NEW ENGLAND ZENITH FUND
501 Boylston Street
Boston, Massachusetts 02116
(617) 267-6600
PROSPECTUS-May 3, 1995
New England Zenith Fund (the "Fund") offers fourteen investment portfolios:
the Back Bay Advisors Money Market Series, the Back Bay Advisors Bond Income
Series, the Capital Growth Series, the Westpeak Value Growth Series, the
Loomis
Sayles Avanti Growth Series, the Westpeak Stock Index Series, the Back Bay
Advisors Managed Series, the Loomis Sayles Small Cap Series, the Loomis Sayles
Balanced Series, the Draycott International Equity Series, the Salomon
Brothers U.S. Government Series, the Salomon Brothers Strategic Bond
Opportunities Series, the Venture Value Series, the Alger Equity Growth
Series and the
Short-Term Series (the "Series") with the following investment objectives:
Back Bay Advisors Money Market Series-the highest possible level of current
income consistent with preservation of capital. Money market funds are neither
insured nor guaranteed by the U.S. Government and there can be no assurance
that the Series will maintain a stable net asset value of $100 per share.
Back Bay Advisors Bond Income Series-a high level of current income
consistent with protection of capital and moderate investment risk.
Capital Growth Series-long-term growth of capital.
Westpeak Value Growth Series-long-term total return through investment in
equity securities.
Loomis Sayles Avanti Growth Series-long-term growth of capital.
Westpeak Stock Index Series-investment results that correspond to the
composite price and yield performance of United States publicly traded common
stocks.
Back Bay Advisors Managed Series-a favorable total return through investment
in a diversified portfolio. The Series' portfolio is expected to include a mix
of (1) common stocks, (2) notes and bonds and (3) money market instruments.
Loomis Sayles Small Cap Series-long-term capital growth from investments in
common stocks or their equivalent.
Loomis Sayles Balanced Series-reasonable long-term investment return from a
combination of long-term capital appreciation and moderate current income.
Draycott International Equity Series-total return from long-term growth of
capital and dividend income, primarily through investment in international
equity securities.
Salomon Brothers U.S. Government Series-a high level of current income
consistent with preservation of capital and maintenance of liquidity.
Salomon Brothers Strategic Bond Opportunities Series-a high level of total
return consistent with preservation of capital. This Series may invest a
significant portion of its assets in lower rated bonds commonly known as junk
bonds. Investors should assess carefully the risks associated with investment
in this Series. See "Investment Objectives and Policies-Salomon Brothers
Strategic Bond Opportunities Series" and " Investment Risks-Lower Rated
Fixed-Income Securities".
Venture Value Series-growth of capital.
Alger Equity Growth Series-long-term capital appreciation.
Short-Term Series - a high level of income consistent with protection
of capital.
This Prospectus concisely describes the information that prospective
investors ought to know before investing. Please read this Prospectus
carefully and keep it for future reference.
A Statement of Additional Information (the "Statement") dated May 3, 1995,
is available free of charge by writing to New England Securities Corporation
("New England Securities"), 399 Boylston Street, Boston, Massachusetts 02116.
The Statement, which contains more detailed information about the Fund, has
been filed with the Securities and Exchange Commission (the "SEC") and is
incorporated by reference in this Prospectus.
SHARES OF THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED OR
ENDORSED BY, ANY FINANCIAL INSTITUTION AND THE SHARES ARE NOT FEDERALLY
INSURED BY THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL
RESERVE BOARD OR ANY OTHER AGENCY, AND INVOLVE RISK,
INCLUDING THE POSSIBLE LOSS OF PRINCIPAL.
------------
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED UPON THE ACCURACY OR
ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A
CRIMINAL OFFENSE.
<PAGE>
TABLE OF CONTENTS
Page
----
Financial Highlights......................... B-3
The Fund..................................... B-17
Investment Objectives and Policies........... B-17
Investment Risks............................. B-24
Performance Information...................... B-34
Investment Restrictions...................... B-36
Management................................... B-40
Sale and Redemption of Shares................ B-46
Net Asset Values and Portfolio Valuation..... B-47
Dividends and Capital Gain Distributions..... B-47
Taxes........................................ B-47
Organization and Capitalization of the Fund.. B-48
Transfer Agent............................... B-48
Voting Rights................................ B-48
B-2
<PAGE>
FINANCIAL HIGHLIGHTS
These tables have been examined by Coopers & Lybrand LLP, the Fund's
independent accountants, whose reports thereon accompany the financial
statements in the Statement of Additional Information. The tables should be
read in conjunction with the financial statements and notes thereto. For
further performance information about the Fund, please refer to the Fund's
annual report, which is available free of charge.
<TABLE>
<CAPTION>
BACK BAY ADVISORS MONEY MARKET SERIES
Year Ended December 31,
-----------------------------------------------------------------------------------------
1985 1986 1987 1988 1989 1990 1991 1992 1993 1994
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of the Year.. $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income................... 7.94 6.58 6.33 7.25 8.85 7.88 6.03 3.73 2.93 3.89
Net Gains or Losses on Investments
(both realized and unrealized).. ...... 0.00 0.00 (0.01) 0.00 0.00 0.00 0.00 0.00 0.00 0.00
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total From Investment Operations........ 7.94 6.58 6.32 7.25 8.85 7.88 6.03 3.73 2.93 3.89
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Less Distributions
Distributions From Net Investment Income (7.94) (6.58) (6.32) (7.25) (8.85) (7.88) (6.03) (3.73) (2.93) (3.89)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Total Distributions..................... (7.94) (6.58) (6.32) (7.25) (8.85) (7.88) (6.03) (3.73) (2.93) (3.89)
-------- -------- -------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value, End of the Year........ $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00 $100.00
======== ======== ======== ======== ======== ======== ======== ======== ======== ========
Total return (%)......................... 8.2 6.8 6.6 7.4 9.2 8.2 6.2 3.8 3.0 4.0
Ratio of Operating Expenses to Average Net
Assets (%)............................... 0.39 0.39 0.38 0.38 0.38 0.38 0.38 0.38 0.38 0.40
Ratio of Net Investment Income to Average Net
Assets (%)............................... 7.96 6.61 6.37 7.26 8.85 7.87 6.01 3.71 2.93 3.89
Net Assets, End of Period (000)......... $24,918 $26,794 $33,047 $38,929 $42,678 $60,071 $58,614 $61,607 $59,044 $73,960
</TABLE>
B-3
<PAGE>
<TABLE>
<CAPTION>
BACK BAY ADVISORS BOND INCOME SERIES
Year Ended December 31,
-------------------------------------------------------------------------------------------
1985 1986 1987 1988 1989 1990 1991 1992 1993 1994
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of the Year... $111.94 $119.34 $123.45 $95.47 $92.75 $97.23 $97.61 $103.44 $103.47 $106.14
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment Operations
Net Investment Income................ 11.24 10.21 8.97 8.52 8.58 8.49 8.53 7.96 5.70 7.05
Net Gains or Losses on Investments (both
realized and unrealized).............. 7.76 6.66 (7.14) (0.54) 2.81 (0.65) 8.90 0.51 7.38 (10.61)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total From Investment
Operations.......................... 19.00 16.87 1.83 7.98 11.39 7.84 17.43 8.47 13.08 (3.56)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Less Distributions
Distributions From Net Investment
Income.............................. (11.60) (11.09) (18.71) (10.70) (6.91) (7.46) (9.47) (6.87) (6.20) (7.05)
Distributions In Excess of Net Investment
Income.............................. 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 (0.05) 0.00
Distributions From Net Realized Capital
Gains.................................. 0.00 (1.67) (11.10) 0.00 0.00 0.00 (2.13) (1.57) (4.16) 0.00
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Total Distributions................. (11.60) (12.76) (29.81) (10.70) (6.91) (7.46) (11.60) (8.44) (10.41) (7.05)
-------- -------- -------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value, End of the Period.. $119.34 $123.45 $95.47 $92.75 $97.23 $97.61 $103.44 $103.47 $106.14 $95.53
======== ======== ======== ======== ======== ======== ======== ======== ========= =========
Total return (%).................... 18.7 15.8 1.4 8.4 12.3 8.1 18.0 8.2 12.6 (3.4)
Ratio of Operating Expenses to Average
Net Assets (%)...................... 0.47 0.50 0.45 0.47 0.45 0.46 0.45 0.44 0.43 0.44
Ratio of Net Investment Income to Average
Net Assets (%)........................ 10.26 8.86 8.65 8.50 8.62 8.57 8.27 7.70 6.47 6.75
Portfolio Turnover Rate (%) (a) ...... 232 303 331 104 69 106 193 71 177 82
Net Assets, End of Period (000)..... $13,927 $16,379 $17,449 $15,750 $26,156 $40,631 $49,369 $83,057 $131,242 $126,234
- ------
(a) The portfolio turnover calculations for 1985 exclude transactions in U.S.
Government securities maturing more than one year from the date of
acquisition. Portfolio turnover calculations in subsequent years include
such Government securities transactions.
As of January 1, 1993, the Bond Income Series discontinued the use of
equalization accounting.
</TABLE>
B-4
<PAGE>
<TABLE>
<CAPTION>
CAPITAL GROWTH SERIES
Year Ended December 31,
-----------------------------------------------------------------------------------------------
1985 1986 1987 1988 1989 1990 (a) 1991 1992 1993 1994
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of the Period.. $107.77 $179.48 $264.48 $231.33 $201.14 $260.25 $249.04 $347.36 $322.23 $351.63
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
Income From Investment Operations
Net Investment Income............ 0.67 0.52 1.05 10.63 1.59 1.78 3.16 4.04 2.12 5.28
Net Gains or Losses on Investments
(both
realized and unrealized).......... 72.16 131.12 109.33 (30.97) 60.11 (10.88) 130.75 (25.10) 46.21 (30.54)
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
Total From Investment Operations 72.83 131.64 110.38 (20.34) 61.70 (9.10) 133.91 (21.06) 48.33 (25.26)
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
Less Distributions
Distributions From Net
Investment Income. (1.12) (0.90) (1.10) (9.55) (2.59) (2.11) (3.22) (4.07) (2.18) (5.15)
Distributions From Net Realized Capital
Gains.............................. 0.00 (45.74) (142.43) (0.30) 0.00 0.00 (31.93) 0.00 (16.75) (8.92)
Distributions From Paid-In Capital. 0.00 0.00 0.00 0.00 0.00 0.00 (0.44) 0.00 0.00 0.00
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
Total Distributions............. (1.12) (46.64) (143.53) (9.85) (2.59) (2.11) (35.59) (4.07) (18.93) (14.07)
-------- -------- --------- -------- -------- --------- --------- --------- --------- ---------
Net Asset Value,
End of the Period. .. $179.48 $264.48 $231.33 $201.14 $260.25 $249.04 $347.36 $322.23 $351.63 $312.30
======== ======== ========= ======== ======== ========= ========= ========= ========= =========
Total return (%)................ 68.1 95.2 52.7 (8.8) 30.8 (3.5) 54.0 (6.1) 15.0 (7.1)
Ratio of Operating Expenses to Average Net
Assets (%)..........................0.76 0.83 0.57 0.75 0.72 0.73 0.70 0.70 0.68 0.67
Ratio of Net Investment Income to Average
Net Assets (%).................. 0.59 0.22 0.75 6.20 1.21 0.93 1.22 1.53 0.67 1.61
Portfolio Turnover Rate (%) (b). 335 527 368 813 269 229 174 207 169 140
Net Assets, End of Period (000). $3,130 $6,797 $29,626 $42,538 $90,377 $148,254 $343,965 $472,017 $644,384 $667,127
- --------------------------------------
(a) On March 1, 1990, the Capital Growth Management Division of Loomis Sayles &
Company, Incorporated was reorganized into Capital Growth Management
Limited Partnership, which assumed management of the Series.
(b) The portfolio turnover calculations for 1985 exclude transactions in U.S.
Government securities maturing more than one year from the date of
acquisition. Portfolio turnover calculations in subsequent years include
such Government securities transactions.
</TABLE>
B-5
<PAGE>
<TABLE>
<CAPTION>
WESTPEAK STOCK INDEX SERIES
Mar. 30(a)
to
Dec. 31, Year Ended December 31,
---------- --------------------------------------------------------------
1987 1988 1989 1990 1991 1992 1993* 1994
---------- -------- -------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of the Period.. $100.00 $84.74 $94.36 $117.36 $108.49 $137.39 $72.00 $76.48
---------- -------- -------- -------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income.......... 2.44 3.48 3.55 3.76 3.56 8.35 1.54 1.80
Net Gains or Losses on Investments
(both
realized and unrealized)........ (15.06) 10.39 24.83 (8.64) 29.29 2.02 5.18 (0.92)
---------- -------- -------- -------- -------- -------- -------- --------
Total From Investment
Operations...................... (12.62) 13.87 28.38 (4.88) 32.85 10.37 6.72 0.88
---------- -------- -------- -------- -------- -------- -------- --------
Less Distributions
Distributions From Net
Investment Income.. (2.23) (3.44) (3.74) (3.82) (3.56) (8.35) (1.36) (1.82)
Distributions In Excess of Net Investment
Income............................... 0.00 0.00 0.00 0.00 0.00 0.00 (0.18) 0.00
Distributions From Net Realized Capital
Gains................................(0.41) (0.81) (1.64) 0.00 (0.39) (67.41) (0.55) (0.16)
Distributions In Excess of Net Realized
Capital Gains........................ 0.00 0.00 0.00 0.00 0.00 0.00 (0.15) 0.00
Distributions From Paid-In Capital... 0.00 0.00 0.00 (0.17) 0.00 0.00 0.00 (0.03)
---------- -------- -------- -------- -------- -------- -------- --------
Total Distributions............. (2.64) (4.25) (5.38) (3.99) (3.95) (75.76) (2.24) (2.01)
---------- -------- -------- -------- -------- -------- -------- --------
Net Asset Value,
End of the Period... $84.74 $94.36 $117.36 $108.49 $137.39 $72.00 $76.48 $75.35
========== ======== ======== ======== ======== ======== ======== ========
Total return (%)................ (12.2) 16.3 30.2 (4.1) 30.4 7.3 9.7 1.1
Ratio of Operating Expenses to Average Net
Assets (%)...................... 0.31 0.36 0.34 0.36 0.36 0.35 0.34 0.33
Ratio of Net Investment Income to Average
Net Assets (%).................. 3.36 3.92 3.31 3.36 2.86 2.63 2.52 2.59
Portfolio Turnover Rate (%)..... 31 4 52 1 2 17 12 2
Net Assets, End of Period (000). $9,002 $11,073 $15,501 $15,122 $20,496 $10,172 $28,817 $37,164
- ------------
(a) Commencement of operations.
* Westpeak Investment Advisers, L.P. assumed responsibility for managing the Funds' portfolio on August 1, 1993.
</TABLE>
B-6
<PAGE>
<TABLE>
<CAPTION>
BACK BAY ADVISORS MANAGED SERIES
May 1(a)
to
Dec. 31, Year Ended December 31,
-------- ----------------------------------------------------------------
1987 1988 1989 1990 1991 1992 1993 1994
-------- -------- -------- -------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net Asset Value,
Beginning of the Period.. $100.00 $96.62 $100.17 $114.65 $112.79 $127.87 $130.26 $137.18
-------- -------- -------- -------- -------- -------- --------- ---------
Income From Investment Operations
Net Investment Income........... 2.80 5.13 4.31 5.47 6.41 5.14 4.35 5.42
Net Gains or Losses on Investments
(both
realized and unrealized)........ (3.45) 4.04 14.77 (1.81) 16.23 3.45 9.58 (6.92)
-------- -------- -------- -------- -------- -------- --------- ---------
Total From Investment
Operations...................... (0.65) 9.17 19.08 3.66 22.64 8.59 13.93 (1.50)
-------- -------- -------- -------- -------- -------- --------- ---------
Less Distributions
Distributions From Net
Investment Income.. (2.73) (5.24) (4.22) (5.38) (6.41) (5.13) (4.36) (5.38)
Distributions From Net Realized Capital
Gains.............................. 0.00 (0.38) (0.38) 0.00 (1.15) (1.07) (2.65) 0.00
Distributions From Paid-In Capital. 0.00 0.00 0.00 (0.14) 0.00 0.00 0.00 0.00
-------- -------- -------- -------- -------- -------- --------- ---------
Total Distributions............. (2.73) (5.62) (4.60) (5.52) (7.56) (6.20) (7.01) (5.38)
-------- -------- -------- -------- -------- -------- --------- ---------
Net Asset Value,
End of the Period... $96.62 $100.17 $114.65 $112.79 $127.87 $130.26 $137.18 $130.30
======== ======== ======== ======== ======== ======== ========= =========
Total return (%)................ (0.7) 9.5 19.1 3.2 20.2 6.7 10.7 (1.1)
Ratio of Operating Expenses to Average Net
Assets (%)...................... 0.66 0.64 0.57 0.57 0.55 0.54 0.53 0.54
Ratio of Net Investment Income to Average
Net Assets (%).................. 4.96 5.88 5.29 5.58 5.45 5.32 3.65 3.98
Portfolio Turnover Rate (%)..... 1 1 1 1 36 36 22 76
Net Assets, End of Period (000). $7,694 $10,806 $23,622 $36,563 $49,995 $77,575 $121,339 $121,877
- ------
(a) Commencement of operations.
</TABLE>
B-7
<PAGE>
LOOMIS SAYLES AVANTI GROWTH SERIES
April 30(a) Year
to Ended
December 31, 1993 December 31, 1994
------------------ -----------------
Net Asset Value,
Beginning of the Period............. $100.00 $113.67
------------------ -----------------
Income From Investment Operations
Net Investment Income............ 0.18 0.59
Net Gains or Losses on Investments
(both realized and unrealized)......... 14.56 (0.89)
------------------ -----------------
Total From Investment Operations....... 14.74 (0.30)
------------------ -----------------
Less Distributions
Distributions From Net
Investment Income................. (0.18) (0.60)
Distributions From Net
Realized Capital Gains............ (0.67) 0.00
Distributions From
Paid-In Capital................... (0.22) 0.00
------------------ -----------------
Total Distributions............... (1.07) (0.60)
------------------ -----------------
Net Asset Value,
End of the Period................... $113.67 $112.77
================== =================
Total return (%).................... 14.7 (b) (0.3)
Ratio of Operating
Expenses to Average Net Assets (%).... 0.85 (c) 0.84
Ratio of Net Investment Income
to Average Net Assets (%)........... 0.46 (c) 0.67
Portfolio Turnover Rate (%)......... 21 (c) 67
Net Assets, End of Period (000)..... $11,972 $25,622
The Ratio of Expenses to Average
Net Assets without giving effect
to the voluntary
expense limitation described in
Footnote (d) would have been (%)..... 0.89 (c)(d) 0.84
- ------
(a) Commencement of operations.
(b) Not annualized.
(c) Computed on an annualized basis.
(d) During the periods presented, the Series' adviser voluntarily agreed to
reduce its fees and, if necessary, to assume expenses of the Series in
order to limit the Series' expenses to an annual rate of 0.85% of the
Series' average daily net assets.
B-8
<PAGE>
WESTPEAK VALUE GROWTH SERIES
April 30(a) Year
to Ended
December 31, 1993 December 31, 1994
------------------ -----------------
Net Asset Value,
Beginning of the Period................ $100.00 $112.32
------------------ -----------------
Income From Investment Operations
Net Investment Income.................. 0.92 1.90
Net Gains or Losses on Investments
(both realized and unrealized)......... 13.33 (3.25)
------------------ -----------------
Total From Investment Operations....... 14.25 (1.35)
------------------ -----------------
Less Distributions
Distributions From Net
Investment Income...................... (0.92) (1.92)
Distributions From Net
Realized Capital Gains................. (1.00) 0.00
Distributions In Excess of
Net Realized Capital Gains............. (0.01) 0.00
Distributions From Paid In Capital..... 0.00 (0.02)
------------------ -----------------
Total Distributions.................... (1.93) (1.94)
------------------ -----------------
Net Asset Value, End of the Period..... $112.32 $109.03
================== =================
Total return (%).................... . 14.2 (b) (1.2)
Ratio of Operating Expenses to Average
Net Assets (%)......................... 0.85 (c) 0.85
Ratio of Net Investment Income
to Average Net Assets (%).............. 2.16 (c) 2.30
Portfolio Turnover Rate (%)............ 49 (c) 133
Net Assets, End of Period (000)........ $9,082 $22,934
The Ratio of Expenses to Average
Net Assets without giving effect to
the voluntary
expense limitation described in
Footnote (d) would have been (%)...... 0.94 (c)(d) 0.86
- ------
(a) Commencement of operations.
(b) Not annualized.
(c) Computed on an annualized basis.
(d) During the periods presented, the Series' adviser voluntarily agreed to
reduce its fees and, if necessary, to assume expenses of the Series in
order to limit the Series' expenses to an annual rate of 0.85% of the
Series' average daily net assets.
B-9
<PAGE>
LOOMIS SAYLES SMALL CAP SERIES
May 1(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period................. $100.00
-----------------
Income From Investment Operations
Net Investment Income................................ 0.14
Net Gains or Losses on Investments
(both realized and unrealized)....................... (3.38)
-----------------
Total From Investment Operations..................... (3.24)
-----------------
Less Distributions
Distributions From Net Investment Income............. (0.15)
-----------------
Total Distributions.................................. (0.15)
-----------------
Net Asset Value, End of the Period................... $96.61
=================
Total return (%)............................. ....... (3.23)(b)
Ratio of Operating Expenses to Average Net Assets (%).. 1.00 (c)
Ratio of Net Investment Income to Average Net Assets (%) 0.32 (c)
Portfolio Turnover Rate (%) (a)......................... 80 (c)
Net Assets, End of Period (000)......................... $3,105
The Ratio of Expenses to Average Net Assets without giving
effect to the voluntary expense limitation
described in Footnote (d) would have been (%)........ 2.31 (c)
- ------
(a) Commencement of operations.
(b) Not annualized.
(c) Computed on an annualized basis.
(d) During the period presented, the Series' adviser voluntarily agreed to
reduce its fees and, if necessary, to assume expenses of the Series in
order to limit the Series' expenses to an annual rate of 1.00% of the
Series' average daily net assets.
B-10
<PAGE>
LOOMIS SAYLES BALANCED SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period............ $10.00
-----------------
Income From Investment Operations
Net Investment Income........................... 0.05
Net Gains or Losses on Investments
(both realized and unrealized).................. (0.06)
-----------------
Total From Investment Operations................ (0.01)
Less Distributions
Distributions From Net Investment Income........ (0.05)
-----------------
Total Distributions....................... ..... (0.05)
-----------------
Net Asset Value, End of the Period.............. $9.94
=================
Total return (%)................................ (0.10)(c)
Ratio of Operating Expenses to Average Net Assets (%). 0.85 (b)
Ratio of Net Investment Income to Average Net Assets (%) 4.16 (b)
Portfolio Turnover Rate (%) (a)......................... 0 (b)
Net Assets, End of Period (000)...................... $2,722
The Ratio of Expenses to Average Net Assets without
giving effect to the voluntary expense limitation
described in Footnote (d) would have been (%)... 3.73 (b)
- ------
(a) Commencement of operations.
(b) Computed on an annualized basis.
(c) Not computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 0.85% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit; such deferred expenses may be
charged to the Series in a subsequent year to the extent
that the charge does not cause the total expenses in such
subsequent year to exceed the 0.85% expense limit;
provided, however, that the Series is not obligated to repay
any expense paid by TNE Advisers more than two years after the end of the
fiscal year in which such expense was incurred.
B-11
<PAGE>
DRAYCOTT INTERNATIONAL EQUITY SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period.............. $10.00
-----------------
Income From Investment Operations
Net Investment Income............................. 0.03
Net Gains or Losses on Investments
(both realized and unrealized).................... 0.23
-----------------
Total From Investment Operations.................. 0.26
-----------------
Less Distributions
Distributions From Net Investment Income. ........ (0.02)
Distributions From Paid-In Capital................ (0.01)
-----------------
Total Distributions............................... (0.03)
-----------------
Net Asset Value, End of the Period................ $10.23
=================
Total return (%)................................... 2.60 (c)
Ratio of Operating Expenses to Average Net Assets (%) 1.30 (b)
Ratio of Net Investment Income to Average Net Assets (%) 2.56 (b)
Portfolio Turnover Rate (%)............................. 4 (b)
Net Assets, End of Period (000).......................... $2,989
The Ratio of Expenses to Average Net Assets without giving
effect to the voluntary expense limitation
described in Footnote (d) would have been (%)............. 5.38 (b)
- ------
(a) Commencement of operations.
(b) Computed on an annualized basis.
(c) Not computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 1.30% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit; such deferred
expenses may be charged
to the Series in a subsequent year to the extent that the charge does not
cause the total expenses in such subsequent year to exceed the 1.30%
expense limit; provided, however, that the Series is not obligated to
repay any expense paid by TNE Advisers more than two years after the end
of the fiscal year in which such expense was incurred.
B-12
<PAGE>
SALOMON BROTHERS U.S. GOVERNMENT SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period........... $10.00
-----------------
Income From Investment Operations
Net Investment Income.......................... 0.10
Net Gains or Losses on Investments
(both realized and unrealized)................. (0.04)
-----------------
Total From Investment Operations................ 0.06
-----------------
Less Distributions
Distributions From Net Investment Income....... (0.10)
-----------------
Total Distributions............................ (0.10)
-----------------
Net Asset Value, End of the Period.............. $9.96
=================
Total return (%)................................ 0.60 (b)
Ratio of Operating Expenses to Average Net Assets (%).. 0.70 (c)
Ratio of Net Investment Income to Average Net Assets (%) 5.70 (c)
Portfolio Turnover Rate (%)............................ 1,409 (c)
Net Assets, End of Period (000).........................$2,012
The Ratio of Expenses to Average Net Assets without
giving effect to the voluntary expense limitation
described in Footnote (d) would have been (%)... 2.54 (c)
- ------
(a) Commencement of operations.
(b) Not computed on an annualized basis.
(c) Computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 0.70% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit;
such deferred expenses may be charged
to the Series in a subsequent year to the extent that the charge does not
cause the total expenses in such subsequent year to exceed the 0.70%
expense limit; provided, however, that the Series is not obligated to
repay any expense paid by TNE Advisers more than two years after the end
of the fiscal year in which such expense was incurred.
B-13
<PAGE>
SALOMON BROTHERS STRATEGIC BOND OPPORTUNITIES SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period.......... $10.00
-----------------
Income From Investment Operations
Net Investment Income......................... 0.12
Net Gains or Losses on Investments
(both realized and unrealized)................ (0.26)
-----------------
Total From Investment Operations.............. (0.14)
-----------------
Less Distributions
Distributions From Net Investment Income...... (0.12)
-----------------
Total Distributions........................... (0.12)
-----------------
Net Asset Value, End of the Period............. $9.74
=================
Total return (%)............................... (1.40)(b)
Ratio of Operating Expenses to Average Net Assets (%). 0.85 (c)
Ratio of Net Investment Income to Average Net Assets (%) 7.05 (c)
Portfolio Turnover Rate (%) (a)......................... 403 (c)
Net Assets, End of Period (000)....................... $3,450
The Ratio of Expenses to Average Net Assets without
giving effect to the voluntary expense limitation
described in Footnote (d) would have been (%).. 2.01 (c)
- ------
(a) Commencement of operations.
(b) Not computed on an annualized basis.
(c) Computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 0.85% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit; such deferred expenses may be
charged to the Series in a subsequent year to the extent that the charge
does not cause the total expenses in such subsequent year to exceed the
0.85% expense limit; provided, however, that the Series is not obligated
to repay any expense paid by TNE Advisers more than two years after the
end of the fiscal year in which such expense was incurred.
B-14
<PAGE>
VENTURE VALUE SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period............... $10.00
-----------------
Income From Investment Operations
Net Investment Income.............................. 0.03
Net Gains or Losses on Investments
(both realized and unrealized)..................... (0.38)
-----------------
Total From Investment Operations................... (0.35)
-----------------
Less Distributions
Distributions From Net Investment Income........... (0.03)
-----------------
Total Distributions................................ (0.03)
-----------------
Net Asset Value, End of the Period.................. $9.62
=================
Total return (%).......................... ......... (3.50)(b)
Ratio of Operating Expenses to Average Net Assets (%). 0.90 (c)
Ratio of Net Investment Income to Average Net Assets (%) 2.54 (c)
Portfolio Turnover Rate (%) (a)......................... 1 (c)
Net Assets, End of Period (000)......................... $3,371
The Ratio of Expenses to Average Net Assets without giving
effect to the voluntary expense limitation
described in Footnote (d) would have been (%)....... 3.97 (c)
- ------
(a) Commencement of operations.
(b) Not computed on an annualized basis.
(c) Computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 0.90% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit; such deferred expenses may be
charged to the Series in a subsequent year to the extent that the charge
does not cause the total expenses in such subsequent year to exceed the
0.90% expense limit; provided, however, that the Series is not obligated
to repay any expense paid by TNE Advisers more than two years after the
end of the fiscal year in which such expense was incurred.
B-15
<PAGE>
ALGER EQUITY GROWTH SERIES
October 31(a)
to
December 31, 1994
-----------------
Net Asset Value, Beginning of Period............... $10.00
-----------------
Income From Investment Operations
Net Investment Income.............................. 0.02
Net Gains or Losses on Investments
(both realized and unrealized)..................... (0.44)
-----------------
Total From Investment Operations................... (0.42)
-----------------
Less Distributions
Distributions From Net Investment Income........... (0.02)
-----------------
Total Distributions................................ (0.02)
-----------------
Net Asset Value, End of the Period................. $9.56
=================
Total return (%)................................... (4.20)(b)
Ratio of Operating Expenses to Average Net Assets (%).. 0.85 (c)
Ratio of Net Investment Income to Average Net Assets (%) 1.07 (c)
Portfolio Turnover Rate (%) (a)......................... 32 (c)
Net Assets, End of Period (000)......................... $1,917
The Ratio of Expenses to Average Net Assets without giving
effect to the voluntary expense limitation
described in Footnote (d) would have been (%)...... 2.74 (c)
- ------
(a) Commencement of operations.
(b) Not computed on an annualized basis.
(c) Computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 0.85% of
average assets subject to the obligation of the Series to repay TNE
Advisers such expenses in future years, if any, when the Series' expenses
fall below this stated expense limit; such deferred expenses may be
charged to the Series in a subsequent year to the extent that the charge
does not cause the total expenses in such subsequent year to exceed the
0.85% expense limit; provided, however, that the Series is not obligated
to repay any expense paid by TNE Advisers more than two years after the
end of the fiscal year in which such expense was incurred.
B-16
<PAGE>
SHORT-TERM SERIES (d)
October 31(a)
to
December 31, 1994
_________________
Net Asset Value, Beginning of Period $10.00
_________________
Income From Investment Operations
Net Investment Income 0.03
Net Gains or Losses on Investments (0.50)
(both realized and unrealized) ________________
Total from Investment Operations (0.47)
________________
Less Distributions
Distributions
From Net Investment Income (0.04)
________________
Total Distributions (0.04)
________________
Net Asset Value, End of Period $9.49
================
Total Return(%) (4.70)(b)
Ratio of Operating Expenses to
Average Net Assets(%) 1.05(c)
Ration of Net Investment Income to
Average Net Assets (%) 2.86(c)
Portfolio Turnover Rate (%)(a) 311(c)
Net Assets, End of Period (000) $1,848
The Ratio of Expenses to Average Net Assets
without giving effect to the voluntary
expense limitation described in
Footnote (d) would have been 8.43(c)
(a) Commencement of operations.
(b) Not computed on an annualized basis.
(c) Computed on an annualized basis.
(d) Commencing November 1, 1994, TNE Advisers has agreed to pay operating
expenses of the Series in excess of an annual expense limit of 1.05% of
average assets subject to the obligation of the Series to repay TNE Advisers
such expenses in future years, if any, when the Series' expenses fall below
this stated expense limit; such deferred expenses may be charged to the
Series in a subsequent year to the extent that the charge does not cause
the total expenses in such subsequent year to exceed the 1.05% expense
limit; provided, however, that the Series is not obligated to repay any
expense paid by TNE Advisers more than two years after the
end of the fiscal year in which such expense was incurred. On March 29, 1995
the Series adopted its present name and investment objectives. Prior
to that date, the Series was known as the CS First Boston Strategic
Equity Opportunities Series and its investment objective was capital
appreciation. Financial highlights for the period October 31, 1994
(commencement of operations) to Decemcber 31, 1994 should not be
considered representative of the current Series.
<PAGE>
THE FUND
The Fund is a diversified, open-end management investment company organized
in 1987 as a Massachusetts business trust under the laws of Massachusetts.
The Fund is a series type company with fourteen investment portfolios: the
Back Bay
Advisors Money Market Series, the Back Bay Advisors Bond Income Series, the
Capital Growth Series, the Westpeak Value Growth Series, the Loomis Sayles
Avanti Growth Series, the Westpeak Stock Index Series, the Back Bay Advisors
Managed Series, the Loomis Sayles Small Cap Series, the Loomis Sayles Balanced
Series, the Draycott International Equity Series, the Salomon Brothers U.S.
Government Series, the Salomon Brothers Strategic Bond Opportunities Series,
the Venture Value Series, the Alger Equity Growth Series and the Short-Term
Series.
Shares in the Fund are not offered directly to the general public and,
currently, are available only to separate accounts established by New England
Variable Life Insurance Company ("NEVLICO"), New England Mutual Life
Insurance Company ("The New England") or subsidiaries of The New England as
an investment vehicle for variable life insurance or variable annuity products,
although not
all Series may be available to all separate accounts. In the future, however,
such shares may be offered to separate accounts of insurance companies
unaffiliated with NEVLICO or The New England.
INVESTMENT OBJECTIVES AND POLICIES
Back Bay Advisors Money Market Series
The Back Bay Advisors Money Market Series seeks the highest possible level
of current income consistent with preservation of capital through investment
in a managed portfolio of high quality money market instruments including:
~ obligations backed by the full faith and credit of the United States
Government, such as bills, notes and bonds issued by the U.S. Treasury or
by such government agencies as the Farmers' Home Administration or the
Small Business Administration;
~ other obligations issued or guaranteed by the United States Government or
its agencies, authorities or instrumentalities, such as obligations of the
Tennessee Valley Authority, Federal Land Banks and the Federal National
Mortgage Association ("FNMA") (together with full faith and credit
obligations, "U.S. Government Securities");
~ obligations of banks or savings and loan associations (such as bankers'
acceptances and certificates of deposit, including Eurodollar obligations
of foreign branches of U.S. banks and dollar denominated obligations of
U.S. and United Kingdom branches of foreign banks) whose net assets exceed
$100,000,000;
~ commercial paper and other corporate debt obligations rated in the highest
rating category by Standard & Poor's Corporation ("Standard & Poor's" or
"S&P") or Moody's Investors Service, Inc. ("Moody's") or, if unrated, of
comparable quality as determined by Back Bay Advisors, L.P. ("Back Bay
Advisors"), the Series' investment subadviser, under guidelines approved by
the Fund's Trustees; and
~ repurchase agreements relating to any of the above.
The Back Bay Advisors Money Market Series may invest up to 100% of its
assets in certificates of deposit, bankers' acceptances and other bank
obligations.
All the Back Bay Advisors Money Market Series' money market instruments
mature in less than 397 days and its dollar-weighted average portfolio
maturity is 90 days or less. The Series calculates the maturity of repurchase
agreements
by reference to the repurchase date, not by reference to the maturity of the
underlying security.
By investing only in high quality, short-term securities, the Back Bay
Advisors Money Market Series seeks to minimize credit risk and market risk.
Credit risk is the risk that the obligor will default in the payment of
principal and/or interest. In a repurchase agreement transaction, credit risk
relates to the performance by the other party of its obligation to repurchase
the underlying security from the Fund. If the other party defaults on that
obligation, the Fund may face various delays and risks of loss. Market risk
is the risk that the market value of the securities will change as a result
of changes in market rates of interest. The Fund expects that those changes
will be minimal and that the Back Bay Advisors Money Market Series will be
able to maintain the net asset value of its shares at a constant of $100,
although this cannot be assured.
B-17
<PAGE>
The Eurodollar obligations of foreign branches of U.S. banks and U.S. and
United Kingdom branches of foreign banks in which the Back Bay Advisors Money
Market Series may invest may be subject to certain risks which do not apply
to obligations of domestic branches of U.S. banks. These risks may relate to
foreign economic, political and legal developments and to the fact that
foreign banks and foreign branches of U.S. banks may be subject to different
regulatory requirements.
Back Bay Advisors Bond Income Series
The investment objective of the Back Bay Advisors Bond Income Series is to
provide a high level of current income consistent with protection of capital
and moderate investment risk through investment primarily in U.S. Government
and corporate bonds. In general, fixed-income securities, such as the bonds
in which the Series may invest, are subject to credit risk (the risk that
the obligor will default in the payment of principal and/or interest) and to
market risk (the risk that the market value of the securities will change as
a result of changes in market rates of interest).
At least 80% of the Series' assets will consist of securities rated AAA, AA,
A or BBB by S&P or Aaa, Aa, A or Baa by Moody's or unrated but determined by
Back Bay Advisors, the Series' subadviser, to be of comparable quality to
securities in those rating categories. The Series may not invest more than
10% of its total net assets in obligations of foreign issuers. Investments in
foreign securities will subject the Series to special considerations related
to political, economic and legal conditions outside of the U.S. These
considerations include the possibility of unfavorable currency exchange
rates,exchange control regulations (including currency blockage),
expropriation, nationalization, withholding taxes on income and difficulties
in enforcing judgments. Foreign securities may be less liquid and more
volatile than comparable U.S. securities. Some foreign issuers are subject
to less comprehensive accounting and disclosure requirements than similar
U.S. issuers. Transactions in foreign securities include currency conversion
costs.
Brokerage and custodial costs for foreign securities may be higher than for
U.S. securities. The Series will invest in these securities only when Back Bay
Advisors believes the associated risks are minimal.
Up to 20% of the Series' assets may be invested in securities rated BB or
Ba or lower (or in unrated securities that Back Bay Advisors determines to be
of comparable quality). During the fiscal year ended December 31, 1994, 11.33%
of the average month-end net assets of the Back Bay Advisors Bond Income
Series was invested in fixed-income securities rated in the rating category
(BB or Ba) just below investment grade and no assets were invested in
fixed-income securities rated below this level. Securities rated BB or lower
by S&P or Ba or lower by Moody's (or unrated but determined to be of
comparable quality by Back Bay Advisors) are considered high yield, high risk
securities and are commonly known as "junk bonds". The Series will acquire
no security rated below BB or Ba (or unrated but determined to be of
comparable quality by Back Bay Advisors).
If a security held by the Series is downgraded below BB or Ba, Back Bay
Advisors will determine at that time whether the Series will continue to hold
the security, taking into account the current conditions.
The average maturity of the Back Bay Advisors Bond Income Series' portfolio
will usually be between five and fifteen years.
Capital Growth Series
The Capital Growth Series, which is advised by Capital Growth Management,
Limited Partnership ("CGM"), seeks long-term growth of capital through
investment primarily in equity securities of companies whose earnings are
expected to grow at a faster rate than the United States economy. Most of the
Series' investments are normally in common stocks, although the Series may
invest in any type of equity securities. Equity securities are common stocks
and securities convertible into common stocks. The Series does not consider
current income as a significant factor in selecting its investments. Equity
securities are volatile investments, subject to price declines as well as
advances, and involve greater risks than some other investment media.
Westpeak Value Growth Series
The Westpeak Value Growth Series seeks long-term total return (capital
appreciation and dividend income) through investment in equity securities.
Emphasis will be given to both undervalued securities ("value" style) and
securities of companies with growth potential ("growth" style). The Westpeak
Value Growth Series will ordinarily invest substantially all its assets in
equity securities.
B-18
<PAGE>
The assets of the Westpeak Value Growth Series that are not invested in
equity securities will be held in cash or invested in repurchase agreements,
short-term U.S. Government securities or commercial paper or other corporate
money market securities rated A-2 or higher by Moody's or P-2 or higher by
Standard & Poor's (or unrated but considered to be of comparable quality by
the Series' subadviser, Westpeak Investment Advisors, L.P. ["Westpeak"]).
The Westpeak Value Growth Series may engage in transactions in futures
contracts solely for the purpose of maintaining full exposure of the
portfolio to the movements of broad equity markets at times when the Series
holds a cash position pending investment in stocks or in anticipation of
redemptions. See
"Futures and Other Hedging Transactions" under "Investment Risks" below and
"Futures" in the Statement of Additional Information.
Loomis Sayles Avanti Growth Series
The Loomis Sayles Avanti Growth Series seeks long-term growth of capital.
The Series ordinarily invests substantially all of its assets in equity
securities. Investments are selected based on their growth potential; current
income is not a consideration. The Series normally will invest primarily in
equity securities of companies with medium and large capitalization
(capitalization of $1 billion to $5 billion and over $5 billion,
respectively),but will also invest a portion of its assets in equity
securities of companies with relatively small market capitalization
(under $1 billion). The Series
may invest a limited portion of its assets in securities of foreign issuers.
Loomis, Sayles & Company, L.P. ("Loomis Sayles"), the Series' subadviser,
selects investments based upon fundamental research and analysis of
individual companies and industries. The subadviser selects investments for
the Series
based on qualitative and quantitative criteria including, among others,
industry dominance and competitive position, consistent earnings growth, a
history of high profitability, the subadviser's expectation of continued high
profitability and overall financial strength, although not every investment
will have all of these characteristics.
The Series may invest in convertible securities, including corporate bonds,
notes or preferred stocks that can be converted into common stocks or other
equity securities.
Westpeak Stock Index Series
The Westpeak Stock Index Series seeks to provide investment results that
correspond to the composite price and yield performance of United States
publicly traded common stocks. The Westpeak Stock Index Series seeks to
achieve
this investment objective by attempting to duplicate the composite price and
yield performance of the Standard & Poor's 500 Composite Stock Price Index
(the "S&P 500 Index").
The S&P 500 Index fluctuates with changes in the market value of the stocks
included in the Index. An investment in the Westpeak Stock Index Series
involves risks similar to the risks of investing directly in the stocks
included in the S&P 500 Index.
The Westpeak Stock Index Series seeks to duplicate the composite price and
yield performance of the S&P 500 Index at lower cost without investing in all
of the 500 stocks included in the Index by selecting stocks having a
combination of characteristics similar to the omitted stocks and, in order
to minimize "tracking error," adjusting the proportions of the stocks
included
in the Series' portfolio relative to each stock's weighting in the S&P 500
Index. ("Tracking error" is a statistical measure of the difference between
the investment results of the Series, before taking into account the Series'
expenses, and the investment results of the S&P 500 Index.)
Westpeak, the Series' subadviser, currently expects that, depending on its
size, the Westpeak Stock Index Series will ordinarily invest in approximately
300 of the 500 stocks included in the S&P 500 Index. From time to time and
over any period of time, this number may be significantly higher or lower,
depending on the size of the Series and on Westpeak's judgment as to the
appropriate number of stocks in which to invest in order to approximate the
composite price and yield performance of the S&P 500 Index. In the future,
however, the Westpeak Stock Index Series may, without shareholder approval,
select a stock
index other than the S&P 500 Index as the standard of comparison for the
Westpeak Stock Index Series' common stock investments, or discontinue the
practice of using a stock index as the standard of comparison for the common
stock portion of the Westpeak Stock Index Series' portfolio. The Series may
also engage in futures transactions to
B-19
<PAGE>
reduce tracking error. See "Futures and Other Hedging Transactions" under
"Investment Risks" below and "Futures" in the Statement of Additional
Information.
Back Bay Advisors Managed Series
The investment objective of the Back Bay Advisors Managed Series is to
provide a favorable total investment return through investment in a
diversified portfolio. The Series' portfolio is expected to include
(1) common stocks, (2) notes and bonds and (3) money market instruments.
These investments will be made in proportions that Back Bay Advisors,
subadviser to the Back Bay Advisors Managed Series, deems appropriate for an
investor who wishes to invest in a
portfolio containing a diversified mix of assets.
It is expected that more often than not the investment portfolio of the
Back
Bay Advisors Managed Series will contain a higher proportion of common stocks
than of notes and bonds, and a higher proportion of notes and bonds than of
money market instruments. However, Back Bay Advisors will make variations in
the proportions of each investment category in accordance with its assessment
of the outlook for the economy and the financial markets and its judgment
about the relative attractiveness of each asset type in light of economic
conditions.
It is expected that under normal market conditions the Back Bay Advisors
Managed Series' portfolio will have some of its assets invested in each of
the three categories listed above. The Series may also engage in futures
transactions to manage its portfolio exposure to the risks of investment in
common stocks or notes and bonds. The Series will engage in futures
transactions only to the extent allowed by state law and regulations. See
"Futures and Other Hedging Transactions" under "Investment Risks" below and
"Futures" in the Statement of Additional Information.
The investment practices of the Back Bay Advisors Managed Series with
respect to the common stock portion of its portfolio will be substantially
similar to the investment practices of the Westpeak Stock Index Series, and
the risks associated with the common stock portion of the Back Bay Advisors
Managed Series' portfolio are similar to those associated with the Westpeak
Stock Index
Series. See "Westpeak Stock Index Series" above. These investment practices
include seeking to duplicate the composite price and yield performance of the
S&P 500 Index. In the future, however, the Back Bay Advisors Managed Series
may, without shareholder approval, select a stock index other than the S&P
500
Index as the standard of comparison for the Back Bay Advisors Managed Series'
common stock investments, or discontinue the practice of using a stock index
as the standard of comparison for the common stock portion of the Back Bay
Advisors Managed Series' portfolio. The Series may invest a limited portion
of its assets in securities of foreign issuers.
The bond portion of the Back Bay Advisors Managed Series' portfolio will be
invested in bonds of the types in which the Back Bay Advisors Bond Income
Series is permitted to invest. See "Back Bay Advisors Bond Income Series"
above
for a description of these types of investments and some possible risks
associated with them.
The money market portion of the Back Bay Advisors Managed Series' portfolio
will be invested in money market instruments and related repurchase
agreements of the types in which the Back Bay Advisors Money Market Series is
permitted to invest. See "Back Bay Advisors Money Market Series" above for
a description of
these types of investments and of the possible risks associated with them.
Loomis Sayles Small Cap Series
The Loomis Sayles Small Cap Series' investment objective is long-term
capital growth from investments in common stocks or their equivalent.
The Series, for which Loomis Sayles acts as subadviser, seeks to achieve
its
objective by giving emphasis to both undervalued securities and securities of
companies with significant growth potential. The Series will normally invest
at
least 65% of its total assets in companies with market capitalization of less
than $500 million and may invest up to 35% of its assets in larger companies.
Current income is not a consideration in selecting the Series' investments.
The Series may invest a limited portion of its assets in securities of
foreign
issuers. See "Investment Risks-Foreign Securities" below.
Loomis Sayles Balanced Series
The Loomis Sayles Balanced Series' investment objective is reasonable
long-term investment return from a combination of long-term capital
appreciation and moderate current income.
B-20
<PAGE>
The Series, for which Loomis Sayles acts as subadviser, is "flexibly
managed" in that sometimes it invests more heavily in equity securities and
at other
times it invests more heavily in fixed-income securities, depending on its
subadviser's view of the economic and investment outlook. Most of the Series'
investments are normally in dividend-paying common stocks of recognized
investment quality that are expected to achieve growth in earnings and
dividends over the long term. Fixed-income securities include notes, bonds,
non-convertible preferred stock and money market instruments. The Series may
invest in adjustable rate mortgage securities, asset-backed securities,
STRIPS and inverse floaters, subject to a limit of 5% of the Series' assets
for each of these instruments. The Series invests at least 25% of its assets
in fixed-income senior securities and, under normal market conditions, more
than 50% of its assets in equity securities. The Series also may invest in
foreign securities.
Draycott International Equity Series
The Draycott International Equity Series seeks total return from long-term
growth of capital and dividend income, primarily through investment in
international equity securities.
The Draycott International Equity Series seeks to achieve its objective by
investing primarily in common stocks, although the Series may invest in any
type of equity securities. Normally the Series will invest at least 65% of
its total assets in equity securities of issuers headquartered outside the
United States, and substantially all of its assets (other than cash and
short-term investments) in such equity securities or equity securities of
issuers (including closed-end investment companies) that derive a substantial
part of their revenues or profits from countries outside the United States.
Under normal conditions, the Series' portfolio will contain equity securities
of issuers from at least three countries outside the United States.
The Series' subadviser, Draycott Partners, Ltd. ("Draycott"), will make
investment decisions on behalf of the Series by, first, selecting countries
where it anticipates sustainable growth that will exceed current market
expectations. Within the selected countries, the subadviser will identify
economic sectors that appear to present the most potential for risk-adjusted
growth and, finally, within the chosen economic sectors, the subadviser will
select securities that are expected to offer the best value.
Salomon Brothers U.S. Government Series
The Salomon Brothers U.S. Government Series' investment objective is to
provide a high level of current income consistent with preservation of
capital and maintenance of liquidity.
The Series seeks to achieve its objective by investing primarily in debt
obligations (including mortgage backed securities) issued or guaranteed by
the U.S. Government or its agencies, authorities or instrumentalities or
derivative
securities (such as collateralized mortgage obligations) backed by such
securities.
At least 80% of the total assets of the Salomon Brothers U.S. Government
Series will be invested in:
(1) mortgage backed securities guaranteed by the Government National
Mortgage
Association ("GNMA") that are supported by the full faith and credit of the
U.S. Government. Such securities entitle the holder to receive all interest
and
principal payments due, whether or not payments are actually made on the
underlying mortgages;
(2) U.S. Treasury obligations;
(3) debt obligations issued or guaranteed by agencies or instrumentalities
of the U.S. Government which are backed by their own credit but are not
necessarily backed by the full faith and credit of the U.S. Government;
(4) mortgage related securities guaranteed by agencies or instrumentalities
of the U.S. Government which are supported by their own credit but not the
full faith and credit of the U.S. Government, such as the Federal Home Loan
Mortgage Corporation and the Federal National Mortgage Association; and
(5) collateralized mortgage obligations issued by private issuers for which
the underlying mortgage backed securities serving as collateral are backed
(i) by the credit of the U.S. Government agency or instrumentality which
issues or guarantees the mortgage backed securities, or (ii) by the full
faith and credit of the U.S. Government.
B-21
<PAGE>
Under normal market conditions, at least 65% of the Series' total assets
will be invested in securities issued or guaranteed by the U.S. Government
or an agency, authority or instrumentality thereof. For purposes of this
policy,
securities that are not issued or guaranteed by the U.S. Government or an
agency, authority or instrumentality will not count toward the 65%, even if
they are backed by mortgages (or other collateral) that are so guaranteed.
Any guarantee of the securities in which the Series invests runs only to
principal and interest payments on the securities and not to the market value
of such securities or the principal and interest payments on the underlying
mortgages. In addition, the guarantee runs to the portfolio securities held
by the Series and not to the purchase of shares of the Series.
The Series may purchase or write options on securities, options on
securities
indices and options on futures contracts and buy or sell futures on financial
instruments and securities indices.
Up to 20% of the total assets of the Series may be invested in marketable
debt securities of domestic issuers and of foreign issuers (payable in U.S.
dollars) rated at the time of purchase Baa or higher by Moody's or BBB or
higher by S&P, or, if unrated, deemed to be of equivalent quality in Salomon
Brothers Management Inc's judgment, convertible securities (including those
issued in the Euromarket), securities carrying warrants to purchase equity
securities and privately placed debt securities.
The Series may lend securities it owns so long as such loans do not
represent more than 20% of the Series' total assets.
Salomon Brothers Strategic Bond Opportunities Series
The Salomon Brothers Strategic Bond Opportunities Series' investment
objective is to seek a high level of total return consistent with
preservation of capital.
Based upon Salomon Brothers Asset Management Inc's assessment of the
relative
risks and opportunities available in various market segments, assets will be
allocated among U.S. Government obligations, mortgage backed securities,
domestic and foreign corporate debt and sovereign debt securities rated
investment grade (BBB or higher by S&P or Baa or higher by Moody's) (or
unrated
but deemed to be of equivalent quality in the subadviser's judgment) and
domestic and foreign corporate debt and sovereign debt securities rated
below investment grade. The Series may invest in fixed and floating rate
loans ("Loans") arranged through private negotiations between a foreign
sovereign entity and one or more financial institutions, in the form of
participations in such Loans ("Participations") and assignments of all or a
portion of Loans from third parties ("Assignments"). See "Loan Participations
and Assignments", below.
Depending on market conditions, the Series may invest without limit in
below investment grade securities, which involve significantly greater risks,
including price volatility and risk of default in the payment of interest and
principal, than higher-quality securities. Although the Series' subadviser
does not anticipate investing in excess of 75% of the Series' assets in
domestic and developing country debt securities that are rated below investment
grade, the Series may invest a greater percentage in such securities when,
in the opinion of the subadviser the yield available from such securities
outweighs their additional risks. Certain of the debt securities in which the
Series may invest
may be rated as low as "C" by Moody's or "D" by S&P or may be considered
comparable to securities having such ratings. Securities of below investment
grade quality are considered high yield, high risk securities and are
commonly know as "junk bonds." See "Investment Risks-Lower Rated
Fixed-Income Securities" below.
In addition, the Series may invest in securities issued or guaranteed as to
principal or interest by the U.S. Government or its agencies or
instrumentalities, including mortgage backed securities, preferred stocks,
convertible securities (including those issued in the Euromarket), securities
carrying warrants to purchase equity securities, privately placed debt
securities, stripped mortgage securities, zero coupon securities and inverse
floaters.
The Series may, and the subadviser anticipates that under certain market
conditions that it will, invest up to 100% of its assets in foreign
securities, including Brady Bonds. Brady Bonds are debt obligations created
through the exchange of commercial bank loans to new obligations under a plan
introduced by
former U.S. Treasury Secretary Nicholas Brady. See "High Yield/High Risk
Foreign Sovereign Debt Securities", below. There is no limit on the value of
the portfolio's assets that may be invested in any one country or in assets
denominated in any one country's currency.
B-22
<PAGE>
The Series may also invest in debt obligations issued or guaranteed by a
foreign sovereign government or one of its agencies or political subdivisions
and debt obligations issued or guaranteed by supranational organizations.
Supranational entities include international organizations designated or
supported by governmental entities to promote economic reconstruction or
development and international banking institutions and related government
agencies. Examples include the International Bank for Reconstruction and
Development (the "World Bank"), the European Coal and Steel Community, the
Asian Development Bank and the Inter-American Development Bank. Such
supranational issued instruments may be denominated in multi-national
currency units.
The Series currently intends to invest substantially all of its assets in
fixed-income securities. In order to maintain liquidity, the Series may
investup to 20% of its assets in high-quality short-term money market
instruments.
The Series' subadviser will have discretion to select the range of
maturities
of the various fixed-income securities in which the Series will invest. The
weighted average life of the Series may vary substantially from time to time
depending on economic and market conditions.
The Series may purchase and sell (or write) exchange-listed and
over-the-counter put and call options on securities, financial futures
contracts and fixed income indices and other financial instruments, enter
into
financial futures contracts, enter into interest rate transactions, and enter
into currency transactions. Interest rate transactions may take the form of
swaps, structured notes, caps, floors and collars, and currency transactions
may take the form of currency forward contracts, currency futures contracts,
currency swaps and options on currencies or currency futures contracts. See
"Futures and Other Hedging Transactions" under "Investment Risks" below and
"Futures" in the Statement of Additional Information.
The Series may lend securities it owns so long as such loans do not
represent
more than 20% of the Series' total assets.
Venture Value Series
The Venture Value Series' investment objective is growth of capital and is
subadvised by Selected/Venture Advisers, L.P.
The Series will primarily invest in domestic common stocks (and securities
convertible into common stock) that the Series' subadviser believes have
capital growth potential due to factors such as undervalued assets or
earnings potential, product development and demand, favorable operating
ratios,
resources for expansion, management abilities, reasonableness of market price,
and favorable overall business prospects. The Series will generally invest
predominantly in equity securities of companies with market capitalizations
of at least $250 million. It may also invest in issues with smaller
capitalizations.
The Series may invest in foreign securities, and may hedge currency
fluctuation risks related thereto. The Series may invest in U.S. registered
investment companies that primarily invest in foreign securities, provided
that
no such investment may cause more than 10% of the Series' total assets to be
invested in such companies. The Series may invest in restricted securities
which may include Rule 144A securities.
The Series may write covered call options on its portfolio securities, but
currently intends to invest in such options only to the extent that less than
5% of its net assets would be subject to the options.
The Series may lend securities it owns so long as such loans do not exceed
5%
of the Series' net assets.
Alger Equity Growth Series
The Alger Equity Growth Series' investment objective is to seek long-term
capital appreciation. The Series' assets will be invested primarily in a
diversified, actively managed portfolio of equity securities, primarily of
companies having a total market capitalization of $1 billion or greater.
These companies may still be in the developmental stage, may be older
companies that
appear to be entering a new stage of growth progress, or may be companies
providing products or services with a high unit volume growth rate.
B-23
<PAGE>
The Series' subadviser, Fred Alger Asset Management, Inc., seeks to achieve
its objective by investing in equity securities, such as common or preferred
stocks or securities convertible into or exchangeable for equity securities,
including warrants and rights. Except during temporary defensive periods, the
Series invests at least 85% of its net assets in equity securities and at
least 65% of its total assets in equity securities of companies that, at the
time of
purchase of the securities, have total market capitalization of $1 billion or
greater; the Series may invest up to 35% of its total assets in equity
securities of companies that, at the time of purchase, have total market
capitalization of less than $1 billion. The Series anticipates that it will
invest primarily in companies whose securities are traded on domestic stock
exchanges or in the over-the-counter market.
The Series may invest in bank and thrift obligations, obligations issued or
guaranteed by the U.S. Government or by its agencies or instrumentalities,
foreign bank obligations and obligations of foreign branches of domestic
banks, and variable rate master demand notes.
The Series may also hold up to 15% of its net assets in money market
instruments and repurchase agreements, purchase restricted securities
(including Rule 144A securities) and enter into "short sales against the
box."
The Series may lend securities it owns so long as such loans do not exceed
331/3% of the Series' total assets.
Short-Term Series
The Short-Term Series seeks to provide a high level of current income
consistent with protection of capital by investing in a portfolio of high
quality money market instruments and corporate bonds, including:
- obligations backed by the full faith and credit of the United States
government, such as bills, notes and bonds issued by the U.S. Treasury or
by such government agencies as the Farmers' Home Administration or
Small Business Administration;
- - "U.S. Government Securities" as described under "Investment Objectives
and Policies-Back Bay Advisors Money Market Series" above;
- - obligations of banks or savings and loan associations (such as
bankers' acceptances and certificates of deposit, including Eurodollar
obligations of foreign branches of U.S. banks and dollar denominated
obligations of U.S. and United Kingdom branches of foreign banks)
whose net assets exceed $100,000,000;
- - commercial paper rated in the highest rating category by S&P or
Moody's or, if unrated, of comparable quality as determined by
TNE Advisers Inc., the Series' investment adviser, under guidelines
approved by the Fund's Trustees; and
- - Corporate debt obligations rated AAA or AA by S&P or Aaa or Aa by Moody's
or unrated but determined by TNE Advisers, Inc., to be of comparable
quality to the securities in those rating categories;
- - repurchase agreements relating to any of the above.
Additional Information
Equity securities are securities that represent an ownership interest (or
the right to acquire such an interest) in a company, and include common and
preferred stocks and securities exercisable for or convertible into common or
preferred stocks (such as warrants, convertible debt securities and
convertible preferred stock).
The Capital Growth Series, Westpeak Value Growth Series, Loomis Sayles
Avanti Growth Series, Westpeak Stock Index Series, Loomis Sayles Small Cap
Series, Draycott International Equity Series, Venture Value Series and Alger
Equity Growth Series seek to attain their objectives by normally investing
their assets primarily in equity securities. When the particular Series'
adviser or subadviser deems it appropriate, however, any of these Series may,
for
temporary defensive purposes, hold all or a substantial portion of its assets
in cash or fixed-income investments, including U.S. Government obligations,
investment grade (and comparable unrated) corporate bonds or notes, money
market instruments, bankers acceptances and repurchase agreements.
In addition,
the Draycott International Equity Series may invest temporarily in foreign
government, agency or corporate debt obligations. No estimate can be made as
to
when or for how long any Series will employ defensive strategies.
INVESTMENT RISKS
~ Equity Securities (Capital Growth, Westpeak Value Growth, Loomis Sayles
Avanti Growth, Westpeak Stock Index, Back Bay Advisors Managed, Loomis
Sayles
Small Cap, Loomis Sayles Balanced, Draycott International Equity, Venture
Value and Alger Equity Growth Series)
Equity securities are more volatile and more risky than some other forms of
investment. Therefore, the value of your investment in a Series may sometimes
decrease instead of increase. Investments in companies with relatively small
capitalization may involve greater risk than is usually associated with more
established companies. These companies often have sales and earnings growth
rates which exceed those of companies with larger capitalization. Such growth
rates may in turn be reflected in more rapid share price appreciation.
However,
companies with smaller capitalization often have limited product lines,
markets
or financial resources and they may be dependent upon a relatively small
management group. The securities may have limited marketability and may be
subject to more abrupt or erratic movements in price than securities of
companies with larger capitalization or the market averages in general. The
net asset value of a Series that invests in companies with smaller
capitalization, therefore, may fluctuate more widely than market averages.
~ Convertible Securities (Capital Growth, Loomis Sayles Avanti Growth, Loomis
Sayles Balanced, Draycott International Equity, Salomon Brothers Strategic
Bond Opportunities, Venture Value and Alger Equity Growth Series)
Convertible securities include debt securities or preferred stock that are
convertible into stock as well as other securities, such as warrants, that
provide an opportunity for equity participation. Because convertible
securities
can be converted into
B-24
<PAGE>
equity securities, their values will normally vary in some proportion with
those of the underlying equity securities. Convertible debt and preferred
stock usually provide a higher yield than the underlying equity securities,
however,
so that the price decline of a convertible security may sometimes be less
substantial than that of the underlying equity securities. The value of
convertible securities that pay dividends or interest, like the value of all
fixed-income securities, generally fluctuates inversely with changes in
interest rates. Warrants have no voting rights, pay no dividends and have no
rights with respect to the assets of the corporation issuing them. They do
not represent ownership of the securities for which they are exercisable, but
only the right to buy such securities at a particular price. The Loomis
Sayles Avanti Growth Series will not purchase any convertible debt security
or convertible preferred stock that has not been rated at the time of
acquisition investment grade by one major rating agency or that is not rated
but is determined to be of comparable quality by the Series' adviser.
~ Fixed-Income Securities (All Series)
Because interest rates vary, it is impossible to predict the income of a
Series
for any particular period. The net asset value will vary as a result of
changes
in the value of the bonds and other securities in the Series' portfolio.
Fixed-income securities are subject to market and credit risk. Market risk
relates to changes in a security's value as a result of changes in interest
rates generally. Generally, rising interest rates correlate with falling
share values. Credit risk relates to the ability of the issuer to make
payments of principal and interest. U.S. Government Securities generally do
not involve the credit risks associated with other types of fixed-income
securities, although, as a result, the yields available from U.S. Government
Securities are generally
lower than the yields available from corporate fixed-income securities.
~ Lower Rated Fixed-Income Securities (Back Bay Advisors Bond Income, Back
Bay Advisors Managed, Loomis Sayles Balanced and Salomon Brothers Strategic
Bond Opportunities Series)
Lower rated fixed-income securities (also known as "junk bonds") and
corporate fixed-income securities generally provide higher yields than U.S.
Government
and many foreign government securities, but are subject to greater credit and
market risk than higher quality fixed-income securities. Lower rated
fixed-income securities are considered predominantly speculative with respect
to the ability of the issuer to meet principal and interest payments.
Achievement of the investment objective of a Series investing in lower rated
fixed-income securities may be more dependent on the Series' subadviser's own
credit analysis than is the case for higher quality bonds. The market for
lower
rated fixed-income securities may be more severely affected than some other
financial markets by economic recession or substantial interest rate
increases,
by changing public perceptions of this market or by legislation that limits
the
ability of certain categories of financial institutions to invest in these
securities. In addition, the secondary market may be less liquid for lower
rated fixed-income securities. This lack of liquidity at certain times may
affect the valuation of these securities and may make the valuation and sale
of these securities more difficult.
~ Mortgage-Related Securities (Back Bay Advisors Bond Income, Back Bay
Advisors
Managed, Loomis Sayles Balanced, Salomon Brothers U.S. Government and
Salomon Brothers Strategic Bond Opportunities Series)
Mortgage-related securities, such as GNMA or FNMA certificates, differ from
traditional debt securities. Among the major differences are that interest
and principal payments are made more frequently, usually monthly, and that
principal may be prepaid at any time because the underlying mortgage loans
generally may be prepaid at any time. As a result, if a Series purchases
these assets at a premium, a faster-than-expected prepayment rate will reduce
yield to maturity, and a slower-than-expected prepayment rate will have the
opposite effect of increasing yield to maturity. If a Series purchases
mortgage-related
securities at a discount, faster-than-expected prepayments will increase, and
slower-than-expected prepayments will reduce, yield to maturity. Prepayments,
and resulting amounts available for reinvestment by the Series, are likely to
be greater during a period of declining interest rates and, as a result, are
likely to be reinvested at lower interest rates. Accelerated prepayments on
securities purchased at a premium may result in a loss of principal if the
premium has not been fully amortized at the time of prepayment. Although
these
securities will decrease in value as a result of increases in interest rates
generally, they are likely to appreciate less than other fixed-income
securities when interest rates decline because of the risk of prepayments.
B-25
<PAGE>
~ Collateralized Mortgage Obligations (Back Bay Advisors Bond Income, Back
Bay Advisors Managed, Loomis Sayles Balanced, Salomon Brothers U.S.
Government Series and Salomon Brothers Strategic Bond Opportunities Series)
A collateralized mortgage obligation ("CMO") is a security backed by a
portfolio of mortgages or mortgage securities held under an indenture. The
underlying mortgages or mortgage securities are issued or guaranteed by the
U.S. Government or an agency or instrumentality thereof, but the obligations
purchased by a Series will in many cases not be so issued or guaranteed. The
issuer's obligation to make interest and principal payments is secured by the
underlying portfolio of mortgages or mortgage securities. CMOs are issued
with a number of classes or series which have different maturities and which
may represent interests in some or all of the interest or principal on the
underlying collateral or a combination thereof. In the event of sufficient
early prepayments on such mortgages, the class or series of CMO first to
mature
generally will be retired prior to its maturity. The early retirement of a
particular class or series of CMO held by a Series would have the same effect
as the prepayment of mortgages underlying a mortgage pass-through security.
~ "Stripped" Mortgage Securities (Salomon Brothers U.S. Government and
Salomon Brothers Strategic Bond Opportunities Series)
"Stripped" mortgage securities are issued by agencies or instrumentalities of
the U.S. Government or private issuers. Stripped mortgage securities are
usually structured with two classes that receive different proportions of the
interest and principal distribution on a pool of mortgage assets. In some
cases, one class will receive all of the interest (the interest-only or "IO"
class), while the other class will receive all of the principal (the
principal-only or "PO" class). Stripped mortgage securities have greater
market
volatility than other types of mortgage securities. If the underlying
mortgage assets experience greater than anticipated payments of principal,
the Series may fail to recoup fully its investments in IOs. The staff of the
SEC has indicated that it views stripped mortgage securities as illiquid.
Until further clarification of the matter is provided by the staff, the
Series will treat its
investment in stripped mortgage securities as illiquid. As a result, these
investments, together with any other illiquid investments, will not exceed
15% of the Series' net assets.
~ Adjustable Rate Mortgage Securities (Loomis Sayles Balanced, Salomon
Brothers
U.S. Government and Salomon Brothers Strategic Bond Opportunities Series)
An adjustable rate mortgage security ("ARM"), like a traditional mortgage
security, is an interest in a pool of mortgage loans that provides investors
with payments consisting of both principal and interest as mortgage loans in
the underlying mortgage pool are paid off by the borrowers. ARMs have
interest
rates that are reset at periodic intervals, usually by reference to some
interest rate index or market interest rate. Although the rate adjustment
feature may act as a buffer to reduce sharp changes in the value of
adjustable
rate securities, these securities are still subject to changes in value based
on changes in market interest rates or changes in the issuer's
creditworthiness. Because the interest rates are reset only periodically,
changes in the interest rate on ARMs may lag changes in prevailing market
interest rates. Also, some ARMs (or the underlying mortgages) are subject to
caps or floors that limit the maximum change in interest rate during a
specified period or over the life of the security. As a result, changes in
the interest rate on an ARM may not fully reflect changes in prevailing
market
interest rates during certain periods. Because of the resetting of interest
rates, ARMs are less likely than non-adjustable rate securities of comparable
quality and maturity to increase significantly in value when market interest
rates fall.
~ Asset Backed Securities (Loomis Sayles Balanced, Salomon Brothers U.S.
Government and Salomon Brothers Strategic Bond Opportunities Series)
The securitization techniques used to develop mortgage securities are also
being applied to a broad range of other assets. Through the use of trusts and
special purpose corporations, automobile and credit card receivables are
being securitized in pass-through structures similar to mortgage pass-through
structures or in a pay-through structure similar to the CMO structure.
Generally the issuers of asset backed bonds, notes or pass-through
certificates are special purpose entities and do not have any significant
assets other than
the receivables securing such obligations. In general, the collateral
supporting asset backed securities is of shorter maturity than mortgage
loans.
Instruments backed by pools of receivables are similar to mortgage-backed
securities in that they are subject to unscheduled prepayments of principal
prior to maturity. When the obligations are prepaid, the Series will
ordinarily reinvest the prepaid amounts in securities the yields of which
reflect
B-26
<PAGE>
interest rates prevailing at the time. Therefore, a Series' ability to
maintain
a portfolio which includes high-yielding asset backed securities will be
adversely affected to the extent that prepayments of principal must be
reinvested in securities which have lower yields than the prepaid
obligations.
Moreover, prepayments of securities purchased at a premium could result in a
realized loss. A Series will only invest in asset backed securities rated, at
the time of purchase, AA or better by S&P or Aa or better by Moody's or
which, in the opinion of the investment subadviser, are of comparable
quality.
~ Inverse Floaters (Loomis Sayles Balanced, Salomon Brothers U.S. Government
and Salomon Brothers Strategic Bond Opportunities Series)
The Series listed above may invest in inverse floaters, which are derivative
mortgage securities. Inverse floaters are structured as a class of security
that receives distributions on a pool of mortgage assets and whose yields
move in the opposite direction of short-term interest rates, sometimes, at an
accelerated rate. Inverse floaters may be issued by agencies or
instrumentalities of the U.S. Government, or by private issuers, including
savings and loan associations, mortgage banks, commercial banks, investment
banks and special purpose subsidiaries of the foregoing. Inverse floaters
have greater volatility than other types of mortgage securities in which the
Series invest (with the exception of stripped mortgage securities). Although
inverse floaters are purchased and sold by institutional investors through
several investment banking firms acting as brokers or dealers, the market for
such securities has not yet been fully developed. Accordingly, inverse
floaters are generally illiquid.
~ Repurchase Agreements (All Series)
In repurchase agreements, a Series buys securities from a seller, usually a
bank or brokerage firm, with the understanding that the seller will
repurchase
the securities at a higher price at a later date. Such transactions afford an
opportunity for a Series to earn a return on available cash at minimal market
risk, although the Series may be subject to various delays and risks of loss
if the seller is unable to meet its obligation to repurchase.
~ Reverse Repurchase Agreements and Dollar Roll Agreements (Salomon Brothers
U.S. Government and Salomon Brothers Strategic Bond Opportunities Series)
The Series may enter into reverse repurchase agreements and dollar roll
agreements with banks and brokers to enhance return.
Reverse repurchase agreements involve sales by the Series of portfolio assets
concurrently with an agreement by the Series to repurchase the same assets at a
later date at a fixed price. During the reverse repurchase agreement period,
the Series continues to receive principal and interest payments on these
securities and also has the opportunity to earn a return on the collateral
furnished by the counterparties to secure its obligation to redeliver the
securities.
Dollar rolls are transactions in which the Series sells securities for
delivery in the current month and simultaneously contracts to repurchase
substantially
similar (same type and coupon) securities on a specified future date. During
the roll period, the Series forgoes principal and interest paid on both the
securities sold and those to be purchased. The Series is compensated by the
difference between the current sales price and the forward price for the
future purchase (often referred to as the "drop") as well as by the interest
earned on the cash proceeds of the initial sale.
The Series will establish segregated accounts with the Fund's custodian in
which they will maintain cash, U.S. Government Securities or other liquid
high grade debt obligations equal in value to their obligations with respect
to reverse repurchase agreements and dollar rolls. Reverse repurchase
agreements and dollar rolls involve the risk that the market value of the
securities retained by the Series may decline below the price of the
securities the Series
has sold but is obligated to repurchase under the agreement. In the event the
buyer of securities under a reverse repurchase agreement or dollar roll files
for bankruptcy or becomes insolvent, the Series' use of the proceeds of the
agreement may be restricted pending a determination by the other party or its
trustee or receiver, whether to enforce the Series' obligation to repurchase
the securities. Reverse repurchase agreements and dollar rolls are not
considered borrowings by the Series for purpose of the Series' fundamental
investment restriction with respect to borrowings.
B-27
<PAGE>
~ Options (Draycott International Equity, Salomon Brothers U.S. Government,
Salomon Brothers Strategic Bond Opportunities and Venture Value Series)
A Series may seek to increase its current return by writing covered call
options and covered put options, with respect to securities it holds or
intends
to buy, through the facilities of options exchanges and directly with market
makers in the over-the-counter market. A Series receives a premium from
writing a call or put option, which increases the Series' current return if
the option expires unexercised or is closed out at a net profit.
At times when a Series has written call options on a substantial portion of
its portfolio, the Series' ability to profit and its risk of loss from
changes in market prices of portfolio securities will be limited.
Appreciation in
securities covering the options would likely be partially or wholly offset by
losses on the options. The termination of options positions under such
conditions would generally result in the realization of short-term capital
losses, which would reduce the Series' current return. Accordingly, a Series
may seek to realize capital gains to offset realized losses by selling
securities.
As described in the Statement, over-the-counter options involve certain
special
risks (including liquidity and credit risks) not necessarily present with
exchange-listed options. A Series will treat as illiquid any over-the-counter
options and assets maintained as "cover" for over-the-counter options that
the Series has written.
The options markets of foreign countries are small compared to those of the
United States and consequently are characterized in most cases by less
liquidity than are the U.S. markets. In addition, foreign markets may be
subject to less detailed reporting requirements and regulatory controls than
U.S. markets. See "Foreign Securities" below.
~ Futures and Other Hedging Transactions (Westpeak Value Growth, Westpeak
Stock
Index, Back Bay Advisors Managed, Loomis Sayles Balanced, Draycott
International Equity, Salomon Brothers U.S. Government, Salomon Brothers
Strategic Bond Opportunities and Venture Value Series)
Futures contracts are exchange-traded obligations to buy or sell a particular
security on a specified future date (or to pay or receive amounts based on
the value of a securities index or currency on that date).
The use of futures transactions entails certain special risks. In particular,
the variable degree of correlation between price movements of futures
contracts
and price movements in the related securities or currency position of a
Series
could create the possibility that losses on the futures contracts are greater
than gains in the value of the Series' position. In addition, futures markets
could be illiquid in some circumstances. As a result, in certain markets, a
Series might not be able to close out a transaction without incurring
substantial losses. Although a Series' use of futures transactions for
hedging
should tend to minimize the risk of loss due to a decline in the value of the
hedged position, at the same time it will tend to limit any potential gain to
a Series that might result from an increase in value of the position.
The daily variation margin requirements for futures contracts create a
greater ongoing
potential financial risk than would purchases of options, in which case the
exposure is limited to the cost of the initial premium.
Each of these Series may, at the discretion of its subadviser, engage in
foreign currency exchange transactions, in connection with the purchase and
sale of portfolio securities, to protect the value of specific portfolio
positions or in anticipation of changes in relative values of currencies in
which current or future Series' portfolio holdings are denominated or quoted.
For hedging purposes, each of these Series may also buy put or call options
on securities that it holds or intends to buy. In addition to engaging in
options transactions on established exchanges, a Series may purchase
over-the-counter options from brokerage firms and other financial
institutions.
Each of these Series may invest in options and futures contracts on various
securities indices to hedge against changes in the value of securities it
holds or expects to acquire. These Series may also invest in options on index
futures.
No Series will invest more than 5% of its net assets in futures or premiums
for options on futures that are traded on a U.S. commodities exchange.
B-28
<PAGE>
Certain asset segregation requirements apply when a Series becomes obligated
under a hedging instrument. There is no assurance that a Series' hedging
strategies will be effective. These strategies involve costs and the risk of
loss to the Series. See Part II of the Statement for more information.
~ Swaps (Salomon Brothers Strategic Bond Opportunities Series)
The Series may enter into interest rate, currency and index swaps. The Series
will enter into these transactions primarily to seek to preserve a return or
spread on a particular investment or portion of its portfolio, to protect
against currency fluctuations, as a duration management technique or to
protect
against any increase in the price of securities a Series anticipates
purchasing
at a later date. Interest rate swaps involve the exchange by a Series with
another party of their respective commitments to pay or receive interest (for
example, an exchange of floating rate payments for fixed rate payments with
respect to a notional amount of principal). A currency swap is an agreement
to exchange cash flows on a notional amount based on changes in the relative
values of the specified currencies. The Series will maintain cash and
appropriate liquid assets in a segregated custodial account to cover its
current obligations under swap agreements. Because swap agreements are not
exchange-traded, but are private contracts into which the Series and a swap
counterparty enter as principals, the Series may experience a loss or delay
in recovering assets if the counterparty were to default on its obligations.
~ Structured Notes (Salomon Brothers Strategic Bond Opportunities Series)
The Salomon Brothers Strategic Bond Opportunities Series is permitted to
invest
in a broad category of instruments know as "structured notes." These
instruments are debt obligations issued by industrial corporations, financial
institutions or governmental or international agencies. Traditional debt
obligations typically obligate the issuer to repay the principal plus a
specified rate of interest. Structured notes, by contrast, obligate the
issuer to pay amounts of principal or interest that are determined by
reference to changes in some external factor or factors. For example,
the issuer's obligations could be determined by reference to changes
in the value of a commodity (such as gold or oil), a foreign currency, an
index of securities (such as the S&P 500 Index) or an interest rate (such as
the U.S. Treasury bill rate). In some cases, the issuer's obligations are
determined by reference to changes over time in the difference (or "spread")
between two or more external factors (such as the U.S. prime lending rate
and the London Inter-Bank Offering
Rate). In some cases, the issuer's obligations may fluctuate inversely with
changes in an external factor or factors (for example, if the U.S. prime
lending rate goes up, the issuer's interest payment obligations are reduced).
In some cases, the issuer's obligations may be determined by some multiple of
the change in an external factor or factors (for example, three times the
change in the U.S. Treasury bill rate). In some cases, the issuer's
obligations
remain fixed (as with a traditional debt instrument) so long as an external
factor or factors do not change by more than the specified amount
(for example, if the U.S. Treasury bill rate does not exceed some specified
maximum); but if the external factor or factors change by more than the
specified amount, the issuer's obligations may be sharply reduced.
