<PAGE>
QUANTITATIVE GROUP of FUNDS
[LOGO APPEARS HERE] ANNUAL
REPORT
MARCH 31, 1997
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
<PAGE>
QUANTITATIVE GROUP of FUNDS
------------------------------------
the science of investing
[LOGO OF QUANTITATIVE GROUP
OF FUNDS APPEARS HERE]
May 23, 1997
Dear Fellow Shareholder:
I am pleased to provide you with the Annual Report of the Quantitative Group
of Funds. As I write this, the Dow Jones Industrial Average has rebounded from
a difficult winter, recovering from its most recent correction. The philosophy
of our funds is to follow a consistent, disciplined approach to investing. We
also believe in remaining fully invested and in taking a long-term view, rather
than trying to "time" the market.
Fiscal year 1997 (April 1, 1996 through March 31, 1997) saw a cooling of the
domestic markets from their torrid pace of a year ago, as well as a continua-
tion and strengthening of a bias toward the stocks of larger companies. These
trends reflected a concern that the market was becoming overvalued and a corre-
sponding desire by investors to shift assets into the larger companies, which
they perceived as safer investments. Returns in the developed international
markets were lower than the prior year. The emerging markets struggled in most
of 1996, but have gained distinction as one of the few markets generating posi-
tive returns in the early part of 1997. Their performance underscores the point
that while there are significant ties between the U.S. and foreign markets, the
international markets do not operate in direct correlation with events in the
United States.
The past year has been a time of change. We are very pleased with the addi-
tion of Robert A. von Pentz as manager of our two Numeric Funds. In addition,
the acquisition of the manager of our two international funds has given these
funds access to new resources, which should benefit the funds' shareholders. As
always, our fund managers continued to evolve their investment strategies over
the last year, keeping what has been proven to be successful and incorporating
several innovations designed to improve their funds' performance.
We are generally pleased with the performance of our funds relative to their
peers and their benchmarks, particularly our Quantitative Numeric II (MidCap)
Fund and large cap Quantitative Growth and Income Fund. Set forth in the fol-
lowing pages are the returns of each of your funds, and the managers' assess-
ment of their own performance.
Recognizing that our shareholders are also interested in broader trends, I
have asked each manager to offer some general commentary on the markets in
which they invest:
55 Old Bedford Road, Lincoln, MA 01773 . phone 800/331-1244 . fax 617/259-1166
. Distributed by U.S. Boston Capital Corp.
<PAGE>
. Robert A. von Pentz, CFA (Quantitative Numeric Funds): "Our research indi-
cates that small and mid cap stocks are very undervalued relative to their
large cap brethren. This has been true for several quarters in a row, but the
relative underperformance continues. Possible catalysts for a return of in-
vestor interest to shares of smaller companies' stocks include a continued
widening of the valuation gap until small cap stocks become too cheap to ig-
nore; and an increased level of concern regarding the strong dollar's impact
on multinational companies' earnings, some of which we have already wit-
nessed."
. Steve Esielonis, Doug Holmes, CFA and Charles Babin, CFA (Quantitative Growth
and Income Fund): "Given investors' apprehension about the elevated valua-
tions in the market, we feel that they will seek out those stocks with the
best past performance, i.e. large cap stocks. For that reason we anticipate a
continuation of large cap stock leadership."
. Lyle Davis, CFA and David Umstead, CFA (Quantitative International Equity
Fund and Quantitative Foreign Frontier Fund): "We think that international
equity returns will be very competitive with U.S. equities over the next
year. The U.S. market has now risen to levels that many investors believe to
be very high and therefore susceptible to decline at worst and limited in its
upside at best. It is an excellent time to pursue the diversification that
the International Equity Fund provides with exposure to developed and emerg-
ing international equity markets.
Emerging market countries, as a group, have the lowest correlations with the
U.S. market of all equity markets. From that basis and from the fact that the
emerging market economies have, on average, the fastest growth rates of the
world's economies, we think that emerging markets should be part of a well
balanced portfolio. We continue to believe that over the next few years the
emerging markets offer the highest expected returns of the world's equity mar-
kets."
We appreciate the continued confidence you have shown in us. We are available
at any time to answer questions and provide assistance.
Sincerely,
Edward L. Pittman
President
/s/Edward L. Pittman
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PERFORMANCE AND PORTFOLIO OVERVIEW as of March 31, 1997
A WROD ABOUT INDICES
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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 a comparison to the relevant average of mutual funds classified as having
similar investment objectives to your fund, as computed by Lipper Analytical
Services, Inc. (Lipper).
Although the S&P 500 Index is the most commonly used benchmark for many perfor-
mance comparisons, it is not appropriate for all investment strategies. The In-
dex is comprised of 500 companies selected by Standard & Poor's Corporation
that mostly are based in the United States and that have large market capital-
izations. Because it is weighted by market capitalizations, the returns of the
Index tend to be dominated by the performance of the largest 100 companies.
Standard & Poor's also publishes the S&P 400 Index, comprised of stocks outside
the large capitalization bias of the S&P 500, which are chosen by Standard &
Poor's for their size and industry characteristics. This Index commonly is used
for comparison of the returns of "middle capitalization" companies. In addi-
tion, the Frank Russell Company publishes several indices representing addi-
tional segments of the stock market. The Russell 2000 Index often is used for
comparison of the performance of small capitalization stocks. This Index ex-
cludes the 1000 largest companies in the United States, and is comprised of the
next 2000 companies by market capitalization.
For comparison of international returns in developed countries, we use the Mor-
gan Stanley Europe, Australia, and Far East ("EAFE") Index. This Index is pres-
ently comprised of stocks in 21 countries other than the United States. Because
the Index is weighted by market capitalization of the individual countries, the
performance of Japanese stocks expressed in dollars account for 29% of its re-
turn, while the next largest components, the United Kingdom and Germany, repre-
sent only 19% and 9%, respectively. Thus, the performance of a fund relative to
this benchmark may heavily be influenced by the amount of its holdings in these
three 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, comprised of ap-
proximately 1,100 stocks in 26 countries. As with the EAFE Index discussed
above, the weighting in three markets, Malaysia (21%), Brazil (13%), and Thai-
land (13%), accounts for a significant portion of the Index's performance. In
addition, some countries within the Index are considered unsuitable for invest-
ment by the Quantitative International Equity and Quantitative Foreign Frontier
Funds because of restrictions on foreign investing and other factors.
The Lipper comparisons are based on averages calculated by Lipper for all the
mutual funds covered by it that share the stated investment objective (e.g.
small cap). The averages exclude multiple share classes of the same mutual fund
and assume reinvestment of dividends and capital gains by the funds, as do the
returns for our own funds.
QUANTITATIVE NUMERIC FUND
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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. The Fund uses a quantitative investment model that looks for
companies with visible earnings growth, attractive valuations, and strong or
improving fundamentals.
For calendar year 1996, the Fund's Ordinary Shares produced a return of 23.33%
(excluding the effects of the 1% redemption fee). During the twelve-month pe-
riod from April 1996 to March 1997, the Fund produced a return of 1.72% for in-
vestors in Ordinary Shares (excluding the effects of the 1% redemption fee),
compared to a 5.11% return for its benchmark, the Russell 2000 Index, and a re-
turn of 4.67% for the average small company fund, according to Lipper.
The Fund's industry selections proved a double-edged sword over the past year.
For the first six months of the period (April-September 1996), the Fund's
overweights in the technology and industry sectors enabled the Fund to signifi-
cantly outperform the Index and its peers. During this time, the Fund was aided
by a decline in technology stocks in July, which enabled it to acquire attrac-
tive stocks at good prices.
During the latter part of the period, particularly the first quarter of 1997, a
reversal of fortune in these sectors hurt the
1
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Fund's performance. The technology stocks were particularly hard hit by earn-
ings disappointments from networking companies, while energy stocks were the
victim of profit taking due to declining oil and gas prices. The extent of the
reversal is best demonstrated by the fact that the energy sector was by far
the best performing sector within the Russell 2000 Index for the past 12
months but one of the two worst performing sectors for the first quarter of
1997. Valuations in both sectors remain attractive, and we expect investors to
ultimately return to these sectors.
In the first part of 1997, companies with small capitalizations in general,
and particularly those with more growth characteristics (e.g., higher price to
earnings ratios), were treated harshly by momentum investors following disap-
pointing earnings. This trend particularly affected the Fund's relative per-
formance due to its commitment to retaining a strict small cap orientation. By
contrast, the Russell 2000 Index's returns are more greatly influenced by the
larger of small cap companies. We believe that many of the Fund's holdings
that suffered the worst were fairly valued by the market at the time of pur-
chase and are now severely undervalued.
One last factor contributed to the Fund's performance during the period. Due
to a high level of turnover in the Fund's portfolio during the first three
months of the period, the Fund's trading activities were constrained during
the last half of the period in order to satisfy certain tax requirements.
These constraints cost the Fund roughly 2-3% in absolute returns over the pe-
riod. The style presently used to manage the Fund requires significantly lower
turnover than in years past, and we do not anticipate this problem recurring
in the future.
Looking to the future, we believe that the current slow growth, low inflation
environment provides some optimism for the market's return to recognizing the
value of small cap companies. Many small cap companies have grown more adept
at controlling costs, increasing productivity, and beating consensus earnings
estimates. If this pattern continues in the future, we believe that it will
encourage investors to take a second, more positive look at smaller companies.
Robert A. von Pentz, CFA
Columbia Partners, L.L.C.,
Investment Management
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Value of $10,000 Invested in Quantitative Numeric
Ordinary Shares Vs. Russell 2000*
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Quantitative Numeric Russell 2,000
<S> <C> <C>
10,000 10,000
10,220 10,230
93 12,870 11,760
14,120 12,260
14,850 12,530
16,790 13,620
94 16,590 13,980
16,630 13,610
15,300 13,080
17,210 13,990
95 17,300 13,720
18,330 14,360
19,860 15,700
23,413 17,253
96 23,118 17,627
24,614 18,533
26,935 19,460
28,592 19,526
97 28,800 20,541
24,789 19,479
</TABLE>
Average Annual Total Return*
<TABLE>
<CAPTION>
Shares One Year Five Years Since Inception
<S> <C> <C> <C>
Ordinary 0.70% -- 21.50%(8/3/92)*
Institutional 2.22% -- 17.63%(1/6/93)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
- -------------------------------
<TABLE>
<S> <C>
Number of Holdings 62
Dollars Invested $65.7 million
Median Market Cap $ 549 million
</TABLE>
[PIE GRAPH APPEARS HERE]
Health Care 15%
Utilities 3%
Cons. Cycl. 15%
Basic Materials 2%
Industrials 10%
Financials 22%
Capital Goods 3%
Technology 17%
Other 7%
Energy 6%
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2
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QUANTITATIVE NUMERIC II (MIDCAP) FUND*
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The Quantitative Numeric II (MidCap) Fund invests primarily in common stocks of
companies 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.
For calendar year 1996, the Fund's Ordinary Shares produced a return of 27.45%.
During the twelve-month period from April 1996 to March 1997, the Fund produced
a return of 17.47% for investors in Ordinary Shares, compared to a 10.62% re-
turn for its benchmark, the S&P 400 Index, and a 4.95% return for the average
mid cap stock fund according to Lipper.
Due to the similarity of the investment models used by the two Quantitative Nu-
meric Funds, the returns for the Quantitative Numeric II Fund were influenced
by many of the same factors that affected the Quantitative Numeric Fund. Howev-
er, market forces and stock selection benefited the Fund in a number of areas.
The market's bias toward larger companies aided the Fund's performance relative
to its benchmark. The capitalizations of the Fund's holdings tended to be
higher than that of the Index's. The larger companies in the Fund's portfolio
were also less prone to dramatic swings in value than smaller companies, with
the result that the declines in the technology sector had less affect on the
Fund than they had on the Quantitative Numeric Fund.
Stock selection also complemented the Fund's industry choices. The Fund's over-
weight position in financial stocks, which were one of the best performing sec-
tors, included a selection of west coast bank stocks. These companies, which
were undervalued relative to other bank stocks, helped the Fund's performance
in the last quarter, as did careful stock picking in the basic materials sector
which produced solid gains, even though the sector as a whole underperformed
the Index.
One disappointing sector in the first quarter of 1997 was consumer cyclicals,
where the Fund suffered some losses from companies that failed to meet earnings
expectations. Generally, these companies have been successful at exceeding
forecasts, and coupled with favorable consumer sentiment and increasing wages,
we anticipate that this sector will generate considerable growth in the future.
Robert A. von Pentz, CFA
Columbia Partners, L.L.C.,
Investment Management
* Note: The legal name of this Fund is the Quantitative Numeric II Fund. We
have included the term "MidCap" in the heading to more easily distinguish the
Fund from its sibling, the small cap Quantitative Numeric Fund.
- -------------------------------
Value of $10,000 Invested in Quantitative Numeric II
Ordinary Shares Vs. S&P 400*
[LINE GRAPH APPEARS HERE]
Quantitative
Year Numeric II S&P 400
- ---- ------------ --------
95 10,000 10,000
10,120 10,132
11,120 11,016
12,270 12,091
96 12,665 12,262
13,460 13,081
14,204 13,393
14,826 13,783
97 16,141 14,618
15,812 14,400
[PIE CHART APPEARS HERE]
Capital Goods 8%
Cons. Services 8%
Financials 18%
Cons. Staples 9%
Technology 16%
Other 2%
Health Care 11%
Basic Mat. 5%
Cons. Cyc. 12%
Energy 6%
Utilities 5%
Average Annual Total Return*
<TABLE>
<CAPTION>
One Five Since
Shares Year Years Inception
<S> <C> <C> <C>
Ordinary 17.47% -- 25.32%(3/21/95)*
Institutional 17.51% -- 24.73%(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>
<S> <C>
Number of Holdings 55
Dollars Invested $9.2 million
Median Market Cap $2.8 billion
</TABLE>
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3
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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 to 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.
For calendar year 1996, the Fund's Ordinary Shares produced a return of
16.78%. During the twelve-month period from April 1996 to March 1997, the Fund
produced a return of 7.96% for investors in Ordinary Shares, compared to a
10.62% return for its benchmark, the S&P 400 Index, and a 4.95% return for the
average mid cap stock fund according to Lipper.
In June and July of 1996, the Fund shifted the focus of its portfolio from
small to mid cap stocks. The primary reason for the change was to better uti-
lize the strengths of the Fund's investment model. The shift in capitalization
reaped immediate dividends by moving the Fund into mid cap stocks at the same
time that they began outperforming smaller issues. To reflect this change, we
added a comparison to the S&P 400 Index, as well as the Russell 2000 Index in
the chart below. Another factor contributing to the Fund's performance was
successful sector overweights, particularly in financial stocks.
