<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
H. B. Alvord
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Linda T. Gibson*
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/A/96 Printed on Recycled Paper [Recycle Logo]
LANDMARK(SM) FUNDS
Advised by Citibank, N.A.
- ------------------------------------------------------------------------------
LANDMARK
BALANCED FUND
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
ANNUAL
REPORT
December 31, 1996
- ------------------------------------------------------------------------------
<PAGE>
A LETTER TO OUR SHAREHOLDERS
- -------------------------------------------------------------------------------
Dear Shareholder:
While stocks produced above-average returns in 1996, the bond market did not
keep pace, generating modestly positive rates of total return. Both markets were
influenced by an economic environment characterized by moderate growth, low
inflation, reasonable interest rates and a monetary policy unchanged since
January. Large dividend-paying stocks did particularly well during the second
half of the year as investors placed a significant premium on earnings
consistency, liquidity and risk management. In the bond market, sharp declines
in the first half of the year were mostly recovered in the second half,
contributing to modestly positive total rates of return.
In this environment, the Landmark Balanced Fund continued to be managed with the
goal of achieving its investment objectives: high current income, preservation
of capital and 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 stocks, preferred stocks and
bonds.
This report reviews the Portfolio's investment activities and performance during
the year ended December 31, 1996, and provides a summary of Citibank's
perspective on and outlook for the U.S. stock and bond markets. On behalf of the
Board of Trustees of the Landmark Funds, I want to thank you for your confidence
and participation.
/s/ Philip W. Coolidge
Philip W. Coolidge
President
January 17, 1997
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
1 Letter to Shareholders
- ----------------------------------------
2 Market Environment
Fund Snapshot
- ----------------------------------------
3 Portfolio Managers
Quotes from the Portfolio
Managers
- ----------------------------------------
4 The Portfolio Managers Respond
Strategy and Outlook
- ----------------------------------------
5 Balanced Portfolio by the Numbers
- ----------------------------------------
6 Fund Data
Performance Highlights
LANDMARK BALANCED FUND
- ----------------------------------------
7 Statement of Assets and Liabilities
- ----------------------------------------
8 Statement of Operations
- ----------------------------------------
9 Statement of Changes in Net Assets
- ----------------------------------------
10 Financial Highlights
- ----------------------------------------
11 Notes to Financial Statements
- ----------------------------------------
13 Independent Auditors Report
BALANCED PORTFOLIO
- ----------------------------------------
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
- ----------------------------------------
23 Independent Auditors Report
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------
The economic and market environments of 1996 defied the forecasts of most
investment strategists, including the Balanced Portfolio investment adviser,
Citibank, N.A. At the start of the year, many investors expected U.S. economic
growth to slow substantially. Instead, the pace of economic growth accelerated
during the first half of the year, raising concern that the rate of inflation
might rise and that the environment for both stocks and bonds would become less
attractive. The market's inflation fears were not realized, however, as economic
growth moderated during the second half of the year.
Sustainable, non-inflationary economic growth proved to be a formula for
above-average performance for many financial assets. In the stock market, the
combination of strong corporate earnings and investors' preference for quality
and liquidity supported the prices of large, well established companies with
consistent earnings growth.
In the bond market, weaker economic growth during the second half of the
year supported the Federal Reserve Board's decision to hold monetary policy
steady. The prospect of non-inflationary growth produced higher prices for U.S.
bonds of most types and maturities during the latter part of the year, enabling
them to retrace some of their losses from the first half of the year.
Mortgage-backed securities performed especially well during the year as the risk
of an acceleration of residential mortgage prepayments remained relatively low.
- -------------------------------------------------------------------------------
FUND SNAPSHOT
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS CAPITAL GAINS
October 19, 1990 Distributed annually, if any
NET ASSETS AS OF 12/31/96 BENCHMARKS
$230.4 million o Standard & Poor's 500 Index
o Lehman Government/Corporate
FUND OBJECTIVE Bond Index
o Lipper Balanced Funds Average
To earn high current income by
investing in a broad range of INVESTMENT ADVISER,
securities, to preserve capital and BALANCED PORTFOLIO
to provide growth potential with Citibank, N.A.
reduced risk.
DIVIDENDS
Paid quarterly, if any
- -------------------------------------------------------------------------------
<PAGE>
- -------------------------------------------------------------------------------
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.
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
QUOTES FROM THE PORTFOLIO MANAGERS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
"Investors flocked to large-capitalization blue-chip stocks in 1996 because of
greater liquidity. We expect other growth stocks to outperform as the market
rally broadens."
"Bond prices rose during the second half of the year as investors realized that
economic growth would slow and inflation would not be a problem."
"In the stock portion of the Portfolio, we used proceeds from the sale of
utilities, energy companies and other less growth-oriented companies to buy
high-quality growth stocks in the consumer, finance and technology sectors."
- -------------------------------------------------------------------------------
<PAGE>
- -------------------------------------------------------------------------------
THE PORTFOLIO MANAGERS RESPOND
- -------------------------------------------------------------------------------
When 1996 began, the Balanced Portfolio's assets were apportioned 51% to stocks,
45% to bonds, and 4% of assets in cash equivalents. We changed that allocation
during the year, bringing the Portfolio's proportions to 49% stocks, 42% bonds
and 9% of assets in cash equivalents by year end.
In the equity portion of the Portfolio, we analyzed thousands of stocks to find
those that meet our criteria for return on equity, growth of revenues and
earnings-per-share, and strong balance sheets. During 1996, we found such growth
stocks in both large-capitalization and mid-capitalization stocks, including
companies in the consumer non-durables, consumer services, finance and
technology industries. We also repositioned our investments in certain sectors;
for example, we sold a number of utility and energy stocks, and we shifted our
holdings in the health care industry out of HMOs into other types of companies
with stronger, more visible growth potential.
In the bond market, we attempted to identify high-quality bonds offering
competitively high yields. Although finding such issues proved difficult in an
environment of narrower-than-normal differences in yields among the various
classes of fixed-income securities, we were able to take advantage of the
incrementally higher yields provided by certain mortgage-backed securities.
- -------------------------------------------------------------------------------
STRATEGY AND OUTLOOK
- -------------------------------------------------------------------------------
We are cautiously optimistic about the prospects for the U.S. stock and bond
markets in 1997. We are optimistic because the economy appears to be on a steady
course in which it should neither overheat to inflationary levels nor
deteriorate into a recession. Current indicators suggest that the first part of
1997 will see an unchanged monetary policy, modestly lower interest rates and
low rates of inflation.
The prospect of lower interest rates should be good news for the bond market,
where prices will rise if yields fall. The bond market could become particularly
attractive if President Clinton and the Republican Congress make substantial
progress toward further reducing the federal budget deficit.
Our stock market outlook, while favorable, is more cautious. The fundamentals of
rising corporate earnings and good liquidity suggest that the bull market has a
way to go, but stock prices relative to earnings are at the high end of their
historical range. Because the recent stock market rally has been exceptional in
both magnitude and duration, we cannot rule out a short-term correction that
will bring valuations down to more sustainable levels. Over the longer term,
however, we continue to believe that stocks will deliver more competitive
returns than either bonds or cash. Consequently, we would view a possible stock
market correction in 1997 as an excellent opportunity to buy high-quality
companies at attractively low prices.
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
BY THE NUMBERS
- -------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
(As of 12/31/96)
- ----------------------------------------------------------------------------
% OF
NAME INDUSTRY SECTOR NET ASSETS
Gillette Co. Consumer Non-Durables 1.37%
American International Group Finance 1.26%
General Electric Co. Producer Manufacturing 1.19%
Colgate-Palmolive Co. Consumer Non-Durables 1.16%
Kimberly-Clark Corp. Consumer Non-Durables 1.15%
State Street BankCorp. Finance 1.15%
Walgreen Co. Retail Trade 1.13%
Johnson & Johnson Health Services/Technology 1.13%
Procter & Gamble Co. Consumer Non-Durables 1.12%
Emerson Electric Co. Producer Manufacturing 1.10%
- ----------------------------------------------------------------------------
CHANGES IN PORTFOLIO ASSET ALLOCATION
Portfolio of investments
as of 12/31/96
STOCKS 49%
TREASURIES 20%
OTHER BONDS 22%
CASH/SHORT TERM/OTHER 9%
...Compared to 12/31/95
STOCKS 51%
TREASURIES 29%
OTHER BONDS 16%
CASH/SHORT TERM/OTHER 4%
- ----------------------------------------------------------------------------
- -------------------------------------------------------------------------------
FUND DATA All Periods Ended December 31, 1996
- -------------------------------------------------------------------------------
Total Returns
------------------------------------
Since
One Five 10/19/90
Year Years* Inception*
------ ------ ---------
Landmark Balanced Fund without Sales
Charge ............................... 7.59% 8.42% 12.35%
Lipper Balanced Funds Average ........... 13.76% 11.67% 13.55%+
Standard & Poor's 500 Index ............. 22.95% 15.20% 18.82%+
Lehman Government/Corporate Bond Index .. 2.90% 7.18% 8.95%+
Landmark Balanced Fund with Maximum
Sales Charge of 4.75% ................... 2.48% 7.37% 11.47%
* Average Annual Total Return.
+ From 10/31/90.
30-Day SEC Yield 2.76%
Income Dividends Per Share $0.497
Capital Gain Distribution $0.780
- -------------------------------------------------------------------------------
PERFORMANCE HIGHLIGHTS
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$19,619 with sales charge (as of 12/31/96). The graph shows how the Fund
compares to our benchmarks for the same period.
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.
Landmark Landmark Lehman
Balanced Balanced Lipper Government/
w/o sales w sales Balanced S&P Corporate
charge charge Average Index Bond Index
Oct-90 9,826 9,359 10,000 10,000 10,000
Nov-90 10,369 9,877 10,435 10,646 10,218
Dec-90 10,609 10,106 10,677 10,943 10,372
Jan-91 11,105 10,578 11,034 11,420 10,488
Feb-91 11,673 11,119 11,521 12,237 10,579
Mar-91 11,816 11,255 11,725 12,533 10,652
Apr-91 11,827 11,265 11,753 12,563 10,774
May-91 12,264 11,681 12,099 13,104 10,825
Jun-91 11,837 11,275 11,726 12,504 10,813
Jul-91 12,403 11,814 12,122 13,087 10,949
Aug-91 12,886 12,274 12,434 13,397 11,201
Sep-91 12,713 12,109 12,450 13,173 11,435
Oct-91 12,945 12,330 12,633 13,350 11,537
Nov-91 12,723 12,119 12,354 12,812 11,652
Dec-91 13,751 13,098 13,358 14,277 12,045
Jan-92 13,496 12,855 13,242 14,012 11,867
Feb-92 13,698 13,048 13,401 14,194 11,930
Mar-92 13,530 12,887 13,203 13,917 11,864
Apr-92 13,583 12,938 13,323 14,326 11,935
May-92 13,658 13,009 13,462 14,397 12,167
Jun-92 13,417 12,780 13,317 14,182 12,345
Jul-92 13,868 13,210 13,714 14,762 12,662
Aug-92 13,664 13,015 13,584 14,460 12,774
Sep-92 13,910 13,249 13,755 14,630 12,948
Oct-92 14,115 13,445 13,756 14,681 12,750
Nov-92 14,569 13,877 14,096 15,182 12,738
Dec-92 14,690 13,992 14,357 15,369 12,958
Jan-93 14,798 14,095 14,551 15,498 13,240
Feb-93 14,776 14,075 14,647 15,709 13,515
Mar-93 15,288 14,562 14,922 16,040 13,560
Apr-93 15,091 14,375 14,738 15,652 13,665
May-93 15,331 14,603 14,980 16,071 13,657
Jun-93 15,326 14,598 15,148 16,118 13,968
Jul-93 15,206 14,484 15,172 16,054 14,057
Aug-93 15,688 14,943 15,630 16,662 14,380
Sep-93 15,677 14,933 15,683 16,534 14,431
Oct-93 15,809 15,059 15,824 16,876 14,490
Nov-93 15,644 14,901 15,593 16,716 14,318
Dec-93 15,935 15,178 15,869 16,918 14,380
Jan-94 16,282 15,509 16,255 17,494 14,597
Feb-94 15,958 15,200 15,936 17,020 14,279
Mar-94 15,350 14,621 15,350 16,277 13,929
Apr-94 15,440 14,707 15,379 16,486 13,814
May-94 15,643 14,899 15,451 16,756 13,787
Jun-94 15,282 14,556 15,168 16,346 13,754
Jul-94 15,702 14,957 15,511 16,882 14,029
Aug-94 16,020 15,259 15,908 17,574 14,035
Sep-94 15,590 14,849 15,620 17,149 13,823
Oct-94 15,818 15,067 15,712 17,546 13,808
Nov-94 15,430 14,697 15,325 16,902 13,561
Dec-94 15,607 14,866 15,454 17,151 13,650
Jan-95 15,804 15,053 15,646 17,595 13,912
Feb-95 16,300 15,526 16,117 18,280 14,235
Mar-95 16,602 15,813 16,393 18,819 14,330
Apr-95 16,811 16,012 16,693 19,372 14,531
May-95 17,450 16,621 17,231 20,145 15,140
Jun-95 17,624 16,787 17,553 20,613 15,261
Jul-95 17,847 16,999 17,957 21,295 15,201
Aug-95 17,835 16,988 18,111 21,348 15,396
Sep-95 18,233 17,367 18,515 22,249 15,553
Oct-95 18,256 17,389 18,471 22,169 15,782
Nov-95 18,892 17,995 19,036 23,140 16,042
Dec-95 19,144 18,235 19,295 23,586 16,278
Jan-96 19,474 18,549 19,642 24,388 16,379
Feb-96 19,291 18,374 19,713 24,615 16,031
Mar-96 19,339 18,421 19,790 24,852 15,897
Apr-96 19,327 18,409 19,996 25,217 15,787
May-96 19,511 18,584 20,242 25,865 15,760
Jun-96 19,746 18,808 20,262 25,963 15,970
Jul-96 19,190 18,279 19,709 24,816 16,007
Aug-96 19,400 18,479 20,068 25,339 15,967
Sep-96 20,130 19,174 20,811 26,763 16,251
Oct-96 20,304 19,340 21,198 27,502 16,629
Nov-96 21,025 20,026 22,146 29,578 16,935
Dec-96 20,597 19,619 21,913 28,993 16,747
- -------------------------------------------------------------------------------
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 December 31, 1996
- -------------------------------------------------------------------------------
ASSETS:
Investment in Balanced Portfolio, at value (Note 1A) ............ $230,576,143
Receivable for shares of beneficial interest sold ............... 335,724
------------
Total assets ................................................ 230,911,867
------------
LIABILITIES:
Payable for shares of beneficial interest repurchased ........... 442,433
Payable to affiliates--Shareholder servicing
agents' fees (Note 2B) ........................................ 52,090
Accrued expenses and other liabilities .......................... 34,854
------------
Total liabilities ........................................... 529,377
------------
NET ASSETS for 14,757,768 shares of beneficial
interest outstanding ........................................... $230,382,490
============
NET ASSETS CONSIST OF:
Paid-in capital ................................................. 201,360,351
Unrealized appreciation of investments .......................... 22,373,460
Accumulated net realized gain ................................... 6,644,465
Undistributed net investment income ............................. 4,214
------------
Total ....................................................... $230,382,490
============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE
OF BENEFICIAL INTEREST ........................................ $15.61
======
COMPUTATION OF OFFERING PRICE:
Maximum Offering Price per share based on a
4.75% sales charge ($15.61/0.9525) ............................ $16.39
======
See notes to financial statements
<PAGE>
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Landmark Balanced Fund
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- -------------------------------------------------------------------------------
INVESTMENT INCOME (Note 1B):
Interest Income from Balanced Portfolio ........ $ 7,590,166
Dividend Income from Balanced Portfolio ........ 2,023,945
Other Income: Foreign Tax reclaim .............. 11,166
Allocated Expenses from Balanced Portfolio ..... (1,306,005) $ 8,319,272
------------
EXPENSES:
Shareholder Servicing Agents' fees (Note 2B) ... 592,565
Administrative fees (Note 2A) .................. 592,565
Distribution fees (Note 3) ..................... 355,539
Expense fees (Note 6) .......................... 47,421
------------
Total expenses ............................. 1,588,090
Less aggregate amount waived by Administrator
and Distributor (Note 2A and 3) .............. (474,052)
------------
Net expenses .............................. 1,114,038
------------
Net investment income ..................... 7,205,234
------------
Net Realized and Unrealized Gain (Loss) from
Balanced Portfolio:
Net realized gain .............................. 17,519,270
Net change in unrealized appreciation
(depreciation) ............................... (7,483,373)
------------
NET REALIZED AND UNREALIZED GAIN FROM
BALANCED PORTFOLIO ...................... 10,035,897
------------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS ................................... $ 17,241,131
============
See notes to financial statements
<PAGE>
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Landmark Balanced Fund
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------
1996 1995
------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ........................ $ 7,205,234 $ 7,579,988
Net realized gain ............................ 17,519,270 12,126,490
Net change in unrealized appreciation
(depreciation) ............................. (7,483,373) 28,313,715
------------- -------------
Net increase in net assets resulting
from operations .......................... 17,241,131 48,020,193
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................ (7,201,020) (7,683,860)
Net realized gain ............................ (10,892,398) (5,178,062)
------------- -------------
Decrease in net assets from
distributions to shareholders ............ (18,093,418) (12,861,922)
------------- -------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
(NOTE 5):
Net proceeds from sale of shares ............. 6,705,252 4,172,040
Net asset value of shares issued
to shareholders from reinvestment
of distributions ........................... 18,086,460 12,859,063
Cost of shares repurchased ................... (39,558,540) (33,496,565)
------------- -------------
Net decrease in net assets from
transactions in shares of
beneficial interest ...................... (14,766,828) (16,465,462)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS ........ (15,619,115) 18,692,809
NET ASSETS:
Beginning of period .......................... 246,001,605 227,308,796
------------- -------------
End of period (including undistributed
net investment income of $4,214 and
$0, respectively) .......................... $ 230,382,490 $ 246,001,605
============= =============
See notes to financial statements
<PAGE>
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Landmark Balanced Fund
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
1996 1995 1994++ 1993++ 1992++
------ ------ ------ ------ ------
Net Asset Value,
beginning of period ........ $15.71 $13.52 $14.24 $13.54 $12.93
------ ------ ------ ------ ------
Income From Operations:
Net investment income ....... 0.497 0.486 0.399 0.336** 0.266
Net realized and unrealized
gain (loss) ............... 0.680 2.540 (0.695) 0.803** 0.600
------ ------ ------ ------ ------
Total from operations .. 1.177 3.026 (0.296) 1.139 0.866
------ ------ ------ ------ ------
Less Distributions From:
Net investment income ..... (0.497) (0.495) (0.394) (0.319) (0.256)
Net realized gain ......... (0.780) (0.341) (0.030) (0.120) --
------ ------ ------ ------ ------
Total from distributions (1.277) (0.836) (0.424) (0.439) (0.256)
------ ------ ------ ------ ------
Net Asset Value, end of
period ..................... $15.61 $15.71 $13.52 $14.24 $13.54
====== ====== ====== ====== ======
Ratios/Supplemental Data:
Net assets, end of
period (000's omitted) .... $230,382 $246,002 $227,309 $265,216 $15,296
Ratio of expenses to
average net assets ........ 1.02%(A) 1.02%(A) 1.02%(A) 1.04% 1.40%
Ratio of net investment
income to average
net assets ................ 3.04% 3.21% 2.82% 2.46% 2.07%
Portfolio turnover (B) ...... -- -- 29% 101% 102%
Total return ................ 7.59% 22.66% (2.06)% 8.48% 6.82%
Note: If Agents of the Fund for the periods indicated had not voluntarily
waived a portion of their fees the net investment income per share and the
ratios would have been as follows:
Net investment income ....... $0.464 $0.463 $0.378 $0.310** $0.148
Ratios:
Expenses to average
net assets ................ 1.22%(A) 1.17%(A) 1.17%(A) 1.23% 2.32%
Net investment income
to average net assets ..... 2.84% 3.06% 2.67% 2.27% 1.15%
** 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
periods 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>
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Landmark Balanced Fund
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
- -------------------------------------------------------------------------------
(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 (93.2% at December 31, 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 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, 1996, the Fund reclassified $30,657 to paid-in capital, from accumulated net
gain on investment.
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 $592,565 of which $237,026 was voluntarily
waived for the year ended December 31, 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 $592,565 for the year ended December 31,
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 $355,539 of which $237,026 was voluntarily waived
for the year ended December 31, 1996.
(4) INVESTMENT TRANSACTIONS
Increases and decreases in the Fund's investment in the Portfolio for the year
ended December 31, 1996 aggregated $6,433,742 and $40,531,298, respectively.
(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:
Year Ended December 31,
----------------------------
1996 1995
---------- ----------
Shares sold ........................ 420,667 278,541
Shares issued to shareholders
from reinvestment of distribution 1,153,025 843,462
Shares repurchased ................. (2,477,838) (2,270,911)
---------- ----------
Net decrease ....................... (904,146) (1,148,908)
========== ==========
<PAGE>
(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 less 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>
- -------------------------------------------------------------------------------
Landmark Balanced Fund
- -------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- -------------------------------------------------------------------------------
TO THE TRUSTEES AND THE SHAREHOLDERS OF LANDMARK FUNDS I (THE TRUST):
LANDMARK BALANCED FUND
In our opinion, the accompanying statement of assets and liabilities, and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
Landmark Balanced Fund (the "Fund"), a series of Landmark Funds I, at December
31, 1996, and the results of its operations, the changes in its net assets and
the financial highlights for the periods indicated in conformity with generally
accepted accounting principles. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments owned at December 31, 1996 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 4, 1997
<PAGE>
- --------------------------------------------------------------------------------
Balanced Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS December 31, 1996
- --------------------------------------------------------------------------------
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
COMMON STOCKS -- 49.1%
- --------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.5%
Interpublic Group, Inc. ............................ 25,600 $ 1,216,000
------------
COMMODITIES & PROCESSING--2.6%
Morton International Inc. .......................... 32,000 1,304,000
Praxair, Inc. ...................................... 54,800 2,527,650
Sigma Aldrich, Inc. ................................ 39,900 2,491,256
------------
6,322,906
------------
CONSUMER NON-DURABLES--6.4%
Clorox Co. ......................................... 26,500 2,659,937
Coca-Cola Co. ...................................... 23,900 1,257,737
Colgate-Palmolive Co. .............................. 31,200 2,878,200
Gillette Co. ....................................... 43,700 3,397,675
Kimberly-Clark Corp. ............................... 30,000 2,857,500
Procter & Gamble Co. ............................... 25,800 2,773,500
------------
15,824,549
------------
CONSUMER SERVICES--3.6%
Carnival Corp. ..................................... 81,800 2,699,400
CUC International Inc.* ............................ 96,450 2,290,688
Gannett Co. Inc. ................................... 16,000 1,198,000
Regal Cinemas Inc.* ................................ 45,500 1,399,125
Washington Post Co. ................................ 3,600 1,206,450
------------
8,793,663
------------
ELECTRONICS/TECHNOLOGICAL SERVICES--8.3%
Affiliated Computer Service* ....................... 52,400 1,558,900
Andrew Corp.* ...................................... 43,000 2,281,687
Automatic Data Processing .......................... 43,000 1,843,625
Cisco Systems, Inc.* ............................... 35,000 2,226,875
Computer Associates Intl. Inc. ..................... 42,175 2,098,206
Intel Corp. ........................................ 17,750 2,324,141
Network General Corp.* ............................. 21,500 650,375
Oracle Corp.* ...................................... 56,750 2,369,313
Parametric Technology Corp.* ....................... 34,000 1,746,750
Perkin-Elmer Corp. ................................. 33,300 1,960,538
Sungard Data Systems, Inc.* ........................ 35,400 1,398,300
------------
20,458,710
------------
ENERGY MINERALS--3.8%
Exxon Corp. ........................................ 24,900 2,440,200
Mobil Corp. ........................................ 19,300 2,359,425
Royal Dutch Petroleum Co. ADRs ..................... 13,800 2,356,350
Unocal Corp. ....................................... 54,000 2,193,750
------------
9,349,725
------------
FINANCE--7.6%
American International Group ....................... 28,700 3,106,775
Federal National Mortgage Association .............. 69,000 2,570,250
Franklin Resources Inc. ............................ 37,800 2,584,575
MBIA Inc. ......................................... 13,600 1,377,000
Norwest Corp. ...................................... 60,500 2,631,750
State Street Bank Corp. ............................ 44,300 2,857,350
Travelers Group Inc. ............................... 55,666 2,525,843
Zions BanCorporation ............................... 12,900 1,341,600
------------
18,995,143
------------
HEALTH SERVICES/TECHNOLOGY--6.7%
Cardinal Health Inc. ............................... 43,800 2,551,350
Health Management Associates* ...................... 115,250 2,593,125
Johnson & Johnson .................................. 56,200 2,795,950
Medtronic, Inc. .................................... 38,300 2,604,400
Pfizer Inc. ........................................ 30,800 2,552,550
Schein Henry, Inc.* ................................ 37,100 1,275,313
Schering-Plough Corp. .............................. 18,200 1,178,450
Warner Lambert Co. ................................. 15,600 1,170,000
------------
16,721,138
------------
PRODUCER MANUFACTURING--5.2%
Crane Co. .......................................... 41,250 1,196,250
Danaher Corp. ...................................... 800 37,300
Deere & Co. ........................................ 53,800 2,185,625
Emerson Electric Co. ............................... 28,200 2,728,350
Federal Signal Corp. ............................... 102,400 2,649,600
General Electric Co. ............................... 29,800 2,946,475
Xerox Corp. ........................................ 24,600 1,294,575
------------
13,038,175
------------
RETAIL TRADE--3.3%
Hannaford Brothers Co. ........................... 40,200 $ 1,366,800
Kohls Corp.* ..................................... 37,300 1,464,025
Nine West Group Inc.* ............................ 57,000 2,643,375
Walgreen Co. ..................................... 70,000 2,800,000
------------
8,274,200
------------
TRANSPORTATION--1.1%
Wisconsin Central Transport.* .................... 66,700 2,642,988
------------
TOTAL COMMON STOCKS
(Identified Cost $99,277,132) ................... 121,637,197
------------
- --------------------------------------------------------------------------------
FIXED INCOME--42.0%
- --------------------------------------------------------------------------------
Principal
Amount
------------
ASSET BACKED SECURITIES--1.4%
Green Tree Financial Corp 8.05% due 11/15/27 ..... $ 3,500,000 3,559,045
------------
MORTGAGE OBLIGATIONS--18.6%
COLLATERALIZED MORTGAGE OBLIGATIONS--4.4%
Asset Securitization Corp. Ser.96
7.21% due 10/13/26 .............................. 2,000,000 2,034,375
Asset Securitization Corp. Ser.95
MD4 7.384% due 8/13/29 ......................... 2,500,000 2,521,875
Interamer Dev. Bank 6.95% due 8/01/26 ............ 2,000,000 2,073,340
GMAC Commercial Mortgage 7.22% due 2/15/06 ....... 1,000,000 1,011,563
Nomura Asset Securities Corp. 8.15% due 3/04/20 .. 3,000,000 3,205,312
------------
10,846,465
------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS--10.6%
Federal Home Loan Mortgage Corp.
7.50% due 1/15/20 ............................... 2,982,006 3,000,177
7.50% due 8/15/21 ............................... 6,885,366 6,927,324
7.50% due 5/15/23 ............................... 1,928,723 1,934,750
8.50% due 6/01/01 ............................... 24,165 24,996
9.50% due 2/01/01 ............................... 13,694 14,301
Federal National Mortgage Assoc. 7.00% due 5/1/03. 6,782,676 6,810,214
7.50% due 10/01/25 .............................. 274,634 274,461
7.50% due 11/01/25 .............................. 3,644,492 3,642,196
8.00% due 7/01/26 ............................... 3,397,962 3,461,674
9.00% due 11/01/01 .............................. 20,212 21,066
------------
26,111,159
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--3.6%
8.25% due 7/15/05 ............................... 777,935 794,466
7.50% due 7/15/25 ............................... 3,249,743 3,250,751
7.50% due 5/15/26 ............................... 2,962,827 2,963,745
7.50% due 6/15/26 ............................... 1,908,710 1,909,301
------------
8,918,263
------------
TOTAL MORTGAGE OBLIGATIONS ....................... 45,875,887
------------
DOMESTIC CORPORATE BONDS--1.5% Aetna Services Inc.
