<PAGE>
- -------------------------------------------------
Q UANTITATIVE GROUP OF FUNDS
- -----
U.S. EQUITY FUNDS
Quantitative Numeric Fund
Quantitative Numeric II Fund
Quantitative Disciplined Growth Fund
Quantitative Growth and Income Fund
INTERNATIONAL EQUITY FUNDS
Quantitative International Equity Fund
Quantitative Foreign Frontier Fund
ANNUAL REPORT
March 31, 1996
<PAGE>
[LOGO OF QUANTITATIVE GROUP
APPEARS HERE]
May 1996
Dear Fellow Shareholder:
I am pleased to provide you with the annual report of the Quantitative Group
of Funds. Fiscal year 1996 (April 1, 1995 through March 31, 1996) was a very
successful period for the United States equity markets, and investors in each
of our domestic funds enjoyed returns of at least 20%. The developed and emerg-
ing international markets generated positive results, but fared relatively less
well over this period.
The following pages set forth the returns of each of your funds, as well as
an analysis of each fund's performance. Since your funds are quantitatively
managed, they may impose greater controls over risk than traditionally managed
mutual funds. In addition, the systematic nature of the quantitative investment
process limits the degree of subjectivity involved in the decisions to purchase
or sell securities and enables the funds to retain their successful strategies
while avoiding their shortcomings in the next year. Each of the funds also ben-
efits from continued research in an effort to improve the investment process.
Over the past year, we have undertaken to improve our services to sharehold-
ers by purchasing new systems that will allow us to reformat and streamline our
shareholder statements, to supply more frequent information about our funds,
and by developing other means of communicating with shareholders to provide
further information about the investment process for individual funds, as well
as information about topics of general interest. In the upcoming year, we will
continue these efforts.
We appreciate the continued confidence you have shown in us. We are
available at any time to answer questions and provide assistance.
Sincerely,
/s/ Edward L. Pittman
Edward L. Pittman
President
Quantitative Group of Funds 55 Old Bedford Road Lincoln, MA 01773 (800) 331-1244
Distributed by U. S. Boston Capital Corporation
<PAGE>
[LOGO OF QUANTITATIVE GROUP
- --------------------------------------------------- OF FUNDS APPEARS HERE]
PERFORMANCE AND PORTFOLIO OVERVIEW AS OF MARCH 31, 1996
A WORD ABOUT INDICES
- -------------------------------------------------------------------------------
Along with the discussion of each portfolio's performance, we have included a
comparison with an appropriate benchmark index. In addition, we have also pro-
vided for you a comparison to the relevant index of mutual funds classified as
having similar investment objectives to your fund as computed by Lipper Ana-
lytical Services, Inc. (Lipper).
Although the S&P 500 Index is the most commonly used benchmark for many per-
formance comparisons, it is not appropriate for all investment strategies. The
index generally is comprised of the largest 500 companies in the United States
(and some foreign corporations). However, because it is weighted by market
capitalizations, the returns of the index tend to be dominated by the perfor-
mance of the largest 100 companies.
To address this issue, Standard & Poor's also publishes an index, the S&P 400
index, which provides performance for the S&P 500 minus the largest 100 compa-
nies. This index commonly is used for comparison of the returns of "middle
capitalization" companies. In addition, the Frank Russell Company publishes
several indices representing additional segments of the stock market. The Rus-
sell 2000 index often is used for comparison of the performance of small capi-
talization stocks. This index excludes the 1000 largest companies in the
United States, and is comprised of the next 2000 companies by market capital-
ization.
For comparison of international returns in developed countries, we use the
Morgan Stanley Europe, Australia, and Far East ("EAFE") Index. This index
presently is comprised of stocks in 21 countries other than the United States.
Because the index is weighted by market capitalization of the individual coun-
tries, the returns of Japanese stocks expressed in dollars account for 40% of
its return, while the next largest components, the United Kingdom and Germany,
represent only 16% and 7%, respectively. Thus, the performance of a fund rela-
tive to this benchmark may heavily be influenced by the amount of its holdings
in these countries.
Finally, a commonly used comparison for the stocks of emerging markets is the
International Finance Corporation's ("IFC") Investable Composite Index. The
IFC is a member of the World Bank Group and publishes this index, which is
comprised of approximately 1,100 stocks in 27 countries. As with the EAFE In-
dex discussed above, the returns of two markets, South Africa (26%) and Malay-
sia (19%), account for a significant portion of the index's performance.
- --------------------------------------------------------------------------------
1
<PAGE>
[LOGO OF QUANTITATIVE GROUP
OF FUNDS APPEARS HERE] -------------------------------------------------------
QUANTITATIVE NUMERIC FUND
- ----------------------------------------
FUND OVERVIEW
The Quantitative Numeric Fund is a small company fund that invests primarily
in smaller, rapidly growing companies with less than one billion dollars in
market capitalization, although it may also purchase securities of larger com-
panies with favorable expected growth rates. The Fund is managed using a quan-
titative investment model that examines companies primarily on the basis of
two factors: analysts' earnings estimate revisions and fair value. Stocks with
the highest combined ranking are candidates for purchase.
During the twelve-month period from April 1995 to March 1996, the Fund pro-
duced a return of 34.25% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 29.08% return for its bench-
mark, the Russell 2000 Index, and a return of 31.25% for the average small
company fund, according to Lipper.
A steep drop in interest rates coupled with outstanding corporate earnings fu-
eled the favorable returns for the U.S. market over the last twelve months.
These factors particularly benefited the earnings estimate revisions portion
of the Fund's investment process, which works best in stable economic environ-
ments. The fair value component of the process also performed well during the
period. Overweighting in technology, particularly in the first half of the pe-
riod, and in both cyclical and non-cyclical consumer stocks, contributed to
the Fund's returns exceeding its benchmark. The overweighting in technology,
along with underweighting in financial and industrial stocks, hurt the Fund's
performance over the latter part of the period, however, as the market began
to sour on technology offerings. The Fund also participated to a very limited
extent in the bullish initial public offering (IPOs) market during the period,
which added approximately one percent to the Fund's returns./1/
John C. Bogle, Jr., CFA
Numeric Investors L.P.
1 President's/Note: Participation in IPOs is left to the discretion of each
manager in the Fund Group, with the understanding that the positions will
not become a significant percentage (not collectively greater than 5%) of a
portfolio at the time of purchase, and that a disciplined, generally value-
oriented process, will be used to sell any positions that are acquired.
- -------------------------------
Value of $10,000 Invested in Quantitative Numeric Ordinary Shares Vs. Russell
2000*
<TABLE>
<CAPTION>
Year Quantitative Numeric Russell 2000
<S> <C> <C>
1993 10,000 10,000
1993 10,220 10,230
1993 12,870 11,760
1993 14,120 12,260
1993 14,850 12,530
1993 16,790 13,620
1994 16,590 13,980
1994 16,630 13,610
1994 15,300 13,080
1994 17,210 13,990
1995 17,300 13,720
1995 18,330 14,360
1995 19,860 15,700
1995 23,413 17,253
1996 23,118 17,627
1996 24,369 18,533
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
Shares 1 Year 5 Years Since Inception
<S> <C> <C> <C>
Ordinary 32.91% -- 27.54%(8/3/92)*
Institutional 34.89% -- 22.86%(1/6/93)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Technology 29%
Financials 6%
Industrials 10%
Utilities 2%
Cons. Non-Cycl. 16%
Basic Ind. 6%
Cons. Cycl. 21%
Energy 4%
Other 6%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 109
Dollars invested $115 million
Average Market Cap $995 million
</TABLE>
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2
<PAGE>
[LOGO OF QUANTITATIVE GROUP
- ---------------------------------------------------- OF FUNDS APPEARS HERE]
QUANTITATIVE NUMERIC II FUND
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The Quantitative Numeric II Fund invests primarily in common stocks of compa-
nies with medium market capitalizations, generally one billion to five billion
dollars. The Fund employs an investment strategy similar to that used by its
older sibling, the Quantitative Numeric Fund, but limits sector exposure to
+/- 5% of its benchmark, the S&P 400 Index.
During the twelve-month period from April 1995 to March 1996, the Fund pro-
duced a return of 33.01% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 28.49% return for its bench-
mark, the S&P 400 Index and a 30.15% return for the average mid cap stock fund
according to Lipper. The performance of mid cap stocks over the period, as
measured by the Index, was within a percentage point of the returns for
smaller companies, as measured by the Russell 2000 Index.
Due to the similarity of the investment models used by the two Quantitative
Numeric Funds, the returns for the Quantitative Numeric II Fund were influ-
enced by many of the same factors as affected the Quantitative Numeric Fund.
The general small cap market benefited from a combination of lower interest
rates and strong corporate earnings announcements. Economic stability enhanced
the performance of the earnings estimate revisions portion of the Fund's in-
vestment model.
Over the past year the Fund had limited over- or underweights in certain eco-
nomic sectors relative to its benchmark index. This occurred when the invest-
ment model found clusters of similar stocks with particularly attractive at-
tributes. The Fund benefited from overweighted positions in energy and con-
sumer noncyclical stocks and was hurt by underweighted positions in industrial
and technology stocks.
John C. Bogle, Jr., CFA
Numeric Investors L.P./2/
2 President's/Note: Numeric Investors, L.P., will be replaced as portfolio
manager of the Quantitative Numeric and Quantitative Numeric II Funds this
summer. They have ably guided the fund, and we wish them well in their fu-
ture endeavors.
- -------------------------------
Value of $10,000 Invested in Quantitative Numeric II Ordinary Shares Vs. S&P
400*
<TABLE>
<CAPTION>
Year Quantitative Numeric II S&P 400
<S> <C> <C>
1995 10,000 10,000
1995 10,120 10,132
1995 11,120 11,016
1995 12,270 12,091
1996 12,665 12,262
1996 13,325 13,018
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
Shares 1 Year 5 Years Since Inception
<S> <C> <C> <C>
Ordinary 31.68% -- 32.15%(3/21/95)*
Institutional -- -- 31.12%(4/17/95)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Cons. Cycl. 13%
Basic Ind. 4%
Industrials 12%
Other 4%
Technology 17%
Cons. Non-Cycl. 15%
Financials 13%
Utilities 17%
Energy 5%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 79
Dollars Invested $10.6 million
Median Market Cap $ 2.4 billion
</TABLE>
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3
<PAGE>
[LOGO FO QUANTITATIVE GROUP
OF FUNDS APPEARS HERE] -------------------------------------------------------
QUANTITATIVE DISCIPLINED GROWTH FUND
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FUND OVERVIEW
The Quantitative Disciplined Growth Fund searches for investment opportunities
primarily among common stocks of companies with small or medium capitaliza-
tions. The Fund employs a proprietary artificial intelligence model to analyze
potential investments. To limit risk, the Fund generally has stayed close to
the sector concentrations and capitalization range of its benchmark index.
During the twelve-month period from April 1995 to March 1996, the Fund pro-
duced a return of 22.18% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 29.08% return for its bench-
mark, the Russell 2000 Index, and a return of 31.25% for the average small
company fund, according to Lipper.
Small cap stocks, while outperforming both large and mid cap stocks for the
first half of the period, trailed large cap stocks for the year despite gener-
ating fine returns. The main difference in the performance of the two classes
can be traced to the fourth quarter of 1995. As signs of a slowing domestic
economy became more evident during this quarter, the market placed less value
on corporate earnings. Small cap stocks, which are generally more reliant on
domestic economic strength, were hit harder than larger stocks.
The market over the past year favored newer companies, as exemplified by the
strong initial public offering market and the performance of many less sea-
soned technology companies. Although the Fund's performance was aided by par-
ticipation in one IPO, the overall effect of this market phenomenon was detri-
mental to the Fund, whose investment model favored seasoned companies with
longer operating histories.
During the first quarter of 1996, economically sensitive stocks rebounded
strongly under the premise of a re-acceleration in domestic activity. The
Fund's investment model does not indicate that the economy is in the process
of material strengthening and as a result the Fund's portfolio, like the
Growth and Income Fund, had a generally defensive bias in its holdings, pre-
ferring companies that were less vulnerable to economic cycles. Although this
approach did not succeed in the short term, we have faith in the model and be-
lieve that the Fund is in the position to benefit from a changing investor
perspective. We also have implemented, late in the period, a program that at-
tempts to identify industries that are best positioned to provide favorable
returns, rather than just focusing on individual stocks.
Dean Barr and Doug Case, CFA
LBS Capital Management, Inc.
- -------------------------------
Value of $10,000 Invested in Quantitative Disciplined Growth
Ordinary Shares Vs. Russell 2000*
<TABLE>
<CAPTION>
Year Quantitive Displined Growth Russell 2000
<S> <C> <C>
1995 10,000 10,000
1995 10,228 10,171
1995 10,734 11,124
1995 11,657 12,223
1996 12,441 12,458
1996 12,395 13,130
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
Shares 1 Year 5 Years Since Inception
<S> <C> <C> <C>
Ordinary 20.96% -- 21.90%(3/1/95)*
Institutional -- -- 11.97%(7/26/95)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Industrials 16%
Other 10%
Technology 22%
Energy 6%
Cons. Non-Cycl. 19%
Utilities 4%
Financials 15%
Cons. Cycl. 2%
Basic Ind. 6%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 83
Dollars Invested $1.9 million
Median Market Cap $780 million
</TABLE>
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4
<PAGE>
[LOGO OF QUANTITATIVE GROUP
- ---------------------------------------------------- OF FUNDS APPEARS HERE]
QUANTITATIVE GROUP OF FUNDS
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QUANTITATIVE GROWTH AND INCOME FUND
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FUND OVERVIEW
The Growth and Income Fund is designed to serve as a core domestic stock fund,
focusing on investment opportunities among larger companies. The Fund employs
an investment model that measures both growth and value characteristics of
stocks within its universe of eligible investments. Sector allocations for the
Fund are similar to the S&P 500. Although the Fund invests primarily in secu-
rities of U.S. companies, it also invests in securities of foreign companies
that are included in the S&P 500. The Fund is designed to provide value
through individual stock selection.
During the twelve month period from April 1995 to March 1996, the Fund pro-
duced a return of 22.17% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 32.10% return for its bench-
mark, the S&P 500 Index, and a return of 27.73% for the average growth and in-
come fund, according to Lipper.
The large cap market, as reflected by the S&P 500 Index, saw some of its best
performance in the last twenty years during the period. The Fund produced re-
turns that would have been very favorable in most markets, but its
underperformance relative to the benchmark was the worst in its ten year his-
tory.
Both the value and growth methods used for stock selection were effective for
the first half of the period, but did not sustain themselves, with the result
that the Fund fell significantly behind its benchmark in the last quarter of
1995 and the first quarter of 1996. The value model proved detrimental to re-
turns particularly in the fourth quarter of 1995, by guiding the Fund to mid
cap stocks, while the largest stocks in the S&P 500 generated a lion's share
of the index's returns. In December, which was the worst relative month for
the fund, a mere 20 stocks accounted for 98% of the gains in the S&P 500.
The Fund's policy of equal weighted positions for diversification purposes
also adversely affected performance when compared to the S&P 500 which weights
companies by their market capitalization in measuring its returns.
In recent months, the Fund's investment model has been refined to correct the
problems shown last year without significantly incurring additional risk. The
changes include an additional focus on price-to-earnings in the value model,
more timely use of data in the growth model and an increased focus on the in-
dustries where the model has traditionally worked well, while eliminating from
consideration smaller industries where the model has been less successful in
providing insights. The Fund's goal remains to attempt to provide consistent
returns while minimizing risk for investors.
