<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
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/S/97 Printed on Recycled Paper (recycle symbol)
[Logo] LANDMARK(SM) FUNDS
Advised by Citibank, N.A.
LANDMARK
BALANCED FUND
SEMI-ANNUAL
REPORT
June 30, 1997
<PAGE>
- -------------------------------------------------------------------------------
A LETTER TO OUR SHAREHOLDERS
- -------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1997 represented one of the most interesting periods in
recent memory for the U.S. financial markets. The domestic economy continued to
grow with few signs of inflation, marking the sixth year of one of the longest
expansions in the post-World War II era. As measured by the Dow Jones Industrial
Average, the U.S. stock market gained more than 1,100 points for its best
six-month performance in 10 years. The U.S. bond market also provided positive
total rates of return as yields of long-term U.S. Treasury bonds ended the
period at 6.78% despite a one-quarter point increase in the federal funds rate,
a key short-term interest rate set by the Federal Reserve Board.
In this environment, the Landmark Funds' investment adviser, Citibank,
N.A., continued to manage the Landmark Balanced Fund 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 and preferred stocks and bonds.
This report reviews the Portfolio's investment activities and performance
during the six-month period ending June 30, 1997, 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
July 18, 1997
Remember that Mutual Fund Shares:
o Are not bank deposits or FDIC insured
o Are not obligations of or guaranteed by Citibank or Citicorp Investment
Services
o Are subject to investment risks, including possible loss of the principal
amount invested
TABLE OF CONTENTS
1 A Letter to Our Shareholders
- -------------------------------------------------------------------------------
2 Market Environment
Fund Snapshot
- -------------------------------------------------------------------------------
Photo Managers
3 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 Statements of Operations
- -------------------------------------------------------------------------------
9 Statement of Changes in Net Assets
- -------------------------------------------------------------------------------
10 Financial Highlights
- -------------------------------------------------------------------------------
11 Notes to Financial Statements
- -------------------------------------------------------------------------------
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 Fincial Statements
- -------------------------------------------------------------------------------
<PAGE>
- -------------------------------------------------------------------------------
MARKET ENVIRONMENT
- -------------------------------------------------------------------------------
The first half of 1997 will likely go down in the record books as an
enormously productive time for the U.S. financial markets. When viewed with the
benefit of hindsight, such a positive characterization is warranted: both large-
and small-capitalization stock indexes established new highs during the period,
bond yields ended the period only marginally higher than where they started, and
the economy provided an unusual combination of high employment and low
inflation.
When examined more closely, however, the general up trend reveals a
considerable amount of volatility. The economy, for example, grew at a torrid
5.9% rate during the first three months of the year when consumer spending and
winter temperatures both remained unexpectedly high. The stock market
experienced a 9.8% correction on its way to setting new records, and, at the
time, some pundits were prematurely pronouncing the end of the bull market. The
bond market also experienced price and yield fluctuations as investors were
alternately fearful of and complacent about the possibility of higher inflation.
In retrospect, we believe that the period reinforced one of the most
valuable lessons of investing: maintain a long-term perspective. Those who sold
at the first sign of weakness in either stocks or bonds during the first quarter
of the year would have missed out on the extraordinary gains of the second
quarter. In our opinion, weathering the temporary storms by maintaining a
long-term perspective remains the best way to profit from stocks and bonds.
- -------------------------------------------------------------------------------
FUND SNAPSHOT
- -------------------------------------------------------------------------------
COMMENCEMENT OF OPERATIONS
October 19, 1990
NET ASSETS AS OF JUNE 30, 1997
$230.2 million
FUND OBJECTIVE
To earn high current income by investing in a broad range of securities, to
preserve capital and to provide growth potential with reduced risk.
DIVIDENDS
Paid quarterly, if any
CAPITAL GAINS
Distributed annually, if any
BENCHMARKS
o Standard & Poor's Barra Growth Index
o Lehman Government/Corporate Bond Index
o Lipper Balanced Funds Average
INVESTMENT ADVISER,
BALANCED PORTFOLIO
Citibank, N.A.
<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
- -------------------------------------------------------------------------------
"We consider some of our mid-capitalization holdings real `jewels' -- they have
outstanding fundamentals and are attractively valued."
"We focused our fixed-income investments primarily on mortgage-backed
securities, which comprised nearly half of our bond portfolio at the end of the
period."
"We think that very high earnings expectations have been built into current
stock prices, especially in the large-cap sector, so we are concerned about
their vulnerability to disappointments."
- -------------------------------------------------------------------------------
THE PORTFOLIO MANAGERS RESPOND
- -------------------------------------------------------------------------------
In the equity portion of the Portfolio, we continued to focus our stock
selection strategy on growing companies with strong balance sheets and visible
earnings growth fueled by higher revenues. This longstanding approach led us to
attractive investments in the large and medium-capitalization sectors of the
stock market. Within these sectors, we adjusted the Portfolio's mix of
industries and companies to conform with our economic and market outlooks. For
example, because we expected the Federal Reserve to begin raising interest rates
late in the first quarter of 1997, we reduced our exposure to financial stocks.
At the same time, we increased our positions in manufacturers of non-durable
consumer products -- such as beverages and household supplies -- because these
companies tend to do well when the economy slows down.
In the fixed-income portion of the Portfolio, we continued to adjust both the
Portfolio's average duration, a measure of sensitivity to interest-rate changes,
and its sector rotation, the mix of bond market sectors represented. The
semi-annual period was particularly favorable for mortgage-backed securities,
which benefitted from a relative lack of prepayment risk in a stable-to-rising
interest rate environment. At the same time, because investment-grade corporate
bonds provided only small yield advantages over comparable U.S. Treasury bonds,
we maintained a somewhat lower exposure to corporate securities than we normally
do.
- -------------------------------------------------------------------------------
STRATEGY AND OUTLOOK
- -------------------------------------------------------------------------------
Our outlook for stocks and bonds remains quite favorable. First, we expect
the U.S. economy to provide no reason for investors to head for the sidelines
anytime soon. The economy should continue to grow at a moderate pace in what
some have described as a "Goldilocks scenario" -- not too hot, not too cold,
just right. If economic growth is "just right," then inflationary pressures are
unlikely to become a problem, which should reassure fixed-income investors and
support bond prices. At the same time, continued economic growth and low
interest rates should enable large companies to maintain earnings growth, which
should be good for stock prices, especially when combined with any further
productivity gains.
Yet, we are tempering our optimism with caution. The 1,100-point stock market
rally of the past six months sent stock valuations to the high end of their
historical range, suggesting that either profits must catch up with current
stock prices or that prices must moderate to more reasonable levels relative to
earnings. Because the stock market may be vulnerable to earnings disappointments
over the near term, we expect to continue to invest conservatively and with a
long-term perspective.
<PAGE>
Balanced Portfolio
- -------------------------------------------------------------------------------
BY THE NUMBERS
- -------------------------------------------------------------------------------
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
(As of June 30, 1997)
- -------------------------------------------------------------------------------
% OF
NAME INDUSTRY SECTOR NET ASSETS
General Electric Co. Producer Manufacturing 2.6%
Microsoft Corp. Electronics/Technological Services 2.2%
Coca-Cola Co. Consumer Non-Durables 2.2%
Philip Morris Companies Inc. Consumer Non-Durables 1.8%
Colgate-Palmolive Co. Consumer Non-Durables 1.7%
Gannett Co. Inc. Consumer Services 1.6%
PepsiCo, Inc. Consumer Non-Durables 1.4%
Abbott Labs Health Services/Technology 1.4%
Gillette Co. Consumer Non-Durables 1.4%
Johnson & Johnson Health Services/Technology 1.4%
- -------------------------------------------------------------------------------
CHANGES IN PORTFOLIO ASSET ALLOCATION
Portfolio of Investments
as of June 30, 1997
CASH/SHORT TERM/OTHER 1%
STOCKS 56%
TREASURIES 23%
OTHER BONDS 20%
...Compared to 12/31/96
CASH/SHORT TERM/OTHER 9%
STOCKS 49%
TREASURIES 20%
OTHER BONDS 22%
<PAGE>
- -------------------------------------------------------------------------------
FUND DATA All Periods Ended June 30, 1997 (unaudited)
<TABLE>
<CAPTION>
Total Returns
----------------------------------------------
Since
Six One Five 10/19/90
Months** Year Years* Inception*
------ ------ ------ ---------
<S> <C> <C> <C> <C>
Landmark Balanced Fund without Sales Charge ................... 11.54% 16.34% 11.36% 13.21%
Lipper Balanced Funds Average ................................. 10.21% 19.41% 12.94% 14.13%+
S&P Barra Growth Index ........................................ 24.58% 38.33% 19.97% 20.97%+
Lehman Government/Corporate Bond Index ........................ 2.74% 7.75% 7.23% 8.70%+
Landmark Balanced Fund with Maximum Sales Charge of 4.75% ..... 6.24% 10.82% 10.28% 12.40%
* Average Annual Total Return.
** Not Annualized.
+ From 10/31/90
</TABLE>
30-Day SEC Yield 2.59%
Income Dividends Per Share $0.200
Capital Gain Distribution $0.498
- -------------------------------------------------------------------------------
PERFORMANCE HIGHLIGHTS
A $10,000 investment in the Fund made on inception date would have grown to
$21,882 with sales charge (as of June 30, 1997). 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/
Fund -- Fund -- Balanced S&P Barra Corporate
Without With Funds Growth Index Bond Index
Sales charge Sales Charge Average (unmanaged) (unmanaged)
------------ ------------ --------- ------------ -----------
Oct-90 9,826 9,359 10,000 10,000 10,000
Nov-90 10,369 9,877 10,435 10,604 10,218
Dec-90 10,609 10,106 10,677 10,941 10,372
Jan-91 11,105 10,578 11,034 11,396 10,488
Feb-91 11,673 11,119 11,521 12,280 10,579
Mar-91 11,816 11,255 11,725 12,744 10,652
Apr-91 11,827 11,265 11,753 12,720 10,774
May-91 12,264 11,681 12,099 13,200 10,825
Jun-91 11,837 11,275 11,726 12,649 10,813
Jul-91 12,403 11,814 12,122 13,325 10,949
Aug-91 12,886 12,274 12,434 13,754 11,201
Sep-91 12,713 12,109 12,450 13,453 11,435
Oct-91 12,945 12,330 12,633 13,617 11,537
Nov-91 12,723 12,119 12,354 13,270 11,652
Dec-91 13,751 13,098 13,358 15,140 12,045
Jan-92 13,496 12,855 13,242 14,608 11,867
Feb-92 13,698 13,048 13,401 14,695 11,930
Mar-92 13,530 12,887 13,203 14,354 11,864
Apr-92 13,583 12,938 13,323 14,506 11,935
May-92 13,658 13,009 13,462 14,619 12,167
Jun-92 13,417 12,780 13,317 14,316 12,345
Jul-92 13,868 13,210 13,714 14,962 12,662
Aug-92 13,664 13,015 13,584 14,790 12,774
Sep-92 13,910 13,249 13,755 14,964 12,948
Oct-92 14,115 13,445 13,756 15,189 12,750
Nov-92 14,569 13,877 14,096 15,803 12,738
Dec-92 14,690 13,992 14,357 15,907 12,958
Jan-93 14,798 14,095 14,551 15,735 13,240
Feb-93 14,776 14,075 14,647 15,608 13,515
Mar-93 15,288 14,562 14,922 15,828 13,560
Apr-93 15,091 14,375 14,738 15,098 13,665
May-93 15,331 14,603 14,980 15,636 13,657
Jun-93 15,326 14,598 15,148 15,503 13,968
Jul-93 15,206 14,484 15,172 15,183 14,057
Aug-93 15,688 14,943 15,630 15,737 14,380
Sep-93 15,677 14,933 15,683 15,497 14,431
Oct-93 15,809 15,059 15,824 16,073 14,490
Nov-93 15,644 14,901 15,593 16,062 14,318
Dec-93 15,935 15,178 15,869 16,174 14,380
Jan-94 16,282 15,509 16,255 16,520 14,597
Feb-94 15,958 15,200 15,936 16,225 14,279
Mar-94 15,350 14,621 15,350 15,475 13,929
Apr-94 15,440 14,707 15,379 15,545 13,814
May-94 15,643 14,899 15,451 15,798 13,787
Jun-94 15,282 14,556 15,168 15,462 13,754
Jul-94 15,702 14,957 15,511 15,955 14,029
Aug-94 16,020 15,259 15,908 16,807 14,035
Sep-94 15,590 14,849 15,620 16,567 13,823
Oct-94 15,818 15,067 15,712 16,953 13,808
Nov-94 15,430 14,697 15,325 16,397 13,561
Dec-94 15,607 14,866 15,454 16,680 13,650
Jan-95 15,804 15,053 15,646 17,094 13,912
Feb-95 16,300 15,526 16,117 17,761 14,235
Mar-95 16,602 15,813 16,393 18,318 14,330
Apr-95 16,811 16,012 16,693 18,794 14,531
May-95 17,450 16,621 17,231 19,467 15,140
Jun-95 17,624 16,787 17,553 20,213 15,261
Jul-95 17,847 16,999 17,957 20,858 15,201
Aug-95 17,835 16,988 18,111 20,789 15,396
Sep-95 18,233 17,367 18,515 21,816 15,553
Oct-95 18,256 17,389 18,471 21,990 15,782
Nov-95 18,892 17,995 19,036 22,782 16,042
Dec-95 19,144 18,235 19,295 23,039 16,278
Jan-96 19,474 18,549 19,642 23,920 16,379
Feb-96 19,291 18,374 19,713 24,137 16,031
Mar-96 19,339 18,421 19,790 24,036 15,897
Apr-96 19,327 18,409 19,996 24,505 15,787
May-96 19,511 18,584 20,242 25,406 15,760
Jun-96 19,746 18,808 20,262 25,724 15,970
Jul-96 19,190 18,279 19,709 24,538 16,007
Aug-96 19,400 18,479 20,068 24,901 15,967
Sep-96 20,130 19,174 20,811 26,629 16,251
Oct-96 20,304 19,340 21,198 27,207 16,629
Nov-96 21,025 20,026 22,146 29,240 16,935
Dec-96 20,597 19,619 21,913 28,564 16,747
Jan-97 21,270 20,260 28,381 30,801 16,768
Feb-97 21,204 20,197 27,969 31,059 16,803
Mar-97 20,449 19,478 26,646 29,585 16,603
Apr-97 21,563 20,539 27,637 31,972 16,845
May-97 22,226 21,170 29,682 33,868 17,002
Jun-97 22,973 21,882 30,851 35,585 17,206
Notes: All Fund performance numbers represent past performance, and are no
guarantee of future results. The Fund's share price and investment return will
fluctuate, so that the value of an investor's shares, when redeemed, may be
worth more or less than their original cost. Total returns include change in
share price and reinvestment of dividends and distributions, if any. Total
return figures "with sales charge" are provided in accordance with SEC
guidelines for comparative purposes for prospective investors.
<PAGE>
Landmark Balanced Fund
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS:
Investment in Balanced Portfolio, at value (Note 1A) ........................................ $230,815,361
Receivable for shares of beneficial interest sold ........................................... 3,778
------------
Total assets ............................................................................... 230,819,139
------------
LIABILITIES:
Payable for shares of beneficial interest repurchased ....................................... 535,180
Payable to affiliates--Shareholder servicing agents' fees (Note 2B) .......................... 46,971
Accrued expenses and other liabilities ...................................................... 41,384
------------
Total liabilities .......................................................................... 623,535
------------
NET ASSETS for 13,761,018 shares of beneficial interest outstanding ......................... $230,195,604
============
Net Assets Consist of:
Paid-in capital ............................................................................. $185,577,620
Unrealized appreciation of investments ...................................................... 28,889,461
Accumulated net realized gain ............................................................... 15,154,038
Undistributed net investment income ......................................................... 574,485
------------
Total ...................................................................................... $230,195,604
============
NET ASSET VALUE AND REDEMPTION PRICE PER SHARE OF BENEFICIAL INTEREST ....................... $16.73
======
COMPUTATION OF OFFERING PRICE:
Maximum Offering Price per share based on a 4.75% sales charge ($16.73/0.9525) .............. $17.56
======
</TABLE>
See notes to financial statements
<PAGE>
Landmark Balanced Fund
- -------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME (Note 1B):
Interest Income from Balanced Portfolio ................................... $3,482,206
Dividend Income from Balanced Portfolio ................................... 698,149
Allocated Expenses from Balanced Portfolio ................................ (620,787) $ 3,559,568
----------
EXPENSES:
Shareholder Servicing Agents' fees (Note 2B) .............................. 281,466
Administrative fees (Note 2A) ............................................. 281,466
Distribution fees (Note 3) ................................................ 168,880
Expense fees (Note 6) ..................................................... 22,818
----------
Total expenses ........................................................... 754,630
Less aggregate amount waived by Administrator and Distributor (Note 2A and 3) (225,473)
----------
Net expenses ............................................................. 529,157
-----------
Net investment income .................................................... 3,030,411
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM BALANCED PORTFOLIO:
Net realized gain ......................................................... 15,163,424
Net change in unrealized appreciation (depreciation) ...................... 6,516,001
-----------
Net realized and unrealized gain from Balanced Portfolio ................. 21,679,425
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ...................... $24,709,836
===========
</TABLE>
See notes to financial statements
<PAGE>
Landmark Balanced Fund
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
----------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
Operations:
Net investment income ....................................... $ 3,030,411 $ 7,205,234
Net realized gain ........................................... 15,163,424 17,519,270
Net change in unrealized appreciation (depreciation) ........ 6,516,001 (7,483,373)
------------- -------------
Net increase in net assets resulting from operations ....... 24,709,836 17,241,131
============= =============
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................................... (2,460,140) (7,201,020)
Net realized gain ........................................... (6,653,851) (10,892,398)
------------- -------------
Decrease in net assets from distributions to shareholders .. (9,113,991) (18,093,418)
------------- -------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST (NOTE 5):
Net proceeds from sale of shares ............................ 1,155,650 6,705,252
Net asset value of shares issued to shareholders
from reinvestment of distributions ......................... 9,108,250 18,086,460
Cost of shares repurchased .................................. (26,046,631) (39,558,540)
------------- -------------
Net decrease in net assets from
transactions in shares of beneficial interest .............. (15,782,731) (14,766,828)
------------- -------------
NET DECREASE IN NET ASSETS .................................. (186,886) (15,619,115)
NET ASSETS:
Beginning of period ......................................... 230,382,490 246,001,605
------------- -------------
End of period (including undistributed net investment
income of $574,485 and $4,214 respectively) ................ $ 230,195,604 $ 230,382,490
============= =============
</TABLE>
See notes to financial statements
<PAGE>
Landmark Balanced Fund
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED DECEMBER 31,
JUNE 30, 1997 ---------------------------------------------------------
(UNAUDITED) 1996 1995 1994 1993 1992
------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 15.61 $ 15.71 $ 13.52 $ 14.24 $ 13.54 $ 12.93
------- ------- ------- ------- ------- -------
Income From Operations:
Net investment income ............... 0.242 0.497 0.486 0.399 0.336** 0.266
Net realized and unrealized gain (loss) 1.576 0.680 2.540 (0.695) 0.803** 0.600
------- ------- ------- ------- ------- -------
Total from operations .............. 1.818 1.177 3.026 (0.296) 1.139 0.866
------- ------- ------- ------- ------- -------
Less Distributions From:
Net investment income .............. (0.200) (0.497) (0.495) (0.394) (0.319) (0.256)
Net realized gain .................. (0.498) (0.780) (0.341) (0.030) (0.120) __
------- ------- ------- ------- ------- -------
Total from distributions ........... (0.698) (1.277) (0.836) (0.424) (0.439) (0.256)
------- ------- ------- ------- ------- -------
Net Asset Value, end of period ...... $ 16.73 $ 15.61 $ 15.71 $ 13.52 $ 14.24 $ 13.54
======= ======= ======= ======= ======= =======
Ratios/Supplemental Data:
Net assets, end of period (000's omitted) $230,196 $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) 1.02%(A) 1.04% 1.40%
Ratio of net investment income to average
net assets ......................... 2.69%* 3.04% 3.21% 2.82% 2.46% 2.07%
Portfolio turnover (B) .............. __ __ __ 29% 101% 102%
Total return ........................ 11.54% 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 ............... $ 0.225 $ 0.464 $ 0.463 $ 0.378 $ 0.310** $ 0.148
Ratios:
Expenses to average net assets ...... 1.22%(A)* 1.22%(A)* 1.17%(A) 1.17%(A) 1.23% 2.32%
Net investment income to
average net assets ................. 2.49%* 2.84% 3.06% 2.67% 2.27% 1.15%
* Annualized.
** The per share amounts were computed using a monthly average number of shares outstanding during the year.
(A) Includes the Fund's share of Balanced Portfolio allocated expenses for the 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.
+ Not annualized.
++ On May 1, 1994 the Fund began investing all of its investable assets in Balanced Portfolio.
</TABLE>
See notes to financial statements
<PAGE>
Landmark Balanced Fund
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------------------
(1) SIGNIFICANT ACCOUNTING POLICIES
The Landmark Balanced Fund (the "Fund") is a separate diversified series of
Landmark Funds I (the "Trust"), a Massachusetts business trust. The Trust is
registered under the Investment Company Act of 1940, as amended, as an open-end,
management investment company. The Fund invests all of its investable assets in
Balanced Portfolio (the "Portfolio"), a management investment company for which
Citibank, N.A. ("Citibank") serves as Investment Adviser. The Landmark Funds
Broker-Dealer Services, Inc. ("LFBDS") acts as the Fund's Administrator and
Distributor. Citibank also serves as Sub-Administrator and makes Fund shares
available to customers as Shareholder Servicing Agent.
The Trust seeks to achieve the Fund's investment objectives of earning high
current income, preservation of capital and providing growth potential with
reduced risk by investing all of its investable assets in the Portfolio, an
open-end, diversified management investment company having the same investment
objectives and policies and substantially the same investment restrictions as
the Fund. The value of such investment reflects the Fund's proportionate
interest (91.5% at June 30, 1997) 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 Fund has approval to issue Class A and Class B shares as described more
fully in the Fund's prospectus. No Class B shares have yet to be offered,
therefore the information presented in these financial statements relates solely
to Class A shares.
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 $281,466 of which $112,812 was voluntarily
waived for the six months ended June 30, 1997. 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 $281,466 for the six months ended June 30,
1997.
(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 compensates the
Distributor 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 $168,880 of which $112,661 was voluntarily waived for the six months
ended June 30, 1997.
(4) INVESTMENT TRANSACTIONS
Increases and decreases in the Fund's investment in the Portfolio for the six
months ended June 30, 1997 aggregated $1,495,832 and $26,513,607, 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:
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
--------- -----------
Shares sold .............................. 71,927 420,667
Shares issued to shareholders from
reinvestment of distribution............ 544,429 1,153,025
Shares repurchased ....................... (1,613,106) (2,477,838)
---------- ----------
Net decrease ............................. (996,750) (904,146)
========== ==========
(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>
Balanced Portfolio
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS June 30, 1997 (unaudited)
- -------------------------------------------------------------------------------
ISSUER SHARES VALUE
- ------------------------------------------------------------------------------
- ------------------------------------------------------------------------------
COMMON STOCKS--56.0%
- ------------------------------------------------------------------------------
COMMERCIAL SERVICES--0.8%
Interpublic Group, Inc. ....................... 34,200 $ 2,096,887
------------
COMMODITIES & PROCESSING--3.9%
EI du Pont de Nemours ......................... 48,700 3,062,013
Praxair, Inc. ................................. 44,600 2,497,600
Nucor Corp. ................................... 23,500 1,327,750
Sherwin Williams Co. .......................... 58,100 1,793,838
Ucar Int'l Inc. ............................... 24,800 1,134,600
------------
9,815,801
------------
CONSUMER DURABLES--0.6%
Leggett & Platt Inc. .......................... 36,000 1,548,000
------------
CONSUMER NON-DURABLES--11.3%
Clorox Co. .................................... 18,100 2,389,200
Coca-Cola Co. ................................. 83,300 5,622,750
Colgate-Palmolive Co. ......................... 64,700 4,221,675
Gillette Co. .................................. 36,600 3,467,850
Kimberly-Clark Corp. .......................... 33,700 1,676,575
PepsiCo, Inc. ................................. 96,500 3,624,781
Philip Morris Companies, Inc. ................. 100,600 4,464,125
Procter & Gamble Co. .......................... 20,800 2,938,000
------------
28,404,956
------------
CONSUMER SERVICES--4.1%
Carnival Corp. ................................ 53,600 2,211,000
Gannett Co. Inc. .............................. 41,300 4,078,375
Service Corp. Intl ............................ 60,600 1,992,225
Walt Disney Co. ............................... 24,900 1,998,225
------------
10,279,825
------------
ELECTRONICS/TECHNOLOGICAL SERVICES--9.0%
Applied Materials Inc.* ....................... 18,400 1,302,950
Automatic Data Processing ..................... 60,400 2,838,800
Compaq Computer ............................... 12,700 1,260,475
First Data Corp. .............................. 55,600 2,442,925
Hewlett Packard Co. ........................... 29,500 1,652,000
Intel Corp. ................................... 22,300 3,162,419
Microsoft Corp.* .............................. 44,500 5,623,688
Motorola ...................................... 18,600 1,413,600
Perkin-Elmer Corp. ............................ 37,600 2,991,550
------------
22,688,407
------------
FINANCE--5.7%
American International Group .................. 10,700 1,598,313
Chubb Corp. ................................... 30,500 2,039,687
Federal National
Mortgage Association ......................... 32,400 1,413,450
Franklin Resources Inc. ....................... 28,200 2,046,262
Norwest Corp. ................................. 27,600 1,552,500
State Street Boston Corp. ..................... 36,800 1,702,000
Travelers Group Inc. .......................... 38,365 2,419,393
Zions BanCorporation .......................... 40,900 1,538,862
------------
14,310,467
------------
HEALTH SERVICES/TECHNOLOGY--9.1%
Abbott Labs ................................... 53,600 3,577,800
Eli Lilly & Co. ............................... 20,500 2,240,906
Health Management
Associates* .................................. 76,950 2,193,075
Johnson & Johnson ............................. 53,600 3,450,500
Merck & Co., Inc. ............................. 24,500 2,535,750
Pfizer Inc. ................................... 27,700 3,310,150
Schering-Plough Corp. ......................... 50,800 2,432,050
Warner Lambert Co. ............................ 26,400 3,280,200
------------
23,020,431
------------
PRODUCER/MANUFACTURING--7.1%
Deere & Co. ................................... 59,200 3,248,600
Emerson Electric Co. .......................... 36,100 1,987,756
General Electric Co. .......................... 99,700 6,517,887
Illinois Tool Works Inc. ...................... 58,100 2,901,369
Xerox Corp. ................................... 42,300 3,336,412
------------
17,992,024
------------
RETAIL TRADE--4.4%
Consolidated Stores Corp. ..................... 74,500 2,588,875
Gap Stores .................................... 37,400 1,453,926
Home Depot .................................... 21,900 1,509,731
Kohls Corp.* .................................. 47,600 2,519,825
Walgreen Co. .................................. 57,100 3,061,988
------------
11,134,345
------------
TOTAL COMMON STOCKS
(Identified Cost $110,277,701) ............... 141,291,143
------------
- ------------------------------------------------------------------------------
FIXED INCOME - 43.4%
- ------------------------------------------------------------------------------
PRINCIPAL
AMOUNT
----------
ASSET BACKED SECURITIES--1.4%
Green Tree Financial Corp.
8.05% due 11/15/27 ........................... $3,500,000 3,636,710
------------
MORTGAGE OBLIGATIONS--17.9%
COLLATERALIZED MORTGAGE OBLIGATIONS--7.6%
Asset Securitization Corp. Ser. 95
8.15% due 3/04/20 ............................ 2,000,000 2,137,813
Asset Securitization Corp. Ser. 95
7.384% due 8/13/29 ........................... 2,500,000 2,539,063
Associates Corp. N.A 5.96% due 5/15/37 ....... 1,750,000 1,765,977
Atlantic City Electric
7.01% due 8/23/02 ............................ 1,380,000 1,386,955
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 ............................ 1,156,012 1,054,132
Interamerica Development Bank
6.95% due 8/01/26 ............................ 2,000,000 2,051,700
GE Capital Mortgage Services, Inc.
7.50% due 3/25/27 ............................ 997,259 998,038
GMAC Commercial Mortgage 7.22% due 2/15/06 .... 1,000,000 1,010,937
Merrill Lynch Mortgage Corp. 6.95% due 6/18/29 1,425,000 1,433,906
Norwest Asset Securities Corp. 7.50% due 3/25/27 1,495,879 1,496,814
Norwest Asset Securities Corp. 7.00% due 4/25/12 1,981,266 1,963,001
Residential Asset Securitization
Trust 7.75% due 4/25/27 ...................... 1,500,000 1,524,844
------------
19,363,180
------------
MORTGAGE BACKED SECURITIES/PASSTHROUGHS--4.3%
Federal Home Loan Mortgage Corp.
7.50% due 7/1/12 (TBA) ....................... 2,200,000 2,232,312
7.50% due 1/15/20 ............................ 2,839,478 2,854,922
7.50% due 5/15/23 ............................ 1,772,757 1,779,404
8.50% due 6/01/01 ............................ 19,893 20,222
9.50% due 2/01/01 ............................ 11,427 11,915
Federal National Mortgage Association
7.50% due 10/01/25 ........................... 267,768 268,352
7.50% due 11/01/25 ........................... 3,557,051 3,564,805
9.00% due 11/01/01 ........................... 17,452 17,970
------------
10,749,902
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--6.0%
7.25% due 10/16/22 ........................... 6,452,961 6,469,094
7.50% due 7/15/25 ............................ 3,131,076 3,139,874
7.50% due 5/15/26 ............................ 2,867,453 2,875,511
7.50% due 6/15/26 ............................ 1,879,546 1,884,828
8.25% due 7/15/05 ............................ 746,450 763,708
------------
15,133,015
------------
TOTAL MORTGAGE OBLIGATIONS 45,246,097
============
DOMESTIC CORPORATE BONDS--0.7% Aetna Services Inc.
