<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 LLP
150 Federal Street, Boston, MA 02110
This report is prepared for the information of shareholders. It is authorized
for distribution to prospective investors only when preceded or accompanied by
an effective prospectus.
This Report is Prepared & Printed on Recycled Paper [Recycle Logo]
CSP/A/97
CITISELECT(R)
- -----------------------
PORTFOLIOS
- -----------------------
CITISELECT(R) FOLIO 200
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CITISELECT(R) FOLIO 300
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CITISELECT(R) FOLIO 400
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CITISELECT(R) FOLIO 500
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ANNUAL
REPORT
----------------
OCTOBER 31, 1997
----------------
<PAGE>
A LETTER TO OUR SHAREHOLDERS
- --------------------------------------------------------------------------------
Dear Shareholder:
Although the worldwide financial markets have been quite volatile at times, the
first ten months of 1997 have been positive for the CitiSelect portfolios. In
fact, we believe that the markets' volatility has served to underscore the value
of the CitiSelect portfolios' approach to investing. By strategically
diversifying investment assets among different securities, markets, investment
styles and geographic regions, we have helped take some of the volatility out of
investing for our shareholders. Yet, at the same time, we have given them the
opportunity to participate in the long-term gains that stocks, bonds and cash
equivalents have historically provided.
We are pleased to reiterate in this Report, as we did in the most recent
Semi-Annual Report, that the four CitiSelect portfolios have continued to
perform relative to one another as designed. For the period as a whole,
CitiSelect Folio 500 produced the greatest gains, Folio 400 the next greatest
with Folios 300 and 200 following in order of magnitude. At the same time,
CitiSelect Folio 200 provided the least volatility, with Folios 300, 400 and 500
following in respective order.
We are gratified that the CitiSelect portfolios' asset allocation strategy is
helping shareholders achieve their financial goals in a manner that is
consistent with their attitudes toward risk. While the investment approach for
the CitiSelect portfolios is not a new one -- it has been used successfully by
large institutional investors for years -- the portfolios are among the first
mutual funds to offer the advantages of multi-asset-class, multi-style,
multi-manager asset allocation to individuals and their families.
This Annual Report discusses the market conditions the portfolios' investment
manager, Citibank, N.A., faced and the strategies it employed. The report covers
the period from January 1, 1997 through October 31, 1997 for CitiSelect Folios
200, 300, 400 and 500. We are sending you this Annual Report as of October 31
because the fiscal year-end date of the Funds has been changed from December 31
to October 31. From this point forward, you will receive shareholder reports for
your CitiSelect portfolios every six months, dated April 30 and October 31 of
each year.
Additionally, the CitiSelect portfolios held a Special Meeting of Shareholders
in October to consider certain proposals to restructure the funds to allow them
to be managed in a more cost-effective and administratively simple manner.
Shareholders were also asked to vote on certain changes to the Funds' investment
restrictions and governing documents, as well as certain other matters, to
permit the restructuring of the Funds. In addition, the shareholders were asked
to authorize the selection of sub-advisers by the Board, to authorize certain
other technical amendments to the Funds' investment restrictions, and to approve
selection of the Funds' accountants. All proposals were approved by
shareholders, and, as of November 1, 1997, the Funds were restructured.
On behalf of the Board of Trustees, we want to thank you for your continued
participation and confidence in the CitiSelect portfolios' Family of Funds.
/S/ Philip W. Coolidge
Philip W. Coolidge
President
November 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 any of its affiliates
o Are subject to investment risks, including possible loss of the principal
amount invested of any of its affiliates
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<PAGE>
TABLE OF CONTENTS
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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
Independent Auditors' Report .............................................. 19
ASSET ALLOCATION PORTFOLIOS
Portfolio of Investments
Asset Allocation Portfolio 200 ...................................... 20
Asset Allocation Portfolio 300 ...................................... 32
Asset Allocation Portfolio 400 ...................................... 45
Asset Allocation Portfolio 500 ...................................... 58
Statement of Assets and Liabilities ....................................... 69
Statement of Operations ................................................... 70
Statement of Changes in Net Assets ........................................ 71
Financial Highlights ...................................................... 72
Notes to Financial Statements ............................................. 73
Independent Auditors' Report .............................................. 77
<PAGE>
MARKET ENVIRONMENT
- --------------------------------------------------------------------------------
The forces that have driven the financial markets higher over the past two years
continued to prevail during the first ten months of 1997. The U.S. economy
remains characterized by low inflation, moderate growth and modestly declining
interest rates. Yet, short-term volatility in the financial markets also
continues to increase, with the markets reacting to each new release of economic
data as well as to statements by the Chairman of the U.S. Federal Reserve Board.
While the U.S. stock market has continued its spectacular climb, the rally has
been interrupted several times during the course of 1997 so far. In April,
concerns about the strength of the U.S. economy and its influence on
inflationary pressures caused a correction of nearly 10% in large-capitalization
stocks, and small-cap stocks declined even more sharply. Both large and
small-cap stocks quickly retraced their losses, however, and added further gains
in the ensuing months. In the period ended October, worldwide stock markets
again experienced sharp declines, this time in response to financial concerns in
Asia, especially Hong Kong. The 554-point decline in the Dow Jones Industrial
Average on October 27, when stocks lost 7.2% of their value in a single day, was
perhaps the most glaring evidence of the market's propensity for short-term
volatility.
The U.S. bond market also provided generally positive returns interrupted by
periods of volatility. However, the absence of inflationary pressures in the
seventh year of an economic expansion has supported U.S. bond prices overall.
The overseas markets have produced a mixed performance so far in 1997,
particularly when the effects of changes in currency exchange rates on U.S.
investors are considered. European stock and bond markets have performed well in
the early stages of an economic recovery, but Japanese stocks have done quite
poorly as a result of persistent and severe economic problems.
<TABLE>
FUND SNAPSHOT
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<CAPTION>
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CITISELECT CITISELECT CITISELECT CITISELECT
FOLIO 200 FOLIO 300 FOLIO 400 FOLIO 500
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<S> <C> <C> <C> <C>
INCEPTION DATE June 17, 1996 June 17, 1996 June 17, 1996 September 3, 1996
- ---------------------------------------------------------------------------------------------------------------------
NET ASSETS
AS OF 10/31/97 $166.2 million $325.2 million $455.7 million $202.8 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.
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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, is a division of The Merrill Lynch Capital Management Group
of Merrill Lynch Asset Management, L.P. 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, a Managing Senior Director of PIMCO is
the International Portfolio Manager and 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.
CitiSelect CitiSelect CitiSelect CitiSelect
Folio 200 Folio 300 Folio 400 Folio 500
12/31/96 10,000.00 10,000.00 10,000.00 10,000.00
01/31/97 10,052.34 10,075.05 10,092.42 10,121.61
02/28/97 10,009.30 10,018.76 10,027.73 10,074.84
03/31/97 9,827.83 9,803.00 9,787.43 9,850.33
04/30/97 9,856.49 9,840.53 9,750.46 9,803.55
05/31/97 10,267.17 10,356.47 10,415.90 10,561.27
06/30/97 10,486.84 10,651.95 10,794.87 10,982.23
07/31/97 10,677.86 10,924.59 11,063.59 11,300.28
08/31/97 10,620.56 10,811.78 10,933.86 11,159.96
09/30/97 10,945.28 11,225.44 11,489.82 11,758.65
10/31/97 10,821.12 11,009.21 11,128.45 11,300.28
<PAGE>
STRATEGY AND OUTLOOK
- --------------------------------------------------------------------------------
ASSET ALLOCATION STRATEGIES
The CitiSelect portfolios' investment manager, Citibank, N.A., continually
monitors the portfolios' asset allocations and has the ability to make changes
within strategic ranges whenever it deems necessary. So far in 1997, no changes
in the portfolios' investment mix have been made. At the end of last year,
however, we shifted a minor portion of assets from large-capitalization U.S.
stocks to international equities. While this position has detracted modestly
from returns, we continue to believe that international stocks -- especially
those of Europe -- have the potential to outperform large-cap U.S. stocks.
Although this has not been the case so far this year, we began to see evidence
in the Fall that such a shift might be taking place. For example, in October,
large-capitalization U.S. stocks experienced a correction as concerns arose
about their earnings in overseas markets, where a strong U.S. dollar and Asian
economic problems appeared poised to erode profits. Certain European and U.S.
small-cap stocks have benefitted most from this change in market trends. In the
third quarter of 1997 alone, U.S. small-cap stocks rose almost 15% as measured
by the Russell 2000 index.
While the portfolios' overall asset allocation has not changed in 1997, the
sub-advisers within each of the individual asset classes, markets and investment
styles continued to actively manage their investment portfolios. These changes
involve the buying and selling of securities according to each sub-adviser's
stated investment discipline. We believe that active management of the
portfolios at the subadviser level adds incrementally to performance, while
strategic asset allocation for each Fund helps shelter shareholders from the
risks inherent in each subadviser's area of specialization.
LOOKING FORWARD
Although we see no signs that positive global economic conditions will end soon,
we remain cautious in the wake of the late-October volatility in the world's
stock markets. As the recent turmoil in Asia suggests, the performance of the
world's financial markets are inter-related. Therefore, we would not be
surprised to see continued volatility until investors have fully evaluated the
effects of regional economic conditions and corporate profitability.
At this point, we are finding the greatest opportunities in small-capitalization
stocks in the U.S. and both stocks and bonds in Europe. We are, however,
maintaining a cautious stance toward large-cap U.S. stocks, especially those
with exposure to Asian markets.
Our outlook and recent market performance suggests that our current strategy of
modestly emphasizing international stocks over large domestic equities may be on
target. Of course, we will continue to review our asset allocation strategy
regularly during our formal quarterly re-balancing reviews, and we will make any
changes we consider appropriate in anticipation of changes in economic and
market conditions.
<PAGE>
FUND DATA ALL PERIODS ENDED OCTOBER 31, 1997
- --------------------------------------------------------------------------------
TOTAL RETURN
----------------------------------------------
SINCE
TEN MONTHS ENDED ONE 6/17/96
OCTOBER 31, 1997** YEAR INCEPTION*
------------------ -------- ----------
CITISELECT(R)FOLIO 200 ..... 8.21% 10.61% 10.80%
COMPOSITE BENCHMARK+ ....... 9.51% 12.13% 11.21%
* Average Annual Total Return
** Not Annualized
IMPORTANT TAX INFORMATION
The Fund designates for income tax purposes $247,643 of its capital gains
distribution as short-term capital gains.