In the first quarter of 1997, there were two factors significantly affecting
performance. Individual stock selection was not successful during the quarter,
although industry selection continued to be beneficial. Toward the end of the
quarter, the Fund began liquidating its portfolio holdings into cash in antic-
ipation of its closing.* The liquidation had the beneficial effect of cushion-
ing the Fund from the sharp decline in the market at the end of the quarter.
Dean Barr and Doug Case, CFA
Advanced Investment Technology, Inc.
* President's Note: The Quantitative Disciplined Growth Fund ended operations
on April 30, 1997. The small size of the Fund made it impractical to con-
tinue operations in a manner that would be fair to shareholders. We appreci-
ate the fine service that Advanced Investment Technology, Inc. has provided
for the Fund, and we wish them continued success in their future endeavors.
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Value of $10,000 Invested in Quantitative Disciplined Growth
Ordinary Shares Vs. S&P 400 and Russell 2000*
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Quantitative Disciplined Growth Russell 2000 S&P 400
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<S> <C> <C> <C>
95 10,000 10,000 10,000
10,228 10,171 10,173
10,734 11,124 11,060
11,657 12,223 12,139
96 12,441 12,458 12,312
12,520 13,130 13,069
13,543 13,787 13,445
13,829 13,834 13,836
97 14,441 14,553 14,674
13,519 13,801 14,457
</TABLE>
Average Annual Total Return*
<TABLE>
<CAPTION>
One Five Since
Shares Year Years Inception
<S> <C> <C> <C>
Ordinary 7.96% -- 15.56%(3/1/95)*
Institutional 8.05% -- 11.99%(7/26/95)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
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PORTFOLIO COMPOSITION
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Cash 74%
Basic Ind. 7%
Financials 3%
Utilities 5%
Cons. Non-Cycl. 4%
Energy 2%
Technology 5%
</TABLE>
<TABLE>
<S> <C>
Number of Holdings 15
Dollars Invested $ 1.2 million
Median Market Cap $ 2.2 billion
</TABLE>
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4
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QUANTITATIVE GROWTH AND INCOME FUND
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FUND OVERVIEW
The Quantitative Growth and Income Fund is designed to serve as a core domes-
tic stock fund, focusing on investment opportunities among larger companies.
The Fund employs an investment model that measures both growth and value char-
acteristics of stocks within its universe of eligible investments. Although
the Fund invests primarily in securities of U.S. companies, it also invests in
securities of foreign companies that are included in the S&P 500.
For calendar year 1996, the Fund's Ordinary Shares produced a return of 18.81%
(excluding the effects of the 1% redemption fee). During the twelve month pe-
riod from April 1996 to March 1997, the Fund produced a return of 17.97% for
investors in Ordinary Shares (excluding the effects of the 1% redemption fee),
compared to a 19.83% return for its benchmark, the S&P 500 Index, and a return
of 15.47% for the average growth and income fund, according to Lipper.
While the Fund exceed the returns of the average growth and income fund, its'
practice of maintaining equal weighted positions for diversification purposes
adversely affected performance when compared to the S&P 500, which weights
companies by their market capitalization in measuring its returns. The most
significant gains in large cap stocks were concentrated in some of the largest
issues. The Fund had many of these issues in its portfolio, but they consti-
tuted a smaller percentage of the Fund than of the S&P 500.
The most significant development for the Fund in the last year was the intro-
duction of an industry selection component to the Fund's investment model. The
Fund had previously adhered closely to the sector weights of the S&P 500 and
sought to provide value primarily through individual stock selection. While
still maintaining sector controls, the Fund now has allowed limited
overweighting in some sectors. The revised strategy was implemented in the
fourth quarter of 1996 and improved relative returns for the last half of the
period.
Steven Esielonis, Doug Holmes, CFA, and Charles Babin, CFA
State Street Global Advisors
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Value of $10,000 Invested in Quantitative Growth and Income
Ordinary Shares Vs. S&P 500*
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Year Quantitative Growth & Income S&P 500
- --------------------------------------------------------------------------------
<S> <C> <C>
10,000 10,000
9,660 10,490
86 11,190 12,130
12,820 13,810
13,430 14,630
13,010 13,610
87 13,360 14,370
15,780 17,440
16,350 18,320
17,380 19,520
88 13,560 15,120
14,920 15,980
15,690 17,050
15,540 17,110
89 15,860 17,630
17,370 18,880
18,880 20,540
21,760 22,740
90 21,760 23,210
20,990 22,510
22,570 23,930
19,660 20,640
91 21,510 22,490
24,750 25,760
24,240 25,700
25,740 27,050
92 27,530 29,310
27,160 28,580
26,860 29,120
27,640 30,040
93 29,270 31,540
30,900 32,920
31,220 33,080
32,260 33,930
94 32,750 34,780
31,370 33,400
31,210 33,540
32,470 35,180
95 32,534 35,180
35,370 38,600
38,178 42,290
40,809 45,650
96 41,692 48,398
43,211 50,997
44,961 53,287
45,910 54,934
97 50,037 59,510
50,464 60,706
</TABLE>
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[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Other 1
Capital Goods 6
Cons. Staples 12
Basic Mat. 7
Financial 14
Energy 8
Health Care 12
Comm. Servs. 5
Cons. Cycl. 13
Utilities 4
Technology 18
</TABLE>
Average Annual Total Return*
<TABLE>
<CAPTION>
One Five Ten Since
Shares Year Years Years Inception
<S> <C> <C> <C> <C>
Ordinary 16.79% 13.19% 12.32% 14.58%(5/9/85)
Institutional 18.62% 13.99% -- 13.58%(3/25/91)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
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PORTFOLIO COMPOSITION
<TABLE>
<S> <C>
Number of Holdings 103
Dollars Invested $44.8 million
Average Market Cap $25.6 billion
</TABLE>
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5
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QUANTITATIVE INTERNATIONAL EQUITY FUND
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FUND OVERVIEW
The Quantitative International Equity Fund searches for investment opportuni-
ties in developed foreign markets. In addition, the Fund maintains limited ex-
posure to emerging markets by investing in American Depository Receipts (ADRs)
of emerging market companies. The Fund seeks to reduce risk by diversifying
the number of countries in which it invests, generally 10 or more, and by di-
versifying the number of holdings in the portfolio, generally over 100 compa-
nies.
For calendar year 1996, the Fund's Ordinary Shares produced a return of 5.30%
(excluding the effects of the 1% redemption fee). During the twelve-month pe-
riod from April 1996 to March 1997, the Fund produced a return of 3.82% for
investors in Ordinary Shares (excluding the effects of the 1% redemption fee),
compared to a 1.45% return for its benchmark, the Morgan Stanley EAFE Index
(an index comprised of stocks of developed foreign countries) and a return of
8.70% for the average international fund, according to Lipper.
Performance in the developed markets varied sharply over the period. The re-
turns in the European markets were strong, while returns in the Asian markets
were disappointing. The Fund's significant exposure in Japan, while less than
the EAFE Index, hurt its returns over the period. Japan was one of the worst
performing EAFE countries for the period. Toward the end of the period, as a
result of the implementation of changes to the Fund's investment model, the
Fund's percentage of holdings in Japan dropped to roughly half of what they
were at the beginning of the period.
The Fund made some modifications in both the way it selects countries and in-
dividual stocks over the period, taking advantage of the greater resources of
information made available by the reorganization of Independence International
Associates, Inc. last fall. The Fund evolved its country selection strategy to
reduce its reliance on gross domestic product weights. The results, as noted
above, led to a decrease in the Fund's holdings in Japan and an increase in
its emerging markets holdings. The change in individual stock selection re-
sulted in a move from a strict value discipline within each of the individual
countries to developing an individual valuation model for each country that
reflects both growth and value characteristics.
Another, more subtle, change in investment philosophy made by the Fund was to
invest in emerging markets through ADR's, rather than through closed-end coun-
try funds. This approach enables the Fund to provide value through individual
stock selection for the emerging markets represented in its portfolio. It also
eliminates the valuation issues involved with closed-end funds that may trade
at a discount or premium to the actual value of their underlying securities.
Foreign currency exposure hurt the Fund's performance. Most foreign currencies
fell in value versus the U.S. dollar, many by 10% or more. In total, currency
returns cost the Fund about 7% in absolute returns over the period.
For the coming year, we note that Japan's economy has begun to show modest im-
provement as the real estate market has stabilized, helping to solidify some
of the lending problems of the Japanese banks. Europe continues to benefit
from the anticipated arrival of a common currency and declining interest
rates. Should these trends continue, along with a stabilization of exchange
rates which we expect to occur, the outlook for developed markets in the next
year should be a positive one.
Lyle Davis, CFA and
David Umstead, CFA, Ph.D.
Independence International Associates, Inc.
6
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Value of $10,000 Invested in Quantitative
International Equity ("QIE") Ordinary Shares Vs. EAFE*
Average Annual Total Return*
<TABLE>
<CAPTION>
One Five Since
Shares Year Years Inception
<S> <C> <C> <C>
Ordinary 2.79% 7.49% 3.50%(7/31/87)
Institutional 4.38% -- 1.63%(8/25/94)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Year Quantitative International Equity EAFE
<S> <C> <C>
10,000 10,000
9,750 9,840
88 8,680 8,800
9,390 10,140
9,700 9,700
9,890 9,760
89 11,200 11,290
11,070 11,320
10,970 10,620
12,780 11,940
90 13,130 12,480
12,120 10,010
12,690 10,970
9,630 8,640
91 9,420 9,560
10,090 10,270
9,540 9,710
10,230 10,540
92 10,370 10,710
9,710 9,440
9,950 9,640
9,250 9,790
93 8,950 9,410
9,880 10,540
10,500 11,600
11,440 12,370
94 11,850 12,480
12,709 12,910
13,333 13,570
13,333 13,584
95 12,920 13,446
12,718 13,696
12,984 13,797
12,959 14,376
96 13,226 14,960
13,426 15,392
13,665 15,636
13,527 15,617
97 13,927 15,879
13,801 15,635
</TABLE>
- -------------------------------
PORTFOLIO COMPOSITION
<TABLE>
<S> <C>
Number of Holdings 114
Dollars Invested $28.6 million
</TABLE>
[PIE GRAPH APPEARS HERE]
<TABLE>
<S> <C>
France 5%
Malaysia 6%
Spain 6%
UK 6%
Japan 16%
Other 2%
Emerging Mkts. 14%
Switzerland 9%
Germany 8%
Other Asia/Paci. 9%
Other Europe 19%
</TABLE>
- --------------------------------------------------------------------------------
7
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
- -------------------------------------------------------------------------------
QUANTITATIVE FOREIGN FRONTIER FUND
- -------------------------------------------------------------------------------
FUND OVERVIEW
The Quantitative Foreign Frontier Fund concentrates on investment opportuni-
ties in the markets of emerging foreign countries. The Foreign Frontier Fund
is diversified, in terms of both the countries and number of holdings repre-
sented in its portfolio. Generally, the Fund will invest in three to four geo-
graphic regions and hold roughly equal positions in a number of countries
within each region (usually 10% or less). The Fund's strategy is designed to
generate returns based on a diversified participation in ten or more coun-
tries, with the individual stocks in each country chosen to be representative
of the performance of that country's market as a whole.
For calendar year 1996, the Fund's Ordinary Shares produced a return of 8.75%
(excluding the effects of the 1% redemption fee). During the twelve-month pe-
riod from April 1996 to March 1997, the Fund produced a return of 10.26% for
investors in Ordinary Shares (excluding the effects of the 1% redemption fee),
compared to a 12.36% return for its benchmark, the International Finance Cor-
poration Investable Composite Index, and a return of 13.28% for the average
diversified emerging markets fund, according to Lipper.
Country selection continues to account for the largest element of Fund perfor-
mance. As is customary in the emerging markets, returns in the individual
countries varied significantly over the period. Most of the countries deliv-
ered good returns over the period, particularly Argentina, Brazil and Turkey.
The Fund invested in sixteen of the twenty-three countries comprising the IFCI
and had returns fairly close to the Index.
Because the returns of the portfolio are largely dictated by the performance
of individual countries, stock selection over time should be a neutral factor
relative to the Index, as stocks are chosen in an attempt to mimic the Index
within each country in which the Fund invests.
Individual emerging markets continue to be volatile, with some markets experi-
encing monthly volatilities equal to the annual volatilities of developed mar-
kets, such as the United States. The Fund provides broad diversification by
investing in most of the truly available emerging markets, enabling investors
to participate in the growth of these markets, while attempting to control the
risk involved.
Lyle Davis, CFA and
David Umstead, CFA, Ph.D.
Independence International Associates, Inc.
- -------------------------------
Value of $10,000 Invested in Quantitative
Foreign Frontier Ordinary Shares Vs. IFCI*
[LINE GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Quantitative
Year Foreign Frontier IFCI
---------------- -----
<S> <C> <C>
10,000 10,000
8,213 8,299
95 7,469 7,091
8,222 7,708
8,047 7,675
96 8,026 7,605
8,656 8,185
9,059 8,740
8,759 8,548
97 8,728 8,526
9,449 9,338
</TABLE>
[PIE CHART APPEARS HERE]
<TABLE>
<S> <C>
Brazil 12
South Africa 5
Mexico 10
Other 2
Argentina 12
Malaysia 7
Other Europe 6
Turkey 7
Chile 5
Philippines 8
Peru 5
Indonesia 8
Portugal 4
Thailand 5
Other Asia 4
</TABLE>
Average Annual Total Return*
<TABLE>
<CAPTION>
One Five Since
Shares Year Years Inception
<S> <C> <C> <C>
Ordinary 9.16% -- (2.24)%(8/8/94)
Institutional -- -- 9.54%(4/2/96)
</TABLE>
* See accompanying Notes, which should be read in conjunction with this
material. Past performance is not predictive of future performance.