Structured notes can serve many different purposes in the management of the
Series. For example, they can be used to increase the Series' exposure to
changes in the value of assets that the Series would not ordinarily purchase
directly (such as gold or oil). They can also be used to hedge the risks
associated with other investments the Series holds. For example, if a
structured note has an interest rate that fluctuates inversely with general
changes in market interest rates, the value of the structured note would
generally move in the opposite direction to the value of traditional debt
obligations, thus moderating the effect of interest rate changes in the value
of the Series' portfolio as a whole.
Structured notes involve special risks. As with any debt obligation,
structured
notes involve the risk that the issuer will become insolvent or otherwise
default on its payment obligations. The risk is in addition to the risk that
the issuer's obligations (and thus the value of the Series' investment) will
be
reduced because of adverse changes in the external factor or factors to which
the obligations are linked. The value of structured notes will in many cases
be
more volatile (that is, will change more rapidly or severely) than the value
of
traditional debt instruments. Volatility will be especially high if the
issuer's obligations are determined by reference to some multiple of the
change
in the external factor or factors. Many structured notes have limited or no
liquidity, so that the Series would be unable to dispose of the investment
prior to maturity. (The Series is not permitted to invest more than 15% of
its net assets in illiquid investments.) As with all investments, successful
use of structured notes depends in significant part on the accuracy of the
subadviser's analysis of the issuer's creditworthiness and financial
prospects,
and of the subadviser's forecast as to changes in relevant economic and
financial market conditions and factors. In instances where the issuer of a
structured note is a foreign entity, the usual risks associated with
investments in foreign securities (described above) apply.
B-29
<PAGE>
~ Foreign Securities (Back Bay Advisors Bond Income, Loomis Sayles Avanti
Growth, Back Bay Advisors Managed, Loomis Sayles Small Cap, Loomis Sayles
Balanced, Draycott International Equity, Salomon Brothers U.S. Government,
Salomon Brothers Strategic Bond Opportunities, Venture Value and Alger
Equity Growth Series)
Each of these Series may invest in securities of issuers organized or
headquartered outside the United States or primarily traded outside the
United States ("foreign securities"). In the case of the Loomis Sayles Small
Cap, Back Bay Advisors Bond Income, Loomis Sayles Avanti Growth and
Salomon Brothers U.S.
Government Series, the Series will not purchase a foreign security if, as a
result, the Series' holdings of foreign securities would exceed 20% (10% in
the case of the Back Bay Advisors Bond Income Series) of the Series'
total assets.
Although investing in foreign securities may increase a Series'
diversification and reduce portfolio volatility, foreign securities may
present risks not associated with investments in comparable securities of
U.S. issuers. There may
be less information publicly available about a foreign corporate or
government issuer than about a U.S. issuer, and foreign corporate issuers
are not generally subject to accounting, auditing and financial reporting
standards and
practices comparable to those in the United States. The securities of some
foreign issuers are less liquid and at times more volatile than securities of
comparable U.S. issuers. Foreign brokerage commissions and securities custody
costs are often higher than in the United States. With respect to certain
foreign countries, there is a possibility of governmental expropriation of
assets, confiscatory taxation, political or financial instability and
diplomatic developments that could affect the value of investments in those
countries. A Series' receipt of interest on foreign government securities may
depend on the availability of tax or other revenues to satisfy the issuer's
obligations.
A Series' investments in foreign securities may include investments in
countries whose economies or securities markets are not yet highly developed.
Special considerations associated with these investments (in addition to the
considerations regarding foreign investments generally) may include, among
others, greater political uncertainties, an economy's dependence on revenues
from particular commodities or on international aid or development
assistance, currency transfer restrictions, highly limited numbers of
potential buyers for such securities and delays and disruptions in securities
settlement procedures.
Since most foreign securities are denominated in foreign currencies or trade
primarily in securities markets in which settlements are made in foreign
currencies, the value of these investments and the net investment income
available for distribution to shareholders of a Series investing in these
securities may be affected favorably or unfavorably by changes in currency
exchange rates or exchange control regulations. Changes in the value relative
to the U.S. dollar of a foreign currency in which a Series' holdings are
denominated will result in a change in the U.S. dollar value of the Series'
assets and the Series' income available for distribution.
In addition, although part of a Series' income may be received or realized in
foreign currencies, the Series will be required to compute and distribute its
income in U.S. dollars. Therefore, if the value of a currency relative to the
U.S. dollar declines after a Series' income has been earned in that currency,
translated into U.S. dollars and declared as a dividend, but before payment
of the dividend, the Series could be required to liquidate portfolio
securities to
pay the dividend. Similarly, if the value of a currency relative to the U.S.
dollar declines between the time a Series accrues expenses in U.S. dollars
and the time such expenses are paid, the amount of such currency required to
be converted into U.S. dollars will be greater than the equivalent amount in
such currency of such expenses at the time they were incurred.
~ High Yield/High Risk Foreign Sovereign Debt Securities (Salomon Brothers
Strategic Bond Opportunities Series)
Investing in fixed and floating rate high yield foreign sovereign debt
securities will expose the Series to special risks in addition to those
described under "Foreign Securities" above. These bonds are typically issued
by
developing or emerging countries, whose ability to pay principal and interest
may be adversely affected by many factors, including: high rates of
inflation, high interest rates, currency exchange rates or difficulties,
political uncertainty or instability, the country's cash flow position, the
availability of sufficient foreign exchange on the date a payment is due,
the relative size of its debt service burden to the economy as a whole,
the policy of the International Monetary Fund, the World Bank and other
international
B-30
<PAGE>
agencies, the obligor's balance of payments, including export performance,
its access to international credit and investments, fluctuations in the
international prices of commodities which it imports or exports and the
extent of its foreign reserves and access to foreign exchange. Currency
devaluations
may also adversely affect the ability of a sovereign obligor to obtain
sufficient foreign exchange to service its external debt.
If a foreign sovereign obligor cannot generate sufficient earnings from
foreign
trade to service its external debt, it may need to depend on continuing loans
and aid from foreign governments, commercial banks and multilateral
organizations, and inflows of foreign investment. The commitment on the part
of these entities to make such disbursements may be conditioned on the
government's implementation of economic reforms or other requirements.
Failure
to meet such conditions may result in the cancellation of such third parties'
commitments to lend funds, which may further impair the obligor's ability or
willingness to timely service its debts. Sovereign obligors in developing and
emerging countries have in the past experienced substantial difficulties in
servicing their external debt obligations, which has led to defaults on
certain
obligations and the restructuring of certain indebtedness including among
other
things, reducing and rescheduling interest and principal payments by
negotiating new or amended credit agreements or converting outstanding
principal and unpaid interest to Brady Bonds and obtaining new credit to
finance interest payments. There can be no assurance that the Brady Bonds and
other foreign sovereign debt securities in which the Series may invest will
not be subject to similar restructuring arrangements or to requests for new
credit which may adversely affect the Series' holdings.
~ Loan Participations and Assignments (Salomon Brothers Strategic Bond
Opportunities Series)
The Series may invest in fixed and floating rate loans ("Loans") arranged
through private negotiations between a foreign sovereign entity and one or
more financial institutions ("Lenders"). The Series may invest in such Loans
in the form of participations in Loans ("Participations") and assignments of
all or a
portion of Loans from third parties ("Assignments"). Participations typically
will result in the Series having a contractual relationship only with the
Lender, not with the borrower. The Series will have the right to receive
payments of principal, interest and any fees to which it is entitled only
from the Lender selling the Participation and only upon receipt by the
Lender of the
payments from the borrower. In connection with purchasing Participations, the
Series generally will have no right to enforce compliance by the borrower
with the terms of the loan agreement relating to the Loan, nor any rights of
set-off against the borrower, and the Series may not benefit directly from
any collateral supporting the Loan in which it has purchased the
Participation. As
a result, the Series will be subject to credit risk relating to both the
borrower and the Lender that is selling the Participation. In the event of
the insolvency of the Lender selling a Participation, the Series may be
treated as
a general creditor of the Lender and may not benefit from any set-off between
the Lender and the borrower. When the Series purchases Assignments from
Lenders, the Series will acquire direct rights against the borrower on the
Loan, except that under certain circumstances such rights may be more limited
than those held by the assigning Lender.
The Series may have difficulty disposing of Assignments and Participations.
Because the market for such instruments is not highly liquid, the Series
anticipates that such instruments could be sold only to a limited number of
institutional investors. The lack of a highly liquid secondary market may
have an adverse impact on the value of such instruments and will have an
adverse impact on the Series' ability to dispose of particular Assignments or
Participations in response to a specific economic event, such as
deterioration in the creditworthiness of the borrower. The Series currently
intends to treat all investments in
Participations and Assignments as illiquid.
~ When-Issued Securities (Draycott International Equity, Salomon Brothers
U.S. Government, Salomon Brothers Strategic Bond Opportunities, Venture
Value and Alger Equity Growth Series)
If the value of a "when-issued" security being purchased falls between the
time a Series commits to buy it and the payment date, the Series may sustain
a loss. The risk of this loss is in addition to the Series' risk of loss on
the securities actually in its portfolio at the time. In addition, when the
Series buys a security on a when-issued basis, it is subject to the risk that
market rates of interest will increase before the time the security is
delivered, with the result that the yield on the security delivered to the
Series may be lower
than the yield available on other, comparable securities at the time of
delivery. The Series will maintain cash or liquid high grade assets in a
segregated account in an amount sufficient to satisfy its outstanding
obligations to buy securities on a "when-issued" basis.
B-31
<PAGE>
~ Investment Company Securities (Capital Growth, Westpeak Value Growth,
Loomis Sayles Avanti Growth, Westpeak Stock Index, Back Bay Advisors
Managed, Draycott International Equity, Venture Value and Alger Equity
Growth Series)
Each of these Series may invest up to 10% of its assets in securities of
investment companies. As a shareholder of an investment company, each Series
may indirectly bear investment management fees and other expenses of that
investment company, which are in addition to the management fees the Series
pays its adviser and other expenses the Series incurs directly. The Venture
Value Series may only invest in securities of investment companies investing
primarily in foreign securities.
~ Lending of Portfolio Securities (Back Bay Advisors Bond Income, Capital
Growth Series, Westpeak Stock Index Series, Back Bay Advisors Managed,
Salomon Brothers U.S. Government, Salomon Brothers Strategic Bond
Opportunities, Venture Value and Alger Equity Growth Series)
To the extent that any of the above Series lend that Series' portfolio
securities, such lending must be fully collateralized by cash, letters of
credit or U.S. Government Securities at all times, but involves some credit
risk to the Series if the other party should default on its obligations and
the
Series is delayed in or prevented from recovering the collateral.
~ "Short Sales Against the Box" (Alger Equity Growth Series)
The Alger Equity Growth Series may sell securities "short against the box."
While a short sale is the sale of a security the Series does not own, it is
"against the box" if at all times when the short position is open the Series
owns an equal amount of the securities sold short (or securities convertible
into, or exchangeable without further consideration for, securities of the
same
issue as the securities sold short).
~ Illiquid Securities (All Series)
Each Series (other than the Short-Term Series)
may invest up to 15% of its assets (10% in the case of the Back Bay
Advisors Money Market Series) in "illiquid securities," that is, securities
which are not readily resaleable, including securities whose disposition is
restricted by federal securities laws. The Series may purchase "Rule 144A
securities." These are privately offered securities that can be resold only
to certain qualified institutional buyers. Rule 144A securities are treated
as illiquid, unless the Series' subadviser has determined, under guidelines
established by the Fund's trustees, that the particular issue of Rule 144A
securities is liquid.
~ Zero Coupon Securities (Back Bay Advisors Bond Income, Back Bay Advisors
Managed, Loomis Sayles Balanced, Salomon Brothers U.S. Government and
Salomon Brothers Strategic Bond Opportunities Series)
Zero coupon securities involve special risk considerations. Zero coupon
securities are debt securities that pay no cash income but are sold at
substantial discounts from their value at maturity. When a zero coupon
security
is held to maturity, its entire return, which consists of the amortization of
discount, comes from the difference between its purchase price and its
maturity
value. The difference is known at the time of purchase, so that investors
holding zero coupon securities until maturity know at the time of their
investment what the return on their investment will be. Certain zero coupon
securities also are sold at substantial discounts from their maturity value
and
provide for the commencement of regular interest payments at a deferred date.
Zero coupon securities tend to be subject to greater price fluctuations in
response to changes in interest rates than are ordinary interest-paying debt
securities with similar maturities. The value of zero coupon securities
appreciates more during periods of declining interest rates and depreciates
more during periods of rising interest rates. Zero coupon securities may be
issued by a wide variety of corporate and governmental issuers. Although zero
coupon securities are generally not traded on a national securities exchange,
many such securities are widely traded by brokers and dealers and, if so,
will not be considered illiquid.
Current federal income tax law requires the holder of a zero coupon security
(as well as the holders of other securities, such as Brady Bonds, which may
be acquired at a discount) to accrue income with respect to these securities
prior to the receipt
B-32
<PAGE>
of cash payments. To maintain its qualification as a regulated investment
company and avoid liability for federal income and excise taxes, the Series
may
be required to distribute income accrued with respect to these securities and
may have to dispose of portfolio securities under disadvantageous
circumstances
in order to generate cash to satisfy these distribution requirements.
Note: Except for the investment objective of the Back Bay Advisors Money
Market, Back Bay Advisors Bond Income, Capital Growth, Westpeak Value Growth,
Loomis Sayles Avanti Growth, Westpeak Stock Index, Back Bay Advisors Managed
and Loomis Sayles Small Cap Series, or except as otherwise explicitly stated
in
this Prospectus or the Statement, each Series' investment policies may be
changed at any time without shareholder approval.
Portfolio Turnover
Portfolio turnover is not a limiting factor with respect to investment
decisions for any Series. For example, although the Capital Growth Series'
objective is long-term capital growth, it frequently sells securities to
reflect changes in market, industry or individual company conditions or
outlook, even though it may only have held those securities for a short
period. High portfolio turnover involves correspondingly greater brokerage
commissions
and other transaction costs, which will be borne directly by the relevant
Series. For additional information about such costs see "Taxes" and
"Management" below, and "Portfolio Transactions and Brokerage" in the
Statement. For information about the past portfolio turnover rates of all the
Series (other than the Back Bay Advisors Money Market Series), see "Financial
Highlights." Although it is not possible to predict the portfolio turnover
rates with certainty, the subadvisers of the following Series (all of which
unless otherwise noted commenced operations on October 31, 1994) expect that
such Series' portfolio turnover rate will usually not exceed the following
annual rates: Loomis Sayles Small Cap Series (which commenced operations on
May
1, 1994), 300%; Loomis Sayles Balanced Series, 75%; Draycott International
Equity Series, 60%; Salomon Brothers U.S. Government Series, 300%; Salomon
Brothers Strategic Bond Opportunities Series, 300%; Venture Value Series,
50%; Alger Equity Growth Series, 100% and the Short-Term Series, 100%.
Turnover in excess of 100% involves higher
levels of brokerage commissions and possibly increased realization of
taxable gains, as compared to many mutual funds.
Resolving Material Conflicts
Currently, shares in the Fund are available only to separate accounts
established by NEVLICO, The New England or subsidiaries of The New England as
an investment vehicle for variable life insurance or variable annuity
products.
In the future, however, such shares may be offered to separate accounts of
insurance companies unaffiliated with NEVLICO or The New England.
A potential for certain conflicts of interest exists between the interests
of
variable life insurance contract owners and variable annuity contract owners.
Pursuant to conditions imposed in connection with related regulatory relief
granted by the SEC, the Fund's board of trustees (the "Board of Trustees")
has an obligation to monitor events to identify conflicts that may arise from
the sale of shares to both variable life insurance and variable annuity
separate accounts or to separate accounts of insurance companies not
affiliated with The
New England. Such events might include changes in state insurance law or
federal income tax law, changes in investment management of any portfolio of
the Fund, or differences between voting instructions given by variable life
insurance and variable annuity contract owners. Insurance companies investing
in the Fund will be responsible for proposing and executing any necessary
remedial action and the Board of Trustees has an obligation to determine
whether such proposed action adequately remedies any such conflicts.
B-33
<PAGE>
PERFORMANCE INFORMATION
Information about the performance of the Series is set forth below and,
from time to time, the Fund may use this information in advertisements.
Performance information about a Series is based on that Series' past
performance and is not
intended to indicate future performance. The Fund serves as the underlying
investment vehicle for variable life insurance or variable annuity products
and its shares cannot be purchased directly. Therefore, such performance
information does not reflect any of the charges assessed against the
insurance company separate accounts or the variable life insurance or
variable annuity products for which the Fund serves as an investment vehicle.
Where relevant, performance information about those variable life insurance
or variable annuity
products is contained in the prospectus applicable to those products.
Each Series may include its total return in advertisements or other written
material. Total return is measured by comparing the value of a hypothetical
$1,000 investment in the Series at the beginning of the relevant period to
the value of the investment at the end of the period (assuming immediate
reinvestment of any dividends or capital gains distributions). Total return
reflects the bearing of certain expenses by The New England and its
affiliates
pursuant to various arrangements that are described below under "Management."
If these arrangements had not been in effect, each Series' total return would
have been lower.
<TABLE>
<CAPTION>
Total Return
Average Average
Annual Annual
Total Total
Return Return Since
For For Commen-
the the cement
Ten Ten Of
Years Years Offering
Ending Ending Through
Period
Return 1985 1986 1987 1988 1989 1990 1991 1992 1993 1994 12/31/94 12/31/94 12/31/94
- --------- ------ ------ ------------- ------ ------ ------ ------ ------ ------------ --------- -------- -------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Capital
Growth
Series 68.1% 95.2% 52.7% -8.8% 30.8% -3.5% 54.0% -6.1% 15.0% -7.1% 24.5% 8.3% 22.1%(1)
Back Bay
Advisors
Bond
Income
Series 18.7% 15.8% 1.4% 8.4% 12.3% 8.1% 18.0% 8.2% 12.6% -3.4% 9.8% 8.5% 10.0%(1)
Back Bay
Advisors
Money
Market
Series 8.2% 6.8% 6.6% 7.4% 9.2% 8.2% 6.2% 3.8% 3.0% 4.0% 6.3% 5.0% 6.8%(1)
Back Bay
Advisors
Managed
Series - - -0.7%(2) 9.5% 19.1% 3.2% 20.2% 6.7% 10.7% -1.1% - 7.7% 8.5%(2)
Westpeak
Stock
Index
Series(3) - - -12.2%(2) 16.3% 30.2% -4.1% 30.4% 7.3% 9.7% 1.1% - 8.3% 9.3%(2)
Westpeak
Value
Growth
Series(4) - - - - - - - - 14.2%(4) -1.2% - - 7.5%(4)
Loomis
Sayles
Avanti
Growth
Series(5) - - - - - - - - 14.7%(5) -0.3% - - 8.4%(5)
Loomis
Sayles
Small
Cap
Series(6) - - - - - - - - - -3.2%(6) - - -3.2%(6)
Loomis
Sayles
Balanced
Series - - - - - - - - - -0.1%(7) - - -0.1%(7)
Draycott
International
Equity
Series - - - - - - - - - 2.6%(7) - - 2.6%(7)
Salomon
Brothers
U.S.
Government
Series - - - - - - - - - 0.6%(7) - - 0.6%(7)
Salomon
Brothers
Strategic
Bond
Opportunities
Series - - - - - - - - - -1.4%(7) - - -1.4%(7)
Venture
Value
Series - - - - - - - - - -3.5%(7) - - -3.5%(7)
Alger
Equity
Growth
Series - - - - - - - - - -4.2%(7) - - -4.2%(7)
S&P
500(8) 31.6% 18.6% 5.2% 16.5% 31.6% -3.1% 30.3% 7.6% 10.1% 1.3% 14.4% 8.7% 13.4%
Lehman
Intermediate
Government/
Corporate
Bond
Index 18.1% 13.1% 3.7% 6.8% 12.8% 9.2% 14.6% 7.2% 8.8% -2.0% 9.1% 7.4% 9.7%
Consumer
Price
Index(10) 3.8% 1.1% 4.4% 4.4% 4.7% 6.1% 3.1% 2.9% 2.8% 2.8% 3.6% 3.5% 3.6%
Dow Jones
Industrial
Average
(11) 33.6% 27.1% 5.5% 16.1% 32.2% -1.0% 24.2% 7.4% 16.9% 5.1% 16.2% 10.3% 14.9%
- ------
(1) The Capital Growth Series, Back Bay Advisors Bond Income Series and Back
Bay Advisors Money Market Series commenced operations on August 26, 1983
and their Average Annual Total Returns From Commencement of Offering have
been calculated for the period beginning with that date. These returns
would not change if they had been calculated for the period beginning
with September 1, 1983, which is the period for which the Average Annual
Total
B-34
<PAGE>
Returns Since Commencement of Offering have been calculated for the S&P 500,
Lehman Intermediate Government/Corporate Bond Index, Consumer Price
Index and Dow Jones Industrial Average (unless otherwise indicated).
(2) For the period beginning May 1, 1987 when the Back Bay Advisors Managed
Series and Westpeak Stock Index Series became publicly available.
(3) Operations commenced on March 30, 1987, but the Westpeak Stock Index
Series did not become publicly available until May 1, 1987.
(4) For the period beginning April 30, 1993, when the Westpeak Value Growth
Series became publicly available.
(5) For the period beginning April 30, 1993, when the Loomis Sayles Avanti
Growth Series became publicly available.
(6) For the period beginning May 2, 1994, when the Loomis Sayles Small Cap
Series commenced operations, but did not become publicly available.
Average
annual total return for the period May 2, 1994 through December 31, 1994
is
presented on an unannualized basis.
(7) Represents unannualized total return for the period beginning October 31,
1994 when the Loomis Sayles Balanced, Draycott International Equity,
Salomon Brothers U. Salomon Brothers Strategic Bond Opportunities,
Venture Value and Alger Equity Growth commenced operations.
(8) The S&P 500 Stock Index is an unmanaged weighted index of the stock
performance of 500 industrial, transportation, utility and financial
companies. Investment results shown assume the reinvestment of dividends.
(9) The Lehman Intermediate Government/Corporate Bond Index is a subset of
the Lehman Government/Corporate Bond Index covering all issues with
maturities
between 1 and 10 years which is composed of taxable, publicly-issued,
non-convertible debt obligations issued or guaranteed by the U.S.
Government or its agencies and another Lehman index that is composed of
taxable, fixed rate publicly-issued, investment grade non-convertible
corporate debt obligations.
(10) The Consumer Price Index, published by the U.S. Bureau of Labor
Statistics, is a statistical measure of changes, over time, in the
prices of goods and services.
(11) The Dow Jones Industrial Average is a market value-weighted and
unmanaged index of 30 large industrial stocks traded on the New York Stock
Exchange.
</TABLE>
From time to time, articles about a Series regarding performance, rankings
and other Series characteristics may appear in national publications
including, but not limited to, The Wall Street Journal, Forbes, Fortune, CDA
Investment
Technologies and Money Magazine. In particular, some or all of these
publications may publish their own rankings or performance reviews of mutual
funds, including the Fund. References to or reprints or portions of reprints
of
such articles, which may include rankings that list the names of other funds
and their performance, may be used as Fund or variable contract sales
literature or advertising material.
Yield
Back Bay Advisors Money Market Series
The Back Bay Advisors Money Market Series may advertise its yield and
"effective" (or "compound") yield (and its total return). The yield of the
Back
Bay Advisors Money Market Series is the income earned by the Series over a
seven-day period on an annualized basis, i.e. the income earned in the period
is assumed to be earned every seven days over a 52-week period and is stated
as a percentage of the investment. "Effective" (or "compound") yield is
calculated similarly but, when annualized, the income earned by the
investment is assumed
to be reinvested in the Series' shares and thus compounded in the course of a
52-week period. The effective yield will be higher than the yield because of
the compounding effect of this assumed reinvestment.
For the seven-day period ended December 31, 1994, the yield for the Back
Bay Advisors Money Market Series was 5.34%. The effective yield for the same
period was 5.34%.
Back Bay Advisors Bond Income, Loomis Sayles Balanced, Salomon Brothers U.S.
Government, Salomon Brothers Strategic Bond Opportunities
and Short-Term Series
Each of these Series may advertise its yield in addition to its total
return.
The yield will be computed in accordance with the SEC's standardized formula
by dividing the net investment income per share earned during a recent 30-day
period by the net asset value of a Series share (reduced by any earned income
expected to be declared shortly as a dividend) on the last trading day of the
period. Yield calculations will reflect any waiver of fees and/or bearing of
expenses by The New England and its affiliates.
B-35
<PAGE>
INVESTMENT RESTRICTIONS
The following is a description of restrictions on the investments to be made
by the fifteen Series. Except as specifically listed below, and except for
restrictions marked with an asterisk, these restrictions may not be changed
without the approval of a majority of the outstanding voting securities of
the relevant Series.
Investment Restrictions Applicable to the Back Bay Advisors Money Market,
Back Bay Advisors Bond Income, Capital Growth, Westpeak Stock Index and Back
Bay Advisors Managed Series
Each of the Series listed above will not:
(1) Purchase any securities (other than U.S. Government Securities) if, as
a result, more than 5% of the Series' total assets (taken at current value)
would
be invested in securities of a single issuer; provided, however, that the
Westpeak Stock Index Series and the Back Bay Advisors Managed Series may each
invest more than 5% (but not more than 25%) of its total assets (taken at
current value) in the securities of a single issuer if securities of any such
issuer represent more than 5%, capitalization weighted, of the stock index
that the Series attempts to track.
(2) Purchase any security (other than U.S. Government Securities) if, as a
result, more than 25% of the Series' total assets (taken at current value)
would be invested in any one industry. For purposes of this restriction,
telephone, gas and electric public utilities are each regarded as separate
industries and finance companies whose financing activities are related
primarily to the activities of their parent companies are classified in the
industry of their parents. For the purposes of the Back Bay Advisors Money
Market Series and Back Bay Advisors Managed Series, this restriction does not
apply to bank obligations.
(3) Purchase securities on margin (but it may obtain such short-term
credits as may be necessary for the clearance of purchases and sales of
securities); or
make short sales, except where, by virtue of ownership of other securities,
it has the right to obtain, without payment of further consideration,
securities equivalent in kind and amount to those sold, and no Series will
deposit or pledge more than 10% of its total assets (taken at current value)
as collateral for such sales. (Any deposit or payment by the Westpeak Stock
Index or Back Bay
Advisors Managed Series of initial or maintenance margin in connection with
futures contracts shall not be considered the purchase of a security on
margin for the purposes of this restriction.)
(4) Acquire more than 10% of the total value of any class of the
outstanding securities of an issuer (taking all preferred stock issues of an
issuer as a
single class and debt issues of an issuer as a single class) or acquire more
than 10% of the outstanding voting securities of an issuer.
(5) Borrow money, except as a temporary measure for extraordinary or
emergency purposes (but not for the purpose of investment) up to an amount not
in excess of 10% of its total assets (taken at cost), or 5% of its total
assets (taken at current value), whichever is lower; provided, however, that
the Back
Bay Advisors Bond Income Series, the Capital Growth Series and the Back Bay
Advisors Managed Series may loan their portfolio securities. (See "Loans of
Portfolio Securities" above.)
(6) Invest more than 5% of its total assets (taken at current value) in
securities of businesses (including predecessors) less than three years old.
(7) Purchase or retain securities of any issuer if, to the knowledge of the
Fund, officers and trustees of the Fund or officers and directors of any
investment adviser of the Fund who individually own beneficially more than
1/2 of 1% of the securities of that company, together own beneficially more
than 5%.
(8) Act as underwriter except to the extent that, in connection with the
disposition of portfolio securities, it may be deemed to be an underwriter
under the federal securities laws; or purchase any security restricted as to
disposition under the federal securities laws; provided, however, that,
subject
to the Fund's limitation on illiquid investments stated below, each of the
Back
Bay Advisors Bond Income, Capital Growth and Back Bay Advisors Managed Series
may invest up to 10% of its total assets (taken at current value) in such
restricted securities.
B-36
<PAGE>
(9) Make investments for the purpose of exercising control or management.
(10) Participate on a joint or joint and several basis in any trading
account in securities. (The "bunching" of orders for the purchase or sale of
portfolio
securities with The New England, Back Bay Advisors, Capital Growth Management
Limited Partnership ("CGM"), Westpeak or accounts under their management to
reduce acquisition costs, to average prices among such accounts to facilitate
such transactions, is not considered participating in a trading account in
securities.)
(11) Invest in the securities of other investment companies, except in
connection with a merger, consolidation or similar transaction, and except
that
the Back Bay Advisors Bond Income Series, the Capital Growth Series, the
Westpeak Stock Index Series and the Back Bay Advisors Managed Series may
invest
in securities of other investment companies by purchases in the open market
involving only customary broker's commissions. (Under the Investment Company
Act of 1940 (the "1940 Act") each Series generally may not (a) invest more
than
10% of its total assets (taken at current value) in the securities of other
investment companies, (b) own securities of any one investment company having
a
value in excess of 5% of that Series' total assets (taken at current value),
or
(c) own more than 3% of the outstanding voting stock of any one investment
company.)
(12) Buy or sell oil, gas or other mineral leases, rights or royalty
contracts, commodities or commodity contracts (except that each of the
Westpeak
Stock Index Series and the Back Bay Advisors Managed Series may buy or sell
futures contracts on stock indexes and the Back Bay Advisors Managed Series
may
buy or sell interest rate futures contracts) or real estate. This restriction
does not prevent any Series from purchasing securities of companies investing
in real estate or of companies which are not principally engaged in the
business of buying or selling such leases, rights or contracts.
(13) Pledge, mortgage or hypothecate more than 15% of its total assets
(taken at cost).
Restrictions (1) and (2) apply to securities subject to repurchase
agreements
but not to the repurchase agreements themselves.
Each of the Series listed above will not purchase any illiquid security if,
as a result, more than 15% (10% in the case of the Back Bay Advisors Money
Market Series) of its net assets (taken at current value) would be invested
in such securities.
Investment Restrictions Applicable to Individual Series
In addition to the foregoing investment restrictions, the following
investment restrictions are applicable to individual Series as noted below.
Back Bay Advisors Money Market Series
The Back Bay Advisors Money Market Series will not:
(1) Make loans, except by purchase of debt obligations in which the Back
Bay Advisors Money Market Series may invest consistent with its objective and
investment policies. This restriction does not apply to repurchase
agreements.
(2) Write or purchase puts, calls or combinations thereof.
Back Bay Advisors Bond Income Series
The Back Bay Advisors Bond Income Series will not:
(1) Make loans, except by purchase of bonds, debentures, commercial paper,
corporate notes and similar evidences of indebtedness, which are part of an
issue to the public or to financial institutions, by entering into repurchase
agreements or by lending portfolio securities to the extent set forth above
under "Loans of Portfolio Securities" above.
(2) Write or purchase puts, calls or a combination thereof except that the
Back Bay Advisors Bond Income Series may purchase warrants or other rights to
subscribe to securities of companies issuing such warrants or rights, or of
parents or subsidiaries of such companies, provided that such warrants or
other
rights to subscribe are attached to, or a part of, a unit offering involving
other securities.
B-37
<PAGE>
In order to comply with certain state requirements applicable to
restriction (13) above, as a matter of operating policy subject to change
without shareholder approval, the Back Bay Advisors Bond Income Series will
not pledge more than 2% of its assets.
Capital Growth Series; Westpeak Stock Index Series
Neither the Capital Growth Series nor the Westpeak Stock Index Series will:
(1) Make loans, except by purchase of bonds, debentures, commercial paper,
corporate notes, and similar evidences of indebtedness, which are a part of
an issue to the public or to financial institutions, by entering into
repurchase agreements or by lending portfolio securities to the extent set
forth under "Loans of Portfolio Securities" above.
(2) Purchase options or warrants if, as a result, more than 1% of its total
assets (taken at current value) would be invested in such securities.
(3) Write options or warrants.
As a matter of operating policy subject to change without shareholder
approval, the Capital Growth Series will not make loans of its portfolio
securities. In order to comply with certain state requirements applicable to
restriction (13) above, as a matter of operating policy subject to change
without shareholder approval, neither the Capital Growth Series nor the
Westpeak Stock Index Series will pledge more than 2% of its assets.
Back Bay Advisors Managed Series
The Back Bay Advisors Managed Series will not:
(1) Make loans, except by purchase of bonds, debentures, commercial paper,
corporate notes and similar evidences of indebtedness, which are a part of an
issue to the public or to financial institutions, by entering into repurchase
agreements, or by lending portfolio securities to the extent set forth under
"Loans of Portfolio Securities" above.
(2) Purchase options or warrants if, as a result, more than 1% of its total
assets (taken at current value) would be invested in such securities;
provided, however, that the Back Bay Advisors Managed Series may, without
regard to the
foregoing percentage limit, purchase warrants or other rights to subscribe to
securities of companies issuing such warrants or rights, or of parents or
subsidiaries of such companies, provided that such warrants or other rights to
subscribe are attached to, or a part of a unit offering involving, other
securities.
In order to comply with certain state requirements applicable to
restriction (13) above, as a matter of operating policy subject to change
without shareholder approval, the Back Bay Advisors Managed Series will not
pledge more than 2% of its assets.
Investment Restrictions Applicable to the Westpeak Value Growth, Loomis
Sayles Avanti Growth, Loomis Sayles Small Cap, Loomis Sayles Balanced,
Draycott
International Equity, Salomon Brothers U.S. Government, Salomon Brothers
Strategic Bond Opportunities, Venture Value, Alger Equity Growth
and Short-Term Series
Each of the Series listed above will not:
*(1) With respect to 75% of the Series' total assets, purchase any security
(other than U.S. Government obligations) if, as a result, more than 5% of the
Series' total assets (taken at current value) would then be invested in
securities of a single issuer and, with respect to the Series' total assets,
purchase any security (other than U.S. Government obligations) if, as a
result, more than 10% of such assets would then be invested in securities
of a single issuer;
(2) Purchase any security (other than U.S. Government Securities) if, as a
result, more than 25% of the Series' total assets (taken at current value)
would be invested in any one industry (in the utilities category, gas,
electric, water and telephone companies will be considered as being in
separate
industries, and each foreign country's government (together with subdivisions
thereof) will be considered to be a separate industry);
B-38
<PAGE>
*(3) Purchase securities on margin (but it may obtain such short-term
credits as may be necessary for the clearance of purchases and sales of
securities), or
make short sales except where, by virtue of ownership of other securities, it
has the right to obtain, without payment of further consideration, securities
equivalent in kind and amount to those sold, and the Series will not deposit
or
pledge more than 10% of its total assets (taken at current value) as
collateral
for such sales. (For this purpose, the deposit or payment by the Series of
initial or variation margin in connection with futures contracts or related
options transactions is not considered the purchase of a security on margin);
*(4) Acquire more than 10% of any class of securities of an issuer (taking
all preferred stock issues of an issuer as a single class and all debt issues
of an issuer as a single class) or acquire more than 10% of the outstanding
voting securities of an issuer;
(5) Borrow money in excess of 10% of its total assets (taken at cost) or 5%
of its total assets (taken at current value), whichever is lower, and then
only as a temporary measure for extraordinary or emergency purposes;
*(6) Pledge more than 15% of its total assets (taken at cost). (For the
purpose of this restriction, collateral arrangements with respect to options,
futures contracts and options on futures contracts and with respect to
initial and variation margin are not deemed to be a pledge of assets);
*(7) Invest more than 5% of its total assets (taken at current value) in
securities of businesses (including predecessors) less than three years old;
*(8) Purchase or retain securities of any issuer if officers and trustees
of the Fund or officers and directors of any investment adviser of the Fund
who individually own more than 1/2 of 1% of the shares or securities of that
issuer, together own more than 5%;
(9) Make loans, except by entering into repurchase agreements (including
reverse repurchase agreements) or by purchase of bonds, debentures,
commercial paper, corporate notes and similar evidences of indebtedness,
which are a part of an issue to the public or to financial institutions,
or through the lending
of the Series' portfolio securities to the extent set forth under "Loans of
Portfolio Securities" above;
(10) Buy or sell oil, gas or other mineral leases, rights or royalty
contracts, real estate or commodities or commodity contracts, except that the
Series may buy and sell futures contracts and related options. (This
restriction does not prevent the Series from purchasing securities of
companies investing in the foregoing);
(11) Act as underwriter, except to the extent that, in connection with the
disposition of portfolio securities, it may be deemed to be an underwriter
under certain federal securities laws;
*(12) Make investments for the purpose of exercising control or management;
*(13) Participate on a joint or joint and several basis in any trading
account in securities. (The "bunching" of orders for the purchase or sale of
portfolio securities for a Series with that Series' adviser or subadviser or
accounts under their management to reduce brokerage commissions, to average
prices among them or to facilitate such transactions is not considered a
trading account in securities for purposes of this restriction.);
*(14) Write, purchase or sell options or warrants or, in the case of the
Loomis Sayles Small Cap Series, combinations of both, except that the Series
may (a) acquire warrants or rights to subscribe to securities of companies
issuing such warrants or rights, or of parents or subsidiaries of such
companies, (b) write, purchase and sell put and call options on securities or
securities indices, and (c) enter into currency forward contracts;
*(15) Purchase any illiquid security if, as a result, more than 15% of its
net assets (taken at current value) would be invested in such securities;
*(16) Invest in the securities of other investment companies, except by
purchases in the open market involving only customary brokers' commissions.
Under the 1940 Act, the Series may not (a) invest more than 10% of its total
assets (taken at current value) in such securities, (b) own securities of any
one investment company having a value in excess of 5% of the total assets of
the Series (taken at current value), or (c) own more than 3% of the
outstanding voting stock of any one investment company; or
B-39
<PAGE>
(17) Issue senior securities. (For the purpose of this restriction none of
the following is deemed to be a senior security: any pledge or other
encumbrance of assets permitted by restriction (6) above; any borrowing
'permitted by restriction (5) above; any collateral arrangements with respect
to options, futures contracts and options on futures contracts and with
respect
to initial and variation margin; the purchase or sale of options, forward
contracts, futures contracts or options on futures contracts; and the
issuance of shares of beneficial interest permitted from time to time by the
provisions of the Trust's Declaration of Trust and by the 1940 Act, the rules
thereunder, or any exemption therefrom.)
For purposes of restriction (5), reverse repurchase agreements are not
considered borrowings.
Variable Contract Related Investment Restrictions
Separate accounts supporting variable life insurance and variable annuity
contracts are subject to certain diversification requirements imposed by
regulations adopted under the Internal Revenue Code. Because the Fund is
intended as an investment vehicle for variable life insurance and variable
annuity separate accounts, Section 817(h) of the Internal Revenue Code
requires
that the Fund's investments, and accordingly the investments of each Series,
be
"adequately diversified" in accordance with Treasury Regulations. Failure to
do
so means the variable life insurance and variable annuity contracts would
cease
to qualify as life insurance and annuities for federal tax purposes.
Regulations specifying the diversification requirements have been issued by
the
Department of Treasury. The Fund intends to comply with these requirements.
MANAGEMENT
The Fund's Board of Trustees supervises the affairs of the Fund as
conducted by the Series' advisers. Pursuant to separate advisory agreements,
and subject in each case to the supervision of the Fund's Board of Trustees,
TNE Advisers, Inc. is the investment adviser of each of the Series except the
Capital Growth Series, for which CGM serves as adviser.
Series Advised by TNE Advisers, Inc.
The subadviser of each Series for which TNE Advisers, Inc. serves as
adviser is:
<TABLE>
<CAPTION>
Series Subadviser
- ---------------------------------------------------- -------------------------------------
<S> <C>
Back Bay Advisors Money Market Series Back Bay Advisors
Back Bay Advisors Bond Income Series Back Bay Advisors
Westpeak Value Growth Series Westpeak
Loomis Sayles Avanti Growth Series Loomis Sayles
Westpeak Stock Index Series Westpeak
Back Bay Advisors Managed Series Back Bay Advisors
Loomis Sayles Small Cap Series Loomis Sayles
Loomis Sayles Balanced Series Loomis Sayles
Draycott International Equity Series Draycott
Salomon Brothers Strategic Bond Opportunities Series Salomon Brothers Asset Management Inc
Salomon Brothers U.S. Government Series Salomon Brothers Asset Management Inc
Venture Value Series Selected/Venture Advisers, L.P.
Alger Equity Growth Series Fred Alger Management, Inc.
</TABLE>
TNE Advisers, Inc., 501 Boylston Street, Boston, MA 02116, was organized in
1994. It is a wholly-owned subsidiary of The New England. TNE Advisers, Inc.
manages the investment and reinvestment of the accounts of the Short-Term
Series;
oversees, evaluates and monitors the subadvisers' provision of investment
advisory services to the Series and provides general business management and
administration to all of the listed above Series.
TNE Advisers, Inc. has contracted with New England Funds, L.P. to provide
certain administrative services to support all of the foregoing
Series.
The portfolio managers of the Short-Term Series are Gerald H. Scriver,
Senior Vice President of TNE Advisers, Inc., and Philip J. Cooper,
CFA, Vice President, of TNE Advisers, Inc. They have served as portfolio
managers of the Series since March 29, 1995. For more information
about Messrs. Scriver and Cooper, see the paragraph about Westpeak
on the next page.
B-40
<PAGE>
Subject to the supervision of TNE Advisers, Inc., each subadviser manages
its Series in accordance with the Series' investment objective and policies,
makes
investment decisions for that Series, places orders to purchase and sell
securities for that Series and employs professional advisers and securities
analysts who provide research services to that Series. The Series advised by
TNE Advisers, Inc. pay no direct fees to any of the subadvisers described
below.
Back Bay Advisors, Westpeak, Loomis Sayles and Draycott are each
independently-operated subsidiaries, and CGM is an independently-operated
affiliate, of New England Investment Companies, L.P. ("NEIC"). The general
partners of each of Back Bay Advisors, Westpeak and Loomis Sayles are special
purpose corporations which are indirect wholly-owned subsidiaries of NEIC.
NEIC's sole general partner, New England Investment Companies, Inc., is a
wholly-owned subsidiary of The New England.
Back Bay Advisors, 399 Boylston Street, Boston, Massachusetts 02116,
subadviser to the Back Bay Advisors Money Market, Back Bay Advisors Bond
Income
and Back Bay Advisors Managed Series, provides discretionary investment
management services to mutual funds and other institutional investors. The
New England itself served as adviser to the Back Bay Advisors Money Market
Series and the Back Bay Advisors Bond Income Series until September 10,
1986, when it
transferred these advisory functions to Back Bay Advisors, incident to a
reorganization effected in order to maintain The New England's investment
advisory activities in a separate corporate entity for administrative and
regulatory purposes. Catherine L. Bunting, Senior Vice President of Back Bay
Advisors and Vice President of the Fund, has served as the Back Bay Advisors
Bond Income Series' portfolio manager since January 1989. Peter Palfrey, Vice
President of Back Bay Advisors and Vice President of the Fund, has served as
the Back Bay Advisors Managed Series' portfolio manager since January 1994.
Ms.
Bunting has been employed by Back Bay Advisors for more than five years. Mr.
Palfrey, prior to joining Back Bay Advisors in 1993, was Investment Vice
President with Mutual of New York.
Westpeak, 1050 Walnut Street, Boulder, CO 80302, subadviser to the Westpeak
Value Growth and Westpeak Stock Index Series, was organized in 1991. Gerald
H. Scriver, President and Chief Executive Officer of Westpeak and Senior Vice
President of the Fund, and Philip J. Cooper, CFA, Senior Vice President of
portfolio management of Westpeak and Vice President of the Fund, have served
as the portfolio managers of the Westpeak Value Growth Series since its
inception in 1993 and as the portfolio managers of the Westpeak Stock Index
Series since
August 1, 1993. Both Mr. Scriver and Mr. Cooper have been with Westpeak since
its inception in 1991. Prior to joining Westpeak in 1991, Mr. Scriver was
Director of Quantitative Strategies of INVESCO and Mr. Cooper was Portfolio
Manager of United Asset Management Services.
Loomis Sayles, One Financial Center, Boston, MA 02111, subadviser to the
Loomis Sayles Avanti Growth, Loomis Sayles Small Cap and Loomis Sayles
Balanced
Series, was founded in 1926 and is one of the country's oldest and largest
investment firms. Richard W. Hurckes, Vice President of Loomis Sayles and
Vice President of the Fund, and Scott Pape, Vice President of Loomis Sayles
and Vice
President of the Fund, have served as the portfolio managers of the Loomis
Sayles Avanti Growth Series since its inception in 1993. Mr. Hurckes has been
employed by Loomis Sayles for more than five years. Prior to the time he
joined
Loomis Sayles in 1991, Mr. Pape was Equity Portfolio Manager of the Illinois
State Board of Investment.
Barbara C. Friedman and Jeffrey C. Petherick, who are Vice Presidents of
Loomis Sayles and the Fund, have served as portfolio managers of the Loomis
Sayles Small Cap Series since its inception in May, 1994. Ms. Friedman was a
partner and portfolio manager at Harvard Management Company prior to joining
Loomis Sayles in 1990. Mr. Petherick was an analyst at Masco Corporation
prior to joining Loomis Sayles in 1990.
Douglas D. Ramos and Meri Anne Beck, who are Vice Presidents of the Fund
and Loomis Sayles, serve as portfolio managers for the Loomis Sayles Balanced
Series. Both Mr. Ramos and Ms. Beck have been employed by Loomis Sayles for
more than five years.
Draycott Partners, Ltd. ("Draycott"), 8 City Road, London EC2Y 1HE, England
subadvises the Draycott International Equity Series. Draycott was organized
in 1991 to provide investment advice and management services to institutional
investors' accounts and to mutual funds distributed both to institutional and
retail customers. Draycott regulated by the Investment Management Regulatory
Organisation Limited ("IMRO") in the conduct of Investment Business. IMRO is
the United Kingdom regulator of investment advisers. In addition to the
Series,
Draycott currently manages two other mutual funds and three separate
investment
accounts of The New England that invest substantially all of their assets in
international
B-41
<PAGE>
equity securities. Nicholas D.P. Carn, Chief Investment Officer, President
and Chief Executive Officer of Draycott, Timothy S. Griffen, Senior Portfolio
Manager and Pacific Rim Specialist of Draycott, Gregory D. Eckersley,
Portfolio Manager and United Kingdom Specialist of Draycott, and
Nigel Hankin, Portfolio
Manager and European Specialist of Draycott, serves as the portfolio managers
of the Draycott International Equity Series. Prior to Draycott's organization
in 1991, Mr. Carn was Managing Director, International Equities Group, Mr.
Griffen was a Vice President and Portfolio Manager and Mr. Hankin was
European
Fund Manager, all at CIGNA International Investment Advisors, Ltd. and Mr.
Eckersley was an Investment Manager at Century Asset Management, London.
Short-term U.S. cash management services for the Draycott International
Equity Series are provided by Back Bay Advisors as subadviser to Draycott.
For these services, Draycott has agreed to compensate Back Bay Advisors at
the annual rate of 0.08% of the value of the Series' average daily net
assets.
Salomon Brothers Asset Management Inc ("SBAM"), 7 World Trade Center, New
York, New York 10048, the subadviser to the Salomon Brothers U.S. Government
Series and the Salomon Brothers Strategic Bond Opportunities Series, is an
indirect, wholly-owned subsidiary of Salomon Inc ("SI") and was incorporated
in 1987.
In connection with SBAM's service as subadviser to the Strategic Bond
Opportunities Series, SBAM's London based affiliate, Salomon Brothers Asset
Management Limited ("SBAM Limited"), Victoria Plaza, 111 Buckingham Palace
Road, London SW1W, OSB, England, serves as subadviser to SBAM relating to
currency transactions and investments in non-dollar denominated debt
securities
for the benefit of the Salomon Brothers Strategic Bond Opportunities Series.
For these services, SBAM has agreed to compensate SBAM Limited at the rate of
one-third of the compensation payable to SBAM by TNE Advisers, Inc. SBAM
Limited is an indirect, wholly-owned subsidiary of S.I. SBAM Limited is a
member of IMRO and is registered as an investment adviser in the United
States pursuant to the Investment Advisers Act of 1940.
Steven Guterman is primarily responsible for the day-to-day management of
the Salomon Brothers U.S. Government Series and the mortgage-backed
securities and
U.S. Government securities portions of the Salomon Brothers Strategic Bond
Opportunities Series. Mr. Guterman co-manages the Salomon Brothers U.S.
Government Series with Roger Lavan. Peter J. Wilby is primarily responsible
for the day-to-day management of the High Yield and Emerging Market Debt
Securities
portions of the Salomon Brothers Strategic Bond Opportunities Series. Beth
Semmel assists Mr. Wilby in the day-to-day management of the Strategic Bond
Opportunities Series. David Scott is primarily responsible for the portion of
the Salomon Brothers Strategic Bond Opportunities Series relating to
currency transactions and investments in non-dollar denominated debt
securities.
Mr. Guterman joined SBAM in 1990 and Salomon Brothers Inc in 1983. He
initially worked in the mortgage research group where he became a Research
Director and later traded derivative mortgage-backed securities for Salomon
Brothers Inc. Mr. Lavan joined SBAM in 1990. Prior to joining SBAM, Mr. Lavan
spent four years analyzing portfolios for Salomon Brothers Inc.'s Fixed
Income Sales Group and Product Support Divisions. Mr. Wilby, who joined SBAM
in 1989,
was previously employed by Prudential Capital Management Group ("Prudential")
where he served as director of Prudential's credit research unit and as a
corporate and sovereign credit analyst with Prudential. Mr. Wilby later
managed
high yield bonds and leveraged equities in the mutual funds and institutional
portfolios at Prudential. Ms. Semmel joined SBAM in May of 1993. Prior to
joining SBAM, Ms. Semmel spent four years as a high yield bond analyst at
Morgan Stanley Asset Management. Mr. Scott has been with SBAM since April,
1994. Previously, he was a portfolio manager for J.P. Morgan Investment
Management in London from 1990-94 where he was responsible for global and
non-dollar portfolios. Before joining J.P. Morgan, Mr. Scott was employed by
Mercury Asset Management where he had responsibility for captive insurance
portfolios and products.
Selected/Venture Advisers, L.P. ("Selected/Venture"), 124 East Marcy
Street, Santa Fe, New Mexico 87501, subadvises the Venture Value Series.
Venture Advisers, Inc. is the sole general partner of Selected/Venture,
which, in turn, is controlled by Shelby M. C. Davis (as of May 1, 1994).
Selected/Venture provides advisory services to other investment companies
and institutions. Since 1968, Mr. Davis has been a director of Venture
Advisers, Inc. He is also a director and officer of all investment companies
managed by Selected/Venture.
Fred Alger Management, Inc. ("Alger Management"), 75 Maiden Lane, New York,
New York 10038, subadvises the Alger Equity Growth Series. Alger Management
is a wholly-owned subsidiary of Fred Alger & Company, Incorporated
B-42
<PAGE>
which in turn is a wholly-owned subsidiary of Alger Associates, Inc., a
financial services holding company. Fred M. Alger III and his brother, David
D. Alger, are the majority shareholders of Alger Associates, Inc. and may be
deemed to control that company and its subsidiaries. David D. Alger,
President of Alger Management, is primarily responsible for the day-to-day
management of
the Alger Equity Growth Series. He has been employed by Alger Management as
Executive Vice President and Director of Research since 1971, as President
since 1995 and he serves as portfolio manager for other mutual funds and
investment accounts managed by Alger Management.
Fees and Expenses. TNE Advisers, Inc. is paid a management fee from the
Series it manages as follows:
<TABLE>
<CAPTION>
Management fee paid by Series to
TNE Advisers, Inc.
Series (% of average net assets)
- ----------------------------------------------- --------------------------------------
<S> <C>
Back Bay Advisors Money Market Series.......... .35% the first $500 million
.30% the next $500 million
.25% amounts in excess of $1 billion
Back Bay Advisors Bond Income Series........... .40% the first $400 million
.35% the next $300 million
.30% the next $300 million
.25% amounts in excess of $1 billion
Westpeak Value Growth Series................... .70% the first $200 million
.65% the next $300 million
.60% amounts in excess of $500 million
Loomis Sayles Avanti Growth Series............. .70% the first $200 million
.65% the next $300 million
.60% amounts in excess of $500 million
Westpeak Stock Index Series.................... .25% all assets
Back Bay Advisors Managed Series............... .50% all assets
Loomis Sayles Small Cap Series................. 1.00% all assets
Loomis Sayles Balanced Series...... ........... .70% all assets
Draycott International Equity Series............ .90% all assets
Salomon Brothers U.S. Government Series......... .55% all assets
Salomon Brothers Strategic Bond Opportunities Series .65% all assets
Venture Value Series............................ .75% all assets
Alger Equity Growth Series...................... .70% all assets
Short-Term Series ............................. .40% all assets
</TABLE>
TNE Advisers, Inc. pays each subadviser at the following rates for
providing advisory services to the Series: for the Back Bay Advisors Money
Market Series, TNE Advisers, Inc. pays Back Bay Advisors at the annual rate
of 0.15% of the first $100 million of average net assets and 0.10% of such
assets in excess of $100 million; for the Back Bay Advisors Bond Income
Series, TNE Advisers, Inc. pays Back Bay Advisors at the annual rate of
0.25% of the first $50 million of average net assets, 0.20% of the next $200
million of such assets and 0.15% of
such assets in excess of $250 million; for the Westpeak Value Growth Series,
TNE Advisers, Inc. pays Westpeak at the annual rate of 0.50% of the first $25
million of average net assets, 0.40% of the next $75 million of such assets,
0.35% of the next $100 million of such assets and 0.30% of such assets in
excess of $200 million; for the Loomis Sayles Avanti Growth Series, TNE
Advisers, Inc. pays Loomis Sayles at the annual rate of 0.50% of the first
$25 million of average net assets, 0.40% of the next $75 million of such
assets, 0.35% of the next $100 million of such assets and 0.30% of such
assets in excess of $200 million; for the Westpeak Stock Index Series,
TNE Advisers, Inc.
pays Westpeak at the annual rate of 0.10% of average net assets; for the Back
Bay Advisors Managed Series, TNE Advisers, Inc. pays Back Bay Advisors at the
annual rate of 0.25% of the first $50 million of average net assets and 0.20%
of such assets in excess of $50 million; for the Loomis Sayles Small Cap
Series, TNE Advisers, Inc. pays Loomis Sayles at the annual rate of 0.55% of
the first $25 million of average net assets, 0.50% of the next $75 million of
such assets, 0.45% of the next $100 million of such assets and 0.40% of such
assets in excess of $200 million; for the Loomis Sayles Balanced Series, TNE
Advisers, Inc. pays Loomis Sayles at the annual rate of 0.50% of the first
$25million of average net assets, 0.40% of the next $75 million of such
assets and 0.30% of such assets in excess of $100 million; for the Draycott
International Equity Series, TNE Advisers, Inc. pays Draycott at the annual
rate of 0.75% of the first $10 million of average net assets, 0.60% of the
next $40 million of such assets and 0.45% of such assets in
B-43
<PAGE>
excess of $50 million; for the Salomon Brothers U.S. Government Series, TNE
Advisers, Inc. pays SBAM at the annual rate of 0.225% of the first $200
million of average net assets, 0.15% of the next $300 million of such assets
and 0.10%
of such assets in excess of $500 million; for the Salomon Brothers Strategic
Bond Opportunities Series, TNE Advisers, Inc. pays SBAM at the annual rate of
0.35% of the first $50 million of average net assets, 0.30% of the next $150
million of such assets, 0.25% of the next $300 million of such assets and
0.20%
of such assets in excess of $500 million; for the Venture Value Series, TNE
Advisers, Inc. pays Selected/Venture at the annual rate of 0.45% of the first
$100 million of average net assets, 0.40% on the next $400 million of average
net assets and 0.35% of such assets in excess of $500 million; for the Alger
Equity Growth Series, TNE Advisers, Inc. pays Alger Management at the annual
rate of 0.45% of the first $10 million of average net assets, 0.40% of the
next
$90 million of such assets, 0.35% of the next $150 million of such assets,
0.30% of the next $250 million of such assets and 0.25% of such assets in
excess of $500 million.
Adviser of the Capital Growth Series
CGM, One International Place, Boston, MA 02110, adviser to the Capital
Growth
Series, is an investment advisory firm organized in 1989 which manages seven
mutual fund portfolios and advisory accounts for other clients. The sole
general partner of CGM is a corporation owned in equal shares by Robert L.
Kemp
and G. Kenneth Heebner, who are officers of the Fund. Mr. Heebner, Senior
Portfolio Manager of CGM and Senior Vice President of the Fund, has served as
portfolio manager of the Capital Growth Series since August of 1983. Until
1990, Mr. Heebner was an officer and employee of Loomis Sayles, which served
as adviser to the Capital Growth Series through February of that year.
The Capital Growth Series pays its adviser, CGM, a management fee at an
annual rate of 0.70% of the first $200 million of average net assets, 0.65%
of the next $300 million of such assets and 0.60% of such assets in excess of
$500 million. For advisory services rendered during the fiscal year ended
December 31, 1994, CGM was paid 0.65% of the Capital Growth Series' average
net assets.
Voluntary Expense Agreement
Pursuant to a voluntary expense agreement relating to the Back Bay Advisors
Money Market, Back Bay Advisors Bond Income, Back Bay Advisors Managed,
Westpeak Stock Index, Loomis Sayles Avanti Growth and Westpeak Value Growth
Series, TNE Advisers, Inc. bears the expenses (other than the advisory fees
and
any brokerage costs, interest, taxes or extraordinary expenses) of the Series
in excess of 0.15% of the respective Series' average daily net assets. In the
case of the Loomis Sayles Small Cap Series, TNE Advisers Inc. bears all the
expenses (other than any brokerage costs, interest, taxes or extraordinary
expenses) of the Series in excess of 1.00% of the Series' average daily net
assets. Similar voluntary expense agreements with The New England have been
in
effect with respect to the Capital Growth Series since November 1, 1994 and
were in effect with respect to the Back Bay Advisors Money Market, Back Bay
Advisors Bond Income, Back Advisors Managed and Westpeak Stock Index Series
from November 1, 1994 through April 30, 1995 and with respect to the Loomis
Sayles Small Cap, Loomis Sayles Avanti Growth and Westpeak Value Growth
Series
from December 1, 1994 through April 30, 1995. As a result of the current
voluntary expense agreements (and assuming the Series incur the same level of
advisory fees as in 1994 and no taxes, interest or extraordinary expenses),
the Series' expense ratios during the continuation of the voluntary expense
agreement are expected to be:
Total Expense Ratio
Under Current Voluntary
Series Expense Agreement
- --------------------------------------- -----------------------
Capital Growth Series.................. 0.70%
Back Bay Advisors Money Market Series.. 0.50%
Back Bay Advisors Bond Income Series... 0.54%
Back Bay Advisors Managed Series....... 0.64%
Westpeak Value Growth Series........... 0.85%
Westpeak Stock Index Series............ 0.40%
Loomis Sayles Small Cap Series......... 1.00%
Loomis Sayles Avanti Growth Series..... 0.85%
B-44
<PAGE>
TNE Advisers Inc. may terminate these expense agreements at any time. If
these expense agreements were terminated, the expense ratios would be higher.
Prior to November 1, 1994, The New England had agreed to pay the charges
and
expenses of preparing, printing and distributing prospectuses and reports to
shareholders, custodial and transfer agent charges and expenses, auditing,
accounting and legal fees and certain other expenses in connection with the
affairs of the Fund and the expenses of shareholders' and trustees' meetings.
Expense Deferral Arrangement
Pursuant to an expense deferral arrangement in effect beginning November 1,
1994 (April 1, 1995, in the case of the Short-Term Series),
relating to the Loomis Sayles Balanced Series, the Draycott International
Equity Series, the Salomon Brothers U.S. Government Series, the Salomon
Brothers Strategic Bond Opportunities Series, the Venture Value Series, the
Alger Equity Growth Series and the Short-Term Series,
which TNE Advisers, Inc. may terminate at any time,
TNE Advisers, Inc. has agreed to pay the expenses of the Series' operations
(exclusive of any brokerage costs, interest, taxes, or extraordinary
expenses) in excess of stated expense limits, which limits vary from Series
to Series, subject to the obligation of the Series to repay TNE Advisers,
Inc. such expenses in future years, if any, when a Series' expenses fall
below the stated
expense limit that pertains to that Series; such deferred expenses may be
charged to a Series in a subsequent year to the extent that the charge does
not
cause the total expenses in such subsequent year to exceed the Series' stated
expense limit; provided, however, that no Series is obligated to repay any
expense paid by TNE Advisers, Inc. more than two years after the end of the
fiscal year in which such expense was incurred. For the Loomis Sayles
Balanced Series, TNE Advisers, Inc. has agreed to defer such expenses in
excess of 0.85%
of net assets until a subsequent year, if any, when total expenses are less
than 0.85% of net assets; for the Draycott International Equity Series, TNE
Advisers, Inc. has agreed to defer such expenses in excess of 1.30% of net
assets until a subsequent year, if any, when total expenses are less than
1.30%
of net assets; for the Salomon Brothers U.S. Government Series, TNE Advisers,
Inc. has agreed to defer such expenses in excess of 0.70% of net assets until
a subsequent year, if any, when total expenses are less than 0.70% of net
assets; for the Salomon Brothers Strategic Bond Opportunities Series,
TNE Advisers, Inc. has agreed to defer such expenses in excess of 0.85% of
net assets until a
subsequent year, if any, when total expenses are less than 0.85% of net
assets;
for the Venture Value Series, TNE Advisers, Inc. has agreed to defer such
expenses in excess of 0.90% of net assets until a subsequent year, if any,
when
total expenses are less than 0.90% of net assets; for the Alger Equity Growth
Series, TNE Advisers, Inc. has agreed to defer such expenses in excess of
0.85%
of net assets until a subsequent year, if any, when total expenses are less
than 0.85% of net assets; for the Short-Term Series, TNE Advisers, Inc. has
agreed to defer such expenses in excess of 0.55% of net assets until a
sugsequent year, if any, when total expenses are less than 0.55% of net
assets.
These expense limits can be prospectively
discontinued by TNE Advisers, Inc. but any expenses that were deferred while
a Series' expense limit was in place can never be charged to that Series
unless that Series' expenses fall below the limit.
Additional Information About Expenses
The Series pay all expenses not borne by TNE Advisers, Inc., the
subadvisers, CGM or the Distributor, including, but not limited to, the
charges and expenses
of the respective Series' custodian, independent auditors and legal counsel,
all brokerage commissions and transfer taxes in connection with portfolio
transactions, all taxes and filing fees, the fees and expenses for
registration
or qualification of its shares under federal or state securities laws, all
expenses of shareholders' and trustees' meetings and preparing, printing and
mailing prospectuses and reports to shareholders and the compensation of
trustees of the Fund who are not directors, officers or employees of The New
England or its affiliates, other than affiliated registered investment
companies.
The Fund incurred total expenses during the one-year period ended December
31, 1994 as follows: 0.44% of the Back Bay Advisors Bond Income Series'
average
net assets, 0.33% of the Westpeak Stock Index Series' average net assets,
0.54%
of the Back Bay Advisors Managed Series' average net assets, 0.67% of the
Capital Growth Series' average net assets, 0.40% of the Back Bay Advisors
Money
Market Series' average net assets, 0.84% of the Loomis Sayles Avanti Growth
Series' average net assets and 0.85% of the Westpeak Value Growth Series
average net assets. The Fund incurred total expenses for the period May 1,
1994
to December 31, 1994 for the Loomis Sayles Small Cap Series of 1.00% of the
Series' average net assets. The Fund incurred total expenses for the period
October 31, 1994 to December 31, 1994 as follows: on an annualized basis,
these
expenses equaled 0.85% of the Loomis Sayles Balanced Series' average net
assets, 1.30% of the Draycott International Equity Series' average net
assets, 0.70% of the Salomon Brothers U.S. Government Series' average net
assets, 0.85%
of the Salomon Brothers Strategic Bond Opportunities Series' average net
assets, 0.90%
B-45
<PAGE>
of the Venture Value Series' average net assets, 0.85% of the Alger Equity
Growth Series' average net assets during such period, 1.05% of the Short-Term
Series' average net assets during such period. If the voluntary expense
agreement and expense deferral arrangement described above had not been in
effect, the Series' expenses for the periods referenced above (annualized in
the case of the Loomis Sayles Balanced, Draycott International Equity,
Salomon Brothers U.S. Government, Salomon Brothers Strategic Bond
Opportunities, Venture Value, Alger Equity Growth and Short-Term
Series) would have been: 0.44% of the
Back Bay Advisors Bond Income Series' average net assets, 0.33% of the
Westpeak Stock Index Series' average net assets, 0.54% of the Back Bay
Advisors Managed Series average net assets, 0.67% of the Capital Growth
Series' average net assets, 0.40% of the Back Bay Advisors Money Market
Series' average net assets,
0.84% of the Loomis Sayles Avanti Growth Series' average net assets, 0.86% of
the Westpeak Value Growth Series' average net assets, 2.31% of the Loomis
Sayles Small Cap Series' average net assets, 3.73% of the Loomis Sayles
Balanced Series' average net assets, 5.38% of the Draycott International
Equity
Series' average net assets, 2.54% of the Salomon Brothers U.S. Government
Series' average net assets, 2.01% of the Salomon Brothers Strategic Bond
Opportunities Series' average net assets, 3.97% of the Venture Value Series'
average net assets and 2.74% of the Alger Equity Growth Series' average net
assets and 8.43% of the Short-Term Series' average net assets.
These expense figures do not include portfolio brokerage commissions,
which are not deducted from the Series' assets in the same manner as other
charges and expenses; rather, brokerage commissions are part of the purchase
price paid for portfolio securities and reduce the proceeds received on the
sale of portfolio securities. For the one-year period ended December 31,
1994, the Capital Growth Series paid a total of $2,659,378 in brokerage
commissions,
the Westpeak Stock Index Series paid a total of $10,918 in brokerage
commissions; the Back Bay Advisors Managed Series paid a total of $21,159 in
brokerage commissions on its common stock portfolio transactions, the Loomis
Sayles Avanti Growth Series paid a total of $67,095 in brokerage commissions,
the Westpeak Value Growth Series paid a total of $54,751 in brokerage
commissions; for the period May 1, 1994 to December 31, 1994, the Loomis
Sayles
Small Cap Series paid $7,395 in brokerage commissions and, for the period
October 31, 1994 to December 31, 1994, the Loomis Sayles Balanced Series paid
$2,515 in brokerage commissions, the Draycott International Equity Series
paid $4,714 in brokerage commissions, the Venture Value Series paid $6,084 in
brokerage commissions and the Alger Equity Growth Series paid $2,452 in
brokerage commissions and the Short-Term Series paid $5,228 in brokerage
commissions. These brokerage commissions equaled 0.38% of the Capital
Growth Series' average net assets, 0.03% of the Westpeak Stock Index Series'
average net assets 0.02% of the Back Bay Advisors Managed Series' average net
assets, 0.34% of the Loomis Sayles Avanti Growth Series' average net assets,
0.32% of the Westpeak Value Growth Series' average net assets, 0.35% of the
Loomis Sayles Small Cap Series' average net assets, 0.14% of the Loomis
Sayles Balanced Series' average net assets, 0.26% of the Draycott
International Equity
Series' average net assets, 0.31% of the Venture Value Series' average net
assets, 0.13% of the Alger Equity Growth Series' average net assets and
0.39% of the Short-Term Series' average net assets.
Portfolio transactions of the Back Bay Advisors Money Market Series, Back Bay
Advisors Bond Income Series, Salomon Brothers U.S. Government Series and
Salomon Brothers Strategic Bond Opportunities Series and portfolio
transactions
of the Back Bay Advisors Managed and the Loomis Sayles Balanced Series in
bonds, notes and money market instruments are generally on a net basis
without a stated commission.
Miscellaneous Arrangements
The Series' adviser has contracted with New England Funds, L.P. to provide
executive and other personnel for the administration of Fund affairs. Subject
to procedures adopted by the Fund's trustees, Fund brokerage transactions may
be executed by brokers that are affiliated with any adviser or subadviser.
Fund shares are offered through New England Securities, 399 Boylston
Street, Boston, Massachusetts 02116, the principal underwriter for the Fund.
New England Securities is a wholly-owned subsidiary of The New England.
SALE AND REDEMPTION OF SHARES
Shares of each Series are purchased or redeemed depending, among other
things, on the amount of premium payments invested and the surrender and
transfer requests effected on any given day pursuant to the variable life
insurance and variable annuity contracts supported by the Fund. Such
transactions can be made only on those days during which the New York Stock
Exchange is open for trading. Purchases and redemptions of Fund shares are
effected at the net asset value per share determined as of the close of
regular
trading on the New York Stock Exchange on the day such purchase order or
redemption request is received.
B-46
<PAGE>
The Fund may suspend the right of redemption for any Series and may
postpone
payment for any period when the New York Stock Exchange is closed for other
than weekends or holidays, or, if permitted by the rules of the SEC, during
periods when trading on the New York Stock Exchange is restricted or during
an emergency which makes it impracticable for a Series to dispose of
securities or fairly to determine the value of its net assets, or during any
other period permitted by the SEC for the protection of investors.
NET ASSET VALUES AND PORTFOLIO VALUATION
Back Bay Advisors, CGM, Westpeak, Loomis Sayles, Draycott, SBAM,
Selected/Venture, and Alger Management, and, in the case of the Short-Term
Series only, TNE Advisers, Inc. under the direction of the Board of
Trustees, determine the value of each Series' securities under the direction
of
the Fund's Board of Trustees. The net asset value of each Series' shares is
determined as of the close of regular trading on the New York Stock Exchange
each day it is open. Each Series' total net assets are divided by the number
of
outstanding shares of that Series to determine the net asset value per share
for that Series.
The Back Bay Advisors Money Market Series' investment portfolio, and any
fixed-income securities with remaining maturities of 60 days or less held by
any other Series, are valued at amortized cost. Other portfolio securities of
each Series (other than the Back Bay Advisors Money Market Series) are valued
at market value where current market quotations are readily available and
otherwise are taken at fair value as determined in good faith by the Board of
Trustees, although the actual calculations may be made by persons acting
pursuant to the direction of the Board.
The Back Bay Advisors Money Market Series seeks to maintain a constant net
asset value per share of $100, although this cannot be assured. The net asset
value per share for the other Series will vary depending on the value of each
Series' investment portfolio.
DIVIDENDS AND CAPITAL GAIN DISTRIBUTIONS
Back Bay Advisors Money Market Series
The net investment income of the Back Bay Advisors Money Market Series is
declared daily and paid monthly as a dividend. Although the Back Bay Advisors
Money Market Series does not expect to realize any long-term capital gains,
if such gains are realized they will be distributed once a year.
Other Series
It is the policy of each Series other than the Back Bay Advisors Money
Market
Series to pay annually as dividends substantially all net investment income
and
to distribute annually all net realized capital gains, if any, after
offsetting
any capital loss carryovers. See "Taxes." Dividends from net investment
income may be paid more or less often if the Board of Trustees deems it
appropriate.
Federal income tax law requires each Series to distribute prior to calendar
year end virtually all of its ordinary income for such year and virtually all
of the capital gain net income realized by the Series in the one-year period
ending October 31 (or December 31, if the Series so elects) of such year and
not previously distributed.
Dividends and distributions of each Series are automatically reinvested in
shares of the respective Series.
TAXES
Each Series is treated as a separate taxable entity for federal income tax
purposes and intends to qualify as a regulated investment company under the
Internal Revenue Code of 1986, as amended. So long as a Series distributes
all
of its net investment income and net capital gains to its shareholders, the
Series itself does not pay any federal income tax. Dividends from net
investment income of each of the Series and distributions of each Series' net
short-term gains, if any, are ordinary income to its shareholders.
Distributions of any Series' net realized long-term capital gains, if any,
are long-term capital
B-47
<PAGE>
gains to its shareholders. Whether or not taxes must be paid by the
shareholders of a Series on distributions received from that Series will
depend
on the tax status of NEVLICO's or The New England's separate accounts and the
tax status of any other shareholders. For the purposes of the foregoing, each
Series' shareholders are the separate accounts investing directly in the Fund
and are not the owners of the variable life insurance or variable annuity
contracts for which the Fund serves as an investment vehicle. For a
description
of the tax consequences for such contract owners, see the relevant prospectus
applicable to such contracts.
ORGANIZATION AND CAPITALIZATION OF THE FUND
The Fund was originally organized in 1983 as a Massachusetts corporation
and was reorganized into a Massachusetts business trust on February 27, 1987.
The Fund is registered as a diversified, open-end management company under
the 1940 Act and is authorized to issue an unlimited number of shares of each
Series. Shareholders may address inquiries about the Fund to New England
Securities, 399 Boylston Street, Boston, Massachusetts 02116.
As of the date of this prospectus, all of the outstanding voting securities
of the Fund are owned by separate accounts of The New England and/or NEVLICO,
or, in the case of certain series, by those separate accounts and the general
account of The New England. Therefore, The New England and NEVLICO are
presumed
to be in control (as that term is defined in the 1940 Act) of the Fund.
However, the staff of the SEC is presently of the view that The New England
and
NEVLICO are each required to vote their Fund shares that are held in a
separate
account in the same proportion as the voting instructions received from the
variable life insurance or variable annuity contracts issued by the separate
account, and that The New England is required to vote any shares held in its
general account in the same proportion as all other Fund shares are voted.
The New England and NEVLICO currently intend to vote their shares in a manner
consistent with this view.
The Fund does not generally hold annual meetings of shareholders and will
hold shareholders meetings only when required by law. Shareholders may remove
trustees from office by votes cast at a shareholder meeting or by written
consent.
TRANSFER AGENT
The transfer agent and the dividend paying agent for the Fund is The New
England, 501 Boylston Street, Boston, Massachusetts 02116.
VOTING RIGHTS
NEVLICO and The New England will vote shares attributable to the variable
life insurance and variable annuity contracts investing in the Fund in
accordance with instructions received from the owners of those contracts in
the
manner set forth in the prospectus applicable to such contracts. Fund
shareholders are entitled to one vote for each full share held (with
fractional
votes for fractional shares held).
B-48
<PAGE>
APPENDIX A
RATINGS OF SECURITIES
Description of Moody's Investors Service, Inc. corporate bond ratings:
Aaa, Aa, A-Bonds which are rated AAA or Aa are judged to be of high quality
by all standards and are generally known as high grade bonds. Bonds rated Aa
are rated lower than Aaa securities because margins of protection may not be
as large as in the latter 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. Bonds which
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 which are rated Baa are considered medium grade obligations,
i.e., they are neither higher 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-Bonds which are rated Ba are judged to have speculative elements; their
future cannot be considered as well assured. Often the protection of interest
and principal payments may be very moderate and thereby not well safeguarded
during both good and bad times over the future. Uncertainty of position
characterizes bonds in this class.
B-Bonds which are rated B generally lack characteristics of the desirable
investment. Assurance of interest and principal payments or of maintenance of
other terms of the contract over any long period of time may be small.
Caa-Bonds which are rated Caa are of poor standing. Such issues may be in
default or there may be present elements of danger with respect to principal
or interest.
Ca-Bonds which are rated Ca represent obligations which are speculative in
high degree. Such issues are often in default or have other marked
shortcomings.
C-Bonds which are rated C are the lowest rated class of bonds and can be
regarded as having extremely poor prospects of ever attaining any real
investment standing.
Description of Standard & Poor's Corporation corporate bond ratings:
AAA, AA, A-Bonds rated AAA have the highest rating assigned by Standard &
Poor's to a debt obligation. Capacity to pay interest and repay principal is
extremely strong. Bonds rated AA have a very strong capacity to pay interest
and repay principal and differ from the highest rated issues only in small
degree. Bonds rated A have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse effects
of changes in circumstances and economic conditions than bonds in high rated
categories.
BBB-Bonds rated BBB are regarded as having an adequate capacity to pay
interest and repay principal. Whereas they normally exhibit adequate
protection
parameters, adverse economic conditions or changing circumstances are more
likely to lead to a weakened capacity to repay principal and pay interest for
bonds in this category than for bonds in higher rated categories.
BB-B-CCC-CC-Bonds rated BB, B, CCC and CC are regarded, on balance, as
predominantly speculative with respect to the issuer's capacity to pay
interest
and repay principal in accordance with the terms of the obligation. BB
indicates the lowest degree of speculation and CC the highest degree of
speculation. While such bonds will likely have some quality and protective
characteristics, these are outweighed by large uncertainties or major risk
exposures to adverse conditions.
CI-The rating CI is reserved for income bonds on which no income is being
paid.
D-Bonds rated D are in default, and payment of interest and/or repayment of
principal is in arrears.
B-49
1
CROSS REFERENCE SHEET
Items required by Form N-1A
Item No.
of Form N-1A Caption in Prospectus
1 . . . . . . . . . . . . . Cover Page
2 . . . . . . . . . . . . . Not Applicable
3 . . . . . . . . . . . . . Financial Highlights;
Performance Information
4 . . . . . . . . . . . . . The Fund; Investment Objectives and
Policies; Organization and
Capitalization of the Fund
5 . . . . . . . . . . . . . Management; Transfer Agent
6 . . . . . . . . . . . . . Organization and Capitalization of the
Fund; Dividends and Capital Gain
Distributions; Taxes; Investment
Objectives and Policies; Voting Rights
7 . . . . . . . . . . . . . The Fund; Sale and Redemption of Shares;
Net Asset Values and Portfolio
Valuation
8 . . . . . . . . . . . . . Sale and Redemption of Shares; Net
Asset Values and Portfolio Valuation
9 . . . . . . . . . . . . . Not Applicable
<PAGE>
Caption in Statement of
Additional Information
10 . . . . . . . . . . . . . Cover Page
11 . . . . . . . . . . . . . Table of Contents
12 . . . . . . . . . . . . . Not Applicable
13 . . . . . . . . . . . . . Investment Objectives and Policies;
Miscellaneous Investment Practices
14 . . . . . . . . . . . . . Trustees and Officers
15 . . . . . . . . . . . . . Description of the Fund; Organization
and Capitalization of the Fund
(in Prospectus)
16 . . . . . . . . . . . . . Advisory Agreements; Distribution
Agreement; Other Services;
17 . . . . . . . . . . . . . Portfolio Transactions and Brokerage
18 . . . . . . . . . . . . . Description of the Fund
19 . . . . . . . . . . . . . Determination of Net Asset Values
20 . . . . . . . . . . . . . Taxes (in Prospectus)
21 . . . . . . . . . . . . . Not Applicable
22 . . . . . . . . . . . . . Fund Performance
23 . . . . . . . . . . . . . Appendix C
NEW ENGLAND ZENITH FUND
STATEMENT OF ADDITIONAL INFORMATION
May 3, 1995
This Statement of Additional Information is not a prospectus. This
Statement of Additional Information relates to the Prospectus dated
May 3, 1995, and should be read in conjunction therewith. A copy of
the Prospectus may be obtained from New England Securities
Corporation, 399 Boylston Street, Boston, Massachusetts 02116.
