<PAGE>
- --------------------------------------------------------------------------------
QUANTITATIVE GROUP of FUNDS
SEMI-ANNUAL
REPORT
SEPTEMBER 30, 1997
- --------------------------------------------------------------------------------
U.S. EQUITY FUNDS
Quantitative Numeric Fund
Quantitative Numeric II Fund
Quantitative Growth and Income Fund
INTERNATIONAL EQUITY FUNDS
Quantitative International Equity Fund
Quantitative Foreign Frontier Fund
<PAGE>
November 27, 1997
Dear Fellow Shareholder:
I am very pleased to provide you with the Semi-Annual Report for our five eq-
uity mutual funds. We have always believed that the consistent, disciplined
method utilized by our funds provides our investors with an excellent opportu-
nity to obtain solid returns while reducing risk.
As of September 30, 1997, our belief was borne out by the fact that two of
our funds, the Quantitative Numeric II (Mid Cap) Fund and the large cap Quanti-
tative Growth and Income Fund, were among the top of their peer groups, as mea-
sured by Lipper Analytical Services, Inc., for the last 52 weeks.
The Growth and Income Fund, in particular, exemplifies one of the best fea-
tures of our quantitative managers--a continued commitment to research and im-
provement of the computer models that guide our funds' investment strategies.
September 30th marked roughly one year since the Growth and Income Fund added
an industry selection component to its stock analysis model, that has served to
improve the returns of a fund which already has a consistent twelve-year per-
formance history. For the last six months, all of our funds matched or exceeded
their benchmarks.
The events of the last six months, and particularly those of recent days,
provide support to the conviction of experienced, prudent investors that the
best results come from taking a long-term approach to investing.
For example, in the first quarter of this year, the advances in the domestic
markets appeared stalled, with the major domestic indices across all asset
classes producing negative or very meager returns.
Over the last six months, however, each of these indices posted returns of
25% or better, while our domestic funds all surpassed their respective bench-
marks. In recent weeks, we have seen significant turbulence in both the domes-
tic and foreign markets. We are proud to note that our shareholders have ad-
hered to a long-term view in investing, and we intend to continue to do our
best to earn your trust.
<PAGE>
Lastly, I would like to offer some thoughts from our portfolio managers,
which were prepared prior to the most recent market events:
Robert von Pentz, CFA (Quantitative Numeric Fund (Small Cap) and Quantitative
Numeric II (Mid Cap) Fund): "While the strong performance of small and mid cap
stocks during the period has closed the valuation gap with larger stocks to
some extent, we believe that small companies remain very compelling invest-
ments. Dollar strength is likely to continue to negatively impact larger, mul-
tinational companies. We expect small and mid cap stocks to fare well versus
their larger brethren in the current market environment."
Steve Esielonis and Charles Babin, CFA (Quantitative Growth and Income (Large
Cap) Fund): "In light of the stellar performance of the large cap arena and the
recent rotation into mid cap and small cap stocks, we anticipate a flattening
in the large cap sector near term. Although we certainly cannot guarantee that
the Fund will continue its recent torrid pace (over 50% for the last 12
months), we will continue to doggedly seek to maintain superior performance."
Lyle Davis, CFA and David Umstead, CFA (Quantitative International Equity
(Developed Markets) Fund and Quantitative Foreign Frontier (Emerging Markets)
Fund): "Most investment analysts predict the problems in the Asian markets will
not go away quickly. To continue to keep our performance above the benchmark,
we will continue to watch developments there very carefully but will aggres-
sively seek bargain opportunities in the region for the Funds. We also feel
that European returns will be lower in the next few months with the possible
exception of the UK."
We are available at any time to answer questions and provide assistance. We
are also working on methods of improving communication with our shareholders,
including developing a web page which will be opened before the end of the
year.
Sincerely,
/s/ Edward L. Pittman
Edward L. Pittman
President
<PAGE>
[LOGO OF QUANTITATIVE NUMERIC APPEARS HERE]
QUANTITATIVE NUMERIC (SMALL CAP)
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INVESTMENT PROFILE All Data as of September 30, 1997
- ---------------------
INVESTMENT COMMENTARY
- ---------------------
Q After suffering through an extremely weak first quarter of 1997, small cap
stocks picked up strength in the second and third quarters, outperforming large
cap stocks in the third quarter for the first time in nearly two years. A
combination of attractive relative valuations and renewed confidence in earnings
prospects increased investor focus on small cap companies. Against this
backdrop, a number of very large companies announced disappointing earnings as
the quarter progressed. Warnings from members of the so called "Nifty Fifty"
(fifty super large growth companies) resulted in an increased flow of funds from
large to small cap companies.
Q Our models highlighted increasing price strength and earnings momentum in
more cyclical companies, resulting in increased weights in the Basic Materials,
Consumer Cyclicals, and Technology sectors. Additions to the portfolio included
NS Group, a manufacturer of steel tubing for oil drilling rigs; American
Freightways Corp., a freight forwarding company; Roadway Express, a trucking
company, and Datastream, a maker of software used by manufacturing companies. We
slightly reduced our weighting in financial companies, where we believe
valuations are declining.
Q We believe that smaller companies remain very compelling investments.
Valuations remain attractive. Relative earnings growth in our small cap universe
companies compares very favorably with larger companies. Finally, dollar
strength is likely to continue to negatively impact larger, multinational
companies. We expect small caps to fare well versus their larger brethren in the
current market environment.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PERFORMANCE UPDATE Six Months Year to Date One Year Five Years Since Inception
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Quantitative Numeric Fund 34.11% 16.59% 16.27% 26.60% 26.20% (8/3/92)
Russell 2000 Index 33.50% 26.60% 33.19% 21.07% 19.67%
Lipper Small Company Average 36.48% 27.02% 29.79% 21.32%
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
CALENDAR YEAR PERFORMANCE (ORDINARY SHARES) FUND INFORMATION
- ------------------------------------------- ----------------
<S> <C> <C>
[BAR GRAPH APPEARS HERE] Ticker Symbol USBNX (ordinary)
1994 1995 1996 QBNAX (institutional)
------------------------ Number of Companies 68
NUMERIC 4.31% 34.96% 23.33% Median Market Cap $659 million
- -------------------------------------- Price to Book 4.2
RUSSELL 2000 -1.82% 28.44% 16.49% Price to Earnings 22.6
- -------------------------------------- Assets Under Management $79 million
For more information, call the QUANTITATIVE GROUP of FUNDS, 1-800-331-1244.
</TABLE>
* The Russell 2000 Index is an unmanaged index comprised of the bottom
two-thirds of the largest 3,000 publicly traded companies in the United States.
It is widely recognized as representative of the general market for small
company stocks. Investment returns assume the reinvestment of dividends paid on
stocks comprising the Index. The Lipper returns are based on the Lipper Small
Cap Funds Average, as published in the Wall Street Journal. Lipper Mutual Funds
Averages are comprised of all of the mutual funds within their respective
investment objectives, excluding multiple share classes, and adjusted for the
reinvestment of capital gains distributions.
Returns reflect the performance of ordinary shares of the Fund, which carry a
12b-1 fee of .50bp, and include the effect of a 1% deferred sales charge.
Excluding the effect of the 1% redemption fee for ordinary shares, the returns
would have been 17.44%, 26.88%, and 26.45%, for the one year, five year, and
inception periods, respectively. Similarly, the Calendar Year Performance chart
does not reflect the effects of the redemption fee. Institutional shares of the
Fund are available to clients of financial advisors without a 12b-1 fee or sales
charge. The one year and since inception (1/6/93) returns for Institutional
shares are 18.04% and 23.08% respectively. Past performance is no guarantee of
future results. Share prices may vary and shares may be worth more or less than
their original cost at the time of sale. The investment return and principal
value of an investment will fluctuate. The Fund's portfolio is subject to
change.
<PAGE>
[LOGO OF QUANTITATIVE NUMERIC APPEARS HERE]
QUANTITATIVE NUMERIC (SMALL CAP)
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INVESTMENT PROFILE All Data as of September 30, 1997
[PHOTO OF ROBERT VON PENTZ APPEARS HERE]
The Quantitative Numeric Fund is a small company fund that seeks investment
opportunities among companies with less than one billion dollars in market
capitalization. The Fund looks for stocks of companies that have superior growth
rates, but with share prices that do not fully reflect their potential. Stocks
of smaller companies generally are more volatile than larger companies, but also
offer the opportunity for greater price appreciation. The Quantitative Numeric
Fund may not be appropriate for every investor.
Investment Process The Fund employs a disciplined, quantitative approach to
investing. Each and every stock in the universe of eligible investments is
examined through a variety of prisms created by a computer model. Rankings are
assigned to the stocks based on their attractiveness. Generally, companies with
records of strong earnings growth, whose earnings estimates are being revised
upwards by securities analysts, and which are valued cheaply on a relative
basis, are good candidates for inclusion in the Fund's portfolio. Risk controls
also are employed to prevent the Fund from concentrating its investments in any
particular industry sector. Buy and Sell Discipline The purchase and sale of
securities in the Fund's portfolio primarily is driven by computer rankings.
Among comparably ranked companies, a further examination may be conducted to
determine if there are additional quantitative factors that might bear upon
future performance. A strict, passionless sell discipline is employed if a
company's rankings deteriorate or its market capitalization increases above
one-and-a-half billion dollars.
Management The Fund is managed by Robert von Pentz, CFA, an owner and chief
equity investment officer of Columbia Partners, LLC located in Washington, D.C.
Bob has spent most of his career designing and implementing quantitative
strategies. He earned his BA in economics and an MBA from the University of New
Mexico. His interests include aviation, flyfishing and gardening.
- ----------------
TOP TEN HOLDINGS (Each generally no more than 2-3% of the Fund.)
- ----------------
Astoria Financial Corporation Furniture Brands International
Coast Savings Financial, Inc. Golden State Bancorp., Inc.
Curative Health Services, Inc. Ocwen Financial Corp.
FPAMedical Management, Inc. Ross Stores, Inc.
Fremont General Corporation Yellow Corp.
- --------------------------------------------------------------------------------
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
Energy 5%
Health Care 15%
Consumer Cyclical 16%
Capital Goods 1%
Financials 25%
Basic Materials 6%
Utilities 3%
Consumer Services 3%
Technology 23%
Consumer Staples 3%
<PAGE>
[LOGO OF QUANTITATIVE NUMERIC II APPEARS HERE]
QUANTITATIVE NUMERIC II (MID CAP)
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
- ---------------------
INVESTMENT COMMENTARY
- ---------------------
Q After a slow first quarter of 1997, the Fund returned over 37% in the second
and third quarters, 4% ahead of its benchmark, the S&P 400 Index, and the
average mid cap fund. For the 12 months ended September 30, the Fund was ranked
9 out of 211 mid cap funds by Lipper Analytical Services, Inc. Investor interest
in the stocks of mid cap companies, which reemerged during the second quarter,
intensified in the third quarter, driven by attractive relative valuation to
larger stocks and renewed confidence in earnings potential.
Q The Fund's sector choices contributed heavily to the Fund's strong performance
during the quarter. Strong and improving earnings momentum and price strength
scores from our model, coupled with attractive valuations led us to take
positions larger than the benchmark S&P 400 Index in the three best performing
sectors during the quarter: energy, financials, and technology. As valuations
became less attractive, we took profits in the energy sector, moving closer to a
market weight.
Q We increased our weighting in the consumer cyclical area, focusing on
companies that are benefiting from the continued strength in the economy. We
also moved to an overweight position in the health care sector, where we found
good value in medical service providers. Additions to the portfolio included
General Nutrition Cos., a retailer of nutritional supplements; Total Renal Care,
a dialysis services provider; and Quorum Health Group, an owner of acute care
hospitals.
Q Despite the impressive returns for mid cap stocks in the last two quarters,
valuations remain attractive for mid cap stocks, and they continue to
demonstrate promising earnings growth. We believe that mid cap stocks remain
very compelling investments.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PERFORMANCE UPDATE Six Months Year to Date One Year Since Inception
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Quantitative Numeric II 37.13% 34.26% 46.16% 35.73% (3/21/95)
S&P 400 Index 33.14% 31.16% 39.10% 29.32%
Lipper Mid Cap Average 32.59% 24.91% 26.88%
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
CALENDAR YEAR PERFORMANCE (ORDINARY SHARES) FUND INFORMATION
- ------------------------------------------- ----------------
<S> <C> <C>
[BAR GRAPH APPEARS HERE] Ticker Symbol QNIIX (ordinary)
Number of Companies 54
1995 1996 Median Market Cap $3.5 billion
- ------------------------------ Price to Book 3.9
NUMERIC II 26.65% 27.45% Price to Earnings 20.3
- ------------------------------ Assets Under Management $13 million
S&P 400 22.64% 19.20%
- ------------------------------
</TABLE>
For more information, call the QUANTITATIVE GROUP of FUNDS, 1-800-331-1244.
The S&P 400 Index is an unmanaged index comprised of stocks outside the large
capitalization bias of the S&P 500, which are chosen by Standard & Poors for
their size and industry characteristics. It is widely recognized as
representative of the general market for stocks with medium capitalizations.
Investment returns assume the reinvestment of dividends paid on stocks
comprising the Index. The Lipper results are based on the Lipper Mid Cap Funds
Average, comprised of mutual funds with medium cap investment objectives,
determined by Lipper and as published in the Wall Street Journal. Lipper Mutual
Funds Averages are comprised of all of the mutual funds within their respective
investment objectives, excluding multiple share classes, and are adjusted for
the reinvestment of capital gains distributions.
Returns reflect the performance of ordinary shares of the Fund, which carry a
12b-1 fee of .25bp. Institutional Shares of the Fund may be available to clients
of some financial advisors without a 12b-1 fee. The one year and since inception
(4/17/95) returns for Institutional shares are 46.19% and 35.58% respectively.
Past performance is no guarantee of future results. Share prices may vary and
shares may be worth more or less than their original cost at the time of sale.
The investment return and principal value of an investment will fluctuate. The
Fund's portfolio is subject to change.
<PAGE>
[LOGO OF QUANTITATIVE NUMERIC II APPEARS HERE]
QUANTITATIVE NUMERIC II (MID CAP)
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INVESTMENT PROFILE All Data as of September 30, 1997
[PICTURE OF ROBERT VON PENTZ APPEARS HERE]
The Quantitative Numeric II (Mid Cap) Fund seeks investment opportunities among
companies with from one to five billion dollars in market capitalization. The
Fund looks for stocks of companies that have superior growth rates, but with
share prices that do not fully reflect their potential. Companies in this strong
middle range of market capitalization often have more solid industry positions
and experienced management than smaller companies. At the same time, they
frequently are in the earlier stages of their business cycle and can produce
higher sales and earnings growth rates than larger, more established companies.