6.97% due 8/15/36 ............................... 1,700,000 1,731,127
WMX Technologies 7.10% due 8/01/26 ............... 2,000,000 2,064,280
------------
3,795,407
------------
YANKEES--0.8%
Enersis 6.90% due12/01/06 ........................ 2,000,000 1,952,280
------------
UNITED STATES GOVERNMENT & AGENCY
OBLIGATIONS--19.7%
UNITED STATES TREASURY BONDS--2.7%
6.50% due 11/15/26 ............................... 6,800,000 6,673,588
------------
UNITED STATES TREASURY NOTES--15.6%
6.25% due 6/30/98 ............................... 13,000,000 13,087,360
5.875% due 11/15/99 ............................. 3,500,000 3,486,314
6.625% due 6/30/01 .............................. 10,900,000 11,075,381
6.375% due 9/30/01 .............................. 3,000,000 3,017,820
5.875% due 2/15/04 .............................. 7,000,000 6,815,130
6.50% due 10/15/06 .............................. 1,000,000 1,005,470
------------
38,487,475
------------
UNITED STATES AGENCY OBLIGATIONS--1.4%
Tennessee Valley Authority 1996 Ser A,
5.98% due 4/01/36 ............................... 3,500,000 3,552,049
------------
TOTAL UNITED STATES GOVERNMENT & AGENCY
OBLIGATIONS .................................... 48,713,112
------------
TOTAL FIXED INCOME
(Identified cost $103,163,179) 103,895,731
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--8.7%
- --------------------------------------------------------------------------------
Lanston Repurchase Agreement
6.40% due 1/02/97, proceeds at
maturity $6,607,348 (collateralized
by $6,747,368 U.S. Treasury Note
5.50% due 12/31/00) ............................ 6,605,000 6,605,000
United States Treasury Bill
4.925% due 2/06/97 ............................. 15,000,000 14,915,865
------------
21,520,865
------------
TOTAL INVESTMENTS
(Identified Cost $223,961,176) .................. 99.8% 247,053,793
OTHER ASSETS
LESS LIABILITIES ............................... 0.2 472,275
----- ------------
NET ASSETS ....................................... 100.0% $247,526,068
===== ============
ADRs American Depositary Receipts
*Non-income producing
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES December 31, 1996
- -------------------------------------------------------------------------------
ASSETS:
Investments at value (Note 1A) (Identified Cost, $223,961,176) . $247,053,793
Cash ........................................................... 155
Receivable for investments sold ................................ 3,167,813
Dividends and interest receivable .............................. 940,843
------------
Total assets ............................................... 251,162,604
------------
LIABILITIES:
Payable for investments purchased .............................. 3,511,745
Payable to affiliates--Investment advisory fees (Note 2) ....... 90,166
Accrued expenses and other liabilities ......................... 34,625
------------
Total liabilities .......................................... 3,636,536
------------
NET ASSETS ..................................................... $247,526,068
============
REPRESENTED BY:
Paid-in capital for beneficial interests ....................... $247,526,068
============
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Year Ended December 31, 1996
- -------------------------------------------------------------------------------
INVESTMENT INCOME:
Interest ........................................ $ 7,971,017
Dividends ....................................... 2,118,512
------------
Total Income .................................. $ 10,089,529
EXPENSES:
Investment advisory fees (Note 2) ............... 996,840
Administrative fees (Note 3) .................... 124,605
Expense fees (Note 6) ........................... 249,245
------------
Total expenses ................................ 1,370,690
------------
Net investment income ......................... 8,718,839
------------
NET REALIZED AND UNREALIZED GAIN (LOSS)
ON INVESTMENTS:
Net realized gain from investment
transactions and futures contracts ............ 17,739,660
Unrealized appreciation (depreciation)
of investments and futures contracts
Beginning of period ........................... 30,180,320
End of period ................................. 23,092,617
------------
Net change in unrealized appreciation
(depreciation) of investments and futures
contracts ................................... (7,087,703)
------------
Net realized and unrealized gain on
investments and futures contracts ............ 10,651,957
------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS ............................... $ 19,370,796
============
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
YEAR ENDED DECEMBER 31,
------------------------------
1996 1995
---- ----
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ......................... $ 8,718,839 $ 8,819,568
Net realized gain from investment
transactions and futures contracts ........... 17,739,660 12,205,642
Net change in unrealized appreciation
(depreciation) of investments and
futures contracts ......................... (7,087,703) 28,644,636
------------- -------------
Net increase in net assets
resulting from operations ............... 19,370,796 49,669,846
------------- -------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ................... 18,210,247 8,144,524
Value of withdrawals .......................... (41,573,741) (35,243,567)
------------- -------------
Net increase (decrease) in net assets
from capital transactions ................ (23,363,494) (27,099,043)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS ......... (3,992,698) 22,570,803
NET ASSETS:
Beginning of period ........................... 251,518,766 228,947,963
------------- -------------
End of period ................................. $ 247,526,068 $ 251,518,766
============= =============
See notes to financial statements
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
MAY 1, 1994
YEAR ENDED DECEMBER 31, (COMMENCEMENT
---------------------- OF OPERATIONS) TO
1996 1995 DECEMBER 31, 1994
---- ---- -----------------
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period
(000's omitted) ............. $247,526 $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 ....... 3.50% 3.69% 3.53%*
Portfolio turnover ............. 241% 210% 105%
Average commission rate per
share (A) .................... $ 0.0589 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
- -------------------------------------------------------------------------------
(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 Portfolio's Administrator.
The preparation of financial statements in accordance with U.S. 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
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 -- 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 agreement's
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 December 31, 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 $996,840 for the year ended December
31, 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
$124,605 for the year ended December 31, 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 $570,884,966 and $599,271,849, respectively, for the year ended
December 31, 1996. Purchases and sales of U.S. Government securities aggregated
to $224,173,699 and $247,684,664, respectively.
(5) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at December 31, 1996, as computed on a federal income tax
basis, are as follows:
Aggregate cost ................................... $223,972,268
============
Gross unrealized appreciation .................... $ 24,401,391
Gross unrealized depreciation .................... (1,319,866)
------------
Net unrealized appreciation ...................... $ 23,081,525
============
(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 less 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 year ended December 31, 1996, the
commitment fee allocated to the Portfolio was $989. Since the line of credit was
established, there have been no borrowings.
<PAGE>
- -------------------------------------------------------------------------------
Balanced Portfolio
- -------------------------------------------------------------------------------
INDEPENDENT AUDITORS' REPORT
- -------------------------------------------------------------------------------
TO THE TRUSTEES AND THE INVESTORS OF THE PREMIUM PORTFOLIOS (THE TRUST), WITH
RESPECT TO ITS SERIES, BALANCED PORTFOLIO:
We have audited the accompanying statement of assets and liabilities,
including the portfolio of investments, of Balanced Portfolio (the "Portfolio"),
a series of The Premium Portfolios, as at December 31, 1996 and the related
statements of operations and of changes in net assets and the financial
highlights for the periods indicated. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Portfolio's management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with U.S. generally accepted auditing
standards. Those standards require that we plan and perform an audit to obtain
reasonable assurance whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of investments owned as
at December 31, 1996 by correspondence with the custodian and brokers and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for our opinion.
In our opinion, these financial statements present fairly, in all material
respects, the financial position of the Portfolio as at December 31, 1996, the
results of its operations and the changes in its net assets and the financial
highlights for the periods indicated in accordance with U.S. generally accepted
accounting principles.
PRICE WATERHOUSE
Chartered Accountants
Toronto, Ontario
February 4, 1997
<PAGE>
- -------------------------------------------------------------------------------
SHAREHOLDER SERVICING AGENTS
- -------------------------------------------------------------------------------
FOR CITIBANK NEW YORK RETAIL BANKING AND
BUSINESS AND PROFESSIONAL CUSTOMERS:
Citibank, N.A.
111 Wall Street, New York, NY 10043
(212) 820-2383 or (800) 846-5300
FOR CITIGOLD CUSTOMERS:
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 CITIBANK 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,
Investment Specialists 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 CITIBANK 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) 820-2380 in New York City
<PAGE>
CITISELECT
PORTFOLIOS
- -----------------------------------
CITISELECT FOLIO 200
- -----------------------------------
CITISELECT FOLIO 300
- -----------------------------------
CITISELECT FOLIO 400
- -----------------------------------
CITISELECT FOLIO 500
- -----------------------------------
ANNUAL
REPORT
DECEMBER 31, 1996
- -----------------------------------
CITICORP INVESTMENT SERVICES
- -----------------------------------
A CITIBANK COMPANY
<PAGE>
A LETTER TO OUR SHAREHOLDERS
- -------------------------------------------------------------------------------
Dear Shareholder:
During 1996, all four CitiSelectSM portfolios performed in line with our
expectations. As they were designed to do, the portfolios produced competitive
returns with reduced risk by participating in market rallies and cushioning the
effects of market declines.
Since they began operations on June 17, 1996, CitiSelectSM Folio 200
(conservative), CitiSelectSM Folio 300 (balanced) and CitiSelectSM Folio 400
(aggressive, growth oriented) have provided returns above their blended
("Composite") benchmarks while employing broad asset class diversification to
dampen volatility. On September 3, 1996, we introduced CitiSelectSM Folio 500, a
more aggressive, growth-oriented portfolio, giving shareholders an even broader
choice of investment objectives and risk levels.
The CitiSelect portfolios' investment manager, Citibank N.A., attributes the
positive performance of 1996 to diversification among carefully selected stocks,
bonds and cash equivalents, coupled with an asset allocation strategy that is
designed to determine the appropriate mix of these assets to be held in each
portfolio. This strategy strives to deliver the right balance of risk and
potential return to help shareholders achieve their financial goals. The
portfolios are also diversified within each class according to security type
and, in some cases, investment style. As a result, CitiSelect shareholders have
affordable exposure to a wide range of securities and styles, helping them to
participate in the strongest areas of the financial markets without becoming
overly vulnerable to changes in any single area.
In addition, I am pleased to inform you that investments in the CitiSelect
portfolios are available with no initial sales charges as of January 2, 1997. We
have made this change in response to overwhelmingly positive reaction to the
waiver of initial sales charges offered during 1996.
On behalf of the Board of Trustees, we want to thank you for your participation
in the CitiSelect family. We look forward to serving your investment needs in
the months and years ahead.
/s/ Philip Coolidge
Philip W. Coolidge
President
January 17, 1997
TABLE OF CONTENTS
- -------------------------------------------------------------------------------
A Letter to Our Shareholders ............................................ 1
Market Environment ...................................................... 2
Fund Snapshot ........................................................... 2
Portfolio Managers ...................................................... 3
Strategy and Outlook .................................................... 5
Fund Data ............................................................... 6
CITISELECT PORTFOLIOS
Statement of Assets and Liabilities ..................................... 10
Statement of Operations ................................................. 11
Statement of Changes in Net Assets ...................................... 12
Financial Highlights .................................................... 13
Notes to Financial Statements ........................................... 14
Independent Auditors' Report ............................................ 17
ASSET ALLOCATION PORTFOLIOS
Portfolio of Investments
Asset Allocation Portfolio 200 ........................................ 18
Asset Allocation Portfolio 300 ........................................ 27
Asset Allocation Portfolio 400 ........................................ 37
Asset Allocation Portfolio 500 ........................................ 47
Statement of Assets and Liabilities ..................................... 55
Statement of Operations ................................................. 56
Statement of Changes in Net Assets ...................................... 57
Financial Highlights .................................................... 57
Notes to Financial Statements ........................................... 58
Independent Auditors' Report ............................................ 62
- -------------------------------------------------------------------------------
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
- -------------------------------------------------------------------------------
When CitiSelectSM Folios 200, 300 and 400 began operations in mid-June, the U.S.
stock market had already gained 9% since the beginning of the year in response
to a combination of positive economic growth, low inflation and strong corporate
earnings. In July, however, small-capitalization stocks suffered a correction of
more than 10% when a small number of high-profile technology companies reported
lower-than-expected earnings. Although few other technology companies
subsequently reported disappointing earnings, small-cap stocks did not keep pace
with large-cap stocks during the third and fourth quarters. The combination of
strong corporate earnings and investors' preference for liquidity supported a
rally in the stocks of large companies with consistent earnings growth.
International stocks produced mixed results during the second half of 1996 as
gains in Europe were offset by disappointing performance in Japan and some
emerging markets. Many European companies are operating in an environment
strikingly similar to that of the U.S. a few years ago, in which positive growth
and low inflation in the economy complement a focus on restructuring, cost
savings and productivity improvements within the companies themselves. Japan is
still working towards strengthening its weak economy, while many of the emerging
markets of Asia have struggled either with inflation caused by very robust
economic growth or, in some cases, with weaker exports.
In the U.S. bond market, weaker economic growth during the second half of the
year supported the Federal Reserve Board's decision to hold monetary policy
steady since its last easing in January. The prospect of moderate economic
growth produced positive total rates of return for U.S. bonds of most types and
maturities. International bonds performed slightly better than their U.S.
counterparts in U.S.-dollar-adjusted terms.
<TABLE>
<CAPTION>
FUND SNAPSHOT
- ------------------------------------------------------------------------------------------------------------
CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCEPTION DATE June 17, 1996 June 17, 1996 June 17, 1996 September 3, 1996
- ------------------------------------------------------------------------------------------------------------
NET ASSETS
AS OF 12/31/96 $102.8 million $195.4 million $253.6 million $85.1 million
- ------------------------------------------------------------------------------------------------------------
FUND OBJECTIVE High total return High total return High total return Highest total return
over time consistent over time consistent over time consistent over time consistent
with a primary with a balanced with a primary with a primary
emphasis on emphasis on emphasis on capital emphasis on capital
income and a income and appreciation and a appreciation and a
secondary emphasis capital secondary emphasis secondary emphasis
on capital appreciation. on income for risk on income for risk
appreciation. reduction purposes. reduction purposes.
- ------------------------------------------------------------------------------------------------------------
DIVIDENDS Paid monthly, Paid quarterly, Paid annually, Paid annually, if any
if any if any if any if any
- ------------------------------------------------------------------------------------------------------------
CAPITAL GAINS Paid annually, Paid annually, Paid annually, Paid annually,
if any if any if any 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
joined Citibank in 1994. Prior to joining Citibank he worked as a portfolio
manager at Fleming Capital Management and Bankers Trust Company.
Effective February 24, 1997, Linda J. Intini, Vice President of Citibank,
assumed responsibility for the daily management of small cap growth securities.
Ms. Intini has over nine years of experience specializing in the management of
small cap equities, including over $300 million of Citibank's small cap
portfolios for trusts and individuals. Prior to joining Citibank, she was a
Portfolio Manager and Research Analyst with Manufacturers Hanover in the Special
Equity area. She also specialized in equity research at Eberstadt Fleming.
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 has been a registered investment adviser since
1974. Morgan Stanley Management Holdings, Inc., an indirect wholly-owned
subsidiary of Morgan Stanley Group Inc., owns 95% of the interests in Miller
Anderson. On February 5, 1997, Morgan Stanley Group Inc. and Dean Witter,
Discover & Co. announced that they had entered into an Agreement and Plan of
Merger to form Morgan Stanley, Dean Witter, Discover & Co. Dean Witter, Discover
& Co. is a financial services company with three major businesses: full service
brokerage, credit services and asset management. Subject to certain conditions
being met, it is currently anticipated that the transaction will close in
mid-1997. Thereafter, Miller Anderson will be a subsidiary of Morgan Stanley,
Dean Witter, Discover & Co.
Robert Marcin, CFA, Partner, has been responsible for the daily management of
large cap value securities since the Funds' inception. Mr. Marcin has been with
Miller Anderson since 1988.
SMALL CAPITALIZATION VALUE SECURITIES
Franklin Advisory Services, Inc., a wholly-owned subsidiary of Franklin
Resources, Inc., is a registered investment adviser. William J. Lippman, Senior
Vice president of Franklin Advisory Services or its predecessor since June,
1988, has been responsible for the daily management of small capitalization
value securities since the Funds' inception. Prior to joining Franklin Advisory
Services, Mr. Lippman was president of L.F. Rothschild Fund Management, Inc.
INTERNATIONAL EQUITY SECURITIES
Hotchkis and Wiley, a division of the Capital Management Group of Merrill Lynch
Asset Management, L.P. is a registered investment adviser and is a wholly-owned
subsidiary of Merrill Lynch & Co., Inc., a Delaware corporation. 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 and 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 and Wiley, Ms. Ketterer was an
associate with Bankers Trust and an analyst with Dean Witter.
FOREIGN GOVERNMENT SECURITIES
Pacific Investment Management Company, PIMCO, is a registered investment adviser
and is a subsidiary partnership of PIMCO Advisors LP. A majority interest of
PIMCO Advisors LP is held by PIMCO Partners, G.P., a general partnership between
Pacific Investment Management Company, a California corporation and indirect
wholly-owned subsidiary of Pacific Mutual Life Insurance Company, and PIMCO
Partners, L.L.C., a limited liability company controlled by the managing
directors of PIMCO. 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.
STRATEGY AND OUTLOOK
- -------------------------------------------------------------------------------
ASSET ALLOCATION STRATEGIES
Each of the four CitiSelectSM portfolios is designed to achieve a well-defined
balance between risks and potential rewards, with CitiSelectSM Folio 200 at the
more conservative end of the spectrum and CitiSelectSM Folio 500 at the more
aggressive end. As shareholders invested in the portfolios following their
mid-year inceptions, the investment manager invested cash inflows as quickly as
possible. As a result, shareholders at the portfolios' inception were able to
benefit almost immediately from the continued rise of large-capitalization U.S.
stocks during the second half of the year.
Even though the portfolios were operational for only several months in 1996, we
are pleased that they performed as they were designed to do. As expected,
returns and risk rose incrementally: of the portfolios launched in June,
CitiSelect Folio 200 (conservative) provided the lowest risks and returns,
CitiSelect Folio 300 (balanced) the next highest and CitiSelect Folio 400
(aggressive, growth-oriented) the highest. CitiSelect Folio 500, introduced on
September 3, also provided positive returns as its assets were invested in a
rising stock market.
While allocations among the major asset classes (stock, bonds and cash) remained
relatively stable during the period, at our fourth-quarter rebalancing review we
adjusted the weightings within the equity asset class. After the U.S. stock
market gains of the first through third quarters, we rebalanced the equity
portion of the portfolios by allocating less to large-capitalization domestic
stocks and more to international stocks, which we believe are now poised for
above-average performance. We shifted 2.50% of assets from large-cap U.S. stocks
to international equities in CitiSelect Folios 200 and 300, and we shifted 5% of
assets between the same market sectors in CitiSelect Folios 400 and 500. Because
this rebalancing affected only the sector weightings within the equity portion
of the portfolios, it had no effect on the overall mix of stocks, bonds and
cash.
LOOKING FORWARD
The CitiSelect portfolios are designed as "all weather" investments, because of
their underlying diversification and asset allocation strategies, seek to
provide opportunities for returns and protection in all sorts of market
environments. Regardless of which markets are rising or falling at any point in
time, diversification both among and within the three major asset classes and
among investment styles should help enable shareholders to participate in the
strongest markets without becoming overly exposed to any single market. As it
did during the second half of 1996, we expect this strategy in 1997 to underlie
competitive returns and decreased volatility in line with each CitiSelect
portfolio's investment objectives.
While the portfolios are designed to be influenced more by their long term asset
allocation strategies than by short term market movement, the prospects for the
financial markets are vitally important to the ways in which we approach our
quarterly rebalancing reviews. Looking ahead, we are optimistic about the
prospect for the U.S. stock and bond markets in 1997, and we are even more
optimistic about international investments.
In the U.S. markets, we are optimistic because the economy appears to be on a
steady course in which it should neither overheat to inflationary levels nor
deteriorate into a recession. Current indicators suggest that the first several
months of 1997 will see a continuation of moderate economic growth characterized
by an unchanged monetary policy, modestly lower interest rates and low rates of
inflation. Continued low inflation and moderate economic growth should be good
news for the U.S. bond market, where prices are likely to rise as yields fall.
The bond market could become particularly attractive if President Clinton and
the Republican Congress make substantial progress toward further reducing the
federal budget deficit.
Our U.S. stock market outlook is also favorable. However, while the fundamentals
of rising corporate earnings and good liquidity suggest that the bull market has
a way to go, stock prices relative to earnings are at the high end of their
historical range. Because the recent stock market rally has been exceptional in
both magnitude and duration, we cannot rule out a short-term correction that
will bring valuations down to more sustainable levels. Over the longer term,
however, we continue to believe that stocks will deliver more attractive returns
than either bonds or cash.
We are modestly more optimistic regarding international equities as many of the
same forces that drove U.S. stock prices higher--corporate restructuring and
inflows of retirement assets, for example -- take hold in the industrialized
nations of Europe and Asia. We are especially bullish regarding the potential of
European stocks; Asian stocks should also gain strength as investors rediscover
the superior growth potential of the emerging markets.
<PAGE>
FUND DATA ALL PERIODS ENDED DECEMBER 31, 1996
- -------------------------------------------------------------------------------
TOTAL RETURN
------------
SINCE
6/17/96
INCEPTION**
------------
CITISELECT(SM) FOLIO 200 ................................... 6.38%
COMPOSITE BENCHMARK+ ....................................... 5.66%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 200
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,638 (as of 12/31/96). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to December 31, 1996
Lehman Bros
Intermediate
CitiSelect Composite S&P 500 Gov't/Corp
Folio 200 Benchmark Index Bond Index
--------- --------- ----- ----------
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 10,020.00 10,020.00 10,086.00 10,085.00
7/31/96 9,900.04 9,879.72 9,640.20 10,115.26
8/31/96 10,125.29 10,021.99 9,843.61 10,123.35
9/30/96 10,321.17 10,217.42 10,396.82 10,264.06
10/31/96 10,406.66 10,318.57 10,683.77 10,445.74
11/30/96 10,684.08 10,585.82 11,490.39 10,583.62
12/31/96 10,637.76 10,565.71 11,262.88 10,515.88
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Fund performance numbers shown do not reflect an
initial sales charge because it was waived during the period and was removed as
of January 2, 1997.
+The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (15%); Russell 2000 Index --
Small Cap Stocks (15%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (20%). Unlike fund's total return composite
benchmark total return do not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED DECEMBER 31, 1996
- -------------------------------------------------------------------------------
TOTAL RETURN
------------
SINCE
6/17/96
INCEPTION**
------------
CITISELECT(SM) FOLIO 300 ................................... 7.61%
COMPOSITE BENCHMARK+ ....................................... 6.15%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 300
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,761 (as of 12/31/96). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to December 31, 1996
Lehman Bros
Intermediate
CitiSelect Composite S&P 500 Gov't/Corp
Folio 300 Benchmark Index Bond Index
--------- --------- ----- ----------
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 10,020.00 10,014.00 10,086.00 10,085.00
7/31/96 9,810.00 9,786.68 9,640.20 10,115.26
8/31/96 10,110.00 9,959.91 9,843.61 10,123.35
9/30/96 10,355.31 10,208.90 10,396.82 10,264.06
10/31/96 10,435.58 10,304.87 10,683.77 10,445.74
11/30/96 10,806.85 10,645.96 11,490.39 10,583.62
12/31/96 10,761.11 10,615.09 11,262.88 10,515.88
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Fund performance numbers shown do not reflect an
initial sales charge because it was waived during the period and was removed as
of January 2, 1997.
+The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike fund's total return composite
benchmark total return do not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED DECEMBER 31, 1996
- -------------------------------------------------------------------------------
TOTAL RETURN
------------
SINCE
6/17/96
INCEPTION**
------------
CITISELECT(SM) FOLIO 400 ................................... 8.84%
COMPOSITE BENCHMARK+ ....................................... 5.71%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 400
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,883 (as of 12/31/96). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to December 31, 1996
Lehman Bros
Intermediate
CitiSelect Composite S&P 500 Gov't/Corp
Folio 400 Benchmark Index Bond Index
--------- --------- ----- ----------
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 9,990.00 9,981.00 10,086.00 10,085.00
7/31/96 9,700.00 9,632.66 9,640.20 10,115.26
8/31/96 10,110.00 9,859.99 9,843.61 10,123.35
9/30/96 10,400.00 10,143.96 10,396.82 10,264.06
10/31/96 10,440.00 10,178.45 10,683.77 10,445.74
11/30/96 10,890.00 10,572.36 11,490.39 10,583.62
12/31/96 10,883.71 10,571.30 11,262.88 10,515.88
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include charge in share price and reinvestment of dividends
and distributions, if any. Fund performance numbers shown do not reflect an
initial sales change because it was waived during the period and was removed as
of January 2, 1997.
+The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (5%);
Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (20%); Federal Reserve
91-day Treasury Bill -- Cash (5%). Unlike fund's total return composite
benchmark total return do not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED DECEMBER 31, 1996
- -------------------------------------------------------------------------------
TOTAL RETURN
------------
SINCE
9/3/96
INCEPTION**
------------
CITISELECT(SM) FOLIO 500 ................................... 7.20%
COMPOSITE BENCHMARK+ ....................................... 8.05%
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 500
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$10,720 (as of 12/31/96). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to December 31, 1996
Lehman Bros
Intermediate
CitiSelect Composite S&P 500 Gov't/Corp
Folio 500 Benchmark Index Bond Index
--------- --------- ----- ----------
9/3/96 10,000.00 10,000.00 10,000.00 10,000.00
9/30/96 10,230.00 10,362.00 10,315.40 10,029.40
10/31/96 10,220.00 10,351.64 10,212.25 10,198.90
11/30/96 10,690.00 10,795.72 10,620.74 10,316.18
12/31/96 10,720.46 10,805.44 10,486.91 10,241.91
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the Morgan Stanley EAFE Index or the Salomon Bros. Non-$ World Gov't
Index, which securities regulations require us to include. 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. Fund performance numbers shown do not reflect an
initial sales charge because it was waived during the period and was removed as
of January 2, 1997.
+The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 -- Large Cap Stocks (20%); Russell 2000 Index --
Small Cap Stocks (35%); Morgan Stanley EAFE Index -- International Stocks
(30%); Salomon Bros. Non-$ World Gov't -- Foreign Gov't Bonds (10%); Federal
Reserve 91-day Treasury Bill -- Cash (5%). Unlike fund's total return
composite benchmark total return do not reflect any fees or expenses.