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 200
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp
CitiSelect 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 10,020.00 10,086.00 10,085.00
7/31/96 9,900.04 9,879.72 9,640.20 10,115.26
8/31/96 10,125.29 10,021.99 9,843.61 10,123.35
9/30/96 10,321.17 10,217.42 10,396.82 10,264.06
10/31/96 10,406.66 10,318.57 10,683.77 10,445.74
11/30/96 10,684.08 10,585.82 11,490.39 10,583.62
12/31/96 10,637.76 10,565.71 11,262.88 10,515.88
1/31/97 10,693.44 10,612.20 11,965.69 10,555.84
2/28/97 10,647.65 10,585.67 12,061.41 10,575.90
3/31/97 10,454.61 10,424.76 11,559.78 10,502.93
4/30/97 10,485.09 10,521.71 12,248.74 10,625.81
5/31/97 10,921.97 10,938.37 12,995.92 10,714.01
6/30/97 11,155.65 11,173.55 13,574.23 10,811.50
7/31/97 11,358.85 11,402.61 14,653.39 11,030.98
8/31/97 11,297.89 11,309.11 13,832.80 10,975.82
9/30/97 11,643.33 11,656.29 14,589.45 11,103.14
10/31/97 11,511.25 11,572.37 14,102.16 11,226.39
A $10,000 investment in the Fund made on inception date would have grown to
$11,511 (as of 10/31/97). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to October 31, 1997.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 Index -- Large Cap Stocks (15%); Russell 2000 Index
-- Small Cap Stocks (15%); Morgan Stanley EAFE Index -- International Stocks
(5%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ 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.
<PAGE>
FUND DATA ALL PERIODS ENDED OCTOBER 31, 1997
- --------------------------------------------------------------------------------
TOTAL RETURN
----------------------------------------------
SINCE
TEN MONTHS ENDED ONE 6/17/96
OCTOBER 31, 1997** YEAR INCEPTION*
------------------ -------- ----------
CITISELECT(R)FOLIO 300 ..... 10.09% 13.53% 13.14%
COMPOSITE BENCHMARK+ ....... 11.22% 14.57% 12.86%
* Average Annual Total Return
** Not Annualized
IMPORTANT TAX INFORMATION
The Fund designates for income tax purposes $553,981 of its capital gains
distribution as short-term capital gains.
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 300
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp
CitiSelect Composite Index Bond Index
Folio 300 Benchmark (unmanaged) (unmanaged)
06/17/96 10,000.00 10,000.00 10,000.00 10,000.00
06/30/96 10,020.00 10,014.00 10,086.00 10,085.00
07/31/96 9,810.00 9,786.68 9,640.20 10,115.26
08/31/96 10,110.00 9,959.91 9,843.61 10,123.35
09/30/96 10,355.31 10,208.90 10,396.82 10,264.06
10/31/96 10,435.58 10,304.87 10,683.77 10,445.74
11/30/96 10,806.85 10,645.96 11,490.39 10,583.62
12/31/96 10,761.11 10,615.09 11,262.88 10,515.88
01/31/97 10,841.87 10,679.84 11,965.69 10,555.84
02/28/97 10,781.30 10,646.73 12,061.41 10,575.90
03/31/97 10,549.12 10,432.73 11,559.78 10,502.93
04/30/97 10,589.50 10,558.97 12,248.74 10,625.81
05/31/97 11,144.72 11,094.31 12,995.92 10,714.01
06/30/97 11,462.68 11,404.95 13,574.23 10,811.50
07/31/97 11,756.08 11,711.74 14,653.39 11,030.98
08/31/97 11,634.68 11,544.26 13,832.80 10,975.82
09/30/97 12,079.83 11,995.64 14,589.45 11,103.14
10/31/97 11,847.13 11,807.31 14,102.16 11,226.39
A $10,000 investment in the Fund made on inception date would have grown to
$11,847 (as of 10/31/97). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to October 31, 1997.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 Index -- Large Cap Stocks (20%); Russell 2000 Index
-- Small Cap Stocks (20%); Morgan Stanley EAFE Index -- International Stocks
(10%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (25%);
Salomon Bros. Non-$ 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 OCTOBER 31, 1997
TOTAL RETURN
----------------------------------------------
SINCE
TEN MONTHS ENDED ONE 6/17/96
OCTOBER 31, 1997** YEAR INCEPTION*
------------------ -------- ----------
CITISELECT(R)FOLIO 400 ..... 11.28% 16.01% 14.98%
COMPOSITE BENCHMARK+ ....... 12.18% 16.51% 13.23%
**Average Annual Total Return
**Not Annualized
IMPORTANT TAX INFORMATION
The Fund designates for income tax purposes $869,414 of its capital gains
distribution as short-term capital gains.
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 400
Lehman Bros.
Intermediate
S&P 500 Gov't/Corp
CitiSelect Composite Index Bond Index
Folio 400 Benchmark (unmanaged) (unmanaged)
06/17/96 10,000.00 10,000.00 10,000.00 10,000.00
06/30/96 9,990.00 9,981.00 10,086.00 10,085.00
07/31/96 9,700.00 9,632.66 9,640.20 10,115.26
08/31/96 10,110.00 9,859.99 9,843.61 10,123.35
09/30/96 10,400.00 10,143.96 10,396.82 10,264.06
10/31/96 10,440.00 10,178.45 10,683.77 10,445.74
11/30/96 10,890.00 10,572.36 11,490.39 10,583.62
12/31/96 10,883.71 10,571.30 11,262.88 10,515.88
01/31/97 10,984.30 10,611.47 11,965.69 10,555.84
02/28/97 10,913.88 10,564.78 12,061.41 10,575.90
03/31/97 10,652.35 10,320.73 11,559.78 10,502.93
04/30/97 10,612.12 10,429.10 12,248.74 10,625.81
05/31/97 11,336.36 11,125.77 12,995.92 10,714.01
06/30/97 11,748.82 11,527.41 13,574.23 10,811.50
07/31/97 12,041.28 11,864.01 14,653.39 11,030.98
08/31/97 11,900.09 11,645.71 13,832.80 10,975.82
09/30/97 12,505.18 12,225.66 14,589.45 11,103.14
10/31/97 12,111.88 11,860.12 14,102.16 11,226.39
A $10,000 investment in the Fund made on inception date would have grown to
$12,112 (as of 10/31/97). The graph shows how the Fund compares to our
benchmarks over the same period June 17, 1996 to October 31, 1997.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the S&P 500 Index or the Lehman Brothers Intermediate Gov't/Corp Bond
Index, which securities regulations require us to include. All Fund performance
numbers represent past performance, and are no guarantee of future results. The
Fund's share price and investment return will fluctuate, so that the value of an
investor's shares, when redeemed, may be worth more or less than their original
cost. Total returns include change in share price and reinvestment of dividends
and distributions, if any. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ The returns are based on the composite performance of unmanaged indices and
assume reinvestment of dividends and interest payments. Indices and
percentages used: S&P 500 Index -- Large Cap Stocks (20%); Russell 2000 Index
-- Small Cap Stocks (30%); Morgan Stanley EAFE Index -- International Stocks
(20%); Lehman Bros. Intermediate Gov't/Corp Bonds -- Domestic Bonds (5%);
Salomon Bros. Non-$ 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 OCTOBER 31, 1997
TOTAL RETURN
----------------------------------------------
SINCE
TEN MONTHS ENDED ONE 6/17/96
OCTOBER 31, 1997** YEAR INCEPTION*
------------------ -------- ----------
CITISELECT(R)FOLIO 500 ..... 13.00% 18.54% 18.00%
COMPOSITE BENCHMARK+ ....... 13.14% 18.10% 18.93%
**Average Annual Total Return
**Not Annualized
PERFORMANCE HIGHLIGHTS CITISELECT FOLIO 500
Salomon Non-$
MSCI EAFE World Bond
CitiSelect Composite Index Bond Index
Folio 500 Benchmark (unmanaged) (unmanaged)
09/03/96 10,000.00 10,000.00 10,000.00 10,000.00
09/30/96 10,230.00 10,362.00 10,315.40 10,029.40
10/31/96 10,220.00 10,351.64 10,212.25 10,198.90
11/30/96 10,690.00 10,795.72 10,620.74 10,316.18
12/31/96 10,720.46 10,805.44 10,486.91 10,241.91
01/31/97 10,850.83 10,861.63 10,121.97 9,826.09
02/28/97 10,800.68 10,830.13 10,289.99 9,712.10
03/31/97 10,560.00 10,570.21 10,329.82 9,649.95
04/30/97 10,509.86 10,705.50 10,386.63 9,454.05
05/31/97 11,322.17 11,505.21 11,064.88 9,801.96
06/30/97 11,773.45 11,987.27 11,677.87 9,922.53
07/31/97 12,114.42 12,403.23 11,869.39 9,663.55
08/31/97 11,963.99 12,094.39 10,985.12 9,707.03
09/30/97 12,605.81 12,771.68 11,602.48 9,942.91
10/31/97 12,114.42 12,226.33 10,713.73 10,165.64
A $10,000 investment in the Fund made on inception date would have grown to
$12,114 (as of 10/31/97). The graph shows how the Fund compares to our
benchmarks over the same period September 3, 1996 to October 31, 1997.
Notes: We believe that the performance comparison to the composite benchmark, on
which the Fund's asset allocation model is based, is a more appropriate
comparison than a comparison to any single broad-based securities market index,
such as the Morgan Stanley EAFE Index or the Salomon Bros. Non-$ 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. Returns reflect certain voluntary fee waivers. If the
waivers were not in place, the Fund's return would have been lower.