<PAGE>
TABLE OF CONTENTS
Page
Investment Objectives and Policies 3
Miscellaneous Investment Practices 9
Determination of Net Asset Values 21
Fund Performance 23
Trustees and Officers 28
Advisory Arrangements 31
Distribution Agreement 39
Other Services 40
Portfolio Transactions and Brokerage 41
Description of the Fund 43
Appendix A-1 (Description of Bond Ratings) 46
Appendix A-2 (Description of Commercial Paper Ratings) 49
Appendix B 50
Appendix C
Financial Statements and report of independent accountants 52
<PAGE>
INVESTMENT OBJECTIVES AND POLICIES
The investment objectives and policies of each Series
(collectively and individually the "Series") of New England Zenith
Fund (the "Fund") are summarized on the front page of the Prospectus
and in the text of the Prospectus following the caption "Investment
Objectives and Policies." There can be no assurance that any of the
Series will achieve its objective. The investment policies of each
Series set forth in the Prospectus and in this Statement of Additional
Information may be changed without shareholder approval, except for
any policy as to which the Prospectus or this Statement of Additional
Information explicitly indicates that such approval is required, and
except for the investment objectives of the Money Market, Bond Income,
Capital Growth, Value Growth, Avanti Growth, Stock Index, Managed and
Small Cap Series, which have fundamental investment objectives.
The terms "shareholder approval" and "approval of a majority of
the outstanding voting securities," as used in the Prospectus and this
Statement of Additional Information, mean, with respect to a Series,
approval by the lesser of (i) 67% of the shares of the Series
represented at a meeting at which more than 50% of the outstanding
shares of such Series are represented or (ii) more than 50% of the
outstanding shares of such Series.
Back Bay Advisors Money Market Series
The text of the Prospectus following the caption "Investment
Objectives and Policies -- Back Bay Advisors Money Market Series"
gives a description of the money market instruments in which the Back
Bay Advisors Money Market Series may invest. For a fuller description
of those money market instruments and some of the risks relating
thereto, see "Money Market Instruments," below. The Back Bay Advisors
Money Market Series will invest only in securities which the Series'
subadvisers, Back Bay Advisors, L.P. ("Back Bay Advisors"), acting
pursuant to guidelines established by the Fund's Board of Trustees has
determined are of high quality and present minimal credit risk.
As indicated in the Prospectus, all the Back Bay Advisors Money
Market Series' money market instruments mature in less than 397 days
and the average maturity of the Back Bay Advisors Money Market Series'
portfolio securities based on their dollar value will not exceed 90
days at the time of each investment. Money market instruments
maturing in less than 397 days tend to yield less than obligations of
comparable quality having longer maturities. See "Valuation of
Portfolio Securities" and "Fund Performance." Where obligations of
greater than one year are used to secure the Back Bay Advisors Money
Market Series' repurchase agreements, the repurchase agreements
themselves will have very short maturities. If the disposition of a
portfolio security results in a dollar-weighted average portfolio
maturity in excess of 90 days, the Back Bay Advisors Money Market
Series will invest its available cash in such a manner as to reduce
its dollar-weighted average portfolio maturity to 90 days or less as
soon as reasonably practicable.
In seeking to provide the highest possible level of current
income consistent with preservation of capital, the Back Bay Advisors
Money Market Series may not necessarily invest in money market
instruments paying the highest available yield at a particular time.
The Back Bay Advisors Money Market Series, consistent with its
investment objective, attempts to maximize income by engaging in
portfolio trading and by buying and selling portfolio investments in
anticipation of or in response to changing economic and money market
conditions and trends. The Series may also invest to take advantage
of what are believed to be temporary disparities in the yields of
different segments of the high grade money market or among particular
instruments within the same segment of the market. These policies, as
well as the relatively short maturity of obligations to be purchased
by the Series, may result in frequent changes in the Series'
investment portfolio of money market instruments.
The value of the securities in the Series' investment portfolio
can be expected to vary inversely to changes in prevailing interest
rates. Thus, if interest rates increase after a security is
purchased, that security, if sold, might be sold at less than cost.
Conversely, if interest rates decline after purchase, the security, if
sold, might be sold at a profit. In either instance, if the security
were held to maturity, no gain or loss would normally be realized as a
result of these fluctuations. Substantial redemptions of shares of
the Back Bay Advisors Money Market Series could require the sale of
portfolio investments at a time when a sale might not be desirable.
Back Bay Advisors Bond Income Series
The text of the Prospectus following the caption "Investment
Objectives and Policies -- Back Bay Advisors Bond Income Series" gives
a description of the securities in which the Back Bay Advisors Bond
Income Series may invest. Although at least 80% of the Series' bond
investments will carry investment grade ratings (see Appendix A-1)
from one of the recognized rating services, the Series may purchase
nonrated or lower-rated bonds, which may be traded only over-the-
counter. Nonrated bonds are so categorized because the bond's rating
has been suspended or because the issuer did not seek a rating of the
bonds from Moody's or Standard & Poor's.
As described in the Prospectus, the average maturity of the Back
Bay Advisors Bond Income Series' portfolio will usually be between
five and fifteen years. Depending on market conditions, the Back Bay
Advisors Bond Income Series may take a defensive position by investing
a substantial portion of its assets in the money market instruments
eligible for purchase by the Back Bay Advisors Money Market Series.
No estimate can be made as to when or for how long the Series would
employ such defensive strategies.
The Back Bay Advisors Bond Income Series purchases and sells
portfolio investments in anticipation of or in response to changes in
yield relationships, markets or economic conditions. The Back Bay
Advisors Bond Income Series also invests to take advantage of
temporary disparities in the relative values of certain sectors of the
market for fixed-income securities. As a result of these policies,
the Back Bay Advisors Bond Income Series, under certain market
conditions, may experience high portfolio turnover, although specific
portfolio turnover rates are impossible to predict.
Since levels of interest rates vary from time to time, there can
be no assurance as to the Back Bay Advisors Bond Income Series'
current income for any particular period. Moreover, since all
securities are subject to price declines as well as price advances, at
times the net asset value per Back Bay Advisors Bond Income Series
share may be less than a shareholder's original cost. In recent
years, prices for fixed-income securities have generally been more
volatile than they were in prior periods, and this has increased the
market risk of holding such securities.
Capital Growth Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Capital Growth Series," the Capital Growth
Series seeks to attain its investment objective of long-term growth of
capital through investment primarily in equity securities of companies
whose earnings are expected to grow at a faster rate than the United
States economy. The selection of common stocks for the Capital Growth
Series' investment portfolio is based on the assessment of the Series'
adviser, Capital Growth Management Limited Partnership ("CGM"), that
the common stock is attractively priced relative to its earnings and
growth potential.
The Series does not consider current income as a significant
factor in selecting its investments. However, during periods when
management considers that economic or market conditions make it
desirable, the Series may take a defensive position by investing a
substantial portion of its assets in cash or fixed-income securities
(bonds, notes and money market instruments). No estimate can be made
as to when or for how long the Fund will employ such defensive
strategies; however, in the past, such periods have been as long as
one year.
The Capital Growth Series does not currently intend to invest in
restricted securities, options or warrants although, subject to its
investment restrictions, it may do so in the future. See "Investment
Restrictions."
Although the Capital Growth Series' objective is long-term
capital growth, it frequently sells securities to reflect changes in
market, industry or individual company conditions or outlook even
though it may only have held those securities for a short period. As
a result of these policies, the Capital Growth Series, under certain
market conditions, may experience high portfolio turnover, although
specific portfolio turnover rates are impossible to predict. In
recent years, the portfolio turnover rate of the Capital Growth Series
has fluctuated considerably as a result of strategic shifts in
portfolio holdings designed to maintain an optimum portfolio structure
in view of general market conditions and movements in individual stock
prices.
Westpeak Value Growth Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Westpeak Value Growth Series," the Westpeak
Value Growth Series seeks long-term total return (capital appreciation
and dividend income) through investment in equity securities, both in
securities that the Series' subadviser, Westpeak Investment Advisors,
L.P. ("Westpeak"), believes are undervalued ("value" style) and
securities of companies that Westpeak believes have growth potential
("growth" style). The Westpeak Value Growth Series will ordinarily
invest substantially all of its assets in equity securities.
Although the Westpeak Value Growth Series' objective is long-term
total return, it may sell securities to reflect changes in Westpeak's
assessment of the relative attractiveness of particular investments.
As a result, the Westpeak Value Growth Series, under certain market
conditions, may experience high portfolio turnover. High portfolio
turnover involves correspondingly higher brokerage commissions than
would be experienced by a similar fund with lower turnover.
The assets of the Westpeak Value Growth Series that are not
invested in equity securities will be held in cash or invested as
described below under "Money Market Instruments."
Loomis Sayles Avanti Growth Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Loomis Sayles Avanti Growth Series," the
Loomis Sayles Avanti Growth Series seeks to attain its investment
objective of long-term growth of capital through ordinarily investing
substantially all of its assets in equity securities. Investments are
selected by the Series' subadviser, Loomis, Sayles & Company, L.P.
("Loomis Sayles"), based on their growth potential; current income is
not a consideration.
Although the Loomis Sayles Avanti Growth Series' objective is
long-term capital growth, it may sell securities to reflect changes in
Loomis Sayles' assessment of the relative attractiveness of particular
investments. As a result, the Loomis Sayles Avanti Growth Series,
under certain market conditions, may experience high portfolio
turnover. High portfolio turnover involves correspondingly higher
brokerage commissions than would be experienced by a similar fund with
lower turnover. In addition, the Series may invest cash temporarily
in money market instruments and related repurchase agreements, as
described below under "Money Market Instruments."
Westpeak Stock Index Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Westpeak Stock Index Series," the Westpeak
Stock Index Series uses the Standard & Poor's 500 Composite Stock
Index ("S&P 500 Index") as the standard of performance comparison
because that index currently represents a significant percentage of
the total market value of all United States publicly traded common
stocks, is well known to investors, and is commonly regarded as
representative of the performance of United States publicly traded
common stocks taken as a whole.
The S&P 500 Index is composed of 500 common stocks, most of which
are listed on the New York Stock Exchange. Standard & Poor's, which
is not a sponsor of or in any other way affiliated with the Fund,
chooses the 500 stocks included in the S&P 500 Index on the basis of
market value and industry diversification. The S&P 500 Index assigns
relative values to the stocks included in the index, weighted
according to each stock's total market value relative to the total
market value of the other stocks included in the index. The stocks
included in the S&P 500 Index may change from time to time.
The Westpeak Stock Index Series is not managed through
traditional methods of investment management, which typically attempt
to use economic, financial and market analysis to select undervalued
stocks or stocks of companies that may experience above-average
growth, nor will the adverse financial situation of a company
necessarily result in the elimination of its stock from the Westpeak
Stock Index Series' portfolio. As described in the Prospectus, stocks
will be selected in an attempt to approximate the performance of the
S&P 500 Index and to minimize tracking error. From time to time,
adjustments may be made in the Westpeak Stock Index Series' investment
portfolio, but such changes should be infrequent compared to those of
most management investment companies. Westpeak currently expects that
such adjustments will ordinarily be made on a monthly basis, but such
adjustments could be made more or less frequently, depending on
changes in the size of the Westpeak Stock Index Series, among other
factors. As a consequence of the relative infrequency of portfolio
adjustments, brokerage and other transaction costs are expected to be
relatively low. However, these costs and other expenses may cause the
return of the Westpeak Stock Index Series to be lower than the return
of the S&P 500 Index. In addition, the relative infrequency of
portfolio adjustments may result in increased tracking error, to the
extent that new cash that has come into the Series is held, or
invested in money market instruments and repurchase agreements,
pending the next portfolio adjustment, rather than invested
immediately in common stocks included in the S&P 500 Index.
It is the Westpeak Stock Index Series' policy to be fully
invested in common stocks. However, the Westpeak Stock Index Series
may hold a portion of its assets, which will not exceed 5% (not
including additional cash that has come into the Series and is pending
investment in common stocks), in cash to meet redemptions and other
day-to-day operating expenses. The Series may also engage in futures
transactions to reduce tracking error. In addition, the Westpeak
Stock Index Series may invest cash temporarily in money market
instruments and repurchase agreements, as described below under
"Miscellaneous Investment Practices -- Money Market Instruments".
Such temporary investments will only be made with cash held to
maintain liquidity or pending investment, and will not be made for
defensive purposes in the event or in anticipation of a general
decline in the market prices of stocks in which the Series invests. A
defensive investment posture is precluded by the Westpeak Stock Index
Series' investment objective to provide investment results that
correspond to the price and yield performance of a universe of common
stocks. Investors in the Westpeak Stock Index Series therefore bear
the risk of general declines in stock prices in the stock markets.
The index that the Westpeak Stock Index Series uses as a standard
of comparison in seeking to achieve its objective may be changed
without shareholder approval. At some time in the future, another
index may be selected if such a standard of comparison is deemed more
appropriate than the S&P 500 Index as an indicator of the performance
of United States publicly traded common stocks.
Back Bay Advisors Managed Series
As indicated in the Prospectus following the caption "Investment
Objective and Policies -- Back Bay Advisors Managed Series," the Back
Bay Advisors Managed Series' investment portfolio will generally
contain a mix of (1) common stocks, (2) notes and bonds and (3) money
market instruments. Each of these categories of investments involves
certain risks.
The text of the Prospectus following the caption "Investment
Objective and Policies -- Back Bay Advisors Money Market Series,"
contains a description of the money market instruments and related
repurchase agreements in which the Back Bay Advisors Managed Series
may invest; for a fuller description, see "Money Market Instruments,"
below.
The portion of the Back Bay Advisors Managed Series' investment
portfolio consisting of notes and bonds will be invested in bonds of
the types in which the Back Bay Advisors Bond Income Series is
permitted to invest. These investments may include both bonds in the
four highest rating categories of Moody's or Standard & Poor's (which
are described in Appendix A-1 hereto) and lesser rated or non-rated
bonds (the risks associated with which are described in the Prospectus
under "Investment Objectives and Policies -- Back Bay Advisors Bond
Income Series"). The Series will purchase and sell securities for the
bond portion of its portfolio in anticipation of or in response to
changes in yield relationships, markets or economic conditions. The
bond portion of the Series' investment portfolio will also be invested
to take advantage of temporary disparities in the relative values of
certain sectors of the market for fixed-income securities. As a
result of these policies, the bond portion of the Series' portfolio,
under certain market conditions, may experience high portfolio
turnover.
Because the securities in its portfolio are subject to price
declines as well as price advances, at times the net asset value per
Back Bay Advisors Managed Series share may be less than a
shareholder's original cost. There can be no assurance that the Back
Bay Advisors Managed Series' investment objective will be attained.
Loomis Sayles Small Cap Series
As indicated in the Prospectus following the caption "Investment
Objective and Policies -- Loomis Sayles Small Cap Series," the Loomis
Sayles Small Cap Series seeks to attain its investment objective of
long-term capital growth through investments in common stocks or their
equivalent. The Series seeks to achieve its objective by giving
emphasis to both undervalued securities and securities of companies
with significant growth potential. The Series will normally invest at
least 65% of its total assets in companies with market capitalization
of less than $500 million and may invest up to 35% of its assets in
larger companies. Current income is not a consideration in selecting
the Series' investments. The Series may invest a limited portion of
its assets in securities of foreign issuers.
Loomis Sayles Balanced Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Loomis Sayles Balanced Series," the Loomis
Sayles Balanced Series seeks to attain its investment objective of
reasonable long-term investment return from a combination of long-term
capital appreciation and moderate current income.
The Series is "flexibly managed" in that sometimes it invests
more heavily in equity securities and at other times it invests more
heavily in fixed-income securities, depending on its subadviser's view
of the economic and investment outlook. Most of the Series'
investments are normally in dividend-paying common stocks of
recognized investment quality that are expected to achieve growth in
earnings and dividends over the long-term. Fixed-income securities
include notes, bonds, non-convertible preferred stock and money market
instruments. The Series may invest in adjustable rate mortgage
securities, asset-backed securities, STRIPS and inverse floaters,
subject to a limit of 5% of the Series' assets for each of these types
of instruments. The Series invests at least 25% of its assets in
fixed-income senior securities and, under normal market conditions,
more than 50% of its assets in equity securities. The Series also may
invest in foreign securities.
Draycott International Equity Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Draycott International Equity Series," the
Draycott International Equity Series seeks to attain its investment
objective of total return from long-term growth of capital primarily
through investment in international equity securities.
Salomon Brothers U.S. Government Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Salomon Brothers U.S. Government Series,"
the Salomon Brothers U.S. Government Series seeks to attain its
investment objective of providing a high level of current income
consistent with preservation of capital and maintenance of liquidity
by investing primarily in debt obligations and, to the extent allowed
by state law and regulation, in mortgage backed securities issued or
guaranteed by the U. S. Government its agencies, authorities or
instrumentalities or derivative securities such as collateralized
mortgage obligations ("CMOs") backed by such securities.
Salomon Brothers Strategic Bond Opportunities Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Salomon Brothers Strategic Bond
Opportunities Series," the Salomon Brothers Strategic Bond
Opportunities Series seeks to attain its investment objective of a
high level of total return consistent with preservation of capital by
assessing the relative risks and opportunities available in various
market segments and allocating assets primarily among U.S. Government
obligations, mortgage backed securities, domestic corporate debt and
international debt securities rated investment grade (BBB or higher
by S&P or Baa or higher by Moody's) and domestic and sovereign
corporate debt and international debt securities rated below
investment grade.
Venture Value Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Venture Value Series," the Venture Value
Series seeks to attain its investment objective of growth of capital
by investing in domestic common stocks that the Series' subadviser
believes have capital growth potential due to factors such as
undervalued assets or earnings potential, product development and
demand, favorable operating ratios, resources for expansion,
management abilities, reasonableness of market price, and favorable
overall business prospects. The Series will generally invest
predominantly in equity securities of companies with market
capitalizations of at least $250 million. It may also invest in
issues with smaller capitalizations.
Alger Equity Growth Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies -- Alger Equity Growth Series," the Alger
Equity Growth Series seeks to attain its investment objective of long-
term capital appreciation by investing primarily in a diversified,
actively managed portfolio of equity securities, primarily of
companies having a total market capitalization of $1 billion or
greater. These companies may still be in the developmental stage,
may be older companies that appear to be entering a new stage of
growth progress, or may be companies providing products or services
with a high unit volume growth rate.
Short-Term Series
As disclosed in the Prospectus under the caption "Investment
Objectives and Policies --Short-Term Series," the Short-Term Series
seeks to attain its investment objective of a high level of current
income consistent with protection of capital by investing in a
portfolio of high quality money market instruments and corporate
bonds.
MISCELLANEOUS INVESTMENT PRACTICES
The following information relates to certain investment practices
in which certain Series may engage. The table indicates which Series
may engage in each of these practices.
Practices Series
Money Market Instruments All Series
U.S. Government Securities All Series
Convertible Securities Capital Growth Series
Loomis Sayles Avanti Growth Series
Loomis Sayles Balanced Series
Draycott International Equity Series
Salomon Brothers Strategic Bond
Opportunities Series
Venture Value Series
Alger Equity Growth Series
Reverse Repurchase Agreements
and Dollar Rolls Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Loans of Portfolio Securities Back Bay Advisors Bond Income Series
Back Bay Advisors Managed Series
Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Venture Value Series
Alger Equity Growth Series
Privately-Issued Mortgage Securities Salomon Brothers U.S.
Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Asset-Backed Securities; Types of Loomis Sayles Balanced Series
Credit Support Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
STRIPS Loomis Sayles Balanced Series
Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Stripped Mortgage Securities Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Swaps, Caps, Floors, Collars, Etc. Salomon Brothers Strategic Bond
Opportunities Series
Eurodollar Futures and Options Salomon Brothers U.S.
Government Series
Salomon Brothers Strategic Bond
Opportunities Series
High Yield/High Risk Foreign Sovereign Salomon Brothers Strategic Bond
Debt Securities Opportunities Series
Futures and Options Westpeak Value Growth Series
Westpeak Stock Index Series
Back Bay Advisors Managed Series
Loomis Sayles Balanced Series
Draycott International Equity Series
Salomon Brothers U.S. Government Series
Salomon Brothers Strategic Bond
Opportunities Series
Venture Value Series
Foreign Currency Hedging Transactions Draycott International Equity Series
Salomon Brothers Strategic Bond
Opportunities Series
Venture Value Series
Money Market Instruments - Obligations of foreign branches of U.S.
banks and other foreign securities are subject to risks of foreign
political, economic and legal developments, which include foreign
governmental restrictions adversely affecting payment of principal and
interest on the obligations, foreign withholding and other taxes on
interest income, and difficulties in obtaining and enforcing a
judgment against a foreign branch of a domestic bank. With respect to
bank obligations, different risks may result from the fact that
foreign banks are not necessarily subject to the same or similar
regulatory requirements that apply to domestic banks. For instance,
such branches may not be subject to the types of requirements imposed
on domestic banks with respect to mandatory reserves, loan
limitations, examinations, accounting, auditing, recordkeeping and the
public availability of information. Obligations of such branches will
be purchased by the Series only when the Series' adviser or subadviser
believes the risks are minimal.
The following constitutes a description of the money market
instruments which may be purchased by the Back Bay Advisors Money
Market and the Short-Term Series, and by any of the Series for
temporary defensive purposes.
U.S. Government Securities -- are bills, certificates of
indebtedness, notes and bonds issued by agencies, authorities and
instrumentalities of the U.S. Government. Some obligations, such as
those issued by the U.S. Treasury, the Government National Mortgage
Association, the Farmers' Home Administration and the Small Business
Administration, are backed by the full faith and credit of the U.S.
Treasury. Other obligations are backed by the right of the issuer to
borrow from the U.S. Treasury or by the credit of the agency,
authority or instrumentality itself. Such obligations include, but
are not limited to, obligations issued by the Tennessee Valley
Authority, the Bank for Cooperatives, Federal Home Loan Banks, Federal
Intermediate Credit Banks, Federal Land Banks and the Federal National
Mortgage Association.
Repurchase Agreements -- are agreements by which a Series
purchases a security (usually a U.S. Government Security) and obtains
a simultaneous commitment from the seller (a member bank of the
Federal Reserve System or, to the extent permitted by the 1940 Act, a
recognized securities dealer) to repurchase the security at an agreed
upon price and date. The resale price is in excess of the purchase
price and reflects an agreed upon market rate unrelated to the coupon
rate on the purchased security. Such transactions afford the Fund the
opportunity to earn a return on temporarily available cash at minimal
market risk. While the underlying security may be a bill, certificate
of indebtedness, note or bond issued by an agency, authority or
instrumentality of the United States Government, the obligation of the
seller is not guaranteed by the U.S. Government and there is a risk
that the seller may fail to repurchase the underlying security. In
such event, the Fund may be able to exercise rights with respect to
the underlying security, including possible disposition of the
security in the market. However, the Fund may be subject to various
delays and risks of loss, including (a) possible declines in the value
of the underlying security during the period while the Fund seeks to
enforce its rights thereto, (b) possible reduced levels of income and
lack of access to income during this period and (c) inability to
enforce rights and the expenses involved in attempted enforcement.
Certificates of Deposit -- are certificates issued against funds
deposited in a bank, are for a definite period of time, earn a
specified rate of return and are normally negotiable.
Bankers' Acceptances -- are short-term credit instruments used to
finance the import, export, transfer or storage of goods. They are
termed "accepted" when a bank guarantees their payment at maturity.
Eurodollar Obligations -- are obligations of foreign branches of
U.S. banks.
Commercial Paper -- refers to promissory notes issued by
corporations in order to finance their short-term credit needs. For a
description of commercial paper ratings see Appendix A-1.
U.S. Government Securities - The Series may invest in some or
all of the following U.S. Government Securities, as well as in other
types of securities issued or guaranteed by the U.S. Government or
its agencies, authorities or instrumentalities:
. U.S. Treasury Bills - Direct obligations of the United States
Treasury which are issued in maturities of one year or less. No
interest is paid on Treasury bills; instead, they are issued at a
discount and repaid at full face value when they mature. They are
backed by the full faith and credit of the United States Government.
. U.S. Treasury Notes and Bonds - Direct obligations of the United
States Treasury issued in maturities that vary between one and 40
years, with interest normally payable every six months. These
obligations are backed by the full faith and credit of the United
States Government.
. "Ginnie Maes" - Debt securities issued by a mortgage banker or
other mortgagee which represent an interest in a pool of mortgages
insured by the Federal Housing Administration or the Farmer's Home
Administration or guaranteed by the Veterans Administration. The
Government National Mortgage Association ("GNMA") guarantees the
timely payment of principal and interest when such payments are due,
whether or not these amounts are collected by the issuer of these
certificates on the underlying mortgages. Mortgages included in
single family or multi-family residential mortgage pools backing an
issue of Ginnie Maes have a maximum maturity of up to 30 years.
Scheduled payments of principal and interest are made to the
registered holders of Ginnie Maes (such as the Fund) each month.
Unscheduled prepayments may be made by homeowners, or as a result of
a default. Prepayments are passed through to the registered holder
(such as the Fund, which reinvests any prepayments) of Ginnie Maes
along with regular monthly payments of principal and interest.
. "Fannie Maes" - The Federal National Mortgage Association
("FNMA") is a government-sponsored corporation owned entirely by
private stockholders that purchases residential mortgages from a list
of approved seller/servicers. Fannie Maes are pass-through
securities issued by FNMA that are guaranteed as to timely payment of
principal and interest by FNMA but are not backed by the full faith
and credit of the United States Government.
. "Freddie Macs" - The Federal Home Loan Mortgage Corporation
("FHLMC") is a corporate instrumentality of the United States
Government. Freddie Macs are participation certificates issued by
FHLMC that represent an interest in residential mortgages from
FHLMC's National Portfolio. FHLMC guarantees the timely payment of
interest and ultimate collection of principal, but Freddie Macs are
not backed by the full faith and credit of the United States
Government.
As described in the prospectus, U.S. Government Securities do
not involve the credit risks associated with investments in other
types of fixed-income securities, although, as a result, the yields
available from U.S. Government Securities are generally lower than
the yields available from corporate fixed-income securities. Like
other fixed-income securities, however, the values of U.S. Government
Securities change as interest rates fluctuate. Fluctuations in the
value of portfolio securities will not affect interest income on
existing portfolio securities but will be reflected in the Series'
net asset value. Since the magnitude of these fluctuations will
generally be greater at times when the Series' average maturity is
longer, under certain market conditions, a Series may, for temporary
defensive purposes, accept lower current income from short-term
investments rather than investing in higher yielding long-term
securities.
Convertible Securities - The Series listed above may invest in
convertible securities, including corporate bonds, notes or preferred
stocks of U.S. or foreign issuers that can be converted into (that
is, exchanged for) common stocks or other equity securities.
Convertible securities also include other securities, such as
warrants, that provide an opportunity for equity participation.
Because convertible securities can be converted into equity
securities, their values will normally vary in some proportion with
those of the underlying equity securities. Convertible securities
usually provide a higher yield than the underlying equity, however,
so that the price decline of a convertible security may sometimes be
less substantial than that of the underlying equity security.
Reverse Repurchase Agreements and Dollar Roll Agreements - The
Series may enter into reverse repurchase agreements and dollar roll
agreements with qualified institutions to seek to enhance returns.
Reverse repurchase agreements involve sales by the Series of
portfolio assets concurrently with an agreement by the Series to
repurchase the same assets at a later date at a fixed price. During
the reverse repurchase agreement period, the Series continues to
receive principal and interest payments on these securities.
The Series may enter into dollar rolls in which the Series sells
securities for delivery in the current month and simultaneously
contracts to repurchase substantially similar (same type and coupon)
securities on a specified future date. During the roll period, the
Series forgoes principal and interest paid on the securities. The
Series is compensated by the difference between the current sales
price and the forward price for the future purchase (often referred
to as the "drop") as well as by the interest earned on the cash
proceeds of the initial sale.
The Series will establish a segregated account with its
custodian in which it will maintain cash, U.S. Government securities
or other liquid high-grade debt obligations equal in value to its
obligations in respect of reverse repurchase agreements and dollar
rolls. Reverse repurchase agreements and dollar rolls involve the
risk that the market value of the securities retained by the Series
may decline below the price of the securities the Series has sold but
is obligated to repurchase under the agreement. In the event the
buyer of securities under a reverse repurchase agreement files for
bankruptcy or becomes insolvent, the Series' use of the proceeds of
the agreement may be restricted pending a determination by the other
party, or its trustee or receiver, whether to enforce the Series'
obligation to repurchase the securities. Reverse repurchase
agreements and dollar rolls are considered borrowings by the Series.
Loans of Portfolio Securities - The Series listed above may lend
its portfolio securities to broker-dealers under contracts calling
for cash collateral equal to at least the market value of the
securities loaned, marked to market on a daily basis. (The Series
(except the Salomon Brothers U.S. Government Series) at the present
time have no intention to engage in the lending of portfolio
securities.) The Series will continue to benefit from interest or
dividends on the securities loaned and will also receive interest
through investment of the cash collateral in short-term liquid
investments, which may include shares of money market funds subject
to any investment restriction described in the Prospectus. No loans
will be made if, as a result, the aggregate amount of such loans
outstanding at any one time would exceed 15% of the respective
Series' total assets (taken at current value). Any voting rights, or
rights to consent, relating to securities loaned pass to the
borrower. However, if a material event affecting the investment
occurs, such loans will be called so that the securities may be voted
by the Series. A Series pays various fees in connection with such
loans, including shipping fees and reasonable custodian and placement
fees.
Privately-Issued Mortgage Securities - The Series listed above
may invest in privately-issued pass through securities that provide
for the monthly principal and interest payments made by individual
borrowers to pass through to investors on a corporate basis, and in
privately issued collateralized mortgage obligations ("CMOs"; see the
general description under "Investment Risks" in the Prospectus).
Privately-issued mortgage securities are issued by private
originators of, or investors in, mortgage loans, including mortgage
bankers, commercial banks, investment banks, savings and loan
associations and special purpose subsidiaries of the foregoing.
Since privately-issued mortgage certificates are not guaranteed by an
entity having the credit status of GNMA or FHLMC, such securities
generally are structured with one or more types of credit
enhancement. For a description of the types of credit enhancements
that may accompany privately-issued mortgage securities, see "Types
of Credit Support" below. A Series will not limit its investments to
asset-backed securities with credit enhancements.
Asset Backed Securities As with mortgage securities, asset-
backed securities are often backed by a pool of assets representing
the obligation of a number of different parties and use similar
credit enhancement techniques. For a description of the types of
credit enhancement that may accompany privately-issued mortgage
securities, see "Types of Credit Support" below. A Series will not
limit its investments to asset-backed securities with credit
enhancements. Although asset-backed securities are not generally
traded on a national securities exchange, many such securities are
widely traded by brokers and dealers, and in such cases will not be
considered illiquid securities for the purposes of the investment
policy that limits a Series' investments in illiquid securities to
15% of net assets.
Types of Credit Support - Mortgage securities and asset-backed
securities are often backed by a pool of assets representing the
obligations of a number of different parties. To lessen the effect
of failure by obligors on underlying assets to make payments, such
securities may contain elements of credit support. Such credit
support falls into two categories: (i) liquidity protection and (ii)
protection against losses resulting from ultimate default by an
obligor on the underlying assets. Liquidity protection refers to the
provision of advances, generally by the entity administering the pool
of assets, to ensure that the pass-through of payments due on the
underlying pool occurs in a timely fashion. Protection against
losses resulting from ultimate default enhances the likelihood of
ultimate payment of the obligations on at least a portion of the
assets in the pool. Such protection may be provided through
guarantees, insurance policies or letters of credit obtained by the
issuer or sponsor from third parties, through various means of
structuring the transaction or through a combination of such
approaches. A Series will not pay any additional fees for such
credit support, although the existence of credit support may increase
the price of a security.
The ratings of mortgage securities and asset-backed securities
for which third-party credit enhancement provides liquidity
protection or protection against losses from default are generally
dependent upon the continued creditworthiness of the provider of the
credit enhancement. The ratings of such securities could be subject
to reduction in the event of deterioration in the creditworthiness of
the credit enhancement provider even in cases where the delinquency
and loss experience on the underlying pool of assets is better than
expected.
Examples of credit support arising out of the structure of the
transaction include "senior subordinated securities" (multiple class
securities with one or more classes subordinate to other classes as
to the payment of principal and interest, with the result that
defaults on the underlying assets are borne first by the holders of
the subordinated class), creation of "reserve funds" (where cash or
investments, sometimes funded from a portion of the payments on the
underlying assets, are held in reserve against future losses) and
"over-collateralization" (where the scheduled payments on, or the
principal amount of, the underlying assets exceed those required to
make payment of the securities and pay any servicing or other fees).
The degree of credit support provided for each issue is generally
based on historical information with respect to the level of credit
risk associated with the underlying assets. Delinquency or loss in
excess of that which is anticipated could adversely affect the return
on an investment in such security.
STRIPS - In addition to the U.S. Government securities discussed
above, the Series listed above may invest in separately traded
interest components of securities issued or guaranteed by the United
States Treasury. The interest components of selected securities are
traded independently under the Separate Trading of Registered
Interest and Principal of Securities program ("STRIPS"). Under the
STRIPS program, the interest components are individually numbered and
separately issued by the United States Treasury at the request of
depository financial institutions, which then trade the component
parts independently.
Stripped Mortgage Securities - Stripped mortgage securities are
derivative multiclass mortgage securities. Stripped mortgage
securities may be issued by agencies or instrumentalities of the U.S.
Government, or by private issuers, including savings and loan
associations, mortgage banks, commercial banks, investment banks and
special purpose subsidiaries of the foregoing. Stripped mortgage
securities have greater volatility than other types of mortgage
securities in which the Series invests. Although stripped mortgage
securities are purchased and sold by institutional investors through
several investment banking firms acting as brokers or dealers, the
market for such securities has not yet been fully developed.
Accordingly, stripped mortgage securities are generally illiquid.
Stripped mortgage securities are usually structured with two
classes that receive different proportions of the interest and
principal distributions on a pool of mortgage assets. A common type
of stripped mortgage security will have one class receiving some of
the interest and most of the principal from the mortgage assets,
while the other class will receive most of the interest and the
remainder of the principal. In the most extreme case, one class will
receive all of the interest (the interest-only or "IO" class), while
the other class will receive all of the principal (the principal-only
or "PO" class). The yield to maturity on an IO class is extremely
sensitive not only to changes in prevailing interest rates but also
the rate of principal payments (including prepayments) on the related
underlying mortgage assets, and a rapid rate of principal payments
may have a material adverse effect on the Series' yield to maturity.
If the underlying mortgage assets experience greater than anticipated
prepayments of principal, the Series may fail to fully recoup its
initial investment in these securities even if the securities are
rated in a top rating category.
As interest rates rise and fall, the value of IOs tends to move
in the same direction as interest rates. The value of other mortgage
securities, like other debt instruments, will tend to move in the
opposite direction of interest rates. Accordingly, investing in IOs,
in conjunction with the other mortgage securities described herein,
may reduce fluctuations in a Series' net asset value.
In addition to the stripped mortgage securities described above,
the Series listed above may invest in similar securities such as
"Super POs," "Levered IOs" and "IOettes," all of which are more
volatile than conventional POs or IOs. Risks associated with
instruments such as Super POs are similar in nature to those risks
related to investments in POs. Risks connected with Levered IOs and
IOettes are similar in nature to those associated with IOs. The
Series may also invest in other similar instruments developed in the
future that are deemed consistent with the investment objectives,
policies and restrictions of the Series.
Under the Internal Revenue Code of 1986, as amended (the
"Code"), POs may generate taxable income from the current accrual of
original issue discount, without a corresponding distribution of cash
to the portfolio.
Swaps, Caps, Floors, Collars, Etc. - The Series listed above may
enter into interest rate, currency and index swaps, the purchase or
sale of related caps, floors and collars and other derivatives. A
Series will enter into these transactions primarily to seek to
preserve a return or spread on a particular investment or portion of
its portfolio, to protect against currency fluctuations, as a
duration management technique or to protect against any increase in
the price of securities a portfolio anticipates purchasing at a later
date. A Series will use these transactions for non-speculative
purposes and will not sell interest rate caps or floors if it does
not own securities or other instruments providing the income the
portfolio may be obligated to pay. Interest rate swaps involve the
exchange by a Series with another party of their respective
commitments to pay or receive interest (for example, an exchange of
floating rate payments for fixed rate payments with respect to a
notional amount of principal). The purchase of an interest rate cap
entitles the purchaser to receive payments on a notional principal
amount from the party selling the cap to the extent that a specified
index exceeds a predetermined interest rate or amount. The purchase
of an interest rate floor entitles the purchaser to receive payments
of interest on a notional principal amount from the party selling the
interest rate floor to the extent that a specified index falls below
a predetermined interest rate or amount. A collar is a combination
of a cap and a floor that preserves a certain return within a
predetermined range of interest rates or values. A currency swap is
an agreement to exchange cash flows on a notional amount based on
changes in the values of the reference currencies.
A Series will usually enter into interest rate swaps on a net
basis, that is, two payment streams are netted out in a cash
settlement on the payment date or dates specified in the instrument,
with the portfolio receiving or paying, as the case may be, only the
net amount of the two payments. To the extent that a Series
maintains in a segregated account with its custodian assets
sufficient to meet its obligations under swaps, caps, floors, collars
and other similar derivatives (see below) these investments will not
constitute senior securities under the Investment Company Act of 1940
(the "1940 Act"), as amended, and, thus, will not be treated as being
subject to the Series' borrowing restrictions. A Series will not
enter into any swap, cap, floor, collar or other derivative
transaction unless the counterparty is deemed creditworthy by that
Series' subadviser. If a counterparty defaults, the Series may 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. Caps, floors and collars are more recent innovations for
which standardized documentation has not yet been fully developed
and, for that reason, they are less liquid than swaps.
The liquidity of swap agreements will be determined by a Series'
subadviser based on various factors, including (1) the frequency of
trades and quotations, (2) the number of dealers and prospective
purchasers in the marketplace, (3) dealer undertakings to make a
market, (4) the nature of the security (including any demand or
tender features), and (5) the nature of the marketplace for trades
(including the ability to assign or offset a portfolio's rights and
obligations relating to the investment). Such determination will
govern whether a swap will be deemed to be within the 15% restriction
on investments in securities that are not readily marketable.
Each Series will maintain cash and appropriate liquid assets in
a segregated custodial account to cover its current obligations under
swap agreements. If a Series enters into a swap agreement on a net
basis, it will segregate assets with a daily value at least equal to
the excess, if any, of the Series' accrued obligations under the swap
agreement over the accrued amount the Series is entitled to receive
under the agreement. If a Series enters into a swap agreement on
other than a net basis, it will segregate assets with a value equal
to the full amount of the Series' accrued obligations under the
agreement.
Eurodollar Futures and Options - The Series listed above may
make investments in Eurodollar instruments, which are typically
dollar-denominated futures contracts or options on those contracts
that are linked to the London Interbank Offered Rate ("LIBOR"),
although foreign currency denominated instruments are available from
time to time. Eurodollar futures contracts enable purchasers to
obtain a fixed rate for the lending of funds and sellers to obtain a
fixed rate for borrowings. A Series might use Eurodollar futures
contracts and options thereon to hedge against changes in LIBOR, to
which many interest rate swaps and fixed income instruments are
linked.
High Yield/High Risk Foreign Sovereign Debt Securities - The
Series listed above may invest in the sovereign debt of foreign
countries which have issued or have announced plans to issue Brady
Bonds, and expect that a substantial portion of their investments in
sovereign debt securities will consist of Brady Bonds. Brady Bonds
are debt securities issued under the framework of the Brady Plan, an
initiative announced by then U.S. Treasury Secretary Nicholas F.
Brady in 1989 as a mechanism for debtor nations to restructure their
outstanding external commercial bank indebtedness. In restructuring
its external debt under the Brady Plan framework, a debtor nation
negotiates with its existing bank lenders as well as multilateral
institutions such as the World Bank and the International Monetary
Fund (the "IMF"). The Brady Plan framework, as it has developed,
contemplates the exchange of commercial bank debt for newly issued
bonds (Brady Bonds). Brady Bonds may also be issued in respect of
new money being advanced by existing lenders in connection with the
debt restructuring. The World Bank and/or the IMF support the
restructuring by providing funds pursuant to loan agreements or other
arrangements which enable the debtor nation to collateralize the new
Brady Bonds or to repurchase outstanding bank debt at a discount.
Under these arrangements with the World Bank or the IMF, debtor
nations have been required to agree to the implementation of certain
domestic monetary and fiscal reforms. Such reforms have included the
liberalization of trade and foreign investment, the privatization of
state-owned enterprises and the setting of targets for public
spending and borrowing. These policies and programs seek to promote
the debtor country's economic growth and development. Investors
should recognize that the Brady Plan only sets forth general guiding
principles for economic reform and debt reduction, emphasizing that
solutions must be negotiated on a case-by-case basis between debtor
nations and their creditors. Investors should recognize that Brady
Bonds have been issued only recently, and accordingly do not have a
long payment history.
Agreements implemented under the Brady Plan to date are designed
to achieve debt and debt-service reduction through specific options
negotiated by a debtor nation with its creditors. As a result, the
financial packages offered by each country differ. The types of
options have included the exchange of outstanding commercial bank
debt for bonds issued at 100% of face value of such debt, which carry
a below-market stated rate of interest (generally known as par
bonds), bonds issued at a discount from face value of such debt
(generally known as discount bonds), bonds bearing an interest rate
which increases over time and bonds issued in exchange for the
advancement of new money by existing lenders. Regardless of the
stated face amount and stated interest rate of the various types of
Brady Bonds, a Series will purchase Brady Bonds in secondary markets,
as described below, in which the price and yield to the investor
reflect market conditions at the time of purchase. Brady Bonds
issued to date have traded at a deep discount from their face value.
Certain Brady Bonds have been collateralized as to principal due at
maturity (typically 30 years from the date of issuance) by U.S.
Treasury zero coupon bonds with a maturity equal to the final
maturity of such Brady Bonds, although the collateral is not
available to investors until the final maturity of the Brady Bonds.
Collateral purchases are financed by the IMF, the World Bank and the
debtor nations' reserves. In addition, interest payments on certain
types of Brady Bonds may be collateralized by cash or high-grade
securities in amounts that typically represent between 12 and 18
months of interest accruals on these instruments with the balance of
the interest accruals being uncollateralized. A Series may purchase
Brady Bonds with no or limited collateralization, and will be relying
for payment of interest and (except in the case of principal
collateralized Brady Bonds) principal primarily on the willingness
and ability of the foreign government to make payment in accordance
with the terms of the Brady Bonds. Brady Bonds issued to date are
purchased and sold in secondary markets through U.S. securities
dealers and other financial institutions and are generally maintained
through European transnational securities depositories.
Futures and Options
Futures Contracts. A futures contract is an agreement between
two parties to buy and sell a commodity or financial instrument (e.g.,
an interest-bearing security, a currency or, in the case of futures
contracts on the S&P 500 Index, the value of the basket of securities
comprising the Index) for a specified price on a specified future
date. In the case of futures on an index, the seller and buyer agree
to settle in cash, at a future date, based on the difference in value
of the contract between the date it is opened and the settlement date.
The value of each contract is equal to the value of the index from
time to time multiplied by a specified dollar amount. For example,
long-term municipal bond index futures trade in contracts equal to
$1000 multiplied by the Bond Buyer Municipal Bond Index.
When a trader, such as a Series, enters into a futures contract,
it is required to deposit with (or for the benefit of) its broker, as
"initial margin," an amount of cash or short-term high-quality
securities (such as U.S. Treasury Bills) equal to approximately 2% to
20% of the delivery or settlement price of the contract (depending on
applicable exchange rules). Initial margin is held to secure the
performance of the holder of the futures contract. As the value of
the contract changes, the value of futures contract positions
increases or declines. At the end of each trading day, the amount of
such increase or decline is received or paid respectively by and to
the holders of these positions. The amount received or paid is known
as "variation margin" or "maintenance margin." A Series with a long
position in a futures contract will establish a segregated account
with the Series' custodian containing cash or certain liquid assets
equal to the purchase price of the contract (less any margin on
deposit). For short positions in futures contracts, a Series will
establish a segregated account with the custodian with cash or high
grade liquid debt assets that, when added to the amounts deposited as
margin, equal the market value of the instruments or currency
underlying the futures contracts.
Although futures contracts by their terms may require actual
delivery and acceptance of securities, in most cases the contracts are
closed out before settlement. Closing out a futures sale is effected
by purchasing a futures contract for the same aggregate amount of the
specific type of financial instrument or commodity and with the same
delivery date. Similarly, the closing out of a futures purchase is
effected by the purchaser selling an offsetting futures contract.
Gain or loss on a futures position is equal to the net variation
margin received or paid over the time the position is held, plus or
minus the amount received or paid when the position is closed, minus
brokerage commissions.
The Westpeak Stock Index Series may purchase and sell futures
contracts on the S&P 500 Index solely for the purpose of reducing the
risk of tracking error arising from holding cash from new investments
in the Series or in anticipation of shareholder redemptions. The Back
Bay Advisors Managed Series may purchase and sell futures contracts on
interest-bearing securities or indices thereof, or on indices of stock
prices (such as the S&P 500 Index), to increase or decrease its
portfolio exposure to common stocks or to increase or decrease its
portfolio exposure to notes and bonds. The Westpeak Value Growth
Series may engage in transactions in futures contracts solely for the
purpose of maintaining full exposure of the portfolio to the movements
of broad equity markets at times when the Series holds a cash position
pending investment in stocks or in anticipation of redemptions.
Options. An option on a futures contract obligates the writer,
in return for the premium received, to assume a position in a futures
contract (a short position if the option is a call and a long
position if the option is a put), at a specified exercise price at
any time during the period of the option. Upon exercise of the
option, the delivery of the futures position by the writer of the
option to the holder of the option generally will be accompanied by
delivery of the accumulated balance in the writer's futures margin
account, which represents the amount by which the market price of the
futures contract, at exercise, exceeds, in the case of a call, or is
less than, in the case of a put, the exercise price of the option.
The premium paid by the purchaser of an option will reflect, among
other things, the relationship of the exercise price to the market
price and volatility of the underlying contract, the remaining term
of the option, supply and demand and interest rates. Options on
futures contracts traded in the United States may only be traded on a
United States board of trade licensed by the Commodity Futures
Trading Commission.
An option on a security entitles the holder to receive (in the
case of a call option) or to sell (in the case of a put option) a
particular security at a specified exercise price. An "American
style" option allows exercise of the option at any time during the
term of the option. A "European style" option allows an option to be
exercised only at the end of its term. Options on securities may be
traded on or off a national securities exchange.
A call option on a futures contract written by a Series is
considered by the Series to be covered if the Series owns the
security subject to the underlying futures contract or other
securities whose values are expected to move in tandem with the
values of the securities subject to such futures contract, based on
historical price movement volatility relationships. A call option on
a security written by a Series is considered to be covered if the
Series owns a security deliverable under the option. A written call
option is also covered if the Series holds a call on the same futures
contract or security as the call written where the exercise price of
the call held (a) is equal to or less than the exercise price of the
call written or (b) is greater than the exercise price of the call
written if the difference is maintained by the Series in cash,
Treasury bills or other high grade liquid obligations in a segregated
account with its custodian.
A put option on a futures contract written by a Series, or a put
option on a security written by a Series, is covered if the Series
maintains cash, U.S. Treasury bills or other high-grade liquid debt
obligations with a value equal to the exercise price in a segregated
account with the Series' custodian, or else holds a put on the same
futures contract (or security, as the case may be) as the put written
where the exercise price of the put held is equal to or greater than
the exercise price of the put written.
If the writer of an option wishes to terminate its position, it
may effect a closing purchase transaction by buying an option
identical to the option previously written. The effect of the
purchase is that the writer's position will be canceled. Likewise,
the holder of an option may liquidate its position by selling an
option identical to the option previously purchased.
Closing a written call option will permit the Series to write
another call option on the portfolio securities used to cover the
closed call option. Closing a written put option will permit the
Series to write another put option secured by the segregated cash,
U.S. Treasury bills or other high-grade liquid obligations used to
secure the closed put option. Also, effecting a closing transaction
will permit the cash or proceeds from the concurrent sale of any
futures contract or securities subject to the option to be used for
other Series investments. If a Series desires to sell particular
securities covering a written call option position, it will close out
its position or will designate from its portfolio comparable
securities to cover the option prior to or concurrent with the sale
of the covering securities.
The Series will realize a profit from closing out an option if
the price of the offsetting position is less than the premium
received from writing the option or is more than the premium paid to
purchase the option; the Series will realize a loss from closing out
an option transaction if the price of the offsetting option position
is more than the premium received from writing the option or is less
than the premium paid to purchase the option. Because increases in
the market price of a call option will generally reflect increases in
the market price of the covering securities, any loss resulting from
the closing of a written call option position is expected to be
offset in whole or in part by appreciation of such covering
securities.
Since premiums on options having an exercise price close to the
value of the underlying securities or futures contracts usually have
a time value component (i.e. a value that diminishes as the time
within which the option can be exercised grows shorter) an option
writer may profit from the lapse of time even though the value of the
futures contract (or security in some cases) underlying the option
(and of the security deliverable under the futures contract) has not
changed. Consequently, profit from option writing may or may not be
offset by a decline in the value of securities covering the option.
If the profit is not entirely offset, the Series will have a net gain
from the options transaction, and the Series' total return will be
enhanced. Likewise, the profit or loss from writing put options may
or may not be offset in whole or in part by changes in the market
value of securities acquired by the Series when the put options are
closed.
An over-the-counter option (an option not traded on a national
securities exchange) may be closed out only with the other party to
the original option transaction. While a Series will seek to enter
into over-the-counter options only with dealers who agree to or are
expected to be capable of entering into closing transactions with the
Series, there can be no assurance that the Series will be able to
liquidate an over-the-counter option at a favorable price at any time
prior to its expiration. Accordingly, the Series might have to
exercise an over-the-counter option it holds in order to realize any
profit thereon and thereby would incur transactions costs on the
purchase or sale of the underlying assets. If the Series cannot
close out a covered call option written by it, it will not be able to
sell the underlying security until the option expires or is
exercised. Furthermore, over-the-counter options are not subject to
the protections afforded purchasers of listed options by the Options
Clearing Corporation or other clearing organization.
The staff of the Securities and Exchange Commission (the "SEC")
has taken the position that over-the-counter options on U.S.
Government Securities and the assets used as cover for written over-
the-counter options on U.S. Government Securities should generally be
treated as illiquid securities. However, if a dealer recognized by
the Federal Reserve Bank of New York as a "primary dealer" in U.S.
Government Securities is the other party to an option contract
written by a mutual fund such as a Series, and such Series has the
absolute right to repurchase the option from the dealer at a formula
price established in a contract with the dealer, the SEC staff has
agreed that the Series only needs to treat as illiquid that amount of
the "cover" assets equal to the amount by which (i) the formula price
exceeds (ii) any amount by which the market value of the securities
subject to the options exceeds the exercise price of the option (the
amount by which the option is "in-the-money").
Risks Related to Futures and Options. The use of futures
contracts and options involves risks. One risk arises because of the
imperfect correlation between movements in the price of futures
contracts or options and movements in the price of the underlying
securities or index. The Series' use of futures contracts or options
will not be fully effective unless the Series can compensate for such
imperfect correlation. There is no assurance that the Series will be
able to effect such compensation.
The correlation between the price movement of a futures contract
or option and the related security (or index) may be distorted due to
differences in the nature of the markets. If the price of the futures
contract or option moves more than the price of the security or index,
the Series would experience either a loss or a gain on the future or
option that is not completely offset by movements in the price of the
security or index. In an attempt to compensate for imperfect price
movement correlations, a Series may purchase or sell futures contracts
or options in a greater amount than the related securities or index
position if the volatility of the related securities or index is
historically greater than the volatility of the futures contracts or
options. Conversely, the Series may purchase or sell fewer contracts
or options if the volatility of the price of the securities or index
is historically less than that of the contracts or options.
There are many reasons why changes in the values of futures
contracts or options may not correlate perfectly with changes in the
value of the underlying security of index. For example, all
participants in the futures market are subject to margin deposit and
maintenance requirements. Rather than meeting additional margin
deposit requirements, investors may close futures contracts through
offsetting transactions, which could distort the normal relationship
between the index and futures markets. Secondly, the deposit
requirements in the futures market are less onerous than margin
requirements in the securities market, and as a result the futures
market may attract more speculators than does the securities market.
In addition, trading hours for index futures or options may not
correspond perfectly to hours of trading on the exchange where the
underlying securities trade. This may result in a disparity between
the price of futures or options and the value of the underlying
security or index due to the lack of continuous arbitrage between the
futures or options price and the value of the underlying security or
index. Hedging transactions using securities indices also involve
the risk that movements in the price of the index may not correlate
with price movements of the particular portfolio securities being
hedged (since a Series will typically not own all of the securities
included in a particular index.)
Price movement correlation also may be distorted by the limited
liquidity of certain futures or options markets and the participation
of speculators in such markets. If an insufficient number of
contracts are traded, commercial users may not deal in futures
contracts or options because they do not want to assume the risk that
they may not be able to close out their positions within a reasonable
amount of time. In such instance, futures and options market prices
may be driven by different forces than those driving the market in the
underlying securities, and price spreads between these markets may
widen. The participation of speculators in the market generally
enhances its liquidity. Nonetheless, speculative trading spreads
between futures markets may create temporary price distortions
unrelated to the market in the underlying securities.
Positions in futures contracts and related options are
established or closed out only on an exchange or board of trade
regulated by the Commodity Futures Trading Commission. There is no
assurance that a liquid market on an exchange or board of trade will
exist for any particular contract or at any particular time. The
liquidity of markets in futures contracts may be adversely affected by
"daily price fluctuation limits" established by commodity exchanges
which limit the amount of fluctuation in a futures price during a
single trading day. Once the daily limit has been reached in a
contract, no trades may be entered into at a price beyond the limit,
which may prevent the liquidation of open futures positions. Prices
have in the past exceeded the daily limit on a number of consecutive
trading days. If there is not a liquid market at a particular time,
it may not be possible to close a futures position at such time, and,
in the event of adverse price movements, the Series would continue to
be required to make daily cash payments of variation margin. However,
if futures or options are used to hedge portfolio securities, an
increase in the price of the securities, if any, may partially or
completely offset losses on the futures contract.
An exchange-traded option may be closed out only on a national
securities or commodities exchange which generally provides a liquid
secondary market for an option of the same series. If a liquid
secondary market for an exchange-traded option does not exist, it
might not be possible to effect a closing transaction with respect to
a particular option, with the result that the Series would have to
exercise the option in order to realize any profit. If the Series
that has written an option is unable to effect a closing purchase
transaction in a secondary market, it will not be able to sell the
underlying security until the option expires or it delivers the
underlying security upon exercise. Reasons for the absence of a
liquid secondary market on an exchange include the following: (i)
there may be insufficient trading interest in certain options; (ii)
restrictions may be imposed by an exchange on opening transactions or
closing transactions or both; (iii) trading halts, suspensions or
other restrictions may be imposed with respect to particular classes
or series of options or underlying securities; (iv) unusual or
unforeseen circumstances may interrupt normal operations on an
exchange; (v) the facilities of an exchange or the Options Clearing
Corporation or other clearing organization may not at all times be
adequate to handle current trading volume or (vi) 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 on that
exchange 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.
Because the specific procedures for trading foreign futures and
options on futures exchanges are still evolving, additional or
different margin requirements as well as settlement procedures may be
applicable to foreign futures and options at the time the Series
purchases foreign futures or options.
The successful use of transactions in futures and options depends
in part on the ability of the Series to forecast correctly the
direction and extent of interest rate or securities price movements
within a given time frame. To the extent interest rates or securities
prices move in a direction opposite to that anticipated, a Series may
realize a loss that is not fully or partially offset by an increase in
the value of portfolio securities. In addition, whether or not
interest rates or securities prices move during the period that the
Series holds futures or options positions, the Series will pay the
cost of taking those positions (i.e., brokerage costs). As a result,
the Series' total return for such period may be less than if it had
not engaged in the futures or option transaction.
Future Developments. The above discussion relates to the
Series' proposed use of futures contracts, options and options on
futures contracts currently available. The relevant markets and
related regulations are still in the developing stage. In the event
of future regulatory or market developments, the Series may also use
additional types of futures contracts or options and other similar or
related investment techniques.
Foreign Currency Hedging Transactions - To protect against a
change in the foreign currency exchange rate between the date on
which a Series contracts to purchase or sell a security that settles
in a foreign currency and the settlement date for the purchase or
sale, or to "lock in" the equivalent of a dividend or interest
payment in another currency, the Series might purchase or sell a
foreign currency on a spot (or cash) basis at the prevailing spot
rate. If conditions warrant, a Series may also enter into contracts
with banks or broker-dealers to purchase or sell foreign currencies
at a future date ("forward contracts"). The Series will maintain
cash or high-quality debt obligations in a segregated account with
the custodian in an amount at least equal to (i) the difference
between the current value of the Series' liquid holdings that settle
in the relevant currency and the Series' outstanding net obligations
under currency forward contracts in that currency, or (ii) the
current amount, if any, that would be required to be paid to enter
into an offsetting forward currency contract which would have the
effect of closing out the original forward contract. The Series' use
of currency hedging transactions may be limited by tax
considerations. The Series may also purchase or sell foreign
currency futures contracts traded on futures exchanges. Foreign
currency futures contract transactions involve risks similar to those
of other futures transactions. See "Futures and Options," above.
DETERMINATION OF NET ASSET VALUES
As described in the text of the Prospectus following the caption
"Net Asset Values and Portfolio Valuation," the value of each Series'
portfolio assets is determined by that Series' adviser (subadviser, in
the case of Series that have a subadviser). The net asset value of
each Series' shares is determined as of the close of regular trading
on the New York Stock Exchange on each day the New York Stock Exchange
is open and there is a sufficient degree of trading in a Series'
portfolio securities that the current net asset value of a Series'
shares is materially affected. The New York Stock Exchange is
currently expected to be closed on weekend days and on the following
holidays each year: New Year's Day, Presidents Day, Good Friday,
Memorial Day, Independence Day, Labor Day, Thanksgiving Day and
Christmas Day. Expenses of each Series are paid or accrued each day.
Back Bay Advisors Money Market Series
As described in the text of the Prospectus following the caption
"Net Asset Values and Portfolio Valuation," the portfolio of the Back
Bay Advisors Money Market Series will be valued at amortized cost.
Under the amortized cost method of valuation, securities are valued at
cost on the date of purchase. Thereafter the values of securities
purchased at a discount or premium are increased or decreased
incrementally each day so that at maturity the purchase discount or
premium is fully amortized and the value of the security is equal to
its principal amount. Due to fluctuations in interest rates, the
amortized cost value of the securities of the Back Bay Advisors Money
Market Series may at times be more or less than their market value.
By using amortized cost valuation, the Back Bay Advisors Money
Market Series seeks to maintain a constant net asset value of $100 per
share despite minor shifts in the market value of its portfolio
securities. The yield on a shareholder's investment may be more or
less than that which would be recognized if the net asset value per
share of the Back Bay Advisors Money Market Series were not constant
and were permitted to fluctuate with the market value of the portfolio
securities of the Back Bay Advisors Money Market Series. However, as
a result of the following procedures, the Fund believes any difference
will normally be minimal. Quarterly, the Trustees monitor the
deviation between the net asset value per share of the Back Bay
Advisors Money Market Series as determined by using available market
quotations and its amortized cost price per share. Back Bay Advisors
makes such comparisons at least weekly and will advise the Trustees
promptly in the event of any significant deviation. If the deviation
exceeds 1/2 of 1% for the Back Bay Advisors Money Market Series, the
Board of Trustees will consider what action, if any, should be
initiated to provide fair valuation of the portfolio securities of the
Back Bay Advisors Money Market Series and prevent material dilution or
other unfair results to shareholders. Such action may include selling
portfolio securities prior to maturity; withholding dividends; or
utilizing a net asset value per share as determined by using available
market quotations.
Back Bay Advisors Bond Income Series
As described in the text of the Prospectus following the caption
"Net Asset Values and Portfolio Valuation," the Back Bay Advisors Bond
Income Series values certain portfolio securities (other than fixed-
income securities maturing in 60 days or less, which are valued using
the amortized cost method) at market value where current market
quotations are readily available. Where current market quotations are
not readily available, a pricing service selected by Back Bay
Advisors, pursuant to the authorization of the Board of Trustees,
values the securities at fair value. The pricing service employed
will be one that determines valuations of normal institutional-sized
trading units of long-term debt securities. Such valuations are
determined by using methods based on market transactions for
comparable securities and on various relationships between securities
which are generally recognized by institutional traders. Other
securities for which current market quotations are not readily
available (including restricted securities, if any) and all other
assets are taken at fair value as determined in good faith by Back Bay
Advisors acting under the supervision of the Board of Trustees,
although the actual calculations may be made by a pricing service
selected by Back Bay Advisors acting pursuant to the direction of the
Board. Securities traded on a national securities exchange or
exchanges are valued at their last sale price on the principal
exchange, or if there is no reported sale, and in the case of over-the-
counter securities, at a bid price estimated by a broker.
Capital Growth, Westpeak Value Growth, Loomis Sayles Avanti Growth,
Westpeak Stock Index, Loomis Sayles Small Cap, Loomis Sayles Balanced,
Draycott International Equity, Salomon Brothers U.S. Government,
Salomon Brothers Strategic Bond Opportunities, Venture Value, Alger
Equity Growth and Short-Term Series
As described in the text of the Prospectus following the caption
"Net Asset Values and Portfolio Valuation," each of the Series listed
above values its portfolio securities (other than fixed-income
securities maturing in 60 days or less, which are valued using the
amortized cost method) at market value where current market quotations
are readily available and otherwise values them at fair value as
determined in good faith by the Trustees or by the particular Series'
adviser or subadviser under the supervision of the Board of Trustees.
Each of the advisers and subadvisers have been authorized to delegate
certain price determinations to pricing services or facilities which
they select. Securities traded on a national securities exchange or
exchanges are valued at their last sale price on the principal
exchange or, if there is no reported sale during the day, and in the
case of over-the-counter securities, at the last reported bid price
estimated by a broker.
Back Bay Advisors Managed Series
Equity securities traded on a national securities exchange or
exchanges are valued at their last sale price on the principal
exchange or, if there is no reported sale during the day, and in the
case of over-the-counter securities, at the last bid price. Debt
securities are valued at market value where current market quotations
are readily available. Where current market quotations are not
readily available, a pricing service selected by Back Bay Advisors,
acting pursuant to the authorization of the Board of Trustees, values
the securities at fair value. The pricing service employed will be
one that determines valuations of normal institutional-sized trading
units of long-term debt securities. Such valuations are determined by
using methods based on market transactions for comparable securities
and on various relationships between securities which are generally
recognized by institutional traders. Other securities for which
current market quotations are not readily available (including
restricted securities, if any) and all other assets are taken at fair
value as determined in good faith by Back Bay Advisors acting under
the supervision of the Board of Trustees, although the actual
calculations may be made by a pricing service selected by Back Bay
Advisors acting pursuant to the direction of the Board.
FUND PERFORMANCE
Calculations of Yield and Return
Yield of the Back Bay Advisors Bond Income Series, the Salomon
Brothers U.S. Government Series, the Salomon Brothers Strategic Bond
Opportunities and the Short-Term Series. As summarized in the
Prospectus under the caption "Performance Information," the yield of
each of these Series will be computed in accordance with the SEC's
standardized formula by annualizing net investment income per share
for a recent 30-day period and dividing that amount by a share's net
asset value (reduced by any earned income expected to be declared
shortly as a dividend) on the last trading day of that period. Net
investment income will reflect amortization of any market value
premium or discount of fixed-income securities (except for obligations
backed by mortgages or other assets) and may include recognition of a
pro rata portion of the stated dividend rate of dividend paying
portfolio securities.
These Series' yield will vary from time to time depending upon
market conditions, the composition of the Series' portfolio and the
operating expenses of the Series. These factors and possible
differences in the methods used in calculating yield should be
considered when comparing the Back Bay Advisors Bond Income Series'
yield to yields published for other investment companies and other
investment vehicles. Yield should also be considered relative to
changes in the value of the Series' shares and to the relative risks
associated with the investment objectives and policies of the Series.
Yield information may be useful in reviewing such Series' performance
and providing a basis for comparison with other investment
alternatives, although the yields of the Series do not take into
account any of the fees imposed in connection with the purchase of
variable insurance contracts offered by New England Variable Life
Insurance Company ("NEVLICO") or variable annuity contracts offered by
New England Life Insurance Company ("The New England"). Yield may be
stated with or without giving effect to any expense limitations in
effect for the Series.
At any time in the future, yields may be higher or lower than
past yields and there can be no assurance that any historical results
will continue.
Investors are specifically advised that share prices, expressed
as the net asset value per share, will vary just as yields will vary.
An investor's focus on the yield of a Series to the exclusion of
consideration of the share price may result in the investor's
misunderstanding the total return he or she may derive from the
Series.
Yield of the Back Bay Advisors Money Market Series. The Back Bay
Advisors Money Market Series' yield represents the net change,
exclusive of capital changes, in the value of a hypothetical account
having a balance of one share at the beginning of the period for which
yield is determined (the "base period"). Current yield for the base
period (for example, seven calendar days) is calculated by dividing
(i) the net change in the value of the account for the base period by
(ii) the number of days in the base period. The resulting number is
then multiplied by 365 in order to determine such net change on an
annualized basis. This amount is divided by the value of the account
as of the beginning of the base period, normally $100, in order to
state the current yield as a percentage. Yield may also be calculated
on an "effective" or a "compound" basis, which assumes continual
reinvestment throughout an entire year of net income earned at the
same rate as net income is earned by the account for the base period.
Yield is calculated without regard to realized and unrealized gains
and losses. The yield of the Back Bay Advisors Money Market Series
will vary depending on prevailing interest rates, the operating
expenses of the Series and the quality, maturity and type of
instruments held in the portfolio of that Series. Yield information
may be useful in reviewing such Series' performance and providing a
basis for comparison with other investment alternatives, although the
yield of the Back Bay Advisors Money Market Series does not take into
account any of the fees imposed in connection with the purchase of
variable insurance contracts offered by NEVLICO or variable annuity
contracts offered by The New England. However, unlike certain bank
deposits or other investments which pay a fixed yield for a stated
period of time, money market fund yields fluctuate. Consequently no
yield quotation should be considered as representative of what the
yield of the Back Bay Advisors Money Market Series may be for any
specified period in the future.
Calculation of Total Return. As summarized in the Prospectus
under the heading "Performance Information," total return is a measure
of the change in value of an investment in a Series over the period
covered, which assumes that any dividends or capital gain
distributions are automatically reinvested in the Series rather than
paid to the investor in cash. Total return may be higher or lower
than past performance and there can be no assurance that any
historical results will continue.
The formula for total return used by a Series includes three
steps: (1) adding to the total number of shares purchased by a
hypothetical $1,000 investment in a Series all additional shares that
would have been purchased if all dividends and distributions paid or
distributed during the period had been automatically reinvested; (2)
calculating the value of the hypothetical initial investment as of the
end of the period by multiplying the total number of shares owned at
the end of the period by the net asset value per share on the last
trading day of the period; and (3) dividing this account value for the
hypothetical investor by the amount of the initial investment and
annualizing the result for periods of less than one year. Total
return reflects the bearing or deferral of certain expenses by The New
England and its affiliates (see "Allocation of Expenses" below).
Total return would be lower for these Series if these expense
arrangements had not been in effect. Total return does not reflect
charges assessed against the insurance company separate accounts or
the variable life insurance or variable annuity products for which the
Fund serves as an investment vehicle. Total return may be stated
alone or may be accompanied by investment return information for those
separate accounts or the variable life insurance or variable annuity
products.
Performance Comparisons
Yield and Total Return. Each Series may, from time to time,
include its total return in advertisements or in other written
information furnished to present and prospective owners of the
variable life insurance and variable annuity contracts supported by
the Fund. The Back Bay Advisors Bond Income Series, the Salomon
Brothers U.S. Government Series, the Salomon Brothers Strategic Bond
Opportunities Series and the Back Bay Advisors Money Market Series
may, from time to time, also include their yield in such
advertisements or other written information. These results may
include comparisons to the yields of money market funds reporting to
IBC/Donoghue's Money Fund Report ("Donoghue's Report"). In addition,
each Series may, from time to time, provide a ranking of such
performance figures relative to similar figures for mutual funds whose
performance has been monitored by Lipper Analytical Services, Inc.
("Lipper"). Performance information about a Series is based on the
Series' past performance and is not intended to indicate future
performance.
Donoghue's Report is an independent service that collects data
from over 1,000 money market funds weekly and reports on the assets, 7-
and 30-day yields, 12-month yields, average maturities and portfolio
breakdowns of such funds. 12-month yields represent total return
assuming reinvestment of dividends for up to one year.
The Lipper is an independent service that monitors the
performance of over 750 variable annuity and variable life mutual
funds, calculates total return and, in some cases, yield for such
funds.
Total return (and yield in the case of the Back Bay Advisors Bond
Income Series, the Back Bay Advisors Money Market Series, the Salomon
Brothers U.S. Government Series and the Salomon Brothers Strategic
Bond Opportunities Series) may also be used to compare the performance
of a Series against certain widely acknowledged standards or indices
for stock and bond market performance, including the S&P 500 Index,
the Dow Jones Industrial Average, the Lehman Government/Corporate Bond
Index, the Lehman Intermediate Government/Corporate Bond Index, the
S&P/BARRA Growth Index, the S&P/BARRA Value Index, the Lipper Balanced
Fund Average, the Lipper Variable Insurance Products Performance
Growth and Income Average, the Lehman Brothers Government Bond Index,
the First Boston High Yield Index, the Russell 2000 Index, the Lehman
Aggregate Bond Index, the Lehman Intermediate Government Index and the
Morgan Stanley Capital International Europe, Australia, Far East
Index, or against the U.S. Bureau of Labor Statistics' Consumer Price
Index.
The S&P 500 Index is a market value-weighted and unmanaged index
showing the changes in the aggregate market value of 500 stocks
relative to the base period 1941-43. The S&P 500 Index is composed
almost entirely of common stocks of companies listed on the New York
Stock Exchange, although the common stocks of a few companies listed
on the American Stock Exchange or traded over-the-counter are
included. The 500 companies represented include 385 industrial, 15
transportation, 55 financial services and 45 utilities concerns.
The Dow Jones Industrial Average ("DJIA") is a market value-
weighted and unmanaged index of 30 large industrial stocks traded on
the New York Stock Exchange.
The Lehman Government/Corporate Bond Index is a measure of the
market value of approximately 5,300 bonds with a face value currently
in excess of $1.3 trillion. To be included in the Lehman
Government/Corporate Bond Index, an issue must have amounts
outstanding in excess of $1 million, have at least one year to
maturity and be rated "Baa" or higher ("investment grade") by a
nationally recognized rating agency.
The Lehman Intermediate Government/Corporate Bond Index is an
unmanaged index of investment grade bonds issued by the U.S.
Government and U.S. corporations having maturities between one and ten
years.
The Consumer Price Index, published by the U.S. Bureau of Labor
Statistics, is a statistical measure of changes, over time, in the
prices of goods and services in major expenditure groups.
The S&P/BARRA Growth Index is an unmanaged index of more than 150
large capitalization stocks that have high historical earnings growth
and predicted above average earnings growth. The S&P/BARRA Value
Index is an unmanaged index of more than 300 large capitalization
stocks characterized by low price-to-book ratios, high yield and low
price-to-earnings ratios. Both the S&P/BARRA Growth Index and the
S&P/BARRA Value Index are compiled by BARRA.
The Lipper Balanced Fund Average is a measure of the performance
of the largest open-end balanced mutual funds.
The Lipper Variable Insurance Products Performance Growth and
Income Average represents a grouping of funds underlying annuity
products which have growth and income as their investment objectives.
The Lehman Brothers Government Bond Index is an index which
includes most public obligations of the U.S. Treasury, agencies and
quasi-federal corporations and corporate debt guaranteed by the U.S.
Government having a maturity of at least one year.
The First Boston High Yield Index is an unmanaged index of bonds
issued by the U.S. Government and its agencies having maturities
between one and ten years.
The Lehman Aggregate Bond Index is an index which includes most
obligations of the U.S. Treasury, agencies and quasi-federal
corportions, most publicly issued investment grade corporate bonds,
and most bonds backed by mortgage pools of GNMA, FNMA and FHLMC.
The Lehman Intermediate Government Bond Index is an index which
includes most obligations of the U.S. Treasury, agencies and quasi-
federal corportions having maturities of one to ten years.
The Russell 2000 Index is an index which consists of 2000 small
market capitalization stocks having an average market cap of $160
million.
The Morgan Stanley Capital International Europe, Australia, Far
East Index is an arithmetical average (weighted by market value) of
the performance (in U.S. dollars) of 1,036 companies representing the
stock markets of Europe, Australia, New Zealand and the Far East.
From time to time, articles about a Series regarding performance,
rankings and other Series characteristics may appear in national
publications including, but not limited to, the Wall Street Journal,
Forbes, Fortune, CDA Investment Technologies and Money Magazine (see
Appendix B). In particular, some or all of these publications may
publish their own rankings or performance reviews of mutual funds,
including the Fund. References to or reprints or portions of reprints
of such articles, which may be include rankings that list the names of
other funds and their performance, may be used as Fund or variable
contract sales literature or advertising material.
The following table presents certain total return information for
certain Series and certain indexes and averages for periods ended
December 31, 1994:
Total Return Total 5-Year 10-Year
For The Return Average Average
Year Ended For the 5- Annual Annual
Dec. 31, Year Total Total Return
1994 Period Return
Ended
Dec. 31,
1994
Capital Growth -7.1% 49.2% 8.3% 24.5%
Series
Back Bay Advisors -3.4% 50.1% 8.5% 9.8%
Bond Income
Series
Back Bay Advisors 4.0% 27.7% 5.0% 6.3%
Money Market
Series
Back Bay Advisors -1.1% 44.8% 7.7% ---%
Managed Series
Westpeak Stock 1.1% 48.8% 8.3% ---%
Index Series
Westpeak Value -1.2% ---% ---% ---%
Growth Series
(1)
Loomis Sayles
Avanti Growth -0.3% ---% ---% ---%
Series
Loomis Sayles
Small Cap -3.2% ---% ---% ---%
Series(2)
Loomis Sayles -0.1%(3) ---% ---% ---%
Balanced Series
Draycott 2.6%(3) ---% ---% ---%
International
Equity Series
Salomon Brothers 0.6%(3) ---% ---% ---%
U.S. Government
Series
Salomon Brothers -1.4%(3) ---% ---% ---%
Strategic Bond
Opportunities
Series
Venture Value -3.5%(3) ---% ---% ---%
Series
Alger Equity -4.2%(3) ---% ---% ---%
Growth Series
S & P 500 1.3% 51.6% 8.7% 14.4%
Lehman -2.0% 45.0% 7.4% 9.1%
Government/
Corporate Index
Consumer Price 2.8% 18.7% 3.5% 3.6%
Index
DJIA 5.1% 63.0% 10.3% 16.2%
(1) For the period beginning April 30, 1993, when the Loomis Sayles
Avanti Growth and the Westpeak Value Growth Series commenced sales of
shares to the public.
(2) For the period beginning May 1, 1994, when the Loomis Sayles
Small Cap Series commenced operations.
(3) For the period beginning October 31, 1994 when the Series
commenced sales of shares to the public.
No brokerage commissions or other fees were factored into the
values of the S&P 500, which is an index of an unmanaged group of
common stocks. No adjustments have been made for a shareholder's tax
liability on dividends and capital gains distributions.
Since inception, the Capital Growth Series has made the following
distributions of income: on 1/20/84 $0.21 per share; on 1/25/85 $1.12
per share; on 1/24/86 $0.90 per share; on 1/23/87 $0.44 per share; on
12/31/87 $0.66 per share; on 12/29/88 $9.55 per share; on 9/14/89
$0.13 per share; on 12/29/89 $2.59 per share; on 12/28/90 $2.11 per
share; on 12/27/91 $3.22 per share; on 12/29/92 $4.07; on 12/29/93
$2.18 per share and on 12/28/94 $5.15 per share. Over the same
period, the Capital Growth Series has made the following distributions
of realized capital gains: on 1/20/84 $0.49 per share; on 1/24/86
$45.74 per share; on 1/23/87 $122.84 per share; on 12/31/87 $19.59 per
share; on 1/28/88 $0.30 per share; on 12/28/90 none; on 12/27/91
$32.37 per share; on 12/31/92 none; on 12/29/93 $16.75 per share; on
7/22/94 $0.41 per share and on 12/28/94 $8.92 per share.
Since inception, the Back Bay Advisors Bond Income Series has
made the following distributions of income: on 1/20/84 $3.76 per
share; on 1/25/85 $11.60 per share; on 1/24/86 $11.09 per share; on
1/23/87 $10.04 per share; on 12/31/87 $8.67 per share; on 12/29/88
$10.70 per share; on 12/27/89 $6.91 per share; on 12/28/90 $7.46 per
share; on 12/27/91 $9.47 per share; on 12/29/92 $6.87 per share; on
12/29/93 $6.25 per share and on 12/28/94 $7.05 per share. Over the
same period, the Back Bay Advisors Bond Income Series has made the
following distributions of realized capital gains: on 1/20/84 $0.11
per share; on 1/24/86 $1.67 per share; on 1/23/87 $11.10 per share; on
12/28/90 none; on 12/27/91 $2.13 per share; on 12/29/92 $1.57 per
share; on 12/29/93 $4.16 per share and on 12/28/94 none.
Since commencing the sale of shares to the public on May 1, 1987,
the Westpeak Stock Index Series has made the following distributions
of income: on 12/31/87 $2.23 per share; on 12/29/88 $3.44 per share;
on 12/27/89 $3.74 per share; on 12/28/90 $3.99 per share; on 12/27/91
$3.56 per share; on 12/29/92 $8.35 per share; on 12/29/93 $1.54 per
share and on 12/28/94 $1.82 per share. Over the same period, the
Westpeak Stock Index Series has made the following distributions of
realized capital gains: on 12/31/87 $0.41 per share; on 12/29/88 $0.81
per share; on 12/27/89 $1.64 per share; on 12/28/90 none; on 1/29/91
$0.05; on 12/27/91 $0.39 per share; on 12/29/92 $67.41 per share; on
5/20/93 $0.29 per share; on 12/29/93 $0.695 per share and on 12/28/94
$0.16 per share. In addition, the Westpeak Stock Index Series made a
distribution of paid-in capital on 12/28/94 of $0.03.
Since commencing the sale of shares to the public on May 1, 1987,
the Back Bay Advisors Managed Series has made the following
distributions of income: on 12/31/87 $2.73 per share; on 12/29/88
$5.24 per share; on 12/27/89 $4.22 per share; on 12/28/90 $5.52 per
share; on 12/27/91 $6.41 per share; on 12/29/92 $5.13 per share; on
5/20/93 $0.02 per share; on 12/29/93 $4.335 per share and on 12/28/94
$5.38 per share. Over the same period, the Back Bay Advisors Managed
Series has made the following distributions of realized capital gains:
on 12/29/88 $0.38; on 12/27/89 $0.38; on 12/28/90 none; on 12/27/91
$1.15 per share; on 12/29/92 $1.07 per share; on 12/29/93 $2.645 per
share and on 12/28/94 none.
Since commencing the sale of shares to the public on April 30,
1993, the Westpeak Value Growth Series has made the following
distributions of income: on 12/29/93 $0.92 per share and on 12/28/94
$1.92 per share. Over the same period, the Westpeak Value Growth
Series has made the following distributions of realized capital gains:
on 12/29/93 $1.01 per share and on 12/28/94 none. In addition, the
Westpeak Value Growth Series made a distribution of paid-in capital on
12/28/94 of $0.02.