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1996
<TABLE>
<CAPTION>
CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
---------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ASSETS:
Investment in Asset Allocation Portfolio 200, Asset Allocation
Portfolio 300, Asset Allocation Portfolio 400 and Asset Allocation
Portfolio 500, respectively, at value ............................ $101,074,969 $192,034,480 $246,152,046 $ 82,001,353
Receivable for shares of beneficial interest sold .................. 1,981,284 5,099,162 7,940,717 3,449,840
Receivable from sub-administrator (Note 6) ......................... 47,912 23,828 -- --
Other Assets ....................................................... 1,798 5,796 14,392 5,202
------------ ------------ ------------ ------------
Total Assets ..................................................... 103,105,963 197,163,266 254,107,155 85,456,395
------------ ------------ ------------ ------------
LIABILITIES:
Payable for shares of beneficial interest repurchased .............. 226,446 1,566,963 198,003 293,664
Accrued expenses ................................................... 104,111 167,981 353,389 90,424
------------ ------------ ------------ ------------
Total Liabilities ................................................ 330,557 1,734,944 551,392 384,088
------------ ------------ ------------ ------------
NET ASSETS for 9,784,244, 18,339,937, 23,425,292, and 7,957,896
shares, respectively, of beneficial interest outstanding ......... $102,775,406 $195,428,322 $253,555,763 $ 85,072,307
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital .................................................... $ 99,529,197 $187,063,924 $239,531,891 $ 81,861,852
Undistributed (overdistributed) net investment income .............. 155,387 231,965 308,689 (5,765)
Accumulated net realized gain (loss) on investments ................ 180,172 499,071 816,352 (215,466)
Unrealized appreciation (depreciation) of investments and foreign
currency translations ............................................ 2,910,650 7,633,362 12,898,831 3,431,686
------------ ------------ ------------ ------------
Total Net Assets ................................................. $102,775,406 $195,428,322 $253,555,763 $ 85,072,307
============ ============ ============ ============
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST ................... $10.50 $10.66 $10.82 $10.69
====== ====== ====== ======
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
SEPTEMBER 3,
1996+ TO
DECEMBER 31,
JUNE 17, 1996+ TO DECEMBER 31, 1996 1996
------------------------------------------ -----------
CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME FROM ASSET ALLOCATION PORTFOLIO 200,
ASSET ALLOCATION PORTFOLIO 300, ASSET ALLOCATION PORTFOLIO 400,
AND ASSET ALLOCATION PORTFOLIO 500, REPECTIVELY (NOTE 1B):
Interest ........................................................... $ 1,200,380 $ 1,883,180 $ 1,534,520 $ 222,151
Dividends .......................................................... 170,007 492,811 924,020 253,212
Allocated net expenses ............................................. (258,892) (504,392) (685,989) (144,110)
Foreign tax reclaim ................................................ 1,798 5,796 14,392 5,202
------------ ------------ ------------ ------------
Total Investment Income .......................................... 1,113,293 1,877,395 1,786,943 336,455
------------ ------------ ------------ ------------
EXPENSES:
Distribution fees (Note 3) ......................................... 158,021 307,039 394,103 83,802
Management fees (Note 2) ........................................... 31,604 61,408 78,821 16,855
Registration fees .................................................. 28,135 51,851 92,479 22,936
Legal services ..................................................... 19,350 19,350 21,880 7,470
Shareholder reports ................................................ 15,410 17,025 44,025 10,000
Transfer agent fees ................................................ 14,326 14,424 15,008 10,981
Auditing services .................................................. 11,400 11,400 13,390 8,950
Trustees fees ...................................................... 7,581 8,576 10,311 3,000
Custodian fees ..................................................... 5,600 5,600 5,200 3,200
Miscellaneous ...................................................... 2,382 3,307 14,645 1,678
------------ ------------ ------------ ------------
Total expenses ................................................... 293,809 499,980 689,862 168,872
Less aggregate amount waived by the Manager (Note 2) ............... (31,604) (61,408) -- (16,855)
Less expenses assumed by the Sub-Administrator (Note 6) ............ (47,912) (23,828) -- --
------------ ------------ ------------ ------------
Net expenses ..................................................... 214,293 414,744 689,862 152,017
------------ ------------ ------------ ------------
Net investment income ............................................ 899,000 1,462,651 1,097,081 184,438
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM ASSET ALLOCATION PORTFOLIO 200,
ASSET ALLOCATION PORTFOLIO 300, ASSET ALLOCATION PORTFOLIO 400 AND ASSET
ALLOCATION PORTFOLIO 500, REPECTIVELY:
Net realized gain (loss) ........................................... 328,852 756,606 1,371,474 (188,916)
Net change in unrealized appreciation .............................. 2,910,650 7,633,362 12,898,831 3,431,686
------------ ------------ ------------ ------------
Net realized and unrealized gain ................................... 3,239,502 8,389,968 14,270,305 3,242,770
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............... $ 4,138,502 $ 9,852,619 $ 15,367,386 $ 3,427,208
============ ============ ============ ============
+Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SEPTEMBER 3,
1996+ TO
DECEMBER 31,
JUNE 17, 1996+ TO DECEMBER 31, 1996 1996
---------------------------------------------------------
CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
INCREASE (DECREASE) IN NET ASSETS FROM:
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .............................................. $ 899,000 $ 1,462,651 $ 1,097,081 $ 184,438
Net realized gain (loss) ........................................... 328,852 756,606 1,371,474 (188,916)
Net change in unrealized appreciation of investments ............... 2,910,650 7,633,362 12,898,831 3,431,686
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations ............. 4,138,502 9,852,619 15,367,386 3,427,208
------------ ------------ ------------ ------------
DISTRIBUTIONS FROM:
Net income ....................................................... (687,964) (1,078,616) (629,492) (144,954)
Net realized gain on investments ................................. (206,058) (417,933) (738,025) --
In excess of net income .......................................... -- -- -- (1,053)
In excess of realized gains on investments ....................... -- -- -- (73,003)
------------ ------------ ------------ ------------
Total distributions .............................................. (894,022) (1,496,549) (1,367,517) (219,010)
------------ ------------ ------------ ------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares ................................... 107,356,153 195,928,712 252,564,522 84,679,052
Net asset value of shares issued to shareholders from
reinvestment of distributions .................................... 890,601 1,496,549 1,367,517 218,935
Cost of shares repurchased ......................................... (8,715,828) (10,353,009) (14,376,145) (3,033,878)
------------ ------------ ------------ ------------
Net increase in net assets from transactions in shares
of beneficial interest ......................................... 99,530,926 187,072,252 239,555,894 81,864,109
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ......................................... 102,775,406 195,428,322 253,555,763 85,072,307
NET ASSETS:
Beginning of period ................................................ -- -- -- --
------------ ------------ ------------ ------------
End of period (including undistributed (over distributed) net
investment income of $155,387, $231,965, $308,869, and ($5,765),
respectively) .................................................... $102,775,406 $195,428,322 $253,555,763 $ 85,072,307
============ ============ ============ ============
+Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SEPTEMBER 3,
1996+ TO
DECEMBER 31,
JUNE 17, 1996+ TO DECEMBER 31, 1996 1996
------------------------------------------ ------------
CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ............................... $ 10.00 $ 10.00 $ 10.00 $ 10.00
------------ ------------ ------------ ------------
INCOME FROM OPERATIONS:
Net investment income .............................................. 0.128 0.088 0.042 0.019
Net realized and unrealized gain (loss) on investments ............. 0.506 0.671 0.841 0.701
------------ ------------ ------------ ------------
Total from operations ............................................ 0.634 0.759 0.883 0.720
------------ ------------ ------------ ------------
LESS DISTRIBUTIONS FROM:
Net investment income ............................................ (0.112) (0.075) (0.029) (0.019)
Net realized gain on investments ................................. (0.022) (0.024) (0.034) --
In excess of net income .......................................... -- -- -- (0.001)
In excess of realized gains on investments ....................... -- -- -- (0.010)
------------ ------------ ------------ ------------
Total distributions ................................................ (0.134) (0.099) (0.063) (0.030)
------------ ------------ ------------ ------------
Net Asset Value, end of period ..................................... $ 10.50 $ 10.66 $ 10.82 $ 10.69
============ ============ ============ ============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's ommitted) ......................... $ 102,775 $ 195,428 $ 253,556 $ 85,072
Ratio of expenses to average net assets (A) ........................ 1.50%* 1.50%* 1.75%* 1.75%*
Ratio of net investment income to average net assets ............... 2.84%* 2.38%* 1.39%* 1.09%*
Total return ....................................................... 6.38%** 7.61%** 8.84%** 7.20%**
Note: If Agents of the Funds and the Agents of Asset Allocation Portfolios had not voluntarily agreed to waive a portion of their
fees, and the Sub-administrator not assumed expenses for the periods indicated, the net investment income per share and the
ratios would have been as follows:
Net investment income (loss) per share ............................. $ 0.076 $ 0.060 $ 0.028 $ 0.001
Ratios:
Expenses to average net assets (A) ................................. 2.66%* 2.26%* 2.20%* 2.80%*
Net investment income to average net assets ........................ 1.68%* 1.62%* 0.93%* 0.04%*
(A) Includes allocated expenses for the period indicated, for CitiSelect Folio 200, CitiSelect Folio 300, CitiSelect Folio 400,
and CitiSelect Folio 500 share of Asset Allocation Portfolio 200, Asset Allocation Portfolio 300, Asset Allocation Portfolio
400 and Asset Allocation Portfolio 500, respectively.
* Annualized
** Not annualized
+ Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(1) SIGNIFICANT ACCOUNTING POLICIES
CitiSelect Folio 200, CitiSelect Folio 300, CitiSelect Folio 400 and
CitiSelect Folio 500 (individually, the "Fund", or collectively, the "Funds")
are each a separate series of Landmark Funds 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, CitiSelect Folio 400 and CitiSelect Folio 500
each invest all of their investable assets in Asset Allocation Portfolio 200,
Asset Allocation Portfolio 300, Asset Allocation Portfolio 400 and Asset
Allocation Portfolio 500, 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 Fund's 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 December 31, 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 December 31,
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 December 31, 1996) in the net
assets of the Asset Allocation Portfolio 400.
CitiSelect Folio 500 seeks to achieve the Fund's investment objective of
highest total return over time consistent with a primary emphasis on capital
appreciation and secondary emphasis on income for risk reduction purpose by
investing all of its investable assets in Asset Allocation Portfolio 500, an
open-end, diversified management investment company having the same investment
objectives and policies and substantially the same restrictions as the
CitiSelect Folio 500. The value of such investment reflects CitiSelect Folio
500's proportionate interest (approximate 99.9% at December 31, 1996) in the net
assets of the Asset Allocation Portfolio 500.
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
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. Additional, each Fund reclaims it pro
rata position of recoverable foreign taxes on dividends.
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 -- Each 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.
For the year ended December 31, 1996 each Folio reclassified $55,649,
$152,070, $158,900 and $44,196 from net investment income, also $1,729, $8,328,
$24,003 and $2,257 from paid-in-capital as well as $57,378, $160,398, $182,903,
and $46,453 to accumulated net gains on investments for the CitiSelect Folio
200, 300, 400 and 500 respectively.
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 date
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%
CitiSelect Folio 500..................................... 0.10%
The management fee paid to Citibank for CitiSelect Folio 200, CitiSelect
Folio 300, CitiSelect Folio 400 and CitiSelect Folio 500 amounted to $31,604,
$61,408, $78,821, and $16,855 of which $31,604, $61,408, $0, and $16,855,
respectively was voluntarily waived for the period ended December 31, 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
$158,021, $307,039, $394,103 and $83,802 for CitiSelect Folio 200, CitiSelect
Folio 300, CitiSelect Folio 400 and CitiSelect Folio 500, respectively.
(4) INVESTMENT TRANSACTIONS
Increases and decreases in the Funds' investment in their Portfolios for
the period ended December 31, 1996, were as follows:
INCREASE DECREASE
CitiSelect Folio 200................... $ 98,061,194 $1,337,222
CitiSelect Folio 300................... $181,943,660 $170,747
CitiSelect Folio 400................... $230,379,166 $269,976
CitiSelect Folio 500................... $78,557,599 $130,269
(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
- --------------------
Shares sold........................ 10,551,539
Shares reinvested.................. 86,538
Shares repurchased................. (853,833)
----------
Net increase....................... 9,784,244
----------
CITISELECT FOLIO 300
- --------------------
Shares sold........................ 19,201,036
Shares reinvested.................. 142,587
Shares repurchased................. (1,003,686)
----------
Net increase....................... 18,339,937
----------
CITISELECT FOLIO 400
- --------------------
Shares sold........................ 24,716,079
Shares reinvested.................. 127,805
Shares repurchased................. (1,418,592)
----------
Net increase....................... 23,425,292
----------
CITISELECT FOLIO 500
- --------------------
Shares sold........................ 8,228,228
Shares reinvested.................. 20,792
Shares repurchased................. (291,124)
----------
Net increase....................... 7,957,896
----------
(6) ASSUMPTION OF EXPENSES
LFBDS has voluntarily agreed to pay a portion of the expenses for the
period ended December 31, 1996. The amounts are as follows:
CitiSelect Folio 200 $47,912
CitiSelect Folio 300 $23,828
<PAGE>
INDEPENDENT AUDITOR'S REPORT
- ------------------------------------------------------------------------------
TO THE TRUSTEES OF LANDMARK FUNDS I (THE TRUST) AND THE
SHAREHOLDERS OF CITISELECT FOLIO 200, CITISELECT FOLIO 300, CITISELECT FOLIO
400, CITISELECT FOLIO 500:
In our opinion, the accompanying statement of assets and liabilities, and the
related statements of operations and of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
CitiSelect Folio 200, CitiSelect Folio 300, CitiSelect Folio 400, and CitiSelect
Folio 500, each a series of Landmark Funds I, at December 31, 1996, the results
of each of their operations, the changes in each of their net assets and their
financial highlights for the periods from commencement of operations to December
31, 1996, in conformity with generally accepted accounting principles. These
financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audit of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of investments owned at
December 31, 1996 by correspondence with the custodian, provides a reasonable
basis for the opinion expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
February 4, 1997
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
- ----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
ISSUER SHARES VALUE
- ----------------------------------------------------------------------------
LARGE CAP GROWTH--6.4%
- ----------------------------------------------------------------------------
COMMON STOCKS--6.2%
- ----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Kimberly Clark Corp...................................1,550 $ 147,637
Praxair...............................................3,300 152,213
Sigma Aldrich.........................................2,650 165,459
------------
465,309
------------
CAPITAL GOODS - 0.4%
Crane Co..............................................3,300 95,700
Deere & Co. (++)......................................1,700 69,062
Emerson Electric Co...................................1,300 125,775
General Electric Co...................................1,850 182,919
------------
473,456
------------
CONSUMER BASICS - 1.6%
Cardinal Health Inc...................................2,200 128,150
Clorox Co.............................................1,550 155,581
Coca Cola Co..........................................1,500 78,938
Colgate Palmolive Co..................................1,800 166,050
Gillette Co...........................................2,200 171,050
Health Management Association*........................5,900 132,750
Johnson & Johnson.....................................1,700 84,575
Lilly Eli & Co........................................1,250 91,250
Medtronic Inc.........................................2,500 170,000
Pfizer Inc..............................................950 78,731
Procter & Gamble Co...................................1,350 145,125
Schering Plough Corp..................................1,100 71,225
Warner Lambert Co.....................................2,200 165,000
------------
1,638,425
------------
CONSUMER DURABLE GOODS - 0.1%
Danaher Corp..........................................1,400 65,275
Federal Signal Corp...................................3,100 80,213
------------
145,488
------------
CONSUMER NON-DURABLES - 0.5%
Henry Schein, Inc.*...................................3,600 123,750
Kohls Corp.*..........................................2,400 94,200
Nine West Group Inc.*.................................2,900 134,487
Walgreen Co...........................................3,200 128,000
------------
480,437
------------
CONSUMER SERVICES - 0.3%
Carnival Corp.........................................4,000 132,000
Regal Cinemas Inc.*...................................4,300 132,225
------------
264,225
------------
FINANCE - 1.0%
American International Group Inc......................1,300 140,725
Federal National Mtg. Association (++)................4,200 156,450
Franklin Resources Inc................................2,200 150,425
MBIA Inc................................................850 86,062
Norwest Corp..........................................2,900 126,150
State Street Boston Corp..............................2,100 135,450
Travelers Group Inc...................................2,799 127,005
Zions Bancorp...........................................650 67,600
------------
989,867
------------
GENERAL BUSINESS - 0.5%
CUC Intl Inc.*........................................5,800 137,750
Gannett Inc.............................................850 63,644
Interpublic Group Cos Inc.............................1,900 90,250
Sun Guard Data Systems*...............................2,500 98,750
Washington Post Co......................................200 67,025
------------
457,419
------------
TECHNOLOGY - 1.2%
3Com Corp.*...........................................1,100 80,712
Affiliated Computer Services Inc.*....................4,000 119,000
Andrew Corp.*.........................................2,550 135,309
Cisco Systems Inc.*...................................2,100 133,613
Computer Assoc Intl Inc...............................2,300 114,425
Intel Corp............................................1,175 153,852
Network General Corp.*................................2,300 69,575
Oracle Systems Corp.*.................................3,350 139,863
Parametric Technology Corp.*..........................2,850 146,419
Perkin Elmer Corp.....................................1,900 111,862
------------
1,204,630
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.................4,000 158,500
------------
TOTAL COMMON STOCKS 6,277,756
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 48,612
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 140,725
----------
TOTAL SHORT-TERM OBLIGATIONS............................... 189,337
----------
TOTAL LARGE CAP GROWTH..................................... 6,467,093
----------
LARGE CAP VALUE--6.5%
- ----------------------------------------------------------------------------
COMMON STOCKS--6.3%
- ----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Bowater Inc...........................................1,000 37,625
Cabot Corp..............................................900 22,612
Cyprus Amax Minerals Co...............................1,400 32,725
Dow Chemical Co.........................................600 48,186
E I du Pont de Nemours & Co...........................1,000 94,375
FMC Corp.*............................................1,100 77,138
Great Lakes Chemical Corp.............................2,300 107,525
Potash Corp. Sask Inc...................................700 59,500
Premark International Inc.............................1,300 28,925
Rhone Poulnec S A.....................................1,600 54,200
Rohm & Haas Co........................................1,100 89,787
Westvaco Corp.........................................1,200 34,722
------------
687,320
------------
CAPITAL GOODS - 0.7%
Caterpillar Inc.........................................500 37,625
Cummins Engine Inc....................................2,200 101,200
Deere & Co. (++)......................................1,500 60,938
Harnischfeger Industries Inc..........................2,600 125,125
Kennametal Inc........................................1,900 73,862
Parker Hannifin Corp..................................1,500 58,125
Tecumseh Products Co..................................1,700 97,538
Trinova Corp..........................................3,800 138,225
------------
692,638
------------
CONSUMER BASICS - 0.7%
Archer Daniels Midland Co.............................2,570 56,540
Bergen Brunswig Corp..................................2,000 57,000
Foundation Health Corp.*..............................2,000 63,500
IBP Inc...............................................2,100 50,925
Mallinckrodt Inc......................................1,600 70,600
Maxicare Health Plans Inc.*...........................1,300 28,925
Philip Morris Cos. Inc................................1,200 135,150
RJR Nabisco Holdings Corp.............................1,400 47,600
Tenet Healthcare Corp.*...............................1,700 37,188
Tupperware Corp.......................................1,300 69,712
Universal Foods Corp..................................1,500 52,875
------------
670,015
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp............................................1,100 76,725
Ford Motor Co. Del....................................3,100 98,813
General Motors Corp...................................2,000 111,500
Goodyear Tire and Rubber..............................2,600 133,575
------------
420,613
------------
CONSUMER NON-DURABLES - 0.1%
Dillard Dept. Stores Inc..............................1,700 52,487
Springs Industries Inc..................................700 30,100
V F Corp................................................900 60,750
------------
143,337
------------
CONSUMER SERVICES - 0.1%
AMR Corp. Del*..........................................900 79,312
UAL Corp.*............................................1,000 62,500
------------
141,812
------------
ENERGY - 0.4%
Amoco Corp..............................................900 72,450
Atlantic Richfield Co...................................500 66,250
British Petroleum PLC...................................600 84,825
Mapco Inc.............................................1,800 61,200
Panenergy Corp........................................1,000 45,000
Repsol................................................1,200 45,750
YPF Sociedad Anonima..................................1,800 45,450
------------
420,925
------------
FINANCE - 1.4%
Ace Ltd...............................................1,100 66,137
Allstate Corp.........................................1,200 69,450
American General Corp.................................1,300 53,138
Bank of New York Inc..................................1,600 54,000
Capital One Financial Corp............................1,300 46,800
Case Corp.............................................1,500 81,750
Chase Manhattan Corp....................................800 71,400
Chubb Corp..............................................800 43,000
Crestar Financial Corp..................................400 29,750
Dean Witter Discover & Co.............................1,000 66,250
Federal Home Loan Mortgage Corp.........................400 44,050
Federal National Mortgage Association(++).............1,500 55,875
First Chicago NBD Corp..................................900 48,375
First Union Corp........................................700 51,800
Great Western Financial Corp..........................2,400 69,600
ITT Hartford Group Inc..................................800 54,000
Mellon Bank Corp........................................700 49,700
Old Republic Intl Corp................................1,900 50,825
Providian Corp........................................1,800 92,475
Reliastar Financial Corp..............................1,000 57,750
Republic NY Corp........................................600 48,975
Salomon Inc.............................................800 37,700
Signet Banking Corp...................................1,500 46,125
Standard Federal Bancorporation.........................900 51,188
St. Paul Cos Inc........................................600 35,175
Transatlantic Holdings Inc..............................600 48,300
------------
1,423,588
------------
GENERAL BUSINESS - 0.1%
PHH Corp..............................................2,400 103,200
Standard Register.......................................900 29,250
------------
132,450
------------
MISCELLANEOUS - 0.2%
Everest Reinsurance Holdings..........................1,400 40,250
Textron Inc.............................................900 84,825
Ultramar Diamond Shamrock.............................1,400 44,275
------------
169,350
------------
TECHNOLOGY - 0.9%
Beckman Industries Inc................................1,900 72,912
Compaq Computer Corp.*................................1,400 103,950
International Business Machines.......................1,100 166,100
LAM Research Corp.*...................................2,000 56,250
Raytheon Co...........................................1,000 48,125
Seagate Technology*...................................5,000 197,500
Stratus Computer Inc.*................................2,800 76,300
Tandy Corp..............................................700 30,800
Tektronix Inc.........................................1,500 76,875
TRW Inc...............................................1,400 69,300
------------
898,112
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe............................700 60,463
CSX Corp................................................900 38,025
------------
98,488
------------
UTILITIES - 0.5%
Central ME Power Co...................................1,900 22,088
Cinergy Corp............................................900 30,037
DTE Energy Co.........................................1,500 48,563
El Paso Natural Gas Co................................1,000 50,500
Entergy Corp..........................................1,500 41,625
GPU Inc...............................................1,300 43,713
MCI Communication Corp................................2,200 71,912
Peco Energy Co........................................1,800 45,450
Sprint Corp...........................................1,500 59,812
Unicom Corp...........................................1,600 43,400
------------
457,100
------------
TOTAL COMMON STOCKS........................................ 6,355,748
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 64,766
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 187,489
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 252,255
------------
TOTAL LARGE CAP VALUE...................................... 6,608,003
------------
SMALL CAP GROWTH--7.7%
- ----------------------------------------------------------------------------
COMMON STOCKS--7.3%
- ----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Carbide/Graphite Group Inc.*..........................8,100 158,962
Intertape Polymer Group Inc...........................6,550 150,650
------------
309,612
------------
CAPITAL GOODS - 0.4%
Blount International Inc..............................3,900 149,662
Epic Design Technology Inc.*..........................6,100 152,500
Hardinge Bros. Inc....................................5,750 153,094
------------
455,256
------------
CONSUMER BASICS - 1.4%
American Homepatient Inc.*............................6,200 168,950
Consolidated Cigar Holdings Inc.*.....................5,950 147,263
Cytyc Corp.*..........................................6,700 180,900
ESC Medical Systems Ltd.*.............................5,550 141,525
NCS Healthcare Inc.*..................................5,800 168,925
Performance Food Group Co.*..........................10,300 159,650
Physician Sales & Services Inc.*.....................10,350 148,781
Vivus*................................................4,200 152,250
Worthington Foods Inc.................................7,533 143,127
------------
1,411,371
------------
CONSUMER NON-DURABLES - 0.1%
Micro Warehouse Inc.*.................................5,750 67,563
------------
CONSUMER SERVICES - 0.5%
Anchor Gaming*........................................4,000 161,000
Ballys Grand Inc.*....................................1,800 64,800
Regal Cinemas Inc.*...................................5,050 155,287
Toy Biz Inc.*.........................................8,350 162,825
------------
543,912
------------
ENERGY - 0.3%
Giant Industries......................................9,850 137,900
Lomak Pete Inc........................................9,050 154,981
------------
292,881
------------
FINANCE - 0.1%
Interwest Bancorp Inc.*...............................4,650 149,962
------------
GENERAL BUSINESS - 0.8%
Atlantic Tele Network Inc.............................9,350 142,588
Heftel Broadcasting Corp.*............................4,850 152,775
Lamar Advertising Co.*................................6,350 153,987
Macromedia Inc.*......................................8,100 145,800
Remedytemp*...........................................9,350 161,287
------------
756,437
------------
MISCELLANEOUS - 2.0%
Carson Inc.*.........................................10,950 151,931
Film Roman Inc.*.....................................19,800 150,975
Forensic Technologies Intl. Corp.*....................8,450 82,388
Forrester Resh Inc.*....................................750 19,313
Gadzooks Inc.*........................................7,850 143,263
Integrated Living Communities Inc.*..................19,800 113,850
Mastech Corp.*........................................8,800 167,200
Midway Games Inc.*....................................7,950 160,988
Metro Networks Inc.*..................................6,900 174,225
Panavision Inc.*......................................7,000 145,250
PLD Telekom Inc.*....................................23,800 145,775
Polycom Inc.*........................................12,100 58,988
Sirrom Cap Corp.......................................4,100 150,675
Snyder Communications Inc.*...........................6,650 179,550
Suburban Lodges of America Inc.*......................9,900 158,400
------------
2,002,771
------------
SHELTER - 0.2%
Champion Enterprises Inc.*............................7,850 153,075
------------
TECHNOLOGY - 1.2%
Activision Inc.*.....................................12,200 157,075
Dupont Photomasks Inc.*...............................3,400 154,275
Inso Corp.*...........................................3,850 153,037
Network General Corp.*................................5,800 175,450
Phoenix Technology Ltd.*..............................9,450 152,381
S3 Inc.*..............................................9,000 146,250
Silicon Valley Research Inc.*........................18,800 37,600
Triquint Semiconductor Inc.*..........................3,885 102,467
Uniphase Corp.*.......................................3,050 160,125
------------
1,238,660
------------
TOTAL COMMON STOCKS........................................ 7,381,500
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.4%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 114,973
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 332,832
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 447,805
------------
TOTAL SMALL CAP GROWTH..................................... 7,829,305
------------
SMALL CAP VALUE--7.6%
- ----------------------------------------------------------------------------
COMMON STOCKS--7.4%
- ----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.2%
Keystone Cons Inds Inc.*..............................3,100 25,575
Oil Dri Corp. of America.............................14,000 210,000
------------
235,575
------------
CAPITAL GOODS - 1.0%
Astec Industries Inc.*................................1,000 9,500
Cognex Corp.*........................................10,000 185,000
Commercial Intertech Corp............................14,600 198,925
D.R. Horton Inc.*....................................10,600 115,275
Esco Elects Corp.*...................................26,000 260,000
United Industrial Corp...............................44,300 260,263
------------
1,028,963
------------
CONSUMER BASICS - 1.1%
Ekco Group Inc.*.....................................56,700 248,063
Health Images Inc.....................................5,600 93,100
Matrix Pharmaceuticals*..............................20,000 122,500
Nash Finch Co.........................................4,400 93,500
RLI Corp..............................................4,400 146,850
Schultz Sav O Stores Inc..............................5,200 72,800
Schweitzer Mauduit Intl. Inc..........................6,000 189,750
Stanhome Inc..........................................5,500 145,750
------------
1,112,313
------------
CONSUMER DURABLE GOODS - 0.4%
Flexsteel Industries Inc..............................4,500 58,500
Oshkosh Truck Corp...................................12,000 127,500
West Inc..............................................5,700 161,025
------------
347,025
------------
CONSUMER NON-DURABLES - 0.2%
Little Switzerland Inc.*.............................26,000 118,625
Syms Corp.*...........................................8,200 69,700
------------
188,325
------------
CONSUMER SERVICES - 0.2%
Aztar Corp.*.........................................34,500 241,500
------------
ENERGY - 0.4%
Total Pete North America Ltd.........................24,000 249,000
Wiser Oil Co. Del....................................10,000 197,500
------------
446,500
------------
FINANCE - 0.8%
Allied Life Finl Corp.................................1,300 22,750
Argonaut Group Inc....................................1,100 33,825
BankAtlantic Bancorp Inc..............................4,500 60,188
BankAtlantic Bancorp Inc. Class "A"...................1,050 13,650
Chartwell Re. Corp....................................1,200 32,100
Downey Financial Corp.................................8,250 161,906
Financial Securities Assurance Hlds. Ltd..............6,000 197,250
GA Financial Inc......................................6,700 101,337
Guaranty National Corp................................2,500 41,875
Harleysville Group Inc..................................700 21,350
Presidential Life Corp................................2,500 30,156
Redfed Bancorp Inc.*..................................4,600 62,100
------------
778,487
------------
GENERAL BUSINESS - 0.2%
Ennis Business Forms Inc.............................22,000 247,500
------------
MISCELLANEOUS - 0.8%
American Bldgs Co.*...................................8,000 191,000
Bank Plus Corp.*......................................8,000 92,000
Everen Capital Corp.....................................500 11,188
Farm Family Holdings Inc.*............................6,700 130,650
FBL Financial Group Inc...............................4,000 99,500
First Enterprise Financial Group*.....................7,500 70,312
GCR Holdings Ltd......................................6,000 133,500
Haskel International Inc..............................5,000 38,125
Symons International Group Inc.*........................900 15,075
Wilshire Finl Svcs Group Inc.*........................2,000 32,500
------------
813,850
------------
SHELTER - 1.2%
Ameron International Corp.............................2,600 134,225
Beazer Homes USA Inc.*...............................11,000 203,500
Butler Mfg. Co. Del...................................4,200 170,100
Morgan Products Ltd.*................................37,000 272,875
Patrick Industries Inc................................1,900 28,737
Ryland Group Inc.....................................16,300 224,125
US Homes Corp.*.......................................7,500 195,000
------------
1,228,562
------------
TECHNOLOGY - 0.6%
Advanced Logic Research Inc.*.........................7,000 86,625
Analysis & Technology Inc.............................1,700 24,650
Mapinfo Corp.*........................................3,100 34,487
Symantec Corp.*.......................................9,300 134,850
Tekelec Inc.*.........................................7,700 121,275
Watkins Johnson Co....................................8,100 198,450
------------
600,337
------------
TRANSPORTATION - 0.3%
Fritz Comp. Inc......................................17,000 216,750
Kenan Transportation Co...............................1,700 32,300
------------
249,050
------------
TOTAL COMMON STOCKS........................................ 7,517,987
------------
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
FIXED INCOME - 0.0%
- ----------------------------------------------------------------------------
BankAtlantic Bancorp Inc.