+ 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 Index -- 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 OCTOBER 31, 1997
<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 ................................ $165,492,391 $322,865,464 $452,931,705 $199,923,832
Receivable for shares of beneficial interest sold ...................... 2,295,729 3,179,920 4,800,117 3,733,740
Other assets ........................................................... 24,793 86,614 220,266 123,220
------------ ------------ ------------ ------------
Total Assets ......................................................... 167,812,913 326,131,998 457,952,088 203,780,792
------------ ------------ ------------ ------------
LIABILITIES:
Payable for shares of beneficial interest repurchased .................. 1,504,921 741,015 1,543,860 682,693
Payable to affiliates -- Management fees (Note 2) ...................... -- -- 49,083 12,130
Accrued expenses ....................................................... 104,750 198,332 612,393 262,796
------------ ------------ ------------ ------------
Total Liabilities .................................................... 1,609,671 939,347 2,205,336 957,619
------------ ------------ ------------ ------------
NET ASSETS for 14,671,255, 27,775,788, 37,955,043, and 16,784,399
shares, respectively, of beneficial interest outstanding ............. $166,203,242 $325,192,651 $455,746,752 $202,823,173
============ ============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital ........................................................ $152,764,594 $291,062,155 $403,912,249 $182,591,404
Undistributed net investment income .................................... 2,159,917 3,095,564 1,804,435 720,000
Accumulated net realized gain (loss) on investments .................... 2,885,872 6,917,761 9,210,563 2,505,436
Unrealized appreciation (depreciation) of investments and foreign
currency translations ................................................ 8,392,859 24,117,171 40,819,505 17,006,333
------------ ------------ ------------ ------------
Total Net Assets ..................................................... $166,203,242 $325,192,651 $455,746,752 $202,823,173
============ ============ ============ ============
NET ASSET VALUE PER SHARE OF BENEFICIAL INTEREST ....................... $11.33 $11.71 $12.01 $12.08
====== ====== ====== ======
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE TEN MONTHS ENDED OCTOBER 31, 1997
(NOTE 1F)
-----------------------------------------------------------
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, RESPECTIVELY (NOTE 1B):
Interest ......................................................... $ 4,208,130 $ 6,553,861 $ 5,472,865 $ 1,268,748
Dividends ........................................................ 572,347 1,752,915 3,452,486 1,754,334
Allocated net expenses ........................................... (924,483) (1,860,494) (2,681,166) (1,074,396)
Foreign tax reclaims ............................................. 23,177 81,304 207,096 117,896
------------ ------------ ------------ ------------
3,879,171 6,527,586 6,451,281 2,066,582
------------ ------------ ------------ ------------
EXPENSES:
Distribution fees (Note 3) ....................................... 548,279 1,102,327 1,499,752 603,033
Management fees/Administration fee (Note 2) ...................... 109,656 220,465 299,950 120,606
Shareholder reports .............................................. 36,711 44,774 161,760 131,992
Transfer agent fees .............................................. 27,988 31,116 30,559 44,436
Legal services ................................................... 22,100 20,918 31,601 26,101
Auditing services ................................................ 17,700 15,200 17,680 14,850
Registration fees ................................................ 10,806 36,316 186,395 35,660
Custodian fees ................................................... 8,762 8,188 7,787 8,585
Trustees fees .................................................... 7,675 10,693 12,539 5,236
Miscellaneous .................................................... 4,255 6,620 26,296 13,443
------------ ------------ ------------ ------------
Total expenses .................................................. 793,932 1,496,617 2,274,319 1,003,942
Less aggregate amounts waived by the Manager (Note 2) ............ (73,757) (50,386) -- --
------------ ------------ ------------ ------------
Net expenses .................................................... 720,175 1,446,231 2,274,319 1,003,942
------------ ------------ ------------ ------------
Net investment income ........................................... 3,158,996 5,081,355 4,176,962 1,062,640
------------ ------------ ------------ ------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM ASSET ALLOCATION PORTFOLIO 200, ASSET ALLOCATION PORTFOLIO 300, ASSET ALLOCATION
PORTFOLIO 400 AND ASSET ALLOCATION PORTFOLIO 500, RESPECTIVELY:
Net realized gain ................................................ 1,586,569 4,036,929 6,053,161 2,209,014
Net change in unrealized appreciation ............................ 5,482,209 16,483,809 27,920,674 13,574,647
------------ ------------ ------------ ------------
Net realized and unrealized gain ................................. 7,068,778 20,520,738 33,973,835 15,783,661
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............. $ 10,227,774 $ 25,602,093 $ 38,150,797 $ 16,846,301
============ ============ ============ ============
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CITISELECT FOLIO 200 CITISELECT FOLIO 300
------------------------------ ------------------------------
TEN MONTHS JUNE 17, 1996+ TEN MONTHS JUNE 17, 1996+
ENDED TO ENDED TO
OCTOBER 31, 1997 DECEMBER 31, OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996 (NOTE 1F) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ................................ $ 3,158,996 $ 899,000 $ 5,081,355 $ 1,462,651
Net realized gain (loss) ............................. 1,586,569 328,852 4,036,929 756,606
Net change in unrealized appreciation of investments . 5,482,209 2,910,650 16,483,809 7,633,362
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations 10,227,774 4,138,502 25,602,093 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 ..................... 97,483,483 107,356,153 161,589,276 195,928,712
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 ........................... (44,283,179) (8,715,828) (57,427,040) (10,353,009)
------------ ------------ ------------ ------------
Net increase in net assets from transactions in
shares of beneficial interest ..................... 53,519,240 99,530,926 104,764,389 187,072,252
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ........................... 63,427,836 102,775,406 129,764,329 195,428,322
NET ASSETS:
Beginning of period .................................. 102,775,406 -- 195,428,322 --
------------ ------------ ------------ ------------
End of period (including undistributed net investment
income of $2,159,917, $155,387, $3,095,564
and $231,965, respectively) ......................... $166,203,242 $102,775,406 $325,192,651 $195,428,322
============ ============ ============ ============
+ Commencement of Operations
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS (CONTINUED)
<TABLE>
<CAPTION>
CITISELECT FOLIO 400 CITISELECT FOLIO 500
------------------------------- ------------------------------
TEN MONTHS JUNE 17, 1996+ TEN MONTHS SEPT. 3, 1996+
ENDED TO ENDED TO
OCTOBER 31, 1997 DECEMBER 31, OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996 (NOTE 1F) 1996
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income ................................ $ 4,176,962 $ 1,097,081 $ 1,062,640 $ 184,438
Net realized gain (loss) ............................. 6,053,161 1,371,474 2,209,014 (188,916)
Net change in unrealized appreciation of investments . 27,920,674 12,898,831 13,574,647 3,431,686
------------ ------------ ------------ ------------
Net increase in net assets resulting from operations 38,150,797 15,367,386 16,846,301 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 ..................... 237,424,101 252,564,522 129,199,716 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 ........................... (73,383,909) (14,376,145) (28,295,151) (3,033,878)
------------ ------------ ------------ ------------
Net increase in net assets from transactions in
shares of beneficial interest ..................... 165,006,208 239,555,894 100,904,565 81,864,109
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ........................... 202,190,989 253,555,763 117,750,866 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
$1,804,435, $308,689, $720,000 and $(5,765),
respectively) ...................................... $455,746,752 $253,555,763 $202,823,173 $ 85,072,307
============ ============ ============ ============
+ Commencement of Operations
See notes to financial statements
</TABLE>
<PAGE>
CITISELECT PORTFOLIOS
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CITISELECT FOLIO 200 CITISELECT FOLIO 300
--------------------------- ----------------------------
TEN MONTHS JUNE 17, 1996+ TEN MONTHS JUNE 17, 1996+
ENDED TO ENDED TO
OCT. 31, 1997 DEC. 31, OCT. 31, 1997 DEC. 31,
(NOTE 1F) 1996 (NOTE 1F) 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 ................................ 0.138 0.128 0.101 0.088
Net realized and unrealized gain on investments ...... 0.722 0.506 0.974 0.671
------ ------ ------ ------
Total from operations ............................... 0.860 0.634 1.075 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 ........................ $11.33 $10.50 $11.71 $10.66
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $166,203 $102,775 $325,193 $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 . 2.88%* 2.84%* 2.30%* 2.38%*
Total return ......................................... 8.21%** 6.38%** 10.09%** 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 ............... $0.126 $0.076 $0.100 $0.060
Ratios:
Expenses to average net assets(A) .................... 1.75%* 2.66%* 1.52%* 2.26%*
Net investment income to average net assets .......... 2.63%* 1.68%* 2.28%* 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 400 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
--------------------------- ----------------------------
TEN MONTHS JUNE 17, 1996+ TEN MONTHS SEPT. 3, 1996+
ENDED TO ENDED TO
OCT. 31, 1997 DEC. 31, OCT. 31, 1997 DEC. 31,
(NOTE 1F) 1996 (NOTE 1F) 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 ................................ 0.037 0.042 0.044 0.019
Net realized and unrealized gain on investments ...... 1.183 0.841 1.346 0.701
------ ------ ------ ------
Total from operations ............................... 1.220 0.883 1.390 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 ........................ $12.01 $10.82 $12.08 $10.69
====== ====== ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) ............ $455,747 $253,556 $202,823 $ 85,072
Ratio of expenses to average net assets (A) .......... 1.65%* 1.75%* 1.72%* 1.75%*
Ratio of net investment income to average net assets . 1.39%* 1.39%* 0.88%* 1.09%*
Total return ......................................... 11.28%** 8.84%** 13.00%** 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 ............... $0.037 $0.028 $0.040 $0.001
Ratios:
Expenses to average net assets(A) .................... 1.65%* 2.20%* 1.80%* 2.80%*
Net investment income to average net assets .......... 1.39%* 0.93%* 0.80%* 0.04%*
(A) Includes allocated expenses for the periods 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
(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. 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 Services, Inc. ("LFBDS") acts as each Fund's Sub-Administrator and
Distributor. See Note 6.
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 85.2% at October 31, 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 88.0% at October
31, 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 94.0% at October 31, 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 96.0% at October 31, 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 its
pro rata portion of recoverable foreign taxes on dividends received by each
Portfolio.
C. FEDERAL TAXES -- The Funds' policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of its taxable income, including any net realized
gain on investment transactions. Accordingly, no provision for federal income or
excise tax is necessary.
D. EXPENSES -- 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 the
ex-dividend date. The amount and character of income and net realized gains to
be distributed are determined in accordance with income tax rules and
regulations, which may differ from generally accepted accounting principles.
These differences are attributable to permanent book and tax accounting
differences. Reclassifications are made to each Fund's capital accounts to
reflect income and net realized gains available for distribution (or available
capital loss carryovers) under income tax rules and regulations. For the ten
months ended October 31, 1997 CitiSelect Folio 200 reclassified $1,082,931 from
net investment income, $1,366,774 to accumulated net gains on investments and
$283,843 from paid-in-capital. CitiSelect Folio 300 reclassified $2,169,584 from
net investment income, $2,935,742 to accumulated net gains on investments and
$766,158 from paid-in-capital. CitiSelect Folio 400 reclassified $2,584,614 from
net investment income, $3,210,464 to accumulated net gains on investments and
$625,850 from paid-in-capital. CitiSelect Folio 500 reclassified $336,875 from
net investment income, $511,888 to accumulated net gains on investments and
$175,013 from paid-in-capital.
F. CHANGE IN FISCAL YEAR END -- During the fiscal year 1997, the Funds changed
their fiscal year ends from December 31 to October 31.