Steven Esielonis and Doug Holmes, CFA
State Street Global Advisors
- -------------------------------
Value of $10,000 Invested in Quantitative Growth and Income
Ordinary Shares Vs. S&P 500*
<TABLE>
<CAPTION>
Year Quantitative Growth & Income S&P 500
<S> <C> <C>
1986 10,000 10,000
1986 9,660 10,490
1986 11,190 12,130
1986 12,820 13,810
1986 13,430 14,630
1986 13,010 13,610
1987 13,360 14,370
1987 15,780 17,440
1987 16,350 18,320
1987 17,380 19,520
1988 13,560 15,120
1988 14,920 15,980
1988 15,690 17,050
1988 15,540 17,110
1989 15,860 17,630
1989 17,370 18,880
1989 18,880 20,540
1989 21,760 22,740
1990 21,760 23,210
1990 20,990 22,510
1990 22,570 23,930
1990 19,660 20,640
1991 21,510 22,490
1991 24,750 25,760
1991 24,240 25,700
1991 25,740 27,050
1992 27,530 29,310
1992 27,160 28,580
1992 26,860 29,120
1992 27,640 30,040
1993 29,270 31,540
1993 30,900 32,920
1993 31,220 33,080
1993 32,260 33,930
1994 32,750 34,780
1994 31,370 33,400
1994 31,210 33,540
1994 32,470 35,180
1995 32,534 35,180
1995 35,370 38,600
1995 38,178 42,290
1995 40,809 45,650
1996 41,692 48,398
1996 42,779 50,997
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
Shares 1 Year 5 Years 10 Years Inception
<S> <C> <C> <C> <C>
Ordinary 20.95% 11.58% 12.81% 14.27%(5/9/85)
Institutional 22.75% 12.34% -- 12.60%(3/25/91)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Cons. Cycl. 14%
Industrials 21%
Energy 9%
Financial 14%
Basic Ind. 5%
Cons. Staples 20%
Other 2%
Utilities 15%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 74
Dollars Invested $43.2 million
Average Market Cap $19.1 billion
</TABLE>
- --------------------------------------------------------------------------------
5
<PAGE>
[LOGO OF QUANTITATIVE GROUP
OF FUNDS APPEARS HERE] -------------------------------------------------------
QUANTITATIVE INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------
FUND OVERVIEW
The International Equity Fund searches for investment opportunities in devel-
oped foreign markets. In addition, the Fund maintains limited exposure to
emerging markets, by investing up to 10% of its assets in closed-end country
funds. The Fund's investment model emphasizes fundamental value in selecting
both the countries in which to invest and the securities within the individual
countries. The Fund seeks to reduce risk by diversifying the number of coun-
tries in which it invests, generally 10 or more, and by diversifying the num-
ber of holdings in the portfolio, generally over 100 companies.
During the twelve-month period from April 1995 to March 1996, the Fund pro-
duced a return of 6.63% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 12.38% return for its bench-
mark, the Morgan Stanley EAFE Index (an index comprised of stocks of developed
foreign countries) and a return of 16.08% for the average international fund,
according to Lipper.
In general, the major foreign equity markets were strong but their currencies
were weak. The strengthening U.S. dollar had the effect of bolstering the
stock markets with the anticipation that a stronger dollar would adversely af-
fect U.S. exports abroad. The Fund's limited investment in emerging markets
produced comparable results to the returns from the developed countrie.
Although the Fund's value-based investment strategy produced stellar relative
returns in 1994, it was less successful over the past year. The cheap stocks
favored by the strategy did not perform well. Because our research has indi-
cated that cheap stocks should outperform roughly four years out of every
five, we continue to believe that the strategy will produce attractive long
term returns.
Over the coming year, we believe that the U.S. economy may become overheated,
as reflected by the recent dramatic rise in interest rates. Most foreign econ-
omies are at points in their business cycles that are likely to favor equity
investors in the year ahead.
Lyle Davis, CFA and
David Umstead, CFA, Ph.D.
Boston International Advisors, Inc.
- -------------------------------
Value of $10,000 Invested in Quantitative International
Equity ("QIE") Ordinary Shares Vs. EAFE*
<TABLE>
<CAPTION>
Year Int. Equity EAFE
<S> <C> <C>
1988 10,000 10,000
1988 9,750 9,840
1988 8,680 8,800
1988 9,390 10,140
1988 9,700 9,700
1988 9,890 9,760
1989 11,200 11,290
1989 11,070 11,320
1989 10,970 10,620
1989 12,780 11,940
1990 13,130 12,480
1990 12,120 10,010
1990 12,690 10,970
1990 9,630 8,640
1991 9,420 9,560
1991 10,090 10,270
1991 9,540 9,710
1991 10,230 10,540
1992 10,370 10,710
1992 9,710 9,440
1992 9,950 9,640
1992 9,250 9,790
1993 8,950 9,410
1993 9,880 10,540
1993 10,500 11,600
1993 11,440 12,370
1994 11,850 12,480
1994 12,709 12,910
1994 13,333 13,570
1994 13,333 13,584
1995 12,920 13,446
1995 12,718 13,696
1995 12,984 13,797
1995 12,959 14,376
1996 13,226 14,960
1996 13,426 15,392
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
Shares 1 Year 5 Years Since Inception
<S> <C> <C> <C>
Ordinary 5.57% 5.87% 3.46% (7/31/87)
Institutional 6.95% -- (0.05)%(8/25/94)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Other Europe 15%
Other Asia 2%
Germany 16%
Australia 3%
Emerging Mkts. 8%
Other 2%
Japan 33%
UK 5%
France 11%
Italy 5%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 118
Dollars Invested $28.4 million
</TABLE>
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6
<PAGE>
[LOGO OF QUANTITATIVE GROUP
- ---------------------------------------------------- OF FUNDS APPEARS HERE]
QUANTITATIVE FOREIGN FRONTIER FUND
- -------------------------------------------------------------------------------
FUND OVERVIEW
The Foreign Frontier Fund concentrates on investment opportunities in the mar-
kets of emerging foreign countries. The Foreign Frontier Fund is diversified,
in terms of both the countries and number of holdings represented in its port-
folio. Generally, the Fund will invest in three to four geographic regions and
hold roughly equal positions in a number of countries within each region (10%
or less). The Fund's strategy is designed to generate returns based on a di-
versified participation in ten or more countries, with the individual stocks
in each country chosen to be representative of the performance of that
country's market as a whole.
During the twelve-month period from April 1995 to March 1996, the Fund pro-
duced a return of 15.75% for investors in Ordinary Shares (excluding the ef-
fects of the 1% redemption fee), compared to a 15.42% return for its bench-
mark, the International Finance Corporation Investable Composite Index, and a
return of 16.17% for the average diversified emerging markets fund, according
to Lipper.
The emerging markets rebounded strongly from the effects of Mexico's financial
crisis during the period. Brazil, Mexico, and Peru had particularly strong re-
turns, which exceeded 30%. The market which had the greatest losses over the
period was Taiwan, which declined about 25%, partly due to its volatile rela-
tionship with China.
In general, currency was a negative factor for investors in the emerging mar-
kets during the last year. Most currencies of the emerging markets depreciated
against the U.S. dollar. The median decline was about 5%. Although Turkey's
currency experienced a 40% decline against the dollar, Turkey still experi-
enced a return of 7% in its stock market after the negative impact of its cur-
rency. In fact, the only country held in the Fund which did not experience a
depreciation of its currency was Argentina, which links its currency to the
U.S. dollar.
The emerging markets provide the opportunity to invest in the most rapidly
growing economics and markets in the world. That growth translates into oppor-
tunity for investors. With the rapid growth of these markets comes volatility
and surprises. Investors need to be prepared for them and take a patient view
of opportunities in these countries. Volatility and surprise reinforce the
need for diversification. Often in the temporary turmoil of surprise come the
real opportunities for long-term investors. Patience and diversification has
rewarded investors in the emerging markets.
Lyle Davis, CFA and
David Umstead, CFA, Ph.D.
Boston International Advisors, Inc.
- -------------------------------
Value of $10,000 Invested in Quantitative Foreign Frontier
Ordinary Shares Vs. IFCI*
<TABLE>
<CAPTION>
Year Quantitative Foreign Frontier IFCI
<S> <C> <C>
1995 10,000 10,000
1995 8,213 8,299
1995 7,469 7,091
1995 8,222 7,708
1995 8,047 7,675
1996 8,026 7,605
1996 8,569 8,185
</TABLE>
<TABLE>
<CAPTION>
Average Annual Total Return*
<S> <C> <C> <C>
Shares 1 Year 5 Years Since Inception
Ordinary 14.59% -- (9.77)%(8/8/94)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<CAPTION>
<S> <C>
Thailand 8%
Portugal 5%
Indonesia 8%
Phillippines 8%
Greece 5%
Turkey 6%
Other S. America 9%
Malaysia 9%
Argentina 10%
Other 3%
Mexico 10%
South Africa 5%
Brazil 9%
Other Asia 5%
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Number of Holdings 192
Dollars Invested $7.8 million
</TABLE>
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7
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTES
These notes relate to the discussion of return information for the Funds pro-
vided on the preceding pages.
The line graphs compare the value of $10,000 invested in Ordinary Shares of the
respective funds at their commencement of investment operations with the value
of $10,000 invested in an appropriate broad-based stock index on the same date.
The graphs begin on the following dates: Quantitative Numeric--8/3/92, Quanti-
tative Numeric II--3/21/95, Quantitative Disciplined Growth--3/1/95, Quantita-
tive Growth and Income--5/9/85, Quantitative International Equity--9/1/87, and
Quantitative Foreign Frontier Fund--10/3/94. Each index reflects a group of un-
managed securities which does not bear operational or management expenses. The
indices are further described in the section entitled "A Word About Indices".
Returns on the Ordinary Shares reflect an annual 12b-1 fee of .50%. The dollar
values of an investment in the respective funds on March 31, 1996 reflect the
deduction of a one-time deferred sales charge of 1%. Returns on Institutional
Shares, which are not subject to the 12b-1 fee and the deferred sales charge,
would be higher.
The average annual total return figures assume reinvestment of all dividends
and capital gains, and when applicable, reflect the effects of a 2% expense cap
applied to the Quantitative Numeric, Quantitative Growth and Income, and Quan-
titative International Equity Funds as described in the prospectus. The average
annual total returns for the Quantitative Numeric II and Quantitative Disci-
plined Growth Funds reflect the effect of expense waivers and/or reimbursements
where applicable. If the expenses for these funds had not been subsidized, the
performance would have been lower. Returns for the Ordinary Shares reflect the
effect of the 12b-1 fee and deferred sales charge. Returns for the Institu-
tional Shares of Quantitative Numeric II and Quantitative Disciplined Growth
are for a limited period of time and are not annualized. The performance data
quoted represents past performance and may not be indicative of future perfor-
mance. The investment return and principal value of a current investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or
less than their original cost.
8
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE NUMERIC FUND
- -------------------------------------------------------------------------------
COMMON STOCK--93.7% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AIR TRAVEL--3.0%
Alaska Air Group Inc. (b) 56,000 $ 1,498,000
Comair Holdings Inc. 20,500 712,375
Continental Airlines Inc. (b) 22,200 1,251,525
------------
3,461,900
------------
APPAREL & TEXTILES--0.7%
Wolverine World Wide Inc. (with rights exp. 5/08/97) 26,900 753,200
------------
AUTO PARTS--1.0%
Lear Seating Corporation (b) 36,200 1,181,025
------------
BANKS--0.9%
Charter One Financial Inc. (with rights exp. 12/01/97) 31,500 1,063,125
------------
BUILDING CONSTRUCTION--0.6%
NCI Building Systems Inc. (b) 19,600 671,300
------------
BUSINESS SERVICES--4.3%
CDI Corporation (b) 29,000 775,750
Employee Solutions Inc. (b) 44,100 1,631,700
Olsten Corporation 37,200 1,199,700
Omnicom Group 29,400 1,323,000
------------
4,930,150
------------
CHEMICALS--2.9%
Arcadian Corporation 45,100 890,725
Cabot Corporation 36,800 1,122,400
Cytec Industries Inc. (b) 6,700 566,150
Terra Industries Inc. 54,800 705,550
------------
3,284,825
------------
COMPUTERS & BUSINESS
EQUIPMENT--10.4%
Aavid Thermal Technologies Inc. (b) 2,600 22,100
Auspex Systems Inc. (b) 102,100 1,825,037
Gateway 2000 Inc. (b) 78,300 2,182,613
Komag Inc. (b) 73,600 1,784,800
Mylex Corporation (b) 74,600 1,771,750
Proxima Corporation (b) 28,300 541,238
Seagate Technology (b) 24,500 1,341,375
Storemedia Inc. (b) 15,900 369,675
U.S. Robotics Corporation 16,000 2,068,000
------------
11,906,588
------------
CONGLOMERATES--1.2%
Harcourt General Inc. 29,400 1,334,025
------------
CONSTRUCTION & MINING EQUIPMENT--2.1%
Global Industrial Technologies Inc. (b) 38,000 912,000
JLG Industries Inc. 31,800 1,454,850
------------
2,366,850
------------
DRUGS & HEALTH CARE--15.1%
Cardinal Health Inc. 29,600 1,901,800
Coherent Inc. (b) 50,900 2,163,250
Endovascular Technologies Inc. (b) 1,300 13,000
HEALTHSOUTH Corporation (b) 45,400 1,543,600
Intelligent Medical Imaging Inc. (b) 2,500 29,375
Lincare Holdings Inc. (b) 53,900 1,751,750
MediSense Inc. (b) 60,200 2,682,662
Mentor Corporation 32,300 755,013
Orthologic Corporation (b) 50,000 1,268,750
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
DRUGS & HEALTH CARE--CONTINUED
Oxford Health Plans Inc. (b) 20,500 $ 1,798,875
Sierra Health Services Inc. (b) 27,100 884,138
Universal Health Services Inc. (b) 13,600 722,500
Watson Pharmaceuticals Inc. (b) 45,200 1,808,000
------------
17,322,713
------------
ELECTRIC UTILITIES--0.6%
Central Maine Power Company 44,000 638,000
------------
ELECTRICAL EQUIPMENT--0.7%
Tecumseh Products Company 13,200 777,150
------------
ELECTRONICS--12.0%
Accom Inc. (b) 1,300 6,500
Atmel Corporation (b) 43,500 1,109,250
C-Cube Microsystems (b) 20,400 1,071,000
Computer Products Inc. (b) 62,800 847,800
Cypress Semiconductor Corporation (b) 92,500 1,086,875
Duriron Company 45,200 1,243,000
Integrated Packaging Assembly Corporation (b) 2,500 23,750
KLA Instruments Corporation (b) (with rights exp. 3/27/99) 35,800 809,975
Lam Research Corporation (b) 13,300 465,500
MEMC Electronic Materials Inc. (b) 53,700 1,953,337
Oak Technology (b) 64,400 1,384,600
SCI Systems Inc. (b) 48,400 1,772,650
Silicon Valley Group Inc. (b) 48,400 1,179,750
Watkins-Johnson Company 19,300 689,975
Zycon Corporation (b) 1,800 19,125
Zygo Corporation (b) 2,500 97,500
------------
13,760,587
------------
FINANCIAL SERVICES--1.1%
Aames Financial Corporation 34,900 1,256,400
------------
GAS & PIPELINE UTILITIES--0.8%
Eastern Enterprises (with rights exp. 3/05/00) 26,600 944,300
------------
GAS EXPLORATION--1.2%
Belco Oil & Gas Corporation (b) 1,500 34,125
Chesapeake Energy Corporation (b) 29,100 1,345,875
------------
1,380,000
------------
HOMEBUILDERS--1.6%
Kaufman & Broad Home Corporation (with rights exp.