Investment Process The Fund employs a disciplined, quantitative approach to
investing. Each and every stock in the universe of eligible investments is
examined through a variety of prisms created by a computer model. Rankings are
assigned to the stocks based on their attractiveness. Generally, companies with
records of strong earnings growth, whose earnings estimates are being revised
upwards by securities analysts, and which are valued cheaply on a relative
basis, are good candidates for inclusion in the Fund's portfolio. Risk controls
also are employed to prevent the Fund from concentrating its investments in any
particular industry sector.
Buy and Sell Discipline The purchase and sale of securities in the Fund's
portfolio primarily is driven by computer rankings. Among comparably ranked
companies, a further examination may be conducted to determine if there are
additional quantitative factors that might bear upon future performance. A
strict, passionless sell discipline is employed when a company's rankings
deteriorate or its market capitalization increases above five billion dollars.
Management The Fund is managed by Robert von Pentz, CFA, an owner and chief
equity investment officer of Columbia Partners, LLC located in Washington, D.C.
Bob has spent most of his career designing and implementing quantitative
strategies. He earned his BA in economics and an MBA from the University of New
Mexico. His interests include aviation, flyfishing and gardening.
- ----------------
TOP TEN HOLDINGS (Each generally no more than 2-3% of the Fund.)
- ----------------
Ace Limited ENSCO International, Inc.
Advanced Fibre Comm., Inc. Noble Drilling Corp.
Ahmanson (HF) & Co. Old Republic International Corp.
CNF Transportation, Inc. Tommy Hilfiger Corp.
Compuware Corp. US Filter Corp.
- --------------------------------------------------------------------------------
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
Consumer Staples 8%
Health Care 11%
Utilities 6%
Consumer Services 4%
Financials 21%
Capital Goods 7%
Consumer Cyclicals 15%
Energy 10%
Technology 16%
Basic Materials 3%
<PAGE>
[LOGO OF QUANTITATIVE GROWTH & INCOME]
QUANTITATIVE GROWTH & INCOME
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
- ---------------------
INVESTMENT COMMENTARY
- ---------------------
Q During the period from April 1 to September 30, 1997, the Fund outperformed
its benchmark, the S&P 500 Index, and the average growth and income fund by more
than 10%. All aspects of the Fund's investment model contributed to the excess
return.
Q Specific stock selections contributed 75% of the Fund's excess returns. Some
of the companies that performed well for the Fund during the quarter were
BankAmerica, Bristol-Myers and Dell Computer. Among the recent additions to the
portfolio is Intimate Brands, which offers Victoria's Secret, among other items.
Q The sector selection model continued to complement the stock selection
process, adding about 25% of the Fund's excess returns. Among the sectors
favored by the model in the near term are semi-conductors, electrical equipment,
computer hardware and apparel.
Q The Fund also benefited from a shift in investor interest toward the smaller
end of the Fund's capitalization range. The move was driven by some concern over
earnings of the largest companies accompanied by more positive reports from
companies at the lower end of the Fund's capitalization range. Since the smaller
companies in the large cap universe traditionally have greater representation in
the Fund's portfolio than in the S&P 500, the overperformance of this sector
contributed to the Fund's excess returns in the quarter.
Q In the near term, we expect continued growth in the large cap sector, with
plenty of opportunity for the Fund's investment models to identify attractive
companies. Returns may flatten somewhat, however, as the move to smaller cap
stocks continues and valuations of some of the larger companies adjust after the
sizable gains of the past year.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PERFORMANCE UPDATE Six Months One Year Five Years Ten Years Since Inception
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Quantitative Growth & Income 37.06% 50.66% 20.14% 14.42% 16.88% (5/9/85)
S&P 500 Index 26.26% 40.45% 20.77% 14.75% 17.85%
Lipper Growth & Income Average 24.63% 35.76% 18.76% 13.31%
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
CALENDAR YEAR PERFORMANCE (ORDINARY SHARES) FUND INFORMATION
- ------------------------------------------- ----------------
<S> <C> <C>
Ticker Symbol USBOX (ordinary)
[BAR GRAPH APPEARS HERE] QGIAX (institutional)
Number of Companies 100
1994 1995 1996 Average Market Cap $33.8 billion
- ------------------------------------------- Price to Book 3.8
Growth & Income -0.66% 29.45% 18.81% Price to Earnings 17.2
- ------------------------------------------- Assets Under Management $60 million
S&P 500 Index 1.32% 37.58% 22.96%
- -------------------------------------------
</TABLE>
For more information, call the QUANTITATIVE GROUP of FUNDS, 1-800-331-1244.
The S&P 500 Index is an unmanaged index of stocks chosen by Standard & Poors for
their size and industry characteristics. It is widely recognized as
representative of the general market for stocks in the United States. Investment
returns assume the reinvestment of dividends paid on stocks comprising the
Index. The Lipper results are based on the Growth & Income Funds Average,
comprised of mutual funds with similar objectives, determined by Lipper and as
published in the Wall Street Journal. Lipper Mutual Funds Averages are comprised
of all of the mutual funds within their respective investment objectives,
adjusted for multiple share classes, and are adjusted for the reinvestment of
capital gains distributions.
Returns reflect the performance of ordinary shares of the Fund, which carry a
12b-1 fee of .50bp., and include the effects of a 1% deferred sales charge.
Excluding the effects of the 1% redemption fee for ordinary shares, the returns
would have been 52.17%, 20.38%, 14.54% and 16.98%, for the one year, five year,
ten year and inception periods, respectively. Similarly, the Calendar Year
Performance chart does not reflect the effects of the redemption fee.
Institutional Shares of the Fund may be available to clients of some financial
advisors without a 12b-1 fee or sales charge. The one year, five year and since
inception (3/25/91) returns for Institutional Shares are 52.85%, 20.98% and
18.08% respectively. Past performance is no guarantee of future results. Share
prices may vary and shares may be worth more or less than their original cost at
the time of sale. The investment return and principal value of an investment
will fluctuate. The Fund's portfolio is subject to change.
<PAGE>
[LOGO QUANTITATIVE GROWTH & INCOME APPEARS HERE]
QUANTITATIVE GROWTH & INCOME
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INVESTMENT PROFILE All Data as of September 30, 1997
The Quantitative Growth & Income Fund, created in 1985, seeks long-term growth
of capital by investing primarily in the common stock of larger, more stable
companies. The Fund is designed to be a core United States common stock
portfolio that can be utilized either alone or in conjunction with more narrowly
differentiated strategies. The Quantitative Growth & Income Fund employs a
conservative equity investment strategy that makes it well suited for longer
term investors seeking a domestic stock fund for retirement or college planning.
Investment Process The Fund's investment process begins with a top-down ranking
of industries based on forecasts of their relative attractiveness. Strict limits
are placed on the concentration of securities that may be purchased within any
economic and industry sector to avoid undue risk. In addition, risk controls
restrict the percentage of the Fund's assets that can be invested in the stock
of a particular company.
Buy and Sell Discipline Individual investments are selected from among a
universe of over 1,000 companies. Stocks within the portfolio are chosen based
on rankings produced by a multifactor quantitative model. Revisions to a
company's earnings estimates, which are published by financial analysts, are
closely followed and trends are quantified daily to arrive at a forecast of the
actual earnings of the company for the quarter. Each company's stock is then
evaluated on the basis of historic earnings, dividends, and asset values, which
are compared to the current price of the stock. Based on these and other
factors, a company's stock is assigned a "matrix" ranking which determines
whether it will be purchased for the Fund or retained in its portfolio.
Management The Quantitative Growth & Income Fund has been managed continuously
since inception by a team of analysts and portfolio managers at State Street
Global Advisors located in Boston, Massachusetts. The team at State Street
responsible for the day-to-day management of the portfolio includes Douglas T.
Holmes, CFA, Steven M. Esielonis and Charles Babin, CFA.
- ----------------
TOP TEN HOLDINGS (Each generally no more than 2-3% of the Fund.)
- ----------------
Bristol-Myers Ford Motor Company
Compaq Computer Fort James
Compuware Intel Corporation
Dell Computer Merck
Exxon Schering Plough
- --------------------------------------------------------------------------------
SECTOR ALLOCATION
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
Energy 10%
Utilities 1%
Financials 15%
Consumer Cyclicals 14%
Health Care 10%
Capital Goods 8%
Basic Materials 6%
Consumer Staples 6%
Communication Services 4%
Technology 24%
Transportation 1%
<PAGE>
[LOGO OF QUANTITATIVE INTERNATIONAL EQUITY APPEARS HERE]
QUANTITATIVE INTERNATIONAL EQUITY
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
- ---------------------
INVESTMENT COMMENTARY
- ---------------------
Q During the period from April 1 to September 30, the developed markets, as
represented by the EAFE Index, were up 12.22% versus 12.15% for the Fund. The
individual stock selection component of the Fund's investment model produced
excess returns relative to EAFE, which were offset by the performance of the
country selection component of the model. Currency returns cost the Fund about
2% in return over the period as most currencies declined 3-8% over the period.
Q Europe in general performed very well for the period, as measured by the
Morgan Stanley Indexes. Finland led the way with a 34% return. Italy, Spain and
the United Kingdom also delivered strong returns with 30%, 30% and 21%
respectively.
Q The returns of the developed Pacific markets were mixed, with some dropping
quite substantially. Economic problems in Thailand, primarily caused by
excessive real estate investing financed with foreign debt, led to currency
devaluation and a steep increase in interest rates. The Thailand problems
spilled over to other Southeast Asia markets, mainly Malaysia, which fell 49%,
Singapore, Indonesia, and the Philippines. Japan, as both an investor and an
exporter in these countries, also felt the effects of Thailand's difficulties,
dropping 13% over the last three months but finishing the period with an 8%
gain.
Q In the near term, we anticipate gains in the developed markets to remain
modest. We will continue to monitor developments in the Asian markets before
making additional allocations to that region. We also feel that European returns
will generally be lower in the next few months. Over the long term, however, we
continue to view the developed markets as an excellent way to diversify an
investment portfolio.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PERFORMANCE UPDATE Six Months One Year Five Years Ten Years Since Inception
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Quantitative International Equity 12.15% 14.42% 11.06% 4.83% 4.49% (7/31/87)
MSCI EAFE Index 12.22% 12.35% 11.89% 5.76% 5.96%
Lipper International Funds Average 12.38% 18.59% 13.96% 8.12%
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
CALENDAR YEAR PERFORMANCE (ORDINARY SHARES) FUND INFORMATION
- ------------------------------------------- ----------------
<S> <C> <C>
[BAR GRAPH APPEARS HERE] Ticker Symbol USBFX (ordinary)
QIEAX (institutional)
1994 1995 1996 Number of Companies 122
- --------------------------------------------- Median Market Cap $9.8 billion
International Equity 9.05% 3.40% 5.30% Price to Book 1.97
- --------------------------------------------- Price to Earnings 20.1
EAFE Index 7.77% 11.22% 6.17% Assets Under Management $34 million
- ---------------------------------------------
For more information, call the QUANTITATIVE GROUP of FUNDS, 1-800-331-1244.
</TABLE>
The Lipper results are based on the International Funds Average, comprised of
mutual funds with similar objectives, determined by Lipper and as published in
the Wall Street Journal. Lipper Mutual Funds Averages are comprised of all of
the mutual funds within their respective investment objectives, excluding
multiple share classes, and are adjusted for the reinvestment of capital gains
distributions.
Returns reflect the performance of ordinary shares of the Fund, which carry a
12b-1 fee of .50bp, and include the effects of a 1% deferred sales charge.
Excluding the effects of the 1% redemption fee for ordinary shares, the returns
would have been 15.57%, 11.29%, 4.94%, and 4.59%, for the one year, five year,
ten year, and inception periods, respectively. Similarly, the Calendar Year
Performance chart does not reflect the effects of the redemption fee.
Institutional shares may be available to clients of some financial advisors
without a 12b-1 fee or sales charge. The one year and since inception (8/25/94)
for Institutional shares are 16.16% and 5.27% respectively. Past performance is
no guarantee of future results. Share prices may vary and shares may be worth
more or less than their original cost at the time of sale. The investment return
and principal value of an investment will fluctuate. The Fund's portfolio is
subject to change.
<PAGE>
[LOGO OF QUANTITATIVE INTERNATIONAL EQUITY APPEARS HERE]
QUANTITATIVE INTERNATIONAL EQUITY
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
The Quantitative International Equity Fund, created in 1987, provides investors
with the opportunity to participate in the growth potential of companies located
in developed foreign countries. By investing in ten or more developed foreign
countries, the Fund attempts to take advantage of broad international economic
trends. Importantly, while the Fund's performance is affected by global and
international trends, its returns historically have not been highly correlated
to those of the United States' stock markets. Thus, adding the Fund to your
portfolio may provide diversification that can reduce your overall risk.
However, there are some special risks associated with foreign investing (e.g.
currency-exchange fluctuation). Thus, the Fund is designed as a long-term
investment and may not be suitable for each investor.
Investment Process The Fund generally owns stocks of over 100 non-U.S. companies
located in the twenty-one countries comprising the Morgan Stanley Europe,
Australia and Far East (EAFE) Index. In addition, the Fund also may invest a
portion of its assets in emerging markets, such as Argentina and Turkey. This
diversification within the Fund, coupled with risk controls that limit the
amount of assets that can be invested in certain countries, like Japan, reduce
the effect that the performance of any single foreign country can have on the
Fund's return.
Buy and Sell Discipline The investment process for the Quantitative
International Equity Fund relies upon sophisticated quantitative computer
models. The Fund utilizes proprietary investment models developed for each
individual country. Generally, the Fund searches for stocks with strong value
characteristics (e.g., low price relative to book value or earnings), with the
expectation that they will outperform growth stocks (e.g., high earnings growth
rates) in most markets. In some countries, however, the Fund's models may
emphasize growth characteristics, if these factors have been the predominate
predictor of share appreciation in that market over time. Individual portfolio
positions are examined regularly and country allocations may be adjusted to
reflect current forecasts for the market or imbalances resulting from
performance.
