<PAGE>
- --------------------------------------------------------------------------------
A LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1996 saw mixed results in the U.S. stock and bond
markets. Stronger-than-expected economic growth fueled concerns among
fixed-income investors that inflation might accelerate, and bond prices declined
precipitously. On the other hand, stocks continued to rise in response to strong
corporate earnings reports and uninterrupted inflows of new money, and many
stock indexes established new highs during the period.
The Landmark Funds' investment adviser, Citibank, N.A., manages the
Landmark Balanced Fund to earn high current income by investing in a broad range
of securities, to preserve capital and to provide growth potential with reduced
risk. Through its investment in Balanced Portfolio, the Fund invests in a
broadly diversified portfolio of income-producing securities, including common
and preferred stocks and bonds.
The six-months ended June 30, 1996 represents a full semi-annual reporting
period in which the equity portion of the Balanced Portfolio was managed by
Grant Hobson and Richard Goldman. While the Portfolio's investment objectives
remain unchanged, Messrs. Hobson and Goldman bring with them a uniquely
disciplined approach to growth-oriented equity investing. The fixed income
portion of the Portfolio continues to be managed by Mark Lindbloom.
This Semi-Annual Report reviews the Portfolio's investment activities and
performance and provides a summary of Citibank's perspective on and outlook for
the U.S. financial markets. On behalf of the Board of Trustees of the Landmark
Funds, I want to thank you for your confidence and participation. We look
forward to serving you in the months and years ahead.
/s/ Philip W. Coolidge
- ---------------------------------
Philip W. Coolidge
President
July 19, 1996
- ---------------------------------
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or Citicorp Investment
Services
o Are subject to investment risks, including possible loss of the principal
amount invested
TABLE OF CONTENTS
1 Letter to Shareholders LANDMARK BALANCED FUND
- ------------------------------------- ---------------------------------------
2 Market Environment 7 Statement of Assets and Liabilities
Fund Snapshot ---------------------------------------
- ------------------------------------- 8 Statement of Operations
3 Quotes from the Portfolio ---------------------------------------
Managers 9 Statement of Changes in Net Assets
Portfolio Managers ---------------------------------------
- ------------------------------------- 10 Financial Highlights
4 The Portfolio Managers Respond ---------------------------------------
Strategy and Outlook 11 Notes to Financial Statements
- ------------------------------------- ---------------------------------------
5 Balanced Portfolio by the Numbers
- ------------------------------------- BALANCED PORTFOLIO
6 Fund Data ---------------------------------------
Performance Highlights 14 Portfolio of Investments
---------------------------------------
17 Statement of Assets and Liabilities
---------------------------------------
18 Statement of Operations
---------------------------------------
19 Statement of Changes in Net Assets
Financial Highlights
---------------------------------------
20 Notes to Financial Statements
<PAGE>
- --------------------------------------------------------------------------------
MARKET ENVIRONMENT
- --------------------------------------------------------------------------------
When the year began, many market-watchers, including Citibank, called for
slow economic growth during the first half of 1996. We expected inflation
pressures to remain low, giving the officials at the Federal Reserve the
elbow-room they needed to lower short-term interest rates further. As a result,
bond yields were expected to fall slightly, creating a positive environment for
both stocks and bonds.
The consensus forecast proved inaccurate. The economy grew faster than we
expected, fueled by higher spending among both businesses and consumers. In
addition, stronger-than-expected employment figures caused concern that the rate
of inflation would accelerate. As a result, the yield on the 30-year U.S.
Treasury bond, considered a benchmark for long-term interest rates, rose during
the period from around 6.0% to almost 6.9%
Unlike bonds, stock prices continued to advance, prolonging one of the most
persistent bull markets in recent history. As a result, such broad stock market
measures as the Dow Jones Industrial Average set new records during the first
half of the year. Significantly, however, the stock market's leadership shifted
often during the period from large, blue-chip companies at the start of the year
to a variety of industries and market sectors. With no clear leadership
emerging, stock selection became more important than ever.
- --------------------------------------------------------------------------------
FUND SNAPSHOT
- --------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
October 19, 1990
NET ASSETS AS OF 6/30/96
$237.7 million
FUND OBJECTIVE
To earn high current income by investing in a broad range of securities, to
preserve capital and to provide growth potential with reduced risk.
DIVIDENDS
Paid quarterly, if any
CAPITAL GAINS
Distributed annually, if any
BENCHMARKS
o Standard & Poor's 500 Index
o Lehman Government/Corporate Bond Index
o Lipper Balanced Funds Average
INVESTMENT ADVISER,
BALANCED PORTFOLIO
Citibank, N.A.
- --------------------------------------------------------------------------------
QUOTES FROM THE PORTFOLIO MANAGERS
- --------------------------------------------------------------------------------
"Although the strength of the economy took many by surprise, we were prepared to
weather the storm by shifting assets to mortgage-backed and asset-backed
securities that tend to perform well when interest rates rise."
"As long as corporate earnings remain strong and investors continue to commit
more money to long-term financial assets, the longest bull stock market in
history should continue."
"Our disciplined 'bottom-up' equity investment approach allows us to focus on
solid growth companies regardless of changes in the economy."
- --------------------------------------------------------------------------------
PORTFOLIO MANAGERS
- --------------------------------------------------------------------------------
GRANT HOBSON
Vice President, Citibank, N.A.
RICHARD GOLDMAN
Vice President, Citibank, N.A.
MARK LINDBLOOM
Vice President, Citibank, N.A.
Grant D. Hobson, Richard Goldman and Mark Lindbloom are the managers of the
Balanced Portfolio. Mr. Hobson and Mr. Goldman manage the equity portion of the
portfolio. Mr. Hobson is responsible for managing U.S. equity portfolios for
trust and pension accounts of Citibank Global Asset Management and currently
manages more than $1 billion of total assets at Citibank. Prior to joining
Citibank in 1993, Mr. Hobson was a Sector Portfolio Manager for Axe Houghton,
formerly a division of USF&G, where he was responsible for equity investments
for pension accounts and mutual funds. Mr. Goldman is responsible for managing
approximately $600 million of total assets and for quantitative equity research
for the U.S. institutional business of Citibank Global Asset Management. He
joined Citicorp's Investment Management Division in 1985 and from 1988 to 1994
was responsible for running Citicorp's Institutional Investor Relations
Department. Mr. Lindbloom manages the fixed income portion of the portfolio. He
came to Citibank in 1986 from Brown Brothers Harriman & Co., where he managed
fixed income assets for discretionary corporate portfolios.
- --------------------------------------------------------------------------------
THE PORTFOLIO MANAGERS RESPOND
- --------------------------------------------------------------------------------
At the beginning of the period, assets in the Balanced Portfolio were
allocated approximately 50% to stocks, 45% to bonds and 5% to cash, reflecting
our belief that bonds would benefit from a low-inflation economic environment.
In June, we revised our allocation to approximately 50% stocks, 40% bonds and
10% cash. This move was intended to position the portfolio for a relatively weak
bond market and to raise cash for new opportunities in both stocks and bonds.
We actively managed the fixed-income portion of the Portfolio to take
advantage of changing market conditions. Although we maintained the Portfolio's
average duration (a measure of sensitivity to changes in interest rates) on the
longer end of neutral for most of the period in anticipation of a bond market
rally, we offset some of the effects of higher long-term interest rates by
shifting assets to the better performing sectors of the overall bond market. We
reduced our investments in U.S. Treasury securities and corporate bonds in favor
of mortgage-backed securities and asset-backed securities, enabling us to
capture incrementally higher yields and maintain relative price stability in a
rising interest-rate environment.
In the equity portion of the Portfolio, we employed a disciplined approach
to stock selection that combined objective, statistical analysis of more than
9,000 publicly traded stocks with the judgement of our portfolio management
team. This disciplined approach has helped us assemble a diverse portfolio of
high-quality growth companies generally characterized by consistent revenue
growth, earnings growth and profitability. During the first half of the year, we
found such stocks primarily in the non-fashion retail, technology and
pharmaceutical industries. Conversely, few stocks in the finance, utilities,
commodities and transportation sectors passed our screens.
- --------------------------------------------------------------------------------
STRATEGY AND OUTLOOK
- --------------------------------------------------------------------------------
We expect a relatively strong rate of economic growth to persist through
the second half of 1996. These conditions should fuel fear of inflation among
economists and bond investors and cause the Federal Reserve to reverse direction
and raise short-term interest rates sooner rather than later this year. If such
a change in monetary policy occurs, bond yields should rise modestly higher from
current levels. However, the dramatic rise in yields that has already occurred
this year has left bonds fairly valued, which should limit the risk of further
declines even if the Federal Reserve begins to raise short-term interest rates.
In anticipation of these events, we are reducing the average duration of our
fixed-income investments toward the short end of neutral.
In the equity markets, we are cautiously optimistic about the continued
rise of U.S. stock prices over the intermediate term. We are optimistic because
we expect corporate earnings to remain strong, and inflows of new funds from
individuals and institutions should continue to outweigh the negatives of
inflation fears associated with a relatively robust economy. Yet, we temper that
optimism with caution because of the possibility of a short-term market
correction. A correction is especially likely if the Federal Reserve reverses
direction and raises short-term interest rates later this year.
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
BY THE NUMBERS
- --------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
(As of 6/30/96)
================================================================================
% OF
NAME INDUSTRY SECTOR NET ASSETS
Johnson & Johnson Health Services/Technology 1.38%
Computer Associates Intl Inc. Electronics/Technological Services 1.33%
American Express "DECS" Electronics/Technological Services 1.30%
Sysco Corp. Commercial Services 1.27%
Emerson Electric Co Producer Manufacturing 1.26%
Federal National Mortgage Assoc. Finance 1.25%
PepsiCo Inc. Consumer Non-Durables 1.24%
Cisco Systems, Inc. Electronics/Technological Services 1.23%
American International Group Finance 1.22%
Xerox Corp. Producer Manufacturing 1.22%
CHANGES IN PORTFOLIO ASSET ALLOCATION
Portfolio of investments as of 6/30/96
CASH/SHORT TERM/OTHER 8%
STOCKS 50%
TREASURIES 13%
OTHER BONDS 29%
... Compared to 12/31/95
CASH/SHORT TERM/OTHER 4%
STOCKS 51%
TREASURIES 29%
OTHER BONDS 16%
<PAGE>
- --------------------------------------------------------------------------------
FUND DATA All Periods Ended June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
TOTAL RETURNS
------------------------------------
SINCE
SIX ONE FIVE 10/19/90
MONTHS** YEAR YEARS* INCEPTION*
-------- ---- ------ ----------
<S> <C> <C> <C> <C>
Landmark Balanced Fund without Sales Charge 3.14% 12.04% 10.78% 12.67%
Lipper Balanced Funds Average 5.05% 15.52% 11.67% 13.26%+
Standard & Poor's 500 Index 10.09% 25.98% 15.71% 18.33%+
Lehman Government/Corporate Bond Index (1.88)% 4.66% 8.48% 11.05%+
Landmark Balanced Fund with Maximum Sales Charge of 4.75% (1.76)% 6.72% 9.70% 11.72%
</TABLE>
* Average Annual Total Return.
** Not Annualized.
+ From 10/31/90.
30-Day SEC Yield 2.82%
Income Dividends Per Share $0.200
Capital Gain Distribution $0.010
- --------------------------------------------------------------------------------
PERFORMANCE HIGHLIGHTS
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$18,808 with sales charge (as of 6/30/96). The graph shows how the Fund compares
to our benchmarks for the period October 31, 1990 to June 30, 1996.
The graph includes the initial sales charge on the Fund (no comparable charge
exists for the other indices) and assumes all dividends and distributions from
the Fund are reinvested at Net Asset Value.
<PAGE>
---------------------
LANDMARK BALANCED
---------------------
Landmark Landmark
Balanced Balanced Lipper Lehman
Without With Balanced S&P 500 Aggregate
Sales Sales Funds Index Bond Index
Charge Charge Average (Unmanaged) (Unmanaged)
Sep-90 $10,000 $9,525
Oct-90 $9,826 $9,359 $10,000 $10,000 $10,000
Nov-90 $10,369 $9,877 $10,435 $10,646 $10,215
Dec-90 $10,609 $10,106 $10,677 $10,943 $10,374
Jan-91 $11,105 $10,578 $11,034 $11,420 $11,661
Feb-91 $11,673 $11,119 $11,520 $12,237 $11,760
Mar-91 $11,816 $11,255 $11,724 $12,533 $11,841
Apr-91 $11,827 $11,265 $11,752 $12,563 $11,969
May-91 $12,264 $11,681 $12,098 $13,104 $12,038
Jun-91 $11,837 $11,275 $11,725 $12,504 $12,032
Jul-91 $12,403 $11,814 $12,122 $13,087 $12,200
Aug-91 $12,886 $12,274 $12,433 $13,397 $12,463
Sep-91 $12,713 $12,109 $12,449 $13,173 $12,716
Oct-91 $12,945 $12,330 $12,632 $13,350 $12,857
Nov-91 $12,723 $12,119 $12,353 $12,812 $12,976
Dec-91 $13,751 $13,098 $13,357 $14,277 $13,361
Jan-92 $13,496 $12,855 $13,241 $14,012 $13,179
Feb-92 $13,698 $13,048 $13,400 $14,194 $13,265
Mar-92 $13,530 $12,887 $13,202 $13,917 $13,191
Apr-92 $13,583 $12,938 $13,322 $14,326 $13,286
May-92 $13,658 $13,009 $13,460 $14,397 $13,537
Jun-92 $13,417 $12,780 $13,315 $14,182 $13,723
Jul-92 $13,868 $13,210 $13,712 $14,762 $14,003
Aug-92 $13,664 $13,015 $13,582 $14,460 $14,145
Sep-92 $13,910 $13,249 $13,753 $14,630 $14,387
Oct-92 $14,115 $13,445 $13,754 $14,681 $14,095
Nov-92 $14,569 $13,877 $14,094 $15,182 $14,126
Dec-92 $14,690 $13,992 $14,355 $15,369 $14,350
Jan-93 $14,798 $14,095 $14,548 $15,498 $14,626
Feb-93 $14,776 $14,075 $14,644 $15,709 $14,882
Mar-93 $15,288 $14,562 $14,920 $16,040 $14,944
Apr-93 $15,091 $14,375 $14,736 $15,652 $15,049
May-93 $15,331 $14,603 $14,978 $16,071 $15,068
Jun-93 $15,326 $14,598 $15,146 $16,118 $15,341
Jul-93 $15,206 $14,484 $15,170 $16,054 $15,429
Aug-93 $15,688 $14,943 $15,628 $16,662 $15,699
Sep-93 $15,677 $14,933 $15,681 $16,534 $15,741
Oct-93 $15,809 $15,059 $15,822 $16,876 $15,799
Nov-93 $15,644 $14,901 $15,591 $16,716 $15,665
Dec-93 $15,935 $15,178 $15,867 $16,918 $15,750
Jan-94 $16,282 $15,509 $16,253 $17,494 $15,962
Feb-94 $15,958 $15,200 $15,934 $17,020 $15,684
Mar-94 $15,350 $14,621 $15,348 $16,277 $15,297
Apr-94 $15,440 $14,707 $15,377 $16,486 $15,175
May-94 $15,643 $14,899 $15,449 $16,756 $15,173
Jun-94 $15,282 $14,556 $15,167 $16,346 $15,140
Jul-94 $15,702 $14,957 $15,509 $16,882 $15,441
Aug-94 $16,020 $15,259 $15,906 $17,574 $15,460
Sep-94 $15,590 $14,849 $15,618 $17,149 $15,232
Oct-94 $15,818 $15,067 $15,711 $17,546 $15,219
Nov-94 $15,430 $14,697 $15,324 $16,902 $15,185
Dec-94 $15,607 $14,866 $15,453 $17,151 $15,290
Jan-95 $15,804 $15,053 $15,644 $17,595 $15,593
Feb-95 $16,300 $15,526 $16,115 $18,280 $15,964
Mar-95 $16,602 $15,813 $16,391 $18,819 $16,061
Apr-95 $16,811 $16,012 $16,691 $19,372 $16,286
May-95 $17,450 $16,621 $17,228 $20,145 $16,916
Jun-95 $17,624 $16,787 $17,550 $20,613 $17,040
Jul-95 $17,847 $16,999 $17,954 $21,295 $17,002
Aug-95 $17,835 $16,988 $18,109 $21,348 $17,208
Sep-95 $18,233 $17,367 $18,512 $22,249 $17,375
Oct-95 $18,256 $17,389 $18,468 $22,169 $17,601
Nov-95 $18,892 $17,995 $19,033 $23,140 $17,865
Dec-95 $19,144 $18,235 $19,292 $23,586 $18,115
Jan-96 $19,474 $18,549 $19,639 $24,388 $18,234
Feb-96 $19,291 $18,374 $19,710 $24,615 $17,917
Mar-96 $19,339 $18,421 $19,787 $24,852 $17,792
Apr-96 $19,327 $18,409 $19,992 $25,217 $17,692
May-96 $19,511 $18,584 $20,238 $25,865 $17,657
Jun-96 $19,746 $18,808 $20,259 $25,963 $17,893
Notes: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures "with sales charge" are provided in accordance with SEC
guidelines for comparative purposes for prospective investors.
<PAGE>
- --------------------------------------------------------------------------------
Landmark Balanced Fund
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
ASSETS:
Investment in Balanced Portfolio, at value (Note 1A) ............ $238,301,193
Receivable for shares of beneficial interest sold ............... 2,754
Other assets .................................................... 6,375
------------
Total assets ................................................ 238,310,322
------------
LIABILITIES:
Payable for shares of beneficial interest repurchased ........... 477,703
Payable to affiliates -
Shareholder servicing agents' fees' (Note 2B) ................. 48,562
Accrued expenses and other liabilities .......................... 42,943
------------
Total liabilities ........................................... 569,208
------------
NET ASSETS for 14,867,535 shares of beneficial
interest outstanding ........................................... $237,741,114
============
NET ASSETS CONSIST OF:
Paid-in capital ................................................. 203,505,072
Unrealized appreciation of investments .......................... 28,407,141
Accumulated net realized gain ................................... 5,156,514
Undistributed net investment income ............................. 672,387
------------
Total ....................................................... $237,741,114
============
NET ASSET VALUE AND REDEMPTION PRICE PER
SHARE OF BENEFICIAL INTEREST ................................... $15.99
======
COMPUTATION OF OFFERING PRICE:
Maximum Offering Price per share based
on a 4.75% sales charge ($15.99 / 0.9525) ...................... $16.79
======
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Landmark Balanced Fund
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
INVESTMENT INCOME (Note 1B):
Interest Income from Balanced Portfolio ...... $3,701,767
Dividend Income from Balanced Portfolio ...... 1,216,019
Other Income Foreign Tax reclaim ............. 6,375
Allocated Expenses from Balanced Portfolio ... (662,380) $4,261,781
----------
EXPENSES:
Shareholder Servicing Agents' fees (Note 2B) . 300,699
Administrative fees (Note 2A) ................ 300,699
Distribution fees (Note 3) ................... 180,419
Expense fees (Note 6) ........................ 24,097
----------
Total expenses ........................... 805,914
Less aggregate amount waived by
Administrator and Distributor
(Note 2A and 3) ............................. (240,559)
----------
Net expenses ............................. 565,355
----------
Net investment income .................... 3,696,426
----------
NET REALIZED AND UNREALIZED GAIN (LOSS)
FROM BALANCED PORTFOLIO:
Net realized gain (loss) ..................... 5,256,667
Net change in unrealized appreciation
(depreciation) .............................. (1,449,692)
----------
Net realized and unrealized gain (loss)
from Balanced Portfolio ................ 3,806,975
----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS .................. $7,503,401
==========
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Landmark Balanced Fund
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ...................... $ 3,696,426 $ 7,579,988
Net realized gain (loss) ................... 5,256,667 12,126,490
Net change in unrealized appreciation
(depreciation) ............................ (1,449,692) 28,313,715
------------ ------------
Net increase in net assets resulting
from operations ........................ 7,503,401 48,020,193
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................... (3,024,039) (7,683,860)
Net realized gain .......................... (148,403) (5,178,062)
------------ ------------
Decrease in net assets from
distributions to shareholders .......... (3,172,442) (12,861,922)
------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL
INTEREST (NOTE 5):
Net proceeds from sale of shares ........... 5,126,437 4,172,040
Net asset value of shares issued to
shareholders from reinvestment of
distributions ............................. 3,159,282 12,859,063
Cost of shares repurchased ................. (20,877,169) (33,496,565)
------------ ------------
Net decrease in net assets from
transactions in shares of
beneficial interest .................... (12,591,450) (16,465,462)
------------ ------------
NET INCREASE (DECREASE) IN NET ASSETS ...... (8,260,491) 18,692,809
NET ASSETS:
Beginning of period ........................ 246,001,605 227,308,796
------------ ------------
End of period (including undistributed
net investment income of $672,387 and -0-,
respectively) ............................. $237,741,114 $246,001,605
============ ============
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Landmark Balanced Fund
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED JANUARY 31,
JUNE 30, 1996 ------------------------------------------------------------
(UNAUDITED) 1995 1994++ 1993++ 1992++ 1991++
------------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period .............. $ 15.71 $ 13.52 $ 14.24 $ 13.54 $ 12.93 $ 10.27
-------- -------- -------- -------- -------- -------
Income From Operations:
Net investment income ........................... 0.245 0.486 0.399 0.336** 0.266 0.336
Net realized and unrealized gain (loss) ......... 0.245 2.540 (0.695) 0.803** 0.600 2.665
-------- -------- -------- -------- -------- -------
Total from operations ....................... 0.490 3.026 (0.296) 1.139 0.866 3.001
-------- -------- -------- -------- -------- -------
Less Distributions From:
Net investment income ........................... (0.200) (0.495) (0.394) (0.319) (0.256) (0.341)
Net realized gain ............................... (0.010) (0.341) (0.030) (0.120) -- --
-------- -------- -------- -------- -------- -------
Total from distributions .................... (0.210) (0.836) (0.424) (0.439) (0.256) (0.341)
-------- -------- -------- -------- -------- -------
Net Asset Value, end of period .................... $ 15.99 $ 15.71 $ 13.52 $ 14.24 $ 13.54 $ 12.93
======== ======== ======== ======== ======== =======
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) ......... $237,741 $246,002 $227,309 $265,216 $ 15,296 $10,239
Ratio of expenses to average net assets ........... 1.02%*(A) 1.02%(A) 1.02%(A) 1.04% 1.40% 1.40%
Ratio of net investment income to average
net assets ...................................... 3.07%* 3.21% 2.82% 2.46% 2.07% 2.88%
Portfolio turnover (B) ............................ -- -- 29% 101% 102% 117%
Total return ...................................... 3.14%+ 22.66% (2.06)% 8.48% 6.82% 29.61%
Note: If Agents of the Fund for the periods indicated had not voluntarily waived a portion of their fees and had expenses been
limited to that required by certain state securities laws, the net investment income per share and the ratios would have been as
follows:
Net investment income ........................... $ 0.229 $ 0.463 $ 0.378 $ 0.310** $ 0.148 $ 0.211
Ratios:
Expenses to average net assets .................... 1.22%*(A) 1.17%(A) 1.17%(A) 1.23% 2.32% 2.47%
Net investment income to average net assets ....... 2.87%* 3.06% 2.67% 2.27% 1.15% 1.81%
</TABLE>
*Annualized.