<TABLE>
<S> <C>
Number of Holdings 231
Dollars Invested $11.0 million
</TABLE>
- --------------------------------------------------------------------------------
8
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
- -------------------------------------------------------------------------------
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, Quantitative Numeric II--3/21/95, Quantitative Disciplined Growth--
3/1/95, Quantitative Growth and Income--5/9/85, Quantitative International Eq-
uity--7/31/87, and Quantitative Foreign Frontier Fund--10/3/94. Each index re-
flects a group of unmanaged securities which does not bear operational or man-
agement expenses. The indices are further described in the section entitled "A
Word About Indices". The dollar values of an investment in the Funds on March
31, 1997 reflect an annual 12b-1 fee and, for the Quantitative Numeric, Quan-
titative Growth and Income, Quantitative International Equity and Quantitative
Foreign Frontier Funds, 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
Quantitative International Equity Funds, as described in the prospectus and,
for the Quantitative Numeric Fund and the Quantitative Foreign Frontier Fund,
additional voluntary expense waivers and/or reimbursements made by Quantita-
tive Advisors, Inc. The average annual total returns for the Quantitative Nu-
meric II and Quantitative Disciplined Growth Funds reflect the effect of ex-
pense waivers and/or reimbursements where applicable that are subject to the
periodic review of Quantitative Advisors, Inc. There is no guarantee that
Quantitative Advisors, Inc. will continue to limit expenses of these Funds in
the future. If the expenses for these funds had not been subsidized, the per-
formance would have been lower. Returns for the Ordinary Shares of the Quanti-
tative Numeric, Quantitative Growth and Income, Quantitative International Eq-
uity and Quantitative Foreign Frontier Funds reflect the effect of the 12b-1
fee and deferred sales charge. Returns for the Ordinary Shares of the Quanti-
tative Numeric II and Quantitative Disciplined Growth Funds reflect the effect
of the 12b-1 fee but not the deferred sales charge. Certain Ordinary Shares of
the Quantitative Numeric II and Quantitative Disciplined Growth Funds pur-
chased prior to August 1, 1996 are subject to the deferred sales charge. Re-
turns for the Institutional Shares of the Quantitative Foreign Frontier Fund
are not annualized and are for a limited period of time. 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.
9
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE NUMERIC FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--92.4% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
APPAREL & TEXTILES--1.9%
Finish Line Inc., Class A (b) 57,225 $ 1,273,256
-----------
AUTO PARTS--2.0%
Gentex Corporation (b) (with rights exp. 8/26/01) 68,300 1,348,925
-----------
BANKS--2.0%
Bank Plus Corporation (b) 38,360 397,985
PFF Bancorp Inc. (b) 66,560 956,800
-----------
1,354,785
-----------
BUSINESS SERVICES--4.4%
APAC TeleServices Inc. (b) 34,615 899,990
BA Merchant Services Inc., Class A (b) 76,545 1,052,494
National Techteam Inc. (b) 61,185 948,367
-----------
2,900,851
-----------
COMPUTERS & BUSINESS
EQUIPMENT--1.4%
Xircom Inc. (b) 60,800 919,600
-----------
CONSTRUCTION MATERIALS--2.5%
Medusa Corporation 43,625 1,635,937
-----------
DRUGS & HEALTH CARE--13.8%
Curative Health Services Inc. (b) 48,380 1,112,740
FPA Medical Management Inc. (b) 45,980 885,115
Lincare Holdings Inc. (b) 32,740 1,350,525
Multicare Companies Inc. (b) 71,470 1,348,996
North American Vaccine Inc. (b) 38,560 776,020
Orthodontic Centers of America Inc. (b) 86,715 1,170,652
Quintiles Transnational Corporation (b) 17,550 945,506
Quorum Health Group Inc. (b) 45,690 1,410,679
Theragenics Corporation 9,640 144,600
-----------
9,144,833
-----------
ELECTRIC UTILITIES--1.7%
TNP Enterprises Inc. 52,000 1,111,500
-----------
ELECTRICAL EQUIPMENT--1.4%
Symmetricom Inc. (b) 65,220 929,385
-----------
ELECTRONICS--2.1%
SCI Systems Inc. (b) 27,085 1,371,178
-----------
FINANCIAL SERVICES--10.8%
Aames Financial Corporation 41,805 846,551
AmeriCredit Corporation (b) 66,390 1,153,526
First Alliance Company (b) 43,910 1,031,885
Money Store Inc. 54,365 1,141,665
Ocwen Financial Corporation (b) 43,735 1,268,315
Pacificamerica Money Center Inc. (b) 33,790 1,013,700
Wilshire Financial Services Group Inc. (b) 47,035 682,008
-----------
7,137,650
-----------
GAS & PIPELINE UTILITIES--1.7%
Falcon Drilling (b) 30,450 1,126,650
-----------
GAS EXPLORATION--2.3%
Nuevo Energy Company (b) 18,555 712,048
Seagull Energy Corporation (b) 44,300 797,400
-----------
1,509,448
-----------
HOMEBUILDERS--0.8%
Centex Corporation 15,880 559,770
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
HOTELS AND RESTAURANTS--1.4%
Showbiz Pizza Time Inc. (b) 51,555 $ 902,212
-----------
HOUSEHOLD APPLIANCES/
FURNISHING--1.8%
Furniture Brands International Inc. (b) 79,055 1,185,825
-----------
INDUSTRIAL MACHINERY--1.3%
Wyman Gordon Company (b) 43,880 894,055
-----------
INSURANCE--5.9%
American Bankers Insurance Group Inc. 28,700 1,399,125
CMAC Investment Corporation 40,710 1,358,696
Fremont General Corporation 40,380 1,135,688
-----------
3,893,509
-----------
PETROLEUM SERVICES--3.4%
Marine Drilling Companies Inc. (b) 60,455 1,073,076
Pride Petroleum Services Inc. (b) 58,750 1,219,063
-----------
2,292,139
-----------
POLLUTION CONTROL--2.1%
United Waste Systems Inc. (b) 36,605 1,363,536
-----------
RETAIL GROCERY--1.5%
Richfood Holdings Inc. 54,525 1,022,344
-----------
RETAIL TRADE--8.2%
Dress Barn (b) 62,295 1,051,228
JumboSports Inc. (b) 103,810 570,955
Lands End Inc. (b) 57,945 1,535,543
Ross Stores Inc. 50,074 1,270,628
Tiffany & Company 27,000 1,026,000
-----------
5,454,354
-----------
SAVINGS AND LOAN--3.8%
Astoria Financial Corporation 33,630 1,210,680
Glendale Federal Bank (b) 56,250 1,293,750
-----------
2,504,430
-----------
SOFTWARE--10.5%
Arbor Software Corporation (b) 32,820 820,500
Credit Management Solutions Inc. (b) 33,355 341,889
Forte Software Inc. (b) 22,600 519,800
International Network Services (b) 31,230 585,563
Rational Software Corporation (b) 23,345 481,491
Siebel Systems Inc. (b) 62,420 1,045,535
Technology Modeling Associates Inc. (b) 54,875 569,328
Vantive Corporation (b) 41,970 860,385
Videoserver Inc. (b) 28,760 679,455
Wind River Systems Inc. (b) 46,410 1,096,436
-----------
7,000,382
-----------
TELECOMMUNICATION
SERVICES--2.3%
Allin Communications Corporation (b) 57,015 798,210
DSP Communications Inc. (b) 55,770 536,786
NACT Telecommunications Inc. (b) 30,955 181,861
-----------
1,516,857
-----------
TIRES AND RUBBER--1.4%
Safeskin Corporation (b) 51,720 937,425
-----------
TOTAL COMMON STOCK
(Cost $70,016,054) $61,290,836
===========
</TABLE>
10
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE NUMERIC FUND--CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
SHORT TERM INVESTMENTS--6.6% (a)
<CAPTION>
Par Value Value
<S> <C> <C>
State Street Repo 4%, 1 April, 1997 (Cost $4,390,000)
(Dated 3/31/97), Collaterized by $3,765,000 U.S.
Treasury Bond 8.875%, 2/15/2019, Market Value
$4,481,551, Repurchase Proceeds $4,390,488. $4,390,000 $ 4,390,000
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $4,390,000) $ 4,390,000
-----------
TOTAL INVESTMENTS--99.0% (A)
(Cost $74,406,054) (c) $65,680,836
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized depreciation of investments based on
aggregate cost for federal tax purposes of $74,466,287 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 1,282,399
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (10,067,850)
------------
Net unrealized depreciation $ (8,785,451)
============
</TABLE>
The accompanying notes are an integral part of these financial statements.
11
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE NUMERIC II FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--98.1% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
APPAREL & TEXTILES--4.2%
Tommy Hilfiger Corporation (b) 3,440 $ 179,740
Fruit Of The Loom Inc., Class A (b) 4,820 200,030
----------
379,770
----------
AUTOMOBILES--1.6%
Lear Corporation (b) 4,310 143,846
----------
BANKS--4.3%
Charter One Financial Inc. 4,185 183,617
Union Planters Corporation (with rights exp. 1/19/99) 5,015 203,734
----------
387,351
----------
CHEMICALS--1.4%
Goodrich B.F. Company 3,500 128,187
----------
COMPUTERS & BUSINESS
EQUIPMENT--8.5%
Cisco Systems Inc. (b) 3,500 168,438
Compaq Computer Corporation (b) 2,350 180,069
Gateway 2000 Inc. (b) 4,700 240,875
Micron Electronics Inc. (b) 9,825 187,903
----------
777,285
----------
CONGLOMERATES--3.3%
Lancaster Colony Corporation
(with rights exp. 4/20/00) 2,600 119,600
U.S. Industries Inc. (b) 5,060 178,365
----------
297,965
----------
CONTAINERS & GLASS--3.3%
Crown Cork & Seal Inc. 3,120 161,070
Temple-Inland Inc. 2,750 144,375
----------
305,445
----------
DRUGS & HEALTH CARE--10.5%
Biogen Inc. (b) 4,610 172,299
Bristol-Myers Squibb Company 2,200 129,800
MedPartners Inc. (b) 6,940 147,475
Oxford Health Plans Inc. (b) 1,640 96,145
Schering-Plough Corporation 3,000 218,250
Warner-Lambert Company 2,240 193,760
----------
957,729
----------
ELECTRIC UTILITIES--3.6%
Entergy Corporation 4,100 100,450
Montana Power Company 5,100 109,650
New York State Electric & Gas Corporation 5,300 114,613
----------
324,713
----------
ELECTRICAL EQUIPMENT--1.8%
Raychem Corporation 1,955 161,043
----------
FOOD & BEVERAGES--1.8%
Coca-Cola Enterprises Inc. 2,795 160,363
----------
GAS EXPLORATION--3.1%
Apache Corporation 4,500 150,750
Oryx Energy Company (b) 6,760 130,130
----------
280,880
----------
HOMEBUILDERS--0.8%
Centex Corporation 2,075 73,144
----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INDUSTRIAL MACHINERY--2.0%
U.S. Filter Corporation (b) 5,790 $ 178,766
----------
INSURANCE--5.6%
ITT Hartford Group Inc. 1,515 109,269
Ohio Casualty Corporation 4,565 187,736
Old Republic International Corporation 8,205 210,253
----------
507,258
----------
LEISURE TIME--2.1%
International Game Technology 11,875 191,484
----------
NEWSPAPERS--2.6%
Times Mirror Company, Class A 4,375 238,984
----------
PAPER--2.3%
Fort Howard Corporation (b) 6,700 208,537
----------
PETROLEUM SERVICES--3.3%
Global Marine Inc. (b) 7,035 151,252
Noble Drilling Corporation (b) 8,695 149,989
----------
301,241
----------
RETAIL GROCERY--3.9%
American Stores Company
(with rights exp. 3/18/98) 4,470 198,915
Food Lion Inc., Class A 19,000 155,563
----------
354,478
----------
RETAIL TRADE--6.1%
Blyth Industries Inc. (b) 2,975 107,472
Corporate Express Inc. (b) 7,342 75,256
Ross Stores Inc. 7,800 197,925
TJX Companies Inc. 4,150 177,413
----------
558,066
----------
SAVINGS AND LOAN--8.4%
Ahmanson H.F. & Company 5,110 186,515
Great Western Financial Corporation 5,500 222,063
Greenpoint Financial Corporation 3,325 171,237
Washington Mutual Inc. 3,850 186,003
----------
765,818
----------
SOFTWARE--8.9%
Compuware Corporation (b) 4,200 263,550
Electronic Arts (b) 5,000 133,125
Electronics For Imaging Inc. (b) 3,880 154,715
Equifax Inc. 4,700 128,075
HBO & Company 2,750 130,625
----------
810,090
----------
TELECOMMUNICATION SERVICES--1.4%
PairGain Technologies Inc. (b) 4,310 127,684
----------
TELEPHONE--1.2%
LCI International Inc. (b) 6,455 108,121
----------
TOBACCO--2.1%
RJR Nabisco Holdings Corporation 5,900 190,275
----------
TOTAL COMMON STOCK
(Cost $8,177,177) $8,918,523
----------
</TABLE>
12
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE NUMERIC II FUND--CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SHORT TERM INVESTMENTS--2.7% (a)
<TABLE>
<CAPTION>
Par
Value Value
<S> <C> <C>
State Street Repo 2%, 1 April, 1997 (Cost $245,000) (Dated
3/31/97), Collateralized by $205,000 U.S. Treasury Bond
9.125%, 5/15/2018, Market Value $253,957, Repurchase
Proceeds $245,013. $245,000 $ 245,000
----------
TOTAL SHORT TERM INVESTMENTS
(Cost $245,000) $ 245,000
==========
TOTAL INVESTMENTS--100.8% (A)
(Cost $8,422,177) (c) $9,163,523
==========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $8,437,833 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost $1,214,894
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (489,204)
----------
Net unrealized appreciation $ 725,690
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
13
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE DISCIPLINED GROWTH FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--26.1% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
BANKS--1.3%
BanPonce Corporation 700 $ 24,850
--------
BUSINESS SERVICES--5.3%
Comdisco, Inc. (with rights exp. 11/17/97) 700 21,788
Corrections Corporation America (b) 900 21,825
Robert Half International Inc. (b) 1,700 59,288
--------
102,901
--------
CHEMICALS--2.7%
Cabot Corporation 1,400 33,600
Lubrizol Corporation 600 19,500
--------
53,100
--------
CONTAINERS & GLASS--2.4%
Temple-Inland Inc. 900 47,250
--------
DOMESTIC OIL--1.0%
Noble Affiliates Inc. 500 18,875
--------
DRUGS & HEALTH CARE--1.6%
McKesson Corporation 500 32,000
--------
ELECTRIC UTILITIES--2.6%
Pinnacle West Capital Corporation 1,700 51,211
--------
HOTELS AND RESTAURANTS--1.5%
Wendy's International Inc. 1,400 28,875
--------
INSURANCE--1.6%
Conseco Inc. 900 32,063
--------
PETROLEUM SERVICES--1.4%
Reading & Bates Corporation (b) 1,200 27,150
--------
STEEL--1.8%
Bethleham Steel Corporation (b)
(with rights exp. 10/18/98) 4,200 34,650
--------
TELEPHONE--2.9%
Cincinnati Bell Inc. 1,000 56,500
--------
TOTAL COMMON STOCK
(Cost $526,125) (c) $509,425
========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized depreciation of investments based on
aggregate cost for federal tax purposes of $526,306 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost. $ 14,167
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value. (31,048)
--------
Net unrealized depreciation $(16,881)
========
</TABLE>
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
[LOGO OF QUANTITATIVE GROWTH AND INCOME FUND]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--97.3% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AEROSPACE--2.2%
General Dynamics Corporation 7,400 $ 498,575
Northrop Grumman Corporation 6,600 499,125
-----------
997,700
-----------
APPAREL & TEXTILES--1.2%
V.F. Corporation 8,000 535,000
-----------
AUTOMOBILES--1.7%
Chrysler Corporation 14,200 426,000
Ford Motor Company 11,000 345,125
-----------
771,125
-----------
BANKS--4.0%
AmSouth Bancorporation 4,300 207,475
BankAmerica Corporation 6,900 695,175
Barnett Banks Inc. 1,900 88,350
Charter One Financial Inc. 5,565 244,164