Since commencing the sale of shares to the public on April 30,
1993, the Loomis Sayles Avanti Growth Series has made the following
distributions of income: on 12/29/93 $0.175 per share and on 12/28/94
$0.60 per share. Over the same period, the Loomis Sayles Avanti
Growth Series has made the following distributions of realized capital
gains: on 12/29/93 $0.885 per share and on 12/28/94 none.
Since commencing operations on May 1, 1994, the Loomis Sayles
Small Cap Series has made the following distributions: on 12/28/94,
income of $0.15 per share and no realized capital gains.
Since commencing operations October 31, 1994, the Loomis Sayles
Balanced Series has made the following distributions: on 12/28/94,
income of $0.05 per share and no realized capital gains.
Since commencing operations on October 31, 1994, the Draycott
International Equity Series has made the following distributions: on
12/28/94, income of $ 0.02 per share, no realized capital gains, and
paid-in capital of $0.01.
Since commencing operations on October 31, 1994, the Salomon
Brothers U.S. Government Series has made the following distributions:
on 12/28/94, income of $ 0.10 per share and no realized capital gains.
Since commencing on October 31, 1994, the Salomon Brothers
Strategic Bond Opportunities Series has made the following
distributions: on 12/28/94, income of $ 0.12 per share and no realized
capital gains.
Since commencing operations on October 31, 1994, the Venture
Value Series has made the following distributions: on 12/28/94, income
of $0.03 per share and no realized capital gains.
Since commencing operations on October 31, 1994, the Alger Equity
Growth Series has made the following distributions: on 12/28/94,
income of 0.02 per share and no realized capital gains.
Since commencing operations on October 31, 1994, the Short-Term
Series has made the following distributions: on 12/28/94, income of
$0.04 per share and no realized capital gains of none per share.
TRUSTEES AND OFFICERS
Trustees and officers of the Fund and their principal occupations
during the past five years or more are as follows:
NANCY HAWTHORNE -- Trustee; Pilot House, Lewis Wharf, Boston, MA
02110; Senior Vice President and Chief Financial Officer,
Continental Cablevision, Inc. (cable television operator);
formerly, Senior Vice President and Treasurer, Continental
Cablevision, Inc.; Director, Perini Corporation (construction).
JOSEPH M. HINCHEY -- Trustee; 193 Wamphassue Road, Stonington,
Connecticut 06378; Retired; formerly, Senior Vice President-
Finance, Analog Devices, Inc. (manufacturer of electronic
devices); Trustee, Union College and Citizens Scholarship
Foundation of America, Inc.; Director, New England Security
Insurance and Chemet Corporation (manufacturer of metallurgical
products).
RICHARD S. HUMPHREY, JR. -- Trustee; 217 Waterways Avenue., P.O. Box
518, Boca Grande, Florida 33921; Director, RYKA, Inc.
(manufacturer of athletic footwear for women); retired Chairman of
the Board, HBM/Creamer (advertising agency).
ROBERT B. KITTREDGE -- Trustee; 21 Sturdivant Street, Cumberland
Foreside, ME 04110; Retired; Trustee, CGM Trust and CGM Capital
Development Fund; formerly, Vice President, General Counsel and
Director, Loomis, Sayles & Company, Inc.
LAURENS MACLURE -- Trustee; 183 Sohier Street, Cohasset, MA 02025;
Retired; Trustee, CGM Trust and CGM Capital Development Fund;
Director, Blue Cross of Massachusetts (health insurance).
DALE ROGERS MARSHALL -- Trustee; 26 East Main Street, Norton, MA 02766;
President, Wheaton College, formerly, Academic Dean, Wellesley
College.
JOSEPH F. TURLEY -- Trustee; 5680 N. AIA #304, Indian River Shores, FL
32963; Retired; Director, The Gillette Company (manufacturers of
personal care products) and EG&G, Inc. (a diversified technical
company); formerly, President and Chief Operating Officer, The
Gillette Company.
FREDERICK K. ZIMMERMANN* -- Chairman of the Board, Chief Executive
Officer, President and Trustee; Chief Investment Officer and
Executive Vice President, The New England; formerly, Senior Vice
President, Vice President and Controller, The New England;
Chairman of the Board and President, TNE Advisers, Inc.; Director
and Vice President - Investments, NEVLICO; Chairman of the Board
and President, New England Pension and Annuity Company.
ANNE M. GOGGIN* -- Senior Vice President and Trustee; Vice President
and Counsel, The New England; Vice President, General Counsel,
Secretary and Clerk, New England Securities Corp.
G. KENNETH HEEBNER -- Senior Vice President; Associate, Capital Growth
Management Limited Partnership ("CGM").
ROBERT L. KEMP -- Senior Vice President; Associate, CGM.
GERALD H. SCRIVER -- Senior Vice President; President, Director and
Chief Executive Officer, Westpeak Investment Advisors, L. P.
("Westpeak"); Senior Vice President, TNE Advisers, Inc.
formerly Senior Vice President, INVESCO Funds Group.
CHARLES T. WALLIS -- Senior Vice President; President and Chief
Executive Officer, Back Bay Advisors, L.P.; Director, New England
Funds, L.P.
ROBERT BLANDING -- Senior Vice President, Chief Executive Officer,
Loomis, Sayles & Co.
MERI ANNE BECK -- Vice President; Vice President, Senior Partner and
Fixed Income Portfolio Manager, Loomis Sayles; formerly, Senior
Portfolio Manager and Investment Strategist, TSA Capital
Management.
HAROLD BJORNSON -- Vice President; Vice President, Back Bay Advisors;
formerly, Assistant Vice President, New England Securities.
CATHERINE L. BUNTING -- Vice President; Vice President, Back Bay
Advisors.
PHILIP J. COOPER -- Vice President; Vice President, Westpeak, Vice
President TNE Advisers, Inc.; formerly, Portfolio Manager, United
Asset Management Services; Officer,
BEVERLY J. DeWITT -- Secretary; Chief Legal Officer and Clerk, TNE
Advisers, Inc.; Attorney, The New England; Assistant Secretary and
Assistant Clerk, Westpeak; Assistant Secretary, New England
Securities Corp; formerly, Attorney, Choate, Hall and Stewart.
PETER H. DUFFY -- Assistant Treasurer; Vice President, New England
Funds, L.P.
BARBARA C. FRIEDMAN -- Vice President; Vice President, Loomis Sayles;
formerly, Partner and Portfolio Manager, Harvard Management
Company.
JOHN F. GUTHRIE -- Senior Vice President; Vice President of Portfolio
Strategy, The New England; Senior Vice President, TNE Advisers, Inc.
RICHARD W. HURCKES -- Vice President; Vice President, Loomis Sayles.
* Trustee deemed an "interested person" of the Trusts, as
defined in the Investment Company Act of 1940
J. SCOTT NICHOLSON -- Vice President; Senior Vice President, Back Bay
Advisors.
ALAN C. LELAND -- Vice President; Chief Financial Officer, TNE
Advsiers, Inc.; Vice President, The New England.
PETER PALFREY -- Vice President; Vice President, Back Bay Advisors;
formerly, Investment Vice President, MONY Capital Management.
SCOTT PAPE -- Vice President ; Vice President, Loomis Sayles;
formerly, Equity Portfolio Manager, Illinois State Board of
Investment.
JEFFREY C. PETHERICK -- Vice President; Vice President, Loomis Sayles;
formerly, Analyst, Masco Corporation.
DOUGLAS D. RAMOS -- Vice President; Vice President, Loomis Sayles;
formerly, Equity Portfolio Manager, Illinois State Board of
Investment.
FRANK NESVET -- Treasurer; Senior Vice President and Chief Financial
Officer, New England Funds, L.P.; formerly, Executive Vice
President, SuperShare Services Corporation.
SHEILA M. BARRY -- Assistant Secretary; Vice President & Senior
Counsel, New England Funds, L.P.
LOUIS BALLERENE -- Assistant Treasurer; Assistant Vice President, New
England Funds, L.P.
Previous positions during the past five years with The New
England, Back Bay Advisors, CGM, Westpeak, Loomis Sayles or New
England Funds, L.P. are omitted, if not materially different. Each of
the Fund's Trustees is also a manager of New England Variable Annuity
Fund I for which New England Securities acts as a principal
underwriter and CGM as investment adviser.
Except as indicated above, the address of each trustee and
officer of the Fund affiliated with The New England is 501 Boylston
Street, Boston, Massachusetts 02116. The address of each trustee or
officer of the Fund affiliated with Back Bay Advisors, New England
Funds, L.P. or New England Securities is 399 Boylston Street, Boston,
Massachusetts. The address of each trustee and officer affiliated
with CGM is One International Place, Boston, Massachusetts. Mr.
Hurckes' and Mr. Pape's address is Three First National Plaza,
Chicago, Illinois and Mr. Scriver's and Mr. Cooper's address is 1050
Walnut Street, Suite 300, Boulder, Colorado. Mr. Shepherd's address
is 595 Fifth Street West, Sonoma, California and Mr. Petherick's
address is 1533 North Woodward, Suite 300, Bloomfield Hills, Michigan.
Mr. Ramos' and Ms. Beck's address is 155 Lake Avenue, Suite 1030,
Pasadena, California.
The officers and trustees of the Fund who are "interested
persons" receive no compensation from the Fund, for their services in
such capacities, although they do receive compensation from The New
England, Back Bay Advisors, CGM, Westpeak, Loomis Sayles or New
England Funds, L.P. for services rendered in other capacities.
Trustees Fees
New England Zenith Fund pays no compensation to its officers or
to its trustees who are interested persons thereof.
Until May 1, 1995, each Trustee who is not an interested person
of the Fund received, in the aggregate for serving on the boards of
the Fund and twenty one other mutual fund portfolios, a retainer fee
at the annual rate of $40,000 and meeting attendance fees of $2,500
for each meeting of the boards he or she attended and $1,500 for each
meeting he or she attended of a committee of the board of which he or
she was a member. Each committee chairman received an additional
retainer fee at the annual rate of $2,500. These fees were allocated
among the Series and the twenty one other mutual fund portfolios based
on a formula that took into account, among other factors, the net
assets of each Series and each mutual fund.
Effective May 1, 1995, each Trustee who is not an interested
person will receive for serving as Trustee of the Fund and on the
board of New England Variable Annuity Fund I ("NEVA") a retainer fee
at an annual rate of $20,000, and meeting attendance fees of $2,000
for each board meeting attended and a special, one-time fee of $5,000
relating to the services of the board in conjunction with the
restructuring of the boards. In addition, the chairman of the Contract
Review and Governance Committee will receive a retainer at the annual
rate of $3,000, and the chairman of the Audit Committee will receive a
retainer at the annual rate of $2,000. The compensation will be
allocated among the Series and NEVA based on a formula that takes into
account, among other factors, the assets of each Series, and NEVA.
During the fiscal year ended December 31, 1994, the persons who
were then Trustees of the Fund received the amounts set forth below
for serving as a Trustee of the Fund and for also serving on the
governing boards of twenty one other mutual fund portfolios (the
"Other Portfolios"). As of December 31, 1994, there were a total of
thirty-five portfolios or series in the Fund and the Other Funds
combined.
Aggregate Total
Aggregate Compensation Compensation
Compensation from from the Fund
from the Fund the Other and
in 1994 Portfolios Other
in 1994 Portfolios
in 1994
Name of Trustee
Kenneth J. Cowan $14,459 $44,916 $59,375
Joseph M. Hinchey 13,790 43,085 56,875
Richard S. 13,790 43,085 56,875
Humphrey, Jr.
Robert B. Kittredge 14,179 75,100 89,279(a)
Laurens MacLure 14,848 76,931 91,779(a)
Sandra O. Moose 12,728 40,147 52,875
James H. Scott 13,790 43,085 56,875
John A. Shane 13,531 42,344 55,875
Joseph F. Turley 14,179 44,196 58,375
Pendleton P. White 14,179 44,196 58,375
________________
(a) Also includes compensation paid by the portfolios of the
CGM Funds, a group of mutual funds for which Capital Growth
Management Limited Partnership, the investment adviser of the
Fund's Capital Growth Series, serves as investment adviser.
The Fund provides no pension or retirement benefits to Trustees,
but has adopted a deferred payment arrangement under which each
Trustee may elect not to receive fees from the Fund on a current basis
but to receive in a subsequent period an amount equal to the value
that such fees would have if they had been invested in each Series on
the normal payment date for such fees. As a result of this method of
calculating the deferred payments, each Series, upon making the
deferred payments, will be in the same financial position as if the
fees had been paid on the normal payment dates.
At March 31, 1995, the officers and trustees of the Fund as a
group owned less than 1% of the outstanding shares of the Fund.
ADVISORY ARRANGEMENTS
Advisory Structure. Pursuant to separate advisory agreements
dated October 31, 1994, TNE Advisers, Inc., has agreed to manage the
investment and reinvestment of assets of the Loomis Sayles Balanced,
Draycott International Equity, Salomon Brothers U.S. Government,
Salomon Brothers Strategic Bond Opportunities, Venture Value, Alger
Equity Growth and Short-Term Series. Pursuant to separate advisory
agreements with the Fund, each dated May 1, 1995, TNE Advisers, Inc.
has agreed to manage the investment and reinvestment of the assets of
the Back Bay Advisors Money Market, Back Bay Advisors Bond Income,
Westpeak Value Growth, Loomis Sayles Avanti Growth, Westpeak Stock
Index, Back Bay Advisors Managed and Loomis Sayles Small Cap Series.
Except in the case of the Short-Term Series, TNE Advisers, Inc. has
delegated certain of these responsibilities, including responsibility
for determining what investments such Series should purchase, hold or
sell and directing all trading for the Series' account, for each of
the above Series to subadvisers under subadvisory agreements described
below. Pursuant to an advisory agreement with the Fund dated
September 1, 1993 (which replaced a substantially identical agreement
dated March 1, 1990), CGM has agreed to manage the investment and
reinvestment of the assets of the Capital Growth Series.
In each case, advisory services are provided subject to the
supervision and control of the Fund's trustees. Each advisory
agreement also provides that the relevant investment adviser will
furnish or pay the expenses of the applicable Series for office space,
facilities and equipment, services of executive and other personnel of
the Fund and certain administrative services. TNE Advisers, Inc. has
subcontracted with New England Funds, L.P. to provide, at no extra
cost to the Series it advises, certain administrative services to the
Fund. CGM, in the case of the Capital Growth, has subcontracted with
New England Funds, L.P. to provide such services for that Series.
TNE Advisers, Inc. is a wholly-owned subsidiary of The New
England organized in 1994. TNE Advisers, Inc. manages the investment
and reinvestment of the assets of the Short-Term Series; oversees,
evaluates and monitors the subadvisers' provision of investment
advisory services to all of the other Series (except the Capital
Growth Series); and provides general business management and
administration to all of the Series (except the Capital Growth
Series).
Subject to the supervision of TNE Advisers, Inc. each subadviser,
pursuant to Subadvisory Agreements dated either October 31, 1994 (in
the case of the Loomis Sayles Balanced, Draycott International Equity,
Salomon Brothers U.S. Government, Salomon Brothers Strategic Bond
Opportunities, Venture Value and Alger Equity Growth Series) or May 1,
1995, (in the case of the Back Bay Advisors Money Market, Back Bay
Advisors Bond Income, Westpeak Value Growth, Loomis Sayles Avanti
Growth, Westpeak Stock Index, Back Bay Advisors Managed and Loomis
Sayles Small Cap Series) manages the assets of its Series in
accordance with that Series' investment objective and policies, makes
investment decisions for that Series and employs professional advisers
and securities analysts who provide research services to that Series.
The Series pay no direct fees to any of the subadvisers.
BBA, formed in 1986, is a subsidiary of NEIC. NEIC's sole
general partner, New England Investment Companies, Inc., is a
subsidiary of The New England. NEIC and its seven subsidiary or
affiliated asset management firms, collectively, have more than $60
billion of assets under management or administration. BBA provides
investment management services to institutional clients, including
other registered investment companies and accounts of The New England
and its affiliates. BBA specializes in fixed-income management and
currently manages over $6.2 billion in total assets; it is
subadviser to the Back Bay Advisors Money Market, Back Bay Advisors
Bond Income and Back Bay Advisors Managed Series.
Loomis Sayles, subadviser to the Loomis Sayles Avanti Growth,
Loomis Sayles Small Cap and Loomis Sayles Balanced Series, was
organized in 1926 and is one of the oldest and largest investment
counsel firms in the country. An important feature of the Loomis
Sayles investment approach is its emphasis on investment research.
Recommendations and reports of the Loomis Sayles research department
are circulated throughout the Loomis Sayles organization and are
available to the individuals in the Loomis Sayles organization who
have been assigned the responsibility for making investment decisions
for the Funds' portfolios. Loomis Sayles provides investment advice
to numerous other institutional and individual clients. These
clients include other registered investment companies and some
accounts of The New England and its affiliates ("New England
Accounts"). Loomis Sayles is a subsidiary of NEIC.
Westpeak is a wholly-owned subsidiary of NEIC. Organized in
1991, Westpeak provides investment management services to a mutual
fund and other institutional clients, including accounts of The New
England and its affiliates; it is subadviser to the Westpeak Value
Growth and Westpeak Stock Index Series.
Draycott, formed in 1991, is a subsidiary of NEIC that provides
investment management services to a mutual fund and to institutional
clients, including separate accounts of The New England; it is
subadviser to the Draycott International Equity Series.
Salomon Brothers Asset Management Inc ("SBAM") is a wholly-owned
subsidiary of Salomon Inc which provides investment advisory services
for individuals, other mutual funds and institutional clients; it is
subadviser to the Salomon Brothers U.S. Government Series and the
Salomon Brothers Strategic Bond Opportunities Series.
Selected/Venture Advisors, L.P. ("Selected/Venture") provides
investment advisory services for mutual funds and other clients; it is
subadviser to the Venture Value Series. Venture Advisers, Inc., the
general partner of Selected/Venture, is controlled by Shelby M.C.
Davis.
Fred Alger Management Inc. ("Alger Management") provides
investment management services to mutual funds and to other
institutions and individuals; it is subadviser to the Alger Equity
Growth Series. Alger Management, a wholly-owned subsidiary of Fred
Alger Company, Inc., which in turn is a wholly-owned subsidiary of
Alger Associates, Inc., a financial services holding company.
Frederick M. Alger III and his brother, David D. Alger, own
approximately 53% and 17%, respectively, of Alger Associates, Inc. and
may be deemed to control that company and its subsidiaries.
CGM is a limited partnership whose general partner is a
corporation owned in equal shares by Robert L. Kemp and G. Kenneth
Heebner. In addition to advising the Capital Growth Series, CGM acts
as investment adviser of CGM Capital Development Fund, CGM Trust, New
England Variable Annuity Fund I and New England Growth Fund of the
New England Funds. CGM also provides investment advice to other
institutional and individual clients.
Advisory Fees. Each Series pays its adviser compensation at the
annual percentage rates of the corresponding levels of that Series'
average daily net asset values (the adviser of the Capital Growth
Series is CGM, the adviser of each other Series is TNE Adviser).
Annual Average Daily Net
Series Percentage Asset Value
Rate Levels
Back Bay Advisors .35% the first $500 million
Money Market .30% the next $500 million
Series .25% amounts in excess of $1 billion
Back Bay Advisors .40% the first $400 million
Bond Income .35% the next $300 million
Series
.30% the next $300
million
.25% amounts in excess
of $1 billion
Capital Growth .70% the first $200 million
Series
.65% the next $300
million
.60% amounts in excess
of $500 million
Westpeak Value .70% the first $200
Growth Series million
.65% the next $300
million
.60% amounts in excess
of $500 million
Loomis Sayles .70% the first $200
Avanti Growth million
Series
.65% the next $300
million
.60% amounts in excess
of $500 million
Westpeak Stock .25% all assets
Index Series
Back Bay Advisors .50% all assets
Managed Series
Loomis Sayles 1.00% all assets
Small Cap Series
Loomis Sayles .70% all assets
Balanced Series
Draycott .90% all assets
International
Equity Series
Salomon Brothers .55% all assets
U.S. Government
Series
Salomon Brothers .65% all assets
Strategic Bond
Opportunities
Series
Venture Value .75% all assets
Series
Alger Equity .70% all assets
Growth Series
Short-Term Series .40% all assets
Subadvisory Fees. TNE Advisers, Inc. pays each subadviser at the
following rates for providing advisory services to the following
Series: for the Back Bay Advisors Money Market Series, TNE Advisers,
Inc. pays Back Bay Advisors at the annual rate of 0.15% of the first
$100 million of average net assets, 0.10% of the next $400 million of
such assets, 0.10% of the next $500 million of such assets and 0.10%
of such assets in excess of $1 billion; for the back Bay Advisors
Bond Income Series, TNE Advisers, Inc. pays Back Bay Advisors at the
annual rate of 0.25% of the first $50 million of average net assets,
0.20% of the next $200 million of such assets, 0.15% of the next $150
million of such assets, 0.15% of the next $300 million of such assets,
0.15% of the next $300 million of such assets, and 0.15% of such
assets in excess of $1 billion; for the Westpeak Value Growth Series,
TNE Advisers, Inc. pays Westpeak at the annual rate of 0.50% of the
first $25 million of average net assets, 0.40% of the next $75 million
of such assets, 0.35% of the next $100 million of such assets, 0.30%
of the next $300 million of such assets, 0.30% of the next $300
million of such assets and 0.30% of such assets in excess of $500
million; for the Loomis Sayles Avanti Growth Series, TNE Advisers,
Inc. pays Loomis Sayles at the annual rate of 0.50% of the first $25
million of average net assets, 0.40% of the next $75 million of such
assets, 0.35% of the next $100 million of such assets, 0.30% of the
next $300 million of such assets and 0.30% of such assets in excess of
$500 million; for the Westpeak Stock Index Series, TNE Advisers, Inc.
pays Westpeak at the annual rate of 0.10% of average net assets; for
the Back Bay Advisors Managed Series, TNE Advisers, Inc. pays Back Bay
Advisors at the annual rate of 0.25% of the first $50 million of
average net assets and 0.20% of such assets in excess of $50 million;
for the Loomis Sayles Small Cap Series, TNE Advisers, Inc. pays Loomis
Sayles at the annual rate of 0.55% of the first $25 million of average
net assets, 0.50% of the next $75 million of such assets, 0.45% of the
next $100 million of such assets and 0.40% of such assets in excess of
$200 million; for the Loomis Sayles Balanced Series, TNE Advisers,
Inc. pays Loomis Sayles at the annual rate of 0.50% of the first $25
million of average net assets, 0.40% of the next $75 million of such
assets and 0.30% of such assets in excess of $100 million; for the
Draycott International Equity Series, TNE Advisers, Inc. pays Draycott
at the annual rate of 0.75% of the first $10 million of average net
assets, 0.60% of the next $40 million of such assets and 0.45% of such
assets in excess of $50 million; for the Salomon Brothers U.S.
Government Series, TNE Advisers, Inc. pays SBAM at the annual rate of
0.225% of the first $200 million of average net assets, 0.15% of the
next $300 million of such assets and 0.10% of such assets in excess of
$500 million; for the Salomon Brothers Strategic Bond Opportunities
Series, TNE Advisers, Inc. pays SBAM at the annual rate of 0.35% of
the first $50 million of average net assets, 0.30% of the next $150
million of such assets, 0.25% of the next $300 million of such assets
and 0.20% of such assets in excess of $500 million; for the Venture
Value Series, TNE Advisers, Inc. pays Selected/Venture at the annual
rate of 0.45% of the first $100 million of average net assets, 0.40%
of the next $400 million of such assets and 0.35% of such assets in
excess of $500 million; for the Alger Equity Growth Series, TNE
Advisers, Inc. pays Alger Management at the annual rate of 0.45% of
the first $10 million of average net assets, 0.40% of the next $90
million of such assets, 0.35% of the next $150 million of such assets,
0.30% of the next $250 million of such assets and 0.25% of such assets
in excess of $500 million.
Short-term U.S. cash management services for the Draycott
International Equity Series are provided by BBA as subadviser to
Draycott. For these services, Draycott has agreed to compensate BBA
at the annual rate of 0.08% of the value of the Series' average daily
net assets.
In connection with SBAM's service as subadviser to the Strategic
Bond Opportunities Series, SBAM's London based affiliate, Salomon
Brothers Asset Management Limited ("SBAM Limited"), Victoria Plaza,
111 Buckingham Palace Road, London SW1W OSB, England, serves as
subadviser to SBAM relating to currency transactions and investments
in non-dollar denominated debt securities for the benefit of the
Salomon Brothers Strategic Bond Opportunities Series. For these
services, SBAM has agreed to pay SBAM Limited one-third of the
compensation that SBAM receives for serving as subadviser to the
Series. SBAM Limited is an indirect, wholly-owned subsidiary of
Salomon Inc.
For the fiscal year ended December 31, 1992, the Back Bay
Advisors Money Market Series, the Back Bay Advisors Bond Income
Series, the Westpeak Stock Index Series and the Back Bay Advisors
Managed Series paid advisory fees of $212,366, $269,931, $52,718 and
$309,442, respectively, to BBA. For that same period, the Capital
Growth Series paid $2,632,793 to CGM.
For the fiscal year ended December 31, 1993, the Back Bay
Advisors Money Market Series, the Back Bay Advisors Bond Income Series
and the Back Bay Advisors Managed Series paid advisory fees of
$213,811, $429,841 and $501,403, respectively, to BBA and for that
same period, the Capital Growth Series paid $3,729,518 to CGM. For
the period April 30 to December 31, 1993, the Westpeak Value Growth
Series paid advisory fees of $18,667 to Westpeak and the Loomis Sayles
Avanti Growth Series paid advisory fees of $23,455 to Loomis Sayles.
For the period January 1, 1993 to July 31, 1993, the Westpeak Stock
Index Series paid advisory fees of $22,166 to Back Bay Advisors and
for the period August 1,1993 to December 31, 1993, paid advisory fees
of $27,101 to Westpeak.
For the fiscal year ended December 31, 1994, the Back Bay
Advisors Money Market Series, the Back Bay Advisors Bond Income Series
and the Back Bay Advisors Managed Series paid advisory fees of
$231,326, $515,084 and $613,249, respectively, to BBA. For that same
period, the Capital Growth Series paid advisory fees of $$4,396,663 to
CGM, the Westpeak Value Growth Series and the Westpeak Stock Index
Series paid advisory fees of $111,827 and $83,095, respectively, to
Westpeak and the Loomis Sayles Avanti Growth Series paid advisory fees
of $132,596 to Loomis Sayles. For the period May 1, 1994 to December
31, 1994, the Loomis Sayles Small Cap Series paid no advisory fees to
Loomis Sayles. For the period October 31, 1994 to December 31, 1994,
the Loomis Sayles Balanced, the Draycott International Equity, Salomon
Brothers U.S. Government, Salomon Brothers Strategic Bond
Opportunities, Venture Value, Alger Equity Growth and the Short-Term
Series paid no advisory fees to TNE Advisers, Inc.
Expense Deferral Arrangement. Pursuant to an Expense Deferral
Agreement in effect beginning November 1, 1994 between the Fund and by
TNE Advisers, Inc. pertaining to the Loomis Sayles Balanced Series,
the Draycott International Equity Series, the Salomon Brothers U.S.
Government Series, the Salomon Brothers Strategic Bond Opportunities
Series, the Venture Value Series, the Alger Equity Growth Series and
the Short-Term Series, which TNE Advisers, Inc. may terminate at any
time, TNE Advisers, Inc. has agreed to pay the expenses of each such
Series (exclusive of any brokerage costs, interest, taxes or
extraordinary expenses) in excess of stated expense limits, which
limits vary from Series to Series, subject to the obligation of such
Series to repay such amounts to TNE Advisers, Inc. in future years, if
any, when the particular Series' expenses fall below the stated
expense limit that pertains to that Series; such deferred expenses may
be charged to that Series in a subsequent year to the extent that it
does not cause the total expenses in such subsequent year to exceed
the Series' stated expense limit; provided, however, that no Series is
obligated to repay any expense paid by TNE Advisers, Inc. more than
two years after the end of the fiscal year in which such expense was
incurred. Under the Expense Deferral Agreement, TNE Advisers, Inc.
has agreed to defer such expenses in excess of the following stated
expense limits: Loomis Sayles Balanced Series, 0.85% of net assets;
Draycott International Equity Series, 1.30% of net assets; Salomon
Brothers U.S. Government Series, 0.70% of net assets; Salomon Brothers
Strategic Bond Opportunities Series, 0.85% of net assets; Venture
Value Series, 0.90% of net assets; Alger Equity Growth Series, 0.85%
of net assets; Short-Term Series, 0.55% of net assets. TNE Advisers,
Inc. may at any time terminate its obligations to bear future expenses
of any Series, but any expenses that were deferred while a Series'
expense limit was in place can never be charged to that Series unless
that Series' expenses fall below the limit.
Voluntary Expense Agreement. Pursuant to a voluntary expense
agreement pertaining to the Back Bay Advisors Money Market, Back Bay
Advisors Bond Income, Back Bay Advisors Managed, Westpeak Stock Index,
Loomis Sayles Small Cap, Loomis Sayles Avanti Growth and Westpeak
Value Growth Series, TNE Advisers, Inc. bears the expenses (other than
the advisory fees and any brokerage costs, interest, taxes or
extraordinary expenses) of the Series (except the Loomis Sayles Small
Cap Series) in excess of 0.15% of the respective Series' average daily
net assets. In the case of the Loomis Sayles Small Cap Series, TNE
Advisers, Inc. bears such expenses of the Series in excess of 1.00% of
the Series' average daily net assets. Similar voluntary expense
agreements by The New England have been in effect with respect to the
Capital Growth Series since November 1, 1994 and were in effect with
respect to the Back Bay Advisors Money Market, Back Bay Advisors Bond
Income, Back Bay Advisors Managed and Westpeak Stock Index Series from
November 1, 1994 through April 30, 1995 and with respect to the Loomis
Sayles Small Cap, Loomis Sayles Avanti Growth and Westpeak Value
Growth Series from December 1, 1994 through April 30, 1995. As a
result of the voluntary expense agreements (and assuming the Series
incur the same level of advisory fees as in 1994 and no taxes,
interest or extraordinary expenses), the Series' expense ratios during
the continuation of the voluntary expense agreements are expected to
be:
Total Expense Ratio Under
Series Voluntary Expense
Agreement
Capital Growth Series 0.70%
Back Bay Advisors Money Market Series 0.50%
Back Bay Advisors Bond Income Series 0.54%
Back Bay Advisors Managed Series 0.64%
Westpeak Value Growth Series 0.85%
Westpeak Stock Index Series 0.40%
Loomis Sayles Small Cap Series 1.00%
Loomis Sayles Avanti Growth Series 0.85%
The current voluntary expense agreements may be prospectively
discontinued by TNE Advisers, Inc. or The New England, as the case
may be, at any time. Prior to November 1, 1994, the Series that are
now subject to the current voluntary expense agreements benefited from
an Expense Agreement between the Fund and The New England. Under that
Agreement, The New England paid the charges and expenses of preparing,
printing and distributing prospectuses and reports to shareholders,
custodial and transfer agent charges and expenses, legal, auditing and
accounting fees, and the expenses of shareholders' and trustees'
meetings.
Each advisory and subadvisory agreement provides that it will
continue in effect after two years from the date of its execution only
if it is approved at least annually thereafter (i) by the trustees of
the Fund or by vote of a majority of the outstanding voting securities
of the applicable Series and (ii) by vote of a majority of the
trustees who are not interested persons of (i) the Fund or (ii) the
applicable Series' investment adviser or subadviser. Any amendment to
any advisory or subadvisory agreement must be approved by vote of a
majority of the outstanding voting securities of the applicable Series
and by vote of a majority of the trustees who are not interested
persons of (i) the Fund or (ii) the applicable Series' investment
adviser or subadviser. Each agreement may be terminated without
penalty by the trustees or by the shareholders of the applicable
Series, upon sixty days' written notice, or by the applicable Series'
investment adviser, upon ninety days' written notice, and each
terminates automatically in the event of its assignment. In addition,
each subadvisory agreement may be terminated without penalty upon
ninety days' written notice by the relevant subadviser. Each advisory
agreement will automatically terminate if the Fund shall at any time
be required by New England Securities, which is an indirectly wholly-
owned subsidiary of The New England, to eliminate all reference to the
words "New England" in its name, unless the continuance of such
agreement after such change of name is approved by a majority of the
outstanding voting securities of the applicable Series and by a
majority of the trustees who are not interested persons of (i) the
Fund or (ii) the applicable Series' investment adviser.
Each advisory agreement provides that if the total ordinary
business expenses of a particular Series for any fiscal year exceed
the lowest applicable limitations (based on a percentage of average
net assets or income) prescribed by any state in which shares of that
Series are qualified for sale, the applicable Series' investment
adviser shall pay such excess. Each advisory agreement provides,
however, that the advisory fee shall not be reduced nor shall any of
such expenses be paid to an extent or under circumstances which might
result in the inability of any Series or of the Fund, taken as a
whole, to qualify as a regulated investment company under the Internal
Revenue Code of 1986, as amended. The term "expenses" for this
purpose excludes brokerage commissions, taxes, interest and
extraordinary expenses.
As required by state insurance licensing authorities, each
Series' investment adviser has also undertaken, separately from the
advisory agreements, to be liable for negligence in the performance of
any administrative services with respect to the Fund which are
supplemental to their management of the investment and reinvestment of
that Series' assets.
Each advisory and subadvisory agreement provides that the
relevant investment adviser or subadviser shall not be subject to any
liability in connection with the performance of its services
thereunder in the absence of willful misfeasance, bad faith, gross
negligence or reckless disregard of its obligations and duties.
Certain officers and employees of Back Bay Advisors who are also
officers of the Fund have responsibility for portfolio management of
the other advisory accounts and clients (including other Series of the
Fund and other registered investment companies, and accounts of
affiliates of Back Bay Advisors) that may invest in securities in
which the Series for which Back Bay Advisors acts as a subadviser may
invest. Where Back Bay Advisors determines that an investment
purchase or sale opportunity is appropriate and desirable for more
than one advisory account, purchase and sale orders may be executed
separately or may be combined and, to the extent practicable,
allocated by BBA to the participating accounts.
Where advisory accounts have competing interests in a limited
investment opportunity, BBA will allocate an investment purchase
opportunity based on the relative time that competing accounts have
had funds available for investment, and the relative amounts of
available funds, and will allocate an investment sale opportunity
based on relative cash requirements and the time that the competing
accounts have had investments available for sale. It is BBA's policy
to allocate, to the extent practicable, investment opportunities to
each client over a period of time on a fair and equitable basis
relative to its other clients.
It is believed that the ability of the Series for which Back Bay
Advisors acts as subadviser to participate in larger volume
transactions in this manner will in some cases produce better
executions for the Series. However, in some cases, this procedure
could have a detrimental effect on the price and amount of a security
available to a Series or the price at which a security may be sold.
The trustees are of the view that the benefits of retaining Back Bay
Advisors as subadviser outweigh the disadvantages, if any, that might
result from participating in such transactions.
Certain officers of Loomis Sayles who are also officers of the
Fund have responsibility for the management of other client
portfolios. The Chicago office of Loomis Sayles buys and sells
portfolio securities for the Loomis Sayles Avanti Growth Series, the
Pasadena office buys and sells portfolio securities for the Loomis
Sayles Balanced Series and the Boston and Detroit offices buy and sell
portfolio securities for the Loomis Sayles Small Cap Series. These
and other offices of Loomis Sayles buy securities independently of one
another. The other investment companies and clients served by Loomis
Sayles sometimes invest in securities in which the Series advised by
Loomis Sayles also invest. If one of these Series and such other
clients advised by the same office of Loomis Sayles desire to buy or
sell the same portfolio securities at about the same time, purchases
and sales will be allocated, to the extent practicable, on a pro rata
basis in proportion to the amounts desired to be purchased or sold for
each. It is recognized that in some cases the practices described in
this paragraph could have a detrimental effect on the price or amount
of a security which that Series purchases or sells. In other cases,
however, it is believed that these practices may benefit the Series.
It is the opinion of the trustees of the Fund that the desirability of
retaining Loomis Sayles as subadviser for these Series outweighs the
disadvantages, if any, which might result from these practices.
Certain officers of Westpeak, some of whom are officers of the
Fund, have responsibility for portfolio management for other clients
(including affiliates of Westpeak), some of which may invest in
securities in which the Westpeak Value Growth Series or the Westpeak
Stock Index Series also may invest. When these Series and other
clients desire to purchase or sell the same security at or about the
same time, the purchase and sale orders are ordinarily placed and
confirmed separately but may be combined to the extent practicable and
allocated as nearly as practicable on a pro rata basis in proportion
to the amounts desired to be purchased or sold for each. It is
believed that the ability of those clients to participate in larger
volume transactions will in some cases produce better executions for
the Westpeak Value Growth Series and the Westpeak Stock Index Series.
However, in some cases this procedure could have a detrimental effect
on the price and amount of a security available to a Series or the
price at which a security may be sold. It is the opinion of the
trustees of the Fund that the desirability of retaining Westpeak as
subadviser for the Westpeak Value Growth Series and the Westpeak Stock
Index Series outweighs the disadvantages, if any, which might result
from these practices.
Certain officers and employees of Draycott have responsibility
for portfolio management for other clients (including affiliates of
Draycott), some of which may invest in securities in which the
Draycott International Equity Series also may invest. When the
Series and other clients desire to purchase or sell the same security
at or about the same time, purchase and sale orders are ordinarily
placed and confirmed separately but may be combined to the extent
practicable and allocated as nearly as practicable on a pro rata
basis in proportion to the amounts desired to be purchased or sold
for each. It is believed that the ability of those clients to
participate in larger volume transactions will in some cases produce
better executions for the Draycott International Equity Series.
However, in some cases this procedure could have a detrimental effect
on the price and amount of a security available to the Draycott
International Equity Series or the price at which a security may be
sold. It is the opinion of the trustees that the desirability of
retaining Draycott as subadviser to the Series outweighs the
disadvantages, if any, which might result from such procedure.
Various officers and trustees of the Fund also serve as officers
or trustees of other investment companies advised by CGM. The other
investment companies and clients served by CGM (including accounts of
affiliates of CGM) sometimes invest in securities in which the Capital
Growth Series also invests. If the Capital Growth Series and such
other investment companies or clients advised by CGM desire to buy or
sell the same portfolio securities at the same time, purchases and
sales will be allocated to the extent practicable on a pro rata basis
in proportion to the amounts desired to be purchased or sold for each.
It is recognized that in some cases the practices described in this
paragraph could have a detrimental effect on the price or amount of
the securities which the Capital Growth Series purchases or sells. In
other cases, however, it is believed that these practices may benefit
the Capital Growth Series. It is the opinion of the trustees that the
desirability of retaining CGM as adviser for the Capital Growth Series
outweighs the disadvantages, if any, which might result from these
practices.
Certain officers and employees of SBAM, Selected/Venture and
Alger Management have responsibility for portfolio management for
other clients (including other registered investment companies and
affiliates of SBAM, Selected/Venture or Alger Management) some of
which may invest in securities in which the respective Series that
these subadvisers manage also invest. In such circumstances, SBAM,
Selected/Venture or Alger Management may determine that orders for the
purchase or sale of the same security for the Series it manages and
one or more other registered investment companies or other accounts it
manages should be combined, in which event the transactions will be
priced and allocated in a manner deemed by SBAM, Selected/Venture or
Alger Management, respectively, to be equitable and in the best
interests of the respective Series that it manages and its other
accounts. It is recognized that in some cases the practices described
in this paragraph could have a detrimental effect on the price or
amount of a security that a Series purchases or sells. In other
cases, however, it is believed that these practices may benefit a
Series. It is the opinion of the trustees that the desirability of
retaining SBAM, Selected/Venture and Alger Management as subadvisers
for the respective Series outweighs the disadvantages, if any, which
might result from these practices.
DISTRIBUTION AGREEMENT
Under an agreement with the Fund, New England Securities, a
Massachusetts corporation, serves as the general distributor of shares
of each Series, which are sold at net asset value without any sales
charge. The offering of each Series' shares is continuous. Shares
are offered for sale only to certain insurance company separate
accounts. New England Securities receives no compensation from the
Fund or purchasers of Fund shares for acting as distributor. The
agreement does not obligate New England Securities to sell a specific
number of shares. New England Securities is a wholly-owned subsidiary
of The New England.
New England Securities controls the words "New England" in the
Fund's name and if it should cease to be the Fund's distributor, the
Fund may be required to change its name and delete these words. New
England Securities also acts as general distributor for New England
Retirement Investment Account, New England Variable Annuity Fund I,
The New England Variable Account and New England Variable Life
Separate Account.
OTHER SERVICES
Custodial Arrangements. State Street Bank and Trust Company
("State Street Bank"), Boston, Massachusetts 02102, is the Fund's
custodian. As such, State Street Bank holds in safekeeping
certificated securities and cash belonging to each Series and, in such
capacity, is the registered owner of securities held in book-entry
form belonging to the Series. Upon instruction, State Street Bank
receives and delivers cash and securities of the Series in connection
with Series transactions and collects all dividends and other
distributions made with respect to Series portfolio securities. State
Street Bank also maintains certain accounts and records of the Fund
and calculates the total net asset value, total net income and net
asset value per share of each Series on a daily basis.
Independent Accountants. The Fund's independent accountants are
Coopers & Lybrand, One Post Office Square, Boston, Massachusetts
02109. Coopers & Lybrand conducts an annual audit of each Series,
assists in the preparation of federal and state income tax returns and
consults with the Fund as to matters of accounting and federal and
state income taxation. A table of selected per share data and ratios
for each of the Series appears in the Prospectus. This table and the
financial statements included in this Statement of Additional
Information are included in reliance on the report of Coopers &
Lybrand for the years 1987 through 1994 and on the report of the
Fund's former independent accountants, Price Waterhouse, for the years
1985 and 1986, given on the authority of said firms as experts in
auditing and accounting.
Other Arrangements. Office space, facilities, equipment and/or
certain administrative services for the Fund (and, where applicable,
other mutual funds) under the investment management of CGM or TNE
Advisers, Inc. are currently furnished by New England Funds, L.P.,
under separate service agreements with those investment advisers.
Under a service agreement between Back Bay Advisors and New England
Securities for fiscal years ended December 31, 1992, 1993 and 1994,
Back Bay Advisors paid New England Securities or New England Funds,
L.P., an affiliate of New England Securities, $50,936, $51,918 and
$56,134, respectively, relating to the Back Bay Advisors Money Market
Series; $57,324, $91,245 and $109,472, respectively, relating to the
Back Bay Advisors Bond Income Series; and $52,362, $85,151 and
$104,256, respectively, relating to the Back Bay Advisors Managed
Series under a service agreement. For the fiscal year ended December
31, 1992 and the period January 1, 1993 through July 31, 1993, Back
Bay Advisors paid New England Securities or New England Funds, L.P.
$17,920 and $ 7,552, respectively, for the Westpeak Stock Index
Series, which it managed prior to August 1, 1993, under such
agreement. Under a service agreement between New England Securities
and CGM, CGM paid New England Securities or New England Funds, L.P.,
for fiscal years ended December 1992, 1993 and 1994, $350,370,
$530,147 and $621,253, respectively, relating to the Capital Growth
Series. Under a service agreement between Loomis Sayles and New
England Funds, L.P., Loomis Sayles paid New England Funds, L.P. for
the period April 30, 1993 through December 31, 1993 and the fiscal
year ended December 31, 1994 $5,497 and $29,614, respectively, for the
Avanti Growth Series. Under the service agreement between New England
Securities and Westpeak, Westpeak paid New England Securities $4,735
for the period April 30, 1993 to December 31, 1993 and $25,381 for the
fiscal year ended December 31, 1994, respectively, for the Westpeak
Value Growth Series and $16,164 and $49,833 for the period August 1,
1993 to December 31, 1993 and for the fiscal year ended December 31,
1994, respectively, for the Westpeak Stock Index Series. Under a
service agreement between Loomis, Sayles and New England Funds, L.P.,
Loomis Sayles paid New England Funds, L.P. for the period May 1, 1994
to December 31, 1994, $2,007, for the Loomis Sayles Small Cap Series.
For the period October 31, 1994 through December 31, 1994, under
the service agreement between New England Funds, L.P. and TNE
Advisers, Inc., TNE Advisers, Inc. paid $1,666 for the Loomis Sayles
Balanced Series, $1,666 for the Draycott International Equity Series,
$1,666 the Salomon Brothers U.S. Government Series, $1,666 for the
Salomon Brothers Strategic Bond Opportunities Series, $1,666 for the
Venture Value Series, $1,666 for the Alger Equity Growth Series, and
$1,666 for the Short-Term Series.
PORTFOLIO TRANSACTIONS AND BROKERAGE
Some of the Fund's portfolio transactions are placed with brokers
and dealers who provide the investment advisers or subadvisers with
supplementary investment and statistical information or furnish market
quotations to the Fund or other investment companies advised by the
investment advisers or subadvisers. Although it is not possible to
assign an exact dollar value to these services, they may, to the
extent used, tend to reduce the expenses of the investment advisers or
subadvisers. The services may also be used by the investment advisers
or subadvisers in connection with their other advisory accounts and in
some cases may not be used with respect to the Fund.
Back Bay Advisors Money Market Series and Back Bay Advisors Bond
Income Series; Certain Portfolio Transactions of the Back Bay Advisors
Managed, Loomis Sayles Balanced and Short-Term Series
It is expected that the portfolio transactions of the Back Bay
Advisors Money Market Series and the Back Bay Advisors Bond Income
Series, and portfolio transactions of the Back Bay Advisors Managed
Series, the Loomis Sayles Balanced Series and the Short-Term Series in
bonds, notes and money market instruments, will generally be with
issuers or dealers on a net basis without a stated commission.
Portfolio turnover for the years 1992, 1993 and 1994 was 71%, 177% and
82%, respectively, for the Back Bay Advisors Bond Income Series and
36%, 22% and 76%, respectively, for the Back Bay Advisors Managed
Series.
Capital Growth Series, Loomis Sayles Avanti Growth Series, Loomis
Sayles Small Cap Series, Back Bay Advisors Managed Series (Common
Stock Transactions), Loomis Sayles Balanced Series (Common Stock
Transactions), Draycott International Equity Series, Venture Value
Series and Alger Equity Growth Series
In placing orders for the purchase and sale of portfolio
securities, CGM, in the case of the Capital Growth Series, Loomis
Sayles, in the case of the Loomis Sayles Avanti Growth Series, the
Loomis Sayles Small Cap Series and the Loomis Sayles Balanced Series,
Back Bay Advisors in the case of investments in common stocks by the
Back Bay Advisors Managed Series, Draycott, in the case of the
Draycott International Equity Series, Selected/Venture, in the case of
the Venture Value Series, and Alger Management, in the case of the
Alger Equity Growth Series, each select only brokers which it believes
are financially responsible, will provide efficient and effective
services in executing, clearing and settling an order and will charge
commission rates which, when combined with the quality of the
foregoing services, will produce best price and execution for the
transaction. This does not necessarily mean that the lowest available
brokerage commission will be paid. However, the commissions are
believed to be competitive with generally prevailing rates. The
Series' advisers or subadvisers will use their best efforts to obtain
information as to the general level of commission rates being charged
by the brokerage community from time to time and will evaluate the
overall reasonableness of brokerage commissions paid on transactions
by reference to such data. In making such evaluation, all factors
affecting liquidity and execution of the order, as well as the amount
of the capital commitment by the broker in connection with the order,
are taken into account. The Capital Growth Series, Loomis Sayles
Avanti Growth Series, Loomis Sayles Small Cap Series, Loomis Sayles
Balanced Series, Back Bay Advisors Managed Series, Draycott
International Equity Series, Venture Value Series and Alger Equity
Growth Series will not pay a broker a commission at a higher rate than
otherwise available for the same transaction in recognition of the
value of research services provided by the broker or of any other
services provided by the broker which do not contribute to the best
price and execution of the transaction.
For the fiscal years ending in 1992, 1993 and 1994, brokerage
transactions for the Capital Growth Series aggregating $1,529,395,968,
$1,745,079,465 and $1,855,305,003, respectively, were allocated to
brokers providing research services and commissions of $2,619,232,
$2,851,197 and $2,659,378, respectively, were paid on those
transactions. For the fiscal years ending in 1992, 1993 and 1994, the
Westpeak Stock Index Series paid brokerage commissions aggregating
$15,000, $21,000, and $10,918, respectively. For the same periods,
the Back Bay Advisors Managed Series paid brokerage commissions
aggregating $14,000, $17,000 and $21,159, respectively. For the
period April 30, 1993 to December 31, 1993, the Loomis Sayles Avanti
Growth Series and the Westpeak Value Growth Series paid brokerage
commissions aggregating $10,000 and $12,000, respectively; for the
fiscal year ending December 31, 1994, the Loomis Sayles Avanti Growth
Series paid brokerage commissions of $67,095 and, for the same period,
the Westpeak Value Growth Series paid brokerage commissions of
$54,751. For the period May 1, 1994 to December 31, 1994, the Loomis
Sayles Small Cap Series paid brokerage commissions of $7,395. For the
period October 31, 1994 to December 31, 1994, the Draycott
International Equity Series paid brokerage commissions of $4,714, the
Venture Value Series paid brokerage commissions of $6,084, the Alger
Equity Growth Series paid brokerage commissions of $2,452 and the
Short-Term Series paid brokerage commissions of $5,228.
Westpeak Value Growth Series, Westpeak Stock Index Series, Salomon
Brothers U.S. Government Series and Salomon Brothers Strategic Bond
Opportunities Series
In placing orders for the purchase and sale of securities,
Westpeak, in the case of the Westpeak Value Growth Series and the
Westpeak Stock Index Series and SBAM, in the case of Salomon Brothers
U.S. Government Series and Salomon Brothers Strategic Bond
Opportunities Series, always seeks best execution. Westpeak and SBAM
each selects only brokers or dealers which it believes are financially
responsible, will provide efficient and effective services in
executing, clearing and settling an order and will charge commission
rates which, when combined with the quality of the foregoing services,
will produce best price and execution. This does not necessarily mean
that the lowest available brokerage commission will be paid. Westpeak
and SBAM will each use its best efforts to obtain information as to
the general level of commission rates being charged by the brokerage
community from time to time and will evaluate the overall
reasonableness of brokerage commissions paid on transactions by
reference to such data. In making such evaluation, all factors
affecting liquidity and execution of the order, as well as the amount
of the capital commitment by the broker in connection with the order,
are taken into account. Westpeak or SBAM may cause the Series they
manage to pay a broker-dealer that provides brokerage and research
services to Westpeak or SBAM an amount of commission for effecting a
securities transaction for a Series in excess of the amount another
broker-dealer would have charged effecting that transaction. Westpeak
or SBAM, as the case may be, must determine in good faith that such
greater commission is reasonable in relation to the value of the
brokerage and research services provided by the executing broker-
dealer viewed in terms of that particular transaction or Westpeak's or
SBAM's overall responsibilities to the Fund and its other clients.
Westpeak's or SBAM's authority to cause the Series it manages to pay
such greater commissions is also subject to such policies as the
trustees of the Fund may adopt from time to time.
Affiliated Brokerage
A Series may pay brokerage commissions to an affiliated broker
for acting as the respective Series' agent on purchases and sales of
securities for the portfolio of the Series. SEC rules require that
commissions paid to an affiliated broker of a mutual fund for
portfolio transactions not exceed "usual and customary" brokerage
commissions. The rules define "usual and customary" commissions to
include amounts which are "reasonable and fair compared to the
commission, fee or other remuneration received or to be received by
other brokers in connection with comparable transactions involving
similar securities being purchased or sold on a securities exchange
during a comparable period of time." The Trustees, including those
who are not "interested persons" of the Fund, have adopted procedures
for evaluating the reasonableness of commissions paid to affiliated
brokers and will review these procedures periodically. The Westpeak
Stock Index Series paid $480, $0 and $0 in brokerage commissions to
New England Securities, an affiliated broker of the Series, in 1992,
1993, and 1994, respectively. The Back Bay Advisors Managed Series
paid $5,136, $17,268 and $0 in brokerage commissions to New England
Securities, an affiliated broker of the Series, in 1992, 1993 and
1994, respectively. The Back Bay Advisors Bond Income Series paid no
commissions to New England Securities during those periods. The Alger
Equity Growth Series paid $2,452 in brokerage commissions to Fred
Alger and Company, Inc., an affiliated broker, for the period October
31, 1994 to December 31, 1994. The Short-Term Series paid $38 in
brokerage commissions to CS First Boston Corp., an affiliated broker
of the former subadviser of the Series, for the period October 31,
1994 to December 31, 1994; the Short-Term Series terminated those
subadvisory arrangements on March 28, 1995. The amounts paid by the
Westpeak Stock Index Series represent approximately 3%, 0% and 0% of
that Series' aggregate brokerage commissions involving the payment of
commissions for fiscal years 1992, 1993 and 1994 respectively. The
amount paid by the Back Bay Advisors Managed Series represents
approximately 36%, 100% and 0% of that Series' aggregate brokerage
commissions in 1992, 1993 and 1994 respectively. The amount paid by
the Back Bay Advisors Bond Income Series represents approximately 0%,
0% and 0% of the Series' aggregate brokerage commissions in 1992, 1993
and 1994, respectively. The amount paid by the Alger Equity Growth
Series represents approximately 100% of that Series' aggregate
brokerage commissions for the period October 31, 1994 to December 31,
1994. The amount paid by the Short-Term Series represents
approximately .72% of that Series' aggregate brokerage commissions for
the period October 31, 1994 to December 31, 1994.
DESCRIPTION OF THE FUND
The Fund is organized as a Massachusetts business trust under the
laws of Massachusetts pursuant to an Agreement and Declaration of
Trust (the "Declaration of Trust") dated December 16, 1986. On
February 27, 1987, the Fund succeeded to the operations of The New
England Zenith Fund, Inc., a Massachusetts corporation incorporated on
January 7, 1983 as NEL Series Fund, Inc. On November 1, 1985, the
name of that corporation was changed to Zenith Fund, Inc. and on July
17, 1986 it was changed again to The New England Zenith Fund, Inc.
The Back Bay Advisors Money Market, Back Bay Advisors Bond Income and
Capital Growth Series all commenced investment operations in 1983.
The Westpeak Stock Index Series commenced operations on March 30,
1987. The Back Bay Advisors Managed Series commenced investment
operations on May 1, 1987. The Westpeak Value Growth Series and the
Loomis Sayles Avanti Growth Series commenced investment operations in
April 1993. The Loomis Sayles Small Cap Series commenced investment
operations on May 1, 1994. The Loomis Sayles Balanced, Draycott
International Equity, Salomon Brothers U.S. Government, Salomon
Brothers Strategic Bond Opportunities, Venture Value, Alger Equity
Growth and Short-Term Series commenced investment operations on
October 31, 1994.
The Declaration of Trust permits the trustees to issue an
unlimited number of full and fractional shares of each of the Back Bay
Advisors Money Market, Back Bay Advisors Bond Income, Capital Growth,
Westpeak Value Growth, Loomis Sayles Avanti Growth, Westpeak Stock
Index, Back Bay Advisors Managed, Loomis Sayles Small Cap, Loomis
Sayles Balanced, Draycott International Equity, Salomon Brothers U.S.
Government, Salomon Brothers Strategic Bond Opportunities, Venture
Value, Alger Equity Growth and Short-Term Series. Interests in the
Fund portfolios described in the Prospectus and in this Statement of
Additional Information are represented by shares of such Series. Each
share of a Series represents an equal proportionate interest in such
Series with each other share and is entitled to a proportionate
interest in the dividends and distributions from such Series. The
shares of the Series do not have any preemptive rights. Upon
liquidation of any Series, whether pursuant to liquidation of the Fund
or otherwise, shareholders of such Series are entitled to share pro
rata in the net assets of such Series available for distribution to
shareholders. The Declaration of Trust also permits the trustees to
charge shareholders directly for custodial, transfer agency and
servicing expenses.
The Declaration of Trust also permits the trustees, without
shareholder approval, to subdivide any series of shares into various
sub-series of shares with such dividend preferences and other rights
as the trustees may designate. While the trustees have no current
intention to exercise this power, it is intended to allow them to
provide for an equitable allocation of the impact of any future
regulatory requirements which might affect various classes of
shareholders differently. The trustees may also, without shareholder
approval, establish one or more additional separate portfolios for
investments in the Fund or merge two or more existing portfolios.
Shareholders' investments in such a portfolio would be evidenced by a
separate series of shares. The Fund is a "series" company as that
term is used in Section 18(f) of the 1940 Act.
The Declaration of Trust provides for the perpetual existence of
the Fund. The Fund or any Series, however, may be terminated at any
time by vote of at least two-thirds of the outstanding shares of each
Series affected. The Declaration of Trust further provides that the
trustees may terminate the Fund or any Series upon written notice to
the shareholders thereof.
The assets received by the Fund for the issue or sale of shares
of each Series and all income, earnings, profits, losses and proceeds
therefrom, subject only to the rights of creditors, are allocated to
that Series, and constitute the underlying assets of the Series. The
underlying assets of each Series are segregated and are charged with
the expenses in respect of that Series and with a share of the general
expenses of the Fund. Any general expenses of the Fund not readily
identifiable as belonging to a particular Series are allocated by or
under the direction of the trustees in such manner as the trustees
determine to be fair and equitable. While the expenses of the Funds
are allocated to the separate books of account of each Series, certain
expenses may be legally chargeable against the assets of all Series.
As of December 31, 1994, The New England, a mutual insurance
company organized under the laws of Massachusetts and located at 501
Boylston Street, Boston, Massachusetts 02116, and its subsidiaries
owned beneficially all of the outstanding shares of the Fund. So long
as The New England owns more than 25% of the outstanding voting
securities of the Fund, it will be presumed to be in control (as that
term is defined in the 1940 Act) of the Fund. However, the staff of
the SEC is currently of the view that The New England is required to
vote its shares in the same proportion as the votes of those shares
attributable to the variable life insurance and variable annuity
contracts investing in the Fund. The New England currently intends to
vote its shares in a manner consistent with this view. In addition,
The New England and New England Variable Life Insurance Company, a
subsidiary of The New England ("NEVLICO"), each own shares of the Fund
attributable to variable life insurance policies or variable annuity
contracts or to charges assessed under such contracts. All shares of
the Fund so owned by The New England and NEVLICO are voted in
accordance with instructions of the holders of the underlying policies
or contracts. The New England and NEVLICO will vote their Fund shares
that are held in a separate account in the same proportion as the
voting instructions received from the variable life insurance or
variable annuity contracts issued by the separate account and The New
England will vote any shares held in its general account in the same
proportion as all other Fund shares are voted.
Voting Rights
Fund shareholders are entitled to one vote for each full share
held (with fractional votes for fractional shares held) and may vote
on the election of trustees and, in certain circumstances, as to the
termination of the Fund and on other matters submitted to the vote of
shareholders. The Declaration of Trust provides that on any matter
submitted to a vote of all Fund shareholders, all Fund shares entitled
to vote shall be voted together irrespective of Series unless the
rights of a particular Series would be adversely affected by the vote,
in which case a separate vote of that Series shall also be required to
decide the question. Also, a separate vote shall be held whenever
required by the 1940 Act or any rule thereunder. Rule 18f-2 under the
1940 Act provides that, in effect, a Series shall be deemed to be
affected by a matter unless it is clear that the interests of each
Series in the matter are substantially identical or that the matter
does not affect any interest of such Series. In addition, the
Declaration of Trust provides that the shareholders of any particular
Series shall not be entitled to vote on any matters as to which such
Series is not affected. For example, the advisory agreement of a
Series, and changes in the investment objective or restrictions of a
Series, will be voted on only by that Series. On the other hand,
shareholders of all Series vote together in the election of trustees
of the Fund and in the selection of independent public accountants.
Voting rights are not cumulative.
There will normally be no meetings of shareholders for the
purpose of electing trustees except that in accordance with the 1940
Act (i) the Fund will hold a shareholders' meeting for the election of
trustees at such time as less than a majority of the trustees holding
office have been elected by shareholders and (ii) if, as a result of a
vacancy in the Board of Trustees, less than two-thirds of the trustees
holding office have been elected by the shareholders, that vacancy may
only be filled by a vote of the shareholders. In addition, trustees
may be removed from office by a written consent signed by the holders
of two-thirds of the outstanding shares at a meeting duly called for
the purpose, which meeting shall be held upon the written request of
the holders of not less than 10% of the outstanding shares. Upon
written request by the holders of shares having a net asset value
constituting 1% of the outstanding shares stating that such
shareholders wish to communicate with the other shareholders for the
purpose of obtaining the signatures necessary to demand a meeting to
consider removal of a trustee, the Fund has undertaken to provide a
list of shareholders or to disseminate appropriate materials (at the
expense of the requesting shareholders). Except as set forth above,
the trustees shall continue to hold office and may appoint successor
trustees.
No amendment may be made to the Declaration of Trust without the
affirmative vote of a majority of the outstanding shares of the Fund
except (i) to change the Fund's name or to cure technical problems in
the Declaration of Trust and (ii) to establish, designate or modify
new and existing series or sub-series of Fund shares or other
provisions relating to Fund shares in response to applicable laws or
regulations.
Shareholder and Trustee Liability
Under Massachusetts law shareholders could, under certain
circumstances, be held personally liable for the obligations of the
Fund. However, the Declaration of Trust disclaims shareholder
liability for acts or obligations of the Fund and requires that notice
of such disclaimer be given in each agreement, obligation or
instrument entered into or executed by the Fund or the trustees. The
Declaration of Trust provides for indemnification out of the relevant
Series' property for all loss and expense of any shareholder held
personally liable for the obligations of the Series in which the
shareholder owns shares. Thus, the risk of a shareholder incurring
financial loss on account of shareholder liability is considered
remote since it is limited to circumstances in which the disclaimer is
inoperative and a Series itself would be unable to meet its
obligations. For purposes of such liability, the Fund's shareholders
are the separate accounts investing directly in the Fund and not the
owners of variable life insurance or variable annuity contracts or
purchasers of other insurance products.
The Declaration of Trust further provides that the trustees will
not be liable for errors of judgment or mistakes of fact or law.
However, nothing in the Declaration of Trust protects a trustee
against any liability to which the trustee would otherwise be subject
by reason of willful misfeasance, bad faith, gross negligence or
reckless disregard of the duties involved in the conduct of his or her
office. The By-Laws of the Fund provide for indemnification by the
Fund of the trustees and officers of the Fund except with respect to
any matter as to which any such person did not act in good faith in
the reasonable belief that his or her action was in or not opposed to
the best interests of the Fund. Such person may not be indemnified
against any liability to the Fund or the Fund's shareholders to which
he or she would otherwise be subject by reason of willful misfeasance,
bad faith, gross negligence or reckless disregard of the duties
involved in the conduct of his or her office.
APPENDIX A-1
DESCRIPTION OF BOND RATINGS
Moody's Investors Service, Inc.
Aaa
Bonds which 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 which 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 fluctuations 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. See Note 1.
A
Bonds which 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. See Note 1.
Baa
Bonds which are rated Baa are considered as 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. See Note 1.
Ba
Bonds which are rated Ba are judged to have speculative elements;
their future cannot be considered as well assured. Often, the
protection of interest and principal payments may be very moderate,
and thereby not well safeguarded during both good and bad times over
the future. Uncertainty of position characterizes bonds in this
class.
B
Bonds which are rated B generally lack characteristics of the
desirable investment. Assurance of interest and principal payments or
of maintenance of other terms of the contract over any long period of
time may be small.
Caa
Bonds which are rated Caa are of poor standing. Such issues may be in
default or there may be present elements of danger with respect to
principal or interest.
Ca
Bonds which are rated Ca represent obligations which are speculative
in a high degree. Such issues are often in default or have other
marked shortcomings.
C
Bonds which are rated C are the lowest rated class of bonds, and
issues so rated can be regarded as having extremely poor prospects of
ever attaining any real investment standing.
Should no rating be assigned by Moody's, the reason may be one of the
following:
(1) An application for rating was not received or accepted.
(2) The issue or issuer belongs to a group of securities that
are not rated as a matter of policy.
(3) There is a lack of essential data pertaining to the issue or
issuer.
(4) The issue was privately placed, in which case the rating is
not published in Moody's publications.
_________________
Note 1: This rating may include the numerical modifier 1, 2 or 3 to
provide a more precise indication of relative debt quality within the
category, with 1 indicating the high end of the category, 2 the mid-
range and 3 nearer the low end.
Standard & Poor's Corporation
AAA
This is the highest rating assigned by Standard & Poor's Corporation
("S&P") to a debt obligation and indicates an extremely strong
capacity to pay principal and interest.
AA
Bonds rated AA also qualify as high quality debt obligations. Capacity
to pay principal and interest is very strong, and in the majority of
instances they differ from AAA issues only in small degree.
A
Bonds rated A have strong capacity to pay principal and interest
although they are somewhat more susceptible to the adverse effects of
changes in circumstances and economic conditions.
BBB
Bonds rated BBB are regarded as having an adequate capacity to pay
principal and interest. Whereas they normally exhibit protection
parameters, adverse economic conditions or changing circumstances are
more likely to lead to a weakened capacity to pay principal and
interest for bonds in this category than for bonds in the A category.
BB, B, CCC, CC
Bonds rated BB, B, CCC and CC are regarded, on balance, as
predominantly speculative with respect to capacity to pay interest and
repay principal in accordance with the terms of the obligation. BB
indicates the lowest degree of speculation and CC the highest degree
of speculation. While such bonds will likely have some quality and
protective characteristics, these are outweighed by large
uncertainties or major risk exposures to adverse conditions.
C
The rating C is reserved for income bonds on which no interest is
being paid.
D
Bonds rated D are in default, and payment of interest and/or repayment
of principal is in arrears.
Plus (+) or Minus (-): The ratings from "AA" to "B" may be modified
by the addition of a plus or minus sign to show relative standing
within the major rating categories.
APPENDIX A-2
DESCRIPTION OF COMMERCIAL PAPER RATINGS
Standard & Poor's Corporation
A-1
Commercial paper rated A-1 by S&P has the following characteristics:
Liquidity ratios are adequate to meet cash requirements. Long-term
senior debt is rated "A" or better. The issuer has access to at least
two additional channels of borrowing. Basic earnings and cash flow
have an upward trend with allowance made for unusual circumstances.
Typically, the issuer's industry is well established and the issuer
has a strong position within the industry. The reliability and
quality of management are unquestioned. Commercial paper within the A-
1 category which has overwhelming safety characteristics is denoted "A-
1+."
A-2
Capacity for timely payment on issues with this designation is strong.
However, the relative degree of safety is not as overwhelming as for
issues designated A-1.
Moody's Investors Service, Inc.
P-1
The rating P-1 is the highest commercial paper rating assigned by
Moody's Investors Service, Inc. ("Moody's"). Among the factors
considered by Moody's in assigning ratings are the following:
(1) evaluation of the management of the issuer;
(2) economic evaluation of the issuer's industry or industries
and an appraisal of speculative-type risks which may be inherent in
certain areas;
(3) evaluation of the issuer's products in relation to
competition and customer acceptance;
(4) liquidity;
(5) amount and quality of long-term debt;
(6) trend of earnings over a period of ten years;
(7) financial strength of a parent company and the relationships
which exist with the issuer; and
(8) recognition by the management of obligations which may be
present or may arise as a result of public interest questions and
preparations to meet such obligations.
P-2
Issuers rated P-2 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 alternative
liquidity is maintained.
APPENDIX B
ABC and affiliates Financial Planning
Atlanta Constitution Financial Services Week
Atlanta Journal Financial World
Austin American Statesman Forbes
Baltimore Sun Fort Worth Star-Telegram
Barron's Fortune
Bond Buyer Fox Network and affiliates
Boston Business Journal Fund Action
Boston Globe Hartford Courant
Boston Herald Houston Chronicle
Broker World INC
Business Radio Network Indianapolis Star
Business Week Institutional Investor
CBS and affiliates Investment Dealers Digest
CFO Investment Vision
Changing Times Investor's Daily
Chicago Sun Times Journal of Commerce
Chicago Tribune Kansas City Star
Christian Science Monitor LA Times
Christian Science Monitor News Leckey, Andrew (syndicated
Service column)
Cincinnati Enquirer Life Association News
Cincinnati Post Miami Herald
CNBC Milwaukee Sentinel
CNN Money
Columbus Dispatch Money Maker
Dallas Morning News Money Management Letter
Dallas Times-Herald Morningstar
Denver Post National Public Radio
Des Moines Register National Underwriter
Detroit Free Press NBC and affiliates
Donoghue's Money Fund Report New England Business
Dorfman, Dan (syndicated column) New England Cable News
Dow Jones News Service New Orleans Times-Picayune
Economist New York Daily News
FACS of the Week New York Times
Financial News Network Newark Star Ledger
Newsday
Newsweek
Nightly Business Report
Orange County Register
Orlando Sentinel
Pension World
Pensions and Investments
Personal Investor
Philadelphia Inquirer
Porter, Sylvia (syndicated
column)
Portland Oregonian
Public Broadcasting Service
Quinn, Jane Bryant (syndicated
column)
Registered Representative
Research Magazine
Resource
Reuters
Rukeyser's Business (syndicated
column)
Sacramento Bee
San Francisco Chronicle
San Francisco Examiner
San Jose Mercury
Seattle Post-Intelligencer
Seattle Times
Smart Money
St. Louis Post Dispatch
St. Petersburg Times
Standard & Poor's Outlook
Standard & Poor's Stock Guide
Stanger's Investment Advisor
Stockbroker's Register
Strategic Insight
Tampa Tribune
Time
Tobias, Andrew (syndicated
column)
UPI
US News and World Report
USA Today
Value Line
Wall St. Journal
Wall Street Letter
Wall Street Week
Washington Post
WBZ
WBZ-TV
WCVB-TV
WEEI
WHDH
Worcester Telegram
Worth Magazine
WRKO
APPENDIX C
FINANCIAL STATEMENTS AND REPORTS OF INDEPENDENT ACCOUNTANTS
Face
Amount Value (a)
- --------------------------------------------------------------------------
Corporate Bonds and Notes-63.3%
Chemicals-3.3%
$4,000,000 Dow Chemical Co. 8.550%, 10/15/09................. $ 4,145,560
------------
Electrical Utilities-7.3%
2,500,000 Commonwealth Edison Co. 6.400%, 10/15/05.......... 2,015,850
3,000,000 Gulf States Utilities Co. 9.720%, 7/01/98......... 3,078,300
4,145,000 Long Island Lighting Co. 7.300%, 7/15/99.......... 3,794,955
300,000 Texas Utilities Electric Co. 10.150%, 3/01/99..... 318,207
------------
9,207,312
------------
Financial-17.8%
3,350,000 American General Finance Corp. 8.450%, 10/15/09... 3,478,573
4,160,000 Associates Corp of North America 8.550%, 7/15/09.. 4,354,272
2,100,000 Chrysler Financial Corp. 10.340%, 5/15/08......... 2,158,254
2,750,000 News America Holdings, Inc 9.500%, 7/15/24........ 2,712,188
1,250,000 News America Holdings, Inc 9.250%, 2/1/13......... 1,217,187
3,600,000 General Motors Acceptance Corp. 7.150%, 4/30/99... 3,404,448
1,200,000 ITT Financial Corp. 8.350%, 11/01/04.............. 1,191,852
2,500,000 Pitney Bowes Credit Corp. 8.625%, 2/15/08......... 2,614,725
1,500,000 Toronto Dominion Bank Ontario 7.875%, 8/15/04..... 1,421,280
------------
22,552,779
------------
Foreign-8.0%
2,000,000 Government of Canada 9.000%, 12/01/04 (c)......... 1,415,312
2,500,000 Government of Canada 6.250%, 2/01/98 (c).......... 1,655,243
4,000,000 Government of Canada 8.500%, 4/01/02 (c).......... 2,756,943
2,500,000 Province of Alberta 6.375%, 6/01/04 (c)........... 1,457,442
3,000,000 Province of British Columbia 7.750%, 6/16/03 (c).. 1,935,158
1,300,000 Province of Ontario 8.000%, 3/11/03 (c)........... 844,444
------------
10,064,542
------------
Oil and Gas-6.1%
1,500,000 Coastal Corp. 10.000%, 2/01/01.................... 1,571,565
1,700,000 Coastal Corp. 10.250%, 10/15/04................... 1,823,131
600,000 Maxus Energy Corp. 10.190%, 5/09/96............... 605,250
1,000,000 Occidental Petroleum Corp. 10.125%, 9/15/09....... 1,085,280
750,000 Oryx Energy Co. 9.750%, 9/15/98................... 761,250
800,000 Oryx Energy Co. 10.000%, 6/15/99.................. 794,000
290,000 Oryx Energy Co. 10.000%, 4/01/01.................. 285,650
800,000 Union Oil Co. of California 9.625%, 5/15/95....... 808,688
------------
7,734,814
------------
See accompanying notes to financial statements.
New England Zenith Fund
(Bond Income Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Bonds and Notes-90.9% of Total Net Assets
34
<PAGE>
<TABLE>
<CAPTION>
Face
Amount Value (a)
- ---------------------------------------------------------------------------------------------------------
<C> <S> <C>
Publishing-2.3%
$2,150,000 Western Publishing Group, Inc. 7.650%, 9/15/02................................... $ 1,655,500
1,500,000 Time Warner Co. 7.250%, 9/19/08.................................................. 1,220,625
------------
2,876,125
------------
Utilities-Diversified-1.4%
1,250,000 Arizona Public Service Co. 10.250%, 5/15/20...................................... 1,342,275
500,000 New York State Electric & Gas Co. 8.875%, 11/01/21............................... 492,600
------------
1,834,875
------------
Utilities-Gas-3.8%
3,250,000 Transco Energy Co. 9.125%, 5/01/98............................................... 3,254,063
500,000 Transco Energy Co. 11.250%, 7/01/99.............................................. 530,625
1,000,000 USX Marathon Group 8.210%, 1/21/00............................................... 974,350
------------
4,759,038
------------
Yankee-13.3%
900,000 British Columbia Hydro & Power 12.500%, 9/1/13................................... 1,046,448
3,500,000 Hydro Quebec 8.050% 7/07/24...................................................... 3,373,475
4,000,000 International Bank for Reconstruction & Development 9.250%, 7/15/17.............. 4,349,720
1,200,000 Petroleos Mexicanos 6.475%, 4/07/97 (c).......................................... 1,175,652
1,500,000 Province of Manitoba 7.750%, 2/01/02............................................. 1,467,795
1,650,000 Province of Manitoba 6.875%, 9/15/02............................................. 1,507,605
1,500,000 Province of Ontario 5.812%, 8/17/99.............................................. 1,493,400
2,500,000 Republic of Columbia 8.750%, 11/6/99............................................. 2,368,750
------------
16,782,845
------------
Total Corporate Bonds and Notes (Identified Cost $85,953,957).................... 79,957,890
------------
U.S. Government and Agencies-27.6% (d)
3,000,000 Federal National Mortgage Association 7.850%, 9/10/04............................ 2,887,680
82,570 Federal Home Loan Bank, 9.000%, 5/01/01.......................................... 83,008
29,230 Federal Home Loan Bank, 9.000%, 9/01/01.......................................... 29,386
6,052,806 Government National Mortgage Association 7.000% with various maturities to 2024.. 5,462,504
4,509,679 Government National Mortgage Association 7.500%, 7/15/23......................... 4,192,603
261,283 Government National Mortgage Association 9.000%, 10/15/16........................ 264,141
2,477,518 Government National Mortgage Association 8.500% with various maturities to 2022.. 2,439,589
2,500,000 Student Loan Marketing Association 7.820%, 10/14/99.............................. 2,442,400
4,000,000 Tennessee Valley Authority 6.125%, 7/15/03....................................... 3,498,240
3,000,000 Tennessee Valley Authority 7.625%, 9/15/99....................................... 2,936,880
2,500,000 U.S. Treasury Bonds 6.250%, 8/15/23.............................................. 2,034,425
1,500,000 U.S. Treasury Notes 6.375%, 7/15/99.............................................. 1,417,980
2,500,000 U.S. Treasury Notes 8.500%, 11/15/00............................................. 2,579,550
1,000,000 U.S. Treasury Notes 7.750%, 2/15/01.............................................. 996,510
3,500,000 U.S. Treasury Notes 8.000%, 5/15/01.............................................. 3,528,840
------------
Total U.S. Government and Agencies (Identified Cost $37,632,445)................. 34,793,736
------------
Total Bonds and Notes (Identified Cost $123,586,402)............................. 114,751,626
------------
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Bond Income Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Bonds and Notes-Continued
35
Face
Amount Value (a)
- -------------------------------------------------------------------------------------------------------------------
Short-Term Investments-7.4%
- -------------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$4,658,000 American Express Credit Corp. 5.750%, 1/03/95.............................. $4,656,512
4,658,000 Household Finance Corp. 5.600%, 1/03/95.................................... 4,656,551
-------------
Total Short-Term Investments (Identified Cost $9,313,063).................. 9,313,063
-------------
Total Investments-98.3% (Identified Cost $132,899,465) (b)................. 124,064,689
Cash and Receivables....................................................... 2,794,064
Liabilities................................................................ (625,136)
-------------
Total Net Assets-100%...................................................... $126,233,617
=============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized depreciation on investments based on cost of $132,899,465 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost........................................................................................ $ 172,084
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value...................................................................................... (9,006,860)
-------------
Net unrealized depreciation......................................................................... $(8,834,776)
=============
As of December 31, 1994, the Fund had a net tax basis capital loss carry
forward as follows:
Expiring December 31, 2002 $2,295,333
(c) Denominated in Canadian dollars.
(d) The Fund's investments in mortgage backed securities of the Government
National Mortgage Association represent interests in separate pools of
mortgages. All separate investments in each of these issues, which have the
same coupon rate, have been aggregated for the purpose of presentation in
the schedule of investments.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
New England Zenith Fund
(Bond Income Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Bonds and Notes-Continued
36
Shares Value (a)
- ----------------------------------------------------------------------------
Aerospace-4.8%
685,000 Boeing Co. ......................................... $ 32,023,750
------------
Aluminum-5.4%
416,000 Aluminum Co. of America ............................ 36,036,000
------------
Banks-21.2%
1,223,000 Bank New York, Inc. ................................ 35,467,000
930,000 Chemical Banking Corp. ............................. 33,363,750
936,000 Citicorp (c)........................................ 38,727,000
708,500 Fifth Third Bancorp ................................ 34,008,000
------------
141,565,750
------------
Chemicals-5.2%
519,000 Dow Chemical Co. ................................... 34,902,750
------------
Computers and Business Equipment-15.4%
350,000 Hewlett Packard Co. ................................ 34,956,250
432,000 International Business Machines Corp. .............. 31,752,000
360,000 Xerox Corp. ........................................ 35,640,000
------------
102,348,250
------------
Drugs & Health Care-8.6%
445,000 Johnson & Johnson. ................................. 24,363,750
592,000 Medtronics, Inc. ................................... 32,930,000
------------
57,293,750
------------
Household Products-1.2%
109,000 Gillette Co. ....................................... 8,147,750
------------
Insurance-5.9%
510,000 American General Corp. ............................. 14,407,500
255,900 American International Group. ...................... 25,078,200
------------
39,485,700
------------
Mining-5.5%%
598,000 Phelps Dodge Corp. ................................. 37,001,250
------------
Paper-5.2%
948,000 Champion International Corp. ....................... 34,602,000
------------
Steel-14.1%
1,840,000 Bethlehem Steel Corp. (c)........................... 33,120,000
870,000 Inland Steel Industries, Inc........................ 30,558,750
848,000 USX-US Steel........................................ 30,104,000
------------
93,782,750
------------
Tobacco-3.3%
382,000 Philip Morris Cos., Inc. ........................... 21,965,000
------------
Miscellaneous-4.0%
355,000 Nike, Inc. ......................................... 26,491,875
------------
Total Common Stocks (Identified Cost $653,506,093).. 665,646,575
------------
See accompanying notes to financial statements.