+Not Annualized.
**The per share amounts were computed using a monthly average number of shares
outstanding during the year.
(A)Includes the Fund's share of Balanced Portfolio allocated expenses for the
period May 1, 1994 to December 31, 1994 and for the period indicated.
(B)Portfolio turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred all of its investable
assets to the Portfolio is shown in the Portfolio's financial statements
which are included elsewhere in this report.
++On May 1, 1994 the Fund began investing all of its investable assets in
Balanced Portfolio.
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Landmark Balanced Fund
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
The Landmark Balanced Fund (the "Fund") is a separate diversified series of
Landmark Funds I (the "Trust"), a Massachusetts business trust. The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end,
management investment company. The Fund invests all of its investable assets in
Balanced Portfolio (the "Portfolio"), a management investment company for which
Citibank, N.A. ("Citibank") serves as Investment Adviser. The Landmark Funds
Broker-Dealer Services, Inc. ("LFBDS") acts as the Fund's Administrator and
Distributor. Citibank also serves as Sub-Administrator and makes Fund shares
available to customers as Shareholder Servicing Agent.
The Trust seeks to achieve the Fund's investment objectives of earning high
current income, preservation of capital and providing growth potential with
reduced risk by investing all of its investable assets in the Portfolio, an
open-end, diversified management investment company having the same investment
objectives and policies and substantially the same investment restrictions as
the Fund. The value of such investment reflects the Fund's proportionate
interest (95.0% at June 30, 1996) in the net assets of the Portfolio.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
The financial statements of the Portfolio, including the portfolio of
investments, are contained elsewhere in this report and should be read in
conjunction with the Fund's financial statements.
The significant accounting policies consistently followed by the Fund are in
conformity with generally accepted accounting principles and are as follows:
A. INVESTMENT VALUATION - Valuation of securities by the Portfolio is discussed
in Note 1A of the Portfolio's Notes to Financial Statements which are included
elsewhere in this report.
B. INVESTMENT INCOME - The Fund earns income, net of Portfolio expenses, daily
based on its investment in the Portfolio.
C. FEDERAL TAXES - The Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES - The Fund bears all costs of its operations other than expenses
specifically assumed by Citibank and LFBDS. Expenses incurred by the Trust with
respect to any two or more funds or series are allocated in proportion to the
average net assets of each fund, except when allocations of direct expenses to
each fund can otherwise be made fairly. Expenses directly attributable to a fund
are charged to that fund. The Fund's share of the Portfolio's expenses are
charged against and reduce the amount of the Fund's investment in the Portfolio.
E. DISTRIBUTIONS - Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to the Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations. For the year ended December
31, 1995, the Fund reclassified $4,351 to paid-in capital, $103,014 to
accumulated net gain on investment and $98,663 from undistributed net investment
income.
F. OTHER - All the net investment income, realized and unrealized gain and loss
of the Portfolio is allocated pro rata, based on respective ownership interests,
among the Fund and the other investors in the Portfolio at the time of such
determination. Investment transactions are accounted for on the trade date
basis. Realized gains and losses are determined on the identified cost basis.
(2) ADMINISTRATIVE SERVICES PLAN The Trust has adopted an Administrative
Services Plan (the "Administrative Services Plan") which provides that the
Trust, on behalf of the Fund, may obtain the services of an Administrator, one
or more Shareholder Servicing Agents and other Servicing Agents and may enter
into agreements providing for the payment of fees for such services. Under the
Trust Administrative Services Plan, the aggregate of the fee paid to the
Administrator from the Fund, the fees paid to the Shareholder Servicing Agents
from the Fund under such Plan and the Basic Distribution Fee paid from the Fund
to the Distributor under the Distribution Plan may not exceed 0.65% of the
Fund's average daily net assets on an annualized basis for the Fund's then
current fiscal year.
A. ADMINISTRATIVE FEES - Under the terms of an Administrative Services
Agreement, the administrative fees paid to the Administrator, as compensation
for overall administrative services and general office facilities, may not
exceed an annual rate of 0.25% of the Fund's average daily net assets. The
Administrative fees amounted to $300,699 of which $120,280 was voluntarily
waived for the six months ended June 30, 1996. Citibank acts as
Sub-Administrator and performs such duties and receives such compensation from
LFBDS as from time to time is agreed to by LFBDS and Citibank. The Fund pays no
compensation directly to any officer who is affiliated with the Administrator,
all of whom receive remuneration for their services to the Fund from the
Administrator or its affiliates. Certain of the officers and a Trustee of the
Fund are officers or directors of the Administrator or its affiliates.
B. SHAREHOLDER SERVICING AGENTS' FEES - The Trust, on behalf of the Fund, has
entered into shareholder servicing agreements with each Shareholder Servicing
Agent pursuant to which that Shareholder Servicing Agent acts as an agent for
its customers and provides other related services. For their services, each
Shareholder Servicing Agent receives fees from the Fund, which may be paid
periodically, which may not exceed, on an annualized basis, an amount equal to
0.25% of the average daily net assets of the Fund represented by shares owned
during the period for which payment is being made by investors for whom such
Shareholder Servicing Agent maintains a servicing relationship. Shareholder
Servicing Agents' fees amounted to $300,699 for the six months ended June 30,
1996.
(3) DISTRIBUTION FEES
The Fund has adopted a Plan of Distribution pursuant to Rule 12b-1 under the
Investment Company Act of 1940, as amended, in which the Fund reimburses the
Distributor for expenses incurred or anticipated in connection with sales of
shares of the Fund, at an annual rate not to exceed 0.15% of the Fund's average
daily net assets. The Distributor may also receive an additional fee from the
Fund at an annual rate not to exceed 0.05% of the Fund's average daily net
assets in anticipation of, or as reimbursement for, advertising expenses
incurred by the Distributor in connection with the sale of shares of the Fund.
No payment of such additional fee has been made during the period. The
distribution fees amounted to $180,419 of which $120,279 was voluntarily waived
for the six months ended June 30, 1996.
(4) INVESTMENT TRANSACTIONS
Increases and decreases in the Fund's investment in the Portfolio for the six
months ended June 30, 1996 aggregated $5,165,605 and $21,256,489, respectively.
<PAGE>
(5) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value).
Transactions in shares of beneficial interest were as follows:
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1996 DECEMBER 31,
(UNAUDITED) 1995
--------- ------
Shares sold ............................. 322,897 278,541
Shares issued to shareholders from
reinvestment of distribution .......... 200,344 843,462
Shares repurchased ...................... (1,317,620) (2,270,911)
---------- ----------
Net decrease ............................ (794,379) (1,148,908)
========== ==========
(6) EXPENSE FEES
LFBDS has entered into an expense agreement with the Fund. LFBDS has agreed to
pay all of the ordinary operating expenses (excluding interest, taxes, brokerage
commissions, litigation costs or other extraordinary costs or expenses) of the
Fund, other than fees paid under the Administrative Services Agreement,
Distribution Agreement, and the Shareholder Servicing Agreements. The Agreement
may be terminated by either party upon not less than 30 days nor more than 60
days written notice.
The Fund has agreed to pay LFBDS an expense fee on an annual basis, accrued
daily and paid monthly; provided, however, that such fee shall not exceed the
amount such that immediately after any such payment the aggregate expenses of
the Fund including expenses allocated from the Portfolio and expenses waived by
the Administrator and Distributor would, on an annual basis, exceed an agreed
upon rate, currently 1.02% of average daily net assets.
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCKS - 50.1%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES - 2.2%
Interpublic Group, Inc. ........................... 51,600 $ 2,418,750
Sysco Corp. ....................................... 93,000 3,185,250
------------
5,604,000
------------
COMMODITIES & PROCESSING - 1.9%
Praxair, Inc. ..................................... 67,300 2,843,425
Sigma Aldrich, Inc. ............................... 33,900 1,813,650
------------
4,657,075
------------
CONSUMER DURABLES - 1.0%
Mattel Inc. ....................................... 90,125 2,579,828
------------
CONSUMER NON-DURABLES - 4.7%
Colgate-Palmolive Co. ............................. 34,500 2,923,875
Gillette Co. ...................................... 23,000 1,434,625
PepsiCo Inc. ...................................... 87,700 3,102,388
Procter & Gamble Co. .............................. 20,800 1,885,000
Sara Lee Corp. .................................... 78,300 2,534,962
------------
11,880,850
------------
CONSUMER SERVICES - 2.1%
Carnival Corp. .................................... 96,500 2,786,438
McDonald's Corp. .................................. 55,200 2,580,600
------------
5,367,038
------------
ELECTRONICS/TECHNOLOGICAL SERVICES - 8.8%
Affiliated Computer Service A* .................... 12,200 573,400
American Express "DECS" ........................... 49,700 3,261,562
Andrew Corp.* ..................................... 43,000 2,311,250
Applied Materials, Inc. ........................... 31,500 960,750
Cisco Systems Inc.* ............................... 54,500 3,086,063
Computer Associates Intl. Inc. .................... 46,650 3,323,812
Electronic Data Systems Corp. ..................... 55,000 2,956,250
Oracle Corp.* ..................................... 42,450 1,674,122
Parametric Technology Corp.* ...................... 34,000 1,474,750
Solectron Corp. ................................... 27,800 1,052,925
Sungard Data Systems Inc.* ........................ 35,400 1,420,425
------------
22,095,309
------------
ENERGY/MINERALS - 4.1%
Amoco Corp. ....................................... 35,700 2,583,788
Exxon Corp. ....................................... 31,100 2,701,813
Mobil Corp. ....................................... 19,300 2,164,012
Royal Dutch Petroleum Co. ADRs .................... 17,900 2,752,125
------------
10,201,738
------------
FINANCE - 3.4%
American International Group Inc. ................. 31,100 3,067,238
Federal National Mortgage Association ............. 93,000 3,115,500
State Street Boston Corp. ......................... 44,300 2,259,300
------------
8,442,038
------------
HEALTH SERVICES/TECHNOLOGY - 5.3%
Cardinal Health Inc. ............................. 22,000 1,586,750
Health Management Associates* .................... 97,350 1,971,338
Johnson & Johnson ................................ 70,000 3,465,000
Manor Care Inc. .................................. 32,500 1,279,688
Pacificare Health Systems, Inc. .................. 12,300 833,324
Pfizer Inc. ...................................... 39,600 2,826,450
Schein Henry, Inc.* .............................. 35,000 1,338,750
------------
13,301,300
------------
INDUSTRIAL SERVICES - 1.2%
Fluor Corp. ...................................... 45,000 2,941,874
------------
PRODUCER MANUFACTURING - 5.1%
Danaher Corp. .................................... 54,500 2,370,750
Emerson Electric Co. ............................. 35,000 3,163,125
Federal Signal Corp. ............................. 51,200 1,203,200
General Electric Co. ............................. 33,200 2,871,800
Xerox Corp. ...................................... 57,300 3,065,550
------------
12,674,425
------------
RETAIL TRADE - 5.6%
Autozone Inc.* ................................... 72,000 2,505,475
Hannaford Brothers Co. ........................... 20,200 659,025
Home Depot ....................................... 46,500 2,511,000
Kohls Corp.* ..................................... 67,600 2,475,850
Nine West Group Inc.* ............................ 50,500 2,581,812
Viking Office Products, Inc.* .................... 62,800 1,970,350
Walgreen Co. ..................................... 43,000 1,440,500
-----------
14,144,012
-----------
TRANSPORTATION - 1.0%
Wisconsin Central Transport* .................... 76,500 2,486,250
------ -----------
UTILITIES - 3.7%
FPL Group Inc. .................................. 41,000 1,886,000
GTE Corp. ....................................... 67,300 3,011,675
PacifiCorp ...................................... 115,000 2,558,750
Texas Utilities Co. ............................. 43,100 1,842,525
-----------
9,298,950
-----------
TOTAL COMMON STOCKS
(Identified Cost $96,452,699) ................. 125,674,687
------------
- --------------------------------------------------------------------------------
FIXED INCOME - 42.2%
- --------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
----------
ASSET BACKED SECURITIES - 1.7%
Contimortgage Home Equity Loan Trust Series 95
6.95%, due 1/15/14 ............................ $ 4,300,000 4,164,953
------------
MORTGAGE OBLIGATIONS - 27.4%
COLLATERALIZED MORTGAGE ASSOCIATION - 8.3%
Asset Securitization Corp. Series 95
7.384%, due 8/13/29 ........................... 2,500,000 2,434,375
Bank America Manufactured
Housing Series 96
7.55%, due 10/10/06 ........................... 3,500,000 3,500,000
Federal National Mortgage Association
5.00%, due 10/25/21 ........................... 8,304,000 6,922,163
Lehman Brothers Mortgage Trust
7.144%, due 9/25/25 ........................... 4,953,389 4,925,526
Nomura Asset Securities Corp.
8.15%, due 3/04/20 ............................ 3,000,000 3,126,563
------------
20,908,627
------------
MORTGAGE BACKED SECURITIES - 14.4%
Federal Home Loan Mortgage Corp.
6.50%, due 03/01/11 ........................... 30,642 29,656
6.50%, due 04/01/11 ........................... 1,350,357 1,306,891
6.50%, due 05/01/11 ........................... 1,580,275 1,529,406
8.00%, due 08/15/06 ........................... 4,000,000 4,153,720
8.00%, due 07/01/29 ........................... 3,500,000 3,526,250
8.50%, due 06/01/01 ........................... 29,084 29,839
9.50%, due 02/01/01 ........................... 16,922 16,922
Federal National Mortgage Association
5.50%, due 03/01/11 ........................... 1,095,145 1,013,689
5.50%, due 04/01/11 ........................... 1,793,779 1,660,360
5.50%, due 06/01/11 ........................... 128,486 118,930
6.50%, due 12/01/23 ........................... 8,480,460 7,958,404
7.00%, due 05/01/03 ........................... 6,924,409 6,902,736
7.00%, due 07/01/25 ........................... 479,147 460,878
7.00%, due 01/01/26 ........................... 229,401 220,654
7.00%, due 04/01/26 ........................... 698,735 672,094
7.00%, due 05/01/26 ........................... 2,608,734 2,509,265
7.50%, due 10/01/25 ........................... 288,461 284,584
7.50%, due 11/01/25 ........................... 3,739,804 3,689,542
9.00%, due 11/01/01 ........................... 23,499 24,379
------------
36,108,199
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 4.7%
6.50%, due 05/15/26 ........................... 252,281 234,778
8.25%, due 07/15/05 ........................... 808,113 813,164
7.50%, due 07/15/25 ........................... 3,361,931 3,313,587
6.50%, due 12/15/25 ........................... 618,551 575,636
6.50%, due 08/15/25 ........................... 897,818 835,528
6.50%, due 12/15/25 ........................... 288,549 268,530
6.50%, due 11/15/25 ........................... 248,462 231,224
7.50%, due 06/15/26 ........................... 1,926,065 1,898,368
6.50%, due 03/15/26 ........................... 689,923 642,056
7.50%, due 01/15/26 ........................... 2,997,536 2,954,432
------------
11,767,303
------------
TOTAL MORTGAGE OBLIGATIONS .................................. 68,784,129
------------
YANKEES BONDS - 0.6%
Midland Bank, PLC
5.95%, due 3/15/11 ............................ 1,500,000 1,407,014
------------
UNITED STATES GOVERNMENT & AGENCY OBLIGATIONS - 12.5%
UNITED STATES TREASURY BONDS - 2.4%
6.875%, due 8/15/25 ........................... 6,000,000 5,939,040
------------
UNITED STATES TREASURY NOTES - 9.3%
7.375%, due 11/15/97 .......................... 3,600,000 3,664,116
5.125%, due 2/28/98 ........................... 10,000,000 9,853,100
6.250%, due 4/30/01 ........................... 10,000,000 9,904,700
------------
23,421,916
------------
UNITED STATES AGENCY OBLIGATIONS - 0.8%
Tennessee Valley Authority 1996 Ser A,
5.98%, due 4/01/36 ............................ 2,000,000 2,011,598
------------
TOTAL UNITED STATES GOVERNMENT & AGENCY OBLIGATIONS ......... 31,372,554
------------
TOTAL FIXED INCOME
(Identified Cost $106,006,448) ................ 105,728,650
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 7.9%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.25%, due 7/01/96, proceeds at
maturity $4,009,754 (collateralized
by $4,057,031 U.S. Treasury Note 12.75%,
due 11/15/10) ................................. 4,008,000 4,008,000
United States Treasury Bill due 9/12/96 ......... 16,000,000 15,829,591
------------
TOTAL SHORT-TERM OBLIGATIONS
AT AMORTIZED COST ............................. 19,837,591
------------
TOTAL INVESTMENTS
(Identified Cost $222,296,738) ................ 100.2% 251,240,928
OTHER ASSETS
LESS LIABILITIES .............................. (0.2) (508,888)
---- ------------
NET ASSETS ...................................... 100.0% $250,732,040
===== ============
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
ASSETS:
Investments at value (Note 1A) (Identified Cost, $222,296,738) .. $251,240,928
Cash ............................................................ 580
Receivable for investments sold ................................. 7,396,251
Dividends and interest receivable ............................... 1,149,486
------------
Total assets ................................................ 259,787,245
------------
LIABILITIES:
Payable for investments purchased ............................... 8,942,423
Payable to affiliates --
Investment advisory fees (Note 2) ............................. 81,569
Accrued expenses and other liabilities .......................... 31,213
------------
Total liabilities 9,055,205
------------
NET ASSETS ...................................................... $250,732,040
============
REPRESENTED BY:
Paid-in capital for beneficial interests ........................ $250,732,040
============
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1996 (unaudited)
- --------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest ..................................... $3,833,109
Dividends .................................... 1,258,975
----------
Total Income ............................. $5,092,084
EXPENSES:
Investment advisory fees (Note 2) ............ 498,661
Administrative fees (Note 3) ................. 62,333
Expense fees (Note 6) ........................ 124,728
----------
Total expenses ........................... 685,722
----------
Net investment income .................... 4,406,362
----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from investment transactions
and futures contracts ...................... 5,219,468
Unrealized appreciation (depreciation) of
investments and futures contracts
Beginning of period ....................... 30,180,320
End of period ............................. 28,944,190
-----------
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ............................... (1,236,130)
----------
Net realized and unrealized gain (loss) on
investments and futures contracts ...... 3,983,338
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................. $8,389,700
==========
See notes to financial statments
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
SIX MONTHS ENDED
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
---------------- -----------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ....................... $ 4,406,362 $ 8,819,568
Net realized gain (loss) from investment
transactions and futures contracts ........ 5,219,468 12,205,642
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ................................. (1,236,130) 28,644,636
----------- ------------
Net increase in net assets resulting from
operations ............................ 8,389,700 49,669,846
----------- ------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ................ 12,377,410 8,144,524
Value of withdrawals ....................... (21,553,836) (35,243,567)
----------- ------------
Net increase (decrease in net assets from
capital transactions ................... (9,176,426) (27,099,043)
----------- ------------
NET INCREASE (DECREASE) IN NET ASSETS ...... (786,726) 22,570,803
NET ASSETS:
Beginning of period ........................ 251,518,766 228,947,963
------------ ------------
End of period .............................. $250,732,040 $251,518,766
============ ============
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
Financial Highlights
- -------------------------------------------------------------------------------
MAY 1, 1994
SIX MONTHS ENDED (COMMENCEMENT
JUNE 30, 1996 YEAR ENDED OF OPERATIONS) TO
(UNAUDITED) DECEMBER 31, 1995 DECEMBER 31, 1994
--------------- ----------------- -----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of
period (000's omitted) ... $250,732 $251,519 $228,948
Ratio of expenses to average
net assets ............... 0.55%* 0.53% 0.51%*
Ratio of net investment
income to average net
assets ................... 3.53%* 3.69% 3.53%*
Portfolio turnover ......... 144% 2.10% 1.05%
Average commission rate per
share (A) ............... $0.059 N/A N/A
* Annualized
(A) The average commission rate paid is applicable for Funds that invest greater
than 10% of average net assets in equity transactions on which commissions
are charged. This disclosure is required for fiscal periods beginning on or
after September 1, 1995.