Management Since its inception, the Quantitative International Equity Fund has
been managed by Independence International Associates, Inc. (and its
predecessor), a Boston, Massachusetts-based money manager that specializes in
the management of international equity portfolios. The portfolio managers for
the Fund are David A. Umstead, Ph.D., CFA and Lyle Davis, CFA.
- ----------------
TOP TEN HOLDINGS (Each generally no more than 2-3% of the Fund.)
- ----------------
Anglian Water Glaverbel
Banco Santander UBS
Burgo UPM-Kymmene
Chugai Pharm. Volkswagen
Elf Aquitaine Wharf
- --------------------------------------------------------------------------------
COUNTRY ALLOCATION *Austria, Denmark, Ireland, Malaysia,
Norway, Singapore, Sweden.
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
Netherlands 4%
Switzerland 9%
Australia 4%
Finland 5%
Germany 9%
Italy 5%
Japan 17%
Others* (3% or less) 14%
France 6%
United Kingdom 8%
Belgium 5%
Hong Kong 7%
Spain 7%
<PAGE>
[LOGO OF QUANTITATIVE FOREIGN FRONTIER APPEARS HERE]
QUANTITATIVE FOREIGN FRONTIER
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
- ---------------------
INVESTMENT COMMENTARY
- ---------------------
Q During the period from April 1 to September 30, the Fund outperformed its
benchmark, the IFCI Index, returning 0.11% versus a -3.51 return for the Index.
Among the best performing countries for the quarter were Venezuela (58%) and
Argentina (45%). The Fund benefited during the quarter from overweights relative
to the IFCI Index in smaller countries with good returns, such as Greece (25%)
and Turkey (19%), and underweights in some of the worst performing countries,
such as Indonesia (-38%) and Malaysia (-49%). Currency returns had a negative
impact on the Fund's performance over the period.
Q The period's wide range of emerging markets returns (over 100% between the
best and worst performing markets) continues to support the Fund's strategy of
an equally weighted portfolio. Equal weights provide more diversification than
the index weights by giving a more even exposure to the returns in each market.
The Fund believes that diversification is essential to reduce market risk in the
portfolio and is especially critical in the emerging markets, given the
volatility of their returns.
Q Overall, emerging market returns were negative for the quarter, driven by the
Asian markets, where four markets each declined over 35%. Thailand, one of the
worst performing markets, fell sharply after closing a number of insolvent
finance firms and relaxing controls on the Baht, which led to a sharp decline in
the Baht's value. Malaysia added to Asia's woes by implementing changes intended
to curb speculation and short selling that instead drove foreign investors out
of the market. Other Asian governments responded by attempting to improve their
markets. Most observers believe that while Thailand's problems may take years to
resolve, there is potential in a number of the other markets which overreacted
to the news in Thailand.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PERFORMANCE UPDATE Six Months Year to Date One Year Since Inception
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Quantitative Foreign Frontier 0.11% 9.47% 7.99% -1.83% (10/3/94)
IFCI Index -3.51% 5.68% 5.41% -3.42%
Lipper Emerging Mkts Average 7.66% 17.89% 19.02%
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------- ----------------
CALENDAR YEAR PERFORMANCE (ORDINARY SHARES) FUND INFORMATION
- ------------------------------------------- ----------------
<S> <C> <C>
[BAR GRAPH APPEARS HERE] Ticker Symbol QFFOX (ordinary)
Number of Companies 219
1994 1995 1996 Assets Under Management $11.4 million
- -----------------------------------------
Foreign Frontier -17.87% -2.26% 8.75% For more information, call the QUANTITATIVE GROUP of FUNDS, 1-800-331-1244.
- -----------------------------------------
IFCI Index -17.01% -8.42% 9.46%
- -----------------------------------------
</TABLE>
* Partial Year, from 10/3/94.
The IFCI Index is published by the International Finance Corporation, a member
of the World Bank. It is widely recognized as representative of the general
market for emerging markets. The Lipper results are based on the Lipper Emerging
Markets Funds Average, comprised of mutual funds with similar objectives,
determined by Lipper and as published in the Wall Street Journal. Lipper Mutual
Funds Averages are equally weighted, comprised of all of the mutual funds within
their respective investment objectives, excluding multiple share classes, and
are adjusted for the reinvestment of capital gains distributions.
Returns reflect the performance of ordinary shares of the Fund, which carry a
12b-1 fee of .50bp, and include the effects of a 1% deferred sales charge.
Excluding the effect of the 1% redemption fee for ordinary shares, the returns
would have been 9.28% and -1.50%, for the one year and inception periods,
respectively. Similarly, the Calendar Year Performance chart does not reflect
the effects of the redemption fee. Institutional shares may be available to
clients of some financial advisors without a 12b-1 fee or sales charge. The one
year and since inception (4/2/96) returns for Institutional shares are 9.88% and
6.57% respectively. Past performance is no guarantee of future results. Share
prices may vary and shares may be worth more or less than their original cost at
the time of sale. The investment return and principal value of an investment
will fluctuate. The Fund's portfolio is subject to change.
<PAGE>
[LOGO OF QUANTITATIVE FOREIGN FRONTIER APPEARS HERE]
QUANTITATIVE FOREIGN FRONTIER
- --------------------------------------------------------------------------------
INVESTMENT PROFILE All Data as of September 30, 1997
The Quantitative Foreign Frontier Fund is designed to afford investors the
opportunity to participate in the overall growth potential of emerging market
countries. Over twenty countries located in Europe, Latin America, Africa, the
Middle East, and Asia are classified as emerging markets. Many of these
countries experienced substantial growth in per capita income and domestic
production in the 1980s and 90s. Moreover, continuing improvements in
infrastructure are likely to make these countries increasingly productive in
years to come.
Investment Process Rapid economic and political changes in emerging markets have
generated investment returns that are impressive over multi-year periods. Annual
returns for individual emerging markets, however, have been far more volatile
and unpredictable than those of the United States and other developed countries.
In fact, it is not uncommon for individual markets to gain significant amounts
one year and lose large sums the next. To minimize investors' exposure to the
annual performance volatility experienced by individual emerging markets, the
Fund invests at all times in eight or more countries.
Buy and Sell Discipline At least two, and generally three, broad geographic
regions, such as Latin America, Asia, and Europe, will be represented in the
Fund's portfolio. Within a geographic region, investments are allocated equally
by the manager to selected emerging markets. Because individual stock returns
typically are dominated by the market return of a country, the Fund employs
quantitative investment models to select representative stocks within each
country whose collective performance are most likely to mirror the overall
performance of that country's stock market. Systematic rebalancing of portfolio
positions among countries assures that diversification will be maintained at
desired levels.
Management The Quantitative Foreign Frontier Fund has been managed continuously
by Independence International Associates, Inc. (and its predecessor), a Boston,
Massachusetts-based money manager that specializes in the management of
international equity portfolios. The portfolio managers for the Foreign Frontier
Fund are Lyle H. Davis, CFA, and David A. Umstead, Ph.D., CFA.
Special Considerations The Quantitative Foreign Frontier Fund was created
specifically for long-term investors who are willing to accept greater risk,
including losses, in the pursuit of higher returns. Although the Fund offers
many investors an excellent opportunity to diversify their existing domestic and
international portfolios, it also may be more volatile than other funds and
presents special risks, like political uncertainty and currency exchange
fluctuation, and therefore may not be suitable for every investor.
- ----------------
TOP TEN HOLDINGS (Each generally no more than 2-3% of the Fund.)
- ----------------
Alpha Credit Bank Telefonica de Argentina
Huaneng Power Telefonica del Peru
Perez Telefonos de Mexico
Shangai Hai Xing Shipping Telekomunikasi Indonesia
T Is Bankasi YPF
- --------------------------------------------------------------------------------
COUNTRY ALLOCATION * Indonesia, Korea, Malaysia, Philippines,
South Africa, Thailand.
- --------------------------------------------------------------------------------
[PIE GRAPH APPEARS HERE]
Other* (5% or less) 27%
India 6%
Peru 6%
Portugal 7%
Greece 8%
China 8%
Turkey 8%
Mexico 9%
Argentina 8%
Chile 7%
Brazil 6%
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE NUMERIC FUND
- --------------------------------------------------------------------------------
COMMON STOCK--96.2% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
APPAREL & TEXTILES--0.8%
G & K Services 17,580 $ 610,905
-----------
BANKS--5.1%
Coast Savings Financial Inc. (b) 31,565 1,655,190
Golden St Bancorp Inc. (b) 47,245 1,411,444
PFF Bancorp Inc. (b) 49,215 953,541
-----------
4,020,175
-----------
BUSINESS SERVICES--4.0%
International Network Services (b) 47,345 970,572
Network Solutions Inc. (b) 2,425 52,744
Perceptron Inc. (b) 30,890 922,839
Steris Corporation (b) 28,520 1,172,885
-----------
3,119,040
-----------
CHEMICALS--2.5%
Calgon Carbon Corporation 74,885 978,185
Mississippi Chemical Corporation 52,585 1,025,408
-----------
2,003,593
-----------
COMPUTERS & BUSINESS
EQUIPMENT--1.5%
Vitesse Semiconductor Corporation (b) 23,181 1,148,908
-----------
CONSTRUCTION MATERIALS--1.8%
Medusa Corporation 29,020 1,382,077
-----------
DRUGS & HEALTH CARE--9.5%
Coventry Corporation (b) 62,750 1,035,375
Curative Health Services Inc. (b) 47,675 1,483,884
Monarch Dental Corporation (b) 42,550 914,825
Orthodontic Centers of America Inc. (b) 66,085 1,321,700
Quorum Health Group Inc. (b) 54,855 1,340,519
VISX Inc. (b) 54,060 1,378,530
-----------
7,474,833
-----------
ELECTRIC UTILITIES--1.3%
TNP Enterprises Inc. 42,020 1,055,752
-----------
ELECTRICAL EQUIPMENT--1.5%
Watsco Inc. 37,525 1,172,656
-----------
ELECTRONICS--8.2%
CHS Electronics Inc. (b) 41,453 1,134,762
Electroglas Inc. (b) 38,250 1,300,500
Exar Corporation (b) 48,395 1,282,468
Gentex Corporation (with rights exp.