6.75% due 7/01/06..................................10,000 11,050
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 49,764
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 144,062
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 193,826
------------
TOTAL SMALL CAP VALUE...................................... 7,722,863
------------
ISSUER SHARES VALUE
- ----------------------------------------------------------------------------
INTERNATIONAL EQUITY--7.8%
- ----------------------------------------------------------------------------
COMMON STOCKS--7.4%
- ----------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm.......................................1,105 79,085
------------
AUSTRALIA - 0.3%
Australia & New Zealand Bank Group...................16,300 102,742
Gio Australia Holdings...................................18 46
Pioneer International Ltd...........................43,900 130,852
Quantas Airways......................................37,740 62,995
------------
296,635
------------
CANADA - 0.3%
Bank N S Halifax......................................2,260 75,674
Canadian Imperial Bank Toronto........................1,795 79,243
Imasco Ltd............................................2,075 50,917
Noranda Inc...........................................3,400 75,856
------------
281,690
------------
FINLAND - 0.1%
UPM Kymmene Oy........................................5,360 112,444
------------
FRANCE - 0.4%
Elf Aquitaine...........................................640 58,258
Lafarge...............................................1,925 115,496
Pernod Ricard.........................................2,850 157,647
Usinor Sacilor........................................6,100 88,764
------------
420,165
------------
GERMANY - 0.2%
Buderus AG...............................................90 44,450
Commerzbank AG........................................5,450 138,481
------------
182,931
------------
GREAT BRITAIN - 1.7%
Abbey National.......................................11,200 146,596
Bat Industries.......................................17,500 145,109
British Gas...........................................8,000 30,701
BTR..................................................35,000 170,893
Coats Viyella........................................71,000 162,995
Commercial Union.....................................11,375 133,491
Hanson...............................................75,000 105,362
Hillsdown Holdings...................................49,100 168,237
Hyder................................................11,970 152,983
Imperial Tobacco......................................1,575 10,199
Lex Service..........................................20,900 113,505
Powergen.............................................14,125 138,419
Redland..............................................17,800 112,527
Safeway...............................................9,500 65,590
------------
1,656,607
------------
HONG KONG - 0.7%
Dickson Concept......................................22,000 82,487
Hang Lung Development Co.............................43,000 94,512
Hong Kong Telecomm...................................87,600 141,007
HSBC Holdings.........................................2,800 59,913
Manhattan Card Co...................................225,000 114,180
New World Development Co.............................17,000 114,843
Sth China Morn Post..................................95,000 78,609
------------
685,551
------------
IRELAND - 0.2%
Smurfit..............................................53,000 161,219
------------
ITALY - 0.0%
Danieli & C...........................................7,205 30,159
------------
JAPAN - 1.0%
Daiwa House Inds......................................8,000 102,927
Koito Mfg. Co.........................................8,000 53,536
MOS Food Services.....................................5,000 99,301
Nichicon Corp.........................................7,000 80,995
Nintendo Co...........................................1,100 78,741
Nippon Fire & Marine.................................22,000 99,732
Promise Co............................................2,200 108,281
Sekisui Chemical......................................8,000 80,822
Sony Corp.............................................1,400 91,754
Suzuki Motor Corp....................................13,000 118,988
Yodogawa Steelworks..................................17,000 103,488
------------
1,018,565
------------
MALAYSIA - 0.3%
Arab Malaysian Finance...............................21,000 117,244
Bolton Properties.....................................7,500 10,691
Kedah Cement Holdings................................15,000 29,697
Malaysian International Shipping.....................33,000 98,000
------------
255,632
------------
NETHERLANDS - 0.6%
Akzo Nobel NV...........................................950 129,858
ABN Amro Holdings NV.................................2,390 155,596
Hollandsche Beton.......................................615 127,488
Ing Groep NV..........................................3,425 123,391
Kon PTT Nederland.....................................2,810 107,257
------------
643,590
------------
NEW ZEALAND - 0.2%
Fletcher Challenge(Building).........................22,375 68,810
Fletcher Challenge(Paper)............................58,000 119,321
------------
188,131
------------
NORWAY - 0.2%
Kvaerner ASA..........................................2,550 122,887
Nycomed...............................................7,255 110,349
------------
233,236
------------
SPAIN - 0.3%
Banco Santander SA....................................2,475 158,423
Repsol SA.............................................4,605 176,645
------------
335,068
------------
SWEDEN - 0.1%
Marieberg Tidnings....................................4,050 99,173
------------
SWITZERLAND - 0.6%
Forbo Hldg..............................................300 121,031
Nestle SA...............................................120 128,831
Schw Ruckversicher......................................138 147,330
Sig Schw Ind HG AG.......................................49 124,102
Sulzer AG...............................................190 101,636
------------
622,930
------------
UNITED STATES - 0.1%
Jardine Matheson.....................................19,900 131,340
------------
TOTAL COMMON STOCKS........................................ 7,434,151
------------
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
FIXED INCOME - 0.0%
- ----------------------------------------------------------------------------
New World China Fin Ltd.
4.00% due 12/31/99.................................27,000 26,968
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.4%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 94,978
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 274,951
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 369,929
------------
TOTAL INTERNATIONAL EQUITY................................. 7,831,048
------------
DOMESTIC FIXED INCOME--25.2%
- ----------------------------------------------------------------------------
FIXED INCOME--24.5%
- ----------------------------------------------------------------------------
CORPORATE BONDS - 0.2%
Aetna Services Inc.
6.970% due 8/15/36................................180,000 183,296
------------
FOREIGN BONDS - 0.3%
Enersis SA 6.900% due 12/1/06.......................300,000 292,797
------------
ASSET BACKED - 0.7%
General Motors Acceptance Corp.
7.22% due 2/15/06.................................100,000 101,156
Federal Home Loan Mortgage Corp.
7.50% due 1/15/20.................................298,201 300,018
Federal Home Loan Mortgage Corp.
7.50% due 8/15/21.................................295,087 296,885
------------
698,059
------------
MORTGAGE BACKED - 2.2%
Federal Home Loan Mortgage Corp.
6.50% due 7/01/11.................................117,355 115,227
6.50% due 8/01/11..................................97,345 95,580
Federal National Mortgage Association
9.00% due 7/1/25..................................300,000 315,750
7.00% due 6/01/03.................................103,403 103,823
7.00% due 7/01/03.................................351,960 353,389
8.00% due 11/01/03................................361,326 367,649
6.50% due 5/01/11.................................126,533 124,200
6.50% due 7/01/11.................................216,697 212,701
8.00% due 5/01/26..................................35,068 35,726
8.00% due 6/01/26................................477,252 486,200
------------
2,210,245
------------
U. S. TREASURY ISSUES - 21.1%
United States Treasury Bond
6.875% due 8/15/25................................250,000 254,923
6.75% due 8/15/26.................................100,000 100,750
6.50% due 11/15/26................................150,000 147,212
------------
502,885
------------
United States Treasury Notes
6.00% due 5/31/98...............................5,495,000 5,512,144
6.375% due 5/15/99..............................3,700,000 3,731,783
5.875% due 11/15/99...............................800,000 796,872
6.500% due 5/31/01..............................7,430,000 7,511,284
6.875% due 5/15/06..............................3,190,000 3,287,199
------------
20,839,282
------------
TOTAL FIXED INCOME......................................... 24,726,564
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.7%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 178,177
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 515,799
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 693,976
------------
TOTAL DOMESTIC FIXED INCOME................................ 25,420,540
------------
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- ----------------------------------------------------------------------------
INTERNATIONAL BOND--26.1%
- ----------------------------------------------------------------------------
FIXED INCOME--18.6%
- ----------------------------------------------------------------------------
AUSTRIA - 0.2%
Republic of Austria
7.625% due 10/18/04 ............. ATS 1,850,000 190,834
------------
BELGIUM - 0.6%
Belgium (Kingdom)
9.00% due 3/28/03 ............... BF 10,200,000 386,139
Belgium (Kingdom)
8.50% due 10/01/07 .............. BF 5,750,000 216,299
------------
602,438
------------
CANADA - 3.1%
Canadian Government
6.25% due 9/15/98 ............... CAD 1,600,000 1,209,494
Canadian Government
8.00% due 11/01/98 .............. CAD 1,000,000 777,850
Canadian Government
9.00% due 12/01/04 .............. CAD 1,410,000 1,207,659
------------
3,195,003
------------
DENMARK - 0.4%
Denmark (Kingdom)
8.00% due 5/15/03 ............... DKK 2,220,000 417,447
------------
FINLAND - 0.2%
Finland (Rep of)
9.50% due 3/15/04 ............... FIM 1,000,000 263,785
------------
FRANCE - 0.9%
Government of France
8.25% due 2/27/04 ............... FRF 500,000 112,942
Government of France
7.75% due 10/25/05 .............. FRF 3,470,000 765,895
------------
878,837
------------
GERMANY - 2.3%
Germany (Fed) Rep
7.125% due 12/20/02 ............. DEM 1,640,000 1,171,596
Germany (Fed) Rep
7.375% due 1/03/05 .............. DEM 250,000 180,303
Treuhandanstalt
6.875% due 6/11/03 .............. DEM 1,360,000 956,808
------------
2,308,707
------------
GREAT BRITAIN - 1.8%
Treasury 8.00%
due 12/7/00 ..................... GBP 100,000 176,032
Treasury 6.75%
due 11/26/04 .................... GBP 70,000 115,615
Treasury 8.50%
due 12/7/05 ..................... GBP 820,000 1,496,584
------------
1,788,231
------------
ITALY - 1.2%
Republic of Italy
10.50% due 9/01/05 .............. ITL 1,495,000,000 1,177,670
------------
JAPAN - 2.9%
Japan 5.50% due 3/20/02 ........... JPY 182,000,000 1,855,045
Japan 4.50% due 6/20/03 ........... JPY 105,000,000 1,031,142
------------
2,886,187
------------
NETHERLANDS - 2.0%
Dutch Government
6.25% due 7/15/98 ............... NLG 1,800,000 1,086,360
Dutch Government
9.00% due 5/15/00 .............. NLG 1,250,000 831,885
Dutch Government
5.75% due 1/15/04 ............... NLG 100,000 59,195
------------
1,977,440
------------
NEW ZEALAND - 0.6%
New Zealand Government
10.00% due 3/15/02............... NED 180,000 142,950
New Zealand Government
8.00% due 4/15/04 ............... NED 290,000 214,129
New Zealand Government
8.00% due 11/15/06 .............. NED 390,000 291,026
------------
648,105
------------
SPAIN - 0.9%
Government of Spain
10.90% due 8/30/03 .............. ESP 56,900,000 541,322
Government of Spain
10.00% due 2/28/05 .............. ESP 42,000,000 389,218
------------
930,540
------------
SWEDEN - 1.5%
Sweden (Kingdom)
11.00% due 1/21/99 .............. SEK 9,200,000 1,516,323
------------
TOTAL FIXED INCOME......................................... 18,781,547
------------
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--6.3%
- ----------------------------------------------------------------------------
Argentina Treasury Bill
due 2/14/97.................... ARS 300,000 297,096
Bayerische Landesbank
11.50% due 10/09/97............ CZK 7,000,000 255,773
Caisse D. Amotissement
5.40% due 1/27/97.............. $ 900,000 896,490
Canadian Wheat Board
5.32% due 2/14/97.............. $ 900,000 894,148
Electricite de France
5.39% due 1/13/97.............. $ 500,000 499,626
Her Majesty in Right of Canada
5.35% due 1/13/97.............. $ 600,000 598,930
Kellogg Co.
5.35% due 1/10/97.............. $ 1,000,000 995,690
Mobil Australia Finance Corp.
5.40% due 1/02/97.............. $ 400,000 399,940
Pitney Bowes Inc.
5.34% due 1/14/97.............. $ 1,000,000 998,072
Sanwa Repurchase Agreement
6.00% due 1/2/97(+) ..................................... 151,705
United States Treasury Bills
4.00% due 1/2/97(##) .................................... 439,167
United States Treasury Bills
5.01% due 3/6/97 ........................................ 9,913
------------
TOTAL SHORT-TERM OBLIGATIONS .............................. 6,436,550
------------
PRINCIPAL
ISSUER AMOUNT VALUE
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--1.2%
- ----------------------------------------------------------------------------
Purchased calls
AST 510,000 Australian Government Bonds
@ 102.60 exp. date 3/6/97................................ 36,098
CAD 1,500,000 Canadian Government Bonds
@ 94.32 exp. date 1/14/97................................ 132,089
CAD 1,900,000 Canadian Government Bonds
@ 94.27 exp. date 1/15/97................................ 167,813
CAD 880,000 Canadian Government Bonds
@ 96.15 exp. date 2/20/97................................ 62,287
CAD 1,500,000 Canadian Government Bonds
@ 96.05 exp. date 3/12/97................................ 104,758
CAD 1,900,000 Canadian Government Bonds
@ 95.25 exp. date 3/12/97................................ 143,725
CAD 1,000,000 Canadian Government Bonds
@ 96.30 exp. date 3/13/97................................ 67,721
JPY 27,000,000 Japanese Government Bonds
@ 104.93 exp. date 1/10/97............................... 27,084
JPY 37,000,000 Japanese Government Bonds
@ 92.80 exp. date 2/19/97................................ 67,342
JPY 41,000,000 Japanese Government Bonds
@ 108.00 exp. date 3/11/97............................... 35,806
JPY 74,100,000 Japanese Government Bonds
@ 99.14 exp. date 3/24/97................................ 78,572
NLG 700,000 Netherland Guilder Government
Bonds @ 93.569 exp. date 1/13/97......................... 42,928
SEK 12,000,000 Swedish Government Bonds
@ 99.67 exp. date 2/13/97................................ 210,373
------------
TOTAL INTERNATIONAL BOND OPTIONS........................... 1,176,596
------------
TOTAL INTERNATIONAL BOND................................... 26,394,693
------------
SHORT-TERM--19.2%
- ----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--19.2%
- ----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 4,478,025
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 12,963,309
United States Treasury Bills
5.402% due 7/24/97....................................... 969,386
United States Treasury Bills
5.39% due 9/18/97....................................... 961,072
------------
TOTAL SHORT-TERM........................................... 19,371,792
------------
TOTAL INVESTMENTS
(Identified Cost $104,794,210) 106.5% 107,645,337
OTHER ASSETS,
LESS LIABILITIES ....................... (6.5) (6,570,268)
----- ------------
NET ASSETS ............................... 100.0% $101,075,069
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Sanwa Repurchase Agreements 6.00%, due
1/2/97 valued at $5,181,000, collateralized by $4,501,000 U.S. Treasury
Bonds 7.875%, due 2/15/21, with a market value of $5,088,943 portions of
which are listed separately by each Asset Class.
(##)The Portfolio owns in aggregate U.S. Treasury Bills 4.00%, due 1/02/97
valued at $14,998,334, portions of which are listed separately by each
Asset Class.
(++)The Portfolio owns in aggregate 3,200 shares of Deere & Co. valued at
$130,000 and 5,700 shares of Federal National Mortgage Association,
valued at $212,325. See notes to financial statements
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FUTURES CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
--------- --------- ---------- ----------
<S> <C> <C> <C>
French Bond--10 Year (Buy)......................................... 1 March 1997 $674
French Bond--10 Year (Buy)......................................... 1 March 1997 122
U.S. Treasury Bond--10 Year (Buy).................................. 2 March 1997 (312)
----
$484
====
<CAPTION>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACT (DEPRECIATION)
------------------ -------------- ---------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Dollar (Buy)........................ Australia $ 257,241 $ 255,863 January 1997 $ 1,378
Dollar (Sell)....................... Australia 24,630 24,671 January 1997 41
Shilling (Buy)...................... Austria 53,395 53,449 March 1997 (54)
Franc (Buy)......................... Belgium 96,361 96,217 March 1997 144
Dollar (Sell)....................... Canada 376,844 385,250 January 1997 8,406
Dollar (Sell)....................... Canada 1,345,799 1,386,512 February 1997 40,713
Dollar (Sell)....................... Canada 1,234,054 1,236,682 March 1997 2,628
Krone (Buy)......................... Denmark 153,751 154,071 January 1997 (320)
Krone (Sell)........................ Denmark 116,205 118,199 January 1997 1,994
Markka (Buy)........................ Finland 348,469 344,462 January 1997 4,007
Markka (Sell)....................... Finland 605,683 609,867 January 1997 4,184
Franc (Sell)........................ France 1,193,985 1,194,891 March 1997 (906)
Mark (Buy).......................... Germany 16,914 17,333 January 1997 (419)
Mark (Sell)......................... Germany 241,349 246,840 January 1997 5,491
Mark (Buy).......................... Germany 1,631,901 1,615,250 March 1997 16,651
Mark (Sell)......................... Germany 366,052 364,751 March 1997 (1,301)
Mark (Sell)......................... Germany 152,190 156,221 May 1997 4,031
Sterling Pound (Buy)................ Great Britain 2,702,912 2,695,294 January 1997 7,618
Sterling Pound (Sell)............... Great Britain 1,742,316 1,693,644 January 1997 (48,672)
Rupiah (Buy)........................ Indonesia 183,381 178,434 March 1997 4,947
Rupiah (Sell)....................... Indonesia 183,381 181,028 March 1997 (2,353)
Lira (Buy).......................... Italy 1,731,031 1,723,202 January 1997 7,829
Yen (Buy)........................... Japan 3,572,574 3,717,034 January 1997 (144,460)
Yen (Sell).......................... Japan 17,250 16,790 January 1997 460
Yen (Buy)........................... Japan 2,569,768 2,602,575 February 1997 (32,807)
Peso (Buy).......................... Mexico 173,069 171,716 January 1997 1,353
Peso (Sell)......................... Mexico 176,991 176,991 January 1997 --
Guilder (Buy)....................... Netherlands 207,725 205,865 January 1997 1,860
Dollar (Buy)........................ New Zealand 49,416 49,280 January 1997 136
Dollar (Sell)....................... New Zealand 175,074 175,272 January 1997 198
Dollar (Sell)....................... New Zealand 242,384 242,568 February 1997 184
Dollar (Sell)....................... New Zealand 291,929 292,662 May 1997 733
Dollar (Sell)....................... New Zealand 7,013 6,986 June 1997 27
Peseta (Buy)........................ Spain 176,991 176,991 January 1997 --
Peseta (Sell)....................... Spain 1,148,552 1,153,944 January 1997 5,392
Peseta (Buy)........................ Spain 1,293,703 1,289,693 March 1997 4,010
Krona (Sell)........................ Sweden 3,030,308 3,104,881 January 1997 74,573
Krona (Sell)........................ Sweden 108,127 108,593 February 1997 466
Franc (Buy)......................... Switzerland 523,295 518,469 January 1997 4,826
Franc (Sell)........................ Switzerland 972,525 1,027,756 January 1997 55,231
Franc (Sell)........................ Switzerland 525,341 520,446 February 1997 (4,895)
-------------
$23,324
=============
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--8.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Kimberly Clark Corp. ................... 4,100 $ 390,525
Praxair ................................ 8,700 401,287
Sigma Aldrich .......................... 7,000 437,063
-----------
1,228,875
-----------
CAPITAL GOODS - 0.6%
Crane Co. .............................. 8,800 255,200
Deere & Co. (++) ....................... 4,500 182,813
Emerson Electric Co. ................... 3,400 328,950
General Electric Co. ................... 4,800 474,600
-----------
1,241,563
-----------
CONSUMER BASICS - 2.3%
Cardinal Health Inc. ................... 5,900 343,675
Clorox Co. ............................. 4,100 411,537
Coca Cola Co. .......................... 3,900 205,238
Colgate Palmolive Co. .................. 4,800 442,800
Gillette Co. ........................... 5,800 450,950
Health Management Association .......... 15,600 351,000
Johnson & Johnson ...................... 4,500 223,875
Lilly Eli & Co. ........................ 3,350 244,550
Medtronic Inc. ......................... 6,600 448,800
Pfizer Inc. ............................ 2,500 207,187
Procter & Gamble Co. ................... 3,600 387,000
Schering Plough Corp. .................. 2,900 187,775
Warner Lambert Co. ..................... 5,900 442,500
-----------
4,346,887
-----------
CONSUMER DURABLE GOODS - 0.2%
Danaher Corp. .......................... 3,600 167,850
Federal Signal Corp. ................... 8,300 214,762
-----------
382,612
-----------
CONSUMER NON-DURABLES - 0.7%
Henry Schein, Inc. ..................... 9,500 326,563
Kohls Corp. ............................ 6,600 259,050
Nine West Group Inc. ................... 7,600 352,450
Walgreen Co. ........................... 8,400 336,000
-----------
1,274,063
-----------
CONSUMER SERVICES - 0.4%
Carnival Corp. ......................... 10,700 353,100
Regal Cinemas Inc. ..................... 11,500 353,625
-----------
706,725
-----------
FINANCE - 1.3%
American International Group Inc. ...... 3,400 368,050
Federal National Mtg. Association (++) . 11,200 417,200
Franklin Res Inc. ...................... 5,900 403,413
MBIA Inc. .............................. 2,200 222,750
Norwest Corp. .......................... 7,600 330,600
State Street Boston Corp. .............. 5,600 361,200
Travelers Group Inc. ................... 7,300 331,237
Zions Bancorp ......................... 1,700 176,800
-----------
2,611,250
-----------
GENERAL BUSINESS - 0.6%
CUC Intl Inc.* ......................... 15,400 365,750
Gannett Inc. ........................... 2,200 164,725
Interpublic Group Cos Inc. ............. 4,900 232,750
Sun Guard Data Systems* ................ 6,400 252,800
Washington Post Co. .................... 475 159,184
-----------
1,175,209
-----------
TECHNOLOGY - 1.7%
3Com Corp.* ............................ 3,000 220,125
Affiliated Computer Services Inc.* ..... 10,600 315,350
Andrew Corp.* .......................... 6,700 355,519
Cisco Systems Inc.* .................... 5,500 349,938
Computer Assoc Intl Inc. ............... 6,000 298,500
Intel Corp. ............................ 3,100 405,906
Network General Corp.* ................. 6,000 181,500
Oracle Systems Corp.* .................. 8,800 367,400
Parametric Technology Corp.* ........... 7,600 390,450
Perkin Elmer Corp. ..................... 5,000 294,375
-----------
3,179,063
-----------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.* 10,600 420,025
-----------
TOTAL COMMON STOCKS .................... 16,566,272
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)........................................ 134,402
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 390,868
-----------
TOTAL SHORT-TERM OBLIGATIONS................................ 525,270
-----------
TOTAL LARGE CAP GROWTH ..................................... 17,091,542
-----------
LARGE CAP VALUE--8.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--8.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
Bowater Inc. ........................... 2,700 101,587
Cabot Corp. ............................ 2,200 55,275
Cyprus Amax Minerals Co. ............... 3,500 81,812
Dow Chemical Co. ....................... 900 70,538
E I du Pont de Nemours & Co. ........... 2,400 226,500
FMC Corp. .............................. 3,000 210,375
Great Lakes Chemical Corp. ............. 2,100 98,175
Potash Corp. Sask Inc. ................. 1,700 144,500
Premark International Inc. ............. 3,400 75,650
Rhone Poulnec S A ...................... 4,100 138,888
Rohm & Haas Co. ........................ 2,900 236,712
-----------
1,440,012
-----------
CAPITAL GOODS - 1.0%
Caterpillar Inc. ....................... 1,400 105,350
Cummins Engine Inc. .................... 6,600 303,600
Deere & Co. (++) ....................... 3,900 158,438
Harnischfeger Industries Inc. .......... 6,900 332,062
Kennametal Inc. ........................ 5,100 198,262
Parker Hannifin Corp. .................. 4,000 155,000
Tecumseh Products Co. .................. 4,600 263,925
Trinova Corp. .......................... 9,900 360,113
-----------
1,876,750
-----------
CONSUMER BASICS - 0.9%
Archer Daniels Midland Co. ............. 6,680 146,960
Bergen Brunswig Corp. .................. 5,200 148,200
Foundation Health Corp.* ............... 5,200 165,100
IBP Inc. ............................... 5,500 133,375
Mallinckrodt Inc. ...................... 4,300 189,737
Maxicare Health Plans Inc. ............. 3,500 77,875
Philip Morris Cos. Inc. ................ 3,100 349,138
RJR Nabisco Holdings Corp. ............. 3,500 119,000
Tenet Healthcare Corp.* ................ 4,400 96,250
Tupperware Corp. ....................... 3,400 182,325
Universal Foods Corp. .................. 3,800 133,950
-----------
1,741,910
-----------
CONSUMER DURABLE GOODS - 0.6%
Eaton Corp. ............................ 2,800 195,300
Ford Motor Co. Del ..................... 8,100 258,188
General Motors Corp. ................... 5,200 289,900
Goodyear Tire and Rubber ............... 6,800 349,350
-----------
1,092,738
-----------
CONSUMER NON-DURABLES - 0.2%
Dillard Dept. Stores Inc. .............. 4,400 135,850
Springs Industries Inc. ................ 3,700 159,100
V F Corp. .............................. 2,500 168,750
-----------
463,700
-----------
CONSUMER SERVICES - 0.2%
AMR Corp. Del* ......................... 2,400 211,500
UAL Corp.* ............................. 3,400 212,500
-----------
424,000
-----------
ENERGY - 0.6%
Amoco Corp. ............................ 2,500 201,250
Atlantic Richfield Co. ................. 1,200 159,000
British Petroleum PLC .................. 1,600 226,200
Mapco Inc. ............................. 4,700 159,800
Panenergy Corp. ........................ 2,500 112,500
Repsol ................................. 3,200 122,000
YPF Sociedad Anonima ................... 4,600 116,150
-----------
1,096,900
-----------
FINANCE - 1.9%
Ace Ltd ................................ 2,800 168,350
Allstate Corp. ......................... 3,200 185,200
American General Corp. ................. 3,300 134,888