Comerica Inc. 5,000 281,875
Mercantile Bankshares Corporation 7,900 266,625
-----------
1,783,664
-----------
BUSINESS SERVICES--0.3%
AccuStaff Inc. (b) 3,800 63,650
Cognizant Corporation 1,800 52,425
-----------
116,075
-----------
CHEMICALS--2.7%
Dow Chemical Company 5,500 440,000
International Specialty Products 8,400 105,000
Lubrizol Corporation 3,600 117,000
PPG Industries Inc. 4,100 221,400
Rohm & Haas Company 4,400 329,450
-----------
1,212,850
-----------
COMPUTERS & BUSINESS
EQUIPMENT--7.9%
Cisco Systems Inc. (b) 2,600 125,125
Compaq Computer Corporation (b) 11,000 842,875
Dell Computer Corporation (b) 13,800 933,225
Gateway 2000 Inc. (b) 11,800 604,750
Micron Electronics Inc. (b) 9,300 177,863
Pitney Bowes Inc. 3,200 188,000
Quantum Corporation (b) 2,500 96,563
Western Digital Corporation (b)
(with rights exp. 11/30/98) 10,100 571,913
-----------
3,540,314
-----------
CONSTRUCTION & MINING
EQUIPMENT--2.5%
Case Corporation 9,600 487,200
Caterpillar Inc. 8,000 642,000
-----------
1,129,200
-----------
CONSTRUCTION MATERIALS--1.1%
USG Corporation (b) 15,500 486,312
-----------
COSMETICS & TOILETRIES--0.8%
Avon Products Inc. 6,900 362,250
-----------
DOMESTIC OIL--1.2%
Murphy Oil Corporation 3,000 141,000
Phillips Petroleum Company 10,100 412,838
-----------
553,838
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
DRUGS & HEALTH CARE--11.5%
Allegiance Corporation 21,100 $ 466,838
Amgen Inc. (b) 1,500 83,813
Bristol-Myers Squibb Company 18,800 1,109,200
Manor Care Inc. 17,000 414,375
Merck & Company Inc. 16,900 1,423,825
Schering-Plough Corporation 12,100 880,275
Tenet Healthcare Corporation (b) 13,635 335,762
Wellpoint Health Networks Inc. 10,868 451,022
-----------
5,165,110
-----------
ELECTRIC UTILITIES--3.2%
Boston Edison Company 10,200 266,475
Consolidated Edison Company Inc. 12,400 372,000
Long Island Lighting Company 25,300 607,200
Rochester Gas & Electric Corporation 9,900 188,100
-----------
1,433,775
-----------
ELECTRICAL EQUIPMENT--2.4%
Johnson Controls Inc. 5,300 426,650
UCAR International Inc. (b) 16,500 653,812
-----------
1,080,462
-----------
ELECTRONICS--5.9%
Advanced Micro Devices Inc. (b) 8,300 344,450
Honeywell Inc. 7,500 509,063
Intel Corporation 11,500 1,599,938
SCI Systems Inc. (b) 3,500 177,188
-----------
2,630,639
-----------
FINANCIAL SERVICES--3.1%
Donaldson Lufkin & Jenrette Inc. 600 21,975
Merrill Lynch & Company Inc. 4,900 420,788
Money Store Inc. 3,000 63,000
Salomon Inc. 9,000 448,875
Student Loan Marketing Association 4,500 428,625
-----------
1,383,263
-----------
FOOD & BEVERAGES--6.3%
Campbell Soup Company 8,200 380,275
Coca Cola Company 8,500 474,937
ConAgra Inc. 10,900 591,325
General Mills Inc. 5,400 335,475
Heinz (H.J.) Company 14,000 553,000
Hormel Foods Corporation 8,600 220,375
Interstate Bakeries Corporation (b) 6,000 283,500
-----------
2,838,887
-----------
GAS & PIPELINE UTILITIES--1.8%
Cooper Cameron Corporation (b) 6,000 411,000
National Fuel Gas Company 8,900 380,475
-----------
791,475
-----------
INDUSTRIAL MACHINERY--0.2%
Applied Materials Inc. (b) 1,500 69,562
-----------
INSURANCE--5.0%
AMBAC Inc. 3,100 199,950
CIGNA Corporation 4,600 672,175
KeyCorp 10,700 521,625
Loews Corporation 1,200 106,650
Marsh & McLennan Companies Inc. 4,300 486,975
PMI Group Inc. 5,300 265,663
-----------
2,253,038
-----------
</TABLE>
15
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE GROWTH AND INCOME FUND--CONTINUED
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
COMMON STOCK--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INTERNATIONAL OIL--5.8%
Chevron Corporation 8,600 $ 598,775
Exxon Corporation 11,200 1,206,800
Mobil Corporation 6,100 796,812
-----------
2,602,387
-----------
INVESTMENT COMPANIES--0.5%
Bear Stearns Companies Inc. 8,762 230,002
-----------
LEISURE TIME--0.8%
Callaway Golf Company 500 14,313
MGM Grand Inc. (b) 9,700 351,625
-----------
365,938
-----------
MISCELLANEOUS--2.7%
Costco Companies Inc. (b) 28,300 781,787
Everest Reinsurance Holdings 14,800 434,750
-----------
1,216,537
-----------
PAPER--1.4%
Fort Howard Corporation (b) 19,500 606,937
-----------
PETROLEUM SERVICES--1.0%
Rowan Companies Inc. (b)
(with rights exp. 2/25/02) 15,100 341,638
Valero Energy Corporation 2,500 90,937
-----------
432,575
-----------
RAILROADS & EQUIPMENT--0.5%
CSX Corporation 4,400 204,600
-----------
RETAIL GROCERY--1.1%
Safeway Inc. (b) 10,600 491,575
-----------
RETAIL TRADE--7.7%
Borders Group Inc. (b) 2,200 41,525
CVS Corporation 4,700 216,787
Dayton Hudson Corporation 19,300 805,775
Lowes Companies Inc. 13,400 500,825
Sears Roebuck & Company 13,400 673,350
TJX Companies Inc. 11,700 500,175
Tiffany & Company 18,400 699,200
-----------
3,437,637
-----------
SOFTWARE--2.5%
Adobe Systems Inc. 6,700 268,837
Computer Associates International Inc. 7,050 274,069
Compuware Corporation (b) 9,400 589,850
-----------
1,132,756
-----------
STEEL--1.2%
AK Steel Holding Corporation 3,600 129,600
USX U.S. Steel Group 15,600 415,350
-----------
544,950
-----------
TELECOMMUNICATION SERVICES--0.4%
Lucent Technologies Inc. 3,844 202,771
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
TELEPHONE--4.7%
Ameritech Corporation 7,200 $ 442,800
Bell Atlantic Corporation 8,500 517,437
GTE Corporation 17,100 797,287
SBC Communications Inc. 6,700 352,588
-----------
2,110,112
-----------
TOBACCO--2.0%
Philip Morris Companies Inc. 4,300 490,737
RJR Nabisco Holdings Corporation 12,600 406,350
-----------
897,087
-----------
TOTAL COMMON STOCK
(Cost $36,027,328) (c) $43,610,403
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized appreciation of investments based
on aggregate cost for federal tax purposes of $36,027,328 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost $8,566,166
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (983,091)
----------
Net unrealized appreciation $7,583,075
==========
</TABLE>
16
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--97.7% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AUSTRALIA--2.0%
Brambles Industries Ltd. (b) 35,400 $ 581,906
-----------
ARGENTINA--1.5%
Perez Companc SA , Class B (b) (d) 8,400 132,300
Telefonica De Argentina SA, Class B (b) (d) 2,700 79,313
YPF Sociedad Anonima, Class D (d) 8,400 222,600
-----------
434,213
-----------
BELGIUM--4.2%
Electrabel (b) 1,052 241,604
Glaverbel (b) 7,735 975,693
-----------
1,217,297
-----------
BRAZIL--1.3%
Aracruz Celulose SA (b) (d) 2,650 48,321
Centrais Eletricas Brasileiras (b) (d) 2,000 42,000
Companhia Cerveja Ria Brahma (d) 4,400 59,950
Companhia Siderurgica Nacional (b) (d) 2,100 75,075
Telecomunicacoes Brasileiras (b) (d) 1,500 153,563
-----------
378,909
-----------
CHILE--1.4%
Chilectra SA (b) (d) 500 32,938
Compania Cervecerias Unidas SA (b) (d) 1,000 19,750
Compania De Telecom De Chile (d) 3,100 89,125
Embotelladora Andina SA (b) (d) 1,000 37,125
Empresa Nacional De Electricid (b) (d) 4,100 77,900
Enersis SA (d) 2,400 76,200
Sociedad Quimica Minera De Chile,
Class B (b) (d) 600 34,575
Vina Concha Y Toro SA (d) 1,200 34,200
-----------
401,813
-----------
CZECH REPUBLIC--0.8%
Ceska Sporitelna (b) (e) 4,800 57,600
Komercni Banka (b) (e) 5,700 179,550
-----------
237,150
-----------
DENMARK--1.1%
NKT Holding (b) 2,100 138,769
Novo-Nordisk AS, Class B (b) 1,400 146,478
Sophus Berendsen, Class B (b) 300 39,365
-----------
324,612
-----------
FINLAND--1.9%
Upm-Kymmene Oy (b) 24,600 543,874
-----------
FRANCE--5.0%
Chargeurs International (b) 3,750 233,121
Compagnie Financiere De Paribas, Class A 2,700 187,899
Elf Aquitaine (b) 9,550 979,008
Michelin (CGDE), Class B (b) 1,100 65,373
-----------
1,465,401
-----------
GERMANY--7.9%
Bayer Hypoth-Und Wechsel Bk (b) 16,300 569,582
Bayer Vereinsbk (b) 9,850 407,957
Dresdner Bank AG (b) 8,530 303,182
Volkswagen AG (b) 1,874 1,035,620
-----------
2,316,341
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
HONG KONG--3.5%
Hang Seng Bank 14,000 $ 144,535
Jilin Chemical Industrial Ltd.,
Class H (b) (d) 4,000 47,500
Kumagai Gumi (HK) (b) 371,000 414,137
Shanghai Petrochemical Corporation (b) 1,800 46,125
Shangri-La Asia Ltd. (b) 164,000 190,476
Swire Pacific, Class A 24,000 188,928
-----------
1,031,701
-----------
INDIA--2.1%
Bajaj Auto (b) (e) 1,200 47,250
Grasim Industries Ltd. (b) (e) 4,100 47,150
Guangshen Railway Ltd. (b) (d) 7,400 161,875
Gujarat Ambuja Cements (b) (e) 11,200 100,800
Hindalco Industries Ltd. (b) (e) 2,600 83,200
Indian Hotels (b) (e) 1,900 40,850
Reliance Industries (b) (e) 4,800 52,272
Steel Authority of India (b) (e) 3,300 27,225
Tata Engineering & Locomotive (b) (e) 4,100 52,275
-----------
612,897
-----------
IRELAND--0.5%
Woodchester Investments 35,400 154,647
-----------
ITALY--3.2%
Burgo (Cartiere) Spa (b) 118,200 615,710
Sirti Spa (b) 52,200 323,385
-----------
939,095
-----------
JAPAN--16.2%
Casio Computer Company 58,000 405,686
Chichibu Onoda Cement (b) 214,000 681,011
Chugai Pharmaceutical Company 97,000 758,388
Fujitsu 24,000 244,245
Hitachi 49,000 435,344
Kansai Electric Power 7,000 122,688
Mitsubishi Oil Company 125,000 554,277
Mitsui Osk Lines (b) 128,000 233,648
Nippon Oil Company 43,000 173,653
Osaka Gas Company 55,000 132,824
Sekisui House 31,000 302,964
Tokyo Electric Power Company 8,000 145,384
Yamaichi Securities Company 134,000 417,769
Yokogawa Electric 17,000 113,828
-----------
4,721,709
-----------
MALAYSIA--6.0%
Golden Hope Plantations Berhad (b) 148,000 256,685
Hong Leong Properties Berhad (b) 391,000 618,207
Perusahaan Otomobil Nasional 114,000 721,897
Shell Refinery (FOM) (b) 46,000 146,574
-----------
1,743,363
-----------
MEXICO--1.4%
Kimberly Clark De Mexico SA, Class A (d) 7,600 155,800
Telefonos De Mexico SA (b) (d) 5,300 204,050
Vitro Sociedad Anonima (b) (d) 7,400 54,575
-----------
414,425
-----------
</TABLE>
17
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
NETHERLANDS--4.3%
Getronics NV (b) 28,000 $ 910,545
Kon Hoogovens NV CVA (b) 600 29,683
Koninklijke Nedlloyd NV (b) 9,200 231,986
Unilever NV (b) 400 78,132
-----------
1,250,346
-----------
NORWAY--2.7%
Norske Skogsindustrier, Class A 2,440 79,695
Petroleum Geo-Services (b) 16,520 721,102
-----------
800,797
-----------
PORTUGAL--1.2%
Banco Comercial Portugues (b) 12,700 185,738
Portugal Telecom SA (b) (e) 4,700 172,725
-----------
358,463
-----------
SINGAPORE--4.0%
Straits Trading Company (b) 520,000 1,165,710
-----------
SPAIN--5.7%
Banco Santander SA 13,500 928,440
Iberdrola SA 48,477 533,428
Zardoya-Otis 1,800 196,798
-----------
1,658,666
-----------
SWEDEN--1.6%
Skandia Foersaekrings AB (b) 13,700 431,893
Skanska AB, Series B (b) 500 22,764
-----------
454,657
-----------
SWITZERLAND--8.5%
Holderbank Financiere Glaris (b) 280 214,577
Kuoni Reisen Holding, Class B (b) 70 197,279
Schweizerische Bankgesellschaf (b) 1,020 916,202
Schweiz-Ruckversicherungs (b) 180 191,170
Swissair (b) 1,070 953,686
-----------
2,472,914
-----------
SOUTH AFRICA--1.4%
Anglo American Corporation of
South Africa Ltd. (b) (d) 1,400 85,750
C.G. Smith Ltd. (b) (d) 13,500 84,375
Gencor Ltd. (d) 17,700 80,756
Iscor Ltd. (d) 4,600 36,800
Malbak Ltd. (b) (d) 10,900 51,775
Sasol Ltd. (d) 6,800 70,550
-----------
410,006
-----------
SOUTH KOREA--1.3%
Cho Hung Bank (b) (e) 9,600 52,080
Korea Electric Power Corporation (b) (d) 10,300 180,250
LG Chemical Ltd. (b) (e) 7,200 73,620
Samsung Electronics Ltd. (b) (e) 1,900 86,697
-----------
392,647
-----------
TURKEY--0.9%
Erciyas Biracilik, Class A (b) (e) 30,800 53,900
Tofas Otomobil Fab, Class E (b) (e) 280,400 91,130
Turkiye Garanti Bankasi AS (b) (e) 15,500 104,625
-----------
249,655
-----------
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
UNITED KINGDOM--6.1%
Anglian Water (b) 68,000 $ 714,614
British Petroleum 8,900 103,176
British Steel 43 115
British Telecom 32,500 238,013
HSBC Holdings 12,300 290,232
Thames Water (b) 3,400 36,847
United Utilities 37,848 389,045
-----------
1,772,042
-----------
TOTAL COMMON STOCK
(Cost $ 27,302,583) $28,505,256
===========
PREFERRED STOCK--0.2%
BRAZIL--0.2%
Companhia Vale Do Rio Doce (b) (d) 1,900 44,175
-----------
TOTAL PREFERRED STOCK
(Cost $44,412) $ 44,175
===========
TOTAL INVESTMENTS--97.9%
(Cost $27,346,995) (c) $28,549,431
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $27,373,374 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 2,617,571
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (1,441,514)
-----------
Net unrealized appreciation $ 1,176,057
===========
</TABLE>
(d) ADS--American Depository Shares
(e) GDR--Global Depository Receipts
<TABLE>
<CAPTION>
SECTOR ALLOCATIONS
- --------------------------------------------------------------------------------
<S> <C>
Basic Industries.......................................................... 13.9%
Capiltal Goods............................................................ 3.7%
Consumer Basics........................................................... 4.8%
Consumer Durable Goods.................................................... 6.9%
Consumer Non-Durable Goods................................................ 1.9%
Consumer Services......................................................... 4.8%
Energy.................................................................... 10.8%
Finance................................................................... 19.3%
General Business.......................................................... 7.5%
Miscellaneous............................................................. 5.0%
Shelter................................................................... 7.2%
Technology................................................................ 4.8%
Transporation............................................................. 2.2%
Utilities................................................................. 7.2%
</TABLE>
18
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE FOREIGN FRONTIER
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--92.6% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ARGENTINA--11.7%
Acindar Industria, Class B (b) 93,000 $ 186,019
Astra Cia Argentina 25,970 40,517
Banco De Galicia BA, Class B 10,882 66,605
Banco Frances Rio Plata 6,612 65,994
Ciadea SA (b) 8,800 39,164
Embotelladora Buenos Aires,
Class B (b) 35 3,850
Irsa Inversiones Y Representac 5,000 18,752
Molinos Rio Plata, Class B 5,833 21,584
Perez Companc SA, Class B 32,517 251,382
Siderar SA, Class A (b) 1,400 4,886
Siderca SA 35,000 73,857
Telecom Argentina, Class B 20,000 92,409
Telefonica De Argentina, Class B 46,000 135,714
Transport Gas Sur, Class B 14,000 35,704
YPF SA, Class D 10,600 280,398
-----------
1,316,835
-----------
BRAZIL--6.2%
Banco Do Brasil SA, Class A (b) (warrants exp.