8/26/01) (b) 28,600 709,638
NACT Telecommunications Inc. (b) 82,055 1,297,495
Sawtek Inc. (b) 15,275 706,469
-----------
6,431,332
-----------
FINANCIAL SERVICES--10.3%
American Capital Strategies Ltd. 28,875 577,500
AmeriCredit Corporation (b) 39,882 1,136,637
Cityscape Financial Corporation (b) 40,375 396,180
First Alliance Company (b) 42,100 1,326,150
Mego Mortgage Corporation 90,190 1,217,565
Money Store Inc. 31,565 899,602
Ocwen Financial Corporation (b) 33,780 1,422,983
Pacificamerica Money Center Inc. (b) 43,930 1,120,215
-----------
8,096,832
-----------
FOOD & BEVERAGES--1.0%
Flowers Industries Inc. 37,980 773,842
-----------
GAS EXPLORATION--1.1%
Swift Energy Company (b) 29,330 826,739
-----------
HOTELS & RESTAURANTS--0.8%
Showbiz Pizza Time Inc. (b) 29,115 669,645
-----------
HOUSEHOLD APPLIANCES
FURNISHING--1.8%
Furniture Brands International Inc. (b) 76,830 1,450,166
-----------
INDUSTRIAL MACHINERY--1.3%
Wyman-Gordon Company (b) 39,790 1,044,488
-----------
INSURANCE--7.3%
FPA Medical Management Inc. (b) 49,620 1,705,688
Fremont General Corporation 33,905 1,618,964
Nac Real Estate Corporation 23,485 1,206,542
Reliance Group Holdings Inc. 88,000 1,193,500
-----------
5,724,694
-----------
MISCELLANEOUS--1.6%
Avis Rent-A-Car Inc. (b) 53,805 1,284,594
-----------
PETROLEUM SERVICES--3.5%
Marine Drilling Companies Inc. (b) 38,780 1,211,875
Pride International Inc. (b) 38,840 1,320,560
UTI Energy Corporation (b) 6,460 255,170
-----------
2,787,605
-----------
RETAIL GROCERY--1.5%
Richfood Holdings Inc. 46,785 1,213,486
-----------
RETAIL TRADE--8.1%
Dress Barn (b) 55,625 1,335,000
Lands End Inc. 43,465 1,339,265
Michaels Stores Inc. (b) 37,765 1,154,193
Ross Stores Inc. 41,049 1,400,797
Ugly Duckling Corporation (b) 74,625 1,138,031
-----------
6,367,286
-----------
SAVINGS & LOAN--1.9%
Astoria Financial Corporation 29,795 1,499,061
-----------
SOFTWARE--10.6%
Arbor Software Corporation (b) 26,260 1,216,166
Best Software Inc. (b) 8,075 104,975
Datastream Systems Inc. (b) 31,295 1,170,629
Harbinger Corporation (b) 33,885 1,232,567
Rational Software Corporation (b) 78,040 1,248,640
Siebel Systems Inc. (b) 29,630 1,261,127
Vantive Corporation (b) 34,210 821,040
Wind River Systems Inc. (b) 31,620 1,304,325
-----------
8,359,469
-----------
STEEL--1.6%
NS Group Inc. (b) 38,385 1,242,714
-----------
TELECOMMUNICATION SERVICES--1.6%
Coherent Communications Syt Cp (b) 45,530 1,291,914
-----------
TIRES & RUBBER--1.5%
Safeskin Corporation (b) 26,980 1,197,238
-----------
</TABLE>
- --------------------------------------------------------------------------------
11
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE NUMERIC FUND--CONTINUED
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
TRUCKING & FREIGHT
FORWARDING--4.5%
American Freightways Corporation (b) 65,765 $ 1,249,535
Roadway Express Inc. 31,195 853,963
Yellow Corporation (b) 45,140 1,469,871
-----------
3,573,369
-----------
TOTAL COMMON STOCK
(Cost $63,082,912) $75,822,413
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At September 30, 1997, the unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $63,082,912 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $14,313,518
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (1,574,017)
-----------
Net unrealized appreciation $12,739,501
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
12
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE NUMERIC II FUND
- --------------------------------------------------------------------------------
COMMON STOCK--100.3% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AEROSPACE--1.9%
Sundstrand Corporation 4,280 $ 246,635
-----------
ALUMINUM--1.7%
Reynolds Metals Company 3,095 219,165
-----------
APPAREL & TEXTILES--2.2%
Tommy Hilfiger Corporation (b) 5,580 278,651
-----------
AUTOMOBILES--2.1%
Lear Corporation (b) 5,365 264,226
-----------
BANKS--3.9%
Dime Bancorp Inc. 11,840 247,900
Provident Financial Group Inc. 5,220 246,971
-----------
494,871
-----------
BUSINESS SERVICES--3.4%
AccuStaff Inc. (b) 8,675 273,262
Fiserv Inc. (b) 3,570 156,634
-----------
429,896
-----------
COMPUTERS & BUSINESS
EQUIPMENT--1.8%
Ingram Micro Inc. (b) 8,660 234,361
-----------
CONGLOMERATES--1.7%
U.S. Industries Inc. (b) 7,590 220,110
-----------
CONTAINERS & GLASS--1.1%
Crown Cork & Seal Inc. 3,120 143,910
-----------
DRUGS & HEALTH CARE--11.8%
Biogen Inc. (b) 1,410 45,737
General Nutrition Companies Inc. (b) 8,305 241,883
Genesis Health Ventures Inc. (b) 6,940 270,226
Oxford Health Plans Inc. (b) 3,120 233,610
Quorum Health Group Inc. (b) 10,238 250,179
Total Renal Care Holdings Inc. (b) 5,245 262,250
Warner-Lambert Company 1,485 200,382
-----------
1,504,267
-----------
ELECTRIC UTILITIES--3.0%
Entergy Corporation 9,280 241,860
Montana Power Company 5,100 135,787
-----------
377,647
-----------
ELECTRICAL EQUIPMENT--1.3%
Raychem Corporation 1,955 165,198
-----------
ELECTRONICS--4.2%
Advanced Fibre Communications (b) 7,030 288,230
National Semiconductor Corporation (b) 5,975 244,975
-----------
533,205
-----------
FOOD & BEVERAGES--6.0%
Dean Foods Company 5,410 250,213
Flowers Industries Inc. 11,890 242,259
Interstate Bakeries Corporation 3,980 272,879
-----------
765,351
-----------
GAS & PIPELINE UTILITIES--1.7%
Falcon Drilling (b) 5,930 209,403
-----------
INDUSTRIAL MACHINERY--2.3%
U.S. Filter Corporation (b) 6,830 294,117
-----------
INSURANCE--13.8%
ACE Limited 3,155 296,570
Hartford Financial Services Group 2,865 246,569
Lincoln National Corporation 3,605 250,998
MGIC Investment Corporation 4,790 274,527
MedPartners Inc. (b) 6,940 148,776
Ohio Casualty Corporation 4,565 211,702
Old Republic International Corporation 8,205 319,995
-----------
1,749,137
-----------
NEWSPAPERS--1.9%
Times Mirror Company 4,375 240,352
-----------
OFFICE FURNISHINGS & SUPPLIES--2.1%
U.S. Office Products Company (b) 7,390 260,498
-----------
PETROLEUM SERVICES--8.7%
ENSCO International Inc. 7,300 287,894
Global Marine Inc. (b) 8,280 275,310
Marine Drilling Companies Inc. (b) 8,145 254,531
Noble Drilling Corporation (b) 8,725 281,381
-----------
1,099,116
-----------
RETAIL GROCERY--1.7%
American Stores Company 8,940 217,913
-----------
RETAIL TRADE--5.9%
Costco Companies Inc. (b) 6,755 254,157
Ross Stores Inc. 6,720 229,320
TJX Companies Inc. 8,790 268,644
-----------
752,121
-----------
SAVINGS & LOAN--4.2%
Ahmanson (H.F.) & Company 5,110 290,312
Washington Mutual Inc. 3,451 240,707
-----------
531,019
-----------
SOFTWARE--6.3%
Compuware Corporation (b) 4,570 276,485
Electronics For Imaging Inc. (b) 3,880 197,880
Hbo & Company 5,500 207,625
Parametric Technology Corporation (b) 2,665 117,593
-----------
799,583
-----------
TELEPHONE--3.1%
Cincinnati Bell Inc. 7,755 220,533
LCI International Inc. (b) 6,455 171,864
-----------
392,397
-----------
TRUCKING & FREIGHT
FORWARDING--2.5%
CNF Transportation Inc. 7,205 313,868
-----------
TOTAL COMMON STOCK
(Cost $10,182,717) $12,737,017
-----------
</TABLE>
- --------------------------------------------------------------------------------
13
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE NUMERIC II FUND--CONTINUED
- --------------------------------------------------------------------------------
SHORT TERM INVESTMENTS--0.9% (a)
<TABLE>
<CAPTION>
Par Value Value
<S> <C> <C>
State Street Repo 2%, 1 October 1997 (Cost $115,000)
(Dated 9/30/97), Collateralized by $85,000 U.S. Treasury
Bond 12.750%, 11/15/10, Market Value $124,047,
Repurchase Proceeds $115,006. $115,000 $ 115,000
-----------
TOTAL SHORT TERM INVESTMENTS
(Cost $115,000) $ 115,000
===========
TOTAL INVESTMENTS--101.2% (A)
(Cost $10,297,717) $12,852,017
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At September 30, 1997, the unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $10,297,717 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments in
which there is an excess of value over tax cost $2,685,425
Aggregate gross unrealized depreciation for all investments in
which there is an excess of tax cost over value (131,125)
----------
Net unrealized appreciation $2,554,300
==========
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
14
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE GROWTH AND INCOME FUND
- --------------------------------------------------------------------------------
COMMON STOCK--98.0% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
AEROSPACE--2.4%
General Dynamics Corporation 7,400 $ 644,725
Northrop Grumman Corporation 6,600 801,075
-----------
1,445,800
-----------
APPAREL & TEXTILES--1.7%
Intimate Brands Inc. 31,300 729,681
V.F. Corporation 3,400 314,925
-----------
1,044,606
-----------
AUTOMOBILES--1.7%
Ford Motor Company 23,100 1,045,275
-----------
BANKS--8.2%
AmSouth Bancorporation 6,450 312,422
BankAmerica Corporation 13,800 1,011,712
Bankers Trust Corporation NY 7,500 918,750
Charter One Financial Inc. 5,565 329,031
Comerica Inc. 5,000 394,688
First Union Corporation 17,400 871,088
Keycorp 10,700 680,788
Mercantile Bankshares Corporation 11,850 385,125
-----------
4,903,604
-----------
BUSINESS SERVICES--0.1%
Cognizant Corporation 1,800 73,350
-----------
CHEMICALS--1.8%
Lubrizol Corporation 3,600 151,200
Rohm & Haas Company 4,400 422,125
Union Carbide Corporation 10,500 511,219
-----------
1,084,544
-----------
COMPUTERS & BUSINESS
EQUIPMENT--9.4%
Bay Networks Inc. (b) 11,200 432,600
Compaq Computer Corporation (b) 23,750 1,775,312
Dell Computer Corporation (b) 14,000 1,356,250
Pitney Bowes Inc. 8,500 707,094
Quantum Corporation (b) 5,000 191,563
Western Digital Corporation (with rights
exp. 11/30/98) (b) 20,200 809,263
Xerox Corporation 4,700 395,681
-----------
5,667,763
-----------
CONSTRUCTION & MINING
EQUIPMENT--2.5%
Case Corporation 9,600 639,600
Caterpillar Inc. 16,000 863,000
-----------
1,502,600
-----------
CONSTRUCTION MATERIALS--0.4%
USG Corporation (b) 4,800 230,100
-----------
DOMESTIC OIL--2.2%
Amerada Hess Corporation 10,000 616,875
Murphy Oil Corporation 3,000 171,375
Phillips Petroleum Company 10,100 521,412
-----------
1,309,662
-----------
DRUGS & HEALTH CARE--9.7%
Allegiance Corporation 21,100 654,100
Bristol-Myers Squibb Company 18,800 1,555,700
Merck & Company Inc. 13,200 1,319,175
Schering-Plough Corporation 24,200 1,246,300
Tenet Healthcare Corporation (b) 13,635 397,119
Wellpoint Health Networks Inc. (b) 10,868 629,665
-----------
5,802,059
-----------
ELECTRIC UTILITIES--1.0%
Long Island Lighting Company 12,800 328,000
Rochester Gas & Electric Corporation 9,900 245,025
-----------
573,025
-----------
ELECTRICAL EQUIPMENT--3.0%
General Electric Company 7,100 483,244
Johnson Controls Inc. 10,600 525,362
UCAR International Inc. 16,500 787,875
-----------
1,796,481
-----------
ELECTRONICS--8.7%
Eaton Corporation 6,900 637,387
Honeywell Inc. 7,500 503,906
Intel Corporation 20,000 1,846,250
National Semiconductor Corporation (b) 14,000 574,000
SCI Systems Inc. (b) 19,200 951,600
Tellabs Inc. (b) 5,800 298,700
Thomas & Betts Corporation 7,400 404,225
-----------
5,216,068
-----------
FINANCIAL SERVICES--1.8%
Merrill Lynch & Company Inc. 4,000 296,750
Money Store Inc. 3,000 85,500
SLM Holding Corporation 4,500 695,250
-----------
1,077,500
-----------
FOOD & BEVERAGES--3.8%
Coca-Cola Company 8,500 517,969
ConAgra Inc. 6,900 455,400
Heinz (H.J.) Company 14,000 646,625
Hormel Foods Corporation 8,600 275,737
Interstate Bakeries Corporation 6,000 411,375
-----------
2,307,106
-----------
GAS & PIPELINE UTILITIES--1.9%
Cooper Cameron Corporation (b) 12,000 861,750
National Fuel Gas Company 6,700 294,800
-----------
1,156,550
-----------
INDUSTRIAL MACHINERY--0.4%
Applied Materials Inc. (b) 1,500 142,875
Cummins Engine Inc. 1,400 109,287
-----------
252,162
-----------
INSURANCE--3.0%
AMBAC Financial Group Inc. 6,200 252,262
CIGNA Corporation 3,300 614,625
Everest Reinsurance Holdings 14,800 606,800
Marsh & McLennan Companies Inc. 4,200 321,825
-----------
1,795,512
-----------
</TABLE>
- --------------------------------------------------------------------------------
15
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE GROWTH AND INCOME FUND--CONTINUED
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
INTERNATIONAL OIL--6.3%
Chevron Corporation 8,600 $ 715,413
Exxon Corporation 22,400 1,435,000
Mobil Corporation 12,200 902,800
Texaco Inc. 11,400 700,387
-----------
3,753,600
-----------
INVESTMENT COMPANIES--0.6%
Bear Stearns Companies Inc. 8,762 385,528
-----------
LEISURE TIME--1.4%
Brunswick Corporation 17,700 623,925
Callaway Golf Company 500 17,437
MGM Grand Inc. (b) 4,100 178,094
-----------
819,456
-----------
NEWSPAPERS--1.2%
Gannett Inc. 6,500 701,594
-----------
PAPER--2.0%
Fort James Corporation 26,813 1,228,348
-----------
PETROLEUM SERVICES--0.9%
Rowan Companies Inc. (b) 15,100 537,937
-----------
POLLUTION CONTROL--0.8%
Browning-Ferris Industries Inc. 12,300 468,169
-----------
PUBLISHING--0.8%
McGraw Hill Companies Inc. 7,100 480,581
-----------
RAILROADS & EQUIPMENT--1.9%
CSX Corporation 4,400 257,400
Trinity Industries Inc. 18,100 873,325
-----------
1,130,725
-----------
RETAIL TRADE--6.7%
CVS Corporation 13,300 756,437
Dayton Hudson Corporation 17,000 1,018,938
Home Depot Inc. 15,000 781,875
Nordstrom Inc. 8,100 516,375
Penney (J.C.) Inc. 1,200 69,900
TJX Companies Inc. 15,600 476,775
Tiffany & Company 9,300 395,250
-----------
4,015,550
-----------
SOFTWARE--4.2%
Adobe Systems Inc. 5,000 251,875
Computer Associates International Inc. 7,050 506,278