3/07/99) 45,600 729,600
U.S. Home Corporation New (b) 42,500 1,094,375
------------
1,823,975
------------
HOTELS AND RESTAURANTS--3.0%
Boston Chicken Inc. (b) 33,400 1,137,687
Marriot International Inc. 36,400 1,729,000
Red Roof Inns Inc. (b) 1,900 28,263
Schlotzsky's Inc. (b) 1,300 13,325
Wendy's International Inc. 31,000 561,875
------------
3,470,150
------------
INDUSTRIAL MACHINERY--0.0%
Columbus McKinnon Corporation 1,300 20,800
------------
INSURANCE--2.5%
American Bankers Insurance Group Inc. 16,000 564,000
American Travellers Corporation (b) 22,700 672,487
</TABLE>
9
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE NUMERIC FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INSURANCE--CONTINUED
Horace Mann Educators Corporation 18,300 $ 558,150
Loews Corporation 13,200 998,250
Riscorp Inc. (b) 2,500 47,500
------------
2,840,387
------------
INVESTMENT COMPANIES--1.4%
CMAC Investment Corporation 28,900 1,632,850
------------
LEISURE TIME--1.8%
MGM Grand Inc. (b) 53,500 2,053,062
------------
MISCELLANEOUS--0.0%
Childtime Learning Centers Inc. (b) 1,300 11,781
Thermo Sentron Inc. (b) 200 3,200
------------
14,981
------------
OFFICE FURNISHINGS & SUPPLIES--1.7%
Staples Inc. (b) 58,200 1,185,825
Viking Office Products Inc. (b) 14,700 817,687
------------
2,003,512
------------
PAPER/FOREST PRODUCTS--2.5%
Fort Howard Corporation (b) 57,400 1,291,500
Rayonier Inc. 42,200 1,529,750
------------
2,821,250
------------
PETROLEUM SERVICES--2.9%
Helmerich & Payne Inc. 40,700 1,373,625
Noble Drilling Corporation (b) 57,900 716,512
Tosco Corporation 25,900 1,214,062
------------
3,304,199
------------
RETAIL TRADE--8.8%
Borders Group Inc. (b) 41,200 1,174,200
CDW Computer Centers Inc. (b) 27,500 1,388,750
Chronimed Inc. (b) 35,500 714,437
CompUSA Inc. (b) 45,200 2,502,950
Gymboree Corporation (b) 34,700 906,538
Ross Stores Inc. 64,000 1,608,000
Waban Inc. (b) 31,700 832,125
Zale Corporation New (b) 55,100 947,031
------------
10,074,031
------------
SOFTWARE--5.8%
Computer Associates International Inc. 29,100 2,084,287
Epic Design Technology Inc. (b) 24,100 736,556
HNC Software Inc. (b) 4,600 312,800
INSO Corporation (b) 17,900 825,638
Isocorp (b) 1,300 11,375
JDA Software Group Inc. (b) 1,300 15,438
McAfee Associates Inc. (b) 29,200 1,598,700
Remedy Corporation (b) 16,200 915,300
Segue Software Inc. (b) 700 14,700
Ultradata Corporation (b) 8,900 84,550
Vanstar Corporation (b) 700 7,088
------------
6,606,432
------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
STEEL--0.8%
AK Steel Holding Corporation 21,900 $ 873,263
------------
TELECOMMUNICATION SERVICES--1.7%
DSP Communications Inc. (b) 58,600 1,465,000
Teltrend Inc. (b) 10,900 495,950
------------
1,960,950
------------
TELEPHONE--0.6%
ACC Corporation 23,500 696,188
------------
TOTAL COMMON STOCK
(Cost $99,262,990) (c) $107,228,168
============
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $99,444,155 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost. $10,113,019
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value. (2,329,006)
-----------
Net unrealized appreciation $ 7,784,013
===========
</TABLE>
10
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE NUMERIC II FUND
- -------------------------------------------------------------------------------
COMMON STOCK--96.1% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AIR TRAVEL--1.1%
USAir Group Inc. (b) 6,600 $ 120,450
-----------
APPAREL & TEXTILES--3.2%
Intimate Brands Inc. 6,900 133,687
Springs Industries Inc. 2,100 96,600
V. F. Corporation 2,100 116,025
-----------
346,312
-----------
BANKS--6.8%
Charter One Financial Inc. (with rights exp. 12/01/99) 4,600 155,250
CoreStates Financial Corporation 3,200 135,600
First Bank System Inc. 1,500 89,437
First Tennessee National Corporation 5,200 171,600
First Union Corporation (with rights exp. 12/28/00) 2,800 169,400
-----------
721,287
-----------
BUSINESS SERVICES--1.9%
Comdisco Inc. (with rights exp. 11/17/97) 9,050 200,231
PHH Corporation (with rights exp. 4/10/96) 100 5,562
-----------
205,793
-----------
CHEMICALS--1.9%
Eastman Chemical Company 1,600 110,600
PPG Industries Inc. (with rights exp. 4/21/98) 200 9,775
Terra Industries Inc. 6,600 84,975
-----------
205,350
-----------
COMPUTERS & BUSINESS
EQUIPMENT--8.5%
Gateway 2000 Inc. (b) 7,600 211,850
International Business Machines 1,800 200,025
Komag Inc. (b) 6,800 164,900
Seagate Technology (b) 2,000 109,500
U.S. Robotics Corporation 1,700 219,725
-----------
906,000
-----------
CONGLOMERATES--3.5%
Harcourt General Inc. 3,700 167,887
Textron Inc. 2,500 200,000
Tyco International Ltd. 200 7,150
-----------
375,037
-----------
CONTAINERS & GLASS--0.8%
Ball Corporation 2,800 86,800
-----------
DOMESTIC OIL--1.2%
Ashland Inc. 3,300 126,637
-----------
DRUGS & HEALTH CARE--5.6%
Beckman Instruments Inc. (with rights exp. 3/23/99) 2,800 109,200
Bristol-Myers Squibb Company 1,200 102,750
Mallinckrodt Group Inc. 3,900 146,737
Rhone-Poulenc Rorer Inc. 1,200 73,200
Schering-Plough Corporation 2,800 162,750
-----------
594,637
-----------
ELECTRIC UTILITIES--9.1%
Entergy Corporation 5,200 145,600
Long Island Lighting Company 8,800 155,100
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ELECTRIC UTILITIES--CONTINUED
Montana Power Company 5,800 $ 125,425
New York State Electric & Gas Corporation 5,500 129,250
Unicom Corporation 5,600 151,200
Washington Water Power Company (with rights exp. 2/16/00) 5,700 109,012
Western Resources Inc. 5,100 155,550
-----------
971,137
-----------
ELECTRICAL EQUIPMENT--1.9%
Johnson Controls Inc. 1,700 126,862
Tecumseh Products Company 1,200 70,650
-----------
197,512
-----------
ELECTRONICS--6.5%
Avnet Inc. 3,500 168,875
Cypress Semiconductor Corporation (b) 6,800 79,900
Harris Corporation 300 18,562
Measurex Corporation (with rights exp. 12/29/98) 1,300 37,700
MEMC Electronic Materials Inc. (b) 3,800 138,225
Oak Technology (b) 7,400 159,100
Teleflex Inc. 2,000 90,250
-----------
692,612
-----------
FINANCIAL SERVICES--1.2%
Bankers Life Holdings Corporation 5,600 125,300
-----------
FOOD & BEVERAGES--2.4%
Archer Daniels Midland Company 6,200 113,925
IBP, Inc. 5,700 146,063
-----------
259,988
-----------
GAS & PIPELINE UTILITIES--3.9%
Coastal Corporation 1,800 71,100
MCN Corporation 6,300 145,688
Williams Companies Inc. 3,900 196,463
-----------
413,251
-----------
GAS EXPLORATION--1.4%
NorAm Energy Corporation 16,000 148,000
-----------
HOTELS AND RESTAURANTS--0.9%
Wendy's International Inc. 5,300 96,063
-----------
INSURANCE--1.8%
Loews Corporation 2,500 189,063
-----------
INVESTMENT COMPANIES--2.9%
Bear Stearns Companies Inc. 8,300 205,425
Lehman Brothers Holdings Inc. 4,000 107,000
-----------
312,425
-----------
LEISURE TIME--2.0%
Carnival Corporation 3,800 104,500
King World Productions (b) 2,500 103,438
-----------
207,938
-----------
MISCELLANEOUS--0.3%
360 (Degrees) Communications
Company (b) 1,400 33,425
-----------
PAPER--2.4%
Consolidated Papers Inc. 1,900 106,875
Rayonier Inc. 4,100 148,625
-----------
255,500
-----------
</TABLE>
11
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE NUMERIC II FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
PETROLEUM SERVICES--0.8%
Valero Energy Corporation 3,400 $ 83,725
-----------
PLASTICS--1.9%
Premark International Inc. 3,700 198,413
-----------
RAILROADS & EQUIPMENT--6.0%
CSX Corporation (with rights exp. 6/08/98) 4,600 209,875
GATX Corporation (with rights exp. 5/30/96) 4,600 211,600
Illinois Central Corporation 3,650 104,025
Trinity Industries Inc. 3,200 111,600
-----------
637,100
-----------
RETAIL GROCERY--1.0%
Great Atlantic & Pacific Tea Inc. 3,400 105,400
-----------
RETAIL TRADE--5.9%
CompUSA Inc. (b) 4,900 271,338
Gap Inc. 3,300 182,737
Supervalu Inc. 5,700 175,988
-----------
630,063
-----------
SAVINGS AND LOAN--1.9%
Washington Mutual Inc. 6,600 196,350
-----------
SOFTWARE--0.2%
Computer Associates International Inc. 300 21,488
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
TELEPHONE--3.7%
Ameritech Corporation 3,400 $ 185,300
Cincinnati Bell Inc. 700 36,400
Frontier Corporation 400 12,600
Sprint Corporation 4,200 159,600
-----------
393,900
-----------
TOBACCO--1.7%
Philip Morris Companies Inc. 2,100 184,275
-----------
TRUCKING & FREIGHT
FORWARDING--1.8%
Ryder System Inc. 7,000 190,750
-----------
TOTAL COMMON STOCK
(Cost $9,615,536) (c) $10,231,981
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $9,617,647 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost. $755,240
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value. (140,906)
--------
Net unrealized appreciation $614,334
========
</TABLE>
12
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE DISCIPLINED GROWTH FUND
- -------------------------------------------------------------------------------
COMMON STOCK--90.1% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AIR TRAVEL--2.2%
Southwest Airlines Company 800 $ 23,700
USAir Group Inc. (b) 1,000 18,250
----------
41,950
----------
APPAREL & TEXTILES--1.2%
Nautica Enterprises Inc. (b) 500 23,875
----------
BANKS--5.1%
BayBanks Inc. (with rights exp. 12/27/98) 300 32,250
Collective Bancorp, Inc. 600 15,150
First Security Corporation 600 16,650
North Side Savings Bank 400 13,900
SouthTrust Corporation 800 22,100
----------
100,050
----------
BROADCASTING--3.9%
Clear Channel Communications (b) 700 39,550
Westwood One Inc. (b) 2,000 36,750
----------
76,300
----------
BUSINESS SERVICES--5.9%
Acxiom Corporation (b) 500 11,937
Bowne & Company Inc. 700 12,775
Corrections Corporation America (b) 400 22,800
Intervoice Inc. (b) 500 14,313
Jacobs Engineer Group Inc. (b) 1,000 28,250
Robert Half International Inc. (b) (with rights exp.
7/23/00) 500 24,313
----------
114,388
----------
CHEMICALS--1.4%
Advanced Technology Labs Inc. (b) 1,000 27,000
----------
COMPUTERS & BUSINESS
EQUIPMENT--2.8%
BancTec, Inc. (b) (with rights exp. 5/24/98) 1,000 17,250
Computer Horizons Corporation (b) (with rights exp. 7/16/99) 500 18,875
MacNeal Schwendler Corporation (with rights exp. 9/19/98) 1,300 18,525
----------
54,650
----------
CONSTRUCTION & MINING
EQUIPMENT--2.3%
JLG Industries Inc. 1,000 45,750
----------
CONSTRUCTION MATERIALS--0.5%
Butler Manufacturing Company Del (with rights exp. 9/30/98) 300 9,900
----------
DOMESTIC OIL--1.3%
Pogo Producing Company 800 25,000
----------
DRUGS & HEALTH CARE--6.5%
Chiron Corporation (b) 300 29,475
Fresenius USA Inc. (b) 600 12,225
Invacare Corporation 500 14,125
Liposome Company (b) 500 10,437
McKesson Corporation New 300 15,375
Mentor Corporation 600 14,025
Morrison Health Care Inc. 500 8,375
NABI Inc. (b) 1,700 22,419
----------
126,456
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ELECTRIC UTILITIES--2.5%
CMS Energy Corporation 600 $ 17,700
Cilcorp Inc. 500 21,500
Long Island Lighting Company 500 8,813
----------
48,013
----------
ELECTRICAL EQUIPMENT--0.7%
Hughes Supply Inc. (with rights exp. 6/30/98) 500 14,312
----------
ELECTRONICS--7.7%
ADC Telecommunications Inc. (b) 400 13,800
Andrew Corporation (b) 900 34,425
BMC Industries Inc. 1,200 25,800
California Microwave (b) 1,500 27,750
Linear Technology Corporation 500 20,875
Scientific-Atlanta Inc. (with rights exp. 4/13/97) 1,500 26,625
----------
149,275
----------
FINANCIAL SERVICES--5.9%
Amcore Financial Inc. (with rights exp. 2/27/96) 700 14,613
Concord EFS Inc. 750 19,875
Green Tree Financial Corporation 1,000 34,375
Northern Trust Corporation (with rights exp. 10/31/99) 600 32,400
Reliastar Financial Corporation 300 13,575
----------
114,838
----------
FOOD & BEVERAGES--0.8%
Dole Food Inc. 400 15,400
----------
HOMEBUILDERS--1.2%
Elcor Chemical Corporation 1,000 23,750
----------
HOTELS AND RESTAURANTS--0.9%
Ruby Tuesday Inc. 750 17,250
----------
INDUSTRIAL MACHINERY--2.3%
Silcon Valley Group (b) 700 17,062
Stewart & Stevenson Services Inc. 1,000 28,125
----------
45,187
----------
INSURANCE--2.7%
Gallagher (Arthur J.) 500 18.188
Old Republic International Corporation 500 16,250
Reliance Group Holdings Inc 2,200 17,325
----------
51,763
----------
INVESTMENT MANAGEMENT
COMPANIES--1.4%
Price T Rowe & Assoc Inc. 500 26,500
----------
MINING--0.3%
Pittston Company 250 4,906
----------
MISCELLANEOUS--0.2%
Bally Total Fitness Holding Corporation 275 1,100
Morrison Fresh Cooking Inc. 375 2,953
----------
4,053
----------
PETROLEUM SERVICES--3.1%
Global Marine Inc. (b) 2,000 20,000
Reading & Bates Corporation (b) 2,000 39,500
----------
59,500
----------
</TABLE>
13
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE DISCIPLINED GROWTH FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
PUBLISHING--2.6%
Dimark Inc. (b) 1,000 $ 13,750
Meredith Corporation 400 16,500
National Education Corporation (b) 1,800 21,150
----------
51,400
----------
RETAIL TRADE--8.0%
Claire's Stores Inc. 2,000 36,250
CompUSA Inc. (b) 500 27,687
Gymboree Corporation (b) 1,000 26,125
Pier 1 Imports Inc. 3,000 37,875
Tiffany & Company New 500 28,375
----------
156,312
----------
SAVINGS AND LOAN--1.0%
Greater New York Savings Bank (b) 800 9,500
Peoples Heritage Financial Group (with rights exp. 9/25/99) 500 10,875
----------
20,375
----------
SOFTWARE--7.6%
Cadence Design Systems Inc. (b) (with rights exp. 5/30/99) 700 30,888
Continuum Company (b) 700 29,138