New England Zenith Fund
(Capital Growth Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-99.8% of Total Net Assets
<PAGE>
<TABLE>
<CAPTION>
Face
Amount Value (a)
- --------------------------------------------------------------------------------------
<C> <S> <C>
$2,570,000 American Express Credit Corp. 5.800%, 1/03/95................ $2,570,000
-------------
Total Short-Term Investment (Identified Cost $2,570,000)..... 2,570,000
-------------
Total Investments-100.2% (Identified Cost $656,076,093) (b).. 668,216,575
Cash and Receivables......................................... 34,371,679
Liabilities.................................................. (35,461,553)
-------------
Total Net Assets-100%........................................ $667,126,701
=============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $656,076,093 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost........................................................................................ $25,339,184
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value...................................................................................... (13,198,702)
--------------
Net unrealized appreciation.......................................................................... $12,140,482
==============
(c) Non-income producing security.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
New England Zenith Fund
(Capital Growth Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Short-Term Investment-0.4%
Face Interest Maturity
Value Description Rate Date Value (a)
- ------------------------------------------------------------------------------
Bankers Acceptance-1.9%
$1,440,149 State Street Bank & Trust............. 6.110% 2/08/95 $ 1,430,861
-----------
Total Bankers Acceptance ($1,430,861)................... 1,430,861
-----------
Certificates of Deposit-5.4%
1,000,000 Banque Nationale De Paris............. 5.560 1/03/95 1,000,001
1,000,000 Banque Nationale De Paris............. 5.050 1/09/95 1,000,007
1,000,000 Bank of Nova Scotia................... 5.140 1/10/95 999,988
1,000,000 Canadian Imperial Bank of Commerce.... 5.250 2/14/95 1,000,075
-----------
Total Certificates of Deposit ($4,000,071).............. 4,000,071
-----------
Commercial Paper-90.9%
Automotive-4.5%
1,000,000 Ford Motor Credit Corp. .............. 5.750 1/19/95 997,125
1,300,000 Ford Motor Credit Corp. .............. 6.030 1/24/95 1,294,992
1,000,000 Ford Motor Credit Corp. .............. 5.770 1/27/95 995,833
-----------
3,287,950
-----------
Banking-8.4%
1,000,000 Rabobank Nederland N.V. .............. 5.900 1/03/95 999,672
1,500,000 Barclays Bank Canada.................. 5.650 2/06/95 1,491,525
2,780,000 Toronto Dominion Holdings............. 6.260 3/06/95 2,749,062
1,000,000 ABN Bank Canada....................... 5.100 3/13/95 989,942
-----------
6,230,201
-----------
Electrical Equipment-4.4%
500,000 General Electric Capital Corp. ....... 5.290 1/12/95 499,192
800,000 General Electric Capital Corp. ....... 5.460 1/12/95 798,665
1,500,000 General Electric Capital Corp. ....... 5.600 1/13/95 1,497,200
500,000 General Electric Capital Corp. ....... 6.400 4/27/95 489,689
-----------
3,284,746
-----------
Finance-43.3%
1,000,000 BAT Capital Corp. .................... 6.030 1/03/95 999,665
600,000 ITT Financial Corp. .................. 6.050 1/04/95 599,697
1,000,000 Chevron Oil Finance................... 5.470 1/05/95 999,392
1,500,000 American General Investment Corp. .... 6.010 1/06/95 1,498,748
1,000,000 Transamerica Financial Group.......... 5.060 1/06/95 999,297
1,000,000 Transamerica Financial Group.......... 4.990 1/09/95 998,891
1,000,000 CIT Group Holdings.................... 5.470 1/10/95 998,633
1,000,000 Household Finance Corp. .............. 5.270 1/11/95 998,536
600,000 Household Finance Corp................ 5.570 1/11/95 599,072
1,500,000 International Lease Financial Corp. .. 5.400 1/12/95 1,497,525
1,200,000 Beneficial Corp. ..................... 5.450 1/13/95 1,197,820
1,000,000 ITT Financial Corp. .................. 6.020 1/13/95 997,993
900,000 Beneficial Corp. ..................... 5.380 1/17/95 897,848
1,000,000 Penney J.C. Funding Corp.............. 5.500 1/17/95 997,556
1,000,000 Smith Barney Shearson Inc............. 5.720 1/18/95 997,299
1,000,000 USAA Capital Corp. ................... 5.480 1/18/95 997,412
1,000,000 CIT Group Holdings.................... 5.720 1/19/95 997,140
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------------
Investments-98.2% of Total Net Assets
Face Interest Maturity
Value Description Rate Date Value (a)
- --------------------------------------------------------------------------
Finance-continued
$1,000,000 USAA Capital Corp. .............. 5.690% 1/19/95 $997,155
500,000 ITT Financial Corp. ............. 6.100 1/20/95 498,390
1,000,000 Penney J.C. Funding Corp. ....... 5.760 1/20/95 996,960
1,000,000 Transamerica Financial Group..... 5.580 1/20/95 997,055
1,500,000 AVCO Financial Services ......... 5.780 1/23/95 1,494,702
1,100,000 Commercial Credit Co............. 5.470 1/25/95 1,095,989
1,000,000 ITT Financial Corp. ............. 6.100 1/25/95 995,933
1,400,000 Hanson Finance UK PLC............ 5.650 2/02/95 1,392,969
1,000,000 AVCO Financial Services ......... 6.080 2/03/95 994,427
2,000,000 Morgan J.P. & Co................. 6.050 2/09/95 1,986,892
500,000 AVCO Financial Services.......... 6.080 2/10/95 496,622
800,000 Beneficial Corp.................. 6.090 2/17/95 793,638
1,000,000 American Express Credit Corp. ... 6.000 2/27/95 990,500
1,000,000 Hanson Finance UK PLC............ 6.000 2/27/95 990,500
-----------
31,994,256
-----------
Food & Tobacco-3.2%
453,000 Philip Morris Companies, Inc. ... 5.600 1/17/95 451,873
1,000,000 Philip Morris Companies, Inc. ... 5.500 1/23/95 996,639
900,000 Philip Morris Companies, Inc. ... 5.850 1/31/95 895,612
-----------
2,344,124
-----------
Insurance-3.6%
700,000 Met Life Funding Corp. .......... 5.420 1/05/95 699,578
1,000,000 Met Life Funding Corp. .......... 5.500 1/05/95 999,389
1,000,000 Met Life Funding Corp. .......... 5.480 1/26/95 996,194
-----------
2,695,161
-----------
Miscellaneous-7.7%
1,000,000 American General Investment Co... 6.050 2/06/95 993,950
1,725,000 Sysco Corp. ..................... 6.020 2/06/95 1,714,616
1,000,000 American Home Products Corp. .... 6.000 2/07/95 993,833
1,000,000 American Home Products Corp. .... 6.000 2/08/95 993,667
1,000,000 American Home Products Corp. .... 6.120 2/08/95 993,540
-----------
5,689,606
-----------
Paper/Paper Products-3.1%
1,000,000 Weyerhauser Mortgage............. 6.000 1/09/95 998,667
1,300,000 Weyerhauser Mortgage............. 6.030 1/12/95 1,297,604
-----------
2,296,271
-----------
Securities-8.4%
1,000,000 Goldman Sachs Group.............. 5.000 1/04/95 999,583
750,000 Merrill Lynch & Co. ............. 5.480 1/09/95 749,087
1,000,000 Merrill Lynch & Co. ............. 5.100 1/10/95 998,725
1,000,000 Merrill Lynch & Co. ............. 5.350 1/24/95 996,582
1,000,000 Goldman Sachs Group.............. 5.930 2/01/95 994,894
1,000,000 Goldman Sachs Group.............. 6.320 4/03/95 983,849
500,000 Goldman Sachs Group.............. 6.380 4/17/95 490,607
-----------
6,213,327
-----------
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------------
Investments-Continued
Face Interest Maturity
Value Description Rate Date Value (a)
- ------------------------------------------------------------------------
Services-4.3%
$1,700,000 PHH Corp. ......... 5.920% 1/11/95 $1,697,204
1,000,000 PHH Corp. ......... 6.000 1/18/95 997,167
500,000 PHH Corp. ......... 6.020 7/19/95 498,495
------------
3,192,866
------------
Total Commercial Paper (Cost $67,228,508)....... 67,228,508
------------
Total Investments-98.2% (Cost $72,659,440) (b).. 72,659,440
Cash and Receivables............................ 2,107,154
Liabilities..................................... (806,201)
------------
Total Net Assets-100%........................... $73,960,393
============
(a) See Note 1A.
(b) The aggregate cost for federal income tax purposes was $72,659,440.
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Money Market Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Investments-Continued
Shares Value (a)
- ----------------------------------------------------------
Aerospace-0.9%
200 E-Systems, Inc. ...................... $ 8,325
400 General Dynamics Corp. ............... 17,400
500 Lockheed Corp. ....................... 36,313
1,000 Martin Marietta Corp. ................ 44,375
300 McDonnell Douglas Corp. .............. 42,600
400 Northrop Grumman Corp. ............... 16,800
3,600 The Boeing Co. ....................... 168,300
-----------
334,113
-----------
Agriculture and Food-4.7%
5,682 Archer-Daniels-Midland Co. ........... 117,191
2,800 Campbell Soup Company................. 123,550
3,050 Conagra, Inc. ........................ 95,313
1,600 CPC International, Inc. .............. 85,200
2,200 General Mills, Inc. .................. 125,400
2,700 H.J. Heinz Co. ....................... 99,225
700 Hershey Foods Corp. .................. 33,862
2,400 Kellogg Co. .......................... 139,500
1,100 PET, Inc. ............................ 21,725
9,400 Philip Morris Companies, Inc. ........ 540,500
800 Pioneer Hi Bred International, Inc. .. 27,600
2,000 Quaker Oats Co. ...................... 61,500
1,700 Unilever N.V.(d) ..................... 198,050
1,300 William J. Wrigley Co. ............... 64,188
-----------
1,732,804
-----------
Air Transport-0.3%
600 AMR Corp. (c)......................... 31,950
400 Delta Airlines, Inc. ................. 20,200
500 Federal Express Corp. (c)............. 30,125
1,600 Southwest Airlines Co. ............... 26,800
400 U S Air Group, Inc. (c)............... 1,750
-----------
110,825
-----------
Aluminum-0.5%
2,400 Alcan Aluminum, Limited............... 60,900
1,000 Aluminum Company of America........... 86,625
900 Reynolds Metals Co. .................. 44,100
-----------
191,625
-----------
Apparel-0.9%
100 Brown Group, Inc. .................... 3,200
200 Hartmarx Corp. (c).................... 1,175
600 Liz Claiborne, Inc. .................. 10,125
1,200 Nike, Inc. ........................... 89,550
600 Oshkosh B Gosh, Inc. ................. 8,400
1,200 Reebok International.................. 47,400
300 Russell Corp. ........................ 9,412
5,100 Sara Lee Corp. ....................... 128,775
100 Springs Industries, Inc. ............. 3,700
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------------
Common Stocks-98.2% of Total Net Assets
Shares Value (a)
- -----------------------------------------------------
Apparel-continued
400 Stride Rite Corp. ............... $ 4,450
500 VF Corp. ........................ 24,313
-----------
330,500
-----------
Banks-5.4%
4,978 Banc One Corp. .................. 126,317
1,300 Bank of Boston Corp. ............ 33,637
4,728 BankAmerica Corp. ............... 186,756
900 Bankers Trust New York Corp. .... 49,838
1,100 Barnett Banks of Florida, Inc. .. 42,212
800 Boatmens Bancshares, Inc. ....... 21,700
2,782 Chemical Banking Corp. .......... 99,804
5,200 Citicorp (c)..................... 215,150
2,200 Core States Financial Corp. ..... 57,200
1,000 First Chicago Corp. ............. 47,750
600 First Fidelity Bancorporation.... 26,925
1,100 First Interstate Bancorp......... 74,387
1,600 First U.N. Corp. ................ 66,200
1,500 Fleet Financial Group............ 48,750
2,400 J.P. Morgan & Co., Inc. ......... 134,400
2,600 Keycorp ......................... 65,000
1,050 Mellon Bank Corp. ............... 32,156
1,800 National City Corp. ............. 46,575
2,916 NationsBank Corp. ............... 131,585
1,700 NBD Bancorp, Inc. ............... 46,537
3,700 Norwest Corp. ................... 86,488
2,500 PNC Financial Corp. ............. 52,812
1,200 Shawmut National Corp. (c)....... 19,650
1,100 Suntrust Banks, Inc. ............ 52,525
2,200 The Chase Manhattan Corp. ....... 75,625
700 U.S. Bancorp. ................... 15,838
1,900 Wachovia Corp. .................. 61,275
600 Wells Fargo & Co. ............... 87,000
-----------
2,004,092
-----------
Beverages-3.0%
15,500 Coca Cola Co. ................... 798,250
8,800 PepsiCo, Inc. ................... 319,000
800 Whitman Corp. ................... 13,800
-----------
1,131,050
-----------
Business Machines-3.5%
800 Amdahl Corporation .............. 8,800
1,200 Apple Computer, Inc. ............ 46,800
3,400 Cisco Systems, Inc. (c) ......... 119,425
2,800 Compaq Computer, Inc. (c)........ 110,600
300 Cray Research, Inc. (c).......... 4,725
300 Data General Corp. (c) .......... 3,000
1,300 Digital Equipment Corp. (c) ..... 43,225
2,800 Hewlett-Packard Co. ............. 279,650
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ------------------------------------------------------------
Business Machines-continued
6,400 International Business Machines Corp. .. $ 470,400
1,700 Pitney Bowes, Inc. ..................... 53,975
900 Sun Microsystems, Inc. (c).............. 31,950
1,300 Tandem Computers, Inc. (c).............. 22,263
1,700 Unisystems, Inc. (c).................... 14,662
1,000 Xerox Corp. ............................ 99,000
-----------
1,308,475
-----------
Chemicals-4.0%
1,000 Air Products and Chemicals, Inc. ....... 44,625
3,100 Allied Signal, Inc. .................... 105,400
600 Ashland Oil Co. ........................ 20,700
800 B.F. Goodrich Co. ...................... 34,700
3,050 Dow Chemical Co. ....................... 205,112
800 Eastman Chemical Co. ................... 40,400
8,000 E.I. du Pont de Nemours & Co. .......... 450,000
950 Englehard Corp. ........................ 21,138
300 FMC Corp. .............................. 17,325
100 First Mississippi Corp. ................ 2,500
800 Great Lakes Chemical Corp. ............. 45,600
300 Hercules, Inc. ......................... 34,613
1,300 Monsanto Company........................ 91,650
1,600 Morton International, Inc. ............. 45,600
500 Nalco Chemical Co. ..................... 16,750
3,300 Occidental Petroleum Corp. ............. 63,525
2,300 PPG Industries, Inc. ................... 85,388
1,500 Praxair, Inc. .......................... 30,750
1,000 Rohm & Haas Co. ........................ 57,125
1,700 Union Carbide Corp. .................... 49,937
700 W.R. Grace & Co. ....................... 27,037
-----------
1,489,875
-----------
Construction-0.2%
300 Armstrong World Industries, Inc. ....... 11,550
200 Centex Corp. ........................... 4,550
400 EG & G, Inc. ........................... 5,650
900 Fluor Corp. ............................ 38,812
200 Morrison Knudsen Corp. ................. 2,550
700 Sherwin Williams Co. ................... 23,188
100 Skyline Corp. .......................... 1,925
100 Zurn Industries, Inc. .................. 1,800
-----------
90,025
-----------
Consumer Durables-0.4%
100 Bassett Furniture Industries, Inc. ..... 2,850
600 Black & Decker Corp. ................... 14,250
1,600 Masco Corp. ............................ 36,200
800 Maytag Corp. ........................... 12,000
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- --------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ---------------------------------------------------------
Consumer Durables-continued
400 Premark International, Inc. ......... $ 17,900
1,000 Whirlpool Corp. ..................... 50,750
200 Zenith Electronics Corp. ............ 2,325
-----------
136,275
-----------
Containers-0.2%
200 Ball Corp. .......................... 6,300
400 Bemis, Inc. ......................... 9,600
800 Crown Cork & Seal, Inc. (c).......... 30,200
400 Temple Inland, Inc. ................. 18,050
-----------
64,150
-----------
Cosmetics-2.5%
200 Alberto Culver Co. .................. 5,450
800 Avon Products, Inc. ................. 47,800
7,600 Johnson & Johnson.................... 416,100
7,460 Procter & Gamble Co. ................ 462,520
-----------
931,870
-----------
Domestic Petroleum-1.2%
2,000 Atlantic Richfield Co. .............. 203,500
1,600 Burlington Resources, Inc. .......... 56,000
200 Louisiana Land & Exploration......... 7,275
300 Pennzoil Company..................... 13,237
2,900 Phillips Petroleum Company........... 94,975
711 Santa Fe Energy Research, Inc. ...... 5,688
2,500 Unocal Corp. ........................ 68,125
-----------
448,800
-----------
Drugs and Medicine-5.1%
700 Allergan, Inc. ...................... 19,775
600 Alza Corp. (c)....................... 10,800
3,200 American Home Products Corp. ........ 200,800
1,100 Amgen, Inc. (c)...................... 64,900
5,640 Bristol Myers & Squibb Co. .......... 326,415
3,200 Eli Lilly and Company................ 210,000
300 McKesson Corp. (New)................. 9,862
15,100 Merck & Co., Inc. ................... 575,687
3,500 Pfizer, Inc. ........................ 270,375
1,900 Schering-Plough Corp. ............... 140,600
1,900 Upjohn Co. .......................... 58,425
-----------
1,887,639
-----------
Electric Utilities-3.9%
2,000 American Electric Power Co., Inc. ... 65,750
1,600 Baltimore Gas & Electric Co. ........ 35,400
1,700 Carolina Power & Light Co. .......... 45,262
1,900 Central & South West Corp. .......... 42,987
2,111 Cinergy Corp. ....................... 49,345
2,600 Consolidated Edison Co. of New York.. 66,950
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- -------------------------------------------------------
Electric Utilities-continued
1,600 Detroit Edison Co. ................ $ 41,800
1,450 Dominion Resources, Inc. .......... 51,838
2,300 Duke Power Co. .................... 87,687
2,200 Entergy Corp. ..................... 48,125
2,700 FPL Group, Inc. ................... 94,837
1,000 Houston Industries, Inc. .......... 35,625
2,000 Niagara Mohawk Power Corp. ........ 28,500
500 Northern States Power Co. (Minn.).. 22,000
2,100 Ohio Edison Co. ................... 38,850
4,600 Pacific Gas & Electric Corp. ...... 112,125
3,100 Pacificorp......................... 56,187
2,000 PECO Energy Co. ................... 49,000
2,700 Public Service Enterprise Group.... 71,550
5,700 SCE Corp. ......................... 83,363
7,800 Southern Co. ...................... 156,000
2,500 Texas Utilities Co. ............... 80,000
2,700 Unicom Corp. ...................... 64,800
800 Union Electric Co. ................ 28,300
-----------
1,456,281
-----------
Electronics-3.6%
1,100 Advanced Micro Devices, Inc. (c) .. 27,363
1,500 AMP, Inc. ......................... 109,125
150 Andrew Corp. (c)................... 7,838
300 Harris Corp. ...................... 12,750
1,400 Honeywell, Inc. ................... 44,100
4,600 Intel Corp. ....................... 293,825
900 Loral Corp. ....................... 34,088
200 M/A Company, Inc. (c).............. 1,450
1,200 Micron Technology, Inc. ........... 52,950
6,800 Motorola, Inc. .................... 393,550
1,300 National Semiconductor Corp. (c)... 25,350
2,300 Northern Telecom, Ltd. ............ 76,762
300 Perkin-Elmer....................... 7,688
1,300 Raytheon Co. ...................... 83,037
2,300 Rockwell International Corp. ...... 82,225
600 Scientific Atlanta, Inc. .......... 12,600
200 Tektronix, Inc. ................... 6,850
1,000 Texas Instruments, Inc. ........... 74,875
100 Thomas & Betts Corp. .............. 6,713
-----------
1,353,139
-----------
Finance-1.8%
5,900 American Express Co. .............. 174,050
400 Beneficial Corp. .................. 15,600
2,402 Dean Witter Discover & Co. (c)..... 81,368
1,900 Federal Home Loan Mortgage Corp. .. 95,950
800 Household International, Inc. ..... 29,700
1,550 MBNA Corp. ........................ 36,231
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- -----------------------------------------------------------------------
Finance-continued
2,000 Merrill Lynch & Co., Inc. ......................... $ 71,500
1,200 Salomon Brothers, Inc. ............................ 45,000
3,384 Travelers, Inc. ................................... 109,980
-----------
659,379
-----------
Foreign Petroleum-0.1%
400 Kerr McGee Corp. .................................. 18,400
1,500 Maxus Energy Corp. ................................ 5,063
-----------
23,463
-----------
Forest Products-0.3%
1,300 Louisiana Pacific Corp. ........................... 35,425
2,000 Weyerhaeuser Co. .................................. 75,000
-----------
110,425
-----------
Gas Utilities-0.6%
400 Columbia Gas System, Inc. ......................... 9,400
700 Consolidated Natural Gas Co. ...................... 24,850
700 Eastern Enterprises................................ 18,375
2,700 Enron Corp. ....................................... 82,350
700 Ensearch Corp. .................................... 9,188
400 Nicor, Inc. ....................................... 9,100
1,300 Noram Energy Corp. ................................ 6,988
200 Oneok, Inc. ....................................... 3,600
600 Pacific Enterprises, Ltd. ......................... 12,750
1,329 Panhandle Eastern Corporation...................... 26,248
300 Peoples Energy Corp. .............................. 7,838
600 Sonat, Inc. ....................................... 16,800
300 Transco Energy Co. ................................ 4,988
-----------
232,475
-----------
Health Care-3.0%
9,900 Abbott Laboratories, Inc. ......................... 322,987
400 Bausch & Lomb, Inc. ............................... 13,550
2,600 Baxter Travenol Laboratories International, Inc. .. 73,450
600 Becton Dickinson & Co. ............................ 28,800
600 Beverly Enterprises, Inc. (c)...................... 8,625
1,300 Biomet, Inc. (c)................................... 18,200
3,691 Columbia Healthcare Corp. ......................... 134,721
1,300 Community Psychiatric Centers...................... 14,300
2,300 Corning Glass Works Inc. .......................... 68,712
400 C.R. Bard, Inc. ................................... 10,800
400 Manor Care, Inc. .................................. 10,950
1,800 Medtronics, Inc. .................................. 100,125
200 Millipore Corp. ................................... 9,675
1,700 National Medical Enterprises, Inc. ................ 24,013
400 St. Jude Medical, Inc. ............................ 15,900
1,600 U.S. Healthcare, Inc. ............................. 66,000
1,800 United Healthcare Corp. ........................... 81,225
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- -------------------------------------------------------
Health Care-continued
400 United States Surgical Corp. ...... $ 7,600
1,400 Warner-Lambert Company............. 107,800
-----------
1,117,433
-----------
Hotels and Restaurants-1.0%
500 Bally Entertainment Group (c)...... 3,063
400 Hilton Hotels Corp. ............... 26,950
200 Lubys Cafeterias, Inc. ............ 4,475
1,700 Marriott Corporation (c)........... 47,813
7,600 McDonald's Corp. .................. 222,300
1,750 Promus Companies, Inc. (c)......... 54,250
400 Ryans Family Steak Houses (c)...... 3,000
300 Shoney's, Inc. (c)................. 3,825
1,200 Wendys International, Inc. ........ 17,250
-----------
382,926
-----------
International Oil-6.3%
6,800 Chevron Corporation................ 303,450
14,900 Exxon Corporation.................. 905,175
4,300 Mobil Corporation.................. 362,275
700 Oryx Energy Corp. ................. 8,313
5,600 Royal Dutch Petroleum Co. ADR (d).. 602,000
2,700 Texaco, Inc. ...................... 161,663
-----------
2,342,876
-----------
Leisure-0.3%
1,200 Brunswick Corp. ................... 22,650
900 Hasbro Bradley, Inc. .............. 26,325
2,000 Mattel, Inc. ...................... 50,250
100 Outboard Marine Corp. ............. 1,963
-----------
101,188
-----------
Life Insurance-0.4%
2,100 American General Corp. ............ 59,325
350 Jefferson Pilot Corp. ............. 18,156
900 Providian Corp. ................... 27,788
600 Transamerica Corp. ................ 29,850
700 USLife Corp. ...................... 24,413
-----------
159,532
-----------
Liquor-0.8%
300 Adolph Coors Co. .................. 5,025
2,900 Anheuser-Busch Companies, Inc. .... 147,537
600 Brown Forman Corp. "B"............. 18,300
4,100 Seagram Company, Ltd. ............. 120,950
-----------
291,812
-----------
Media-3.1%
2,000 Capital Cities/ABC, Inc. .......... 170,500
1,225 CBS, Inc. ......................... 67,834
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ------------------------------------------------------------
Media-continued
2,600 Comcast Corp. .......................... $ 40,787
200 Handleman Co. .......................... 2,275
250 King World Productions (c).............. 8,625
6,900 Tele-Communications A (c)............... 150,075
3,900 Time-Warner, Inc. ...................... 136,988
1,000 Tribune Co. ............................ 54,750
5,757 Viacom, Inc. (c)........................ 233,878
5,900 Walt Disney Productions................. 272,137
-----------
1,137,849
-----------
Mining-0.4%
300 Asarco, Inc............................. 8,550
950 Cyprus Amax Minerals Co................. 24,819
1,300 Inco, Ltd............................... 37,212
1,000 Phelps Dodge Corp. ..................... 61,875
400 Teledyne, Inc. ......................... 8,050
-----------
140,506
-----------
Mortgage-0.6%
3,000 Federal National Mortgage Association .. 218,625
-----------
Motor Vehicles-2.4%
3,700 Chrysler Corp. ......................... 181,300
800 Dana Corp. ............................. 18,700
400 Echlin, Inc. ........................... 12,000
300 Fleetwood Enterprises, Inc. ............ 5,625
10,900 Ford Motor Co. ......................... 305,200
8,100 General Motors Corp. ................... 342,225
720 Navistar International Corp. ........... 10,890
345 Paccar, Inc. ........................... 15,266
-----------
891,206
-----------
Oil-Refinement-1.3%
700 Amerada Hess Corp. ..................... 31,938
5,400 Amoco Corporation....................... 319,275
800 Coastal Corporation..................... 20,600
800 Sun, Inc. .............................. 23,000
3,000 USX Marathon Group...................... 49,125
1,600 Williams Companies, Inc. ............... 40,200
-----------
484,138
-----------
Oil-Service-0.6%
1,500 Baker Hughes, Inc. ..................... 27,375
1,300 Halliburton Co. ........................ 43,062
300 Helmerich & Payne, Inc. ................ 7,688
600 Rowan Companies, Inc. .................. 3,675
2,600 Schlumberger, Ltd. ..................... 130,975
300 Western Atlas, Inc. .................... 11,288
-----------
224,063
-----------
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- -----------------------------------------------------------
Other Insurance-2.4%
1,200 Aetna Life and Casualty Co. ........... $ 56,550
3,475 American International Group, Inc. .... 340,550
800 Chubb Corp. ........................... 61,900
1,000 CIGNA Corp. ........................... 63,250
900 Continental Corp. ..................... 17,100
800 General Reinsurance Corp. ............. 99,000
1,300 ITT Corporation........................ 115,212
700 Lincoln National Corp. ................ 24,500
500 Safeco Corp. .......................... 26,000
600 St. Paul Companies, Inc. .............. 26,850
450 Torchmark Corp. ....................... 15,694
700 UNUM Corp. ............................ 26,425
600 USF&G Corporation...................... 8,175
-----------
881,206
-----------
Paper-1.5%
800 Alco Standard Corp. ................... 50,200
400 Avery Dennison Corp. .................. 14,200
333 Boise Cascade Corp. ................... 8,908
700 Champion International Corp. .......... 25,550
300 Federal Paper Board, Inc. ............. 8,700
1,200 Georgia Pacific Corporation............ 85,800
1,400 International Paper Co. ............... 105,525
900 James River Corp. of Virginia.......... 18,225
1,700 Kimberly Clark Corporation............. 85,850
900 Mead Corp. ............................ 43,762
200 Potlatch Corp. ........................ 7,450
800 Scott Paper Co. ....................... 55,300
1,000 Stone Container Corp. (c).............. 17,250
500 Union Camp Corp. ...................... 23,563
450 Westvaco Corp. ........................ 17,663
-----------
567,946
-----------
Photography-0.5%
3,550 Eastman Kodak Co. ..................... 169,512
800 Polaroid Corp. ........................ 26,000
-----------
195,512
-----------
Pollution Control-0.5%
1,800 Browning-Ferris Industries, Inc. ...... 51,075
437 Rollins Environmental Services, Inc. .. 2,130
400 Safety Kleen Corp. .................... 5,900
5,000 WMX Technologies, Inc. ................ 131,250
-----------
190,355
-----------
Precious Metals-0.6%
4,800 American Barrick Resource Corp. ....... 106,800
800 Echo Bay Mines, Ltd. .................. 8,500
1,500 Homestake Mining Co. .................. 25,687
624 Newmont Mining Corp. .................. 22,464
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ---------------------------------------------------------
Precious Metals-continued
2,500 Placer Dome, Inc. ................... $ 54,375
1,200 Santa Fe Pacific Gold Corp. ......... 15,450
-----------
233,276
-----------
Producer Goods-7.1%
2,100 American Brands, Inc. ............... 78,750
200 Briggs & Stratton Corp. ............. 6,550
2,400 Caterpillar Tractor Co. ............. 132,300
200 Cincinnati Milacron, Inc. ........... 4,725
100 Clark Equipment Co. (c).............. 5,425
1,300 Cooper Industries, Inc. ............. 44,362
200 Crane Co. ........................... 5,375
200 Cummins Engine, Inc. ................ 9,050
900 Deere & Co. ......................... 59,625
500 Dover Corp. ......................... 25,812
1,600 Dresser Industries, Inc. ............ 30,200
1,800 DSC Communications Corp. ............ 64,575
1,000 Eaton Corp. ......................... 49,500
3,100 Emerson Electric Co. ................ 193,750
300 Foster Wheeler Corp. ................ 8,925
20,600 General Electric Co. ................ 1,050,600
500 General Signal Corp. ................ 15,937
1,400 Genuine Parts Co. ................... 50,400
400 Giddings & Lewis, Inc. .............. 5,900
300 Harnischfeger Industries, Inc. ...... 8,438
1,300 Illinois Tool Works, Inc. ........... 56,875
1,200 Ingersoll Rand Co. .................. 37,800
300 Johnson Controls, Inc. .............. 14,700
300 JWP, Inc. ........................... 338
600 Mallinckrodt Group, Inc. ............ 17,925
600 McDermott International Inc. ........ 14,850
4,600 Minnesota Mining & Mfg. Co. ......... 245,525
100 Nacco Industries, Inc. .............. 4,838
400 National Services Industries, Inc. .. 10,250
300 Owens Corning Fiberglas Co. ......... 9,600
900 Pall Corp. .......................... 16,875
400 Parker Hannifin Corp. ............... 18,200
300 Raychem Corp. ....................... 10,687
300 Snap-on Tools Corp. ................. 9,975
100 SPX Corp. ........................... 1,663
1,800 Tenneco, Inc. ....................... 76,500
1,000 Textron, Inc. ....................... 50,375
300 The Stanley Works.................... 10,725
200 Timken Co. .......................... 7,050
200 Trinova Corp. ....................... 5,875
500 TRW, Inc. ........................... 33,000
500 TYCO Labs, Inc. ..................... 23,750
1,300 United Technologies Corp. ........... 81,738
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ---------------------------------------------------------------------
Producer Goods-continued
300 Varity Corp. (c)................................. $ 10,875
400 W.W. Grainger, Inc. ............................. 23,100
-----------
2,643,288
-----------
Publishing-0.9%
600 American Greetings Corp. ........................ 16,200
1,600 Gannett Co., Inc. ............................... 85,200
300 John H. Harland Co. ............................. 6,000
300 Jostens, Inc. ................................... 5,588
600 Knight-Ridder, Inc. ............................. 30,300
400 McGraw-Hill, Inc. ............................... 26,750
100 Meredith Corp. .................................. 4,663
800 Moore Limited.................................... 15,100
1,000 New York Times Co. .............................. 22,125
1,700 R.R. Donnelley & Sons............................ 50,150
1,900 Times Mirror Co. ................................ 59,612
-----------
321,688
-----------
Railroads-1.1%
700 Burlington Northern, Inc. ....................... 33,687
900 Consolidated Rail Corporation.................... 45,450
1,300 CSX Corporation.................................. 90,512
1,500 Norfolk Southern Corp. .......................... 90,937
2,000 Santa Fe Pacific Corp. .......................... 35,000
2,300 Union Pacific Corp. ............................. 104,937
-----------
400,523
-----------
Real Property-0.0%
300 Kaufman & Broad Home Corp. ...................... 3,863
200 Pulte Corp. ..................................... 4,600
-----------
8,463
-----------
Retail-Food-0.7%
2,800 Albertson's, Inc. ............................... 81,200
1,600 American Stores Co. ............................. 43,000
600 Brunos, Inc. .................................... 5,025
300 Fleming Companies, Inc. ......................... 6,975
600 Giant Foods, Inc. ............................... 13,050
800 Super Valu Stores, Inc. ......................... 19,600
1,900 Sysco Corp. ..................................... 48,925
300 The Great Atlantic & Pacific Tea Company, Inc. .. 5,438
1,100 The Kroger Co. (c)............................... 26,537
600 Winn-Dixie Stores, Inc. ......................... 30,825
-----------
280,575
-----------
Retail-Other-5.2%
1,100 Charming Shoppes, Inc. .......................... 7,288
700 Circuit City Stores, Inc. ....................... 15,575
800 Dayton Hudson Corp. ............................. 56,600
1,200 Dillard Department Stores, Inc. ................. 32,100
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- --------------------------------------------------------------
Retail-Other-continued
1,500 F.W. Woolworth Co. ....................... $ 22,500
600 Harcourt General, Inc. ................... 21,150
4,849 Home Depot, Inc. ......................... 223,054
2,500 J.C. Penney Company, Inc. ................ 111,562
4,300 K Mart Corp. ............................. 55,900
200 Longs Drug Stores Corp. .................. 6,350
1,400 Lowes Companies, Inc. .................... 48,650
2,700 May Department Stores Co. ................ 91,125
1,100 Melville Corporation...................... 33,962
250 Mercantile Stores Co., Inc. .............. 9,875
900 Nordstrom, Inc. .......................... 37,800
400 Pep Boys Manny Moe & Jack................. 12,400
2,239 Price Co. (c)............................. 28,827
900 Rite Aid Corp. ........................... 21,038
3,900 Sears, Roebuck and Co. ................... 179,400
700 Tandy Corp. .............................. 35,087
1,600 The GAP, Inc. ............................ 48,800
3,900 The Limited, Inc. ........................ 70,687
800 TJX Companies, Inc. ...................... 12,500
2,975 TOYS R US, Inc. (c)....................... 90,737
1,300 Walgreen Co. ............................. 56,875
27,600 Wal-Mart Stores, Inc. .................... 586,500
-----------
1,916,342
-----------
Services-3.6%
300 Alexander & Alexander Services............ 5,550
400 Autodesk Inc. ............................ 15,850
1,500 Automatic Data Processing, Inc. .......... 87,750
300 Ceridian Corp. (c)........................ 8,063
2,000 Computer Associates International, Inc. .. 97,000
300 Computer Sciences Corp. .................. 15,300
600 De Luxe Corp. ............................ 15,900
700 Dow Jones & Co., Inc. .................... 21,700
1,820 Dun & Bradstreet Corp. ................... 100,100
700 Ecolab, Inc. ............................. 14,700
1,300 First Data Corp. ......................... 61,587
1,200 H & R Block, Inc. ........................ 44,550
400 Intergraph Corp. (c)...................... 3,250
800 Interpublic Group Cos., Inc. ............. 25,700
500 Lotus Development Corp. (c)............... 20,500
1,000 Marsh & McLennan Cos. .................... 79,250
6,300 Microsoft Corp. (c)....................... 385,087
200 National Education Corp. ................. 825
4,000 Novell, Inc. (c).......................... 68,500
300 Ogden Corp. .............................. 5,625
3,500 Oracle Systems Corp. (c).................. 154,437
300 Pittston Service Group.................... 7,950
800 Ryder Systems, Inc. ...................... 17,600
550 Service Corporation International......... 15,263
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ---------------------------------------------------------------
Services-continued
200 Shared Medical System...................... $ 6,550
3,900 Westinghouse Electric Corp. ............... 47,775
-----------
1,326,362
-----------
Soaps and Cosmetics-1.4%
400 Clorox Co. ................................ 23,550
1,700 Colgate Palmolive Co. ..................... 107,737
600 Dial Corp. ................................ 12,750
2,300 Gillette Co. .............................. 171,925
900 International Flavors & Fragrances, Inc. .. 41,625
3,800 Newell Co. ................................ 79,800
800 Ralston Purina Co. ........................ 35,700
1,700 Rubbermaid, Inc............................ 48,875
-----------
521,962
-----------
Steel and Iron-0.3%
800 Armco, Inc. (c)............................ 5,300
1,200 Bethlehem Steel Corp. (c).................. 21,600
300 Inland Steel Industries, Inc. (c).......... 10,538
1,000 Nucor Corp. ............................... 55,500
520 USX US Steel Corp. ........................ 18,460
600 Worthington Industries, Inc. .............. 12,000
-----------
123,398
-----------
Telephone-8.5%
5,400 Airtouch Communications.................... 157,275
17,335 American Telephone & Telegraph Co. ........ 871,084
6,000 Ameritech Corp. ........................... 242,250
4,600 Bell Atlantic Corp. ....................... 228,850
5,500 BellSouth Corporation...................... 297,687
11,500 GTE Corp. ................................. 349,312
8,400 MCI Communications Corp. .................. 154,350
4,400 NYNEX Corporation.......................... 161,700
5,100 Pacific Telesis Group...................... 145,350
6,600 Southwestern Bell Corp. ................... 266,475
3,600 Sprint Corp. .............................. 99,450
4,900 U.S. West, Inc. ........................... 174,563
-----------
3,148,346
-----------
Thrift-0.2%
500 Golden West Financial Corp. ............... 17,625
1,450 Great Western Financial Corp. ............. 23,200
1,300 H.F. Ahmanson & Co. ....................... 20,962
-----------
61,787
-----------
Tires and Rubber Goods-0.2%
600 Cooper Tire & Rubber Co. .................. 14,175
1,600 Goodyear Tire & Rubber Co. ................ 53,800
-----------
67,975
-----------
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ------------------------------------------------------------------------
Tobacco-0.1%
2,291 RJR Nabisco Holdings Corp. ........................ $ 12,603
1,900 UST, Inc. ......................................... 52,725
------------
65,328
------------
Trucking and Freight-0.1%
300 Consolidated Freightways, Inc. (c)................. 6,713
300 Roadway Services, Inc. ............................ 17,025
300 Yellow Corp. ...................................... 7,163
------------
30,901
------------
Total Common Stocks (Identified cost $34,281,627).. 36,504,667
<TABLE>
<CAPTION>
------------
Face
Amount
- -----------------------------------------------------------------------
Short-Term Investment-4.6%
- -----------------------------------------------------------------------
<C> <S> <C>
Repurchase Agreement with State Street Bank & Trust Co. dated 12/30/94 at 5.150% to be
repurchased at $1,691,968 on 1/03/95 collateralized by $1,890,000 U.S. Treasury Notes 3/4% d
$1,691,000 9/30/98, with a value of $1,726,396........................................................ 1,691,000
------------
Total Short-Term Investment (Identified cost $1,691,000).................................... 1,691,000
------------
Total Investments-102.8% (Identified cost $35,972,627) (b).................................. 38,195,667
Cash and Receivables........................................................................ 134,091
Liabilities................................................................................. (1,165,470)
------------
Total Net Assets-100%....................................................................... $37,164,288
============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $36,106,557 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost..................................................................................................... $ 3,621,380
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value.................................................................................................... (1,532,270)
------------
Net unrealized appreciation.............................................................................. $ 2,089,110
============
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
</TABLE>
<PAGE>
New England Zenith Fund
(Stock Index Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- ------------------------------------------------------
Aerospace-0.7%
5,025 The Boeing Co. ................... $ 234,919
14,600 Rockwell International Corp. ..... 521,950
2,500 United Technologies Corp. ........ 157,187
------------
914,056
------------
Air Transport-0.0%
255 UAL, Inc. ........................ 22,281
------------
Apparel-0.2%
7,400 Melville Corp. ................... 228,475
------------
Banks-2.6%
29,260 BancOne Corp. .................... 742,473
10,144 BankAmerica Corp. ................ 400,688
5,400 Bankers Trust New York Corp. ..... 299,025
19,000 Citicorp (c)...................... 786,125
10,900 J.P. Morgan & Co., Inc. .......... 610,400
7,200 NationsBank Corp. ................ 324,900
------------
3,163,611
------------
Business Machines-0.3%
8,500 Apple Computer.................... 331,500
------------
Business Services-1.8%
9,200 H. & R. Block, Inc. .............. 341,550
28,500 Browning Ferris Industries Inc. .. 808,687
10,000 The Dun & Bradstreet Corp. ....... 550,000
39,200 Rollins Environmental Services.... 191,100
9,500 WMX Technologies.................. 249,375
------------
2,140,712
------------
Chemicals-2.6%
14,200 Allied-Signal, Inc. .............. 482,800
8,200 Dow Chemical Co. ................. 551,450
13,700 E.I. Du Pont de Nemours & Co. .... 770,625
11,200 Monsanto Company.................. 789,600
15,600 PPG Industries, Inc. ............. 579,150
------------
3,173,625
------------
Construction-1.4%
28,600 Home Depot, Inc. ................. 1,315,600
14,900 Masco Corp. ...................... 337,113
------------
1,652,713
------------
Consumer Durables-0.0%
800 Whirlpool Corp. .................. 40,600
------------
Domestic Oil-1.6%
2,400 Amoco Corp. ...................... 141,900
2,700 Atlantic Richfield Co. ........... 274,725
3,600 Halliburton Co. .................. 119,250
69,300 Oryx Energy Co. .................. 822,938
934 Santa Fe Energy Resources, Inc. .. 7,472
4,400 Sun Company, Inc. ................ 126,500
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-61.8% of Total Net Assets
See accompanying notes to financial statements.
Shares Value (a)
- ---------------------------------------------------------
Domestic Oil-continued
800 Tenneco, Inc. ....................... $ 34,000
15,600 Unocal Corp. ........................ 425,100
------------
1,951,885
------------
Drugs & Medicine-4.6%
8,800 Abbott Laboratories.................. 287,100
11,000 American Home Products Corp. ........ 690,250
37,100 Baxter International, Inc. .......... 1,048,075
5,200 Johnson & Johnson.................... 284,700
7,600 Eli Lilly and Co. ................... 498,750
31,500 Merck & Co., Inc. ................... 1,200,938
9,600 Pfizer Inc. ......................... 741,600
5,400 Schering Plough Corp. ............... 399,600
12,900 Upjohn Co. .......................... 396,675
------------
5,547,688
------------
Electronics-3.4%
21,600 AMP, Incorporated.................... 1,571,400
9,400 Emerson Electric Co. ................ 587,500
11,200 Hewiett-Packard Co. ................. 1,118,600
6,400 Motorola, Inc. ...................... 370,400
7,700 Raytheon Co. ........................ 491,838
------------
4,139,738
------------
Energy & Utilities-3.0%
18,300 American Electric Power Co. Inc. .... 601,612
11,700 Consolidated Edison Co. of New York.. 301,275
45,700 Pacific Gas & Electric Co. .......... 1,113,938
7,700 Public Service Enterprise Group...... 204,050
40,200 SCE Corp. ........................... 587,924
10,200 Southern Co. ........................ 204,000
8,900 Texas Utilities Co. ................. 284,800
17,300 Unicom Corp. ........................ 415,200
------------
3,712,799
------------
Energy Raw Materials-1.1%
58,800 Occidental Petroleum Corp. .......... 1,131,900
3,200 Schlumberger Ltd. ................... 161,200
------------
1,293,100
------------
Finance-0.6%
4,449 Dean Witter Discover & Co. (c)....... 150,710
11,600 Federal Home Loan Mortgage Corp. .... 585,800
------------
736,510
------------
Food & Agriculture-4.1%
19,900 Coca Cola Bottling Co. .............. 1,024,850
5,000 General Mills, Inc. ................. 285,000
27,900 H. J. Heinz Co. ..................... 1,025,325
24,600 Kellogg Co. ......................... 1,429,875
8,100 Pepsico, Inc. ....................... 293,625
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ---------------------------------------------------------
Food & Agriculture-continued
13,300 Ralston Purina Co. .................. $ 593,513
16,000 Sara Lee Corp. ...................... 404,000
------------
5,056,188
------------
Gold-0.2%
18,434 Santa Fe Pacific Gold Corp. ......... 237,338
------------
Insurance-1.7%
11,500 Aetna Life and Casualty Company...... 541,937
14,400 American General Corp. .............. 406,800
4,312 American International Group, Inc. .. 422,576
2,700 CIGNA Corp. ......................... 170,775
4,300 General Reinsurance Corp. ........... 532,125
------------
2,074,213
------------
International Oil-4.4%
11,000 Chevron Corporation.................. 490,875
9,400 Cooper Industries, Inc. ............. 320,775
25,100 Exxon Corporation.................... 1,524,825
7,800 Mobil Corporation.................... 657,150
9,800 Royal Dutch Petroleum Co. ADR (d).... 1,053,500
21,200 Texaco, Inc. ........................ 1,269,350
------------
5,316,475
------------
Liquor-0.4%
3,300 Anheuser-Busch, Inc. ................ 167,887
11,700 Seagram Company, Ltd. ............... 345,150
------------
513,037
------------
Media-2.2%
2,540 CBS, Inc. ........................... 140,652
21,000 Capital Cities/ABC, Inc. ............ 1,790,250
3,000 Gannett Co., Inc. ................... 159,750
15,200 Tele Communications, Inc. ........... 330,600
7,200 Time Warner, Inc. ................... 252,900
------------
2,674,152
------------
Miscellaneous Finance-1.2%
25,000 American Express Co. ................ 737,500
5,000 Lehman Brothers Holdings, Inc. ...... 73,750
16,900 Salomon Brothers, Inc. .............. 633,750
------------
1,445,000
------------
Motor Vehicles-1.5%
20,300 Chrysler Corp. ...................... 994,700
4,600 Ford Motor Co. ...................... 128,800
12,500 General Motors Corp. ................ 528,125
6,750 Genuine Parts Company................ 243,000
------------
1,894,625
------------
Non-Durables & Entertainment-0.2%
9,200 McDonald's Corp. .................... 269,100
------------
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------------
Non-Ferrous Metals-0.7%
8,075 Alcan Aluminum Limited.................. $ 204,903
7,000 Aluminum Co. of America................. 606,375
220 USX U.S. Steel Group.................... 7,810
------------
819,088
------------
Office Equipment-2.5%
28,400 Digital Equipment Corp. (c)............. 944,300
5,900 International Business Machines Corp. .. 433,650
16,900 Xerox Corp. ............................ 1,673,100
------------
3,051,050
------------
Optical Photo, Equipment-0.1%
3,600 Eastman Kodak Co........................ 171,900
------------
Paper & Forest Products-0.7%
3,600 Georgia-Pacific Corporation............. 257,400
5,900 International Paper Co. ................ 444,713
1,400 Kimberly Clark Corp. ................... 70,700
4,050 Weyerhaeuser Co. ....................... 151,875
------------
924,688
------------
Producer Goods-2.2%
5,600 Caterpillar Tractor Co. ................ 308,700
8,000 Deere & Co. ............................ 530,000
34,400 General Electric Co. ................... 1,754,400
4,200 Westinghouse Electric Corp. ............ 51,450
------------
2,644,550
------------
Railroads & Shipping-0.8%
4,500 Norfolk Southern Corp. ................. 272,813
30,723 Santa Fe Southern Pacific Corporation .. 537,653
4,200 Union Pacific Corp. .................... 191,625
------------
1,002,091
------------
Retail-3.4%
19,000 Albertsons, Inc. ....................... 551,000
8,000 Dayton Hudson Corp. .................... 566,000
38,900 K Mart Corp. ........................... 505,700
5,400 The Limited, Inc. ...................... 97,875
7,800 May Department Stores Co. .............. 263,250
15,600 J.C. Penney Company, Inc. .............. 696,150
11,400 Sears, Roebuck and Co. ................. 524,400
11,625 Toys R Us (c)........................... 354,563
29,200 Wal-Mart Stores, Inc. .................. 620,500
------------
4,179,438
------------
Soaps & Cosmetics-2.6%
6,260 Bristol-Myers Co. ...................... 362,297
9,200 Gillette Co. ........................... 687,700
10,300 Procter & Gamble Co. ................... 638,600
12,400 Unilever, N.V. ......................... 1,444,600
------------
3,133,197
------------
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ----------------------------------------------------------------------------
Steel-0.9%
64,700 USX Marathon Group................................. $ 1,059,463
------------
Telephone-5.1%
15,500 Airtouch Communications............................ 451,437
27,261 American Telephone & Telegraph Co. ................ 1,369,865
35,200 Ameritech Corp. ................................... 1,421,200
12,200 Bell Atlantic Corp. ............................... 606,950
8,100 BellSouth Corporation.............................. 438,412
10,600 GTE Corp. ......................................... 321,975
14,600 NYNEX Corporation.................................. 536,550
15,500 Pacific Telesis Group.............................. 441,750
7,200 Southwestern Bell Corp. ........................... 290,700
9,700 U.S. West, Inc. ................................... 345,562
------------
6,224,401
------------
Tobacco-0.9%
8,500 American Brands, Inc. ............................. 318,750
13,600 Philip Morris Companies Inc. ...................... 782,000
------------
1,100,750
------------
Travel & Recreation-1.3%
33,700 Walt Disney Productions............................ 1,554,412
------------
Miscellaneous & Conglomerates-0.8%
2,200 ITT Corporation.................................... 194,975
13,800 Minnesota Mining & Manufacturing Co. .............. 736,575
------------
931,550
------------
Total Common Stocks (Identified cost $67,742,369).. 75,325,999
------------
Face
Amount
- ----------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-36.0%
- ----------------------------------------------------------------------------
Corporate Bonds-17.3%
$ 5,000,000 Associates Corp. North America 7.875% 9/30/01...... 4,856,650
5,000,000 Bank of New York 8.5% 12/15/04..................... 4,936,750
5,000,000 General Electric Capital Corp. 85/8% 6/15/08....... 5,140,050
3,000,000 General Motors Corp. 8.8% 3/1/21................... 3,071,490
10,000,000 Time Warner Zero Coupon Bond 12/17/12.............. 3,050,000
30,000 Viacom 8% 7/7/06................................... 25,725
------------
21,080,665
------------
Yankee/Supranational-8.7%
5,000,000 Hydro Quebec 93/8% 4/15/30......................... 5,160,400
5,000,000 Province of Manitoba 91/8% 1/15/18................. 5,448,600
------------
10,609,000
------------
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Face
Amount Value (a)
- ------------------------------------------------------------------------------------------------------------------
Medium & Long Term Bonds & Notes-Continued
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C>
U.S. Government Bonds-10.0%
$3,000,000 Federal National Mortgage Association 7.39% 7/15/99...................................... $ 2,903,438
792,207 Government National Mortgage Association 111/2% with various maturities to 8/15/13....... 870,330
652,773 Government National Mortgage Association 10% 9/15/18..................................... 686,018
3,000,000 U.S. Treasury Bonds 7.125% 2/15/23....................................................... 2,730,000
5,000,000 U.S. Treasury Notes 8.5% 5/15/95......................................................... 5,037,500
-------------
Total Medium & Long Term Bonds & Notes (Identified cost $45,219,642)..................... 43,916,951
-------------
- ------------------------------------------------------------------------------------------------------------------
Short-Term Investment-1.7%
- ------------------------------------------------------------------------------------------------------------------
Repurchase agreement with Goldman Sachs & Co. dated 12/30/94 at 5.500% to be repurchased
at $2,016,231 on 1/03/95 collateralized by $1,420,000 U.S. Treasury Bonds 137/8% due 5/15/
2,015,000 with a value of $2,057,580............................................................... 2,015,000
-------------
Total Short-Term Investment (Identified cost $2,015,000)................................. 2,015,000
-------------
Total Bonds and Notes (Identified cost $47,234,642)...................................... 45,931,951
-------------
Total Investments-99.5% (Identified cost $114,977,011) (b)............................... 121,257,950
Cash and Receivables..................................................................... 1,155,929
Liabilities.............................................................................. (536,547)
-------------
Total Net Assets-100%.................................................................... $121,877,332
</TABLE>
<TABLE>
<CAPTION>
=============
- ------------------------------------------------------------------------------------------------------------------
Purchased Index Futures Contracts
- ------------------------------------------------------------------------------------------------------------------
At December 31, 1994, open index futures contracts purchased were as follows
(Note 1D):
Number of Aggregate Market
Index Expiration Contracts Face Value($) Value($)
- ---------------- ----------------- ---------------- ------------------- -----------
<S> <C> <C> <C> <C>
S & P 500 Mar 1995......... 50 11,614,275 11,533,750
================ =================== ===========
Net unrealized depreciation on open index futures contracts purchaesd.. (80,525)
-----------
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $115,132,432 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost........................................................................................ $ 11,542,205
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value...................................................................................... (5,416,687)
-------------
Net unrealized appreciation.......................................................................... $6,125,518
=============
As of December 31, 1994, the Fund had a net tax basis capital loss carryforward
as follows:
Expiring December 31, 2002 $1,114,941
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
</TABLE>
<PAGE>
New England Zenith Fund
(Managed Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ----------------------------------------------------
Auto & Related-2.3%
4,700 Bandag, Inc. .................... $ 284,350
6,000 Chrysler Corp. .................. 294,000
-----------
578,350
-----------
Banks-1.6%
12,500 First Bank System, Inc. ......... 415,625
-----------
Building & Construction-1.7%
10,000 Fluor Corp....................... 431,250
-----------
Business Services-5.7%
9,700 CUC International, Inc. ......... 324,950
10,000 First Data Corp. ................ 473,750
8,500 Gymboree Corp. .................. 244,375
10,000 Paychex Inc. .................... 405,000
-----------
1,448,075
-----------
Chemicals-Specialty-1.9%
7,000 Air Products & Chemicals, Inc. .. 312,375
5,000 Sigma Aldrich.................... 165,000
-----------
477,375
-----------
Computer Software & Services-8.0%
11,200 Autodesk Incorporated............ 443,800
11,500 Informix Corp. .................. 369,438
6,300 Microsoft Corp. (c).............. 385,087
9,000 Oracle SYS Corp. (c)............. 397,125
13,000 Parametric Technology Corp. ..... 448,500
-----------
2,043,950
-----------
Electronic Components-8.8%
11,500 EMC Corp. ...................... 248,688
14,000 General Instrument Corp. ........ 420,000
12,500 Molex, Inc. ..................... 387,500
11,000 Motorola, Inc. .................. 636,625
14,700 Premier Industrial Corp. ........ 347,287
8,000 Solectron Corp. ................. 220,000
-----------
2,260,100
-----------
Electrical Equipment-1.6%
8,000 General Electric Co. ............ 408,000
-----------
Environmental Services-0.6%
10,500 Wheelabrator Technologies........ 154,875
-----------
Financial Services-Misc.-3.4%
17,000 MBNA Corp. ...................... 397,375
21,750 Flserve Inc. .................... 467,625
-----------
865,000
-----------
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-88.2% of Total Net Assets
See accompanying notes to financial statements.
Shares Value (a)
- ---------------------------------------------------------
Food & Tobacco-3.0%
10,000 Coca Cola Co. ....................... $ 515,000
10,500 Dreyers Grand Ice Cream, Inc. ....... 259,875
------------
774,875
------------
Food-Packaged & Miscellaneous-1.3%
11,700 Starbucks Corp. ..................... 321,750
------------
Health Care-Biotech-4.3%
8,600 Amgen, Inc. (c)...................... 507,400
9,300 Medtronic, Inc. ..................... 517,313
10,000 Somatogen, Inc. ..................... 67,500
------------
1,092,213
------------
Health Care-Consumer Basics-1.9%
9,000 Johnson & Johnson.................... 492,750
------------
Health Care-Med Tech-4.6%
15,000 Biomet, Inc. (c)..................... 210,000
15,500 Columbia/HCA Healthcare.............. 565,750
15,000 Ventritex, Inc. ..................... 405,000
------------
1,180,750
------------
Home Products-6.3%
14,500 Corning, Inc. ....................... 433,187
11,000 Duracell International, Inc. ........ 477,125
9,500 Gillette Co. ........................ 710,125
------------
1,620,437
------------
Hotels & Restaurants-3.0%
16,000 McDonalds Corp. ..................... 468,000
12,900 Primadonna Resorts, Inc. ............ 306,375
------------
774,375
------------
Housing & Building Materials-2.3%
13,000 Home Depot, Inc. .................... 598,000
------------
Insurance-6.5%
6,000 American International Group, Inc. .. 588,000
7,500 MBIA, Inc. .......................... 420,938
20,000 MGIC Investment Corp. ............... 662,500
------------
1,671,438
------------
Metals-1.4%
6,500 Nucor Corp. ......................... 360,750
------------
Office Equipment-3.8%
12,200 Cisco Systems, Inc. (c).............. 428,525
18,000 Silicon Graphics, Inc. (c)........... 555,750
------------
984,275
------------
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Avanti Growth Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Oil-Independent Producers-5.3%
5,500 Amoco Corp. ............................................................................. $ 325,187
15,500 Anadarko Petroleum Corp. ................................................................ 596,750
13,500 Phillips Petroleum Co. .................................................................. 442,125
-------------
1,364,062
-------------
Retail-Office Furnishing & Supplies-1.4%
13,500 Office Max, Inc. ........................................................................ 357,750
-------------
Retail-1.9%
6,000 Nordstrom, Inc. ......................................................................... 252,000
7,000 Petsmart, Inc. .......................................................................... 241,500
-------------
493,500
-------------
Telecommunications-1.5%
1,080 Viacom, Inc. Class A..................................................................... 44,955
8,183 Viacom, Inc. Class B..................................................................... 332,434
-------------
377,389
-------------
Textiles & Apparel-1.9%
13,700 Cintas Corp. ............................................................................ 486,350
-------------
Utilities-(Gas)-2.2%
18,500 Enron Corp. ............................................................................. 564,250
-------------
Total Common Stocks (Identified Cost $21,449,969)........................................ 22,597,514
</TABLE>
<TABLE>
<CAPTION>
-------------
Face
Amount
- ------------------------------------------------------------------------------------------------------------------
Short-Term Investments-8.4%
- ------------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.15% to be
repurchased at $890,509 on 1/03/95 and collateralized by $995,000 U.S. Treasury Notes 43/4
$ 890,000 due 9/30/98 with a value of $908,870..................................................... 890,000
1,270,981 Associates Corp. of North America 5.5% 1/3/95............................................ 1,270,981
-------------
Total Short-Term Investments (Identified cost $2,160,981)................................ 2,160,981
-------------
Total Investments-96.6% (Identified cost $23,610,950) (b)................................ 24,758,495
Cash and Receivables..................................................................... 958,095
Liabilities.............................................................................. (94,330)
-------------
Total Net Assets-100%.................................................................... $25,622,260
=============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $23,610,950 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost.. $ 1,874,617
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value.. (727,072)
------------
Net unrealized appreciation..................................................................................... $ 1,147,545
============
As of December 31, 1994, the Fund had a net tax basis capital loss carryforward as follows:
Expiring December 31, 2002 $429,848
(c) Non-income producing security.
</TABLE>
<PAGE>
New England Zenith Fund
(Avanti Growth Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- -----------------------------------------------------
Aerospace-0.4%
700 McDonnell Douglas Corp. ......... $ 99,400
-----------
Agriculture & Food-7.4%
28,750 Archer Daniels Midland Co. ...... 592,969
10,700 George A. Hormel & Co. .......... 264,825
15,000 Sara Lee Corp. .................. 378,750
4,000 Unilever NV...................... 466,000
-----------
1,702,544
-----------
Apparel-0.1%
200 Nike, Inc. ...................... 14,925
100 Reebok International Ltd. ....... 3,950
-----------
18,875
-----------
Banks-1.0%
2,000 NationsBank Corp. ............... 90,250
3,000 Standard Federal Bank-Troy, MI... 71,625
1,300 Suntrust Banks, Inc. ............ 62,075
-----------
223,950
-----------
Business Machines-3.4%
6,400 Compaq Computer Corp. (c)........ 252,800
5,200 Hewlett Packard Co. ............. 519,350
-----------
772,150
-----------
Business Services-0.2%
1,600 Comdisco Inc. ................... 37,000
-----------
Chemicals-2.5%
500 Borden Chemicals................. 11,500
5,700 Dow Chemical Co. ................ 383,325
2,800 E. I. Du Pont de Nemours & Co. .. 157,500
1,000 Union Carbide Corp. ............. 29,375
-----------
581,700
-----------
Communications-4.1%
6,000 Capital Cities ABC, Inc. ........ 511,500
8,600 Clear Channel Communications..... 436,450
-----------
947,950
-----------
Consumer Durables-3.1%
5,200 Illinois Tool Works, Inc. ....... 227,500
1,733 Lancaster Colony Corp. .......... 50,907
9,900 Premark International, Inc. ..... 443,025
-----------
721,432
-----------
Cosmetics-2.6%
9,800 Proctor & Gamble Co. ............ 607,600
-----------
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-97.0% of Total Net Assets
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------------
Domestic Oil-2.5%
300 Atlantic Richfield..................... $ 30,525
6,400 Mobil Corp. ........................... 539,200
------------
569,725
------------
Drugs & Medicine-15.4%
9,500 Abbotts Labs........................... 309,938
7,700 American Home Products................. 483,175
2,000 Becton Dickinson & Co. ................ 96,000
3,500 Columbia/HCA Healthcare Corp........... 127,750
100 Cordis Corp............................ 6,050
11,200 Johnson & Johnson...................... 613,200
500 Eli Lilly & Co. ....................... 32,813
20,900 Marion Merrell Dow, Inc................ 425,838
8,900 Medtronics, Inc........................ 495,063
19,300 Merck & Co., Inc. ..................... 735,812
7,800 National Medical Enterprises, Inc. .... 110,174
3,200 Upjohn Co. ............................ 98,400
------------
3,534,213
------------
Electric Utilities-6.8%
4,400 Baltimore Gas & Elec Co................ 97,350
18,800 Consolidated Edison Co. of New York.... 484,100
6,500 Houston Industries, Inc. .............. 231,563
7,100 Northern States Power Co. MN........... 312,400
20,500 Rochester Gas & Electric Corp. ........ 427,937
------------
1,553,350
------------
Electronics-13.0%
7,300 Advanced Micro Devices (c)............. 181,588
8,900 Andrew Corp. (c)....................... 465,025
7,900 General Motors Corp. .................. 275,513
2,300 Intel Corp. ........................... 146,912
1,800 KLA Instruments Corp................... 88,200
1,900 Micron Technology, Inc................. 83,837
10,400 Motorola, Inc. ........................ 601,900
5,900 Raytheon Co............................ 376,863
6,000 Tellabs, Inc. ......................... 334,500
2,000 Tektronix, Inc. ....................... 68,500
5,600 Varian Associates, Inc. ............... 196,000
3,100 Vishay Intertechnology, Inc............ 151,900
------------
2,970,738
------------
Finance-5.2%
12,500 Beneficial Corp. ...................... 487,500
6,000 Federal Home Loan Mortgage Corp. ...... 303,000
2,200 Federal National Mortgage Association.. 160,325
7,600 Green Tree Financial Group............. 230,850
------------
1,181,675
------------
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------------------------
Insurance-9.3%
6,900 AFLAC, Inc. ....................................... $ 220,800
5,400 American International Group, Inc. ................ 529,200
9,400 American National Insurance Co. ................... 441,800
5,700 Cigna Corp. ....................................... 360,525
400 Protective Life Corp. ............................. 19,450
3,500 St. Paul Cos., Inc. ............................... 156,625
8,800 SunAmerica, Inc. .................................. 319,000
1,800 U.S. Healthcare, Inc. ............................. 74,250
------------
2,121,650
------------
International Oil-4.5%
5,400 Amoco Corp. ....................................... 319,275
4,100 Chevron Corp. ..................................... 182,962
4,900 Royal Dutch Petroleum Co. (c)...................... 526,750
------------
1,028,987
------------
Liquor-0.1%
500 Seagram Company, Ltd. ............................. 14,750
------------
Miscellaneous (Conglomerates)-0.7%
1,900 ITT Corp. ......................................... 168,388
------------
Producers' Goods-0.4%
2,200 Applied Materials, Inc. ........................... 92,950
------------
Retail (Food)-2.2%
18,700 American Stores Co. ............................... 502,562
------------
Retail (Non-Durables)-1.4%
10,700 Dollar General Corp. .............................. 321,000
------------
Software-0.8%
3,400 Computer Assoc. International, Inc. ............... 164,900
300 Micro Warehouse, Inc. ............................. 10,500
------------
175,400
------------
Steel & Iron-0.4%
5,500 LTV Corp. (New).................................... 89,375
------------
Telephone-4.8%
13,800 Ameritech Corp. ................................... 557,175
13,400 Southwestern Bell Corp. ........................... 541,025
------------
1,098,200
------------
Tobacco-2.9%
7,300 American Brands, Inc. ............................. 273,750
7,000 Philip Morris Cos., Inc. .......................... 402,500
------------
676,250
------------
Utilities (Gas & Pipeline)-1.9%
24,500 MCN Corp. ......................................... 444,062
------------
Total Common Stocks (Identified cost $21,512,858).. 22,255,876
------------
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Value Growth Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Face
Amount Value (a)
- ---------------------------------------------------------------------------------------------------------------
Short-Term Investment-2.6%
- ---------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.15% to be
repurchased at $592,339 on 1/03/95 collateralized by $665,000 U.S. Treasury Notes 43/4% du
$592,000 9/30/98 with a value of $607,436......................................................... $592,000
------------
Total Short-Term Investment (Identified cost $592,000)................................... 592,000
------------
Total Investments-99.6% (Identified cost $22,104,858) (b)................................ 22,847,876
Cash and Receivables..................................................................... 117,478
Liabilities.............................................................................. (31,192)
------------
Total Net Assets-100%.................................................................... $22,934,162
============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $22,142,418 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost....................................................................................... $ 1,206,406
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value..................................................................................... (500,948)
------------
Net unrealized appreciation......................................................................... $ 705,458
============
As of December 31, 1994, the Fund had a net tax basis capital loss carryforward as follows:
Expiring December 31, 2002 $596,458
(c) Non-income producing security.
</TABLE>
<PAGE>
New England Zenith Fund
(Value Growth Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- -------------------------------------------------------
Automobile & Related-2.7%
1,600 Durakon Industries, Inc. ............ $ 27,600
700 Hahn Automotive Wholesale, Inc. ..... 10,938
1,600 Masland Corp. ....................... 25,000
1,100 Walbro Corp. ........................ 20,900
----------
84,438
----------
Banks/Savings & Loan-1.2%
700 Commercial Federal Corp. ............ 14,787
700 Coral Gables FedCorp, Inc. .......... 15,050
650 First Republic Bancorp, Inc. ........ 7,312
----------
37,149
----------
Business Services-0.8%
1,000 Copart, Inc. ........................ 17,625
700 Pomeroy Computer Resources........... 7,175
----------
24,800
----------
Computers & Business Equipment-1.1%
700 Analysts International Corp. ........ 14,350
700 Computer Horizons Corp. ............. 9,450
300 Progress Software Corp. ............. 11,325
----------
35,125
----------
Chemicals-Specialty-1.1%
1,600 Intertape Polymer Group, Inc. ....... 25,400
500 Learonal, Inc. ...................... 9,187
----------
34,587
----------
Electronic Components-9.4%
3,000 American Electronic Components....... 26,250
1,000 Atmel Corp. ......................... 33,500
1,700 Credence Systems Corp. .............. 39,950
300 Dynatech Corp. ...................... 9,900
600 Exar Corp. .......................... 14,700
1,000 FSI International, Inc. ............. 27,000
1,000 Helix Technology Corp. .............. 17,000
900 Lam Research Corp. .................. 33,525
800 Pioneer Standard Electronics, Inc. .. 12,600
600 Silicon Valley Group, Inc. .......... 12,375
300 Three Five Systems, Inc. ............ 10,912
2,000 Union Switch & Signal ............... 27,250
900 Zilog, Inc. ......................... 26,550
----------
291,512
----------
Engineering & Construction-1.2%
1,500 Elsag Baily Process Auto............. 36,937
----------
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-77.7% of Total Net Assets
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------------------
Environmental Services-2.3%
1,000 International Recovery Corp. ................... $ 15,250
2,300 Thermo Fibertek, Inc. .......................... 36,513
800 United Waste Systems, Inc. ..................... 20,000
----------
71,763
----------
Financial Services-Miscellaneous-5.8%
1,300 Chateau Properties, Inc. ....................... 28,438
1,050 Eaton Vance Corp. .............................. 29,400
1,000 Horizon Outlet Centers.......................... 26,125
3,500 Imperial Credit Industries, Inc. ............... 29,750
1,000 Liberty Property................................ 19,625
1,300 Money Store, Inc. .............................. 24,050
1,900 National Auto Credit, Inc. ..................... 22,800
----------
180,188
----------
Food and Beverage-1.6%
800 Universal Foods Corp. .......................... 22,000
1,000 WLR Foods, Inc. ................................ 26,250
----------
48,250
----------
Health Care-(Drugs & Health Care Services)-10.1%
1,100 Abbey Healthcare Group, Inc. ................... 25,575
1,050 Community Health System, Inc. .................. 28,613
1,400 Evergreen Healthcare, Inc. ..................... 13,650
1,200 Future Healthcare, Inc. ........................ 24,750
1,100 Genesis Health Ventures, Inc. .................. 34,787
2,900 Health Images, Inc. ............................ 17,038
1,700 Hillhaven Corp. ................................ 36,125
500 Invacare........................................ 17,125
1,000 Lunar Corp. .................................... 18,000
1,900 Maxxim Medical, Inc. ........................... 27,550
1,200 Mentor Corp. ................................... 20,850
2,500 Regency Health Services......................... 27,812
1,150 Summit Care Corp. .............................. 21,850
----------
313,725
----------
Home Products-1.3%
500 Aptargroup...................................... 14,375
400 Bush Boake Allen, Inc. ......................... 10,800
750 U.S. Can Corp. ................................. 14,250
----------
39,425
----------
Hotels & Restaurants-0.8%
2,000 Supertel Hospitality............................ 25,500
----------
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of December 31, 1994
- --------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ----------------------------------------------------------------
Housing Construction & Building Materials-2.3%
1,700 Crossman Communities, Inc. ................... $ 8,925
1,500 Giant Cement Holding, Inc. ................... 17,812
1,650 NCI Building Systems, Inc. ................... 28,463
600 Toro Co. ..................................... 17,250
----------
72,450
----------
Insurance-3.7%
1,000 Allied Group ................................. 24,750
1,200 Capital Re Corp. ............................. 32,850
400 Protective Life Corp. ........................ 19,450
900 Reinsurance Group of America, Inc. ........... 22,162
1,300 Triad Guaranty, Inc. ......................... 16,575
----------
115,787
----------
Leisure-2.4%
800 Harmon International Industries, Inc. ........ 29,600
1,750 Monaco Coach Corp. ........................... 26,688
1,000 Mountasia Entertainment International, Inc. .. 7,250
2,000 Radica Games, Ltd. ........................... 9,750
----------
73,288
----------
Machinery-4.8%
2,800 Digital Biometrics, Inc. ..................... 21,000
700 Greenfield Industries, Inc. .................. 16,800
1,400 Scotsman Industries, Inc. .................... 23,975
1,500 Thermo Voltek Corp. .......................... 12,187
1,500 Thermotrex Corp. ............................. 20,250
2,700 Thermedics, Inc. ............................. 34,425
900 Wolverine Tube, Inc. ......................... 21,375
----------
150,012
----------
Media & Entertainment-1.2%
1,300 International Cabletel, Inc. ................. 36,075
----------
Metals-7.0%
2,100 Castech Aluminum Group, Inc. ................. 32,025
3,000 Cold Metal Products, Inc. .................... 21,000
1,500 GreenBrier Cos., Inc. ........................ 24,750
1,600 Huntco, Inc. ................................. 35,200
2,200 Johnstown America Industries, Inc. ........... 36,025
400 Rouge Steel Co. .............................. 11,550
500 Steel Technologies, Inc. ..................... 6,500
4,500 UNR Industries, Inc. ......................... 28,688
1,600 WHX Corp. .................................... 21,200
----------
216,938
----------
Miscellaneous-0.8%
3,100 Instrument Systems Corp. ..................... 25,963
----------
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- --------------------------------------------------------------------
Office Equipment-1.1%
1,100 Megahertz Corp. .................................. $ 15,538
400 SyQuest Technology, Inc. ......................... 7,100
300 U.S. Robotics..................................... 12,975
----------
35,613
----------
Oil-Independent Producers-3.6%
1,000 Belden & Blake Corp. ............................. 13,750
2,000 Brown Tom, Inc. .................................. 23,000
1,900 Cross Timbers Oil Co. ............................ 28,500
2,000 International Colin Energy........................ 13,750
1,900 Lomak Petroleum, Inc. ............................ 13,063
1,100 Vintage Petroleum, Inc. .......................... 18,563
----------
110,626
----------
Oil-Services-0.8%
1,000 Production Operators Corp. ....................... 24,250
----------
Paper Products-0.7%
1,000 Caraustar Industries, Inc. ....................... 22,250
----------
Retail (Food & Drug)-0.4%
1,300 National Convenience Stores....................... 11,375
----------
Retail-(Specialty)-2.4%
1,300 Cato Corp Class A................................. 9,425
900 Gander Mountain, Inc. ............................ 14,625
1,900 Haverty Furniture Cos. ........................... 22,325
1,500 Hechinger Co. .................................... 17,437
700 Lillian Vernon Corp. ............................. 10,675
----------
74,487
----------
Telecommunications-6.7%
1,300 Amtech Corp. ..................................... 12,512
2,200 Davel Communications Group ....................... 28,050
1,000 Dial Page, Inc. .................................. 13,500
800 General Datacom Industries........................ 25,900
2,000 Gilat Satellite Networks.......................... 24,000
2,700 Intelcom Group, Inc. ............................. 35,775
2,700 Intervoice, Inc. ................................. 37,125
1,200 Onecomm Corp. .................................... 17,850
1,000 Pittencrieff Communications....................... 5,000
650 Pronet, Inc. ..................................... 9,425
----------
209,137
----------
Textile & Apparel-0.4%
1,000 Deckers Outdoor Corp. ............................ 12,500
----------
Total Common Stocks (Identified cost $2,455,521).. 2,414,150
----------
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Small Cap Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Face
Amount Value (a)
- ---------------------------------------------------------------------------------------------------------------
Short-Term Investment-31.9%
- ---------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.15% to be
repurchased at $990,567 on 1/03/95 collateralized by $1,110,000 U.S. Treasury Notes 43/4% d
$990,000 9/30/98 with a value of $1,013,915........................................................ $ 990,000
-----------
Total Short-Term Investment (Identified cost $990,000).................................... 990,000
-----------
Total Investments-109.6% (Identified cost $3,445,521)(b).................................. 3,404,150
Cash and Receivables...................................................................... 147,361
Liabilities............................................................................... (446,634)
-----------
Total Net Assets-100%..................................................................... $3,104,877
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized depreciation on investments based on cost of $3,447,375 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax
cost..................................................................................................... $ 139,056
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over
value.................................................................................................... (182,281)
-------------
Net unrealized depreciation.............................................................................. $ (43,225)
=============
(c) Non-income producing security.