G. 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 $109,656,
$220,465, $299,950, and $120,606 of which $73,757, $50,386, $0, and $0,
respectively, was voluntarily waived for the ten months ended October 31, 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
$548,279, $1,102,327, $1,499,752 and $603,033 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
ten months ended October 31, 1997, were as follows:
INCREASE DECREASE
CitiSelect Folio 200 $ 62,073,152 $8,580,415
CitiSelect Folio 300 $110,874,643 $7,010,066
CitiSelect Folio 400 $172,937,210 $6,373,748
CitiSelect Folio 500 $102,218,401 $2,026,994
(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
- --------------------
TEN MONTHS JUNE 17, 1996+
ENDED TO
OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996
---------- ----------
Shares sold ...... 8,941,698 10,551,539
Shares reinvested 30,174 86,538
Shares repurchased (4,084,861) (853,833)
---------- ---------
Net increase ..... 4,887,011 9,784,244
========== ==========
CITISELECT FOLIO 300
- --------------------
TEN MONTHS JUNE 17, 1996+
ENDED TO
OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996
---------- ----------
Shares sold ...... 14,513,003 19,201,036
Shares reinvested 53,100 142,587
Shares repurchased (5,130,252) (1,003,686)
---------- ---------
Net increase ..... 9,435,851 18,339,937
========== ==========
CITISELECT FOLIO 400
- --------------------
TEN MONTHS JUNE 17, 1996+
ENDED TO
OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996
---------- ----------
Shares sold ...... 20,837,873 24,716,079
Shares reinvested 83,062 127,805
Shares repurchased (6,391,184) (1,418,592)
---------- ---------
Net increase ..... 14,529,751 23,425,292
========== ==========
CITISELECT FOLIO 500
- --------------------
TEN MONTHS SEPT. 3, 1996+
ENDED TO
OCTOBER 31, 1997 DECEMBER 31,
(NOTE 1F) 1996
---------- ----------
Shares sold ...... 11,266,707 8,228,228
Shares reinvested -- 20,792
Shares repurchased (2,440,204) (291,124)
---------- ---------
Net increase ..... 8,826,503 7,957,896
========== ==========
+ Commencement of Operations
(6) SUBSEQUENT EVENT
The Funds' Board of Trustees and shareholders have approved a restructuring
of the Funds in order to achieve economies of scale and increased flexibility in
the management of Fund assets commencing November 1, 1997. Each of the Funds no
longer invests in a single corresponding Portfolio (an "Old Portfolio") and
instead invests in multiple new or existing registered investment companies
(collectively, called "New Portfolios"). Each of the New Portfolios correspond
to the asset classes of securities (e.g., large capitalization growth securities
or domestic fixed income securities) in which each Fund previously had invested.
Shareholders also approved amendments to each Funds' Declaration of Trust and
fundamental investment restrictions to permit assets of the Funds to be invested
in one or more investment companies and an amended and restated Management
Agreement for each Fund with Citibank, N.A. Under the amended and restated
Management Agreements, Citibank provides investment advisory services to each
Fund, including the asset allocation services previously provided to each Fund's
corresponding Old Portfolio. Under the amended and restated Management
Agreements, aggregate management fees paid to Citibank, including each Fund's
share of management fees paid by the New Portfolios of which Citibank is the
manager, will not exceed 0.75% of each Fund's average daily net assets for that
Fund's then-current fiscal year. This is the same management fee which Citibank
received under the prior Management Agreements, including each Fund's share of
its corresponding Old Portfolio's management fees.
<PAGE>
INDEPENDENT AUDITORS' REPORT
- --------------------------------------------------------------------------------
TO THE TRUSTEES OF LANDMARK FUNDS I (THE TRUST) AND THE
SHAREHOLDERS OF CITISELECT FOLIO 200, CITISELECT FOLIO 300, CITISELECT FOLIO
400, CITISELECT FOLIO 500:
In our opinion, the accompanying statement of assets and liabilities, and the
related statements of operations, of changes in net assets and the financial
highlights present fairly, in all material respects, the financial position of
CitiSelect Folio 200, CitiSelect Folio 300, CitiSelect Folio 400 and CitiSelect
Folio 500 (the "Fund"), each a series of Landmark Funds 1, at October 31, 1997,
the results of each of their operations, the changes in each of their net assets
and their financial highlights for the periods indicated, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Funds' management; our responsibility is to express an
opinion on these financial statements based on our audits. We conducted our
audits of these financial statements in accordance with generally accepted
auditing standards which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements, assessing the
accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of investments owned at October 31, 1997 by
correspondence with the custodian, provide a reasonable basis for the opinion
expressed above.
PRICE WATERHOUSE LLP
Boston, Massachusetts
December 10, 1997
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS OCTOBER 31, 1997
Issuer Shares Value
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--6.5%
COMMON STOCKS -- 6.2%
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.7%
Applied Materials Inc.* ...................... 2,510 $ 83,771
Deere & Co.(++) .............................. 2,295 120,773
General Electric Co. ......................... 10,805 697,598
Illinois Tool Works .......................... 4,345 213,720
Xerox Corp. .................................. 3,040 241,110
------------
1,356,972
------------
COMMERCIAL SERVICES - 0.1%
Interpublic Group Companies Inc. ............. 4,382 208,145
------------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. ......................... 5,430 226,703
------------
CONSUMER NON-DURABLES - 0.7%
Clorox Co. ................................... 2,185 152,950
Coca Cola Co ................................. 4,015 226,848
Colgate Palmolive Co. ........................ 2,985 193,279
Gillette Co .................................. 3,000 267,187
Mattel Inc. .................................. 4,100 159,388
Procter & Gamble Co. ......................... 3,750 255,000
------------
1,254,652
------------
CONSUMER SERVICES - 0.4%
Carnival Corp. ............................... 7,005 339,743
Clear Channel Communications* ................ 2,850 188,100
Cracker Barrel Old Country Store ............. 5,095 150,303
Gannett Inc. ................................. 2,900 152,430
------------
830,576
------------
ENERGY - 0.1%
Schlumberger Ltd. ............................ 1,900 166,250
------------
FINANCE - 0.8%
American International Group Inc. ............ 2,030 207,187
Chubb Corp.(++) .............................. 2,630 174,238
Federal National Mortgage
Association(++) ............................ 5,520 267,375
Norwest Corp. ................................ 4,530 145,243
State Street Corp. ........................... 3,065 170,874
Travelers Group Inc. ......................... 3,965 277,550
U.S. Bancorp ................................. 1,265 128,635
Zions Bancorp ................................ 4,015 156,083
------------
1,527,185
------------
HEALTHCARE - 1.4%
Abbott Labs .................................. 3,055 187,310
Cardinal Health Inc .......................... 2,510 186,368
Health Management Association* ............... 8,908 217,120
Johnson & Johnson ............................ 3,440 197,370
Lilly, Eli & Co. ............................. 4,750 317,655
Lincare Holdings Inc.* ....................... 4,430 237,559
Merck & Co. .................................. 4,000 357,000
Pfizer Inc. .................................. 6,140 434,405
Schering Plough Corp. ........................ 4,245 237,985
Warner Lambert Co. ........................... 1,730 247,714
------------
2,620,486
------------
RETAIL - 0.8%
Bed Bath & Beyond Inc.* ...................... 5,900 187,325
Consolidated Stores* ......................... 5,106 203,602
Gap Inc. ..................................... 3,060 162,754
Home Depot ................................... 6,090 338,756
Kohls Corp.* ................................. 3,000 201,375
Wal Mart Stores Inc. ......................... 9,675 339,834
Walgreen Co. ................................. 7,505 211,078
------------
1,644,724
------------
TECHNOLOGY - 1.0%
Adaptec Inc.* ................................ 3,780 183,094
Amp Inc. ..................................... 4,235 190,575
Cisco Systems Inc.* .......................... 2,780 228,047
Computer Association International Inc. ...... 2,960 220,705
Intel Corp. .................................. 5,230 402,710
Microsoft Corp.* ............................. 3,785 492,050
Parametric Technology Corp.* ................. 2,750 121,344
------------
1,838,525
------------
TRANSPORTATION - 0.1%
Southwest Airlines Co. ....................... 7,650 249,581
------------
TOTAL COMMON STOCKS .......................... 11,923,799
------------
SHORT-TERM OBLIGATIONS -- 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... 557,325
------------
TOTAL LARGE CAP GROWTH
(Identified Cost $11,374,097) .............. 12,481,124
------------
LARGE CAP VALUE--6.4%
COMMON STOCKS -- 6.3%
BASIC INDUSTRIES - 0.6%
Cabot Corp. .................................. 2,800 68,775
Dow Chemical Co. ............................. 1,500 136,125
E. I. du Pont de Nemours & Co. ............... 2,000 113,750
FMC Corp.* ................................... 1,600 129,300
Great Lakes Chemical Corp. ................... 3,900 183,300
IMC Global Inc. .............................. 3,200 107,800
Inland Steel Industries Inc. ................. 3,700 72,612
National Steel Corp. ......................... 3,100 51,150
Reynolds Metals Co. .......................... 400 24,375
Rohm & Haas Co. .............................. 1,500 124,969
Westvaco Corp. ............................... 2,000 65,625
------------
1,077,781
------------
CAPITAL GOODS - 0.7%
Arrow Electronics Inc.* ...................... 5,600 158,900
Caterpillar Inc. ............................. 1,800 92,250
Cummins Engine Inc. .......................... 5,400 329,062
Deere & Co.(++) .............................. 1,400 73,675
Harnischfeger Industries Inc. ................ 4,100 161,438
Kennametal Inc. .............................. 3,200 155,200
Parker Hannifin Corp ......................... 3,450 144,253
Tecumseh Products Co. ........................ 2,500 129,688
------------
1,244,466
------------
CONSUMER BASICS - 0.6%
Bergen Brunswig Corp. ........................ 2,725 109,170
Columbia/HCA Healthcare Corp. ................ 3,600 101,700
IBP Inc. ..................................... 3,700 85,794
Mallinckrodt Inc. ............................ 3,100 116,250
Maxicare Health Plans Inc.* .................. 2,800 39,200
Philip Morris Companies Inc. ................. 6,700 265,488
RJR Nabisco Holdings Corp. ................... 5,800 183,787
Tupperware Corp. ............................. 2,800 70,175
Universal Foods Corp. ........................ 3,200 126,200
------------
1,097,764
------------
CONSUMER DURABLE GOODS - 0.6%
Dana Corp. ................................... 2,700 126,394
Eaton Corp. .................................. 2,000 193,250
Ford Motor Co. ............................... 9,300 406,294
General Motors Corp. ......................... 3,400 218,238
Goodyear Tire and Rubber ..................... 4,500 281,812
------------
1,225,988
------------
CONSUMER NON-DURABLES - 0.4%