6.97% due 8/15/36 ............................ 1,700,000 1,716,796
------------
YANKEES--0.8%
Enersis, 6.90% due 12/01/06 ................... 2,000,000 1,942,560
------------
UNITED STATES GOVERNMENT
& AGENCY OBLIGATIONS--22.6%
UNITED STATES TREASURY BOND--2.3%
6.625% due 2/15/27 ........................... $5,850,000 $ 5,723,874
------------
UNITED STATES TREASURY NOTES--19.6%
6.25% due 6/30/98 ............................ 9,500,000 9,541,515
5.875% due 11/15/99 .......................... 1,200,000 1,192,308
6.625% due 6/30/01 ........................... 14,000,000 14,131,180
6.50% due 5/31/02 ............................ 4,500,000 4,518,270
6.625% due 4/30/02 ........................... 5,500,000 5,550,710
5.875% due 2/15/04 ........................... 7,000,000 6,782,370
6.50% due 10/15/06 ........................... 7,800,000 7,767,084
------------
49,483,437
------------
UNITED STATES AGENCY OBLIGATIONS-0.7%
Tennessee Valley Authority
5.98% due 4/01/36 ............................ 1,750,000 1,762,728
------------
TOTAL UNITED STATES GOVERNMENT
& AGENCY OBLIGATIONS 56,970,039
------------
TOTAL FIXED INCOME
(Identified cost $109,703,448) 109,512,202
------------
- ------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS - 1.2%
- ------------------------------------------------------------------------------
Merrill Lynch Repurchase Agreement
5.75% due 7/01/97, proceeds
at maturity $2,921,467 (collateralized
by $2,983,944 U.S. Treasury Strips
zero coupon due 11/15/03) ..................... $ 2,921,000
United States Treasury Bill
5.18% due 12/11/97 ........................... 116,737
------------
3,037,737
------------
TOTAL INVESTMENTS
(Identified cost $223,018,886) ................ 100.6% 253,841,082
OTHER ASSETS
LESS LIABILITIES ............................. (0.6) (1,505,370)
----- ------------
NET ASSETS .................................... 100.0% $252,335,712
===== ============
- ------------------------------------------------------------------------------
FUTURES CONTRACTS
- ------------------------------------------------------------------------------
Futures contracts which were open at June 30,1997 are as follows:
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
- ------- --------- ---------- ----------
U.S. Treasury 5-year Note .... 35 September 1997 (14,375)
*Non-income producing
See notes to financial statements
<PAGE>
Balanced Portfolio
- ------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES June 30, 1997 (unaudited)
ASSETS:
Investments at value (Note 1A) (Identified Cost, $223,018,886) ... $253,841,082
Cash ............................................................. 92
Receivable for investments sold .................................. 2,017,161
Dividends and interest receivable ................................ 1,918,210
Receivable for daily variation on future contracts ............... 8,750
------------
Total assets .................................................... 257,785,295
------------
LIABILITIES:
Payable for investments purchased ................................ 5,335,178
Payable to affiliates--Investment advisory fees (Note 2) ......... 82,501
Accrued expenses and other liabilities ........................... 31,904
------------
Total liabilities ............................................... 5,449,583
------------
Net Assets ....................................................... $252,335,712
============
REPRESENTED BY:
Paid-in capital for beneficial interests ......................... $252,335,712
============
See notes to financial statements
<PAGE>
Balanced Portfolio
- --------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
For the Six Months Ended June 30, 1997 (unaudited)
INVESTMENT INCOME:
Interest ........................................... $ 3,766,241
Dividends .......................................... 755,569
-----------
Total investment income ........................... $ 4,521,810
EXPENSES:
Investment advisory fees (Note 2) .................. 488,379
Administrative fees (Note 3) ....................... 61,047
Expense fees (Note 6) .............................. 122,096
-----------
Total expenses .................................... 671,522
-----------
Net investment income ............................. 3,850,288
-----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain from investment transactions
and futures contracts ............................ 15,781,020
Unrealized appreciation (depreciation) of investments
and futures contracts
Beginning of period .............................. 23,092,617
End of period .................................... 30,807,820
-----------
Net change in unrealized appreciation (depreciation)
of investments and futures contracts ............ 7,715,203
-----------
Net realized and unrealized gain on investments
and futures contracts ........................... 23,496,223
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $27,346,511
===========
See notes to financial statements
<PAGE>
Balanced Portfolio
===============================================================================
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
SIX MONTHS ENDED YEAR ENDED
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
-------------- ----------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ........................................... $ 3,850,288 $ 8,718,839
Net realized gain from investment transactions
and futures contracts ......................................... 15,781,020 17,739,660
Net change in unrealized appreciation (depreciation) of
investments and futures contracts .............................. 7,715,203 (7,087,703)
------------ ------------
Net increase in net assets resulting from operations ........... 27,346,511 19,370,796
------------ ------------
CAPITAL TRANSACTIONS:
Proceeds from contributions ..................................... 4,866,774 18,210,247
Value of withdrawals ............................................ (27,403,641) (41,573,741)
------------- -------------
Net decrease in net assets from capital transactions ........... (22,536,867) (23,363,494)
------------- -------------
NET INCREASE (DECREASE) IN NET ASSETS ........................... 4,809,644 (3,992,698)
NET ASSETS:
Beginning of period ............................................. 247,526,068 251,518,766
------------ ------------
End of period ................................................... $252,335,712 $247,526,068
============ =============
</TABLE>
See notes to financial statements
Balanced Portfolio
===============================================================================
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
YEAR ENDED MAY 1, 1994
SIX MONTHS ENDED DECEMBER 30, 1997 (COMMENCEMENT)
JUNE 30, 1997 ----------------- OF OPERATIONS) TO
(UNAUDITED) 1996 1995 DECEMBER 31, 1994
----------- ---- ---- -----------------
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net Assets, end of period (000's omitted) .. $252,336 $247,526 $251,519 $228,948
Ratio of expenses to average net assets .... 0.55% * 0.55% 0.53% 0.51%*
Ratio of net investment income to average
net assets ............................... 3.15% * 3.50% 3.69% 3.53%*
Portfolio turnover ......................... 71% 241% 210% 105%
Average commission rate per share (A) ...... $0.0565 $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.
</TABLE>
See notes to financial statements
<PAGE>
Balanced Portfolio
===============================================================================
NOTES TO FINANCIAL STATEMENTS (unaudited)
(1) SIGNIFICANT ACCOUNTING POLICIES Balanced Portfolio (the "Portfolio"), a
separate series of The Premium Portfolios (the "Portfolio Trust"), is registered
under the Investment Company Act of 1940, as amended, as a diversified, open-end
management investment company which was organized as a trust under the laws of
the State of New York. The Declaration of Trust permits the Trustees to issue
beneficial interests in the Portfolio. Signature Financial Group (Grand Cayman),
Ltd. ("SFG") acts as the 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". 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 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. 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 $488,379 for the six months ended
June 30, 1997. 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
$61,047 for the six months ended June 30, 1997. 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 $170,934,502 and $169,302,435, respectively, for the six months ended
June 30, 1997. Purchases and sales of U.S. Government securities aggregated to
$45,234,871 and $36,080,289, respectively.
(5) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the investment
securities owned at June 30, 1997, as computed on a federal income tax basis,
are as follows:
Aggregate cost ..................... $223,018,886
============
Gross unrealized appreciation ...... $ 31,705,213
Gross unrealized depreciation ...... (897,393)
------------
Net unrealized appreciation ........ $ 30,807,820
============
(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 $60
million for temporary or emergency purposes. Interest on the borrowings, if any,
is charged to the specific fund executing the borrowing at the base rate of the
bank. In addition, the $15 million committed portion of the line of credit
requires a quarterly payment of a commitment fee based on the average daily
unused portion of the line of credit. For the six months ended June 30, 1997,
the commitment fee allocated to the Portfolio was $522. Since the line of credit
was established, there have been no borrowings.
<PAGE>
SHAREHOLDER
SERVICING AGENTS
FOR 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.
Master Trust Accounts
111 Wall Street, New York, NY 10043
Call Your Account Manager or (212) 657-9659
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
===============================================================================
[LOGO] LANDMARK
FUNDS
MONEY MARKET FUNDS:
Cash Reserves
Premium Liquid Reserves
Institutional Liquid Reserves
U.S. Treasury Reserves
Premium U.S. Treasury Reserves
Institutional U.S. Treasury Reserves
Tax Free Reserves
Institutional Tax Free Reserves
California Tax Free Reserves
Connecticut Tax Free Reserves
New York Tax Free Reserves
STOCK & BOND FUNDS:
U.S. Government Income Fund
Intermediate Income Fund
National Tax Free Income Fund
New York Tax Free Income Fund
Balanced Fund
Equity Fund
International Equity Fund
Small Cap Equity Fund
Emerging Asian Markets Equity Fund
<PAGE>
TRUSTEES AND OFFICERS
C. Oscar Morong, Jr., Chairman
Philip W. Coolidge*, President
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 symbol]
CSP/S/97
[graphic omitted]
- -------------------------
CITISELECT(SM) FOLIO 200
- -------------------------
CITISELECT(SM) FOLIO 300
- -------------------------
CITISELECT(SM) FOLIO 400
- -------------------------
CITISELECT(SM) FOLIO 500
- -------------------------
SEMI-ANNUAL
REPORT
JUNE 30, 1997
CITICORP INVESTMENT SERVICES
- ----------------------------
A CITIBANK COMPANY
<PAGE>
A LETTER TO OUR SHAREHOLDERS
- ------------------------------------------------------------------------------
Dear Shareholder:
The first half of 1997 was a rewarding one for both the financial markets and
the CitiSelect(SM) family of portfolios. In our view, the six-month period was
particularly significant, because it included both adverse and favorable market
conditions that offered a real-life test of the principles upon which the
CitiSelect portfolios are built. We are pleased to report that all four
portfolios performed as expected, delivering the bulk of the positive returns
provided by the period's rising markets while sheltering shareholders from the
full brunt of market declines.
What's more, the four CitiSelect portfolios continued to perform relative to one
another as they were designed to do. When the markets were rising, CitiSelect
Folio 500 produced the greatest gains, with Folios 400, 300 and 200 delivering
incrementally lower gains consistent with their asset allocation strategies and
risk/reward profiles. Similarly, CitiSelect Folio 200 provided the greatest
protection against market declines, with Folios 300, 400 and 500 providing
incrementally less protection, respectively.
We view these results as confirmation that a well thought-out asset allocation
strategy can indeed deliver returns commensurate with shareholders' risk
profiles regardless of prevailing market conditions. By providing
diversification and affordable exposure to a carefully selected mix of assets,
geographic regions and investment styles, the CitiSelect portfolios are designed
to help individual shareholders maintain the balance of risk and return they
need to achieve their long-term financial goals in the way that is right for
them.
This semi-annual report covers the period from January 1, 1997 through June 30,
1997 for CitiSelect Folios 200, 300, 400 and 500.
On behalf of the Board of Trustees, we want to thank you for your continued
participation and confidence in the CitiSelect family of portfolios.
/s/ Philip W. Coolidge
Philip W. Coolidge
President
July 18, 1997
TABLE OF CONTENTS
- -------------------------------------------------------------------------------
A Letter to Our Shareholders ........................................ 1
Market Environment .................................................. 2
Fund Snapshot ....................................................... 2
Portfolio Managers .................................................. 3
Risk Reward Trade-Off ............................................... 4
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 ................................................ 14
Notes to Financial Statements ....................................... 16
ASSET ALLOCATION PORTFOLIOS
Portfolio of Investments
Asset Allocation Portfolio 200 ..................................... 19
Asset Allocation Portfolio 300 ..................................... 30
Asset Allocation Portfolio 400 ..................................... 42
Asset Allocation Portfolio 500 ..................................... 54
Statement of Assets and Liabilities ................................. 64
Statement of Operations ............................................. 65
Statement of Changes in Net Assets .................................. 66
Financial Highlights ................................................ 67
Notes to Financial Statements ....................................... 68
- -------------------------------------------------------------------------------
<PAGE>
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
- -------------------------------------------------------------------------------
In broad hindsight, the first half of 1997 represented one of the most positive
periods in recent memory for financial markets throughout the world. In the
U.S., the domestic economy continued to grow with few signs of inflation,
marking the sixth year of one of the longest expansions in the post-World War II
era. As measured by the Dow Jones Industrial Average, the U.S. stock market
gained more than 1,100 points for its best six-month performance in 10 years.
The U.S. bond market also provided positive total rates of return as yields of
long-term U.S. Treasury bonds ended the period around 6% despite a one-quarter
point increase in the federal funds rate, a key short-term interest rate set by
the Federal Reserve Board.
When examined more closely, however, the general uptrend in the U.S. markets
reveals a considerable amount of volatility. The economy, for example, grew at a
torrid 5.9% rate during the first three months of the year as consumer spending
and winter temperatures both remained unexpectedly high. The stock market
experienced a 9.8% correction on its way to setting new records, and, at the
time, some pundits were prematurely pronouncing the end of the bull market. The
bond market also experienced price and yield fluctuations as investors were
alternately fearful of and complacent about the possibility of higher inflation.
In overseas markets, stocks and bonds produced mixed results. On the positive
side, many of Europe's equity and fixed-income markets performed well as the
region entered a period of economic recovery characterized by declining interest
rates and expectations of higher corporate profits. On the other hand, Asian
markets generally performed poorly despite recent signs that Japan may be
emerging from a persistent economic malaise. Many of the emerging markets of
Asia declined sharply as a real-estate induced economic crisis hit Thailand and
affected neighboring markets.
FUND SNAPSHOT
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
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 6/30/97 $131.1 million $276.3 million $378.7 million $155.2 million
- ----------------------------------------------------------------------------------------------------------------------------
FUND OBJECTIVE High total return High total return High total return High 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 dominant
emphasis on a emphasis on emphasis on equity emphasis on
combination of equity and fixed securities and a equity securities
fixed income and income securities. secondary emphasis and a small allocation
money market on fixed income to fixed income
securities, and a securities. securities.
secondary emphasis
on equity securities.
- ----------------------------------------------------------------------------------------------------------------------------
DIVIDENDS Paid quarterly, if any Paid quarterly, if any Paid annually, if any Paid annually, if any
- ----------------------------------------------------------------------------------------------------------------------------
CAPITAL GAINS Paid annually, if any Paid annually, if any Paid annually, if any Paid annually, if any
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
PORTFOLIO MANAGERS
- -------------------------------------------------------------------------------
LARGE CAPITALIZATION GROWTH SECURITIES
Lawrence P. Keblusek, U.S. Chief Investment Officer of Citibank, has been
responsible for the daily management of large cap growth securities since the
Funds' inception. Mr. Keblusek who has 25 years experience in the investment
management industry, was most recently Senior Vice President and Director of
Portfolio Management for The Northern Trust Company with responsibility for
investment performance in the organization's High Net Worth, Corporate and
Institutional and Mutual Fund Group. Earlier in his career Mr. Keblusek held
senior investment positions with Maryland National Bank and the National Bank of
Washington.
SMALL CAPITALIZATION GROWTH SECURITIES
Linda J. Intini, Vice President of Citibank, has been responsible for the daily
management of small cap growth securities since February 1997. 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, Dean Witter, Discover & Co., is the general
partner and owner of 95% of the interests of Miller Anderson & Sherrerd LLP.
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,
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 Merrill Lynch Capital Management Group of
Merrill Lynch Asset Management, L.P. is a registered investment adviser and is a
separate business unit 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.
RISK REWARD TRADE-OFF
- -------------------------------------------------------------------------------
CitiSelect portfolios use a proprietary asset allocation which seeks an optimal
mix of stocks, bonds and cash to help maximize potential return for any given
level of risk. CitiSelect Folio 200 has the lowest risk level -- and the lowest
return. CitiSelect 300 scores slightly higher on both counts, followed by
CitiSelect Folio 400, then CitiSelect Folio 500.
Folio 200 Folio 300 Folio 400 Folio 500
12/31/96 10,000.00 10,000.00 10,000.00 10,000.00
1/31/97 10,052.34 10,075.05 10,092.42 10,121.61
2/28/97 10,009.30 10,018.76 10,027.73 10,074.84
3/31/97 9,827.83 9,803.00 9,787.43 9,850.33
4/30/97 9,856.49 9,840.53 9,750.46 9,803.55
5/31/97 10,267.17 10,356.47 10,415.90 10,561.27
6/30/97 10,488.84 10,651.95 10,794.87 10,982.23
STRATEGY AND OUTLOOK
- -------------------------------------------------------------------------------
ASSET ALLOCATION STRATEGIES
In spite of the short-term volatility of the financial markets during the
period, the CitiSelect portfolios' investment manager, Citibank, N.A.,
maintained a long-term perspective and made no significant changes to the way
assets were allocated within the portfolios. As a result, shareholders were
well-positioned to participate in the rise of most financial markets during the
period, but at levels of risk that were generally lower than comparable
single-sector funds.
While allocations among the major asset classes remained unchanged during the
period, we would like to remind shareholders of the rebalancing performed after
our asset allocation review during the fourth quarter of 1996. At that time, we
shifted a modest amount of assets from large-capitalization U.S. stocks to
international stocks. Although large U.S. stocks continued to perform very well
during the first half of 1997, the overseas markets in which we invested also
provided positive returns.
Perhaps more important, we potentially reduced risk and volatility by shifting
assets out of a high-flying stock market sector (large cap U.S. equity) into
another that appeared to be participating in an earlier stage of the business
cycle (international equity). In our view, adjustments such as this reflect the
sound, fundamental investment principles that govern management of the
CitiSelect portfolios: diversifying broadly in financial markets to participate
in the opportunities while mitigating the risks. These strategies, once the
exclusive domain of large institutional investors, are made available and
affordable for individuals through the CitiSelect family of portfolios.
LOOKING FORWARD
We remain optimistic regarding the foreseeable future of the financial markets
in the U.S. and abroad. Low inflation, moderate economic growth and relatively
low interest rates are expected to produce a favorable environment for stocks
and bonds in many parts of the world, including the United States. Our optimism
is tempered by caution, however, arising from the speed and magnitude of the
U.S. stock market's extraordinary rise. The valuations of large U.S. companies
have expanded to the high end of their historical range, suggesting that either
profits must catch up with current stock prices or that prices must moderate to
more reasonable levels relative to earnings.
Nonetheless, we continue to find attractive opportunities in stocks and bonds
throughout the world. In the U.S., the medium and small-capitalization sectors
of the stock market have lagged their large-capitalization counterparts, and
many individual small and medium-sized stocks therefore appear to be
attractively valued. The same is true of certain overseas markets, especially
Europe, where companies are just beginning to see the kinds of conditions that
have benefitted U.S. corporations for several years. In the fixed-income
markets, we expect interest rates to remain relatively stable throughout most of
the world as global competition keeps inflation pressures at bay.
Our outlook suggests that our current asset allocation strategy -- modestly
emphasizing international stocks over large domestic equities -- is the right
one for CitiSelect portfolios. Of course, we will continue to review our asset
allocation strategy regularly and during our formal quarterly rebalancing
reviews, and we will make any adjustments we consider appropriate in
anticipation of changes in economic and market conditions.
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
TOTAL RETURN
---------------------------------------
SINCE
SIX ONE 6/17/96
MONTHS** YEAR INCEPTION*
----------- -------- ----------
CITISELECT(SM) FOLIO 200 ....... 4.87% 11.33% 11.14%
COMPOSITE BENCHMARK+ ........... 5.74% 11.50% 11.30%
* Average Annual Total Return
** Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 200
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,156 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period June 17, 1996 to June 30, 1997.
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp.
Composite Index Bond Index
Folio 200 Benchmark (unmanaged) (unmanaged)
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 10,020.00 10,023.06 10,086.00 10,085.00
7/31/96 9,900.04 9,882.03 9,640.20 10,115.26
8/31/96 10,125.29 10,025.57 9,843.61 10,123.35
9/30/96 10,321.17 10,222.27 10,396.82 10,264.06
10/31/96 10,406.66 10,324.42 10,683.77 10,455.74
11/30/96 10,684.08 10,591.82 11,490.39 10,583.62
12/31/96 10,637.76 10,572.20 11,262.88 10,515.88
1/31/97 10,693.44 10,617.98 11,965.69 10,555.84
2/28/97 10,647.65 10,587.45 12,061.41 10,575.90
3/31/97 10,454.61 10,424.78 11,559.78 10,502.93
4/30/97 10,485.09 10,519.61 12,248.74 10,625.81
5/31/97 10,921.97 10,940.11 12,995.92 10,714.01
6/30/97 11,155.65 11,173.68 13,574.23 10,811.50
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 Total returns include change in share price and reinvestment of
dividends and distributions, if any.
+ 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 the fund's total return the
composite benchmark total return does not reflect any fees or expenses.
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
TOTAL RETURN
---------------------------------------
SINCE
SIX ONE 6/17/96
MONTHS** YEAR INCEPTION*
----------- -------- ----------
CITISELECT(SM) FOLIO 300 ......... 6.52% 14.40% 14.09%
COMPOSITE BENCHMARK+ ............. 7.43% 13.88% 13.52%
* Average Annual Total Return
** Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 300
- -------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,463 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period June 17, 1996 to June 30, 1997.
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp.
Composite Index Bond Index
Folio 300 Benchmark (unmanaged) (unmanaged)
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 10,020.00 10,018.34 10,086.00 10,085.00
7/31/96 9,810.00 9,790.22 9,640.20 10,115.26
8/31/96 10,110.00 9,966.25 9,843.61 10,123.35
9/30/96 10,355.31 10,216.30 10,396.82 10,264.06
10/31/96 10,435.58 10,312.70 10,683.77 10,445.74
11/30/96 10,806.85 10,653.94 11,490.39 10,583.62
12/31/96 10,761.11 10,623.79 11,262.88 10,515.88
1/31/97 10,841.87 10,688.07 11,965.69 10,555.84
2/28/97 10,781.30 10,650.55 12,061.41 10,575.90
3/31/97 10,549.12 10,434.25 11,559.78 10,502.93
4/30/97 10,589.50 10,556.96 12,248.74 10,625.81
5/31/97 11,144.72 11,099.32 12,995.92 10,714.01
6/30/97 11,462.68 11,408.16 13,574.23 10,811.50
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.
+ 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 the fund's total return
the composite benchmark total return does not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
TOTAL RETURN
---------------------------------------
SINCE
SIX ONE 6/17/96
MONTHS** YEAR INCEPTION*
----------- -------- ----------
CITISELECT(SM) FOLIO 400 ........ 7.95% 17.61% 16.84%
COMPOSITE BENCHMARK+ ............ 9.03% 15.48% 14.70%
* Average Annual Total Return
** Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 400
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,749 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period June 17, 1996 to June 30, 1997.
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp.
Composite Index Bond Index
Folio 400 Benchmark (unmanaged) (unmanaged)
6/17/96 10,000.00 10,000.00 10,000.00 10,000.00
6/30/96 9,990.00 9,987.14 10,086.00 10,085.00
7/31/96 9,700.00 9,637.24 9,640.20 10,115.26
8/31/96 10,110.00 9,867.86 9,843.61 10,123.35
9/30/96 10,400.00 10,153.34 10,396.82 10,264.06
10/31/96 10,440.00 10,187.05 10,683.77 10,445.74
11/30/96 10,890.00 10,579.56 11,490.39 10,583.62
12/31/96 10,883.71 10,577.33 11,262.88 10,515.88
1/31/97 10,984.30 10,617.85 11,965.69 10,555.84
2/28/97 10,913.88 10,567.15 12,061.41 10,575.90
3/31/97 10,652.35 10,319.75 11,559.78 10,502.93
4/30/97 10,612.12 10,424.24 12,248.74 10,625.81
5/31/97 11,336.36 11,130.38 12,995.92 10,714.01
6/30/97 11,748.82 11,528.51 13,574.23 10,811.50
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.
+ 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 the fund's total return
the composite benchmark total return does not reflect any fees or expenses.
<PAGE>
FUND DATA ALL PERIODS ENDED JUNE 30, 1997 (UNAUDITED)
- -------------------------------------------------------------------------------
TOTAL RETURN
----------------------------
SINCE
SIX 9/3/96
MONTHS** INCEPTION**
---------- ----------
CITISELECT(SM) FOLIO 500 ......... 9.82% 17.73%
COMPOSITE BENCHMARK .............. 10.93% 19.86%
** Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 500
- --------------------------------------------------------------------------------
A $10,000 investment in the Fund made on inception date would have grown to
$11,773 (as of 6/30/97). The graph shows how the Fund compares to our benchmarks
over the same period September 3, 1996 to June 30, 1997.
Salomon Non-
MSCI EAFE $ World Gov't.
Composite Index Bond
Folio 500 Benchmark (unmanaged) (unmanaged)
9/03/96 10,000.00 10,000.00 10,000.00 10,000.00
9/30/96 10,230.00 10,355.93 10,315.38 10,029.40
10/31/96 10,220.00 10,345.14 10,212.23 10,058.89
11/30/96 10,690.00 10,787.49 10,620.72 10,088.46
12/31/96 10,720.46 10,796.88 10,486.90 10,118.12
1/31/97 10,850.83 10,853.35 10,121.95 10,147.87
2/28/97 10,800.68 10,817.29 10,289.98 10,177.70
3/31/97 10,560.00 10,552.54 10,329.80 10,207.62
4/30/97 10,509.86 10,681.26 10,386.61 10,237.63
5/31/97 11,322.17 11,492.20 11,064.86 10,267.73
6/30/97 11,773.45 11,971.86 11,677.85 10,297.92
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.
+ 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 the fund's total return
the composite benchmark total return does not reflect any fees or expenses.
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
<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 ............................................ $130,389,246 $275,248,514 $377,421,005 $152,691,064
Receivable for shares of beneficial interest sold .... 1,492,696 3,131,882 4,294,377 2,757,089
Other assets ......................................... 32,262 91,373 196,510 94,052
------------ ------------ ------------ ------------
Total Assets ........................................ 131,914,204 278,471,769 381,911,892 155,542,205
------------ ------------ ------------ ------------
LIABILITIES:
Payable for shares of beneficial interest repurchased 682,344 2,012,345 2,586,732 145,048
Payable to affiliates-- Management fees (Note 2) ..... 53,041 22,188 30,338 12,049
Accrued expenses ..................................... 35,815 160,831 587,515 183,090
------------ ------------ ------------ ------------
Total Liabilities ................................... 771,200 2,195,364 3,204,585 340,187
------------ ------------ ------------ ------------
NET ASSETS for 11,941,917, 24,374,322, 32,513,152,
and 13,218,188 shares, respectively, of beneficial
interest outstanding ................................ $131,143,004 $276,276,405 $378,707,307 $155,202,018
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital ...................................... $122,294,568 $251,957,376 $338,762,989 $139,275,952
Undistributed net investment income .................. 1,823,995 3,119,881 2,717,755 774,686
Accumulated net realized gain (loss) on investments .. (1,054,078) (2,630,083) (4,035,094) (1,480,608)
Unrealized appreciation (depreciation) of investments
and foreign currency translations .................. 8,078,519 23,829,231 41,261,657 16,631,988
------------ ------------ ------------ ------------
Total Net Assets .................................... $131,143,004 $276,276,405 $378,707,307 $155,202,018
============ ============ ============ ============
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST ..... $10.98 $11.33 $11.65 $11.74
====== ====== ====== ======
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS (UNAUDITED)
<TABLE>
<CAPTION>
For the Six Months Ended June 30, 1997
---------------------------------------------------------
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 ............................................. $ 2,233,163 $ 3,525,801 $ 2,878,593 $ 626,244
Dividends ............................................ 363,675 1,099,094 2,199,122 1,108,663
Allocated net expenses ............................... (499,770) (998,541) (1,407,343) (531,275)
Foreign tax reclaims ................................. 30,681 86,823 186,417 91,139
------------ ------------ ------------ ------------
2,127,749 3,713,177 3,856,789 1,294,771
------------ ------------ ------------ ------------
Expenses:
Distribution fees (Note 3) ........................... 295,779 591,866 988,075 298,755
Management fees (Note 2) ............................. 59,156 118,373 157,615 59,751
Shareholder reports .................................. 21,492 30,826 57,827 55,994
Legal services ....................................... 10,688 10,688 15,688 16,688
Transfer agent fees .................................. 13,097 13,796 41,915 39,812
Auditing services .................................... 8,500 8,500 8,980 8,500
Custodian fees ....................................... 5,433 4,818 4,415 4,815
Trustees fees ........................................ 3,959 5,790 6,506 2,755
Registration fees .................................... 2,109 9,152 63,696 16,643
Miscellaneous ........................................ 3,298 6,040 6,404 16,597
------------ ------------ ------------ ------------
Total expenses ...................................... 423,511 799,849 1,351,121 520,310
Less aggregate amounts waived by the Manager (Note 2) (35,905) (22,760) -- (5,990)
------------ ------------ ------------ ------------
Net expenses ........................................ 387,606 777,089 1,351,121 514,320
------------ ------------ ------------ ------------
Net investment income ............................... 1,740,143 2,936,088 2,505,668 780,451
------------ ------------ ------------ ------------
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 loss .................................... (986,607) (2,575,173) (3,982,032) (1,265,142)
Net change in unrealized appreciation ................ 5,167,869 16,195,869 28,362,826 13,200,302
------------ ------------ ------------ ------------
Net realized and unrealized gain ..................... 4,181,262 13,620,696 24,380,794 11,935,160
------------ ------------ ------------ ------------
Net Increase in Net Assets Resulting from Operations . $ 5,921,405 $ 16,556,784 $ 26,886,462 $ 12,715,611
============ ============ ============ ============
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT FOLIO 200 CITISELECT FOLIO 300
---------------------------- ----------------------------
SIX MONTHS JUNE 17, 1996+ SIX MONTHS JUNE 17, 1996+
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ................................ $ 1,740,143 $ 899,000 $ 2,936,088 $ 1,462,651
Net realized gain (loss) ............................. (986,607) 328,852 (2,575,173) 756,606
Net change in unrealized appreciation of investments . 5,167,869 2,910,650 16,195,869 7,633,362
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations 5,921,405 4,138,502 16,556,784 9,852,619
------------ ------------ ------------ ------------
Distributions From:
Net income .......................................... (71,535) (687,964) (48,172) (1,078,616)
Net realized gain on investments .................... (247,643) (206,058) (553,981) (417,933)
In excess of net income ............................. -- -- -- --
In excess of realized gains on investments .......... -- -- -- --
------------ ------------ ------------ ------------
Total distributions ................................. (319,178) (894,022) (602,153) (1,496,549)
------------ ------------ ------------ ------------
Transactions in Shares of Beneficial Interest (Note 5):
Net proceeds from sale of shares ..................... 46,374,696 107,356,153 92,803,759 195,928,712
Net asset value of shares issued to shareholders from
reinvestment of distributions ....................... 318,936 890,601 602,153 1,496,549
Cost of shares repurchased ........................... (23,928,261) (8,715,828) (28,512,460) (10,353,009)
------------ ------------ ------------ ------------
Net increase in net assets from transactions in
shares of beneficial interest .................... 22,765,371 99,530,926 64,893,452 187,072,252
------------ ------------ ------------ ------------
Net Increase in Net Assets ........................... 28,367,598 102,775,406 80,848,083 195,428,322
Net Assets:
Beginning of period .................................. 102,775,406 -- 195,428,322 --
------------ ------------ ------------ ------------
End of period (including undistributed net investment
income of $1,823,995, $155,387, $3,119,881
and $231,965, respectively) ......................... $131,143,004 $102,775,406 $276,276,405 $195,428,322
============ ============ ============ ============
+ Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CITISELECT FOLIO 400 CITISELECT FOLIO 500
---------------------------- ----------------------------
SIX MONTHS JUNE 17, 1996+ SIX MONTHS JUNE 17, 1996+
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ................................ 2,505,668 $ 1,097,081 $ 780,451 $ 184,438
Net realized gain (loss) ............................. (3,982,032) 1,371,474 (1,265,142) (188,916)
Net change in unrealized appreciation of investments 28,362,826 12,898,831 13,200,302 3,431,686
----------- ----------- ----------- -----------
Net increase in net assets resulting from operations 26,886,462 5,367,386 12,715,611 3,427,208
----------- ----------- ----------- -----------
Distributions From:
Net income .......................................... (96,602) (629,492) -- (144,954)
Net realized gain on investments .................... (869,414) (738,025) -- --
In excess of net income ............................. -- -- -- (1,053)
In excess of realized gains on investments .......... -- -- -- (73,003)
------------ ------------ ------------ -----------
Total distributions ................................. (966,016) (1,367,517) -- (219,010)
------------ ------------ ------------ -----------
Transactions in Shares of Beneficial Interest (Note 5):
Net proceeds from sale of shares ..................... 134,519,536 252,564,522 69,274,826 84,679,052
Net asset value of shares issued to shareholders from
reinvestment of distributions ....................... 966,016 1,367,517 -- 218,935
Cost of shares repurchased ........................... (36,254,454) (14,376,145) (11,860,726) (3,033,878)
------------ ------------ ------------ -----------
Net increase in net assets from transactions
in shares of beneficial interest ................. 99,231,098 239,555,894 57,414,100 81,864,109
------------ ------------ ------------ -----------
Net Increase in Net Assets ........................... 125,151,544 253,555,763 70,129,711 85,072,307
Net Assets:
Beginning of period .................................. 253,555,763 -- 85,072,307 --
------------ ------------ ------------ -----------
End of period (including undistributed (over
distributed) net investment
income of $2,717,755, $308,689, $774,686
and $(5,765), respectively) ......................... $378,707,307 $253,555,763 $155,202,018 $ 85,072,307
============ ============ ============ ============
+ Commencement of operations
</TABLE>
See notes to financial statements
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CITISELECT FOLIO 200 CITISELECT FOLIO 300
------------------------------ -------------------------------
SIX MONTHS JUNE 17, 1996+ SIX MONTHS JUNE 17, 1996+
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................. $10.50 $10.00 $10.66 $10.00
------ ------ ------ ------
INCOME FROM OPERATIONS:
Net investment income ................................ 0.160 0.128 0.130 0.088
Net realized and unrealized gain on investments ...... 0.350 0.506 0.565 0.671
------ ------ ------ ------
Total from operations ............................... 0.510 0.634 0.695 0.759
------ ------ ------ ------
LESS DISTRIBUTIONS FROM:
Net investment income ............................... (0.007) (0.112) (0.002) (0.075)
Net realized gain on investments..................... (0.023) (0.022) (0.023) (0.024)
In excess of net income ............................. -- -- -- --
In excess of realized gains on investments .......... -- -- -- --
------ ------ ------ ------
Total distributions .................................. (0.030) (0.134) (0.025) (0.099)
------ ------ ------ ------
Net Asset Value end of period ........................ $10.98 $10.50 $11.33 $10.66
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $131,143 $102,775 $276,276 $195,428
Ratio of expenses to average net assets (A) .......... 1.50% * 1.50% * 1.50% * 1.50% *
Ratio of net investment income to average net assets . 2.94% * 2.84% * 2.48% * 2.38% *
Total return ......................................... 4.87% ** 6.38% ** 6.52% ** 7.61% **
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 ............... $0.157 $0.076 $0.129 $0.060
Ratios:
Expenses to average net assets (A).................... 1.80%* 2.66%* 1.52%* 2.26%*
Net investment income to average net assets .......... 2.64%* 1.68%* 2.46%* 1.62%*
(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 4000 and
Asset Allocation Portfolio 500, respectively.