</TABLE>
<PAGE>
New England Zenith Fund
(Small Cap Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ---------------------------------------------------------
Aerospace-1.0%
800 Allied Signal Corp. ................... $ 27,200
----------
Air Travel-1.0%
500 AMR Corp. (c) ......................... 26,625
----------
Automobiles-3.3%
600 Chrysler Corp. ........................ 29,400
1,000 Ford Motor Co. ........................ 28,000
800 General Motors Corp. .................. 33,800
----------
91,200
----------
Banks-4.1%
800 Chemical Banking Group ................ 28,700
400 First Interstate Bancorp .............. 27,050
900 Fleet Financial Group.................. 29,250
1,200 MBNA Corp. ............................ 28,050
----------
113,050
----------
Chemicals-3.0%
700 Georgia Gulf Corp. .................... 27,213
800 PPG Industries, Inc. .................. 29,700
1,200 Praxair, Inc. ......................... 24,600
----------
81,513
----------
Computers and Business Equipment-3.3%
300 Hewlett Packard Co. ................... 29,963
400 International Business Machines ....... 29,400
300 Xerox Corp. ........................... 29,700
----------
89,063
----------
Domestic Oil-0.4%
400 Sun, Inc. ............................. 11,500
----------
Drugs-1.0%
1,300 Glaxo PLC.............................. 26,488
----------
Electrical Equipment-1.1%
600 General Electric Co. .................. 30,600
----------
Electronics-2.5%
600 Honeywell, Inc. ....................... 18,900
400 Intel Corp. ........................... 25,550
400 Raytheon Co. .......................... 25,550
----------
70,000
----------
Financial Services-12.2%
900 Case Corp. ............................ 19,350
700 Federal Home Loan Mortgage Corp. ...... 35,350
3,800 Federal National Mortgage Association.. 276,925
----------
331,625
----------
Food and Beverage-0.9%
800 IBP, Inc. ............................. 24,200
----------
Gas and Pipeline Utilities-1.0%
900 El Paso Natural Gas Co. ............... 27,450
----------
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------
Common Stocks-52.0% of Total Net Assets
Shares Value (a)
- ------------------------------------------------------------------------
Insurance-4.2%
1,100 Ace Ltd. ........................................... $ 25,713
300 American International Group, Inc. ................. 29,400
400 Chubb Corp. ........................................ 30,950
900 Providian Corp. .................................... 27,788
----------
113,850
----------
Leisure Time-1.0%
1,200 Circus Circus Enterprises .......................... 27,900
----------
Miscellaneous-2.2%
400 ITT Corp. .......................................... 35,450
500 Textron, Inc. ...................................... 25,188
----------
60,637
----------
Paper-1.1%
600 Mead Corp. ......................................... 29,175
----------
Petroleum Services-3.0%
500 Mapco, Inc. ........................................ 25,625
1,000 Repsol S.A. ........................................ 27,250
1,100 Ultramar Corp. ..................................... 28,050
----------
80,925
----------
Retail-1.0%
400 Dayton Hudson Corp. ................................ 28,300
----------
Telephone-2.7%
900 GTE Corp. .......................................... 27,338
900 Sprint Corp. ....................................... 24,863
500 Telefonos de Mexico SA (d).......................... 20,500
----------
72,700
----------
Tobacco-2.0%
500 Phillip Morris Co., Inc. ........................... 28,750
4,100 RJR Nabisco Holdings ............................... 24,600
----------
53,350
----------
Total Common Stocks (Identified Cost $1,415,891).... 1,417,350
----------
Face
Amount
- ------------------------------------------------------------------------
Bonds & Notes-52.4%
- ------------------------------------------------------------------------
CORPORATE BONDS-14.5%
$ 25,000 Bank of Boston 10.300% 9/1/00....................... $25,392
50,000 Coastal Corp. 10.000% 2/1/01........................ 51,848
50,000 Columbia/HCA Healthcare Corp. 8.020% 8/5/02......... 47,998
50,000 International Lease Financial Corp. 8.040% 12/1/97.. 49,514
25,000 Lehman Bros. Inc. 7.000% 5/15/97.................... 23,754
75,000 PaineWebber CMO Tr. 9.000% 10/20/03................. 74,882
25,000 Philip Morris Cos., Inc. 7.625% 5/15/02............. 23,579
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Balanced Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------
Common Stocks-Continued
Face
Amount Value (a)
- ---------------------------------------------------------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS-(Continued)
$ 50,000 Secured Finance Dels. 9.050% 12/15/04.................................................... $51,395
50,000 Aktiebolaget SKF 7.625% 7/15/03.......................................................... 45,624
------------
393,986
------------
FEDERALLY CHARTERED-20.6%
230,000 Federal Home Loan Mortgage Zero Coupon Discount Notes 1/5/95............................. 229,780
180,000 Federal National Mortgage Association Zero Coupon Discount Notes 1/4/95.................. 179,856
30,000 Federal National Mortgage Association Zero Coupon Principal Strip 10/10/01............... 25,424
125,000 Student Loan Marketing Zero Coupon Discount Notes 1/3/95................................. 124,920
------------
559,980
------------
MORTGAGE-BACKED-4.7%
50,000 G.E. Capital Management Services, Inc. 10.000% 3/25/24................................... 51,672
75,000 Western Mortgage Financial Corp. 8.950% 8/1/18........................................... 76,617
------------
128,289
------------
U.S. TREASURY-12.6%
150,000 U.S. Treasury Notes 6.875% 10/31/96...................................................... 147,984
100,000 U.S. Treasury Notes 6.500% 8/15/97....................................................... 96,969
100,000 U.S. Treasury Notes 7.500% 10/31/99...................................................... 98,562
------------
343,515
------------
Total Bonds & Notes (Identified Cost $1,429,065)......................................... 1,425,770
</TABLE>
<TABLE>
<CAPTION>
------------
- ---------------------------------------------------------------------------------------------------------------
Short-Term Investment-9.7%
- ---------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.15% to be
repurchased at $263,150 on 1/03/95 collateralized by $295,000 U.S. Treasury Notes 43/4% du
263,300 9/30/98, with a value of $269,464........................................................ $263,000
------------
Total Short-Term Investment (Identified Cost $263,000)................................... 263,000
------------
Total Investments-114.1% (Identified Cost $3,107,956 (b))................................ 3,106,120
Cash and Receivables..................................................................... 113,866
Liabilities.............................................................................. (497,644)
------------
Total Net Assets-100%.................................................................... $2,722,342
============
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized depreciation on investments based on cost of $3,107,956 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost.. $33,463
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value.. (35,299)
---------
Net unrealized depreciation..................................................................................... $(1,836)
=========
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S. bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
</TABLE>
<PAGE>
New England Zenith Fund
(Balanced Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Bonds and Notes-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ------------------------------------------------------
Australia-3.0%
4,100 Ampolex Ltd. ....................... $ 11,064
3,900 Australia & New Zealand Bank Group.. 12,853
1,600 Broken Hill Property................ 24,293
1,300 CRA Ltd. ........................... 17,944
2,200 CSR Ltd. ........................... 7,592
3,600 Pacific Dunlop Ltd. ................ 9,575
1,300 Western Mining Corp. ............... 7,539
----------
90,860
----------
Belgium-0.8%
200 GPE Bruxelles Lam................... 23,703
----------
Britain-11.0%
2,300 BAT Industries...................... 15,512
2,000 Bowater............................. 13,675
2,800 British Gas......................... 13,713
3,100 British Petroleum................... 20,639
5,100 British Steel....................... 12,289
2,300 Compass Group....................... 12,126
1,000 Granada Group....................... 8,011
2,000 Grand Metropolitan.................. 12,768
4,900 Hanson.............................. 17,711
1,100 Lloyds Bank......................... 9,509
1,000 Midlands Elec....................... 12,752
1,500 National Power...................... 11,501
2,800 Pillar Prop Inv..................... 6,528
1,100 Rtz Corp............................ 14,251
3,400 Vodafone Group...................... 11,278
1,000 RMC Group........................... 14,677
1,500 Reed International.................. 18,718
1,800 Sainsbury(J)........................ 11,590
1,300 Shell Trnspt. & Trdg. .............. 14,178
2,200 Siebe............................... 19,139
2,800 Smithkline Beecham.................. 19,869
2,300 TSB Group........................... 8,422
1,100 Thorn Emi........................... 17,807
2,600 Williams Holdings................... 12,815
----------
329,478
----------
Finland-1.0%
200 Nokia(AB) Oy........................ 29,464
----------
France-6.1%
500 Cap Gemini Sogeti................... 15,915
200 Eaux (Cie Generale)................. 19,435
200 Cle Fin Paribas..................... 13,293
100 Group Danone........................ 14,024
200 Lafarge Coppee Sa................... 14,230
300 Moulinex............................ 5,645
500 Phone Poulenc Sa.................... 11,599
100 Saint Louis......................... 25,744
200 Schneider Sa........................ 13,256
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(International Equity Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------
Common Stocks-67.0% of Total Net Assets
Shares Value (a)
- ----------------------------------------------------
France-continued
100 TV Francaise...................... $ 9,066
300 Sanofi............................ 13,834
200 Total............................. 11,615
600 Union Assur Paris................. 15,480
----------
183,136
----------
Germany-2.5%
30 Henkel Kgaa ...................... 10,957
60 Hoechst Ag. ...................... 17,396
60 Mannesmann Ag. ................... 16,339
110 Thyssen Ag. ...................... 20,975
30 Veba Ag. ......................... 10,454
----------
76,121
----------
Japan-32.5%
2,000 Asahi Glass Co. .................. 24,699
1,000 Bandai Co. ....................... 42,671
1,000 Daiwa Securities.................. 14,458
2,000 Fuji Bank......................... 44,177
4,000 Hitachi........................... 39,719
2,000 Isetan Co. ....................... 36,145
6,000 Ishikawajima Har.................. 27,831
2,000 Kirin Brewey Co. ................. 22,289
3,000 Asahi Bank........................ 34,940
4,000 Makino Milling.................... 36,064
2,000 Matsushita Electronic Industries.. 32,932
2,000 Mitsubishi Corp. ................. 26,305
4,000 Mitsubishi Chemical............... 22,008
2,000 Mitsubishi Heavy Industrial....... 15,261
2,000 Mitsui & Co. ..................... 17,068
3,000 Mitsukoshi........................ 31,627
2,000 Mitsui Fudosan Co. ............... 21,285
2,000 Sakura Bank....................... 26,908
1,000 Nippondenso Co. .................. 21,084
8,000 Nippon Steel Corp. ............... 30,120
1,000 Nomura Securities................. 20,783
3,000 NTN Corp. ........................ 22,500
2,000 Okumura Securities................ 14,960
1,000 Sanwa Bank........................ 19,880
2,000 Sharp Corp. ...................... 36,145
10,000 Showa Denko KK.................... 35,040
2,000 Sumitomo Bank..................... 38,153
10,000 Sumitomo Metel Ind. .............. 32,430
3,090 Sumitomo Rubber................... 30,000
2,000 Takashimaya Co. .................. 30,120
1,000 Bank of Tokyo..................... 15,462
1,000 Tokyo Elec. Power................. 27,911
3,000 Toshiba Corp. .................... 21,777
5,000 Mazda Motor Corp. ................ 28,012
4,000 Toyota Tsusho Corp. .............. 31,847
----------
972,611
----------
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(International Equity Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- --------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Netherland-3.5%
200 Akzo Nobel NV............................................................................ $23,089
700 Boskalis Wstminstr. ..................................................................... 14,275
400 Hunter Douglas NV........................................................................ 18,019
500 Nedlloyd Groep NV........................................................................ 16,389
500 Philips Electronic....................................................................... 14,805
600 N V Koninklijke Sphinx Gus............................................................... 18,596
-----------
105,173
-----------
Norway-1.7%
6,100 Christiania Bank O ...................................................................... 12,448
600 Norsk Hydro As........................................................................... 23,601
500 Norske Skogsindust....................................................................... 13,604
-----------
49,653
-----------
Spain-1.0%
200 Acerinox Sa.............................................................................. 20,893
200 Bco Santander Sa......................................................................... 7,658
-----------
28,551
-----------
Switzerland-2.3%
28 Holderbk Fn Glarus....................................................................... 21,198
8 Interdiscount Holdings................................................................... 9,167
42 Alusiusse Lonza Hd. ..................................................................... 21,016
17 Zurich Versicherum....................................................................... 16,234
-----------
67,615
-----------
United States-1.5%
1,600 Taiwan Fund, Inc. ....................................................................... 46,200
-----------
Total Common Stocks (Identified Cost $1,945,045)......................................... 2,002,565
</TABLE>
<TABLE>
<CAPTION>
-----------
Face
Amount
- --------------------------------------------------------------------------------------------------------------
Short-Term Investment-16.7%
- --------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.15% to be
repurchased at $500,286 on 1/03/95 collateralized by $530,000 U.S. Treasury Notes 63/4%, d
$500,000 5/31/99 with a value of $511,583......................................................... 500,000
- -----------
Total Short-Term Investment (Identified Cost $500,000)................................... 500,000
-----------
Total Investments-83.7% (Identified Cost $2,445,045) (b)................................. 2,502,565
Cash and Receivables (c)................................................................. 710,655
Liabilities.............................................................................. (224,003)
-----------
Total Net Assets-100%.................................................................... $2,989,217
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized appreciation on investments based on cost of $2,445,045 for federal
income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost.. $66,127
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value.. (8,607)
--------
Net unrealized appreciation..................................................................................... $57,520
========
(c) Including deposits in foreign denominated currencies with a value of
$212,710 and a cost of $209,082.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(International Equity Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Common Stocks-Continued
Face
Amount Value (a)
- ---------------------------------------------------------------------------------------------------------------
<C> <S> <C>
$250,000 Federal Home Loan Bank 6.490% 9/8/97..................................................... $240,725
250,000 Federal National Mortgage Association 5.940% 1/29/98..................................... 235,550
106,855 Federal National Mortgage Association Pool 12.000% 6/1/15................................ 117,374
600,000 U.S. Treasury Notes 7.875% 11/15/04...................................................... 602,148
-----------
Total Bonds & Notes (Identified Cost $1,196,893)......................................... 1,195,797
-----------
- ---------------------------------------------------------------------------------------------------------------
Short-Term Investments-45.5%
- ---------------------------------------------------------------------------------------------------------------
400,000 Student Loan Marketing Discount Notes 5.85% 1/5/95....................................... 399,740
280,000 Federal Home Loan Mortgage Notes 10.00% 2/3/95........................................... 278,522
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.50% to be
repurchased at $237,145 on 1/03/95 collateralized by $250,000 U.S. Treasury Notes 61/2% du
237,000 5/15/97 with a value of $245,223......................................................... 237,000
-----------
Total Short-Term Investments (Identified Cost $915,262).................................. 915,262
-----------
Total Investments-104.9% (Identified Cost $2,112,155) (b)................................ 2,111,059
Cash and Receivables..................................................................... 24,561
Liabilities.............................................................................. (123,929)
-----------
Total Net Assets-100%.................................................................... $2,011,691
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized depreciation on investments based on cost of $2,112,155 for
federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost...................................................................................... $1,586
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value.................................................................................... (2,682)
-----------
Net unrealized depreciation....................................................................... $(1,096)
===========
As of December 31, 1994, the Fund had a net tax basis capital loss carryforward
as follows:
Expiring December 31, 2002 $6,247
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(U.S. Government Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Bonds and Notes-59.4% of Total Net Assets
Face
Amount Value (a)
- --------------------------------------------------------------------------------------------------------------
<C> <S> <C>
Corporate Bonds-32.6%
$150,000 Ballys Park Place Funding, Inc. 9.250%, 3/15/04.......................................... $127,500
150,000 Foamex LP/Foamex Capital Corp. 9.500%, 6/1/00............................................ 136,500
150,000 Jordan Industries, Inc. 10.375%, 8/1/03.................................................. 132,563
150,000 Pathmark Stores, Inc. 9.625%, 5/15/03.................................................... 131,625
200,000 Sola Group Ltd. 6.000%, 12/15/03......................................................... 160,000
150,000 Telex Communication, Inc. 12.000% 7/15/04................................................ 147,563
200,000 Total Renal Care 1.000%, 8/15/04......................................................... 150,000
150,000 Williamshouse Regency Del., Inc. 11.500%, 6/15/05........................................ 140,437
-----------
1,126,188
-----------
Foreign Bonds-14.4%
250,000 Republic of Argentina 6.500%, 3/31/05.................................................... 159,062
245,000 Republic of Brazil 6.062%, 1/1/01........................................................ 204,575
250,000 Mexico (United Mexican States) 6.250% 12/31/19........................................... 133,750
-----------
497,387
-----------
U.S. Government Securities-25.6%
400,000 U.S. Treasury Notes 7.875%, 11/15/04..................................................... 401,432
500,000 Federal Home Loan Bank 6.490%, 9/8/97.................................................... 481,450
-----------
882,882
-----------
Total Bonds and Notes (Identified Cost $2,561,053)....................................... 2,506,457
-----------
- --------------------------------------------------------------------------------------------------------------
Short-Term Investments-20.5%
- --------------------------------------------------------------------------------------------------------------
Repurchase agreement with State Street Bank & Trust Company dated 12/30/94 at 5.50% to be
repurchased at $707,432 on 1/03/95 collateralized by $740,000 U.S. Treasury Notes 61/2% du
707,000 5/15/97 with a value of $725,859......................................................... 707,000
-----------
Total Short-Term Investments (Identified Cost $707,000).................................. 707,000
-----------
Total Investment 93.1% (Identified Cost $3,268,053) (b).................................. 3,213,457
Cash and Receivables..................................................................... 273,128
Liabilities.............................................................................. (36,420)
-----------
Total Net Assets-100%.................................................................... $3,450,165
===========
(a) See Note 1a.
(b) Federal Tax Information: At December 31, 1994 the net unrealized
depreciation on investments based on cost of $3,268,053 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value
over tax cost..................................................................................... $11,256
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax
cost over value................................................................................... (65,852)
-----------
Net unrealized depreciation...................................................................... $(54,596)
===========
As of December 31, 1994, the Fund had a net tax basis capital loss carryforward
as follows:
Expiring December 31, 2002 $36,161
See accompanying notes to financial statements.
</TABLE>
<PAGE>
New England Zenith Fund
(Strategic Bond Opportunities Series)
Investments as of December 31, 1994
- --------------------------------------------------------------------------
Bonds and Notes-72.6% of Total Net Assets
Shares Value (a)
- ----------------------------------------------------------
Aluminum-0.1%
100 Reynolds Metals Co. .................... $ 4,900
----------
Apparel and Textiles-1.4%
1,200 Reebok Int. Ltd. ....................... 47,400
----------
Banks-17.0%
1,500 Banc One Corp. ......................... 38,063
1,000 Barnett Banks, Inc. .................... 38,375
800 Citicorp (c)............................ 92,400
2,800 First Bank System, Inc. ................ 93,100
1,500 Morgan J.P. & Co........................ 84,000
1,000 PNC Bank Corp. ......................... 21,125
600 Republic N.Y. Corp...................... 27,150
2,200 State Street Boston Corp. .............. 62,975
800 Wells Fargo & Co. ...................... 116,000
----------
573,188
----------
Computers and Business Equipment-4.3%
900 Hewlett Packard Co. .................... 89,888
1,100 Tandy Corp. ............................ 55,138
----------
145,025
----------
Domestic Oil-0.7%
500 Amerada Hess Corp. ..................... 22,813
200 Energy Ventures, Inc. .................. 2,425
----------
25,238
----------
Drugs and Healthcare-5.3%
600 Johnson & Johnson....................... 32,850
200 Merck & Co., Inc. ...................... 7,625
1,000 Pfizer, Inc. ........................... 77,250
800 Warner Lambert Co. ..................... 61,600
----------
179,325
----------
Electrical Equipment-0.1%
100 Duracell International, Inc. ........... 4,338
----------
Electronics-5.1%
1,800 Cirrus Logic, Inc. ..................... 40,500
1,700 Intel Corp. ............................ 108,588
300 Texas Instruments, Inc. ................ 22,463
----------
171,550
----------
Financial Services-10.3%
100 American Express........................ 2,950
500 Dean Witter Discover & Co. ............. 16,938
3,500 Equitable Companies..................... 63,438
1,300 Federal Home Loan Mortgage Corp. ....... 65,650
100 Federal National Mortgage Association .. 7,288
1,100 Salomon, Inc. .......................... 41,250
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------
Common Stocks-97.8% of Total Net Assets
Shares Value (a)
- -------------------------------------------------------
Financial Services-(Continued)
1,800 Student Loan Marketing Association .. $ 58,500
2,800 Travelers, Inc. ..................... 91,000
----------
347,013
----------
Food and Beverage-9.4%
4,950 Archer Daniels Midland Co. .......... 102,094
2,100 Coca Cola Co. ....................... 108,150
500 General Mills, Inc .................. 28,500
1,300 Nestle SA............................ 61,937
800 Tyson Foods, Inc..................... 17,000
----------
317,681
----------
Gas Exploration-2.1%
2,000 Burlington Resources, Inc. .......... 70,000
----------
Hotels and Restaurants-1.5%
5,100 Host Marriott Corp. ................. 49,088
----------
Household Products-1.3%
600 Gillette Co. ........................ 44,850
----------
Investment Companies-3.0%
1,700 Morgan Stanley Group, Inc. .......... 100,300
----------
Insurance-17.0%
700 American Intl. Group, Inc. .......... 68,600
1,600 Berkley W.R. Corp. .................. 60,000
1,400 Chubb Corp. ......................... 108,325
900 General Re Corp. .................... 111,375
1,700 Nac. Re Corp. ....................... 56,950
500 National Re Corp. ................... 13,125
2,600 Sunamerica Inc. ..................... 94,250
700 Transatlantic Holdings, Inc. ........ 39,113
2,000 20th Century Industries ............. 21,000
----------
572,738
----------
Leisure Time-0.4%
300 Disney Walt Co. ..................... 13,838
----------
Miscellaneous-0.8%
700 Harcourt General, Inc. .............. 24,675
200 Sual Centers, Inc. .................. 2,950
----------
27,625
----------
Newspapers-0.5%
300 Gannett Co. ......................... 15,975
----------
Paper-1.2%
800 Mead Corp. .......................... 38,900
----------
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- --------------------------------------------------------------------
Petroleum Services-1.4%
300 Exxon Corp. ...................................... $18,225
400 Elf Aquitaine..................................... 14,100
300 Schlumberger Ltd. ................................ 15,113
----------
47,438
----------
Railroads and Equipment-1.4%
600 Illinois Central Corp. ........................... 18,450
600 Union Pacific Corp. .............................. 27,375
----------
45,825
----------
Real Estate-2.7%
1,000 Federal Realty Investment Trust................... 20,625
800 United Dominion Realty Trust, Inc. ............... 11,500
1,400 Vornado Realty Trust.............................. 50,225
200 Weingarten Realty................................. 7,575
----------
89,925
----------
Retail-3.1%
1,300 Caldor Corp. ..................................... 28,925
2,800 Federated Department Stores....................... 53,900
500 Sears Roebuck & Co. .............................. 23,000
----------
105,825
----------
Savings and Loan-1.9%
1,800 Golden West Financial Corp. Del. ................. 63,450
----------
Telecommunication Services-0.8%
500 Cellular Communications, Inc. .................... 26,750
----------
Telephone-5.0%
200 AT&T Corp. ....................................... 10,050
1,700 Airtouch Communications, Inc. .................... 49,513
2,900 MCI Communications Corp. ......................... 53,288
1,600 Telefonics de Espana SA (d)....................... 56,200
----------
169,050
----------
Total Common Stocks (Identified Cost $3,320,249).. 3,297,231
----------
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------
Common Stocks-Continued
Face
Amount Value (a)
- -----------------------------------------------------------------------------
$5,000 Equitable Companies, Inc. 6.125% 12/15/24................. $4,500
-----------
Total Bonds & Notes (Identified Cost $4,825).............. 4,500
-----------
Total Investments-97.9% (Identified Cost $3,325,074) (b).. 3,301,731
Cash & Receivables........................................ 182,806
Liabilities............................................... (113,093)
-----------
Total Net Assets-100%..................................... $3,371,444
===========
(a) See Note 1A.
(b) Federal Tax Information:
At December 31, 1994 the net unrealized depreciation on investments based on
cost of $3,325,074 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is
an excess of value over tax cost.................................. $ 55,478
Aggregate gross unrealized depreciation for all investments in which there is
an excess of tax cost over value................................. (78,821)
-----------
Net unrealized depreciation....... ............................. $(23,343)
===========
(c) Non-income producing security.
(d) An American Depository Receipt (ADR) is a certificate issued by a U.S.
bank
representing the right to receive securities of the foreign issuer
described. The values of ADRs are significantly influenced by trading on
exchanges not located in the United States or Canada.
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Venture Value Series)
Investments as of December 31, 1994
- ------------------------------------------------------------------------
Bonds & Notes-0.1%
Shares Value (a)
- --------------------------------------------------------
Automobiles-4.7%
1,250 Chrysler Corp. ....................... $ 61,250
1,000 Harley Davidson, Inc. ................ 28,000
----------
89,250
----------
Chemicals-2.8%
800 Dow Chemical Co. ..................... 53,800
----------
Computers and Business Equipment-19.3%
1,200 Cabletron Systems, Inc. .............. 55,800
1,475 Compaq Comp. Corp. ................... 58,263
375 Deli Comp. Corp. ..................... 15,375
800 International Business Machines....... 58,800
2,350 Seagate Technology.................... 56,400
1,350 Tandy Corp............................ 67,669
575 Xerox Corp. .......................... 56,925
----------
369,232
----------
Drugs and Healthcare-14.9%
1,400 Columbia/HCA Healthcare Corp. ........ 51,100
2,300 Health Management Associates.......... 57,500
1,150 Medtronics, Inc. ..................... 63,969
1,650 Merck & Co., Inc. .................... 62,906
1,100 United Healthcare Corp. .............. 49,638
----------
285,113
----------
Electronics-18.5%
2,550 Adaptec, Inc. ........................ 60,244
950 Intel Corp. .......................... 60,681
1,300 Lam Resh Corp. ....................... 48,425
1,200 Linear Technology..................... 59,400
1,200 Tellabs, Inc. ........................ 66,900
1,000 Xilinx, Inc. ......................... 59,250
----------
354,900
----------
Financial Services-2.8%
1,500 Merrill Lynch & Co., Inc. ............ 53,625
----------
Hotels and Restaurants-5.6%
2,650 Cracker Barrel Old Ctry. Store........ 49,025
2,800 Mirage Resorts........................ 57,400
----------
106,425
----------
Household Applicances-3.2%
1,200 Whirlpool Corp. ...................... 60,900
----------
Industrial Machinery-3.0%
1,600 Varity Corp. ......................... 58,000
----------
Leisure Time-2.7%
1,550 Callaway Golf Co. .................... 51,344
----------
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of December 31, 1994
- --------------------------------------------------------------------------
Common Stocks-95.1% of Total Net Assets
Shares Value (a)
- --------------------------------------------------------------------------
Retail-2.7%
1,250 Nordstrom, Inc. ........................................... $52,500
-----------
Software-1.7%
1,000 Informix................................................... 32,125
-----------
Telecommunication Services-2.5%
2,000 Qualcomm, Inc. ......................................... .. 48,000
-----------
Telephone-9.1%
2,000 Airtouch Comm., Inc. ...................................... 58,250
2,000 Century Telephone Enterprises, Inc. ....................... 59,000
1,700 Vodafone Group PLC......................................... 57,161
-----------
174,411
-----------
Trucking and Freight Forwarding-1.7%
1,000 Landstar System, Inc. ..................................... 32,750
-----------
32,750
-----------
Total Common Stocks (Identified Cost $1,900,732)........... 1,822,375
-----------
- ----------------------------------------------------------------------------
Preferred Stocks-3.1%
- -----------------------------------------------------------------------------
Business Services-3.1%
800 Nokia Corp. ............................................... 60,000
-----------
Total Preferred Stocks (Identified Cost $60,260)........... 60,000
-----------
Face
Amount
- -------------------------------------------------------------------------
Short-Term Investment-6.4%
- ----------------------------------------------------------------------------
$122,175 Seven Seas Series U.S. Government Money Market Fund......... 122,175
-----------
Total Short-Term Investment (Identified Cost $122,175)...... 122,175
-----------
Total Investments-104.6% (Identified Cost $2,083,167)(.... 2,004,550
Cash and Receivables... ................................. 72,590
Liabilities.............................................. (160,227)
-----------
Total Net Assets-100%.... ................................ $1,916,913
===========
(a) See Note 1a.
(b) Federal Tax Information: At December 31, 1994 the net unrealized
depreciation on investments based on cost of $2,083,167 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is
an excess of value over tax cost ................................. $28,958
Aggregate gross unrealized depreciation for all investments in which there is
an excess of tax cost over value................................. (107,575)
-----------
Net unrealized depreciation...................................... $(78,617)
===========
As of December 31, 1994, the Fund had a net tax basis capital loss
carryforward as follows:
Expiring December 31, 2002 $7,936
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Equity Growth Series)
Investments as of December 31, 1994
- ----------------------------------------------------------------------------
Common Stocks-Continued
Shares Value (a)
- --------------------------------------------------------
Air Transport-0.3%
400 Northwest Airlines Corp. ............. $ 6,300
----------
Apparel Products-1.3%
550 Cyrk, Inc. ........................... 22,756
264 Farah Manufacturing, Inc. ............ 1,881
----------
24,637
----------
Apparel Stores-0.5%
880 CML Group, Inc. ...................... 8,910
----------
Building Materials Retailing-0.1%
329 Stelco Inc. Cad Com Stk CI-A.......... 1,876
----------
Business Services-0.1%
100 Banyan Systems, Inc. ................. 1,787
62 Mercury Ineractive Corp. ............. 822
----------
2,609
----------
Chemicals-3.6%
234 Cytec Industries, Inc. ............... 9,126
606 ICN Pharmaceuticals................... 10,458
1,500 Om Group, Inc. ....................... 36,000
350 Union Carbide Corp. .................. 10,281
----------
65,865
----------
Coal Mining-0.3%
236 Pittston Minerals Group............... 6,018
----------
Communications-1.4%
1,100 Century Communications Corp. ......... 8,250
1,400 Westcott Communications, Inc. ........ 17,850
----------
26,100
----------
Depository Financial Institutions-3.3%
1,600 Skandinaviska Enskil Da Banken........ 9,147
1,500 Syd Sonderjylland holding DKK......... 51,762
----------
60,909
----------
Eating & Drinking Places-0.8%
1,880 Ryans Family Steak Houses, Inc. ...... 14,100
----------
Electric & Gas Services-3.0%
200 Carolina Power & Light................ 5,325
150 Detroit Edison Co. ................... 3,919
300 Montana Power Co. .................... 6,900
100 Northern Systems Power Co. ........... 4,400
106 SCE Corp. ............................ 1,550
150 Southern Co. ......................... 3,000
450 Texas Utilities Co. .................. 14,400
450 Union Electric Co. ................... 15,919
- ----------
55,413
----------
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------------
Common Stocks-57.3% of Total Net Assets
See accompanying notes to financial statements.
Shares Value (a)
- -------------------------------------------------------
Electronic Equipment-2.0%
600 Flex Holding......................... $ 9,150
430 National Semiconductor Corp. ........ 8,385
428 Reptron Electronics, Inc. ........... 3,799
550 Tower Semiconductor Ltd. ............ 6,050
500 VISI Technology, Inc. ............... 6,000
167 Western Digital Corp. ............... 2,797
----------
36,181
----------
Food Stores-0.5%
300 General Nutrition Companies, Inc. ... 8,700
----------
General Merchandise Stores-2.7%
300 Best Products, Inc. ................. 1,950
300 Caldor Corp. ........................ 6,675
200 Consolidated Stores Corp. ........... 3,725
200 Dayton Hudson Corp. ................. 9,905
1,250 Mac Frugals Bargains Close Outs...... 25,000
270 Price Costco, Inc. .................. 3,476
----------
50,731
----------
Holding & Investment Companies-2.0%
300 Equity Residential Property.......... 9,000
400 Investor Ae Sbk Se R B............... 9,954
400 Irvine Apartment Communities, Inc. .. 6,550
300 Urban Shopping Centers, Inc. ........ 5,963
300 Wellsford Residential Properties..... 6,300
----------
37,767
----------
Home Furniture-0.2%
250 Rex Stores Corp. .................... 4,063
----------
Industrial Machinery/Computers-2.2%
128 Analog Devices, Inc. ................ 4,496
200 Exabyte Corp. ....................... 4,275
264 Integrated Process Equipment Corp. .. 4,388
100 Komag, Inc. ......................... 2,613
100 Recognition International, Inc. ..... 925
497 Scotsman Industries, Inc. ........... 8,511
150 Sun Microsystems, Inc. .............. 5,325
618 Syquest Technologies, Inc. .......... 10,970
----------
41,503
----------
Insurance Carriers-6.9%
100 Allied Life Financial Corp. ......... 1,425
650 American Bankers Insurance Group..... 15,600
1,123 American Travelers Corp. ............ 18,389
100 Chubb Corp. ......................... 7,738
350 NWNL Cos. Inc. ...................... 10,150
300 Reinsurance Group of America, Inc. .. 7,388
1,703 Security Connecticut Corp. .......... 38,318
2,050 Sphere Drake Holdings, Ltd. ......... 28,443
----------
127,451
----------
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
Investments as of December 31, 1994
- ---------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ---------------------------------------------------------
Leather-0.6%
2,140 Hyde Athletic Industries, Inc. ....... $ 10,165
-----------
Measuring Equipment-0.6%
100 Benson Eyecare Corp. ................. 750
500 LTX Corp. ............................ 2,031
200 Polaroid Corp. ....................... 6,500
150 Uniphase Corp. ....................... 2,175
-----------
11,456
-----------
Misc Manufacturing-1.0%
3,000 Finnveden Invest AB Sexs Ser.......... 2,542
1,522 International Wall Coverings.......... 16,276
-----------
18,818
-----------
Misc Retail-1.5%
1,600 Piercing Pagoda, Inc. ................ 17,000
1,100 Sportmart, Inc. ...................... 11,413
-----------
28,413
-----------
Miscellaneous-1.2%
1,200 Circa Pharmaceuticals, Inc. .......... 21,450
-----------
Nondepository Credit Institutions-8.5%
9,000 Acceptance Insurance Cos., Inc. ...... 135,000
251 Federal Home Loan Mortgage Corp. ..... 12,676
208 Servicios Financieros Quadrum......... 1,326
240 Travelers, Inc. ...................... 7,800
-----------
156,802
-----------
Oil & Gas Extraction-0.7%
409 Hugoton Energy Corp. ................. 3,579
134 Louisiana Land & Exploration Co. ..... 4,874
740 Rowan Cos., Inc. ..................... 4,533
-----------
12,986
-----------
Paper Products-2.0%
1,200 Intertape Polymer Group, Inc. ........ 19,050
300 Mayr-Meinhof Karto.................... 17,630
-----------
36,680
-----------
Primary Metal Industries-1.8%
621 Ak Steel Holding Corp. ............... 19,096
30 Cable Design Technologies Corp. ...... 495
50 J&L Specialty Steel, Inc. ............ 982
313 LTV Corp. New......................... 5,086
600 Oregon Metallurgical.................. 4,350
382 WCI Steel, Inc. ...................... 3,581
-----------
33,590
-----------
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
Investments as of December 31, 1994
- --------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Shares Value (a)
- ----------------------------------------------------------------------
Real Estate-1.1%
1,150 Realty Income Corp. .............................. $ 19,694
----------
Security Brokers-0.5%
500 Money Store, Inc. ................................ 9,250
----------
Stone, Clay & Concrete-0.2%
182 Lone Star Industries, Inc. ....................... 3,184
----------
Textile Mills-1.2%
200 Fruit Of the Loom................................. 5,400
1,337 Image Industries, Inc. ........................... 15,208
100 Masland Corp. .................................... 1,563
----------
22,171
----------
Tobacco-0.7%
240 Philip Morris Cos., Inc. ......................... 13,800
----------
Transport Equipment-2.8%
150 Boeing Co. ....................................... 7,013
200 Chrysler Corp. ................................... 9,800
700 Echlin............................................ 21,000
500 Ford Motor Co. ................................... 14,000
----------
51,813
- ----------
Water Transport-1.4%
12,750 Argonaut Ab....................................... 23,152
450 OMI Corp. ........................................ 2,981
----------
26,133
----------
Wholesale Trade-Nondurables-0.2%
200 Dibrell Brothers, Inc. ........................... 4,074
----------
Total Common Stocks (Identified Cost $1,075,843).. 1,059,612
----------
Face
Amount
- ----------------------------------------------------------------------
Bonds & Notes-10.4%
- ----------------------------------------------------------------------
Corporate Bonds
$ 11,000 ICN Pharmaceuticals 8.500% 11/15/99............... 10,478
Treasury Bonds
75,000 U.S. Treasury Bonds 7.500% 11/15/24............... 71,695
110,000 U.S. Treasury Notes 7.250% 11/30/96............... 109,140
----------
Total Bonds & Notes (Identified Cost $192,987).... 191,313
----------
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
Investments as of December 31, 1994
- -------------------------------------------------------------------------
Common Stocks-Continued
See accompanying notes to financial statements.
Face
Amount Value (a)
- --------------------------------------------------------------------------
Short-Term Investments-42.2%
- --------------------------------------------------------------------------
Repurchase agreement
with Shearson Lehman
Brothers, Inc. dated
12/30/94 at 5.50%
to be repurchased at
$225,138 on 1/03/95
collateralized by
$195,000 U.S.
Treasury Bonds
97/8% due 11/15/15
with a value of $233,756.............. $225,000
232,000 Repurchase agreement
with State Street Bank
and Trust Company
dated 12/30/94 at 5.15%
to be repurchased at
$232,133 on 1/03/95
collateralized by
$260,000 U.S. Treasury
Notes 4.75% due 232,000
9/30/98 with a value of $237,494.... 232,000
50,000 U.S. Treasury Bills 5.030% 1/12/95 . 49,923
75,000 U.S. Treasury Bills 4.000% 1/26/95.. 74,792
75,000 U.S. Treasury Bills 4.750% 2/23/95.. 74,476
75,000 U.S. Treasury Bills 5.320% 3/23/95.. 74,102
50,000 U.S. Treasury Bills 5.500% 4/6/95... 49,274
-----------
Total Short-Term Investments
(Identified Cost $779,567).......... 779,567
-----------
Total Investments-109.9%
(Identified Cost $2,048,397)(b)...... 2,030,492
Cash and Receivables (c)............. 150,184
Liabilities.......................... (332,661)
-----------
Total Net Assets-100%................ $1,848,015
===========
(a) See Note 1a.
(b) Federal Tax Information: At December 31, 1994 the net unrealized
depreciation on investments based on cost of $2,053,047 for federal income
tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is
an excess of value
over tax cost................. ............... $20,972
Aggregate gross unrealized depreciation for all investments in which there
is an excess of tax cost over
value......................................... (43,527)
-----------
Net unrealized depreciation.................... $(22,555)
===========
As of December 31, 1994, the Fund had a net tax basis capital loss
carryforward as follows:
Expiring December 31, 2002....................... $ 19,133
(c) Including deposits in foreign denominated currencies with a value of
$13,433 and a cost of $13,243.
- -----------------------------------------------------------------
Securities Sold Short
- --------------------------------------------------------------
Shares Issuer Value
- ---------------- ------------------------------------- -------
420 Maxtor Corp.......................... $2,310
100 Progress Software Corp............... 3,775
100 Quiksilver, Inc...................... 1,525
420 Ultimate Electronics, Inc............ 5,985
50 Zilog, Inc........................... 1,475
-------
Total Securities Sold Short (Total proceeds $15,637).. $15,070
=======
(The value of securities sold short as a percentage of total investment in
securities-0.74%)
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
Investments as of December 31, 1994
- -----------------------------------------------------------------------
See accompanying notes to financial statements.
<TABLE>
<CAPTION>
New England Zenith Fund
- -------------------------------------------------------------------------------
Statement of Assets and Liabilities
December 31, 1994
Bond Capital Money Stock Avanti Value Small
Income Growth Market Index Managed Growth Growth Cap
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Assets
Investments
at value:
Securities. $124,064,689 $668,216,575 $72,659,440 $36,504,667 $119,242,950 $23,868,495 $22,255,876 $2,414,150
Repurchase
Agreements.. 0 0 1,691,000 2,015,000 890,000 592,000 990,000
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
Total
Investments. 124,064,689 668,216,575 72,659,440 38,195,667 121,257,950 24,758,495 22,847,876 3,404,150
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
Cash......... 6,662 4,844 33,359 156 821 0 623 2,366
Receivable for:
Shares of the
Fund sold... 122,209 621,463 2,013,442 23,180 85,322 341,515 46,310 92,830
Securities sold.. 0 31,771,861 0 174 0 586,121 0 32,745
Dividends and
Interest.... 2,665,193 1,944,169 60,353 104,836 1,068,761 24,641 64,121 1,753
Withholding Tax. 0 29,342 0 0 0 0 0 0
Receivable due
from advisor 0 0 0 5,745 0 5,818 6,424 17,667
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
126,858,753 702,588,254 74,766,594 38,329,758 122,412,854 25,716,590 22,965,354 3,551,511
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
Liabilities
Payable for:
Securities
purchased.. 0 33,177,690 0 1,111,561 0 30,566 0 356,694
Shares of the
Fund redeemed 535,624 1,855,806 434,608 7,848 363,565 35,417 4,066 64,789
Dividends
declared 0 0 311,215 0 0 0 0 0
Daily
Margin
Variation
on open
futures
contracts 0 0 0 0 79,500 0 0 0
Accrued
expenses:
Management
fees....... 42,920 367,617 21,395 7,784 51,769 14,697 13,274 13,485
Deferred trustees'
fees... 27,647 31,991 23,792 24,123 22,683 474 471 0
Other expenses.. 18,945 28,449 15,191 14,154 18,005 13,176 13,381 11,666
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
625,136 35,461,553 806,201 1,165,470 535,522 94,330 31,192 446,634
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
Net
Assets..... $126,233,617 $667,126,701 $73,960,393 $37,164,288 $121,877,332 $25,622,260 $22,934,162 $3,104,877
============= ============= =========== ============ ============= ============ ============ ===========
Net Assets consist of:
Capital paid
in $137,367,398 $654,707,480 $73,960,393 $35,075,178 $116,866,670 $24,904,563 $22,825,162 $3,148,102
Undistributed/(in excess) net
investment
income 0 278,739 0 0 85 0 0 0
Accumulated net realized gains
(losses)......(2,295,333) 0 0 (133,930) (1,189,837) (429,848) (634,018) (1,854)
Unrealized appreciation
(depreciation) on investments,
options and
futures (8,838,448) 12,140,482 0 2,223,040 6,200,414 1,147,545 743,018 (41,371)
------------- ------------- ----------- ------------ ------------- ------------ ------------ -----------
Net
Assets..... $126,233,617 $667,126,701 $73,960,393 $37,164,288 $121,877,332 $25,622,260 $22,934,162 $3,104,877
============= ============= =========== ============ ============= ============ ============ ===========
Shares of beneficial interest
outstanding,
no par value 1,321,363 2,136,207 739,604 493,245 935,395 227,210 210,338 32,139
============= ============= =========== ============ ============= ============ ============ ===========
Computation of
offering price:
Net asset value
and redemption price
per share (Net
Assets/Shares of
beneficial
interest
outstanding) $95.53 $312.30 $100.00 $75.35 $130.30 $112.77 $109.03 $96.61
============= ============= =========== ============ ============= ============ ============ ===========
Identified cost of
investments $132,899,465 $656,076,093 $72,659,440 $35,972,627 $114,977,011 $23,610,950 $22,104,858 $3,445,521
============= ============= =========== ============ ============= ============ ============ ===========
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
- ----------------------------------------------------------------------------
Statement of Assets and Liabilities
December 31, 1994
International Strategic Bond Strategic Equity
Balanced Equity U.S. Government Opportunities Venture Value Equity Growth Opportunities
Series Series Series Series Series Series Series
----------- ------------- --------------- -------------- ------------- ------------- ----------------
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Assets
Investments
at value:
Securities.. $2,843,120 $2,002,565 $1,874,059 $2,506,457 $3,301,731 $2,004,550 $1,588,562
Securities
sold short, at
value (proceeds
received $15,637)
(Note 1) ... 0 0 0 0 0 0 (15,070)
Repurchase
Agreements... 263,000 500,000 237,000 707,000 0 0 457,000
----------- ------------- --------------- -------------- ------------- ------------- ----------------
Total
Investments.. 3,106,120 2,502,565 2,111,059 3,213,457 3,301,731 2,004,550 2,030,492
----------- ------------- --------------- -------------- ------------- ------------- ----------------
Restricted cash on securities
sold short
(Note 1) ....... 0 0 0 0 0 0 15,637
Cash............. 874 472,875 39 408 143,025 23 768
Foreign currency
at value....... 0 212,710 0 0 0 0 13,433
Receivable for:
Shares of the
Fund sold..... 88,286 5,559 7 26,934 25,879 62,877 25,748
Securities
sold......... 0 7,148 0 185,438 0 0 39,166
Foreign
currency sold. 0 0 0 0 0 0 10,715
Foreign exchange
contracts..... 0 0 0 0 0 0 26,218
Dividends and
Interest.... 16,555 1,051 18,353 53,550 4,563 3,683 2,914
Receivable
due from
advisor..... 8,151 11,312 6,162 6,798 9,339 6,007 15,585
----------- ------------- --------------- -------------- ------------- ------------- ----------------
3,219,986 3,213,220 2,135,620 3,486,585 3,484,537 2,077,140 2,180,676
----------- ------------- --------------- -------------- ------------- ------------- ----------------
Liabilities
Payable for:
Securities
purchased... 488,820 207,207 117,055 0 30,475 90,537 279,555
Foreign currency
purchased... 0 0 0 0 0 0 10,715
Foreign exchange
contracts... 0 0 0 0 0 0 26,218
Shares of the Fund
redeemed.... 2 3,654 7 26,934 72,191 62,877 0
Accrued expenses:
Management fees.. 1,448 1,854 1,470 2,787 1,881 1,514 1,325
Other expenses... 7,374 11,288 5,397 6,699 8,546 5,299 14,848
----------- ------------- --------------- -------------- ------------- ------------- ----------------
497,644 224,003 123,929 36,420 113,093 160,227 332,661
----------- ------------- --------------- -------------- ------------- ------------- ----------------
Net Assets.. $2,722,342 $2,989,217 $2,011,691 $3,450,165 $3,371,444 $1,916,913 $1,848,015
=========== ============= =============== ============== ============= ============= ================
Net Assets consist of:
Capital paid
in.... ..... $2,723,927 $2,931,029 $2,019,034 $3,540,922 $3,394,787 $2,003,466 $1,889,602
Undistributed/(in excess)
net investment
income...... 251 0 0 0 0 0 (132)
Accumulated net realized
gains (losses). 0 (323) (6,247) (36,161) 0 (7,936) (23,651)
Unrealized appreciation
(depreciation) on
investments, options
and futures.... (1,836) 58,511 (1,096) (54,596) (23,343) (78,617) (17,804)
----------- ------------- --------------- -------------- ------------- ------------- ----------------
Net Assets.. $2,722,342 $2,989,217 $2,011,691 $3,450,165 $3,371,444 $1,916,913 $1,848,015
=========== ============= =============== ============== ============= ============= ================
Shares of beneficial interest
outstanding,
no par value 273,893 292,106 202,008 354,325 350,592 200,421 194,740
=========== ============= =============== ============== ============= ============= ================
Computation of offering price:
Net asset value and redemption
price per share
(Net assets/shares of
beneficial interest
outstanding) .....$9.94 $10.23 $9.96 $9.74 $9.62 $9.56 $9.49
=========== ============= =============== ============== ============= ============= ================
Identified
cost of
investments. $3,107,956 $2,445,045 $2,112,155 $3,268,053 $3,325,074 $2,083,167 $2,048,397
=========== ============= =============== ============== ============= ============= ================
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
- --------------------------------------------------------------------------
Statement of Operations
For the Year Ended December 31, 1994
Bond Capital Money Stock Avanti Value Small
Income Growth Market Index Managed Growth Growth Cap(*)
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Investment Income
Dividends.................. $0 $15,104,209 $0 $933,449 $2,293,007 $197,521 $485,850 $9,128
Interest................... 9,278,362 236,191 2,880,474 37,762 3,259,433 96,281 41,087 8,840
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
9,278,362 15,340,400 2,880,474 971,211 5,552,440 293,802 526,937 17,968
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Expenses
Management fees............ 515,084 4,396,663 231,326 83,095 613,249 138,414 118,251 13,485
Trustees' fees and expenses. 23,860 31,779 17,779 12,329 23,768 12,059 11,969 5,125
Custodian fees.............. 13,001 19,202 9,239 10,221 12,009 9,688 9,899 9,912
Audit....................... 2,773 2,773 1,603 1,603 2,773 1,420 1,420 1,413
Legal....................... 1,750 1,750 1,750 1,750 1,750 1,750 1,750 1,200
Registration................ 12,277 31,310 100 5,660 11,518 2,781 1,848 0
Miscellaneous............... 1,282 7,934 4,461 552 1,547 283 234 17
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
570,027 4,491,411 266,258 115,210 666,614 166,395 145,371 31,152
Less expenses reimbursed by The New
England.......................... 0 0 0 (5,745) 0 (5,818) (6,424) (17,667)
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Net Investment Income...... 8,708,335 10,848,989 2,614,216 861,746 4,885,826 133,225 387,990 4,483
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Realized and Unrealized Gain (Loss) on
Investments, Futures Contracts and
Foreign Currency Transactions.............
Realized gain (loss) on:
Investments-net............ (2,308,239) 18,279,890 (10) 85,627 (1,581,210) (429,848) (633,620) 455
Futures Contracts-net...... 0 0 0 0 353,320 0 0 0
Foreign Currency
Transactions-net 62,628 0 0 0 0 0 0 0
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Total realized gain (loss) on investments,
futures contracts and foreign currency
transactions............... (2,245,611) 18,279,890 (10) 85,627 (1,227,890) (429,848) (633,620) 455
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Unrealized appreciation
(depreciation) on investments,
foreign currency and
futures-net... (10,925,944) (79,261,045) 0 (489,644) (4,971,428) 522,519 298,917 (41,371)
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Net gain (loss) on investments,
futures contracts and foreign
currency transactions.........(13,171,555) (60,981,155) (10) (404,017) (6,199,318) 92,671 (334,703) (40,916)
-------------- -------------- ----------- ----------- ------------- ----------- ----------- ----------
Net Increase (Decrease) in Net Assets
from Operations..... $(4,463,220) $(50,132,166) $2,614,206 $457,729 $(1,313,492) $225,896 $53,287 $(36,433)
============== ============== =========== =========== ============= =========== =========== ==========
(*) Commenced operations May 2, 1994.
See accompanying notes to financial statements.
</TABLE>
<TABLE>
<CAPTION>
New England Zenith Fund
- ---------------------------------------------------------------------
Statement of Operations-Continued
For the Period Ended December 31, 1994
International Strategic Bond Strategic Equity
Balanced Equity U.S. Government Opportunities Venture Value Equity Growth Opportunities
Series(*) Series(*) Series(*) Series(*) Series(*) Series(*) Series(*)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment
Income
Dividends....... $4,508 $768 $5,819 $3,635 $2,097
Interest........ 10,486 10,480 $21,376 $45,884 5,373 2,541 6,473
--------- ------------- --------------- -------------- ------------- ------------- ----------------
14,994 11,248 21,376 45,884 11,192 6,176 8,570
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Expenses
Management fees... 1,984 2,496 1,840 3,794 2,263 2,231 1,690
Trustees' fees and
expenses........ 1,250 1,250 1,250 1,250 1,250 1,250 1,250
Custodian fees.. 5,396 9,240 3,485 4,787 6,616 3,305 12,933
Audit........... 1,413 1,413 1,413 1,413 1,413 1,413 1,413
Legal........... 500 500 500 500 500 500 500
Miscellaneous... 17 18 17 17 17 17 17
--------- ------------- --------------- -------------- ------------- ------------- ----------------
10,560 14,917 8,505 11,761 12,079 8,716 17,803
Less expenses
reimbursed by the
investment adviser.(8,151) (11,312) (6,163) (6,799) (9,339) (6,007) (15,585)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Net Investment
Income... .. 12,585 7,643 19,034 40,922 8,452 3,467 6,352
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Realized and Unrealized
Gain (Loss) on
Investments, Futures
Contracts and Foreign
Currency Transactions
Realized gain (loss) on:
Investments-net.. 0 (324) (6,247) (36,161) 0 (7,937) (23,095)
Futures Contracts-net 0 0 0 0 0 0 0
Foreign Currency
transactions-net.... 0 (1,852) 0 0 0 0 (635)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Total realized gain (loss)
on investments, futures
contracts and foreign
currency transactions. 0 (2,176) (6,247) (36,161) 0 (7,937) $(23,730)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Unrealized appreciation
(depreciation) on
investments-net....(1,836) 58,511 (1,096) (54,596) (23,343) (78,617) (17,804)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Net gain (loss) on
investments, futures
contracts and foreign
currency
transactions..... (1,836) 56,335 (7,343) (90,757) (23,343) (86,554) (41,534)
--------- ------------- --------------- -------------- ------------- ------------- ----------------
Net Increase (Decrease) in
Net Assets from
Operations...... $10,749 $63,978 $11,691 $(49,835) $(14,891) $(83,087) $(35,182)
========= ============= =============== ============== ============= ============= ================
(*) Commenced operations October 31, 1994.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
New England Zenith Fund
- -----------------------------------------------------------------------------
Statement of Changes in Net Assets
Bond Income Capital Growth
--------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
1993 1994 1993 1994
------------- ------------- --------------- ---------------
- ---------------------------------------------------------------------------
From Operations
Net investment
income.......... $6,946,382 $8,708,335 $3,793,240 $10,848,989
Net realized gain
(loss) on
investments
and foreign currency
transactions.. 4,673,777 (2,245,611) 48,164,489 18,279,890
Unrealized
appreciation
(depreciation)
on investments
and foreign
currency
transactions... 88,003 (10,925,944) 27,380,043 (79,261,045)
------------- ------------- --------------- ---------------
Increase
(decrease)
in net
assets from
operations...... 11,708,162 (4,463,220) 79,337,772 (50,132,166)
------------- ------------- --------------- ---------------
From Distributions to Shareholders
Net investment
income......... (6,946,382) (8,697,370) (3,790,747) (10,566,409)
In excess of
net investment
income......... (59,588) (6,472) 0 0
Net realized
gain on
investments.... (4,663,174) 0 (29,126,155) (19,094,533)
------------- ------------- --------------- ---------------
(11,669,144) (8,703,842) (32,916,902) (29,660,942)
------------- ------------- --------------- ---------------
From Capital Shares Transactions
Proceeds from
the sale of
shares......... 68,401,223 50,909,294 240,943,973 265,969,106
Net asset value
of shares issued
in connection
with the reinvestment of:
Distributions
from net
investment
income......... 7,005,970 8,703,842 3,790,747 10,556,416
Distributions
from net realized
gain........... 4,663,174 0 29,126,155 18,284,122
------------- ------------- --------------- ---------------
80,070,367 59,613,136 273,860,875 294,809,644
Cost of
shares
redeemed....... (31,924,141) (51,454,492) (147,914,641) (192,273,754)
------------- ------------- --------------- ---------------
Increase
(decrease) in
net assets
derived from
capital share
transactions.. 48,146,226 8,158,644 125,946,234 102,535,890
------------- ------------- --------------- ---------------
Total increase
(decrease) in
net assets..... 48,185,244 (5,008,418) 172,367,104 22,742,782
Net Assets
Beginning of
the year....... 83,056,791 131,242,035 472,016,815 644,383,919
------------- ------------- --------------- ---------------
End of the
year... $131,242,035 $126,233,617 $644,383,919 $667,126,701
============= ============= =============== ===============
Undistributed (Overdistributed) Net Investment Income
Beginning of
the year....... $1,165,129 $0 $86,176 $(1,766)
============= ============= =============== ===============
End of the
year........... $0 $0 $(1,766) $278,739
============= ============= =============== ===============
Number of Shares of the Fund:
Issued from
the sale of
shares......... 608,020 493,361 699,082 773,701
Issued in connection with the reinvestment of:
Distributions
from net
investment income.. 65,802 90,987 10,748 33,768
Distributions from
net realized gain. 43,798 0 82,583 58,487
------------- ------------- --------------- ---------------
717,620 584,348 792,413 865,956
Redeemed....... (283,877) (499,476) (424,704) (562,304)
------------- ------------- --------------- ---------------
Net change..... 433,743 84,872 367,709 303,652
============= ============= =============== ===============
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Money Market Stock index
------------------------------ ----------------------------
Year Ended Year Ended Year Ended Year Ended
December 31, December 31, December 31, December 31,
1993 1994 1993 1994
-------------- --------------- ------------- --------------
- -----------------------------------------------------------------------
From Operations
Net investment
income.......... $1,790,437 $2,614,216 $495,945 $861,746
Net realized gain
(loss) on
investment and
foreign currency
transactions... 0 (10) 252,685 85,627
Unrealized appreciation (depreciation) on investment and foreign currency
transactions... 0 0 1,080,193 (489,644)
-------------- --------------- ------------- --------------
Increase in net
assets from
operations..... 1,790,437 2,614,206 1,828,823 457,729
-------------- --------------- ------------- --------------
From Distributions to Shareholders
Net investment
income......... (1,790,437) (2,614,206) (495,945) (861,687)
In excess of
net investment
income... ..... 0 0 (65,411) 0
Net realized gain
on investments... 0 0 (252,685) (74,418)
In excess of net
realized gain.. 0 0 (67,599) 0
Paid-in-Capital 0 0 0 (28,861)
-------------- --------------- ------------- --------------
(1,790,437) (2,614,206) (881,640) (964,966)
-------------- --------------- ------------- --------------
From Capital Shares Transactions
Proceeds from the
sale of shares.. 83,430,088 149,478,320 24,428,752 18,433,352
Net asset value of shares issued in connection with the reinvestment of:
Distributions from
net investment
income......... 1,803,600 2,445,979 561,356 861,687
Distributions
from net
realized gain.. 0 0 320,284 74,418
Distributions from
Paid-in Capital. 0 0 0 28,861
-------------- --------------- ------------- --------------
85,233,688 151,924,299 25,310,392 19,398,318
Cost of shares
redeemed....... (87,797,275) (137,007,701) (7,612,702) (10,543,643)
-------------- --------------- ------------- --------------
Increase
(decrease)
in net assets derived from capital share
transactions.. (2,563,587) 14,916,598 17,697,690 8,854,675
-------------- --------------- ------------- --------------
Total increase
(decrease) in
net assets.... (2,563,587) 14,916,598 18,644,873 8,347,438
Net Assets
Beginning of the
year............ 61,607,382 59,043,795 10,171,977 28,816,850
-------------- --------------- ------------- --------------
End of the
year.... ....... $59,043,795 $73,960,393 $28,816,850 $37,164,288
============== =============== ============= ==============
Undistributed (Overdistributed) Net Investment Income
Beginning of the
year... ........ $0 $0 $(337) $(2,244)
============== =============== ============= ==============
End of the
year............ $0 $0 $(2,244) $0
============== =============== ============= ==============
Number of Shares of the Fund:
Issued from the sale of
shares.......... 834,301 1,494,783 324,734 241,694
Issued in connection with the reinvestment of:
Dividends from net investment
income.......... 18,036 24,460 7,275 11,363
Distributions from net realized
gain............ 0 0 4,176 983
Distributions from Paid-in
Capital......... 0 0 0 421
-------------- --------------- ------------- --------------
852,337 1,519,243 336,185 254,461
Redeemed........ (877,973) (1,370,077) (100,656) (138,029)
-------------- --------------- ------------- --------------
Net change...... (25,636) 149,166 235,529 116,432
============== =============== ============= ==============
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- ------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Managed Avanti Growth
---------------------------- -------------------------------
For the period
Year Ended Year Ended April 30, 1993(a) Year Ended
December 31, December 31, through December 31,
1993 1994 December 31, 1993 1994
-------------- ------------- ----------------- -------------
- ----------------------------------------------------------------------
From Operations
Net investment
income........ $3,654,069 $4,885,826 $17,790 $133,225
Net realized gain (loss) on investments and foreign currency
transactions.. 2,214,837 (1,227,890) 67,149 (429,848)
Unrealized appreciation (depreciation) on investments and foreign
currency
transactions.......3,672,165 (4,971,428) 625,026 522,519
------------ ------------- ----------------- -------------
Increase (decrease)
in net assets
from operations.. 9,541,071 (1,313,492) 709,965 225,896
-------------- ------------- ----------------- -------------
From Distributions to Shareholders
Net investment
income......... (3,650,187) (4,847,688) (17,790) (133,225)
In excess of net investment
income.. ...... 0 0 0 (1,266)
Net realized gain on
investments.... (2,214,837) 0 (67,149) 0
In excess of net realized
gain........... (4,051) 0 0 0
Paid-in capital.. 0 0 (22,907) 0
-------------- ------------- ----------------- -------------
(5,869,075) (4,847,688) (107,846) (134,491)
-------------- ------------- ----------------- -------------
From Capital Shares Transactions
Proceeds from sale of
shares.......... 55,584,080 38,433,190 8,912,857 24,276,118
Net asset value of shares issued in connection with reinvestment of:
Distributions from net investment
income.......... 3,650,187 4,847,688 17,805 134,491
Distributions from net realized
gain............ 2,218,888 0 90,041 0
-------------- ------------- ----------------- -------------
61,453,155 43,280,878 9,020,703 24,410,609
Cost of shares
redeemed........ (21,361,341) (36,581,093) (650,400) (10,852,176)
-------------- ------------- ----------------- -------------
Increase in net assets derived from capital share
transactions.... 40,091,814 6,699,785 8,370,303 13,558,433
-------------- ------------- ----------------- -------------
Total increase in net
assets.......... 43,763,810 538,605 8,972,422 13,649,838
Net Assets
Beginning of the
year............ 77,574,917 121,338,727 3,000,000 11,972,422
-------------- ------------- ----------------- -------------
End of the year $121,338,727 $121,877,332 $11,972,422 $25,622,260
============== ============= ================= =============
Undistributed (Overdistributed) Net Investment Income
Beginning of the
year............ $12,045 $6,388 $0 $0
============== ============= ================= =============
End of the year.. $6,388 $44,526 $0 $0
============== ============= ================= =============
Number of Shares of the Fund:
Issued from the sale of
shares... ...... 399,093 285,556 80,215 219,339
Issued in connection with the reinvestment of:
Distributions from net investment
income.......... 26,424 37,014 156 1,197
Distributions from net realized
gain............ 16,063 0 791 0
-------------- ------------- ----------------- -------------
441,580 322,570 81,162 220,536
Redeemed........ (152,564) (271,720) (5,839) (98,649)
-------------- ------------- ----------------- -------------
Net change...... 289,016 50,850 75,323 121,887
============== ============= ================= =============
(a) Commencement of Operations
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Value Growth Small Cap
------------------------------ -----------------
For the period For the period
April 30, 1993(a) Year Ended May 2, 1994(a)
through December 31, through
December 31, 1993 1994 December 31, 1994
----------------- ------------ -----------------
- ----------------------------------------------------------------------
From Operations
Net investment
income.. ............. $70,287 $387,990 $4,483
Net realized gain (loss) on investments and foreign currency
transactions.. 77,110 (633,620) 455
Unrealized appreciation (depreciation) on investments and foreign currency
transactions.......... 444,101 298,917 (41,371)
----------------- ------------ -----------------
Increase (decrease) in net assets from
operations............ 591,498 53,287 (36,433)
----------------- ------------ -----------------
From Distributions to Shareholders
Net investment income... (70,287) (387,990) (4,709)
Distributions in excess of net investment
income................ (315) 0 0
Net realized gain on
investments........... (77,110) 0 0
Distributions in excess of net realized
gain.................. (398) 0 0
Paid-in Capital.. .... 0 (9,110) 0
----------------- ------------ -----------------
(148,110) (397,100) (4,709)
----------------- ------------ -----------------
From Capital Shares Transactions
Proceeds from sale of
shares.................. 5,657,968 23,191,269 5,264,621
Net asset value of shares issued in connection with reinvestment of:
Distributions from net investment
income.................. 70,602 387,990 4,709
Distributions from net realized
gain.................... 77,508 0 0
Distributons from Paid-in
Capital................. 0 9,110 0
----------------- ------------ -----------------
5,806,078 23,588,369 5,269,330
Cost of shares redeemed.. (167,200) (9,392,660) (2,123,311)
----------------- ------------ -----------------
Increase in net assets derived from capital share
transactions............ 5,638,878 14,195,709 3,146,019
----------------- ------------ -----------------
Total increase in net
assets.................. 6,082,266 13,851,896 3,104,877
Net Assets
Beginning of the period.. 3,000,000 9,082,266 0
----------------- ------------ -----------------
End of the period......... $9,082,266 $22,934,162 $3,104,877
================= ============ =================
Undistributed (Overdistributed) Net Investment Income
Beginning of the period... $0 $(315) $0
================= ============ =================
End of the period......... $(315) $(9,425) $0
================= ============ =================
Number of Shares of the Fund:
Issued from the sale of
shares................. 51,053 212,075 95,218
Issued in connection with the reinvestment of:
Distributions from net investment
income................. 626 3,558 49
Distributions from net realized
gain................... 687 0 0
Distributons from Paid-in
Capital................ 0 73 0
----------------- ------------ -----------------
52,366 215,706 95,267
Redeemed............... (1,507) (86,227) (63,128)
----------------- ------------ -----------------
Net change............. 50,859 129,479 32,139
================= ============ =================
(a) Commencement of Operations
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
International
Balanced Equity
Series Series
------------------- -------------------
For the period For the period
October 31, 1994(a) October 31, 1994(a)
through through
December 31, 1994 December 31, 1994
------------------- -------------------
- -------------------------------------------------------------------------
From Operations
Net investment income.......... $12,585 $7,643
Net realized gain (loss) on investments a
nd foreign currency
transactions................ 0 (2,176)
Unrealized appreciation
(depreciation) on
investments and
foreign currency transactions.. (1,836) 58,511
------------------- -------------------
Increase in net assets from
operations...................... 10,749 63,978
------------------- -------------------
From Distributions to Shareholders
Net investment income........... (12,334) (5,791)
Paid-in Capital................. 0 (2,628)
------------------- -------------------
(12,334) (8,419)
------------------- -------------------
From Capital Shares Transactions
Proceeds from the sale of shares... 2,157,989 3,566,918
Net asset value of shares issued in connection with the reinvestment of:
Distributions from net investment
income.......................... 12,335 5,791
Distributions from Paid-in Capital. 0 2,628
----------------- -------------------
2,170,324 3,575,337
Cost of shares redeemed........... (446,397) (1,641,679)
------------------ -------------------
Increase (decrease) in net assets
derived from capital share
transactions................ 1,723,927 1,933,658
------------------- -------------------
Total increase in net assets..... 1,722,342 1,989,217
Net Assets
Beginning of the period.......... 1,000,000 1,000,000
------------------- -------------------
End of the period................. $2,722,342 $2,989,217
=================== ===================
Undistributed (Overdistributed) Net Investment Income
Beginning of the period........... $0 $0
=================== ===================
End of the period................. $251 $0
=================== ===================
Number of Shares of the Fund:
Issued from the sale of shares.... 217,577 355,009
Issued in connection with the reinvestment of:
Distributions from net investment income 1,242 571
Distributions from Paid-in Capital.. 0 257
------------------- -------------------
218,819 355,837
Redeemed........................... (44,926) (163,731)
------------------- -------------------
Net change......................... 173,893 192,106
=================== ===================
- ------
(a) Commencement of operations.
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- -------------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Strategic Bond
U.S. Government Opportunities
Series Series
------------------- -------------------
For the period For the period
October 31, 1994(a) October 31, 1994(a)
through through
December 31, 1994 December 31, 1994
------------------- -------------------
- ---------------------------------------------------------------------------
From Operations
Net investment income.............. $19,034 $40,922
Net realized gain (loss) on investments
and foreign currency transactions.... (6,247) (36,161)
Unrealized appreciation (depreciation)
on investments and foreign
currency transactions.. (1,096) (54,596)
------------------- -------------------
Increase (decrease) in net assets
from operations.................... 11,691 (49,835)
------------------- -------------------
From Distributions to Shareholders
Net investment income.............. (19,034) (40,922)
In excess of net investment income. (966) (1,078)
------------------- -------------------
(20,000) (42,000)
------------------- -------------------
From Capital Shares Transactions
Proceeds from the sale of shares... 1,051,370 1,060,215
Net asset value of shares issued in connection with the reinvestment of:
Distributions from net investment income.... 20,000 42,000
------------------- -----------------
1,071,370 1,102,215
Cost of shares redeemed............ (1,051,370) (1,060,215)
------------------- -------------------
Increase (decrease) in net assets
derived from capital share
transactions................ 20,000 42,000
------------------- -------------------
Total increase (decrease)
in net assets...................... 11,691 (49,835)
Net Assets
Beginning of the period............ 2,000,000 3,500,000
------------------- -------------------
End of the period.................. $2,011,691 $3,450,165
=================== ===================
Undistributed (Overdistributed) Net Investment Income
Beginning of the period.. ......... $0 $0
=================== ===================
End of the period.................. $0 $0
=================== ===================
Number of Shares of the Fund:
Issued from the sale of shares..... 111,982 106,727
Issued in connection with the reinvestment of:
Distributions from net investment income. 2,008 4,325
--------------- -------------------
113,990 111,052
Redeemed............................... (111,982) (106,727)
------------------- -------------------
Net change............................ 2,008 4,325
=================== ===================
- ------
(a) Commencement of operations.
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- --------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Venture Value Equity Growth
Series Series
------------------- -------------------
For the period For the period
October 31, 1994(a) October 31, 1994(a)
through through
December 31, 1994 December 31, 1994
------------------- -------------------
- -----------------------------------------------------------------------------
From Operations
Net investment income.............. $8,452 $3,467
Net realized gain (loss)
on investments and
foreign currency transactions... .. 0 (7,937)
Unrealized appreciation (depreciation)
on investments and
foreign currency transactions.. (23,343) (78,617)
------------------- -------------------
Increase (decrease) in net assets
from operations.................... (14,891) (83,087)
------------------- -------------------
From Distributions to Shareholders
Net investment income.............. (8,452) (3,466)
In excess of net investment income.. (1,456) (534)
------------------- -------------------
(9,908) (4,000)
------------------- -------------------
From Capital Shares Transactions
Proceeds from sale of shares........ 3,821,298 1,872,491
Net asset value of shares issued in connection with reinvestment of:
Distributions from net investment income... 9,908 4,000
------------------- -------------------
3,831,206 1,876,491
Cost of shares redeemed.............. (1,434,963) (1,872,491)
------------------- -------------------
Increase (decrease) in net assets derived
from capital share transactions.... 2,396,243 4,000
------------------- -------------------
Total increase (decrease) in net assets. 2,371,444 (83,087)
Net Assets
Beginning of the period............... 1,000,000 2,000,000
------------------- -------------------
End of the period...................... $3,371,444 $1,916,913
=================== ===================
Undistributed (Overdistributed) Net Investment Income
Beginning of the period............ $0 $0
=================== ===================
End of the period.................. $0 $0
=================== ===================
Number of Shares of the Fund:
Issued from the sale of shares...... 397,102 220,620
Issued in connection with the reinvestment of:
Distributions from net investment income... 1,030 421
------------------- -------------------
398,132 221,041
Redeemed.............................. (147,540) (220,620)
------------------- -------------------
Net change............................ 250,592 421
=================== ===================
(a) Commencement of Operations
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
- -------------------------------------------------------------------------------
Statement of Changes in Net Assets-Continued
Strategic Equity
Opportunities
Series
-------------------
For the period
October 31, 1994(a)
through
December 31, 1994
-------------------
- --------------------------------------------------------------------
From Operations
Net investment income............................... $6,352
Net realized gain (loss)
on investments
and foreign currency transactions................ (23,730)
Unrealized appreciation (depreciation) on investments
and foreign currency transactions.. (17,804)
----------------
Increase (decrease) in net assets from operations...... (35,182)
-------------------
From Distributions to Shareholders
Net investment income................................. (7,425)
-------------------
(7,425)
-------------------
From Capital Shares Transactions
Proceeds from sale of shares.......................... 2,166,893
Net asset value of shares issued in connection with reinvestment of:
Distributions from net investment income............. 7,425
-------------------
2,174,318
Cost of shares redeemed.............................. (1,283,696)
-------------------
Increase (decrease) in net assets derived from
capital share transactions................ 890,622
-------------------
Total increase (decrease) in net assets............... 848,015
Net Assets
Beginning of the period............................... 1,000,000
-------------------
End of the period..................................... $1,848,015
===================
Undistributed (Overdistributed) Net Investment Income
Beginning of the period.............................. $0
===================
End of the period...................................... $(132)
===================
Number of Shares of the Fund:
Issued from the sale of shares......................... 227,857
Issued in connection with the reinvestment of:
Distributions from net investment income............... 791
-------------------
228,648
Redeemed................................................ (133,908)
-------------------
Net change.............................................. 94,740
===================
(a) Commencement of Operations
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights
- ------------------------------------------------------
Year Ended December 31,
----------------------------------------------
1990 1991 1992 1993 1994
-------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year...................... $97.23 $97.61 $103.44 $103.47 $106.14
-------- -------- -------- --------- ---------
Income From Investment Operations
Net Investment Income................................... 8.49 8.53 7.96 5.70 7.05
Net Realized and Unrealized Gain (Loss) on Investments.. (0.65) 8.90 0.51 7.38 (10.61)
-------- -------- -------- --------- ---------
Total From Investment Operations........................ 7.84 17.43 8.47 13.08 (3.56)
-------- -------- -------- --------- ---------
Less Distributions
Distributions From Net Investment Income................ (7.46) (9.47) (6.87) (6.20) (7.05)
Distributions In Excess of Net Investment Income........ 0.00 0.00 0.00 (0.05) 0.00
Distributions From Net Realized Capital Gains........... 0.00 (2.13) (1.57) (4.16) 0.00
-------- -------- -------- --------- ---------
Total Distributions..................................... (7.46) (11.60) (8.44) (10.41) (7.05)
-------- -------- -------- --------- ---------
Net Asset Value, End of Year............................ $97.61 $103.44 $103.47 $106.14 $95.53
======== ======== ======== ========= =========
Total Return (%)........................................ 8.09 17.96 8.18 12.61 (3.36)
Ratio of Operating Expenses to Average
Net Assets (%).......................................... 0.46 0.45 0.44 0.43 0.44
Ratio of Net Investment Income to Average
Net Assets (%).......................................... 8.57 8.27 7.70 6.47 6.75
Portfolio Turnover Rate (%)............................. 106 193 71 177 82
Net Assets, End of Year (000)........................... $40,631 $49,369 $83,057 $131,242 $126,234
As of January 1, 1993, the Bond Income Series discontinued the use of
equalization accounting.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Bond Income Series)
Financial Highlights
- ------------------------------------------------------
Year Ended December 31,
-------------------------------------------------
1990 1991 1992 1993 1994
<S> <C> <C> <C> <C> <C>
--------- --------- --------- --------- ---------
Net Asset Value, Beginning of Year............. $260.25 $249.04 $347.36 $322.23 $351.63
--------- --------- --------- --------- ---------
Income From Investment Operations
Net Investment Income.......................... 1.78 3.16 4.04 2.12 5.28
Net Realized and Unrealized Gain (Loss) on
Investments.................................... (10.88) 130.75 (25.10) 46.21 (30.54)
--------- --------- --------- --------- ---------
Total From Investment Operations............... (9.10) 133.91 (21.06) 48.33 (25.26)
--------- --------- --------- --------- ---------
Less Distributions
Distributions From Net Investment Income....... (2.11) (3.22) (4.07) (2.18) (5.15)
Distributions From Net Realized Capital Gains.. 0.00 (31.93) 0.00 (16.75) (8.92)
Distributions From Paid-in Capital............. 0.00 (0.44) 0.00 0.00 0.00
--------- --------- --------- --------- ---------
Total Distributions............................ (2.11) (35.59) (4.07) (18.93) (14.07)
--------- --------- --------- --------- ---------
Net Asset Value, End of Year................... $249.04 $347.36 $322.23 $351.63 $312.30
========= ========= ========= ========= =========
Total Return (%)............................... (3.49) 54.00 (6.05) 14.97 (7.07)
Ratio of Operating Expenses to Average
Net Assets (%)................................. 0.73 0.70 0.70 0.68 0.67
Ratio of Net Investment Income to Average
Net Assets (%)................................. 0.93 1.22 1.53 0.67 1.61
Portfolio Turnover Rate (%).................... 229 174 207 169 140
Net Assets, End of Year (000).................. $148,254 $343,965 $472,017 $644,384 $667 , 127
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Capital Growth Series)
Financial Highlights
- ------------------------------------------------------
Year Ended December 31,
--------------------------------------------
1990 1991 1992 1993 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year........................ $100.00 $100.00 $100.00 $100.00 $100.00
-------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income..................................... 7.88 6.03 3.73 2.93 3.89
-------- -------- -------- -------- --------
Total From Investment Operations.......................... 7.88 6.03 3.73 2.93 3.89
-------- -------- -------- -------- --------
Less Distributions
Distributions From Net Investment Income.................. (7.88) (6.03) (3.73) (2.93) (3.89)
-------- -------- -------- -------- --------
Total Distributions....................................... (7.88) (6.03) (3.73) (2.93) (3.89)
-------- -------- -------- -------- --------
Net Asset Value, End of Year.............................. $100.00 $100.00 $100.00 $100.00 $100.00
======== ======== ======== ======== ========
Total Return (%).......................................... 8.17 6.20 3.79 2.97 4.01
Ratio of Operating Expenses to Average Net Assets (%)..... 0.38 0.38 0.38 0.38 0.40
Ratio of Net Investment Income to Average Net Assets (%).. 7.87 6.01 3.71 2.93 3.89
Net Assets, End of Year (000)............................. $60,071 $58,614 $61,607 $59,044 $73,960
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Money Market Series)
Financial Highlights
- ------------------------------------------------------
Year Ended December 31,
--------------------------------------------
1990 1991 1992 1993 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year................ $117.36 $108.49 $137.39 $72.00 $76.48
-------- -------- -------- -------- --------
Income From Investment Operations
Net Investment Income............................. 3.76 3.56 8.35 1.54 1.80
Net Realized and Unrealized Gain (Loss)
on Investments.................................... (8.64) 29.29 2.02 5.18 (0.92)
-------- -------- -------- -------- --------
Total From Investment Operations.................. (4.88) 32.85 10.37 6.72 0.88
-------- -------- -------- -------- --------
Less Distributions
Distributions From Net Investment Income.......... (3.82) (3.56) (8.35) (1.36) (1.82)
Distributions In Excess of Net Investment Income.. 0.00 0.00 0.00 (0.18) 0.00
Distributions From Net Realized Capital Gains..... 0.00 (0.39) (67.41) (0.55) (0.16)
Distributions In Excess of Net Capital Gains...... 0.00 0.00 0.00 (0.15) 0.00
Distributions From Paid-in Capital................ (0.17) 0.00 0.00 0.00 (0.03)
-------- -------- -------- -------- --------
Total Distributions............................... (3.99) (3.95) (75.76) (2.24) (2.01)
-------- -------- -------- -------- --------
Net Asset Value, End of Year...................... $108.49 $137.39 $72.00 $76.48 $75.35
======== ======== ======== ======== ========
Total Return (%).................................. (4.14) 30.37 7.30 9.72 1.14
Ratio of Operating Expenses to Average
Net Assets (%).................................... 0.36 0.36 0.35 0.34 0.33
Ratio of Net Investment Income to Average
Net Assets (%).................................... 3.36 2.86 2.63 2.52 2.59
Portfolio Turnover Rate (%)....................... 1 2 17 12 2
Net Assets, End of Year (000)..................... $15,122 $20,496 $10,172 $28,817 $37,164
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Stock Index Series)
Financial Highlights
- ------------------------------------------------------
Year Ended December 31,
----------------------------------------------
1990 1991 1992 1993 1994
-------- -------- -------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Year........................ $114.65 $112.79 $127.87 $130.26 $137.18
-------- -------- -------- --------- ---------
Income From Investment Operations
Net Investment Income..................................... 5.47 6.41 5.14 4.35 5.42
Net Realized and Unrealized Gain (Loss) on Investments.... (1.81) 16.23 3.45 9.58 (6.92)
-------- -------- -------- --------- ---------
Total From Investment Operations.......................... 3.66 22.64 8.59 13.93 (1.50)
-------- -------- -------- --------- ---------
Less Distributions
Distributions From Net Investment Income.................. (5.38) (6.41) (5.13) (4.36) (5.38)
Distributions From Net Realized Capital Gains............. 0.00 (1.15) (1.07) (2.65) 0.00
Distributions From Paid-in Capital........................ (0.14) 0.00 0.00 0.00 0.00
-------- -------- -------- --------- ---------
Total Distributions....................................... (5.52) (7.56) (6.20) (7.01) (5.38)
-------- -------- -------- --------- ---------
Net Asset Value, End of Year.............................. $112.79 $127.87 $130.26 $137.18 $130.30
======== ======== ======== ========= =========
Total Return (%).......................................... 3.21 20.17 6.70 10.65 (1.11)
Ratio of Operating Expenses to Average Net Assets (%)..... 0.57 0.55 0.54 0.53 0.54
Ratio of Net Investment Income to Average Net Assets (%).. 5.58 5.45 5.32 3.65 3.98
Portfolio Turnover Rate (%)............................... 1 36 36 22 76
Net Assets, End of Year (000)............................. $36,563 $49,995 $77,575 $121,339 $121,877
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Managed Series)
Financial Highlights
- ------------------------------------------------------
April 30, 1993(*) Year
through Ended
December 31, 1993 December 31, 1994
----------------- -----------------
<S> <C> <C>
Net Asset Value, Beginning of Period..................................... $100.00 $113.67
----------------- -----------------
Income From Investment Operations
Net Investment Income.................................................... 0.18 0.59
Net Realized and Unrealized Gain (Loss) on Investments................... 14.56 (0.89)
----------------- -----------------
Total From Investment Operations......................................... 14.74 (0.30)
----------------- -----------------
Less Distributions
Distributions From Net Investment Income................................. (0.18) (0.60)
Distributions From Net Realized Capital Gains............................ (0.67) 0.00
Distributions From Paid-In Capital....................................... (0.22) 0.00
----------------- -----------------
Total Distributions...................................................... (1.07) (0.60)
----------------- -----------------
Net Asset Value, End of Period........................................... $113.67 $112.77
================= =================
Total Return (%)......................................................... 14.74(***) (0.27)
Ratio of Operating Expenses to Average Net Assets (%).................... 0.85(**) 0.84
Ratio of Net Investment Income to Average Net Assets (%)................. 0.46(**) 0.67
Portfolio Turnover Rate (%).............................................. 21(**) 67
Net Assets, End of Period (000).......................................... $11,972 $25,622
The ratios of expenses to average net assets without giving effect to the
voluntary expense limitations described in Note 4 to the Financial
Statements would have been (%)........................................... 0.89(**) 0.84
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
See accompanying notes to financial statements.
