed financial charges and high internal cash
generation; and well-established access to a range of financial markets and
assured sources of alternate liquidity. Issuers or related supporting
institutions rated Prime-2 are considered to have strong capacity for repayment
of short-term promissory obligations. This will normally be evidenced by many of
the characteristics cited above but to a lesser degree. Earnings trends and
coverage ratios, while sound, will be more subject to variation. Capitalization
characteristics, while still appropriate, may be more affected by external
conditions. Ample alternate liquidity is maintained.
The following summarizes the highest ratings used by Fitch for short-term
obligations:
F-1+ securities possess exceptionally strong credit quality. Issues
assigned this rating are regarded as having the strongest degree of
assurance for timely payment.
F-1 securities possess very strong credit quality. Issues assigned this
rating reflect an assurance of timely payment only slightly less in degree
than issues rated F-1+.
F-2 securities possess good credit quality. Issues assigned this rating
have a satisfactory degree of assurance for timely payment, but the margin
of safety is not as great as the F-1+ and F-1 categories.
D&P uses the short-term ratings described above under "Description of Note
Ratings" for commercial paper.
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APPENDIX B
As stated in their Prospectus, the Portfolios may enter into futures
transactions and options thereon. Such transactions are described more fully in
this Appendix.
I. INTEREST RATE FUTURES CONTRACTS
Use of Interest Rate Futures Contracts. Bond prices are established in
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both the cash market and the futures market. In the cash market, bonds are
purchased and sold with payment for the full purchase price of the bond being
made in cash, generally within three business days after the trade. In the
futures market, only a contract is made to purchase or sell a bond in the future
for a set price on a certain date. Historically, the prices for bonds
established in the futures markets have tended to move generally in the
aggregate in concert with the cash market prices and have maintained fairly
predictable relationships. Accordingly, a Portfolio could use interest rate
futures contracts as a defense, or hedge, against anticipated interest rate
changes. As described below, this could include the use of futures contract
sales to protect against expected increases in interest rates and the use of
futures contract purchases to offset the impact of interest rate declines.
A Portfolio presently could accomplish a similar result to that which it
hopes to achieve through the use of futures contracts by selling bonds with long
maturities and investing in bonds with short maturities when interest rates are
expected to increase, or conversely, selling short-term bonds and investing in
long-term bonds when interest rates are expected to decline. However, because
of the liquidity that is often available in the futures market, the protection
is more likely to be achieved, perhaps at a lower cost and without changing the
rate of interest being earned by a Portfolio, through using futures contracts.
Interest rate futures contracts can also be used by a portfolio for
nonhedging (speculative) purposes to increase total return.
Description of Interest Rate Futures Contracts. An interest rate futures
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contract sale would create an obligation by a Portfolio, as seller, to deliver
the specific type of financial instrument called for in the contract at a
specific future time for a specified price. A futures contract purchase would
create an obligation by a Portfolio, as purchaser, to take delivery of the
specific type of financial instrument at a specific future time at a specific
price. The specific securities delivered or taken, respectively, at settlement
date, would not be determined until at or near that date. The determination
would be in
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accordance with the rules of the exchange on which the futures contract sale or
purchase was made.
Although interest rate futures contracts by their terms call for actual
delivery or acceptance of securities, in most cases the contracts are closed out
before a settlement date without the making or taking of delivery of securities.
Closing out a futures contract sale is effected by a Portfolio's entering into a
futures contract purchase for the same aggregate amount of the specific type of
financial instrument and the same delivery date. If the price of a sale exceeds
the price of the offsetting purchase, a Portfolio is immediately paid the
difference and thus realizes a gain. If the offsetting purchase price exceeds
the sale price, a Portfolio pays the difference and realizes a loss. Similarly,
the closing out of a futures contract purchase is effected by a Portfolio
entering into a futures contract sale. If the offsetting sale price exceeds the
purchase price, a Portfolio realizes a gain, and if the purchase price exceeds
the offsetting sale price, a Portfolio realizes a loss.
Interest rate futures contracts are traded in an auction environment on the
floors of several exchanges -- principally, the Chicago Board of Trade, the
Chicago Mercantile Exchange and the New York Futures Exchange. A Portfolio
would deal only in standardized contracts on recognized exchanges. Each
exchange guarantees performance under contract provisions through a clearing
corporation, a nonprofit organization managed by the exchange membership.