Bank of New York Inc. .................. 4,200 141,750
Capital One Financial Corp. ............ 3,500 126,000
Case Corp. ............................. 4,100 223,450
Chase Manhattan Corp. .................. 2,100 187,425
Chubb Corp. ............................ 2,000 107,500
Crestar Financial Corp. ................ 1,000 74,375
Dean Witter Discover & Co. ............. 2,600 172,250
Federal Home Loan Mortgage Corp. ....... 1,000 110,125
Federal National Mortgage Association(++) 3,900 145,275
First Chicago NBD Corp. ................ 2,400 129,000
First Union Corp. ...................... 1,800 133,200
Great Western Financial Corp. .......... 6,200 179,800
ITT Hartford Group Inc. ................ 2,200 148,500
Mellon Bank Corp. ...................... 1,800 127,800
Old Republic Intl Corp. ................ 5,000 133,750
Providian Corp. ........................ 4,700 241,462
Reliastar Financial Corp. .............. 2,600 150,150
Republic NY Corp. ...................... 1,700 138,763
Salomon Inc. ........................... 2,100 98,962
Signet Banking Corp. ................... 3,900 119,925
Standard Federal Bancorporation ........ 2,300 130,812
St Paul Cos Inc. ....................... 1,500 87,938
Transatlantic Holdings Inc. ............ 1,600 128,800
-----------
3,725,450
-----------
GENERAL BUSINESS - 0.2%
Olsten Corp. ........................... 5,300 79,155
PHH Corp. .............................. 6,300 270,900
Standard Register ...................... 2,300 74,750
-----------
424,805
-----------
MISCELLANEOUS - 0.2%
Everest Reinsurance Holdings ........... 3,600 103,500
Textron Inc. ........................... 2,400 226,200
Ultramar Diamond Shamrock .............. 3,700 117,013
-----------
446,713
-----------
TECHNOLOGY - 1.3%
Beckman Industries Inc. ................ 4,900 188,037
Compaq Computer Corp.* ................. 3,800 282,150
International Business Machines ........ 2,800 422,800
LAM Research Corp.* .................... 5,300 149,063
Raytheon Co. ........................... 2,700 129,938
Seagate Technology* .................... 13,400 529,300
Stratus Computer Inc.* ................. 7,200 196,200
Tandy Corp. ............................ 1,900 83,600
Tektronix Inc. ......................... 3,900 199,875
TRW Inc. ............................... 3,600 178,200
-----------
2,359,163
-----------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ........... 1,900 164,112
CSX Corp. .............................. 2,400 101,400
-----------
265,512
-----------
UTILITIES - 0.6%
Central ME Power Co. ................... 5,100 59,287
Cinergy Corp. .......................... 2,300 76,762
DTE Energy Co. ......................... 3,800 123,025
El Paso Natural Gas Co. ................ 2,600 131,300
Entergy Corp. .......................... 3,900 108,225
GPU Inc. ............................... 3,300 110,962
MCI Communications Corp. ............... 5,700 186,319
Peco Energy Co. ........................ 4,800 121,200
Sprint Corp. ........................... 3,900 155,513
Unicom Corp. ........................... 4,100 111,213
-----------
1,183,806
-----------
TOTAL COMMON STOCKS ........................................ 16,541,459
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)....................................... 171,423
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 498,529
-----------
TOTAL SHORT-TERM OBLIGATIONS................................ 669,952
-----------
TOTAL LARGE CAP VALUE ...................................... 17,211,411
-----------
SMALL CAP GROWTH--10.3%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Carbide/Graphite Group Inc.* ........... 20,550 403,294
Intertape Polymer Group Inc. ........... 16,250 373,750
-----------
777,044
-----------
CAPITAL GOODS - 0.6%
Blount International Inc. .............. 9,850 377,994
Epic Design Technology Inc.* ........... 15,200 380,000
Hardinge Bros. Inc. .................... 14,350 382,068
-----------
1,140,062
-----------
CONSUMER BASICS - 1.9%
American Homepatient Inc.* ............. 15,500 422,375
Consolidated Cigar Holdings Inc.* ...... 15,000 371,250
Cytyc Corp.* ........................... 16,750 452,250
ESC Medical Systems Ltd.* .............. 13,900 354,450
NCS Healthcare Inc* .................... 14,700 428,137
Performance Food Group Co.* ............ 25,850 400,675
Physician Sales & Services Inc.* ....... 26,650 383,094
Vivus* ................................. 10,600 384,250
Worthington Foods Inc. ................. 18,800 357,200
-----------
3,553,681
-----------
CONSUMER NON-DURABLES - 0.1%
Micro Warehouse Inc.* .................. 14,350 168,612
-----------
CONSUMER SERVICES - 0.7%
Anchor Gaming * ........................ 10,050 404,513
Ballys Grand Inc.* ..................... 4,600 165,600
Regal Cinemas Inc.* .................... 12,800 393,600
Toy Biz Inc.* .......................... 21,100 411,450
-----------
1,375,163
-----------
ENERGY - 0.4%
Giant Industries Inc. .................. 24,700 345,800
Lomak Pete Inc. ........................ 22,600 387,025
-----------
732,825
-----------
FINANCE - 0.2%
Interwest Bancorp Inc.* ................ 11,750 378,938
-----------
GENERAL BUSINESS - 1.0%
Atlantic Tele Network Inc. ............. 23,900 364,475
Heftel Broadcasting Corp.* ............. 12,350 389,025
Lamar Advertising Co.* ................. 15,900 385,575
Macromedia Inc.* ....................... 20,350 366,300
Remedytemp* ............................ 23,400 403,650
-----------
1,909,025
-----------
MISCELLANEOUS - 2.6%
Carson Inc.* ........................... 27,750 385,031
Film Roman Inc.* ....................... 49,750 379,344
Forensic Technologies Intl. Corp.* ..... 22,250 216,937
Forrester Resh Inc.* ................... 1,950 50,212
Gadzooks Inc.* ......................... 20,150 367,738
Integrated Living Communities Inc.* .... 48,500 278,875
Mastech Corp.* ......................... 21,900 416,100
Midway Games Inc.* ..................... 20,500 415,125
Metro Networks Inc.* ................... 17,400 439,350
Panavision Inc.* ....................... 17,600 365,200
PLD Telekom Inc.* ...................... 59,500 364,437
Polycom Inc.* .......................... 33,900 165,263
Sirrom Cap Corp. ....................... 10,350 380,363
Snyder Communications Inc.* ............ 16,600 448,200
Suburban Lodges of America Inc.* ....... 25,150 402,400
-----------
5,074,575
-----------
SHELTER - 0.2%
Champion Enterprises Inc.* ............. 20,000 390,000
-----------
TECHNOLOGY - 1.6%
Activision Inc.* ....................... 30,550 393,331
Dupont Photomasks Inc.* ................ 8,600 390,225
Inso Corp.* ............................ 9,750 387,563
Network General Corp.* ................. 14,400 435,600
Phoenix Technology Ltd.* ............... 23,850 384,581
S3 Inc.* ............................... 22,600 367,250
Silicon Valley Research Inc.* .......... 51,400 102,800
Triquint Semiconductor Inc.* ........... 9,763 257,499
Uniphase Corp.* ........................ 7,600 399,000
-----------
3,117,849
-----------
TOTAL COMMON STOCKS ........................................ 18,617,774
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)....................................... 314,313
United States Treasury Bills
4.00% due 1/2/97(##)...................................... 914,084
-----------
TOTAL SHORT-TERM OBLIGATIONS................................ 1,228,397
-----------
TOTAL SMALL CAP GROWTH...................................... 19,846,171
-----------
SMALL CAP VALUE -- 10.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.8%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Keystone Cons Inds Inc.* ............... 8,000 66,000
Oil Dri Corp. of America * ............. 35,000 525,000
-----------
591,000
-----------
CAPITAL GOODS - 1.3%
Astec Industries Inc.* ................. 2,800 26,600
Cognex Corp.* .......................... 25,000 462,500
Commercial Intertech Corp.* ............ 37,100 505,487
D.R. Horton Inc.* ...................... 25,000 271,875
Esco Elects Corp.* ..................... 66,000 660,000
United Industrial Corp. ................ 97,700 573,988
-----------
2,500,450
-----------
CONSUMER BASICS - 1.5%
Ekco Group Inc.* ....................... 138,700 606,813
Health Images Inc. ..................... 11,100 184,537
Matrix Pharmaceuticals* ................ 51,000 312,375
Nash Finch Co. ......................... 10,300 218,875
RLI Corp. .............................. 12,400 413,850
Schultz Sav O Stores Inc. .............. 13,000 182,000
Schweitzer Mauduit Intl. Inc. .......... 15,000 474,375
Stanhome Inc. .......................... 14,000 371,000
-----------
2,763,825
-----------
CONSUMER DURABLE GOODS - 0.6%
Flexsteel Industries Inc. .............. 21,300 276,900
Oshkosh Truck Corp. .................... 35,300 375,063
West Inc. .............................. 14,900 420,925
-----------
1,072,888
-----------
CONSUMER NON-DURABLES - 0.3%
Little Switzerland Inc.* ............... 68,700 313,444
Syms Corp.* ............................ 20,400 173,400
-----------
486,844
-----------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ........................... 87,200 610,400
-----------
ENERGY - 0.5%
Total Pete North America Ltd. .......... 40,000 415,000
Wiser Oil Co. Del ...................... 23,100 456,225
-----------
871,225
-----------
FINANCE - 1.0%
Allied Life Finl Corp. ................. 3,000 52,500
Argonaut Group Inc. .................... 3,400 104,550
BankAtlantic Bancorp Inc. .............. 12,000 160,500
BankAtlantic Bancorp Inc. Class "A" .... 3,000 39,000
Chartwell Re. Corp. .................... 3,500 93,625
Downey Financial Corp. ................. 21,750 426,844
Financial Securities Assurance Hlds. Ltd. 12,300 404,363
GA Financial Inc. ...................... 18,800 284,350
Guaranty National Corp. ................ 3,400 56,950
Harleysville Group Inc. ................ 1,600 48,800
Presidential Life Corp. ................ 7,800 94,087
Redfed Bancorp Inc.* ................... 9,500 128,250
-----------
1,893,819
-----------
GENERAL BUSINESS - 0.3%
Ennis Business Forms Inc. .............. 56,500 635,625
-----------
MISCELLANEOUS - 1.1%
American Bldgs Co.* .................... 18,500 441,688
Bank Plus Corp.* ....................... 21,000 241,500
Everen Capital Corp. ................... 300 6,712
Farm Family Holdings Inc.* ............. 19,100 372,450
FBL Financial Group Inc. ............... 9,200 228,850
First Enterprise Financial Group* ...... 21,200 198,750
GCR Holdings Ltd. ...................... 16,000 356,000
Haskel International Inc. .............. 12,700 96,837
Symons International Group Inc.* ....... 2,000 33,500
Wilshire Finl Svcs Group Inc.* ......... 6,500 105,625
-----------
2,081,912
-----------
SHELTER - 1.5%
Ameron International Corp. ............. 7,800 402,675
Beazer Homes USA Inc.* ................. 29,000 536,500
Butler Mfg. Co. Del .................... 8,200 332,100
Morgan Products Ltd.* .................. 90,500 667,437
Patrick Industries Inc. ................ 3,600 54,450
Ryland Group Inc. ...................... 40,300 554,125
US Homes Corp.* ........................ 15,500 403,000
-----------
2,950,287
-----------
TECHNOLOGY - 0.8%
Advanced Logic Research Inc. ........... 19,500 241,312
Analysis & Technology Inc. ............. 4,400 63,800
Mapinfo Corp. .......................... 9,200 102,350
Symantec Corp. ......................... 25,200 365,400
Tekelec Inc. ........................... 20,400 321,300
Watkins Johnson Co. .................... 19,800 485,100
----------
1,579,262
----------
TRANSPORTATION - 0.3%
Fritz Comp. Inc.* ...................... 44,000 561,000
Kenan Transportation Co. ............... 4,500 85,500
-----------
646,500
-----------
TOTAL COMMON STOCKS ........................................ 18,684,037
-----------
- --------------------------------------------------------------------------------
FIXED INCOME--0.0%
- --------------------------------------------------------------------------------
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
BankAtlantic Bancorp Inc 6.75%
due 7/01/06 .......................... 30,000 33,150
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement 6.00% due 1/2/97................. 156,437
United States Treasury Bills 4.00% due 1/2/97............... 454,948
-----------
TOTAL SHORT-TERM OBLIGATIONS................................ 611,385
-----------
TOTAL SMALL CAP VALUE ...................................... 19,328,572
-----------
- --------------------------------------------------------------------------------
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
INTERNATIONAL EQUITY--12.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--12.0%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm ........................ 3,590 256,938
-----------
AUSTRALIA - 0.5%
Australia & New Zealand Bank Group ..... 53,400 336,588
Pioneer International Ltd. ............ 119,000 354,702
Quantas Airways ........................ 149,460 249,476
-----------
940,766
-----------
CANADA - 0.4%
Bank N S Halifax ....................... 6,150 205,928
Canadian Imperial Bank Toronto ......... 4,515 199,322
Imasco Ltd. ............................ 7,850 192,624
Noranda Inc. ........................... 11,000 245,417
-----------
843,291
-----------
FINLAND - 0.2%
UPM Kymmene Oy ......................... 16,250 340,897
-----------
FRANCE - 0.8%
Elf Aquitaine .......................... 3,000 273,085
Lafarge ................................ 7,100 425,986
Pernod Ricard .......................... 8,600 475,706
Usinor Sacilor ......................... 21,275 309,581
-----------
1,484,358
-----------
GERMANY - 0.3%
Buderus AG ............................. 375 185,209
Commerzbank AG ......................... 16,000 406,551
-----------
591,760
-----------
GREAT BRITAIN - 2.6%
Abbey National ......................... 31,057 406,502
Bat Industries ......................... 59,000 489,224
British Gas ............................ 34,500 132,397
BTR .................................... 126,250 616,434
Coats Viyella .......................... 214,500 492,428
Commercial Union ....................... 26,950 316,271
Hanson ................................. 175,000 245,846
Hillsdown Holdings ..................... 143,500 491,691
Hyder .................................. 34,865 445,593
Imperial Tobacco ....................... 6,125 39,665
Lex Service ............................ 59,000 320,421
Powergen ............................... 41,000 401,782
Redland ................................ 57,500 363,500
Safeway ................................ 39,000 269,265
-----------
5,031,019
-----------
HONG KONG - 1.0%
Hang Lung Development Co. .............. 143,000 314,306
Harbour Ring ........................... 1,000 84
Hong Kong Telecomm ..................... 259,600 417,871
HSBC Holdings .......................... 13,600 291,008
Manhattan Card Co. ..................... 707,000 358,779
New World Development Co. .............. 52,000 351,283
Sth China Morn Post .................... 306,000 253,203
-----------
1,986,534
-----------
IRELAND - 0.2%
Smurfit ................................ 126,000 383,274
-----------
ITALY - 0.1%
Danieli & C ............................ 32,000 133,949
-----------
JAPAN - 1.6%
Daiwa House Inds ....................... 22,000 283,050
Koito Mfg. Co. ......................... 26,000 173,992
MOS Food Services ...................... 12,000 238,322
Nichicon Corp. ......................... 26,000 300,837
Nintendo Co. ........................... 3,500 250,540
Nippon Fire & Marine ................... 70,000 317,330
Promise Co. ............................ 6,700 329,764
Sekisui Chemical ....................... 29,500 298,031
Sony Corp. ............................. 4,900 321,138
Suzuki Motor Corp. ..................... 39,000 356,964
Yodogawa Steelworks .................... 50,000 304,378
-----------
3,174,346
-----------
MALAYSIA - 0.4%
Arab Malaysian Finance ................. 54,000 301,485
Bolton Properties ...................... 28,750 40,982
Kedah Cement Holdings .................. 65,000 128,688
Malaysian International Shipping ....... 78,000 231,637
-----------
702,792
-----------
NETHERLANDS - 1.2%
Akzo Nobel NV .......................... 4,105 561,123
ABN Amro Holdings NV .................. 7,100 462,230
Hollandsche Beton ...................... 2,150 445,691
Ing Groep NV ........................... 14,250 513,380
Kon PTT Nederland ...................... 6,800 259,554
-----------
2,241,978
-----------
NEW ZEALAND - 0.3%
Fletcher Challenge(Building) ........... 92,050 283,081
Fletcher Challenge(Paper) .............. 172,300 354,466
-----------
637,547
-----------
NORWAY - 0.4%
Kvaerner ASA ........................... 7,300 351,795
Nycomed ................................ 23,650 359,718
-----------
711,513
-----------
SPAIN - 0.6%
Banco Santander SA ..................... 7,200 460,866
Repsol SA .............................. 13,400 514,015
Telefonica de Espana ................... 5,300 123,085
-----------
1,097,966
-----------
SWEDEN - 0.2%
Marieberg Tidnings ..................... 12,500 306,090
-----------
SWITZERLAND - 0.9%
Forbo Hldg ............................. 910 367,127
Nestle SA .............................. 350 375,757
Schw Ruckversicher ..................... 405 432,383
Sig Schw Ind HG AG ..................... 150 379,903
Sulzer AG .............................. 600 320,956
-----------
1,876,126
-----------
UNITED STATES - 0.2%
Jardine Matheson ....................... 58,100 383,460
-----------
TOTAL COMMON STOCKS ........................................ 23,124,604
-----------
- --------------------------------------------------------------------------------
PRINCIPAL
ISSUER AMOUNT VALUE
- --------------------------------------------------------------------------------
FIXED INCOME - 0.1%
- --------------------------------------------------------------------------------
New World China Fin Ltd. ...............
4.00% due 12/31/99 .................. 88,000 87,894
--------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.8%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement 6.00% due 1/2/97(+).............. 399,111
United States Treasury Bills 4.00% due 1/2/97(##)........... 1,160,691
-----------
TOTAL SHORT-TERM OBLIGATIONS................................ 1,559,802
-----------
TOTAL INTERNATIONAL EQUITY ................................. 24,772,300
-----------
DOMESTIC FIXED INCOME--25.1%
- --------------------------------------------------------------------------------
FIXED INCOME--24.3%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 0.2%
Aetna Services Inc 6.970% due 8/15/36 .. 330,000 336,042
-----------
FOREIGN BONDS - 0.3%
Enersis SA 6.900% due 12/1/06 .......... 600,000 585,594
-----------
ASSET BACKED - 0.8%
General Motors Acceptance Corp.
7.22% due 2/15/06 ................... 300,000 303,469
Federal Home Loan Mortgage Corp
7.50% due 1/15/20 .................... 596,401 600,035
Federal Home Loan Mortgage Corp.
7.50% due 8/15/21 .................... 590,174 593,771
-----------
1,497,275
-----------
MORTGAGE BACKED - 2.2%
Federal Home Loan Mortgage Corp
6.50% due 2/01/11 ................... 97,136 95,709
6.50% due 4/01/11 ................... 291,679 287,394
6.50% due 7/01/11 ................... 215,349 211,445
Federal National Mortgage Association
8.00% due 12/01/99 .................. 238,672 243,147
9.00% due 7/01/25 ................... 600,000 631,500
7.00% due 6/01/03 ................... 176,909 177,627
7.00% due 7/01/03 ................... 670,593 673,316
8.00% due 11/01/03 .................. 683,590 695,553
6.50% due 5/01/11 ................... 290,795 285,432
6.50% due 7/01/11 ................... 162,154 159,164
8.00% due 5/01/26 ................... 715,252 728,663
8.00% due 6/01/26 ................... 121,419 123,695
-----------
4,312,645
-----------
U. S. TREASURY ISSUES - 20.8%
United States Treasury Bond
6.875% due 8/15/25 ................... 570,000 581,223
6.75% due 8/15/26 .................... 300,000 302,250
6.50% due 11/15/26 ................... 700,000 686,987
-----------
1,570,460
-----------
United States Treasury Notes
6.00% due 5/31/98 .................... 11,285,000 11,320,209
6.375% due 5/15/99 ................... 6,765,000 6,823,112
5.875% due 11/15/99 .................. 1,400,000 1,394,526
6.50% due 5/31/01 .................... 13,655,000 13,804,385
6.875% due 5/15/06 ................... 4,920,000 5,069,913
-----------
38,412,145
-----------
TOTAL FIXED INCOME 46,714,161
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.8%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement 6.00% due 1/2/97(+).............. $ 374,585
United States Treasury Bills 4.00% due 1/2/97(##)........... 1,089,363
-----------
TOTAL SHORT-TERM OBLIGATIONS ............................... 1,463,948
-----------
TOTAL DOMESTIC FIXED INCOME ................................ 48,178,109
-----------
INTERNATIONAL BOND--26.3%
- --------------------------------------------------------------------------------
FIXED INCOME--18.4%
- --------------------------------------------------------------------------------
Currency
--------
AUSTRIA - 0.2%
Republic of Austria 7.625%
due 10/18/04................... ATS 3,670,000 378,574
-----------
BELGIUM - 0.6%
Belgium (Kingdom) 9.00%
due 3/28/03.................... BF 18,300,000 692,778
Belgium (Kingdom) 8.50%
due 10/01/07................... BF 11,150,000 419,432
-----------
1,112,210
-----------
CANADA - 3.4%
Canadian Government 6.25%
due 9/15/98.................... CAD 3,700,000 2,796,955
Canadian Government 8.00%
due 11/01/98................... CAD 2,000,000 1,555,700
Canadian Government 9.00%
due 12/01/04.................. CAD 2,610,000 2,235,454
-----------
6,588,109
-----------
DENMARK - 0.4%
Denmark (Kingdom) 8.00%
due 5/15/03.................... DKK 3,950,000 742,754
-----------
FINLAND - 0.1%
Finland (Rep of) 9.50%
due 3/15/04.................... FIM 1,000,000 263,785
-----------
FRANCE - 0.9%
Government of France 8.25%
due 2/27/04.................... FRF 900,000 203,296
Government of France 7.75%
due 10/25/05................... FRF 6,700,000 1,478,816
-----------
1,682,112
-----------
GERMANY - 2.2%
Germany (Fed) Rep
7.125% due 12/20/02 .......... DEM 2,880,000 2,057,437
Germany (Fed) Rep
7.375% due 1/03/05............. DEM 520,000 375,030
Treuhandanstalt
6.875% due 6/11/03............. DEM 2,600,000 1,829,192
-----------
4,261,659
-----------
GREAT BRITAIN - 1.8%
Treasury 8.00%
due 12/7/00.................... GBP 300,000 528,097
Treasury 6.75%
due 11/26/04................... GBP 30,000 49,549
Treasury 8.50%
due 12/7/05.................... GBP 1,540,000 2,810,657
-----------
3,388,303
-----------
ITALY - 1.1%
Republic of Italy 9.187%
due 9/01/05.................... ITL 2,735,000,000 2,154,466
-----------
JAPAN - 2.6%
Japan 5.50% due 3/20/02.......... JPY 328,000,000 3,343,159
Japan 4.50% due 6/20/03.......... JPY 170,000,000 1,669,467
-----------
5,012,626
-----------
NETHERLANDS - 1.8%
Dutch Government
6.25% due 7/15/98.............. NLG 3,200,000 1,931,306
Dutch Government
9.00% due 5/15/00.............. NLG 2,200,000 1,464,118
Dutch Government
5.75% due 1/15/04 ............. NLG 200,000 118,390
-----------
3,513,814
-----------
NEW ZEALAND - 0.7%
New Zealand Government
10.00% due 3/15/02............. NED 570,000 452,675
New Zealand Government
8.00% due 4/15/04.............. NED 480,000 354,422
New Zealand Government
8.00% due 11/15/06............. NED 660,000 492,505
-----------
1,299,602
-----------
SPAIN - 0.9%
Government of Spain
10.90% due 8/30/03............. ESP 114,700,000 1,091,207
Government of Spain
10.00% due 2/28/05............. ESP 76,000,000 704,299
-----------
1,795,506
-----------
SWEDEN - 1.7%
Sweden (Kingdom)
11.00% due 1/21/99............. SEK 19,500,000 3,213,944
-----------
TOTAL FIXED INCOME ......................................... 35,407,464
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 6.7%
- --------------------------------------------------------------------------------
Argentina Treasury Bill
due 2/14/97.................... ARS 700,000 693,225
Bayerische Landesbank
11.50% due 10/09/97............ CZK 14,000,000 511,545
Caisse D. Amotissement
5.36% due 1/22/97.............. $ 200,000 199,375
Caisse D. Amotissement
5.40% due 1/27/97.............. $ 700,000 697,270
Canadian Wheat Board
5.32% due 2/14/97.............. $ 1,500,000 1,490,247
Electricite de France
5.39% due 1/13/97.............. $ 1,500,000 1,497,305
Her Majesty in Right of Canada
5.35% due 1/13/97.............. $ 1,400,000 1,397,503
Motorola Inc.
5.33% due 1/16/97.............. $ 1,100,000 1,097,557
New Center Asset Trust
5.40% due 1/15/97.............. $ 1,500,000 1,496,850
Pitney Bowes Inc.
5.34% due 1/14/97.............. $ 1,500,000 1,497,107
Province of British Columbia
5.31% due 1/22/97.............. $ 1,500,000 1,495,354
Sanwa Repurchase
6.00% due 1/2/97............... $ 191,119 191,119
United States Treasury Bills 4.00% due 1/2/97 .............. 555,812
United States Treasury Bills 5.01% due 3/6/97 .............. 24,783
------------
TOTAL SHORT-TERM OBLIGATIONS ............................... 12,845,052
------------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS - 1.2%
- --------------------------------------------------------------------------------
Purchased calls
AST 1,020,000 Australian Government Bonds
@ 102.60 exp. date 3/6/97 ................................ 72,197
CAD 3,000,000 Canadian Government Bonds
@ 94.32 exp. date 1/14/97 ................................ 264,179
CAD 4,000,000 Canadian Government Bonds
@ 94.27 exp. date 1/15/97 ................................ 353,290
CAD 1,890,000 Canadian Government Bonds
@ 96.15 exp. date 2/20/97 ................................ 133,776
CAD 1,600,000 Canadian Government Bonds
@ 96.05 exp. date 3/12/97 ................................ 111,742
CAD 3,500,000 Canadian Government Bonds
@ 96.25 exp. date 3/12/97 ................................ 264,756
CAD 2,100,000 Canadian Government Bonds
@ 96.30 exp. date 3/13/97 ................................ 142,214
JPY 85,000,000 Japanese Government Bonds
@ 104.93 exp. date 1/10/97 ............................... 85,264
JPY 72,000,000 Japanese Government Bonds
@ 92.80 exp. date 2/19/97 ................................ 131,043
JPY 70,000,000 Japanese Government Bonds
@ 108.00 exp. date 3/11/97 ............................... 61,133
JPY 161,200,000 Japanese Government Bonds
@ 99.14 exp. date 3/24/97 ................................ 170,931
NLG 1,100,000 Netherland Guilder Government Bonds
@ 93.569 exp. date 1/13/97 ............................... 67,458
SEK 20,000,000 Swedish Government Bonds
@ 99.67 exp. date 2/13/97 ................................ 350,621
------------
TOTAL INTERNATIONAL BOND OPTIONS ........................... 2,208,604
------------
TOTAL INTERNATIONAL BOND ................................... 50,461,120
------------
SHORT-TERM--4.9%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--4.9%
- --------------------------------------------------------------------------------
Sanwa Repurchase Agreement 6.00% due 1/2/97(+) ............. $ 2,040,610
United States Treasury Bills 4.00% due 1/2/97(##) .......... 5,934,483
United States Treasury Bills 5.402% due 7/24/97 ............ 969,386
United States Treasury Bills 5.39% due 9/18/97 ............. 480,536
------------
TOTAL SHORT-TERM 9,425,015
------------
TOTAL INVESTMENTS
(Identified Cost $198,800,135) ................ 107.4% 206,314,240
OTHER ASSETS, LESS LIABILITIES .................. (7.4) (14,279,660)
----- ----------
NET ASSETS ...................................... 100.0% $192,034,580
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Sanwa Repurchase Agreements 6.00% due
1/2/97 valued at $3,782,000, collateralized by $3,782,000 U.S. Treasury
Bonds, 7.875% due 2/15/21 with a market value of $3,715,234, portions of
which are listed separately by each Asset Class.
(##) The Portfolio owns in aggregate U.S. Treasury Bills 4.00% due 1/02/97
valued at $10,998,778, portions of which are listed separately by each
Asset Class.