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Avanti Growth Series)
Financial Highlights
- ------------------------------------------------------
April 30, 1993(*) Year
through Ended
December 31, 1993 December 31, 1994
------------------ -----------------
<S> <C> <C>
Net Asset Value, Beginning of Period..................................... $100.00 $112.32
------------------ -----------------
Income From Investment Operations
Net Investment Income.................................................... 0.92 1.90
Net Realized and Unrealized Gain (Loss) on Investments................... 13.33 (3.25)
------------------ -----------------
Total From Investment Operations......................................... 14.25 (1.35)
------------------ -----------------
Less Distributions
Distributions From Net Investment Income................................. (0.92) (1.92)
Distributions From Net Realized Capital Gains............................ (1.00) 0.00
Distributions In Excess of Net Realized Capital Gains.................... (0.01) 0.00
Distributions From Paid-in Capital....................................... 0.00 (0.02)
------------------ -----------------
Total Distributions...................................................... (1.93) (1.94)
------------------ -----------------
Net Asset Value, End of Period........................................... $112.32 $109.03
================== =================
Total Return (%)......................................................... 14.24(***) (1.21)
Ratio of Operating Expenses to Average Net Assets (%).................... 0.85(**) 0.85
Ratio of Net Investment Income to Average Net Assets (%)................. 2.16(**) 2.30
Portfolio Turnover Rate (%).............................................. 49(**) 133
Net Assets, End of Period (000).......................................... $9,082 $22,934
The ratios of expenses to average net assets without giving effect to the
voluntary expense limitations described in Note 4 to the Financial
Statements would have been (%)........................................... 0.94(**) 0.86
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not annualized.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Value Growth Series)
Financial Highlights
- ------------------------------------------------------
May 2, 1994(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $100.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.14
Net Realized and Unrealized Gain (Loss) on Investments..................................... (3.38)
-----------------
Total From Investment Operations........................................................... (3.24)
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.15)
-----------------
Total Distributions........................................................................ (0.15)
-----------------
Net Asset Value, End of Period............................................................. $96.61
=================
Total Return (%)........................................................................... (3.23)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 1.00 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 0.32 (**)
Portfolio Turnover Rate (%)................................................................ 80 (**)
Net Assets, End of Period (000)............................................................ $3,105
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 2.31 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Small Cap Series)
Financial Highlights
- ------------------------------------------------------
October 31, (*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.05
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.06)
-----------------
Total From Investment Operations........................................................... (0.01)
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.05)
-----------------
Total Distributions........................................................................ (0.05)
-----------------
Net Asset Value, End of Period............................................................. $9.94
=================
Total Return (%)........................................................................... (0.10)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 0.85 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 4.16 (**)
Portfolio Turnover Rate (%)................................................................ 0 (**)
Net Assets, End of Period (000)............................................................ $2,722
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 3.73 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Balanced Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.03
Net Realized and Unrealized Gain (Loss) on Investments..................................... 0.23
-----------------
Total From Investment Operations........................................................... 0.26
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.02)
Distributions From Paid-in Capital......................................................... (0.01)
-----------------
Total Distributions........................................................................ (0.03)
-----------------
Net Asset Value, End of Period............................................................. $10.23
=================
Total Return (%)........................................................................... 2.60(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 1.30(**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 2.56(**)
Portfolio Turnover Rate (%)................................................................ 4(**)
Net Assets, End of Period (000)............................................................ $2,989
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 5.38(**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(International Equity Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.10
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.04)
-----------------
Total From Investment Operations........................................................... 0.06
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.10)
-----------------
Total Distributions........................................................................ (0.10)
-----------------
Net Asset Value, End of Period............................................................. $9.96
=================
Total Return (%)........................................................................... 0.60(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 0.70(**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 5.70(**)
Portfolio Turnover Rate (%)................................................................ 1,409(**)
Net Assets, End of Period (000)............................................................ $2,012
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 2.54(**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(U.S. Government Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
--------------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
--------------------
Income From Investment Operations
Net Investment Income...................................................................... 0.12
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.26)
--------------------
Total From Investment Operations........................................................... (0.14)
--------------------
Less Distributions
Distributions From Net Investment Income................................................... (0.12)
--------------------
Total Distributions........................................................................ (0.12)
--------------------
Net Asset Value, End of Period............................................................. $9.74
====================
Total Return (%)........................................................................... (1.40)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 0.85 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 7.05 (**)
Portfolio Turnover Rate (%)................................................................ 403 (**)
Net Assets, End of Period (000)............................................................ $3,450
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 2.01 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Strategic Bond Opportunities Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.03
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.38)
-----------------
Total From Investment Operations........................................................... (0.35)
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.03)
-----------------
Total Distributions........................................................................ (0.03)
-----------------
Net Asset Value, End of Period............................................................. $9.62
=================
Total Return (%)........................................................................... (3.50)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 0.90 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 2.54 (**)
Portfolio Turnover Rate (%)................................................................ 1 (**)
Net Assets, End of Period (000)............................................................ $3,371
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 3.97 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Venture Value Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.02
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.44)
-----------------
Total From Investment Operations........................................................... (0.42)
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.02)
-----------------
Total Distributions........................................................................ (0.02)
-----------------
Net Asset Value, End of Period............................................................. $9.56
=================
Total Return (%)........................................................................... (4.20)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 0.85 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 1.07 (**)
Portfolio Turnover Rate (%)................................................................ 32 (**)
Net Assets, End of Period (000)............................................................ $1,917
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 2.74 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
<TABLE>
<CAPTION>
New England Zenith Fund
(Equity Growth Series)
Financial Highlights
- ------------------------------------------------------
October 31,(*)
through
December 31, 1994
-----------------
<S> <C>
Net Asset Value, Beginning of Period....................................................... $10.00
-----------------
Income From Investment Operations
Net Investment Income...................................................................... 0.03
Net Realized and Unrealized Gain (Loss) on Investments..................................... (0.50)
-----------------
Total From Investment Operations........................................................... (0.47)
-----------------
Less Distributions
Distributions From Net Investment Income................................................... (0.04)
-----------------
Total Distributions........................................................................ (0.04)
-----------------
Net Asset Value, End of Period............................................................. $9.49
=================
Total Return (%)........................................................................... (4.70)(***)
Ratio of Operating Expenses to Average Net Assets (%)...................................... 1.05 (**)
Ratio of Net Investment Income to Average Net Assets (%)................................... 2.86 (**)
Portfolio Turnover Rate (%)................................................................ 311 (**)
Net Assets, End of Period (000)............................................................ $1,848
The ratios of expenses to average net assets without giving effect to the voluntary expense
limitations described in Note 4 to the Financial Statements would have been (%)............ 8.43 (**)
(*) Commencement of operations.
(**) Computed on an annualized basis.
(***) Not computed on an annualized basis.
</TABLE>
See accompanying notes to financial statements.
<PAGE>
New England Zenith Fund
(Strategic Equity Opportunities Series)
1. New England Zenith Fund (the "Fund") is organized as a Massachusetts
business trust under the laws of the Commonwealth of Massachusetts pursuant to
an Agreement and Declaration of Trust dated December 16, 1986. The Fund
succeeded to the operations of The New England Zenith Fund, Inc. on February
27, 1987. The Fund is registered under the Investment Company Act of 1940, as
amended, as a diversified, open-end management investment company.
Shares in the Fund are not offered directly to the general public and,
currently, are available only to separate accounts established by New England
Variable Life Insurance Company ("NEVLICO"), New England Mutual Life
Insurance
Company ("The New England") or its subsidiaries as an investment vehicle for
variable life insurance or variable annuity products, although not all Series
may be available to all separate accounts. In the future, however, such shares
may be offered to separate accounts of insurance companies unaffiliated with
NEVLICO or The New England.
The Fund's Agreement and Declaration of Trust permits the issuance of an
unlimited number of shares of beneficial interest, no par value, in separate
Series, with shares of each Series representing interests in a separate
portfolio of assets. Each Series is separately managed and has its own
investment objective and policies. The Fund (or its predecessor) began
offering shares of the Series on the dates set forth below:
Bond Income..... August 26, 1983
Capital Growth.. August 26, 1983
Money Market.... August 26, 1983
Stock Index..... March 30, 1987
Managed......... May 1, 1987
Avanti Growth... April 30, 1993
Value Growth.... April 30, 1993
Small Cap....... May 1, 1994
Balanced Series........................ October 31, 1994
International Equity Series............ October 31, 1994
U.S. Government Series................. October 31, 1994
Strategic Bond Opportunities Series.... October 31, 1994
Venture Value Series................... October 31, 1994
Equity Growth Series................... October 31, 1994
Strategic Equity Opportunities Series.. October 31, 1994
The following is a summary of significant accounting policies followed by the
Fund in the preparation of the Financial Statements of the Series.
The policies are in conformity with generally accepted accounting principles
for investment companies.
A. Security valuation
Money Market Series-The Money Market Series employs the amortized cost method
of security valuation which, in the opinion of the Board of Trustees,
represents the fair market value of the particular security. The Board
monitors the deviations between the Series' net asset value per share, as
determined by
using available market quotations, and its amortized cost price per share. If
the deviation exceeds 1/2 of 1%, the board will consider what action, if any,
should be initiated to provide fair valuation of the Series.
Bond Income, Managed, Balanced, U.S. Government and Strategic Bond
Opportunities Series-Debt securities (other than short-term obligations) are
valued on the basis of valuations furnished by a pricing service, authorized
by the Board of Trustees, which service determines valuations for normal,
institutional-size trading units of such securities using market information,
transactions for comparable securities and various relationships between
securities which are generally recognized by institutional traders.
Short-term notes are stated at amortized cost which approximates market value.
Capital Growth, Managed, Stock Index, Avanti Growth, Value Growth, Small Cap,
International Equity, Venture Value, Equity Growth, and Strategic Equity
Opportunities Series-Equity securities are valued on the basis of market
valuations furnished by a pricing
New England Zenith Fund
Notes to Financial Statements-December 31, 1994
- -------------------------------------------------------------------------------
<PAGE>
service, authorized by the Board of Trustees. The pricing service provides the
last reported sale price for securities listed on a national securities
exchange or on the NASDAQ National Market System, or if there is no reported
sale during the day, and in the case of over-the-counter securities not so
listed, the last bid price. Securities for which current market quotations are
not readily available are taken at fair value as determined in good faith by
the Board of Trustees, although the actual calculations may be made by persons
acting pursuant to the direction of the Board. Short-term notes are stated at
amortized cost which approximates market value.
B. Foreign currency translation-The books and records of the funds are
maintained in U.S. dollars. The value of securities, currencies and other
assets and liabilities denominated in currencies other than U.S. dollars
are
translated into U.S. dollars based upon foreign exchange rates prevailing
at
the end of the period. Purchases and sales of investment securities, income
and expenses are translated on the respective dates of such transactions.
Since the values of investment securities are presented at the foreign
exchange rates prevailing at the end of the period, it is not practical to
isolate that
portion of the results of operations arising from changes in exchange rates
from fluctuations arising from changes in market prices of the investment
securities.
Net realized and unrealized gains and losses on foreign currency transactions
represent foreign exchange gains from the sale of short-term securities and
holdings of foreign currencies, foreign currency gains and losses between
trade
dates and settlement dates on investment securities transactions, and the
difference between the amounts of daily interest accruals on the books of the
fund and the amounts actually received resulting from changes in exchange
rates
on the payable date.
C. Security transactions and related investment income-Security transactions
are accounted for on the trade date (date the order to buy or sell is
executed). Dividend income is recorded on the ex-dividend date and interest
income is recorded on the accrual basis. In determining gain or loss on
securities sold, the cost of securities has been determined on the
identified cost basis.
D. Futures contracts-The Stock Index Series may enter into futures contracts
on
the S&P 500 Index and the Managed Series may enter into futures contracts
on
interest-bearing securities or indices thereof, or on indices of stock
prices for bona fide hedging purposes. Upon entering into a futures
contract, the Series is required to deposit with a broker an amount
("initial margin") equal to a certain percentage of the purchase price
indicated in the futures contract. Subsequent payments ("variation margin")
are made or received by the Series each day, dependent on the daily
fluctuations in the value of the underlying security, and are recorded for
financial reporting purposes as unrealized gains or losses by the Series.
When entering into a closing transaction, the Series will realize, for book
purposes, a gain or loss equal to the difference between the value of the
futures contract to sell and the futures contract to buy. Futures contracts
are valued at the most recent settlement price, unless such price does not
reflect the fair market value of the contract, in which case the position
will be valued by or under the direction of the Trustees. Certain risks may
arise upon entering into futures contracts from the contingency of
imperfect market conditions.
E. Repurchase agreements-The Series, through their custodian, receive delivery
of the underlying securities collateralizing repurchase agreements. It is
the Series' policy that the market value of the collateral be at least
equal
to 100% of the repurchase price. The adviser is
New England Zenith Series
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------------
<PAGE>
responsible for determining that the value of the collateral is at all times
at least equal to the repurchase price. In connection with
transactions in repurchase agreements, if the seller defaults and
the value of the collateral declines or if the seller enters an
insolvency proceeding, realization of the collateral by the Series
may be delayed or limited.
F. Short Sales Against the Box-The fund may hedge the investments against
changes in value by engaging in short sales against the box. In a short
sale
against the box, the fund sells a borrowed security, while at the same time
either owning an identical security or having the right to obtain such a
security. By selling short against the box the equity underlying one of its
convertible holdings, the fund would seek to offset the effect that a
decline in the underlying equity might have on the value of the convertible
security. While the short sale is outstanding, the fund will not dispose of
the security hedged by the short sale. The fund is required to establish a
margin account with the broker lending the security sold short. While the
short sale is outstanding, the broker retains the proceeds of the short
sale
and the fund instructs the custodian to maintain in a separate account
securities having a value at least equal to the amount of the securities
sold short.
G. Federal taxes-Each Series, which is a separate taxable entity, intends to
meet the requirements of the Internal Revenue Code applicable to regulated
investment companies and to distribute to its shareholders all of its
taxable income and any net realized capital gains at least annually.
Accordingly, no provision for federal income tax has been made.
H. Dividends and distributions to shareholders-Money Market Series dividends
are declared daily to shareholders of record at the time and are paid
monthly. Dividends and distributions are recorded by all other Series on
the
ex-dividend date. Net realized gains from security transactions are
distributed at least annually to shareholders. The timing and
characterization of certain income and capital gains distributions are
determined in accordance with federal tax regulations which may differ from
generally accepted accounting principles. Permanent book and tax basis
differences relating to shareholder distributions will result in
reclassification to paid in capital.
I. Other-The Money Market Series invests primarily in a portfolio of money
market instruments maturing in 397 days or less whose ratings are within
the
two highest ratings categories by a nationally recognized rating agency or,
if not rated, are believed to be of comparable quality. The weighted
average
maturity of the Series is less than ninety days. The ability of the issuers
of the securities held by the Series to meet their obligations may be
affected by foreign economic, political and legal developments in the case
of foreign banks or of foreign branches or subsidiaries of U.S. banks or
domestic economic developments in a specific industry, state or region.
2. At December 31, 1994, The New England owned an aggregate of 467,410 shares
of the fifteen Series and held 5,705,524 shares in separate investment accounts
for annuity contracts offered by The New England Variable Account, a separate
account of The New England. NEVLICO, a life insurance subsidiary of The New
England, held the remaining 1,790,652 shares then outstanding in separate
investment accounts for life insurance contracts offered by NEVLICO.
As long as The New England owns (directly or through NEVLICO) more than 25% of
the Fund's outstanding shares, it will be presumed to be in control (as that
term is defined by the Investment Company Act of 1940, as amended) of the Fund.
New England Zenith Fund
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------------
<PAGE>
3. For the period ended December 31, 1994, purchases and sales of securities
(excluding short-term investments) for each of the Series were as follows:
<TABLE>
<CAPTION>
Purchases Sales
------------------------------ ----------------------------
Series U.S. Government Other U.S. Government Other
- --------------------------------------- --------------- -------------- --------------- ------------
<S> <C> <C> <C> <C>
Bond Income............................ $23,469,690 $ 95,704,284 $31,229,123 $64,138,262
Capital Growth......................... - 1,022,042,393 - 936,181,825
Stock Index............................ - 9,355,628 - 757,204
Managed................................ 46,737,891 57,613,915 79,755,176 6,300,314
Avanti Growth.......................... - 23,815,974 - 11,829,560
Value Growth........................... - 35,437,525 - 21,391,550
Small Cap.............................. - 3,448,739 - 993,674
Balanced Series........................ 782,961 2,061,821 - -
International Equity Series............ - 1,952,500 - 7,127
U.S. Government Series................. 3,594,793 - 2,391,653 -
Strategic Bond Opportunities Series.... 2,474,807 1,888,331 1,585,724 183,125
Venture Value Series................... - 3,329,899 - 4,825
Equity Growth Series................... - 2,066,542 - 97,614
Strategic Equity Opportunities Series.. 281,525 1,532,236 99,281 421,998
</TABLE>
Purchases and sales of corporate short-term obligations for the Money Market
Series aggregated $593,853,070 and $582,888,382, respectively.
Transactions in index futures contracts for the Managed Series for the year
ended December 31, 1994 are summarized as follows:
Purchases of Futures
Contracts
-------------------------
Aggregate
Number of Face Value
Contracts of Contracts
--------- ---------------
Contracts opened........... 530 $121,256,373
Contracts closed........... (480) (109,642,098)
--------- ---------------
Open at December 31, 1994.. 50 $11,614,275
========= ===============
New England Zenith Fund
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------------
<PAGE>
4. During the year ended December 31, 1994, the Fund incurred management fees
payable to the Fund's investment advisers, Back Bay Advisors, L.P., Capital
Growth Management Limited Partnership, Loomis Sayles & Company, L.P. and
Westpeak Investment Advisors, L.P., certain officers and directors of which
are
also officers and Trustees of the Fund. Back Bay Advisors, L.P. and Westpeak
Investment Advisors, L.P. are wholly owned subsidiaries, Loomis Sayles &
Company, L.P. is a majority-owned subsidiary and Capital Growth Management
Limited Partnership is a partially owned subsidiary of New England Investment
Companies, L.P., which is a subsidiary of The New England. Separate management
agreements for each Series provide for fees as set forth below:
<TABLE>
<CAPTION>
Annual Average
Fees Percentage Net Asset
Series Earned(a) Adviser Rate Value Levels
- ---------------- ---------- ------------------------- ---------- ---------------------------------
<S> <C> <C> <C> <C>
Money Market.... $ 231,326 Back Bay Advisors, L.P. 0.35% the first $500 million
0.30% the next $500 million
0.25% amount in excess of $1 billion
Bond Income..... 515,084 Back Bay Advisors, L.P. 0.40% the first $400 million
0.35% the next $300 million
0.30% the next $300 million
0.25% amounts in excess of $1 billion
Capital Growth.. 4,396,663 Capital Growth Management 0.70% the first $200 million
Limited Partnership 0.65% the next $300 million
0.60% amounts in excess of $500 million
Stock Index..... 83,095 Westpeak Investment 0.25% All net assets
Advisors, L.P.
Managed......... 613,249 Back Bay Advisors, L.P. 0.50% All net assets
Avanti Growth... 138,414 Loomis Sayles & Company, 0.70% the first $200 million
L.P. 0.65% the next $300 million
0.60% amounts in excess of $500 million
Value Growth.... 118,251 Westpeak Investment 0.70% the first $200 million
Advisors, L.P. 0.65% the next $300 million
0.60% amounts in excess of $500 million
Loomis Sayles & Company,
Small Cap....... 13,485 L.P. 1.00% All net assets
a. Before reduction due to voluntary expense limitation, see below.
</TABLE>
- - Pursuant to a voluntary expense agreement, effective November 1, 1994,
relating to the Capital Growth, Back Bay Advisors Money Market, Back Bay
Advisors Bond Income, Back Bay Advisors Managed and the Westpeak Stock Index
Series and, beginning December 1, 1994, relating to the Loomis Sayles Small
Cap, Loomis Sayles Avanti Growth and the Westpeak Value Growth Series, The New
England will bear the expenses (other than the advisory fees and any brokerage
costs, interest, taxes or extraordinary expenses) of the Series (except the
Loomis Sayles Small Cap Series) in excess of 0.15% of the respective Series'
average daily net assets. In the case of the Loomis Sayles Small Cap Series,
The New England will bear such expenses of the Series in excess of 1.00% of
the
Series' average daily net assets.
- - As a result of the Series expenses exceeding the voluntary expense
limitation
for the period ending December 31, 1994, The New England will reimburse the
Series as follows:
Stock Index.... $5,745
Avanti Growth.. 5,818
Value Growth... 6,424
Small Cap...... 17,667
New England Zenith Fund
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------------
<PAGE>
Prior to November 1, 1994, pursuant to an Expense Agreement between The New
England and the Fund, The New England has agreed to pay the charges and
expenses of preparing, printing and distributing prospectuses and reports to
shareholders, custodial and transfer agent charges and expenses, auditing,
accounting and legal fees and expenses in connection with affairs of the Fund
(except for fees of the independent trustees' outside counsel) and the
expenses
of shareholders' and trustees' meetings. In addition, The New England also
paid
registration, filing and other fees arising prior to the date the Fund
commenced operations and relating to registration and qualification of each
Series' shares.
TNE Advisers, Inc. is the investment adviser of the Loomis Sayles Balanced
Series, the Draycott International Equity Series, the Salomon Brothers U.S.
Government Series, the Salomon Brothers Strategic Bond Opportunities Series,
the Venture Value Series, the Alger Equity Growth Series and the CS First
Boston Strategic Equity Opportunities Series and has entered into subadvisory
agreements for these Series with Loomis Sayles, Draycott, Salomon Brothers
Asset Management Inc., Selected/Venture Advisers, L.P., Fred Alger Management,
Inc. and CS First Boston Investment Management Corporation, respectively.
TNE Advisers, Inc. is paid a management fee from the series it manages as
shown
below. Pursuant to an expense deferral arrangement in effect beginning
November
1, 1994, which TNE Advisers may terminate at any time, TNE Advisers has agreed
to pay operating expenses of the Series in excess of expense limits stated
below subject to the obligation of the Series to repay TNE Advisers such
expenses in future years, if any, when a Series' expenses fall below the
stated
expense limit that pertains to that Series; such deferred expenses may be
charged to a series in a subsequent year to the extent that the charge does
not
cause the total expenses in such subsequent year to exceed the Series' expense
limit; provided, however, that no Series is obligated to repay any expense
paid
by TNE Advisers more than two years after the end of the fiscal year in which
such expense was incurred.
Expense
Management Management Limitation
Fees Earned Fees Annual Annual
by TNE Percentage Percentage Expense
Series Advisers(a) Rate Rate Deferral
- -------------------------------- ----------- ----------- ---------- --------
Balanced........................ $1,984 0.70% 0.85% $ 8,151
International Equity............ 2,496 0.90 1.30 11,312
U.S. Government................. 1,840 0.55 0.70 6,163
Strategic Bond Opportunities.... 3,794 0.65 0.85 6,799
Venture Value................... 2,283 0.75 0.90 9,339
Equity Growth................... 2,231 0.70 0.85 6,007
Strategic Equity Opportunities.. 1,690 0.80 1.05 15,585
- ------
(a) Before reduction due to voluntary expense deferral.
New England Zenith Fund
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
TNE Advisers, Inc. pays each subadviser at the following rates for providing
advisory services to the Series:
Annual
Fees Percentage
Subadviser Series Earned Rate Average Net Asset Value Levels
- ---------------- -------------------- ------ ---------- ---------------------------------
<S> <C> <C> <C> <C>
0.500% the first $25 million
0.400% the next $75 million
Loomis Sayles Balanced $1,417 0.400% amounts in excess of $100 million
0.750% the first $10 million
0.600% the next $40 million
Draycott International Equity $2,080 0.450% amounts in excess of $50 million
0.225% the first $200 million
0.150% the next $300 million
Salomon Brothers U.S. Government $753 0.100% amounts in excess of $500 million
0.350% the first $50 million
0.300% the next $150 million
Strategic Bond 0.250% the next $300 million
Salomon Brothers Opportunities $2,043 0.200% amounts in excess of $500 million
0.450% the first $100 million
0.400% the next $400 million
Selected/Venture Venture Value $1,370 0.350% amounts in excess of $500 million
0.450% the first $10 million
0.400% the next $90 million
0.350% the next $150 million
0.300% the next $250 million
Alger Equity Growth $1,434 0.250% amounts in excess of $500 million
0.450% the first $200 million
0.400% the next $300 million
Strategic Equity 0.350% the next $500 million
CS First Boston Opportunities $951 0.300% amounts in excess of $1 billion
</TABLE>
5. The Fund does not pay any compensation to its officers or to any trustees
who are directors, officers or employees of The New England, NEVLICO, Back Bay
Advisors, L.P., Capital Growth Management Limited Partnership, Loomis Sayles &
Company, L.P., Westpeak Investment Advisors, L.P., New England Funds L.P. or
their affiliates, other than registered investment companies. Each
disinterested trustee has been compensated by each Series as follows:
<TABLE>
<CAPTION>
Bond Capital Money Stock Avanti Value Small
Income Growth Market Index Managed Growth Growth Cap
------ ------- ------ ----- ------- ------ ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Annual Retainer..................... $1,698 $2,490 $1,090 $545 $1,689 $518 $509 $250
Meeting Fee......................... 89 89 89 89 89 89 89 89
Committee Meeting Fee............... 54 54 54 54 54 54 54 54
Committee Chairman Annual Retainer.. 89 89 89 89 89 89 89 89
</TABLE>
<TABLE>
<CAPTION>
Strategic Strategic
International U.S. Bond Venture Equity Equity
Balanced Equity Government Opportunities Value Growth Opportunities
-------- ------------- ---------- ------------- ------- ------ -------------
<S> <C> <C> <C> <C> <C> <C> <C>
Annual Retainer ..................... $125 $125 $125 $125 $125 $125 $125
Meeting Fee ......................... 0 0 0 0 0 0 0
Committee Meeting Fee ............... 0 0 0 0 0 0 0
Committee Chairman Annual Retainer .. 0 0 0 0 0 0 0
</TABLE>
A deferred compensation plan is available to trustees on a voluntary basis.
Each participating trustee will receive deferred compensation in an amount
equal to the value that such compensation would have had if it had been
invested in the relevant Series on the normal payment date.
New England Zenith Fund
Notes to Financial Statements-December 31, 1994-Continued
- -------------------------------------------------------------------------------
<PAGE>
New England Zenith Fund
Report of Independent Accountants
- -------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of New England Zenith Fund:
We have audited the accompanying statements of assets and liabilities of New
England Zenith Fund (comprising, respectively, the Back Bay Advisors Bond
Income Series, Capital Growth Series, Back Bay Advisors Money Market Series,
Westpeak Stock Index Series, Back Bay Advisors Managed Series, Loomis Sayles
Avanti Growth Series, Westpeak Value Growth Series, Loomis Sayles Small Cap
Series, Loomis Sayles Balanced Series, Draycott International Equity Series,
Salomon Brothers U.S. Government Series, Salomon Brothers Strategic Bond
Opportunities Series, Venture Value Series, Alger Equity Growth Series and CS
First Boston Strategic Equity Opportunities Series-the "Series"), including
the
schedules of portfolio investments, as of December 31, 1994, and the related
statements of operations, changes in net assets and financial highlights for
the periods indicated herein. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial
highlights
based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to
obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on
a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
December 31, 1994, by correspondence with the custodian 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 each
of the respective Series constituting New England Zenith Fund as of December
31, 1994, the results of their operations, the changes in their net assets,
and
their financial highlights for the periods indicated herein, in conformity
with
generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
February 10, 1995
Registration Nos. 2-83538
811-3728
7
NEW ENGLAND ZENITH FUND
PART C. OTHER INFORMATION
Item 24. Financial Statements and Exhibits
(a) Financial Statements: "Financial Highlights" contained
in part A hereof and "Financial Statements and Reports of
Independent Public Accountants" are included in Part B
hereof.
(b) Exhibits:
(1) (a) Agreement and Declaration of Trust.*
(b) Amendment No. 1 to Agreement and Declaration of Trust is
incorporated herein by reference to Post-Effective
Amendment No. 8 on Form N-1A (File No. 2-83538) filed on
April 29, 1987.
(c) Amendment No. 2 to Agreement and Declaration of
Trust is incorporated herein by reference to Post-
Effective Amendment No. 15 on Form N-1A (File No. 2-
83538) filed on April 30, 1993.
(d) Form of Amendment No. 3 to Agreement and Declaration
of Trust is incorporated herein by reference to Post-
Effective Amendment No. 17 on Form N-1A (File No. 2-
83538) filed on April 29, 1994.
(e) Form of Amendment No. 4 to Agreement and Declaration of
Trust is incorporated herein by reference to Post-
Effective Amendment No. 18 on Form N-1A (File No. 2-
83538) filed on August 19, 1994.
(f) Amendment No. 5 to the Agreement and Declaration of
Trust is filed herewith.
(2) (a) By-laws, as amended.***
(b) Amendment to By-laws relating to Electronic Proxy
Voting is incorporated herein by reference to Post-
Effective Amendment No. 20 on Form N-1A (File No. 2-
83538) filed on March 2, 1995.
(3) None.
(4) None.
(5) (a) Form of Advisory Agreement between the Fund, on
behalf of its Back Bay Advisors Money Market Series, and
Back Bay Advisors, Inc. ("Back Bay Advisors").*
(b) Form of Advisory Agreement between the Fund, on
behalf on its Back Bay Advisors Bond Income Series, and
Back Bay Advisors.*
(c) Form of Advisory Agreement between the Fund, on
behalf of its Back Bay Advisors Managed Series, and Back
Bay Advisors.**
(d) Form of Advisory Agreement between the Fund, on
behalf of its Westpeak Value Growth Series, and Westpeak
Investment Advisors, Inc. is incorporated herein by
reference to Post-Effective Amendment No. 14 on Form N-1A
(File No. 2-83538) filed on February 17, 1993.
(e) Form of Advisory Agreement between the Fund, on
behalf of its Loomis Sayles Avanti Growth Series, and
Loomis, Sayles & Company, Incorporated is incorporated
herein by reference to Post-Effective Amendment No. 14
on Form N-1A (File No. 2-83538) filed on February 17,
1993.
(f) Advisory Agreement between the Fund, on behalf of
its Capital Growth Series, and Capital Growth Management
Limited Partnership ("CGM") is incorporated herein by
reference to Post-Effective Amendment No. 16 on Form N-1A
(File No. 2-83538) filed on March 2, 1994.
(g) Advisory Agreement between the Fund, on behalf of
its Westpeak Stock Index Series, and Westpeak Investment
Advisors, L.P. ("Westpeak") is incorporated herein by
reference to Post-Effective Amendment No. 16 on Form N-1A
(File No. 2-83538) filed on March 2, 1994.
(h) Form of Advisory Agreement between the Fund, on
behalf of its Loomis Sayles Small Cap Series, and Loomis
Sayles & Co., L.P. ("Loomis Sayles"), is incorporated
herein by reference to Post-Effective Amendment No. 17 on
Form N-1A (File No. 2-83538) filed on April 29, 1994.
(i) Advisory Agreement between the Fund, on behalf of
each of its Loomis Sayles Balanced Series, Draycott
International Equity Series, Salomon Brothers U.S.
Government Series, Salomon Brothers Strategic Bond
Opportunities Series, Venture Value Series, Alger Equity
Growth Series and CS First Boston Strategic Equity
Opportunities Series, and TNE Advisers, Inc. is
incorporated herein by reference to Post-Effective
Amendment No. 20 on Form N-1A (File No. 2-83538) filed on
March 2, 1995.
(j) Form of Sub-Advisory Agreement for each of Loomis
Sayles Balanced Series, Draycott International Equity
Series, Salomon Brothers U.S. Government Series, Salomon
Brothers Strategic Bond Opportunities Series, Venture
Value Series, Alger Equity Growth Series and CS First
Boston Strategic Equity Opportunities Series between TNE
Advisers, Inc. and Loomis Sayles, Draycott Partners,
Ltd., Salomon Brothers Asset Management, Inc.,
Selected/Venture Advisers, L.P., Fred Alger Management,
Inc. and CS First Boston Investment Management
Corporation is incorporated herein by reference to Post-
Effective Amendment No. 18 on Form N-1A (File No. 2-
83538) filed on August 19, 1994.
(k) Form of Advisory Agreement between the Fund, on
behalf of each of its Back Bay Advisors Money Market
Series, Back Bay Advisors Bond Income Series, Westpeak
Value Growth Series, Loomis Sayles Avanti Growth Series,
Westpeak Stock Index Series, Back Bay Advisors Managed
Series and Loomis Sayles Small Cap Series and TNE
Advisers, Inc. is incorporated herein by reference to
Post-Effective Amendment No. 20 on Form N-1A (File No. 2-
83538) filed on March 2, 1995.
(l) Form of Sub-Advisory Agreement for each of the Back
Bay Advisors Money Market Series, Back Bay Advisors Bond
Income Series, Westpeak Value Growth Series, Loomis
Sayles Avanti Growth Series, Westpeak Stock Index Series,
Back Bay Advisors Managed Series and Loomis Sayles Small
Cap Series is incorporated herein by reference to Post-
Effective Amendment No. 20 on Form N-1A (File No. 2-
83538) filed on March 2, 1995.
(6) (a) Form of Distribution Agreement between the Fund and
New England Securities Corporation, as amended, is
incorporated herein by reference to Post-Effective
Amendment No. 14 on Form N-1A (File No. 2-83538) filed on
February 17, 1993.
(b) Form of Distribution Agreement between the Fund and
New England Securities Corporation, as amended, is
incorporated herein by reference to Post-Effective
Amendment No. 18 on Form N-1A (File No. 2-83538) filed on
August 19, 1994.
(7) None.
(8) (a) Amended and Restated Custodian Contract among the
Fund, on behalf of its Back Bay Advisors Money Market,
Back Bay Advisors Bond Income, Capital Growth, Westpeak
Stock Index and Back Bay Advisors Managed Series, New
England Mutual Life Insurance Company ("The New England")
and State Street Bank and Trust Company ("State
Street").*
(b) Form of Agreement among the Fund, The New England
and State Street relating to the applicability of the
Custodian Contract to the Westpeak Value Growth and
Loomis Sayles Avanti Growth Series is incorporated herein
by reference to Post-Effective Amendment No. 14 on Form N-
1A (File No. 2-83538) filed on February 17, 1993.
(c) Agreement among the Fund, The New England and State
Street relating to the applicability of the Custodian
Contract to the Loomis Sayles Small Cap Series is
incorporated herein by reference to Post-Effective
Amendment No. 17 on Form N-1A (File No. 2-83538) filed on
April 29, 1994.
(d) Form of Agreement among the Fund, The New England
and State Street relating to the applicability of the
Custodian Contract to each of the Loomis Sayles Balanced
Series, Draycott International Equity Series, Salomon
Brothers U.S. Government Series, Salomon Brothers
Strategic Bond Opportunities Series, Venture Value
Series, Alger Equity Growth Series and CS First Boston
Strategic Equity Opportunities Series is incorporated
herein by reference to Post-Effective Amendment No. 20 on
Form N-1A (File No. 2-83538) filed on March 2, 1995.
(9) (a) Transfer Agency Agreement between the Fund and The
New England.**
(b) Amendment to Transfer Agency Agreement relating to the
applicability of the Agreement to the Westpeak Value
Growth and the Loomis Sayles Avanti Growth Series is
incorporated herein by reference to Post-Effective
Amendment No. 14 on Form N-1A (File No. 2-83538) filed on
February 17, 1993.
(c) Amendment to Transfer Agency Agreement relating to
the applicability of the Agreement to the Loomis Sayles
Small Cap Series is incorporated herein by reference to
Post-Effective Amendment No. 17 on Form N-1A (File No. 2-
83538) filed on April 29, 1994.
(d) Form of Amendment to Transfer Agency Agreement
relating to the applicability of the Agreement to each of
the Loomis Sayles Balanced Series, Draycott
International Equity Series, Salomon Brothers U.S.
Government Series, Salomon Brothers Strategic Bond
Opportunities Series, Venture Value Series, Alger Equity
Growth Series and CS First Boston Strategic Equity
Opportunities Series is incorporated herein by reference
to Post-Effective Amendment No. 18 on Form N-1A (File No.
2-83538) filed on August 19, 1994.
(e) Form of Expense Agreement between the Fund and The New
England.*
(f) Powers of attorney of trustees are incorporated
herein by reference to Post-Effective Amendment No. 20 on
Form N-1A (File No. 2-83538) filed on March 2, 1995.
(g) Form of Service Agreement relating to the Loomis
Sayles Small Cap Series between Loomis Sayles and New
England Funds, L.P., is incorporated herein by reference
to Post-Effective Amendment No. 17 on Form N-1A (File No.
2-83538) filed on April 29, 1994.
(h) Service Agreement relating to the Westpeak Value
Growth Series and the Westpeak Stock Index Series between
Westpeak Investment Advisors, Incorporated and New
England Funds, L.P. is incorporated herein by reference
to Post-Effective Amendment No 17 on Form N-1A (File No.
2-83538) filed on April 29, 1994.
(i) Service Agreement relating to each of the Back Bay
Advisors Money Market Series, Back Bay Advisors Bond
Income Series, Westpeak Value Growth Series, Loomis
Sayles Avanti Growth Series, Westpeak Stock Index Series,
Back Bay Advisors Managed Series and Loomis Sayles Small
Cap Series, Loomis Sayles Balanced Series, Draycott
International Equity Series, Salomon Brothers U.S.
Government Series, Salomon Brothers Strategic Bond
Opportunities Series, Venture Value Series, Alger Equity
Growth Series and Short-Term Series between TNE Advisers,
Inc. and New England Funds, L.P. is filed herewith.
(10)(a) Opinion and consent of counsel relating to the Back
Bay Advisors Money Market Series, Back Bay Advisors Bond
Income Series and Capital Growth Series incorporated
herein by reference to Post-Effective Amendment No. 6 on
Form N-1A (File No. 2-83538) filed on February 27, 1987.
(b) Opinion and Consent of counsel relating to the
Westpeak Stock Index Series and Back Bay Advisors Managed
Series incorporated herein by reference to Post-Effective
Amendment No. 8 on Form N-1A (File No. 2-83538) filed on
April 29, 1987.
(c) Opinion and Consent of counsel relating to the
Westpeak Value Growth and Loomis Sayles Avanti Growth
Series is incorporated herein by reference to Post-
Effective Amendment No. 15 on Form N-1A (File No. 2-
83538) filed on April 30, 1993.
(d) Opinion and consent of counsel relating to the
Loomis Sayles Small Cap Series is incorporated herein by
reference to Post-Effective Amendment No. 17 on Form N-1A
(File No. 2-83538) filed on April 29, 1994.
(e) Opinion and consent of counsel relating to each of
the Loomis Sayles Balanced Series, Draycott International
Equity Series, Salomon Brothers U.S. Government Series,
Salomon Brothers Strategic Bond Opportunities Series,
Venture Value Series, Alger Equity Growth Series and CS
First Boston Strategic Equity Opportunities Series is
incorporated herein by reference to Post-Effective
Amendment No. 20 on Form N-1A (File No. 2-83538) filed on
March 2, 1995.
(11) Consent of Coopers and Lybrand is incorporated herein by
reference to Post-Effective Amendment No. 20 on Form N-1A
(File No. 2-83538) filed on March 2, 1995.
(12) None.
(13) (a) Investment Letter of New England Securities
Corporation is incorporated herein by reference to Pre-
Effective Amendment No. 1 on Form N-1A (File No. 2-83538)
filed on August 2, 1983.
(b) Investment Letter of The New England relating to the
Loomis Sayles Avanti Growth Series is incorporated herein
by reference to Post-Effective Amendment No. 15 on Form N-
1A (File No. 2-83538) filed on April 30, 1993.
(c) Investment Letter of The New England relating to the
Westpeak Value Growth Series is incorporated herein by
reference to Post-Effective Amendment No. 15 on Form N-1A
(File No. 2-83538) filed on April 30, 1993.
(d) Investment Letter of The New England relating to the
Loomis Sayles Small Cap Series is incorporated herein by
reference to Post-Effective Amendment No. 17 on Form N-1A
(File No. 2-83538) filed on April 29, 1994.
(14) None.
(15) None.
(16) Schedule for Computation of Performance Quotations is
herein incorporated by reference to Post-Effective Amendment
No. 10 to Registration Statement on Form N-1A (File No. 2-
83538) filed on May 1, 1989.
* Incorporated herein by reference to Post-Effective Amendment
No. 5 on Form N-1A (File No. 2-83538) filed on December 29,
1986.
** Incorporated herein by reference to Post-Effective Amendment
No. 7 on Form N-1A (File No. 2-83538) filed on March 2,
1987.
***Incorporated herein by reference to Post-Effective Amendment
No. 11 on Form N-1A (File No. 2-83538) filed on May 1, 1990.
Item 25. Persons Controlled by or Under Common Control with
Registrant
None.
Item 26. Number of Holders of Securities
The following table sets forth the number of record holders
of each class of securities of the Fund as of April 2, 1995:
Number of
Title of Class Record Holders
Shares of Beneficial Interest 3
Money Market Series
Shares of Beneficial Interest 3
Bond Income Series
Shares of Beneficial Interest 3
Capital Growth Series
Shares of Beneficial Interest 3
Stock Index Series
Shares of Beneficial Interest 3
Managed Series
Shares of Beneficial Interest 3
Avanti Growth Series
Shares of Beneficial Interest 3
Value Growth Series
Shares of Beneficial Interest 2
Loomis Sayles Small Cap Series
Shares of Beneficial Interest 1
Loomis Sayles Balanced Series
Shares of Beneifical Interest 1
Draycott International Equity
Series
Shares of Beneficial Interest 2
Salomon Brothers U.S. Government
Series
Shares of Beneficial Interest 2
Salomon Brothers Strategic Bond
Opportunities
Series
Shares of Beneficial Interest 1
Venture Value Series
Shares of Beneficial Interest 1
Alger Equity Growth Series
Shares of Beneficial Interest 1
CS First Boston Strategic Equity
Opportunities Series
Item 27. Indemnification
See Article 4 of the Fund's By-Laws filed as Exhibit 2 to
Post-Effective Amendment No. 8 on Form N-1A (File No. 2-
83538) which Exhibit is incorporated herein by reference.
In addition, the Fund maintains a trustees and officers
liability insurance policy with a maximum coverage of $15
million under which the Fund and its trustees and officers
are named insureds.
Insofar as indemnification for liability arising under the
Securities Act of 1933 may be permitted to trustees,
officers and controlling persons of the Registrant pursuant
to the Fund's By-Laws, or otherwise, the Registrant has been
advised that in the opinion of the Securities and Exchange
Commission such indemnification is against public policy as
expressed in the Act and is, therefore, unenforceable. In
the event that a claim for indemnification against such
liabilities (other than the payment by the Registrant of
expenses incurred or paid by a trustee, officer or
controlling person of the Registrant in the successful
defense of any action, suit of proceeding) is asserted by
such trustee, officer or controlling person in connection
with the securities being registered, the Registrant will,
unless in the opinion of its counsel the matter has been
settled by controlling precedent, submit to a court of
appropriate jurisdiction the question whether such
indemnification by it is against public policy as expressed
in the Securities Act of 1933 and will be governed by the
final adjudication of such issue.
Item 28. Business and other Connections of Investment Adviser
(a) TNE Advisers, Inc., is the adviser of the Back Bay
Advisers Money Market Series, Back Bay Advisers Bond Income
Series, Westpeak Value Growth Series, Loomis Sayles Avanti
Growth Series, Westpeak Stock Index Series, Back Bay
Advisors Managed Series, Loomis Sayles Small Cap Series,
Loomis Sayles Balanced Series, Draycott International Equity
Series, Salomon Brothers U.S. Government Series, Salomon
Brothers Strategic Bond Opportunities Series, Venture Value
Series and the Alger Equity Growth Series and has entered
into subadvisory agreements for these Series with Back Bay
Advisors, Westpeak, Loomis Sayles, Draycott Partners, Ltd.,
Salomon Brothers Asset Management Inc, Salomon Brothers
Asset Management Inc, Selected/Venture Advisers, L.P. and
Fred Alger Management, Inc., respectively. TNE Advisers,
Inc. advises the Short-Term Series. TNE Advisers, a wholly-
owned subsidiary of The New England, was organized in 1994
and oversees, evaluates and monitors the subadvisers'
provision of investment advisory services to the Series and
provides general management and administration to the
Series.
Such adviser's directors and officers have been engaged
during the past two years in the following other businesses,
vocations or employments of a substantial nature.
Name and
Office with Name and
TNE Advisers, Address of Nature of Connection
Inc. Other
Affiliations
Frederick K. New England Chief Investment
Zimmermann Mutual Life Officer and Executive
Chairman of Insurance Vice President
the Board and Company
President Boston, MA
02117
New England Chairman
Portfolio
Advisors, Inc.
501 Boylston
Street
Boston, MA
02117
New England Director and Vice
Variable President
Life Insurance of Investments
Company
501 Boylston
Street
Boston, MA
02117
New England Chairman, President
Pension and
and Annuity Vice President of
Company Investments
501 Boylston
Street
Boston, MA
02117
NEL Partnership Director and
I, Inc. President
501 Boylston
Street
Boston, MA
02117
New England Chairman and
Life Mortgage President
Funding Corp.
501 Boylston
Street
Boston, MA
02117
NELRECO Troy, Director
Inc.
501 Boylston
Street
Boston MA 02117
TNE Funding Chairman and
Corp. President
501 Boylston
Street
Newton H. New England Treasurer and Second
Thompson Mutual Life Vice President
Vice Insurance
President and Company
Treasurer 501 Boylston
Street
Boston, MA
02117
Name and
Office with Name and
TNE Advisers, Address of Nature of Connection
Inc. Other
Affiliations
Newton H New England Treasurer
Thompson III Porfolio
Advisors, Inc.
Vice 501 Boylston
President and Street
Treasurer Boston, MA
(cont.) 02117
New England Treasurer
Pension
and Annuity
Company
501 Boylston
Street
Boston, MA
02117
NEL Partnership Treasurer
I, Inc.
501 Boylston
Street
Boston, MA
02116
New England Treasurer
Life
Mortgage
Funding
Corp.
501 Boylston
Street
Boston, MA
02117
New England Treasurer
Life
Mortgage
Funding
Corp.
501 Boylston
Street
Boston, MA
02117
TNE Funding Treasurer
Corp.
501 Boylston
Street
Boston, MA
02117
Newbury Treasurer
Insurance
Co. Ltd.
Victoria Hall
Victoria Street
Hamilton HM HX,
Bermuda
John F. New England Director and
Guthrie, Jr. Mutual President
Senior Vice Life Insurance
President Company
501 Boylston
Street
Boston, MA
02117
Name and Name and Nature of
Office with Address Connection
TNE Advisers, of Other
Inc. Affiliations
John F. Boylston Director and
Guthrie, Jr. Capital Executive Vice
Senior Vice Advisors, Inc. President
President 501 Boylston
(cont.) Street
Boston, MA
02117 Vice President of
Portfolio Strategy
New England
Portfolio
Advisors, Inc.
501 Boylston
Street
Boston, MA
02117
New England Vice President of
Pension Portfolio
& Annuity Co. Strategy
501 Boylston
Street
Boston, MA
02117
New England Vice President of
Variable Portfolio
Life Insurance Strategy
Co.
501 Boylston
Street
Boston, MA
02117
Thomas C. New England Asset Allocation
McDevitt Mutual Consultant
Vice President Life Insurance
Company
501 Boylston
Street
Boston, MA
02117
New England Vice President
Portfolio
Advisors, Inc.
501 Boylston
Street
Boston, MA
02117
Beverly J. New England Assistant Secretary
DeWitt Mutual
Clerk Life Insurance
Co.
501 Boylston
Street
Boston, MA
02117
New England Assistant Secretary
Securities
Corp.
399 Boylston
Street
Boston, MA
02116
Name and Name and Address Nature of
Office with of Other Connection
TNE Advisers, Affiliations
Inc.
Beverly J. Westpeak Chief Legal Officer,
Dewitt Advisors, L.P. Assistant Secretary
(cont.) 1050 Walnut St., and Assistant Clerk
Suite 300
Boulder, CO
80302
Alan C. New England Vice President
Leland Mutual
Chief Life Insurance
Financial Co.
Officer 501 Boylston
Street President, Chief
Boston, MA Executive Officer,
02117 Chief Investment
Officer, Director
Gerald H. Westpeak
Scriver Advisors
Senior 1050 Walnut St. Vice President
Vice Suite 300
President Boulder, Co
80302
Philip Westpeak Vice President,
Cooper Advisors Assistant Secretary
Vice 1050 Walnut St. and Assistant
President Suite 300 Tresurer
Boulder, Co
80302
Karen Didde Westpeak
Officer Advisors Vice President, Assistant
1050 Walnut St. Secretary and Assistant
Suite 300 Treasurer
Boulder, Co
80302
Scott R. Westpeak Vice President
Burrill Advisors
Officer 1050 Walnut St.
Suite 300
Boulder, Co
80302
(b) Capital Growth Management Limited Partnership, the
adviser of the Capital Growth Series, provides investment
advice to a number of other registered investment
companies and to other organizations and individuals.
Name and office Name and address Nature of
with CGM of other affiliations Connection
Kenbob, Inc. None None
General Partner
(c) Back Bay Advisors, L.P. ("Back Bay Advisors"), the
subadviser of the Back Bay Advisors Money Market Series,
Back Bay Advisors Bond Income Series and Back Bay
Advisors Managed Series, is a wholly-owned subsidiary of
NEIC and is indirectly controlled by The New England. Its
sole general partner is Back Bay Advisors, Inc.
Back Bay Advisors serves as investment adviser to a
number of other registered investment companies. Back
Bay Advisors' directors and officers have been engaged
during the past two years in the following businesses,
vocations or employments of a substantial nature (former
affiliations are marked with an asterisk).
Name and Office
with Back Bay
Advisors or Name and Address
Back Bay of Other Nature of
Advisors, Inc. Affiliations Connection
Peter S. Voss, New England Investment Chairman of the
Chairman of the Companies, L.P. Board, Chief
Board, Director 501 Boylston Street Executive Officer
Boston, MA 02117
New England Chairman of the
Board and
Funds, L.P. Director
399 Boylston,
Boston, MA 02116
NEF Corporation Director
399 Boylston Street
Boston, MA 02116
TNE Investment Services
Corp* Director
399 Boylston Street and Chairman
Boston, MA 02116
New England Mutual Director
Life Insurance Company
501 Boylston Street
Boston, MA 02117
New England Investment President, CEO
and Director
Companies, Inc.
399 Boylston Street
Boston, MA 02116
Westpeak Investment Chairman and
Director
Advisors, Inc.
1050 Walnut Street, Suite 300
Boulder, CO 80302
NEF Corporation Director
399 Boylston Street
Boston, MA 02116
Charles T. Wallis, New England Securities Officer
Director, President Corporation
and Chief Executive 399 Boylston Street
Officer Boston, MA 02116
Charles T. Wallis New England
(cont'd) Funds, L.P. Director
399 Boylston Street
Boston, MA 02116
Charles G. Glueck, None None
Senior Vice President
Scott A. Millimet Chicago Board of Trade* Senior Vice
President
Executive Vice 141 West Jackson Boulevard and Manager of
Carroll
President Chicago, IL 60604 McEntee & McGinley
J. Scott Nicholson, None None
Senior Vice President
Edgar M. Reed Aetna Capital Management* Head of Fixed
Executive Vice 151 Farmington Avenue Income Management Group
President Hartford, CT 06156
Nathan R. Wentworth, None None
Vice President
Paul Zamagni, None None
Vice President and
Treasurer
Catherine L. Bunting, None None
Senior Vice President
Peter Hanson Draycott Partners, Ltd. Assistant
Secretary and
Secretary and 8 City Road Assistant Clerk
Clerk London, England EC2Y 1HE
NEIC Counsel and Senior
399 Boylston Street Vice President
Boston, MA 02116
Peter Palfrey MONY Capital Management* Investment Vice
President
Vice President 1740 Broadway
New York, NY 10019
(d) Westpeak Investment Advisors, L.P., the subadviser of
the Westpeak Value Growth Series and Westpeak Stock Index
Series, is a wholly-owned subsidiary of NEIC. Its sole
general partner is Westpeak Investment Advisors, Inc.
Organized in 1991, Westpeak provides investment management
services to other institutional clients, including accounts
of The New England and its affiliates.
Westpeak's directors and officers have been engaged during
the past two years in the following businesses, vocations or
employments of a substantial nature.
Name and Office
with Westpeak Name and Address Nature of
Investment Advisors of Other
Advisors, Inc. Affiliations Connection
Gerald H. Scriver, None None
President, Chief
Executive Officer,
Chief Investment
Officer, Director
Peter S. Voss, NEIC Chairman of the
Chairman of the 399 Boylston Street Board, Chief
Executive
Board, Director Boston, MA 02116 Officer
New England Chairman of the
Board
Funds, L.P. and Director
399 Boylston Street
Boston, MA 02116
Peter S. Voss Back Bay Advisors Chairman of the
Board and
399 Boylston Street Director
Boston, MA 02116
New England Investment Chairman of the
Companies, L.P. Board, Chief
501 Boylston Street Executive Officer
Boston, MA 02117
NEF Corporation Director
399 Boylston Street
Boston, MA 02116
TNE Investment Services Director
Corp* and Chairman
399 Boylston Street
Boston, MA 02116
New England Mutual Director
Life Insurance Company
501 Boylston Street
Boston, MA 02117
New England Investment President, CEO
and Director
Companies, Inc.
399 Boylston Street
Boston, MA 02116
Name and Office
with Westpeak Name and Address Nature of
Investment of Other
Advisors, Inc. Affiliations Connection
Sherry A. Umberfield, NEIC Executive Vice
President
Director 399 Boylston Street
Boston, MA 02116
New England Investment Director
Associates, Inc.
399 Boylston Street
Boston, MA 02116
NEF Corporation Director
399 Boylston Street
Boston, MA 02116
Edward N. Wadsworth, NEIC Executive Vice
President,
Clerk and Secretary, 399 Boylston Street
Clerk, Secretary and
Chief Legal Officer Boston, MA 02116
General Counsel
Marlborough Capital Assistant Clerk
Advisors, Inc.
399 Boylston Street
Boston, MA 02116
New England Investment Secretary
Associates, Inc.
399 Boylston Street
Boston, MA 02116
Robert A. Franz None None
Senior Vice
President
Philip J. Cooper None None
Vice President
Beverly J. DeWitt New England Mutual Assistant Secretary
Chief Legal Officer Life Insurance
Company
501 Boylston Street
Boston, MA 02117
TNE Advisers, Inc. Secretary and Clerk
501 Boylston Street
Boston, MA 02117
(e) Loomis, Sayles & Company, L.P. ("Loomis Sayles"), the
subadviser of the Loomis Sayles Avanti Growth Series, the
Loomis Sayles Small Cap Series and the Loomis Sayles
Balanced Series, provides investment advice to a number of
other registered investment companies and to other
organizations and individuals. Loomis Sayles is a wholly-
owned subsidiary of New England Investment Companies, L.P.
("NEIC") and is indirectly controlled by The New England.
Its sole general partner is Loomis Sayles & Co., Inc.
Such subadviser's directors and officers have been engaged
during the past two years in the following other businesses,
vocations or employments of a substantial nature:
Name and Office
with Loomis Sayles Name and Address
or Loomis Sayles of Other Nature of
& Co., Inc. Affiliations Connection
Robert J. Blanding, None None
President and Chief
Operating Officer
Charles J. Finlayson, None None
Vice President, General
Counsel, Secretary and Clerk
Donald R. Shepherd, None None
Chairman of the Board
Richard W. Hurkes, None None
Vice President
Scott Pape, None None
Vice President
Barbara C. Freidman, None None
Vice President
Jeffery C. Petherick, None None
Vice President
(f) Fred Alger Management, Inc., the subadviser of Alger
Equity Growth Series, provides investment advice to a number
of other registered investment companies and to other
organizations and individuals.
Such subadviser's directors and officers have been engaged
during the past two years in the following other businesses,
vocations or employments of a substantial nature.
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
Fred M. Alger III Fred Alger Asset Chairman
Chairman Mngmt., Inc.
888 Prospect Street
La Jolla, CA 92037
Alger Properties, Inc. Chairman
75 Maiden Lane
New York, NY 10038
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
Fred M. Alger III The Alger Fund Chairman
(cont'd) 75 Maiden Lane
New York, NY 10038
Alger Associates, Inc. Chairman
75 Maiden Lane
New York, NY 10038
Castle Convertible Chairman
Fund, Inc.
75 Maiden Lane
New York, NY 10038
Spectra Fund, Inc. Chairman
75 Maiden Lane
New York, NY 10038
Fred Alger & Co., Inc. Chairman
30 Montgomery Street
Jersey City, NJ 07302
Alger Shareholder Chairman
Services, Inc.
30 Montgomery Street
Jersey City, NJ 07302
The Alger American Fund Chairman
75 Maiden Lane
New York, NY 10038
Alger Life Insurance Chairman
Agency, Inc.
75 Maiden Lane
New York, NY 10038
Analysts Resources, Inc. Chairman
75 Maiden Lane
New York, NY 10038
The Alger Defined Chairman
Contribution Trust
75 Maiden Lane
New York, NY 10038
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
David D. Alger The Alger Fund Trustee and
Director and 75 Maiden Lane President
President New York, NY 10038
Fred Alger Asset Director and
Mngmt., Inc. President
888 Prospect Street
La Jolla, CA 92037
Alger Properties, Inc. Director and
75 Maiden Lane President
New York, NY 10038
Alger Associates, Inc. Director and
75 Maiden Lane President
New York, NY 10038
Castle Convertible Director and
Fund, Inc. President
75 Maiden Lane
New York, NY 10038
Fred Alger & Co., Inc. Director and
30 Montgomery Street President
Jersey City, NJ 07302
Alger Shareholder Director
Services, Inc. President
30 Montgomery Street
Jersey City, NJ 07302
The Alger American Fund Trustee and
75 Maiden Lane President
New York, NY 10038
Spectra Fund, Inc. Director and
75 Maiden Lane President
New York, NY 10038
Alger Life Insurance Director and
Agency, Inc. President
75 Maiden Lane
New York, NY 10038
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
David D. Alger Analysts Resources, Inc. Director and
(cont'd) 75 Maiden Lane President
New York, NY 10038
The Alger Defined Trustee and
Contribution Trust President
75 Maiden Lane
New York, NY 10038
Gregory S. Duch Fred Alger Asset Executive Vice
Treasurer, Management Inc. President
Executive 888 Prospect Street and Treasurer
Vice President La Jolla, CA 92037
and Director
Alger Associates Executive Vice
President
75 Maiden Lane and Treasurer
New York, NY 10038
Alger Properties, Inc. Executive Vice
75 Maiden Lane President,
New York, NY 10038 Director and
Treasurer
Fred Alger & Co., Inc. Executive Vice
President
30 Montgomery Street and Treasurer
Jersey City, NJ 07302
Alger Shareholder Executive Vice
President
Services, Inc. and Treasurer
30 Montgomery Street
Jersey City, NJ 07302
The Alger Fund Treasurer
75 Maiden Lane
New York, NY 10038
The Alger American Fund Treasurer
75 Maiden Lane
New York, NY 10038
Castle Convertible Treasurer
Fund, Inc.
75 Maiden Lane
New York, NY 10038
Spectra Fund, Inc. Treasurer
75 Maiden Lane
New York, NY 10038
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
Gregory Duch Alger Life Ins. Executive Vice
President
(cont'd) Agency, Inc. and Treasurer
75 Maiden Lane
New York, NY 10038
Analysts Resources, Inc. Executive Vice
President
75 Maiden Lane and Treasurer
New York, NY 10038
The Alger Defined Treasurer
Contribution Trust
75 Maiden Lane
New York, NY 10038
Nancy K. Staple Fred Alger Asset Secretary
Secretary Management, Inc.
888 Prospect Street
La Jolla, CA 92037
Fred Alger & Co., Inc. Secretary
30 Montgomery Street
Jersey City, NJ 07302
Alger Associates, Inc. Secretary
75 Maiden Lane
New York, NY 10038
Alger Shareholder Secretary
Services, Inc.
30 Montgomery Street
Jersey City, NJ 07302
Name and Office
with Fred Alger Name and Address of Nature of
Management, Inc. Other Affiliations Connection
Nancy K. Staple Alger Properties, Inc. Secretary
(cont.) 75 Maiden Lane
New York, NY 10038
The Alger Fund Secretary
75 Maiden Lane
New York, NY 10038
The Alger American Fund Secretary
75 Maiden Lane
New York, NY 10038
Castle Convertible Secretary
Fund, Inc.
75 Maiden Lane
New York, NY 10038
Spectra Fund, Inc. Secretary
75 Maiden Lane
New York, NY 10038
Alger Life Insurance Secretary
Agency, Inc.
75 Maiden Lane
New York, NY 10038
Analysts Resources, Inc. Secretary
75 Maiden Lane
New York, NY 10038
The Alger Defined Secretary
Contribution Trust
75 Maiden Lane
New York, NY 10038
(g) Selected/Venture Advisers, L.P., the subadviser of the
Venture Value Series, provides investment advice to a number
of other registered investment companies and to other
organizations and individuals.
Such subadviser's directors and officers have been engaged
during the past two years in the following other businesses,
vocations or employments of a substantial nature (former
affiliations are marked with an asterisk).
Name and Office with Name and Address of Nature of
with Selected/Venture Other Affiliations Connection
Advisers, L.P.
Martin H. Proyect Selected American Director,
Chairman and Shares, Inc. President and
Chief Executive 124 East Marcy Street Chief Executive
Officer of the Santa Fe, NM 87501 Officer
General Partner
Selected Special Director,
Shares, Inc. President and
124 East Marcy Street Chief Executive
Santa Fe, NM 87501 Officer
Selected Capital Trustee,
Preservation Trust President and
124 East Marcy Street Chief Executive
Santa Fe, NM 87501 Officer
Retirement Planning Chairman and
Funds of America Chief Executive
124 East Marcy Street Officer
Santa Fe, NM 87501
Venture Muni (+) Chairman,
Plus, Inc. President and
124 East Marcy Street Chief Executive
Santa Fe, NM 87501 Officer
Venture Income (+) Chairman,
Plus, Inc. President and
124 East Marcy Street Chief Executive
Santa Fe, NM 87501 Officer
New York Venture Chairman and
Fund, Inc. Chief Executive
124 East Marcy Street Officer
Santa Fe, NM 87501
Venture Advisers, Inc. Chief Executive
124 East Marcy Street Officer, President,
Santa Fe, NM 87501 Chairman and
Treasurer
Shelby M.C. Davis Selected American Director and
President and Shares, Inc. Executive
Majority Vice President
Shareholder of 124 East Marcy Street
General Partner Santa Fe, NM 87501
Selected Special Director and
Shares, Inc. Executive Vice
124 East Marcy Street President
Santa Fe, NM 87501
Shelby M. C. Davis Selected Capital Trustee and
(cont.) Preservation Trust Executive Vice
124 East Marcy Street President
Santa Fe, NM 87501
Retirement Planning Director and
Funds of America, Inc. President
124 East Marcy Street
Santa Fe, NM 87501
Venture Muni (+) Director
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Venture Income (+) Director
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
New York Venture Director and
Fund, Inc. President
124 East Marcy Street
Santa Fe, NM 87501
Venture Advisers, Inc. Director and
124 East Marcy Street President
Santa Fe, NM 87501
Venture Pension Chairman
Advisers, Inc.*
124 East Marcy Street
Santa Fe, NM 87501
Shelby Cullom Davis Director and
Financial Consultants Shareholder
70 Pine Street
New York, NY 10270
Fiduciary Trust Consultant
Co., International
2 World Trade Center
New York, NY 10048
Name and Office with
Selected/Venture Name and Address of Nature of
Advisers, L.P. Other Affiliations Connection
Carl Luff New York Venture Vice President,
Director, Fund, Inc. Treasurer, Assistant
Executive Vice 124 East Marcy St Secretary
President Santa Fe. NM 87501
and Secretary of the
General Partner
Venture Muni (+) Plus, Inc. Vice President,
124 East Marcy Street Treasurer, Assistant
Santa Fe, NM 87501 Secretary
Retirement Planning Funds Vice President
of America, Inc. Treasurer, Assistant
124 East Marcy Street Secretary
Santa Fe, NM 87501
Selected American Shares, Inc. Vice President
124 East Marcy Street Treasurer, Assistant
Santa Fe, NM 87501 Secretary
Selected Special Shares, Inc. Vice President
124 East Marcy Street Treasurer, Assistant
Santa Fe, NM 87501 Secretary
Selected Capital Preservation Trust Vice President
124 East Marcy Street Treasurer, Assistant
Santa Fe, NM 87501 Secretary
Raymond O. Padilla New York Venture Vice President,
Senior Vice Fund Inc. Secretary and
President 124 East Marcy Street Assistant Treasurer
of the General Partner
Venture Muni (+) Plus Vice President,
Fund, Inc. Secretary and
124 East Marcy Street Assistant Treasurer
Santa Fe, NM 87501
Retirement Planning Funds Vice President
of America, Inc. Secretary and
124 East Marcy Street Assistant Treasurer
Santa Fe, NM 87501
Selected American Shares, Inc. Vice
President and
124 East Marcy Street Assistant Secretary
Santa Fe, NM 87501
Selected Special Shares Vice President
and
124 East Marcy Street Assistant Secretary
Santa Fe, NM 87501
Name and Office with
Selected/Venture Name and Address of Nature of
Advisers,L.P. Other Affiliations Connection
Raymond O. Padilla Selected Capital
Preservation Vice President and
(cont.) Trust Assistant Secretary
124 East Marcy Street
Santa Fe, NM 87501
Carolyn H. Spolidoro New York Venture Vice President
Vice President of Fund, Inc.
the General Partner 124 East Marcy Street
Santa Fe. NM 87501
Retirement Planning Vice President
Funds of America, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Venture Income (+) Vice President
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Venture Muni (+) Vice President
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Venture Advisers, Inc. Vice President
124 East Marcy Street
Santa Fe. NM 87501
Louis R. Proyect New York Venture Vice President
Executive Vice Fund, Inc.
President of the 124 East Marcy Street
General Partner Santa Fe, NM 87501
Venture Muni (+) Plus, Inc. Vice President
124 East Marcy Street
Santa Fe, NM 87501
Selected American Shares, Inc. Vice President
124 East Marcy Street and Secretary
Santa Fe, NM 87501
Selected Special Shares Vice President
124 East Marcy Street and Secretary
Santa Fe, NM 87501
Selected Capital Preservation Vice President and
Trust Secretary
124 East Marcy Street
Santa Fe, NM 87501
Name and Office with
Selected/Venture Name and Address of Nature of
Advisers,L.P. Other Affiliations Connection
Louis R. Proyect Shelby Cullom Davis Secretary
(cont.) Financial Consultants
70 Pine Street
New York, NY 10270
Speer, Leeds and Kellogg* General Counsel
Bruce C. Stamper Venture Advisers, Inc. Vice President
Senior Vice 124 East Marcy Street
President Sante Fe, NM 87501
of the General Partner
New York Venture Vice President
Fund, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Venture Muni (+) Vice President
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Retirement Planning Vice President
Funds of America, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Eileen Street New York Venture Fund Vice President
Senior Inc.
Vice President 124 East March Street
of the General Santa Fe, NM 87501
Partner
Venture Muni (+) Plus, Inc. Vice President
124 East Marcy Street
Santa Fe, NM 87501
Retirement Planning Funds Vice President
of America, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Selected American Shares, Inc. Vice President
124 East Marcy Street
Santa Fe, NM 87501
Selected Special Shares Vice President
124 East Marcy Street
Santa Fe, NM 87501
Eileen Street Selected Capital Preservation Vice President
(cont.) Trust
124 East Marcy Street
Santa Fe, NM 87501
Andrew A. Davis Shelby Cullom Consultant
Senior Vice Davis & Co.
President of the 70 Pine Street
General Partner New York, NY 10270
Capital Ideas, Inc. Consultant
140 North Beach Road
Hobe Sound, FL 33475
Retirement Planning Vice President
Funds of America
124 East Marcy Street
Santa Fe, NM 87501
Venture Muni (+) Vice President
Plus, Inc.
124 East Marcy Street
Santa Fe, NM 87501
New York Venture Vice President
Fund, Inc.
124 East Marcy Street
Santa Fe, NM 87501
Paine Webber, Inc.* Vice President and
1285 6th Avenue Research Assistant
New York, NY 10019
(h) Salomon Brothers Asset Management Inc, the subadviser
of Salomon Brothers U.S. Government Series and Salomon
Brothers Strategic Bond Opportunities Series, provides
investment advice to a number of other registered investment
companies and to other organizations and individuals.
Such subadviser's directors and officers have been engaged
during the past two years in the following other businesses,
vocations or employments of a substantial nature (former
affiliations are marked with an asterisk).
Name and Office with
with Salomon Brothers Name and Address of Nature of
Asset Management Other Affiliations Connection
Inc
Thomas W. Brock Salomon Brothers Asset Managing Director
Chairman and Chief Management Inc
Executive Officer 7 World Trade Center
New York, NY 10048
Vilas Gadkari Salomon Brothers Managing Director
Director Asset Mngmt. Ltd.
Victoria Plaza,
111 Buckingham, London
SWIW05B, England
David C. Fisher Salomon Inc. Controller
Treasurer 7 World Trade Center
New York, NY 10048
Michael S. Hyland Salomon Brothers, Inc. Managing Director
President 7 World Trade Center
New York, NY 10048
Salomon Brothers Asset* President
Management Inc
7 World Trade Center
New York, NY 10048
Martin L. Leibowitz Salomon Brothers Asset Director
Director Management Inc
7 World Trade Center
New York, NY 10048
James J. Lee Salomon Brothers Asset Director
Director Management Inc
7 World Trade Center
New York, NY 10048
Zachary Snow Salomon Brothers Asset Managing
Director,
Secretary Management Inc Secretary
7 World Trade Center
New York, NY 10048
(i) Draycott Partners, Ltd. ("Draycott"), the subadviser of
Draycott International Equity Series and a wholly-owned
subsidiary of NEIC, provides investment advice to three
separate accounts of The New England, the indirect parent
corporation of Draycott. The three separate accounts are
the International Equity Separate Account, the European
Equity Separate Account and the Pacific Rim Equity Separate
Account. Interests in such separate accounts are offered to
U.S. tax-qualified pension and profit-sharing plans by means
of group annuity contracts issued by NEMLICO.
Draycott's directors and officers have been engaged during
the past two years in the following other businesses,
vocations or employments of a substantial nature:
Name and Address
Name and Office with of Other Nature of
Draycott Affiliations Connection
Nicholas D.P. Carn, CIGNA Managing
Director, Chief International Director,
Executive Officer, Investment International
President, Chief Advisors, Ltd. Equities Group
Investment Officer 16 Finsbury
and Principal Circus
London EC2Y 1HE
Sherry A. Umberfield, NEIC Executive Vice
Director 399 Boylston President
Street
Boston, MA
02116
NEF Corporation Director
399 Boylston
Street
Boston, MA 02116
TNE Investment Director
Services Corp. *
399 Boylston
Street
Boston, MA 02116
New England Director
Investment
Companies, Inc.
399 Boylston
Street
Boston, MA
02116
Westpeak Director
Investment
Advisors, L.P.
1050 Walnut
Street, Suite
300
Boulder, CO
80302
Robert G. Barrett, None None
Chief Financial
Officer, Treasurer,
Vice President,
Principal, Compliance
Officer and Assistant
Secretary
Timothy S. Griffen, None None
Senior Portfolio
Manager and Principal
Edward N. Wadsworth, NEIC Executive Vice
General Counsel, Clerk 399 Boylston President,
and Secretary Street Clerk,
Boston, MA Secretary and
02116 General
Counsel
Name and Address
Name and Office with of Other Nature of
Draycott Affiliations Connection
Peter Hanson Back Bay Secretary and
Assistant Secretary Advisors, Inc. Clerk
and Assistant Clerk 399 Boylston
Street
Boston, MA
02116
NEIC Counsel
399 Boylston Street and Senior
Boston, MA 02116 Vice President
Item 29. Principal Underwriters
(a) New England Securities Corporation also serves as principal
underwriter for:
New England Variable Life Separate Account
New England Variable Annuity Fund I
New England Life Retirement Investment Account
The New England Variable Account
New England Variable Annuity Separate Account
(b)The directors and officers of the Registrant's principal
underwriter, New England Securities Corporation, and their
addresses are as follows:
Positions and Officer's Offices with
Name Principal Underwriter Registrant
Thomas W. McConnell** President, Director None
and Chief Executive
Officer
Kernan F. King* Chairman of the Board, None
Director
Beverly J. DeWitt* Assistant Secretary None
Peter Lahaie** Assistant Vice President,
Treasurer and Controller None
Anne M. Goggin* Vice President, General None
Counsel, Secretary and
Clerk
Mark F. Greco** Vice President None
Laura A. Hutner** Vice President None
Robert F. Regan*** Vice President None
Jonathan M. Rozek** Vice President None
Henry L.P. Schmelzer** Director None
Robert E. Schneider* Director None
Michael E. Toland** Vice President, None
Assistant Secretary,
Assistant Clerk and
Chief Financial Officer
Peter S. Voss** Director None
* Business Address: 501 Boylston Street, Boston, MA 02117
** Business Address: 399 Boylston Street, Boston, MA 02116
***Business Address: 500 Boylston Street, Boston, MA 02117
Item 30. Location of Accounts and Records
The following companies maintain possession of the documents
required by the specified rules:
(a) Registrant
Rule 31a-1(a)(4)
Rule 31a-2(a)
(b) State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
Rule 31a-1(a)
Rule 31a-1(b)(1), (2), (3), (5), (6),
(7), (8)
Rule 31a-2(a)
(c) For the Back Bay Advisors Money Market Series, the Back
Bay Advisors
Bond Income Series and the Back Bay Advisors Managed
Series:
Back Bay Advisors, L.P.
399 Boylston Street
Boston, Massachusetts 02116
Rule 31a-1(a); 31a-1(b)(9), (10),
(11); 31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Westpeak Value Growth and Westpeak Stock Index
Series:
Westpeak Investment Advisors, L.P.
1050 Walnut St. Suite 300
Boulder, Colorado 80302
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Loomis Sayles Avanti Growth, Loomis Sayles
Small Cap and Loomis Sayles Balanced Series:
Loomis Sayles & Company, L.P.
One Financial Center
Boston, Massachusetts 02110
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Draycott International Equity Series:
Draycott Partners, Ltd.
8 City Road
London, England EC2Y 1HE
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Short-Term Series:
TNE Advisers, Inc.
501 Boylston, Street
Boston, MA 02116
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Salomon Brothers U. S. Government Series and
the Salomon Brothers Strategic Bond Opportunities
Series:
Salomon Brothers Asset Management Inc
7 World Trade Center
New York, New York 10048
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Venture Value Series:
Selected/Venture Advisers, L.P.
124 East Marcy Street
Santa Fe, NM 87501
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Alger Equity Growth Series:
Fred Alger Management, Inc.
75 Maiden Lane
New York, New York 10038
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
For the Capital Growth Series:
Capital Growth Management Limited Partnership
One Financial Center
Boston, Massachusetts 02111
Rule 31a-1(a); 31a-1(b)(9), (10), (11);
31a-1(f)
Rule 31a-2(a); 31a-2(e)
(d) New England Securities Corporation
399 Boylston Street
Boston, Massachusetts 02116
Rule 31a-1(d)
Rule 31a-2(c)
Item 31. Management Services
Not applicable.
Item 32. Undertakings
(a) The Registrant undertakes to provide the Fund's
annual report to any person who receives a Fund
prospectus and who requests the annual report.
********
A copy of the Agreement and Declaration of Trust establishing New
England Zenith Fund is on file with the Secretary of State of the
Commonwealth of Massachusetts, and notice is hereby given that this
Registration Statement is executed on behalf of the Fund by officers
of the Fund as officers and not individually and that the obligations
of or arising out of this Registration Statement are not binding upon
any of the Trustees, officers or shareholders individually but are
binding only upon the assets and property of the Fund.
NEW ENGLAND ZENITH FUND
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and
the Investment Company Act of 1940, the Registrant certifies that it
has duly caused this Post-Effective Amendment No. 20 to its
Registration Statement to be signed on its behalf by the undersigned,
thereto duly authorized, in the City of Boston, and Commonwealth of
Massachusetts, on the 1st day of May 1995.
New England Zenith Fund
By: FREDERICK ZIMMERMANN
Frederick K. Zimmermann
Chief Executive Officer
*By: FRANK NESVET
Frank Nesvet
Attorney-In-Fact
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed below by the following persons
in the capacities and on the date indicated.
Signature Title Date
FREDERICK ZIMMERMANN Chairman of the Board; May 1, 1995
Frederick K. Zimmermann Chief Executive Officer;
President and Trustee
FRANK NESVET Treasurer May 1, 1995
Frank Nesvet
ANNE GOGGIN Trustee May 1, 1995
Anne Goggin
JOSEPH M. HINCHEY* Trustee May 1, 1995
Joseph M. Hinchey
RICHARD S. HUMPHREY, Jr.* Trustee May 1, 1995
Richard S. Humphrey, Jr.
ROBERT B. KITTREDGE* Trustee May 1, 1995
Robert B. Kittredge
LAURENS MACLURE* Trustee May 1, 1995
Laurens MacLure
Trustee May 1, 1995
Nancy Hawthorne
Trustee May 1, 1995
Dale Rogers Marshall
JOSEPH F. TURLEY* Trustee May 1, 1995
Joseph F. Turley
*By:FRANK NESVET
Frank Nesvet
Attorney-In-Fact
May 1, 1995
EXHIBIT INDEX
EXHIBIT NUMBER EXHIBIT
1(f) Amendment No. 5 to Agreement and Declaration of
Trust
9(i) Service Agreement relating to each of the Back Bay
Advisors Money Market Series, Back Bay Advisors
Bond Income Series, Westpeak Value Growth Series,
Loomis Sayles Avanti Growth Series, Westpeak Stock
Index Series, Back Bay Advisors Managed Series,
Loomis Sayles Small Cap Series, Loomis Sayles
Balanced Series, Draycott International Equity
Series, Salomon Brothers U.S. Government Series,
Salomon Brothers Strategic Bond Opportunities
Series, Venture Value Series, Alger Equity Growth
Series and the Short-Term Series between TNE
Advisers, Inc., and New England Funds, L.P.