Compuware Corporation (b) 18,800 1,137,400
Microsoft Corporation (b) 4,700 621,869
-----------
2,517,422
-----------
STEEL--0.9%
USX-U.S. Steel Group 15,600 542,100
-----------
TELECOMMUNICATION SERVICES--0.5%
Lucent Technologies Inc. 3,844 312,806
-----------
TELEPHONE--4.4%
AT & T Corporation 13,600 602,650
Ameritech Corporation 7,200 478,800
Bell Atlantic Corporation 8,500 683,719
GTE Corporation 7,500 340,313
U.S. West Inc. 13,500 519,750
-----------
2,625,232
-----------
TOBACCO--1.7%
Philip Morris Companies Inc. 4,400 182,875
RJR Nabisco Holdings Corporation 12,600 433,125
UST Inc. 13,900 424,819
-----------
1,040,819
-----------
TOTAL COMMON STOCK
(Cost $38,523,885) $58,843,634
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At September 30, 1997, the unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $38,523,885 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $20,335,143
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (15,394)
-----------
Net unrealized appreciation $20,319,749
===========
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
16
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE INTERNATIONAL EQUITY FUND
- --------------------------------------------------------------------------------
COMMON STOCK--96.3% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ARGENTINA--1.8%
Perez Companc SA (d) 11,968 $ 189,992
Telefonica De Argentina SA, Class B (d) 2,700 98,888
YPF Sociedad Anonima (d) 9,100 335,563
-----------
624,443
-----------
AUSTRALIA--3.1%
Brambles Industries Ltd. 35,400 737,073
CSR Limited 13,700 56,157
Leighton Holdings 46,900 247,950
-----------
1,041,180
-----------
AUSTRIA--1.3%
Austria Mikros System 3,870 273,055
Austrian Airlines (b) 6,000 153,986
-----------
427,041
-----------
BELGIUM--3.8%
Electrabel 625 131,023
Glaverbel 7,091 1,153,815
-----------
1,284,838
-----------
BRAZIL--1.0%
Centrais Eletricas Brasileiras (d) 2,900 75,400
Companhia Siderurgica Nacional (d) 2,100 79,942
Petrobras Distribuidora (d) 3,000 39,000
Telecomunicacoes Brasileiras (d) 1,240 159,650
-----------
353,992
-----------
CHILE--1.4%
Chilectra SA (d) 1,250 40,938
Compania Cervecerias Unidas SA (d) 1,600 46,000
Compania De Telecom De Chile (d) 3,100 100,363
Embotelladora Andina SA, Class A (d) 1,000 25,750
Embotelladora Andina SA, Class B (d) 1,000 24,250
Empresa Nacional De Electricia (d) 4,100 86,869
Enersis SA (d) 2,400 88,950
Sociedad Quimica Minera De Chile (d) 600 35,400
Vina Concha Y Toro SA (d) 1,200 37,050
-----------
485,570
-----------
CHINA--1.4%
Jilin Chemical Industrial Ltd. (d) 7,200 170,100
Guangshen Railway Ltd. (d) 7,400 127,188
Shanghai Chlor Alkali Chem Ltd. (d) 41,900 120,463
Shanghai Petrochemical Corporation (d) 1,800 58,725
-----------
476,476
-----------
DENMARK--2.4%
Bang & Olufsen Holding, Class B 5,450 329,036
NKT Holding 2,100 162,384
Novo-Nordisk AS, Class B 2,950 329,006
-----------
820,426
-----------
FINLAND--4.0%
Kesko 17,700 249,442
Rauma Oy 684 14,233
Stockmann Ab (Oy), Class B 1,200 67,418
Upm-Kymmene Oy 37,300 1,037,209
-----------
1,368,302
-----------
FRANCE--4.5%
Compagnie Financiere De Paribas, Class A 2,700 200,263
Elf Aquitaine 8,400 1,121,473
Michelin (CGDE), Class B 1,100 62,489
Promodes 350 136,644
-----------
1,520,869
-----------
GERMANY--7.4%
Bayer Hypoth-Und Wechsel Bk (f) 16,300 696,778
Bayer Vereinsbk (f) 9,850 573,310
Dresdner Bank AG (with rights exp. 7/1/97) 8,956 411,578
Volkswagen AG 1,224 850,327
-----------
2,531,993
-----------
HONG KONG--5.4%
Kumagai Gumi (HK) (f) 387,000 562,609
Shangri-La Asia Ltd. (f) 164,000 168,482
Sun Hung Kai Props 6,000 70,556
Swire Pacific, Class A 24,000 183,756
Wharf (Hldgs) 230,000 847,063
-----------
1,832,466
-----------
INDIA--1.7%
Bajaj Auto (e) 2,200 63,470
Grasim Industries (e) 2,700 26,649
Grasim Industries Ltd. (e) 4,100 39,360
Gujarat Ambuja Cements (e) 11,200 100,800
Hindalco Industries Ltd. (e) 2,600 89,050
Indian Hotels (e) 3,800 73,245
Reliance Industries (e) 4,800 109,680
Steel Authority of India (e) 4,500 27,900
Tata Engineering & Locomotive (e) 4,100 39,463
-----------
569,617
-----------
IRELAND--1.1%
Irish Life 47,700 249,938
Woodchester Investments 35,400 131,388
-----------
381,326
-----------
ITALY--4.2%
Burgo (Cartiere) Spa 166,700 1,081,934
Sirti Spa (f) 52,200 327,450
-----------
1,409,384
-----------
JAPAN--13.5%
Casio Computer Company (f) 58,000 518,844
Chichibu Onoda Cement 214,000 579,624
Chugai Pharmaceutical Company 97,000 835,584
Fujitsu (f) 24,000 300,174
Hitachi 49,000 426,157
Kansai Electric Power Company Inc. (f) 7,000 124,658
Mitsubishi Oil Company (f) 125,000 335,459
Mitsui Osk Lines (b) 128,000 163,273
Nippon Oil Company 43,000 175,946
Osaka Gas Company (f) 55,000 131,202
Sekisui House 31,000 295,287
Tokyo Electric Power Company (f) 29,000 557,277
Toyo Seikan Kaisha 4,000 69,908
Yokogawa Electric 17,000 92,231
-----------
4,605,624
-----------
</TABLE>
- --------------------------------------------------------------------------------
17
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
COMMON STOCK--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
MALAYSIA--2.2%
Golden Hope Plantations 148,000 $ 215,505
Perusahaan Otomobil 114,000 318,279
UMW Holdings Berhad 113,000 226,593
-----------
760,377
-----------
MEXICO--2.0%
Kimberly Clark De Mexico SA (d) 12,200 305,000
Telefonos De Mexico SA, Class L (d) 4,900 253,575
Vitro Sociedad Anonima (d) 7,400 113,775
-----------
672,350
-----------
NETHERLANDS--3.6%
Getronics NV 3,550 111,172
Ing Groep NV (with rights exp. 10/3/97) 3,800 174,585
Koninklijke Hoogovens NV 10,600 686,810
Philips Electronic 1,900 160,832
Unilever NV 400 85,413
-----------
1,218,812
-----------
NORWAY--1.2%
Norske Skogsindustrier, Class A 9,710 365,614
Petroleum Geo-Services (b) 820 55,449
-----------
421,063
-----------
PORTUGAL--1.8%
Banco Comercial Portugues (d) 17,000 359,125
Portugal Telecom SA (d) 6,000 260,625
-----------
619,750
-----------
SINGAPORE--2.4%
Creative Technology (b) 3,000 79,020
Straits Trading Company 417,000 735,882
-----------
814,902
-----------
SOUTH AFRICA--1.3%
Anglo American Corporation of South Africa Ltd. (d) 2,400 123,600
C.G. Smith Ltd. (d) 13,500 77,625
Gencor Ltd. (d) 3,540 75,551
Iscor Ltd. (d) 4,600 24,797
Malbak Ltd. (d) 36,800 51,750
Sasol Ltd. (d) 6,800 93,500
-----------
446,823
-----------
SOUTH KOREA--1.5%
Cho Hung Bank (e) 12,400 57,660
Korea Electric Power Corporation (d) 12,400 170,500
LG Chemical Ltd. (e) 7,200 130,932
Samsung Electronics Ltd. (e) 1,200 63,675
Samsung Electronics Ltd. (e) 1,900 101,650
-----------
524,417
-----------
SPAIN--5.5%
Banco Santander SA 34,600 1,134,236
Iberdrola SA 48,477 596,335
Zardoya-Otis (with rights exp. 10/25/97) 2,000 131,340
-----------
1,861,911
-----------
SWEDEN--2.0%
Skandia Foersaekrings AB 15,020 671,517
-----------
SWITZERLAND--7.5%
Holderbank Financiere Glaris 280 266,061
Kuoni Reisen Holding, Class B 70 279,074
Sairgroup (b) 495 662,931
Schweizerische Bankgesellschaf 925 1,082,128
Schweiz-Ruckversicherungs 180 270,316
-----------
2,560,510
-----------
TURKEY--1.0%
Erciyas Biracilik, Class A (e) 30,800 84,700
Tofas Otomobil Fab (e) 420,600 117,768
Turkiye Garanti Bankasi A S (d) 25,855 129,273
-----------
331,741
-----------
UNITED KINGDOM--6.3%
Anglian Water 68,000 899,102
British Petroleum 8,900 134,426
British Steel 43 125
British Telecom 32,500 216,670
HSBC Holdings 12,300 417,209
United Utilities 37,848 469,554
-----------
2,137,086
-----------
TOTAL COMMON STOCK
(Cost $28,521,145) $32,774,806
===========
PREFERRED STOCK--0.6%
BRAZIL--0.6%
Aracruz Celulose SA (d) 4,550 $ 93,559
Companhia Cerveja Ria Brahma (d) 4,400 67,650
Companhia Vale Do Rio Doce (d) 1,900 46,436
-----------
207,645
-----------
TOTAL PREFERRED STOCK
(Cost $186,105) $ 207,645
===========
TOTAL INVESTMENTS--96.9%
(Cost $28,707,250) $32,982,451
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At September 30, 1997, the unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $28,707,250 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 6,564,611
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (2,289,410)
-----------
Net unrealized appreciation $ 4,275,201
===========
</TABLE>
(d) ADR--American Depository Receipts
(e) GDR--Global Depository Receipts
(f) A portion of security is on loan at 9/30/97 (Note 6).
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
18
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE INTERNATIONAL EQUITY FUND--CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECTOR ALLOCATIONS
- ---------------------------------
<S> <C>
Basic Industries 18.8%
Capital Goods 4.9%
Consumer Basics 6.3%
Consumer Durable Goods 5.8%
Consumer Non-Durable Goods 2.8%
Consumer Services 3.9%
Energy 7.4%
Finance 19.9%
General Business 7.2%
Miscellaneous 1.3%
Real Estate 2.8%
Shelter 6.5%
Technology 2.7%
Transportation 1.3%
Utilities 8.4%
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
19
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE FOREIGN FRONTIER FUND
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--91.7% (a)
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
ARGENTINA--7.9%
Astra Cia Argentina 24,970 $ 47,203
Ciadea SA 1 3
Embotelladora Buenos Aires, Class B 35 2,661
Irsa Inversiones Y Representac 5,000 22,004
Perez Companc SA, Class B 19,264 155,299
Siderar SA, Class A 400 2,241
Siderca SA 25,745 76,993
Telefonica De Argentina, Class B 46,000 169,314
Transport Gas Sur, Class B 14,000 31,366
YPF SA, Class D 10,600 389,098
-----------
896,182
-----------
BRAZIL--2.2%
Banco Do Brasil SA, Class A
(warrants exp. 6/30/2001) 154,000 506
Banco Do Brasil SA, Class B
(warrants exp. 6/30/2006) 231,000 765
Banco Do Brasil SA, Class C
(warrants exp. 6/30/2011) 385,000 1,300
Centrais Eletrobras 183,000 96,878
Forca Luz (Cia Paul) 89,000 16,084
Sider Nacional Cia 570,000 21,846
Souza Cruz (Cia) 2,300 21,938
Telec Brasileiras--Telebras 528,000 60,964
Vale Rio Doce (Cia) 500 11,637
White Martins SA 8,315 19,353
-----------
251,271
-----------
CHILE--6.3%
Chilectra SA (d) 1,500 49,125
Chilgener SA (d) 1,900 52,131
Compania Cervecerias Unidas SA (d) 2,280 65,550
Compania De Telecomunicaciones
De Chile (d) 4,110 133,061
Embotelladora Andina SA, Class A (d) 1,500 38,625
Embotelladora Andina SA, Class B (d) 1,500 36,375
Empresa Nacional De Electricid (d) 5,630 119,286
Enersis SA (d) 3,000 111,188
Madeco SA (d) (with rights exp. 8/19/97) 2,880 70,560
Maderas Y Sinteticos Sociedad (d) 2,500 35,000
-----------
710,901
-----------
CHINA--4.0%
China International Marine, Class B 19,000 20,624
Guangdon Electric, Class B 42,800 30,419
Guangshen Railway, Class H 202,000 68,521
Huaneng Power International Inc. (d) 6,600 155,925
Maanshan Iron & Steel, Class H 163,400 40,330
Qingling Motors, Class H 119,300 75,541
Shanghai Chlor-Alkali Chemical, Class B 4,350 1,305
Shanghai Dazhong Taxi, Class B 12,000 11,448
Shanghai Lujiazui Finance Ftz Dev,
Class B 32,320 34,518
Shanghai Tyre & Rubber, Class B 32,000 13,440
-----------
452,071
-----------
GREECE--7.5%
Alpha Credit Bank 1,985 145,883
Attica Enterprises 2,200 27,605
Commercial Bank of Greece 1,140 57,441
Delta Dairy 1,836 25,900
Ergo Bank 1,290 86,458
Hellenic Bottling 2,730 141,912
Hellenic Sugar Industries 2,560 19,640
Heracles General Cement 2,900 71,320
Intracom 680 36,396
Ionian Bank 1,040 25,018
Naoussa Spinning Mills 5,300 19,761
National Bank Of Greece 772 96,299
Titan Cement Company 1,600 96,652
-----------
850,285
-----------
HONG KONG--3.4%
Shanghai Hai Xing Shipping, Class H 402,000 219,481
Shanghai Petrochemical Corporation, Class H 331,800 106,119
Tsingtao Brewery, Class H 45,900 18,980
Yizheng Chem Fibre, Class H 96,000 41,869
-----------
386,449
-----------
INDIA--5.6%
Arvind Mills (e) 8,000 27,200
Bombay Dyeing & Manufacturing (e) 8,100 31,185
Century Textiles (e) 300 14,400
Grasim Industries Ltd. (e) 2,900 28,623
Gujarat Ambuja Cem (e) 4,300 40,313
India Cements (e) 11,900 40,163
Indian Hotels (e) 1,100 21,203
Indian Rayon & Ind (e) 3,450 26,738
Indo Gulf Fertilisers & Chemical (e) 38,200 40,110
ITC Ltd (e) 4,800 95,400
Larsen & Toubro (e) 3,000 38,250
Mahindra & Mahindra (e) 3,000 34,050
Ranbaxy Laboratories (e) 1,200 24,600
Reliance Industries (e) 3,800 83,600
Southern Petrochemical (e) 10,100 30,300
Tata Engineering & Locomotive (e) 4,000 37,400
United Phosphorus (e) 4,800 26,400
-----------
639,935
-----------
INDONESIA--4.1%
Astra International 40,000 36,391
Barito Pacific Timber 39,500 25,367
Duta Anggada Realty 39,000 7,752
Great River International 37,000 12,164
Gudang Garam (Perusahaan Rokok) 36,000 104,587
Hanjaya Mandala Sampoerna 6,500 13,417
INCO (International Nickel) 33,500 38,930
Indah Kiat Pulp & Paper 16,648 6,491
Indofoods Sukses Makmur 11,000 13,372
Indosat 9,500 24,186
Jakarta International Hotel & Dev 39,000 15,206
Pabrik Kertas Tjiwi Kimia
(warrants exp. 7/15/2002) 37,361 20,851
Telekomunikasi Indonesia (Perse), Class B 137,500 152,427
-----------
471,141
-----------
</TABLE>
- --------------------------------------------------------------------------------
20
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE FOREIGN FRONTIER FUND--CONTINUED
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
MALAYSIA--3.5%
Cold Storage (Malaysia) 13,000 $ 11,470
Genting Berhad 5,000 15,579
Hicom Holdings Berhad 9,000 10,606
IGB Corp Berhad 61,000 40,460
Leader Universal Holdings 9,333 7,486
Malaysian Airline Systems 14,000 22,459
Malayan Bank Berhad 6,600 33,188