* Annualized
** Not annualized
+ Commencement of operations
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CITISELECT FOLIO 400 CITISELECT FOLIO 500
------------------------------ ------------------------------
SIX MONTHS JUNE 17, 1996+ SIX MONTHS SEPT. 3, 1996+
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD ................. $10.82 $10.00 $10.69 $10.00
------ ------ ------ ------
INCOME FROM OPERATIONS:
Net investment income ................................ 0.087 0.042 0.059 0.019
Net realized and unrealized gain on investments ...... 0.773 0.841 0.991 0.701
------ ------ ------ ------
Total from operations ............................... 0.860 0.883 1.050 0.720
------ ------ ------ ------
LESS DISTRIBUTIONS FROM:
Net investment income ............................... (0.003) (0.029) -- (0.019)
Net realized gain on investments .................... (0.027) (0.034) -- --
In excess of net income ............................. -- -- -- (0.001)
In excess of realized gains on investments .......... -- -- -- (0.010)
------ ------ ------ ------
Total distributions .................................. (0.030) (0.063) -- (0.030)
------ ------ ------ ------
Net Asset Value end of period ........................ $11.65 $10.82 $11.74 $10.69
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $378,707 $253,556 $155,202 $85,072
Ratio of expenses to average net assets (A) .......... 1.75% * 1.75% * 1.75% * 1.75% *
Ratio of net investment income to average net assets . 1.59% * 1.39% * 1.31% * 1.09% *
Total return ......................................... 7.95% ** 8.84% ** 9.82% ** 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 ............... $0.087 $0.028 $0.058 $0.001
Ratios:
Expenses to average net assets (A).................... 1.75%* 2.20%* 1.91%* 2.80%*
Net investment income to average net assets .......... 1.59%* 0.93%* 1.15%* 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
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- -------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS (unaudited)
- -------------------------------------------------------------------------------
(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 a
combination of fixed income and money market securities, and a secondary
emphasis on equity securities 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 (approximately 98.8% at June 30,
1997) 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 equity and
fixed income securities 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 (approximately 98.4% at June 30,
1997) 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 equity
securities, and a secondary emphasis on fixed income securities 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 (approximately 98.5% at June 30, 1997) in the net assets
of the Asset Allocation Portfolio 400.
CitiSelect Folio 500 seeks to achieve the Fund's investment objective of
high total return over time consistent with a dominant emphasis on equity
securities and a small allocation to fixed income securities 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 (approximately 99.3% at June 30, 1997) 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. Additionally, 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 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. A Fund's share of the Portfolio's expenses are charged
against and reduce the amount of the Fund's investment in that Portfolio.
E. DISTRIBUTIONS -- Distributions to shareholders are recorded on ex-dividend
date. The amount and character of income and net realized gains to be
distributed are determined in accordance with income tax rules and regulations,
which may differ from generally accepted accounting principles. These
differences are attributable to permanent book and tax accounting differences.
Reclassifications are made to each Fund's capital accounts to reflect income and
net realized gains available for distribution (or available capital loss
carryovers) under income tax rules and regulations.
F. OTHER -- All the net investment income, realized and unrealized gain and loss
of the Portfolios are allocated pro rata, based on respective ownership
interests, among the Funds and the other investors in a Portfolio at the time of
such determination. Investment transactions are accounted for on the trade 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 payable
monthly. The management fee is computed at the annual rate of 0.10% of each of
the Funds' average daily net assets.
The management fee paid to Citibank for CitiSelect Folio 200, CitiSelect
Folio 300, CitiSelect Folio 400 and CitiSelect Folio 500 amounted to $59,156,
$118,373, $157,615, and $59,751 of which $35,905, $22,760, $0, and $5,990,
respectively was voluntarily waived for the six months ended June 30, 1997. 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
$295,779, $591,866, $988,075 and $298,755 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 six months ended June 30, 1997, were as follows:
INCREASE DECREASE
CitiSelect Folio 200 .............................. $ 30,045,890 $7,009,943
CitiSelect Folio 300 .............................. $ 68,198,223 $2,231,239
CitiSelect Folio 400 .............................. $106,831,399 $3,613,606
CitiSelect Folio 500 .............................. $ 59,090,987 $1,540,068
(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
- --------------------
SIX MONTHS JUNE 17, 1996+
ENDED TO
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
---------- ----------
Shares sold ...................................... 4,404,411 10,551,539
Shares reinvested ................................ 30,174 86,538
Shares repurchased ............................... (2,276,912) (853,833)
---------- ----------
Net increase ..................................... 2,157,673 9,784,244
========== ==========
CITISELECT FOLIO 300
- --------------------
SIX MONTHS JUNE 17, 1996+
ENDED TO
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
---------- ----------
Shares sold ...................................... 8,630,274 19,201,036
Shares reinvested ................................ 53,100 142,587
Shares repurchased ............................... (2,648,989) (1,003,686)
---------- ----------
Net increase ..................................... 6,034,385 18,339,937
========== ==========
CITISELECT FOLIO 400
- --------------------
SIX MONTHS JUNE 17, 1996+
ENDED TO
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
---------- ----------
Shares sold ..................................... 12,300,040 24,716,079
Shares reinvested ............................... 83,062 127,805
Shares repurchased .............................. (3,295,242) (1,418,592)
---------- ----------
Net increase .................................... 9,087,860 23,425,292
========== ==========
CITISELECT FOLIO 500
- ------------------
SIX MONTHS SEPT. 3, 1996+
ENDED TO
JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996
---------- ----------
Shares sold ...................................... 6,354,513 8,228,228
Shares reinvested ................................ -- 20,792
Shares repurchased ............................... (1,094,221) (291,124)
---------- ----------
Net increase ..................................... 5,260,292 7,957,896
========== ==========
+Commencement of operations
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--6.5%
- --------------------------------------------------------------------------------
COMMON STOCKS - 6.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
E I du Pont de Nemours & Co.(++).................... 3,025 $ 190,197
Illinois Tool Works ................................ 3,165 158,052
Kimberly Clark Corp. ............................... 2,030 100,993
Nucor Corp. ........................................ 1,445 81,643
Praxair ............................................ 2,405 134,680
----------
665,565
----------
CAPITAL GOODS - 0.7%
Applied Materials* ................................. 1,295 91,702
Deere & Co.(++) .................................... 3,555 195,081
Emerson Electric Co. ............................... 2,150 118,384
General Electric Co. ............................... 5,950 388,981
Ucar Int'l Inc.* ................................... 1,630 74,573
----------
868,721
----------
CONSUMER BASICS - 2.3%
Abbott Labs ........................................ 3,095 206,591
Clorox Co. ......................................... 1,035 136,620
Coca Cola Co. ...................................... 4,950 334,125
Colgate Palmolive Co. .............................. 3,860 251,865
Gillette Co. ....................................... 2,185 207,029
Health Management Association* ..................... 4,360 124,260
Johnson & Johnson .................................. 3,210 206,644
Lilly Eli & Co. .................................... 1,325 144,839
Merck & Co. ........................................ 1,515 156,803
PepsiCo ............................................ 5,770 216,736
Pfizer Inc. ........................................ 1,700 203,150
Philip Morris Cos. Inc.(++) ........................ 5,905 262,034
Procter & Gamble Co. ............................... 1,300 183,625
Schering Plough Corp. .............................. 3,125 149,609
Warner Lambert Co. ................................. 1,545 191,966
----------
2,975,896
----------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ............................... 1,840 79,120
Sherwin Williams Co. ............................... 3,460 106,828
----------
185,948
----------
CONSUMER NON-DURABLES - 0.5%
Consolidated Stores* ............................... 4,581 159,197
Gap Inc. ........................................... 2,210 85,914
Home Depot ......................................... 1,340 92,376
Kohls Corp.* ....................................... 2,885 152,725
Walgreen Co. ....................................... 3,665 196,536
----------
686,748
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. ..................................... 3,195 131,794
Walt Disney Co. .................................... 1,475 118,369
----------
250,163
----------
FINANCE - 0.7%
American International Group Inc. .................. 1,060 158,338
Chubb Corp.(++) .................................... 1,910 127,731
Federal National Mortgage Association(++) .......... 2,010 87,686
Norwest Corp. ...................................... 1,605 90,281
State Street Boston Corp. .......................... 2,240 103,599
Travelers Group Inc. ............................... 2,905 183,197
Zions Bancorp ...................................... 3,165 119,083
----------
869,915
----------
GENERAL BUSINESS - 0.5%
Automated Data Processing Inc. ..................... 3,365 158,155
First Data Corp. ................................... 2,885 126,760
Gannett Inc. ....................................... 2,345 231,568
Interpublic Group Cos. Inc. ........................ 2,110 129,369
Service Corp. International ........................ 3,460 113,748
----------
759,600
----------
TECHNOLOGY - 0.9%
Compaq Computer Corp.*(++) ......................... 775 76,919
Hewlett Packard Co. ................................ 1,700 95,200
Intel Corp. ........................................ 1,330 188,611
Microsoft Corp.* ................................... 2,730 345,003
Motorola Inc. ...................................... 1,115 84,740
Perkin Elmer Corp. ................................. 2,230 177,424
Xerox Corp. ........................................ 2,450 193,244
----------
1,161,141
----------
TOTAL COMMON STOCKS .............................................. 8,423,697
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS -- 0.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 153,143
----------
TOTAL LARGE CAP GROWTH ........................................... 8,576,840
----------
LARGE CAP VALUE--6.5%
- --------------------------------------------------------------------------------
COMMON STOCKS -- 6.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Cabot Corp. ........................................ 2,000 56,750
Dow Chemical Co. ................................... 700 60,988
E I du Pont de Nemours & Co.(++) ................... 1,400 88,025
FMC Corp.* ......................................... 1,400 111,213
Great Lakes Chemical Corp. ......................... 2,800 146,650
IMC Global Inc. .................................... 1,200 42,000
Premark International Inc. ......................... 1,700 45,475
Rohm & Haas Co. .................................... 1,100 99,069
Westvaco Corp. ..................................... 1,400 44,013
----------
694,183
----------
CAPITAL GOODS - 0.7%
Arrow Electronics Inc. ............................. 800 42,498
Caterpillar Inc. ................................... 700 75,163
Cummins Engine Inc. ................................ 3,900 275,194
Deere & Co.(++) .................................... 900 49,388
Harnischfeger Industries Inc. ...................... 3,000 124,500
Kennametal Inc. .................................... 2,300 98,900
Parker Hannifin Corp. .............................. 1,700 103,169
Tecumseh Products Co. .............................. 2,100 125,736
----------
894,548
----------
CONSUMER BASICS - 0.7%
Bergen Brunswig Corp. .............................. 3,125 87,109
Columbia /HCA Healthcare Corp....................... 1,800 70,762
IBP Inc. ........................................... 2,700 62,774
Mallinckrodt Inc. .................................. 2,000 76,000
Maxicare Health Plans Inc.* ........................ 1,900 42,513
Nellcor Puritan Bennett Inc.* ...................... 5,000 90,625
Philip Morris Cos. Inc.(++) ........................ 4,800 213,000
RJR Nabisco Holdings Corp. ......................... 4,200 138,600
Tupperware Corp. ................................... 2,000 73,000
Universal Foods Corp. .............................. 2,300 87,688
----------
942,071
----------
CONSUMER DURABLE GOODS - 0.6%
Dana Corp. ......................................... 1,800 68,400
Eaton Corp. ........................................ 1,300 113,506
Ford Motor Co. Del ................................. 6,800 256,700
General Motors Corp. ............................... 2,500 139,219
Goodyear Tire and Rubber ........................... 3,200 202,600
----------
780,425
----------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. ...................................... 2,100 62,212
Springs Industries Inc. ............................ 1,700 89,674
Talbots Inc. ....................................... 2,900 98,600
Toys "R" Us Inc.* .................................. 2,900 101,500
V F Corp. .......................................... 1,400 118,650
----------
470,636
----------
CONSUMER SERVICES - 0.1%
AMR Corp. Del.* .................................... 900 83,250
UAL Corp.* ......................................... 1,000 71,562
----------
154,812
----------
ENERGY - 0.5%
Amoco Corp. ........................................ 1,200 104,325
Atlantic Richfield Co. ............................. 1,400 98,700
British Petroleum PLC .............................. 1,500 112,313
Mapco Inc. ......................................... 2,500 78,750
Phillips Petroleum Ce .............................. 1,700 74,375
Repsol ............................................. 2,100 89,119
Ultra Mar Diamond Shamrock ......................... 1,800 58,725
YPF Sociedad Anonima ............................... 3,200 8,400
----------
714,707
----------
FINANCE - 1.4%
Aegon .............................................. 738 51,706
Allstate Corp. ..................................... 1,600 116,800
American General Corp. ............................. 1,600 76,400
Bank of New York Inc. .............................. 2,000 87,000
Capital One Financial Corp. ........................ 2,300 86,825
Case Corp. ......................................... 3,000 206,625
Chase Manhattan Corp. .............................. 1,500 145,594
Chubb Corp.(++) .................................... 900 60,188
Crestar Financial Corp. ............................ 900 34,988
Everest Reinsurance Holdings ....................... 2,700 106,988
Federal Home Loan Mortgage Corp. ................... 1,100 37,813
Federal National Mortgage Association(++) .......... 1,600 69,800
First Union Corp. .................................. 900 83,250
Foundation Health Systems* ......................... 3,150 95,484
Mellon Bank Corp. .................................. 1,700 76,713
Old Republic International Corp. ................... 2,400 72,750
Reliastar Financial Corp. .......................... 1,200 87,750
Republic NY Corp. .................................. 800 86,000
Signet Banking Corp. ............................... 1,800 64,800
Tig Holdings Inc. .................................. 1,600 50,000
Torchmark Inc. ..................................... 300 21,375
Transatlantic Holdings Inc. ........................ 700 69,475
----------
1,788,324
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ....................................... 2,400 46,650
Standard Register .................................. 1,100 33,688
----------
80,338
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. .............................. 4,500 212,625
Dillards Inc. ...................................... 2,000 69,250
Hartford Financial Services Group .................. 900 74,475
Providian Financial Corp. .......................... 1,700 54,613
----------
410,963
----------
SHELTER - 0.1%
Owens Corning ...................................... 2,000 86,250
----------
TECHNOLOGY - 0.7%
Beckman Industries Inc. ............................ 2,800 135,100
Compaq Computer Corp.*(++) ......................... 1,000 99,250
International Business Machines .................... 2,600 234,488
Raytheon Co. ....................................... 1,300 66,300
Seagate Technology* ................................ 3,400 119,638
Stratus Computer Inc.* ............................. 500 25,000
Tektronix Inc. ..................................... 1,600 96,000
TRW Inc. ........................................... 1,700 96,581
Western Digital Corp.* ............................. 3,200 101,200
----------
973,557
----------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ....................... 800 71,900
CSX Corp. .......................................... 1,100 61,050
----------
132,950
----------
UTILITIES - 0.2%
Central ME Power Co. ............................... 1,600 19,800
Cinergy Corp. ...................................... 1,100 38,294
DTE Energy Co. ..................................... 1,800 49,724
Duke Power Co. ..................................... 939 45,013
El Paso Natural Gas Co. ............................ 1,200 66,000
Entergy Corp. ...................................... 1,800 49,274
GPU Inc. ........................................... 1,600 57,400
----------
325,505
----------
TOTAL COMMON STOCKS .............................................. 8,449,269
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 175,173
----------
TOTAL LARGE CAP VALUE ............................................ 8,624,442
----------
SMALL CAP GROWTH--7.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.3%
Central Packing Corp. .............................. 6,720 233,940
OM Group Inc. ...................................... 4,620 153,038
----------
386,978
----------
CAPITAL GOODS - 0.2%
Hardinge Bros. Inc. ................................ 7,710 225,518
----------
CONSUMER BASICS - 1.5%
Cytyc Corp.* ....................................... 9,030 244,939
General Cigar Holdings Inc.* ....................... 7,250 213,422
Human Gendme Sciences Inc.* ........................ 4,520 150,290
Occusystems Inc.* .................................. 6,510 188,790
Parexel International Corp.* ....................... 9,650 306,388
Performance Food Group Co.* ........................ 9,500 199,500
Renal Treatment Centers Inc.* ...................... 7,880 211,775
Suiza Foods Corp.* ................................. 7,040 288,640
Worthington Foods Inc. ............................. 9,660 236,670
----------
2,040,414
----------
CONSUMER DURABLES - 0.3%
Miller Industries Inc.* ............................ 16,270 260,320
Tower Automotive Inc.* ............................. 3,890 167,270
----------
427,590
----------
CONSUMER NON-DURABLES - 0.4%
Henry Schein Inc.* ................................. 6,620 206,875
Men's Wearhouse Inc.* .............................. 4,940 155,610
Wilmar Industries Inc.* ............................ 4,350 106,031
----------
468,516
----------
CONSUMER SERVICES - 0.4%
Premier Pks Inc.* .................................. 6,410 236,369
Regal Cinemas Inc.* ................................ 7,860 259,380
----------
495,749
----------
ENERGY - 0.5%
Dawson Production Services Inc.* ................... 15,600 218,400
Forcenergy Inc.* ................................... 7,410 225,079
Lomak Pete Inc. .................................... 10,140 180,619
----------
624,098
----------
FINANCE - 0.3%
Allied Group Inc. .................................. 5,570 211,660
Metris Companies Inc. .............................. 3,470 113,858
----------
325,518
----------
GENERAL BUSINESS - 1.7%
Abacus Direct Corp.* ............................... 9,130 296,725
Equity Corp. International* ........................ 10,080 243,810
Executive Risk Inc. ................................ 3,830 199,160
Heftel Broadcasting Corp.* ......................... 4,830 266,858
Lamar Advertising Co.* ............................. 9,350 238,425
Metro Networks Inc.* ............................... 9,090 220,433
Profit Recovery Group Intl Inc.* ................... 3,500 48,563
Registry Inc.* ..................................... 4,410 202,860
Snyder Communications Inc.* ........................ 8,040 216,578
Whittman Hart Inc.* ................................ 10,290 289,406
----------
2,222,818
----------
MISCELLANEOUS - 1.0%
Gray Communications Systems Inc. ................... 900 18,788
Integrated Living Communities Inc.*................. 14,800 170,200
Melita International Corp.* ........................ 12,290 153,625
NFO Research Inc.* ................................. 4,570 113,108
Pierce Leahy Corp.* ................................ 200 3,600
Rental Service Corp. ............................... 10,450 274,313
Sirrom Cap Corp. ................................... 5,620 193,890
Suburban Lodges America Inc.*....................... 11,870 249,270
Synthetic Industries Inc.* ......................... 2,730 57,670
Xionics Document Technologies*...................... 9,110 134,372
----------
1,368,836
----------
TECHNOLOGY - 0.8%
Activision Inc.* ................................... 13,750 197,656
CDW Computer Ctrs. Inc.* ........................... 2,730 144,860
Claremont Technology Group Inc.*.................... 9,510 225,862
E Trade Group Inc.* ................................ 8,630 169,364
Periphonics Corp.* ................................. 9,770 210,054
Pure Atria Corp.* .................................. 8,950 126,418
----------
1,074,214
----------
TRANSPORTION - 0.1%
Eagle U.S.A. Airfreight Inc.* ...................... 7,040 190,960
----------
TOTAL COMMON STOCKS .............................................. 9,851,209
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 567,316
----------
TOTAL SMALL CAP GROWTH ........................................... 10,418,525
----------
SMALL CAP VALUE--8.7%
- --------------------------------------------------------------------------------
COMMON STOCKS--8.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.5%
Atchenson Casting Corp.* ........................... 2,500 41,563
Carpenter Technology Corp. ......................... 1,900 86,925
Keystone Consolidated Inds. Inc.* .................. 27,700 301,238
Oil Dri Corp. America .............................. 14,000 224,875
----------
654,601
----------
CAPITAL GOODS - 1.5%
American Buildings Co.* ............................ 8,000 216,000
Astec Industries Inc.* ............................. 1,000 12,438
Astro Medical Inc. ................................. 1,000 8,813
Cognex Corp.* ...................................... 10,000 265,000
Commercial Intertech Corp. ......................... 14,600 203,488
D.R. Horton Inc.* .................................. 30,100 312,288
Esco Electronics Corp.* ............................ 26,000 328,250
Global Industries Technologies Inc.* ............... 5,300 108,650
JLG Industries Inc. ................................ 16,000 218,000
United Industrial Corp. ............................ 44,800 400,400
----------
2,073,327
----------
CONSUMER BASICS - 1.3%
Ekco Group Inc.* ................................... 64,300 373,744
Matrix Pharmaceuticals* ............................ 26,800 179,225
MMI Cosmetics Inc. ................................. 9,000 235,125
Nash Finch Co. ..................................... 4,400 97,350
RLI Corp. .......................................... 4,400 160,325
Schultz Sav O Stores Inc. .......................... 6,500 115,375
Schweitzer Mauduit Intl. Inc. ...................... 6,000 225,000
Standard Commercial Corp. .......................... 12,071 209,734
Stanhome Inc. ...................................... 5,500 180,813
----------
1,776,691
----------
CONSUMER DURABLE GOODS - 0.6%
Coachmen Industries Inc. ........................... 11,000 188,375
Flexsteel Industries Inc. .......................... 4,500 52,875
Haskel International Inc. .......................... 9,000 108,000
Oshkosh Truck Corp. ................................ 13,400 190,950
West Inc. .......................................... 7,900 226,138
----------
766,338
----------
CONSUMER NON-DURABLES - 0.3%
Cato Corp. ......................................... 700 3,806
Haverty Furniture Cos. Inc. ........................ 1,500 18,750
Little Switzerland Inc.* ........................... 30,000 180,000
Syms Corp.* ........................................ 15,000 149,063
----------
351,619
----------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ....................................... 34,500 243,656
Cannondale Corp.* .................................. 6,000 106,500
----------
350,156
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* .............................. 200 13,400
----------
FINANCE - 1.6%
Allied Life Finl Corp. ............................. 2,000 39,500
APS Holdings Corp.* ................................ 2,400 21,000
Bank Plus Corp.* ................................... 8,000 87,000
BankAtlantic Bancorp Inc. .......................... 6,000 84,750
BankAtlantic Bancorp Inc. Class A .................. 7,875 110,250
Chartwell Re. Corp. ................................ 1,200 36,000
Downey Financial Corp. ............................. 8,662 204,640
Everen Capital Corp. ............................... 500 15,594
Farm Family Holdings Inc.* ......................... 6,700 186,763
FBL Financial Group Inc. ........................... 4,000 151,000
Financial Securities Assurance Holdings Ltd......... 6,000 233,625
Flagstar Bancorp Inc................................ 14,000 227,500
GA Financial Inc. .................................. 6,000 114,000
Guaranty National Corp. ............................ 10,000 240,000
Harleysville Group Inc. ............................ 700 26,513
Homeside Inc.* ..................................... 10,700 234,063
Presidential Life Corp. ............................ 2,500 48,438
Redfed Bancorp Inc.* ............................... 4,600 75,325
----------
2,135,961
----------
GENERAL BUSINESS - 0.2%
Devon Group Inc.* .................................. 2,300 82,225
Ennis Business Forms Inc. .......................... 25,000 240,625
----------
322,850
----------
MISCELLANEOUS - 0.4%
Commonwealth Industries Inc. ....................... 100 2,038
Durco International Inc. ........................... 10,300 301,275
Spacehab Inc.* ..................................... 6,800 60,350
Spectralink Corp. .................................. 8,000 45,000
Symons International Group Inc.*.................... 5,100 77,775
Wilshire Financial Svcs. Group Inc.................. 2,000 32,500
----------
518,938
----------
SHELTER - 1.1%
Ameron International Corp. ......................... 2,600 147,225
Beazer Homes USA Inc.* ............................. 17,000 272,000
Belmont Homes Inc.* ................................ 3,300 22,688
Butler Mfg. Co. Del ................................ 4,200 139,125
Morgan Products Ltd.* .............................. 37,000 277,500
Patrick Industries Inc. ............................ 1,900 31,350
Ryland Group Inc. .................................. 20,000 282,500
Southern Energy Homes Inc.* ........................ 4,600 41,975
US Homes Corp.* .................................... 7,900 209,844
----------
1,424,207
----------
TECHNOLOGY - 0.3%
Advanced Logic Research Inc.* ...................... 7,000 107,188
Analysis & Technology Inc. ......................... 1,700 27,041
Mapinfo Corp.* ..................................... 3,100 30,225
Premenos Technology Corp.* ......................... 6,000 51,000
Symantec Corp.* .................................... 9,300 181,350
----------
396,804
----------
TRANSPORTATION - 0.2%
Fritz Companies Inc.* .............................. 18,900 183,091
Kenan Transportation Co. ........................... 4,000 79,000
----------
262,091
----------
TOTAL COMMON STOCKS .............................................. 11,046,983
----------
PRINCIPAL
AMOUNT
- --------------------------------------------------------------------------------
FIXED INCOME - 0.1%
- --------------------------------------------------------------------------------
BankAtlantic Bancorp Inc. 6.75% due 7/01/06 ........ $10,000 14,150
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 394,395
----------
TOTAL SMALL CAP VALUE ............................................ 11,455,528
----------
INTERNATIONAL EQUITY--7.5% SHARES
- --------------------------------------------------------------------------------
COMMON STOCKS--7.2%
- --------------------------------------------------------------------------------
AUSTRIA - 0.1%
Bohler Uddeholm .................................... 1,519 117,794
----------
AUSTRALIA - 0.4%
Australia & New Zealand Bank Group ................. 29,600 221,465
Pioneer International Ltd. ......................... 39,743 153,783
Quantas Airways .................................... 38,813 90,932
----------
466,180
----------
CANADA - 0.3%
Bank N S Halifax ................................... 2,609 114,301
Canadian Imperial Bank Toronto ..................... 4,041 101,833
Imasco Ltd. ........................................ 5,161 149,491
Noranda Inc. ....................................... 4,405 94,898
----------
460,523
----------
FINLAND - 0.2%
Rauma Oy ........................................... 2,158 49,454
UPM Kymmene Oy ..................................... 7,248 167,495
----------
216,949
----------
FRANCE - 0.4%
Elf Aquitaine ...................................... 640 69,046
Lafarge ............................................ 2,750 171,036
Pernod Ricard ...................................... 2,850 146,945
Usinor Sacilor ..................................... 8,613 155,356
----------
542,383
----------
GERMANY - 0.2%
Buderus AG ......................................... 90 49,538
Commerzbank AG ..................................... 5,587 158,247
----------
207,785
----------
GREAT BRITAIN - 1.7%
Abbey National ..................................... 13,082 178,641
Allied Domecq PLC .................................. 19,400 139,566
Bat Industries ..................................... 15,961 142,867
British Gas ........................................ 8,000 29,309
BTR ................................................ 49,275 168,629
Coats Viyella ...................................... 71,000 148,978
Commercial Union ................................... 11,188 117,657
Energy Group ....................................... 7,844 83,731
Hanson ............................................. 27,706 137,494
Harrison & Crosfield ............................... 66,770 122,311
Hillsdown Holdings ................................. 29,729 83,916
Hyder .............................................. 10,919 147,286
Lex Service ........................................ 20,900 131,388
Powergen ........................................... 12,872 153,051
Redland ............................................ 23,327 132,078
Safeway ............................................ 19,356 112,012
Tate & Lyle ........................................ 20,100 149,455
----------
2,178,369
----------
HONG KONG - 0.5%
China Light & Power ................................ 10,500 59,498
Dickson Concept Industries ......................... 22,000 80,080
Hang Lung Development Co. .......................... 35,635 65,315
Hong Kong Telecomm ................................. 46,800 111,755
HSBC Holdings ...................................... 2,316 69,654
Manhattan Card Co. ................................. 252,490 114,882
New World Development Co. .......................... 14,790 88,198
Sth China Morn Post ................................ 79,486 77,975
----------
667,357
----------
IRELAND - 0.1%
Smurfit ............................................ 7,401 166,858
----------
ITALY - 0.1%
Danieli & Co. ...................................... 7,205 25,224
Eni Spa ............................................ 24,000 135,917
----------
161,141
----------
JAPAN - 1.1%
Koito Mfg. Co. ..................................... 14,000 106,997
MOS Food Services .................................. 10,000 184,959
Nichicon Corp. ..................................... 14,000 189,327
Nintendo Co. ....................................... 1,800 150,759
Promise Co. ........................................ 3,200 183,144
Sekisui Chemical ................................... 16,000 161,926
Sony Corp. ......................................... 1,400 122,021
Suzuki Motor Corp. ................................. 18,000 227,709
Yodogawa Steelworks ................................ 21,000 128,250
----------
1,455,092
----------
MALAYSIA - 0.2%
Arab Malaysian Finance ............................. 42,000 89,025
Bolton Properties .................................. 56,000 79,873
Kedah Cement Holdings .............................. 15,000 23,415
Malaysian International Shipping ................... 1,000 80,448
----------
272,761
----------
NETHERLANDS - 0.5%
ABN Amro Holdings NV ............................... 8,817 164,401
Akzo Nobel NV ...................................... 950 130,190
Hollandsche Beton .................................. 554 126,357
Ing Groep NV ....................................... 3,119 143,802
Kon PTT Nederland .................................. 3,510 137,689
----------
702,439
----------
NEW ZEALAND - 0.1%
Fletcher Challenge(Building) ....................... 17,249 51,903
Fletcher Challenge(Paper) .......................... 690 983
----------
52,886
----------
NORWAY - 0.2%
Kvaerner ASA ....................................... 2,315 140,083
Nycomed ............................................ 8,410 120,483
----------
260,566
----------
SPAIN - 0.3%
Banco Santander SA ................................. 6,480 199,655
Repsol SA .......................................... 4,285 181,170
----------
380,825
----------
SWEDEN - 0.1%
Electrolux AB ...................................... 1,200 86,561
Marieberg Tidnings ................................. 3,483 86,450
----------
173,011
----------
SWITZERLAND - 0.6%
Forbo Hldg ......................................... 292 126,000
Nestle SA .......................................... 129 170,173
Schw Ruckversicher ................................. 155 219,229
Sig Schw Ind HG AG ................................. 44 133,356
Sulzer AG .......................................... 190 162,670
----------
811,428
----------
UNITED STATES - 0.1%
Jardine Matheson ................................... 25,500 181,050
----------
TOTAL COMMON STOCKS .............................................. 9,475,397
----------
- --------------------------------------------------------------------------------
WARRANTS--0.0%
- --------------------------------------------------------------------------------
Bolton Properties Sub. Ord. Exp. 9/15/01 ........... 1,500 731
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.3%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/1/97(+) ............................................. 406,051
----------
TOTAL INTERNATIONAL EQUITY ....................................... 9,882,179
----------
PRINCIPAL
AMOUNT
DOMESTIC FIXED INCOME--25.5%
- --------------------------------------------------------------------------------
FIXED INCOME--24.7%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 1.5%
Aetna Services Inc. 6.97% due 8/15/36 .............. $180,000 181,778
Commonwealth Edison Electric Co.
7.00% due 7/01/05 ................................. 578,000 570,763
Detroit Edison Co.
6.69% due 3/03/17 ................................. 300,000 294,108
Jackson National Life Insurance Co.
8.15% due 3/15/27 ................................. 550,000 561,555
Mead Corp.
6.84% due 3/01/37 ................................. 300,000 298,976
----------
1,907,180
----------
FOREIGN BONDS - 0.2%
Enersis SA 6.90% due 12/1/06 ........................ 300,000 291,384
----------
ASSET BACKED - 3.6%
Atlantic City Electric Co.
7.01% due 8/02/23 ................................. 430,000 431,745
CWMBS Inc.
7.75% due 3/01/27 ................................. 500,000 508,280
Federal Home Loan Mortgage Corp.
7.75% due 1/15/20 ................................. 283,948 285,500
Federal National Mortgage Association
7.35% due 8/17/21 ................................. 550,000 558,937
Federal National Mortgage Association
6.50% due 8/25/22 ................................. 450,000 418,922
G.E. Capital Mortgage Services Inc.
7.75% due 3/25/27 ................................. 199,452 199,608
GMAC Commercial Mortgage Sec. Inc.
7.22% due 2/15/06 ................................. 100,000 101,094
Government National Mortgage Association
7.25% due 10/16/22 ................................ 297,829 298,574
GreenTree Financial Corp.
7.65% due 4/15/27 ................................. 850,000 849,465
GreenTree Financial Corp.
7.29% due 3/15/28 ................................. 300,000 294,375
Merrill Lynch Mortgage Investors Inc.
6.95% due 6/18/29 ................................. 400,000 402,500
Norwest Asset Securities Corp.
7.50% due 3/15/27 ................................. 398,901 399,150
----------
4,748,150
----------
MORTGAGE BACKED - 2.6%
Federal Home Loan Mortgage Corp.