EXHIBIT 1(F)
AMENDMENT NO. 5 TO THE AGREEMENT AND DECLARATION OF TRUST
EXHIBIT 9(I)
SERVICE AGREEMENT 1RELATING TO EACH OF THE BACK BAY ADVISORS MONEY
MARKET SERIES, BACK BAY ADVISORS BOND INCOME SERIES, WESTPEAK VALUE
GROWTH SERIES, LOOMIS SAYLES AVANTI GROWTH SERIES, WESTPEAK STOCK
INDEX SERIES, BACK BAY ADVISORS MANAGED SERIES, LOOMIS SAYLES SMALL
CAP SERIES, LOOMIS SAYLES BALANCED SERIES, DRAYCOTT INTERNATIONAL
EQUITY SERIES, SALOMON BROTHERS U.S. GOVERNMENT SERIES, SALOMON
BROTHERS STRATEGIC BOND OPPORTUNITIES SERIES, VENTURE VALUE SERIES,
ALGER EQUITY GROWTH SERIES AND SHORT-TERM SERIES BETWEEN TNE ADVISERS,
INC., AND NEW ENGLAND FUNDS L.P.
_______________________________
1
AGREEMENT
AND DECLARATION OF TRUST
NEW ENGLAND ZENITH FUND
THIS AGREEMENT AND DECLARATION OF TRUST made at Boston
Massachusetts this 16th day of December, 1986 by the
Trustees hereunder and the holders of shares of beneficial
interest issued hereunder and to be issued hereunder as
hereinafter provided:
WHEREAS the Trustees have agreed to manage all property
coming into their hands as trustees of a Massachusetts
business trust in accordance with the provisions hereinafter
set forth.
NOW, THEREFORE, the Trustees hereby direct that this
Agreement and Declaration of Trust be filed with the
Secretary of The Commonwealth of Massachusetts and with the
City Clerk of the City of Boston and do hereby declare that
they will hold all cash, securities and other assets, which
they may from time to time acquire in any manner as Trustees
hereunder IN TRUST to manage and dispose of the same upon
the following terms and conditions for the pro rata benefit
of the holders from time to time of Shares in this Trust as
hereinafter set forth.
ARTICLE I
Name and Definitions
Section 1. This Trust shall be known as New England
Zenith Fund and the Trustees shall conduct the business of
the Trust under that name or any other name as they may from
time to time determine.
Section 2. Definition. Whenever used herein, unless
otherwise required by the context or specifically provided
(a) "Trust" refers to the Massachusetts business trust
established by this Agreement and Declaration of Trust, as
amended from time to time;
(b) "Trustees" refers to the Trustees of the Trust
named in Article IV hereof or elected in accordance with
such Article;
(c) "Shares" means the equal proportionate units of
interest into which the beneficial interest in the Trust or
in the Trust property belonging to any Series of the Trust
(as the context may require) shall be divided from time to
time;
(d) "Shareholder" means a record owner of Shares;
(e) "1940 Act" refers to the Investment Company Act of
1940 and the Rules and Regulations thereunder, all as
amended from time to time;
(f) The terms "Commission" and "principal underwriter"
shall have the meanings given them in the 1940 Act;
(g) "Declaration of Trust" shall mean this Agreement
and Declaration of Trust, as amended or restated from time
to time;
(h) "By-Laws" shall mean the By-Laws of the Trust as
amended from time to time;
(i) "Series Company" refers to the form of registered
open-end investment company described in Section 18(f)(2) of
the 1940 Act or in any successor statutory provision; and
(j) "Series" refers to Series of Shares established
and designated under or in accordance with the provisions of
Article III.
ARTICLE II
Purpose of Trust
The purpose of the Trust is to provide investors a
managed investment primarily in securities (including
options), debt instruments, commodities, commodity contracts
and options thereon.
ARTICLE III
Shares
Section 1. Division of Beneficial Interest. The
beneficial interest in the Trust shall at all times be
divided into an unlimited number of Shares, without par
value. Subject to the provisions of Section 6 of this
Article III, each Share shall have voting rights as provided
in Article V hereof, and holders of the Shares of any Series
shall be entitled to receive dividends, when and as declared
with respect thereto in the manner provided in Article VI,
Section 1 hereof. No Share shall have any priority or
preference over any other Share of the same Series with
respect to dividends or distributions upon termination of
the Trust or of such Series made pursuant to Article VIII,
Section 4 hereof. All dividends and distributions shall be
made ratably among all Shareholder of a particular Series
from the assets belonging to such Series according to the
number of Shares of such Series held of record by such
Shareholders on the record date for any dividend or on the
date of termination, as the case may be. Shareholders shall
have no preemptive or other right to subscribe to any
additional Shares or other securities issued by the Trust.
The Trustees may from time to time divide or combine the
Shares of any particular Series into a greater or lesser
number of Shares of that Series without thereby changing the
proportionate beneficial interest of the Shares of that
Series in the assets belonging to that Series or in any way
affecting the rights of Shares of any other Series.
Section 2. Ownership of Shares. The ownership of
Shares shall be recorded on the books of the Trust or a
transfer or similar agent for the Trust, which books shall
be maintained separately for the Shares of each Series. No
certificates certifying the ownership of Shares shall be
issued except as the Trustees may otherwise determine from
time to time. The Trustees may make such rules as they
consider appropriate for the transfer of Shares of each
Series and similar matters. The record books to the Trust
as kept by the Trust or any transfer or similar agent, as
the case may be, shall be conclusive as to who are the
Shareholders of each Series and as to the number of Shares
of each Series held from time to time by each.
Section 3. Investment in the Trust. The Trustees
shall accept investments in the Trust from such persons and
on such terms and for such consideration as they from time
to time authorize.
Section 4. Status of Shares and Limitation of Personal
Liability. Shares shall be deemed to be personal property
giving only the rights provided in this instrument. Every
Shareholder by virtue of having become a Shareholder shall
be held to have expressly assented and agreed to the terms
hereof and to have become a party hereto. The death of a
Shareholder during the continuance of the Trust shall not
operate to terminate the same nor entitle the representative
of any deceased Shareholder to an accounting or to take any
action in court or elsewhere against the Trust or the
Trustees, but shall entitle such representative only to the
rights of said deceased Shareholder under this Trust.
Ownership of Shares shall not entitle the Shareholder to any
title in or to the whole or any part of the Trust property
or right to call for a partition or division of the same or
for an accounting, nor shall the ownership of Shares
constitute the Shareholder partners. Neither the Trust nor
the Trustees, nor any officer, employee or agent of the
Trust shall have any power to bind personally any
Shareholders, nor except as specifically provided herein to
call upon any Shareholder for the payment of any sum of
money or assessment whatsoever other than such as the
Shareholder may at any time personally agree to pay.
Section 5. Power of Trustees to Change Provisions
Relating to Shares. Notwithstanding any other provisions of
this Declaration of Trust and without limiting the power of
the Trustees to amend the Declaration of Trust as provided
elsewhere herein, the Trustees shall have the power to amend
this Declaration of Trust, at any time and from time to
time, in such manner as the Trustees may determine in their
sole discretion, without the need for Shareholder action, so
as to add to, delete, replace or otherwise modify any
provisions relating to the Shares contained in this
Declaration of Trust for the purpose of (i) responding to or
complying with any regulations, orders, rulings or
interpretations of any governmental agency or any laws, now
or hereafter applicable to the Trust, or (ii) designating
and establishing Series in addition to the Series
established in Section 6 of this Article III; provided that
before adopting any such amendment without Shareholder
approval the Trustees shall determine that it is consistent
with the fair and equitable treatment of all Shareholders.
The establishment and designation of any Series or class of
Shares in addition to the Series established and designated
in Section 6 of this Article III shall be effective upon the
execution by a majority of the then Trustees of an amendment
to this Declaration of Trust, taking the form of a complete
restatement or otherwise, setting forth such establishment
and designation and the relative rights and preferences of
such Series, or as otherwise provided in such instrument.
Without limiting the generality of the foregoing, the
Trustees may, for the above-stated purposes, amend the
Declaration of Trust to:
(a) create one or more Series or classes of Shares (in
addition to any Series or classes already existing or
otherwise) with such rights and preferences and such
eligibility requirements for investment therein as the
Trustees shall determine, and reclassify any or all
outstanding Shares as shares of particular Series or classes
in accordance with such eligibility requirements;
(b) amend any of the provisions set forth in
paragraphs (a) through (i) of Section 6 of this Article III;
(c) combine one or more Series or classes of Shares
into a single Series or class on such terms and conditions
as the Trustees shall determine;
(d) change or eliminate any eligibility requirements
for investment in Shares of any Series or class, including
without limitation the power to provide for the issue of
Shares of any Series or class in connection with any merger
or consolidation of the Trust with another trust or company
or any acquisition by the Trust of part or all of the assets
of another trust or company;
(e) change the designation of any Series or class of
Shares;
(f) change the method of allocating dividends among
the various Series and classes of Shares;
(g) allocate any specific assets or liabilities of the
Trust or any specific items of income or expense of the
Trust to one or more Series or classes of Shares;
(h) specifically allocate assets to any or all Series
or classes of Shares or create one or more additional Series
or classes of Shares which are preferred over all other
Series or classes of Shares in respect of assets
specifically allocated thereto or any dividends paid by the
Trust with respect to any net income, however determined,
earned from the investment and reinvestment of any assets so
allocated or otherwise and provide for any special voting or
other rights with respect to such Series or classes.
Section 6. Establishment and Designation of Series.
Without limiting the authority of the Trustees set forth in
Section 5, inter alia, to establish and designate and
further Series or classes or to modify the rights and
preferences of any Series, the "U.S. Government Securities
Series," shall be, and is hereby, established and
designated.
Shares of each Series established in this Section 6
shall have the following relative rights and preferences:
(a) Assets belonging to Series. All consideration
received by the Trust for the issue or sale of Shares of a
particular Series, together with all assets in which such
consideration is invested or reinvested, all income,
earnings, profits and proceeds thereof from whatever source
derived, including, without limitation, any proceeds derived
from the sale, exchange or liquidation of such assets, and
any funds or payments derived from any reinvestment of such
proceeds in whatever form the same may be, shall irrevocably
belong to that Series for all purposes, subject only to the
rights of creditors, and shall be so recorded upon the books
of account of the Trust. Such consideration, assets,
income, earnings, profits and proceeds thereof, from
whatever source derived, including, without limitation, any
proceeds derived from the sale, exchange or liquidation of
such assets, and any funds or payments derived from any
reinvestment of such proceeds, in whatever form the same may
be, are herein referred to as "assets belonging to" that
Series. In the event that there are any assets, income,
earnings, profits and proceeds thereof, funds or payments
which are not readily identifiable as belonging to any
particular Series (collectively "General Assets"), the
Trustees shall allocate such General Assets to, between or
among any one or more of the Series established and
designated from time to time in such manner and on such
basis as they, in their sole discretion, deem fair and
equitable, and any General Asset so allocated to a
particular Series shall belong to that Series. Each such
allocation by the Trustees shall be conclusive and binding
upon the Shareholders of all Series for all purposes.
(b) Liabilities Belonging to Series. The assets
belonging to each particular Series shall be charged solely
with the liabilities of the Trust in respect to that Series,
expenses, costs, charges and reserves attributable to that
Series, and any general liabilities of the Trust which are
not readily identifiable as belonging to any particular
Series but which are allocated and charged by the Trustees
to and among any one or more of the Series established and
designated from time to time in a manner and on such basis
as the Trustees in their sole discretion deem fair and
equitable. The liabilities, expenses, costs, charges and
reserves so charged to a Series are herein referred to as
"liabilities belonging to" that Series. Each allocation of
liabilities, expenses, costs, charges and reserves by the
Trustees shall be conclusive and binding upon the holders of
all Series for all purposes.
(c) Dividends, Distributions, Redemptions and
Repurchases. Notwithstanding any other provisions of this
Declaration, including, without limitation, Article VI, no
dividend or distribution (including, without limitation, any
distribution paid upon termination of the Trust or of any
Series) with respect to, nor any redemption or repurchase
of, the Shares of any Series shall be effected by the Trust
other than from the assets belonging to such Series, nor
shall any Shareholder of any particular Series otherwise
have any right or claim against the assets belonging to any
other Series except to the extent that such Shareholder has
such a right or claim hereunder as a Shareholder of such
other Series.
(d) Voting. Notwithstanding any of the other
provisions of this Declaration, including, without
limitation, Section 1 of Article V, the Shareholders of any
particular Series shall not be entitled to vote on any
matters as to which such Series is not affected. On any
matter submitted to a vote of Shareholders, all Shares of
the Trust then entitled to vote shall be voted by individual
Series, unless otherwise required by the 1940 Act or other
applicable law.
(e) Equality. All the Shares of each particular
Series shall represent an equal proportionate interest in
the assets belonging to that Series (subject to the
liabilities belonging to that Series), and each Share of any
particular Series shall be equal to each other Share of that
Series.
(f) Fractions. Any fractional Share of a Series shall
carry proportionately all the rights and obligations of a
whole share of that Series, including rights with respect to
voting, receipt of dividends and distributions, redemption
of Shares and termination of the Trust.
(g) Exchange Privilege. The Trustees shall have the
authority to provide that the holders of Shares of any
Series shall have the right to exchange said Shares for
Shares of one or more other Series of Shares in accordance
with such requirements and procedures as may be established
by the Trustees.
(h) Combination of Series. The Trustees shall have
the authority, without the approval of the Shareholders of
any Series unless otherwise required by applicable law, to
combine the assets and liabilities belonging to any two or
more Series into assets and liabilities belonging to a
single series or class.
(i) Elimination of Series. At any time that there are
no Shares outstanding of any particular Series previously
established and designated, the Trustees may amend this
Declaration of Trust to abolish that Series and to rescind
the establishment and designation thereof, such amendment to
be effected in the manner provided in Section 5 of this
Article III.
Section 7. Indemnification of Shareholders. In case
any Shareholder or former Shareholder shall be held to be
personally liable solely by reason of his or her being or
having been a Shareholder of the Trust or of a particular
Series and not because of his or here acts or omissions or
for some other reason, the Shareholder or former Shareholder
(or his or her heirs, executors, administrators or their
legal representatives or in the case of a corporation or
other entity, its corporate or other general successor)
shall be entitled out of the assets of the Series of which
he is a Shareholder or former Shareholder to be held
harmless from and indemnified against all loss and expense
arising from such liability.
Section 8. No Preemptive Rights. Shareholder shall
have no preemptive or other rights to subscribe to any
additional Shares or other securities issued by the Trust.
ARTICLE IV
The Trustees
Section 1. Election and Tenure. The initial Trustee
shall be John Ex Rodgers. The Trustees may fix the number
of Trustees, fill vacancies in the Trustees, including
vacancies arising from an increase in the number of
Trustees, or remove Trustees with or without cause. Each
Trustee shall serve during the continued lifetime of the
Trust until he dies, resigns or is removed, or, if sooner,
until the next meeting of Shareholders called for the
purpose of electing Trustees and until the election and
qualification of his successor. Any Trustee may resign at
any time by written instrument signed by him and delivered
to any officer of the Trust or to a meeting of the Trustees.
Such resignation shall be effective upon receipt unless
specified to be effective at some other time. Except to the
extent expressly provided in a written agreement with the
Trust, no Trustee resigning and no Trustee removed shall
have any right to any compensation for any period following
his resignation or removal, or any right to damages on
account of such removal. The Shareholders may fix the
number of Trustees and elect Trustees at any meeting of
Shareholders called by the Trustees for that purpose, and to
the extent required by applicable law, including paragraphs
(a) and (b) of Section 16 of the 1940 Act.
Section 2. Effect of Death, Resignation, etc. of a
Trustee. The death, declination, resignation, retirement,
removal or incapacity of the Trustees, or any of them, shall
not operate to annul the Trust or to revoke any existing
agency created pursuant to the terms of this Declaration of
Trust.
Section 3. Powers. Subject to the provisions of this
Declaration of Trust, the business of the Trust shall be
managed by the Trustees, and they shall have all powers
necessary or convenient to carry out that responsibility
including the power to engage in securities transactions of
all kinds on behalf of the Trust. Without limiting the
foregoing, the Trustees may adopt By-Laws not inconsistent
with this Declaration of Trust providing for the regulation
and management of the affairs of the Trust and may amend and
repeal them to the extent that such By-Laws do not reserve
that right to the Shareholders; they may fill vacancies in
or remove from their number (including any vacancies created
by an increase in the number of Trustees); they may remove
from their number with or without cause; they may elect and
remove such officers and appoint and terminate such agents
as they consider appropriate; they may appoint from their
own number and terminate one or more committees consisting
of two or more Trustees which may exercise the powers and
authority of the Trustees to the extent that the Trustees
determine; they may employ one or more custodians of the
assets of the Trust and may authorize such custodians to
employ subcustodians and to deposit all or any part of such
assets in a system or systems for the central handling of
securities or with a Federal Reserve Bank, retain a transfer
agent or a shareholder servicing agent, or both, provide for
the distribution of Shares by the Trust, through one or more
principal underwriters or otherwise, set record dates for
the determination of Shareholders with respect to various
matters, and in general delegate such authority as they
consider desirable to any officer of the Trust, to any
committee of the Trustees and to any agent or employee of
the Trust or to any such custodian or underwriter.
Without limiting the foregoing, the Trustees shall have
power and authority:
(a) To invest and reinvest cash, and to hold cash
uninvested;
(b) To sell, exchange, lend, pledge, mortgage,
hypothecate, lease, write options with respect to or
otherwise deal in any property rights relating to any or all
of the assets of the Trust;
(c) To vote or give assent, or exercise any rights of
ownership, with respect to stock or other securities or
property; and to execute and deliver proxies or powers of
attorney to such person or persons as the Trustees shall
deem proper, granting to such person or persons such power
and discretion with relation to securities or property as
the Trustees shall deem proper;
(d) To exercise powers and rights of subscription or
otherwise which in any manner arise out of ownership of
securities;
(e) To hold any security to property in a form not
indicating any trust, whether in bearer, unregistered or
other negotiable form , or in its own name or in the name of
a custodian or subcustodian or a nominee or nominees or
otherwise;
(f) To consent to or participate in any plan for the
reorganization, consolidation or merger of any corporation
or issuer of any security which is held in the Trust; to
consent to any contract, lease, mortgage, purchase or sale
of property by such corporation or issuer; and to pay calls
or subscriptions with respect to any security held in the
Trust;
(g) To join with other security holders in acting
through a committee, depository, voting trustee or
otherwise, and in that connection to deposit any security
with, or transfer any security to, any such committee,
depository or trustee, and to delegate to them such power
and authority with relation to any security (whether or not
so deposited or transferred) as the Trustees shall deem
proper, and to agree to pay, and to pay, such portion of the
expenses and compensation of such committee, depository or
trustee as the Trustees shall deem proper;
(h) To compromise; arbitrate or otherwise adjust
claims in favor of or against the Trust or any matter in
controversy, including but not limited to claims for taxes;
(i) To enter into joint ventures, general or limited
partnerships and any other combinations or associations;
(j) To borrow funds or other property;
(k) To endorse or guarantee the payment of any notes
or other obligations of any person; to make contracts of
guaranty or suretyship, or otherwise assume liability for
payment thereof;
(l) To purchase and pay for entirely out of Trust
property such insurance as they may deem necessary or
appropriate for the conduct of the business, including,
without limitation, insurance policies insuring the assets
of the Trust and payment of distributions and principal on
its portfolio investments, and insurance policies insuring
the Shareholders, Trustees, officers, employees, agents,
investment advisers, principal underwriters or independent
contractors of the Trust individually against all claims and
liabilities of every nature arising by reason of holding,
being or having held any such office or position, or by
reason of any action alleged to have been taken or omitted
by any such person as Trustee, officer, employee, agent,
investment adviser, principal underwriter or independent
contractor, including any action taken or omitted that may
be determined to constitute negligence, whether or not the
Trust would have the power to indemnify such person against
liability; and
(m) To pay pensions as deemed appropriate by the
Trustees and to adopt, establish and carry out pension,
profit sharing, share bonus, share purchase, savings, thrift
and other retirement, incentive and benefit plans, trusts
and provisions, including the purchasing of life insurance
and annuity contracts as a means of providing such
retirement and other benefits, for any or all of the
Trustees, officers, employees and agents of the Trust.
The Trustees shall not in any way be bound or limited
by any present or future law or custom in regard to
investments by Trustees. The Trustees shall not be
required to obtain any court order to deal with any assets
of the Trust or take any other action hereunder.
Section 4. Payment of Expenses by the Trust. The
Trustees are authorized to pay or cause to be paid out of
the principal or income of the Trust, or partly out of
principal and partly out of income, as they deem fair, all
expenses, fees, charges, taxes and liabilities incurred or
arising in connection with the Trust, or in connection with
the management thereof, including but not limited to , the
Trustees' compensation and such expenses and charges for the
services of the Trust's officers, employees, investment
adviser or manager, principal underwriter, auditor, counsel,
custodian, transfer agent, shareholder servicing agent, and
such other agents or independent contractors and such other
expenses and charges as the Trustees may deem necessary or
proper to incur.
Section 5. Payment of Expenses by Shareholders. The
Trustees shall have the power, as frequently as they may
determine, to cause each Shareholder, or each Shareholder of
any particular Series, to pay directly, in advance or
arrears, for charges of the Trust's custodian or transfer,
shareholder servicing or similar agent, an amount fixed from
time to time by the Trustees, by setting off such charges
due from such Shareholder from declared but unpaid dividends
owed such Shareholder and/or by reducing the number of
Shares in the account of such Shareholder by that number of
full and/or fractional Shares which represents the
outstanding amount of such charges due from such
Shareholder.
Section 6. Ownership of Assets of the Trust. Title to
all of the assets of the Trust shall at all times be
considered as vested in the Trustees.
Section 7. Advisory, Management and Distribution
Contracts. Subject to such requirements and restrictions as
may be set forth in the By-Laws, the Trustees may, at any
time and from time to time, contract for exclusive or
nonexclusive advisory and/or management services for the
Trust or for any Series with New England Mutual Life
Insurance Company, Back Bay Advisors, Inc., Loomis Sayles &
Company, Incorporated or any other corporation, trust,
association or other organization (the "Manager"); and any
such contract may contain such other terms as the Trustees
may determine including, without limitation, authority for
the Manager to determine from time to time without prior
consultation with the Trustees what investments shall be
purchased, held, sold or exchanged and what portion, if any,
of the assets of the Trust shall be held uninvested and to
make changes in the Trust's investments. The Trustees may
also, at any time and from time to time, contract with New
England Securities Corporation, any Manager or any other
corporation, trust, association or other organization,
appointing it exclusive or nonexclusive distributor or
principal underwriter for the Shares, every such contract to
comply with such requirements and restrictions as may be set
forth in the By-Laws; and any such contract may contain such
other terms as the Trustees may determine. The fact that:
(i) any of the Shareholders, Trustees or officers of
the Trust is a shareholder, director, officer, partner,
trustee, employee, manager, adviser, principal underwriter,
distributor or affiliate or agent of or for any corporation,
trust, association or other organization, or of or for any
parent or affiliate of any organization, with which an
advisory or management contract, or principal underwriter's
or distributor's contract, or transfer, shareholder
servicing or other agency contract may have been or may
hereafter be made, or that any such organization, or any
parent or affiliate thereof, is a Shareholder or has an
interest in the Trust, or that
(ii) any corporation, trust, association or other
organization with which an advisory or management contract
or principal underwriter's or distributor's contract, or
transfer, shareholder servicing or other agency contract may
have been or may hereafter be made also has an advisory or
management contract, or principal underwriter's or
distributor's contract, or transfer, shareholder servicing
or other agency contract with one or more other
corporations, trusts, associations or other organizations,
or has other business or interests, shall not affect the
validity of any such contract or disqualify any Shareholder,
Trustee or officer of the Trust from voting upon or
executing the same or create any liability or accountability
to the Trust or its Shareholders.
ARTICLE V
Shareholders' Voting Powers and Meetings
Section 1. Voting Powers. The Shareholders shall have
power to vote only (i) for the election of Trustees as
provided in Article IV, Section 1, (ii) with respect to any
amendment of this Declaration of Trust to the extent and as
provided in Article VIII, Section 8, (iii) to the same
extent as the stockholders of a Massachusetts business
corporation as to whether or not a court action, proceeding
or claim should or should not be brought or maintained
derivatively or as a class action on behalf of the Trust or
the Shareholders, (iv) with respect to the termination of
the Trust of any Series to the extent and as provided in
Article VIII, Section 4, (v) to remove Trustees from office
to the extent and as provided in Article V, Section 7 and
(vi) with respect to such additional matters relating to the
Trust as may be required by this Declaration of Trust, the
By-Laws or any registration of the Trust with the Commission
(or any successor agency) or any state, or as the Trustees
may consider necessary or desirable. Each whole Share shall
be entitled to one vote as to any matter on which it is
entitled to vote and each fractional Share shall be entitled
to a proportionate fractional vote. There shall be no
cumulative voting in the election of Trustees. Shares may
be voted in person or by proxy. A proxy with respect to
Shares held in the name of two or more persons shall be
valid if executed by any one of them unless at or prior to
exercise of the proxy the Trust receives a specific written
notice to the contrary from any one of them. A proxy
purporting to be executed by or on behalf of a Shareholder
shall be deemed valid unless challenged at or prior to its
exercise and the burden of proving invalidity shall rest on
the challenger. At any time when no Shares of a Series are
outstanding the Trustees may exercise all rights of
Shareholders of that Series with respect to matters
affecting that Series and may with respect to that Series
take any action required by law, this Declaration of Trust
or the By-Laws to be taken by the Shareholders.
Section 2. Voting Power and Meetings. Meetings of the
Shareholders may be called by the Trustees for the purpose
of electing Trustees as provided in Article IV, Section 1
and for such other purposes as may be prescribed by law, by
this Declaration of Trust or by the By-Laws. Meetings of
the Shareholders may also be called by the Trustees from
time to time for the purpose of taking action upon any other
matter deemed by the Trustees to be necessary or desirable.
A meeting of Shareholders may be held at any place
designated by the Trustees. Written notice of any meeting
of Shareholders shall be given or caused to be given by the
Trustees by mailing such notice at least seven days before
such meeting, postage prepaid, stating the time and place of
the meeting, to each Shareholder at the Shareholder's
address as it appears on the records of the Trust. Whenever
notice of a meeting is required to be given to a Shareholder
under this Declaration of Trust or the By-Laws, a written
waiver thereof, executed before or after the meeting by such
Shareholder or his attorney thereunto authorized and filed
with the records of the meeting, shall be deemed equivalent
to such notice.
Section 3. Quorum and Required Vote. Except when a
larger quorum is required by law, by the By-Laws or by this
Declaration of Trust, 40% of the Shares entitled to vote
shall constitute a quorum at a Shareholders' meeting. When
any one or more Series is to vote as a single class separate
from any other Shares which are to vote on the same matters
as a separate class or classes, 40% of the Shares of each
such class entitled to vote shall constitute a quorum at a
Shareholder's meeting of that class. Any meeting of
Shareholders may be adjourned from time to time by a
majority of the votes properly cast upon the question,
whether or not a quorum is present, and the meeting may be
held as adjourned within a reasonable time after the date
set for the original meeting without further notice. When a
quorum is present at any meeting, a majority of the Shares
voted shall decide any questions and a plurality shall elect
a Trustee, except when a larger vote is required by any
provision of this Declaration of Trust or the By-Laws or by
law. If any question on which the Shareholders are entitled
to vote would adversely affect the rights of any Series or
class of Shares, the vote of a majority (or such larger vote
as is required as aforesaid) of the Shares of such Series or
class which are entitled to vote, voting separately, shall
also be required to decide such question.
Section 4. Action by Written Consent. Any action
taken by Shareholders may be taken without a meeting if
Shareholders holding a majority of the Shares entitled to
vote on the matter (or such larger proportion thereof as
shall be required by any express provision of this
Declaration of Trust or by the By-Laws) and holding a
majority (or such larger proportion as aforesaid) of the
Shares of any Series or class entitled to vote separately on
the matter consent to the action in writing and such written
consents are filed with the records of the meetings of
Shareholders. Such consent shall be treated for all
purposes as a vote taken at a meeting of Shareholders.
Section 5. Record Dates. For the purpose of
determining the Shareholders of any Series who are entitled
to vote or act at any meeting or any adjournment thereof,
the Trustees may from time to time fix a time, which shall
be not more than 90 days before the date of any meeting of
Shareholders, as the record date for determining the
Shareholders of such Series having the right to notice of
and to vote at such meeting and any adjournment thereof, and
in such case only Shareholders of record on such record date
shall have such right, notwithstanding any transfer of
shares of the books of the Trust after the record date. For
the purpose of determining the Shareholders of any Series
who are entitled to receive payment of any dividend or of
any other distribution, the Trustees may from time to time
fix a date, which shall be before the date for the payment
of such dividend or such other payment, as the record date
for determining the Shareholders of such Series having the
right to receive such dividend or distribution. Without
fixing a record date the Trustees may for voting and/or
distribution purposes close the register or transfer books
for one or more Series for all or any part of the period
between a record date and a meeting of shareholders or the
payment of a distribution. Nothing in this section shall be
construed as precluding the Trustees from setting different
record dates for different Series.
Section 6. Additional Provisions. The By-Laws may
include further provisions for Shareholders' votes and
meetings and related matters.
Section 7. Removal of Trustees. No natural person
shall serve as Trustee after the holders of record of not
less than two-thirds of the outstanding Shares have declared
that such Trustees be removed from that office either by
declaration in writing filed with the Trust's custodian or
by votes cast in person or by proxy at a meeting called for
the purpose. The Trustees shall promptly call a meeting of
shareholders for the purpose of voting upon the question of
removal of any Trustee when requested in writing so to do by
the record holders of not less than 10% of the outstanding
Shares.
Whenever ten or more shareholders of record who have
been such for at least six months preceding the date of
application, and who hold in the aggregate Shares having a
net asset value of at least 1% of the outstanding Shares
shall apply to the Trustees in writing, stating that they
wish to communicate with other shareholders with a view to
obtaining signatures to a request for a meeting pursuant to
this Section and accompanied by a form of communication and
request which they wish to transmit, the Trustees shall
within five business days after receipt of such application
either (a) afford to such applicants access to a list of the
names and addresses of all shareholders as recorded on the
books of the Trust; or (b) inform such applicants as to the
approximate number of shareholders of record, and the
approximate cost of mailing to them the proposed
communication and form of request. If the Trustees elect to
follow the course specified in clause (b), the Trustees,
upon the written request of such applicants, accompanied by
a tender of the material to be mailed and of the reasonable
expenses of mailing, shall, with reasonable promptness, mail
such material to all shareholders of record at their
addresses as recorded on the books of the Trust, unless
within five business days after such tender the Trustees
shall mail to such applicants and file with the Commission,
together with a copy of the material proposed to be mailed,
a written statement signed by at least a majority of the
Trustees to the effect that in their opinion either such
material contains untrue statements of fact or omits to
state facts necessary to make the statements contained
therein not misleading, or would be in violation of
applicable law, and specifying the basis of such opinion.
If the Commission shall enter an order refusing to sustain
any of the objections specified in the written statement so
filed, or if, after the entry of an order sustaining one or
more of such objections, the Commission shall find, after
notice and opportunity for hearing, that all objections so
sustained have been met, and shall enter an order so
declaring, the Trustees shall mail copies of such material
to all shareholders with reasonable promptness after the
entry of such order and the renewal of such tender.
ARTICLE VI
Net Income, Distributions, and Redemptions and Repurchases
Section 1. Distributions of Net Income. The Trustees
shall each year, or more frequently if they so determine in
their sole discretion, distribute to the Shareholders of
each Series, in shares of that Series, cash or otherwise, an
amount approximately equal to the net income attributable to
the assets belonging to such Series and may from time to
time distribute to the Shareholders of each Series, in
shares of that Series, cash or otherwise, such additional
amounts, but only from the assets belonging to such Series,
as they may authorize. All dividends and distributions on
Shares of a particular Series shall be distributed pro rata
to the holders of that Series in proportion to the number of
Shares of that Series held by such holders and recorded on
the books of the Trust at the date and time of record
established for that payment of such dividend or
distribution.
The manner of determining net income, income, asset
values, capital gains, expenses, liabilities and reserves of
any Series may from time to time be altered as necessary or
desirable in the judgment of the Trustees to conform such
manner of determination to any other method prescribed or
permitted by applicable law. Net income shall be determined
by the Trustees or by such person as they may authorize at
the times and in the manner provided in the By-Laws.
Determinations of net income of any Series and
determinations of income, asset value, capital gains,
expenses and liabilities made by the Trustees, or by such
person as they may authorize, in good faith, shall be
binding on all parties concerned. The foregoing sentence
shall not be construed to protect any Trustee, officer or
agent of the Trust against any liability to the Trust or its
security holders to which he would otherwise be subject by
reason of willful misfeasance, bad faith, gross negligence
or reckless disregard of the duties involved in the conduct
of his office.
If, for any reason, the net income of any Series
determined at any time is a negative amount, the pro rata
share of such negative amount allocable to each Shareholder
of such Series shall constitute a liability of such
Shareholder to that Series which shall be paid out of such
Shareholders' account at such times and in such manner as
the Trustees may from time to time determine (x) out of the
accrued dividend account of such Shareholder, (y) by
reducing the number of Shares of that Series in the account
of such Shareholder or (z) otherwise.
Section 2. Redemptions and Repurchases. The Trust
shall purchase such Shares as are offered by any Shareholder
for redemption, upon the presentation of a proper instrument
of transfer together with a request directed to the Trust or
a person designated by the Trust that the Trust purchase
such Shares or in accordance with such other procedures for
redemption as the Trustees may from time to time authorize;
and the Trust will pay therefore the net asset value
thereof, as determined in accordance with the By-Laws, next
determined. Payment for said Shares shall be made by the
Trust to the Shareholder within seven days after the date on
which the request is made. The obligation set forth in this
Section 2 is subject to the provision that in the event that
any time the New York Stock Exchange is closed for other
than weekends or holidays, or if permitted by the rules of
the Commission during periods when trading on the Exchange
is restricted or during any emergency which makes it
impracticable for the Trust to dispose of the investments of
the applicable Series or to determine fairly the value of
the net assets belonging to such Series or during any other
period permitted by order of the Commission for the
protection of investors, such obligations may be suspended
or postponed by the Trustees. The Trust may also purchase
or repurchase Shares at a price not exceeding the net asset
value of such Shares in effect when the purchase or
repurchase or any contract to purchase or repurchase is
made.
The redemption price may in any case or cases by paid
wholly or partly in kind if the Trustees determine that such
payment is advisable in the interest of the remaining
Shareholders of the Series the Shares of which are being
redeemed. In making any such payment wholly or partly in
kind, the Trust shall, so far as may be practicable, deliver
assets which approximate the diversification of all of the
assets belonging at the time to the Series the Shares of
which are being redeemed. Subject to the foregoing, the
fair value, selection and quantity of securities or other
property so paid or delivered as all or part of the
redemption price may be determined by or under authority of
the Trustees. In no case shall the Trust be liable for any
delay of any corporation or other person in transferring
securities selected for delivery as all or part of any
payment in kind.
Section 3. Redemptions at the Option of the Trust.
The Trust shall have the right at its option and at any time
to redeem Shares of any Shareholder at the net asset value
thereof as described in Section 1 of this Article VI: (i)
if at such time such Shareholder owns Shares of any Series
having an aggregate net asset value of less than an amount
determined from time to time by the Trustees; or (ii) to the
extent that such Shareholder owns Shares equal to or in
excess of a percentage determined from time to time by the
Trustees of the outstanding Shares of the Trust or of any
Series.
ARTICLE VII
Compensation and Limitation of Liability of Trustees
Section 1. Compensation. The Trustees as such shall
be entitled to reasonable compensation from the Trust; they
may fix the amount of their compensation. Nothing herein
shall in any way prevent the employment of any Trustee for
advisory, management, legal, accounting, investment banking
or other services and payment for the same by the Trust.
Section 2. Limitation of Liability. The Trustees
shall not be responsible or liable in any event for any
neglect or wrong-doing of any officer, agent, employee,
Manager or principal underwriter of the Trust, nor shall any
Trustee by responsible for the act or omission of any other
Trustee, but nothing herein contained shall protect any
Trustee against any liability to which he would otherwise be
subject by reason of willful misfeasance, bad faith, gross
negligence or reckless disregard of the duties involved in
the conduct of his office.
Every note, bond, contract, instrument, certificate or
undertaking and every other act or thing whatsoever issued,
executed or done by or on behalf of the Trust or the
Trustees or any of them in connection with the Trust shall
be conclusively deemed to have been issued, executed or done
only in or with respect to their or his capacity as Trustees
or Trustee, and such Trustees or Trustee shall not be
personally liable thereon.
ARTICLE VIII
Miscellaneous
Section 1. Trustees, Shareholders, etc. Not Personally
Liable; Notice. All persons extending credit to,
contracting with or having any claim against the Trust or
any Series shall look only to the assets of the Trust, or,
to the extent that the liability of the Trust may have been
expressly limited by contract to the assets of a particular
Series, only to the assets belonging to the relevant Series,
for payment under such credit, contract or claim; and
neither the Shareholders not the Trustees, nor any of the
Trust's officers, employees or agents, whether past, present
or future, shall be personally liable therefor. Nothing in
this Declaration of Trust shall protect any Trustee against
any liability to which such Trustee would otherwise be
subject by reason of willful misfeasance, bad faith, gross
negligence or reckless disregard of the duties involved in
the conduct of the office of Trustee.
Every note, bond, contract, instrument, certificate or
undertaking made or issued on behalf of the Trust by the
Trustees, by any officers or officer or otherwise shall give
notice that this Declaration of Trust is on file with the
Secretary of State of The Commonwealth of Massachusetts and
shall recite that the same was executed or made by or on
behalf of the Trust or by them as Trustee or Trustees or as
officers or officer or otherwise and not individually and
that the obligations of such instrument are not binding upon
any of them or the Shareholders individually but are binding
only upon the assets and property of the Trust or upon the
assets belonging to the Series for the benefit of which the
Trustees have caused the note, bond, contract, instrument,
certificate or undertaking to be made or issued, and may
contain such further recital as he or they may deem
appropriate, but the omission of any such recital shall not
operate to bind any Trustee or Trustees or officers or
officer or Shareholders or any other person individually.
Section 2. Trustee's Good Faith Action, Expert Advice,
No Bond or Surety. The exercise by the Trustees of their
powers and discretions hereunder shall be binding upon
everyone interested. A Trustee shall be liable for his own
willful misfeasance, bad faith, gross negligence or reckless
disregard of the duties involved in the conduct of the
office of Trustee, and for nothing else, and shall not be
liable for errors of judgment or mistakes of fact or law.
The Trustees may take advice of counsel or other experts
with respect to the meaning and operation of this
Declaration of Trust, and shall be under no liability for
any act or omission in accordance with such advice or for
failing to follow such advice. The Trustees shall not be
required to give any bond as such, nor any surety if a bond
is required.
Section 3. Liability of Third Persons Dealing with
Trustees. No person dealing with the Trustees shall be
bound to make any inquiry concerning the validity of any
transaction made or to be made by the Trustees or to see to
the application of any payments made or property transferred
to the Trust or upon its order.
Section 4. Termination of Trust or Series. Unless
terminated as provided herein, the Trust shall continue
without limitation of time. The Trust may be terminated at
any time by vote of at least 66-2/3% of the Shares of each
Series entitled to vote and voting separately by Series or
by the Trustees by written notice to the Shareholders. Any
Series may be terminated at any time by vote of at least 66-
2/3% of the Shares of that Series or by the Trustees by
written notice to the Shareholders of that Series.
Upon termination of the Trust (or any Series, as the
case may be), after paying or otherwise providing for all
charges, taxes, expenses and liabilities belonging,
severally, to each Series (or the applicable Series, as the
case may be), whether due or accrued or anticipated as may
be determined by the Trustees, the Trust shall in accordance
with such procedures as the Trustees consider appropriate
reduce the remaining assets belonging, severally, to each
Series (or the applicable Series, as the case may be), to
distributable form in cash or shares or other securities, or
any combination thereof, and distribute the proceeds
belonging to each Series (or the applicable Series, as the
case may be), to the Shareholders of that Series, as a
Series, ratably according to the number of Shares of that
Series held by the several Shareholders on the date of
termination.
Section 5. Merger and Consolidation. The Trustees may
cause the Trust to be merged into or consolidated with
another trust or company or it shares exchanged under or
pursuant to any state or federal statute, if any, or
otherwise to the extent permitted by law, if such merger or
consolidation or share exchange has been authorized by vote
of a majority of the outstanding Shares; provided that in
all respects not governed by statute or applicable law, the
Trustees shall have power to prescribe the procedure
necessary or appropriate to accomplish a sale of assets,
merger or consolidation.
Section 6. Filing of Copies, References, Headings.
The original or a copy of this instrument and of each
amendment hereto shall be kept at the office of the Trust
where it may be inspected by any Shareholder. A copy of
this instrument and of each amendment hereto shall be filed
by the Trust with the secretary of State of The Commonwealth
of Massachusetts and with any other governmental office
where such filing may from time to time be required. Anyone
dealing with the Trust may rely on a certificate by an
officer of the Trust as to whether or not any such
amendments have been made and as to any matters in
connection with the Trust hereunder; and, with the same
effect as if it were the original, may rely on a copy
certified by an officer of the Trust to be a copy of this
instrument or of any such amendments. In this instrument
and in any such amendment, references to this instrument,
and all expressions like "herein", "hereof" and "hereunder",
shall be deemed to refer to this instrument as amended or
affected by any such amendments. Headings are placed herein
for convenience of reference only and shall not be taken as
a part hereof or control or affect the meaning, construction
or effect of this instrument. This instrument may be
executed in any number of counterparts each of which shall
be deemed an original.
Section 7. Applicable Law. This Declaration of Trust
is made in The Commonwealth of Massachusetts, and it is
created under and is to be governed by and construed and
administered according to the laws of said Commonwealth.
The Trust shall be of the type commonly called a
Massachusetts business trust, and without limiting the
provisions hereof, the Trust may exercise all powers which
are ordinarily exercised by such a trust.
Section 8. Amendments. This Declaration of Trust may
be amended at any time by an instrument in writing signed by
a majority of the then Trustees when authorized so to do by
vote of a majority of the Shares entitled to vote, except
that amendments described in Article III, Section 5 hereof
or having the purpose of changing the name of the Trust or
of supplying any omission, curing any ambiguity or curing,
correcting or supplementing any defective or inconsistent
provision contained herein shall not require authorization
by Shareholder vote.
IN WITNESS WHEREOF, all of the Trustees as aforesaid do
hereto set their hands this 16th day of December, 1986.
__________________________
John Ex Rodgers
COMMONWEALTH OF MASSACHUSETTS)
) ss.
COUNTY OF SUFFOLK )
Then personally appeared before me John Ex Rodgers, who
acknowledged the foregoing instrument to be his free act and
deed.
December 16, 1986
__________________________
Notary Public
My commission expires:
<PAGE>
NEW ENGLAND ZENITH FUND
Amendment No. 1 to Agreement and Declaration of Trust
The undersigned, being the sole trustee of New England
Zenith Fund (the "Trust") and having determined it to be
consistent with the fair and equitable treatment of all
shareholders of the Trust, hereby consents to and adopts the
following amendment to the Trust's Agreement and Declaration
of Trust, a copy of which is on file in the office of the
Secretary of State of the Commonwealth of Massachusetts:
The designation of the Trust's "U.S. Government
Securities Series" is hereby changed to "Money Market
Series", and the first sentence of Section 6 of Article III
of the Agreement and Declaration of Trust is hereby amended
to read in its entirety as follows:
Without limiting the authority of the Trustees set
forth in Section 5, inter alia, to establish and
designate any further series or classes or to modify
the rights and preferences of any Series, each of the
following five Series shall be, and is hereby,
established and designated: (1) the "Money Market
Series", (2) the Bond Income Series", (3) the Capital
Growth Series", (4) the "Stock Index Series" and (5)
the "Managed Series".
The forgoing amendment shall become effective as of the
time it is filed with the Secretary of State of the
Commonwealth of Massachusetts.
IN WITNESS WHEREOF, I have hereunto set my hand for
myself and for my successors and assigns this 22nd day of
January, 1987.
JOHN EX RODGERS
John Ex Rodgers
<PAGE>
NEW ENGLAND ZENITH FUND
Amendment No. 2 to Agreement and Declaration of Trust
The undersigned, being at least a majority of the
Trustees of New England Zenith Fund ("Trust") hereby consent
to and adopt the following amendment to the Trust's
Agreement and Declaration of Trust (as amended through
Amendment No. 1 thereto, the Declaration of Trust), a copy
of which is on file in the office of the Secretary of State
of the Commonwealth of Massachusetts:
The undersigned Trustees having determined it to be
fair and equitable treatment of all shareholders of the
Trust, the first sentence of Section 6 of Article III of the
Agreement and Declaration of Trust is hereby amended to read
in its entirety as follows:
Without limiting the authority of the Trustees set
forth in Section 5, inter alia, to establish and
designate any further Series or classes or to modify
the rights and preferences of any Series or class, each
of the following Series shall be, and is hereby,
established and designated: (1) the "Money Market
Series," (2) the "Bond Income Series," (3) the "Capital
Growth Series," (4) the "Stock Index Series," (5) the
"Managed Series," (6) the "Value Growth Series" and (7)
the "Avanti Growth Series."
The foregoing amendment shall become effective as of
the time it is filed with the Secretary of State of the
Commonwealth of Massachusetts.
IN WITNESS WHEREOF, we have hereunto set my hand for
ourselves and for our successors and assigns this 23rd day
of April, 1993.
ROBERT B. KITTREDGE
Graham T. Allison Robert B. Kittredge
LAURENS MACLURE SANDRA O. MOOSE
Laurens MacLure Sandra O. Moose
JAMES H. SCOTT JOSEPH E. TURLEY
James H. Scott Joseph E. Turley
PETER S. VOSS HENRY L.P. SCHMELZER
Peter S. Voss Henry L.P. Schmelzer
<PAGE>
NEW ENGLAND ZENITH FUND
Amendment No. 3 to Agreement and Declaration of Trust
The undersigned, being at least a majority of the
Trustees of New England Zenith Fund (the "Trust"), hereby
consent to and adopt the following amendment to the Trust's
Agreement and Declaration of Trust (as amended through
Amendment No. 2 thereto, the "Declaration of Trust"), a copy
of which is on file in the office of the Secretary of State
of The Commonwealth of Massachusetts:
The undersigned Trustees having determined it to be
consistent with the fair and equitable treatment of all
shareholders of the Trust, the first sentence of Section 6
of Article III of the Declaration of Trust is hereby amended
to read in its entirety as follows:
Without limiting the authority of the Trustees set
forth in Section 5, inter alia, to establish and
designate any further Series or classes or to modify
the rights and preferences of any Series or class, each
of the following Series shall be, and is hereby,
established and designated: (1) the "Money Market
Series," (2) the "Bond Income Series," (3) the "Capital
Growth Series," (4) the "Stock Index Series," (5) the
"Managed Series," (6) the "Value Growth Series," (7)
the "Avanti Growth Series" and (8) the "Small Cap
Series."
The foregoing amendment shall become effective as of
the time it is filed with the Secretary of State of The
Commonwealth of Massachusetts.
IN WITNESS WHEREOF, we have hereunder set our hands for
ourselves and for our successors and assigns this 29th day
of April, 1994.
KENNETH J. COWAN ROBERT B. KITTREDGE
Kenneth J. Cowan Robert B. Kittredge
LAURENS MACLURE
Laurens MacLure Sandra O. Moose
JAMES H. SCOTT JOSEPH E. TURLEY
James H. Scott Joseph E. Turley
PETER S. VOSS HENRY L. P. SCHMELZER
Peter S. Voss Henry L. P. Schmelzer
JOSEPH M. HINCHEY RICHARD S. HUMPHREY, JR.
Joseph M. Hinchey Richard S. Humphrey,Jr.
JOHN A. SHANE PENDLETON P. WHITE
John A. Shane Pendleton P. White
<PAGE>
NEW ENGLAND FUNDS
Amendment No. 4 to Agreement and Declaration of Trust
The undersigned, being at least a majority of the
Trustees of New England Zenith Fund (the "Trust"), hereby
consent to and adopt the following amendment to the Trust's
Agreement and Declaration of Trust (as amended through
Amendment No. 3 thereto, the "Declaration of Trust"), a copy
of which is on file in the office of the Secretary of State
of The Commonwealth of Massachusetts:
The undersigned Trustees having determined it to be
consistent with the fair and equitable treatment of all
shareholders of the Trust, the first sentence of Section 6
of Article III of the Declaration of Trust is hereby amended
to read in its entirety as follows:
Without limiting the authority of the Trustees set
forth in Section 5, inter alia, to establish and
designate any further Series or classes or to modify
the rights and preferences of any Series or class, each
of the following Series shall be, and is hereby,
established and designated: (1) the "Back Bay Advisors
Money Market Series," (2) the "Back Bay Advisors Bond
Income Series," (3) the "Capital Growth Series," (4)
the "Westpeak Stock Index Series," (5) the "Back Bay
Advisors Managed Series," (6) the "Westpeak Value
Growth Series," (7) the "Loomis Sayles Avanti Growth
Series," (8) the "Loomis Sayles Small Cap Series," (9)
the "Loomis Sayles Balanced Series," (10) the "Draycott
International Equity Series," (11) the "Salomon
Brothers Strategic Bond Opportunities Series," (13) the
"Venture Value Series," (14) the "Alger Equity Growth
Series" and (15) the "CS First Boston Strategic Equity
Opportunities Series."
The foregoing amendment shall become effective as of
the time it is filed with the Secretary of State of The
Commonwealth of Massachusetts.
IN WITNESS WHEREOF, we have hereunder set our hands for
ourselves and for our successor and assigns this 28th day of
October, 1994.
KENNETH J. COWAN ROBERT B. KITTREDGE
Kenneth J. Cowan Robert B. Kittredge
LAURENS MACLURE SANDRA O. MOOSE
Laurens MacLure Sandra O. Moose
JAMES H. SCOTT JOSEPH E. TURLEY
James H. Scott Joseph E. Turley
PETER S. VOSS HENRY L. P. SCHMELZER
Peter S. Voss Henry L. P. Schmelzer
JOSEPH M. HINCHEY RICHARD S. HUMPHREY, JR.
Joseph M. Hinchey Richard S. Humphrey, Jr.
JOHN A. SHANE PENDLETON P. WHITE
John A. Shane Pendleton P. White
<PAGE>
NEW ENGLAND ZENITH FUND
Amendment No. 5 to Agreement and Declaration of Trust
The undersigned, being at least a majority of the
Trustees of New England Zenith Fund (the "Trust"), hereby
consent to and adopt the following amendment to the Trust's
Agreement and Declaration of Trust (as amended through
Amendment No, 4 thereto, the "Declaration of Trust"), a copy
of which is on file in the office of the Secretary of State
of The Commonwealth of Massachusetts.
The undersigned Trustees having determined it to be
consistent with the fair and equitable treatment of all
shareholders of the Trust, the first sentence of Section 6
of Article III of the Declaration of Trust is hereby amended
to read in its entirety as follows:
Without limiting the authority of the Trustees set
forth in Section 5, inter alia, to establish and
designate any further Series or classes or to modify
the rights and preferences of any Series or class, each
of the following Series shall be, and is hereby,
established and designated: (1) the "Back Bay Advisors
Money Market Series," (2) the "Back Bay Advisors Bond
Income Series," (3) the "Capital Growth Series," (4)
the "Westpeak Stock Index Series," (5) the "Back Bay
Advisors Managed Series," (6) the "Westpeak Value
Growth Series," (7) the "Loomis Sayles Balanced
Series," (8) the "Loomis Sayles Small Cap Series," (9)
the "Loomis Sayles Balanced Series," (10) the "Draycott
International Equity Series," (11) the "Salomon
Brothers U.S. Government Series," (12) the "Salomon
Brothers Strategic Bond Opportunities Series," (13) the
"Venture Value Series," (14) the "Alger Equity Growth
Series" and (15) "Short-Term Series."
The foregoing amendment shall become effective as of
the time it is filed with the Secretary of State of The
Commonwealth of Massachusetts.
IN WITNESS WHEREOF, we have hereunder set our hands for
ourselves and for our successors and assigns this 28th day
of April, 1995.
Kenneth J. Cowan Robert B. Kittredge
Laurens MacLure Sandra O. Moose
James H. Scott Joseph E. Turley
Peter S. Voss Henry L. P. Schmelzer
Joseph M. Hinchey Richard S. Humphrey, Jr.
John A. Shane Pendleton P. White
-5-
ADMINISTRATIVE SERVICES AGREEMENT
AGREEMENT made the 1st day of May, 1995 by and between TNE
ADVISERS, INC., a Massachusetts corporation (the "Adviser"), with
respect to the series (other than the Capital Growth Series)
(collectively, the "Series" and each, a "Series") of New England
Zenith Fund, a Massachusetts business trust (the "Fund") and NEW
ENGLAND FUNDS, L.P., a Delaware limited partnership (the
"Administrator").
WITNESSETH:
WHEREAS, the Adviser and the Administrator wish to enter
into an agreement setting forth the terms upon which the
Administrator will perform certain services for the Adviser and
the Series;
NOW THEREFORE, in consideration of the premises and
covenants hereinafter contained, the parties agree as follows:
1. The Adviser hereby employs the Administrator to provide
certain administrative services with respect to the Series, as
herein set forth. The Administrator hereby accepts such
employment and agrees, at its own expense, to render the services
and to assume the obligations herein set forth, for the
compensation herein provided. The Administrator shall for all
purposes herein be deemed to be an independent contractor and
shall, unless otherwise expressly provided or authorized, have no
authority to act for or represent the Adviser, the Fund or the
Series in any way or otherwise be deemed an agent of the Adviser,
the Fund or the Series.
2. The Administrator shall furnish to the Series at the
Administrator's own expense or pay the expenses of the Series for
the following:
(a) except as otherwise provided in section 3
hereof, the cost of services, including services of
counsel employed by the Administrator, required in
connection with the preparation of the Fund's
registration statements and prospectuses, including
amendments and revisions thereto, annual, semiannual
and other periodic reports of the Fund, and notices and
proxy solicitation material furnished to shareholders
of the Fund or regulatory authorities all as they
relate to the Series;
(b) except as otherwise provided in section 3
hereof, the cost of services, including services of
counsel employed by the Administrator, required in
connection with the organization, administration and
management of regular and special meetings of the
Board of Trustees of the Fund as they relate to the
Series, including preparation of materials for the
meeting; and
(c) except as otherwise provided in section 3
hereof, the Series' expenses of bookkeeping,
accounting, auditing and financial reporting, including
related clerical expenses.
3. The Administrator will monitor, and act as a liaison
among the Fund's Custodian, the Adviser and the respective
Subadvisers with respect to, the Series' Compliance with the
provisions of the Internal Revenue Code (the "Code") applicable
to "regulated investment companies" (as defined in Section 851 of
the Code) and Section 817 of the Code, as from time to time if
effect.
4. Nothing in section 2 hereof shall require the
Administrator to bear, or to reimburse the Adviser, any Series or
the Fund for:
(a) any of the costs of printing and distributing
the items referred to in section 2 hereof;
(b) any of the costs of preparing, printing and
distributing sales literature;
(c) compensation of Trustees of the Fund who are
not directors, officers, partners or employees of the
Administrator;
(d) registration, filing and other fees in
connection with requirements of regulatory authorities;
(e) the charges and expenses of any organizations
appointed by the Fund or the Series for custodial,
paying agent, transfer agent and plan services;
(f) charges and expenses of independent
accountants and legal counsel retained by the Fund or a
Series;
(g) out-of-pocket travel expenses incurred in
connection with on site meetings with the Series'
subadvisers that may be necessary from time to time to
enable the Administrator to provide the services
referred to in Section 2 hereof;
(h) brokers' commissions and issue and transfer
taxes chargeable to the Fund or a Series in connection
with securities transactions to which the Fund or the
Series is a part;
(i) taxes and fees payable by the Fund or a
Series to federal, state or other governmental
agencies;
(j) any cost of certificates representing shares
of the Fund or the Series;
(k) fees payable to governmental entities in
connection with the affairs of the Fund or the Series,
including registering and qualifying shares of the
Series with federal and state regulatory authorities;
(l) expenses of meetings of shareholders and
Trustees of the Fund; and
(m) interest, including interest on borrowings by
the Fund or the Series.
5. The services of the Administrator to the Adviser
hereunder are not to be deemed exclusive and the Administrator
shall be free to render similar services to others, so long as
its services hereunder are not impaired thereby.
6. As full compensation for all services rendered,
facilities furnished and expenses borne by the Administrator
hereunder, the Adviser shall pay the Administrator compensation
as set forth in Exhibit A hereto, as shall be amended from time
to time by agreement of the parties. Such compensation shall be
calculated and payable monthly in arrears. If, however, the
Administrator ceases to furnish to the Series the services of
counsel described in Section 2(a) hereof, such payments by the
Adviser to the Administrator shall be reduced by 25% to reflect
the decrease in services.
7. It is understood that any of the shareholders, trustees,
officers, employees and agents of the Fund may be a partner,
shareholder, director, officer, employee or agent of, or be
otherwise interested in, the Administrator, any affiliated person
of the Administrator, any organization in which the Administrator
may have an interest or any organization which may have an
interest in the Fund or the Series; and that the existence of any
such dual interest shall not affect the validity hereof or of any
transactions hereunder except as otherwise provided in the
Agreement and Declaration of Trust of the Fund and the
partnership agreement of the Administrator, respectively, or by
specific provisions of applicable law.
8. This Agreement shall become effective as of the date of
its execution, and
(a) unless otherwise terminated, this Agreement
shall continue in effect until December 31, 1996, and
from year to year thereafter, unless terminated as
provided below.
(b) commencing January 1, 1997, this Agreement
may be terminated by either party upon one hundred
twenty (120) days written notice to the other party.
(c) if the Administrator or the Adviser requires
the Fund or a Series to change its name so as to
eliminate all references to "New England" pursuant to
the provisions of the Fund's Distribution Agreement
relating to the Series with New England Securities
Corporation, then this Agreement shall automatically
terminate at the time of such change unless the
continuance of this Agreement after such change shall
have been specifically approved by the Administrator.
Termination of this Agreement pursuant to this section 7
shall be without payment of any penalty.
9. References in this Agreement to any assets, property or
liabilities "belonging to" the Fund or a Series shall have the
meaning defined in the Fund's Agreement and Declaration of Trust
as amended from time to time.
10. In the absence of willful misfeasance, bad faith or
gross negligence on the part of the Administrator, or reckless
disregard of its obligations and duties hereunder, neither the
Administrator nor any of its officers, directors, partners,
employees or agents shall be subject to any liability to the
Adviser, the Fund or the Series, to any shareholder of the Fund
or the Series or to any other firm or organization, for any act
or omission in the course of, or connected with, rendering
services hereunder. Except as set forth in Section 3 herein, the
Administrator shall have no obligation to evaluate the
performance of the Series' advisers or sub-advisers or their
compliance with any investment restrictions or policies under
their agreements with the Fund, the Series or the Adviser, any
applicable law or regulation or as set forth in the Fund's
registration statement, and shall not be subject to any liability
to the Adviser, any adviser or sub-adviser, the Fund or the
Series, to any shareholder of the Fund or the Series or to any
other firm or organization, for any act or omission by any of the
advisers or sub-advisers to the Series. The Adviser shall hold
harmless and indemnify the Administrator for any loss, liability,
cost, damage or expense (including reasonable attorneys' fees and
costs) arising from any claim or demand by any past or present
shareholder of the Series that is not based upon the obligations
of the Administrator with respect to the Series under this
Agreement.
IN WITNESS WHEREOF, the parties hereto have executed this
Agreement on the day and year first above written.
NEW ENGLAND FUNDS, L.P. TNE ADVISERS, INC.
By: _________________________ By:________________________
Title: ________________________ Title:_______________________
<PAGE>
EXHIBIT A
Minimum Fee Per Fund: $10,000
Asset Level Fee
Rate*
Up to $50,000,000 .050%
Between $50 and .040%
$100,000,000
Between $100 and .035%
$200,000,000
Between $200 and .030%
$300,000,000
In excess of $300,000,000 .020%
* as a % of average daily net assets, calculated and
payable monthly
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 01
<NAME> BOND INCOME
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 132,899,465
<INVESTMENTS-AT-VALUE> 124,064,689
<RECEIVABLES> 2,787,402
<ASSETS-OTHER> 6,662
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 126,858,753
<PAYABLE-FOR-SECURITIES> 535,624
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 89,512
<TOTAL-LIABILITIES> 625,136
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 137,367,398
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (2,295,333)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (8,838,448)
<NET-ASSETS> 126,233,617
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 9,278,362
<OTHER-INCOME> 0
<EXPENSES-NET> 570,027
<NET-INVESTMENT-INCOME> 8,708,335
<REALIZED-GAINS-CURRENT> (2,245,611)
<APPREC-INCREASE-CURRENT> (10,925,944)
<NET-CHANGE-FROM-OPS> (4,463,220)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (8,703,842)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 493,361
<NUMBER-OF-SHARES-REDEEMED> (499,476)
<SHARES-REINVESTED> 90,987
<NET-CHANGE-IN-ASSETS> 84,872
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 515,084
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 570,027
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 106.14
<PER-SHARE-NII> 7.05
<PER-SHARE-GAIN-APPREC> (10.61)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (7.05)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 95.53
<EXPENSE-RATIO> 0.44
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 2
<NAME> CAPITAL GROWTH
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 656,076,093
<INVESTMENTS-AT-VALUE> 668,216,575
<RECEIVABLES> 34,366,835
<ASSETS-OTHER> 4,844
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 702,588,254
<PAYABLE-FOR-SECURITIES> 35,033,496
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 428,057
<TOTAL-LIABILITIES> 35,461,553
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 654,707,480
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 278,739
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 12,140,482
<NET-ASSETS> 667,126,701
<DIVIDEND-INCOME> 15,104,209
<INTEREST-INCOME> 236,191
<OTHER-INCOME> 0
<EXPENSES-NET> 4,491,411
<NET-INVESTMENT-INCOME> 10,848,989
<REALIZED-GAINS-CURRENT> 18,279,890
<APPREC-INCREASE-CURRENT> (79,261,045)
<NET-CHANGE-FROM-OPS> (50,132,166)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,566,409)
<DISTRIBUTIONS-OF-GAINS> (19,094,533)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 773,701
<NUMBER-OF-SHARES-REDEEMED> (562,304)
<SHARES-REINVESTED> 92,255
<NET-CHANGE-IN-ASSETS> 303,652
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 808,310
<OVERDISTRIB-NII-PRIOR> (1,766)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 4,396,663
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4,491,411
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 351.63
<PER-SHARE-NII> 5.28
<PER-SHARE-GAIN-APPREC> (30.54)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (14.07)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 312.30
<EXPENSE-RATIO> 0.67
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 3
<NAME> MONEY MARKET
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 72,659,440
<INVESTMENTS-AT-VALUE> 72,659,440
<RECEIVABLES> 2,073,795
<ASSETS-OTHER> 33,359
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 74,766,594
<PAYABLE-FOR-SECURITIES> 434,608
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 371,593
<TOTAL-LIABILITIES> 806,201
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 73,960,393
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 73,960,393
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2,880,474
<OTHER-INCOME> 0
<EXPENSES-NET> 266,258
<NET-INVESTMENT-INCOME> 2,614,216
<REALIZED-GAINS-CURRENT> (10)
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 2,614,206
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (2,614,206)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,494,783
<NUMBER-OF-SHARES-REDEEMED> (1,370,077)
<SHARES-REINVESTED> 24,460
<NET-CHANGE-IN-ASSETS> 149,166
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 231,326
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 266,258
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 100.00
<PER-SHARE-NII> 3.89
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 3.89
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 100.00
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 4
<NAME> STOCK INDEX
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 35,972,627
<INVESTMENTS-AT-VALUE> 38,195,667
<RECEIVABLES> 133,935
<ASSETS-OTHER> 156
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 38,329,758
<PAYABLE-FOR-SECURITIES> 1,119,409
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 46,061
<TOTAL-LIABILITIES> 1,165,470
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 35,075,178
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (133,930)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,223,040
<NET-ASSETS> 37,164,288
<DIVIDEND-INCOME> 933,449
<INTEREST-INCOME> 37,762
<OTHER-INCOME> 0
<EXPENSES-NET> 109,465
<NET-INVESTMENT-INCOME> 861,746
<REALIZED-GAINS-CURRENT> 85,627
<APPREC-INCREASE-CURRENT> (489,644)
<NET-CHANGE-FROM-OPS> 457,729
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (861,687)
<DISTRIBUTIONS-OF-GAINS> (74,418)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 241,694
<NUMBER-OF-SHARES-REDEEMED> (138,029)
<SHARES-REINVESTED> 12,767
<NET-CHANGE-IN-ASSETS> 116,432
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (2,244)
<OVERDIST-NET-GAINS-PRIOR> (133,962)
<GROSS-ADVISORY-FEES> 77,350
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 115,210
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 76.48
<PER-SHARE-NII> 1.80
<PER-SHARE-GAIN-APPREC> (0.92)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (2.01)
<RETURNS-OF-CAPITAL> 0.03
<PER-SHARE-NAV-END> 75.35
<EXPENSE-RATIO> 0.33
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 5
<NAME> MANAGED
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 114,977,011
<INVESTMENTS-AT-VALUE> 121,257,950
<RECEIVABLES> 1,154,083
<ASSETS-OTHER> 821
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 122,412,854
<PAYABLE-FOR-SECURITIES> 363,565
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 171,957
<TOTAL-LIABILITIES> 535,522
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 116,866,670
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 85
<ACCUMULATED-NET-GAINS> (1,189,837)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 6,200,414
<NET-ASSETS> 121,877,332
<DIVIDEND-INCOME> 2,293,007
<INTEREST-INCOME> 3,259,433
<OTHER-INCOME> 0
<EXPENSES-NET> 666,614
<NET-INVESTMENT-INCOME> 4,885,826
<REALIZED-GAINS-CURRENT> (1,227,890)
<APPREC-INCREASE-CURRENT> (4,971,428)
<NET-CHANGE-FROM-OPS> (1,313,492)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,847,688)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 285,556
<NUMBER-OF-SHARES-REDEEMED> (271,720)
<SHARES-REINVESTED> 37,014
<NET-CHANGE-IN-ASSETS> 50,850
<ACCUMULATED-NII-PRIOR> 6,388
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 613,249
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 666,614
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 137.18
<PER-SHARE-NII> 5.42
<PER-SHARE-GAIN-APPREC> (6.92)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (5.38)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 130.30
<EXPENSE-RATIO> 0.54
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 6
<NAME> AVANTI GROWTH
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 23,610,950
<INVESTMENTS-AT-VALUE> 24,758,495
<RECEIVABLES> 958,095
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 25,716,590
<PAYABLE-FOR-SECURITIES> 65,983
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 28,347
<TOTAL-LIABILITIES> 94,330
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 24,904,563
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (429,848)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,147,545
<NET-ASSETS> 25,622,260
<DIVIDEND-INCOME> 197,521
<INTEREST-INCOME> 96,281
<OTHER-INCOME> 0
<EXPENSES-NET> 160,577
<NET-INVESTMENT-INCOME> 133,225
<REALIZED-GAINS-CURRENT> (429,848)
<APPREC-INCREASE-CURRENT> 522,519
<NET-CHANGE-FROM-OPS> 225,896
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (134,491)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 219,339
<NUMBER-OF-SHARES-REDEEMED> (98,649)
<SHARES-REINVESTED> 1,197
<NET-CHANGE-IN-ASSETS> 121,887
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 132,596
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 166,395
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 113.67
<PER-SHARE-NII> 0.59
<PER-SHARE-GAIN-APPREC> (0.89)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> 0.60
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 112.77
<EXPENSE-RATIO> 0.84
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 7
<NAME> VALUE GROWTH
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 22,104,858
<INVESTMENTS-AT-VALUE> 22,847,876
<RECEIVABLES> 116,855
<ASSETS-OTHER> 623
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 22,965,354
<PAYABLE-FOR-SECURITIES> 4,066
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 27,126
<TOTAL-LIABILITIES> 31,192
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 22,825,162
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (634,018)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 743,018
<NET-ASSETS> 22,934,162
<DIVIDEND-INCOME> 485,850
<INTEREST-INCOME> 41,087
<OTHER-INCOME> 0
<EXPENSES-NET> 138,947
<NET-INVESTMENT-INCOME> 387,990
<REALIZED-GAINS-CURRENT> (633,620)
<APPREC-INCREASE-CURRENT> 298,917
<NET-CHANGE-FROM-OPS> 53,287
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (387,990)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (9,110)
<NUMBER-OF-SHARES-SOLD> 212,075
<NUMBER-OF-SHARES-REDEEMED> (86,227)
<SHARES-REINVESTED> 3,631
<NET-CHANGE-IN-ASSETS> 129,479
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (315)
<OVERDIST-NET-GAINS-PRIOR> (398)
<GROSS-ADVISORY-FEES> 111,827
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 145,371
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 112.32
<PER-SHARE-NII> 1.90
<PER-SHARE-GAIN-APPREC> (3.25)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (1.94)
<RETURNS-OF-CAPITAL> 0.02
<PER-SHARE-NAV-END> 109.03
<EXPENSE-RATIO> 0.85
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 8
<NAME> SMALL CAP
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 3,445,521
<INVESTMENTS-AT-VALUE> 3,404,150
<RECEIVABLES> 144,995
<ASSETS-OTHER> 2,366
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,551,511
<PAYABLE-FOR-SECURITIES> 421,483
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 25,151
<TOTAL-LIABILITIES> 446,634
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,148,102
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,854)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (41,371)
<NET-ASSETS> 3,104,877
<DIVIDEND-INCOME> 9,128
<INTEREST-INCOME> 8,840
<OTHER-INCOME> 0
<EXPENSES-NET> 13,485
<NET-INVESTMENT-INCOME> 4,483
<REALIZED-GAINS-CURRENT> 455
<APPREC-INCREASE-CURRENT> (41,371)
<NET-CHANGE-FROM-OPS> (36,433)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,709)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 95,218
<NUMBER-OF-SHARES-REDEEMED> (63,128)
<SHARES-REINVESTED> 49
<NET-CHANGE-IN-ASSETS> 32,139
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (4,182)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 31,152
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 100.00
<PER-SHARE-NII> 0.14
<PER-SHARE-GAIN-APPREC> (3.38)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.15)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 96.61
<EXPENSE-RATIO> 1.00
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 9
<NAME> BALANCED
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 3,107,956
<INVESTMENTS-AT-VALUE> 3,106,120
<RECEIVABLES> 112,992
<ASSETS-OTHER> 874
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,219,986
<PAYABLE-FOR-SECURITIES> 488,822
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 8,822
<TOTAL-LIABILITIES> 497,644
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,723,927
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 251
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,836)
<NET-ASSETS> 2,722,342
<DIVIDEND-INCOME> 4,508
<INTEREST-INCOME> 10,486
<OTHER-INCOME> 0
<EXPENSES-NET> 2,409
<NET-INVESTMENT-INCOME> 12,585
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> (1,836)
<NET-CHANGE-FROM-OPS> 10,749
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (12,334)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 217,577
<NUMBER-OF-SHARES-REDEEMED> (44,926)
<SHARES-REINVESTED> 1,242
<NET-CHANGE-IN-ASSETS> 173,893
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (6,167)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,560
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.05
<PER-SHARE-GAIN-APPREC> (0.06)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.05)
<RETURNS-OF-CAPITAL> 0
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<EXPENSE-RATIO> 0.85
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<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 10
<NAME> INTERNATIONAL EQUITY
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 2,445,045
<INVESTMENTS-AT-VALUE> 2,502,565
<RECEIVABLES> 25,070
<ASSETS-OTHER> 685,585
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<TOTAL-ASSETS> 3,213,220
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<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 13,142
<TOTAL-LIABILITIES> 224,003
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,931,029
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (323)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 58,511
<NET-ASSETS> 2,989,217
<DIVIDEND-INCOME> 768
<INTEREST-INCOME> 10,480
<OTHER-INCOME> 0
<EXPENSES-NET> 3,605
<NET-INVESTMENT-INCOME> 7,643
<REALIZED-GAINS-CURRENT> (2,176)
<APPREC-INCREASE-CURRENT> 58,511
<NET-CHANGE-FROM-OPS> 63,978
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (5,791)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> (2,628)
<NUMBER-OF-SHARES-SOLD> 355,009
<NUMBER-OF-SHARES-REDEEMED> 828
<SHARES-REINVESTED> (163,731)
<NET-CHANGE-IN-ASSETS> 192,106
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (8,816)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 14,917
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<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> 0.23
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.03)
<RETURNS-OF-CAPITAL> 0.01
<PER-SHARE-NAV-END> 10.23
<EXPENSE-RATIO> 1.30
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</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 11
<NAME> U.S. GOVERNMENT
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 2,112,155
<INVESTMENTS-AT-VALUE> 2,111,059
<RECEIVABLES> 24,522
<ASSETS-OTHER> 39
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,135,620
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<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 123,929
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,019,034
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (6,247)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (1,096)
<NET-ASSETS> 2,011,691
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 21,376
<OTHER-INCOME> 0
<EXPENSES-NET> 2,342
<NET-INVESTMENT-INCOME> 19,034
<REALIZED-GAINS-CURRENT> (6,247)
<APPREC-INCREASE-CURRENT> (1,096)
<NET-CHANGE-FROM-OPS> 11,691
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (20,000)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 111,982
<NUMBER-OF-SHARES-REDEEMED> (111,982)
<SHARES-REINVESTED> 2,008
<NET-CHANGE-IN-ASSETS> 2,008
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (4,323)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 8,505
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.10
<PER-SHARE-GAIN-APPREC> (0.04)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.10)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.96
<EXPENSE-RATIO> 0.70
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 12
<NAME> STRATEGIC EQUITY OPP
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 3,268,053
<INVESTMENTS-AT-VALUE> 3,213,457
<RECEIVABLES> 272,720
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<OTHER-ITEMS-ASSETS> 0
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<PAYABLE-FOR-SECURITIES> 26,934
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 9,486
<TOTAL-LIABILITIES> 36,420
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,540,922
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (36,161)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (54,596)
<NET-ASSETS> 3,450,165
<DIVIDEND-INCOME> 2,097
<INTEREST-INCOME> 6,473
<OTHER-INCOME> 0
<EXPENSES-NET> 2,218
<NET-INVESTMENT-INCOME> 6,352
<REALIZED-GAINS-CURRENT> (23,730)
<APPREC-INCREASE-CURRENT> (17,804)
<NET-CHANGE-FROM-OPS> (35,182)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (7,425)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 227,857
<NUMBER-OF-SHARES-REDEEMED> (133,908)
<SHARES-REINVESTED> 791
<NET-CHANGE-IN-ASSETS> 94,740
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (13,895)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 17,803
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (0.50)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.04)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.49
<EXPENSE-RATIO> 1.05
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 13
<NAME> VENTURE VALUE
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 3,325,074
<INVESTMENTS-AT-VALUE> 3,301,731
<RECEIVABLES> 39,781
<ASSETS-OTHER> 143,025
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 3,484,537
<PAYABLE-FOR-SECURITIES> 102,666
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 10,427
<TOTAL-LIABILITIES> 113,093
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,394,787
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (23,343)
<NET-ASSETS> 3,371,444
<DIVIDEND-INCOME> 5,819
<INTEREST-INCOME> 5,373
<OTHER-INCOME> 0
<EXPENSES-NET> 2,740
<NET-INVESTMENT-INCOME> 8,452
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> (23,343)
<NET-CHANGE-FROM-OPS> (14,891)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,908)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 397,102
<NUMBER-OF-SHARES-REDEEMED> (147,540)
<SHARES-REINVESTED> 1,030
<NET-CHANGE-IN-ASSETS> 250,592
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (7,076)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 12,079
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.03
<PER-SHARE-GAIN-APPREC> (0.38)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.03)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.62
<EXPENSE-RATIO> 0.90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 14
<NAME> EQUITY GROWTH
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 2,083,167
<INVESTMENTS-AT-VALUE> 2,004,550
<RECEIVABLES> 72,570
<ASSETS-OTHER> 23
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2,077,143
<PAYABLE-FOR-SECURITIES> 153,414
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,813
<TOTAL-LIABILITIES> 160,227
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,003,466
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (7,936)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (78,617)
<NET-ASSETS> 1,916,913
<DIVIDEND-INCOME> 3,635
<INTEREST-INCOME> 2,541
<OTHER-INCOME> 0
<EXPENSES-NET> 2,709
<NET-INVESTMENT-INCOME> 3,467
<REALIZED-GAINS-CURRENT> (7,937)
<APPREC-INCREASE-CURRENT> (78,617)
<NET-CHANGE-FROM-OPS> (83,087)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (4,000)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 220,620
<NUMBER-OF-SHARES-REDEEMED> (220,620)
<SHARES-REINVESTED> 421
<NET-CHANGE-IN-ASSETS> 421
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (3,776)
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 8,716
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.02
<PER-SHARE-GAIN-APPREC> (0.44)
<PER-SHARE-DIVIDEND> 0
<PER-SHARE-DISTRIBUTIONS> (0.02)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.56
<EXPENSE-RATIO> 0.85
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 15
<NAME> STRATEGIC BOND OPP
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> DEC-31-1994
<PERIOD-END> DEC-31-1994
<INVESTMENTS-AT-COST> 2,048,397
<INVESTMENTS-AT-VALUE> 2,030,492
<RECEIVABLES> 120,346
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<TOTAL-ASSETS> 2,180,676
<PAYABLE-FOR-SECURITIES> 316,488
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 16,173
<TOTAL-LIABILITIES> 332,661
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,889,602
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (132)
<ACCUMULATED-NET-GAINS> (23,651)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (17,804)
<NET-ASSETS> 1,848,015
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 45,884
<OTHER-INCOME> 0
<EXPENSES-NET> 4,962
<NET-INVESTMENT-INCOME> 40,922
<REALIZED-GAINS-CURRENT> (36,161)
<APPREC-INCREASE-CURRENT> (54,596)
<NET-CHANGE-FROM-OPS> (49,835)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (42,000)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 106,727
<NUMBER-OF-SHARES-REDEEMED> (106,727)
<SHARES-REINVESTED> 4,325
<NET-CHANGE-IN-ASSETS> 4,325
<ACCUMULATED-NII-PRIOR> 0
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<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> (3,005)
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<GROSS-EXPENSE> 11,761
<AVERAGE-NET-ASSETS> 0
<PER-SHARE-NAV-BEGIN> 10.00
<PER-SHARE-NII> 0.12
<PER-SHARE-GAIN-APPREC> (0.26)
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<PER-SHARE-DISTRIBUTIONS> (0.12)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.74
<EXPENSE-RATIO> 0.85
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</TABLE>