Malayan United Industries
(with rights exp. 9/10/97) 50,000 21,903
MBF Capital Berhad 41,000 34,151
Multi-Purpose Holding 11,000 8,212
Petronas Gas Berhad 7,000 20,731
Rashid Hussain Berhad
(with rights exp. 6/18/98) 4,000 9,193
Renong Berhad 22,000 21,718
Resorts World Berhad 6,000 13,142
Telekom Malaysia 21,500 65,332
Tenaga Nasional 20,000 53,987
United Engineers Berhad 4,000 12,834
YTL Power Intl 450 390
-----------
402,841
-----------
MEXICO--8.7%
Alfa SA, Class A 6,915 64,921
Carso Global Telecom SA, Class A 4,600 19,641
Cemex SA, Class A 7,300 37,929
Cemex SA, Class B 7,000 41,952
Cifra SA De Cv, Class B 26,000 61,326
Cifra SA De Cv, Class A 25,402 56,845
El Puerto De Liverpool, Class C 200 291
El Puerto De Liverpool SA 16,000 24,693
Empresas La Modern, Class A 6,300 34,638
Fomento Economico Mexico, Class B 6,500 56,009
Grupo Carso, Class A 6,000 47,920
Grupo Continental 8,500 25,198
Grupo Fin Inbursa, Class B 628 2,439
Grupo Industrial Bimbo SA, Class A 4,000 36,525
Grupo Mexico, Class B 7,800 31,348
Grupo Televisa SA 2,100 37,298
Industrias Penoles 5,000 24,114
Kimberly Clark De Mexico, Class B 5,000 25,722
Telefonos De Mexico, Class L 98,400 256,266
Tubos De Acero De Mexico 2,100 48,830
Vitro SA 12,000 61,269
-----------
995,174
-----------
PERU--6.0%
Cementos Lima 2,879 58,525
Cervs Peruanas Backus & Johnston,
T shares 51,257 50,261
Cervs Peruanas Backus & Johnston, Class A 5,724 56,128
Credicorp SA 5,018 94,589
Minas Buenaventura, Class A 7,805 70,647
Pacifico Peru-Suiz 2 23
Southern Peru Copper Corporation 1,261 60,184
Telefonica Del Peru, Class B 125,600 294,164
-----------
684,521
-----------
PHILIPPINES--4.2%
Ayala Corporation, Class B 96,687 39,407
Ayala Land Inc., Class B 138,281 67,430
C & P Homes Inc. 74,100 7,119
Far East Bank & Trust
(with rights exp. 7/1/97, 12/1/97) 216 324
Filinvest Land 75,450 8,237
JG Summit Holdings Inc., Class B 92,500 14,003
Manila Electric Company, Class B 9,834 34,068
Metro Bank & Trust Company 3,672 32,872
Metro Pacific Corporation 109,000 13,169
Petron Corporation 299,113 38,314
Philippine Commercial
International Bank 3,750 15,611
Philippine Long Distance 3,900 105,590
Philippine National Bank 3,575 7,702
Robinsons Land Corporation, Class B 151,500 8,733
San Miguel Corporation, Class B 25,922 41,883
SM Prime 219,804 40,953
Universal Robina 48,280 6,957
-----------
482,372
-----------
PORTUGAL--6.5%
Banco Comercial Portugues 6,600 139,426
Banco Espir Santo 3,500 97,190
BPI Soc Gestora 1,700 38,720
Cimpor Cimentos De Portugal 2,000 54,081
Estabelec Jeronimo Martins 999 76,919
Modelo Contin SGPS 1,300 59,912
Portugal Telecom 3,328 144,402
Sonae Investimentos 2,400 94,917
Soporcel 1,000 33,661
-----------
739,228
-----------
SOUTH AFRICA--5.2%
Anglo American Corporation SA 2,500 127,882
Billiton 20,400 78,537
De Beers Centenary 4,300 125,426
Gencor 4,080 9,626
Liberty Life Association 2,700 78,756
Polifin Limited 600 1,202
Premier Group 12,000 16,112
Sasol 7,700 106,107
South Africa Brews 1,800 52,214
-----------
595,862
-----------
SOUTH KOREA--4.5%
Daewoo Heavy Industries 5,130 40,840
Hyundai Engineering & Construction 1,520 29,920
Korea Electric Power 6,190 137,413
LG Chemicals 4,760 77,039
LG Electronics Inc. 3,130 61,611
Pohang Iron & Steel 710 43,635
Samsung Electronics
(with rights exp. 7/1/97) 20 1,454
Samsung Heavy 2,425 27,845
Shinhan Bank 3,000 25,195
Ssangyong Oil Refining 2,260 43,744
Yukong 1,490 27,700
-----------
516,396
-----------
</TABLE>
- --------------------------------------------------------------------------------
21
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
PORTFOLIO OF INVESTMENTS September 30, 1997 (Unaudited)
QUANTITATIVE FOREIGN FRONTIER FUND--CONTINUED
- --------------------------------------------------------------------------------
COMMON STOCK & WARRANTS--Continued
<TABLE>
<CAPTION>
Shares Value
<S> <C> <C>
THAILAND--4.4%
Advanced Info Serv 6,000 $ 39,669
Bangkok Bank Public 23,400 119,256
Italian-Thai Development 6,600 12,727
Krung Thai Bank Public Company 30,470 20,565
One Holding Public Company
(warrants 10/11/2001) 7,940 22
Prime Finance & Securities 131,400 14,479
PTT Exploration & Production 8,400 112,463
Shinawatra Comp & Comm 4,900 26,997
Siam Cement Company 4,500 73,884
Telecomasia 28,200 23,306
Thai Farmers Bank 11,000 38,485
Thai Melon Polyester
(with rights exp. 6/27/97) 52,967 1,897
Thai Stanley Electric 21,500 17,472
-----------
501,222
-----------
TURKEY--7.7%
Akbank 930,042 72,051
Aksa Akrilik (with rights exp. 6/18/97) 282,510 27,966
Arcelik 496,246 62,650
Cukurova Elektrik 16,000 29,381
Dogan Sirketler Gruby Holding 1,354,500 66,069
Ege Biracilik Ve M 223,560 25,658
Eregli Demir Celik 234,000 41,627
Ford Otomotiv San 40,000 30,988
KOC Holding 214,000 81,051
Netas 57,000 18,972
Petkim 89,000 40,348
T Garanti Bankasi 1,441,998 77,785
T Is Bankasi, Class C 1,900,000 155,371
Tupras 377,600 56,339
Turk Hava Yollari 107,000 27,631
Yapi Kredi Bankasi 2,513,101 62,734
-----------
876,621
-----------
TOTAL COMMON STOCK
(Cost $9,789,384) $10,452,472
===========
BRAZIL--3.6%
Banco Bradesco SA 2,564,266 27,033
Banco Itau SA 89,000 57,514
Cemig Cia Energ MG 720,500 40,247
Centrais Eletrobras, Class B 38,000 21,504
Companhia Cervejaria Brahma 28,000 21,519
Itausa Investmentos Itau SA 18,000 17,087
Petroleo Brasileiro 195,000 55,531
Telec Brasileiras--Telebras 825,000 106,551
Usinas Sid Minas Gerais Usimin 1,632 17,830
Vale Rio Doce (Cia) 1,648 40,298
-----------
405,114
-----------
TOTAL PREFERRED STOCK
(Cost $235,192) $ 405,114
===========
TOTAL INVESTMENTS--95.3%
(Cost $10,024,576) $10,857,586
===========
</TABLE>
(a) Percentages indicated are based upon total net assets.
(b) Non-income producing security.
(c) At September 30, 1997, the unrealized appreciation of investments based on
aggregate cost for federal tax purposes of $10,024,576 was as follows:
<TABLE>
<S> <C>
Aggregate gross unrealized appreciation for all investments
in which there is an excess of value over tax cost $ 2,930,823
Aggregate gross unrealized depreciation for all investments
in which there is an excess of tax cost over value (2,097,813)
-----------
Net unrealized appreciation $ 833,010
===========
</TABLE>
(d) ADR--American Depository Receipts
(e) GDR--Global Depository Receipts
<TABLE>
<CAPTION>
SECTOR ALLOCATIONS
- ---------------------------------------------------------------------------
<S> <C>
Basic Industries 12.7%
Capital Goods 4.7%
Consumer Basics 6.4%
Consumer Durable Goods 1.8%
Consumer Non-Durable Goods 6.4%
Consumer Services 1.1%
Energy 11.2%
Finance 18.0%
General Business 3.6%
Miscellaneous 6.5%
Real Estate 2.2%
Shelter 3.2%
Technology 1.1%
Transportation 1.0%
Utilities 20.1%
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
22
<PAGE>
STATEMENT OF ASSETS AND LIABILITIES September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and International Foreign
Numeric Numeric II Income Equity Frontier
<S> <C> <C> <C> <C> <C>
ASSETS :
Investments at value
(Note 2)
See accompanying
schedules $75,822,413 $12,852,017 $58,843,634 $32,982,451 $10,857,586
Foreign currency at
value (Cost $998,134 for
International Equity and
$82,697 for Foreign
Frontier) (Note 2) -- -- -- 976,366 80,000
Cash -- -- 1,195,872 311,991 505,730
Collateral for
securities loaned at
value (Note 6) -- -- -- 3,309,423 --
Dividends and interest
receivable 27,773 7,016 72,819 120,792 27,715
Receivable for
investments sold 4,640,761 105,951 -- 728,389 44,776
Receivable for shares of
beneficial interest sold 1,050 3,000 1,000 17,673 --
Other assets 21,248 2,913 14,348 8,895 3,163
----------- ----------- ----------- ----------- -----------
Total assets 80,513,245 12,970,897 60,127,673 38,455,980 11,518,970
----------- ----------- ----------- ----------- -----------
LIABILITIES :
Collateral for
securities loaned (Note
6) -- -- -- 3,309,423 --
Due to custodian 37,567 1,452 -- -- --
Payable for investments
purchased 1,529,692 256,803 -- 1,026,157 86,101
Payable for shares of
beneficial interest
repurchase 1,500 -- 39 1,500 --
Payable for compensation
of Manager (Note 3) 63,112 4,018 36,706 26,945 7,386
Payable for distribution
fees (Note 3) 28,572 -- 23,706 12,743 4,118
Payable to custodian 4,152 -- 2,488 27,513 8,479
Payable to transfer
agent (Note 3) 10,977 1,204 9,362 5,101 1,889
Other accrued expenses 13,445 4,003 27,300 22,593 12,387
----------- ----------- ----------- ----------- -----------
Total liabilities 1,689,017 267,480 99,601 4,431,975 120,360
----------- ----------- ----------- ----------- -----------
NET ASSETS $78,824,228 $12,703,417 $60,028,072 $34,024,005 $11,398,610
----------- ----------- ----------- ----------- -----------
NET ASSETS CONSIST OF :
Shares of beneficial
interest $56,968,559 $ 8,003,008 $33,952,027 $28,901,370 $10,698,429
Undistributed
(overdistributed) net
investment income 160,303 21,721 131,364 698,249 (72,155)
Accumulated net realized
gain (loss) on
investments and foreign
denominated assets,
liabilities and currency 8,955,865 2,124,388 5,624,932 176,038 (57,021)
Unrealized appreciation
(depreciation) of
investments and foreign
denominated assets,
liabilities and currency 12,739,501 2,554,300 20,319,749 4,248,348 829,357
----------- ----------- ----------- ----------- -----------
$78,824,228 $12,703,417 $60,028,072 $34,024,005 $11,398,610
----------- ----------- ----------- ----------- -----------
Investment securities,
at cost $63,082,912 $10,297,717 $38,523,885 $28,707,250 $10,024,576
----------- ----------- ----------- ----------- -----------
NET ASSETS
Ordinary Shares $71,437,938 $12,098,609 $58,132,725 $32,242,534 $10,176,907
----------- ----------- ----------- ----------- -----------
Institutional Shares $ 7,386,290 $ 604,808 $ 1,895,347 $ 1,781,471 $ 1,221,703
----------- ----------- ----------- ----------- -----------
Shares of beneficial
interest outstanding
*(Unlimited number of
shares authorized)
Ordinary Shares 3,542,074 656,628 2,787,024 2,605,710 1,100,408
----------- ----------- ----------- ----------- -----------
Institutional Shares 353,352 32,558 90,560 142,881 131,289
----------- ----------- ----------- ----------- -----------
Net asset value and
offering price per
share**
Ordinary Shares $ 20.17 $ 18.43 $ 20.86 $ 12.37 $ 9.25
----------- ----------- ----------- ----------- -----------
Institutional Shares $ 20.90 $ 18.58 $ 20.93 $ 12.47 $ 9.31
----------- ----------- ----------- ----------- -----------
</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 deferred sales charge is withheld from redemptions of the
Ordinary Shares of Numeric II purchased after August 1, 1996.
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
23
<PAGE>
STATEMENT OF OPERATIONS Six Months Ended September 30, 1997 (Unaudited)
<TABLE>
<CAPTION>
Growth and International Foreign
Numeric Numeric II Income Equity Frontier
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME :
Dividends* $ 99,467 $ 59,104 $ 429,961 $ 583,383 $ 173,062
Interest 39,579 2,865 -- 0 10
----------- ---------- ----------- ---------- ---------
Total investment income 139,046 61,969 429,961 583,383 173,072
----------- ---------- ----------- ---------- ---------
EXPENSES :
Compensation of Manager
(Note 3) 353,824 55,070 198,123 156,861 46,522
Distribution fees, Or-
dinary Shares (Note 3) 157,954 13,105 127,784 74,008 25,933
Custody and accounting
fees 29,900 16,400 21,110 56,010 54,850
Transfer agent fees
(Note 3) :
Ordinary Shares 47,471 7,813 38,098 22,104 7,765
Institutional Shares 5,883 389 1,283 1,324 943
Audit and legal 31,804 4,789 23,649 14,301 5,326
Registration fees 17,493 2,577 12,666 7,705 2,892
Amortization of organi-
zational expenses (Note
2) 2,952 -- -- -- --
Insurance 10,661 1,592 7,850 4,757 1,777
Compensation of Trust-
ees (Note 3) 6,320 938 4,619 2,804 1,050
Printing 6,648 1,023 5,075 3,051 1,128
Miscellaneous 9,341 1,284 6,287 5,094 2,005
----------- ---------- ----------- ---------- ---------
Total expenses before
waivers and/or reim-
bursements, and reduc-
tions 680,251 104,980 446,544 348,019 150,191
Waivers and/or reim-
bursements of expenses
(Note 3) -- (52,016) -- (5,544) --
Fees reduced by credits
allowed by Custodian
(Notes 3 and 6) (7,665) -- (8,280) (12,042) (6,310)
----------- ---------- ----------- ---------- ---------
Expenses, net 672,586 52,964 438,264 330,433 143,881
----------- ---------- ----------- ---------- ---------
Net investment income
(loss) (533,540) 9,005 (8,303) 252,950 29,191
----------- ---------- ----------- ---------- ---------
REALIZED AND UNREALIZED
GAIN (LOSS) ON
INVESTMENTS, FOREIGN
CURRENCY AND FOREIGN
TRANSLATION :
Net realized gain
(loss) (Notes 2 and 5)
on :
Investments 71,616 1,681,098 3,526,765 298,576 287,058
Foreign denominated as-
sets, liabilities and
currency -- -- -- (19,232) (46,506)
Change in unrealized
appreciation (deprecia-
tion) of :
Investments 21,464,719 1,812,954 12,736,674 3,072,766 (258,030)
Foreign denominated as-
sets, liabilities and
currency -- -- -- (19,639) (3,522)
----------- ---------- ----------- ---------- ---------
Net realized and
unrealized gain (loss) 21,536,335 3,494,052 16,263,439 3,332,471 (21,000)
----------- ---------- ----------- ---------- ---------
Net increase (decrease)
in net assets resulting
from operations $21,002,795 $3,503,057 $16,255,136 $3,585,421 $ 8,191
----------- ---------- ----------- ---------- ---------
</TABLE>
* Dividends are net of foreign withholding taxes of $75,350 for International
Equity and $11,493 for Foreign Frontier.