6/30/2001) 154,000 253
Banco Do Brasil SA, Class B (b) (warrants exp.
6/30/2006) 231,000 357
Banco Do Brasil SA, Class C (b) (warrants exp.
6/30/2011) 385,000 617
Centrais Eletrobras 450,000 185,891
Forca Luz (Cia Paul) (b) 151,000 20,920
Light Participacoes SA (b) 106,000 31,991
Light Serv Elet SA 106,000 44,786
Sider Nacional Cia 1,445,000 51,774
Souza Cruz (Cia) 6,300 52,584
Telec Brasileiras--Telebras 1,169,000 117,738
Telesp Tel S Paulo 263,000 65,731
Vale Rio Doce (Cia) 2,500 71,914
White Martins SA 33,234,000 53,912
-----------
698,468
-----------
CHILE--5.1%
Chilectra SA (d) 600 39,525
Chilgener SA (d) 1,100 28,325
Compania Cervecerias Unidas SA (d) 2,280 45,030
Compania Telecomunicaciones
De Chile (d) 3,910 112,412
Embotelladora Andina SA (d) 1,500 55,688
Empresa Nacional De Electricid (d) 5,030 95,570
Enersis SA (d) 2,600 82,550
Madeco SA (d) 2,880 77,040
Maderas Y Sinteticos Sociedad (d) 2,500 39,375
-----------
575,515
-----------
CHINA--0.7%
Shanghai Chlor-Alkali Chemical,
Class B (b) 43,500 14,007
Shanghai Dajiang Group, Class B (b) 18,800 9,776
Shanghai Diesel Engine, Class B (b) 21,600 10,670
Shanghai Lujiazui Ftz Dev, Class B (b) 19,320 19,243
Shanghai Outer Gaoqiao Ftdz,
Class B (b) 26,400 12,355
Shanghai Yaohua Pilkingtn,
Class B (b) 17,300 8,719
-----------
74,770
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
CZECH REPUBLIC--1.9%
Cez (b) 2,200 $ 80,364
Sepap AS (b) 100 4,311
Skoda Koncern Plzen (b) 400 13,095
SPT Telecom AS (b) 1,000 119,581
-----------
217,351
-----------
GREECE--3.9%
Alpha Credit Bank 900 66,039
Attica Enterprises 2,200 16,599
Commercial Bank of Greece 780 29,338
Delta Dairy 1,530 20,981
Epilektos Textile 2,850 6,795
Ergo Bank 660 41,955
Hellenic Bottling 1,230 39,953
Hellenic Sugar Ind 2,560 20,137
Heracles General Cement 2,900 44,145
Ionian Bank 800 17,475
Naoussa Spinning Mills 5,300 21,694
National Bank of Greece 520 54,438
Titan Cement Company 800 57,645
-----------
437,194
-----------
HONG KONG--1.5%
Guangdone Electric, Class B (b) 14,000 13,731
Jilin Chemical Ind, Class H (b) 72,000 8,641
Maanshan Iron & Steel, Class H (b) 119,400 23,729
Qingling Motors, Class H (b) 67,300 35,826
Shanghai Haixing, Class H (b) 140,000 15,899
Shanghai Petrochem, Class H (b) 115,800 29,888
Shn China Bicycles, Class B (b) 36,000 17,305
Tsingtao Brewery, Class H (b) 23,900 9,176
Yizheng Chem Fibre, Class H (b) 96,000 20,565
-----------
174,760
-----------
INDONESIA--7.8%
Astra International 23,000 74,719
Barito Pacific Timber 39,500 34,548
Duta Anggada Realty 19,500 17,258
Great River International 37,000 23,886
Gudang Garam (Perus) 46,000 200,687
HM Sampoerna 22,000 103,082
Inco (International Nickel) (b) 33,500 76,739
Indah Kiat Pulp & Paper 38,148 28,202
Indofoods Sukses Makmur 11,000 24,282
Indosat 9,500 25,323
Jakarta International Hotel & Dev 39,000 34,111
Pab K Tjiwi Kimia 20,753 20,744
Telekomunikasi Ind, Class B (b) 137,500 210,459
-----------
874,040
-----------
MALAYSIA--7.2%
Best World Land (b) 20,000 19,038
Cold Storage (Malaysia) 13,000 24,749
Genting Berhad 5,000 33,881
Hicom Holdings Berhad 9,000 23,414
Idris Hydraulic (b) 17,000 21,393
IGB Corporation Berhad 61,000 63,478
Leader Universal Holdings 9,333 20,892
Malaysian Airline Systems 14,000 37,269
</TABLE>
19
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE FOREIGN FRONTIER--CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
MALAYSIA--CONTINUED
Malayan Bank Berhad 5,000 $ 56,972
Malayan United Industries 50,000 39,326
MBF Capital Berhad 47,000 83,031
Mulpha International Berhad 20,000 18,150
Multi-Purpose Holding 11,000 23,071
Perlis Plantations 4,750 14,656
Petronas Gas Berhad 7,000 25,834
Rashid Hussain Berhad 4,000 31,460
Renong Berhad 22,000 37,269
Resorts World Berhad 6,000 25,652
Sarawak Enterprise 10,000 16,537
Technology Resource Industries
Berhad (b) 6,000 13,068
Telekom Malaysia 9,000 70,060
Tenaga Nasional 12,000 58,565
United Engineers Berhad 3,000 26,136
YTL Corporation (with rights exp. 4/17/97) 4,500 23,414
-----------
807,315
-----------
MEXICO--9.9%
Alfa SA, Class A 6,915 38,843
Altos Hornos Mexico, Series A (b) 3,000 6,430
Carso Global Telec 18,000 54,470
Cemex SA, Class A 15,400 56,505
Cemex SA, Class B 11,000 44,313
Cemex SA 10,000 36,565
Cifra SA De Cv, Class B 26,000 36,454
Cifra SA De Cv, Class A 25,402 34,463
El Puerto De Liver, Class C 200 182
El Puerto De Liver (b) 16,000 15,453
Empresas La Modern, Class A 6,300 31,536
Fomento Economico Mexico, Class B 16,000 70,710
Grupo Carso, Class A 18,000 105,422
Grupo Continental 7,000 39,541
Grupo Fin Banamex AC, Class B (b) 19,600 44,681
Grupo Fin Inbursa, Class B (b) 628 2,209
Grupo Industrial Bimbo, Class A 4,000 24,713
Grupo Mexico, Class B (b) 7,800 26,062
Grupo Televisa SA (b) 5,100 64,112
Industrias Penoles 5,000 24,587
Kimberly Clark Mexico, Class B 5,000 21,183
Sears Roebuck Mexico, Class B (b) 9,000 14,979
Telefonos De Mexico, Class L 120,700 235,282
Tubos De Acero De Mexico (b) 3,000 51,292
Vitro SA (b) 12,000 30,110
-----------
1,110,097
-----------
PERU--4.9%
Backus & Johnston 1,749 18,411
Backus & Johnston, TShares 38,553 34,473
Banco Wiese Pes1 9,200 14,058
Cementos Lima (b) 2,586 44,734
Credicorp SA 5,018 117,296
Minas Buenaventura, Class A 7,805 73,324
Pacifico Peru-Suiz 327 5,071
Southern Peru Copper Corporation (b) 1,261 21,437
Telefonica Del Peru, Class B 101,000 224,063
-----------
552,867
-----------
</TABLE>
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
PHILIPPINES--7.8%
Ayala Corporation, Class B 77,350 $ 79,213
Ayala Land Inc., Class B 110,625 125,877
C & P Homes Inc. (b) 74,100 35,132
Far East Bank & Trust
(with rights exp. 7/1/97, 12/1/97) 180 799
Filinvest Land (b) 75,450 24,039
JG Summit Holdings Inc., Class B 92,500 24,208
Manila Electric Company, Class B 7,565 60,256
Metro Bank & Trust Company 3,672 95,404
Metro Pacific Corporation 52,000 15,778
Petron Corporation 155,094 63,238
Philippine Commercial International Bank 3,750 55,471
Philippine Long Distance 1,300 78,153
Philippine National Bank (b) 2,600 31,064
Pilipino Telephone (b) 18,300 10,932
Robinson's Land Corporation,
Class B (b) 151,500 26,145
San Miguel Corporation, Class B 17,748 61,595
SM Prime 219,804 64,195
Southeast Asia Cement Holdings (b) 122,086 11,206
Universal Robina 48,280 21,975
-----------
884,680
-----------
PORTUGAL--4.1%
Banco Comm Portugues 6,600 98,355
Banco Espir Santo 3,500 67,576
Cimpor Cimentos De Portugal 1,000 20,923
Efacec-Emp Fabril (b) 1,600 12,923
Jeronimo Martins 999 55,381
Modelo Contin SGPS 1,300 44,093
Portugal Telecom 1,528 56,881
Sonae Investimentos 2,400 81,044
Soporcel (b) 1,000 28,612
-----------
465,788
-----------
SOUTH AFRICA--5.5%
Anglo American Corporation SA 2,500 154,677
De Beers Centenary 4,300 156,611
Gencor 20,400 94,605
Liberty Life Association 2,700 75,738
Polifin Limited 600 1,105
Sasol 7,700 82,304
South Africa Brews 1,800 57,007
-----------
622,047
-----------
SOUTH KOREA--2.3%
Daewoo Heavy Industries 2,750 13,942
Dongsuh Securities (b) 1,130 7,319
Korea Electric Power 3,170 92,038
LG Chemicals 4,760 57,938
LG Electronics Inc. 3,130 36,351
Pohang Iron & Steel 210 10,107
Samsung Heavy 2,425 19,877
Ssangyong Oil Refining 1,050 18,995
-----------
256,567
-----------
</TABLE>
20
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS March 31, 1997
QUANTITATIVE FOREIGN FRONTIER--CONTINUED
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
THAILAND--5.4%
Advanced Info Serv 5,200 $ 46,044
Asia Secs Trading 24,300 24,090
Bangkok Bank Public 14,300 138,733
Bank of Ayudhya 32,350 78,151
ICC International 1,800 8,246
Italian-Thai Development 6,600 22,868
Krung Thai Bank Public Company (b) 30,470 42,230
One Holding Public Company Ltd. (b) 79,400 7,642
One Holding Public (b)
(warrants exp. 10/11/2001) 7,940 4,891
Prime Finance & Securities (b) 131,400 53,116
Shinawatra Comp & Comms 5,900 49,517
Telecomasia (b) 28,200 55,369
Thai Farmers Bank 11,000 71,569
Thai Melon Polyester 52,967 4,282
-----------
606,748
-----------
TURKEY--6.7%
Akbank (with rights exp. 4/11/97) 929,292 74,975
Aksa 166,183 26,685
Arcelik 330,831 44,054
Dogan Holding (b) 1,354,500 38,726
Ege Biracilik Ve M 111,780 28,456
Eregli Demir Celik 234,000 31,618
KOC Holding 325,000 85,282
Netas 57,000 16,297
Petkim 93,000 45,165
Petrol Ofisi AS0 (with rights exp. 5/29/97) 60,000 15,039
T. Garanti Bankasi 612,000 41,706
T Is Bankasi, Class C 302,000 118,278
Tupras (b) 109,000 58,912
Turk Hava Yollari (b) 228,000 66,079
Yapi Kredi Bankasi 1,452,660 64,859
-----------
756,131
-----------
TOTAL COMMON STOCK
(Cost $ 9,513,626) $10,431,173
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
PREFERRED STOCK--5.5%
BRAZIL--5.5%
Banco Bradesco SA 5,176,266 42,717
Banco Itau SA 89,000 45,998
Cemig Cia Energ MG 720,500 29,627
Companhia Cervejaria Brahma 28,000 18,234
Electrobras Centr, Class B 80,000 34,405
Itausa Investimentos Itau SA 54,000 45,836
Petrol Brasileiros 438,000 86,956
Telec Brasileiras--Telebras 1,838,000 189,988
Telesp Tel Sao Paulo 226,000 57,337
Usinas Sid Minas Gerais Usimin 26,325,000 29,545
Vale Do Rio Doce (Cia) 1,648 37,458
-----------
618,101
-----------
TOTAL PREFERRED STOCK
(Cost $444,608) $ 618,101
===========
TOTAL INVESTMENTS--98.1%
(Cost $9,958,234) $11,049,274
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At March 31, 1997, the net unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $9,989,089 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 2,269,234
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (1,209,049)
-----------
Net unrealized appreciation $ 1,060,185
===========
</TABLE>
(d) ADS--American Depository Shares
<TABLE>
<CAPTION>
SECTOR ALLOCATIONS
- ---------------------------------
<S> <C>
Basic Industries 11.7%
Capiltal Goods 2.4%
Consumer Basics 8.3%
Consumer Durable Goods 1.0%
Consumer Non-Durable Goods 3.0%
Consumer Services 1.9%
Energy 9.4%
Finance 20.1%
General Business 7.8%
Miscellaneous 11.7%
Real Estate 1.0%
Shelter 2.9%
Technology 1.2%
Transporation 0.1%
Utilities 17.5%
</TABLE>
21
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES March 31, 1997
<TABLE>
<CAPTION>
Disciplined Growth and
Numeric Numeric II Growth Income
<S> <C> <C> <C> <C>
ASSETS :
Investments at value (Note 2)
See accompanying schedules $65,680,836 $9,163,523 $ 509,425 $43,610,403
Foreign currency at value
(Cost $ 53,146 for
International Equity and $
9,253 for Foreign Frontier)
(Note 2) -- -- -- --
Cash 5,703 2,248 677,032 1,187,793
Dividends and interest
receivable 183,198 6,183 1,635 85,604
Receivable from Manager for
reimbursement of expenses
(Note 3) -- -- 2,784 --
Receivable for investments
sold 802,595 354,399 770,119 --
Receivable for shares of
beneficial interest sold 61,035 938 185 696
Deferred organization costs 2,952 -- -- --
Other assets 2,774 697 697 32,151
----------- ---------- ---------- -----------
Total assets 66,739,093 9,527,988 1,961,877 44,916,647
----------- ---------- ---------- -----------
LIABILITIES :
Payable for investments
purchased 144,600 381,881 -- --
Payable for shares of
beneficial interest
repurchased 106,875 28,752 -- 4,201
Payable for compensation of
Manager (Note 3) 60,993 3,307 -- 30,021
Payable for distribution fees
(Note 3) 26,194 -- -- 19,336
Payable to custodian 8,939 2,886 7,024 6,041
Payable to transfer agent
(Note 3) 9,177 -- -- 7,435
Other accrued expenses 40,154 17,021 4,547 51,077
----------- ---------- ---------- -----------
Total liabilities 396,932 433,847 11,571 118,111
----------- ---------- ---------- -----------
NET ASSETS $66,342,161 $9,094,141 $1,950,306 $44,798,536
----------- ---------- ---------- -----------
NET ASSETS CONSIST OF :
Shares of beneficial interest $65,489,287 $7,896,789 $1,816,568 $34,977,627
Undistributed
(overdistributed) net
investment income 693,843 12,716 -- 139,667
Accumulated net realized gain
(loss) on investments and
foreign denominated assets,