5.50% due 5/31/98 ................................. 820,000 810,263
6.00% due 3/15/09 ................................. 323,683 299,355
6.50% due 7/01/11 ................................. 113,861 111,795
6.50% due 8/01/11 ................................. 94,556 92,842
6.50% due 9/15/22 ................................. 805,879 789,254
Federal National Mortgage Associations
7.00% due 6/01/03 ................................. 102,848 103,199
7.00% due 7/01/03 ................................. 350,083 351,175
6.50% due 5/01/11 ................................. 122,073 119,822
6.50% due 7/01/11 ................................. 196,740 193,112
8.00% due 5/01/26 ................................. 32,283 33,029
8.00% due 6/01/26 ................................. 462,292 472,980
----------
3,376,826
----------
U. S. TREASURY OBLIGATIONS - 16.8%
United States Treasury Bond
6.875% due 8/15/25 ................................ 250,000 250,938
----------
United States Treasury Notes
6.00% due 5/31/98 ................................. 5,395,000 5,405,089
6.375% due 5/15/99 ................................ 3,700,000 3,718,500
5.875% due 11/15/99 ............................... 969,000 962,788
6.50% due 5/31/01 ................................. 5,895,000 5,927,245
6.50% due 5/31/02 ................................. 1,060,000 1,064,304
6.25% due 1/31/02 ................................. 1,184,000 1,177,524
6.875% due 5/15/06 ................................ 3,240,000 3,307,327
6.50% due 10/15/06 ................................ 400,000 398,312
----------
21,961,089
----------
TOTAL FIXED INCOME ............................................... 32,535,567
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.8%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/1/97(+) ............................................. 1,064,871
United States Treasury Bill
5.18% due 12/11/97 .............................................. 34,181
----------
1,099,052
----------
TOTAL DOMESTIC FIXED INCOME ...................................... 33,634,619
----------
INTERNATIONAL BOND--31.3%
- --------------------------------------------------------------------------------
FIXED INCOME--18.5%
- --------------------------------------------------------------------------------
CURRENCY
================================================================================
ARGENTINA - 0.3%
Republic of Argentina Bocon
3.242% due 4/1/01 ................................. ARS 320,000$ 389,493
------------
AUSTRALIA- 0.5%
Australia Commonwealth
9.50% due 8/15/03 ................................. AUD 710,000 611,430
-----------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ............................... ATS 1,850,000 170,767
------------
BELGIUM - 0.1%
Belgium (Kingdom)
9.00% due 3/28/03 .................................. BF 200,000 6,676
8.50% due 10/01/07 ................................. BF 1,900,000 63,802
-----------
70,478
-----------
CANADA - 2.0%
Canadian Government
8.50% due 3/01/00 ................................. CAD 2,256,000 1,766,883
9.00% due 12/01/04 ................................ CAD 1,110,000 939,009
-----------
2,705,892
-----------
CROATIA - 0.2%
Republic of Croatia
6.50% due 7/30/10 ................................. USD 260,000 252,525
------------
DENMARK - 0.4%
Denmark (Kingdom)
8.00% due 5/15/03 ................................. DKK 2,220,000 378,409
8.00% due 3/15/06 ................................. DKK 950,000 161,016
------------
539,425
------------
FINLAND - 2.2%
Finland (Rep of)
9.50% due 3/15/04 ................................. FIM 1,000,000 233,910
7.25% due 4/18/06 ................................. FIM 12,000,000 2,505,539
8.25% due 10/15/10 ................................ FIM 1,000,000 223,470
------------
2,962,919
------------
FRANCE - 0.4%
Government of France
8.25% due 2/27/04 ................................. FRF 500,000 100,124
Government of France
7.75% due 10/25/05 ................................ FRF 2,370,000 466,805
------------
566,929
------------
GERMANY - 1.5%
Treuhandanstalt
6.875% due 6/11/03 ................................ DEM 790,000 496,530
Germany (Fed) Rep
6.375% due 5/20/98 ................................ DEM 190,000 111,945
7.125% due 12/20/02 ............................... DEM 1,840,000 1,170,084
7.375% due 1/03/05 ................................ DEM 250,000 161,072
------------
1,939,631
------------
GREAT BRITAIN - 1.8%
Treasury
8.00% due 12/07/00 ................................ GBP 100,000 171,006
6.75% due 11/26/04 ................................ GBP 70,000 114,895
8.50% due 12/07/05 ................................ GBP 1,155,000 2,094,127
------------
2,380,028
------------
GREECE - 0.2%
Hellenic Republic
11.10% due 6/17/03 ................................ GRD 10,200,000 38,268
Republic of Greece
14.00% due 10/23/03 ............................... GRD 48,800,000 184,597
------------
222,865
------------
ITALY - 1.3%
Republic of Italy
9.50% due 1/01/05 ................................. ITL2,460,000,0001,667,433
------------
JAPAN - 3.6%
Japan 6.40% due 3/20/00 ............................ JPY 150,400,00 1,495,209
Japan 5.50% due 3/20/02 ............................ JPY 182,000,00 1,857,156
Japan 4.50% due 6/20/03 ............................ JPY 105,000,00 1,042,122
Japan 4.10% due 12/22/03 ........................... JPY 30,400,000 296,468
------------
4,690,955
------------
NETHERLANDS - 0.1%
Dutch Government
8.25% due 2/15/07 ................................. NLG 100,000 60,905
------------
NEW ZEALAND - 0.5%
New Zealand Government
10.00% due 3/15/02 ................................ NED 60,000 45,931
8.00% due 4/15/04 ................................. NED 890,000 638,819
------------
684,750
------------
PHILLIPPINES - 0.2%
Eurobank Recon & Development
9.00% due 4/22/98 ................................. PHP 5,000,000 188,145
International Bank Recon
10.25% due 4/11/02 ................................ PHP 3,000,000 114,237
------------
302,382
------------
SOUTH AFRICA - 0.2%
Republic of South Africa
14.00% due 8/15/97 ................................ ZAR 1,350,000 296,759
------------
SPAIN - 0.6%
Government of Spain
10.90% due 8/30/03 ................................ ESP 56,900,000 485,397
10.00% due 2/28/05 ................................ ESP 35,000,000 292,993
------------
778,390
------------
SWEDEN - 2.3%
Sweden (Kingdom)
11.00% due 1/21/99 ................................ SEK 3,900,000 550,452
10.25% due 5/05/00 ................................ SEK 16,100,000 2,354,444
13.00% due 6/15/01 ................................ SEK 1,100,000 179,315
------------
3,084,211
------------
TOTAL FIXED INCOME ................................. 24,378,167
------------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--12.0%
- --------------------------------------------------------------------------------
American Tel & Telegraph Co.
5.48% due 7/1/97 ............................ $1,000,000 1,000,000
Ameritech Corp.
5.54% due 8/28/97 ........................... $ 400,000 396,430
Australian Wheat Board
5.59% due 7/29/97 ........................... $1,000,000 995,652
Bayerische Landesbank
11.50% due 10/09/97 ......................... CZK 7,000,000 214,290
Caisse D. Amortissement
5.53% due 8/06/97 ........................... $ 700,000 696,129
Canadian Treasury Bill
due 4/02/98 ................................. CAD 800,000 563,380
Ford Motor Co.
5.54% due 8/20/97 ........................... 400,000 396,922
GMAC
5.65% due 7/30/97 ........................... $1,000,000 995,449
Hong Kong Shanghai Bank
due 8/31/97 ................................. IDR 500,000,00 202,762
IBM International Finance
5.57% due 7/21/97 ........................... $1,000,000 996,906
KFW International Financing Inc.
5.51% due 7/16/97 ........................... $ 100,000 99,770
Letras Del Tesoro
due 3/20/98 ................................. ARS 80,000 76,388
Mexican Cetes
due 7/24/97 ................................. MEX 530,000 65,808
Mexican Cetes
due 7/31/97 ................................. MEX 550,000 68,012
Mexican Cetes
due 10/2/97 ................................. MEX 550,000 65,606
Mexican Cetes
due 10/30/97 ................................ MEX 620,000 72,785
Minnesota Mining & Manufacturing Co.
5.51% due 8/13/97 ........................... $1,000,000 993,419
Mobil Australia Finance Co.
5.53% due 8/20/97 ........................... $1,000,000 992,319
Motorola Inc.
5.50% due 7/16/97 ........................... $ 800,000 798,167
National Rural Utilities
5.55% due 7/03/97 ........................... $1,000,000 999,692
New Center Asset Trust
5.62% due 7/09/97 ........................... $1,000,000 998,751
Oestreichische Kontrollbank
5.54% due 9/19/97 ........................... $1,000,000 987,333
Poland Treasury Bill
due 10/22/97 ................................ PLN 50,000 14,269
Poland Treasury Bill
due 12/3/97 ................................. PLN 600,000 167,211
Poland Treasury Bill
due 4/22/98 ................................. PLN 650,000 168,171
Poland Treasury Bill
due 5/13/98 ................................. PLN 320,000 81,887
Poland Treasury Bill
due 6/26/98 ................................. PLN 600,000 150,266
Proctor & Gamble Co
5.55% due 7/24/97 ........................... $1,000,000 996,454
Republic of Finland
3.49% due 3/13/98 ........................... FIM 1,000,000 188,147
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ........................ 317,278
United States Treasury Bill
5.01% due 10/02/97 .......................... 9,852
Wool International
5.58% due 7/22/97 ........................... 1,000,000 996,745
------------
TOTAL SHORT-TERM OBLIGATIONS ....................... 15,766,250
------------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.8%
- --------------------------------------------------------------------------------
Purchased calls
AST 1,800,000 Australian Government Bonds
@ 107.603 exp. date 9/26/97 ................................... 135,409
CAD 1,500,000 Canadian Government Bonds
@ 94.60 exp. date 7/16/97 ..................................... 105,406
CAD 1,290,000 Canadian Government Bonds
@ 93.70 exp. date 7/24/97 ..................................... 97,832
JPY 27,000,000 Japanese Government Bonds
@ 105.60 exp. date 7/16/97 .................................... 19,519
JPY 466,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 .................................... 609,963
JPY 37,000,000 Japanese Government Bonds
@ 91.708 exp. date 9/22/97 .................................... 71,037
JPY 41,000,000 Japanese Government Bonds
@ 100.769 exp. date 9/16/97 ................................... 57,708
JPY 85,000,000 Japanese Government Bonds
@ 102.586 exp. date 9/16/97 ................................... 74,505
------------
TOTAL INTERNATIONAL BOND OPTIONS ............................... 1,171,379
------------
TOTAL INTERNATIONAL BOND ....................................... 41,315,796
------------
SHORT-TERM--18.1%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--18.1%
- --------------------------------------------------------------------------------
Deutsche Bank
5.76% due 2/03/98 ............................................. 1,000,269
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) .......................................... 21,050,771
United States Treasury Bill
5.402% due 7/24/97 ............................................ 996,548
5.39% due 9/18/97 ............................................. 988,874
------------
TOTAL SHORT-TERM ............................................... 24,036,462
------------
TOTAL INVESTMENTS
(Identified Cost $140,202,264) ................ 112.0% 147,944,391
OTHER ASSETS,
LESS LIABILITIES .............................. (12.0) (15,903,640)
----- ------------
NET ASSETS ..................................... 100.0% $132,040,751
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Shearson Lehman Repurchase Agreements
5.85%, due 7/01/97 valued at $24,128,998, collateralized by $8,310,000
Federal Home Loan Mortgage 7.08%, due 3/20/02, $5,975,000 Federal Home
Loan Mortgage 7.375%, due 3/20/06, and $10,000,000 Federal National
Mortgage Association 6.71%, due 5/21/03, portions of which are listed
separately by each Asset Class.
(++) The Portfolio owns in aggregate 4,455 shares of Deere & Co. valued at
$244,469, 10,705 shares of Philip Morris Cos. Inc. valued at $475,034,
2,810 shares of Chubb Corp. valued at $187,919, 3,610 shares of Federal
National Mortgage Association, valued at $157,486, 4,425 shares of
E I du Pont de Nemours & Co. valued at $278,222 and 1,775 shares of
Compaq Computer Corp., valued at $176,169.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
================================================================================
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
---------------- --------- ---------- -----------
<S> <C> <C> <C>
U.S. Treasury 5-Year Note (Sell) (20) September 1997 $(8,047)
U.S. Treasury 5-Year Note (Buy) 6 September 1997 (656)
-------
$(8,703)
=======
</TABLE>
<TABLE>
<CAPTION>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
---------- --------- -------- ----------- ------------- -------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) ............... Germany $ 529,564 $ 552,272 July 1997 $(22,708)
Deutsche Mark (Sell) .............. Germany 1,451,539 1,466,931 July 1997 15,392
Deutsche Mark (Sell) .............. Germany 62,977 64,965 August 1997 1,988
Deutsche Mark (Buy) ............... Germany 5,904,097 5,978,425 September 1997 (74,328)
Deutsche Mark (Sell) .............. Germany 53,095 53,291 October 1997 196
Dollar (Sell) ..................... Australia 249,284 248,344 July 1997 (940)
Dollar (Buy) ...................... Australia 370,368 380,240 July 1997 (9,872)
Dollar (Buy) ...................... Canada 1,415,620 1,407,552 July 1997 8,068
Dollar (Sell) ..................... Canada 2,682,539 2,684,624 July 1997 2,085
Dollar (Buy) ...................... Canada 82,958 82,650 September 1997 308
Dollar (Sell) ..................... Canada 559,237 558,952 September 1997 (285)
Dollar (Buy) ...................... Canada 283,159 288,232 March 1998 (5,073)
Dollar (Sell) ..................... New Zealand 452,406 461,931 August 1997 9,525
Dollar (Sell) ..................... New Zealand 232,527 235,735 September 1997 3,208
Drachma (Buy) ..................... Greece 13,101 13,203 July 1997 (102)
Ecu (Sell) ........................ Europe 254,925 263,049 July 1997 8,124
Franc (Buy) ....................... Belgium 407,406 417,133 July 1997 (9,727)
Franc (Buy) ....................... Belgium 456,443 462,610 September 1997 (6,167)
Franc (Buy) ....................... France 2,057,011 2,108,679 July 1997 (51,668)
Franc (Sell) ...................... France 14,596 15,090 July 1997 494
Franc (Buy) ....................... France 119,501 120,694 August 1997 (1,193)
Franc (Sell) ...................... France 4,060 4,201 August 1997 141
Franc (Buy) ....................... France 26,001 26,270 September 1997 (269)
Franc (Sell) ...................... France 7,588 7,608 October 1997 20
Franc (Sell) ...................... Switzerland 426,132 426,331 July 1997 199
Franc (Sell) ...................... Switzerland 644,823 667,894 August 1997 23,071
Franc (Sell) ...................... Switzerland 2,510,706 2,551,448 September 1997 40,742
Franc (Sell) ...................... Switzerland 7,590 7,646 October 1997 56
Guilder (Buy) ..................... Netherlands 829,910 846,702 July 1997 (16,792)
Guilder (Buy) ..................... Netherlands 343,216 346,432 September 1997 (3,216)
Koruna (Buy) ...................... Czechoslvakia 25,235 25,355 August 1997 (120)
Krone (Buy) ....................... Denmark 65,119 66,156 July 1997 (1,037)
Krone (Buy) ....................... Denmark 60,373 62,178 August 1997 (1,805)
Krone (Sell) ...................... Denmark 59,165 60,766 August 1997 1,601
Krone (Buy) ....................... Sweden 670,268 668,507 July 1997 1,761
Krone (Sell) ...................... Sweden 670,269 676,146 July1997 5,877
Krone (Buy) ....................... Sweden 518,549 521,104 August 1997 (2,555)
Lira (Buy) ........................ Italy 2,417,533 2,409,281 July 1997 8,252
Markka (Sell) ..................... Finland 2,563,462 2,617,699 July 1997 54,237
Markka (Sell) ..................... Finland 226,931 227,775 August 1997 844
Markka (Sell) ..................... Finland 219,043 220,703 September 1997 1,660
Peseta (Buy) ...................... Spain 1,022,181 1,033,273 July 1997 (11,092)
Peseta (Sell) ..................... Spain 116,732 118,436 July 1997 1,704
Peseta (Buy) ...................... Spain 201,162 $ 203,098 August 1997 (1,936)
Peseta (Buy) ...................... Spain 1,317,952 1,335,429 September 1997 (17,477)
Peseta (Sell) ..................... Spain 1,100,875 1,116,116 September 1997 15,241
Peso (Buy) ........................ Chile 75,663 75,000 July 1997 663
Peso (Buy) ........................ Philippines 15,489 15,486 July 1997 3
Pound (Buy) ....................... Great Britain 2,252,431 2,204,771 July 1997 47,660
Pound (Sell) ...................... Great Britain 30,726 30,050 July 1997 (676)
Pound (Sell) ...................... Great Britain 184,788 181,123 August 1997 (3,665)
Pound (Buy) ....................... Great Britain 116,197 114,385 October 1997 1,812
Pound (Sell) ...................... Great Britain 15,114 15,085 October 1997 (29)
Pound (Buy) ....................... Ireland 152,887 150,495 July 1997 2,392
Ringgit (Buy) ..................... Malasia 59,377 59,420 July 1997 (43)
Rupiah (Buy) ...................... Indonesia 122,388 121,212 July 1997 1,176
Rupiah (Sell) ..................... Indonesia 122,388 122,206 July 1997 (182)
Rupiah (Buy) ...................... Indonesia 64,992 64,451 August 1997 541
Schilling (Buy) ................... Austria 194,541 196,387 September 1997 (1,846)
Won (Buy) ......................... South Korea 124,085 122,513 July 1997 1,572
Yen (Sell) ........................ Japan 840,659 820,591 July 1997 (20,068)
Yen (Buy) ......................... Japan 4,504,500 4,130,162 July 1997 374,338
Yen (Buy) ......................... Japan 3,197,146 2,924,185 August 1997 272,961
Zloty (Buy) ....................... Poland 150,193 151,257 July 1997 (1,064)
--------
$641,977
========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
================================================================================
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.8%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
E I du Pont de Nemours & Co.(++) ........................ 9,495 $ 596,998
Illinois Tool Works ..................................... 10,465 522,596
Kimberly Clark Corp. .................................... 6,220 309,445
Nucor Corp. ............................................. 4,545 256,793
Praxair ................................................. 7,725 432,600
----------
2,118,432
----------
CAPITAL GOODS - 1.0%
Applied Materials* ...................................... 4,055 287,145
Deere & Co.(++) ......................................... 11,270 618,441
Emerson Electric Co. .................................... 6,840 376,627
General Electric Co. .................................... 18,985 1,241,144
Ucar Int'l Inc.* ........................................ 4,850 221,888
----------
2,745,245
----------
CONSUMER BASICS - 3.4%
Abbott Labs ............................................. 9,935 663,161
Clorox Co. .............................................. 3,280 432,960
Coca Cola Co. ........................................... 15,815 1,067,513
Colgate Palmolive Co. ................................... 12,315 803,554
Gillette Co. ............................................ 7,015 664,671
Health Management Association* .......................... 13,790 393,015
Johnson & Johnson ....................................... 10,220 657,912
Lilly Eli & Co. ......................................... 4,320 472,230
Merck & Co. ............................................. 4,965 513,878
PepsiCo ................................................. 18,465 693,592
Pfizer Inc. ............................................. 5,325 636,337
Philip Morris Cos. Inc.(++) ............................. 18,530 822,269
Procter & Gamble Co. .................................... 4,230 597,487
Schering Plough Corp. ................................... 10,010 479,229
Warner Lambert Co. ...................................... 5,060 628,705
----------
9,526,513
----------
CONSUMER DURABLES - 0.2%
Leggett & Platt Inc. .................................... 5,960 256,280
Sherwin Williams Co. .................................... 10,840 334,685
----------
590,965
----------
CONSUMER NON-DURABLES - 0.8%
Consolidated Stores* ..................................... 14,668 509,696
Gap Inc. ................................................. 7,145 277,762
Home Depot ............................................... 4,230 291,606
Kohls Corp.* ............................................. 9,170 485,437
Walgreen Co. ............................................. 11,635 623,927
----------
2,188,428
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. ........................................... 10,320 425,700
Walt Disney Co. .......................................... 4,660 373,965
----------
799,665
----------
FINANCE - 1.0%
American International Group Inc.......................... 3,405 508,622
Chubb Corp.(++) .......................................... 6,080 406,600
Federal National Mortgage
Association(++) ........................................ 6,430 280,509
Norwest Corp. ............................................ 5,110 287,437
State Street Boston Corp. ................................ 7,190 332,537
Travelers Group Inc. ..................................... 9,270 584,589
Zions Bancorp ............................................ 9,985 375,686
----------
2,775,980
----------
GENERAL BUSINESS - 0.9%
Automated Data Processing Inc. ........................... 10,590 497,730
First Data Corp. ......................................... 9,600 421,800
Gannett Inc. ............................................. 7,495 740,131
Interpublic Group Cos. Inc. .............................. 6,810 417,538
Service Corp. International .............................. 11,040 362,940
----------
2,440,139
----------
TECHNOLOGY - 1.3%
Compaq Computer Corp.(++) ............................... 2,425 240,681
Hewlett Packard Co. ..................................... 5,365 300,440
Intel Corp. ............................................. 4,300 609,794
Microsoft Corp.* ........................................ 8,670 1,095,671
Motorola Inc. ........................................... 3,655 277,780
Perkin Elmer Corp. ...................................... 7,225 574,839
Xerox Corp. ............................................. 7,920 624,690
----------
3,723,895
----------
TOTAL COMMON STOCKS ............................................... 26,909,262
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 577,837
----------
TOTAL LARGE CAP GROWTH .......................................... 27,487,099
----------
LARGE CAP VALUE--9.6%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.4%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.8%
Cabot Corp. ............................................. 6,300 178,763
Dow Chemical Co. ........................................ 2,100 182,962
E I du Pont de Nemours & Co.(++) ........................ 4,300 270,363
FMC Corp. ............................................... 4,200 333,638
Great Lakes Chemical Corp. .............................. 8,800 460,900
IMC Global Inc. ......................................... 4,000 140,000
Premark International Inc. .............................. 5,100 136,425
Rohm & Haas Co. ......................................... 3,400 306,213
Westvaco Corp. .......................................... 4,300 135,181
----------
2,144,445
----------
CAPITAL GOODS - 1.0%
Arrow Electronics Inc. .................................. 2,400 127,500
Caterpillar Inc. ........................................ 2,000 214,750
Cummins Engine Inc. ..................................... 12,300 867,919
Deere & Co.(++) ......................................... 2,900 159,138
Harnischfeger Industries Inc. .............................. 9,200 381,800
Kennametal Inc. ......................................... 7,100 305,300
Parker Hannifin Corp. ................................... 5,100 309,506
Tecumseh Products Co. ................................... 6,400 383,200
----------
2,749,113
----------
CONSUMER BASICS - 1.1%
Bergen Brunswig Corp. .................................... 9,575 266,903
Columbia /HCA Healthcare Corp............................. 5,600 220,150
IBP Inc. ................................................. 8,200 190,650
Mallinckrodt Inc. ........................................ 6,300 239,400
Maxicare Health Plans Inc.* .............................. 6,200 138,725
Nellcor Puritan Bennett Inc.* ............................ 15,600 282,750
Philip Morris Cos. Inc.(++) .............................. 15,100 670,062
RJR Nabisco Holdings Corp. ............................... 13,000 429,000
Tupperware Corp. ......................................... 6,200 226,300
Universal Foods Corp. .................................... 7,200 274,500
----------
2,938,440
----------
CONSUMER DURABLE GOODS - 0.9%
Dana Corp. .............................................. 5,700 216,600
Eaton Corp. ............................................. 4,200 366,713
Ford Motor Co. Del ...................................... 21,000 792,750
General Motors Corp. .................................... 7,700 428,794
Goodyear Tire and Rubber ................................ 10,100 639,456
----------
2,444,313
----------
CONSUMER NON-DURABLES - 0.5%
Russell Corp. ........................................... 6,700 198,487
Springs Industries Inc. ................................. 4,800 253,200
Talbots Inc. ............................................ 9,300 316,200
Toys "R" Us Inc. ........................................ 8,800 308,000
V F Corp. ............................................... 4,500 381,375
----------
1,457,262
----------
CONSUMER SERVICES - 0.2%
AMR Corp. Del.* ......................................... 2,800 259,000
UAL Corp.* .............................................. 3,100 221,844
----------
480,844
----------
ENERGY - 0.8%
Amoco Corp. ............................................. 3,700 321,669
Atlantic Richfield Co. .................................. 4,300 303,150
British Petroleum PLC ................................... 4,600 344,425
Mapco Inc. .............................................. 7,700 242,550
Phillips Petroleum Ce ................................... 5,200 227,500
Repsol .................................................. 6,700 284,331
Ultra Mar Diamond Shamrock .............................. 5,500 179,438
YPF Sociedad Anonima .................................... 10,100 310,575
----------
2,213,638
----------
FINANCE - 2.0%
Aegon ................................................... 2,085 146,080
Allstate Corp. .......................................... 4,800 350,400
American General Corp. .................................. 4,800 229,200
Bank of New York Inc. ................................... 6,200 269,700
Capital One Financial Corp. ............................. 7,100 268,025
Case Corp. .............................................. 9,300 640,537
Chase Manhattan Corp. ................................... 4,500 436,781
Chubb Corp.(++) ......................................... 2,900 193,937
Crestar Financial Corp. ................................. 2,900 112,738
Everest Reinsurance Holdings ............................ 8,200 324,925
Federal Home Loan Mortgage Corp. ........................ 3,100 106,563
Federal National Mortgage Association(++) ............... 4,800 209,400
First Union Corp. ....................................... 2,700 249,750
Foundation Health Systems* .............................. 9,970 302,216
Mellon Bank Corp. ....................................... 5,300 239,162
Old Republic International Corp. ........................ 7,400 224,313
Providian Corp. ......................................... 4,800 154,200
Reliastar Financial Corp. ............................... 3,800 277,875
Republic NY Corp. ....................................... 2,500 268,750
Signet Banking Corp. .................................... 5,800 208,800
Tig Holdings Inc. ....................................... 5,100 159,375
Torchmark Inc. .......................................... 900 64,125
Transatlantic Holdings Inc. ............................. 2,300 228,275
----------
5,665,127
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ............................................ 7,500 145,781
Standard Register ....................................... 3,400 104,125
----------
249,906
----------
MISCELLANEOUS - 0.4%
Aeroquip Vickers Inc. ................................... 14,100 666,225
Dillards Inc. ........................................... 6,500 225,062
Hartford Financial Services Group ....................... 2,600 215,150
----------
1,106,437
----------
SHELTER - 0.1%
Owens Corning ........................................... 6,500 280,312
---------
TECHNOLOGY - 1.0%
Beckman Industries Inc. ................................. 8,700 419,775
Compaq Computer Corp.*(++) .............................. 3,000 297,750
International Business Machines ......................... 8,200 739,537
Raytheon Co. ............................................ 4,000 204,000
Seagate Technology* ..................................... 10,600 372,987
Stratus Computer Inc.* .................................. 2,200 110,000
Tektronix Inc. .......................................... 4,800 288,000
TRW Inc. ................................................ 5,200 295,425
Western Digital Corp.* .................................. 9,800 309,925
----------
3,037,399
----------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe ............................ 2,600 233,675
CSX Corp. ............................................... 3,500 194,250
----------
427,925
----------
UTILITIES - 0.3%
Central ME Power Co. .................................... 5,000 61,875
Cinergy Corp. ........................................... 3,400 118,363
Duke Power Co. .......................................... 2,819 135,136
DTE Energy Co. .......................................... 5,600 154,700
El Paso Natural Gas Co. ................................. 3,900 214,500
Entergy Corp. ........................................... 5,800 158,775
GPU Inc. ................................................ 4,800 172,200
----------
1,015,549
----------
TOTAL COMMON STOCKS ............................................... 26,210,710
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 610,417
----------
TOTAL LARGE CAP VALUE ............................................. 26,821,127
----------
SMALL CAP GROWTH--10.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--9.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.4%
Central Packing Corp. ................................... 19,010 661,786
OM Group Inc. ........................................... 12,000 397,500
----------
1,059,286
----------
CAPITAL GOODS - 0.2%
Hardinge Bros. Inc. ..................................... 21,280 622,440
----------
CONSUMER BASICS -2.0%
Cytyc Corp.* ............................................ 24,330 659,951
General Cigar Holdings Inc.* ............................ 19,230 566,083
Human Gendme Sciences Inc.* ............................. 12,220 406,315
Occusystems Inc.* ....................................... 17,160 497,640
Parexel International Corp.* ............................ 26,760 849,630
Performance Food Group Co.* ............................. 25,350 532,350
Renal Treatment Centers Inc.* .............................. 21,140 568,138
Suiza Foods Corp.* ...................................... 18,860 773,260
Worthington Foods Inc. .................................. 26,130 640,185
----------
5,493,552
----------
CONSUMER DURABLE GOODS - 0.4%
Miller Industries Inc.* ................................. 42,700 683,200
Tower Automotive Inc. ................................... 10,300 442,900
----------
1,126,100
----------
CONSUMER NON-DURABLES - 0.4%
Henry Schein Inc.* ...................................... 17,530 547,813
Men's Wearhouse Inc.* ................................... 12,850 404,775
Wilmar Industries Inc.* ................................. 11,700 285,187
----------
1,237,775
----------
CONSUMER SERVICES - 0.5%
Premier Pks Inc.* ....................................... 16,780 618,763
Regal Cinemas Inc.* ..................................... 21,350 704,550
----------
1,323,313
----------
ENERGY - 0.6%
Dawson Production Services Inc.* ........................ 40,200 562,800
Forcenergy Inc.* ........................................ 19,230 584,111
Lomak Pete Inc. ......................................... 27,510 490,022
----------
1,636,933
----------
FINANCE - 0.3%
Allied Group Inc. ....................................... 14,660 557,080
Metris Companies Inc. ................................... 9,450 310,078
----------
867,158
----------
GENERAL BUSINESS - 2.2%
Abacus Direct Corp.* .................................... 25,280 821,600
Equity Corp. International* ............................. 29,000 701,438
Executive Risk Inc. ..................................... 10,250 533,000
Heftel Broadcasting Corp.* .............................. 13,700 756,925
Lamar Advertising Co.* .................................. 23,640 602,820
Metro Networks Inc.* .................................... 25,550 619,587
Profit Recovery Group Intl Inc.* ........................ 9,300 129,037
Registry Inc.* .......................................... 12,220 562,120
Snyder Communications Inc.* ............................. 21,560 580,773
Whittman Hart Inc.* ..................................... 28,260 794,813
----------
6,102,113
----------
MISCELLANEOUS - 1.3%
Gray Communications Systems Inc. ........................ 2,500 52,188
Integrated Living Communities Inc.*...................... 46,000 529,000
Melita International Corp.* ............................. 33,460 418,250
NFO Research Inc.* ...................................... 12,000 297,000
Pierce Leahy Corp.* ..................................... 600 10,800
Rental Service Corp. .................................... 27,940 733,425
Sirrom Cap Corp. ........................................ 14,820 511,290
Suburban Lodges America Inc.* ........................... 31,230 655,830
Synthetic Industries Inc.* .............................. 7,440 157,170
Xionics Document Technologies* .......................... 24,640 363,440
----------
3,728,393
----------
TECHNOLOGY - 1.0%
Activision Inc.* ........................................ 37,550 539,781
CDW Computer Ctrs. Inc.* ................................ 7,220 383,111
Claremont Technology Group Inc.*......................... 25,280 600,400
E Trade Group Inc.* ..................................... 23,580 462,757
Periphonics Corp.* ...................................... 26,030 559,645
Pure Atria Corp.* ....................................... 22,700 320,637
----------
2,866,331
----------
TRANSPORTATION - 0.2%
Eagle U.S.A. Airfreight Inc.* ........................... 18,590 504,254
----------
TOTAL COMMON STOCKS ............................................... 26,567,648
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.6%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 1,739,287
----------
TOTAL SMALL CAP GROWTH ............................................ 28,306,935
----------
SMALL CAP VALUE--11.0%
- --------------------------------------------------------------------------------
COMMON STOCKS--10.6%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Atchenson Casting Corp.* ................................ 6,100 101,413
Carpenter Technology Corp. .............................. 4,400 201,300
Keystone Consolidated Inds Inc.* ........................ 71,900 781,912
Oil Dri Corp. America ................................... 35,000 562,188
----------
1,646,813
----------
CAPITAL GOODS - 1.8%
American Buildings Co.* ................................. 18,500 499,500
Astec Industries Inc.* .................................. 2,800 34,825
Astro Medical Inc. ...................................... 3,300 29,081
Cognex Corp.* ........................................... 25,000 662,500
Commercial Intertech Corp. .............................. 37,100 517,081
D.R. Horton Inc.* ....................................... 78,800 817,550
Esco Electronics Corp. .................................. 66,000 833,250
Global Industries
Technologies Inc.* .................................... 13,800 282,900
JLG Industries Inc. ..................................... 41,000 558,625
United Industrial Corp. ................................. 100,200 895,537
----------
5,130,849
----------
CONSUMER BASICS - 1.6%
Ekco Group Inc.* ........................................ 160,300 931,744
Matrix Pharmaceuticals* ................................. 67,800 453,412
MMI Cosmetics Inc. ...................................... 23,400 611,325
Nash Finch Co. .......................................... 10,300 227,888
RLI Corp. ............................................... 12,400 451,825
Schultz Sav O Stores Inc. ............................... 17,000 301,750
Schweitzer Mauduit Intl Inc. ............................ 15,000 562,500
Standard Commercial Corp. ............................... 31,310 544,011
Stanhome Inc. ........................................... 14,000 460,250
----------
4,544,705
----------
CONSUMER DURABLE GOODS - 0.8%
Coachmen Industries Inc. ................................ 29,000 496,625
Flexsteel Industries Inc. ............................... 21,300 250,275
Haskel International Inc. ............................... 24,600 295,200
Oshkosh Truck Corp. ..................................... 37,900 540,075
West Inc. ............................................... 21,700 621,163
----------
2,203,338
----------
CONSUMER NON-DURABLES - 0.4%
Cato Corp. .............................................. 25,700 139,744
Haverty Furniture Cos. Inc. ............................. 4,500 56,250
Little Switzerland Inc.* ................................ 80,000 480,000
Syms Corp.* ............................................. 38,500 382,594
----------
1,058,588
----------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ............................................ 87,200 615,850
Cannondale Corp.* ....................................... 16,000 284,000
----------
899,850
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* ................................... 400 26,800
----------
FINANCE - 2.1%
Allied Life Finl Corp. .................................. 20,300 400,925
APS Holdings Corp.* ..................................... 10,500 91,875
Bank Plus Corp.* ........................................ 21,000 228,375
BankAtlantic Bancorp Inc. ............................... 16,000 226,000
BankAtlantic Bancorp Inc.