HBO & Company 300 28,275
Informix Corporation (b) 900 23,737
Intersolv Inc. (b) 1,800 20,925
Mentor Graphics Corporation (b) 1,000 14,250
----------
147,213
----------
STEEL--1.7%
Allegheny Ludlum Corporation 1,000 18,500
Birmingham Steel Corporation 1,000 14,750
----------
33,250
----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
TELEPHONE--1.1%
C Tec Corporation (b) 600 $ 22,350
----------
TOYS, AMUSEMENTS, SPORTING
GOODS--1.6%
Galoob Lewis Toys Inc. (b) 1,500 30,375
----------
TRUCKING & FREIGHT
FORWARDING--3.7%
Hunt (JB) Transport Services Inc. 1,300 25,675
Pittston Brinks Group 500 13,375
Tidewater Inc. (with rights exp. 5/01/00) 890 33,820
----------
72,870
----------
TOTAL COMMON STOCK
(Cost $1,645,558) (c) $1,754,211
==========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $1,646,454 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost. $158,668
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value. (50,911)
--------
Net unrealized appreciation $107,757
========
</TABLE>
14
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE GROWTH AND INCOME FUND
- -------------------------------------------------------------------------------
COMMON STOCK--98.3% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AEROSPACE--2.1%
General Dynamics Corporation 15,400 $ 900,900
-----------
AGRICULTURAL MACHINERY--3.1%
AGCO Corporation 20,200 487,325
Case Corporation 16,800 854,700
-----------
1,342,025
-----------
AIR TRAVEL--2.8%
UAL Corporation (b) 1,100 229,350
USAir Group Inc. (b) 53,000 967,250
-----------
1,196,600
-----------
AUTOMOBILES--2.9%
Chrysler Corporation 19,900 1,238,775
-----------
BANKS--6.9%
BankAmerica Corporation 16,400 1,271,000
First Bank System Inc. 1,400 83,475
Firstar Corporation New (with rights exp. 1/19/99) 13,900 622,025
NationsBank Corporation 12,600 1,009,575
-----------
2,986,075
-----------
CHEMICALS--2.8%
Du Pont EI de Nemours & Company 100 8,300
Rohm & Haas Company (b) 5,500 365,750
Terra Industries Inc. 65,100 838,162
-----------
1,212,212
-----------
COMPUTERS & BUSINESS
EQUIPMENT--7.5%
Gateway 2000 Inc. (b) 28,900 805,588
Hewlett-Packard Company 9,500 893,000
Komag Inc. (b) 9,500 230,375
Seagate Technology (b) 9,900 542,025
Western Digital Corporation (b) (with rights exp. 11/30/98) 40,700 783,475
-----------
3,254,463
-----------
CONSTRUCTION MATERIALS--1.4%
USG Corporation (b) 23,800 603,925
-----------
DRUGS & HEALTH CARE--7.8%
Bristol-Myers Squibb Company 14,800 1,267,250
Medtronic Inc. 8,900 530,662
Merck & Company Inc. 22,200 1,381,950
Wellpoint Health Networks Inc. (b) 5,200 182,000
-----------
3,361,862
-----------
ELECTRIC UTILITIES--5.6%
Boston Edison Company 15,200 410,400
Central & South West Corporation 32,900 937,650
Consolidated Edison Company Inc. 12,400 395,250
DQE 1,600 46,200
Long Island Lighting Company 30,300 534,038
Ohio Edison Company (with rights exp. 10/16/00) 5,000 113,125
-----------
2,436,663
-----------
ELECTRICAL EQUIPMENT--0.9%
Novellus Systems Inc. (b) 9,100 404,950
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ELECTRONICS--5.2%
Avnet, Inc. 11,300 $ 545,225
Cypress Semiconductor Corporation (b) 9,000 105,750
KLA Instruments Corporation (b) (with rights exp. 3/27/99) 16,300 368,788
Lam Research Corporation (b) 21,100 738,500
Teledyne Inc. 4,900 137,200
Teradyne Inc. (with rights exp. 3/26/00) 20,300 340,025
-----------
2,235,488
-----------
FINANCIAL SERVICES--3.6%
Allstate Corporation 596 25,107
Salomon Inc. 24,900 933,750
Student Loan Marketing Association 7,800 596,700
-----------
1,555,557
-----------
FOOD & BEVERAGES--5.0%
Campbell Soup Company 4,100 249,587
PepsiCo Inc. 20,400 1,290,300
Universal Foods Corporation (with rights exp. 9/30/98) 16,300 621,437
-----------
2,161,324
-----------
GAS & PIPELINE UTILITIES--4.0%
National Fuel Gas Company 24,000 831,000
Williams Companies Inc. 18,200 916,825
-----------
1,747,825
-----------
GAS EXPLORATION--2.6%
Sonat Offshore Drilling Inc. 19,700 1,004,700
Vastar Resources Inc. 3,500 114,187
-----------
1,118,887
-----------
HOTELS AND RESTAURANTS--0.6%
Luby's Cafeterias Inc. 11,100 256,687
-----------
INDUSTRIAL MACHINERY--2.0%
Applied Materials Inc. (b) 25,000 871,875
-----------
INSURANCE--3.5%
American Re Corporation 22,000 880,000
Loews Corporation 1,200 90,750
Marsh & McLennan Companies Inc. (with rights exp. 9/28/97) 5,100 473,663
Providian Corporation 1,000 44,625
-----------
1,489,038
-----------
INTERNATIONAL OIL--5.4%
Exxon Corporation 19,700 1,608,012
Mobil Corporation (with rights exp. 4/30/96) 6,100 706,838
-----------
2,314,850
-----------
INVESTMENT COMPANIES--1.6%
Bear Stearns Companies Inc. 24,900 616,275
Edwards (AG) Inc. 3,100 77,113
-----------
693,388
-----------
LEISURE TIME--2.8%
Callaway Golf Company 16,700 446,725
King World Productions Inc. (b) 18,900 781,987
-----------
1,228,712
-----------
</TABLE>
15
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE GROWTH AND INCOME FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
MISCELLANEOUS--0.8%
Fort Howard Corporation (b) 15,100 $ 339,750
-----------
NEWSPAPERS--0.8%
Washington Post Company 1,200 357,750
-----------
PETROLEUM SERVICES--1.1%
Halliburton Company 7,800 443,625
Ultramar Corporation 1,200 34,650
-----------
478,275
-----------
PLASTICS--2.0%
First Brands Corporation 30,800 862,400
-----------
RETAIL GROCERY--2.0%
Safeway Inc. (b) 30,900 880,650
-----------
RETAIL TRADE--2.2%
Mercantile Stores Inc. 4,900 300,737
Sears Roebuck & Company 13,400 653,250
-----------
953,987
-----------
SOFTWARE--1.0%
Computer Associates International Inc. 4,300 307,988
Read-Rite Corporation (b) 6,600 123,750
-----------
431,738
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
TELEPHONE--5.7%
Ameritech Corporation 20,000 $ 1,090,000
Bell Atlantic Corporation (with rights exp. 4/10/99) 8,500 524,875
GTE Corporation 17,100 750,263
Sprint Corporation 2,100 79,800
-----------
2,444,938
-----------
TOBACCO--2.4%
Philip Morris Companies Inc. 11,900 1,044,225
-----------
TRUCKING & FREIGHT FORWARDING--0.2%
Tidewater Inc. (with rights exp. 5/1/00) 2,200 83,600
-----------
TOTAL COMMON STOCK
(Cost $37,854,889) (c) $42,489,394
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $37,860,590 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost. $ 6,407,649
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value. (1,778,845)
-----------
Net unrealized appreciation $ 4,628,804
===========
</TABLE>
16
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE INTERNATIONAL EQUITY FUND
- -------------------------------------------------------------------------------
COMMON STOCK--94.1% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AUSTRALIA--3.4%
Caltex Australia 66,100 $ 248,205
General Property Trust 305,700 538,078
Memtec Limited 7,300 188,453
-----------
974,736
-----------
AUSTRIA--1.3%
Creditanstalt Bank 3,100 198,561
Omv AG 1,942 178,634
-----------
377,195
-----------
BELGIUM--2.7%
Arbed SA (b) 1,373 151,600
Banque National de Belgique 230 323,698
Societe Generale de Belgique 3,737 295,610
-----------
770,908
-----------
FINLAND--0.4%
Merita Limited 54,400 127,961
-----------
FRANCE--10.6%
Assurance Generale de France 9,400 261,370
Banque National de Paris 6,300 246,494
Cerus (b) 8,450 144,833
Compagnie de Suez 12,823 497,894
Compagnie Fin Paribas 2,600 158,014
Credit Lyonnais (b) 2,430 102,316
Credit National 2,750 222,294
Eurafrance 682 270,362
Gan Group (b) 5,700 175,472
Navigation Mixte 1,950 310,606
Peugeot SA 3,365 513,271
Worms & Compagnie 2,350 125,504
-----------
3,028,430
-----------
GERMANY--13.9%
Bankgesellschaft Berlin AG 1,440 332,593
BASF AG 2,068 558,181
Bayerische Hypoth/Wech Bank 16,300 403,856
Bayerische Vereinsbank 16,340 501,356
Berliner Kraft Und Licht 1,080 299,919
BHF Bank 17,050 466,554
Commerzbank AG 2,104 484,529
Dresdner Bank AG (d) 10,080 269,342
Veba AG 8,820 428,633
Volkswagen AG (d) 714 250,268
-----------
3,995,231
-----------
HONG KONG--1.1%
Wharf Holdings 37,000 138,277
Wheelock & Company LTD 88,000 175,818
-----------
314,095
-----------
IRELAND--0.9%
Allied Irish Banks 51,300 259,409
-----------
ITALY--3.9%
Assic Generali 5,800 129,502
Banco Commerciale Italiana 70,400 146,875
Banco Di Roma (b) 218,300 185,651
Credito Italiano (d) 121,900 130,459
Fiat SpA 36,550 114,672
INA 184,800 251,929
Ras 14,960 145,809
-----------
1,104,897
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
JAPAN--33.9%
Aida Engineering 29,000 $ 246,283
Amada Company 44,000 465,543
Aoki Corporation (b) 16,000 62,322
Aoyama Trading Company 5,000 153,090
Asahi Denka Kogyo (d) 15,000 135,253
Csk Corporation 5,000 136,236
Fuji Photo Film Company 17,000 487,079
Fujita Corporation 25,000 119,148
Fukuoka City Bank 34,000 264,232
Gakken Company (b) 29,000 195,234
Haseko Corporation 52,000 213,258
Hitachi 49,000 477,153
Hokkaido Bank 26,000 80,094
Hokkaido Takushoku 45,000 120,927
Hokuriku Bank 46,000 273,502
Intec Inc. 8,000 119,850
Komatsu 32,000 285,543
Kumagai Gumi Company 38,000 157,266
Maeda Corporation 18,000 178,652
Marudai Food Company 65,000 501,498
Matsushita Electric Industries 46,000 749,438
Mazda Motor Corporation (b) 59,000 237,547
Nippon Oil Company 43,000 274,991
Nippon Shinpan Company 15,000 115,871
Nissan Motor Company 62,000 480,674
Nisshinbo Industries Company 12,000 113,483
Orient Corporation 24,000 144,944
Renown Inc. (b) 36,000 137,191
Sekisui House 31,000 388,951
Shiseido Company 46,000 542,697
Sumitomo Corporation 48,000 507,865
Sumitomo Realty & Development 28,000 215,243
TEC Corporation (b) 22,000 150,375
Tokyo Sowa Bank 26,000 111,742
Toyota Motor Corporation 23,000 508,240
Yamaichi Secs Company 23,000 177,668
Yokogawa Electric 17,000 178,277
-----------
9,707,360
-----------
MALAYSIA--0.5%
Tenaga Nasional 31,000 131,185
-----------
NORWAY--3.0%
Christiania Bank 169,000 392,649
Elkem As 12,320 159,449
Norske Skogsindust, Class A 3,480 105,815
Norske Skogsindust, Class B 4,440 127,389
Orkla Asa 1,600 73,599
-----------
858,901
-----------
SPAIN--2.0%
Fuerzas Elec Catal 19,874 129,696
Iberdrola SA 48,477 447,198
-----------
576,894
-----------
SWEDEN--3.7%
Skandinaviska Enskilda Bank 6,800 50,158
Stadshypotek Ab 11,650 238,797
Stora Kopparbergs, Class B 15,850 202,758
Stora Kopparbergs, Class A 16,250 209,091
Svenska Cellulosa 15,200 275,177
Svenska Handelsbank 4,500 86,853
-----------
1,062,834
-----------
</TABLE>
17
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE INTERNATIONAL EQUITY FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
UNITED KINGDOM--4.9%
British Steel 54,143 $ 157,032
Land Securities 49,700 474,923
Severn Trent 24,432 221,346
United Utilities 37,848 356,757
3I Group 28,700 188,603
-----------
1,398,661
-----------
INVESTMENT COMPANIES--7.9%
Argentina Fund Inc. 10,800 139,050
Brazil Fund Inc. 10,587 228,944
Chile Fund Inc. 6,360 147,870
First Philippine Fund Inc. 9,730 153,248
India Growth Fund Inc. 9,960 145,665
Indonesia Fund Inc. 12,060 134,168
Korea Fund Inc. 6,910 145,974
Malaysia Fund Inc. 8,900 176,888
Mexico Fund Inc. 9,686 148,922
Morgan Stanley Africa Investment Fund 11,100 151,238
Pakistan Investment Fund Inc. 23,560 144,305
Portugal Fund Inc. 11,070 136,991
R O C Taiwan Fund 13,623 141,339
Thai Cap Fund Inc. 8,940 131,865
Turkish Investment Fund Inc. 23,567 147,294
-----------
2,273,761
-----------
TOTAL COMMON STOCK
(Cost $25,055,626) $26,962,458
===========
PREFERRED STOCK--4.2% (a)
AUSTRIA--0.8%
Creditanstalt Bank 1,834 108,815
Z Laenderbank Bank Austria AG 2,812 106,443
-----------
215,258
-----------
GERMANY--1.8%
Volkswagen AG 2,010 511,894
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ITALY--1.6%
Fiat SpA 67,700 $ 123,775
IFI (Instit Financial Industries) 16,100 151,639
RAS 35,640 178,680
-----------
454,094
-----------
TOTAL PREFERRED STOCK
(Cost $1,050,348) $ 1,181,246
-----------
TOTAL INVESTMENTS--98.3%
(Cost $26,105,974) (c) $28,143,704
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $26,113,207 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost. $ 3,432,488
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value. (1,401,991)
-----------
Net unrealized appreciation $ 2,030,497
===========
</TABLE>
(d) All or portion of security is on loan at 3/31/96 (Note 6)
SECTOR ALLOCATIONS
<TABLE>
- ---------------------------------
<S> <C>
Basic Industries 6.4%
Capital Goods 5.2%
Consumer Basics 3.7%
Consumer Durable Goods 12.4%
Consumer Non-Durable Goods 5.0%
Energy 2.5%
Finance 33.0%
General Business 1.6%
Miscellaneous 16.1%
Shelter 4.9%
Technology 2.0%
Utilities 7.2%
</TABLE>
18
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE FOREIGN FRONTIER FUND
- -------------------------------------------------------------------------------
COMMON STOCK--91.2% (a)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ARGENTINA--9.9%
Acindar Industria (b) 93,000 $ 54,421
Astra Cia Argentina de Petrole 19,000 40,292
Banco De Galicia Buenes Aires 9,145 54,795
Banco Frances Rio de la Plata 5,750 52,053
Ciadea SA (b) 5,000 23,007
Perez Companc SA 27,617 156,359
Telecom Argentina 20,000 83,625
Telefonica De Argentina 46,000 118,255
YPF Sociedad Anonima 9,000 180,504
----------
763,311
----------
BRAZIL--4.2%
Eletrobras (Centr) 348,000 90,902
Light Serv Elet SA 212,000 35,737
Sider Nacional Cia 1,445,000 42,207