A public market now exists in futures contracts covering various financial
instruments including long-term United States Treasury Bonds and Notes;
Government National Mortgage Association (GNMA) modified pass-through mortgage
backed securities; three-month United States Treasury Bills; and ninety-day
commercial paper. A Portfolio may trade in any interest rate futures contracts
for which there exists a public market, including, without limitation, the
foregoing instruments.
II. INDEX FUTURES CONTRACTS
GENERAL. A stock or bond index assigns relative values to the securities
included in the index and the index fluctuates with changes in the market values
of the securities included.
A Portfolio may sell index futures contracts in order to offset a decrease
in market value of its portfolio securities that might otherwise result from a
market decline. A Portfolio may do so either to hedge the value of its
portfolio as a whole, or to protect against declines, occurring prior to sales
of securities, in the value of the securities to be sold. Conversely, a
Portfolio may purchase index futures contracts in anticipation of purchases of
securities. A long futures position
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may be terminated without a corresponding purchase of securities.
In addition, a Portfolio may utilize index futures contracts in
anticipation of changes in the composition of its portfolio holdings. For
example, in the event that a Portfolio expects to narrow the range of industry
groups represented in its holdings it may, prior to making purchases of the
actual securities, establish a long futures position based on a more restricted
index, such as an index comprised of securities of a particular industry group.
A Portfolio may also sell futures contracts in connection with this strategy, in
order to protect against the possibility that the value of the securities to be
sold as part of the restructuring of the portfolio will decline prior to the
time of sale.
Index futures contracts may also be used by a Portfolio for non-hedging
(speculative) purposes to increase total return.
III. FUTURES CONTRACTS ON FOREIGN CURRENCIES (INTERNATIONAL EQUITY INDEX AND
INTERNATIONAL GROWTH PORTFOLIOS)
A futures contract on foreign currency creates a binding obligation on one
party to deliver, and a corresponding obligation on another party to accept
delivery of, a stated quantity of foreign currency, for an amount fixed in U.S.
dollars. Foreign currency futures may be used by a Portfolio for hedging
purposes in anticipation of fluctuations in exchange rates between the U.S.
dollars and other currencies arising from multinational transactions.
IV. MARGIN PAYMENTS
Unlike purchases or sales of portfolio securities, no price is paid or
received by a Portfolio upon the purchase or sale of a futures contract.
Initially, the Portfolio will be required to deposit with the broker or in a
segregated account with the Custodian or a sub-custodian an amount of liquid
assets known as initial margin, based on the value of the contract. The nature
of initial margin in futures transactions is different from that of margin in
security transactions in that futures contract margin does not involve the
borrowing of funds by the customer to finance the transactions. Rather, the
initial margin is in the nature of a performance bond or good faith deposit on
the contract which is returned to the Portfolio upon termination of the futures
contract assuming all contractual obligations have been satisfied. Subsequent
payments, called variation margin, to and from the broker, will be made on a
daily basis as the price of the underlying instruments fluctuates making the
long and short positions in the futures contract more or less valuable, a
process known as marking-to-the-market. For example, when a particular
Portfolio has purchased a futures contract and the
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price of the contract has risen in response to a rise in the underlying
instruments, that position will have increased in value and the Portfolio will
be entitled to receive from the broker a variation margin payment equal to that
increase in value. Conversely, where the Portfolio has purchased a futures
contract and the price of the future contract has declined in response to a
decrease in the underlying instruments, the position would be less valuable and
the Portfolio would be required to make a variation margin payment to the
broker. At any time prior to expiration of the futures contract, the
Portfolio's adviser may elect to close the position by taking an opposite
position, subject to the availability of a secondary market, which will operate
to terminate the Portfolio's position in the futures contract. A final
determination of variation margin is then made, additional cash is required to
be paid by or released to the Portfolio, and the Portfolio realizes a loss or
gain.