See notes to financial statements
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
Notes To Financial Statements (unaudited)
- --------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
Balanced Portfolio (the "Portfolio"), a separate series of The Premium
Portfolios (the "Portfolio Trust"), is registered under the Investment Company
Act of 1940, as amended, as a diversified, open-end management investment
company which was organized as a trust under the laws of the State of New York.
The Declaration of Trust permits the Trustees to issue beneficial interests in
the Portfolio. Signature Financial Group (Grand Cayman), Ltd. ("SFG") acts as
the Portfolios Administrator.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures in the financial statements. Actual
results could differ from those estimates.
The significant accounting policies consistently followed by the Portfolio are
in conformity with generally accepted accounting principles and are as follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities listed on securities
exchanges or reported through the NASDAQ system are valued at last sale prices.
Unlisted securities or listed securities for which last sales prices are not
available are valued at last quoted bid prices. Debt securities (other than
short-term obligations maturing in sixty days or less), are valued on the basis
of valuations furnished by pricing services approved by the Board of Trustees
which take into account appropriate factors such as institutional-size trading
in similar groups of securities, yield, quality, coupon rate, maturity, type of
issue, and other market data, without exclusive reliance on quoted prices or
exchange or over-the-counter prices. Short-term obligations, maturing in sixty
days or less, are valued at amortized cost, which approximates market value.
Securities, if any, for which there are no such valuations or quotations are
valued at fair value as determined in good faith by or under guidelines
established by the Trustees.
B. INCOME -- Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for federal income tax purposes. Gain and loss from principal
paydowns are recorded as interest income. Dividend income is recorded on the
ex-dividend date.
C. U.S. FEDERAL TAXES -- The Portfolio is considered a partnership under the
U.S. Internal Revenue Code. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- Expenses The Portfolio bears all costs of its operations other
than expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Portfolio Trust with respect to any two or more portfolios or series are
allocated in proportion to the average net assets of each portfolio except when
allocations of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that portfolio.
E. REPURCHASE AGREEMENTS -- It is the policy of the Portfolio to require the
custodian bank to take possession, to have legally segregated in the Federal
Reserve Book Entry System or to have segregated within the custodian bank's
vault, all securities held as collateral in support of repurchase agreement
investments. Additionally, procedures have been established by the Portfolio to
monitor, on a daily basis, the market value of the repurchase agreements
underlying investments to ensure the existence of a proper level of collateral.
F. TBA PURCHASE COMMITMENTS -- The Portfolio enters into "TBA" (to be announced)
purchase commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2.0% from the principal amount. The
Portfolio holds, and maintains until the settlement date, cash or high-grade
debt obligations in an amount sufficient to meet the purchase price. TBA
purchase commitments may be considered securities in themselves, and involve a
risk of loss if the value of the security to be purchased declines prior to the
settlement date, which risk is in addition to the risk of decline in the value
of the Portfolio's other assets. Unsettled TBA purchase commitments are valued
at the current market value of the underlying securities, generally according to
the procedures described under Note 1A.
Although the Portfolio will generally enter into TBA purchase commitments with
the intention of acquiring securities for its portfolio, the Portfolio may
dispose of a commitment prior to settlement if the Portfolio's Adviser deems it
appropriate to do so.
G. FUTURES CONTRACTS -- The Portfolios may engage in futures transactions. The
Portfolios may use futures contracts in order to protect the Portfolio from
fluctuation in interest rates without actually buying or selling debt
securities, or to manage the effective maturity or duration of fixed income
securities in the Portfolio in an effort to reduce potential losses or enhance
potential gains. The underlying value of a futures contract is incorporated
within unrealized appreciation/depreciation in the Portfolio of Investments
under the caption "Futures Contracts". The Portfolio had no open futures
contracts at June 30, 1996. Buying futures contracts tends to increase the
Portfolio's exposure to the underlying instrument. Selling futures contracts
tends to either decrease the Portfolio's exposure to the underlying instrument,
or to hedge other Portfolio investments.
Upon entering into a futures contract, the Portfolio is required to deposit with
the broker an amount of cash or cash equivalents equal to a certain percentage
of the contract amount. This is known as the "initial margin." Subsequent
payments ("variation margin") are made or received by the Portfolio each day,
depending on the daily fluctuation of the value of the contract. The daily
changes in contract value are recorded as unrealized gains or losses and the
Portfolio recognizes a realized gain or loss when the contract is closed.
Futures contracts are values at the settlement price established by the board of
trade or exchange on which they are traded.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in the value of futures contracts primarily
corresponds with the value of their underlying instruments, which may not
correlate with the change in the value of the hedged instruments. In addition,
there is the risk the Portfolio may not be able to enter into a closing
transaction because of an illiquid secondary market. Futures contracts involve,
to varying degrees, risk of loss in excess of the futures variation margin
reflected in the Statement of Assets and Liabilities.
H. OTHER -- Investment transactions are accounted for on the date the
investments are purchased or sold. Realized gains and losses are determined on
the identified cost basis.
(2) INVESTMENT ADVISORY FEES
The investment advisory fees paid to Citibank, as compensation for overall
investment management services, amounted to $498,661 for the six months ended
June 30, 1996. The investment advisory fees are computed at the annual rate of
0.40% of the Portfolio's average daily net assets.
(3) ADMINISTRATIVE FEES
Under the terms of an Administrative Services Agreement, the administrative fees
paid to the Administrator, as compensation for overall administrative services
and general office facilities, is computed at an annual rate of 0.05% of the
Portfolio's average daily net assets. The Administrative fees amounted to
$62,333 for the six months ended June 30, 1996. Citibank acts as
Sub-Administrator and performs such duties and receives such compensation from
SFG as from time to time is agreed to by SFG and Citibank. The Portfolio pays no
compensation directly to any officer who is affiliated with the Administrator,
all of whom receive remuneration for their services to the Portfolio from the
Administrator or its affiliates. Certain of the officers and a Trustee of the
Portfolio are officers or directors of the Administrator or its affiliates.
(4) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of investments, other than short-term obligations,
aggregated $349,921,716 and $350,683,940, respectively, for the six months ended
June 30, 1996. Purchases and sales of U.S. Government securities aggregated to
$124,276,483 and $167,033,985, respectively.
(5) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at June 30, 1996, as computed on a federal income tax basis,
are as follows:
Aggregate cost .................................. $222,296,738
============
Gross unrealized appreciation ................... $ 30,980,273
Gross unrealized depreciation ................... (2,036,083)
------------
Net unrealized appreciation .................... $ 28,944,190
============
(6) EXPENSE FEES
SFG has entered into an expense agreement with the Portfolio. SFG has agreed to
pay all of the ordinary operating expenses (excluding interest, taxes, brokerage
commissions litigation costs or other extraordinary costs or expenses) of the
Portfolio, other than fees paid under the Advisory Agreement and Administrative
Services Agreement. The Agreement may be terminated by either party upon not
less than 30 days nor more than 60 days written notice.
The Portfolio has agreed to pay SFG an expense fee on an annual basis, accrued
daily and paid monthly; provided, however, that such fee shall not exceed the
amount such that immediately after any such payment the aggregate ordinary
expenses of the Portfolio and expenses waived by the Administrator would, on an
annual basis, exceed an agreed upon rate, currently 0.55% of average daily net
assets.
(7) LINE OF CREDIT
The Portfolio, along with the other Landmark Funds, entered into an ongoing
agreement with a bank which allows the Funds collectively to borrow up to $40
million for temporary or emergency purposes. Interest on the borrowings, if any,
is charged to the specific fund executing the borrowing at the base rate of the
bank. In addition, the $15 million committed portion of the line of credit
requires a quarterly payment of a commitment fee based on the average daily
unused portion of the line of credit. For the six months ended June 30, 1996,
the commitment fee allocated to the Portfolio was $706. Since the line of credit
was established, there have been no borrowings.
<PAGE>
- -------------------------------------------------------------------------------
Shareholder
Servicing Agents
- -------------------------------------------------------------------------------
FOR CITIBANK NEW YORK RETAIL BANKING AND
BUSINESS AND PROFESSIONAL CUSTOMERS:
Citibank, N.A.
450 West 33rd Street, New York, NY 10001
(212) 564-3456 or (800) 846-5300
FOR CITIGOLD CUSTOMERS:
Citibank, N.A.
Citigold
P.O. Box 5130, New York, NY 10150-5130
Call Your Citigold Executive or, in NY or CT,
(800) 285-1701, for all other states, (800) 285-1707
FOR PRIVATE BANKING CLIENTS:
Citibank, N.A.
The Citibank Private Bank
153 East 53rd Street, New York, NY 10043
Call Your Citibank Private Banking Account Officer,
Registered Representative or (212) 559-5959
FOR CITIBANK GLOBAL ASSET MANAGEMENT CLIENTS:
Citibank, N.A.
Citibank Global Asset Management
153 East 53rd Street, New York, NY 10043
(212) 559-7117
FOR NORTH AMERICAN INVESTOR SERVICES CLIENTS:
Citibank, N.A.
111 Wall Street, New York, NY 10043
Call Your Account Manager or (212) 657-9100
FOR CITICORP INVESTMENT SERVICES CUSTOMERS:
Citicorp Investment Services
One Court Square, Long Island City, NY 11120
Call Your Investment Consultant or (800) 846-5200
(212) 736-8170 in New York City
<PAGE>
- --------------------------------------------------------------------------------
(LOGO) LANDMARK
FUNDS
MONEY MARKET FUNDS:
Cash Reserves
Premium Liquid Reserves
Institutional Liquid Reserves
U.S. Treasury Reserves
Premium U.S. Treasury Reserves
Institutional U.S. Treasury Reserves
Tax Free Reserves
California Tax Free Reserves
Connecticut Tax Free Reserves
New York Tax Free Reserves
STOCK & BOND FUNDS:
U.S. Government Income Fund
Intermediate Income Fund
National Tax Free Income Fund
New York Tax Free Income Fund
Balanced Fund
Equity Fund
International Equity Fund
Small Cap Equity Fund
Emerging Asian Markets Equity Fund
- --------------------------------------------------------------------------------
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*, President
H. B. Alvord
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
C. Oscar Morong, Jr.
Donald B. Otis
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Thomas M. Lenz*
TREASURER
John R. Elder*
*Affiliated Person of Administrator and Distributor
- -----------------==-----------------
INVESTMENT ADVISER
(OF BALANCED PORTFOLIO)
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
ADMINISTRATOR AND DISTRIBUTOR
The Landmark Funds Broker-Dealer Services, Inc.
6 St. James Avenue, Boston, MA 02116
(617) 423-1679
TRANSFER AGENT
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
CUSTODIAN
Investors Bank and Trust Company
One Lincoln Plaza, Boston, MA 02111
AUDITORS
Price Waterhouse LLP
160 Federal Street, Boston, MA 02110
LEGAL COUNSEL
Bingham, Dana & Gould
150 Federal Street, Boston, MA 02110
- -----------------==-----------------
SHAREHOLDER SERVICING AGENTS
(See Inside Cover)
This report is prepared for the information of shareholders. It is authorized
for distribution to prospective investors only when preceded or accompanied by
an effective prospectus.
EQ/BL/S/96 Printed on Recycled Paper (Recycle Symbol)
[LOGO] LANDMARK(SM) FUNDS
Advised by Citibank, N.A.
LANDMARK
BALANCED FUND
SEMI-ANNUAL
REPORT
June 30, 1996
<PAGE>
A LETTER TO OUR SHAREHOLDERS
- ------------------------------------------------------------------------------
Dear Shareholder:
Thank you for your recent investment in the CitiSelect family of portfolios. The
portfolios have been operational only since June 17, 1996 and therefore did not
participate in the financial markets during most of the reporting period. We are
sending you this Semi-Annual Report to offer you a summary of the investment
manager's approach to managing diversified investment portfolios and inform you
of their outlook for the foreseeable future.
The CitiSelect portfolios are three mutual funds designed to provide
well-diversified investment portfolios for investors who have neither the time
nor the inclination to assemble their own. Each fund strives for an optimal mix
of stocks, bonds and cash to seek a level of potential return commensurate with
investors' risk tolerances. We are quite pleased with investors' response to the
CitiSelect concept: between inception and June 30, 1996, assets invested in the
three CitiSelect funds have grown to $118.3 million.
The CitiSelect portfolios' investment manager, Citibank, N.A., manages each of
the three funds according to its own investment objectives and policies. Unlike
other mutual funds that directly acquire and manage their own portfolios of
securities, the CitiSelect funds seek their investment objectives by investing
all of their investable assets in different series of Asset Allocation
Portfolios. Each Portfolio has the same investment objective and policies as its
corresponding fund.
On behalf of the Board of Trustees, we want to thank you for your participation
in the CitiSelect family of portfolios. We look forward to serving you in the
months and years ahead.
/s/ Philip Coolidge
Philip W. Coolidge
President
July 19, 1996
TABLE OF CONTENTS
- -----------------------------------------------
A Letter to our Shareholders ................ 1
Market Environment .......................... 2
Fund Snapshot ............................... 2
Portfolio Managers .......................... 3
Strategy and Outlook ........................ 5
CITISELECT PORTFOLIOS
Statement of Assets and Liabilities ......... 6
Statement of Operations ..................... 7
Statement of Changes in Net Assets .......... 8
Financial Highlights ........................ 8
Notes to Financial Statements ............... 9
ASSET ALLOCATION PORTFOLIOS
Portfolio of Investments
Asset Allocation Portfolio 200 ........... 12
Asset Allocation Portfolio 300 ........... 19
Asset Allocation Portfolio 400 ........... 26
Statement of Assets and Liabilities ........ 33
Statement of Operations .................... 34
Statement of Changes in Net Assets ......... 35
Financial Highlights ....................... 35
Notes to Financial Statements .............. 36
- -----------------------------------------------
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or Citicorp Investment
Services
o Are subject to investment risks, including possible loss of the principal
amount invested
<PAGE>
MARKET ENVIRONMENT
- -------------------------------------------------------------------------------
Because they became operational in mid-June, the CitiSelect portfolios did not
participate in the financial markets during most of the reporting period.
However, we believe recent market conditions provide a valuable context for
understanding the importance of utilizing a diversification and asset allocation
investment strategy.
When 1996 began, most market-watchers called for slow economic growth during the
first six months of the year. Consequently, many economists were surprised when
the economy grew faster than expected. Economic growth was fueled by higher
spending among both businesses and consumers. In addition, stronger-than-
expected employment figures caused concern that the rate of inflation would
accelerate. As a result, the yield on the 30-year U.S. Treasury bond, considered
a benchmark for long-term interest rates, rose during the period from around
6.0% to almost 6.9%. By definition, when bond yields rise, their prices fall.
Unlike bonds, stock prices continued to advance, prolonging one of the most
persistent bull markets in recent history. Most broad stock market measures set
new records during the first half of the year. Significantly, the stock market's
leadership shifted early in the year from large, blue-chip companies (which led
1995's rally) to mid-sized and small companies. As a result, while broad stock
market measures such as the Dow Jones Industrial Average set new records during
the first half of the year, small-stock indexes such as the Russell 2000 rose
even more dramatically.
FUND SNAPSHOT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INCEPTION DATE June 17, 1996 June 17, 1996 June 17, 1996
- -------------------------------------------------------------------------------------------------------------
NET ASSETS AS OF 6/30/96 $18.5 million $40.4 million $59.4 million
- -------------------------------------------------------------------------------------------------------------
FUND OBJECTIVE High total return over High total return over High total return over
time consistent with a time consistent with a time consistent with a
primary emphasis on balanced emphasis on primary emphasis on
income and a second- income and capital capital appreciation
ary emphasis on appreciation. and a secondary
capital appreciation. emphasis on income
for risk reduction
purposes.
- -------------------------------------------------------------------------------------------------------------
DIVIDENDS Paid monthly, if any Paid quarterly, if any Paid annually, if any
- -------------------------------------------------------------------------------------------------------------
CAPITAL GAINS Paid annually, if any Paid annually, if any Paid annually, if any
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
PORTFOLIO MANAGERS
- ------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH SECURITIES
Lawrence P. Keblusek, U.S. Chief Investment Officer of Citibank, has been
responsible for the daily management of large cap growth securities since the
Funds' inception. Mr. Keblusek who has 25 years experience in the investment
management industry, was most recently Senior Vice President and Director of
Portfolio Management for The Northern Trust Company with responsibility for
investment performance in the organization's High Net Worth, Corporate and
Institutional and Mutual Fund Group. Earlier in his career Mr. Keblusek held
senior investment positions with Maryland National Bank and the National Bank of
Washington.
SMALL CAPITALIZATION GROWTH SECURITIES
David N. Pearl, Vice President of Citibank, has been responsible for the daily
management of small cap growth securities since the Funds' inception. Mr. Pearl
is a portfolio manager of U.S. equity assets for institutional clients, and
joined Citibank in 1994. Prior to joining Citibank he worked as a portfolio
manager at Fleming Capital Management and Bankers Trust Company.
DOMESTIC FIXED INCOME SECURITIES
Mark Lindbloom, Vice President of Citibank, has been responsible for the daily
management of domestic fixed income securities since the Funds' inception. Mr.
Lindbloom has more than 12 years of investment management experience. Prior to
joining Citibank in 1986, Mr. Lindbloom was a Fixed Income Portfolio Manager
with Brown Brothers Harriman & Co., where he managed fixed income assets for
discretionary corporate portfolios.
MONEY MARKET SECURITIES
Kevin Kennedy, Vice President of Citibank, has been responsible for the daily
management of money market securities since the Funds' inception. Mr. Kennedy is
responsible for managing the Liquidity Management Unit of the U.S. Fixed Income
Department of Citibank Global Asset Management. Prior to joining Citibank in
March 1993, Mr. Kennedy was with the Metropolitan Life Insurance Company as the
Managing Trader of the Treasurer's Division. He was responsible for the
management of more than $9 billion in short duration fixed income assets. Mr.
Kennedy has more than 15 years of fixed income management experience.
Citibank has delegated the daily management of the following kinds of securities
of each Fund to the following Subadvisers. Citibank pays all Subadviser
compensation.
LARGE CAPITALIZATION VALUE SECURITIES
Miller Anderson & Sherrerd LLP, One Tower Bridge, West Conshohocken,
Pennsylvania 19428. Miller Anderson has been a registered investment adviser
since 1974. Robert Marcin, CFA, Partner, has been responsible for the daily
management of large cap value securities since the Funds' inception. Mr. Martin
has been with Miller Anderson since 1988.
SMALL CAPITALIZATION VALUE SECURITIES
Franklin Advisers, Inc., 777 Mariners Island Blvd., San Mateo, California 94404.
Franklin Advisers, a wholly-owned subsidiary of Franklin Resources, Inc., is a
registered investment adviser. William P. Lippman, senior vice president of
Franklin Advisers since June, 1988, has been responsible for the daily
management of small capitalization value securities since the Funds' inception.
Prior to joining Franklin Advisers, Mr. Lippman was president of L.F. Rothschild
Fund Management, Inc.
INTERNATIONAL EQUITY SECURITIES
Hotchkis & Wiley, 800 West Sixth Street, Fifth Floor, Los Angeles, California
90017. Hotchkis is a registered investment adviser founded in 1980. Hotchkis &
Wiley, a limited partnership has entered into a Purchase Agreement with Merrill
Lynch & Co., Inc., a Delaware corporation ("Merrill Lynch"), pursuant to which
Merrill Lynch, subject to a number of contingencies, will acquire the
partnership interests in Hotchkis & Wiley. If the purchase occurs, the
Sub-Management Agreement by and among the Funds, Citibank and Hotchkis & Wiley
would automatically terminate due to its "assignment" (as that term is defined
in the 1940 Act) resulting from the change in control of ownership of Hotchkis &
Wiley. In order to ensure that Hotchkis & Wiley will continue to provide
subinvestment management services to the Funds in the same manner as they are
currently, the Funds' Board of Trustees and shareholders will be asked to
approve a new Sub-Management Agreement.