Souza Cruz (Cia) 6,300 47,392
Telebras 976,000 38,637
Telesp Tel Sao Paulo 237,000 35,993
White Martins SA 33,234,000 35,330
----------
326,198
----------
CHILE--4.2%
Compania De Telecomucicacione (d) 920 77,970
Compania Cervecerias Unidas SA (d) 2,280 48,450
Empresa Nacional De Electric (d) 5,030 96,828
Enersis SA (d) 2,600 73,450
Madeco SA (d) 1,180 29,500
----------
326,198
----------
GREECE--4.9%
A B Vassilopoulos (b) 500 6,977
Aktor (b) 600 9,420
Alpha Credit Bank 680 48,859
Aluminum Co of Greece 300 12,834
Attica Enterprises (b) 2,200 13,477
Commercial Bank Greece 780 28,638
Delta Dairy 730 10,642
Econ Viomihanies (b) 900 3,644
Epilektos Textile 2,850 11,209
Ergo Bank 660 32,346
Hellenic Bottling 1,230 45,925
Hellenic Sugar Industries 1,300 14,848
Heracles General Cement 1,700 21,535
Intracom 480 11,961
Ionian Bank 800 16,846
Michaniki SA 1,100 13,706
Naoussa Spin Mills (b) 2,000 10,508
National Bank of Greece 520 30,225
Silver & Baryte Ores (b) 500 9,812
Strintzis Shipping 1,200 5,457
Titan Cement Company 400 19,155
----------
378,024
----------
INDONESIA--8.0%
Astra International 23,000 32,963
Barito Pacific Timber 39,500 39,711
Duta Anggada Realty 19,500 11,888
Gadjah Tunggal 23,000 14,021
Great River Industries 18,500 11,278
Gudang Garam (Perus) 11,500 142,428
Hadtex Indosyntec 15,000 8,182
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INDONESIA--CONTINUED
HM Sampoerna 11,000 $ 114,941
INCO (International Nickel Indonesia) 33,500 74,882
Indah Kiat Paper & Pulp (with rights exp. 5/14/96) 39,073 24,405
Jakarta International Hotels & Dev 39,000 42,545
Pabrik Kertas Tjiwi Kimia (b) 17,151 16,692
Telekomunikasi Industries (b) 55,000 85,882
----------
619,818
----------
KOREA, REPUBLIC OF--1.8%
Daewoo Heavy Industries (b) 1,150 11,320
Dongsuh Securities (b) 1,130 17,190
Korea Electric Power (b) 1,270 49,517
L.G. Chemicals (b) 760 14,088
L.G. Electronics Inc. (b) 330 8,986
Pohang Iron & Steel (b) 210 15,195
Samsung Heavy (b) 570 11,003
Ssangyong Oil Refinery (b) 650 15,539
----------
142,838
----------
MALAYSIA--8.9%
Best World Land (b) 17,000 16,472
Cold Storage (Malaysia) 11,000 16,619
Genting Berhad 5,000 45,284
Hicom Holdings Berhad (b) (with rights exp. 4/03/96) 5,000 9,808
Idris Hydraulic (Malaysia) (b) 3,000 4,034
IGB Corporation Berhad 61,000 58,624
Leader Universal Holdings 9,333 26,576
Malaysian Airline System 14,000 45,402
Malayan Bk Berhad 5,000 46,668
Malayan United Industries 50,000 43,109
MBF Capital Berhad 47,000 62,084
Mulpha International Berhad 12,000 11,770
Multi Purpose Holding (b) 4,000 6,486
Perlis Plantations 3,000 11,034
Petronas Gas Berhad (b) 7,000 31,560
Rashid Hussain Berhad 2,000 6,367
Renong Berhad (with rights exp. 4/18/96) 14,575 17,924
Resorts World Berhad 6,000 34,170
Sarawak Enterprise (b) 3,000 6,763
Technology Resource Industries Berhad (b) 3,000 10,797
Telekom Malaysia Berhad 9,000 82,935
Tenaga Nasional 12,000 50,781
Utd Engineers Berhad (b) 3,000 20,763
YTL Corporation (b) 4,500 21,712
----------
687,742
----------
MEXICO--8.1%
Alfa SA 2,000 26,523
Cemex SA (b) 9,000 34,434
Cifra SA De Cv (b) 21,000 27,794
Empresas La Modern (b) 5,000 22,479
Fomento Economico Mexicano 16,000 45,196
Grupo Ind Bimbo (b) 4,000 18,301
Grupo Carso (b) 18,000 140,362
Grupo Continental 7,000 24,415
Grupo Mexica SA (b) 6,000 21,484
Grupo Televisa SA (b) 2,000 25,065
</TABLE>
19
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE FOREIGN FRONTIER FUND--Continued
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
MEXICO--CONTINUED
Industrias Penoles (b) 4,000 $ 17,293
Sears Roebuck Mexico (b) 9,000 23,752
Telefonos De Mexico 92,000 152,266
Tubos De Acero (b) 3,000 23,792
Vitro SA 12,000 22,662
----------
625,818
----------
PERU--4.9%
Backus & Johnston (b) 1,400 18,252
Backus & Johnston, T Shares (b) 30,859 40,516
Banco Wiese (b) 9,200 16,340
Cementos Lima (b) 900 11,349
Compania Nazional De Cerveza (b) 1,860 7,587
Credicorp Ltd. 3,559 64,062
Enrique Ferreyros 4,988 6,252
Minas Buenaventura (b) 7,804 58,791
Minas Buenaventura, T Shares (b) 600 4,488
Minsur (b) 1,100 8,816
Pacifico Peru Suiz (b) 300 6,277
Southern Peru Copper (b) 1,261 19,703
Telefonica Del Peru 57,300 118,082
----------
380,515
----------
PHILIPPINES--8.3%
AGP Industrial Corporation (b) 9,300 7,105
Ayala Corporation 27,500 39,916
Ayala Land Inc. 73,750 119,724
JG Summit Holdings Inc. 92,500 32,152
Manila Electric Company 4,050 35,735
Metro Bank & Trust Company 2,938 72,945
Petron Corporation (b) 124,075 53,317
Philippine Commercial International Bank 3,750 42,972
Philippine Long Distance 1,100 59,664
Philippine National Bank (b) 2,600 34,015
Robinsons Land Corporation (b) 151,500 26,909
San Miguel Corporation 12,680 42,622
Sm Prime Holdings (b) 183,170 54,573
Universal Robina Corporation 48,280 23,513
----------
645,162
----------
PORTUGAL--4.8%
Banco Commercial Portugues 6,600 90,627
Banco Espirito Santo 3,500 55,837
Cimpor Cimentos de Portugues 1,000 18,837
EFACEC Emp Fabril 1,200 10,036
INAPA Inv Part Ges 300 5,207
Jeronimo Martins Sgps 500 37,101
Lusotur Sociedad Financei (b) 400 7,220
Modelo Contin Sgps Pte 1000, Bonus Issue 900 23,979
Modelo Contin Sgps 400 10,775
Portugal Telecom SA (b) 1,528 34,502
Seguros Tranquilidad 600 10,618
Sonae Investimentos 1,400 33,484
Soporcel (b) 1,000 21,269
Unicer Uniao Cervejeira 600 11,582
----------
371,074
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
SOUTH AFRICA--4.8%
Anglo Amer Corporation SA 1,600 $ 103,763
De Beers Centenary 2,700 86,871
Gencor 9,000 35,518
Liberty Life Assoc. 1,600 50,273
Polifin Limited (b) 600 1,158
Sasol 3,900 38,036
South Africa Brews 1,800 57,009
----------
372,628
----------
THAILAND--7.5%
Advanced Info Service 2,200 41,332
Bangkok Bank 5,000 67,776
Bank Of Ayudhya Public Company Limited 8,600 55,561
International Cosmetics Public Company Limited 1,800 15,696
Italian Thai Development (b) 1,700 16,189
Krung Thai Bank Public Company Limited 18,370 86,644
One Holding Company Limited (b) 9,300 22,899
Prime Fin & Secs (b) 8,700 23,861
Shinawatra Company & Communications 3,600 93,032
Telecomasia (b) 28,200 71,534
Thai Farmers Bank 5,300 62,180
Thai Melon Polyester (b) 52,967 25,192
----------
581,896
----------
TURKEY--6.0%
Akbank (with rights exp. 3/25/96) 581,875 42,803
Aksa 87,465 32,081
Arcelik 196,554 26,065
Dogan Holding 645,000 37,762
Ege Biracilik Ve Malt 82,800 30,370
Eregli Demir Celik 234,000 27,399
Koc Holding 195,000 59,145
Netas 57,000 17,691
Petkim 93,000 68,223
T. Garanti Bankasi 216,000 20,416
T Is Bankasi (b) 302,000 33,657
Turk Hava Yollari (b) 123,000 30,366
Yapi Kredi Bankasi 468,600 35,698
----------
461,676
----------
INVESTMENT COMPANIES--4.9%
Korea Fund Inc. 3,050 64,431
Mexico Fund Inc. 8,000 123,000
R O C Taiwan Fund 18,100 187,788
----------
375,219
----------
TOTAL COMMON STOCK
(Cost $7,000,572) $7,058,117
==========
PREFERRED STOCK--5.7%
BRAZIL--5.2%
Banco Do Brasil SA (b) 770,000 7,796
Banco Bradesco SA 3,450,844 36,161
Banco Itau SA 89,000 31,628
Cemig Cia Energ Mg 620,500 17,402
Cesp Cia Energ Sp (b) 363,000 12,312
Compania Vale Rio Doce 206,000 32,328
Corpene Petro Nord 32,000 16,394
</TABLE>
20
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS MARCH 31, 1996
QUANTITATIVE FOREIGN FRONTIER--Continued
- -------------------------------------------------------------------------------
PREFERRED STOCK--Continued
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
BRAZIL--CONTINUED
Electrobras (Centr) 80,000 $ 21,869
Itausa Investment SA 54,000 36,630
Petrol Brasileiros 389,000 46,474
Telebras 1,579,000 78,654
Telesp Tel Sao Paulo 198,000 33,678
Usiminas Uni Sd MG 26,325,000 29,052
----------
400,378
----------
MEXICO--0.5%
Cemex SA (b) 10,000 35,541
----------
TOTAL PREFERRED STOCK
(Cost $521,670) $ 435,919
==========
TOTAL INVESTMENTS--96.9%
(Cost $7,522,242) (c) $7,494,036
==========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1996, the net unrealized depreciation of investments based on
aggregate cost for federal tax purposes of $7,522,242 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost. $ 819,185
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value. (847,391)
---------
Net unrealized depreciation $ (28,206)
=========
</TABLE>
(d) ADS--American Depository Shares
The accompanying notes are an integral part of these financial statements.
SECTOR ALLOCATIONS
<TABLE>
- ---------------------------------
<S> <C>
Basic Industries 10.1%
Capital Goods 2.1%
Consumer Basics 8.5%
Consumer Durable Goods 0.5%
Consumer Non-Durable Goods 2.8%
Consumer Services 2.7%
Energy 8.6%
Finance 23.3%
General Business 4.5%
Miscellaneous 12.8%
Real Estate 2.0%
Shelter 2.3%
Technology 2.0%
Transportation 0.2%
Utilities 17.6%
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES MARCH 31, 1996
<TABLE>
<CAPTION>
Disciplined Growth and International Foreign
Numeric Numeric II Growth Income Equity Frontier
<S> <C> <C> <C> <C> <C> <C>
ASSETS:
Investments at value
(Note 2)
See accompanying
schedules $107,228,168 $10,231,981 $1,754,211 $42,489,394 $28,143,704 $7,494,036
Foreign currency at
value (Cost $201,612 for
International Equity and
$16,911 for Foreign
Frontier) (Note 2) -- -- -- -- 202,799 16,534
Cash 7,144,136 1,568,717 196,575 769,194 271,949 364,814
Deposits for securities
sold short (Note 7) -- 155,475 -- -- -- --
Collateral for
securities loaned at
value (Note 6) -- -- -- -- 565,591 --
Dividends and interest
receivable 22,035 16,111 1,160 86,794 121,867 11,216
Receivable for
investments sold 2,751,668 321,104 -- -- -- --
Receivable for shares of
beneficial interest sold 35,084 38,731 -- 24,330 -- --
Deferred organization
costs 11,844 -- -- -- -- --
Other assets 2,774 697 683 32,290 13,997 697
------------ ----------- ---------- ----------- ----------- ----------
Total assets 117,195,709 12,332,816 1,952,629 43,402,002 29,319,907 7,887,297
------------ ----------- ---------- ----------- ----------- ----------
LIABILITIES:
Collateral for
securities loaned (Note
6) -- -- -- -- 565,591 --
Payable for securities
sold short (Note 7) -- 155,475 -- -- -- --
Payable for dividends on
securities sold short -- 780 -- -- -- --
Payable for investments
purchased 2,345,030 1,511,945 -- -- -- 120,216
Payable for shares of
beneficial interest
repurchased 218,436 -- -- 49,855 6,265 2,575
Payable for compensation
of Manager (Note 3) 97,044 6,441 940 28,239 25,106 5,152
Payable for distribution
fees (Note 3) 29,864 -- -- 18,017 11,952 3,219
Payable to custodian 4,069 8,198 3,723 2,932 11,385 9,111
Payable to transfer
agent (Note 3) 14,303 -- 103 4,778 4,519 1,035
Other accrued expenses 66,157 4,161 123 56,800 52,122 9,531
------------ ----------- ---------- ----------- ----------- ----------
Total liabilities 2,774,903 1,687,000 4,889 160,621 676,940 150,839
------------ ----------- ---------- ----------- ----------- ----------
NET ASSETS $114,420,806 $10,645,816 $1,947,740 $43,241,381 $28,642,967 $7,736,458
------------ ----------- ---------- ----------- ----------- ----------
NET ASSETS CONSIST OF:
Shares of beneficial
interest $ 88,911,884 $ 9,828,018 $1,732,379 $35,469,073 $27,971,563 $7,960,269
Undistributed
(overdistributed) net
investment income -- 19,569 -- 189,920 (103,471) (18,981)
Accumulated net realized
gain (loss) on
investments and foreign
denominated assets,
liabilities and currency 17,543,744 181,784 106,708 2,947,883 (1,264,675) (176,250)
Unrealized appreciation
(depreciation) of
investments and foreign
denominated assets,
liabilities and currency 7,965,178 616,445 108,653 4,634,505 2,039,550 (28,580)
------------ ----------- ---------- ----------- ----------- ----------
$114,420,806 $10,645,816 $1,947,740 $43,241,381 $28,642,967 $7,736,458
------------ ----------- ---------- ----------- ----------- ----------
Investment securities,
at cost $ 99,262,990 $ 9,615,536 $1,645,558 $37,854,889 $26,105,974 $7,522,242
------------ ----------- ---------- ----------- ----------- ----------
NET ASSETS
Ordinary Shares $ 71,618,121 $ 6,024,684 $1,880,947 $41,352,928 $27,402,129 $7,736,458
------------ ----------- ---------- ----------- ----------- ----------
Institutional Shares $ 42,802,685 $ 4,621,132 $ 66,793 $ 1,888,453 $ 1,240,838 $ --
------------ ----------- ---------- ----------- ----------- ----------
Shares of beneficial
interest outstanding
*(Unlimited number of
shares authorized)
Ordinary Shares 3,787,464 456,331 149,337 2,838,092 2,560,682 923,667
------------ ----------- ---------- ----------- ----------- ----------
Institutional Shares 2,214,798 349,960 5,300 129,486 115,655 --
------------ ----------- ---------- ----------- ----------- ----------
Net asset value and
offering price per
share**
Ordinary Shares $ 18.91 $ 13.20 $ 12.60 $ 14.57 $ 10.70 $ 8.38
------------ ----------- ---------- ----------- ----------- ----------
Institutional Shares $ 19.33 $ 13.20 $ 12.60 $ 14.58 $ 10.73 $ --
------------ ----------- ---------- ----------- ----------- ----------
</TABLE>
* At March 31, 1996 there were no Institutional Shares outstanding for For-
eign Frontier.
** A deferred sales charge amounting to 1% of the net asset value of the Ordi-
nary Shares redeemed is withheld and paid to the Distributor. No deferred
sales charge is withheld from redemptions of the Institutional Shares.