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
24
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
<TABLE>
<CAPTION>
Numeric Numeric II Growth and Income
--------------------------------- --------------------------------- ---------------------------------
Six months ended Year ended Six months Year ended Six months Year ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE)
IN NET ASSETS :
Operations:
Net investment
income (loss) $ (533,540) $ 693,843 $ 9,005 $ 63,377 $ (8,303) $ 232,397
Net realized gain
(loss) on
investments, foreign
denominated assets,
liabilities and
currency 71,616 21,319,089 1,681,098 1,308,543 3,526,765 4,161,193
Distributions of
realized gains from
other investment
companies -- -- -- -- -- --
Unrealized
appreciation
(depreciation) of
investments and
foreign denominated
assets, liabilities
and currency 21,464,719 (16,690,396) 1,812,954 124,901 12,736,674 2,948,570
----------- ------------ ----------- ----------- ----------- -----------
Net increase
(decrease) in net
assets resulting
from operations 21,002,795 5,322,536 3,503,057 1,496,821 16,255,136 7,342,160
Distributions to
shareholders from:
Net investment
income
Ordinary Shares -- -- -- (71,413) -- (259,327)
Institutional
Shares -- -- -- (616) -- (23,323)
Net realized gains
Ordinary Shares -- (17,582,327) -- (1,007,841) -- (4,775,270)
Institutional
Shares -- (7,604,417) -- (37,397) -- (235,639)
----------- ------------ ----------- ----------- ----------- -----------
-- (25,186,744) -- (1,117,267) -- (5,293,559)
----------- ------------ ----------- ----------- ----------- -----------
Fund share
transactions (Note
10) (8,520,728) (28,214,437) 106,219 (1,931,229) (1,025,600) (491,446)
----------- ------------ ----------- ----------- ----------- -----------
Increase (decrease)
in net assets 12,482,067 (48,078,645) 3,609,276 (1,551,675) 15,229,536 1,557,155
Net assets beginning
of year 66,342,161 114,420,806 9,094,141 10,645,816 44,798,536 43,241,381
----------- ------------ ----------- ----------- ----------- -----------
Net assets end of
year (*) $78,824,228 $ 66,342,161 $12,703,417 $ 9,094,141 $60,028,072 $44,798,536
=========== ============ =========== =========== =========== ===========
(*) Includes
undistributed
(overdistributed) net
investment income of $ 160,303 $ 693,843 $ 21,721 $ 12,716 $ 131,364 $ 139,667
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
25
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)--Continued
<TABLE>
<CAPTION>
International Equity Foreign Frontier
--------------------------------- ---------------------------------
Six months ended Year ended Six months ended Year ended
September 30, 1997 March 31, 1997 September 30, 1997 March 31, 1997
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN
NET ASSETS :
Operations:
Net investment income
(loss) $ 252,950 $ 33,211 $ 29,191 $ (39,785)
Net realized gain
(loss) on investments,
foreign denominated as-
sets, liabilities and
currency 279,344 1,835,136 240,552 (128,993)
Distributions of real-
ized gains from other
investment companies -- 47,975 -- --
Unrealized appreciation
(depreciation) of in-
vestments and foreign
denominated assets, li-
abilities and currency 3,053,127 (844,329) (261,552) 1,119,489
----------- ----------- ----------- -----------
Net increase (decrease)
in net assets resulting
from operations 3,585,421 1,071,993 8,191 950,711
Distributions to share-
holders from:
Net investment income
Ordinary Shares -- (194,106) -- --
Institutional Shares -- (12,144) -- (2,825)
Net realized gains
Ordinary Shares -- -- -- --
Institutional Shares -- -- -- --
----------- ----------- ----------- -----------
-- (206,250) -- (2,825)
----------- ----------- ----------- -----------
Fund share transactions
(Note 10) 1,268,565 (338,691) 126,611 2,579,464
----------- ----------- ----------- -----------
Increase (decrease) in
net assets 4,853,986 527,052 134,802 3,527,350
Net assets beginning of
year 29,170,019 28,642,967 11,263,808 7,736,458
----------- ----------- ----------- -----------
Net assets end of year
(*) $34,024,005 $29,170,019 $11,398,610 $11,263,808
=========== =========== =========== ===========
(*) Includes undistrib-
uted (overdistributed)
net investment income of $ 698,249 $ 445,299 $ (72,155) $ (101,346)
</TABLE>
The accompanying notes are an integral part of these financial statements.
- --------------------------------------------------------------------------------
26
<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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $15.04 (0.13) 5.26 5.13 -- -- -- $20.17 68.22%(b)
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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $15.55 (0.09) 5.44 5.35 -- -- -- $20.90 68.81%(b)
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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $13.44 0.01(a) 4.98 4.99 -- -- -- $18.43 74.26%(b)
INSTITUTIONAL
SHARES
Apr. 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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $13.55 0.02(a) 5.01 5.03 -- -- -- $18.58 74.24%(b)
GROWTH AND
INCOME
ORDINARY SHARES
Year Ended March
31, 1992 $16.05 0.19 1.25 1.44 (0.21) (1.23) (1.44) $16.05 9.81%
Year Ended March
31, 1993 $16.05 0.17 1.98 2.15 (0.18) (0.75) (0.93) $17.27 13.77%
Year Ended March
31, 1994 $17.27 0.18 0.21 0.39 (0.16) (3.64) (3.80) $13.86 1.51%
Year Ended March
31, 1995 (f) $13.86 0.14 1.44 1.58 (0.16) (1.56) (1.72) $13.72 12.71%
Year Ended March
31, 1996 (f) $13.72 0.12(a) 2.89 3.01 (0.13) (2.03) (2.16) $14.57 22.17%
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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $15.22 0.00(a) 5.64 5.64 -- -- -- $20.86 74.11%(b)
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%
Six Months Ended
September 30,
1997 (Unaudited)
(f) $15.24 0.04(a) 5.65 5.69 -- -- -- $20.93 74.67%(b)
<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
Six Months Ended
September 30,
1997 (Unaudited)
(f) $71,438 1.98%(b)* (1.56)%(b) 128.00%(b) $0.0407
INSTITUTIONAL
SHARES(D)
Jan. 6, 1993**
to March 31,
1993 $ 2,979 1.39%(b) (0.79)%(b) 73.00%(b) --
Year Ended March
31, 1994 $24,175 1.23% (0.70)% 389.00% --
Year Ended March
31, 1995 (f) $47,044 1.36% (0.82)% 320.00% --
Year Ended March
31, 1996 (f) $42,803 1.47%* (0.67)% 324.00% --
Year Ended March
31, 1997 (f) $ 9,207 1.47% 0.41%(h) 393.00% $0.0305
Six Months Ended
September 30,
1997 (Unaudited)
(f) $ 7,386 1.49%(b)* (1.08)%(b) 128.00%(b) $0.0407
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
Six Months Ended
September 30,
1997 (Unaudited)
(f) $12,099 0.96%(b)* 0.16%(b) 130.00%(b) $0.0484
INSTITUTIONAL
SHARES
Apr. 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
Six Months Ended
September 30,
1997 (Unaudited)
(f) $ 605 0.97%(b)* 0.17%(b) 130.00%(b) $0.0484
GROWTH AND
INCOME
ORDINARY SHARES
Year Ended March
31, 1992 $43,884 1.84% 1.16% 60.00% --
Year Ended March
31, 1993 $43,320 1.84% 0.98% 78.00% --
Year Ended March
31, 1994 $36,510 1.72% 1.02% 110.00% --
Year Ended March
31, 1995 (f) $37,048 1.69% 1.01% 121.00% --
Year Ended March
31, 1996 (f) $41,353 1.73%* 0.81% 152.00% --
Year Ended March
31, 1997 (f) $43,266 1.73%* 0.50% 98.00% $0.0397
Six Months Ended
September 30,
1997 (Unaudited)
(f) $58,133 1.71%(b)* (0.05)%(b) 61.00%(b) $0.0316
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
Six Months Ended
September 30,
1997 (Unaudited)
(f) $ 1,895 1.21%(b)* 0.46%(b) 61.00%(b) $0.0316
</TABLE>
- --------------------------------------------------------------------------------
27
<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
Six Months Ended
September 30,
1997
(Unaudited)(f) $11.03 0.09(a) 1.25 1.34 -- -- -- $12.37
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
Six Months Ended
September 30,
1997
(Unaudited)(f) $11.10 0.13(a) 1.24 1.37 -- -- -- $12.47
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
Six Months Ended
September 30,
1997
(Unaudited)(f) $ 9.24 0.02(a) (0.01) 0.01 -- -- -- $ 9.25
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
Six Months Ended
September 30,
1997
(Unaudited)(f) $ 9.27 0.06(a) (0.02) 0.04 -- -- -- $ 9.31
<CAPTION>
Ratios and Supplemental Data
---------------------------------------------------
Ratio of Ratio of Net
Net Assets Operating Investment
End of Expenses Income (Loss) Average
Total Period to Average to Average Portfolio Commission
Return(c) (000's) Net Assets Net Assets Turnover Rate(g)
<S> <C> <C> <C> <C> <C> <C>
INTERNATIONAL
EQUITY
ORDINARY SHARES
Year Ended March
31, 1992 (3.70)% $19,676 2.12% 0.47% 52.00% --
Year Ended March
31, 1993 1.70% $17,429 2.28% 1.08% 16.00% --
Year Ended March
31, 1994 28.69% $26,222 2.01% (0.08)% 40.00% --
Year Ended March
31, 1995(f) 0.07% $27,657 1.91% (0.24)% 46.48% --
Year Ended March
31, 1996(f) 6.63% $27,402 2.15%* (0.04)% 43.00% --
Year Ended March
31, 1997(f) 3.82% $27,410 2.20%* 0.10% 135.00% $0.0140
Six Months Ended
September 30,
1997
(Unaudited)(f) 24.30%(b) $32,243 2.22%(b)* 1.59%(b) 55.00%(b) $0.0118
INSTITUTIONAL
SHARES(D)
April 25, 1990**
to March 31,
1991 (17.18)%(b) $ 4,178 1.50%(b) 1.56%(b) 159.00% --
April 1, 1991 to
March 19, 1992 (14.62)%(b) $ 0 1.63% 1.05% 52.00% --
August 25,
1994** to March
31, 1995(f) (6.57)% $ 3,052 1.66%(b) 0.13%(b) 46.48%(b) --
Year Ended March
31, 1996(f) 6.95% $ 1,241 1.65%* 0.38% 43.00% --
Year Ended March
31, 1997(f) 4.38% $ 1,760 1.69%* 0.51% 135.00% $0.0140
Six Months Ended
September 30,
1997
(Unaudited)(f) 24.69%(b) $ 1,781 1.72%(b)* 2.13%(b) 55.00%(b) $0.0118
FOREIGN FRONTIER
ORDINARY SHARES
August 8, 1994**
to March 31,
1995(f) (27.60)% $ 4,259 2.54%(b) (1.03)%(b) 10.72%(b) --
Year Ended March
31, 1996(f) 15.75% $ 7,736 2.74%* (0.84)% 9.00% --
Year Ended March
31, 1997(f) 10.26% $10,052 2.68%* (0.47)% 8.00% $0.0024
Six Months Ended
September 30,
1997
(Unaudited)(f) 0.22%(b) $10,177 2.64%(b)* 0.41%(b) 53.00%(b) $0.0023
INSTITUTIONAL
SHARES
April 2, 1996**
to March 31,
1997(f) 9.54% $ 1,212 2.01%(b)* 0.13%(b) 8.00%(b) $0.0024
Six Months Ended
September 30,
1997
(Unaudited)(f) 0.86%(b) $ 1,222 2.14%(b)* 1.32%(b) 53.00%(b) $0.0023
</TABLE>
* EXPENSE RATIOS FOR THE PERIOD ENDED SEPTEMBER 30, 1997 AND 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 PERIODS, WOULD HAVE BEEN AS FOLLOWS: NUMERIC
ORDINARY AND INSTITUTIONAL SHARES, 1.96%, 1.90%, 1.88% AND 1.46%, 1.40%,
1.38%, RESPECTIVELY; NUMERIC II ORDINARY AND INSTITUTIONAL SHARES, 0.96%,
1.11%, 1.92% AND 0.97%, 1.27%, 1.66% (ANNUALIZED), RESPECTIVELY; GROWTH AND
INCOME ORDINARY AND INSTITUTIONAL SHARES, 1.68%, 1.70%, 1.64% AND 1.18%,
1.21%, 1.15%, RESPECTIVELY; INTERNATIONAL EQUITY ORDINARY AND INSTITUTIONAL
SHARES, 2.14%, 2.15%, 2.09% AND 1.64%, 1.64%, 1.59%, RESPECTIVELY; AND FOR-
EIGN FRONTIER ORDINARY AND INSTITUTIONAL SHARES, 2.54%, 2.56%, 2.59% AND
2.03%, 1.89% (ANNUALIZED), --, RESPECTIVELY.