Harry W. Hartford and Sarah H. Ketterer have been responsible for the daily
management of international equity securities since the Funds' inception. Mr.
Hartford and Ms. Ketterer manage international equity accounts and are also
responsible for international investment research. Each serves on the Investment
Policy Committee at Hotchkis & Wiley. Prior to joining Hotchkis & Wiley, Mr.
Hartford was with The Investment Bank of Ireland, where he gained 10 years of
experience in both international and global equity management. Prior to joining
Hotchkis & Wiley, Ms. Ketterer was an associate with Bankers Trust and an
analyst at Dean Witter.
INTERNATIONAL GOVERNMENT SECURITIES
Pacific Investment Management Company, 840 Newport Center Drive, Suite 360, P.O.
Box 6430, Newport Beach, California 92658-9030. PIMCO is a registered investment
adviser. Lee R. Thomas, III, Senior International Portfolio Manager, has been
responsible for the daily management of foreign government securities since the
Funds' inception.
He joined PIMCO in 1995. Previously he was a member of Investcorp's Management
Committee, where he was responsible for global securities and foreign exchange
trading. Prior to Investcorp, he was associated with Goldman Sachs, where he was
an Executive Director in the fixed income division of the London office.
<PAGE>
STRATEGY AND OUTLOOK
- ------------------------------------------------------------------------------
ASSET ALLOCATION STRATEGIES
When operations for the CitiSelect portfolios commenced, we began to
strategically allocate assets within each fund among three different asset
classes: stocks, bonds and cash equivalent investments. The decision as to where
assets are allocated and in what proportions depends on the investment objective
of each individual fund. As additional assets flow into the funds, we put that
new money to use as quickly as market conditions allow.
Over time, we strive to maintain each fund's exposure to the financial markets
in a way that is consistent with its investment objectives. Because CitiSelect
Folio 200 seeks high total return consistent with a primary emphasis on income
and a secondary emphasis on capital appreciation, its largest holdings typically
include investment-grade bonds. CitiSelect Folio 300 seeks high total return
consistent with a balanced emphasis on income and capital appreciation in both
stocks and bonds. CitiSelect Folio 400, on the other hand, is managed for a
higher total return consistent with a primary emphasis on capital appreciation
and a secondary emphasis on income for risk reduction purposes. Accordingly,
this more aggressive portfolio contains a larger percentage of investments in
small-capitalization and international stocks.
As of June 30, assets for CitiSelect Folio 200, the most conservative
alternative, were apportioned 35% to stocks, 45% to bonds and 20% to cash.
Assets for CitiSelect Folio 300, the moderate-risk portfolio, were allocated 50%
to stocks, 45% to bonds and 5% to cash. Finally, CitiSelect Folio 400, the more
aggressive growth-oriented portfolio, held 70% of its assets in stocks, 25% in
bonds and 5% in cash.*
In addition, the monies within the stock and bond asset classes are apportioned
among portfolio managers with different investment styles. Consequently, the
CitiSelect portfolios not only spread risk across asset classes, they also
provide a second level of diversification according to investment style. We
believe that this multi-level asset allocation strategy positions the funds both
to take advantage of opportunities in rising markets and to reduce risk in
declining ones. As long-term economic and market conditions change, we will
periodically re-balance the assets in each fund to reflect our economic and
market outlooks.
LOOKING FORWARD
We expect a relatively strong rate of economic growth to persist over the
near-term before slowing later this year. In our opinion, economic conditions
may continue to fuel inflation fears among investors over the near term. This
concern could force the Federal Reserve Board to reverse direction and raise
short-term interest rates as early as August. If such a change in monetary
policy occurs, bond prices could become more volatile in the immediate future.
In the equity markets, we are cautiously optimistic about the continued
long-term rise of U.S. stock prices because the economy continues to be
fundamentally sound, with an inflation rate that remains under control and
little danger of a recession in the immediately foreseeable future. Yet, we
temper our optimism with caution because of the possibility of short-term market
corrections. Indeed, we experienced a stock market correction in the weeks after
the reporting period ended. A continuation of the correction may occur if the
Federal Reserve raises short-term interest rates to forestall an acceleration of
inflation. Twelve months from now, however, we expect stock market averages to
be higher than they are today. Of course, there are no guarantees: investing in
the stock market involves risk which is why we believe that an asset allocation
strategy such as the one employed by the CitiSelect family of portfolios is an
effective way for investors to participate in the growth potential stocks
provide.
- ------------------
* Please note that percentage ranges for asset classes other than cash include
other related investment positions, including money market instruments that
are not counted toward percentage ranges shown for cash.
<PAGE>
CITISELECT PORTFOLIOS
- ------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400
---------- ---------- ----------
<S> <C> <C> <C>
ASSETS:
Investment in Asset Allocation Portfolio 200, Asset
Allocation Portfolio 300 and Asset Allocation
Portfolio 400, respectively, at value ..................... $15,315,321 $34,741,855 $48,482,595
Receivable for shares of beneficial interest sold ........... 3,323,937 5,704,523 10,962,162
----------- ----------- -----------
Total Assets .............................................. 18,639,258 40,446,378 59,444,757
----------- ----------- -----------
LIABILITIES:
Payable for shares of beneficial interest repurchased ....... 107,188 48,683 37,062
Accrued expenses ............................................ 3,389 7,125 13,124
----------- ----------- -----------
Total Liabilities ......................................... 110,577 55,808 50,186
----------- ----------- -----------
NET ASSETS for 1,848,379, 4,031,816 and 5,944,513 shares,
respectively, of beneficial interest outstanding .......... $18,528,681 $40,390,570 $59,394,571
=========== =========== ===========
NET ASSETS CONSISTS OF:
Paid-in capital $18,471,984 $40,275,544 $59,360,772
Accumulated net realized gain (loss) on investments 324 2,542 2,141
Unrealized appreciation (depreciation) of investments and
foreign currency translations 45,921 89,739 8,583
Undistributed net investment income 10,452 22,745 23,075
----------- ----------- -----------
Total $18,528,681 $40,390,570 $59,394,571
=========== =========== ===========
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST $10.02 $10.02 $9.99
====== ====== =====
* Maximum offering price per share based on a 4.00% sales charge $10.44 $10.44 $10.41
====== ====== ======
<FN>
* No sales charges were imposed on shares of the funds for the period June 17, 1996 (commencement of operations)
to June 30, 1996. Sales charges may be imposed in the future at any time.
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- ------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400
--------- --------- ---------
<S> <C> <C> <C>
INVESTMENT INCOME FROM ASSET ALLOCATION PORTFOLIO 200,
ASSET ALLOCATION PORTFOLIO 300 AND ASSET ALLOCATION
PORTFOLIO 400, REPECTIVELY (NOTE 1B):
Interest ............................................. $ 15,855 $ 33,617 $ 40,797
Dividends ............................................ 608 2,265 4,760
Allocated Expenses ................................... (2,622) (6,012) (9,358)
-------- -------- --------
Total Investment Income ............................ 13,841 29,870 36,199
-------- -------- --------
Expenses:
Custodian fees ....................................... 1,000 1,000 1,000
Auditing services .................................... 1,500 1,500 1,500
Management fees (Note 2) ............................. 451 999 1,473
Trustees fees ........................................ 1,000 1,000 1,500
Distribution fees .................................... 2,254 4,993 7,367
Shareholder reports .................................. 2,000 2,000 2,500
Legal services ....................................... 1,500 1,500 1,500
Miscellaneous ........................................ 100 100 100
-------- -------- --------
Total expenses ..................................... 9,805 13,092 16,940
-------- -------- --------
Less aggregate amount waived by the Manager (Note 2) (451) (999) (1,473)
Less expenses assumed by the sub-administrator(Note 6) (5,965) (4,968) (2,343)
-------- -------- --------
Net expenses ....................................... 3,389 7,125 13,124
-------- -------- --------
Net investment income .............................. 10,452 22,745 23,075
-------- -------- --------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM ASSET ALLOCATION
PORTFOLIO 200, ASSET ALLOCATION PORTFOLIO 300 AND ASSET ALLOCATION
PORTFOLIO 400, REPECTIVELY:
Net realized gain .................................... 324 2,542 2,141
Net change in unrealized appreciation ................ 45,921 89,739 8,583
------- -------- -------
Net realized and unrealized gain ..................... 46,245 92,281 10,724
------- -------- -------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $56,697 $115,026 $33,799
======= ======== =======
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400
------------ ------------ ------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ............................................ $ 10,452 $ 22,745 $ 23,075
Net realized gain ................................................ 324 2,542 2,141
Net change in unrealized appreciation
of investments ................................................. 45,921 89,739 8,583
------------ ------------ ------------
Net increase in net assets resulting from operations ........... 56,697 115,026 33,799
------------ ------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares ................................. 18,943,628 40,400,120 59,511,953
Net asset value of shares issued to shareholders from
reinvestment of distributions .................................. -- -- --
Cost of shares repurchased ....................................... (471,644) (124,576) (151,181)
------------ ------------ ------------
Net increase in net assets from transactions in shares of
beneficial interest .......................................... 18,471,984 40,275,544 59,360,772
------------ ------------ ------------
NET INCREASE IN NET ASSETS ....................................... 18,528,681 40,390,570 59,394,571
NET ASSETS:
Beginning of period .............................................. -- -- --
------------ ------------ ------------
End of period (including undistributed net investment income
of $10,452, $22,745 and $23,075, respectively) ................. $ 18,528,681 $ 40,390,570 $ 59,394,571
============ ============ ============
</TABLE>
See notes to financial statements
<PAGE>
FINANCIAL HIGHLIGHTS (UNAUDITED)
- -------------------------------------------------------------------------------
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 200 FOLIO 400
------------ ------------ ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ........................... $ 10.00 $ 10.00 $ 10.00
------------ ------------ ------------
INCOME FROM OPERATIONS:
Net investment income .......................................... 0.01 0.01 --
Net realized and unrealized gain (loss) on investments ......... 0.01 0.01 (0.01)+
------------ ------------ ------------
Total from operations ........................................ 0.02 0.02 (0.01)
------------ ------------ ------------
LESS DISTRIBUTIONS FROM:
Net investment income ........................................ -- -- --
Net realized gain on investments ............................. -- -- --
------------ ------------ ------------
Total distributions .......................................... -- -- --
------------ ------------ ------------
Net Asset Value, end of period ................................. $ 10.02 $ 10.02 $ 9.99
------------ ------------ ------------
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's ommitted) ..................... $ 18,529 $ 40,391 $ 59,395
Ratio of expenses to average net assets (A) .................... 1.50%* 1.50%* 1.75%*
Ratio of net investment income to average net assets ........... 2.32%* 2.28%* 1.57%*
Total return ................................................... 0.20%** 0.20%** (0.10)%**
Note: If Agents of the Funds and the Agents of Asset Allocation Portfolios had not voluntarily agreed to waive a
portion of their fees, the Sub-administrator not assumed expenses and had expenses been limited to that required
by certain state securities laws, for the periods indicated, the net investment income per share and the ratios
would have been as follows:
Net investment income (loss) per share ......................... ($0.01) $0.01 $0.00
Ratios:
Expenses to average net assets (A).............................. 2.50%* 2.50%* 2.50%*
Net investment income to average net assets .................... 1.32%* 1.28%* 0.82%*
<FN>
(A) Includes CitiSelect Folio 200, CitiSelect Folio 300 and CitiSelect Folio 400 share of Asset Allocation Portfolio
200, Asset Allocation Portfolio 300 and Asset Allocation Portfolio 400, respectively allocated expenses for the
period indicated.
* Annualized
** Not annualized
+ The amount shown for a share outstanding does not correspond with the aggregate net realized and unrealized gain
(loss) on investments for the period ended due to the timing of sales of fund shares in relation to flucuating
market values of the investments in the fund.
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) SIGNIFICANT ACCOUNTING POLICIES
CitiSelect Folio 200, CitiSelect Folio 300, and CitiSelect Folio 400
(individually, the "Fund", or collectively, the "Funds") are each a separate
series of Landmark Fund 1 (the "Trust"), a Massachusetts business trust. The
Trust is registered under the Investment Company Act of 1940, as amended, as an
open-end, management investment company. The CitiSelect Folio 200, CitiSelect
Folio 300, and CitiSelect Folio 400 each invest all of their investable assets
in Asset Allocation Portfolio 200, Asset Allocation Portfolio 300 and Asset
Allocation Portfolio 400, respectively (the "Portfolios"). Citibank, N.A.
("Citibank") is the investment Manager of each of the Portfolios. Landmark Funds
Broker- Dealer Servicies, Inc. ("LFBDS") acts as each Funds, Sub-Administrator
and Distributor.
The CitiSelect Folio 200 seeks to achieve the Fund's investment objective
of high total return over time consistent with a primary emphasis on income and
a secondary emphasis on capital appreciation by investing all of its investable
assets in the Asset Allocation Portfolio 200, an open-end, diversified
management investment company having the same investment objectives and policies
and substantially the same restrictions as CitiSelect Folio 200. The value of
such investment reflects CitiSelect Folio 200's proportionate interest
(approximate 99.9% at June 30, 1996) in the net assets of the Asset Allocation
Portfolio 200.
CitiSelect Folio 300 seeks to achieve the Fund's investment objective of
high total return over time consistent with a balanced emphasis on income and
capital appreciation by investing all of its investable assets in Asset
Allocation Portfolio 300, an open-end, diversified management investment company
having the same investment objectives and policies and substantially the same
restrictions as the CitiSelect Folio 300. The value of such investment reflects
CitiSelect Folio 300's proportionate interest (approximate 99.9% at June 30,
1996) in the net assets of the Asset Allocation Portfolio 300.
CitiSelect Folio 400 seeks to achieve the Fund's investment objective of
high total return over time consistent with a primary emphasis on capital
appreciation and a secondary emphasis on income for risk reduction purposes by
investing all of its investable assets in Asset Allocation Portfolio 400, an
open-end, diversified management investment company having the same investment
objectives and policies and substantially the same restrictions as the
CitiSelect Folio 400. The value of such investment reflects the CitiSelect Folio
400's proportionate interest (approximate 99.9% at June 30, 1996) in the net
assets of the Asset Allocation Portfolio 400.
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The financial statements of the Portfolios, including the portfolio of
investments, are contained elsewhere in this report and should be read in
conjunction with the Funds' financial statements.
The significant accounting policies consistently followed by the Funds are
in conformity with generally accepted accounting principles and are as follows:
A. INVESTMENT VALUATION -- Valuation of securities by the Portfolios is
discussed in Note 1A of the Portfolios' Notes to Financial Statements which are
included elsewhere in this report.
B. INVESTMENT INCOME -- Each Fund earns income, net of Portfolio expenses, daily
based on its investment in each Portfolio.
C. FEDERAL TAXES -- The Funds' policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- The Funds bears all costs of its operations other than expenses
specifically assumed by Citibank and LFBDS. Expenses incurred by the Trust with
respect to any two or more Funds or series are allocated in proportion to the
average net assets of each Fund, except when allocations of direct expenses to
each Fund can otherwise be made fairly. Expenses directly attributable to a Fund
are charged to that Fund. A Fund's share of the Portfolio's expenses are charged
against and reduce the amount of the Fund's investment in that Portfolio.
E. DISTRIBUTIONS -- Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to each Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations.
F. OTHER -- All the net investment income, realized and unrealized gain and loss
of the Portfolios are allocated pro rata, based on respective ownership
interests, among the Funds and the other investors in a Portfolio at the time of
such determination. Investment transactions are accounted for on the trade data
basis. Realized gains and losses are determined on the identified cost basis.
(2) MANAGEMENT FEES
Citibank is responsible for overall management of the Funds' business
affairs, and has a separate Management Agreement with each of the Funds.
Citibank also provides certain administrative services to the Funds. These
administrative services include providing general office facilities and
supervising the overall administration of the Funds. LFBDS acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time is agreed to by Citibank and LFBDS.
The management fees paid to Citibank, are accrued daily and computed at the
following annual rate of average daily net assets:
CitiSelect Folio 200 .................... 0.10%
CitiSelect Folio 300 .................... 0.10%
CitiSelect Folio 400 .................... 0.10%
The manager has waived all of its fees for each Fund for the period ended
June 30, 1996. The Trust pays no compensation directly to any Trustee or any
other officer who is affiliated with the Sub-Administrator, all of whom receive
remuneration for their services to the Trust from the Sub-Administrator or its
affiliates.
(3) DISTRIBUTION FEES
Each of the Funds has adopted a Service Plan pursuant to Rule 12b-1 under
the Investment Company act of 1940, as amended, under which the Fund pays fees
for distribution, sales and marketing and shareholder services at an annual rate
not to exceed 0.50% of each Fund's average daily net assets which amounted to
$2,254, $4,993, and $7,367 for CitiSelect Folio 200, CitiSelect Folio 300, and
CitiSelect Folio 400, respectively.
(4) INVESTMENT TRANSACTIONS
Increase and decrease in the Funds' investment in their Portfolios for the
period ended June 30, 1996, were as follows:
INCREASE DECREASE
CitiSelect Folio 200 .... $15,255,235 $0
CitiSelect Folio 300 .... 34,619,704 0
CitiSelect Folio 400 .... 48,435,672 0
(5) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number
of full and fractional shares of beneficial interest (without par value).