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS YEAR ENDED MARCH 31, 1996
<TABLE>
<CAPTION>
Disciplined Growth and International Foreign
Numeric Numeric II Growth Income Equity Frontier
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends* $ 518,302 $ 91,890 $ 10,072 $1,049,486 $ 653,600 $ 107,740
Interest 263,771 3,126 -- -- 4,223 2,489
----------- -------- -------- ---------- ---------- ----------
Total investment income 782,073 95,016 10,072 1,049,486 657,823 110,229
----------- -------- -------- ---------- ---------- ----------
EXPENSES:
Compensation of Manager
(Note 3) 1,093,661 39,593 11,066 321,748 321,897 50,458
Distribution fees, Or-
dinary Shares (Note 3) 325,625 13,024 5,349 204,464 141,405 31,535
Custodian fees 135,317 68,311 49,165 59,407 101,364 71,691
Transfer agent fees
(Note 3):
Ordinary Shares 84,789 4,241 1,627 52,655 37,240 8,502
Institutional Shares 61,804 2,021 66 2,768 5,395 --
Audit and legal 84,805 1,676 196 33,685 24,733 4,100
Registration fees 63,814 1,464 197 25,362 18,607 3,153
Amortization of organi-
zational expenses (Note
2) 8,892 -- -- -- -- --
Insurance 24,084 558 75 9,572 7,022 1,193
Compensation of Trust-
ees (Note 3) 11,839 278 38 4,706 3,451 587
Printing 13,602 312 42 5,406 3,966 672
Dividends on short po-
sitions 5,613 1,799 -- -- -- --
Miscellaneous 20,591 498 139 13,606 6,354 1,024
----------- -------- -------- ---------- ---------- ----------
Total expenses before
waivers and/or reim-
bursements, and reduc-
tions 1,934,436 133,775 67,960 733,379 671,434 172,915
Waivers and/or reim-
bursements of expenses
(Note 3) -- (46,273) (42,401) -- -- --
Fees reduced by credits
allowed by Custodian
(Note 3) (97,172) (15,736) (5,623) (39,668) (17,090) (9,472)
----------- -------- -------- ---------- ---------- ----------
Expenses, net 1,837,264 71,766 19,936 693,711 654,344 163,443
----------- -------- -------- ---------- ---------- ----------
Net investment income
(loss) (1,055,191) 23,250 (9,864) 355,775 3,479 (53,214)
----------- -------- -------- ---------- ---------- ----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVEST-
MENTS, FOREIGN CURRENCY
AND FOREIGN TRANSLATION:
Net realized gain
(loss) (Notes 2 and 5)
on:
Investments 23,278,130 269,442 116,867 7,094,968 1,499,250 (171,191)
Foreign denominated as-
sets, liabilities and
currency -- -- -- -- (3,666) (11,853)
Closed short sales 5,889,621 17,386 -- -- -- --
Distributions of real-
ized gains from other
investment companies -- -- -- -- 63,004 1,092
Change in unrealized
appreciation (deprecia-
tion) of:
Investments 3,395,846 612,217 98,545 1,060,268 471,568 1,016,469
Foreign denominated as-
sets, liabilities and
currency -- -- -- -- (12,055) (316)
----------- -------- -------- ---------- ---------- ----------
Net realized and
unrealized gain (loss) 32,563,597 899,045 215,412 8,155,236 2,018,101 834,201
----------- -------- -------- ---------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations $31,508,406 $922,295 $205,548 $8,511,011 $2,021,580 $ 780,987
----------- -------- -------- ---------- ---------- ----------
</TABLE>
* Dividends are net of foreign withholding taxes of $14 for Disciplined
Growth, $9 for Growth and Income, $83,212 for International Equity, and
$11,230 for Foreign Frontier.
The accompanying notes are an integral part of these financial statements.
23
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
Numeric Numeric II Disciplined Growth
Oct. 3, 1994 Oct. 3, 1994
(commencement (commencement
Year ended Year ended Year ended of operations) to Year ended of operations) to
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS:
Operations:
Net investment income
(loss) $ (1,055,191) $ (879,855) $ 23,250 $ 688 $ (9,864) $ 1,105
Net realized gain
(loss) on investments
foreign denominated
assets, liabilities and
currency and closed
short sales 29,167,751 3,109,411 286,828 -- 116,867 (382)
Distributions of
realized gains from
other investment
companies -- -- -- -- -- --
Unrealized appreciation
(depreciation) of
investments and foreign
denominated assets,
liabilities and
currency 3,395,846 6,661,163 612,217 4,228 98,545 10,108
------------ ------------ ----------- -------- ---------- --------
Net increase (decrease)
in net assets resulting
from operations 31,508,406 8,890,719 922,295 4,916 205,548 10,831
Distributions to
shareholders from:
Net investment income
Ordinary Shares -- -- (2,039) -- (984) --
Institutional Shares -- -- (2,330) -- (45) --
Net realized gains
Ordinary Shares (7,745,702) (2,932,328) (61,674) -- -- --
Institutional Shares (5,025,933) (2,432,095) (43,370) -- -- --
------------ ------------ ----------- -------- ---------- --------
(12,771,635) (5,364,423) (109,413) -- (1,029) --
------------ ------------ ----------- -------- ---------- --------
Fund share transactions
(Note 12) (5,279,660) 32,410,964 9,412,667 415,351 1,382,447 349,943
------------ ------------ ----------- -------- ---------- --------
Increase (decrease) in
net assets 13,457,111 35,937,260 10,225,549 420,267 1,586,966 360,774
Net assets beginning of
year 100,963,695 65,026,435 420,267 -- 360,774 --
------------ ------------ ----------- -------- ---------- --------
Net assets end of year
(*) $114,420,806 $100,963,695 $10,645,816 $420,267 $1,947,740 $360,774
============ ============ =========== ======== ========== ========
(*) Includes
undistributed
(overdistributed) net
investment income of -- -- $ 19,569 $ 688 $ -- $ 1,105
</TABLE>
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS--CONTINUED
<TABLE>
<CAPTION>
Growth and Income International Equity Foreign Frontier
August 8, 1994
(commencement
Year ended Year ended Year ended Year ended Year ended of operations) to
March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995 March 31, 1996 March 31, 1995
<S> <C> <C> <C> <C> <C> <C>
Increase (Decrease) in
Net Assets :
Operations:
Net investment income
(loss) $ 355,775 $ 405,208 $ 3,479 $ (68,515) $ (53,214) $ (20,396)
Net realized gain
(loss) on investments
foreign denominated
assets, liabilities and
currency and closed
short sales 7,094,968 2,834,378 1,495,584 2,026,759 (183,044) (16,841)
Distributions of
realized gains from
other investment
companies -- -- 63,004 75,994 1,092 61
Unrealized appreciation
(depreciation) of
investments and foreign
denominated assets,
liabilities and
currency 1,060,268 1,408,046 459,513 (2,176,129) 1,016,153 (1,044,733)
----------- ----------- ----------- ----------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations 8,511,011 4,647,632 2,021,580 (141,891) 780,987 (1,081,909)
Distributions to
shareholders from:
Net investment income
Ordinary Shares (351,523) (391,998) (70,223) (359,736) -- --
Institutional Shares (23,815) (54,988) (25,743) (10,117) -- --
Net realized gains
Ordinary Shares (5,314,821) (3,731,150) -- -- -- --
Institutional Shares (242,458) (366,824) -- -- -- --
----------- ----------- ----------- ----------- ---------- ----------
(5,932,617) (4,544,960) (95,966) (369,853) -- --
----------- ----------- ----------- ----------- ---------- ----------
Fund share transactions
(Note 12) 1,639,199 (1,578,584) (3,991,270) 4,998,610 2,696,931 5,340,449
----------- ----------- ----------- ----------- ---------- ----------
Increase (decrease) in
net assets 4,217,593 (1,475,912) (2,065,656) 4,486,866 3,477,918 4,258,540
Net assets beginning of
year 39,023,788 40,499,700 30,708,623 26,221,757 4,258,540 --
----------- ----------- ----------- ----------- ---------- ----------
Net assets end of
year(*) $43,241,381 $39,023,788 $28,642,967 $30,708,623 $7,736,458 $4,258,540
=========== =========== =========== =========== ========== ==========
(*) Includes
undistributed
(overdistributed) net
investment income of $ 189,920 $ 204,065 $ (103,471) $ (187,854) $ (18,981) $ (7,779)
</TABLE>
The accompanying notes are an integral part of these financial statements.
25
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
Income from
Investment Operations Distributions
Net Asset Net Realized Dividends Distributions
Value at Net and Unrealized Total from from Net from Net Asset Total
Beginning Investment Gain (Loss) Investment Investment Realized Total Value End Return
of Period Income on Securities Operations Income Capital Gains Distributions of Period (c)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NUMERIC
ORDINARY SHARES
Sept. 8, 1992**
to March 31,
1993 $10.00 (0.06)(a) 4.18 4.12 -- -- -- $14.12 73.73%(b)
Year Ended March
31, 1994 $14.12 (0.09) 2.57 2.48 -- (1.27) (1.27) $15.33 17.80%
Year Ended March
31, 1995 (f) $15.33 (0.20) 1.67 1.47 -- (0.99) (0.99) $15.81 10.24%
Year Ended March
31, 1996 (f) $15.81 (0.21)(a) 5.54 5.33 -- (2.23) (2.23) $18.91 34.25%
INSTITUTIONAL
SHARES(D)
Jan. 6, 1993**
to March 31,
1993 $12.88 (0.02)(a) 1.29 1.27 -- -- -- $14.15 43.07%(b)
Year Ended March
31, 1994 $14.15 (0.05) 2.63 2.58 -- (1.27) (1.27) $15.46 18.50%
Year Ended March
31, 1995 (f) $15.46 (0.13) 1.71 1.58 -- (0.99) (0.99) $16.05 10.88%
Year Ended March
31, 1996 (f) $16.05 (0.12)(a) 5.63 5.51 -- (2.23) (2.23) $19.33 34.89%
NUMERIC II
ORDINARY SHARES
Oct. 3, 1994**
to March 31,
1995 (f) $10.00 0.05 (a) 0.07 0.12 -- -- -- $10.12 1.20%
Year Ended March
31, 1996 (f) $10.12 0.06 (a) 3.27 3.33 (0.01) (0.24) (0.25) $13.20 33.01%
INSTITUTIONAL
SHARES
April 17, 1995**
to March 31,
1996 (f) $10.27 0.10 (a) 3.09 3.19 (0.02) (0.24) (0.26) $13.20 31.12%
DISCIPLINED GROWTH
ORDINARY SHARES
Oct. 3, 1994**
to March 31,
1995 (f) $10.00 0.05 (a) 0.27 0.32 -- -- -- $10.32 3.20%
Year Ended March
31, 1996 (f) $10.32 (0.10)(a) 2.39 2.29 (0.01) -- (0.01) $12.60 22.18%
INSTITUTIONAL
SHARES
July 26, 1995**
to March 31,
1996 (f) $11.26 (0.14)(a) 1.49 1.35 (0.01) -- (0.01) $12.60 11.97%
GROWTH AND INCOME
ORDINARY SHARES
Year Ended March
31, 1992 $16.05 0.19 1.25 1.44 (0.21) (1.23) (1.44) $16.05 9.81%
Year Ended March
31, 1993 $16.05 0.17 1.98 2.15 (0.18) (0.75) (0.93) $17.27 13.77%
Year Ended March
31, 1994 $17.27 0.18 0.21 0.39 (0.16) (3.64) (3.80) $13.86 1.51%
Year Ended March
31, 1995 (f) $13.86 0.14 1.44 1.58 (0.16) (1.56) (1.72) $13.72 12.71%
Year Ended March
31, 1996 (f) $13.72 0.12 (a) 2.89 3.01 (0.13) (2.03) (2.16) $14.57 22.17%
INSTITUTIONAL
SHARES (D)
Year Ended March
31, 1992 $16.05 0.28 1.23 1.51 (0.27) (1.23) (1.50) $16.06 10.03%
Year Ended March
31, 1993 $16.06 0.25 1.99 2.24 (0.27) (0.75) (1.02) $17.28 14.30%
Year Ended March
31, 1994 $17.28 0.28 0.19 0.47 (0.25) (3.64) (3.89) $13.86 1.99%
Year Ended March
31, 1995 (f) $13.86 0.21 1.44 1.65 (0.23) (1.56) (1.79) $13.72 13.29%
Year Ended March
31, 1996 (f) $13.72 0.20 (a) 2.89 3.09 (0.20) (2.03) (2.23) $14.58 22.75%
<CAPTION>
Ratios and Supplemental Data
Ratio of Ratio of Net
Net Assets Operating Investment
End of Expenses Income (Loss)
Period to Average to Average Portfolio
(000's) Net Assets Net Assets Turnover
<S> <C> <C> <C> <C>
NUMERIC
ORDINARY SHARES
Sept. 8, 1992**
to March 31,
1993 $14,066 2.07%(b) (1.41)%(b) 139.00%
Year Ended March
31, 1994 $40,852 1.83% (1.30)% 389.00%
Year Ended March
31, 1995 (f) $53,920 1.84% (1.31)% 320.00%
Year Ended March
31, 1996 (f) $71,618 1.97%* (1.17)% 324.00%
INSTITUTIONAL
SHARES(D)
Jan. 6, 1993**
to March 31,
1993 $ 2,979 1.39%(b) (0.79)%(b) 73.00%(b)
Year Ended March
31, 1994 $24,175 1.23% (0.70)% 389.00%
Year Ended March
31, 1995 (f) $47,044 1.36% (0.82)% 320.00%
Year Ended March
31, 1996 (f) $42,803 1.47%* (0.67)% 324.00%
NUMERIC II
ORDINARY SHARES
Oct. 3, 1994**
to March 31,
1995 (f) $ 420 -- % 1.50 %(b) 0.00%(b)
Year Ended March
31, 1996 (f) $ 6,025 2.34%* 0.46 % 181.00%
INSTITUTIONAL
SHARES
April 17, 1995**
to March 31,
1996 (f) $ 4,621 2.02%(b)* 0.87 %(b) 181.00%
DISCIPLINED GROWTH
ORDINARY SHARES
Oct. 3, 1994**
to March 31,
1995 (f) $ 361 -- % 1.03 %(b) 17.82%(b)
Year Ended March
31, 1996 (f) $ 1,881 2.31%* (0.88)% 307.00%
INSTITUTIONAL
SHARES
July 26, 1995**
to March 31,
1996 (f) $ 67 2.29%(b)* (1.16)%(b) 307.00%
GROWTH AND INCOME
ORDINARY SHARES
Year Ended March
31, 1992 $43,884 1.84% 1.16 % 60.00%
Year Ended March
31, 1993 $43,320 1.84% 0.98 % 78.00%
Year Ended March
31, 1994 $36,510 1.72% 1.02 % 110.00%
Year Ended March
31, 1995 (f) $37,048 1.69% 1.01 % 121.00%
Year Ended March
31, 1996 (f) $41,353 1.73%* 0.81 % 152.00%
INSTITUTIONAL
SHARES (D)
Year Ended March
31, 1992 $ 4,753 1.44% 1.39 % 60.00%
Year Ended March
31, 1993 $ 6,451 1.33% 1.46 % 78.00%
Year Ended March
31, 1994 $ 3,990 1.22% 1.52 % 110.00%
Year Ended March
31, 1995 (f) $ 1,975 1.23% 1.48 % 121.00%
Year Ended March
31, 1996 (f) $ 1,888 1.24%* 1.31 % 152.00%
</TABLE>
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS--CONTINUED
<TABLE>
<CAPTION>
Income from
Investment Operations Distributions
Net Asset Net Realized Dividends Distributions
Value at Net and Unrealized Total from from Net from Net Asset
Beginning Investment Gain (Loss) Investment Investment Realized Total Value End
of Period Income on Securities Operations Income Capital Gains Distributions of Period
<S> <C> <C> <C> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
ORDINARY SHARES
Year Ended March
31, 1992 $ 8.38 0.04 (a) (0.35) (0.31) (0.10) -- (0.10) $ 7.97
Year Ended March
31, 1993 $ 7.97 0.09 (a) 0.04 0.13 (0.07) -- (0.07) $ 8.03
Year Ended March
31, 1994 $ 8.03 0.00 (a) 2.28 2.28 (0.13) -- (0.13) $10.18
Year Ended March
31, 1995 (f) $10.18 (0.03)(a) 0.04 0.01 (0.13) -- (0.13) $10.06
Year Ended March
31, 1996 (f) $10.06 0.00 (a) 0.67 0.67 (0.03) -- (0.03) $10.70
INSTITUTIONAL
SHARES(D)
April 25, 1990**
to March 31,
1991 $11.19 0.17 (a) (1.96) (1.79) -- -- -- $ 9.40
April 1, 1991 to
March 19, 1992 $ 9.40 0.09 (a) (1.40) (1.31) (0.15) -- (0.15) $ 7.94(e)
August 25,
1994** to March
31, 1995 (f) $11.00 0.01 (a) (0.73) (0.72) (0.18) -- (0.18) $10.10
Year Ended March
31, 1996(f) $10.10 0.04 (a) 0.66 0.70 (0.07) -- (0.07) $10.73
FOREIGN FRONTIER
August 8, 1994**
to March 31,
1995 (f) $10.00 (0.05)(a) (2.71) (2.76) -- -- -- $ 7.24
Year Ended March
31, 1996 (f) $ 7.24 (0.07)(a) 1.21 1.14 -- -- -- $ 8.38
<CAPTION>
Ratios and Supplemental Data
Ratio of Ratio of Net
Net Assets Operating Investment
End of Expenses Income (Loss)
Total Period to Average to Average Portfolio
Return (c) (000's) Net Assets Net Assets Turnover
<S> <C> <C> <C> <C> <C>
INTERNATIONAL EQUITY
ORDINARY SHARES
Year Ended March
31, 1992 (3.70)% $19,676 2.12% 0.47 % 52.00%
Year Ended March
31, 1993 1.70 % $17,429 2.28% 1.08 % 16.00%
Year Ended March
31, 1994 28.69 % $26,222 2.01% (0.08)% 40.00%
Year Ended March
31, 1995 (f) 0.07 % $27,657 1.91% (0.24)% 46.48%
Year Ended March
31, 1996 (f) 6.63 % $27,402 2.15%* (0.04)% 43.00%
INSTITUTIONAL
SHARES(D)
April 25, 1990**
to March 31,
1991 (17.18)%(b) $ 4,178 1.50%(b) 1.56 %(b) 159.00%
April 1, 1991 to
March 19, 1992 (14.62)%(b) $ 0 1.63% 1.05 % 52.00%
August 25,
1994** to March
31, 1995 (f) (6.57)% $ 3,052 1.66%(b) 0.13 %(b) 46.48%(b)
Year Ended March
31, 1996(f) 6.95 % $ 1,241 1.65%* 0.38 % 43.00%
FOREIGN FRONTIER
August 8, 1994**
to March 31,
1995 (f) (27.60)% $ 4,259 2.54%(b) (1.03)%(b) 10.72%(b)
Year Ended March
31, 1996 (f) 15.75 % $ 7,736 2.74%* (0.84)% 9.00%
</TABLE>
* Expense ratios for the period ended March 31, 1996 are shown for the first
time gross of custody credits (Notes 3 and 6) in accordance with new SEC
regulations. These credits are generated by interest earned on uninvested
cash balances maintained by the Funds, and are used to offset custodial ex-
penses of the Fund. The Funds' expense ratios net of such credits, as re-
ported in prior periods, would have been as follows: Numeric Ordinary and
Institutional Shares, 1.88% and 1.38%, respectively; Numeric II Ordinary
and Institutional Shares, 1.92% and 1.66% (annualized), respectively; Dis-
ciplined Growth Ordinary and Institutional Shares, 1.79% and 2.05%
(annualized), respectively; Growth and Income Ordinary and Institutional
Shares, 1.64% and 1.15%, respectively; International Equity Ordinary and
Institutional Shares, 2.09% and 1.59%, respectively; and Foreign Frontier
Ordinary Shares, 2.59%.