(++) The Portfolio owns in aggregate 8,400 shares of Deere & Co., valued at
$341,251 and 15,100 shares of Federal National Mortgage Association, valued
at $562,475.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
FUTURES CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
---------------- --------- ----------- -----------
<S> <C> <C> <C>
French Bond--10 Year (Buy).......................................... 2 March 1997 $1,347
French Bond--10 Year (Buy).......................................... 3 March 1997 366
------
$1,713
======
</TABLE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACT (DEPRECIATION)
-------- ------- --------- ---------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Dollar (Buy)........................ Australia $ 478,639 $ 476,523 January 1997 $ 2,116
Dollar (Sell)....................... Australia 49,260 49,343 January 1997 83
Shilling (Buy)...................... Austria 80,371 80,452 March 1997 (81)
Franc (Buy)......................... Belgium 195,511 195,219 March 1997 292
Dollar (Sell)....................... Canada 691,490 706,992 January 1997 15,502
Dollar (Sell)....................... Canada 1,785,818 1,838,880 February 1997 53,062
Dollar (Sell)....................... Canada 2,853,795 2,859,872 March 1997 6,077
Krone (Buy)......................... Denmark 242,604 243,204 January 1997 (600)
Krone (Sell)........................ Denmark 135,743 137,510 January 1997 1,767
Markka (Buy)........................ Finland 696,939 688,923 January 1997 8,016
Markka (Sell)....................... Finland 932,373 942,461 January 1997 10,088
Franc (Buy)......................... France 2,205,486 2,207,160 March 1997 (1,674)
Mark (Buy).......................... Germany 47,489 48,667 January 1997 (1,178)
Mark (Sell)......................... Germany 256,312 262,142 January 1997 5,830
Mark (Buy).......................... Germany 3,130,171 3,098,231 March 1997 31,940
Mark (Sell)......................... Germany 839,114 836,400 March 1997 (2,714)
Mark (Sell)......................... Germany 304,381 312,443 March 1997 8,062
Sterling (Buy)...................... Great Britain 5,141,911 5,127,921 January 1997 13,990
Sterling (Sell)..................... Great Britain 3,265,408 3,176,443 January 1997 (88,965)
Rupiah (Buy)........................ Indonesia 341,194 331,484 March 1997 9,710
Rupiah (Sell)....................... Indonesia 341,194 336,816 March 1997 (4,378)
Lira (Buy).......................... Italy 3,238,011 3,223,366 January 1997 14,645
Yen (Buy)........................... Japan 6,635,126 6,906,360 January 1997 (271,234)
Yen (Sell).......................... Japan 41,965 43,117 January 1997 1,152
Yen (Buy)........................... Japan 4,886,990 4,949,798 February 1997 (62,808)
Peso (Buy).......................... Mexico 340,205 337,544 January 1997 2,661
Peso (Sell)......................... Mexico 347,914 347,914 January 1997 --
Guilder (Buy)....................... Netherlands 461,870 457,734 January 1997 4,136
Dollar (Buy)........................ New Zealand 84,713 84,480 January 1997 233
Dollar (Sell)....................... New Zealand 404,505 404,962 January 1997 457
Dollar (Sell)....................... New Zealand 548,882 548,804 February 1997 (78)
Dollar (Sell)....................... New Zealand 442,806 443,965 May 1997 1,159
Peseta (Buy)........................ Spain 1,999,830 1,999,830 January 1997 --
Peseta (Sell)....................... Spain 2,139,661 2,152,338 January 1997 12,677
Peseta (Buy)........................ Spain 2,364,072 2,356,744 March 1997 7,328
Krona (Sell)........................ Sweden 5,569,260 5,710,557 January 1997 141,297
Krona (Sell)........................ Sweden 307,045 308,360 February 1997 1,315
Franc (Buy)......................... Switzerland 897,078 888,803 January 1997 8,275
Franc (Sell)........................ Switzerland 1,720,666 1,821,349 January 1997 100,683
Franc (Sell)........................ Switzerland 900,586 892,193 February 1997 (8,393)
---------
$ 20,450
=========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
- -----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
ISSUER SHARES VALUE
- -----------------------------------------------------------------------------
LARGE CAP GROWTH--7.4%
- -----------------------------------------------------------------------------
COMMON STOCKS--7.2%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Kimberly Clark Corp...................................4,400 $ 419,100
Praxair...............................................9,300 428,963
Sigma Aldrich.........................................7,500 468,281
------------
1,316,344
------------
CAPITAL GOODS - 0.5%
Crane Co..............................................9,450 274,050
Deere & Co. (++)......................................4,900 199,063
Emerson Electric Co...................................3,600 348,300
General Electric Co...................................5,200 514,150
------------
1,335,563
------------
CONSUMER BASICS - 1.9%
Cardinal Health Inc...................................6,300 366,975
Clorox Co.............................................4,400 441,650
Coca Cola Co..........................................4,200 221,025
Colgate Palmolive Co..................................5,100 470,475
Gillette Co...........................................6,200 482,050
Health Management Association*.......................16,700 375,750
Johnson & Johnson.....................................4,800 238,800
Lilly Eli & Co........................................3,600 262,800
Medtronic Inc.........................................7,100 482,800
Pfizer Inc............................................2,700 223,763
Procter & Gamble Co...................................3,800 408,500
Schering Plough Corp..................................3,100 200,725
Warner Lambert Co.....................................6,300 472,500
------------
4,647,813
------------
CONSUMER DURABLE GOODS - 0.2%
Danaher Corp..........................................3,900 181,837
Federal Signal Corp...................................8,900 230,288
------------
412,125
------------
CONSUMER NON-DURABLES - 0.6%
Henry Schein, Inc.*..................................10,200 350,625
Kohls Corp.*..........................................6,900 270,825
Nine West Group Inc.*.................................8,100 375,638
Walgreen Co...........................................9,000 360,000
------------
1,357,088
------------
CONSUMER SERVICES - 0.3%
Carnival Corp........................................11,300 372,900
Regal Cinemas Inc.*..................................12,300 378,225
------------
751,125
------------
FINANCE - 1.1%
American International Group Inc......................3,600 389,700
Federal National Mtg. Association (++)...............12,000 447,000
Franklin Resources Inc................................6,300 430,762
MBIA Inc..............................................2,400 243,000
Norwest Corp..........................................8,100 352,350
State Street Boston Corp..............................6,000 387,000
Travelers Group Inc...................................7,800 353,940
Zions Bancorp........................................1,800 187,200
------------
2,790,952
------------
GENERAL BUSINESS - 0.5%
CUC Intl Inc.*.......................................16,500 391,875
Gannett Inc...........................................2,400 179,700
Interpublic Group Cos Inc.............................5,300 251,750
Sun Guard Data Systems................................6,900 272,550
Washington Post Co......................................500 167,563
------------
1,263,438
------------
TECHNOLOGY - 1.4%
3Com Corp.*...........................................3,200 234,800
Affiliated Computer Services Inc.*...................11,400 339,150
Andrew Corp.*.........................................7,200 382,050
Cisco Systems Inc.*...................................5,900 375,387
Computer Assoc Intl Inc...............................6,400 318,400
Intel Corp............................................3,300 432,093
Network General Corp.*................................6,400 193,600
Oracle Systems Corp.*.................................9,500 396,625
Parametric Technology Corp.*..........................8,100 416,137
Perkin Elmer Corp.....................................5,400 317,925
------------
3,406,167
------------
TRANSPORTATION - 0.2%
Wisconsin Central
Transportation Corp.*................................11,400 451,725
------------
TOTAL COMMON STOCKS........................................ 17,732,340
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97 (+)..................................... 153,883
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 464,325
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 618,208
------------
TOTAL LARGE CAP GROWTH..................................... 18,350,548
------------
LARGE CAP VALUE--7.9%
- -----------------------------------------------------------------------------
COMMON STOCKS--7.9%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Bowater Inc...........................................3,300 124,163
Cabot Corp............................................2,700 67,837
Cyprus Amax Minerals Co...............................4,300 100,512
E I du Pont de Nemours & Co...........................3,000 283,125
FMC Corp.*............................................3,500 245,438
Great Lakes Chemical Corp.............................2,600 121,550
Potash Corp. Sask Inc.................................2,100 178,500
Premark International Inc.............................4,200 93,450
Rhone Poulnec S A.....................................5,000 169,375
Rohm & Haas Co........................................3,500 285,688
------------
1,669,638
------------
CAPITAL GOODS - 0.8%
Caterpillar Inc.......................................1,700 127,925
Cummins Engine Inc....................................7,000 322,000
Deere & Co. (++)......................................4,800 195,000
Harnischfeger Industries Inc..........................8,300 399,437
Kennametal Inc........................................6,000 233,250
Parker Hannifin Corp..................................4,900 189,875
Tecumseh Products Co..................................3,600 206,550
Trinova Corp..........................................8,800 320,100
------------
1,994,137
------------
CONSUMER BASICS - 0.9%
Archer Daniels Midland Co.............................8,155 179,410
Bergen Brunswig Corp..................................6,400 182,400
Foundation Health Corp.*..............................6,400 203,200
IBP Inc...............................................6,800 164,900
Mallinckrodt Inc......................................5,300 233,862
Maxicare Health Plans Inc.*...........................4,300 95,675
Philip Morris Cos. Inc................................3,800 427,975
RJR Nabisco Holdings Corp.............................4,400 149,600
Tenet Healthcare Corp.*...............................5,400 118,125
Tupperware Corp.......................................4,200 225,225
Universal Foods Corp..................................4,700 165,675
------------
2,146,047
------------
CONSUMER DURABLE GOODS - 0.5%
Eaton Corp............................................3,400 237,150
Ford Motor Co. Del...................................10,000 318,750
General Motors Corp...................................6,400 356,800
Goodyear Tire and Rubber..............................8,300 426,412
------------
1,339,112
------------
CONSUMER NON-DURABLES - 0.2%
Dillard Dept. Stores Inc..............................5,400 166,725
Springs Industries Inc................................2,400 103,200
V F Corp..............................................3,000 202,500
------------
472,425
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del*........................................2,900 255,562
UAL Corp.*............................................3,100 193,750
------------
449,312
------------
ENERGY - 0.6%
Amoco Corp............................................3,000 241,500
Atlantic Richfield Co.................................1,500 198,750
British Petroleum PLC.................................1,900 268,613
Mapco Inc.............................................6,400 217,600
Panenergy Corp........................................3,100 139,500
Repsol................................................3,900 148,688
YPF Sociedad Anonima..................................5,600 141,400
------------
1,356,051
------------
FINANCE - 1.7%
Ace Ltd...............................................3,000 180,375
Allstate Corp.........................................4,000 231,500
American General Corp.................................4,000 163,500
Bank of New York Inc..................................5,400 182,250
Capital One Financial Corp............................4,300 154,800
Case Corp.............................................1,400 76,300
Chase Manhattan Corp..................................2,600 232,050
Chubb Corp............................................2,400 129,000
Crestar Financial Corp................................1,300 96,688
Dean Witter Discover & Co.............................3,100 205,375
Federal Home Loan Mortgage Corp.......................1,200 132,150
Federal National Mortgage Association(++).............4,800 178,800
First Chicago NBD Corp................................3,000 161,250
First Union Corp......................................2,200 162,800
Great Western Financial Corp..........................7,700 223,300
ITT Hartford Group Inc................................2,600 175,500
Mellon Bank Corp......................................2,200 156,200
Old Republic Intl Corp................................6,200 165,850
Providian Corp........................................5,800 297,975
Reliastar Financial Corp..............................3,100 179,025
Republic NY Corp......................................2,100 171,412
Salomon Inc...........................................2,600 122,525
Signet Banking Corp...................................4,800 147,600
Standard Federal Bancorporation.......................2,800 159,250
St. Paul Cos Inc......................................1,800 105,525
Transatlantic Holdings Inc............................1,900 152,950
------------
4,343,950
------------
GENERAL BUSINESS - 0.2%
PHH Corp..............................................7,700 331,100
Standard Register.....................................2,800 91,000
------------
422,100
------------
MISCELLANEOUS - 0.2%
Everest Reinsurance Holdings..........................4,400 126,500
Textron Inc...........................................2,900 273,325
Ultramar Diamond Shamrock.............................4,600 145,475
------------
545,300
------------
TECHNOLOGY - 1.2%
Beckman Industries Inc................................6,100 234,088
Compaq Computer Corp.*................................4,600 341,550
International Business Machines.......................3,500 528,500
LAM Research Corp.*...................................6,400 180,000
Raytheon Co...........................................3,300 158,813
Seagate Technology*..................................16,400 647,800
Stratus Computer Inc.*................................8,800 239,800
Tandy Corp............................................2,300 101,200
Tektronix Inc.........................................4,700 240,875
TRW Inc...............................................4,400 217,800
------------
2,890,426
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe..........................2,200 190,025
CSX Corp..............................................3,000 126,750
------------
316,775
------------
UTILITIES - 0.6%
Central ME Power Co...................................6,200 72,075
Cinergy Corp..........................................2,900 96,788
DTE Energy Co.........................................4,700 152,162
El Paso Natural Gas Co................................3,200 161,600
Entergy Corp..........................................4,800 133,200
GPU Inc...............................................4,000 134,500
MCI Communications Corp...............................7,000 228,813
Peco Energy Co........................................5,900 148,975
Sprint Corp...........................................4,700 187,412
Unicom Corp...........................................5,000 135,625
------------
1,451,150
------------
TOTAL COMMON STOCKS........................................ 19,396,423
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.0%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 23,602
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 71,218
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 94,820
------------
TOTAL LARGE CAP VALUE...................................... 19,491,243
------------
SMALL CAP GROWTH - 16.6%
- -----------------------------------------------------------------------------
COMMON STOCK--15.0%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Carbide/Graphite Group Inc.*.........................41,300 810,513
Intertape Polymer Group Inc..........................32,750 753,250
------------
1,563,763
------------
CAPITAL GOODS - 0.9%
Blount International Inc.............................19,850 761,744
Epic Design Technology Inc.*.........................30,700 767,500
Hardinge Bros. Inc...................................28,850 768,131
------------
2,297,375
------------
CONSUMER BASICS - 2.9%
American Homepatient Inc.*...........................31,225 850,881
Consolidated Cigar Holdings Inc.*....................30,200 747,450
Cytyc Corp.*.........................................33,650 908,550
ESC Medical Systems Ltd.*............................27,450 699,975
NCS Healthcare Inc.*.................................29,500 859,188
Performance Food Group Co.*..........................50,675 785,463
Physician Sales & Services Inc.*.....................53,700 771,938
Vivus*...............................................20,950 759,438
Worthington Foods Inc................................35,466 673,854
------------
7,056,737
------------
CONSUMER NON-DURABLES - 0.1%
Micro Warehouse Inc.*................................26,750 314,312
------------
CONSUMER SERVICES - 1.1%
Anchor Gaming *......................................20,200 813,050
Ballys Grand Inc.*....................................9,400 338,400
Regal Cinemas Inc.*..................................25,725 791,043
Toy Biz Inc.*........................................42,400 826,800
------------
2,769,293
------------
ENERGY - 0.6%
Giant Industries Inc.................................49,650 695,100
Lomak Pete Inc.......................................44,900 768,912
------------
1,464,012
------------
FINANCE - 0.3%
Interwest Bancorp Inc.*..............................23,700 764,325
------------
GENERAL BUSINESS - 1.6%
Atlantic Tele Network Inc............................48,100 733,525
Heftel Broadcasting Corp.*...........................24,834 782,271
Lamar Advertising Co.*...............................32,000 776,000
Macromedia Inc.*.....................................41,050 738,900
Remedytemp*..........................................44,150 761,588
------------
3,792,284
------------
MISCELLANEOUS - 4.1%
Carson Inc.*.........................................56,050 777,694
Film Roman Inc.*....................................100,300 764,787
Forensic Technologies Intl. Corp.*...................43,950 428,513
Forrester Resh Inc.*..................................3,500 90,125
Gadzooks Inc.*.......................................40,100 731,825
Integrated Living Communities Inc.*..................85,050 489,037
Mastech Corp*........................................43,900 834,100
Metro Networks Inc.*.................................35,100 886,275
Midway Games Inc.*...................................41,250 835,312
Panavision Inc.*.....................................35,550 737,663
PLD Telekom Inc.*...................................110,800 678,650
Polycom Inc.*........................................59,900 292,013
Sirrom Cap Corp......................................20,900 768,075
Snyder Communications Inc.*..........................30,550 824,850
Suburban Lodges of America Inc.*.....................50,450 807,200
------------
9,946,119
------------
SHELTER - 0.3%
Champion Enterprises Inc.*...........................40,200 783,900
------------
TECHNOLOGY - 2.5%
Activision Inc.*.....................................56,400 726,150
Dupont Photomasks Inc.*..............................17,350 787,256
Inso Corp.*..........................................19,650 781,087
Network General Corp.*...............................26,900 813,725
Phoenix Technology Ltd.*.............................48,000 774,000
S3 Inc.*.............................................45,600 741,000
Silicon Valley Research Inc.*........................89,650 179,300
Triquint Semiconductor Inc.*.........................18,248 481,291
Uniphase Corp.*......................................15,250 800,625
------------
6,084,434
------------
TOTAL COMMON STOCKS........................................ 36,836,554
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.6%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 1,023,624
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 3,088,678
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 4,112,302
------------
TOTAL SMALL CAP GROWTH..................................... 40,948,856
------------
SMALL CAP VALUE--15.0%
- -----------------------------------------------------------------------------
COMMON STOCKS--14.3%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Keystone Cons Inds Inc.*.............................15,600 128,700
Oil Dri Corp. of America.............................65,000 975,000
------------
1,103,700
------------
CAPITAL GOODS - 1.8%
Cognex Corp.*........................................39,400 728,900
Commercial Intertech Corp............................69,100 941,488
D.R. Horton Inc.*....................................47,400 515,475
Esco Elects Corp.*..................................125,000 1,250,000
United Industrial Corp..............................184,000 1,081,000
------------
4,516,863
------------
CONSUMER BASICS - 2.1%
Ekco Group Inc.*....................................261,000 1,141,875
Health Images Inc....................................21,600 359,100
Matrix Pharmaceuticals*..............................96,000 588,000
Nash Finch Co........................................18,200 386,750
RLI Corp.............................................24,300 811,013
Schultz Sav O Stores Inc.............................17,400 243,600
Schweitzer Mauduit Intl. Inc.........................28,500 901,313
Stanhome Inc.........................................25,000 662,500
------------
5,094,151
------------
CONSUMER DURABLE GOODS - 0.7%
Flexsteel Industries Inc.............................25,000 325,000
Oshkosh Truck Corp...................................68,100 723,563
West Inc.............................................23,800 672,350
------------
1,720,913
------------
CONSUMER NON-DURABLES - 0.4%
Little Switzerland Inc.*............................128,100 584,456
Syms Corp.*..........................................40,700 345,950
------------
930,406
------------
CONSUMER SERVICESS - 0.5%
Aztar Corp.*........................................163,100 1,141,700
------------
ENERGY - 0.6%
Total Pete North America Ltd.........................73,300 760,488
Wiser Oil Co. Del....................................40,100 791,975
------------
1,552,463
------------
FINANCE - 1.5%
Allied Life Finl Corp.................................6,000 105,000
Argonaut Group Inc....................................4,300 132,225
BankAtlantic Bancorp Inc.............................26,800 358,450
BankAtlantic Bancorp Inc. Class "A"...................6,700 87,100
Chartwell Re. Corp....................................7,400 197,950
Downey Financial Corp................................43,500 853,687
Financial Securities Assurance Hlds. Ltd.............25,300 831,737
GA Financial Inc.....................................39,900 603,487
Guaranty Natl Corp....................................5,700 95,475
Harleysville Group Inc..................................700 21,350
Presidential Life Corp...............................18,300 220,744
Redfed Bancorp Inc.*.................................19,900 268,650
------------
3,775,855
------------
GENERAL BUSINESS - 0.5%
Ennis Business Forms Inc............................106,000 1,192,500
------------
MISCELLANEOUS - 1.7%
American Bldgs Co.*..................................33,100 790,262
Bank Plus Corp.*.....................................38,000 437,000
Everen Capital Corp.....................................500 11,187
Farm Family Holdings Inc.*...........................34,800 678,600
FBL Financial Group Inc..............................18,900 470,137
First Enterprise Financial Group*....................45,500 426,563
GCR Holdings Ltd.....................................29,000 645,250
Haskel International Inc.............................32,700 249,338
Symons Intl Group Inc.*...............................3,700 61,975
Wilshire Finl Svcs Group Inc.*.......................14,500 235,625
------------
4,005,937
------------
SHELTER - 2.3%
Ameron Intl. Corp....................................14,600 753,725
Beazer Homes USA Inc.*...............................54,000 999,000
Butler Mfg. Co. Del..................................15,100 611,550
Morgan Products Ltd.*...............................168,000 1,239,000
Patrick Industries Inc................................6,400 96,800
Ryland Group Inc.....................................75,700 1,040,875
US Homes Corp.*......................................34,900 907,400
------------
5,648,350
------------
TECHNOLOGY - 1.2%
Advanced Logic Research Inc.*........................41,500 513,562
Analysis & Technology Inc............................10,000 145,000
Mapinfo Corp.*.......................................20,000 222,500
Symantec Corp.*......................................45,600 661,200
Tekelec Inc.*........................................43,500 685,125
Watkins Johnson Co...................................36,100 884,450
------------
3,111,837
------------
TRANSPORTATION - 0.5%
Fritz Comp. Inc.*....................................83,000 1,058,250
Kenan Trans Co.......................................11,200 212,800
------------
1,271,050
------------
TOTAL COMMON STOCKS........................................ 35,065,725
------------
- -----------------------------------------------------------------------------
FIXED INCOME - 0.0%
- -----------------------------------------------------------------------------
BankAtlantic Bancorp Inc. 6.75%
due 7/01/06...................................... 60,000 66,300
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.7%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)....................................... 421,151
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 1,270,779
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 1,691,930
------------
TOTAL SMALL CAP VALUE...................................... 36,823,955
------------
INTERNATIONAL EQUITY--25.4%
- -----------------------------------------------------------------------------
COMMON STOCKS--23.9%
- -----------------------------------------------------------------------------
ISSUER SHARES VALUE
- -----------------------------------------------------------------------------
AUSTRIA - 0.4%
Bohler Uddeholm......................................12,040 861,708
------------
AUSTRALIA - 1.1%
Australia & New Zealand
Bank Group.......................................132,700 836,429
Gio Australia Holdings..............................130,702 334,521
Pioneer Intl Ltd...................................322,500 961,271
Quantas Airways.....................................365,415 609,945
------------
2,742,166
------------
CANADA - 0.9%
Bank N S Halifax.....................................16,000 535,748
Canadian Imperial Bank Toronto.......................11,635 513,646
Imasco Ltd...........................................21,500 527,569
Noranda Inc..........................................27,200 606,850
------------
2,183,813
------------
FINLAND - 0.3%
UPM Kymmene Oy.......................................40,000 839,130
------------
FRANCE - 1.5%
Elf Aquitaine.........................................7,300 664,506
Lafarge..............................................17,700 1,061,966
Pernod Ricard........................................22,000 1,216,922
Usinor Sacilor.......................................50,500 734,846
------------
3,678,240
------------
GERMANY - 0.8%
Bayer AG.............................................12,150 495,854
Buderus AG..............................................900 444,502
Commerzbank AG.......................................42,650 1,083,711
------------
2,024,067
------------
GREAT BRITAIN - 5.1%
Abbey National.......................................73,984 968,370
Bat Industries......................................146,000 1,210,622
British Gas.........................................101,000 387,596
BTR.................................................312,750 1,527,047
Coats Viyella.......................................540,000 1,239,678
Commercial Union.....................................64,000 751,071
Hanson..............................................400,000 561,933
Hillsdown Holdings..................................363,900 1,246,873
Hyder................................................87,700 1,120,853
Imperial Tobacco.....................................15,900 102,967
Lex Service.........................................155,000 841,785
Powergen............................................111,000 1,087,751
Redland.............................................143,500 907,170
Safeway..............................................98,000 676,615
------------
12,630,331
------------
HONG KONG - 2.0%
Hang Lung Development Co............................318,000 698,946
Harbour Ring International........................2,379,000 199,929
Hong Kong Telecomm..................................648,800 1,044,355
HSBC Holdings........................................34,000 727,520
Manhattan Card Co.................................1,668,000 846,454
New World Development Co............................119,000 803,898
Sth China Morn Post.................................610,000 504,751
------------
4,825,853
------------
IRELAND - 0.4%
Smurfit.............................................313,125 952,482
------------
ITALY - 0.2%
Danieli & C..........................................87,900 367,940
------------
JAPAN - 3.2%
Daiwa House Inds.....................................51,000 656,161
Koito Mfg. Co........................................59,000 394,828
MOS Food Services....................................25,000 496,503
Nichicon Corp........................................60,000 694,241
Nintendo Co...........................................8,500 608,454
Nippon Fire & Marine................................158,000 716,259
Promise Co...........................................22,900 1,127,105
Sekisui Chemical.....................................66,500 671,833
Sony Corp............................................12,300 806,122
Suzuki Motor Corp....................................97,000 887,833
Yodogawa Steelworks.................................135,000 821,820
------------
7,881,159
------------
MALAYSIA - 0.7%
Arab Malaysian Finance..............................148,000 826,292
Bolton Properties....................................82,500 117,600
Kedah Cement Holdings...............................154,000 304,890
Malaysian International Shipping....................198,000 588,002
------------
1,836,784
------------
NETHERLANDS - 2.0%
Akzo Nobel NV.........................................7,400 1,011,526
ABN Amro Holdings NV................................17,400 1,132,789
Fortis Amev NV.......................................10,950 383,710
Hollandsche Beton.....................................4,400 912,111
Ing Groep NV.........................................26,800 965,514
Kon PTT Nederland....................................15,800 603,081
------------
5,008,731
------------
NEW ZEALAND - 0.6%
Fletcher Challenge(Building)........................223,490 687,297
Fletcher Challenge(Paper)...........................423,000 870,223
------------
1,557,520
------------
NORWAY - 0.7%
Kvaerner ASA.........................................18,200 877,078
Nycomed..............................................55,760 848,113
------------
1,725,191
------------
SINGAPORE - 0.1%
Sembawang Corp.......................................51,000 269,706
------------
SPAIN - 1.2%
Banco Santander SA...................................17,800 1,139,365
Repsol SA............................................35,200 1,350,248
Telefonica de Espana.................................15,200 352,998
------------
2,842,611
------------
SWEDEN - 0.3%
Marieberg Tidnings...................................31,100 761,551
------------
SWITZERLAND - 2.0%
Forbo Hldg............................................2,200 887,561
Nestle SA...............................................890 955,495
Sarna Kunst Holdings....................................248 234,382
Schw Ruckversicher....................................1,065 1,137,008
Sig Schw Ind HG AG......................................367 929,496
Sulzer AG.............................................1,500 802,391
------------
4,946,333
------------
UNITED STATES - 0.4%
Jardine Matheson....................................136,400 900,240
------------
TOTAL COMMON STOCKS........................................ 58,835,556
------------
- -----------------------------------------------------------------------------
FIXED INCOME - 0.1%
- -----------------------------------------------------------------------------
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------------------------
New World China Fin Ltd.
4.00% due 12/31/99...............................215,000 214,742
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.4%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)..................................... 869,493
United States Treasury Bill
4.00% due 1/2/97(##).................................... 2,623,604
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 3,493,097
------------
TOTAL INTERNATIONAL EQUITY................................. 62,543,395
------------
DOMESTIC FIXED INCOME - 5.0%
- -----------------------------------------------------------------------------
FIXED INCOME--4.8%
- -----------------------------------------------------------------------------
ISSUER SHARES VALUE
- -----------------------------------------------------------------------------
CORPORATE BONDS - 0.0%
Aetna Services Inc.
6.970% due 8/15/36.................................90,000 91,648
------------
FOREIGN BONDS - 0.0%
Enersis SA
6.900% due 12/1/06................................100,000 97,599
------------
ASSET BACKED - 0.1%
General Motors Acceptance Corp.
7.22% due 2/15/06............................... 100,000 101,156
Federal Home Loan Mortgage Corp.
7.50% due 1/15/20................................ 99,400 100,006
7.50% due 8/15/21................................ 98,363 98,962
------------
300,124
------------
MORTGAGE BACKED - 0.5%
Federal Home Loan Mortgage Corp.