Class A ............................................... 23,625 330,750
Chartwell Re. Corp. ..................................... 3,500 105,000
Downey Financial Corp. .................................. 22,837 539,524
Everen Capital Corp. .................................... 300 9,356
FBL Financial Group Inc. ................................ 9,200 347,300
Farm Family Holdings Inc.* .............................. 19,100 532,413
Financial Securities
Assurance Holdings Ltd. ............................... 12,300 478,931
Flagstar Bancorp Inc. ................................... 36,000 585,000
GA Financial Inc. ....................................... 18,800 357,200
Guaranty National Corp. ................................. 24,000 576,000
Harleysville Group Inc. ................................. 1,600 60,600
Homeside Inc.* .......................................... 26,000 568,750
Matrix Capital Corp. .................................... 300 4,200
Ocwen Asset Investment Corp. ............................ 6,500 131,625
Presidential Life Corp. ................................. 7,800 151,125
Redfed Bancorp Inc.* .................................... 9,500 155,562
----------
5,880,511
----------
GENERAL BUSINESS - 0.3%
Devon Group Inc.* ....................................... 6,100 218,075
Ennis Business Forms Inc. ............................... 64,000 616,000
----------
834,075
----------
MISCELLANEOUS - 0.6%
Commonwealth Industries Inc. ............................ 100 2,037
Durco International Inc. ................................ 29,000 848,250
Spacehab Inc.* .......................................... 23,700 210,338
Spectralink Corp. ....................................... 25,700 144,562
Symons International Group Inc.* ........................ 13,700 208,925
Wilshire Financial Svcs. Group Inc. ..................... 6,500 105,625
----------
1,519,737
----------
SHELTER - 1.4%
Ameron International Corp. .............................. 7,800 441,675
Beazer Homes USA Inc.* .................................. 42,000 672,000
Belmont Homes Inc.* ..................................... 26,400 181,500
Butler Mfg. Co. Del ..................................... 8,200 271,625
Morgan Products Ltd.* ................................... 94,500 708,750
Patrick Industries Inc. ................................. 28,300 466,950
Ryland Group Inc. ....................................... 50,000 706,250
Southern Energy Homes Inc.* ............................. 14,200 129,575
US Homes Corp.* ......................................... 16,700 443,594
----------
4,021,919
----------
TECHNOLOGY - 0.4%
Advanced Logic Research Inc.* ........................... 19,500 298,594
Analysis & Technology Inc. .............................. 4,400 69,988
Mapinfo Corp.* .......................................... 9,200 89,700
Premenos Technology Corp.* .............................. 7,600 64,600
Symantec Corp.* ......................................... 25,200 491,400
----------
1,014,282
----------
TRANSPORTATION - 0.3%
Fritz Companies Inc.* ................................... 52,800 511,500
Kenan Transportation Co. ................................ 17,000 335,750
----------
847,250
----------
TOTAL COMMON STOCK ................................................ 29,628,717
----------
- --------------------------------------------------------------------------------
FIXED INCOME--0.0%
- --------------------------------------------------------------------------------
BankAtlantic Bancorp Inc.
6.75% due 7/01/06 ...................................... $ 30,000 42,450
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.4%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 1,083,414
----------
TOTAL SMALL CAP VALUE ............................................. 30,754,581
----------
INTERNATIONAL EQUITY--13.3%
- --------------------------------------------------------------------------------
COMMON STOCKS--12.8%
- --------------------------------------------------------------------------------
AUSTRIA - 0.2%
Bohler Uddeholm ......................................... 5,528 428,681
----------
AUSTRALIA - 0.6%
Australia & New Zealand Bank Group ...................... 100,072 748,731
Pioneer International Ltd. .............................. 119,000 460,463
Quantas Airways ......................................... 153,710 360,116
----------
1,569,310
----------
CANADA - 0.6%
Bank N S Halifax ........................................ 10,523 461,017
Canadian Imperial Bank Toronto .......................... 14,730 371,197
Imasco Ltd. ............................................. 18,350 531,518
Noranda Inc. ............................................ 16,395 353,200
----------
1,716,932
----------
FINLAND - 0.3%
Rauma Oy ................................................ 7,191 164,793
UPM Kymmene Oy .......................................... 25,375 586,394
----------
751,187
----------
FRANCE - 0.8%
Elf Aquitaine ........................................... 3,000 323,651
Lafarge ................................................. 8,875 551,979
Pernod Ricard ........................................... 8,950 461,458
Seita ................................................... 12,330 390,250
Usinor Sacilor .......................................... 30,700 553,746
----------
2,281,084
----------
GERMANY - 0.3%
Buderus AG .............................................. 375 206,410
Commerzbank AG .......................................... 20,000 566,481
----------
772,891
----------
GREAT BRITAIN - 3.0%
Abbey National .......................................... 44,360 605,757
Allied Domecq PLC ....................................... 78,900 567,615
Bat Industries .......................................... 64,056 573,365
British Gas ............................................. 34,500 126,396
BTR ..................................................... 182,663 625,108
Coats Viyella ........................................... 295,136 619,278
Commercial Union ........................................ 41,700 438,533
Energy Group ............................................ 30,625 326,909
Hanson .................................................. 99,261 492,592
Harrison & Crosfield .................................... 217,508 398,438
Hillsdown Holdings ...................................... 115,683 326,537
Hyder ................................................... 38,224 515,601
Lex Service ............................................. 70,000 440,056
National Westminster .................................... 3,746 50,374
Powergen ................................................ 45,502 541,030
Redland ................................................. 91,443 517,752
Safeway ................................................. 108,950 630,485
Tate & Lyle ............................................. 67,100 498,927
----------
8,294,753
----------
HONG KONG - 1.0%
China Light & Power ..................................... 48,500 274,825
Dickson Concept Industries .............................. 82,000 298,478
Hang Lung Development Co. ............................... 143,000 262,104
Hong Kong Telecomm ...................................... 158,200 377,770
HSBC Holdings ........................................... 13,600 409,020
Manhattan Card Co. ...................................... 959,000 436,342
New World Development Co. ............................... 52,000 310,095
Sth China Morn Post ..................................... 306,000 300,182
----------
2,668,816
----------
IRELAND - 0.2%
Smurfit ................................................. 212,400 617,421
----------
ITALY - 0.3%
Danieli & C ............................................. 32,000 112,028
Eni Spa ................................................. 102,500 580,478
----------
692,506
----------
JAPAN - 1.9%
Koito Mfg. Co. .......................................... 64,000 489,129
MOS Food Services ....................................... 35,200 651,056
Nichicon Corp. .......................................... 51,000 689,670
Nintendo Co. ............................................ 6,300 527,657
Promise Co. ............................................. 12,200 698,238
Sekisui Chemical ........................................ 55,500 561,682
Sony Corp. .............................................. 4,900 427,072
Suzuki Motor Corp. ...................................... 61,000 771,680
Yodogawa Steelworks ..................................... 83,000 506,892
----------
5,323,076
----------
MALAYSIA - 0.3%
Arab Malaysian Finance .................................. 180,000 381,537
Bolton Properties ....................................... 180,000 256,735
Kedah Cement Holdings ................................... 88,000 137,369
Malaysian International
Shipping .............................................. 78,000 202,417
----------
978,058
----------
NETHERLANDS - 1.0%
ABN Amro Holdings NV .................................... 33,130 617,738
Akzo Nobel NV ........................................... 4,409 604,219
Hollandsche Beton ....................................... 2,150 490,374
Ing Group NV ............................................ 14,250 657,000
Kon PTT Nederland ....................................... 12,521 491,170
----------
2,860,501
----------
NEW ZEALAND - 0.1%
Fletcher Challenge(Building) ............................ 92,050 276,986
Fletcher Challenge (Paper) .............................. 3,682 5,252
----------
282,238
----------
NORWAY - 0.3%
Kvaerner ASA ............................................ 7,652 463,033
Nycomed ................................................. 32,850 470,618
----------
933,651
----------
SPAIN - 0.5%
Banco Santander SA ...................................... 25,410 782,907
Repsol SA ............................................... 13,400 566,556
----------
1,349,463
----------
SWEDEN - 0.2%
Electrolux AB ........................................... 4,450 321,001
Marieberg Tidnings ...................................... 12,500 310,258
----------
631,259
----------
SWITZERLAND - 1.0%
Forbo Hldg .............................................. 1,030 444,452
Nestle SA ............................................... 425 560,651
Schw Ruckversicher ...................................... 593 838,729
Sig Schw Ind HG AG ...................................... 165 500,086
Sulzer AG ............................................... 671 574,486
----------
2,918,404
----------
UNITED STATES - 0.2%
Jardine Matheson ........................................ 90,100 639,710
----------
TOTAL COMMON STOCKS ............................................... 35,709,941
----------
- --------------------------------------------------------------------------------
WARRANTS--0.0%
- --------------------------------------------------------------------------------
Bolton Properties Sub. Ord
Exp. 9/15/01* .......................................... 5,750 2,802
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.5%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 1,388,834
----------
TOTAL INTERNATIONAL EQUITY ........................................ 37,101,577
----------
DOMESTIC FIXED INCOME--24.2%
- --------------------------------------------------------------------------------
FIXED INCOME--23.5%
- --------------------------------------------------------------------------------
CORPORATE BONDS - 1.3%
Aetna Services Inc.
6.97% due 8/15/36 ...................................... 330,000 333,260
Commonwealth Edison Co.
7.00% due 7/05/01 ...................................... 1,155,000 1,140,539
Detroit Edison Co.
6.69% due 3/03/17 ...................................... 600,000 588,216
Jackson National Life
Insurance Co.
8.15% due 3/15/27 ..................................... 1,050,000 1,072,061
Mead Corp.
6.84% due 3/01/37 ...................................... 600,000 597,954
----------
3,732,030
----------
FOREIGN BONDS - 0.2%
Enersis SA
6.90% due 12/01/06 ..................................... 600,000 582,768
----------
ASSET BACKED - 4.2%
Atlantic City Electric Co.
7.01% due 8/02/23 ...................................... 840,000 843,410
CWMBS Inc.
7.75% due 3/01/27 ...................................... 800,000 813,250
Federal Home Loan Mortgage
Corp. 6.00% due 3/15/09 ................................ 647,367 598,713
Federal Home Loan Mortgage
Corp. 6.50% due 9/15/22 ................................ 1,624,757 1,591,238
Federal Home Loan Mortgage Corp.
7.75% due 1/15/20 ...................................... 567,896 571,001
Federal National Mortgage Association
7.35% due 8/17/21 ...................................... 1,100,690 1,118,576
Federal National Mortgage Association
6.50% due 8/25/22 ...................................... 900,000 837,844
G.E. Capital Mortgage Services Inc.
7.75% due 3/25/27 ...................................... 498,629 499,019
GMAC Commercial Mortgage
Sec. Inc. 7.22% due 2/15/06 ............................ 300,000 303,281
Government National Mortgage
Association
7.25% due 10/16/22 ..................................... 595,658 597,147
GreenTree Financial Corp.
7.65% due 4/15/27 ...................................... 1,700,000 1,698,929
GreenTree Financial Corp.
7.29% due 3/15/28 ...................................... 600,000 588,750
Merrill Lynch Mortgage Investors Inc.
6.95% due 6/18/29 ...................................... 900,000 905,625
Norwest Asset Securities Corp.
7.50% due 3/15/27 ...................................... 698,077 698,513
----------
11,665,296
----------
MORTGAGE BACKED - 1.6%
Federal Home Loan Mortgage Corp.
5.50% due 5/31/98 ...................................... 1,550,000 1,531,594
8.00% due 12/01/99 ..................................... 227,338 232,595
7.00% due 6/01/03 ...................................... 175,958 176,560
7.00% due 7/01/03 ...................................... 667,017 669,098
6.50% due 2/01/11 ...................................... 94,653 92,937
6.50% due 4/01/11 ...................................... 282,528 277,406
6.50% due 5/01/11 ...................................... 280,417 275,246
6.50% due 7/01/11 ...................................... 209,345 205,550
6.50% due 7/01/11 ...................................... 147,221 144,506
8.00% due 5/01/26 ...................................... 658,443 673,666
8.00% due 6/01/26 ...................................... 116,881 119,583
----------
4,398,741
----------
U. S. TREASURY OBLIGATIONS - 16.2%
United States Treasury Bond
6.875% due 8/15/25 ..................................... 570,000 572,138
----------
United States Treasury Notes
6.00% due 5/31/98 ......................................12,762,000 12,785,865
6.375% due 5/15/99 ..................................... 6,765,000 6,798,825
5.875% due 11/15/99 .................................... 1,908,000 1,895,770
6.50% due 5/31/01 ......................................12,245,000 12,311,980
6.25% due 1/31/02 ...................................... 2,946,000 2,929,885
6.50% due 5/31/02 ...................................... 1,689,000 1,695,857
6.875% due 5/15/06 ..................................... 5,570,000 5,685,745
6.50% due 10/15/06 ..................................... 700,000 697,046
----------
44,800,973
----------
TOTAL FIXED INCOME ................................................ 65,751,946
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.7%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 1,891,286
United States Treasury Bill
5.18% due 12/11/97 ............................................... 63,476
----------
1,954,762
----------
TOTAL DOMESTIC FIXED INCOME ....................................... 67,706,708
----------
INTERNATIONAL BOND--30.5%
- --------------------------------------------------------------------------------
FIXED INCOME--18.3%
- --------------------------------------------------------------------------------
CURRENCY
--------
ARGENTINA - 0.3%
Republic of Argentina Bocon
3.242% due 4/01/01 ............................ ARS 849,492 778,985
-----------
AUSTRALIA - 1.5%
Australia Commonwealth
13.00% due 7/15/00 ............................ AUD 3,670,000 3,310,183
9.50% due 8/15/03 ............................ AUD 1,020,000 878,393
10.00% due 2/15/06 ............................ AUD 100,000 90,062
-----------
4,278,638
-----------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 .......................... ATS 3,670,000 338,765
-----------
BELGIUM - 0.1%
Belgium (Kingdom)
9.00% due 3/28/03 ............................. BF 300,000 10,014
8.50% due 10/01/07 ............................ BF 3,800,000 127,603
-----------
137,617
-----------
CANADA - 1.8%
Canadian Government
8.50% due 3/01/00 ............................. CAD 4,245,000 3,324,653
9.00% due 12/01/04 ............................ CAD 2,110,000 1,784,963
-----------
5,109,616
-----------
CROATIA - 0.2%
Republic of Croatia
6.50% due 7/30/10 ............................. USD 520,000 505,050
-----------
DENMARK - 0.3%
Denmark (Kingdom)
8.00% due 5/15/03 ............................. DKK 3,950,000 673,295
8.00% due 3/15/06 ............................. DKK 2,110,000 357,625
-----------
1,030,920
-----------
FINLAND - 1.9%
Finland (Rep of)
9.50% due 3/15/04 ............................. FIM 1,000,000 233,910
7.25% due 4/18/06 ............................. FIM22,000,000 4,593,489
8.25% due 10/15/10 ............................ FIM 2,000,000 446,940
-----------
5,274,339
-----------
FRANCE - 0.4%
Government of France
8.25% due 2/27/04 ............................. FRF 900,000 180,224
7.75% due 10/25/05 ............................ FRF 4,300,000 846,946
-----------
1,027,170
-----------
GERMANY - 1.4%
Germany (Fed) Rep
6.375% due 5/20/98 ............................ DEM 830,000 489,025
7.125% due 12/20/02 ........................... DEM 3,280,000 2,085,802
7.375% due 1/03/05 ............................ DEM 520,000 335,029
Treuhandanstalt
6.875% due 6/11/03 ............................ DEM 1,980,000 1,244,468
-----------
4,154,324
-----------
GREAT BRITAIN - 1.8%
Treasury
8.00% due 12/07/00 ............................ GBP 300,000 513,017
6.75% due 11/26/04 ............................ GBP 30,000 49,241
8.50% due 12/07/05 ............................ GBP 2,400,000 4,351,432
-----------
4,913,690
-----------
GREECE - 0.2%
Hellenic Republic
11.10% due 6/17/03 ............................ GRD 21,000,000 78,787
Republic of Greece
14.00% due 10/23/03 ........................... GRD 94,600,000 357,845
-----------
436,632
-----------
ITALY - 1.2%
Republic of Italy
9.50% due 1/01/05 .............................. ITL4,910,000,000 3,328,089
-----------
JAPAN - 3.5%
Japan
6.40% due 3/20/00 .............................. JPY 382,300,000 3,800,653
5.50% due 3/20/02 .............................. JPY 328,000,000 3,346,962
4.50% due 6/20/03 .............................. JPY 170,000,000 1,687,245
4.10% due 12/22/03 ............................. JPY 106,800,000 1,041,538
-----------
9,876,398
-----------
NETHERLANDS - 0.1%
Dutch Government
8.25% due 2/15/07 .............................. NLG 200,000 121,809
-----------
NEW ZEALAND - 0.5%
New Zealand Government
8.00% due 4/15/04 .............................. NED 1,580,000 1,134,082
10.00% due 3/15/02 ............................. NED 340,000 260,277
-----------
1,394,359
-----------
PHILIPPINES - 0.2%
Eurobank Recon & Development
9.00% due 4/22/98 ............................. PHP 10,000,000 376,289
International Bank Recon
10.25% due 4/11/02 ............................ PHP 6,000,000 228,475
-----------
604,764
-----------
SOUTH AFRICA - 0.2%
Republic of South Africa
14.00% due 8/15/97 ............................ ZAR 2,630,000 578,130
-----------
SPAIN - 0.5%
Government of Spain
10.90% due 8/30/03 ............................ ESP 114,700,000 978,472
10.00% due 2/28/05 ............................ ESP 56,100,000 469,626
-----------
1,448,098
-----------
SWEDEN - 2.1%
Sweden (Kingdom)
11.00% due 1/21/99 ............................. SEK 7,600,000 1,072,675
10.25% due 5/05/00 ............................. SEK 30,400,000 4,445,659
13.00% due 6/15/01 ............................. SEK 2,300,000 374,931
-----------
5,893,265
-----------
TOTAL FIXED INCOME ............................................... 51,230,658
-----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--11.5%
- --------------------------------------------------------------------------------
Alberta Province
5.50% due 7/11/97 .............................. $2,500,000 2,496,181
Ameritech Corp.
5.54% due 8/28/97 .............................. $2,500,000 2,477,686
Bayerische Landesbank
11.50% due 10/09/97 ............................ CZK 14,000,000 428,580
BellSouth Telecomm Inc.
5.51% due 7/28/97 .............................. $2,300,000 2,290,495
Caisse D. Amortissement
5.55% due 8/05/97 .............................. $2,500,000 2,486,510
Canadian Treasury Bill
due 4/02/98 .................................... CAD 1,560,000 1,098,592
Florida Power & Light Co.
5.53% due 7/23/97 .............................. $1,000,000 996,621
Hong Kong Shanghai Bank
due 8/13/97 .................................... IDR 900,000,000 364,973
IBM International Finance
5.53% due 7/07/97 .............................. $1,900,000 1,898,249
KFW International Finance
5.53% due 8/22/97 .............................. $1,500,000 1,488,018
Kingdom of Sweden
5.54% due 7/11/97 .............................. $1,100,000 1,098,307
Letras Del Tesoro
due 3/20/98 .................................... ARS 160,000 152,776
Mexican Cetes
due 7/24/97 .................................... MEX 1,030,000 127,892
Mexican Cetes
due 7/31/97 .................................... MEX 1,060,000 131,078
Mexican Cetes
due 10/02/97 ................................... MEX 1,080,000 128,825
Mexican Cetes
due 10/30/97 ................................... MEX 1,210,000 142,048
Minnesota Mining &
Manufacturing Co.
5.51% due 8/12/97 .............................. $2,500,000 2,483,929
Mobil Australia Finance Co.
5.53% due 8/20/97 .............................. $2,500,000 2,480,799
National Rural Utilities
5.54% due 9/05/97 .............................. $1,200,000 1,187,073
New Center Asset Trust
5.62% due 7/09/97 .............................. $2,000,000 1,997,502
Ontario Hydro
5.62% due 7/03/97 .............................. $2,000,000 1,999,376
Poland Treasury Bill
due 10/22/97 ................................... PLN 100,000 28,538
Poland Treasury Bill
due 12/03/97 ................................... PLN 1,140,000 317,702
Poland Treasury Bill
due 4/22/98 .................................... PLN 1,270,000 328,581
Poland Treasury Bill
due 5/13/98 .................................... PLN 720,000 184,245
Poland Treasury Bill
due 6/26/98 .................................... PLN 1,300,000 325,577
Republic of Finland
3.49% due 3/13/98 .............................. FIM 3,000,000 564,441
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ........................... 304,514
Shell Oil Co.
5.49% due 7/07/97 .............................. $2,200,000 2,197,987
United States Treasury Bills
4.95% due 10/02/97 ............................. 9,853
5.01% due 10/02/97 ............................. 24,632
-----------
32,241,580
-----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.7%
- --------------------------------------------------------------------------------
PURCHASED CALLS
CAD 3,000,000 Canadian Government Bonds
@ 94.6 exp. date 7/16/97 ............................... 210,811
CAD 2,395,000 Canadian Government Bonds
@ 93.7 exp. date 7/24/97 ............................... 181,635
JPY 85,000,000 Japanese Government Bonds
@105.6 exp. date 7/16/97 ............................... 61,447
JPY 72,000,000 Japanese Government Bonds
@ 91.708 exp. date 8/22/97 ............................. 138,233
JPY 70,000,000 Japanese Government Bonds
@ 100.769 exp. date 9/16/97 ............................ 98,526
JPY 150,000,000 Japanese Government Bonds
@ 102.586 exp. date 9/16/97 ............................ 131,480
JPY 905,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 ............................. 1,184,585
-----------
TOTAL INTERNATIONAL BOND OPTIONS ........................ 2,006,717
-----------
TOTAL INTERNATIONAL BOND ................................ 85,478,955
-----------
SHORT-TERM--3.9%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.9%
- --------------------------------------------------------------------------------
Deutsche Bank
5.76% due 2/03/98 ..................................... 500,135
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ................................... 8,871,411
United States Treasury Bills
5.402% due 7/24/97 ..................................... 996,548
5.39% due 9/18/97 ...................................... 494,437
-----------
TOTAL SHORT TERM ........................................ 10,862,531
-----------
TOTAL INVESTMENTS
(Identified Cost $291,475,959)....................112.4% 314,519,513
OTHER ASSETS, LESS LIABILITIES ................... (12.4) (34,750,682)
----- ------------
TOTAL NET ASSETS ........................... 100.0% $279,768,831
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Shearson Lehman Repurchase Agreements 5.85%
due 7/01/97 valued at $16,467,000, collateralized by $10,000,000 Federal
Home Loan Mortgage 7.00% due 3/16/98 and $6,450,000 Federal Home Loan
Mortgage 6.92% due 11/7/00, portions of which are listed separately by
each Asset Class.