** Commencement of Operations
(a) Reflects expense waivers/reimbursements and reductions in effect during
the period. See Note 3 to the Financial Statements. As a result of such
waivers/reimbursements and reductions, expenses of the Quantitative Nu-
meric Fund Ordinary Shares for the periods ended March 31, 1997, 1996 and
1993 reflect a reduction of $0.02, $0.02 and $0.03 per share; expenses 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 periods ended September 30, 1997, March 31, 1997, 1996 and
1995 reflect a reduction of $0.08, $0.15, $0.23 and $0.76 per share; ex-
penses of the Quantitative Numeric II Fund Institutional Shares for the
periods ended September 30, 1997, March 31, 1997, and 1996 reflects a re-
duction of $0.06, $0.10 and $0.11 per share; expenses of the Quantitative
Growth and Income Fund Ordinary Shares for the periods ended September 30,
1997, March 31, 1997 and 1996 reflect a reduction of $0.01, $0.01 and
$0.01 per share; expenses of the Quantitative Growth and Income Institu-
tional Shares for the periods ended September 30, 1997, March 31, 1997 and
1996 reflect a reduction of $0.01, $0.01 and $0.01 per share; expenses of
the Quantitative International Equity Fund Ordinary Shares for the periods
ended September 30, 1997, March 31, 1997, 1996, 1995, 1994, 1993 and 1992
reflect a reduction of $0.01, $0.01, $0.01, $0.01, $0.01, $0.05 and $0.04
per share respectively; expenses of the Quantitative International Equity
Fund Institutional Shares for the periods ended September 30, 1997, March
31, 1997, 1996, 1995, 1992 and 1991 reflect a reduction of $0.01, $0.02,
$0.01, $0.01, $0.04 and $0.03 per share; and expenses of the Quantitative
Foreign Frontier Fund Ordinary Shares for the periods ended September 30,
1997, March 31, 1997, 1996 and 1995 reflect a reduction of $0.01, $0.01,
$0.01 and $0.02 per share; expenses of the Quantitative Foreign Frontier
Fund Institutional Shares for the periods ended September 30, 1997 and
March 31, 1997 reflects a reduction of $0.01 and $0.02 per share.
(b) Annualized
(c) Total Return does not include the one time deferred sales charge of 1% for
the Ordinary Shares. Effective August 1, 1996 Numeric II 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 Ordinary Shares and then
adjusted for the differences in distribution and transfer agency expenses
borne by the two classes of shares.
(e) Amount represents the last net asset value per share before the March 19,
1992 redemption which resulted in this Fund having no Institutional Share-
holders and no Institutional Shares of beneficial interest outstanding
from that date until August 25, 1994. (Note 1)
(f) Per share numbers have been calculated using the average shares method.
(g) In accordance with SEC reporting requirements the average commission rate
has been calculated for fiscal years beginning 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 fiscal year ended March 31, 1997. 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.
- --------------------------------------------------------------------------------
28
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 investment company. The Trust cur-
rently has five series (individually a "Fund" and collectively the "Funds")
each with a distinct investment objective: Quantitative Numeric, Quantitative
Numeric II, Quantitative Growth and Income, Quantitative International Equity,
and Quantitative Foreign Frontier.
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 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 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.
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
- -------------------------------------------------------------------------------
29
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--Continued
and losses realized between the trade and settlement dates on investment trans-
actions, and the difference between 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 included 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, and International Equity; 0.75% of the av-
erage daily net asset value of the Growth and Income Fund; and 0.80% of the av-
erage 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 Foreign Frontier in order to reduce the total ex-
penses of these Funds to no more than 1.65% and 2.45% 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 six months ended Sep-
tember 30, 1997, the Manager voluntarily waived fees or reimbursed expenses of
Numeric II in excess of expense limitations.
For the six months ended September 30, 1997, the fees waived or expenses reim-
bursed by the Manager amounted to $33,042 and $5,544 for Numeric II and Inter-
national Equity respectively. The aggregate management fees, net of fees waived
or reimbursed by the Manager amounted to $771,814.
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).
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 Funds are as follows: Numeric and International Equity Funds--0.50% of av-
erage daily total net assets; Numeric II and Foreign Frontier Funds--0.40% 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 agree-
ment, 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 Numeric, Growth
and Income, International Equity and Foreign Frontier and (ii) 0.25% of the av-
erage net asset value of Ordinary Shareholder accounts of Numeric II open dur-
ing the period the plan is in effect. Prior to August 1, 1996, the annual rate
for Numeric II accounts was 0.50%. No fees are received by the Distributor for
Institutional Shares. For the six months ended September 30, 1997, the Distrib-
utor voluntarily agreed to waive its fees in their entirety with respect to Nu-
meric II, which amounted to $13,105. During the six months ended September 30,
1997, the aggregate fees, net of fees waived by the Distributor, paid by the
Funds pursuant to such distribution plan amounted to $385,679. A deferred sales
charge
- --------------------------------------------------------------------------------
30
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--Continued
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 Ordinary Shares of Numeric II purchased
prior to August 1, 1996. The deferred sales charge is not imposed on redemp-
tions of Institutional Shares, and certain other transactions. The Funds have
been advised that during the six months ended September 30, 1997, such fees
earned by the Distributor were $114,844.
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 six months ended
September 30, 1997, the aggregate fees, net of fees waived by the Transfer
Agent, paid by the Funds pursuant to such agreement amounted to $127,203. For
the six months ended September 30, 1997, the Transfer Agent voluntarily agreed
to partially waive its fees with respect to Numeric II which amounted to
$5,868.
State Street Bank and Trust Company (the "Custodian") maintains the Funds' ac-
counting records and provides custodial services. For the six months ended
September 30, 1997, $7,665, $0, $8,280, $2,384, and $6,310 in custody credits
were applied against the custody fees for Numeric, Numeric II, Growth and In-
come, International Equity and Foreign Frontier, respectively. Such credits
have not been applied in the calculation of the contractually required Manager
reimbursement for Numeric, Growth and Income, and International Equity and the
voluntary Manager reimbursement for Numeric II and Foreign Frontier.
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 September 30, 1997, International Equity had a capital loss carryover
amounting to $103,200 which will expire on March 31, 2001, and Foreign Fron-
tier had capital loss carryovers amounting to $5,852, $92,688 and $188,458
which will expire on March 31, 2003, March 31, 2004 and March 31, 2005 respec-
tively. 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 real-
ized and not distributed.
5. Purchases and Sales.
During the six months ended September 30, 1997, purchases of investment secu-
rities other than U.S. Government obligations and short-term investments, for
Numeric, Numeric II, Growth and Income, International Equity and Foreign Fron-
tier were $43,880,402, $7,285,189, $15,725,887, $9,527,760, and $2,934,958 re-
spectively. Sales of such securities for the Funds were $50,885,160,
$6,960,747, $16,756,095, $8,466,027, and $3,155,673 respectively.
6. Securities Loans.
As of September 30, 1997, International Equity loaned common stock having a
value of $3,154,852 and received cash collateral of $3,309,423 for these
loans.
Security lending income of $9,658 collected by the custodian, was used to off-
set custodian expense during the period. Such offset would not be applied in
the calculation of Manager reimbursements to International Equity.
7. Contingent Liability.
The Trust insures itself and all Funds under a policy with ICI Mutual Insur-
ance Company. The annual premium is allocated among the Funds and Quantitative
Institutional Services. Additionally, the Funds have committed up to 300% of
the annual premium, one third of which was provided in cash, with each Fund's
pro rata portion recorded as an asset. The remainder is secured with an irrev-
ocable letter of credit.
8. 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 63%
Numeric II Ord. 2 26%
Numeric II Inst. 5 96%
Growth and Income Inst. 3 88%
International Equity Inst. 2 95%
Foreign Frontier Inst. 2 97%
</TABLE>
- -------------------------------------------------------------------------------
31
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--Continued
9. 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.
10. Transactions in Shares of Beneficial Interest.
Transactions in shares of beneficial interest were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
September 30, 1997 March 31, 1997
--------------------- ------------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
NUMERIC
ORDINARY SHARES:
Shares sold 204,125 $ 3,441,884 351,818 $ 6,317,030
Shares issued in reinvestment
of distributions -- -- 924,424 16,907,849
Shares redeemed (461,354) (7,883,898) (1,264,403) (22,735,475)
-------- ----------- ---------- ------------
Net change (257,229) $(4,442,014) 11,839 $ 489,404
-------- ----------- ---------- ------------
INSTITUTIONAL SHARES:
Shares sold 21,919 $ 370,239 321,340 $ 5,965,533
Shares issued in reinvestment
of distributions -- -- 213,876 4,116,247
Shares redeemed (260,764) (4,448,953) (2,157,817) (38,785,621)
-------- ----------- ---------- ------------
Net change (238,845) $(4,078,714) (1,622,601) $(28,703,841)
-------- ----------- ---------- ------------
TOTAL NET CHANGE FOR FUND $(8,520,728) $(28,214,437)
----------- ------------
NUMERIC II
ORDINARY SHARES:
Shares sold 109,199 $ 1,627,675 283,463 $ 4,013,410
Shares issued in reinvestment
of distributions -- -- 76,221 1,064,046
Shares redeemed (102,203) (1,596,000) (166,383) (2,323,633)
-------- ----------- ---------- ------------
Net change 6,996 $ 31,675 193,301 $ 2,753,823
-------- ----------- ---------- ------------
INSTITUTIONAL SHARES:
Shares sold 9,470 $ 135,674 96,506 $ 1,350,989
Shares issued in reinvestment
of distributions -- -- 2,350 33,070
Shares redeemed (3,546) (61,130) (422,182) (6,069,111)
-------- ----------- ---------- ------------
Net change 5,924 $ 74,544 (323,326) $ (4,685,052)
-------- ----------- ---------- ------------
TOTAL NET CHANGE FOR FUND $ 106,219 $ (1,931,229)
----------- ------------
GROWTH AND INCOME
ORDINARY SHARES:
Shares sold 122,282 $ 2,323,577 138,045 $ 2,136,905
Shares issued in reinvestment
of distributions -- -- 293,065 4,442,864
Shares redeemed (177,306) (3,171,538) (427,154) (6,602,373)
-------- ----------- ---------- ------------
Net change (55,024) $ (847,961) 3,956 $ (22,604)
-------- ----------- ---------- ------------
</TABLE>
- --------------------------------------------------------------------------------
32
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--Continued
<TABLE>
<CAPTION>
Six Months Ended Year Ended
September 30, 1997 March 31, 1997
--------------------- ---------------------
Shares Dollars Shares Dollars
<S> <C> <C> <C> <C>
INSTITUTIONAL SHARES:
Shares sold 3,943 $ 68,536 9,058 $ 137,464
Shares issued in reinvestment of
distributions -- -- 17,093 258,962
Shares redeemed (13,952) (246,175) (55,068) (865,268)
-------- ----------- -------- -----------
Net change (10,009) $ (177,639) (28,917) $ (468,842)
-------- ----------- -------- -----------
TOTAL NET CHANGE FOR FUND $(1,025,600) $ (491,446)
----------- -----------
INTERNATIONAL EQUITY
ORDINARY SHARES:
Shares sold 264,758 $ 3,168,523 288,056 $ 3,128,420
Shares issued in reinvestment of
distributions -- -- 16,596 182,722
Shares redeemed (143,834) (1,711,428) (380,548) (4,118,431)
-------- ----------- -------- -----------
Net change 120,924 $ 1,457,095 (75,896) $ (807,289)
-------- ----------- -------- -----------
INSTITUTIONAL SHARES:
Shares sold 950 $ 11,470 46,087 $ 502,388
Shares issued in reinvestment of
distributions -- -- 1,099 12,144
Shares redeemed (16,694) (200,000) (4,216) (45,934)
-------- ----------- -------- -----------
Net change (15,744) $ (188,530) 42,970 $ 468,598
-------- ----------- -------- -----------
TOTAL NET CHANGE FOR FUND $ 1,268,565 $ (338,691)
----------- -----------
FOREIGN FRONTIER
ORDINARY SHARES:
Shares sold 125,487 $ 1,191,569 269,187 $ 2,347,110
Shares issued in reinvestment of
distributions -- -- -- --
Shares redeemed (112,960) (1,070,025) (104,973) (898,041)
-------- ----------- -------- -----------
Net change 12,527 $ 121,544 164,214 $ 1,449,069
-------- ----------- -------- -----------
INSTITUTIONAL SHARES:
Shares sold 537 $ 5,067 131,870 $ 1,140,389
Shares issued in reinvestment of
distributions -- -- 14 116
Shares redeemed 0 0 (1,132) (10,110)
-------- ----------- -------- -----------
Net change 537 $ 5,067 130,752 $ 1,130,395
-------- ----------- -------- -----------
NET CHANGE FOR FUND $ 126,611 $ 2,579,464
----------- -----------
</TABLE>
11. Subsequent Events.
In October 1997, the Board of Trustees approved a proposal to designate Invest-
ors Fiduciary Trust Corporation, a subsidiary of the Custodian, as the new cus-
todian and Fund accountant for the Funds effective January 1, 1998.
- --------------------------------------------------------------------------------
33
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<PAGE>
QUANTITATIVE GROUP OF FUNDS
55 Old Bedford Road
Lincoln, MA 01773
1-800-331-1244
MANAGER
Quantitative Advisors, Inc.
55 Old Bedford Road
Lincoln, MA 01773
ADVISORS
Columbia Partners, LLC,
Investment Management
1701 Pennsylvania Avenue, N.W.
Washington, D.C. 20006
Independence International Associates, State Street Bank and Trust Company
Inc. 225 Franklin Street
75 State Street Boston, MA 02110
Boston, MA 02109
DISTRIBUTOR
U.S. Boston Capital Corporation
55 Old Bedford Road
Lincoln, MA 01773
CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02110
TRANSFER AGENT
Quantitative Institutional Services
55 Old Bedford Road
Lincoln, MA 01773
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP
160 Federal Street
Boston, MA 02110
<PAGE>
[LOGO OF QUANTITATIVE GROUP OF FUNDS APPEARS HERE]
QUANTITATIVE
GROUP of FUNDS
55 Old Bedford Road
Lincoln, MA 01773
voice 800/331-1244
fax 781/259-1166