liabilities and currency 8,884,249 443,290 150,438 2,098,167
Unrealized appreciation
(depreciation) of investments
and foreign denominated
assets, liabilities and
currency (8,725,218) 741,346 (16,700) 7,583,075
----------- ---------- ---------- -----------
$66,342,161 $9,094,141 $1,950,306 $44,798,536
----------- ---------- ---------- -----------
Investment securities, at
cost $74,406,054 $8,422,177 $ 526,125 $36,027,328
----------- ---------- ---------- -----------
NET ASSETS
Ordinary Shares $57,134,893 $8,733,171 $1,885,017 $43,266,102
----------- ---------- ---------- -----------
Institutional Shares $ 9,207,268 $ 360,970 $ 65,289 $ 1,532,434
----------- ---------- ---------- -----------
Shares of beneficial interest
outstanding *(Unlimited num-
ber of shares authorized)
Ordinary Shares 3,799,303 649,632 154,884 2,842,048
----------- ---------- ---------- -----------
Institutional Shares 592,197 26,634 5,362 100,569
----------- ---------- ---------- -----------
Net asset value and offering
price per share**
Ordinary Shares $ 15.04 $ 13.44 $ 12.17 $ 15.22
----------- ---------- ---------- -----------
Institutional Shares $ 15.55 $ 13.55 $ 12.18 $ 15.24
----------- ---------- ---------- -----------
</TABLE>
** A deferred sales charge amounting to 1% of the net asset
value of the Ordinary Shares redeemed is withheld and paid to
the Distributor. No deferred sales charge is withheld from
redemptions of the Institutional Shares. In addition, no de-
ferred sales charge is withheld from redemptions of the Ordi-
nary Shares of Numeric II and Disciplined Growth purchased
after August 1, 1996.
The accompanying notes are an integral part of these financial
statements.
<TABLE>
<CAPTION>
International Foreign
Equity Frontier
<S> <C>
$28,549,431 $11,049,274
50,241 9,140
684,518 401,501
75,152 21,443
-- --
2,305,609 --
4,711 4,819
-- --
13,997 252
----------- -----------
31,683,659 11,486,429
----------- -----------
2,322,631 179,702
91,524 --
21,839 6,167
11,663 4,273
17,775 11,560
4,377 1,763
43,831 19,156
----------- -----------
2,513,640 222,621
----------- -----------
$29,170,019 $11,263,808
----------- -----------
$27,632,805 $10,571,818
445,299 (101,346)
(103,306) (297,573)
1,195,221 1,090,909
----------- -----------
$29,170,019 $11,263,808
----------- -----------
$27,346,995 $ 9,958,234
----------- -----------
$27,409,946 $10,051,748
----------- -----------
$ 1,760,073 $ 1,212,060
----------- -----------
2,484,786 1,087,881
----------- -----------
158,625 130,752
----------- -----------
$ 11.03 $ 9.24
----------- -----------
$ 11.10 $ 9.27
----------- -----------
</TABLE>
22
<PAGE>
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS Year Ended March 31, 1997
<TABLE>
<CAPTION>
Disciplined Growth and International Foreign
Numeric Numeric II Growth Income Equity Frontier
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME :
Dividends* $ 2,136,096 $ 161,025 $ 16,650 $ 981,485 $ 643,081 $ 200,604
Interest 190,497 13,000 -- -- 125 462
----------- ---------- -------- ---------- ---------- ----------
Total investment income 2,326,593 174,025 16,650 981,485 643,206 201,066
----------- ---------- -------- ---------- ---------- ----------
EXPENSES :
Compensation of Manager
(Note 3) 916,777 96,688 21,279 334,461 287,461 77,271
Distribution fees, Or-
dinary Shares (Note 3) 348,084 24,260 6,833 213,385 136,970 43,698
Custodian fees 94,248 48,750 48,716 49,365 105,190 95,545
Transfer agent fees
(Note 3):
Ordinary Shares 105,102 11,329 3,132 66,324 40,922 13,445
Institutional Shares 32,662 3,330 100 3,078 2,209 1,333
Audit and legal 78,152 7,899 1,764 37,234 24,046 7,761
Registration fees 49,786 5,035 1,126 23,755 15,339 4,955
Amortization of organi-
zational expenses (Note
2) 8,892 -- -- -- -- --
Insurance 25,816 2,626 594 12,498 8,059 2,628
Compensation of Trust-
ees (Note 3) 15,636 1,587 356 7,507 4,842 1,572
Printing 14,130 1,454 333 6,973 4,491 1,469
Miscellaneous 49,170 4,644 408 9,255 6,098 4,334
----------- ---------- -------- ---------- ---------- ----------
Total expenses before
waivers and/or reim-
bursements, and reduc-
tions 1,738,455 207,602 84,641 763,835 635,627 254,011
Waivers and/or reim-
bursements of expenses
(Note 3) (40,005) (86,929) (49,928) -- (10,157) (1,500)
Fees reduced by credits
allowed by Custodian
(Note 3) (65,700) (10,025) (2,525) (14,747) (15,475) (11,660)
----------- ---------- -------- ---------- ---------- ----------
Expenses, net 1,632,750 110,648 32,188 749,088 609,995 240,851
----------- ---------- -------- ---------- ---------- ----------
Net investment income
(loss) 693,843 63,377 (15,538) 232,397 33,211 (39,785)
----------- ---------- -------- ---------- ---------- ----------
REALIZED AND UNREALIZED
GAIN (LOSS) ON INVEST-
MENTS, FOREIGN CURRENCY
AND FOREIGN TRANSLATION
:
Net realized gain
(loss) (Notes 2 and 5)
on:
Investments 21,319,089 1,295,370 296,791 4,161,193 1,865,268 (119,747)
Foreign denominated as-
sets, liabilities and
currency -- -- -- -- (30,132) (9,246)
Closed short sales -- 13,173 -- -- -- --
Distributions of real-
ized gains from other
investment companies -- -- -- -- 47,975 --
Change in unrealized
appreciation (deprecia-
tion) of :
Investments (16,690,396) 124,901 (125,353) 2,948,570 (835,294) 1,119,246
Foreign denominated as-
sets, liabilities and
currency -- -- -- -- (9,035) 243
----------- ---------- -------- ---------- ---------- ----------
Net realized and
unrealized gain (loss) 4,628,693 1,433,444 171,438 7,109,763 1,038,782 990,496
----------- ---------- -------- ---------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations $ 5,322,536 $1,496,821 $155,900 $7,342,160 $1,071,993 $ 950,711
----------- ---------- -------- ---------- ---------- ----------
</TABLE>
*Dividends are net of foreign withholding taxes of $13 for Disciplined Growth,
$89,569 for International Equity, and $15,523 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
Year ended Year ended Year ended Year ended Year ended Year ended
March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS :
Operations:
Net investment income
(loss) $ 693,843 $ (1,055,191) $ 63,377 $ 23,250 $ (15,538) $ (9,864)
Net realized gain
(loss) on investments,
foreign denominated
assets, liabilities and
currency and closed
short sales 21,319,089 29,167,751 1,308,543 286,828 296,791 116,867
Distributions of
realized gains from
other investment
companies -- -- -- -- -- --
Unrealized appreciation
(depreciation) of
investments and foreign
denominated assets,
liabilities and
currency (16,690,396) 3,395,846 124,901 612,217 (125,353) 98,545
------------- ------------ ----------- ----------- ---------- ----------
Net increase (decrease)
in net assets resulting
from operations 5,322,536 31,508,406 1,496,821 922,295 155,900 205,548
Distributions to
shareholders from:
Net investment income
Ordinary Shares -- -- (71,413) (2,039) -- (984)
Institutional Shares -- -- (616) (2,330) -- (45)
Net realized gains
Ordinary Shares (17,582,327) (7,745,702) (1,007,841) (61,674) (230,016) --
Institutional Shares (7,604,417) (5,025,933) (37,397) (43,370) (7,507) --
------------- ------------ ----------- ----------- ---------- ----------
(25,186,744) (12,771,635) (1,117,267) (109,413) (237,523) (1,029)
------------- ------------ ----------- ----------- ---------- ----------
Fund share transactions
(Note 11) (28,214,437) (5,279,660) (1,931,229) 9,412,667 84,189 1,382,447
------------- ------------ ----------- ----------- ---------- ----------
Increase (decrease) in
net assets (48,078,645) 13,457,111 (1,551,675) 10,225,549 2,566 1,586,966
Net assets beginning of
year 114,420,806 100,963,695 10,645,816 420,267 1,947,740 360,774
------------- ------------ ----------- ----------- ---------- ----------
Net assets end of year
(*) $ 66,342,161 $114,420,806 $ 9,094,141 $10,645,816 $1,950,306 $1,947,740
============= ============ =========== =========== ========== ==========
(*) Includes
undistributed
(overdistributed) net
investment income of $ 693,843 -- $ 12,716 $ 19,569 $ -- $ --
</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
Year ended Year ended Year ended Year ended Year ended Year ended
March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996 March 31, 1997 March 31, 1996
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS :
Operations:
Net investment income
(loss) $ 232,397 $ 355,775 $ 33,211 $ 3,479 $ (39,785) $ (53,214)
Net realized gain
(loss) on investments,
foreign denominated as-
sets, liabilities and
currency and closed
short sales 4,161,193 7,094,968 1,835,136 1,495,584 (128,993) (183,044)
Distributions of real-
ized gains from other
investment companies -- -- 47,975 63,004 -- 1,092
Unrealized appreciation
(depreciation) of in-
vestments and foreign
denominated assets, li-
abilities and currency 2,948,570 1,060,268 (844,329) 459,513 1,119,489 1,016,153
----------- ----------- --------------- --------------- ----------- ----------
Net increase (decrease)
in net assets resulting
from operations 7,342,160 8,511,011 1,071,993 2,021,580 950,711 780,987
Distributions to
shareholders from:
Net investment income
Ordinary Shares (259,327) (351,523) (194,106) (70,223) -- --
Institutional Shares (23,323) (23,815) (12,144) (25,743) (2,825) --
Net realized gains
Ordinary Shares (4,775,270) (5,314,821) -- -- -- --
Institutional Shares (235,639) (242,458) -- -- -- --
----------- ----------- --------------- --------------- ----------- ----------
(5,293,559) (5,932,617) (206,250) (95,966) (2,825) --
----------- ----------- --------------- --------------- ----------- ----------
Fund share transactions
(Note 11) (491,446) 1,639,199 (338,691) (3,991,270) 2,579,464 2,696,931
----------- ----------- --------------- --------------- ----------- ----------
Increase (decrease) in
net assets 1,557,155 4,217,593 527,052 (2,065,656) 3,527,350 3,477,918
Net assets beginning of
year 43,241,381 39,023,788 28,642,967 30,708,623 7,736,458 4,258,540
----------- ----------- --------------- --------------- ----------- ----------
Net assets end of year
(*) $44,798,536 $43,241,381 $ 29,170,019 $ 28,642,967 $11,263,808 $7,736,458
=========== =========== =============== =============== =========== ==========
(*) Includes undistrib-
uted (overdistributed)
net investment income of $ 139,667 $ 189,920 $ 445,299 $ (103,471) $ (101,346) $ (18,981)
</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
Beginning Investment Gain (Loss) Investment Investment Realized Total Value End Total
of Period Income on Securities Operations Income Capital Gains Distributions of Period Return(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%
Year Ended March
31, 1997(f) $18.91 0.16(a)(h) 0.77 0.93 -- (4.80) (4.80) $15.04 1.72%
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%
Year Ended March
31, 1997(f) $19.33 0.08(a)(h) 0.94 1.02 -- (4.80) (4.80) $15.55 2.21%
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%
Year Ended March
31, 1997(f) $13.20 0.09(a) 2.29 2.38 (0.14) (2.00) (2.14) $13.44 17.47%
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%
Year Ended March
31, 1997(f) $13.20 0.11(a) 2.27 2.38 (0.03) (2.00) (2.03) $13.55 17.51%
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%
Year Ended March
31, 1997(f) $12.60 (0.10)(a) 1.22 1.12 -- (1.55) (1.55) $12.17 7.96%
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%
Year Ended March
31, 1997(f) $12.60 (0.10)(a) 1.23 1.13 -- (1.55) (1.55) $12.18 8.05%
GROWTH AND IN-
COME
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%
Year Ended March
31, 1997(f) $14.57 0.08(a) 2.53 2.61 (0.10) (1.86) (1.96) $15.22 17.97%
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%
Year Ended March
31, 1997(f) $14.58 0.15(a) 2.55 2.70 (0.18) (1.86) (2.04) $15.24 18.62%
<CAPTION>
Ratios and Supplemental Data
Ratio of Ratio of Net
Net Assets Operating Investment
End of Expenses Income (Loss) Average
Period to Average to Average Portfolio Commission