Transactions in shares of beneficial interest were as follows:
CITISELECT FOLIO 200
- -------------------------
Share sold ........................ 1,895,637
Shares reinvested ................. 0
Shares repurchased ............... (47,258)
---------
Net increase ...................... 1,848,379
---------
CITISELECT FOLIO 300
- -------------------------
Share sold ....................... 4,044,315
Shares reinvested ................. 0
Shares repurchased ................ (12,499)
---------
Net increase ...................... 4,031,816
---------
CITISELECT FOLIO 400
- --------------------------
Share sold ........................ 5,959,667
Shares reinvested ................. 0
Shares repurchased ................ (15,154)
---------
Net increase ..................... 5,944,513
---------
(6) ASSUMPTION OF EXPENSES
LFBDS has voluntarily agreed to pay a portion of the unwaived expenses for
the period June 17, 1996 (commencement of operations) to June 30, 1996. The
amounts are as follows:
CitiSelect Folio 200 $5,965
CitiSelect Folio 300 $4,968
CitiSelect Folio 400 $2,343
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.2%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Praxair ................................ 800 $ 33,800
Sigma Aldrich .......................... 700 37,425
----------
71,225
----------
CAPITAL GOODS - 0.7%
Fluor Corp. ............................ 500 32,688
Emerson Electric Co. ................... 400 36,150
General Electric Co. ................... 400 34,600
----------
103,438
----------
CONSUMER BASICS - 2.3%
Cardinal Health Inc. ................... 500 36,063
Coca Cola Co. .......................... 700 34,213
Colgate Palmolive Co. .................. 400 33,900
Gillette Co. ........................... 600 37,406
Hannaford Brothers Co. ................. 700 22,838
Health Management Association* ......... 1,100 22,343
Johnson & Johnson ...................... 700 34,650
Manor Care Inc. ........................ 900 35,468
Pfizer Inc. ............................ 200 14,275
Procter & Gamble Co. ................... 400 36,250
Schering Plough Corp. .................. 300 18,825
Sysco Corp. ............................ 1,000 34,256
----------
360,487
----------
CONSUMER DURABLE GOODS - 0.3%
Federal Signal Corp. ................... 1,400 32,900
Harley Davidson Inc. ................... 500 20,563
----------
53,463
----------
CONSUMER NON-DURABLES - 1.1%
Autozone Inc.* ......................... 700 24,368
Home Depot Inc. ........................ 600 32,400
Kohls Corp. ............................ 700 25,568
Mattel Inc. ............................ 1,200 34,350
Nine West Group Inc.* .................. 700 35,788
Schein, Henry Inc.* .................... 300 11,475
----------
163,949
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. ......................... 1,200 34,655
----------
FINANCE - 0.5%
First Union Corp. ...................... 600 36,569
State Street Boston Corp. .............. 700 35,743
----------
72,312
----------
GENERAL BUSINESS - 0.7%
First Data Corp. ....................... 400 31,850
Interpublic Group Cos Inc. ............. 700 32,813
Sun Guard Data Systems* ................ 500 19,875
Viking Office Products Inc.* ........... 700 21,963
----------
106,501
----------
MISCELLANEOUS - 0.2%
Electronic Data Systems Corp. .......... 600 32,249
----------
TECHNOLOGY - 0.6%
Affiliated Computer Services Inc.* ..... 100 4,700
Andrew Corp.* .......................... 400 21,500
Cisco Systems Inc.* .................... 400 22,650
Oracle Systems Corp.* .................. 600 23,663
Parametric Technology Corp.* ........... 500 21,688
----------
94,201
----------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* 700 22,749
----------
UTILITIES - 0.2%
GTE Corp. .............................. 800 35,818
----------
TOTAL COMMON STOCK ..................... 1,151,047
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.7%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 253,239
----------
TOTAL LARGE CAP GROWTH ................. 1,404,286
----------
LARGE CAP VALUE--10.0%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 8.2%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.0%
Bowater Inc. ........................... 300 11,318
Cabot Corp. ............................ 200 5,006
Cyprus Amax Minerals Co. ............... 300 6,906
Dexter Corp. ........................... 300 8,943
Du Pont E.I. De Nemours & Co. .......... 200 15,894
FMC Corp.* ............................. 300 19,606
IMC Global Inc. ........................ 300 11,288
Mallinckrodt Group Inc. ................ 400 15,556
Potash Corp. Sask Inc. ................. 200 13,306
Premark International Inc. ............. 300 5,550
Reynolds Metal Co. ..................... 200 10,456
Rhone Poulnec S A ...................... 400 10,606
Wellman Inc. ........................... 500 11,694
----------
146,129
----------
CAPITAL GOODS - 0.9%
Caterpillar Inc. ....................... 100 6,775
Cummins Engine Inc. .................... 400 16,181
Deere & Co. ............................ 400 15,994
Harnischfeger Industries Inc. .......... 400 13,294
Kennametal Inc. ........................ 300 10,200
Parker Hannifin Corp. .................. 300 12,713
Tecumseh Products Co. .................. 300 16,125
Timken Co. ............................. 200 7,750
Trinova Corp. .......................... 700 23,274
Varity Corp.* .......................... 300 14,438
----------
136,744
----------
CONSUMER BASICS - 1.0%
Archer Daniels Midland Co. ............. 600 11,531
Bergen Brunswig Corp. .................. 500 13,962
Bristol Meyers Squibb Co. .............. 100 9,000
Foundation Health Corp.* ............... 500 17,925
Horizon CMS Healthcare Corp.* .......... 300 3,863
IBP Inc. ............................... 500 13,794
Maxicare Health Plans Inc.* ............ 300 5,663
Philip Morris Cos. Inc. ................ 300 31,200
RJR Nabisco Holdings Corp. ............. 300 9,443
Tenet Healthcare Corp.* ................ 400 8,506
Tupperware Corp.* ...................... 300 12,675
Universal Foods Corp. .................. 200 7,206
----------
144,768
----------
CONSUMER DURABLE GOODS - 0.3%
Eaton Corp. ............................ 300 17,481
General Motors Corp. ................... 300 15,756
Goodyear Tire and Rubber ............... 400 19,287
----------
52,524
----------
CONSUMER NON-DURABLES - 0.3%
Anheuser Busch Cos. Inc. ............... 100 7,500
Dillard Dept. Stores Inc. .............. 300 10,919
Reebok International Ltd. .............. 300 10,088
Springs Industries Inc. ................ 200 9,831
V F Corp. .............................. 200 11,919
----------
50,257
----------
CONSUMER SERVICES - 0.2%
AMR Corp. Del. * ....................... 300 27,344
UAL Corp.* ............................. 100 5,356
----------
32,700
----------
ENERGY - 0.6%
Amoco Corp. ............................ 100 7,238
Atlantic Richfield Co. ................. 100 11,850
British Petroleum PLC .................. 200 21,375
Mapco Inc. ............................. 200 11,369
Panenergy Corp. ........................ 100 3,306
Tenneco Inc. ........................... 200 10,225
Ultramar Corp. ......................... 400 11,631
YPF Sociedad Anonima ................... 300 6,750
----------
83,744
----------
FINANCE - 1.8%
Ace Ltd. ............................... 300 14,131
Allstate Corp. ......................... 300 13,706
American General Corp. ................. 300 11,018
American RE Corp. ...................... 200 8,975
Bank of Boston Corp. ................... 300 14,831
Bank of New York Inc. .................. 200 10,250
Capital One Financial Corp. ............ 300 8,550
Chase Manhattan Corp. .................. 200 14,125
Crestar Financial Corp. ................ 100 5,338
Dean Witter Discover & Co. ............. 200 11,431
Federal Home Loan Mortgage Corp. ....... 100 8,550
Federal National Mortgage Association .. 400 13,456
First Chicago NBD Corp. ................ 200 7,825
First Union Corp. ...................... 200 12,219
Great Western Financial Corp. .......... 600 14,369
ITT Hartford Group Inc. ................ 200 10,650
Old Republic Intl Corp. ................ 400 8,600
Providian Corp. ........................ 400 17,150
Reliastar Financial Corp. .............. 200 8,625
Republic NY Corp. ...................... 200 12,531
Salomon Inc. ........................... 200 8,800
Signet Banking Corp. ................... 300 6,975
Standard Federal Bancorporation ........ 100 3,850
St. Paul Cos Inc. ...................... 200 10,681
Transatlantic Holdings Inc. ............ 200 13,919
----------
270,555
----------
GENERAL BUSINESS - 0.1%
PHH Corp. .............................. 300 17,100
Standard Register ...................... 100 2,463
----------
19,563
----------
MISCELLANEOUS - 0.1%
Textron Inc. ........................... 200 15,974
----------
TECHNOLOGY - 1.2%
Beckman Industries Inc. ................ 500 18,862
Compaq Computer Corp.* ................. 400 19,731
International Business Machines ........ 300 29,700
LAM Research Corp.* .................... 300 7,800
National Semiconductor Corp.* .......... 1,100 17,050
Raytheon Co. ........................... 300 15,488
Seagate Technology* .................... 600 27,012
Tandy Corp. ............................ 200 9,456
Tektronix Inc. ......................... 400 17,869
TRW Inc. ............................... 200 18,119
Western Digital Corp.* ................. 200 5,225
----------
186,312
----------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe ........... 200 16,194
CSX Corp. .............................. 200 9,650
Ryder Sys. Inc. ........................ 400 11,256
----------
37,100
----------
UTILITIES - 0.5%
Central ME Power Co. ................... 500 6,819
DTE Energy Co. ......................... 200 6,131
El Paso Natural Gas Co. ................ 200 7,669
Entergy Corp. .......................... 400 11,287
General Public Utilities Corp. ......... 300 10,481
Peco Energy Co. ........................ 500 12,987
Sprint Corp. ........................... 300 12,569
Unicom Corp. ........................... 400 11,137
----------
79,080
----------
TOTAL COMMON STOCKS .................... 1,255,450
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.8%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 277,281
----------
TOTAL LARGE CAP VALUE .................. 1,532,731
----------
SMALL CAP GROWTH--9.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 6.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Carbide/Graphite Group Inc.* ........... 1,300 24,375
Intertape Polymer Group Inc. ........... 1,200 24,300
----------
48,675
----------
CAPITAL GOODS - 0.3%
Blount International Inc. .............. 750 23,625
Hardinge Bros. Inc. .................... 750 23,813
----------
47,438
----------
CONSUMER BASICS - 1.2%
American Homepatient Inc.* ............. 550 24,338
Cytyc Corp.* ........................... 1,000 25,875
ESC Medical Systems Ltd.* .............. 550 15,538
Interneuron Pharmaceuticals* ........... 800 24,000
NCS Healthcare Inc.* ................... 750 22,688
Performance Food Group Co.* ............ 950 24,700
Sunrise Assisted Living Inc.* .......... 1,000 24,000
Vivus* ................................. 900 29,475
----------
190,614
----------
CONSUMER DURABLE GOODS - 0.2%
American Homestar Corp.* ............... 900 23,399
----------
CONSUMER NON-DURABLES - 0.3%
Mens Wearhouse Inc.* ................... 750 24,188
Petes Brewing Co.* ..................... 1,600 24,000
----------
48,188
----------
CONSUMER SERVICES - 0.3%
Ballys Grand Inc.* ..................... 550 23,375
Regal Cinemas Inc.* .................... 550 25,163
----------
48,538
----------
ENERGY - 0.5%
Giant Industries ....................... 1,700 24,650
KCS Energy Inc. ........................ 850 24,438
Lomak Pete Inc. ........................ 1,750 24,938
----------
74,026
----------
FINANCE - 0.2%
Olympic Financial Ltd.* ................ 1,150 26,449
----------
GENERAL BUSINESS - 0.5%
Atlantic Tele Network Inc.* ............ 1,000 24,000
Heftel Broadcasting Corp.* ............. 850 25,181
State of the Art Inc.* ................. 1,400 25,900
----------
75,081
----------
MISCELLANEOUS - 1.2%
Eclipse Surgical Technologies * ........ 1,700 23,375
Forensic Technologies Intl. Corp.* ..... 2,700 24,975
Gadzooks Inc.* ......................... 800 25,800
Imagyn Medical Inc.* ................... 2,150 23,650
Meadowbrook Insurance Group Inc. ....... 600 18,450
Polycom Inc.* .......................... 3,450 24,150
Sirrom Cap Corp. ....................... 900 24,575
Suburban Lodges America Inc.* .......... 1,100 25,438
----------
190,413
----------
TECHNOLOGY - 1.3%
Activision Inc.* ....................... 1,800 23,400
Affiliated Computer Services Inc.* ..... 500 23,500
Casino Data Systems* ................... 1,650 24,956
Dupont Photomasks Inc.* ................ 1,250 25,625
Logal Educational Software Systems ..... 900 5,963
Insignia Solutions PLC* ................ 2,950 25,075
Network General Corp.* ................. 1,000 21,500
Phoenix Technology Ltd.* ............... 1,550 25,964
Silicon Valley Research Inc.* .......... 3,900 22,914
----------
198,897
----------
TRANSPORTATION - 0.2%
Eagle USA Airfreight Inc.* ............. 700 25,900
----------
UTILITIES - 0.1%
Petersburg Long Distance Inc.* ......... 1,600 13,149
----------
TOTAL COMMON STOCKS .................... 1,010,767
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 2.6%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 392,715
----------
TOTAL SMALL CAP GROWTH ................. 1,403,482
----------
SMALL CAP VALUE--11.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 5.9%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Castech Aluminum Group Inc.* ........... 1,900 28,141
Oil Dri Corp. America .................. 2,200 32,386
----------
60,527
----------
CAPITAL GOODS - 0.4%
Esco Electronics Corp. ................. 3,600 41,030
United Industrial Corp. ................ 3,900 22,672
----------
63,702
----------
CONSUMER BASICS - 0.8%
Health Images Inc. ..................... 1,100 12,788
Medex Inc. ............................. 700 9,058
Nash Finch Co. ......................... 1,100 17,600
RLI Corp. .............................. 2,000 48,620
Schultz Sav O Stores Inc. .............. 300 3,750
Super Food Services Inc. ............... 3,700 35,161
----------
126,977
----------
CONSUMER DURABLE GOODS - 0.4%
Flexsteel Industries Inc. .............. 1,300 15,275
Oshkosh Truck Corp. .................... 2,800 39,550
----------
54,825
----------
CONSUMER NON-DURABLES - 0.1%
Syms Corp.* ............................ 2,700 19,879
----------
FINANCE - 1.2%
American National Insurance Co. ........ 300 19,500
Bankatlantic Bancorp Inc. .............. 1,200 16,657
Downey Financial Corp. ................. 1,100 24,063
Financial Securities Assur Holdings
Ltd .................................. 2,100 57,580
GA Financial Inc.* ..................... 4,400 48,196
Presidential Life Corp. ................ 1,600 16,488
----------
182,484
----------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .............. 3,600 40,949
----------
MISCELLANEOUS - 0.1%
Bank Plus Corp.* ....................... 2,500 21,875
Haskel International Inc. .............. 300 2,250
----------
24,125
----------
SHELTER - 0.8%
Beazer Homes USA Inc.* ................. 2,100 33,567
Ryland Group Inc.* ..................... 1,800 26,935
US Homes Corp.* ........................ 2,400 59,175
----------
119,677
----------
TECHNOLOGY - 1.0%
Adobe Systems Inc. ..................... 700 25,112
Analysis & Technology Inc. ............. 800 11,000
Advanced Logic Research Inc.* .......... 2,300 19,263
Cray Research Inc.* .................... 2,400 57,947
Symantec Corp.* ........................ 1,600 20,000
Quantum Corp.* ......................... 1,600 23,400
----------
156,722
----------
UTILITIES - 0.4%
Niagara Mohawk Power Corp.* ............ 7,700 59,831
----------
TOTAL COMMON STOCKS .................... 909,698
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 5.3%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 813,251
----------
Total Small Cap Value .................. 1,722,949
----------
INTERNATIONAL EQUITY--7.2%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 4.2%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ........................ 115 $ 8,916
----------
AUSTRALIA - 0.2%
Australia & New Zealand Bank Group 3,300 15,660
Gio Australia Holdings ................. 3,300 8,117
----------
23,777
----------
BELGIUM - 0.1%
GPE Bruxelles Lam ...................... 60 7,590
----------
CANADIAN - 0.2%
Bank N S Halifax ....................... 400 9,727
Canadian Imperial Bank Toronto ......... 300 9,679
Imasco Ltd. ............................ 700 14,267
----------
33,673
----------
FINLAND - 0.1%
UPM Kymmene Oy ......................... 850 17,649
----------
FRANCE - 0.2%
Elf Aquitaine .......................... 185 13,629
Lafarge ................................ 255 15,508
Usinor Sacilor ......................... 600 8,661
----------
37,798
----------
GERMANY - 0.2%
Bayer AG ............................... 390 13,788
Buderus AG ............................. 33 14,017
----------
27,805
----------
GREAT BRITAIN - 0.7%
Argyll Group ........................... 2,250 12,160
Bat Industries ......................... 2,200 17,140
British Gas ............................ 4,850 13,559
Commercial Union ....................... 1,150 10,391
Hanson ................................. 3,800 10,655
Hillsdown Holdings ..................... 3,700 9,966
Hyder .................................. 875 9,696
National Westminster ................... 1,400 13,368
Powergen ............................... 1,800 13,139
----------
110,074
----------
HONG KONG - 0.3%
Hang Lung Development Co. .............. 6,000 11,312
Hong Kong Telecomm ..................... 6,400 11,530
HSBC Holdings .......................... 1,200 18,152
New World Development Co. .............. 2,000 9,276
South China Morn Post .................. 10,000 6,847
----------
57,117
----------
IRELAND - 0.1%
Smurfit ................................ 4,500 12,140
----------
ITALY - 0.1%
Danieli & C ............................ 2,000 6,847
----------
JAPAN - 0.5%
Daiwa House Inds ....................... 1,000 15,544
Hokushin Co. ........................... 700 8,961
Nichicon Corp. ......................... 1,000 14,538
Nintendo Co. ........................... 100 7,526
Nippon Fire & Marine ................... 2,000 13,112
Sekisui Chemical ....................... 1,000 12,253
Sony Corp. ............................. 200 13,230
----------
85,164
----------
MALAYSIA - 0.1%
Arab Malaysian Finance ................. 2,000 8,790
Malaysian International Shipping ....... 4,000 12,457
----------
21,247
----------
NETHERLANDS - 0.4%
Akzo Nobel NV .......................... 120 14,405
Fortis Amev NV ......................... 240 6,855
Hollandsche Beton ...................... 65 12,463
Ing Groep NV ........................... 250 7,461
Kon PTT Nederland ...................... 425 16,088
----------
57,272
----------
NEW ZEALAND - 0.1%
Fletcher Challenge (Building) .......... 3,500 6,863
Fletcher Challenge (Energy) ............ 2,100 4,681
Fletcher Challenge (Paper) ............. 1,300 2,522
----------
14,066
----------
NORWAY - 0.1%
Kvaerner ASA ........................... 240 10,152
Nycomed ................................ 400 5,548
----------
15,700
----------
SPAIN - 0.1%
Banco Santander SA ..................... 310 14,501
----------
SWEDEN - 0.5%
Marieberg Tidnings ..................... 500 12,521
Sarna Kunst Holdings ................... 10 10,557
Schw Ruckversicher ..................... 20 20,524
Sig Schw Ind HG AG ..................... 15 35,514
----------
79,116
----------
UNITED STATES - 0.1%
Jardine Matheson ....................... 1,800 13,229
----------
TOTAL COMMON STOCKS .................... 643,681
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 3.0%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 467,233
----------
TOTAL INTERNATIONAL EQUITY ............. 1,110,914
----------
U.S. FIXED INCOME--26.3%
- --------------------------------------------------------------------------------
FIXED INCOME--24.9%
- --------------------------------------------------------------------------------
Principal
Amount
- --------------------------------------------------------------------------------
MORTGAGE BACKED - 6.0%
Federal National Mortgage
Associations
7.00% due 1/01/99 .................... $ 40,000 39,931
7.00% due 7/01/03 .................... 325,000 323,984
8.00% due 5/01/26 .................... 35,238 35,502
8.00% due 6/01/26 .................... 509,263 513,082
----------
912,499
----------
U. S. TREASURY ISSUES - 18.9%
United States Treasury Bond
6.875% due 8/15/25 ................... 440,000 435,529
6.00% due 5/31/98 .................... 615,000 613,653
6.375% due 5/15/99 ................... 590,000 591,292
6.50% due 5/31/01 .................... 660,000 660,310
6.875% due 5/15/06 ................... 580,000 586,432
----------
2,887,216
----------
TOTAL FIXED INCOME ..................... 3,799,715
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+) -- 1.4%
- --------------------------------------------------------------------------------
United States Treasury Bills due 7/5/96 220,754
----------
TOTAL U.S. FIXED INCOME ................ 4,020,469
----------
INTERNATIONAL BOND--28.7%
- --------------------------------------------------------------------------------
FIXED INCOME -- 15.6%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ................ ATS 140,000 $ 13,955
---------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 .................. AUD 160,000 119,954
---------
BELGIUM - 0.4%
Belgium (Kingdom)
9.00% due 3/28/03 .................. BF 1,900,000 69,847
---------
CANADA - 1.8%
Canadian Government
9.00% due 12/01/04 ................. CAD 350,000 279,265
---------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 .................. DKK 220,000 39,749
---------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 ................. FRF 620,000 131,204
---------
GERMANY - 2.6%
Germany (Fed) Unity
6.875% due 6/11/03 ................. DEM 200,000 147,425
Treuhandanstalt
7.75% due 10/25/05 ................. DEM 380,000 258,765
---------
406,190
---------
GREAT BRITAIN - 2.8%
Treasury
6.00% due 8/10/99 .................. GBP 280,000 424,115
---------
ITALY - 1.2%
Republic of Italy
9.187% due 9/01/05 ................. ITL 255,000,000 179,561
---------
NEW ZEALAND - 2.4%
New Zealand Government
10.00% due 7/15/97 ................. NZD 490,000 338,850
New Zealand Government
10.00% due 3/15/02 ................. NZD 50,000 35,946
---------
374,796
---------
SPAIN - 1.1%
Government of Spain
10.90% due 8/30/03 ................. ESP 19,900,000 174,013
---------
SWEDEN - 1.2%
Sweden (Kingdom)
11.00% due 1/21/99 ................. SEK 1,100,000 182,815
---------
TOTAL FIXED INCOME ................... 2,395,464
---------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 11.6%
- --------------------------------------------------------------------------------
United States Treasury Bills (+)
due 7/5/96 .................................. 169,355
Federal Home Loan Mortgage
5.30% due 7/03/96 ........................... 799,764
5.30% due 7/15/96 ........................... 808,330
----------
TOTAL SHORT-TERM OBLIGATIONS .................. 1,777,449
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS -- 1.5%
- --------------------------------------------------------------------------------
Purchase calls 70,500,000 Japanese
Government Bonds exp. date 8/05/96 .......... 69,136
2,600,000 Netherland Guilder
Government Bonds exp. date 7/29/96 .......... 155,040
----------
TOTAL INTERNATIONAL BOND OPTIONS .............. 224,176
----------
TOTAL INTERNATIONAL BOND ..................... 4,397,089
----------
SHORT-TERM--19.9%
United States Treasury Bills (+)