Federated Department Stores Inc.* ............ 3,400 149,600
Russell Corp. ................................ 3,000 88,125
Sears Roebuck & Co. .......................... 3,800 159,125
Springs Industries Inc. ...................... 2,300 106,662
Toys "R" Us Inc.* ............................ 3,900 132,844
V F Corp. .................................... 2,000 178,750
------------
815,106
------------
CONSUMER SERVICES - 0.2%
AMR Corp. * .................................. 1,300 151,369
Delta Airlines Inc. .......................... 2,000 201,500
UAL Corp.* ................................... 400 35,050
------------
387,919
------------
ENERGY - 0.6%
Amoco Corp ................................... 1,600 146,700
Atlantic Richfield Co. ....................... 2,000 164,625
British Petroleum PLC ........................ 2,000 175,500
Mapco Inc. ................................... 3,400 112,200
Phillips Petroleum Co. ....................... 3,200 154,800
Repsol ....................................... 3,100 131,750
Ultra Mar Diamond Shamrock ................... 3,500 108,062
YPF Sociedad Anonima ......................... 4,500 144,000
------------
1,137,637
------------
FINANCE - 1.4%
Allstate Corp. ............................... 2,300 190,756
American General Corp. ....................... 2,200 112,200
Bank of New York Inc. ........................ 2,800 131,775
Capital One Financial Corp. .................. 1,600 73,000
Case Corp. ................................... 4,500 269,156
Chase Manhattan Corp. ........................ 2,200 253,825
Chubb Corp.(++) .............................. 1,300 86,125
Cigna Corp. .................................. 600 93,150
Crestar Financial Corp. ...................... 1,300 61,506
Everest Reinsurance Holdings ................. 3,700 139,212
Federal National Mortgage
Association(++) ............................ 1,600 77,500
First Union Corp. ............................ 2,400 117,750
Foundation Health Systems* ................... 5,550 159,563
Hartford Financial Services Group ............ 1,800 145,800
Mellon Bank Corp. ............................ 2,400 123,750
Old Republic International Corp. ............. 3,300 117,975
Reliastar Financial Corp. .................... 3,400 127,075
Republic NY Corp. ............................ 1,100 116,394
Signet Banking Corp. ......................... 2,600 139,913
Tig Holdings Inc. ............................ 2,200 74,525
Transatlantic Holdings Inc. .................. 1,700 117,619
------------
2,728,569
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. ................................. 6,900 105,225
Standard Register ............................ 1,500 48,562
------------
153,787
------------
MISCELLANEOUS - 0.2%
Aeroquip Vickers Inc. ........................ 6,300 327,994
Dillards Inc. ................................ 2,900 111,287
------------
439,281
------------
SHELTER - 0.1%
Owens Corning ................................ 3,600 123,300
------------
TECHNOLOGY - 0.5%
Beckman Industries Inc. ...................... 4,000 157,500
International Business Machines .............. 3,600 353,025
Seagate Technology* .......................... 3,600 97,650
Stratus Computer Inc.* ....................... 1,600 56,600
Tektronix Inc. ............................... 2,100 124,162
TRW Inc. ..................................... 2,300 131,675
Western Digital Corp.* ....................... 4,100 122,744
------------
1,043,356
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ................. 1,000 95,000
CSX Corp. .................................... 2,200 120,312
------------
215,312
------------
UTILITIES - 0.2%
Cinergy Corp. ................................ 1,500 49,500
DTE Energy Co. ............................... 2,500 76,875
Duke Power Co. ............................... 1,339 64,607
El Paso Natural Gas Co ....................... 1,700 101,894
Entergy Corp ................................. 2,600 63,538
GPU Inc. ..................................... 2,200 79,613
------------
436,027
------------
TOTAL COMMON STOCKS .......................... 12,126,293
------------
SHORT-TERM OBLIGATIONS -- 0.1%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... 212,924
------------
TOTAL LARGE CAP VALUE
(Identified Cost $11,109,687) .............. 12,339,217
------------
SMALL CAP GROWTH--8.0%
COMMON STOCKS -- 7.7%
BASIC INDUSTRIES - 0.4%
Central Packing Corp. ........................ 8,160 445,740
OM Group Inc. ................................ 5,980 225,745
------------
671,485
------------
CAPITAL GOODS - 0.2%
Hardinge Brothers Inc. ....................... 7,280 248,430
ITEQ Inc.* ................................... 12,020 150,250
------------
398,680
------------
CONSUMER BASICS - 1.0%
General Cigar Holdings Inc.* ................. 9,110 263,621
Human Genome Sciences Inc.* .................. 6,780 277,980
Parexel International Corp.* ................. 9,750 352,219
Renal Treatment Centers Inc.* ................ 9,160 303,998
Suiza Foods Corp.* ........................... 9,640 485,615
Wholesale Foods Market Inc.* ................. 5,250 206,063
------------
1,889,496
------------
CONSUMER DURABLE - 0.2%
Miller Industries Inc.* ...................... 13,740 139,118
Tower Automotive Inc.* ....................... 5,630 235,756
------------
374,874
------------
CONSUMER NON-DURABLES - 0.3%
Henry Schein Inc.* ........................... 9,850 323,819
Men's Wearhouse Inc.* ........................ 8,520 330,150
------------
653,969
------------
CONSUMER SERVICES - 0.2%
Premier Parks Inc.* .......................... 8,440 337,600
------------
ENERGY - 0.5%
Dawson Production Services Inc.* ............. 8,200 198,850
Forcenergy Inc.* ............................. 9,670 315,483
Key Energy Group Inc.* ....................... 7,400 232,175
Lomak Petrolium Inc. ......................... 16,600 308,138
------------
1,054,646
------------
FINANCE - 0.3%
Allied Group Inc ............................. 7,270 343,508
Metris Companies Inc.* ....................... 7,090 299,552
------------
643,060
------------
GENERAL BUSINESS - 1.8%
Abacus Direct Corp.* ......................... 13,430 493,552
Executive Risk Inc. .......................... 5,070 333,986
Heftel Broadcasting Corp.* ................... 6,190 411,635
Intelliquest Information Group* .............. 7,800 132,600
Lamar Advertising Co.* ....................... 10,680 361,785
Metro Networks Inc.* ......................... 5,410 167,710
NFO Research Inc.* ........................... 16,995 305,910
Profit Recovery Group
International Inc.* ........................ 11,100 173,437
Registry Inc.* ............................... 6,970 289,255
Snyder Communications Inc.* .................. 14,430 425,685
Whittman Hart Inc.* .......................... 11,940 346,260
------------
3,441,815
------------
MISCELLANEOUS - 1.8%
AHL Services Inc.* ........................... 2,620 46,832
American Disposal Services Inc.* ............. 4,100 144,525
Concentration Managed Care Inc.* ............. 10,140 330,817
Gray Communications Systems Inc. ............. 6,730 167,829
Performance Food Group Co.* .................. 9,400 173,900
Probusiness Services Inc.* ................... 8,700 174,000
QAD Inc.* .................................... 11,100 156,788
Rental Service Corp.* ........................ 17,220 460,635
Sirrom Capital Corp. ......................... 8,120 409,045
Suburban Lodges America Inc.* ................ 15,490 383,377
Synthetic Industries Inc.* ................... 8,530 238,840
Viropharma Inc.* ............................. 9,600 211,200
Wilmar Industries Co.* ....................... 8,540 224,175
Xionics Document Technologies* ............... 20,730 316,133
------------
3,438,096
------------
TECHNOLOGY - 0.8%
CDW Computer Centers Inc.* ................... 4,730 293,260
Claremont Technology Group Inc.* ............. 7,450 164,831
E Trade Group Inc.* .......................... 4,480 138,320
ETEC Systems Inc.* ........................... 3,640 162,435
Harbinger Corp.* ............................. 6,390 190,103
Imnet Systems Inc.* .......................... 8,550 156,037
Inacom Corp.* ................................ 4,550 140,197
Sipex Corp.* ................................. 7,000 230,125
Speedfam International Inc.* ................. 2,350 87,244
------------
1,562,552
------------
TRANSPORTATION - 0.2%
Eagle U.S.A. Airfreight Inc.* ................ 9,490 287,072
Hub Group Inc.* .............................. 4,300 131,150
------------
418,222
------------
TOTAL COMMON STOCKS .......................... 14,884,495
------------
SHORT-TERM OBLIGATIONS -- 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... 596,278
------------
TOTAL SMALL CAP GROWTH
(Identified Cost $13,314,242) .............. 15,480,773
------------
SMALL CAP VALUE--8.7%
COMMON STOCKS -- 8.4%
BASIC INDUSTRIES - 0.7%
Atchison Casting Corp.* ...................... 2,800 57,575
Carpenter Technology Corp. ................... 1,900 91,913
Giant Cement Holding Inc.* ................... 700 16,975
Keystone Consolidated Industries Inc.* ....... 29,800 387,400
LTV Corp. .................................... 40,000 487,500
Oil-Dri Corp. of America ..................... 14,500 248,312
------------
1,289,675
------------
CAPITAL GOODS - 1.4%
American Buildings Co.* ...................... 8,000 224,000
Astec Industries Inc.* ....................... 1,000 17,000
Astro-Med Inc. ............................... 1,000 8,625
Commercial Intertech Corp. ................... 14,600 237,250
D.R. Horton Inc.* ............................ 30,100 451,500
ESCO Electronics Corp.* ...................... 26,000 446,875
Global Industrial Technologies Inc.* ......... 14,600 249,112
JLG Industries Inc. .......................... 34,500 437,719
Ultrak Inc.* ................................. 17,700 203,550
United Industrial Corp. ...................... 44,800 467,600
------------
2,743,231
------------
CONSUMER BASICS - 1.3%
Dimon Inc. ................................... 11,500 298,281
Ekco Group Inc.* ............................. 62,800 435,675
MMI Companies Inc. ........................... 9,000 224,437
Matrix Pharmaceuticals* ...................... 33,900 135,600
Nash Finch Co. ............................... 4,400 88,550
Orthologic Corp.* ............................ 33,000 169,125
RLI Corp. .................................... 4,400 182,600
Schultz Sav-O Stores Inc. .................... 12,850 202,388
Schweitzer-Mauduit International Inc. ........ 6,000 252,750
Standard Commercial Corp.* ................... 25,400 423,863
Stanhome Inc. ................................ 1,800 50,288
ThermoTrex Corp.* ............................ 5,000 115,000
------------
2,578,557
------------
CONSUMER DURABLE GOODS - 0.6%
Coachmen Industries Inc. ..................... 17,500 347,813
Flexsteel Industries Inc. .................... 4,800 54,000
Haskel International Inc. .................... 10,200 126,225
Oshkosh Truck Corp. Class B .................. 13,400 221,100
Republic Automotive Parts Inc.* .............. 6,800 107,100
West Co. Inc. ................................ 7,900 265,638
------------
1,121,876
------------
CONSUMER NON-DURABLES - 0.4%
Brookstone Inc.* ............................. 11,000 133,031
Cato Corp. Class A ........................... 8,100 69,356
Haverty Furniture Companies Inc. ............. 4,200 54,600
Little Switzerland Inc.* ..................... 30,000 195,000
Syms Corp.* .................................. 17,900 241,650
------------
693,637
------------
CONSUMER SERVICES - 0.3%
Aztar Corp.* ................................. 37,600 267,900