(000's) Net Assets Net Assets Turnover Rate(g)
<S> <C> <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% --
Year Ended March
31, 1997(f) $57,135 1.97%* 0.90 %(h) 393.00% $0.0305
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%* (0.87)% 324.00% --
Year Ended March
31, 1997(f) $ 9,207 1.47%* 0.41%(h) 393.00% $0.0305
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% --
Year Ended March
31, 1997(f) $ 8,733 1.19%* 0.62% 162.00% $0.0492
INSTITUTIONAL
SHARES
April 17, 1995**
to March 31,
1996(f) $ 4,621 2.02%(b)* 0.87%(b) 181.00% --
Year Ended March
31, 1997(f) $ 361 1.44%* 0.77% 162.00% $0.0492
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% --
Year Ended March
31, 1997(f) $ 1,885 1.63%* (0.73)% 295.00% $0.0422
INSTITUTIONAL
SHARES
July 26, 1995**
to March 31,
1996(f) $ 67 2.29%(b)* (1.16)%(b) 307.00% --
Year Ended March
31, 1997(f) $ 65 1.63%* (0.75)% 295.00% $0.0422
GROWTH AND IN-
COME
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% --
Year Ended March
31, 1997(f) $43,266 1.73%* 0.50% 98.00% $0.0397
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% --
Year Ended March
31, 1997(f) $ 1,532 1.24%* 0.99% 98.00% $0.0397
</TABLE>
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
Year Ended March
31, 1997(f) $10.70 0.01(a) 0.40 0.41 (0.08) -- (0.08) $11.03
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
Year Ended March
31, 1997(f) $10.73 0.06(a) 0.41 0.47 (0.10) -- (0.10) $11.10
FOREIGN FRONTIER
ORDINARY SHARES
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
Year Ended March
31, 1997(f) $ 8.38 (0.04)(a) 0.90 0.86 -- -- -- $ 9.24
INSTITUTIONAL
SHARES
April 2, 1996**
to March 31,
1997(f) $ 8.49 0.01(a) 0.80 0.81 (0.03) -- (0.03) $ 9.27
<CAPTION>
Total
Return(c)
<S> <C>
INTERNATIONAL
EQUITY
ORDINARY SHARES
Year Ended March
31, 1992 (3.70)%
Year Ended March
31, 1993 1.70%
Year Ended March
31, 1994 28.69%
Year Ended March
31, 1995(f) 0.07%
Year Ended March
31, 1996(f) 6.63%
Year Ended March
31, 1997(f) 3.82%
INSTITUTIONAL
SHARES(D)
April 25, 1990**
to March 31,
1991 (17.18)%(b)
April 1, 1991 to
March 19, 1992 (14.62)%(b)
August 25,
1994** to March
31, 1995(f) (6.57)%
Year Ended March
31, 1996(f) 6.95%
Year Ended March
31, 1997(f) 4.38%
FOREIGN FRONTIER
ORDINARY SHARES
August 8, 1994**
to March 31,
1995(f) (27.60)%
Year Ended March
31, 1996(f) 15.75%
Year Ended March
31, 1997(f) 10.26%
INSTITUTIONAL
SHARES
April 2, 1996**
to March 31,
1997(f) 9.54%
</TABLE>
* EXPENSE RATIOS FOR THE YEARS ENDED MARCH 31, 1997 AND MARCH 31,
1996 ARE SHOWN GROSS OF CUSTODY CREDITS (NOTE 3) IN ACCORDANCE
WITH SEC REGULATIONS. THESE CREDITS ARE GENERATED BY INTEREST
EARNED ON UNINVESTED CASH BALANCES MAINTAINED BY THE FUNDS, AND
ARE USED TO OFFSET CUSTODIAL EXPENSES OF THE FUND. THE FUNDS'
EXPENSE RATIOS NET OF SUCH CREDITS, AS REPORTED IN PRIOR PERI-
ODS, WOULD HAVE BEEN AS FOLLOWS: NUMERIC ORDINARY AND INSTITU-
TIONAL SHARES, 1.90%, 1.88% AND 1.40%, 1.38%, RESPECTIVELY; NU-
MERIC II ORDINARY AND INSTITUTIONAL SHARES, 1.11%, 1.92% AND
1.27%, 1.66% (ANNUALIZED), RESPECTIVELY; DISCIPLINED GROWTH OR-
DINARY AND INSTITUTIONAL SHARES, 1.51%, 1.79% AND 1.51%, 2.05%
(ANNUALIZED), RESPECTIVELY; GROWTH AND INCOME ORDINARY AND IN-
STITUTIONAL SHARES, 1.70%, 1.64% AND 1.21%, 1.15%, RESPECTIVE-
LY; INTERNATIONAL EQUITY ORDINARY AND INSTITUTIONAL SHARES,
2.15%, 2.09% AND 1.64%, 1.59% RESPECTIVELY; AND FOREIGN FRON-
TIER ORDINARY AND INSTITUTIONAL SHARES, 2.56%, 2.59% AND 1.89%
(ANNUALIZED),--, RESPECTIVELY.
** Commencement of Operations
(a) Reflects expense waivers/reimbursements and reductions in ef-
fect during the period. See Note 3 to the Financial State-
ments. As a result of such waivers/reimbursements and reduc-
tions, expenses of the Quantitative Numeric Fund Ordinary
Shares for the periods ended March 31, 1997, 1996 and 1993
reflect a reduction of $0.02, $0.02 and $0.03 per share; ex-
penses of the Quantitative Numeric Fund Institutional Shares
for the periods ended March 31, 1997, 1996 and 1993, reflect
a reduction of $0.02, $0.02 and $0.03 per share; expenses of
the Quantitative Numeric II Fund Ordinary Shares for the pe-
riods ended March 31, 1997, 1996 and 1995 reflect a reduction
of $0.15, $0.23 and $0.76 per share; expenses of the Quanti-
tative Numeric II Fund Institutional Shares for the periods
ended March 31, 1997, and 1996 reflects a reduction of $0.10
and $0.11 per share; expenses of the Quantitative Disciplined
Growth Fund Ordinary Shares for the periods ended March 31,
1997, 1996 and 1995 reflect a reduction of $0.34, $0.51 and
$0.45 per share; expenses of the Quantitative Disciplined
Growth Fund Institutional Shares for the periods ended March
31, 1997 and 1996 reflect a reduction of $0.29 and $0.28 per
share; expenses of the Quantitative Growth and Income Fund
Ordinary Shares for the periods ended March 31, 1997 and 1996
reflect a reduction of $0.01 and $0.01 per share; expenses of
the Quantitative Growth and Income Institutional Shares for
the periods ended March 31, 1997 and 1996 reflect a reduction
of $0.01 and $0.01 per share; expenses of the Quantitative
International Equity Fund Ordinary Shares for the periods
ended March 31, 1997, 1996, 1995, 1994, 1993 and 1992 reflect
a reduction of $0.01, $0.01, $0.01, $0.01, $0.05 and $0.04
per share respectively; expenses of the Quantitative Interna-
tional Equity Fund Institutional Shares for the periods ended
March 31, 1997, 1996, 1995, 1992 and 1991 reflect a reduction
of $0.02, $0.01, $0.01, $0.04 and $0.03 per share; and ex-
penses of the Quantitative Foreign Frontier Fund Ordinary
Shares for the periods ended March 31, 1997, 1996 and 1995
reflect a reduction of $0.01, $0.01 and $0.02 per share; ex-
penses of the Quantitative Foreign Frontier Fund Institu-
tional Shares for the period ended March 31, 1997 reflects a
reduction of $0.02 per share.
(b) Annualized
(c) Total Return does not include the one time deferred sales
charge of 1% for the Ordinary Shares. Effective August 1,
1996 Numeric II and Disciplined Growth Ordinary Shares are no
longer subject to the deferred sales charge of 1%. The total
return would have been lower if certain fees had not been
waived or if fees had not been reduced by credits allowed by
the custodian.
(d) Investment income and expenses for the periods ending March
31, 1991 through March 31, 1994 were calculated for the Ordi-
nary Shares and then adjusted for the differences in distri-
bution 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 shareholders and no Institutional
Shares of beneficial interest outstanding from that date un-
til August 25, 1994. (Note 1)
(f) Per share numbers have been calculated using the average
shares method.
(g) In accordance with SEC reporting requirements the average
commission rate has been calculated for fiscal years begin-
ning on or after September 1, 1995.
(h) Net investment income per share and the net investment income
ratio would have been lower without a certain investment
strategy followed by the subadvisor during the current fiscal
year.
<TABLE>
<CAPTION>
Ratios and Supplemental Data
Ratio of
Ratio of Net
Net Assets Operating Investment
End of Expenses Income (Loss) Average
Period to Average to Average Portfolio Commission
(000's) Net Assets Net Assets Turnover Rate(g)
<S> <C> <C> <C> <C>
$19,676 2.12% 0.47% 52.00% --
$17,429 2.28% 1.08% 16.00% --
$26,222 2.01% (0.08)% 40.00% --
$27,657 1.91% (0.24)% 46.48% --
$27,402 2.15%* (0.04)% 43.00% --
$27,410 2.20%* 0.10% 135.00% $0.0140
$ 4,178 1.50%(b) 1.56%(b) 159.00% --
$ 0 1.63% 1.05% 52.00% --
$ 3,052 1.66%(b) 0.13%(b) 46.48%(b) --
$ 1,241 1.65%* 0.38% 43.00% --
$ 1,760 1.69%* 0.51% 135.00% $0.0140
$ 4,259 2.54%(b) (1.03)%(b) 10.72%(b) --
$ 7,736 2.74%* (0.84)% 9.00% --
$10,052 2.68%* (0.47)% 8.00% $0.0024
$ 1,212 2.01%(b)* 0.13%(b) 8.00%(b) $0.0024
</TABLE>
27
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
- -------------------------------------------------------------------------------
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
($1 billion 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 ($1 bil-
lion 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 $1 billion) or medium ($1 billion to $5 billion) mar-
ket 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 and, for Numeric, Growth and
Income, International Equity and Foreign Frontier, a deferred sales charge.
Prior to August 1, 1996, Ordinary Shares of Numeric II and Disciplined Growth
were sold subject to the deferred sales charge.
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. 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.
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.
28
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS--Continued
- --------------------------------------------------------------------------------
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 amortized
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 advi-
sors, 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 Equi-
ty; 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.
Under the management agreement, the Manager has agreed to reduce its compensa-
tion with respect to Numeric, Growth and Income, and International Equity to
the extent that the total expenses 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 Manager has also agreed to assume expenses of any of
these Funds if necessary in order to reduce their total expenses to no more
than 2% of average net assets for any fiscal year. Fund expenses subject to
this limitation are exclusive of brokerage, interest, taxes and extraordinary
expenses, which include incremental custody costs associated with international
securities.
The Manager has voluntarily agreed to waive fees or assume certain operating
expenses of Numeric II and Disciplined Growth in order to reduce the total ex-
penses of these Funds to no more than 1.70% and 1.95% respectively of their av-
erage net assets. Expenses eligible for reimbursement do not include interest,
taxes, brokerage commissions, or extraordinary expenses, and expenses are cal-
culated gross of custody credits, if applicable. For the year ended March 31,
1997, the Manager voluntarily waived fees or reimbursed expenses of Numeric II
and Disciplined Growth in excess of expense limitations.
For the year ended March 31, 1997, the fees waived or expenses reimbursed by
the Manager amounted to $40,005, $48,010, $27,292, $10,157 and $1,500 for Nu-
meric, Numeric II, Disciplined Growth, International Equity and Foreign Fron-
tier respectively. The aggregate management fees, net of fees waived or reim-
bursed by the Manager amounted to $1,606,973.
The Manager has entered into advisory contracts with the following advisors
(collectively the "Advisors") to provide investment advisory services to the
following Funds: Columbia Partners, L.L.C., Investment Management (Numeric, Nu-
meric II), State Street Bank and Trust Company (Growth and Income), and Inde-
pendence International Associates, Inc. (International Equity, Foreign Fron-
tier). Advanced Investment Technology, Inc. served as Advisor to Disciplined
Growth prior to the Fund's termination.
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 Advisors of
the
29
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS--Continued
- -------------------------------------------------------------------------------
Funds are as follows: Numeric and International Equity Funds--0.50% of average
daily total net assets; Numeric II and Foreign Frontier Funds--0.40% of aver-
age daily total net assets; Disciplined Growth--0.60% of the first $100 mil-
lion, and 0.50% of amounts in excess of $100 million of average daily total
net assets; and Growth and Income--0.375% of the first $20 million and 0.30%
of amounts in excess of $20 million of average daily total net assets, with an
annual minimum of $25,000.