due 7/5/96 .................................. 3,051,598
----------
TOTAL INVESTMENTS
(Identified Cost $18,597,597) ................. 121.7% 18,643,518
OTHER ASSETS,
LESS LIABILITIES (21.7) (3,328,097)
---- ----------
Net Assets 100.0% $15,315,421
==== ===========
* Non income producing
(+) The Portfolio owns in aggregate $5,648,000 in U.S. Treasury Bills due
7/5/96, value at $5,645,426 portions of which are listed separately by each
Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED) (continued)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--12.4%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Praxair .................................... 2,600 $ 109,637
Sigma Aldrich .............................. 2,000 106,950
------------
216,587
------------
CAPITAL GOODS - 0.9%
Fluor Corp. ................................ 1,600 104,656
Emerson Electric Co. ....................... 1,200 108,419
General Electric Co. ....................... 1,200 103,893
------------
316,968
------------
CONSUMER BASICS - 3.0%
Cardinal Health Inc. ....................... 1,400 101,056
Coca Cola Co. .............................. 2,100 102,668
Colgate Palmolive Co. ...................... 1,200 101,718
Gillette Co. ............................... 1,700 105,999
Hannaford Brothers Co. ..................... 2,100 68,468
Health Management Association* ............. 3,300 67,099
Johnson & Johnson .......................... 2,100 103,987
Manor Care Inc. ............................ 2,600 102,436
Pfizer Inc. ................................ 700 49,963
Procter & Gamble Co. ....................... 1,100 99,831
Schering Plough Corp. ...................... 800 50,200
Sysco Corp. ................................ 3,000 102,762
------------
1,056,187
------------
CONSUMER DURABLE GOODS - 0.5%
Federal Signal Corp. ....................... 4,400 103,525
Harley Davidson Inc. ....................... 1,600 65,969
------------
169,494
------------
CONSUMER NON-DURABLES - 1.4%
Autozone Inc.* ............................. 2,000 69,587
Home Depot Inc. ............................ 1,900 102,618
Kohls Corp. ................................ 2,000 73,111
Mattel Inc. ................................ 3,600 103,087
Nine West Group Inc.* ...................... 2,100 107,124
Schein, Henry Inc.* ........................ 1,000 38,150
------------
493,677
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ............................. 3,700 106,855
------------
FINANCE - 0.6%
First Union Corp. .......................... 1,700 103,531
State Street Boston Corp. .................. 2,000 102,087
------------
205,618
------------
GENERAL BUSINESS - 1.0%
First Data Corp. ........................... 1,300 103,556
Interpublic Group Cos Inc. ................. 2,200 103,143
Sun Guard Data Systems* .................... 1,400 55,994
Viking Office Products Inc.* ............... 2,300 72,256
------------
334,949
------------
MISCELLANEOUS - 0.3%
Electronic Data Systems Corp. .............. 1,900 102,256
------------
TECHNOLOGY - 0.9%
Affiliated Computer Services Inc.* ......... 400 18,800
Andrew Corp.* .............................. 1,300 70,025
Cisco Systems Inc.* ........................ 1,300 73,643
Oracle Systems Corp.* ...................... 1,800 71,087
Parametric Technology Corp.* ............... 1,600 69,544
------------
303,099
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* .... 2,200 71,500
------------
UTILITIES - 0.3%
GTE Corp. .................................. 2,300 102,943
------------
TOTAL COMMON STOCKS .......................................... 3,480,133
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.4%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 581,887
due 7/11/96 ................................................ 256,063
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 837,950
------------
TOTAL LARGE CAP GROWTH ....................................... 4,318,083
------------
LARGE CAP VALUE--13.1%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.5%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.2%
Bowater Inc. ............................... 700 26,368
Cabot Corp. ................................ 600 14,806
Cyprus Amax Minerals Co. ................... 1,000 22,862
Dexter Corp. ............................... 800 23,819
Du Pont E. De Nemours & Co. ................ 700 55,524
FMC Corp.* ................................. 700 45,706
IMC Global Inc. ............................ 800 30,187
Mallinckrodt Group Inc. .................... 1,200 46,662
Potash Corp. Sask Inc. ..................... 500 33,181
Premark International Inc. ................. 900 16,562
Reynolds Metal Co. ......................... 600 31,306
Rhone Poulnec SA ........................... 1,100 29,162
Wellman Inc. ............................... 1,300 30,398
------------
406,543
------------
CAPITAL GOODS - 1.1%
Caterpillar Inc. ........................... 400 27,069
Cummins Engine Inc. ........................ 1,100 44,476
Deere & Co. ................................ 1,100 43,987
Harnischfeger Industries Inc. .............. 1,200 39,880
Kennametal Inc. ............................ 800 27,181
Parker Hannifin Corp. ...................... 900 38,075
Tecumseh Products Co. ...................... 800 43,168
Timken Co. ................................. 700 27,106
Trinova Corp. .............................. 2,000 66,574
Varity Corp.* .............................. 900 43,268
------------
400,784
------------
CONSUMER BASICS - 1.2%
Archer Daniels Midland Co. ................. 1,800 34,499
Bergen Brunswig Corp. ...................... 1,500 41,756
Bristol Meyers Squibb Co. .................. 300 26,918
Foundation Health Corp.* ................... 1,400 50,212
Horizon CMS Healthcare Corp.* .............. 800 10,294
IBP Inc. ................................... 1,500 41,361
Maxicare Health Plans Inc.* ................ 1,000 18,931
Philip Morris Cos. Inc. .................... 700 72,969
RJR Nabisco Holdings Corp. ................. 1,000 31,287
Tenet Healthcare Corp.* .................... 1,200 25,563
Tupperware Corp.* .......................... 1,000 42,156
Universal Foods Corp. ...................... 400 14,582
------------
410,528
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp. ................................ 800 46,687
General Motors Corp. ....................... 1,000 52,462
Goodyear Tire and Rubber ................... 1,100 53,062
------------
152,211
------------
CONSUMER NON-DURABLES - 0.5%
Anheuser Busch Cos. Inc. ................... 400 29,987
Dillard Dept. Stores Inc. .................. 1,000 36,437
Reebok International Ltd. .................. 900 30,074
Springs Industries Inc. .................... 500 24,981
V F Corp. .................................. 700 41,724
------------
163,203
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del.* ............................ 700 63,787
UAL Corp.* ................................. 200 10,712
------------
74,499
------------
ENERGY - 0.8%
Amoco Corp. ................................ 400 28,831
Atlantic Richfield Co. ..................... 400 47,469
British Petroleum PLC ...................... 600 64,143
Mapco Inc. ................................. 700 39,556
Panenergy Corp. ............................ 200 6,575
Tenneco Inc. ............................... 700 35,806
Ultramar Corp. ............................. 1,000 29,062
YPF Sociedad Anonima ....................... 900 20,337
------------
271,779
------------
FINANCE - 2.2%
Ace Ltd. ................................... 700 32,900
Allstate Corp. ............................. 900 41,098
American General Corp. ..................... 900 32,948
American RE Corp. .......................... 700 31,468
Bank of Boston Corp. ....................... 700 34,631
Bank of New York Inc. ...................... 600 30,787
Capital One Financial Corp. ................ 1,000 28,562
Chase Manhattan Corp. ...................... 600 42,406
Crestar Financial Corp. .................... 300 16,068
Dean Witter Discover & Co. ................. 500 28,606
Federal Home Loan Mortgage Corp. ........... 300 25,656
Federal National Mortgage Association ...... 1,100 36,962
First Chicago NBD Corp. .................... 700 27,450
First Union Corp. .......................... 500 30,481
Great Western Financial Corp. .............. 1,700 40,718
ITT Hartford Group Inc. .................... 600 31,931
Old Republic Intl Corp. .................... 1,300 28,080
Providian Corp. ............................ 1,300 55,674
Reliastar Financial Corp. .................. 600 25,968
Republic NY Corp. .......................... 500 31,206
Salomon Inc. ............................... 600 26,393
Signet Banking Corp. ....................... 1,000 23,337
Standard Federal Bancorporation ............ 300 11,550
St. Paul Cos Inc. .......................... 400 21,381
Transatlantic Holdings Inc. ................ 400 28,050
------------
764,311
------------
GENERAL BUSINESS - 0.2%
PHH Corp. .................................. 900 51,112
Standard Register .......................... 600 14,687
------------
65,799
------------
MISCELLANEOUS - 0.2%
Textron Inc. ............................... 700 55,883
------------
TECHNOLOGY - 1.5%
Beckman Industries Inc. .................... 1,400 52,993
Compaq Computer Corp.* ..................... 1,300 64,087
International Business Machines ............ 800 79,337
LAM Research Corp.* ........................ 900 23,400
National Semiconductor Corp.* .............. 3,200 49,600
Raytheon Co. ............................... 800 41,162
Seagate Technology* ........................ 1,700 76,524
Tandy Corp. ................................ 500 23,669
Tektronix Inc. ............................. 1,100 49,163
TRW Inc. ................................... 500 45,081
Western Digital Corp.* ..................... 800 20,900
------------
525,916
------------
TRANSPORTATION - 0.3%
Burlington Northern Santa Fe ............... 500 40,456
CSX Corp. .................................. 700 33,762
Ryder Sys. Inc. ............................ 1,000 28,136
------------
102,354
------------
UTILITIES - 0.7%
Central ME Power Co. ....................... 1,400 19,580
DTE Energy Co. ............................. 700 21,480
El Paso Natural Gas Co. .................... 700 26,919
Entergy Corp. .............................. 1,100 31,118
General Public Utilities Corp. ............. 900 31,537
Peco Energy Co. ............................ 1,300 33,768
Sprint Corp. ............................... 900 37,707
Unicom Corp. ............................... 1,100 30,636
------------
232,745
------------
TOTAL COMMON STOCKS .......................................... 3,626,555
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.6%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 635,342
due 7/11/96 ................................................ 279,587
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 914,929
------------
TOTAL LARGE CAP VALUE ........................................ 4,541,484
------------
SMALL CAP GROWTH--11.3%
- -------------------------------------------------------------------------------
COMMON STOCKS--8.5%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Carbide/Graphite Group Inc.* ............... 3,800 71,250
Intertape Polymer Group Inc. ............... 3,400 68,850
------------
140,100
------------
CAPITAL GOODS - 0.4%
Blount International Inc. .................. 2,200 69,300
Hardinge Bros. Inc. ........................ 2,200 69,850
------------
139,150
------------
CONSUMER BASICS - 1.6%
American Homepatient Inc.* ................. 1,550 68,588
Cytyc Corp.* ............................... 2,900 75,039
ESC Medical Systems Ltd.* .................. 1,750 49,439
Interneuron Pharmaceuticals* ............... 2,200 66,000
NCS Healthcare Inc.* ....................... 2,400 72,600
Performance Food Group Co.* ................ 2,800 72,800
Sunrise Assisted Living Inc.* .............. 2,950 70,800
Vivus* ..................................... 2,650 86,788
------------
562,054
------------
CONSUMER DURABLE GOODS - 0.2%
American Homestar Corp.* ................... 2,650 68,900
------------
CONSUMER NON-DURABLES - 0.5%
Mens Wearhouse Inc.* ....................... 2,500 80,625
Petes Brewing Co.* ......................... 4,600 69,000
------------
149,625
------------
CONSUMER SERVICES - 0.4%
Ballys Grand Inc.* ......................... 1,600 68,000
Regal Cinemas Inc.* ........................ 1,550 70,913
------------
138,913
------------
ENERGY - 0.6%
Giant Industries ........................... 5,050 73,225
KCS Energy Inc. ............................ 2,450 70,438
Lomak Pete Inc. ............................ 5,150 73,389
------------
217,052
------------
FINANCE - 0.2%
Olympic Financial Ltd.* .................... 3,350 77,050
------------
GENERAL BUSINESS - 0.6%
Atlantic Tele Network Inc.* ................ 2,900 69,600
Heftel Broadcasting Corp.* ................. 2,500 74,063
State of the Art Inc.* ..................... 4,100 75,850
------------
219,513
------------
MISCELLANEOUS - 1.6%
Eclipse Surgical Technologies* ............. 4,700 64,625
Forensic Technologies Intl. Corp.* ......... 7,900 73,075
Gadzooks Inc.* ............................. 2,300 74,175
Imagyn Medical Inc.* ....................... 6,300 69,300
Meadowbrook Insurance Group Inc* ........... 1,800 55,350
Polycom Inc.* .............................. 10,050 70,350
Sirrom Cap Corp. ........................... 3,200 70,925
Suburban Lodges America Inc.* .............. 3,200 74,000
------------
551,800
------------
TECHNOLOGY - 1.7%
Activision Inc.* ........................... 5,350 69,550
Affiliated Computer Services Inc.* ......... 1,500 70,500
Casino Data Systems* ....................... 4,800 72,600
Dupont Photomasks Inc.* .................... 3,550 72,775
Logal Educational Software Systems ......... 2,800 18,550
Insignia Solutions PLC* .................... 8,500 72,250
Network General Corp.* ..................... 2,900 62,350
Phoenix Technology Ltd.* ................... 4,450 74,538
Silicon Valley Research Inc.* .............. 11,300 66,387
------------
579,500
------------
TRANSPORTATION - 0.2%
Eagle USA Airfreight Inc.* ................. 1,850 68,450
------------
UTILITIES - 0.1%
Petersburg Long Distance Inc.* ............. 4,800 39,424
------------
TOTAL COMMON STOCKS .......................................... 2,951,531
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--2.8%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 683,571
due 7/11/96 ................................................ 300,810
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 984,381
------------
TOTAL SMALL CAP GROWTH ....................................... 3,935,912
------------
SMALL CAP VALUE--14.7%
- -------------------------------------------------------------------------------
COMMON STOCKS--7.7%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Castech Aluminum Group Inc.* ............... 5,800 85,859
Oil Dri Corp. America ...................... 6,600 97,384
------------
183,243
------------
CAPITAL GOODS - 0.6%
Esco Electronics Corp. ..................... 10,500 119,642
United Industrial Corp. .................... 12,000 73,525
------------
193,167
------------
CONSUMER BASICS - 1.0%
Health Images Inc. ......................... 3,200 37,200
Medex Inc. ................................. 2,000 25,864
Nash Finch Co. ............................. 3,000 48,000
RLI Corp. .................................. 5,900 143,487
Schultz Sav O Stores Inc. .................. 800 10,000
Super Food Services Inc. ................... 9,500 90,261
------------
354,812
------------
CONSUMER DURABLE GOODS - 0.5%
Flexsteel Industries Inc. .................. 4,100 48,175
Oshkosh Truck Corp. ........................ 8,400 118,650
------------
166,825
------------
CONSUMER NON-DURABLES - 0.2%
Syms Corp.* ................................ 8,600 63,360
------------
FINANCE - 1.5%
American National Insurance Co. ............ 500 32,500
Bankatlantic Bancorp Inc. .................. 3,600 49,971
Downey Financial Corp. ..................... 3,500 76,563
Financial Securities Assur Holdings Ltd. ... 6,100 167,240
GA Financial Inc.* ......................... 12,800 140,265
Presidential Life Corp. .................... 5,100 52,537
------------
519,076
------------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .................. 10,700 121,713
------------
MISCELLANEOUS - 0.2%
Bank Plus Corp.* ........................... 8,100 70,875
Haskel International Inc. .................. 800 6,000
------------
76,875
------------
SHELTER - 1.0%
Beazer Homes USA Inc.* ..................... 6,100 97,509
Ryland Group Inc.* ......................... 5,500 82,370
US Homes Corp.* ............................ 6,800 167,645
------------
347,524
------------
TECHNOLOGY - 1.4%
Adobe Systems Inc. ......................... 2,500 89,688
Analysis & Technology Inc. ................. 2,600 35,750
Advanced Logic Research Inc.* .............. 7,500 62,813
Cray Research Inc.* ........................ 6,900 166,582
Symantec Corp.* ............................ 5,000 62,500
Quantum Corp.* ............................. 5,200 76,050
------------
493,383
------------
UTILITIES - 0.5%
Niagara Mohawk Power Corp.* ................ 21,800 169,334
------------
TOTAL COMMON STOCKS .......................................... 2,689,312
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--7.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 1,687,412
due 7/11/96 ................................................ 742,557
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 2,429,969
------------
TOTAL SMALL CAP VALUE ........................................ 5,119,281
------------
INTERNATIONAL EQUITY--13.6%
- ------------------------------------------------------------------------------
COMMON STOCKS--8.1%
- ------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ............................ 550 42,646
------------
AUSTRALIA - 0.3%
Australia & New Zealand Bank Group ......... 14,000 66,438
Gio Australia Holdings ..................... 16,200 39,848
------------
106,286
------------
BELGIUM - 0.1%
GPE Bruxelles Lam .......................... 250 31,628
------------
CANADIAN - 0.4%
Bank N S Halifax ........................... 2,200 53,497
Canadian Imperial Bank Toronto ............. 1,400 45,170
Imasco Ltd. ................................ 3,000 61,157
------------
159,824
------------
FINLAND - 0.2%
UPM Kymmene Oy ............................. 3,400 70,586
------------
FRANCE - 0.5%
Elf Aquitaine .............................. 900 66,329
Lafarge .................................... 1,175 71,338
Usinor Sacilor ............................. 2,800 40,419
------------
178,086
------------
GERMANY - 0.4%
Bayer AG ................................... 1,800 63,636
Buderus AG ................................. 155 65,824
------------
129,460
------------
GREAT BRITAIN - 1.4%
Argyll Group ............................... 10,950 59,183
Bat Industries ............................. 9,400 73,221
British Gas ................................ 21,500 60,052
Commercial Union ........................... 5,250 47,428
Hanson ..................................... 17,000 47,659
Hillsdown Holdings ......................... 16,500 44,444
Hyder ...................................... 4,000 44,324
National Westminster ....................... 5,950 56,799
Powergen ................................... 7,600 55,452
------------
488,562
------------
HONG KONG - 0.8%
Hang Lung Development Co. .................. 37,000 69,855
Hong Kong Telecomm ......................... 27,800 50,051
HSBC Holdings .............................. 5,200 78,639
New World Development Co. .................. 9,000 41,740
Sth China Morn Post ........................ 48,000 32,865
------------
273,150
------------
IRELAND - 0.2%
Smurfit .................................... 20,000 53,959
------------
ITALY - 0.1%
Danieli & C ................................ 8,900 30,472
------------
JAPAN - 1.1%
Daiwa House Inds. .......................... 4,000 62,259
Hokushin Co. ............................... 3,500 44,804
Nichicon Corp. ............................. 5,000 72,794
Nintendo Co. ............................... 400 30,102
Nippon Fire & Marine ....................... 10,000 65,558
Sekisui Chemical ........................... 3,000 36,758
Sony Corp. ................................. 5,500 66,150
------------
378,425
------------
MALAYSIA - 0.3%
Arab Malaysian Finance ..................... 13,000 57,157
Malaysian International Shipping ........... 19,000 59,227
------------
116,384
------------
NETHERLANDS - 0.7%
Akzo Nobel NV .............................. 625 75,087
Fortis Amev NV ............................. 1,075 30,717
Hollandsche Beton .......................... 250 47,933
Ing Groep NV ............................... 1,500 44,767
Kon PTT Nederland .......................... 1,725 65,311
------------
263,815
------------
NEW ZEALAND - 0.2%
Fletcher Challenge (Building) .............. 16,200 31,765
Fletcher Challenge (Energy) ................ 10,500 23,405
Fletcher Challenge (Paper) ................. 6,500 12,611
------------
67,781
------------
NORWAY - 0.2%
Kvaerner ASA ............................... 1,160 49,070
Nycomed .................................... 1,900 26,352
------------
75,422
------------
SPAIN - 0.2%
Banco Santander SA ......................... 1,200 56,060
------------
SWEDEN - 0.2%
Marieberg Tidnings ......................... 2,200 55,134
------------
SWITZERLAND - 0.5%
Sarna Kunst Holdings ....................... 45 47,512
Schw Ruckversicher ......................... 75 76,994
Sig Schw Ind HG AG ......................... 30 71,029
------------
195,535
------------
UNITED STATES - 0.2%
Jardine Matheson ........................... 8,000 58,800
------------
TOTAL COMMON STOCKS .......................................... 2,832,015
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS( )--5.5%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 1,324,524
due 7/11/96 ................................................ 582,867
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 1,907,391
------------
TOTAL INTERNATIONAL EQUITY ................................... 4,739,406
------------
U.S. FIXED INCOME--26.7%
- ------------------------------------------------------------------------------
FIXED INCOME--25.0%
- ------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
- ------------------------------------------------------------------------------
MORTGAGE BACKED - 5.2%
Federal National Mortgage Association
7.00% due 7/11/96 .................... $120,000 119,794
Federal National Mortgage Association TBA
7.00% due 7/01/03 ........................ 575,000 573,203
8.00% due 5/01/26 ........................ 719,305 724,095
8.00% due 6/01/26 ........................ 25,000 25,187
8.00% due 6/01/26 ........................ 99,000 99,742
8.00% due 12/01/99 ....................... 246,296 248,143
------------
1,790,164
------------
U. S. Treasury Issues - 19.8%
United States Treasury Bond
6.875% due 8/15/25 ....................... 995,000 984,891
United States Treasury Notes
6.00% due 5/31/98 ....................... 1,525,000 1,521,660
6.375% due 5/15/99 ....................... 1,505,000 1,508,296
6.50% due 5/31/01 ....................... 1,490,000 1,490,700
6.875% due 5/15/06 ....................... 1,345,000 1,359,916
------------
6,865,463
------------
TOTAL FIXED INCOME ........................................... 8,655,627
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.7%
- -------------------------------------------------------------------------------
United States Treasury Bills
due 7/5/96 ................................................. 419,661
due 7/11/96 ................................................ 184,675
------------
604,336
------------
TOTAL U.S. FIXED INCOME ...................................... 9,259,963
------------
INTERNATIONAL BOND--28.5%