** Commencement of Operations
- ----
(a) Reflects expense waivers/reimbursements and reductions in effect during
the period. See Note 3 to the Financial Statements. As a result of such
waivers/reimbursements and reductions, expenses of the Quantitative Nu-
meric Fund Ordinary Shares for the periods ended March 31, 1996 and 1993
reflect a reduction of $0.02 and $0.03 per share; expenses of the Quanti-
tative Numeric Fund Institutional Shares for the periods ended March 31,
1996 and 1993, reflect a reduction of $0.02 and $0.03 per share; expenses
of the Quantitative Numeric II Fund Ordinary Shares for the periods ended
March 31,1996 and March 31,1995 reflect a reduction of $0.23 and $0.76 per
share; expenses of the Quantitative Numeric II Fund Institutional Shares
for the period ended March 31,1996 reflects a reduction of $0.11 per
share; expenses of the Quantitative Disciplined Growth Fund Ordinary
Shares for the periods ended March 31, 1996 and March 31, 1995 reflect a
reduction of $0.51 and $0.45 per shares: expenses of the Quantitative Dis-
ciplined Growth Fund Institutional Shares for the period ended March 31,
1996 reflect a reduction of $0.28 per share; expenses of the Quantitative
Growth and Income Fund Ordinary Shares for the period ended March 31, 1996
reflect a reduction of $0.01 per share; expenses of the Quantitative
Growth and Income Institutional Shares for the period ended March 31, 1996
reflect a reduction of $0.01 per share; expenses of the Quantitative In-
ternational Equity Fund Ordinary Shares for the periods ended March 31,
1996, 1995, 1994, 1993 and 1992 reflect a reduction of $0.01, $0.01,
$0.01, $0.05 and $0.04 per share respectively;expenses of the Quantitative
International Equity Fund Institutional Shares for the periods ended March
31, 1996, 1995, 1992 and 1991 reflect a reduction of $0.01, $0.01, $0.04
and $0.03 per share; and expenses of the Quantitative Foreign Frontier
Fund Ordinary Shares for the periods ended March 31, 1996 and 1995 reflect
a reduction of $0.01 and $0.02 per share.
(b) Annualized
(c) Total Return does not include the one time deferred sales charge of 1% for
the Ordinary Shares. The total return would have been lower if certain
fees had not been waived or if fees had not been reduced by credits al-
lowed by the custodian.
(d) Investment income and expenses for the periods ending March 31, 1991
through March 31, 1994 were calculated for the Ordinary Shares and then
adjusted for the differences in distribution and transfer agency expenses
borne by the two classes of shares
(e) Amount represents the last net asset value per share before the March 19,
1992 redemption which resulted in this Fund having no Institutional share-
holders and no Institutional Shares of beneficial interest outstanding
from that date until August 25, 1994. (Note 1)
(f) Per share numbers have been calculated using the average shares method.
The accompanying notes are an integral part of these financial statements.
27
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
NOTES TO FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
1. Organization of the Trust.
The Quantitative Group of Funds (the "Trust") is organized as a Massachusetts
business trust and is registered under the Investment Company Act of 1940, as
amended, as a non-diversified, open-end management investment company. The
Trust currently has six series (individually a "Fund" and collectively the
"Funds") each with a distinct investment objective: Quantitative Numeric,
Quantitative Numeric II, Quantitative Disciplined Growth, Quantitative Growth
and Income, Quantitative International Equity, and Quantitative Foreign Fron-
tier.
The Quantitative Numeric Fund ("Numeric") seeks maximum long-term capital ap-
preciation by investing primarily in common stocks of companies with smaller
($800 million or less) market capitalizations or larger companies with higher
than average expected earnings growth rates.
The Quantitative Numeric II Fund ("Numeric II") seeks long-term growth of cap-
ital by investing primarily in common stock of companies with medium ($800
million to $5 billion) market capitalizations.
The Quantitative Disciplined Growth Fund ("Disciplined Growth") seeks long-
term growth of capital by investing primarily in common stock of companies
with smaller (less than $800 million) or medium ($800 million to $5 billion)
market capitalizations.
The Quantitative Growth and Income Fund ("Growth and Income") seeks long-term
growth of capital and income by investing primarily in common stocks of larger
companies having substantial equity capital that are currently paying divi-
dends.
The Quantitative International Equity Fund ("International Equity") seeks
long-term capital growth and income by investing primarily in foreign securi-
ties. Generally, the Fund invests in Western Europe, Australia, and the larger
capital markets in the Far East.
The Quantitative Foreign Frontier Fund ("Foreign Frontier") seeks long-term
growth of capital by investing in securities of foreign issuers located in
emerging markets.
Holders of Institutional Shares bear no portion of the 12b-1 Plan expense of
the Funds and are not entitled to vote on matters involving the 12b-1 Plan.
Ordinary Shares are sold subject to a 12b-1 Plan as well as a deferred sales
charge. At March 31, 1996, there are no Institutional Shares outstanding for
Foreign Frontier.
2. Significant Accounting Policies.
The following is a summary of significant accounting policies followed by the
Funds in the preparation of their financial statements. The policies are in
conformity with generally accepted accounting principles for investment compa-
nies, which require management to make estimates and assumptions that affect
the reported amounts and disclosures in the financial statements. Actual re-
sults could differ from these estimates.
Security Valuation.
Portfolio securities are valued each business day at the last reported sale
price on the principal exchange or market on which they are traded. If there
is no such reported sale, the securities are valued at the mean between the
last reported bid and asked price. Short-term investments that mature in 60
days or less are valued at amortized cost. Securities quoted in foreign cur-
rencies are translated into U.S. dollars based upon the prevailing exchange
rate on each business day. Other assets and securities for which no quotations
are readily available are valued at fair value as determined in good faith us-
ing procedures approved by the Trustees.
Security Transactions and Related Investment Income.
Security transactions are accounted for on the trade date (the date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date, except that certain dividends from foreign securities are recorded as
soon as the Funds are informed of the ex-dividend date. Dividends declared on
short positions existing on the record date shall be recorded on the ex-divi-
dend date and included as an expense of the period. Interest income is re-
corded on the accrual basis. In determining the net gain or loss on securities
sold, the cost of securities is determined on the identified cost basis. Each
Fund's investment income and realized and unrealized gains and losses are al-
located among classes based upon the daily relative net assets.
Repurchase Agreements.
The Funds' custodian takes possession through the federal book-entry system of
securities collateralizing repurchase agreements. Collateral is marked-to-mar-
ket daily to ensure that the market value of the underlying assets remains
sufficient to protect the Funds. The Funds may experience costs and delays in
liquidating the collateral if the issuer defaults or enters into bankruptcy.
28
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
NOTES TO FINANCIAL STATEMENTS--CONTINUED
- -------------------------------------------------------------------------------
Short Sales "Against the Box."
In a short sale against the box, a Fund sells a borrowed security, while at
the same time owning an identical security in the portfolio. While the short
sale is outstanding, a Fund will not dispose of the security hedged by the
short sale.
When a Fund sells short against the box, it will establish a margin account
with the broker lending the security sold short. While the short sale is out-
standing, the broker retains the proceeds of the short sale, and the Fund
pledges securities as additional collateral. The Fund earns interest from the
broker on the proceeds of the short sale and accrues such interest on a daily
basis.
Foreign Currency Transactions.
All monetary items denominated in foreign currencies are translated into U.S.
dollars based on the prevailing exchange rate at the close of each business
day. Income and expenses denominated in foreign currencies are translated at
the prevailing rates of exchange when accrued or incurred.
Reported net realized gains and losses on foreign currency transactions repre-
sent net gains and losses from currency gains and losses realized between the
trade and settlement dates on investment transactions, and the difference be-
tween the amount of net investment income accrued and the U.S. dollar amount
actually received. The effects of changes in foreign currency exchange rates
on investments in securities are not segregated in the Statement of Operations
from the effects of changes in market prices of those securities, but are in-
cluded with the net realized and unrealized gain or loss on investments.
Unamortized Organization Expenses.
Costs incurred with Numeric's organization and registration are being amor-
tized over the period of benefit, not to exceed 60 months.
Expenses.
The majority of the expenses of the Funds are attributed to the individual
Funds for which they are incurred. Expenses that are not attributed to a spe-
cific Fund are allocated in proportion to the respective net assets of the
Funds. Expenses allocable to a Fund are borne pro rata by the holders of both
classes of shares of such Fund, except that 12b-1 Plan expenses will not be
borne by the holders of Institutional Shares and each class has its own trans-
fer agency fee.
3. Management Fee, Advisory Contracts and Other Affiliate Transactions.
The Funds have entered into a management agreement with Quantitative Advisors,
Inc. (the "Manager"). Compensation of the Manager, for management and adminis-
tration of the Funds, including selection and monitoring of the portfolio ad-
visors, is paid monthly based on the average daily net asset value of each
Fund for the month. The annual rate of such fees is 1.00% of the average daily
net asset value of Numeric, Numeric II, Disciplined Growth, and International
Equity; 0.75% of the average daily net asset value of the Growth and Income
Fund; and 0.80% of the average daily net asset value of Foreign Frontier. For
the year ended March 31, 1996, the Manager voluntarily agreed to waive its
fees in part with respect to Disciplined Growth and Numeric II.
The Manager has agreed to reduce its compensation with respect to Numeric,
Growth and Income, and International Equity to the extent that the total ex-
penses of any of these Funds individually exceed 2% of average net asset value
for any fiscal year. The distribution agreement calls for the Distributor to
reduce its fee similarly after the Manager's fee has been eliminated. The Man-
ager has also agreed to assume expenses of any of these Funds if necessary in
order to reduce a Fund's total expenses to no more than 2% of average net as-
set value for any fiscal year. Fund expenses subject to this limitation are
exclusive of brokerage, interest, taxes and extraordinary expenses, which in-
clude incremental custody costs associated with international securities.
The Manager may voluntarily agree to limit the total operating expenses of a
Fund for a period of time by waiving fees or reimbursing a Fund for an expense
that it would otherwise incur. In such cases, the Manager may seek reimburse-
ment from the Fund if the Fund's total operating expenses fall below that
limit prior to the end of the Fund's fiscal year. The Manager voluntarily has
agreed to waive fees or assume certain operating expenses of the Numeric II
and Disciplined Growth Funds in order to reduce the total expenses of these
Funds to no more than 2.5% of their average net asset value. Expenses eligible
for reimbursement do not include interest, taxes, brokerage commissions, or
extraordinary expenses. Extraordinary expenses include, but are not limited
to, litigation and indemnification expenses. The agreement is subject to peri-
odic review and there is no guarantee that the Manager will continue to limit
these expenses in the future.
During the year ended March 31, 1996, the aggregate fees, net of fees waived
or reimbursed by the Manager
29
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
NOTES TO FINANCIAL STATEMENTS--CONTINUED
- -------------------------------------------------------------------------------
amounted to $1,801,006. The total amount of the advisory fees waived or ex-
penses reimbursed by the Manager for Numeric II and Disciplined Growth was
$18,201 and $19,215 respectively.
The Manager has entered into advisory contracts with the following advisors
(collectively the "Advisors") to provide investment advisory services to the
following Funds: Numeric Investors L.P. (Numeric, Numeric II), LBS Capital
Management, Inc. (Disciplined Growth), State Street Bank and Trust Company
(Growth and Income), and Boston International Advisors, Inc. (International
Equity, Foreign Frontier).
For services rendered, the Manager pays to the Advisor of a Fund a fee based
on a percentage of the average daily net asset value of the Fund. The fee for
each Fund is determined separately. The fees paid by the Manager to the Advi-
sors of the Funds are as follows: Numeric and Numeric II Funds--0.75% of the
first $20 million, 0.60% of the next $30 million, and 0.50% of amounts in ex-
cess of $50 million of average daily total net assets; Disciplined Growth--
0.60% of the first $100 million, and 0.50% of amounts in excess of $100 mil-
lion of average daily total net assets; Growth and Income--0.375% of the first
$20 million and 0.30% of amounts in excess of $20 million of average daily to-
tal net assets, with an annual minimum of $25,000; International Equity--0.50%
of average daily total net assets; and Foreign Frontier--0.40% of average
daily total net assets.