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 (i)
0.50% of the average net asset value of Ordinary Shareholder accounts of Nu-
meric, Growth and Income, International Equity and Foreign Frontier and (ii)
0.25% of the average net asset value of Ordinary Shareholder accounts of Nu-
meric II and Disciplined Growth open during the period the plan is in effect.
Prior to August 1, 1996, the annual rate for Numeric II and Disciplined Growth
accounts was 0.50%. No fees are received by the Distributor for Institutional
Shares. For the year ended March 31, 1997, the Distributor voluntarily agreed
to waive its fees in their entirety with respect to Numeric II and Disciplined
Growth, which amounted to $24,260 and $6,833 respectively. During the year
ended March 31, 1997, the aggregate fees, net of fees waived by the Distribu-
tor, paid by the Funds pursuant to such distribution plan amounted to
$742,137. A deferred sales charge amounting to 1% of the net asset value of
Ordinary Shares redeemed of Numeric, Growth and Income, International Equity
and Foreign Frontier is withheld from the redemption proceeds and paid to the
Distributor. The deferred sales charge is also imposed on redemptions of Ordi-
nary Shares of Numeric II and Disciplined Growth purchased prior to August 1,
1996. The deferred sales charge is not imposed on redemptions of Institutional
Shares, and certain other transactions. The Funds have been advised that dur-
ing the year ended March 31, 1997, such fees earned by the Distributor were
$280,652.
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. The transfer agent agreement provides for base
fees that are payable to the Transfer Agent at an annual rate of 0.13% of the
aggregate average daily net asset value of each class of shares of each Fund
and for reimbursement of out of pocket expenses. During the year ended March
31, 1997, the aggregate fees, net of fees waived by the Transfer Agent, paid
by the Funds pursuant to such agreement amounted to $265,075. For the year
ended March 31, 1997, the Transfer Agent voluntarily agreed to waive its fees
in their entirety with respect to Numeric II and Disciplined Growth which
amounted to $14,659 and $3,232 respectively.
State Street Bank and Trust Company (the "Custodian") maintains the Funds' ac-
counting records and provides custodial services. For the year ended March 31,
1997, $65,700, $10,025, $2,525, $14,747, $14,771, and $11,660 in custody cred-
its 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 the contrac-
tually required Manager reimbursement for Numeric, Growth and Income, and In-
ternational Equity and the voluntary Manager reimbursement for Numeric II and
Disciplined Growth.
The Custodian voluntarily agreed to waive its base custodian fees and to re-
duce its dual-class accounting fees for Disciplined Growth. For the year ended
March 31, 1997, the Custodian's fee waivers amounted to $12,571. Such waivers
have not been applied in the calculation of voluntary Manager reimbursement
for Disciplined Growth.
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.
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.
At March 31, 1997, International Equity had a capital loss carryover amounting
to $103,200 which will expire on March 31, 2001, and Foreign Frontier had cap-
ital loss carryovers amounting to $5,852, $92,688 and $188,458 which will ex-
pire on March 31, 2003, March 31, 2004 and March 31, 2005 respectively. To the
extent that these losses are used to offset any future capital gains realized
during the carryover period, no capital gains tax liabilities will be incurred
by International Equity and Foreign Frontier for gains realized and not dis-
tributed.
5. Purchases and Sales.
During the year ended March 31, 1997, 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 $334,133,323, $14,712,630, $5,728,865, $42,674,861,
$37,741,908, and $3,262,697 respectively. Sales of such securities for the
Funds were $384,689,371, $17,602,208, $7,145,089, $48,663,613, $38,366,155,
and $706,958 respectively.
30
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NOTES TO FINANCIAL STATEMENTS--Continued
- --------------------------------------------------------------------------------
6. Securities Loans.
During the year, International Equity loaned common stocks and received cash
collateral. At March 31, 1997, International Equity had no loans outstanding.
Security lending income of $704 collected by the custodian, was used to offset
custodian expense during the year. Such offset would not be applied in the cal-
culation of Manager reimbursements to International Equity.
7. Reclassifications.
For the year ended March 31, 1997, certain reclassification adjustments were
made between undistributed/(overdistributed) net investment income, accumulated
net realized gain/(loss), and shares of beneficial interest due to differences
between book and tax accounting, primarily due to the utilization of earnings
and profits distributed to shareholders on redemption of shares as part of the
dividends paid deduction for income tax purposes for Numeric; current year net
operating losses for Numeric II, 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
Beneficial Net Investment Net Realized
Interest Income/(Loss) Gain/(Loss)
<S> <C> <C> <C>
Numeric 4,791,840 -- (4,791,840)
Numeric II -- 1,799 (1,799)
Disciplined Growth -- 15,538 (15,538)
International Equity (67) 721,809 (721,742)
Foreign Frontier 32,085 (39,755) 7,670
</TABLE>
- --------------------------------------------------------------------------------
8. Contingent Liability.
The Trust insures itself and all Funds under a policy with ICI Mutual Insurance
Company. The annual premium is allocated among the Funds and Quantitative In-
stitutional 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 irrevocable
letter of credit.
9. 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. 4 80%
Numeric II Ord. 2 24%
Numeric II Inst. 5 94%
Disciplined Growth Ord. 6 53%
Disciplined Growth Inst. 4 100%
Growth and Income Inst. 3 92%
International Equity Inst. 2 95%
Foreign Frontier Ord. 2 10%
Foreign Frontier Inst. 2 97%
</TABLE>
10. Concentration of Risk.
The relatively large investments of the Foreign Frontier Fund in Latin American
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, social 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.
31
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11. Transactions in Shares of Beneficial Interest.
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
Year Ended Year Ended
March 31, 1997 March 31, 1996
------------------------ -------------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
NUMERIC
ORDINARY SHARES:
Shares sold 351,818 $ 6,317,030 306,845 $ 5,287,525
Shares issued in
reinvestment of
distributions 924,424 16,907,849 410,004 7,474,372
Shares redeemed (1,264,403) (22,735,475) (339,690) (6,065,838)
---------- ------------ ---------- -------------
Net change 11,839 489,404 377,159 6,696,059
---------- ------------ ---------- -------------
INSTITUTIONAL SHARES:
Shares sold 321,340 $ 5,965,533 372,214 $ 6,912,864
Shares issued in
reinvestment of
distributions 213,876 4,116,247 165,042 3,069,775
Shares redeemed (2,157,817) (38,785,621) (1,253,740) (21,958,358)
---------- ------------ ---------- -------------
Net change (1,622,601) $(28,703,841) (716,484) $ (11,975,719)
---------- ------------ ---------- -------------
TOTAL NET CHANGE FOR FUND $(28,214,437) $ (5,279,660)
------------ -------------
NUMERIC II
ORDINARY SHARES:
Shares sold 283,463 $ 4,013,410 434,724 $ 5,272,157
Shares issued in
reinvestment of
distributions 76,221 1,064,046 4,887 61,864
Shares redeemed (166,383) (2,323,633) (24,790) (304,541)
---------- ------------ ---------- -------------
Net change 193,301 $ 2,753,823 414,821 $ 5,029,480
---------- ------------ ---------- -------------
INSTITUTIONAL SHARES:
Shares sold 96,506 $ 1,350,989 350,456 $ 4,388,082
Shares issued in
reinvestment of
distributions 2,350 33,070 3,610 45,700
Shares redeemed (422,182) (6,069,111) (4,106) (50,595)
---------- ------------ ---------- -------------
Net change (323,326) $ (4,685,052) 349,960 $ 4,383,187
---------- ------------ ---------- -------------
TOTAL NET CHANGE FOR FUND $ (1,931,229) $ 9,412,667
------------ -------------
DISCIPLINED GROWTH
ORDINARY SHARES:
Shares sold 23,682 $ 316,581 124,257 $ 1,434,616
Shares issued in
reinvestment of
distributions 16,770 220,688 75 930
Shares redeemed (34,905) (457,243) (9,964) (113,141)
---------- ------------ ---------- -------------
Net change 5,547 $ 80,026 114,368 $ 1,322,405
---------- ------------ ---------- -------------
INSTITUTIONAL SHARES:
Shares sold 2,681 $ 36,839 6,593 $ 75,500
Shares issued in
reinvestment of
distributions 570 7,507 4 45
Shares redeemed (3,189) (40,183) (1,297) (15,503)
---------- ------------ ---------- -------------
Net change 62 $ 4,163 5,300 $ 60,042
---------- ------------ ---------- -------------
TOTAL NET CHANGE FOR FUND $ 84,189 $ 1,382,447
------------ -------------
GROWTH AND INCOME
ORDINARY SHARES:
Shares sold 138,045 $ 2,136,905 129,344 $ 1,895,276
Shares issued in
reinvestment of
distributions 293,065 4,442,864 359,373 5,160,593
Shares redeemed (427,154) (6,602,373) (350,635) (5,180,335)
---------- ------------ ---------- -------------
Net change 3,956 $ (22,604) 138,082 $ 1,875,534
---------- ------------ ---------- -------------
</TABLE>
32
<PAGE>
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- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Year Ended Year Ended
March 31, 1997 March 31, 1996
--------------------- ----------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
INSTITUTIONAL SHARES:
Shares sold 9,058 $ 137,464 6,538 $ 97,239
Shares issued in reinvestment
of distributions 17,093 258,962 17,395 249,625
Shares redeemed (55,068) (865,268) (38,398) (583,199)
-------- ----------- -------- ------------
Net change (28,917) $ (468,842) (14,465) $ (236,335)
-------- ----------- -------- ------------
TOTAL NET CHANGE FOR FUND $ (491,446) $ 1,639,199
----------- ------------
INTERNATIONAL EQUITY
ORDINARY SHARES:
Shares sold 288,056 $ 3,128,420 284,040 $ 2,952,333
Shares issued in reinvestment
of distributions 16,596 182,722 6,478 65,878
Shares redeemed (380,548) (4,118,431) (478,842) (5,015,488)
-------- ----------- -------- ------------
Net change (75,896) $ (807,289) (188,324) $ (1,997,277)
-------- ----------- -------- ------------
Institutional Shares:
Shares sold 46,087 $ 502,388 392,128 $ 4,117,781
Shares issued in reinvestment
of distributions 1,099 12,144 -- --
Shares redeemed (4,216) (45,934) (578,734) (6,111,774)
-------- ----------- -------- ------------
Net change 42,970 $ 468,598 (186,606) $ (1,993,993)
-------- ----------- -------- ------------
TOTAL NET CHANGE FOR FUND $ (338,691) $ (3,991,270)
----------- ------------
FOREIGN FRONTIER
ORDINARY SHARES:
Shares sold 269,187 $ 2,347,110 383,704 $ 3,073,757
Shares issued in reinvestment
of distributions -- -- -- --
Shares redeemed (104,973) (898,041) (48,574) (376,826)
-------- ----------- -------- ------------
NET CHANGE 164,214 $ 1,449,069 335,130 $ 2,696,931
-------- ----------- -------- ------------
INSTITUTIONAL SHARES:
Shares sold 131,870 $ 1,140,389 -- --
Shares issued in reinvestment
of distributions 14 116 -- --
Shares redeemed (1,132) (10,110) -- --
-------- ----------- -------- ------------
Net change 130,752 $ 1,130,395 -- --
-------- ----------- -------- ------------
Net change for fund $ 2,579,464 -- --
----------- -------- ------------
</TABLE>
12. Subsequent Events.
In April 1997, the Board of Trustees approved a proposal to liquidate Disci-
plined Growth. On April 30,1997, Disciplined Growth ceased operations and dis-
tributed its assets to its shareholders on that date.
33
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
- -------------------------------------------------------------------------------
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, 1997, 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, 1997 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 9, 1997
34
<PAGE>
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- -------------------------------------------------------------------------------
Shareholder Votes and Changes of Advisors (unaudited)
On October 1, 1996, Boston International Advisors, Inc., Advisor to Interna-
tional Equity and Foreign Frontier was acquired by Independence Investment Ad-
visors, Inc. and changed its name to Independence International Associates,
Inc., resulting in a termination of the existing advisory contracts with Bos-
ton International Advisors, Inc. On October 1, 1996, new advisory contracts
went into effect with Independence International Associates, Inc., containing
substantially the same terms as the old contracts.
On October 28, 1996, there was a special meeting of the shareholders of Numer-
ic, Numeric II, International Equity and Foreign Frontier. The shareholders of
International Equity and Foreign Frontier were asked to each approve a new Ad-
visory Contract between the Manager and Independence International Associates,
Inc. pursuant to which Independence International Associates, Inc. would act
as sub-advisor to the respective funds. The following were the results of the
votes:
<TABLE>
<CAPTION>
International Equity Foreign Frontier
Shares Voted Shares Voted
<S> <C> <C>
For 1,730,191.895 717,398.892
Against 912.563 0.000
Abstain 60,325.802 19,919.159
</TABLE>
There were no broker non-votes submitted, and no other proposals voted on at
such meeting.
In addition, at the meeting on October 28, shareholders of Numeric and Numeric
II were asked to each approve a new Advisory Contract between the Manager and
Columbia Partners, L.L.C. Investment Management ("Columbia Partners") pursuant
to which Columbia Partners would act as sub-advisor to the respective funds.
The following were the results of the votes:
<TABLE>
<CAPTION>
Numeric Numeric II
Shares Voted Shares Voted
<S> <C> <C>
For 3,038,306.896 516,648.981
Against 25,231.238 4,575.579
Abstain 103,128.474 9,751.502
</TABLE>
There were no broker non-votes submitted, and no other proposals voted on at
such meeting.
Effective October 1, 1996, Advanced Investment Technology, Inc. ("AIT") ac-
quired the investment management portion of the business of LBS Capital Man-
agement, Inc. ("LBS"), the Advisor to Disciplined Growth, resulting in an au-
tomatic termination of the existing advisory contract with LBS. On October 1,
1996, AIT began to serve as Advisor to Disciplined Growth pursuant to an advi-
sory contract with the Manager containing substantially the same terms as the
advisory contract between the Manager and LBS, except that AIT is not entitled
to payment of advisory fees under the contract until the contract is approved
by the shareholders of Disciplined Growth. At the time of Disciplined Growth's
termination on April 30, 1997, shareholders of Disciplined Growth had not ap-
proved the contract, and AIT is not owed any fees by Disciplined Growth.
35
<PAGE>
[LOGO APPEARS HERE]
QUANTITATIVE
GROUP of FUNDS
55 Old Bedford Road
Lincoln, MA 01773
voice 800/331-1244
fax 617/259-1166
Distributed by U.S. Boston Capital Corp.