V. RISKS OF TRANSACTIONS IN FUTURES CONTRACTS
There are several risks in connection with the use of futures by the
Portfolios. In connection with the use of futures for hedging purposes, the
risk arises because of the imperfect correlation between movements in the price
of the futures and movements in the price of the instruments which are the
subject of a hedge. The price of the future may move more than or less than the
price of the instruments being hedged. If the price of the futures moves less
than the price of the instruments which are the subject of hedge, the hedge will
not be fully effective but, if the price of the instruments being hedged has
moved in an unfavorable direction, the Portfolio would be in a better position
than if it had not hedged at all. If the price of the instruments being hedged
has moved in a favorable direction, this advantage will be partially offset by
the loss on the futures. If the price of the futures moves more than the price
of the hedged instruments, the Portfolio involved will experience either a loss
or gain on the futures which will not be completely offset by movements in the
price of the instruments which are the subject of the hedge. To compensate for
the imperfect correlation of movements in the price of instruments being hedged
and movements in the price of futures contracts, the Portfolio may buy or sell
futures contracts in a greater dollar amount than the dollar amount of
instruments being hedged if the volatility over a particular time period of the
prices of such instruments has been greater than the volatility over such time
period of the futures, or if otherwise deemed to be appropriate by Northern.
Conversely, the Portfolios may buy or sell fewer futures contracts if the
volatility over a particular time period of the prices of the instruments being
hedged is less than the volatility over such time period of the futures contract
being used, or if otherwise deemed to be appropriate by Northern. It is also
possible that, where a Portfolio had sold futures to
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hedge its portfolio against a decline in the market, the market may advance and
the value of instruments held in the Portfolio may decline. If this occurred,
the Portfolio would lose money on the futures and also experience a decline in
value in its portfolio securities.
When futures are purchased to hedge against a possible increase in the
price of securities before a Portfolio is able to invest its cash (or cash
equivalents) in an orderly fashion, it is possible that the market may decline
instead; if the Portfolio then concludes not to invest its cash at that time
because of concern as to possible further market decline or for other reasons,
the Portfolio will realize a loss on the futures contract that is not offset by
a reduction in the price of the instruments that were to be purchased.
In addition to the possibility that there may be an imperfect correlation,
or no correlation at all, between movements in the futures and the instruments
being hedged, the price of futures may not correlate perfectly with movement in
the cash market due to certain market distortions. Rather than meeting
additional margin deposit requirements, investors may close futures contracts
through off-setting transactions which could distort the normal relationship
between the cash and futures markets. Second, with respect to financial futures
contracts, the liquidity of the futures market depends on participants entering
into off-setting transactions rather than making or taking delivery. To the
extent participants decide to make or take delivery, liquidity in the futures
market could be reduced thus producing distortions. Third, from the point of
view of speculators, the deposit requirements in the futures market are less
onerous than margin requirements in the securities market. Therefore, increased
participation by speculators in the futures market may also cause temporary
price distortions. Due to the possibility of price distortion in the futures
market, and because of the imperfect correlation between the movements in the
cash market and movements in the price of futures, a correct forecast of general
market trends or interest rate movements by Northern may still not result in a
successful hedging transaction over a short time frame.
Positions in futures may be closed out only on an exchange or board of
trade which provides a secondary market for such futures. Although the
Portfolios intend to purchase or sell futures only on exchanges or boards of
trade where there appear to be active secondary markets, there is no assurance
that a liquid secondary market on any exchange or board of trade will exist for
any particular contract or at any particular time. In such event, it may not be
possible to close a futures investment position, and in the event of adverse
price movements, the Portfolios would continue to be required to make daily cash
payments of variation margin. However, in the event futures
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contracts have been used to hedge portfolio securities, such securities will
generally not be sold until the futures contract can be terminated. In such
circumstances, an increase in the price of the securities, if any, may partially
or completely offset losses on the futures contract. However, as described
above, there is no guarantee that the price of the securities will in fact
correlate with the price movements in the futures contract and thus provide an
offset on a futures contract.
Further, it should be noted that the liquidity of a secondary market in a
futures contract may be adversely affected by "daily price fluctuation limits"
established by commodity exchanges which limit the amount of fluctuation in a
futures contract price during a single trading day. Once the daily limit has
been reached in the contract, no trades may be entered into at a price beyond
the limit, thus preventing the liquidation of open futures positions. The
trading of futures contracts is also subject to the risk of trading halts,
suspensions, exchange or clearing house equipment failures, government
intervention, insolvency of a brokerage firm or clearing house or other
disruptions of normal activity, which could at times make it difficult or
impossible to liquidate existing positions or to recover excess variation margin
payments.