6.50% due 4/01/11................................ 48,613 47,899
6.50% due 7/01/11............................... 117,019 114,897
Federal National Mortgage Association
6.50% due 5/01/11................................ 87,704 86,087
6.50% due 7/01/11................................ 58,965 57,878
7.00% due 6/01/03................................ 63,884 64,144
7.00% due 7/01/03............................... 159,317 159,963
8.00% due 11/01/03.............................. 170,665 173,652
8.00% due 5/01/26............................... 324,308 330,389
9.00% due 7/01/25............................... 100,000 105,250
------------
1,140,159
------------
U. S. TREASURY ISSUES - 4.2%
United States Treasury Bond
6.875% due 8/15/25................................155,000 158,052
6.75% due 8/15/26.................................100,000 100,750
6.50% due 11/15/26................................250,000 245,352
------------
504,154
------------
United States Treasury Notes
6.00% due 5/31/98...............................3,265,000 3,275,187
6.375% due 5/15/99..............................1,580,000 1,593,572
5.875% due 11/15/99...............................300,000 298,827
6.50% due 5/31/01...............................3,325,000 3,361,376
6.875% due 5/15/06..............................1,270,000 1,308,697
------------
9,837,659
------------
TOTAL FIXED INCOME......................................... 11,971,343
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 85,116
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 256,828
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 341,944
------------
TOTAL DOMESTIC FIXED INCOME................................ 12,313,287
------------
INTERNATIONAL BOND - 26.1%
- -----------------------------------------------------------------------------
FIXED INCOME--18.1%
- -----------------------------------------------------------------------------
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- -----------------------------------------------------------------------------
AUSTRIA - 0.2%
Republic of Austria
7.625% due 10/18/04....................ATS 4,810,000 496,169
------------
BELGIUM - 0.6%
Belgium (Kingdom)
9.00% due 3/28/03.......................BF 22,800,000 863,134
8.50% due 10/01/07......................BF 14,050,000 528,522
------------
1,391,656
------------
CANADA - 3.7%
Canadian Government
6.25% due 9/15/98......................CAD 4,300,000 3,250,515
8.00% due 11/01/98.....................CAD 4,000,000 3,111,400
9.00% due 12/01/04.....................CAD 3,180,000 2,723,657
------------
9,085,572
------------
DENMARK - 0.4%
Denmark (Kingdom)
8.00% due 5/15/03......................DKK 4,680,000 880,022
------------
FINLAND - 0.1%
Finland (Rep of)
9.50% due 3/15/04......................FIM 1,000,000 263,785
------------
FRANCE - 0.9%
Government of France
8.25% due 2/27/04......................FRE 1,200,000 271,061
7.75% due 10/25/05.....................FRE 8,220,000 1,814,309
------------
2,085,370
------------
GERMANY - 2.1%
Germany (Fed) Rep
7125% due 12/20/02.....................DEM 3,030,000 2,164,595
7.375% due 1/03/05.....................DEM 640,000 461,575
Treuhandanstalt
7.75% due 10/25/05.....................DEM 3,680,000 2,589,010
------------
5,215,180
------------
GREAT BRITAIN - 1.7%
Treasury
8.00% due 12/7/00......................GBP 300,000 528,097
6.75% due 11/26/04.....................GBP 80,000 132,131
8.50% due 12/7/05......................GBP 1,930,000 3,522,447
------------
4,182,675
------------
ITALY - 1.1%
Republic of Italy
9.187% due 9/01/05.....................ITL 3,400,000,000 2,678,312
------------
JAPAN - 2.5%
Japan
5.50% due 3/20/02......................JPY 403,000,000 4,107,600
4.50% due 6/20/03......................JPY 205,000,000 2,013,181
------------
6,120,781
------------
NETHERLANDS - 1.7%
Dutch Government
6.25% due 7/15/98......................NLG 4,400,000 2,655,546
9.00% due 5/15/00......................NLG 2,450,000 1,630,495
5.75% due 1/15/04......................NLG 100,000 59,195
------------
4,345,236
------------
NEW ZEALAND - 0.6%
New Zealand Government
10.00% due 3/15/02.....................NED 830,000 659,158
8.00% due 4/15/04.....................NED 400,000 295,351
8.00% due 11/15/06.....................NED 850,000 634,287
------------
1,588,796
------------
SPAIN - 0.9%
Government of Spain
10.900% due 8/30/03....................ESP 137,300,000 1,306,214
10.000% due 2/28/05....................ESP 98,000,000 908,175
------------
2,214,389
------------
SWEDEN - 1.6%
Sweden (Kingdom)
11.00% due 1/21/99.....................SEK 23,500,000 3,873,215
------------
TOTAL FIXED INCOME......................................... 44,421,158
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--7.0%
- -----------------------------------------------------------------------------
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- -----------------------------------------------------------------------------
ARGENTINA TREASURY BILL
due 2/14/97.......................... ARS 1,000, 000 990,321
Bayerische Landesbank
11.50% due 10/09/97................. CZK 18,000,000 657,701
Caisse D. Amotissement
5.40% due 1/27/97................... $ 800,000 796,880
Canadian Wheat Board
5.32% due 2/14/97................... $ 2,000,000 1,986,996
Electricite de France
5.39% due 1/13/97................... $ 1,500,000 1,497,305
Ford Motor Credit Co. Disc. C.P.
5.34% due 2/27/97................... $ 1,100,000 1,090,700
General Electric Capital Corp.
5.40% due 1/21/97................... $ 1,300,000 1,296,100
General Motors Acceptance Corp.
5.34% due 1/6/97.................... $ 400,000 399,703
Her Majesty in Right of Canada
5.35% due 1/13/97................... $ 1,700,000 1,696,968
Kellogg Co.
5.35% due 1/10/97................... $ 200,000 199,138
KFW Intl Fin. Inc.
5.30% due 1/10/97................... $ 600,000 599,205
New Center Asset Trust
5.40% due 1/15/97................... $ 2,000,000 1,995,800
Pitney Bowes Inc.
5.34% due 1/14/97................... $ 2,000,000 1,996,143
Province of British Columbia
5.31% due 1/22/97................... $ 1,600,000 1,595,044
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)..................................... 83,302
United States Treasury Bills
4.00% due 1/2/97(+)..................................... 251,355
United States Treasury Bills
5.01% due 3/6/97........................................ 9,913
United States Treasury Bills
1.00% due 3/13/97....................................... 9,904
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 17,152,478
------------
- -----------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS - 1.0%
- -----------------------------------------------------------------------------
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------------------------
Purchased calls
AST 1,290,000 Australian Government Bonds
@ 102.60 exp. date 3/6/97................................ 91,308
CAD 1,700,000 Canadian Government Bonds
@ 94.32 exp. date 1/14/97................................ 149,701
CAD 4,700,000 Canadian Government Bonds
@ 94.27 exp. date 1/15/97................................ 415,116
CAD 2,600,000 Canadian Government Bonds
@ 96.15 exp. date 2/20/97................................ 184,030
CAD 2,600,000 Canadian Government Bonds
@ 96.05 exp. date 3/12/97................................ 181,580
CAD 4,400,000 Canadian Government Bonds
@ 95.25 exp. date 3/12/97................................ 332,836
CAD 2,500,000 Canadian Government Bonds
@ 96.30 exp. date 3/13/97................................ 169,302
JPY 38,000,000 Japanese Government Bonds
@ 104.93 exp. date 1/10/97............................... 38,118
JPY 50,000,000 Japanese Government Bonds
@ 98.44 exp. date 1/10/97................................ 48,113
JPY 87,000,000 Japanese Government Bonds
@ 92.80 exp. date 2/19/97................................ 158,344
JPY 94,000,000 Japanese Government Bonds
@ 108.00 exp. date 3/11/97............................... 82,093
JPY 210,600,000 Japanese Government Bonds
@ 99.14 exp. date 3/24/97................................ 223,311
NLG 800,000 Netherland Guilder Government
Bonds @ 93.569 exp. date 1/13/97......................... 49,062
SEK 25,000,000 Swedish Government Bonds
@ 99.67 exp. date 2/13/97................................ 438,276
------------
TOTAL INTERNATIONAL BOND OPTIONS........................... 2,561,190
------------
TOTAL INTERNATIONAL BOND................................... 64,134,826
------------
SHORT-TERM--4.9%
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--4.9%
- -----------------------------------------------------------------------------
ISSUER SHARES VALUE
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)..................................... 2,641,828
United States Treasury Bills
4.00% due 1/2/97(##).................................... 7,971,436
United States Treasury Bills
5.402% due 7/24/97...................................... 969,386
United States Treasury Bills
5.39% due 9/18/97....................................... 480,536
------------
TOTAL SHORT-TERM........................................... 12,063,186
------------
TOTAL INVESTMENTS
(Identified Cost $253,889,565).....................108.3% $266,669,296
OTHER ASSETS,
LESS LIABILITIES....................................(8.3) (20,517,150)
------ ------------
NET ASSETS...........................................100.0% $246,152,146
====== ============
* Non income producing
(+) The Portfolio owns in aggregate Sanwa Repurchase Agreements 6.00%, due
1/02/97 valued at $5,301,999 collaterized by $4,607,000 U.S. Treasury
Bonds, 7.875% due 2/15/21 with a market value of $5,208,790, portions of
which are listed separately by each Asset Class.
(##)The Portfolio owns in aggregate U.S. Treasury Bills 4.00% due 1/02/97
valued at $15,998,223, portions of which are listed separately by each
Asset Class.
(++)The Portfolio owns in aggregate 9,700 shares in Deere & Co., valued at
$394,063 and 16,800 shares in Federal National Mortgage Association,
valued at $625,800.
See notes to financial statements
<PAGE>
<TABLE>
ASSET ALLOCATION PORTFOLIO 400
- --------------------------------------------------------------------------------------------------------------
FUTURES CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
--------- --------- ---------- ----------
<S> <C> <C> <C>
French Bond--10 Year (Buy) 2 March 1997 $1,347
French Bond--10 Year (Buy) 3 March 1997 366
------
$1,713
======
</TABLE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACT (DEPRECIATION)
-------- ------- ----- ---------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Dollar (Buy) Australia $ 581,041 $ 577,587 January 1997 $ 3,454
Dollar (Sell) Australia 68,328 68,443 January 1997 115
Shilling (Buy) Austria 92,700 92,793 March 1997 (93)
Shilling (Sell) Austria 28,737 28,766 March 1997 29
Franc (Buy) Belgium 208,471 208,159 March 1997 311
Dollar (Sell) Canada 861,253 880,565 January 1997 19,313
Dollar(Sell) Canada 2,377,638 2,448,419 February 1997 70,781
Dollar (Sell) Canada 3,316,474 3,323,536 March 1997 7,062
Krone (Buy) Denmark 322,963 323,717 January 1997 (754)
Krone (Sell) Denmark 155,110 157,322 January 1997 2,212
Markka (Buy) Finland 892,953 882,848 January 1997 10,105
Markka (Sell) Finland 1,106,608 1,119,845 January 1997 13,237
Franc (Buy) France 2,670,695 2,672,722 March 1997 (2,027)
Mark (Buy) Germany 60,500 62,000 January 1997 (1,500)
Mark (Sell) Germany 316,161 323,353 January 1997 7,192
Mark (Buy) Germany 3,144,591 3,112,186 March 1997 32,406
Mark (Sell) Germany 752,332 751,160 March 1997 (1,172)
Mark (Sell) Germany 380,476 390,554 May 1997 10,078
Sterling (Buy) Great Britain 6,396,528 6,378,887 January 1997 17,641
Sterling (Sell) Great Britain 4,040,570 3,933,641 January 1997 (106,929)
Rupiah (Buy) Indonesia 417,053 404,634 March 1997 12,419
Rupiah (Sell) Indonesia 417,053 411,701 March 1997 (5,352)
Lira (Buy) Italy 3,969,702 3,951,747 January 1997 17,955
Yen (Buy) Japan 8,894,628 9,259,140 January 1997 (364,513)
Yen (Sell) Japan 50,360 51,742 January 1997 1,382
Yen (Buy) Japan 5,651,095 5,711,391 February 1997 (60,296)
Peso (Buy) Mexico 415,119 411,873 January 1997 3,246
Peso (Sell) Mexico 424,526 424,526 January 1997 --
Guilder (Buy) Netherlands 938,826 930,420 January 1997 8,406
Dollar (Buy) New Zealand 127,070 126,720 January 1997 350
Dollar (Sell) New Zealand 464,510 465,035 January 1997 524
Dollar (Sell) New Zealand 617,912 617,475 February 1997 (437)
Dollar (Sell) New Zealand 649,122 650,818 May 1997 1,696
Dollar (Buy) New Zealand 7,013 6,986 June 1997 27
Peseta (Buy) Spain 2,574,581 2,574,581 January 1997 --
Peseta (Sell) Spain 2,516,761 2,529,748 January 1997 12,987
Peseta (Buy) Spain 2,786,012 2,777,377 March 1997 8,635
Krona (Sell) Sweden 6,964,028 7,142,344 January 1997 178,317
Krona (Sell) Sweden 246,077 247,130 February 1997 1,054
Franc (Buy) Switzerland 1,046,590 1,036,937 January 1997 9,653
Franc (Sell) Switzerland 2,169,664 2,291,548 January 1997 121,883
Franc (Sell) Switzerland 1,050,683 1,040,892 February 1997 (9,791)
--------
$ 19,606
========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 500
- -----------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS DECEMBER 31, 1996
ISSUER SHARES VALUE
- -----------------------------------------------------------------------------
LARGE CAP GROWTH--7.7%
- -----------------------------------------------------------------------------
COMMON STOCKS--7.3%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Kimberly Clark Corp...................................1,450 $ 138,113
Praxair...............................................3,100 142,988
Sigma Aldrich.........................................2,550 159,216
------------
440,317
------------
CAPITAL GOODS - 0.6%
Crane Co..............................................3,100 89,900
Deere & Co. (++)......................................1,600 65,000
Emerson Electric Co...................................1,250 120,938
General Electric Co...................................1,750 173,031
------------
448,869
------------
CONSUMER BASICS - 1.9%
Cardinal Health Inc...................................2,100 122,325
Clorox Co.............................................1,500 150,562
Coca Cola Co..........................................1,400 73,675
Colgate Palmolive Co..................................1,700 156,825
Gillette Co...........................................2,100 163,275
Health Management Association*........................5,600 126,000
Johnson & Johnson.....................................1,600 79,600
Lilly Eli & Co........................................1,200 87,600
Medtronic Inc.........................................2,400 163,200
Pfizer Inc..............................................900 74,588
Procter & Gamble Co...................................1,300 139,750
Schering Plough Corp..................................1,050 67,987
Warner Lambert Co.....................................2,100 157,500
------------
1,562,887
------------
CONSUMER DURABLE GOODS - 0.2%
Danaher Corp..........................................1,300 60,612
Federal Signal Corp...................................2,900 75,037
------------
135,649
------------
CONSUMER NON-DURABLES - 0.6%
Henry Schein, Inc.*...................................3,400 116,875
Kohls Corp.*..........................................2,300 90,275
Nine West Group Inc.*.................................2,750 127,531
Walgreen Co...........................................3,100 124,000
------------
458,681
------------
CONSUMER SERVICES - 0.3%
Carnival Corp.........................................3,800 125,400
Regal Cinemas Inc.*...................................4,100 126,075
------------
251,475
------------
FINANCE - 1.1%
American International Group Inc......................1,200 129,900
Federal National Mtg. Association (++)................4,000 149,000
Franklin Resources Inc................................2,100 143,588
MBIA Inc................................................800 81,000
Norwest Corp..........................................2,750 119,625
State Street Boston Corp..............................2,000 129,000
Travelers Group Inc...................................2,650 120,244
Zions Bancorp..........................................600 62,400
------------
934,757
------------
GENERAL BUSINESS - 0.5%
CUC Intl Inc.*........................................5,500 130,625
Gannett Inc.............................................800 59,900
Interpublic Group Cos Inc.............................1,800 85,500
Sun Guard Data Systems*...............................2,300 90,850
Washington Post Co......................................190 63,674
------------
430,549
------------
TECHNOLOGY - 1.4%
3Com Corp.*...........................................1,050 77,043
Affiliated Computer Services Inc.*....................3,800 113,050
Andrew Corp.*.........................................2,400 127,350
Cisco Systems Inc.*...................................2,000 127,250
Computer Assoc Intl Inc...............................2,200 109,450
Intel Corp............................................1,100 144,031
Network General Corp.*................................2,150 65,037
Oracle Systems Corp.*.................................3,200 133,600
Parametric Technology Corp.*..........................2,700 138,713
Perkin Elmer Corp.....................................1,800 105,975
------------
1,141,499
------------
TRANSPORTATION - 0.2%
Wisconsin Central Transportation Corp.*...............3,850 152,556
------------
TOTAL COMMON STOCKS........................................ 5,957,239
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.4%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 76,545
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 268,429
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 344,974
------------
TOTAL LARGE CAP GROWTH..................................... 6,302,213
------------
LARGE CAP VALUE--7.8%
- -----------------------------------------------------------------------------
COMMON STOCKS--7.3%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Bowater Inc...........................................1,000 37,625
Cabot Corp..............................................800 20,100
Cyprus Amax Minerals Co...............................1,300 30,387
Dow Chemical Co.........................................500 39,187
E I du Pont de Nemours & Co.............................900 84,937
FMC Corp.*............................................1,100 77,137
Great Lakes Chemical Corp...............................700 32,725
Potash Corp. Sask Inc...................................600 51,000
Premark International Inc.............................1,200 26,700
Rhone Poulnec S A.....................................1,400 47,425
Rohm & Haas Co........................................1,000 81,625
Westvaco Corp.........................................1,100 31,828
------------
560,676
------------
CAPITAL GOODS - 0.8%
Caterpillar Inc.........................................500 37,625
Cummins Engine Inc....................................2,400 110,400
Deere & Co. (++)......................................1,500 60,937
Harnischfeger Industries Inc..........................2,600 125,125
Kennametal Inc........................................1,800 69,975
Parker Hannifin Corp..................................1,500 58,125
Tecumseh Products Co..................................1,700 97,537
Trinova Corp..........................................3,600 130,950
------------
690,674
------------
CONSUMER BASICS - 0.8%
Archer Daniels Midland Co.............................2,500 55,000
Bergen Brunswig Corp..................................1,800 51,300
Foundation Health Corp.*..............................1,800 57,150
IBP Inc...............................................2,100 50,925
Mallinckrodt Inc......................................1,500 66,188
Maxicare Health Plans Inc.*...........................1,200 26,700
Philip Morris Cos. Inc................................1,300 146,412
RJR Nabisco Holdings Corp.............................1,800 61,200
Tenet Healthcare Corp.*...............................1,500 32,813
Tupperware Corp.......................................1,200 64,350
Universal Foods Corp..................................1,400 49,350
------------
661,388
------------
CONSUMER DURABLE GOODS - 0.4%
Eaton Corp............................................1,100 76,725
Ford Motor Co. Del....................................2,800 89,250
General Motors Corp...................................1,800 100,350
Goodyear Tire and Rubber..............................2,300 118,163
------------
384,488
------------
CONSUMER NON-DURABLES - 0.2%
Dillard Dept. Stores Inc..............................1,500 46,313
Springs Industries Inc..................................700 30,100
V F Corp................................................900 60,750
------------
137,163
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del*..........................................900 79,313
UAL Corp.*............................................1,200 75,000
------------
154,313
------------
ENERGY - 0.5%
Amoco Corp..............................................900 72,450
Atlantic Richfield Co...................................400 53,000
British Petroleum PLC...................................500 70,688
Mapco Inc.............................................1,800 61,200
Panenergy Corp..........................................900 40,500
Repsol................................................1,100 41,937
YPF Sociedad Anonima..................................1,600 40,400
------------
380,175
------------
FINANCE - 1.7%
Ace Ltd.................................................900 54,112
Allstate Corp.........................................1,200 69,450
American General Corp.................................1,200 49,050
Bank of New York Inc..................................1,600 54,000
Capital One Financial Corp............................1,300 46,800
Case Corp.............................................1,500 81,750
Chase Manhattan Corp....................................800 71,400
Chubb Corp..............................................800 43,000
Crestar Financial Corp..................................400 29,750
Dean Witter Discover & Co.............................1,000 66,250
Federal Home Loan Mortgage Corp.........................400 44,050
Federal National Mortgage Association(++).............1,500 55,875
First Chicago NBD Corp..................................900 48,375
First Union Corp........................................700 51,800
Great Western Financial Corp..........................2,400 69,600
ITT Hartford Group Inc..................................800 54,000
Mellon Bank Corp........................................700 49,700
Old Republic Intl Corp................................1,900 50,825
Providian Corp........................................1,700 87,338
Reliastar Financial Corp..............................1,000 57,750
Republic NY Corp........................................600 48,975
Salomon Inc.............................................800 37,700
Signet Banking Corp...................................1,500 46,125
Standard Federal Bancorporation.........................900 51,188
St. Paul Cos Inc........................................600 35,175
Transatlantic Holdings Inc..............................600 48,300
------------
1,402,338
------------
GENERAL BUSINESS - 0.2%
Olsten Corp...........................................1,900 28,738
PHH Corp..............................................2,200 94,600
Standard Register.......................................900 29,250
------------
152,588
------------
MISCELLANEOUS - 0.2%
Everest Reinsurance Holdings..........................1,400 40,250
Textron Inc.............................................900 84,825
Ultramar Diamond Shamrock.............................1,300 41,113
------------
166,188
------------
TECHNOLOGY - 1.0%
Beckman Industries Inc................................1,700 65,238
Compaq Computer Corp.*................................1,300 96,525
International Business Machines.......................1,000 151,000
LAM Research Corp.*...................................1,800 50,625
Raytheon Co...........................................1,000 48,125
Seagate Technology*...................................4,400 173,800
Stratus Computer Inc.*................................2,500 68,125
Tandy Corp..............................................700 30,800
Tektronix Inc.........................................1,400 71,750
TRW Inc...............................................1,300 64,350
------------
820,338
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe............................700 60,463
CSX Corp................................................900 38,025
------------
98,488
------------
UTILITIES - 0.5%
Central ME Power Co...................................1,800 20,925
Cinergy Corp............................................800 26,700
DTE Energy Co.........................................1,300 42,088
El Paso Natural Gas Co..................................900 45,450
Entergy Corp..........................................1,400 38,850
GPU Inc...............................................1,100 36,987
MCI Communications Corp...............................2,000 65,375
Peco Energy Co........................................1,700 42,925
Sprint Corp...........................................1,300 51,837
Unicom Corp...........................................1,400 37,975
------------
409,112
------------
TOTAL COMMON STOCKS........................................ 6,017,929
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.5%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 85,086
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 298,385
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 383,471
------------
TOTAL LARGE CAP VALUE...................................... 6,401,400
------------
SMALL CAP GROWTH--18.6%
- -----------------------------------------------------------------------------
COMMON STOCKS--16.9%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Carbide/Graphite Group Inc.*.........................15,900 312,037
Intertape Polymer Group Inc..........................12,550 288,650
------------
600,687
------------
CAPITAL GOODS - 1.1%
Blount International Inc..............................7,650 293,569
Epic Design Technology Inc.*.........................11,800 295,000
Hardinge Bros. Inc...................................11,100 295,538
------------
884,107
------------
CONSUMER BASICS - 3.3%
American Homepatient Inc.*...........................12,000 327,000
Consolidated Cigar Holdings Inc.*....................11,650 288,337
Cytyc Corp.*.........................................13,000 351,000
ESC Medical Systems Ltd.*............................10,550 269,025
NCS Healthcare Inc.*.................................11,400 332,025
Performance Food Group Co.*..........................19,800 306,900
Physician Sales & Services Inc.*.....................20,800 299,000
Vivus*................................................8,100 293,625
Worthington Foods Inc................................14,133 268,527
------------
2,735,439
------------
CONSUMER NON-DURABLES - 0.2%
Micro Warehouse Inc.*................................10,600 124,550
------------
CONSUMER SERVICES - 1.1%
Anchor Gaming*........................................7,850 315,962
Regal Cinemas Inc.*...................................9,950 305,962
Toy Biz Inc.*........................................16,300 317,850
------------
939,774
------------
ENERGY - 0.7%
Giant Industries Inc.................................19,200 268,800
Lomak Pete Inc.......................................17,300 296,262
------------
565,062
------------
FINANCE - 0.4%
Interwest Bancorp Inc.*...............................9,150 295,087
------------
GENERAL BUSINESS - 1.8%
Atlantic Tele Network Inc............................18,500 282,125
Heftel Broadcasting Corp.*............................9,600 302,400
Lamar Advertising Co.*...............................12,350 299,487
Macromedia Inc.*.....................................15,800 284,400
Remedytemp*..........................................17,600 303,600
------------
1,472,012
------------
MISCELLANEOUS - 4.5%
Carson Inc.*.........................................21,600 299,700
Film Roman Inc.*.....................................38,600 294,325
Forensic Technologies Intl. Corp.*....................1,100 10,725
Forrester Resh Inc.*..................................1,300 33,475
Gadzooks Inc.*.......................................15,550 283,787
Integrated Living Communities Inc.*..................33,600 193,200
Mastech Corp.*.......................................16,950 322,050
Metro Networks Inc.*.................................13,550 342,137
Midway Games Inc.....................................15,900 321,975
Panavision Inc.*.....................................13,750 285,313
PLD Telekom Inc.*....................................42,550 260,619
Polycom Inc.*........................................17,800 86,775
Sirrom Cap Corp.......................................8,050 295,838
Snyder Communications Inc.*..........................12,100 326,700
Suburban Lodges of America Inc.*.....................19,450 311,200
------------
3,667,819
------------
SHELTER - 0.4%
Champion Enterprises Inc.*...........................15,450 301,275
------------
TECHNOLOGY - 2.7%
Activision Inc.*.....................................21,900 281,963
Dupont Photomasks Inc.*...............................6,650 301,744
Inso Corp.*...........................................7,600 302,100
Network General Corp.*................................9,850 297,963
Phoenix Technology Ltd.*.............................18,500 298,313
S3 Inc.*.............................................17,550 285,188
Silicon Valley Research Inc.*.........................6,950 13,900
Triquint Semiconductor Inc.*..........................6,959 183,544
Uniphase Corp.*.......................................5,900 309,750
------------
2,274,465
------------
TOTAL COMMON STOCKS........................................ 13,860,277
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 1.7%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 319,002
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 1,118,688
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 1,437,690
------------
TOTAL SMALL CAP GROWTH..................................... 15,297,967
------------
SMALL CAP VALUE--18.0%
- -----------------------------------------------------------------------------
COMMON STOCKS--17.3%
- -----------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Keystone Cons Inds Inc.*..............................5,800 47,850
Oil Dri Corp. of America.............................30,000 450,000
------------
497,850
------------
CAPITAL GOODS - 2.4%
Cognex Corp.*........................................13,000 240,500
Commercial Intertech Corp............................27,600 376,050
D.R. Horton Inc.*....................................30,500 331,687
Esco Elects Corp.*...................................56,000 560,000
United Industrial Corp...............................79,000 464,125
------------
1,972,362
------------
CONSUMER BASICS - 3.2%
Ekco Group Inc.*....................................123,800 541,625
Health Images Inc....................................20,100 334,162
Matrix Pharmaceuticals*..............................38,000 232,750
Nash Finch Co........................................21,000 446,250
RLI Corp..............................................9,600 320,400
Schweitzer Mauduit Intl. Inc.........................13,500 426,937
Stanhome Inc.........................................13,000 344,500
------------
2,646,624
------------
CONSUMER DURABLE GOODS - 1.0%
Flexsteel Industries Inc.............................11,000 143,000
Oshkosh Truck Corp...................................30,600 325,125
West Inc.............................................12,600 355,950
------------
824,075
------------
CONSUMER NON-DURABLES - 0.4%
Little Switzerland Inc.*.............................40,000 182,500
Syms Corp.*..........................................16,200 137,700
------------
320,200
------------
CONSUMER SERVICES - 0.6%
Aztar Corp.*.........................................72,900 510,300
------------
ENERGY - 1.0%
Total Pete North America Ltd.........................41,500 430,563
Wiser Oil Co. Del....................................17,700 349,575
------------
780,138
------------
FINANCE - 1.2%
Allied Life Finl Corp.................................9,500 166,250
BankAtlantic Bancorp Inc................................900 12,037
Financial Securities Assurance Hlds. Ltd.............13,000 427,375
GA Financial Inc......................................7,600 114,950
Guaranty Natl Corp...................................13,700 229,475
Harleysville Group Inc................................1,200 36,600
------------
986,687
------------
GENERAL BUSINESS - 0.7%
Ennis Business Forms Inc.............................47,500 534,375
------------
MISCELLANEOUS - 1.9%
American Bldgs Co.*..................................16,000 382,000
Bank Plus Corp.*.....................................14,000 161,000
Everen Capital Corp...................................2,700 60,413
Farm Family Holdings Inc.*...........................15,800 308,100
FBL Financial Group Inc..............................10,700 266,163
GCR Holdings Ltd.....................................11,000 244,750
Haskel International Inc.............................10,000 76,250
Symons Intl Group Inc.*...............................1,400 23,450
Wilshire Finl Svcs Group Inc.*........................2,000 32,500
------------
1,554,626
------------
SHELTER - 2.8%
Ameron Intl. Corp.....................................5,600 289,100
Beazer Homes USA Inc.*...............................25,000 462,500
Butler Mfg. Co. Del...................................3,600 145,800
Morgan Products Ltd.*................................67,000 494,125
Ryland Group Inc.....................................34,100 468,875
US Homes Corp.*......................................15,600 405,600
------------
2,266,000
------------
TECHNOLOGY - 0.6%
Mapinfo Corp.*........................................4,500 50,063
Symantec Corp.*.......................................5,000 72,500
Tekelec Inc.*.........................................4,500 70,875
Watkins Johnson Co...................................13,500 330,750
------------
524,188
------------
TRANSPORTATION - 0.9%
Fritz Comp. Inc.*....................................42,800 545,700
Kenan Trans Co.......................................10,000 190,000
------------
735,700
------------
TOTAL COMMON STOCKS........................................ 14,153,125
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 0.7%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 133,404
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 467,829
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 601,233
------------
TOTAL SMALL CAP VALUE...................................... 14,754,358
------------
INTERNATIONAL EQUITY--37.4%
- -----------------------------------------------------------------------------
COMMON STOCKS--33.6%
- -----------------------------------------------------------------------------
AUSTRIA - 0.5%
Bohler Uddeholm.......................................5,800 415,108
------------
AUSTRALIA - 1.3%
Australia & New Zealand Bank Group...................56,600 356,759
Pioneer Intl Ltd...................................136,600 407,161
Quantas Airways.....................................163,500 272,912
------------
1,036,832
------------
CANADA - 1.1%
Bank N S Halifax......................................5,800 194,209
Canadian Imperial Bank Toronto........................5,200 229,562
Imasco Ltd............................................6,000 147,229
Noranda Inc..........................................16,300 363,664
------------
934,664
------------
FINLAND - 0.6%
UPM Kymmene Oy.......................................24,200 507,674
------------
FRANCE - 2.1%
Elf Aquitaine.........................................3,350 304,945
Lafarge...............................................8,125 487,484
Pernod Ricard........................................11,375 629,204
Usinor Sacilor.......................................20,300 295,394
------------
1,717,027
------------
GERMANY - 0.9%
Bayer AG..............................................3,450 140,798
Commerzbank AG.......................................23,750 603,474
------------
744,272
------------
GREAT BRITAIN - 7.6%
Abbey National.......................................34,700 454,185
Bat Industries.......................................67,300 558,047
British Gas..........................................41,000 157,341
BTR.................................................149,900 731,909
Coats Viyella.......................................239,000 548,672
Commercial Union.....................................35,000 410,742
Hanson..............................................243,500 342,076
Hillsdown Holdings..................................160,200 548,912
Hyder................................................45,800 585,349
Imperial Tobacco......................................5,100 33,027
Lex Service..........................................93,000 505,071
Powergen.............................................47,100 461,559
Redland..............................................83,700 529,130
Safeway..............................................46,900 323,808
------------
6,189,828
------------
HONG KONG - 2.9%
Dickson Concept Inc..................................75,333 282,456
Hang Lung Development Co............................151,000 331,890
Hong Kong Telecomm..................................289,200 465,517
HSBC Holdings........................................12,800 273,890
Manhattan Card Co...................................948,000 481,078
New World Development Co.............................52,000 351,283
Sth China Morn Post.................................253,000 209,348
------------
2,395,462
------------
IRELAND - 0.7%
Smurfit.............................................176,000 535,367
------------
JAPAN - 4.4%
Daiwa House Inds.....................................23,000 295,916
Koito Mfg. Co........................................26,000 173,992
MOS Food Services....................................17,000 337,622
Nichicon Corp........................................26,000 300,838
Nintendo Co...........................................4,100 293,489
Nippon Fire & Marine.................................67,000 303,730
Promise Co...........................................10,000 492,185
Sekisui Chemical.....................................30,000 303,083
Sony Corp.............................................5,500 360,461
Suzuki Motor Corp....................................43,000 393,576
Yodogawa Steelworks..................................56,000 340,903
------------
3,595,795
------------
MALAYSIA - 0.8%
Arab Malaysian Finance...............................53,000 295,902
Kedah Cement Holdings................................70,000 138,586
Malaysian International Shipping.....................83,000 246,486
------------
680,974
------------
NETHERLANDS - 3.4%
Akzo Nobel NV.........................................4,240 579,577
ABN Amro Holdings NV.................................7,900 514,312
Fortis Amev NV........................................4,570 160,142
Hollandsche Beton.....................................2,455 508,917
Ing Groep NV.........................................16,500 594,440
Kon PTT Nederland....................................11,970 456,891
------------
2,814,279
------------
NEW ZEALAND - 0.8%
Fletcher Challenge(Building).........................76,000 233,722
Fletcher Challenge(Paper)...........................187,000 384,708
------------
618,430
------------
NORWAY - 1.1%
Kvaerner ASA.........................................10,500 506,006
Nycomed..............................................24,035 365,574
------------
871,580
------------
SPAIN - 1.4%
Banco Santander SA....................................8,000 512,074
Repsol SA............................................15,900 609,913
------------
1,121,987
------------
SWEDEN - 0.4%
Marieberg Tidnings...................................13,600 333,025
------------
SWITZERLAND - 3.1%
Forbo Hldg............................................1,255 506,313
Nestle SA...............................................465 499,219
Schw Ruckversicher......................................540 576,511
Sig Schw Ind HG AG......................................195 493,874
Sulzer AG...............................................940 502,832
------------
2,578,749
------------
UNITED STATES - 0.5%
Jardine Matheson.....................................60,400 398,640
------------
TOTAL COMMON STOCKS........................................ 27,489,693
------------
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
FIXED INCOME - 0.1%
- -----------------------------------------------------------------------------
New World China Fin Ltd.