The Funds have entered into a distribution agreement with U.S. Boston Capital
Corporation (the "Distributor"). For its services under the distribution
agreement, the Distributor receives a monthly fee at the annual rate of 0.50%
of the average net asset value of Ordinary Shareholder accounts open during
the period the plan is in effect. No fees are received by the Distributor for
Institutional Shares. For the year ended March 31, 1996, the Distributor vol-
untarily agreed to waive its fees in their entirety with respect to Numeric II
and Disciplined Growth, which amounted to $13,024 and $5,349 respectively.
During the year ended March 31, 1996, the aggregate fees, net of fees waived
by the Distributor, paid by the Funds pursuant to such distribution plan
amounted to $703,029. A deferred sales charge amounting to 1% of the net asset
value of Ordinary Shares redeemed is withheld from the redemption proceeds and
paid to the Distributor. The deferred sales charge is not imposed on redemp-
tions of Institutional Shares, and certain other transactions. The Funds have
been advised that during the year ended March 31, 1996, such fees earned by
the Distributor were $124,664.
Transfer agent functions are provided to the Funds by Quantitative Institu-
tional Services, a division of the Manager (the "Transfer Agent") pursuant to
a transfer agent agreement. Prior to September 14, 1995, U.S. Boston Institu-
tional Services, Inc., an affiliate of the Manager, served as transfer agent.
Effective July 1, 1995, the transfer agent agreement provides that base fees
are payable to the Transfer Agent at an annual rate of 0.13% of the aggregate
average daily net asset value of each Fund. Prior to July 1, 1995, the trans-
fer agent agreement provided for a fixed charge per annum, allocated 70% to
the Ordinary Shares and 30% to the Institutional Shares of the Funds and allo-
cated to the Funds within each class on a proportionate basis based on the re-
spective net assets of the Funds. For the year ended March 31, 1996, the
Transfer Agent voluntarily agreed to waive its fees in part with respect to
Numeric II and Disciplined Growth, which amounted to $1,893 and $258 respec-
tively. During the year ended March 31, 1996, the aggregate fees, net of fees
waived by the Transfer Agent, paid by the Funds pursuant to such agreement
amounted to $258,957.
State Street Bank and Trust Company (the "Custodian") maintains the Funds' ac-
counting records and provides custodial services. For the year ended March 31,
1996, $97,172, $15,736, $5,623, $39,668, $5,917, and $9,472 in custody credits
were applied against the custody fees for Numeric, Numeric II, Disciplined
Growth, Growth and Income, International Equity and Foreign Frontier, respec-
tively. Such credits have not been applied in the calculation of Manager reim-
bursement for Numeric, Growth and Income, and International Equity.
The Custodian voluntarily agreed to waive its base custodian fees and to re-
duce its dual-class accounting fees for the Numeric II and Disciplined Growth
Funds. For the year ended March 31, 1996, the Custodian's fee waivers and re-
ductions for Numeric II and Disciplined Growth amounted to $13,155 and $17,579
respectively.
Each Trustee receives an annual Trustee's fee of $4,000 allocated to each Fund
in proportion to the respective net assets of the Funds. Prior to January 1,
1996 the annual trustee's fee was $2,800.
4. Federal Income Taxes.
It is the policy of the Funds to distribute all of their taxable income within
the prescribed time and otherwise comply with the provisions of the Internal
Revenue Code applicable to regulated investment companies. Therefore, no Fed-
eral income tax provision is required.
30
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
NOTES TO FINANCIAL STATEMENTS--CONTINUED
- -------------------------------------------------------------------------------
At March 31, 1996, International Equity had capital loss carryovers amounting
to $450,952 and $806,382 which will expire on March 31, 2000 and March 31,
2001, respectively, and Foreign Frontier had capital loss carryovers amounting
to $5,852 and $92,688 which will expire on March 31, 2003 and March 31, 2004,
respectively. To the extent that these losses are used to offset any future
capital gains realized during the carryover period, no capital gains tax lia-
bilities will be incurred by International Equity and Foreign Frontier for
gains realized and not distributed.
The International Equity and Foreign Frontier Funds intend to elect to defer
to their fiscal year ending March 31, 1997 $6,602 and $79,649 of losses, re-
spectively, recognized during the period from November 1, 1995 to March 31,
1996.
5. Purchases and Sales.
During the year ended March 31, 1996, purchases of investment securities other
than U.S. Government obligations and short-term investments, for Numeric, Nu-
meric II, Disciplined Growth, Growth and Income, International Equity and For-
eign Frontier were $333,871,581, $15,768,849, $4,299,862, $63,397,798,
$13,619,547, and $3,262,797 respectively. Sales of such securities for the
Funds were $350,898,686, $6,754,725, $3,081,625, $67,609,281, $17,697,896, and
$516,161 respectively.
During the year ended March 31, 1996, purchases of U.S. Government obligations
for International Equity and Foreign Frontier were $2,397,517 and $1,737,949
respectively, and sales for the two Funds were $2,399,669 and $2,039,854 re-
spectively.
6. Security Loans.
As of March 31, 1996, International Equity loaned common stocks having a value
of $514,792 and received cash collateral of $565,591 for these loans.
Security lending income of $11,173 collected by the custodian, was used to
offset custodian expense during the year. Such offset would not be applied in
the calculation of Manager reimbursements to International Equity.
7. Short Sales "Against the Box."
As of March 31, 1996, Numeric II sold short 1,300 and 1,400 shares of common
stock respectively of Chrysler Corporation and General Motors Corporation with
market values as of March 31, 1996 of $80,925 and $74,550 respectively,
$155,475 in the aggregate; and producing proceeds of $72,733 and $69,942 re-
spectively, $142,675 in the aggregate.
8. Reclassifications.
For the year ended March 31, 1996, certain reclassification adjustments were
made between undistributed/ (overdistributed) net investment income, accumu-
lated net realized gain/(loss), and shares of beneficial interest due to dif-
ferences between book and tax accounting, primarily due to current year net
operating losses for Numeric, Disciplined Growth, and Foreign Frontier; pas-
sive foreign investment company holdings for International Equity; and foreign
currency translation for International Equity and Foreign Frontier. Such re-
classifications were as follows:
<TABLE>
<CAPTION>
Increase/(Decrease)
Increase/(Decrease) Undistributed/ Increase/(Decrease)
Shares of (Overdistributed) Accumulated Net Realized
Beneficial Interest Net Investment Income/(Loss) Gain/(Loss)
<S> <C> <C> <C>
Numeric $ -- $1,055,191 $(1,055,191)
Growth and
Income (5,418) 5,418 --
Disciplined
Growth (11) 9,788 (9,777)
International
Equity (348) 176,870 (176,522)
Foreign Fron-
tier (53,566) 42,012 11,554
</TABLE>
31
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
NOTES TO FINANCIAL STATEMENTS--CONTINUED
- -------------------------------------------------------------------------------
9. Lines of Credit and Contingent Liability.
Numeric may temporarily, for emergency purposes, borrow up to the lesser of
$2,000,000 or 10% of its assets, under a line of credit. Such borrowings are
due not more than 90 days from the date of borrowing, with interest, as deter-
mined by the line of credit agreement. During the year ended March 31, 1996,
the Fund did not utilize the line of credit.
The Trust insures itself and all Funds under a policy with ICI Mutual Insur-
ance Company. The annual premium is allocated among the Funds and Quantitative
Institutional Services. Additionally, the Funds have committed up to 300% of
the annual premium, one third of which was provided in cash, with each Fund's
pro rata portion recorded as an asset. The remainder is secured with an irrev-
ocable letter of credit.
10. Shares of Beneficial Interest.
The following schedule shows the number of shareholders each owning 5% or more
of a Fund and the total percentage of the Fund held by such shareholders:
<TABLE>
<CAPTION>
5% or Greater Shareholders
-------------------------------------------------
Fund Number % of Fund Held
<S> <C> <C>
Numeric Inst. 5 81%
Numeric II Ord. 1 13%
Numeric II Inst. 3 99%
Disciplined Growth Ord. 4 40%
Disciplined Growth Inst. 2 100%
Growth and Income Inst. 4 97%
International Equity Inst. 1 96%
Foreign Frontier Ord. 1 6%
</TABLE>
11. Concentration of Risk.
The relatively large investments of the Foreign Frontier Fund in Latin Ameri-
can and Southeast Asian countries with limited or developing capital markets
may involve greater risks than investments in more developed markets and the
prices of such investments may be volatile. The consequences of political, so-
cial or economic changes in these markets may have disruptive effects on the
market prices of the Fund's investments and the income they generate, as well
as the Fund's ability to repatriate such amounts.
32
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
- -------------------------------------------------------------------------------
12. Transactions in Shares of Beneficial Interest.
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
March 31, 1996 March 31, 1995
------------------------ -----------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
NUMERIC
ORDINARY SHARES:
Shares sold 306,845 $ 5,287,525 994,131 $ 15,053,512
Shares issued in reinvest-
ment of distributions 410,004 7,474,372 198,432 2,861,402
Shares redeemed (339,690) (6,065,838) (446,915) (6,801,115)
---------- ------------ --------- ------------
Net change 377,159 $ 6,696,059 745,648 $ 11,113,799
---------- ------------ --------- ------------
INSTITUTIONAL SHARES:
Shares sold 372,214 $ 6,912,864 2,022,838 $ 31,157,158
Shares issued in reinvest-
ment of distributions 165,042 3,069,775 100,548 1,469,003
Shares redeemed (1,253,740) (21,958,358) (755,371) (11,328,996)
---------- ------------ --------- ------------
Net change (716,484) $(11,975,719) 1,368,015 $ 21,297,165
---------- ------------ --------- ------------
TOTAL NET CHANGE FOR FUND $ (5,279,660) $ 32,410,964
------------ ------------
NUMERIC II
ORDINARY SHARES:
Shares sold 434,724 $ 5,272,157 41,972 $ 419,969
Shares issued in reinvest-
ment of distributions 4,887 61,864
Shares redeemed (24,790) (304,541) (462) (4,618)
---------- ------------ --------- ------------
Net change 414,821 $ 5,029,480 41,510 $ 415,351
---------- ------------ --------- ------------
INSTITUTIONAL SHARES:
Shares sold 350,456 $ 4,388,082 -- $ --
Shares issued in reinvest-
ment of distributions 3,610 45,700 -- --
Shares redeemed (4,106) (50,595)
---------- ------------
Net change 349,960 $ 4,383,187 --
---------- ------------ ------------
TOTAL NET CHANGE FOR FUND $ 9,412,667 $ 415,351
------------ ------------
DISCIPLINED GROWTH
ORDINARY SHARES:
Shares sold 124,257 $ 1,434,616 35,045 $ 350,713
Shares issued in reinvest-
ment of distributions 75 930 -- --
Shares redeemed (9,964) (113,141) (76) (770)
---------- ------------ --------- ------------
Net change 114,368 $ 1,322,405 34,969 $ 349,943
---------- ------------ --------- ------------
INSTITUTIONAL SHARES:
Shares sold 6,593 $ 75,500 -- $ --
Shares issued in reinvest-
ment of distributions 4 45 -- --
Shares redeemed (1,297) (15,503) -- --
---------- ------------
Net change 5,300 $ 60,042 --
---------- ------------ ------------
TOTAL NET CHANGE FOR FUND $ 1,382,447 $ 349,943
------------ ------------
GROWTH AND INCOME
ORDINARY SHARES:
Shares sold 129,344 $ 1,895,276 296,092 $ 4,055,465
Shares issued in reinvest-
ment of distributions 359,373 5,160,593 321,758 3,993,011
Shares redeemed (350,635) (5,180,335) (552,371) (7,660,519)
---------- ------------ --------- ------------
Net change 138,082 $ 1,875,534 65,479 $ 387,957
---------- ------------ --------- ------------
</TABLE>
33
<PAGE>
Q UANTITATIVE GROUP OF FUNDS _________________________________________________
NOTES TO FINANCIAL STATEMENTS--CONTINUED
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended Year Ended
March 31, 1996 March 31, 1995
--------------------- ---------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
GROWTH AND INCOME--CONTINUED
INSTITUTIONAL SHARES:
Shares sold 6,538 $ 97,239 10,768 $ 156,610
Shares issued in reinvestment of
distributions 17,395 249,625 31,737 393,229
Shares redeemed (38,398) (583,199) (186,327) (2,516,380)
-------- ----------- -------- -----------
Net change (14,465) $ (236,335) (143,822) $(1,966,541)
-------- ----------- -------- -----------
TOTAL NET CHANGE FOR FUND $ 1,639,199 $(1,578,584)
----------- -----------
INTERNATIONAL EQUITY
ORDINARY SHARES:
Shares sold 284,040 $ 2,952,333 544,460 $ 5,753,085
Shares issued in reinvestment of
distributions 6,478 65,878 33,154 336,839
Shares redeemed (478,842) (5,015,488) (403,512) (4,155,444)
-------- ----------- -------- -----------
Net change (188,324) $(1,997,277) 174,102 $ 1,934,480
-------- ----------- -------- -----------
INSTITUTIONAL SHARES:
Shares sold 392,128 $ 4,117,781 316,551 $ 3,206,900
Shares issued in reinvestment of
distributions -- -- -- --
Shares redeemed (578,734) (6,111,774) (14,290) (142,770)
-------- ----------- -------- -----------
Net change (186,606) $(1,993,993) 302,261 $ 3,064,130
-------- ----------- -------- -----------
TOTAL NET CHANGE FOR FUND $(3,991,270) $ 4,998,610
----------- -----------
FOREIGN FRONTIER
ORDINARY SHARES:
Shares sold 383,704 $ 3,073,757 610,848 $ 5,520,494
Shares issued in reinvestment of
distributions -- -- -- --
Shares redeemed (48,574) (376,826) (22,311) (180,045)
-------- ----------- -------- -----------
Net change 335,130 $ 2,696,931 588,537 $ 5,340,449
-------- ----------- -------- -----------
</TABLE>
13. Subsequent Event (Unaudited).
On May 20, 1996, the Trustees of the Trust approved advisory contracts with
Columbia Partners, L.L.C., Investment Management ("Columbia Partners") to pro-
vide investment advisory services to Numeric and Numeric II. The contracts
will take effect on or about June 30, 1996, upon termination of the existing
contracts with Numeric Investors, L.P. Following an initial 120 day period af-
ter such termination, the advisory contracts with Columbia Partners will re-
main in effect with respect to a Fund only so long as that Fund's shareholders
approve the contract at a shareholder meeting to be held within the 120 day
period. Under the contracts, the Manager will pay Columbia Partners a fee
based on the percentage of the average daily net asset value for each Fund,
with the fee for each Fund determined separately. The fees are as follows: Nu-
meric - 0.50% and Numeric II - 0.40%.
34
<PAGE>
____________________________________________________ Q
UANTITATIVE GROUP OF FUNDS
- -------------------------------------------------------------------------------
Report of Independent Accountants
To the Shareholders and Trustees of Quantitative Group of Funds
In our opinion, the accompanying statements of assets and liabilities, includ-
ing the portfolios of investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in
all material respects, the financial position of Quantitative Numeric Fund,
Quantitative Numeric II Fund, Quantitative Disciplined Growth Fund, Quantita-
tive Growth and Income Fund, Quantitative International Equity Fund and Quan-
titative Foreign Frontier Fund (hereafter referred to as the "Funds") at March
31, 1996, the results of each of their operations, the changes in their net
assets and the financial highlights for the periods indicated, in conformity
with generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted au-
diting standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of mate-
rial misstatement. An audit includes examining, on a test basis, evidence sup-
porting the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at March 31, 1996 by corre-
spondence with the custodian and brokers, and the application of alternative
auditing procedures where confirmations from brokers were not received, pro-
vide a reasonable basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, MA
May 3, 1996
35
<PAGE>
QUANTITATIVE GROUP OF FUNDS
55 Old Bedford Road Lincoln, MA 01773 800-331-1244
Distributed by U.S. Boston Capital Corporation