(++) The Portfolio owns in aggregate 14,170 shares of Deere & Co., valued at
$777,579, 33,630 shares of Philip Morris Cos. Inc. valued at $1,492,331,
8,980 shares of Chubb Corp. valued at $600,537, 13,795 shares in
E I du Pont de Nemours & Co. valued at $867,361, 11,230 shares of
Federal National Mortgage Association, valued at $489,909, and 5,425
shares of Compaq Computer Corp. valued at 538,431.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
================================================================================
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
---------------- ------------------ ----------------- ------------------
<S> <C> <C> <C>
U.S. Treasury 5-Year Note (Sell) (25) September 1997 $ (9,766)
U.S. Treasury 5 Year Note (Buy) 12 September 1997 (1,313)
U.S. Treasury 10-Year Note (Buy) 12 September 1997 (9,375)
French 10-Year Bond (Buy) 5 September 1997 1,184
--------
$(19,270)
========
</TABLE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------------------ -------------- ------------- ------------------- -------------------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) .............. Germany $ 2,069,456 $ 2,133,029 July 1997 $ (63,573)
Deutsche Mark (Sell) ............. Germany 2,933,747 2,965,731 July 1997 31,984
Deutsche Mark (Sell) ............. Germany 133,066 137,296 August 1997 4,230
Deutsche Mark (Buy) .............. Germany 11,455,411 11,598,901 September 1997 (143,490)
Deutsche Mark (Sell) ............. Germany 115,039 115,465 October 1997 426
Dollar (Buy) ..................... Australia 699,164 717,800 July 1997 (18,636)
Dollar (Buy) ..................... Canada 1,868,994 1,861,236 July 1997 7,758
Dollar (Sell) .................... Canada 2,022,671 2,016,548 July 1997 (6,123)
Dollar (Buy) ..................... Canada 312,113 312,176 September 1997 (63)
Dollar (Sell) .................... Canada 3,377,023 3,392,344 September 1997 15,321
Dollar (Buy) ..................... Canada 660,215 672,043 March 1998 (11,828)
Dollar (Sell) .................... Canada 41,082 41,701 March 1998 619
Dollar (Sell) .................... New Zealand 842,412 860,147 August 1997 17,735
Dollar (Sell) .................... New Zealand 555,898 563,582 September 1997 7,684
Drachma (Buy) .................... Greece 41,852 42,176 July 1997 (324)
Ecu (Sell) ....................... Europe 522,735 538,696 July 1997 15,961
Franc (Buy) ...................... Belgium 862,894 883,529 July 1997 (20,635)
Franc (Buy) ...................... Belgium 869,766 881,517 September 1997 (11,751)
Franc (Buy) ...................... France 3,976,712 4,075,798 July 1997 (99,086)
Franc (Sell) ..................... France 28,110 29,055 July 1997 945
Franc (Buy) ...................... France 389,233 393,111 August 1997 (3,878)
Franc (Sell) ..................... France 9,134 9,451 August 1997 317
Franc (Buy) ...................... France 130,003 131,349 September 1997 (1,346)
Franc (Sell) ..................... France 16,441 16,485 October 1997 44
Franc (Sell) ..................... Switzerland 782,833 783,212 July 1997 379
Franc (Sell) ..................... Switzerland 1,139,097 1,179,835 August 1997 40,738
Franc (Sell) ..................... Switzerland 5,225,299 5,310,225 September 1997 84,926
Franc (Sell) ..................... Switzerland 16,444 16,567 October 1997 123
Guilder (Buy) .................... Netherlands 1,574,631 1,605,965 July 1997 (31,334)
Guilder (Buy) .................... Netherlands 723,315 734,702 September 1997 (11,387)
Koruna (Buy) ..................... Czechoslvakia 55,942 56,209 August 1997 (267)
Krone (Buy) ...................... Denmark 209,527 212,864 July 1997 (3,337)
Krone (Buy) ...................... Denmark 146,404 150,782 August 1997 (4,378)
Krone (Sell) ..................... Denmark 170,855 175,478 August 1997 4,623
Krone (Buy) ...................... Sweden 1,118,752 1,115,812 July 1997 2,940
Krone (Sell) ..................... Sweden 1,118,752 1,128,563 July 1997 9,811
Krone (Buy) ...................... Sweden 1,129,743 1,133,037 August 1997 (3,294)
Lira (Buy) ....................... Italy 4,906,431 4,890,845 July 1997 15,586
Markka (Sell) .................... Finland 4,430,461 4,513,129 July 1997 82,668
Markka (Sell) .................... Finland 653,174 655,604 August 1997 2,430
Markka (Sell) .................... Finland 463,951 $ 466,334 September 1997 $ 2,383
Peseta (Buy) ..................... Spain 1,896,183 1,916,813 July 1997 (20,630)
Peseta (Sell) .................... Spain 125,766 127,602 July 1997 1,836
Peseta (Buy) ..................... Spain 399,377 403,221 August 1997 (3,844)
Peseta (Buy) ..................... Spain 2,306,213 2,336,531 September 1997 (30,318)
Peseta (Sell) .................... Spain 1,972,690 2,000,000 September 1997 27,310
Peso (Buy) ....................... Chile 150,846 149,524 July 1997 1,322
Peso (Buy) ....................... Philippines 36,644 36,637 July 1997 7
Pound (Buy) ...................... Great Britain 4,443,268 4,349,919 July 1997 93,349
Pound (Sell) ..................... Great Britain 58,048 56,771 July 1997 (1,277)
Pound (Sell) ..................... Great Britain 195,439 191,624 August 1997 (3,815)
Pound (Buy) ...................... Great Britain 381,790 377,263 October 1997 4,527
Pound (Sell) ..................... Great Britain 32,747 32,684 October 1997 (63)
Pound (Buy) ...................... Ireland 307,288 302,480 July 1997 4,808
Rand (Buy) ....................... South Africa 45,721 46,008 August 1997 (287)
Ringgit (Buy) .................... Malasia 118,755 118,840 July 1997 (85)
Rupiah (Buy) ..................... Indonesia 238,780 236,486 July 1997 2,294
Rupiah (Sell) .................... Indonesia 238,780 238,425 July 1997 (355)
Rupiah (Buy) ..................... Indonesia 141,429 140,251 August 1997 1,178
Schilling (Buy) .................. Austria 414,874 418,770 September 1997 (3,896)
Won (Buy) ........................ South Korea 241,977 238,911 July 1997 3,066
Yen (Sell) ....................... Japan 1,463,787 1,431,451 July 1997 (32,336)
Yen (Buy) ........................ Japan 8,620,032 7,903,680 July 1997 716,352
Yen (Buy) ........................ Japan 6,423,547 5,891,854 August 1997 531,693
Zloty (Buy) ...................... Poland 325,418 327,719 July 1997 (2,301)
-----------
$ 1,203,436
===========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
- -------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- -------------------------------------------------------------------------------
LARGE CAP GROWTH--8.3%
- -------------------------------------------------------------------------------
COMMON STOCKS--8.1%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
E I du Pont de Nemours & Co.(++) ............ 10,765 $ 676,849
Illinois Tool Works ......................... 11,865 592,508
Kimberly Clark Corp. ........................ 7,045 350,489
Nucor Corp. ................................. 5,180 292,670
Praxair ..................................... 8,865 496,440
------------
2,408,956
------------
CAPITAL GOODS - 0.8%
Applied Materials* .......................... 4,650 329,278
Deere & Co.(++) ............................. 12,890 707,339
Emerson Electric Co. ........................ 7,860 432,791
General Electric Co. ........................ 21,860 1,429,098
Ucar Int'l Inc.* ............................ 5,590 255,743
------------
3,154,249
------------
CONSUMER BASICS -2.9%
Abbott Labs ................................. 11,470 765,623
Clorox Co. .................................. 3,800 501,600
Coca Cola Co. ............................... 18,215 1,229,513
Colgate Palmolive Co. ....................... 14,200 926,550
Gillette Co. ................................ 8,075 765,106
Health Management Association* .............. 15,665 446,453
Johnson & Johnson ........................... 11,805 759,947
Lilly Eli & Co. ............................. 4,955 541,643
Merck & Co. ................................. 5,695 589,433
PepsiCo ..................................... 21,225 797,264
Pfizer Inc. ................................. 6,110 730,145
Philip Morris Cos. Inc.(++) ................. 21,535 955,616
Proctor & Gamble ............................ 4,865 687,181
Schering Plough Corp. ....................... 11,510 551,041
Warner Lambert Co. .......................... 5,800 720,650
------------
10,967,765
------------
CONSUMER DURABLE GOODS - 0.2%
Leggett & Platt Inc. ........................ 6,900 296,700
Sherwin Williams Co. ........................ 12,630 389,951
--------
686,651
------------
CONSUMER NON-DURABLES - 0.7%
Consolidated Stores* ........................ 16,954 589,143
Gap Inc. .................................... 8,155 317,026
Home Depot .................................. 4,865 335,381
Kohls Corp. ................................. 10,480 554,785
Walgreen Co. ................................ 13,360 716,430
------------
2,512,765
------------
CONSUMER SERVICES - 0.2%
Carnival Corp. .............................. 11,855 489,019
Walt Disney Co. ............................. 5,340 428,535
------------
917,554
------------
FINANCE - 0.8%
American International Group Inc. ........... 3,858 576,289
Chubb Corp.(++) ............................. 6,935 463,778
Federal National Mortgage Association(++) ... 7,375 321,734
Norwest Corp. ............................... 5,750 323,438
State Street Boston Corp. ................... 8,145 376,706
Travelers Group Inc. ........................ 10,600 668,463
Zions Bancorp ............................... 11,450 430,806
------------
3,161,214
------------
GENERAL BUSINESS - 0.8%
Automated Data Processing Inc. .............. 12,400 582,800
First Data Corp. ............................ 10,030 484,631
Gannett Inc. ................................ 8,680 857,150
Interpublic Group Cos. Inc. ................. 7,810 478,851
Service Corp. International ................. 12,685 417,019
------------
2,820,451
------------
TECHNOLOGY - 1.1%
Compaq Computer Corp.*(++) .................. 2,795 277,404
Hewlett Packard Co. ......................... 6,315 353,640
Intel Corp. ................................. 4,935 699,845
Microsoft Corp.* ............................ 9,980 1,261,223
Motorola Inc. ............................... 4,170 316,920
Perkin Elmer Corp. .......................... 8,390 667,529
Xerox Corp. ................................. 9,085 716,579
------------
4,293,140
------------
TOTAL COMMON STOCKS ..................................... 30,922,745
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ................................... 753,422
------------
TOTAL LARGE CAP GROWTH .................................. 31,676,167
------------
LARGE CAP VALUE--8.2%
- -------------------------------------------------------------------------------
COMMON STOCKS--8.0%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.7%
Cabot Corp. ................................. 7,500 212,813
Dow Chemical Co. ............................ 2,400 209,100
E I du Pont de Nemours & Co.(++) ............ 5,000 314,375
FMC Corp.* .................................. 5,000 397,188
Great Lakes Chemical Corp. .................. 10,300 539,463
IMC Global Inc. ............................. 4,700 164,500
Premark International Inc. .................. 6,100 163,175
Rohm & Haas Co. ............................. 3,900 351,244
Westvaco Corp. .............................. 5,300 166,619
------------
2,518,477
------------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc. ...................... 2,800 148,750
Caterpillar Inc. ............................ 2,400 257,700
Cummins Engine Inc. ......................... 14,400 1,016,100
Deere & Co.(++) ............................. 3,400 186,575
Harnischfeger Industries Inc. ............... 10,800 448,200
Kennametal Inc. ............................. 8,400 361,200
Parker Hannifin Corp. ....................... 6,000 364,125
Tecumseh Products Co. ....................... 7,600 455,050
------------
3,237,700
------------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. ....................... 11,325 315,684
Columbia/HCA Healthcare Corp. .............. 6,500 255,531
IBP Inc. .................................... 9,700 225,525
Mallinckrodt Inc. ........................... 7,500 285,000
Maxicare Health Plans Inc.* ................. 7,300 163,338
Nellcor Puritan Bennett Inc.* ............... 18,300 331,688
Philip Morris Cos. Inc.(++) ................. 17,800 789,875
RJR Nabisco Holdings Corp. .................. 15,300 504,900
Tupperware Corp. ............................ 7,500 273,750
Universal Foods Corp. ....................... 8,500 324,063
------------
3,469,354
------------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. .................................. 6,700 254,600
Eaton Corp. ................................. 4,900 427,831
Ford Motor Co. Del. .......................... 24,700 932,425
General Motors Corp. ........................ 9,100 506,756
Goodyear Tire and Rubber .................... 11,900 753,419
------------
2,875,031
------------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. ............................... 7,900 234,038
Springs Industries Inc. ..................... 5,600 295,400
Talbots Inc. ................................ 10,800 367,200
Toys "R" Us Inc.* ........................... 10,300 360,500
V F Corp. ................................... 5,300 449,175
------------
1,706,313
------------
CONSUMER SERVICES - 0.2%
AMR Corp. Del.* ............................. 3,300 305,250
UAL Corp.* .................................. 3,600 257,625
------------
562,875
------------
ENERGY - 0.7%
Amoco Corp. ................................. 4,300 373,831
Atlantic Richfield Co. ...................... 5,000 352,500
British Petroleum PLC ....................... 5,500 411,813
Mapco Inc. .................................. 9,000 283,500
Phillips Petroleum Ce. ....................... 6,100 266,875
Repsol ...................................... 7,900 335,256
Ultra Mar Diamond Shamrock .................. 6,400 208,800
YPF Sociedad Anonima ........................ 11,800 362,850
------------
2,595,425
------------
FINANCE - 1.6%
Aegon ....................................... 2,389 167,379
Allstate Corp. .............................. 5,600 408,800
American General Corp. ...................... 5,800 276,950
Bank of New York Inc. ....................... 7,400 321,900
Capital One Financial Corp. ................. 8,400 317,100
Case Corp. .................................. 10,900 750,738
Chase Manhattan Corp. ....................... 5,300 514,431
Chubb Corp.(++) ............................. 3,400 227,375
Crestar Financial Corp. ..................... 3,400 132,175
Everest Reinsurance Holdings ................ 9,600 380,400
Federal Home Loan Mortgage Corp. ............ 3,700 127,188
Federal National Mortgage Association(++) ... 5,700 248,663
First Union Corp. ........................... 3,200 296,000
Foundation Health Systems* .................. 11,670 353,747
Mellon Bank Corp. ........................... 6,200 279,775
Old Republic International Corp. ............ 8,700 263,719
Reliastar Financial Corp. ................... 4,400 321,750
Republic NY Corp. ........................... 2,900 311,750
Signet Banking Corp. ........................ 6,800 244,800
Tig Holdings Inc. ........................... 6,000 187,500
Torchmark Inc. ............................... 1,200 85,500
Transatlantic Holdings Inc. ................. 2,700 267,975
------------
6,485,615
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. ................................ 8,700 169,106
Standard Register ........................... 3,900 119,438
------------
288,544
------------
MISCELLANEOUS - 0.4%
Aeroquip Vickers Inc. ....................... 16,600 784,350
Dillards Inc. ............................... 7,500 259,688
Hartford Financial Services Group ........... 3,000 248,250
Providian Financial Corp. ................... 5,500 176,688
------------
1,468,976
------------
SHELTER - 0.1%
Owens Corning ............................... 7,600 327,750
------------
TECHNOLOGY - 0.9%
Beckman Industries Inc. ..................... 10,400 501,800
Compaq Computer Corp.*(++) .................. 3,500 347,375
International Business Machines ............. 9,600 865,800
Raytheon Co. ................................ 4,800 244,800
Seagate Technology* ......................... 12,700 446,881
Stratus Computer Inc.* ...................... 1,900 95,000
Tektronix Inc. .............................. 5,700 342,000
TRW Inc. .................................... 6,100 346,556
Western Digital Corp.* ...................... 11,700 370,013
------------
3,560,225
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ............... 3,100 278,613
CSX Corp. .................................. 4,200 233,100
------------
511,713
------------
UTILITIES - 0.3%
Central ME Power Co. ........................ 5,900 73,013
Cinergy Corp. ............................... 4,100 142,731
DTE Energy Co. .............................. 6,700 185,088
Duke Power Co. ............................... 3,342 160,207
El Paso Natural Gas Co. ..................... 4,500 247,500
Entergy Corp. ............................... 6,700 183,413
GPU Inc. .................................... 5,700 204,488
------------
1,196,440
------------
TOTAL COMMON STOCKS ..................................... 30,804,438
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ................................... 823,429
------------
TOTAL LARGE CAP VALUE ................................... 31,627,867
------------
SMALL CAP GROWTH--14.9%
- -------------------------------------------------------------------------------
COMMON STOCKS--14.2%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Central Packing Corp. ....................... 37,410 1,302,336
OM Group Inc. ............................... 23,820 789,038
------------
2,091,374
------------
CAPITAL GOODS - 0.3%
Hardinge Bros. Inc. ......................... 42,550 1,244,588
------------
CONSUMER BASICS - 2.8%
Cytyc Corp.* ................................ 48,640 1,319,360
General Cigar Holdings Inc.* ................ 37,610 1,107,144
Human Gendme Sciences Inc.* ................. 24,360 809,305
Occusystems Inc.* ........................... 34,270 993,830
Parexel International Corp.* ................ 52,870 1,678,623
Performance Food Group Co.* ................. 51,175 1,074,675
Renal Treatment Centers Inc.* ............... 44,090 1,184,919
Suiza Foods Corp.* .......................... 37,610 1,542,010
Worthington Foods Inc. ...................... 52,240 1,279,880
------------
10,989,746
------------
CONSUMER DURABLE GOODS - 0.6%
Miller Industries Inc.* ..................... 65,620 1,369,920
Tower Automotive Inc.* ...................... 20,580 884,940
------------
2,254,860
------------
CONSUMER NON-DURABLES - 0.7%
Henry Schein Inc.* .......................... 34,690 1,084,063
Men's Wearhouse Inc.* ....................... 25,810 813,015
Wilmar Industries Inc.* ..................... 32,900 801,938
------------
2,699,016
------------
CONSUMER SERVICES - 0.7%
Premier Pks Inc.* ........................... 33,020 1,217,613
Regal Cinemas Inc.* ......................... 42,495 1,402,335
------------
2,619,948
------------
ENERGY - 0.9%
Dawson Production Services Inc.* ............ 81,000 1,134,000
Forcenergy Inc.* ............................ 37,410 1,136,329
Lomak Pete Inc. ............................. 54,330 967,753
------------
3,238,082
------------
FINANCE - 0.5%
Allied Group Inc. ........................... 29,200 1,109,600
Metris Companies Inc. ....................... 28,630 939,422
------------
2,049,022
------------
GENERAL BUSINESS - 3.2%
Abacus Direct Corp.* ........................ 50,260 1,633,450
Equity Corp. International* ................. 57,150 1,382,316
Executive Risk Inc. ......................... 20,740 1,078,480
Heftel Broadcasting Corp.* .................. 27,154 1,500,259
Lamar Advertising Co.* ...................... 46,970 1,197,735
Metro Networks Inc.* ........................ 50,670 1,228,748
Profit Recovery Group Intl Inc.* ............ 19,405 269,244
Registry Inc.* .............................. 24,140 1,110,440
Snyder Communications Inc.* ................. 42,250 1,145,383
Whittman Hart Inc.* ......................... 56,210 1,580,906
------------
12,126,961
------------
MISCELLANEOUS - 2.1%
Gray Communications Systems Inc. ............ 5,000 104,375
Integrated Living Communities Inc.* ......... 80,750 928,625
Melita International Corp.* ................. 66,760 834,500
NFO Research Inc.* .......................... 38,660 956,835
Pierce Leahy Corp.* ......................... 968 17,424
Rental Service Corp. ........................ 55,480 1,456,350
Sirrom Cap Corp. ............................ 28,940 998,430
Suburban Lodges America Inc.* ............... 61,330 1,287,930
Synthetic Industries Inc.* .................. 14,840 313,495
Xionics Document Technologies* .............. 77,630 1,145,043
------------
8,043,007
------------
TECHNOLOGY - 1.5%
Activision Inc.* ............................ 75,500 1,085,313
CDW Computer Ctrs. Inc.* .................... 17,550 931,247
Claremont Technology Group Inc.* ............ 50,100 1,189,875
E Trade Group Inc.* ......................... 47,230 926,889
Periphonics Corp.* .......................... 52,030 1,118,645
Pure Atria Corp.* ........................... 45,350 640,569
------------
5,892,538
------------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ............... 36,670 994,674
------------
TOTAL COMMON STOCKS ......................... 54,243,816
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.7%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ....................... 2,836,392
------------
TOTAL SMALL CAP GROWTH ...................... 57,080,208
------------
SMALL CAP VALUE--15.9%
- -------------------------------------------------------------------------------
COMMON STOCKS--15.3%
- -------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.9%
Atchenson Casting Corp.* .................... 15,000 249,375
Carpenter Technology Corp. .................. 9,200 420,900
Keystone Consolidated Inds Inc.* ............ 140,600 1,529,025
Oil Dri Corp. America ....................... 65,000 1,044,063
------------
3,243,363
------------
CAPITAL GOODS - 2.5%
American Buildings Co.* ..................... 33,100 893,700
Astec Industries Inc.* ...................... 800 9,950
Astro Medical Inc. .......................... 8,800 77,550
Cognex Corp.* ............................... 39,400 1,044,100
Commercial Intertech Corp. .................. 69,100 963,081
D.R. Horton Inc.* ........................... 155,400 1,612,275
Esco Electronics Corp. ...................... 125,000 1,578,125
Global Industries Technologies Inc.* ........ 27,100 555,550
JLG Industries Inc. ......................... 81,000 1,103,625
United Industrial Corp. ..................... 189,600 1,694,550
------------
9,532,506
------------
CONSUMER BASICS - 2.3%
Ekco Group Inc.* ............................ 306,100 1,779,206
Matrix Pharmaceuticals* ..................... 139,500 932,906
MMI Cosmetics Inc. .......................... 47,000 1,227,875
Nash Finch Co. .............................. 18,200 402,675
RLI Corp. ................................... 24,300 885,431
Schultz Sav O Stores Inc. ................... 30,000 532,500
Schweitzer Mauduit Intl. Inc. ............... 28,500 1,068,750
Standard Commercial Corp..................... 61,610 1,070,474
Stanhome Inc. ............................... 25,000 821,875
------------
8,721,692
------------
CONSUMER DURABLE GOODS - 1.2%
Coachmen Industries Inc. .................... 57,000 976,125
Flexsteel Industries Inc. ................... 25,000 293,750
Haskel International Inc. ................... 47,600 571,200
Oshkosh Truck Corp. ......................... 75,000 1,068,750
West Inc. ................................... 43,400 1,242,325
------------
4,152,150
------------
CONSUMER NON-DURABLES - 0.5%
Cato Corp. .................................. 48,400 263,175
Haverty Furniture Cos. Inc. ................. 19,300 241,250
Little Switzerland Inc.* .................... 148,000 888,000
Syms Corp.* ................................. 71,500 710,531
------------
2,102,956
------------
CONSUMER SERVICES - 0.4%
Aztar Corp.* ................................ 163,100 1,151,894
Cannondale Corp.* ........................... 31,000 550,250
------------
1,702,144
------------
ENERGY - 0.0%
Atwood Oceanics Inc.* ..................... 1,200 80,400
------------
FINANCE - 3.2%
Allied Life Finl Corp. ...................... 52,300 1,032,925
APS Holdings Corp.* ......................... 25,200 220,500
Bank Plus Corp.* ............................ 38,000 413,250
BankAtlantic Bancorp Inc. ................... 36,000 508,500
BankAtlantic Bancorp Inc. Class A ........... 40,750 570,500
Chartwell Re. Corp. ......................... 7,400 222,000
Downey Financial Corp. ...................... 45,675 1,079,072
Everen Capital Corp. ........................ 500 15,594
FBL Financial Group Inc. .................... 18,900 713,475
Farm Family Holdings Inc.* .................. 34,800 970,050
Financial Securities Assurance
Holdings Ltd. .............................. 25,300 985,119
Flagstar Bancorp Inc ........................ 71,000 1,153,750
GA Financial Inc. ........................... 39,900 758,100
Guaranty National Corp. ..................... 46,000 1,104,000
Harleysville Group Inc. ..................... 700 26,513
Homeside Inc.* .............................. 58,000 1,268,750
Matrix Cap Corp. ............................ 900 12,600
Ocwen Asset Invt Corp. ...................... 24,300 492,075
Presidential Life Corp. ..................... 18,300 354,563
Redfed Bancorp Inc.* ........................ 19,900 325,863
------------
12,227,199
------------
GENERAL BUSINESS - 0.4%
Devon Group Inc.* ........................... 13,400 479,050
Ennis Business Forms Inc. ................... 123,000 1,183,875
------------
1,662,925
------------
MISCELLANEOUS - 0.9%
Commonwealth Industries Inc. ................ 200 4,075
Durco International Inc. .................... 56,000 1,638,000
Kevco Inc. .................................. 19,900 268,650
Spacehab Inc.* .............................. 48,900 433,988
Spectralink Corp. ........................... 51,200 288,000
Symons International Group Inc.* ............ 27,100 413,275
Wilshire Financial Svcs. Group Inc.* ........ 14,500 235,625
------------
3,281,613
------------
SHELTER - 2.1%
Ameron International Corp. .................. 14,600 826,725
Beazer Homes USA Inc.* ...................... 81,000 1,296,000
Belmont Homes Inc.* ......................... 33,600 231,000
Butler Mfg. Co. Del. ........................ 15,100 500,188
Morgan Products Ltd.* ....................... 184,000 1,380,000
Patrick Industries Inc. ..................... 57,800 953,700
Ryland Group Inc. ........................... 96,000 1,356,000
Southern Energy Homes Inc.* ................. 58,200 531,075
US Homes Corp.* ............................. 36,800 977,500
------------
8,052,188
------------
TECHNOLOGY - 0.5%
Advanced Logic Research Inc.* ............... 41,500 635,469
Analysis & Technology Inc. .................. 10,000 159,063
Mapinfo Corp.* .............................. 20,000 195,000
Premenos Technology Corp* ................... 14,700 124,950
Symantec Corp.* ............................. 45,600 889,200
------------
2,003,682
------------
TRANSPORTATION - 0.4%
Fritz Companies Inc.* ....................... 107,400 1,040,438
Kenan Transportation Co. .................... 31,000 612,250
------------
1,652,688
------------
TOTAL COMMON STOCKS ..................................... 58,415,506
------------
SHARES/
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------
FIXED INCOME--0.0%
- -------------------------------------------------------------------------------
BankAtlantic Bancorp Inc.
6.75% due 7/01/06 .......................... 60,000 84,900
------------
- -------------------------------------------------------------------------------
SHORT TERM OBLIGATIONS--0.6%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+).................................... 2,278,035
------------
TOTAL SMALL CAP VALUE ................................... 60,778,441
------------
INTERNATIONAL EQUITY--25.7%
- -------------------------------------------------------------------------------
COMMON STOCKS--24.1%
- -------------------------------------------------------------------------------
AUSTRIA - 0.3%
Bohler Uddeholm ............................. 14,406 1,121,332
------------
AUSTRALIA - 1.1%
Australia & New Zealand
Bank Group ................................. 260,487 1,948,944
Pioneer International Ltd. .................. 322,500 1,247,894
Quantas Airways ............................. 375,807 880,450
------------
4,077,288
------------
CANADA - 1.2%
Bank N S Halifax ............................ 28,054 1,229,058
Canadian Imperial Bank Toronto .............. 37,340 940,970
Imasco Ltd. ................................. 47,800 1,384,554
Noranda Inc. ................................ 43,285 932,495
------------
4,487,077
------------
FINLAND - 0.5%
Rauma Oy .................................... 18,884 432,756
UPM Kymmene Oy .............................. 63,000 1,455,876
------------
1,888,632
------------
FRANCE - 1.5%
Elf Aquitaine ............................... 7,300 787,551
Lafarge ..................................... 22,125 1,376,059
Pernod Ricard ............................... 22,900 1,180,714
Seita ....................................... 32,565 1,030,696
Usinor Sacilor .............................. 72,250 1,303,197
------------
5,678,217
------------
GERMANY - 0.6%
Bayer ....................................... 12,150 466,884
Buderus AG .................................. 900 495,384
Commerzbank AG .............................. 50,200 1,421,868
------------
2,384,136
------------
GREAT BRITAIN - 5.7%
Abbey National .............................. 113,800 1,553,992
Allied Domecq PLC ........................... 21,770 1,561,911
Bat Industries .............................. 165,182 1,478,543
British Gas ................................. 101,000 370,030
BTR ......................................... 483,514 1,654,679
Coats Viyella ............................... 777,579 1,631,578
Commercial Union ............................ 110,100 1,157,853
Energy Group ................................ 66,000 704,522
Hanson ...................................... 254,752 1,264,232
Harrison & Crosfield ........................ 565,926 1,036,681
Hillsdown Holdings .......................... 304,120 858,435
Hyder ....................................... 100,442 1,354,856
Lex Service ................................. 166,000 1,043,561
National Westminister ....................... 14,212 191,113
Powergen .................................... 128,078 1,522,879
Redland ..................................... 237,235 1,343,230
Safeway ..................................... 283,900 1,642,907
Tate & Lyle ................................. 176,400 1,311,634
------------
21,682,636
------------
HONG KONG - 1.8%
China Light & Power ......................... 186,000 1,053,967
Dickson Concept Industries .................. 216,000 786,235
Hang Lung Development Co. ................... 318,000 582,861
Hong Kong Telecomm .......................... 415,800 992,901
HSBC Holdings ............................... 34,000 1,022,550
Manhattan Card Co. .......................... 2,498,000 1,136,583
New World Development Co. ................... 119,000 709,641
Sth China Morn Post ......................... 610,000 598,402
------------
6,883,140
------------
IRELAND - 0.4%
Smurfit .................................... 583,600 1,696,455
------------
ITALY - 0.5%
Danieli & C ................................. 87,900 307,728
Eni Spa ..................................... 270,500 1,531,895
------------
1,839,623
------------
JAPAN - 3.6%
Koito Mfg. Co. .............................. 158,000 1,207,538
MOS Food Services ........................... 92,400 1,709,021
Nichicon Corp. .............................. 139,000 1,879,689
Nintendo Co. ................................ 16,400 1,373,582
Promise Co. ................................. 33,000 1,888,676
Sekisui Chemical ............................ 144,500 1,462,398
Sony Corp. .................................. 12,300 1,072,038
Suzuki Motor Corp. .......................... 152,000 1,922,876
Yodogawa Steelworks ......................... 23,000 1,361,892
------------
13,877,710
------------
MALAYSIA - 0.6%
Arab Malaysian Finance ...................... 423,000 896,613
Bolton Properties ........................... 457,000 651,823
Kedah Cement Holdings ....................... 242,000 377,765
Malaysian International Shipping ............ 198,000 513,827
------------
2,440,028
------------
NETHERLANDS - 1.7%
ABN Amro Holdings NV ........................ 87,000 1,622,192
Akzo Nobel NV ............................... 9,251 1,267,777
Hollandsche Beton ........................... 4,400 1,003,556
Ing Groep NV ................................ 26,800 1,235,621
Kon PTT Nederland ........................... 32,134 1,260,542
------------
6,389,688
------------
NEW ZEALAND - 0.2%
Fletcher Challenge(Building) ................ 223,490 672,499
Fletcher Challenge(Paper) ................... 8,940 12,752
------------
685,251
------------
NORWAY - 0.6%
Kvaerner ASA ................................ 18,200 1,101,307
Nycomed ..................................... 80,495 1,153,192
------------
2,254,499
------------
SINGAPORE - 0.1%
Sembawang Corp .............................. 51000 231,867
------------
SPAIN - 0.9%
Banco Santander SA .......................... 66,750 2,056,634
Repsol SA ................................... 35,200 1,488,266
------------
3,544,900
------------
SWEDEN - 0.4%
Electolux AB ................................ 11,750 847,586
Marieberg Tidnings .......................... 31,100 771,922
------------
1,619,508
------------
SWITZERLAND - 2.0%
Forbo Hldg .................................. 2,590 1,117,603
Nestle SA ................................... 1,115 1,470,884
Sarna Kunst Holdings ........................ 208 206,575
Schw Ruckversicher .......................... 1,527 2,159,764
Sig Schw Ind HG AG .......................... 433 1,312,346
Sulzer AG ................................... 1,771 1,516,267
------------
7,783,439
------------
UNITED STATES - 0.4%
Jardine Matheson ............................ 235,200 1,669,920
------------
TOTAL COMMON STOCKS ..................................... 92,235,346
------------
- -------------------------------------------------------------------------------
WARRANTS--0.0%
- -------------------------------------------------------------------------------
Bolton Properties Sub. Ord.*
Exp. 9/15/01 ............................... 16,500 8,041
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.6%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ................................... 6,031,632
------------
TOTAL INTERNATIONAL EQUITY .............................. 98,275,019
------------
DOMESTIC FIXED INCOME--4.9%
- -------------------------------------------------------------------------------
FIXED INCOME--4.7%
- -------------------------------------------------------------------------------
CORPORATE BONDS - 0.2%
Aetna Services Inc. 6.97% due 8/15/36 ....... $ 90,000 90,889
Commonwealth Edison Co. 7.00% due 7/01/05 ... 310,000 306,119
Detroit Edison Co. 6.69% due 3/03/17 ........ 100,000 98,036
Jackson National Life Insurance Co.
8.15% due 3/15/27 .......................... 290,000 296,093
Mead Corp.
6.84% due 3/01/37 .......................... 100,000 99,659
------------
890,796
------------
PRINCIPAL
AMOUNT
- -------------------------------------------------------------------------------
FOREIGN BONDS - 0.0%
Enersis SA
6.90% due 12/01/06 ......................... 100,000 97,128
------------
ASSET BACKED - 0.7%
Atlantic City Electric Co.
7.01% due 8/02/23 .......................... 225,000 225,914
CWMBS Inc. 7.75% due 3/01/27 ................ 200,000 203,313
Federal Home Loan Mortgage Corp.
7.50% due 1/15/20 .......................... 94,649 95,167
Federal Home Loan Mortgage Corp.
6.50% due 9/15/22 .......................... 441,934 432,817
Federal National Mortgage Association
7.35% due 8/17/21 .......................... 290,000 294,713
Federal National Mortgage Association
6.50% due 8/25/22 .......................... 150,000 139,641
G.E. Capital Mortgage Services Inc.
7.75% due 3/25/27 .......................... 99,726 99,804
GMAC Commercial Mortgage Sec. Inc.
7.22% due 2/15/06 .......................... 100,000 101,094
Government National Mortgage Association
7.25% due 10/16/22 ......................... 99,276 99,525
GreenTree Financial Corp.
7.65% due 4/15/27 .......................... 450,000 449,717
GreenTree Financial Corp.
7.29% due 3/15/28 .......................... 100,000 98,125
Merrill Lynch Mortgage Investors Inc.
6.95% due 6/18/29 .......................... 200,000 201,250
Norwest Asset Securities Corp.
7.50% due 3/15/27 .......................... 199,451 199,575
------------
2,640,655
------------
MORTGAGE BACKED - 0.3%
Federal Home Loan Mortgage Corp.
5.50% due 5/31/98 .......................... 430,000 424,894
6.50% due 4/01/11 .......................... 47,088 46,234
6.50% due 7/01/11 .......................... 113,940 111,875
Federal National Mortgage Association
7.00% due 6/01/03 ........................... 63,541 63,758
7.00% due 7/01/03 ........................... 158,467 158,961
6.50% due 5/01/11 ........................... 84,586 83,027
6.50% due 7/01/11 ........................... 53,535 52,548
8.00% due 5/01/26 ........................... 323,020 330,488
------------
1,271,785
------------
U. S. TREASURY OBLIGATIONS - 3.4%
United States Treasury Bonds
6.875% due 8/15/25 .......................... 155,000 155,581
6.50% due 11/15/26 .......................... 250,000 239,765
------------
395,346
------------
United States Treasury Notes
6.00% due 5/31/98 ........................... 3,835,000 3,842,171
6.375% due 5/15/99 .......................... 1,680,000 1,688,400
5.875% due 11/15/99 ......................... 439,000 436,186
6.50% due 5/31/01 ........................... 3,085,000 3,101,875
6.25% due 1/31/02 ........................... 954,000 948,782
6.50% due 5/31/02 ........................... 528,000 530,144
6.875% due 5/15/06 .......................... 1,457,000 1,487,276
6.50% due 10/15/06 .......................... 500,000 497,890
------------
12,532,724
------------
U.S. GOVERNMENT AGENCIES - 0.1%
Federal Home Loan Bank
6.58% due 3/25/09 .......................... 184,962 171,061
------------
TOTAL FIXED INCOME ...................................... 17,999,495
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- -------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ................................... 607,585
United State Treasury Bill
5.18% due 12/11/97 ..................................... 14,652
------------
622,237
------------
TOTAL DOMESTIC FIXED INCOME ............................. 18,621,732
------------
INTERNATIONAL BOND--30.5%
- -------------------------------------------------------------------------------
FIXED INCOME--17.6%
- -------------------------------------------------------------------------------
PRINCIPAL
CURRENCY AMOUNT
- -------------------------------------------------------------------------------
ARGENTINA - 0.3%
Republic of Argentina Bocon
3.242% due 4/01/01 .................. ARS 840,000 1,022,418
------------
AUSTRALIA - 0.6%
Australia Commonwealth
13.00% due 7/15/00 .................. AUD 820,000 739,605
Australia Commonwealth
9.50% due 8/15/03 ................... AUD 1,690,000 1,455,376
------------
2,194,981
------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ................. ATS 4,810,000 443,994
------------
BELGIUM - 0.1%
Belgium (Kingdom)
9.00% due 3/28/03 ................... BF 800,000 26,704
8.50% due 10/01/07 .................. BF 4,600,000 154,467
------------
181,171
------------
CANADA - 1.7%
Canadian Government
8.50% due 3/01/00 ................... CAD 5,850,000 4,581,677
9.00% due 12/01/04 .................. CAD 2,480,000 2,097,966
------------
6,679,643
------------
CROATIA - 0.2%
Republic of Croatia
6.50% due 7/30/10 ................... USD 700,000 679,875
------------
DENMARK - 0.4%
Denmark (Kingdom)
8.00% due 5/15/03 ................... DKK 5,780,000 985,226
8.00% due 3/15/06 ................... DKK 2,690,000 455,929
------------
1,441,155
------------
FINLAND - 2.0%
Finland (Rep of)
9.50% due 3/15/04 ................... FIM 1,000,000 233,910
7.25% due 4/18/06 ................... FIM 33,000,000 6,890,234
8.25% due 10/15/10 .................. FIM 3,000,000 670,411
------------
7,794,555
------------
FRANCE - 0.4%
Government of France
8.25% due 2/27/04 ................... FRF 1,200,000 240,298
7.75% due 10/25/05 .................. FRF 6,520,000 1,284,207
------------
1,524,505
------------
GERMANY - 1.5%
Germany (Fed) Rep
6.375% due 5/20/98 .................. DEM 1,690,000 995,725
7.125% due 12/20/02 ................. DEM 3,830,000 2,435,556
7.375% due 1/03/05 .................. DEM 640,000 412,343
Treuhandanstalt
6.875% due 6/11/03 .................. DEM 3,050,000 1,916,983
------------
5,760,607
------------
GREAT BRITAIN - 1.7%
Treasury
8.00% due 12/07/00 .................. GBP 300,000 513,017
6.75% due 11/26/04 .................. GBP 80,000 131,309
8.50% due 12/07/05 .................. GBP 3,239,000 5,872,620
------------
6,516,946
------------
GREECE - 0.1%
Hellenic Republic
11.10% due 6/17/03 .................. GRD 28,200,000 105,800
Republic of Greece
14.00% due 10/23/03 ................. GRD 126,200,000 477,379
------------
583,179
------------
ITALY - 1.2%
Republic of Italy
9.50% due 1/01/05 .................. ITL 6,645,000,000 4,504,104
------------
JAPAN - 3.3%
Japan
5.50% due 3/20/02 .................. JPY 403,000,000 4,112,274
4.50% due 6/20/03 .................. JPY 501,400,000 4,984,691
4.50% due 6/20/03 .................. JPY 205,000,000 2,034,619
4.10% due 12/22/03 ................. JPY 151,100,000 1,473,561
------------
12,605,145
------------
NETHERLANDS - 0.6%
Dutch Government
6.25% due 7/15/98 .................. NLG 400,000 243,619
8.25% due 2/15/07 .................. NLG 3,800,000 1,990,891
------------
2,234,510
------------
NEW ZEALAND - 0.5%
New Zealand Government
10.00% due 3/15/02 ................ NED 520,000 398,071
8.00% due 4/15/04 ................. NED 2,000,000 1,435,547
------------
1,833,618
------------
PHILIPPINES - 0.2%
Eurobank Recon & Development
9.00% due 4/22/98 ................. PHP 13,000,000 489,176
International Bank Recon
10.25% due 4/11/02 ................ PHP 8,000,000 304,633
------------
793,809
------------
SOUTH AFRICA - 0.2%
Republic of South Africa
14.00% due 8/15/97 ................ ZAR 3,520,000 773,771
------------
SPAIN - 0.5%
Government of Spain
10.90% due 8/30/03 ................ ESP 137,300,000 1,171,266
10.00% due 2/28/05 ................ ESP 77,900,000 652,118
------------
1,823,384
------------
SWEDEN - 2.0%
Sweden (Kingdom)
11.00% due 1/21/99 ................ SEK 10,600,000 1,496,100
10.25% due 5/05/00 ................ SEK 40,700,000 5,951,918
13.00% due 6/15/01 ................ SEK 3,000,000 489,040
------------
7,937,058
------------
TOTAL FIXED INCOME ........................................ 67,328,428
------------
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--12.2%
- -------------------------------------------------------------------------------
American Express Co.