Cannondale Corp.* ............................ 10,800 238,950
------------
506,850
------------
ENERGY - 0.0%
Atwood Oceanics Inc.* ........................ 300 33,225
------------
FINANCE - 1.3%
APS Holdings Corp. Class A* .................. 26,000 195,000
Allied Life Financial Corp. .................. 7,200 158,400
BankAtlantic Bancorp Inc. Class A ............ 6,000 83,250
BankAtlantic Bancorp Inc. Class B ............ 11,343 155,966
Downey Financial Corp. ....................... 8,662 227,378
FBL Financial Group Inc. Class A ............. 4,000 158,500
Farm Family Holdings Inc.* ................... 6,700 207,700
Flagstar Bancorp Inc.* ....................... 14,000 264,250
GA Financial Inc. ............................ 6,000 117,000
Guaranty National Corp. ...................... 4,800 171,300
Harleysville Group Inc. ...................... 1,400 35,700
Homeside Inc.* ............................... 10,700 286,894
Matrix Capital Corp.* ........................ 10,000 152,500
Ocwen Asset Investment Corp. ................. 8,000 159,000
Penn America Group Inc. ...................... 600 11,063
Presidential Life Corp. ...................... 2,500 49,688
Professionals Insurance Company
Management Group* .......................... 1,100 36,850
------------
2,470,439
------------
GENERAL BUSINESS - 0.2%
Devon Group Inc.* ............................ 2,500 98,125
Ennis Business Forms Inc. .................... 28,400 298,200
------------
396,325
------------
MISCELLANEOUS - 0.6%
Commonwealth Industries Inc. ................. 8,500 149,812
Flowserve Corp. .............................. 10,300 306,425
Kevco Inc.* .................................. 5,900 95,875
Manchester Equipment Inc.* ................... 13,400 55,275
Rush Enterprises Inc.* ....................... 1,900 16,387
Seibels Bruce Group Inc.* .................... 19,600 149,450
Spacehab Inc.* ............................... 16,300 166,056
Spectralink Corp.* ........................... 8,000 29,000
Symons International Group Inc.* ............. 5,100 103,275
Wilshire Financial Services Group Inc.* ...... 3,400 100,300
------------
1,171,855
------------
SHELTER - 1.0%
Ameron International Corp. ................... 2,600 177,450
Beazer Homes USA Inc.* ....................... 17,000 325,125
Belmont Homes Inc.* .......................... 20,200 149,291
Butler Manufacturing Co. ..................... 4,200 142,275
Morgan Products Ltd.* ........................ 37,300 247,112
Patrick Industries Inc. ...................... 10,500 152,250
Ryland Group Inc. ............................ 20,000 357,500
Southern Energy Homes Inc.* .................. 19,400 178,237
U.S. Home Corp.* ............................. 7,900 280,450
------------
2,009,690
------------
TECHNOLOGY - 0.4%
Interlink Computer Sciences Inc.* ............ 16,200 74,925
Komag Inc.* .................................. 20,000 346,250
Premenos Technology Corp.* ................... 10,800 137,700
Read-Rite Corp.* ............................. 10,500 208,687
------------
767,562
------------
TRANSPORTATION - 0.2%
Fritz Companies Inc.* ........................ 21,500 296,969
Kenan Transportation Co. ..................... 5,000 115,000
------------
411,969
------------
UTILITIES - 0.0%
NRG Generating Inc.* ......................... 1,500 29,250
------------
TOTAL COMMON STOCKS .......................... 16,224,141
------------
SHORT-TERM OBLIGATIONS -- 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... 718,949
------------
TOTAL SMALL CAP VALUE
(Identified Cost $14,230,740) .............. 16,943,090
------------
INTERNATIONAL EQUITY--7.0%
COMMON STOCKS -- 6.5%
AUSTRIA - 0.1%
Bohler Uddeholm .............................. 1,899 136,162
------------
AUSTRALIA - 0.2%
Australia & New Zealand Bank Group ........... 29,600 206,497
Pioneer International Ltd .................... 39,743 105,089
Quantas Airways .............................. 38,813 69,603
------------
381,189
------------
CANADA - 0.2%
Bank of Nova Scotia .......................... 2,609 115,053
Canadian Imperial Bank of Commerce ........... 4,041 118,132
Imasco Ltd. .................................. 5,161 164,056
Noranda Inc. ................................. 4,405 77,514
------------
474,755
------------
DENMARK - 0.1%
BG Bank ...................................... 2,335 150,211
------------
FINLAND - 0.3%
Metra AB ..................................... 10,810 288,364
Rauma Oy ..................................... 3,238 60,713
UPM Kymmene Oy ............................... 7,248 161,261
------------
510,338
------------
FRANCE - 0.5%
Elf Aquitaine ................................ 640 79,220
France Telecom ............................... 497 18,809
Lafarge Coppee ............................... 2,750 171,820
Pernod Ricard ................................ 4,800 222,431
Seita ........................................ 6,098 194,519
Societe Generale ............................. 1,370 187,631
Usinor Sacilor ............................... 8,613 142,598
------------
1,017,028
------------
GERMANY - 0.3%
Buderus AG ................................... 90 43,648
Commerzbank AG ............................... 5,587 189,604
Draegerwerk AG ............................... 7,220 129,841
Dyckerhoff AG ................................ 531 161,721
------------
524,814
------------
GREAT BRITAIN - 1.7%
Abbey National ............................... 13,082 208,070
Allied Domecq PLC ............................ 23,700 193,446
BTR PLC ...................................... 62,875 212,296
Bat Industries ............................... 26,861 235,020
British Gas .................................. 8,000 35,165
Coats Viyella ................................ 106,500 198,335
Commercial Union ............................. 13,988 197,134
Cookson Group ................................ 61,500 247,636
Energy Group ................................. 7,844 79,949
Hanson ....................................... 27,706 141,776
Harrison & Crosfield ......................... 66,770 144,510
Hillsdown Holdings ........................... 63,129 177,937
Hyder ........................................ 13,619 205,644
Lex Service .................................. 20,900 147,974
National Westminister ........................ 4,300 61,827
Powergen ..................................... 14,872 165,429
Redland ...................................... 31,827 180,751
Safeway ...................................... 32,256 210,111
Tate & Lyle .................................. 20,100 152,427
------------
3,195,437
------------
HONG KONG - 0.4%
China Light & Power .......................... 30,000 157,925
Dickson Concept Industries ................... 31,000 66,759
HSBC Holdings ................................ 2,316 52,422
Hang Lung Development Co. .................... 35,635 49,087
Hong Kong Telecomm ........................... 46,800 89,587
Manhattan Card Co. ........................... 252,490 56,824
New World Development Co. .................... 36,790 129,430
South China Morning Post ..................... 79,486 68,881
Swire Pacific ................................ 25,000 133,545
------------
804,460
------------
IRELAND - 0.2%
Greencore Group .............................. 32,410 152,073
Jefferson Smurfit ............................ 57,401 170,061
------------
322,134
------------
ITALY - 0.1%
Danieli & Co. ................................ 7,205 28,109
Eni Spa ...................................... 34,000 191,187
------------
219,296
------------
JAPAN - 0.9%
Koito Manufacturing Co. ...................... 30,000 179,477
MOS Food Services ............................ 10,000 133,776
NSK Ltd. ..................................... 38,000 157,873
Nichicon Corp. ............................... 13,000 160,947
Nintendo Co. ................................. 1,600 138,263
Nissan Motor Co. ............................. 16,000 85,218
Promise Co. .................................. 3,520 205,906
SRL Inc. ..................................... 10,000 72,705
Sekisui Chemical ............................. 25,000 196,718
Sony Corp. ................................... 1,400 116,211
Sony Music Entertainment ..................... 300 10,544
Suzuki Motor Corp. ........................... 18,000 191,442
Yodogawa Steel Works ......................... 24,000 127,827
------------
1,776,907
------------
MALAYSIA - 0.1%
Arab Malaysian Finance ....................... 42,000 22,049
Bolton Properties ............................ 56,000 23,351
Genting Berhad ............................... 29,200 82,340
Kedah Cement Holdings ........................ 15,000 9,495
Malaysian International Shipping ............. 19,000 31,918
------------
169,153
------------
NETHERLANDS - 0.4%
ABN Amro Holdings NV ......................... 8,642 174,042
Akzo Nobel NV ................................ 1,280 225,541
Hollandsche Beton ............................ 5,540 111,000
Ing Group NV ................................. 3,119 130,929
Koninklijke PTT NV ........................... 4,390 167,776
------------
809,288
------------
NEW ZEALAND - 0.0%
Fletcher Challenge ........................... 17,249 52,089
------------
NORWAY - 0.1%
Kvaerner ASA ................................. 2,315 119,609
Nycomed Amersham ............................. 5,448 102,208
------------
221,817
------------
SPAIN - 0.2%
Banco Santander SA ........................... 5,610 157,151
Repsol SA .................................... 4,590 192,473
------------
349,624
------------
SWEDEN - 0.1%
Electrolux AB ................................ 2,565 212,326
Marieberg Tidnings ........................... 3,483 93,005
------------
305,331
------------
SWITZERLAND - 0.5%
Forbo Holdings ............................... 504 197,965
Nestle SA .................................... 139 195,856
Schweizerische Rueckversicherungs-
Gesellschaft ............................... 155 233,455
Schweizerische Industrie-Gesellschaft
Holding AG ................................. 63 169,620
Sulzer AG .................................... 190 138,947
------------
935,843
------------
UNITED STATES - 0.1%
Jardine Matheson ............................. 25,500 163,200
------------
TOTAL COMMON STOCKS .......................... 12,519,076
------------
WARRANTS -- 0.0%
Bolton Properties* Exp. 9/15/01 .............. 1,500 211
------------
SHORT-TERM OBLIGATIONS -- 0.5%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... 1,064,601
------------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $13,022,804) .............. 13,583,888
------------
DOMESTIC FIXED INCOME--25.0%
FIXED INCOME -- 24.6%
CORPORATE BONDS - 2.7%
Aetna Services Inc.
6.97% due 8/15/36 ......................... 180,000 184,999
Atlantic City Electric Co.
7.01% due 8/23/02 .......................... 430,000 443,923
Commonwealth Edison Electric Co.
7.00% due 7/01/05 .......................... 578,000 592,439
Detroit Edison Co.
6.69% due 3/03/03 .......................... 300,000 304,728
International Business Machines
6.22% due 8/01/27 .......................... 540,000 544,860
Jackson National Life Insurance Co.
8.15% due 3/15/27 .......................... 550,000 597,229
Liberty Mutual Insurance Co. .................
8.20% due 5/04/07 .......................... 350,000 379,313
Lockheed Martin Corp. ........................
7.20% due 5/01/36 .......................... 840,000 905,470
Mead Corp. ...................................
6.84% due 3/01/37 .......................... 300,000 313,164
Pep Boys
6.40% due 9/19/07 .......................... 400,000 403,948
Raytheon Co. .................................