- -------------------------------------------------------------------------------
FIXED INCOME--15.6%
- -------------------------------------------------------------------------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 .............. ATS 340,000 33,890
------------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 ................ AUD 360,000 269,897
------------
BEGIUM - 0.5%
Belgium (Kingdom)
9.00% due 3/28/03 ................ BF 4,500,000 165,428
------------
CANADA - 1.7%
Canadian Government
9.00% due 12/01/04 ............... CAD 730,000 582,476
------------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 ................ DKK 550,000 99,373
------------
FRANCE - 0.8%
Government of France
7.75% due 10/25/05 ............... FRF 1,390,000 294,166
------------
GERMANY - 2.6%
Germany (Fed) Unity
6.875% due 6/11/03 ............... DEM 400,000 294,850
Treuhandanstalt 7.75% due 10/25/05 . DEM 800,000 599,245
------------
894,095
------------
GREAT BRITAIN - 2.7%
Treasury 6.00% due 8/10/99 ......... GBP 630,000 954,257
------------
ITALY - 1.2%
Republic of Italy 9.187% due 9/01/05 ITL 585,000,000 411,000
------------
NEW ZEALAND - 2.6%
New Zealand Government
10.00% due 7/15/97 ............... NZD 1,220,000 843,668
10.00% due 3/15/02 ............... NZD 70,000 50,324
------------
893,992
------------
SPAIN - 1.1%
Government of Spain 0.90% due 8/30/03 ESP 44,900,000 392,586
------------
SWEDEN - 1.2%
Sweden (Kingdom) 11.00% due 1/21/99 SEK 2,600,000 432,118
------------
TOTAL FIXED INCOME ........................................... 5,423,278
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.5%
- -------------------------------------------------------------------------------
United States Treasury Bills+
due 7/5/96 ................................................. 465,249
due 7/11/96 ................................................ 204,736
Federal Home Loan Mortgage
5.30% due 7/03/96 .......................................... 2,199,353
5.30% due 7/15/96 .......................................... 1,116,694
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 3,986,032
------------
- -------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--1.4%
- -------------------------------------------------------------------------------
Purchase calls
158,900,000 Japanese Government Bonds exp. date 8/05/96 .... $ 155,826
5,900,000 Netherland Guilder Government Bonds
exp. date 7/29/96 ........................................ 351,821
------------
TOTAL INTERNATIONAL BOND OPTIONS ............................. 507,647
------------
TOTAL INTERNATIONAL BOND ..................................... 9,916,957
------------
SHORT-TERM - 5.0%
United States Treasury Bills
due 7/5/96 ................................................. 1,202,163
due 7/11/96 ................................................ 529,021
------------
TOTAL SHORT-TERM ............................................. 1,731,184
------------
TOTAL INVESTMENTS
(Identified Cost $43,472,531)........................ 125.3% 43,562,270
OTHER ASSETS, LESS LIABILITIES ...................... (25.3) (8,820,315)
----- ------------
NET ASSETS .......................................... 100.0% $ 34,741,955
===== =============
*Non income producing
(+) The Portfolio owns in aggregate $7,003,000 in U.S. Treasury Bills due 7/5/96
value at $6,999,809 and $3,084,000 in U.S. Treasury Bills due 7/11/96 value
at $3,080,316, portions of which are listed separately by each Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
PORTFOLIO OF INVESTMENTS JUNE 30, 1996 (UNAUDITED)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--11.8%
- -------------------------------------------------------------------------------
COMMON STOCKS--10.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Praxair .................................... 3,600 $ 151,887
Sigma Aldrich .............................. 2,700 144,431
------------
296,318
------------
CAPITAL GOODS - 0.9%
Fluor Corp. ................................ 2,200 143,881
Emerson Electric Co. ....................... 1,600 132,609
General Electric Co. ....................... 1,700 147,144
------------
423,634
------------
CONSUMER BASICS - 3.1%
Cardinal Health Inc. ....................... 2,000 144,331
Coca Cola Co. .............................. 3,000 146,687
Colgate Palmolive Co. ...................... 1,700 144,093
Gillette Co. ............................... 2,300 143,443
Hannaford Brothers Co. ..................... 3,000 97,787
Health Management Association* ............. 4,600 93,424
Johnson & Johnson .......................... 3,000 148,556
Manor Care Inc. ............................ 3,700 145,750
Pfizer Inc. ................................ 1,000 71,369
Procter & Gamble Co. ....................... 1,600 145,287
Schering Plough Corp. ...................... 1,200 75,281
Sysco Corp. ................................ 4,200 143,862
------------
1,499,870
------------
CONSUMER DURABLE GOODS - 0.5%
Federal Signal Corp. ....................... 6,100 155,495
Harley Davidson Inc. ....................... 2,300 94,924
------------
250,419
------------
CONSUMER NON-DURABLES - 1.4%
Autozone Inc.* ............................. 2,800 97,387
Home Depot Inc. ............................ 2,600 140,400
Kohls Corp. ................................ 2,800 102,412
Mattel Inc. ................................ 5,000 143,162
Nine West Group Inc.* ...................... 2,900 148,024
Schein, Henry Inc.* ........................ 1,400 53,450
------------
684,835
------------
CONSUMER SERVICES - 0.3%
Carnival Corp. ............................. 5,100 147,280
------------
FINANCE - 0.6%
First Union Corp. .......................... 2,400 146,187
State Street Boston Corp. .................. 2,800 142,887
------------
289,074
------------
GENERAL BUSINESS - 1.0%
First Data Corp. ........................... 1,800 143,368
Interpublic Group Cos Inc. ................. 3,100 145,349
Sun Guard Data Systems* .................... 2,000 79,875
Viking Office Products Inc.* ............... 3,200 100,494
------------
469,086
------------
MISCELLANEOUS - 0.3%
Electronic Data Systems Corp. .............. 2,700 145,387
------------
TECHNOLOGY - 0.8%
Affiliated Computer Services Inc.* ......... 500 23,500
Andrew Corp.* .............................. 1,800 97,050
Cisco Systems Inc.* ........................ 1,800 101,950
Oracle Systems Corp.* ...................... 2,500 98,650
Parametric Technology Corp.* ............... 2,300 99,900
------------
421,050
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* .... 3,000 97,500
------------
UTILITIES - 0.3%
GTE Corp. .................................. 3,300 147,712
------------
TOTAL COMMON STOCKS ........................ 4,872,165
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.8%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 855,290
------------
TOTAL LARGE CAP GROWTH ....................................... 5,727,455
------------
LARGE CAP VALUE--12.0%
- ------------------------------------------------------------------------------
COMMON STOCKS--10.2%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.1%
Bowater Inc. ............................... 1,000 37,656
Cabot Corp. ................................ 800 19,706
Cyprus Amax Minerals Co. ................... 1,300 29,650
Dexter Corp. ............................... 1,200 35,737
Du Pont E. De Nemours & Co. ................ 900 71,281
FMC Corp.* ................................. 1,000 65,281
IMC Global Inc. ............................ 1,100 41,474
Mallinckrodt Group Inc. .................... 1,600 62,218
Potash Corp. Sask Inc. ..................... 700 46,431
Premark International Inc. ................. 1,300 23,918
Reynolds Metal Co. ......................... 900 46,975
Rhone Poulnec S A .......................... 1,600 42,418
Wellman Inc. ............................... 1,800 42,087
------------
564,832
------------
CAPITAL GOODS - 1.1%
Caterpillar Inc. ........................... 500 33,875
Cummins Engine Inc. ........................ 1,500 60,625
Deere & Co. ................................ 1,500 59,987
Harnischfeger Industries Inc. .............. 1,600 53,187
Kennametal Inc. ............................ 1,100 37,362
Parker Hannifin Corp. ...................... 1,200 50,819
Tecumseh Products Co. ...................... 1,100 59,237
Timken Co. ................................. 1,000 38,712
Trinova Corp. .............................. 2,700 89,936
Varity Corp.* .............................. 1,300 62,474
------------
546,214
------------
CONSUMER BASICS - 1.2%
Archer Daniels Midland Co. ................. 2,400 45,974
Bergen Brunswig Corp. ...................... 2,000 55,674
Bristol Meyers Squibb Co. .................. 400 35,918
Foundation Health Corp.* ................... 2,000 71,724
Horizon CMS Healthcare Corp.* .............. 1,200 15,437
IBP Inc. ................................... 2,100 57,937
Maxicare Health Plans Inc.* ................ 1,300 24,575
Philip Morris Cos. Inc. .................... 1,000 104,169
RJR Nabisco Holdings Corp. ................. 1,400 43,974
Tenet Healthcare Corp.* .................... 1,700 36,161
Tupperware Corp.* .......................... 1,300 54,862
Universal Foods Corp. ...................... 600 21,956
------------
568,361
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp. ................................ 1,100 64,275
General Motors Corp. ....................... 1,400 73,456
Goodyear Tire and Rubber ................... 1,500 72,356
------------
210,087
------------
CONSUMER NON-DURABLES - 0.5%
Anheuser Busch Cos. Inc. ................... 400 29,994
Dillard Dept. Stores Inc. .................. 1,400 51,005
Reebok International Ltd. .................. 1,300 43,431
Springs Industries Inc. .................... 700 35,081
V F Corp. .................................. 1,000 59,612
------------
219,123
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ............................. 900 81,944
UAL Corp.* ................................. 200 10,712
------------
92,656
------------
ENERGY - 0.8%
Amoco Corp. ................................ 500 36,068
Atlantic Richfield Co. ..................... 500 59,319
British Petroleum PLC ...................... 800 85,519
Mapco Inc. ................................. 1,000 56,562
Panenergy Corp. ............................ 400 13,150
Tenneco Inc. ............................... 1,000 51,162
Ultramar Corp. ............................. 1,400 40,662
YPF Sociedad Anonima ....................... 1,300 29,380
------------
371,822
------------
FINANCE - 2.2%
Ace Ltd .................................... 1,000 47,000
Allstate Corp. ............................. 1,200 54,787
American General Corp. ..................... 1,300 47,500
American RE Corp. .......................... 1,000 44,987
Bank of Boston Corp. ....................... 1,000 49,462
Bank of New York Inc. ...................... 800 41,037
Capital One Financial Corp. ................ 1,300 37,112
Chase Manhattan Corp. ...................... 800 56,531
Crestar Financial Corp. .................... 400 21,406
Dean Witter Discover & Co. ................. 700 40,056
Federal Home Loan Mortgage Corp. ........... 400 34,206
Federal National Mortgage Association ...... 1,500 50,362
First Chicago NBD Corp. .................... 900 35,244
First Union Corp. .......................... 700 42,656
Great Western Financial Corp. .............. 2,400 57,474
ITT Hartford Group Inc. .................... 800 42,581
Old Republic Intl Corp. .................... 1,700 36,637
Providian Corp. ............................ 1,800 77,081
Reliastar Financial Corp. .................. 900 38,999
Republic NY Corp. .......................... 600 37,431
Salomon Inc. ............................... 800 35,193
Signet Banking Corp. ....................... 1,300 30,312
Standard Federal Bancorporation ............ 400 15,400
St. Paul Cos Inc. .......................... 600 32,081
Transatlantic Holdings Inc. ................ 600 41,968
------------
1,047,503
------------
GENERAL BUSINESS - 0.2%
PHH Corp. .................................. 1,200 68,212
Standard Register .......................... 800 19,612
------------
87,824
------------
MISCELLANEOUS - 0.1%
Textron Inc. ............................... 900 71,872
------------
TECHNOLOGY - 1.5%
Beckman Industries Inc ..................... 1,900 71,924
Compaq Computer Corp.* ..................... 1,800 88,712
International Business Machines ............ 900 89,100
LAM Research Corp.* ........................ 1,500 39,000
National Semiconductor Corp.* .............. 4,700 72,850
Raytheon Co. ............................... 1,000 51,556
Seagate Technology* ........................ 2,300 103,524
Tandy Corp. ................................ 700 33,144
Tektronix Inc. ............................. 1,500 67,030
TRW Inc. ................................... 700 63,056
Western Digital Corp.* ..................... 2,000 28,737
------------
708,633
------------
TRANSPORTATION - 0.3%
Burlington Northern Santa Fe ............... 700 56,631
CSX Corp. .................................. 900 43,418
Ryder Sys. Inc. ............................ 1,400 39,387
------------
139,436
------------
UTILITIES - 0.6%
Central ME Power Co. ....................... 1,900 26,974
DTE Energy Co. ............................. 900 27,655
El Paso Natural Gas Co. .................... 1,000 38,468
Entergy Corp. .............................. 1,500 42,468
General Public Utilities Corp. ............. 1,300 45,543
Peco Energy Co. ............................ 1,800 46,768
Sprint Corp. ............................... 1,200 50,337
Unicom Corp. ............................... 1,600 44,567
------------
322,780
------------
TOTAL COMMON STOCK ........................................... 4,951,143
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--1.8%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 872,259
------------
TOTAL LARGE CAP VALUE ........................................ 5,823,402
------------
SMALL CAP GROWTH - 16.4%
- ------------------------------------------------------------------------------
COMMON STOCK--13.2%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Carbide/Graphite Group Inc.* ............... 7,800 146,250
Intertape Polymer Group Inc. ............... 7,250 146,813
------------
293,063
------------
CAPITAL GOODS - 0.7%
Blount International Inc. .................. 5,150 162,225
Hardinge Bros. Inc. ........................ 4,600 146,050
------------
308,275
------------
CONSUMER BASICS - 2.6%
American Homepatient Inc.* ................. 3,300 146,025
Cytyc Corp.* ............................... 6,100 157,837
ESC Medical Systems Ltd.* .................. 4,000 113,000
Interneuron Pharmaceuticals* ............... 5,200 156,000
NCS Healthcare Inc.* ....................... 5,600 169,400
Performance Food Group Co.* ................ 5,900 153,400
Sunrise Assisted Living Inc.* .............. 7,050 169,200
Vivus* ..................................... 6,350 207,963
------------
1,272,825
------------
CONSUMER DURABLE GOODS - 0.3%
American Homestar Corp.* ................... 5,600 145,600
------------
CONSUMER NON-DURABLES - 0.6%
Mens Wearhouse Inc.* ....................... 4,600 148,350
Petes Brewing Co.* ......................... 9,750 146,250
------------
294,600
------------
CONSUMER SERVICES - 0.6%
Ballys Grand Inc.* ......................... 3,400 144,500
Regal Cinemas Inc.* ........................ 3,300 150,975
------------
295,475
------------
ENERGY - 0.9%
Giant Industries ........................... 10,650 154,425
KCS Energy Inc. ............................ 5,150 148,063
Lomak Pete Inc. ............................ 10,850 154,612
------------
457,100
------------
FINANCE - 0.3%
Olympic Financial Ltd.* .................... 7,050 162,150
------------
GENERAL BUSINESS - 1.0%
Atlantic Tele Network Inc.* ................ 6,150 147,600
Heftel Broadcasting Corp.* ................. 5,300 157,013
State of the Art Inc.* ..................... 9,700 179,450
------------
484,063
------------
MISCELLANEOUS - 2.5%
Eclipse Surgical Technologies* ............. 11,700 160,875
Forensic Technologies Intl. Corp.* ......... 16,750 154,937
Gadzooks Inc.* ............................. 4,900 158,025
Imagyn Medical Inc.* ....................... 13,300 146,300
Meadowbrook Insurance Group Inc. ........... 4,100 126,075
Polycom Inc.* .............................. 21,300 149,100
Sirrom Cap Corp. ........................... 5,550 151,338
Suburban Lodges America Inc.* .............. 6,800 157,250
------------
1,203,900
------------
TECHNOLOGY - 2.6%
Activision Inc. * .......................... 11,550 150,150
Affiliated Computer Services Inc.* ......... 3,300 155,100
Casino Data Systems* ....................... 10,100 152,763
Dupont Photomasks Inc.* .................... 7,500 153,750
Logal Educational Software Systems ......... 6,300 41,737
Insignia Solutions PLC* .................... 18,200 154,700
Network General Corp.* ..................... 6,100 131,150
Phoenix Technology Ltd.* ................... 9,900 165,825
Silicon Valley Research Inc.* .............. 23,950 140,706
------------
1,245,881
------------
TRANSPORTATION - 0.3%
Eagle USA Airfreight Inc.* ................. 3,950 146,150
------------
UTILITIES - 0.2%
Petersburg Long Distance Inc.* ............. 12,800 105,200
------------
TOTAL COMMON STOCKS ........................ 6,414,282
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--3.2%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 1,526,972
------------
TOTAL SMALL CAP GROWTH ....................................... 7,941,254
------------
SMALL CAP VALUE--22.7%
- ------------------------------------------------------------------------------
COMMON STOCKS--12.7%
- ------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.9%
Castech Aluminum Group Inc. ................ 13,400 198,320
Oil Dri Corp. America ..................... 15,100 222,918
------------
421,238
------------
CAPITAL GOODS - 0.9%
Esco Electronics Corp. ..................... 24,000 273,450
United Industrial Corp. .................... 27,900 170,932
------------
444,382
------------
CONSUMER BASICS - 1.7%
Health Images Inc. ......................... 8,000 93,000
Medex Inc. ................................. 4,700 60,808
Nash Finch Co. ............................. 7,100 113,600
RLI Corp. .................................. 13,200 320,905
Schultz Sav O Stores Inc. .................. 1,900 23,750
Super Food Services Inc. ................... 22,200 210,925
------------
822,988
------------
CONSUMER DURABLE GOODS - 0.8%
Flexsteel Industries Inc. .................. 9,800 115,150
Oshkosh Truck Corp. ........................ 18,200 257,075
------------
372,225
------------
CONSUMER NON-DURABLES - 0.3%
Syms Corp.* ................................ 21,200 156,122
------------
FINANCE - 2.5%
American National
Insurance Co. ............................ 1,400 91,000
Bankatlantic Bancorp Inc. .................. 8,100 112,435
Downey Financial Corp. ..................... 8,000 175,000
Financial Securities Assur Holdings Ltd. ... 13,400 367,382
GA Financial Inc.* ......................... 28,800 315,627
Presidential Life Corp. .................... 12,600 129,775
------------
1,191,219
------------
GENERAL BUSINESS - 0.5%
Ennis Business Forms Inc. .................. 23,100 262,763
------------
MISCELLANEOUS - 0.4%
Bank Plus Corp. ............................ 19,000 166,250
Haskel International Inc. .................. 2,100 15,750
------------
182,000
------------
SHELTER - 1.6%
Beazer Homes USA Inc.* ..................... 13,900 222,198
Ryland Group Inc.* ......................... 12,700 190,208
US Homes Corp.* ............................ 15,000 369,785
------------
782,191
------------
TECHNOLOGY - 2.3%
Adobe Systems Inc. ......................... 5,600 200,900
Analysis & Technology Inc. ................. 6,000 82,500
Advanced Logic Research Inc.* .............. 17,500 146,563
Cray Research Inc.* ........................ 15,300 369,388
Symantec Corp.* ............................ 12,000 150,000
Quantum Corp.* ............................. 12,000 175,500
------------
1,124,851
------------
UTILITIES - 0.8%
Niagara Mohawk Power Corp.* ................ 48,400 376,000
------------
TOTAL COMMON STOCKS .......................................... 6,135,979
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--10.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 4,855,406
------------
TOTAL SMALL CAP VALUE ........................................ 10,991,385
------------
INTERNATIONAL EQUITY--26.8%
- ------------------------------------------------------------------------------
COMMON STOCKS--16.8%
- ------------------------------------------------------------------------------
AUSTRIA - 0.3%
Bohler Uddeholm ............................ 1,825 141,506
------------
AUSTRALIA - 0.6%
Australia & New Zealand
Bank Group ............................... 40,900 193,904
Gio Australia Holdings ..................... 50,700 124,708
------------
318,612
------------
BELGIUM - 0.2%
GPE Bruxelles Lam .......................... 790 99,944
------------
CANADIAN - 1.0%
Bank N S Halifax ........................... 6,600 160,492
Canadian Imperial Bank Toronto ............. 4,300 138,735
Imasco Ltd. ................................ 8,300 169,301
------------
468,528
------------
FINLAND - 0.4%
UPM Kymmene Oy ............................. 9,300 193,064
------------
FRANCE - 0.9%
Elf Aquitaine .............................. 2,350 173,092
Lafarge .................................... 2,800 169,765
Usinor Sacilor ............................. 8,000 115,483
------------
458,340
------------
GERMANY - 0.7%
Bayer AG ................................... 4,650 164,386
Buderus AG ................................. 410 174,054
------------
338,440
------------
GREAT BRITAIN - 2.8%
Argyll Group ............................... 32,000 172,449
Bat Industries ............................. 26,000 202,482
British Gas ................................ 54,500 152,071
Commercial Union ........................... 14,250 128,725
Hanson ..................................... 47,700 133,678
Hillsdown Holdings ......................... 46,500 125,250
Hyder ...................................... 11,800 130,755
National Westminster ....................... 16,200 154,606
Powergen ................................... 20,600 150,230
------------
1,350,246
------------
HONG KONG - 1.7%
Hang Lung Development Co. .................. 110,000 207,617
Hong Kong Telecomm ......................... 90,200 162,437
HSBC Holdings .............................. 13,200 199,514
New World Development Co. .................. 30,000 139,133
Sth China Morn Post ........................ 154,000 105,441
------------
814,142
------------
IRELAND - 0.3%
Smurfit .................................... 58,500 157,830
------------
ITALY - 0.2%
Danieli & C ................................ 25,100 85,937
------------
JAPAN - 2.2%
Daiwa House Inds ........................... 12,000 186,694
Hokushin Co. ............................... 10,800 138,253
Nichicon Corp. ............................. 12,000 174,664
Nintendo Co. ............................... 1,200 90,307
Nippon Fire & Marine ....................... 27,000 176,917
Sekisui Chemical ........................... 9,000 110,273
Sony Corp. ................................. 2,700 178,583
------------
1,055,691
------------
MALAYSIA - 0.7%
Arab Malaysian Finance ..................... 35,000 153,841
Malaysian International Shipping ........... 57,000 177,626
------------
331,467
------------
NETHERLANDS - 1.6%
Akzo Nobel NV .............................. 1,500 180,025
Fortis Amev NV ............................. 3,150 89,975
Hollandsche Beton .......................... 800 153,386
Ing Groep NV ............................... 5,000 149,223
Kon PTT Nederland .......................... 5,000 189,319
------------
761,928
------------
NEW ZEALAND - 0.4%