5.54% due 7/30/97 ................. $1,100,000 1,095,091
American Tel & Telegraph Co.
5.48% due 7/01/97 ................. $2,100,000 2,100,000
Ameritech Corp.
5.54% due 6/30/97 ................. $3,500,000 3,468,761
Australian Wheat Board
5.60% due 7/29/97 ................. $1,100,000 1,095,209
Australian Wheat Board
5.63% due 8/04/97 ................. $1,800,000 1,790,429
Bayerische Landesbank
11.50% due 10/09/97 ............... CZK 18,000,000 551,031
Bell South Telecomm Inc.
5.51% due 7/28/97 ................. $1,200,000 1,195,041
Canada Government
5.55% due 7/10/97 ................. $1,100,000 1,098,474
Canadian Treasury Bill
due 4/02/98 ....................... CAD 2,120,000 1,492,958
Federal Home Loan
Mortgage Corp.
5.51% due 7/03/97 ................. $600,000 599,816
Ford Motor Co.
5.60% due 7/03/97 ................. $1,000,000 999,689
Hong Kong Shanghai Bank
due 8/13/97 ....................... IDR 1,300,000,000 527,183
IBM Credit Corp.
5.57% due 7/21/97 ................. $3,500,000 3,489,169
KFW International
Financing Inc.
5.57% due 7/01/97 ................. $2,000,000 2,000,000
KFC International
Financing Inc.
5.54% due 8/12/97 ................. $1,200,000 1,192,244
Kingdom of Sweden
5.58% due 7/18/97 ................. $1,300,000 1,296,578
Letras Del Tesoro
due 3/20/98 ....................... ARS 210,000 200,518
Mexican Cetes
due 7/24/97 ....................... MEX 1,390,000 172,591
due 7/31/97 ....................... MEX 1,430,000 176,830
due 10/02/97 ...................... MEX 1,450,000 172,960
due 10/30/97 ...................... MEX 1,620,000 190,180
Minnesota Mining & Manufacturing Co.
5.51% due 8/21/97 ................. $2,000,000 1,987,143
Mobil Australia Finance Co.
5.55% due 7/31/97 ................. $3,000,000 2,986,125
National Rural Utilities
Coop Financing
5.57% due 7/17/97 ................. $2,500,000 2,493,811
New Center Asset Trust
5.62% due 7/09/97 ................. $3,000,000 2,996,253
Poland Treasury Bill
due 10/22/97 ...................... PLN 140,000 39,953
due 12/3/97 ....................... PLN 1,520,000 423,602
due 4/22/98 ....................... PLN 1,700,000 439,833
due 5/13/98 ....................... PLN 980,000 250,777
due 6/26/98 ....................... PLN 1,800,000 450,799
Republic of Finland
3.49% due 3/13/98 ................. FIM 4,000,000 752,588
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ..................................... 644,218
Shell Oil Co
5.51% due 7/02/97 ................. $3,000,000 2,999,541
United States Treasury Bills
5.08% due 7/03/97 ........................................ 9,997
5.01% due 10/02/97 ....................................... 19,706
Western Australian Treasury Bill
5.55% due 9/22/97 ................. $2,300,000 2,269,786
Wisconsin Electric Power Co.
5.50% due 7/07/97 ................. $3,000,000 2,997,250
------------
46,666,134
------------
- -------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.7%
- -------------------------------------------------------------------------------
Purchased calls
AST 4,000,000 Australian Government Bonds
@ 107.603 exp. date 9/26/97 .............................. 300,909
CAD 1,700,000 Canadian Government Bonds
@ 94.600 exp. date 7/16/97 ............................... 119,460
CAD 3,350,000 Canadian Government Bonds
@ 93.700 exp. date 7/24/97 ............................... 254,061
JPY 38,000,000 Japanese Government Bonds
@ 105.600 exp. date 7/16/97 .............................. 27,470
JPY 50,000,000 Japanese Government Bonds
@ 97.700 exp. date 7/16/97 ............................... 42,789
JPY 94,000,000 Japanese Government Bonds
@ 100.769 exp. date 9/16/97 .............................. 132,307
JPY 195,000,000 Japanese Government Bonds
@102.586 exp. date 9/16/97 ............................... 170,924
JPY 1,354,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 ............................... 1,772,297
JPY 87,000,000 Japanese Government Bonds
@ 91.708 exp. date 8/22/97 ............................... 167,032
------------
TOTAL INTERNATIONAL BOND OPTIONS .......................... 2,987,249
------------
TOTAL INTERNATIONAL BOND .................................. 116,981,811
------------
SHORT-TERM--3.8%
- -------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.8%
- -------------------------------------------------------------------------------
Deutsche Bank
5.76% due 2/3/98 ......................................... 500,135
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ..................................... 12,583,286
United States Treasury Bills
5.402% due 7/24/97 ....................................... 996,548
5.39% due 9/18/97 ....................................... 494,438
------------
TOTAL SHORT TERM .......................................... 14,574,407
------------
TOTAL INVESTMENTS
(Identified Cost $389,380,956) ............. 112.2% 429,615,652
OTHER ASSETS, LESS LIABILITIES .............. (12.2) (46,582,490)
----- ------------
TOTAL NET ASSETS ............................ 100.0% $383,033,162
===== ============
*Non income producing
(+) The Portfolio owns in aggregate Shearson Lehman Repurchase Agreements
5.85%, due 7/01/97 valued at $26,557,999 collaterized by $10,000,000
Federal Home Loan Mortgage 5.70% due 2/25/98, $10,000,000 Federal Home Loan
Mortgage 6.51% due 12/10/01 and $6,985,000 Federal National Mortgage
Association 6.90% due 3/10/04, portions of which are listed separately by
each Asset Class.
(++) The Portfolio owns in aggregate 16,290 shares in Deere & Co., valued at
$893,914, 39,335 shares in Philip Morris Cos. Inc. valued at $1,745,491,
10,335 shares in Chubb Corp. valued at $691,153, 6,295 shares in Compaq
Computer Corp. valued at $624,779 and 15,765 shares in E I du Pont de
Nemours & Co. valued at $991,224, 13,075 shares in Federal National
Mortgage Association, valued at $570,397.
See notes to financial statements
<PAGE>
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
---------------- --------- ----------- ----------
<S> <C> <C> <C>
U.S. Treasury 5-Year Note (Buy) .................. 17 September 1997 $ (1,859)
U.S. Treasury 5-Year Note (Sell) ................. (5) September 1997 (1,953)
U.S. Treasury 10-Year Note (Buy) ................. 11 September 1997 (8,594)
--------
$(12,406)
========
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------------------ -------------- ------------- ---------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) ................ Germany $ 1,714,377 $ 1,783,191 July 1997 $(68,814)
Deutsche Mark (Sell) ............... Germany 2,894,487 2,928,341 July 1997 33,854
Deutsche Mark (Sell) ............... Germany 184,954 190,820 August 1997 5,866
Deutsche Mark (Buy) ................ Germany 15,751,924 15,945,483 September 1997 (193,559)
Deutsche Mark (Sell) ............... Germany 159,284 159,874 October 1997 590
Dollar (Sell) ...................... Australia 303,212 301,516 July 1997 (1,696)
Dollar (Buy) ....................... Australia 921,385 945,944 July 1997 (24,559)
Dollar (Buy) ....................... Canada 1,473,930 1,472,930 July 1997 1,000
Dollar (Sell) ...................... Canada 3,210,798 3,197,406 July 1997 (13,392)
Dollar (Buy) ....................... Canada 2,123,318 2,125,155 September 1997 (1,837)
Dollar (Sell) ...................... Canada 4,612,565 4,633,544 September 1997 20,979
Dollar (Buy) ....................... Canada 995,458 1,013,292 March 1998 (17,834)
Dollar (Sell) ...................... New Zealand 1,210,713 1,236,202 August 1997 25,489
Dollar (Sell) ...................... New Zealand 622,326 630,862 September 1997 8,536
Drachma (Buy) ...................... Greece 64,051 64,548 July 1997 (497)
ECU (Sell) ......................... Europe 705,639 726,992 July 1997 21,353
Franc (Buy) ........................ Belgium 1,263,256 1,292,292 July 1997 (29,036)
Franc (Buy) ........................ Belgium 1,056,348 1,070,620 September 1997 (14,272)
Franc (Buy) ........................ France 5,017,725 5,145,865 July 1997 (128,140)
Franc (Sell) ....................... France 68,432 70,259 July 1997 1,827
Franc (Buy) ........................ France 715,301 722,424 August 1997 (7,123)
Franc (Sell) ....................... France 12,433 12,864 August 1997 431
Franc (Buy) ........................ France 224,427 226,750 September 1997 (2,323)
Franc (Sell) ....................... France 22,764 22,825 October 1997 61
Franc (Sell) ....................... Switzerland 1,067,326 1,067,830 July 1997 504
Franc (Sell) ....................... Switzerland 1,542,017 1,597,164 August 1997 55,147
Franc (Sell) ....................... Switzerland 7,015,789 7,129,700 September 1997 113,911
Franc (Sell) ....................... Switzerland 22,769 22,938 October 1997 169
Guilder (Buy) ...................... Netherlands 2,728,443 2,782,971 July 1997 (54,528)
Guilder (Buy) ...................... Netherlands 540,950 547,363 September 1997 (6,413)
Guilder (Buy) ...................... Netherlands 249,472 255,150 September 1997 5,678
Koruna (Buy) ....................... Czechoslvakia 103,371 103,864 August 1997 (493)
Krone (Buy) ........................ Denmark 306,301 311,179 July 1997 (4,878)
Krone (Buy) ........................ Denmark 238,472 245,603 August 1997 (7,131)
Krone (Sell) ....................... Denmark 348,502 354,341 August 1997 5,839
Krone (Buy) ........................ Sweden 1,705,608 1,701,126 July 1997 4,482
Krone (Sell) ....................... Sweden 1,705,608 1,720,566 July 1997 14,958
Krone (Buy) ........................ Sweden 1,521,052 1,526,809 August 1997 (5,757)
Lira (Buy) ......................... Italy 6,631,101 6,608,398 July 1997 22,703
Markka (Sell) ...................... Finland 6,394,311 6,528,488 July 1997 134,177
Markka (Sell) ...................... Finland 1,100,855 1,104,951 August 1997 4,096
Markka (Sell) ...................... Finland 682,800 686,842 September 1997 4,042
Peseta (Buy) ....................... Spain 2,445,947 2,472,776 July 1997 (26,829)
Peseta (Buy) ....................... Spain 793,439 801,076 August 1997 (7,637)
Peseta (Buy) ....................... Spain 2,767,248 2,803,627 September 1997 (36,379)
Peseta (Sell) ...................... Spain 2,623,936 2,660,262 September 1997 36,326
Peso (Buy) ......................... Chile 202,729 200,952 July 1997 1,777
Peso (Buy) ......................... Philippines 77,820 77,806 July 1997 14
Pound (Buy) ........................ Great Britain 6,121,354 5,991,365 July 1997 129,989
Pound (Sell) ....................... Great Britain 79,061 77,316 July 1997 (1,745)
Pound (Sell) ....................... Great Britain 556,560 545,523 August 1997 (11,037)
Pound (Buy) ........................ Great Britain 580,984 573,438 October 1997 7,546
Pound (Sell) ....................... Great Britain 45,342 45,254 October 1997 (88)
Pound (Buy) ........................ Ireland 417,791 411,254 July 1997 6,537
Rand (Buy) ......................... South Africa 78,379 78,871 August 1997 (492)
Ringgit (Buy) ...................... Malasia 158,340 158,453 July 1997 (113)
Rupiah (Buy) ....................... Indonesia 321,412 318,324 July 1997 3,088
Rupiah (Sell) ...................... Indonesia 321,412 320,935 July 1997 (477)
Rupiah (Buy) ....................... Indonesia 190,071 188,488 August 1997 1,583
Schilling (Buy) .................... Austria 531,386 536,329 September 1997 (4,943)
Won (Buy) .......................... South Korea 325,752 321,623 July 1997 4,129
Yen (Sell) ......................... Japan 2,144,744 2,100,007 July 1997 (44,737)
Yen (Buy) .......................... Japan 12,023,665 11,024,460 July 1997 999,205
Yen (Buy) .......................... Japan 8,179,935 7,516,053 August 1997 663,882
Zloty (Buy) ........................ Poland 450,579 453,768 July 1997 (3,189)
----------
$1,619,820
==========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 500
================================================================================
PORTFOLIO OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
ISSUER SHARES VALUE
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.1%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.9%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
E I du Pont de Nemours & Co.(++) ........................ 4,275 $ 268,791
Illinois Tool Works ..................................... 4,640 231,710
Kimberly Clark Corp. .................................... 2,750 136,812
Nucor Corp. ............................................. 2,025 114,412
Praxair ................................................. 3,490 195,440
----------
947,165
----------
CAPITAL GOODS - 0.8%
Applied Materials* ...................................... 1,830 129,587
Deere & Co.(++) ......................................... 5,065 277,942
Emerson Electric Co. .................................... 3,075 169,317
General Electric Co. .................................... 8,520 556,995
Ucar Int'l Inc.* ........................................ 2,110 96,533
----------
1,230,374
----------
CONSUMER BASICS - 2.8%
Abbott Labs ............................................. 4,460 297,705
Clorox Co. .............................................. 1,485 196,020
Coca Cola Co. ........................................... 7,130 481,275
Colgate Palmolive Co. ................................... 5,560 362,790
Gillette Co. ............................................ 3,150 298,462
Health Management Association* .......................... 6,205 176,842
Johnson & Johnson ....................................... 4,640 298,700
Lilly Eli & Co. ......................................... 1,955 213,706
Merck & Co. ............................................. 2,215 229,252
PepsiCo ................................................. 8,335 313,083
Pfizer Inc. ............................................. 2,395 286,202
Philip Morris Cos. Inc.(++) ............................. 8,495 376,966
Procter & Gamble Co. .................................... 1,875 264,844
Schering Plough Corp. ................................... 4,435 212,326
Warner Lambert Co. ...................................... 2,305 286,396
----------
4,294,569
----------
CONSUMER DURABLE GOODS - 0.2%
Leggett & Platt Inc. .................................... 2,715 116,745
Sherwin Williams Co. .................................... 4,955 152,986
----------
269,731
----------
CONSUMER NON-DURABLES - 0.7%
Consolidated Stores* .................................... 6,585 228,829
Gap Inc. ................................................ 3,230 125,566
Home Depot .............................................. 1,895 130,637
Kohls Corp.* ............................................ 4,120 218,102
Walgreen Co. ............................................ 5,270 282,604
----------
985,738
----------
CONSUMER SERVICES - 0.2%
Carnival Corp. .......................................... 4,640 191,400
Walt Disney Co. ......................................... 2,110 169,328
----------
360,728
----------
FINANCE - 0.8%
American International Group Inc. ....................... 1,540 230,038
Chubb Corp.(++) ......................................... 2,740 183,237
Federal National Mortgage Association(++) ................... 2,925 127,603
Norwest Corp. ........................................... 2,345 131,906
State Street Boston Corp. ............................... 3,240 149,850
Travelers Group Inc. .................................... 4,585 172,511
----------
1,260,323
----------
GENERAL BUSINESS - 0.7%
Automated Data Processing Inc. .......................... 4,850 227,950
First Data Corp. ........................................ 4,310 189,371
Gannett Inc. ............................................ 3,395 335,256
Interpublic Group Cos. Inc. ............................. 3,045 186,697
Service Corp. International ............................. 5,010 164,704
----------
1,103,978
----------
TECHNOLOGY - 1.1%
Compaq Computer Corp.*(++) .............................. 1,110 110,167
Hewlett Packard Co. ..................................... 2,465 138,040
Intel Corp. ............................................. 1,925 272,989
Microsoft Corp.* ........................................ 3,910 494,126
Motorola Inc. ........................................... 1,635 124,260
Perkin Elmer Corp. ...................................... 3,285 261,363
Xerox Corp. ............................................. 3,585 282,767
----------
1,683,712
----------
TOTAL COMMON STOCKS ............................................... 12,136,318
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 363,558
----------
TOTAL LARGE CAP GROWTH ............................................ 12,499,876
----------
LARGE CAP VALUE--7.9%
- --------------------------------------------------------------------------------
COMMON STOCKS--7.7%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Cabot Corp. ............................................. 2,800 79,450
Dow Chemical Co. ........................................ 900 78,412
E I du Pont de Nemours & Co.(++) ........................ 1,900 119,462
FMC Corp.* .............................................. 1,900 150,931
Great Lakes Chemical Corp. .............................. 4,000 209,500
IMC Global Inc. ......................................... 1,800 63,000
Premark International Inc. .............................. 2,300 61,525
Rohm & Haas Co. ......................................... 1,500 135,094
Westvaco Corp. .......................................... 2,000 62,875
----------
960,249
----------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc. .................................. 1,100 $ 58,437
Caterpillar Inc. ........................................ 900 96,637
Cummins Engine Inc. ..................................... 5,600 395,150
Deere & Co.(++) ......................................... 1,300 71,337
Harnischfeger Industries Inc. ........................... 4,200 174,300
Kennametal Inc. ......................................... 3,300 141,900
Parker Hannifin Corp. ................................... 2,300 139,581
Tecumseh Products Co. ................................... 2,500 149,688
----------
1,227,030
----------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. ................................... 4,350 121,256
Columbia /HCA Healthcare Corp. .......................... 2,500 98,281
IBP Inc. ................................................ 3,700 86,025
Mallinckrodt Inc. ....................................... 2,900 110,200
Maxicare Health Plans Inc.* ............................. 2,600 58,175
Nellcor Puritan Bennett Inc.* ........................... 7,000 126,875
Philip Morris Cos. Inc.(++) ............................. 6,800 301,750
RJR Nabisco Holdings Corp. .............................. 5,900 194,700
Tupperware Corp. ........................................ 2,800 102,200
Universal Foods Corp. ................................... 3,300 125,812
----------
1,325,274
----------
CONSUMER DURABLE GOODS - 0.7%
Dana Corp. .............................................. 2,600 98,800
Eaton Corp. ............................................. 1,900 165,894
Ford Motor Co. Del ...................................... 9,500 358,625
General Motors Corp. .................................... 3,500 194,906
Goodyear Tire and Rubber ................................ 4,600 291,237
----------
1,109,462
----------
CONSUMER NON-DURABLES - 0.4%
Russell Corp. ........................................... 3,000 88,875
Springs Industries Inc. ................................. 2,100 110,775
Talbots Inc. ............................................ 4,000 136,000
Toys "R" Us Inc.* ....................................... 4,000 140,000
V F Corp. ............................................... 2,000 169,500
----------
645,150
----------
CONSUMER SERVICES - 0.1%
AMR Corp. Del.* ......................................... 1,300 120,250
UAL Corp.* .............................................. 1,400 100,188
----------
220,438
----------
ENERGY - 0.7%
Amoco Corp. ............................................. 1,700 147,794
Atlantic Richfield Co. .................................. 1,900 133,950
British Petroleum PLC ................................... 2,100 157,237
Mapco Inc. .............................................. 3,500 110,250
Phillips Petroleum Ce ................................... 2,300 100,625
Repsol .................................................. 3,000 127,313
Ultra Mar Diamond Shamrock .............................. 2,500 81,563
YPF Sociedad Anonima .................................... 4,600 141,450
----------
1,000,182
----------
FINANCE - 1.7%
Aegon ................................................... 1,668 116,864
Allstate Corp. .......................................... 2,200 160,600
American General Corp. .................................. 2,200 105,050
Bank of New York Inc. ................................... 2,800 121,800
Capital One Financial Corp. ............................. 3,200 120,800
Case Corp. .............................................. 4,200 289,275
Chase Manhattan Corp. ................................... 2,100 203,831
Chubb Corp.(++) ......................................... 1,300 86,938
Crestar Financial Corp. ................................. 1,300 50,537
Everest Reinsurance Holdings ............................ 3,700 146,613
Federal Home Loan Mortgage Corp. ........................ 1,400 48,125
Federal National Mortgage
Association(++) ....................................... 2,200 95,975
First Union Corp. ....................................... 1,200 111,000
Foundation Health Systems* .............................. 4,500 136,406
Mellon Bank Corp. ....................................... 2,400 108,300
Old Republic International Corp. ........................ 3,400 103,063
Providian Financial Corp. ............................... 2,000 64,250
Reliastar Financial Corp. ............................... 1,700 124,313
Republic NY Corp. ....................................... 1,100 118,250
Signet Banking Corp. .................................... 2,600 93,600
Tig Holdings Inc. ....................................... 2,300 71,875
Torchmark Inc. .......................................... 400 28,500
Transatlantic Holdings Inc. ............................. 1,100 109,175
----------
2,615,140
----------
GENERAL BUSINESS - 0.1%
Olsten Corp. ............................................ 3,400 66,088
Standard Register ....................................... 1,600 49,000
----------
115,088
----------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ................................... 6,400 302,400
Dillards Inc. ........................................... 2,900 100,412
Hartford Financial Services
Group ................................................. 1,100 91,025
----------
493,837
----------
SHELTER - 0.1%
Owens Corning ........................................... 2,900 125,063
----------
TECHNOLOGY - 0.9%
Beckman Industries Inc. ................................. 4,000 193,000
Compaq Computer Corp.*(++) .............................. 1,300 129,025
International Business Machines ......................... 3,700 333,694
Raytheon Co. ............................................ 1,800 91,800
Seagate Technology* ..................................... 4,800 168,900
Stratus Computer Inc.* .................................. 700 35,000
Tektronix Inc. .......................................... 2,200 132,000
TRW Inc. ................................................ 2,400 136,350
Western Digital Corp.* .................................. 4,500 142,313
----------
1,362,082
----------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ............................ 1,200 107,850
CSX Corp. ............................................... 1,600 88,800
----------
196,650
----------
UTILITIES - 0.3%
Central ME Power Co. .................................... 2,100 25,988
Cinergy Corp. ........................................... 1,600 55,700
Duke Power Co. .......................................... 1,253 60,066
DTE Energy Co. .......................................... 2,500 69,062
El Paso Natural Gas Co. ................................. 1,800 99,000
Entergy Corp. ........................................... 2,600 71,175
GPU Inc. ................................................ 2,200 78,925
----------
459,916
----------
TOTAL COMMON STOCKS ............................................... 11,855,561
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--0.2%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 326,817
----------
TOTAL LARGE CAP VALUE ............................................. 12,182,378
----------
SMALL CAP GROWTH--17.4%
- --------------------------------------------------------------------------------
COMMON STOCKS--16.3%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 0.6%
Central Packing Corp. ................................... 17,220 599,471
OM Group Inc. ........................................... 11,060 366,362
----------
965,833
----------
CAPITAL GOODS - 0.4%
Hardinge Bros. Inc. ..................................... 18,540 542,295
----------
CONSUMER BASICS - 3.2%
Cytyc Corp.* ............................................ 21,160 573,965
General Cigar Holdings Inc.* ............................ 16,900 497,494
Human Gendme Sciences Inc.* ............................. 11,320 376,390
Occusystems Inc.* ....................................... 16,370 474,730
Parexel International Corp.* ............................ 23,430 743,902
Performance Food Group Co.* ............................. 23,400 491,400
Renal Treatment Centers Inc.* ........................... 19,560 525,675
Suiza Foods Corp.* ...................................... 17,170 703,970
Worthington Foods Inc. .................................. 24,130 591,185
----------
4,978,711
----------
CONSUMER DURABLE GOODS- 0.7%
Miller Industries Inc.* ................................. 40,130 642,080
Tower Automotive Inc.* .................................. 9,250 397,750
----------
1,039,830
----------
CONSUMER NON-DURABLES - 0.8%
Henry Schein Inc.* ...................................... 15,310 478,437
Men's Wearhouse Inc.* ................................... 11,590 365,085
Wilmar Industries Inc.* ................................. 15,100 368,062
----------
1,211,584
----------
CONSUMER SERVICES - 0.8%
Premier Pks Inc.* ....................................... 15,150 558,656
Regal Cinemas Inc.* ..................................... 19,770 652,410
----------
1,211,066
----------
ENERGY - 1.1%
Dawson Production Services Inc.* ........................ 38,800 543,200
Forcenergy Inc.* ........................................ 18,180 552,218
Lomak Pete Inc. ......................................... 28,810 513,178
----------
1,608,596
----------
FINANCE - 0.6%
Allied Group Inc. ....................................... 12,970 492,860
Metris Companies Inc. ................................... 13,290 436,078
----------
928,938
----------
GENERAL BUSINESS - 3.7%
Abacus Direct Corp.* .................................... 24,230 787,475
Equity Corp. International* ............................. 24,350 588,966
Executive Risk Inc. ..................................... 11,160 580,320
Heftel Broadcasting Corp.* .............................. 11,800 651,950
Lamar Advertising Co.* .................................. 26,630 679,065
Metro Networks Inc.* .................................... 23,440 568,420
Profit Recovery Group Intl Inc.* ........................ 8,600 119,325
Registry Inc.* .......................................... 10,580 486,680
Snyder Communications Inc.* ............................. 22,910 617,138
Whittman Hart Inc.* ..................................... 25,030 703,969
----------
5,783,308
----------
MISCELLANEOUS - 2.3%
Gray Communications Systems Inc. ........................ 2,300 48,012
Integrated Living Communities Inc.* ..................... 31,900 366,850
Melita International Corp.* ............................. 31,040 388,000
NFO Research Inc.* ...................................... 17,970 444,758
Pierce Leahy Corp.* ..................................... 600 10,800
Rental Service Corp. .................................... 25,350 665,438
Sirrom Cap Corp. ........................................ 13,450 464,025
Suburban Lodges America Inc.* ........................... 26,520 556,920
Synthetic Industries Inc.* .............................. 6,910 145,974
Xionics Document Technologies* .......................... 36,150 533,213
----------
3,623,990
----------
TECHNOLOGY - 1.8%
Activision Inc.* ........................................ 33,450 480,844
CDW Computer Ctrs. Inc.* ................................ 8,190 434,582
Claremont Technology Group Inc.* ........................ 23,180 550,525
E Trade Group Inc.* ..................................... 21,690 425,666
Periphonics Corp.* ...................................... 26,100 561,150
Pure Atria Corp.* ....................................... 22,200 313,575
----------
2,766,342
----------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ........................... 17,220 467,093
----------
TOTAL COMMON STOCKS ............................................... 25,127,586
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 1,704,789
----------
TOTAL SMALL CAP GROWTH ............................................ 26,832,375
----------
SMALL CAP VALUE--18.6%
- --------------------------------------------------------------------------------
COMMON STOCKS--17.5%
- --------------------------------------------------------------------------------
BASIC INDUSTRIES - 1.0%
Atchenson Casting Corp.* ................................ 6,400 106,400
Carpenter Technology Corp. .............................. 4,400 201,300
Keystone Consolidated Inds Inc.* ........................ 63,300 688,388
Oil Dri Corp. America ................................... 30,000 481,875
----------
1,477,963
----------
CAPITAL GOODS - 2.9%
American Buildings Co.* ................................. 16,000 432,000
Astec Industries Inc.* .................................. 400 4,975
Astro Medical Inc.* ..................................... 3,600 31,725
Cognex Corp.* ........................................... 13,000 344,500
Commercial Intertech Corp. .............................. 35,100 489,206
D.R. Horton Inc.* ....................................... 73,200 759,450
Esco Electronics Corp.* ................................. 56,000 707,000
Global Industries
Technologies Inc.* .................................... 11,800 241,900
JLG Industries Inc. ..................................... 48,300 658,088
United Industrial Corp. ................................. 81,200 725,725
----------
4,394,569
----------
CONSUMER BASICS - 3.3%
Ekco Group Inc.* ........................................ 139,000 807,938
Matrix Pharmaceuticals* ................................. 94,000 628,625
MMI Cosmetics Inc. ...................................... 21,200 553,850
Nash Finch Co. .......................................... 21,000 464,625
RLI Corp. ............................................... 9,600 349,800
Schultz Sav O Stores Inc. ............................... 44,000 781,000
Schweitzer Mauduit Intl. Inc. .............................. 17,000 637,500
Standard Commercial Corp. ............................... 28,280 491,365
Stanhome Inc. ........................................... 13,000 427,375
----------
5,142,078
----------
CONSUMER DURABLE GOODS - 1.3%
Coachmen Industries Inc. ................................ 26,000 445,250
Flexsteel Industries Inc. ............................... 11,000 129,250
Haskel International Inc. ............................... 37,100 445,200
Oshkosh Truck Corp. ..................................... 34,000 484,500
West Inc. ............................................... 19,000 543,875
----------
2,048,075
----------
CONSUMER NON-DURABLES - 0.6%
Cato Corp. .............................................. 39,200 213,150
Haverty Furniture Cos. Inc. ............................. 16,000 200,000
Little Switzerland Inc.* ................................ 42,000 252,000
Syms Corp.* ............................................. 28,000 278,250
----------
943,400
----------
CONSUMER SERVICES - 0.5%
Aztar Corp.* ............................................ 72,900 514,856
Cannondale Corp.* ....................................... 14,000 248,500
----------
763,356
----------
ENERGY - 0.0%
Atwood Oceanics Inc.* ................................... 400 26,800
----------
FINANCE - 3.3%
Allied Life Finl Corp. .................................. 28,400 560,900
APS Holdings Corp.* ..................................... 11,800 103,250
Bank Plus Corp.* ........................................ 14,000 152,250
BankAtlantic Bancorp Inc. ............................... 5,000 70,625
BankAtlantic Bancorp Inc. Class A ....................... 25,375 355,250
Everen Capital Corp. .................................... 2,700 84,206
FBL Financial Group Inc. ................................ 10,700 403,925
Farm Family Holdings Inc.* .............................. 15,800 440,425
Financial Securities Assurance
Holdings Ltd. ........................................ 13,000 506,187
Flagstar Bancorp Inc. ................................... 33,000 536,250
GA Financial Inc. ....................................... 7,600 144,400
Guaranty National Corp. ................................. 23,000 552,000
Harleysville Group Inc. ................................. 1,200 45,450
Homeside Inc.* .......................................... 43,200 945,000
Matrix Capital Corp. .................................... 400 5,600
Ocwen Asset Investment Corp. ............................ 11,400 230,850
----------
5,136,568
----------
GENERAL BUSINESS - 0.5%
Devon Group Inc.* ....................................... 7,000 250,250
Ennis Business Forms Inc. ............................... 53,000 510,125
----------
760,375
----------
MISCELLANEOUS - 1.0%
Commonwealth Industries Inc. ............................ 100 2,037
Durco International Inc. ................................ 24,000 702,000
Kevco Inc. .............................................. 13,400 180,900
Spacehab Inc.* .......................................... 21,500 190,812
Spectralink Corp. ....................................... 41,800 235,125
Symons International Group Inc.* ........................ 10,700 163,175
Wilshire Financial Svcs. Group Inc.* .................... 2,000 32,500
---------
1,506,549
---------
SHELTER - 2.3%
Ameron International Corp. .............................. 5,600 317,100
Beazer Homes USA Inc.* .................................. 33,000 528,000
Belmont Homes Inc.* ..................................... 44,400 305,250
Butler Mfg. Co. Del ..................................... 3,600 119,250
Morgan Products Ltd.* ................................... 85,000 637,500
Patrick Industries Inc. ................................. 27,100 447,150
Ryland Group Inc. ....................................... 39,000 550,875
Southern Energy Homes Inc.* ............................. 26,600 242,725
US Homes Corp.* ......................................... 16,200 430,313
----------
3,578,163
----------
TECHNOLOGY - 0.2%
Mapinfo Corp.* .......................................... 4,500 43,875
Premenos Technology Corp.* .............................. 13,500 114,750
Symantec Corp.* ......................................... 5,000 97,500
----------
256,125
----------
TRANSPORTATION - 0.6%
Fritz Companies Inc. .................................... 59,300 574,469
Kenan Transportation Co. ................................ 14,000 276,500
----------
850,969
----------
TOTAL COMMON STOCKS ............................................... 26,884,990
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--1.1%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 1,677,816
----------
TOTAL SMALL CAP VALUE ............................................ 28,562,806
----------
INTERNATIONAL EQUITY - 36.0%
- --------------------------------------------------------------------------------
COMMON STOCKS--32.6%
- --------------------------------------------------------------------------------
AUSTRIA - 0.4%
Bohler Uddeholm ......................................... 7,516 582,845
----------
AUSTRALIA - 1.3%
Australia & New Zealand
Bank Group ............................................. 142,061 1,062,889
Pioneer International Ltd. .............................. 136,600 528,565
Quantas Airways ......................................... 168,149 393,943
----------
1,985,397
----------
CANADA - 1.6%
Bank N S Halifax ........................................ 14,723 645,021
Canadian Imperial
Bank Toronto .......................................... 18,370 462,925
Imasco Ltd. ............................................. 26,350 763,243
Noranda Inc. ............................................ 23,965 516,281
----------
2,387,470
----------
FINLAND - 0.6%
Rauma Oy ................................................ 10,430 239,020
UPM Kymmene Oy .......................................... 31,250 722,161
----------
961,181
----------
FRANCE - 2.0%
Elf Aquitaine ........................................... 3,350 361,410
Lafarge ................................................. 12,000 746,337
Pernod Ricard ........................................... 14,950 770,815
Seita ................................................... 17,935 567,650
Usinor Sacilor .......................................... 38,000 685,419
----------
3,131,631
----------
GERMANY - 0.7%
Bayer AG ................................................ 3,450 132,572
Commerzbank AG .......................................... 32,380 917,133
----------
1,049,705
----------
GREAT BRITAIN - 8.0%
Abbey National .......................................... 57,800 789,286
Allied Domecq PLC ....................................... 116,960 841,422
Bat Industries .......................................... 94,501 845,878
British Gas ............................................. 41,000 150,210
BTR ..................................................... 264,830 906,300
Coats Viyella ........................................... 428,401 898,905
Commercial Union ........................................ 61,400 645,705
Energy Group ............................................ 38,000 405,634
Hanson .................................................. 158,900 788,557
Harrison & Crosfield .................................... 350,760 642,533
Hillsdown Holdings ...................................... 167,926 474,002
Hyder ................................................... 59,935 808,459
Lex Service ............................................. 109,500 688,373
National Westminster .................................... 10,078 135,522
Powergen ................................................ 67,109 797,943
Redland ................................................. 136,921 775,250
Safeway ................................................. 160,900 931,116
Tate & Lyle ............................................. 97,500 724,968
----------
12,250,063
----------
HONG KONG - 2.2%
China Light & Power ..................................... 88,000 498,651
Dickson Concept Industries .............................. 120,333 438,009
Hang Lung Development Co. ............................... 151,000 276,767
Hong Kong Telecomm ...................................... 229,400 547,791
HSBC Holdings ........................................... 12,800 384,960
Manhattan Card Co. ...................................... 1,373,000 624,711
New World Development Co. ............................... 52,000 310,095
Sth China Morn Post ..................................... 253,000 248,190
----------
3,329,174
----------
IRELAND - 0.6%
Smurfit ................................................. 343,100 997,351
----------
ITALY - 0.6%
Eni Spa ................................................. 149,500 846,648
----------
JAPAN - 4.7%
Koito Mfg. Co. .......................................... 83,000 634,340
MOS Food Services ....................................... 48,400 895,202
Nichicon Corp. .......................................... 75,000 1,014,221
Nintendo Co. ............................................ 8,600 720,293
Promise Co. ............................................. 18,000 1,030,187
Sekisui Chemical ........................................ 76,000 769,150
Sony Corp. .............................................. 5,500 479,367
Suzuki Motor Corp. ...................................... 73,000 923,486
Yodogawa Steelworks ..................................... 122,000 745,071
----------
7,211,317
----------
MALAYSIA - 0.8%
Arab Malaysian Finance .................................. 265,000 561,708
Bolton Properties ....................................... 225,000 320,919
Kedah Cement Holdings ................................... 132,000 206,054
Malaysian International Shipping ........................ 83,000 215,392
----------
1,304,073
----------
NETHERLANDS - 2.7%
Akzo Nobel NV ........................................... 6,391 875,836
ABN Amro Holdings NV .................................... 48,860 911,038
Hollandsche Beton ....................................... 2,455 559,939
Ing Groep NV ............................................ 16,500 760,737
Kon PTT Nederland ....................................... 25,911 1,016,428
----------
4,123,978
----------
NEW ZEALAND - 0.2%
Fletcher Challenge (Building) ........................... 76,000 228,690
Fletcher Challenge (Paper) .............................. 3,040 4,336
----------
233,026
----------
NORWAY - 1.0%
Kvaerner ASA ............................................ 14,765 893,451
Nycomed ................................................. 48,255 691,314
----------
1,584,765
----------
SPAIN - 1.2%
Banco Santander SA ...................................... 31,950 984,411
Repsol SA ............................................... 19,900 841,378
----------
1,825,789
----------
SWEDEN - 0.5%
Electrolux .............................................. 6,500 468,877
Marieberg Tidnings ...................................... 13,600 337,561
----------
806,438
----------
SWITZERLAND - 3.0%
Forbo Hldg .............................................. 1,800 776,712
Nestle SA ............................................... 660 870,658
Schw Ruckversicher ...................................... 855 1,209,298
Sig Schw Ind HG AG ...................................... 239 724,366
Sulzer AG ............................................... 1,132 969,178
----------
4,550,212
----------
UNITED STATES - 0.5%
Jardine Matheson ........................................ 121,200 860,520
----------
TOTAL COMMON STOCKS ............................................... 50,021,583
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--3.4%
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................. 5,276,224
----------
TOTAL INTERNATIONAL EQUITY ........................................ 55,297,807
----------
INTERNATIONAL BOND--14.5%
- --------------------------------------------------------------------------------
FIXED INCOME--8.2%
- --------------------------------------------------------------------------------
CURRENCY
--------
ARGENTINA - 0.1%
Republic of Argentina Bocon
3.242% due 4/01/01 ............................. ARS 212,373 194,746
----------
AUSTRALIA - 0.1%
Australia Commonwealth
9.50% due 8/15/03 .............................. AUD 250,000 215,292
----------
AUSTRIA - 0.0%
Republic of Austria
7.625% due 10/18/04 ............................ ATS 700,000 64,615
----------
BELGIUM - 0.1%
Belgium (Kingdom)
9.00% due 3/28/03 .............................. BF 300,000 10,014
8.50% due 10/01/07 ............................. BF 2,500,000 83,949
----------
93,963
----------
CANADA - 0.8%
8.50% due 3/01/00 .............................. CAD 1,179,000 923,384
9.00% due 12/01/04 ............................. CAD 400,000 338,382
----------
1,261,766
----------
CROATIA - 0.1%
Republic of Croatia
6.50% due 7/30/10 .............................. USD 140,000 135,975
----------
DENMARK - 0.1%
Denmark (Kingdom)
8.00% due 5/15/03 .............................. DKK 1,000,000 170,454
8.00% due 3/15/06 .............................. DKK 460,000 77,966
----------
248,420
----------
FINLAND - 1.0%
Finland (Rep of)
7.25% due 4/18/06 .............................. FIM 6,000,000 1,252,770
8.25% due 10/15/10 ............................. FIM 1,000,000 223,470
----------
1,476,240
----------
FRANCE - 0.2%
Government of France
8.25% due 2/27/04 ............................. FRF 100,000 20,025
7.75% due 10/25/05 ............................ FRF 1,320,000 259,993
----------
280,018
----------
GERMANY - 0.6%
Germany (Fed) Rep
6.375% due 5/20/98 ............................ DEM 60,000 35,351
7.125% due 12/20/02 ........................... DEM 650,000 413,345
Treuhandanstalt
6.875% due 6/03/11 ............................ DEM 790,000 496,530
----------
945,226
----------
GREAT BRITAIN - 1.0%
Treasury
8.00% due 12/07/00 ............................ GBP 200,000 342,011
6.75% due 11/26/04 ............................ GBP 20,000 32,827
8.50% due 12/07/05 ............................ GBP 561,000 1,017,147
----------
1,391,985
----------
GREECE - 0.1%
Hellenic Republic
11.10% due 6/17/03 ............................ GRD 5,400,000 20,260
Republic of Greece
14.00% due 10/23/03 ........................... GRD 24,400,000 92,298
----------
112,558
----------
ITALY - 0.6%
Republic of Italy
9.50% due 1/01/05 ............................. ITL1,280,000,000 867,608
----------
JAPAN - 2.0%
Japan
6.40% due 3/20/00 ............................. JPY 111,700,000 1,110,470
5.50% due 3/20/02 ............................. JPY 110,000,000 1,122,457
4.50% due 6/20/03 ............................. JPY 45,000,000 446,624
4.10% due 12/22/03 ............................ JPY 32,300,000 314,997
----------
2,994,548
----------
NETHERLANDS - 0.4%
Dutch Government
6.25% due 7/15/98 ............................. NLG 1,100,000 576,311
8.25% due 2/15/07 ............................. NLG 100,000 60,905
----------
637,216
----------
NEW ZEALAND - 0.2%
New Zealand Government
8.00% due 4/15/04 ............................. NED 410,000 294,287
----------
PHILLIPPINES - 0.1%
Eurobank Recon & Development
9.00% due 4/22/98 ............................. PHP 3,000,000 112,887
International Bank Recon
10.25% due 4/11/02 ............................ PHP 2,000,000 76,158
----------
189,045
----------
SOUTH AFRICA - 0.1%
Republic of South Africa
14.00% due 8/15/97 ............................ ZAR 680,000 149,478
----------
SPAIN - 0.2%
Government of Spain
10.25% due 11/30/98 ........................... ESP 22,000,000 1 59,472
10.90% due 8/30/03 ............................ ESP 19,500,000 166,349
10.00% due 2/28/05 ............................ ESP 18,760,000 157,044
----------
482,865
----------
SWEDEN - 0.4%
Sweden (Kingdom)
11.00% due 1/21/99 ............................ SEK 1,500,000 211,712
10.25% due 5/05/00 ............................ SEK 2,300,000 336,350
13.00% due 6/15/01 ............................ SEK 600,000 97,808
----------
645,870
----------
TOTAL FIXED INCOME ............................................... 12,681,721
----------
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS--5.9%
- --------------------------------------------------------------------------------
American Express Credit Corp.