4.00% due 12/31/99.................................91,000 90,890
------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 3.7%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 678,281
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 2,378,625
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 3,056,906
------------
TOTAL INTERNATIONAL EQUITY................................. 30,637,489
------------
PRINCIPAL
ISSUER CURRENCY AMOUNT VALUE
- -----------------------------------------------------------------------------
INTERNATIONAL BOND--12.4%
- -----------------------------------------------------------------------------
FIXED INCOME--9.3%
- -----------------------------------------------------------------------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04............ ATS 700,000 72,208
------------
BELGIUM - 0.2%
Belgium (Kingdom)
9.00% due 3/28/03.............. BF 2,300,000 87,070
Belgium (Kingdom)
8.50% due 10/01/07............. BF 3,000,000 112,852
------------
199,922
------------
CANADA - 1.3%
Canadian Government
6.25% due 9/15/98.............. CAD 800,000 604,747
Canadian Government
9.00% due 12/01/04............. CAD 500,000 428,248
------------
1,032,995
------------
DENMARK - 0.2%
Denmark (Kingdom)
8.00% due 5/15/03.............. DKK 800,000 150,431
------------
FRANCE - 0.4%
Government of France
8.25% due 2/27/04.............. FRF 100,000 22,589
Government of France
7.75% due 10/25/05............. FRF 1,220,000 269,277
------------
291,866
------------
GERMANY - 1.0%
Germany (Fed) Rep
7.125% due 12/20/02............ DEM 550,000 392,913
Treuhandanstalt
6.875% due 6/11/03............. DEM 640,000 450,262
------------
843,175
------------
GREAT BRITAIN - 1.0%
Treasury
8.00% due 12/7/00.............. GBP 200,000 352,065
Treasury
6.75% due 11/26/04............. GBP 20,000 33,033
Treasury
8.50% due 12/7/05.............. GBP 230,000 419,773
------------
804,871
------------
ITALY - 0.5%
Republic of Italy
9.187% due 9/01/05............. ITL 550,000,000 433,257
------------
JAPAN - 1.9%
Japan
5.50% due 3/20/02.............. JPY 110,000,000 1,121,181
Japan
4.50% due 6/20/03.............. JPY 45,000,000 441,918
------------
1,563,099
------------
NETHERLANDS - 1.3%
Dutch Government
6.25% due 7/15/98.............. NLG 1,600,000 965,653
Dutch Government
5.75% due 1/15/04.............. NLG 100,000 59,195
------------
1,024,848
------------
NEW ZEALAND - 0.4%
New Zealand Government
8.00% due 2/15/01.............. NED 100,000 73,100
New Zealand Government
8.00% due 4/15/04............. NED 80,000 59,698
New Zealand Government
8.00% due 11/15/06............. NED 210,000 155,059
------------
287,857
------------
SPAIN - 0.5%
Government of Spain
10.25% due 11/30/98............ ESP 22,000,000 183,043
Government of Spain
10.90% due 8/30/03............. ESP 19,500,000 185,515
Government of Spain
10.00% due 2/28/05............. ESP 10,000,000 92,671
------------
461,229
------------
SWEDEN - 0.5%
Sweden (Kingdom)
11.00% due 1/21/99............. SEK 2,700,000 445,007
------------
TOTAL FIXED INCOME......................................... 7,610,765
------------
PRINCIPAL
ISSUER AMOUNT VALUE
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 2.5%
- -----------------------------------------------------------------------------
Caisse D. Amotissement
5.40% due 1/27/97.............. $300,000 298,875
Canadian Treasury Bill
5.36% due 2/12/97.............. $300,000 298,169
Electricite de France
5.35% due 1/6/97............... $200,000 199,881
Lilly Eli & Co.
5.35% due 2/27/97.............. $300,000 297,503
Mobil Australia Finance Co.
5.40% due 1/2/97............... $250,000 250,000
Queensland Treasury Corp.
5.38% due 2/18/97.............. $300,000 297,893
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)...................................... 84,229
United States Treasury Bills
4.00% due 1/2/97(##)..................................... 295,131
United States Treasury Bills
5.01% due 3/6/97......................................... 9,913
------------
TOTAL SHORT-TERM OBLIGATIONS............................... 2,031,594
------------
- -----------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS - 0.6%
- -----------------------------------------------------------------------------
Purchased calls
AST 250,000 Australian Government Bonds
@ 102.60 exp. date 3/6/97................................ 17,695
CAD 300,000 Canadian Government Bonds
@ 94.32 exp. date 1/14/97................................ 26,418
CAD 900,000 Canadian Government Bonds
@ 94.27 exp. date 1/15/97................................ 79,491
CAD 400,000 Canadian Government Bonds
@ 96.15 exp. date 2/20/97................................ 28,312
CAD 900,000 Canadian Government Bonds
@ 96.05 exp. date 3/12/97................................ 62,855
CAD 700,000 Canadian Government Bonds
@ 95.25 exp. date 3/12/97................................ 52,951
CAD 600,000 Canadian Government Bonds
@ 96.30 exp. date 3/13/97................................ 40,632
JYP 39,000,000 Japanese Government Bonds
@ 104.93 exp. date 1/10/97............................... 39,121
NLG 1,200,000 Netherland Guilder Government Bonds
@ 93.569 exp. date 1/13/97............................... 73,592
SEK 5,500,000 Swedish Government Bonds
@ 99.67 exp. date 2/13/97................................ 96,420
------------
TOTAL INTERNATIONAL BOND OPTIONS........................... 517,487
------------
TOTAL INTERNATIONAL BOND................................... 10,159,846
------------
SHORT-TERM--5.0%
- -----------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--5.0%
- -----------------------------------------------------------------------------
Sanwa Repurchase Agreement
6.00% due 1/2/97(+)..................................... 904,454
United States Treasury Bills
4.00% due 1/2/97(##).................................... 3,171,778
------------
TOTAL SHORT-TERM........................................... 4,076,232
------------
TOTAL INVESTMENTS
(Identified Cost $84,238,122)......................106.9% 87,629,505
OTHER ASSETS, LESS LIABILITIES........................(6.9) (5,628,052)
----- -----------
TOTAL NET ASSETS.....................................100.0% $82,001,453
===== ===========
* Non income producing
(+)The Portfolio owns in aggregate Sanwa Repurchase Agreements due 6.00% 1/2/97
valued at $2,281,000, collateralized by $2,281,000 U.S. Treasury Bonds,
7.875% due 2/15/21, portions of which are listed separately by each Asset
Class.
(##)The Portfolio owns in aggregate in U.S. Treasury Bills 4.00% due 1/02/97
valued at $7,998,865, portions of which are listed separately by each Asset
Class.
(++)The Portfolio owns in aggregate 3,100 shares in Deere & Co., valued at
$125,937 and 5,500 shares of Federal Home Mortgage Association, valued at
$204,875. See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 500
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FUTURES CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
--------- --------- ---------- ----------
<S> <C> <C> <C>
French Bond--10 Year (Buy)......................................... 1 March 1997 $ 674
<CAPTION>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT DECEMBER 31, 1996 ARE AS FOLLOWS:
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACT (DEPRECIATION)
------------------ -------------- --------- ---------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Dollar (Buy)........................ Australia $ 138,246 $ 137,539 January 1997 $ 707
Dollar (Sell)....................... Australia 38,409 38,118 January 1997 (291)
Shilling (Buy)...................... Austria 27,810 27,838 March 1997 (28)
Shilling (Sell)..................... Austria 6,952 6,959 March 1997 7
Franc (Buy)......................... Belgium 61,854 61,761 March 1997 92
Dollar (Sell)....................... Canada 672,979 692,607 February 1997 19,628
Dollar (Sell)....................... Canada 616,660 617,973 March 1997 1,313
Krone (Buy)......................... Denmark 56,064 56,255 January 1997 (191)
Krone (Sell)........................ Denmark 38,735 39,288 January 1997 553
Markka (Buy)........................ Finland 43,559 44,346 January 1997 (787)
Franc (Buy)......................... France 467,725 468,080 March 1997 (355)
Mark (Buy).......................... Germany 5,855 6,000 January 1997 (145)
Mark (Sell)......................... Germany 37,731 38,590 January 1997 858
Mark (Buy).......................... Germany 906,974 895,805 March 1997 11,170
Mark (Sell)......................... Germany 425,430 422,384 March 1997 (3,045)
Mark (Sell)......................... Germany 76,095 78,111 May 1997 2,016
Sterling (Buy)...................... Great Britain 909,945 903,422 January 1997 6,523
Sterling (Sell)..................... Great Britain 814,896 789,179 January 1997 (25,717)
Rupiah (Buy)........................ Indonesia 67,604 66,809 March 1997 795
Rupiah (Sell)....................... Indonesia 67,604 66,736 March 1997 (868)
Lira (Buy).......................... Italy 637,579 634,695 January 1997 2,884
Yen (Buy)........................... Japan 1,078,781 1,119,582 January 1997 (40,802)
Yen (Sell).......................... Japan 25,184 25,876 January 1997 691
Yen (Buy)........................... Japan 1,376,680 1,394,595 February 1997 (17,914)
Peso (Buy).......................... Mexico 59,091 58,629 January 1997 462
Peso (Sell)......................... Mexico 60,430 60,430 January 1997 --
Guilder (Sell)...................... Netherlands 268,650 266,245 January 1997 (2,405)
Dollar (Sell)....................... New Zealand 86,125 86,129 January 1997 4
Dollar (Sell)....................... New Zealand 97,963 98,321 February 1997 358
Dollar (Sell)....................... New Zealand 106,667 106,962 May 1997 295
Peseta (Buy)........................ Spain 250,596 250,596 January 1997 --
Peseta (Sell)....................... Spain 469,803 471,385 January 1997 1,582
Peseta (Buy)........................ Spain 578,981 577,186 March 1997 1,795
Krona (Sell)........................ Sweden 1,145,906 1,180,309 January 1997 34,403
Krona (Sell)........................ Sweden 11,165 11,213 February 1997 48
Franc (Buy)......................... Switzerland 373,782 370,335 January 1997 3,447
Franc (Sell)........................ Switzerland 373,782 394,017 January 1997 20,234
Franc (Sell)........................ Switzerland 375,244 371,747 February 1997 (3,497)
--------
$ 13,820
========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1996
<TABLE>
<CAPTION>
ASSET ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400 PORTFOLIO 500
------------- ------------- ------------- -------------
ASSETS:
<S> <C> <C> <C> <C>
Investments, at value (Note1A) (Identified Cost, $104,794,210
$198,800,135, $253,889,565 and $84,238,122, respectively) $107,645,337 $206,314,240 $266,669,296 $ 87,629,505
------------ ------------ ------------ ------------
Foreign currency, (cost $65,469, $142,141, $337,283 and $88,891,
respectively) at value................................ 65,962 157,635 340,045 89,612
Cash.................................................... 957 343 956 974
Receivable for securities sold.......................... 11,259,286 21,038,253 24,747,899 5,236,419
Receivable for forward contracts........................ 259,511 462,553 572,470 109,865
Dividend receivable..................................... 35,560 99,128 183,053 72,231
Interest receivable..................................... 1,065,945 1,988,871 2,121,397 360,212
Receivable from sub-administrator (Note 5).............. 89,472 -- -- 56,679
Other Assets............................................ 733 3,806 17,642 14,473
------------ ------------ ------------ ------------
Total Assets.......................................... 120,422,763 230,064,829 294,652,758 93,569,970
------------ ------------ ------------ ------------
LIABILITIES:
Payable for securities purchased........................ 18,982,386 37,317,567 47,495,098 11,363,650
Payable for forward contracts........................... 236,187 442,103 552,864 96,045
Payable for daily variation on future contracts......... 2,079 1,291 1,291 258
Management fee payable (Note 2)......................... -- -- 132,692 --
Accrued expenses........................................ 120,154 253,614 292,963 101,501
Other Liabilities....................................... 6,888 15,674 25,704 7,063
------------ ------------ ------------ ------------
Total Liabilities..................................... 19,347,694 38,030,249 48,500,612 11,568,517
------------ ------------ ------------ ------------
NET ASSETS.............................................. $101,075,069 $192,034,580 $246,152,146 $82,001,453
============ ============ ============ ===========
REPRESENTED BY:
Paid-in capital......................................... $101,075,069 $192,034,580 $246,152,146 $82,001,453
============ ============ ============ ===========
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
SEPTEMBER 3,
1996* TO
DECEMBER 31
JUNE 17,1996* TO DECEMBER 31, 1996 1996
------------------------------------------- -------------
ASSET ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400 PORTFOLIO 500
------------- ------------- ------------- -------------
INCOME:
<S> <C> <C> <C> <C>
Interest (Note 1B) (net of foreign tax of $13,574, $27,382,
$34,254 and $4,920) ........................................... $ 1,200,380 $ 1,883,180 $ 1,534,520 $ 222,151
Dividends (net of foreign tax of $6,979, $24,175,
$60,556 and $18,061) .......................................... 170,007 492,811 924,020 253,212
----------- ----------- ----------- -----------
Total income .................................................. 1,370,387 2,375,991 2,458,540 475,363
----------- ----------- ----------- -----------
EXPENSES:
Custodian fees and accounting fees .............................. 294,795 446,449 494,613 169,934
Management fees (Note 2) ........................................ 197,989 385,745 495,484 103,638
Auditing services ............................................... 30,200 33,245 29,245 18,200
Legal services .................................................. 19,350 19,350 19,350 7,470
Trustees fees ................................................... 2,002 2,504 5,806 3,500
Miscellaneous ................................................... 2,017 2,844 3,283 1,685
----------- ------------ ----------- -----------
Total expenses ................................................ 546,353 890,137 1,047,781 304,427
Less aggregate amount waived by the Manager (Note 2) ............ (197,989) (385,745) (361,792) (103,638)
Less expenses assumed by the Sub-Administrator (Note 5) ......... (89,472) -- -- (56,679)
----------- ----------- ----------- -----------
Net expenses .................................................... 258,892 504,392 685,989 144,110
----------- ----------- ----------- -----------
Net investment income ........................................... 1,111,495 1,871,599 1,772,551 331,253
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
AND FOREIGN CURRENCY TRANSACTIONS
Net realized gain (loss) from investments and
foreign currency transactions ................................. 328,852 756,606 1,371,474 (188,916)
Net change in unrealized appreciation (depreciation) ............ 2,910,650 7,633,362 12,898,831 3,431,686
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on investments
and foreign currency .......................................... 3,239,502 8,389,968 14,270,305 3,242,770
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............ $ 4,350,997 $10,261,567 $16,042,856 $ 3,574,023
=========== =========== =========== ===========
</TABLE>
* Commencement of operations
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SEPTEMBER 3,
1996* TO
DECEMBER 31
JUNE 17,1996* TO DECEMBER 31, 1996 1996
------------------------------------------- -------------
ASSET ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400 PORTFOLIO 500
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ........................................... $ 1,111,495 $ 1,871,599 $ 1,772,551 $ 331,253
Net realized gain (loss) from investments
and foreign currency transactions ............................. 328,852 756,606 1,371,474 (188,916)
Net change in unrealized appreciation (depreciation)
of investments ................................................ 2,910,650 7,633,362 12,898,831 3,431,686
------------ ------------ ------------ -----------
Net increase in net assets resulting from operations .......... 4,350,997 10,261,567 16,042,856 3,574,023
------------ ------------ ------------ -----------
CAPITAL TRANSACTIONS
Proceeds from contributions .................................... 98,061,294 181,943,760 230,379,266 78,557,699
Value of withdrawals ........................................... (1,337,222) (170,747) (269,976) (130,269)
------------ ------------ ------------ -----------
Net increase in net assets from capital transactions .......... 96,724,072 181,773,013 230,109,290 78,427,430
------------ ------------ ------------ -----------
NET INCREASE IN NET ASSETS ...................................... 101,075,069 192,034,580 246,152,146 82,001,453
NET ASSETS:
Beginning of period ............................................. -- -- -- --
------------ ------------ ------------ -----------
End of period ................................................... $101,075,069 $192,034,580 $246,152,146 $82,001,453
============ ============ ============ ===========
</TABLE>
* Commencement of operations
See notes to financial statements
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
SEPTEMBER 3,
1996* TO
DECEMBER 31
JUNE 17,1996* TO DECEMBER 31, 1996 1996
------------------------------------------- -------------
ASSET ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400 PORTFOLIO 500
------------- ------------- ------------- -------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ....................... $101,075 $192,035 $246,152 $ 82,001
Ratio of expenses to average net assets ......................... 0.85%+ 0.85%+ 0.90%+ 0.90%+
Ratio of net investment income to average net assets ............ 3.65%+ 3.15%+ 2.33%+ 2.08%+
Portfolio turnover .............................................. 147% 132% 130% 27%
Average commission rate per share (A) ........................... $ 0.0019 $ 0.0027 $ 0.0024 $0.0029
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, the ratios would have been as follows:
Ratios:
Expenses to average net assets .................................. 1.79%+ 1.50%+ 1.37%+ 1.91%+
Net investment income to average net assets ..................... 2.71%+ 2.50%+ 1.86%+ 1.07%+
(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.
+ Annualized
* Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(1) SIGNIFICANT ACCOUNTING POLICIES
Asset Allocation Portfolio 200, Asset Allocation Portfolio 300, Asset
Allocation Portfolio 400 and Asset Allocation Portfolio 500 (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 financial statements are prepared in accordance with generally accepted
accounting principles which 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 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 U.S. 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. Dividend income
is recorded net of foreign taxes withheld where recovery of such taxes is not
assured. Reclaims of recoverable foreign taxes are the responsibility of the
qualified investors.
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. FUTURES CONTRACTS -- The Portfolio may engage in futures transactions. The
Portfolio 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. 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 fund 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 valued 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. 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%
Asset Allocation Portfolio 500........................ 0.65%
The management fee paid to Citibank for Asset Allocation Portfolio 200,
Asset Allocation Portfolio 300, Asset Allocation Portfolio 400 and Asset
Allocation Portfolio 500 amounted to $197,989, $385,745, $495,484 and $103,638,
respectively, of which all were voluntarily waived except for Asset Allocation
Portfolio 400, of which $361,792 was voluntarily waived for the period ended
December 31, 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 December 31, 1996, were as follows:
PURCHASES SALES
Asset Allocation
Portfolio 200............................. $154,529,540 $ 67,670,386
Asset Allocation
Portfolio 300............................. $328,178,129 $139,240,180
Asset Allocation
Portfolio 400............................. $413,709,042 $178,709,042
Asset Allocation
Portfolio 500............................. $ 90,953,182 $ 13,724,027
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at December 31, 1996, as computed on a federal
income tax basis, are as follows:
ASSET ALLOCATION PORTFOLIO 200
Aggregate Cost...................................... $ 104,818,418
=============
Gross unrealized appreciation....................... $ 4,024,403
Gross unrealized depreciation....................... (1,197,484)
-------------
Net unrealized appreciation/
depreciation...................................... $ 2,826,919
=============
ASSET ALLOCATION PORTFOLIO 300
Aggregate Cost...................................... $ 198,836,308
=============
Gross unrealized appreciation....................... $ 10,479,879
Gross unrealized depreciation....................... (3,001,947)
-------------
Net unrealized appreciation/
depreciation...................................... $ 7,477,932
=============
ASSET ALLOCATION PORTFOLIO 400
Aggregate Cost...................................... $ 253,922,953
=============
Gross unrealized appreciation....................... $ 17,890,223
Gross unrealized depreciation....................... (5,143,880)
-------------
Net unrealized appreciation/
depreciation...................................... $ 12,746,343
=============
ASSET ALLOCATION PORTFOLIO 500
Aggregate Cost...................................... $ 84,253,343
=============
Gross unrealized appreciation....................... $ 5,448,526
Gross unrealized depreciation....................... (2,072,364)
-------------
Net unrealized appreciation/
depreciation...................................... $ 3,376,162
=============
(5) ASSUMPTION OF EXPENSES
SFG has voluntarily agreed to pay a portion of the expenses for the period
ended December 31, 1996. The amounts are as follows:
Asset Allocation Portfolio 200 $89,472
Asset Allocation Portfolio 500 $56,679
(6) LINE OF CREDIT
The Portfolios, along with other Landmark Funds, entered into an agreement
with a bank which allows the Portfolios collectively to borrow up to $40 million
for temporary or emergency purposes. Interest on borrowings, if any, is charged
to the specific portfolio executing the borrowing at the base rate of the bank.
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 year ended December
31, 1996, the commitment fee was allocated as follows:
Asset Allocation Portfolio 200 $72
Asset Allocation Portfolio 300 $143
Asset Allocation Portfolio 400 $175
Asset Allocation Portfolio 500 $35
Since the line of credit was established, there have been no borrowings.
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
INDEPENDENT AUDITOR'S REPORT
TO THE TRUSTEES AND THE INVESTORS OF ASSET ALLOCATION PORTFOLIO 200, ASSET
ALLOCATION PORTFOLIO 300, ASSET ALLOCATION PORTFOLIO 400 AND ASSET ALLOCATION
PORTFOLIO 500 (THE "PORTFOLIO"):
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the Portfolios as at December 31, 1996, and the
related statements of operations and of changes in net assets and the financial
highlights for the periods indicated. The financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of each Portfolio's management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with U.S. generally accepted auditing
standards. Those standards require that we plan and perform an audit to obtain
reasonable assurance whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audit, which included confirmation of investments owned at
December 31, 1996, by correspondence with the custodian, and the application of
alternative auditing procedures where confirmations from brokers were not
received provides a reasonable basis for our opinion.
In our opinion, these financial statements present fairly, in all material
respects, the financial position of the Portfolios as at December 31, 1996, the
results of each of their operations and the changes in each of their net assets
and each of their financial highlights for the period from commencement of
operations to December 31, 1996, in accordance with U.S. generally accepted
accounting principles.
PRICE WATERHOUSE
Chartered Accountants
Toronto, Ontario
February 4, 1997
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
TO SPEAK TO AN INVESTMENT CONSULTANT
ABOUT CITISELECT PPORFOLIOS,
CALL 1-888-ASK-CITI
(That's 1-888-275-2484,
That Call Is Toll Free.)
<PAGE>
<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
H. B. Alvord
Riley C. Gilley
Diana R. Harrington
Susan B. Kerley
E. Kirby Warren
William S. Woods, Jr.
SECRETARY
Linda T. Gibson*
TREASURER
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 02110
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 Logo]
CSP/A/96