Successful use of futures by the Portfolios is also subject to Northern's
ability to predict correctly movements in the direction of the market. For
example, if a particular Portfolio has hedged against the possibility of a
decline in the market adversely affecting securities held by it and securities
prices increase instead, the Portfolio will lose part or all of the benefit to
the increased value of its securities which it has hedged because it will have
offsetting losses in its futures positions. In addition, in such situations, if
the Portfolio has insufficient cash, it may have to sell securities to meet
daily variation margin requirements. Such sales of securities may be, but will
not necessarily be, at increased prices which reflect the rising market. The
Portfolios may have to sell securities at a time when they may be
disadvantageous to do so.
Futures purchased or sold by the International Growth and International
Equity Portfolios (and related options) may be traded in foreign securities.
Participation in foreign futures and foreign options transactions involves the
execution and clearing of trades on or subject to the rules of a foreign board
of trade. Neither the National Futures Association nor any domestic exchange
regulates activities of any foreign boards of trade, including the execution,
delivery and clearing of transactions, or has the power to compel enforcement of
the rules of a foreign board of trade or any applicable foreign law. This is
true even if the exchange is formally linked to a domestic market so that a
position taken on the market may be liquidated by a transaction on another
market. Moreover, such laws or
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regulations will vary depending on the foreign country in which the foreign
futures or foreign options transaction occurs. For these reasons, customers who
trade foreign futures of foreign options contracts may not be afforded certain
of the protective measures provided by the Commodity Exchange Act, the Commodity
Futures Trading Commission's ("CFTC") regulations and the rules of the National
Futures Association and any domestic exchange, including the right to use
reparations proceedings before the CFTC and arbitration proceedings provided by
the National Futures Association or any domestic futures exchange. In
particular, the investments of the International Growth Portfolio and
International Equity Index Portfolio in foreign futures or foreign options
transactions may not be provided the same protections in respect of transactions
on United States futures exchanges. In addition, the price of any foreign
futures or foreign options contract and, therefore the potential profit and loss
thereon may be affected by any variance in the foreign exchange rate between the
time an order is placed and the time it is liquidated, offset or exercised.
VI. OPTIONS ON FUTURES CONTRACTS
The Portfolios may purchase and write options on the futures contracts
described above. A futures option gives the holder, in return for the premium
paid, the right to buy (call) from or sell (put) to the writer of the option a
futures contract at a specified price at any time during the period of the
option. Upon exercise, the writer of the option is obligated to pay the
difference between the cash value of the futures contract and the exercise
price. Like the buyer or seller of a futures contract, the holder, or writer,
of an option has the right to terminate its position prior to the scheduled
expiration of the option by selling, or purchasing an option of the same series,
at which time the person entering into the closing transaction will realize a
gain or loss. A Portfolio will be required to deposit initial margin and
variation margin with respect to put and call options on futures contracts
written by it pursuant to brokers' requirements similar to those described
above. Net option premiums received will be included as initial margin
deposits.
Investments in futures options involve some of the same considerations that
are involved in connection with investments in futures contracts (for example,
the existence of a liquid secondary market). See "Risks of Transactions in
Futures Contracts" above. In addition, the purchase or sale of an option also
entails the risk that changes in the value of the underlying futures contract
will not correspond to changes in the value of the option purchased. Depending
on the pricing of the option compared to either the futures contract upon which
it is based, or upon the price of any underlying instruments, an option may or
may not be less risky than ownership of the futures contract or such
instruments. In general, the market prices of options can
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be expected to be more volatile than the market prices on the underlying futures
contract. Compared to the purchase or sale of futures contracts, however, the
purchase of call or put options on futures contracts may, unlike futures
contracts where the risk of loss is potentially unlimited, frequently involve
less potential risk to the Portfolio because the maximum amount at risk is the
premium paid for the options (plus transaction costs). The writing of an option
on a futures contract involves risks similar to those risks relating to the sale
of futures contracts.
VII. OTHER MATTERS
Accounting for futures contracts will be in accordance with generally
accepted accounting principles.
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