6.75% due 8/15/07 .......................... 500,000 508,825
------------
5,178,898
------------
YANKEE BONDS - 0.4%
Embotelladora Andina SA
7.00% due 10/01/07 ......................... 500,000 509,565
Korea Development Bank
7.125% due 9/17/01 ......................... 300,000 296,484
------------
806,049
------------
ASSET BACKED - 2.4%
Aesop Funding II LLC
6.04% due 10/20/03 ......................... 1,000,000 1,013,438
Green Tree Financial Corp. ...................
7.29% due 3/15/28 .......................... 300,000 306,375
7.65% due 4/15/27 .......................... 850,000 887,715
Money Store Residential Trust
6.42% due 4/15/06 .......................... 864,183 865,804
Nissan Auto Receivables Grantor Trust
6.15% due 2/17/03 .......................... 1,500,000 1,503,750
------------
4,577,082
------------
MORTGAGE BACKED - 4.7%
Asset Securitization Corp.
6.50% due 2/14/41 .......................... 1,000,000 1,006,560
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 .......................... 323,683 308,609
6.50% due 7/01/11 .......................... 110,314 110,416
6.50% due 8/01/11 ........................... 91,097 91,183
6.50% due 9/15/22 .......................... 708,711 700,740
7.50% due 1/15/20 .......................... 269,805 273,515
Federal National Mortgage Association
6.50% due 5/01/11 .......................... 116,819 116,928
6.50% due 7/01/11 .......................... 193,718 193,890
6.50% due 8/25/22 .......................... 450,000 439,875
7.00% due 1/01/99 TBA** .................... 730,000 739,804
7.00% due 6/01/03 .......................... 102,427 103,587
7.00% due 7/01/03 .......................... 302,153 305,574
7.35% due 8/17/21 .......................... 550,000 593,828
8.00% due 5/01/26 .......................... 29,973 31,060
8.00% due 6/01/26 .......................... 424,225 439,603
General Electric Capital
Mortgage Services Inc.
7.50% due 3/25/27 .......................... 198,748 204,524
GMAC Commercial Mortgage Securities Corp.
6.83% due 12/15/03 ......................... 695,308 708,996
7.22% due 2/15/06 .......................... 100,000 105,016
Government National Mortgage Association
7.25% due 10/16/22 ......................... 275,931 280,070
Independent National Mortgage Corp. 94-QA5
7.50% due 9/25/14 .......................... 615,000 619,994
Norwest Asset Securities Corp.
7.50% due 3/15/27 .......................... 397,749 413,037
Residential Asset Securitization Trust
7.75% due 4/25/27 .......................... 500,000 527,188
Structured Asset Securities Corp.
6.79% due 10/15/34 ......................... 835,000 855,092
------------
9,169,089
------------
U. S. TREASURY OBLIGATIONS - 14.4%
United States Treasury Bonds
6.875% due 8/15/25 ......................... 250,000 271,915
6.875% due 2/15/27 ......................... 300,000 318,093
------------
590,008
------------
United States Treasury Notes
6.00% due 5/31/98 .......................... 5,380,000 5,392,589
6.375% due 5/15/99 ......................... 3,700,000 3,739,886
5.875% due 11/15/99 ........................ 969,000 973,089
6.50% due 5/31/01 .......................... 5,895,000 6,036,834
6.25% due 1/31/02 .......................... 1,184,000 1,205,087
6.50% due 5/31/02 .......................... 1,404,000 1,444,140
6.25% due 6/30/02 .......................... 6,798,000 6,927,570
6.875% due 5/15/06 ......................... 1,550,000 1,649,061
------------
27,368,256
------------
TOTAL FIXED INCOME ........................... 47,689,382
------------
SHORT-TERM OBLIGATIONS -- 0.4%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................... $820,996
------------
United States Treasury Bills
4.93% due 12/11/97 ......................... 15,000 14,918
5.18% due 12/11/97 ......................... 35,000 34,798
------------
49,716
------------
TOTAL SHORT-TERM OBLIGATIONS ................. 870,712
------------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $47,754,006) .............. 48,560,094
------------
<PAGE>
INTERNATIONAL BOND--34.1%
FIXED INCOME--20.8% CURRENCY
ARGENTINA - 0.2%
Republic of Argentina Bocon
3.24% due 4/01/01 ............................ ARS 387,873 321,238
------------
AUSTRALIA - 2.7%
Australia Government Bond
13.00% due 7/15/00 ......................... AUD 1,800,000 1,512,084
9.50% due 8/15/03 .......................... AUD 7 592,239
Republic Government
7.50% due 9/15/09 .......................... AUD 3,900,000 3,115,561
------------
5,219,884
------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ........................ ATS 1,850,000 170,614
------------
BELGIUM - 0.0%
Kingdom of Belgium
9.00% due 3/28/03 .......................... BF 200,000 6,606
8.50% due 10/01/07 ......................... BF 1,900,000 64,405
------------
71,011
------------
CANADA - 1.9%
Canadian Government
8.00% due 11/01/98 ......................... CAD 1,290,000 947,910
8.50% due 3/01/00 .......................... CAD 2,256,000 1,732,559
9.00% due 12/01/04 ......................... CAD 1,110,000 955,694
------------
3,636,163
------------
CROATIA - 0.1%
Republic of Croatia
6.625% due 7/31/10 ......................... $ 260,000 218,400
------------
DENMARK - 0.3%
Kingdom of Denmark
8.00% due 5/15/03 .......................... DKK 2,220,000 $ 376,933
8.00% due 3/15/06 .......................... DKK 950,000 163,126
------------
540,059
------------
FINLAND - 0.4%
Republic of Finland
7.25% due 4/18/06 .......................... FIM 3,000,000 632,133
8.25% due 10/15/10 ......................... FIM 1,000,000 231,128
------------
863,261
------------
FRANCE - 0.3%
Government of France
7.75% due 10/25/05 ......................... FRF 2,370,000 471,720
8.25% due 2/27/04 .......................... FRF 500,000 100,594
------------
572,314
------------
GERMANY - 2.5%
Bundesrepublik
6.50% due 7/04/27 .......................... DEM 4,493,000 2,699,762
Republic of Germany
7.125% due 12/20/02 ........................ DEM 1,840,000 1,162,942
7.375% due 1/03/05 ......................... DEM 250,000 161,562
6.00% due 7/04/07 .......................... DEM 390,000 232,647
Treuhandanstalt
6.875% due 6/11/03 ......................... DEM 790,000 494,907
------------
4,751,820
------------
GREAT BRITAIN - 1.4%
U. K. Treasury
8.00% due 12/07/00 ......................... GBP 100,000 173,280
6.75% due 11/26/04 ......................... GBP 70,000 119,167
8.50% due 12/07/05 ......................... GBP 1,325,000 2,482,140
------------
2,774,587
------------
GREECE - 1.0%
Hellenic Republic
11.10% due 6/17/03 ......................... GRD 10,200,000 37,262
Republic of Greece
11.00% due 10/23/03 ........................ GRD 48,800,000 175,585
8.80% due 6/19/07 .......................... GRD 555,000,000 1,803,337
------------
2,016,184
------------
ITALY - 0.6%
Republic of Italy
7.25% due 11/01/26 ......................... ITL 1,780,000,000 1,127,719
------------
JAPAN - 4.1%
Japan Government Bond
6.40% due 3/20/00 .......................... JPY 477,000,000 4,502,071
5.50% due 3/20/02 .......................... JPY 182,000,000 1,796,257
4.50% due 6/20/03 .......................... JPY 142,000,000 1,380,828
4.10% due 12/22/03 ......................... JPY 30,400,000 292,052
------------
7,971,208
------------
NETHERLANDS - 0.0%
Dutch Government Bonds
8.25% due 2/15/07 .......................... NLG 100,000 61,319
------------
NEW ZEALAND - 0.3%
New Zealand Government
10.00% due 3/15/02 ......................... NED 60,000 41,883
8.00% due 4/15/04 .......................... NED 890,000 592,974
------------
634,857
------------
PHILIPPINES - 0.1%
Eurobank Reconstruction
& Development
9.00% due 4/22/98 .......................... PHP 5,000,000 131,171
International Bank
Reconstruction
10.25% due 4/11/02 ......................... PHP 3,000,000 76,587
------------
207,758
------------
SPAIN - 0.4%
Government of Spain
10.90% due 8/30/03 ......................... ESP 56,900,000 492,375
10.00% due 2/28/05 ......................... ESP 35,000,000 299,871
------------
792,246
------------
SWEDEN - 2.2%
Kingdom of Sweden
10.25% due 5/05/00 ......................... SEK 16,100,000 2,380,661
13.00% due 6/15/01 ......................... SEK 1,100,000 180,862
9.00% due 4/20/09 .......................... SEK 5,600,000 899,661
11.00% due 1/21/99 ......................... SEK 5,100,000 726,913
------------
4,188,097
------------
UNITED STATES - 2.2%
United States Treasury Notes
3.63% due 7/15/02 .......................... $4,317,071 4,325,144
------------
TOTAL FIXED INCOME ........................... 40,463,883
------------
SHORT-TERM OBLIGATIONS -- 13.3%
American Express Credit
5.50% due 11/19/97 ......................... $1,300,000 1,296,425
Ameritech Corp.
5.48% due 11/25/97 ......................... $1,000,000 996,347
Aubrey G. Lanston
Repurchase Agreement
5.68% due 11/03/97(+) ...................... 3,106,279
Bellsouth
Telecommunications Inc.
5.52% due 11/12/97 ......................... $1,300,000 1,297,807
Caisse D'Amortissement
5.52% due 12/12/97 ......................... $1,000,000 993,713
Canada Discount Notes
5.48% due 11/20/97 ......................... CAD 1,500,000 1,495,662
Canadian Treasury Bills
4.11% due 4/02/98 .......................... CAD 800,000 558,777
Emerson Electric Co.
5.47% due 11/20/97 ......................... $1,000,000 997,113
Finland Government
Treasury Bills
4.12% due 8/14/98 .......................... FIM 5,000,000 935,748
Ford Motor Co.
5.49% due 1/08/98 .......................... $1,300,000 1,286,194
General Motors Corp
5.56% due 11/24/97 ......................... $1,100,000 1,096,093
IBM International Financing
5.50% due 11/19/97 ......................... $1,000,000 997,250
KFW International
Financing Inc.