5.54% due 7/30/97 ............................. $ 700,000 696,876
American Tel & Telegraph Co.
5.48% due 7/01/97 ............................. $ 600,000 600,000
Ameritech Corp.
5.51% due 8/15/97 ............................. $ 500,000 496,556
Caisse D. Amortissement 5.55% due 8/05/97 ...... $ 600,000 596,763
Canadian Treasury Bill
due 4/02/98 ................................... CAD 400,000 281,690
E I du Pont de Nemours & Co.
5.52% due 7/15/97 ............................. $600,000 598,712
Emerson Electric
5.48% due 7/01/97 ............................. $600,000 600,000
Federal Home Loan Mortgage Corp.
5.44% due 7/14/97 ............................. $200,000 199,607
Ford Motor Credit Co.
5.58% due 7/02/97 ............................. $500,000 499,922
General Electric Capital Corp.
5.59% due 7/17/97 ............................. $600,000 598,416
Hong Kong Shanghai Bank
due 8/13/97 ................................... IDR 300,000,000 121,658
IBM Credit Corp.
5.57% due 7/21/97 ............................. $700,000 697,834
KFW International Finance
5.53% due 8/22/97 ............................. $600,000 595,207
Letras Del Tesoro
due 3/20/98 ................................... ARS 40,000 38,194
Mexican Cetes
due 7/24/97 ................................... MEX 270,000 33,525
Mexican Cetes
due 7/31/97 ................................... MEX 280,000 34,624
Mexican Cetes
due 10/02/97 .................................. MEX 280,000 33,399
Mexican Cetes
due 10/30/97 .................................. MEX 310,000 36,393
Minnesota Mining & Manufacturing Co.
5.51% due 8/12/97 ............................. $600,000 596,143
National Rural Utilities
5.55% due 7/03/97 ............................. $700,000 699,784
New Center Asset Trust
5.56% due 9/10/97 ............................. $200,000 197,748
Poland Treasury Bill
due 10/22/97 ................................. PLN 30,000 8,561
Poland Treasury Bill
due 12/03/97 ................................. PLN 300,000 83,606
Poland Treasury Bill
due 4/22/98 .................................. PLN 330,000 85,379
Poland Treasury Bill
due 5/13/98 .................................. PLN 180,000 46,061
Poland Treasury Bill
due 6/26/98 .................................. PLN 400,000 100,178
Republic of Finland
3.49% due 3/13/98 ............................ FIM 1,000,000 188,147
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) ............................................ 237,706
United States Treasury Bill
5.01% due 10/02/97 .............................................. 9,853
----------
9,012,542
----------
- --------------------------------------------------------------------------------
INTERNATIONAL BOND OPTIONS--0.4%
- --------------------------------------------------------------------------------
Purchased calls
AST 1,000,000 Australian Government Bonds
@ 107.603 exp. date 9/26/97 ............................. $ 75,227
CAD 300,000 Canadian Government Bonds
@ 94.6 exp. date 7/16/97 ................................ 21,081
CAD 600,000 Canadian Government Bonds
@ 93.7 exp. date 3/24/97 ................................ 45,503
JPY 39,000,000 Japanese Government Bonds
@ 105.6 exp. date 7/16/97 ............................... 28,194
JPY 46,000,000 Japanese Government Bonds
@ 102.586 exp. date 9/16/97 ............................. 40,320
JPY 209,000,000 Japanese Government Bonds
@ 97.239 exp. date 9/25/97 .............................. 273,567
SEK 2,100,000 Swedish Government Bonds
@ 91.807 exp. date 9/27/97 .............................. 156,752
-----------
TOTAL INTERNATIONAL BOND OPTIONS ......................... 640,644
-----------
TOTAL INTERNATIONAL BOND ................................ 22,334,907
-----------
SHORT-TERM--3.7%
- --------------------------------------------------------------------------------
SHORT-TERM OBLIGATIONS
- --------------------------------------------------------------------------------
Shearson Lehman Repurchase Agreement
5.85% due 7/01/97(+) .................................... 5,679,093
-----------
TOTAL INVESTMENTS
(Identified Cost $146,853,924) ................... 106.2% 163,389,242
OTHER ASSETS, LESS LIABILITIES .................... (6.2) (9,595,010)
----- ------------
TOTAL NET ASSETS .................................. 100.0% $153,794,232
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Shearson Lehman Repurchase Agreements due
5.85% 7/01/97 valued at $15,266,003, collateralized by $10,175,000 Federal
Home Loan Mortgage 6.45% due 6/3/00, $5,330,000 Federal National Mortgage
Association 6.45% due 4/10/01, portions of which are listed separately by
each Asset Class.
(++)The Portfolio owns in aggregate 6,365 shares in Deere & Co., valued at
$349,279, 15,295 shares in Philip Morris Cos. Inc. valued at $678,716,
4,040 shares in Chubb Corp. valued at $270,175, 5,125 shares of Federal
Home Mortgage Association, valued at $223,578, 2,410 shares in Compaq
Computer Corp. valued at $239,192, and 6,175 shares in E I
du Pont de Nemours & Co. valued at $388,253.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 500
================================================================================
FUTURES CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
NUMBER OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS DATE GAIN/LOSS
---------------- ------------------ ----------------- ------------------
<S> <C> <C> <C>
U.S. Treasury 5-Year Note (Buy) 3 September 1997 $ (328)
U.S. Treasury 10-Year Note (Buy) 2 September 1997 (1,563)
-------
$(1,891)
=======
</TABLE>
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT JUNE 30, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
UNREALIZED
MARKET AGGREGATE DELIVERY DATE APPRECIATION
CURRENCY COUNTRY VALUE FACE VALUE OF CONTRACTS (DEPRECIATION)
------------------ -------------- ------------- ----------- ------------- --------------
<S> <C> <C> <C> <C> <C>
Deutsche Mark (Buy) ................ Germany $ 534,294 $ 550,432 July 1997 $(16,138)
Deutsche Mark (Sell) ............... Germany 766,159 775,511 July 1997 9,352
Deutsche Mark (Sell) ............... Germany 113,753 115,674 August 1997 1,921
Deutsche Mark (Buy) ................ Germany 3,096,115 3,134,207 September 1997 (38,092)
Deutsche Mark (Sell) ............... Germany 35,397 35,528 October 1997 131
Dollar (Sell) ...................... Australia 242,950 243,177 July 1997 227
Dollar (Buy) ....................... Australia 95,578 98,112 July 1997 (2,534)
Dollar (Buy) ....................... Canada 436,088 434,486 July 1997 1,602
Dollar (Sell) ...................... Canada 568,743 566,845 July 1997 (1,898)
Dollar (Buy) ....................... Canada 142,605 142,221 September 1997 384
Dollar (Sell) ...................... Canada 943,735 948,203 September 1997 4,468
Dollar (Buy) ....................... Canada 322,772 328,554 March 1998 (5,782)
Dollar (Sell) ...................... New Zealand 185,168 189,066 August 1997 3,898
Dollar (Sell) ...................... New Zealand 108,478 110,057 September 1997 1,579
Drachma (Buy) ...................... Greece 15,285 15,404 July 1997 (119)
ECU (Sell) ......................... Europe 134,399 138,513 July 1997 4,114
Franc (Buy) ........................ Belgium 245,479 250,897 July 1997 (5,418)
Franc (Buy) ........................ Belgium 143,881 145,825 September 1997 (1,944)
Franc (Buy) ........................ France 957,312 981,191 July 1997 (23,879)
Franc (Sell) ....................... France 7,363 7,611 July 1997 248
Franc (Buy) ........................ France 141,694 143,106 August 1997 (1,412)
Franc (Sell) ....................... France 2,284 2,363 August 1997 79
Franc (Buy) ........................ France 67,739 68,440 September 1997 (701)
Franc (Sell) ....................... France 5,059 5,072 October 1997 13
Franc (Sell) ....................... Switzerland 7,647 7,747 July 1997 100
Franc (Sell) ....................... Switzerland 443,235 459,098 August 1997 15,863
Franc (Sell) ....................... Switzerland 1,416,016 1,439,044 September 1997 23,028
Franc (Sell) ....................... Switzerland 5,060 5,097 October 1997 37
Guilder (Buy) ...................... Netherlands 534,569 544,538 July 1997 (9,969)
Guilder (Buy) ...................... Netherlands 184,415 186,143 September 1997 (1,728)
Guilder (Sell) ..................... Netherlands 152,142 155,605 September 1997 3,463
Koruna (Buy) ....................... Czechoslovakia 134,686 140,065 August 1997 (5,379)
Krone (Buy) ........................ Denmark 78,083 79,326 July 1997 (1,243)
Krone (Buy) ........................ Denmark 51,317 52,851 August 1997 (1,534)
Krone (Sell) ....................... Denmark 62,939 63,990 August 1997 1,051
Krone (Buy) ........................ Sweden 231,613 231,004 July 1997 609
Krone (Sell) ....................... Sweden 389,498 392,688 July 1997 3,190
Krone (Buy) ........................ Sweden 293,871 294,609 August 1997 (738)
Lira (Buy) ......................... Italy 1,280,912 1,277,062 July 1997 3,850
Markka (Sell) ...................... Finland 1,137,869 1,160,656 July 1997 22,787
Markka (Sell) ...................... Finland 226,931 227,775 August 1997 844
Markka (Sell) ...................... Finland 219,043 220,703 September 1997 1,660
Peseta (Buy) ....................... Spain $ 617,740 $ 624,466 July 1997 $ (6,726)
Peseta (Sell) ...................... Spain 193,542 196,368 July 1997 2,826
Peseta (Buy) ....................... Spain 177,490 179,198 August 1997 (1,708)
Peseta (Buy) ....................... Spain 537,592 544,659 September 1997 (7,067)
Peseta (Sell) ...................... Spain 466,272 472,727 September 1997 6,455
Peso (Buy) ......................... Chile 39,393 39,048 July 1997 345
Peso (Buy) ......................... Philippines 20,777 20,780 July 1997 (3)
Pound (Buy) ........................ Great Britain 1,050,469 1,030,834 July 1997 19,635
Pound (Sell) ....................... Great Britain 15,363 15,025 July 1997 (338)
Pound (Sell) ....................... Great Britain 4,793 4,726 August 1997 (67)
Pound (Buy) ........................ Great Britain 116,197 114,385 October 1997 1,812
Pound (Sell) ....................... Great Britain 10,076 10,057 October 1997 (19)
Pound (Buy) ........................ Ireland 80,228 78,973 July 1997 1,255
Rand (Buy) ......................... South Africa 17,418 17,527 August 1997 (109)
Ringgit (Buy) ...................... Malaysia 31,668 31,691 July 1997 (23)
Rupiah (Buy) ....................... Indonesia 62,344 61,745 July 1997 599
Rupiah (Sell) ...................... Indonesia 62,344 62,251 July 1997 (93)
Rupiah (Buy) ....................... Indonesia 36,788 36,482 August 1997 306
Schilling (Buy) .................... Austria 120,769 121,900 September 1997 (1,131)
Won (Buy) .......................... South Korea 63,169 62,368 July 1997 801
Yen (Sell) ......................... Japan 345,826 337,661 July 1997 (8,165)
Yen (Buy) .......................... Japan 1,842,112 1,689,026 July 1997 153,086
Yen (Buy) .......................... Japan 2,107,681 1,939,274 August 1997 168,407
Zloty (Buy) ........................ Poland 100,129 100,836 July 1997 (707)
---------
$ 315,361
=========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
================================================================================
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
<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,
$140,202,264, $291,475,959, $389,380,956 and
$146,853,924, respectively)............................ $147,944,391 $314,519,513 $429,615,652 $163,389,242
Foreign currency at value (cost $61,627, $133,861,
$184,243 and $73,280, respectively) .................. 62,012 134,908 185,455 73,526
Cash ................................................... 15 140 881 160
Receivable for securities sold ......................... 25,446,384 41,953,211 66,291,236 14,551,229
Receivable for forward contracts ....................... 907,912 1,737,373 2,339,768 460,025
Dividend receivable .................................... 112,291 381,027 891,196 488,144
Interest receivable .................................... 973,386 1,896,928 1,961,136 355,997
Receivable for daily variation on future contracts ..... 3,500 -- -- --
Other assets ........................................... 944 390 1,073 266
------------ ------------ ------------ ------------
Total assets .......................................... 175,450,835 360,623,490 501,286,397 179,318,589
------------ ------------ ------------ ------------
LIABILITIES:
Payable for securities purchased ....................... 42,902,597 79,859,176 116,750,944 25,059,330
Payable for forward contracts .......................... 265,935 533,937 719,948 144,664
Payable for daily variation on future contracts ........ -- 359 6,781 1,438
Accrued expenses ....................................... 221,302 407,494 625,691 231,265
Other liabilities ...................................... 20,250 53,693 149,871 87,660
------------ ------------ ------------ ------------
Total liabilities ..................................... 43,410,084 80,854,659 118,253,235 25,524,357
------------ ------------ ------------ ------------
NET ASSETS ............................................. $132,040,751 $279,768,831 $383,033,162 $153,794,232
============ == ========= =========== ============
REPRESENTED BY:
Paid-in capital ........................................ $132,040,751 $279,768,831 $383,033,162 $153,794,232
============ ============ ============ ============
See notes to financial statements
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
===============================================================================
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
<TABLE>
<CAPTION>
ASSET ASSET ASSET ASSET
ALLOCATION ALLOCATION ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300 PORTFOLIO 400 PORTFOLIO 500
------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
INCOME:
Interest (Note 1B) (net of foreign tax of $0, $0, $1,772
and $2,469, respectively) .............................. $ 2,236,831 $ 3,531,188 $ 2,882,091 $ 626,886
Dividends (net of foreign tax of $40,591, $136,906,
$349,946 and $195,375, respectively) ................... 364,130 1,100,305 2,200,856 1,109,429
----------- ----------- ----------- -----------
Total income 2,600,961 4,631,493 5,082,947 1,736,315
----------- ----------- ----------- -----------
EXPENSES:
Management fees (Note 2) ................................ 382,755 764,741 1,017,639 384,083
Custodian fees and accounting fees ...................... 235,256 220,240 375,161 219,784
Auditing services ....................................... 10,850 1,305 3,305 8,000
Legal services .......................................... 10,686 10,759 10,688 10,688
Trustees fees ........................................... 2,083 2,190 1,286 1,114
Miscellaneous ........................................... 770 770 850 746
----------- ----------- ----------- -----------
Total expenses ......................................... 642,400 1,000,005 1,408,929 624,415
Less aggregate amount waived by the Manager (Note 2) .... (141,856) -- -- (92,642)
----------- ----------- ----------- -----------
Net expenses ............................................ 500,544 1,000,005 1,408,929 531,773
----------- ----------- ----------- -----------
Net investment income ................................... 2,100,417 3,631,488 3,674,018 1,204,542
----------- ----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized loss from investments and
foreign currency transactions .......................... (987,180) (2,579,749) (3,987,901) (1,264,489)
Net change in unrealized appreciation ................... 5,186,892 16,235,318 28,423,363 13,222,980
----------- ----------- ----------- -----------
Net realized and unrealized gain on investments
and foreign currency ................................... 4,199,712 13,655,569 24,435,462 11,958,491
----------- ----------- ----------- -----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .... $ 6,300,129 $17,287,057 $28,109,480 $13,163,033
=========== =========== =========== ===========
See notes to financial statements
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
===============================================================================
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
ASSET ASSET
ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300
------------------------------ ------------------------------
SIX MONTHS JUNE 17, 1996* SIX MONTHS JUNE 17, 1996*
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ........................... $ 2,100,417 $ 1,111,495 $ 3,631,488 $ 1,871,599
Net realized gain (loss) from investments
and foreign currency transactions .............. (987,180) 328,852 (2,579,749) 756,606
Net change in unrealized appreciation
of investments ................................. 5,186,892 2,910,650 16,235,318 7,633,362
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations .............................. 6,300,129 4,350,997 17,287,057 10,261,567
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions 32,149,450 98,061,294 72,678,604 181,943,760
Value of withdrawals ........................... (7,483,897) (1,337,222) (2,231,410) (170,747)
------------ ------------ ------------ ------------
Net increase in net assets from
capital transactions ......................... 24,665,553 96,724,072 70,447,194 181,773,013
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ...................... 30,965,682 101,075,069 87,734,251 192,034,580
NET ASSETS:
Beginning of period ............................. 101,075,069 -- 192,034,580 --
------------ ------------ ------------ ------------
End of period ................................... $132,040,751 $101,075,069 $279,768,831 $192,034,580
============ ============ ============ ============
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
ASSET ASSET
ALLOCATION ALLOCATION
PORTFOLIO 400 PORTFOLIO 500
------------------------------- --------------------------------
SIX MONTHS JUNE 17, 1996* SIX MONTHS SEPT. 3, 1996*
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ............................ $ 3,674,018 $ 1,772,551 $ 1,204,542 $ 331,253
Net realized gain (loss) from investments
and foreign currency transactions ............... (3,987,901) 1,371,474 (1,264,489) (188,916)
Net change in unrealized appreciation
of investments .................................. 28,423,363 12,898,831 13,222,980 3,431,686
------------ ------------ ------------ -----------
Net increase in net assets resulting
from operations ................................ 28,109,480 16,042,856 13,163,033 3,574,023
------------ ------------ ------------ -----------
CAPITAL TRANSACTIONS
Proceeds from contributions ..................... 112,386,432 230,379,266 60,170,969 78,557,699
Value of withdrawals ............................ (3,614,896) (269,976) (1,541,223) (130,269)
------------ ------------ ------------ -----------
Net increase in net assets from capital
transactions ................................... 108,771,536 230,109,290 58,629,746 78,427,430
------------ ------------ ------------ -----------
NET INCREASE IN NET ASSETS ....................... 136,881,016 246,152,146 71,792,779 82,001,453
NET ASSETS:
Beginning of period .............................. 246,152,146 -- 82,001,453 --
------------ ------------ ------------ -----------
End of period .................................... $383,033,162 $246,152,146 $153,794,232 $82,001,453
============ ============ ============ ===========
* Commencement of operations
See notes to financial statements
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
===============================================================================
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ASSET ASSET
ALLOCATION ALLOCATION
PORTFOLIO 200 PORTFOLIO 300
-------------------------------- -------------------------------
SIX MONTHS JUNE 17, 1996* SIX MONTHS JUNE 17, 1996*
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $132,041 $101,075 $279,769 $192,035
Ratio of expenses to average net assets .............. 0.85%+ 0.85%+ 0.85%+ 0.85%+
Ratio of net investment income to average net assets . 3.57%+ 3.65%+ 3.09%+ 3.15%+
Portfolio turnover ................................... 127% 147% 109% 132%
Average commission rate per share (A) ................ $0.0057 $0.0019 $0.0049 $0.0027
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 ....................... 1.09%+ 1.79%+ 0.85%+ 1.50%+
Net investment income to average net assets .......... 3.33%+ 2.71%+ 3.09%+ 2.50%+
<CAPTION>
ASSET ASSET
ALLOCATION ALLOCATION
PORTFOLIO 400 PORTFOLIO 500
-------------------------------- -------------------------------
SIX MONTHS JUNE 17, 1996* SIX MONTHS SEPT. 3, 1996*
ENDED TO ENDED TO
JUNE 30, 1997 DECEMBER 31, JUNE 30, 1997 DECEMBER 31,
(UNAUDITED) 1996 (UNAUDITED) 1996
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $383,033 $246,152 $153,794 $82,001
Ratio of expenses to average net assets .............. 0.90%+ 0.90%+ 0.90%+ 0.90%+
Ratio of net investment income to average net assets . 2.35%+ 2.33%+ 2.04%+ 2.08%+
Portfolio turnover ................................... 109% 130% 70% 27%
Average commission rate per share (A) ................ $0.0047 $0.0024 $0.0040 $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 ....................... 0.90%+ 1.37%+ 1.06%+ 1.91%+
Net investment income to average net assets .......... 2.35%+ 1.86%+ 1.88%+ 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 See notes to financial statements
+Annualized
*Commencement of operations
See notes to financial statements
</TABLE>
<PAGE>
(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 Portfolios may engage in futures transactions. The
Portfolios may use futures contracts in order to protect the Portfolios 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 Portfolios in an effort to reduce potential losses or enhance
potential gains. Buying futures contracts tends to increase the Portfolios'
exposure to the underlying instrument. Selling futures contracts tends to either
decrease the Portfolios' exposure to the underlying instrument, or to hedge
other fund investments.
Upon entering into a futures contract, the Portfolios are 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 Portfolios
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 Portfolios recognize 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 Portfolios 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 Portfolios 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 Portfolios exercise a put option, the
Portfolios will realize a gain or loss from sale of the underlying security and
the proceeds from such sale will be decreased by the premium originally paid.
When the Portfolios exercise a call option, the cost of the security which the
Portfolios purchase 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 Portfolios. 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 fee paid to Citibank, is accrued daily and payable monthly.
The management fee is computed at the annual rate of 0.65% of each of the
Portfolios' average daily net assets.
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 $382,755, $764,741, $1,017,639 and
$384,083, respectively, of which $141,856 and $92,642 was waived for Asset
Allocation Portfolio 200 and 500, respectively, for the six months ended June
30, 1997. 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 six months ended June 30, 1997, were as follows:
PURCHASES SALES
Asset Allocation
Portfolio 200 ......... $138,709,952 $119,482,797
Asset Allocation
Portfolio 300 ......... $305,882,424 $241,016,723
Asset Allocation
Portfolio 400 ......... $418,432,793 $318,276,331
Asset Allocation
Portfolio 500 ......... $125,388,932 $ 75,705,732
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at June 30, 1997, as computed on a federal income
tax basis, are as follows:
ASSET ALLOCATION PORTFOLIO 200
Aggregate Cost $140,202,264
============
Gross unrealized appreciation $ 8,566,015
Gross unrealized depreciation (823,888)
------------
Net unrealized appreciation
(depreciation) $ 7,742,127
============
ASSET ALLOCATION PORTFOLIO 300
Aggregate Cost $291,475,959
============
Gross unrealized appreciation $ 25,231,386
Gross unrealized depreciation (2,187,832)
------------
Net unrealized appreciation
(depreciation) $ 23,043,554
============
ASSET ALLOCATION PORTFOLIO 400
Aggregate Cost $389,380,956
============
Gross unrealized appreciation $ 44,264,371
Gross unrealized depreciation (4,029,675)
------------
Net unrealized appreciation
(depreciation) $ 40,234,696
============
ASSET ALLOCATION PORTFOLIO 500
Aggregate Cost $146,853,924
============
Gross unrealized appreciation $ 18,369,667
Gross unrealized depreciation (1,834,349)
------------
Net unrealized appreciation
(depreciation) $ 16,535,318
============
(5) LINE OF CREDIT
The Portfolios, along with the Landmark funds, entered into a line of credit
agreement with a bank which allows the Portfolios collectively to borrow up to
$60 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 six
months ended June 30, 1997, the commitment fee was allocated as follows:
Asset Allocation Portfolio 200 $239
Asset Allocation Portfolio 300 $463
Asset Allocation Portfolio 400 $604
Asset Allocation Portfolio 500 $219
Since the line of credit was established, there have been no borrowings.
CITISELECT PORTFOLIOS
TO SPEAK TO AN INVESTMENT CONSULTANT
ABOUT CITISELECT PORTFOLIOS,
CALL 1-888-ASK-CITI
(That's 1-888-275-2484,
That Call Is Toll Free.)