Fletcher Challenge (Building) .............. 51,500 100,980
Fletcher Challenge (Energy) ................ 34,400 76,697
Fletcher Challenge (Paper) ................. 20,200 39,191
------------
216,868
------------
NORWAY - 0.5%
Kvaerner ASA ............................... 3,600 152,287
Nycomed .................................... 6,000 83,216
------------
235,503
------------
SPAIN - 0.4%
Banco Santander SA ......................... 3,800 177,623
------------
SWEDEN - 0.3%
Marieberg Tidnings ......................... 7,000 175,418
------------
SWEDEN - 1.3%
Sarna Kunst Holdings ....................... 140 147,817
Schw Ruckversicher ......................... 195 200,295
Sig Schw Ind HG AG ......................... 115 272,276
------------
620,388
------------
UNITED STATES - 0.3%
Jardine Matheson ........................... 23,000 169,049
------------
TOTAL COMMON STOCKS .......................................... 8,170,524
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--10.0%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 4,863,875
------------
TOTAL INTERNATIONAL EQUITY ................................... 13,034,399
------------
U.S. FIXED INCOME - 5.4%
- ------------------------------------------------------------------------------
FIXED INCOME--5.0%
- ------------------------------------------------------------------------------
MORTGAGE BACKED - 1.1%
Federal National Mortgage Association
TBA 1.00% due 1/11/99 .................... 40,000 39,931
Federal National Mortgage Association
7.00% due 7/1/03 ......................... 125,000 124,609
8.00% due 5/1/26 ......................... 346,500 349,099
------------
513,639
------------
U. S. TREASURY ISSUES - 3.9%
United States Treasury Bond
6.875% due 8/15/25 ......................... 260,000 257,340
6.00% due 5/31/98 .......................... 400,000 399,132
6.375% due 5/15/99 ......................... 405,000 405,899
6.50% due 5/31/01 .......................... 415,000 415,204
6.875% due 5/15/06 ......................... 420,000 424,644
------------
1,902,219
------------
TOTAL FIXED INCOME ........................................... 2,415,858
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS(+)--0.4%
- ------------------------------------------------------------------------------
United States Treasury Bills
due 7/11/96 ................................................ 185,925
------------
TOTAL U.S. FIXED INCOME ...................................... 2,601,783
------------
INTERNATIONAL BOND - 28.1%
- ------------------------------------------------------------------------------
FIXED INCOME--15.9%
- ------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
--------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ............................. ATS 520,000 51,832
------------
AUSTRALIA - 0.8%
Australia (Commonwealth)
7.00% due 4/15/00 ............................... AUD 515,000 386,102
------------
BELGIUM - 0.6%
Belgium (Kingdom)
9.00% due 3/28/03 .............................. BF 7,200,000 264,685
------------
CANADA - 1.6%
Canadian Government
9.00% due 12/01/04 ............................ CAD 1,000,000 797,993
------------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 ............................... DKK 830,000 149,963
------------
FRANCE - 0.9%
Government of France
7.75% due 10/25/05 ............................ FRF 1,990,000 421,080
------------
GERMANY - 2.3%
Germany (Fed) Unity
6.875% due 6/11/03 .............................. DEM 300,000 221,138
Treuhandanstalt
7.75% due 10/25/05 ............................ DEM 1,340,000 912,487
------------
1,133,625
------------
GREAT BRITAIN - 2.8%
Treasury
6.00% due 8/10/99 ............................... GBP 910,000 1,378,372
------------
ITALY - 1.2%
Republic of Italy
9.187% due 9/01/05 .......................... ITL 835,000,000 587,540
------------
NEW ZEALAND - 2.8
New Zealand Government
10.00% due 7/15/97 ............................ NED 1,840,000 1,272,418
New Zealand Government
10.00% due 3/15/02 .............................. NED 130,000 93,459
------------
1,365,877
------------
SPAIN - 1.2%
Government of Spain
10.90% due 8/30/03 ........................... ESP 64,200,000 561,293
------------
SWEDEN - 1.3%
Sweden (Kingdom)
11.00% due 1/21/99 ............................ ESP 3,700,000 614,906
------------
TOTAL FIXED INCOME ............................................ 7,713,268
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--10.6%
- ------------------------------------------------------------------------------
United States Treasury Bills(+)
due 7/11/96 ................................................. 952,605
Federal Home Loan Mortgage
5.30% due 7/03/96 ........................................... 3,598,940
Federal National Mortgage Association
5.31% due 7/15/96 ........................................... 598,761
------------
TOTAL SHORT-TERM OBLIGATIONS .................................. 5,150,306
------------
- ------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--1.6%
- ------------------------------------------------------------------------------
Purchase calls
230,100,000 Japanese Government Bonds
exp. date 8/05/96 ........................................... 225,650
8,700,000 Netherland Guilder Government Bonds
exp. date 7/29/96 ........................................... 518,786
------------
TOTAL INTERNATIONAL BOND OPTIONS .............................. 744,436
------------
TOTAL INTERNATIONAL BOND ...................................... 13,608,010
------------
SHORT-TERM--5.0%
United States Treasury Bills
due 7/11/96 ................................................. 2,420,897
------------
TOTAL INVESTMENTS
(Identified Cost $62,140,002) ................ 128.2% 62,148,585
OTHER ASSETS, LESS LIABILITIES ............... (28.2) (13,665,890)
----- ------------
NET ASSETS ................................... 100.0% $ 48,482,695
===== ============
* Non income producing
(+) The Portfolio owns in Aggregate $16,553,000 in U.S. Treasury Bills due
7/11/96 valued at $16,533,229, portions of which are listed separately by
each Asset Class.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost, $18,597,597
$43,472,531 and $62,140,002, respectively) $18,643,518 $43,562,270 $62,148,585
Cash ....................................................... 5,374 10,456 26,297
Receivable for securities sold ............................. 3,416,411 7,628,505 11,012,098
Dividend receivable ........................................ 607 2,265 4,760
Interest receivable ........................................ 114,345 256,186 266,157
----------- ----------- -----------
Total assets ............................................. 22,180,255 51,459,682 73,457,897
----------- ----------- -----------
LIABILITIES:
Payable for securities purchased ........................... 6,645,088 16,220,061 24,244,798
Payable for options purchased .............................. 217,124 491,654 721,046
Accrued expenses ........................................... 2,622 6,012 9,358
----------- ----------- -----------
Total Liabilities ........................................ 6,864,834 16,717,727 24,975,202
----------- ----------- -----------
Net Assets ................................................. $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
REPRESENTED BY:
Paid-in capital ............................................ $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
INCOME:
Interest (Note 1B) ......................................... $ 15,855 $ 33,617 $ 40,797
Dividends .................................................. 608 2,265 4,760
----------- ----------- -----------
Total Income ............................................. 16,463 35,882 45,557
----------- ----------- -----------
EXPENSES:
Custodian Fees ............................................. 5,000 6,000 7,000
Auditing Services .......................................... 2,500 2,500 2,500
Management fees (Note 2) ................................... 2,009 4,596 6,757
Trustees fees .............................................. 1,000 1,000 1,500
Shareholder reports ........................................ 2,000 2,000 2,500
Legal Services ............................................. 1,500 1,500 1,500
Miscellaneous .............................................. 100 100 100
----------- ----------- -----------
Total expenses ........................................... 14,109 17,696 21,857
----------- ----------- -----------
Less aggregate amount waived by the Manager (Note 2) ....... (2,009) (4,596) (6,757)
Less expenses assumed by the sub-administrator (Note 5) .... (9,478) (7,088) (5,742)
----------- ----------- -----------
Net expenses ............................................... 2,622 6,012 9,358
----------- ----------- -----------
Net investment income ...................................... 13,841 29,870 36,199
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from investment and foreign
currency transactions .................................... 324 2,542 2,141
Net change in unrealized appreciation (depreciation) ....... 45,921 89,739 8,583
----------- ----------- -----------
Net realized and unrealized gain (loss) on investments
and foreign currency ..................................... 46,245 92,281 10,724
----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ....... $ 60,086 $ 122,151 $ 46,923
=========== =========== ===========
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ...................................... $ 13,841 $ 29,870 $ 36,199
Net realized gain (loss) from investment transactions
and foreign currency transactions .......................... 324 2,542 2,141
Net change in unrealized appreciation (depreciation)
of investments ........................................... 45,921 89,739 8,583
----------- ----------- -----------
Net increase in net assets resulting from operations ..... 60,086 122,151 46,923
----------- ----------- -----------
CAPITAL TRANSACTIONS
Proceeds from contributions ............................... 15,255,335 34,619,804 48,435,772
Value of withdrawals ...................................... -- -- --
----------- ----------- -----------
Net increase in net assets from capital transactions ..... 15,255,335 34,619,804 48,435,772
----------- ----------- -----------
NET INCREASE IN NET ASSETS ................................. 15,315,421 34,741,955 48,482,695
NET ASSETS:
Beginning of period ........................................ -- -- --
----------- ----------- -----------
End of period .............................................. $15,315,421 $34,741,955 $48,482,695
=========== =========== ===========
</TABLE>
See notes to financial statements
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (UNAUDITED)
FOR THE PERIOD JUNE 17, 1996 (COMMENCEMENT OF OPERATIONS) TO JUNE 30, 1996
<TABLE>
<CAPTION>
ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400
------------ ------------- -------------
<S> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) .................. $15,315 $34,742 $48,483
Ratio of expenses to average net assets .................... 0.85%* 0.85%* 0.90%*
Ratio of net investment income to average net assets ....... 4.48%* 4.42%* 3.48%*
Portfolio turnover ......................................... 48% 42% 45%
Note: If Agents of the Portfolio had not voluntarily agreed to waive a portion of their fees, the Sub-administrator not assumed
expenses for the periods indicated, and the ratios would have been as follows:
Ratios:
Expenses to average net assets ............................. 2.50%* 2.50%* 2.50%*
Net investment income to average net assets ................ 2.83%* 2.77%* 0.98%*
<FN>
* Annualized
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- ------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
(1) SIGNIFICANT ACCOUNTING POLICIES
Asset Allocation Portfolio 200, Asset Allocation Portfolio 300, and Asset
Allocation Portfolio 400 (the "Portfolios") are each a separate series of Asset
Allocation Portfolios (the "Trust") which are registered under the Investment
Company Act of 1940, as amended, as an open-end, management investment company
which is organized as a trust under the laws of the State of New York. The
Declaration of the Trust permits the Trustees to issue beneficial interest in
the Portfolios. Citibank, N.A. ("Citibank" or the Manager) is the Investment
Manager of each of the Portfolios. Signature Financial Group (Grand Cayman),
Ltd. ("SFG") acts as the Portfolios' Sub-Administrator.
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the financial
statements. Actual results could differ from those estimates.
The significant accounting policies consistently followed by the Portfolios
are in conformity with generally accepted accounting principles and are as
follows:
A. INVESTMENT SECURITY VALUATIONS -- Equity securities are valued at the last
sale price on the exchange on which they are primarily traded, or at the quoted
bid price for securities in which there were no sales during the day, or for
unlisted securities not reported on the NASDAQ system. Securities listed on a
foreign exchange are valued at the last quoted sale price available. Bonds,
Foreign Bonds and other fixed income securities (other than short-term
obligations maturing in sixty days or less) are valued on the basis of
valuations furnished by a pricing service, the use of which has been approved by
the Trustees. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques which take
into account appropriate factors such as institutional-size trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices or exchanges or over-the-counter prices. Short-term obligations
maturing in sixty days or less, are valued at amortized cost, which constitutes
fair value as determined by the Trustees. Portfolio securities for which there
are no such quotations or valuations are valued at fair value as determined in
good faith by or under guidelines established by the Trustees. Trading in
securities on most foreign exchanges and over-the-counter markets is normally
completed before the close of the New York Stock Exchange and may also take
place on days on which the New York Stock Exchange is closed. If events
materially affecting the value of foreign securities occur between the time when
the exchange on which they are traded closes and the time when each Portfolio's
net asset value is calculated, such securities will be valued at fair value in
accordance with procedures established by and under the general supervision of
the Trustees.
B. INCOME -- Interest income consists of interest accrued and discount earned,
adjusted for amortization of premium or discount on long-term debt securities
when required for Federal income tax purposes. Gain and loss from principal
paydowns are recorded as interest income. Dividend income and other
distributions from investments are recorded on ex-dividend date, except if the
ex-dividend date passed, certain dividends from foreign securities are recorded
as the Portfolio is informed of ex-dividend date. Dividend income is recorded
net of foreign taxes withheld where recovery of such taxes is not assured.
C. FOREIGN CURRENCY TRANSLATION -- The accounting records of each of the
Portfolios, are maintained in U.S. dollars. For each of the Portfolios Foreign
currency amounts are translated into U.S. dollars at the current rate of
exchange to determine the value of investments, assets and liabilities.
Purchases and sales of securities, and income and expenses are translated at the
prevailing rate of exchange on the respective dates of such transactions. The
Portfolios do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuation
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Translations of foreign currency includes net exchange gains and losses,
disposition of foreign currency and the difference between the amount of
investment income, expenses and foreign taxes withheld recorded and the amount
actually received or paid.
D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- Each of the Portfolios may
enter into forward foreign currency exchange contracts ("contracts") in
connection with planned purchases or sales of securities, to hedge the U.S.
dollar value of portfolio securities denominated in a particular currency. Each
of the Portfolios could be exposed to risks if the counter-parties to the
contracts are unable to meet the terms of their contracts and from unanticipated
movements in the value of a foreign currency relative to the U.S. Dollar. The
forward foreign currency exchange contracts are adjusted by the daily exchange
rate of the underlying currency and any gains or losses are recorded for
financial statement purposes as unrealized gains or losses until the contract
settlement date.
E. U.S. FEDERAL TAXES -- Each of the Portfolios is considered a partnership
under the U.S. Internal Revenue Code. Accordingly, no provision for federal
income or excise tax is necessary.
F. EXPENSES -- Each Portfolio bears all costs of its operations other than
expenses specifically assumed by Citibank and SFG. Expenses incurred by the
Trust with respect to any two or more Portfolios are allocated in proportion to
the average net assets of each Portfolio, except when allocations of direct
expenses to each Portfolio can otherwise be made fairly. Expenses directly
attributable to a Portfolio are charged to that Portfolio.
G. TBA PURCHASED COMMITMENTS -- The Portfolio enters into "TBA" (to be
announced) purchase commitments to purchase securities for a fixed unit at a
future date beyond customary settlement time. Although the unit price has been
established, the principal value has not been finalized. However, the amount of
the commitment will not fluctuate more than 2.0% from the principal amount. The
Portfolio holds, and maintains until settlement date, cash or high-grade debt
obligations in an amount sufficient to meet the purchase price. TBA purchase
commitment may be considered securities in themselves, and involve a risk of
loss if the value of the security to be purchased declines prior to the
settlement date, which risk is in addition to the risk of decline in the value
of the Portfolio's other assets. Unsettled TBA purchase commitments are valued
at current market value of the underlying securities, generally according to the
procedures described under Note 1A.
H. PURCHASED OPTIONS -- The premium paid by a Portfolio for the purchase of a
call or a put option is included in the Portfolios' Statement of Assets and
Liabilities as an investment and subsequently marked-to market to reflect the
current market value of the option. When an option which the Portfolios has
purchased expires on the stipulated expiration date, the Portfolios will realize
a loss in the amount of the cost of the option. When the Portfolios enter into a
closing sale transaction, the Portfolio will realize a gain or loss, depending
on whether the sale proceeds from the closing sale transaction are greater or
less than the cost of the option. When the Portfolio exercises a put option, it
will realize a gain or loss from sale of the underlying security and the proceed
from such sale will be decreased by the premium originally paid. When the
Portfolios exercises a call option, the cost of the security which the
Portfolios purchases upon exercise will be increased by the premium originally
paid.
I. OTHER -- Investment transactions are accounted for on the trade date.
Realized gains and losses on investment transactions are determined on the
identified cost basis.
(2) MANAGEMENT FEES
Citibank is responsible for overall management of the Portfolios' business
affairs, and has a separate Management Agreement with each of the Portfolios.
Citibank also provides certain administrative services to the Portfolios. These
administrative services include providing general office facilities and
supervising the overall administration of the Portfolio. SFG acts as
Sub-Administrator and performs such duties and receives such compensation from
Citibank as from time to time are agreed to by Citibank and SFG.
The management fees paid to Citibank, is accrued daily and computed at the
following annual rate of average daily net assets:
Asset Allocation Portfolio 200 ............... 0.65%
Asset Allocation Portfolio 300 ............... 0.65%
Asset Allocation Portfolio 400 ............... 0.65%
The manager has waived all of its fees for each Portfolio for the period
ended June 30, 1996. The Trust pays no compensation directly to any Trustee or
any other officer who is affiliated with the Sub-Administrator, all of whom
receive remuneration for their services to the Trust from the Sub-Administrator
or its affiliates.
(3) PURCHASES AND SALES OF INVESTMENTS
Purchases and sales of securities, other than short-term obligations, for
the period ended June 30, 1996, were as follows:
PURCHASES SALES
Asset Allocation Portfolio 200 .... $16,623,373 $ 5,498,557
Asset Allocation Portfolio 300 .... $42,318,996 $12,740,613
Asset Allocation Portfolio 400 .... $28,876,232 $18,817,621
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 1996, as computed on a federal income
tax basis, are as follows:
ASSET ALLOCATION PORTFOLIO 200
Aggregate Cost .............................. $18,597,597
===========
Gross unrealized appreciation ............... $ 116,891
Gross unrealized depreciation ............... (70,970)
--------
Net unrealized appreciation/depreciation .... $ 45,921
===========
ASSET ALLOCATION PORTFOLIO 300
Aggregate Cost .............................. $43,472,531
============
Gross unrealized appreciation ............... $ 325,206
Gross unrealized depreciation ............... (235,467)
--------
Net unrealized appreciation/depreciation .... $ 89,739
============
ASSET ALLOCATION PORTFOLIO 400
Aggregate Cost .............................. $62,140,002
============
Gross unrealized appreciation ............... $ 502,704
Gross unrealized depreciation ............... (494,121)
------------
Net unrealized appreciation/depreciation .... $ 8,583
============
(5) ASSUMPTION OF EXPENSES
SFG has voluntarily agreed to pay a poriton of the unwaived expenses for
the period June 17, 1996 (commencement of operations) to June 30, 1996. The
amounts are as follows:
Asset Allocation Portfolio 200 $9,478
Asset Allocation Portfolio 300 $7,088
Asset Allocation Portfolio 400 $5,742
<PAGE>
SHAREHOLDER SERVICING AGENT
- ------------------------------------------------------------------------------
FOR CITIBANK NEW YORK RETAIL BANKING. CITIGOLD
AND PRIVATE CLIENT DIVISION CUSTOMERS:
Citicorp Investment Services
111 Wall Street
New York, NY 10043
(212) 820-2383 or (800) 846-5300
<PAGE>
TRUSTEES AND OFFICERS
Philip W. Coolidge*
President
H. B. Alvord
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
C. Oscar Morong, Jr.
Donald B. Otis
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Thomas M.Lenz*
TREASURERS
John R.Elder*
*Affiliated Person of Administrator and Distributor
INVESTMENT MANAGER
(OF ASSET ALLOCATION PORTFOLIOS)
Citibank, N.A.
153 East 53rd Street, New York, NY 10043
DISTRIBUTOR
The Landmark Funds Broker-Dealer Services Inc.
6 St. James Avenue, Boston, MA 02116
(617) 423-1679
TRANSFER AGENT AND CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street, Boston, MA 02110
AUDITORS
Price Waterhouse LLP
160 Federal Street, Boston, MA 02111
LEGAL COUNSEL
Bingham, Dana & Gould
150 Federal Street, Boston, MA 02110
This report is prepared for the information of shareholders. It is authorized
for distribution to prospective investors only when preceded or accompanied by
an effective prospectus.
This Report is Prepared & Printed on Recycled Paper [recycle symbol]
CSP/S/96
CITISELECT(SM)
- ---------------
PORTFOLIOS
- --------------------
CITISELECT FOLIO 200
- --------------------
CITISELECT FOLIO 300
- --------------------
CITISELECT FOLIO 400
- --------------------
SEMI-ANNUAL
REPORT
JUNE 30, 1996
CITICORP INVESTMENT SERVICES
- ----------------------------
A CITIBANK COMPANY