5.47% due 11/07/97 ......................... $1,000,000 999,088
5.53% due 12/03/97 ......................... $ 500,000 497,542
Letras Del Tesoro
7,61% due 3/20/98 .......................... ARS 80,000 76,686
National Rural Utilities
Coop. Financing
5.58% due 1/20/98 .......................... $ 500,000 493,770
New Center Asset Trust
5.56% due 1/21/98 .......................... $ 1,500,000 1,481,070
Ontario Hydro
5.50% due 12/05/97 ......................... $ 1,000,000 994,806
Poland Treasury Bills
26.38% due 11/05/97 ........................ PLN 1,500,000 429,410
19.74% due 11/19/97 ........................ PLN 1,180,000 193,109
19.74% due 12/03/97 ........................ PLN 600,000 169,286
19.74% due 1/21/98 ......................... PLN 300,000 81,853
19.74% due 4/22/98 ......................... PLN 650,000 167,989
19.74% due 5/13/98 ......................... PLN 320,000 81,690
19.74% due 6/26/98 ......................... PLN 600,000 149,492
Poland Treasury Bond
22.01% due 11/19/97 ........................ PLN 500,000 141,993
Proctor & Gamble Co.
5.49% due 11/06/97 ......................... $1,000,000 999,238
Republic of Finland
3.49% due 3/13/98 .......................... FIM 1,000,000 190,754
Kingdom of Sweden
5.49% due 12/02/97 ......................... $1,000,000 995,273
United Parcel Service
5.48% due 11/03/97 ......................... $1,500,000 1,499,543
United States Treasury Bills
5.11% due 11/13/97 ......................... $ 30,000 29,949
5.16% due 11/13/97 ......................... $ 10,000 9,983
5.02% due 2/05/98 .......................... $ 10,000 9,867
Western Australian Treasury
Bills
5.49% due 11/20/97 ......................... $1,000,000 997,103
------------
Total Short-Term Obligations ................. 25,746,902
------------
INTERNATIONAL BOND OPTIONS -- 0.0%
Purchased calls
AUD 570,000 Australian Government Bonds
@ AUD 94.75 exp. date 2/09/98 .............. 69,191
------------
Total International Bond
(Identified Cost $66,196,764) .............. $ 66,279,976
------------
SHORT-TERM--19.2%
SHORT-TERM OBLIGATIONS -- 19.2%
Aubrey G. Lanston
Repurchase Agreement
5.68% due 11/03/97(+) ...................... 12,056,648
Bankers Trust
5.97% due 10/27/98 ......................... $3,000,000 3,000,565
Barton Capital Corp.
5.54% due 11/07/97 ......................... 2,500,000 2,497,692
Bear Stearns Companies Inc.
5.53% due 12/22/97 ......................... 2,500,000 2,480,415
Canadian Imperial Bank
5.63% due 12/30/97 ......................... 2,500,000 2,500,000
Dai Ichi Kangyo Bank
5.69% due 11/26/97 ......................... 1,500,000 1,500,033
Deutsche Bank
5.76% due 2/03/98 .......................... 1,000,000 1,000,117
5.85% due 10/20/98 ......................... 2,500,000 2,498,843
Harris Trust and Savings Bank
5.54% due 11/17/97 ......................... 1,000,000 999,997
Korea Development Bank
5.90% due 11/18/97 ......................... 1,950,000 1,944,567
National Westminister Bank PLC
5.935% due 6/26/98 ......................... $1,500,000 $ 1,500,673
Societe Generale
5.97% due 9/15/98 .......................... 2,000,000 2,001,135
Sumitomo Bank
5.66% due 12/18/97 ......................... 2,000,000 2,000,000
United States Treasury Bills
5.31% due 9/17/98 .......................... 1,500,000 1,432,557
------------
TOTAL SHORT-TERM OBLIGATIONS
(Identified Cost $37,409,884) .............. 37,413,242
------------
TOTAL INVESTMENTS
(Identified Cost $214,412,224) ............. 114.9% 223,081,404
OTHER ASSETS,
LESS LIABILITIES ........................... (14.9) (28,938,075)
----- ------------
TOTAL NET ASSETS ............................. 100.0% $194,143,329
===== ============
* Non income producing
** TBA's are mortgage-backed securities traded under delayed delivery
commitments, settling after October 31, 1997. Although the unit price for
the trade has been established, the principal value has not been finalized.
However, the amount of the commitment will not fluctuate more than 2% from
the principal amount. Income on TBA's is not earned until settlement date.
(+) The Portfolio owns in aggregate Aubrey G. Lanston Repurchase Agreements
5.68%, due 11/03/97 valued at $19,134,000, collateralized by $19,694,000
United States Treasury Bills due at 1/02/98, portions of which are
separately listed by each asset class.
(++) The Portfolio owns in aggregate 3,695 shares of Deere & Co. valued at
$194,448, 3,930 shares of Chubb Corp. valued at $260,363, and 7,120 shares
of Federal National Mortgage Association, valued at $344,875, portions of
which are separately listed by each asset class..
See notes to financial statements
- --------------------------------------------------------------------------------
FOREIGN CURRENCY LEGEND
- --------------------------------------------------------------------------------
SYMBOL COUNTRY
- --------------------------------------------------------------------------------
ARS ARGENTINA
AUD AUSTRALIA
ATS AUSTRIA
BF BELGIUM
CAD CANADIAN
USD CROATIA
DKK DENMARK
FIM FINLAND
FRF FRANCE
DEM GERMANY
GBP GREAT BRITAIN
GRD GREECE
JPY JAPAN
NLG NETHERLANDS
NED NEW ZEALAND
PHP PHILIPPINES
ESP SPAIN
SEK SWEDEN
<PAGE>
ASSET ALLOCATION PORTFOLIO 200
- --------------------------------------------------------------------------------
FUTURES CONTRACTS WHICH WERE OPEN AT OCTOBER 31, 1997 ARE AS FOLLOWS:
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF FACE VALUE EXPIRATION UNREALIZED
CONTRACTS CONTRACTS CURRENCY OF CONTRACTS DATE GAIN (LOSS)
--------- --------- -------- ------------ ---- -----------
<S> <C> <C> <C> <C> <C>
Australian Government 3-Year Bond (Buy) 1 AUD 100,000 December 1997 $ 869
U.S. Treasury 5-Year Note (Sell) ...... 23 $ 2,300,000 December 1997 2,438
U.S. Treasury 10-Year Note (Buy) ...... 12 $ 1,200,000 December 1997 6,937
U.S. Treasury 20-Year Bond (Buy) ...... 6 $ 600,000 December 1997 6,750
-------
$16,994
=======
FORWARD CURRENCY CONTRACTS WHICH WERE OPEN AT OCTOBER 31, 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 (Sell) ........ Germany $ 4,664,451 $ 4,566,080 November 1997 $ (98,371)
Deutsche Mark (Buy) ......... Germany 4,649,762 4,567,343 November 1997 82,419
Deutsche Mark (Buy) ......... Germany 5,137,317 4,989,653 December 1997 147,664
Deutsche Mark (Buy) ......... Germany 901,740 879,193 January 1998 22,547
Dollar (Buy) ................ Australia 310,705 325,749 January 1998 (15,044)
Dollar (Sell) ............... Australia 968,047 970,388 January 1998 2,341
Dollar (Sell) ............... Canada 1,929,018 1,976,669 December 1997 47,651
Dollar (Buy) ................ Canada 1,604,061 1,631,719 December 1997 (27,658)
Dollar (Buy) ................ Canada 275,554 288,231 March 1998 (12,677)
Dollar (Sell) ............... Canada 275,555 283,448 March 1998 7,893
Dollar (Buy) ................ New Zealand 41,667 42,890 November 1997 (1,223)
Dollar (Sell) ............... New Zealand 414,809 426,936 November 1997 12,127
Dollar (Sell) ............... New Zealand 213,061 216,781 December 1997 3,720
Drachma (Buy) ............... Greece 13,203 12,803 November 1997 400
Drachma (Buy) ............... Greece 495,912 473,103 January 1998 22,809
ECU (Sell) .................. Europe 492,076 475,227 November 1997 (16,849)
ECU (Sell) .................. Europe 259,001 251,909 January 1998 (7,092)
Franc (Buy) ................. Belgium 461,196 439,473 December 1997 21,723
Franc (Buy) ................. Belgium 413,986 401,536 January 1998 12,450
Franc (Sell) ................ France 34,171 31,551 November 1997 (2,620)
Franc (Buy) ................. France 2,191,180 2,128,025 November 1997 63,155
Franc (Sell) ................ France 11,823 11,553 December 1997 (270)
Franc (Buy) ................. France 26,427 25,719 December 1997 708
Franc (Sell) ................ Switzerland 5,143,535 4,969,522 November 1997 (174,013)
Franc (Buy) ................. Switzerland 2,936,828 2,821,042 November 1997 115,786
Franc (Sell) ................ Switzerland 1,319,862 1,273,356 December 1998 (46,506)
Franc (Sell) ................ Switzerland 1,751,038 1,692,628 January 1998 (58,410)
Guilder (Buy) ............... Netherlands 998,762 941,949 November 1997 56,813
Guilder (Buy) ............... Netherlands 346,072 339,584 December 1997 6,488
Koruna (Buy) ................ Czechoslovakia 234,070 230,781 November 1997 3,289
Koruna (Sell) ............... Czechoslovakia 175,701 176,210 January 1998 509
Krone (Buy) ................. Norway 934,255 927,100 November 1997 7,155
Krone (Buy) ................. Denmark 67,191 66,071 November 1997 1,120
Krona (Buy) ................. Sweden 1,313,556 1,281,799 November 1997 31,757
Krona (Sell) ................ Sweden 549,106 539,151 January 1998 (9,955)
Lira (Buy) .................. Italy 2,422,083 2,391,277 January 1998 30,806
Markka (Sell) ............... Finland 227,216 213,171 November 1997 (14,045)
Markka (Sell) ............... Finland 218,961 214,666 December 1997 (4,295)
Markka (Buy) ................ Finland 244,362 241,187 January 1998 3,175
Markka (Sell) ............... Finland $ 667,055 $ 653,620 January 1998 $ (13,435)
Peseta (Buy) ................ Spain 203,713 188,379 November 1997 15,334
Peseta (Buy) ................ Spain 1,137,552 1,113,245 December 1997 24,307
Peso (Buy) .................. Chile 170,640 172,745 November 1997 (2,105)
Peso (Buy) .................. Mexico 178,892 190,852 November 1997 (11,960)
Peso (Buy) .................. Mexico 69,171 68,396 December 1997 775
Pound (Sell) ................ Great Britain 251,420 238,006 November 1997 (13,414)
Pound (Buy) ................. Great Britain 217,995 209,192 November 1997 8,803
Pound (Buy) ................. Great Britain 1,204,594 1,160,640 January 1998 43,954
Pound (Sell) ................ Great Britain 33,461 32,110 January 1998 (1,351)
Pound (Buy) ................. Ireland 1,097,495 1,070,180 November 1997 27,315
Pound (Buy) ................. Ireland 151,795 147,965 December 1997 3,830
Rand (Buy) .................. South Africa 158,998 162,946 November 1997 (3,948)
Ringgit (Sell) .............. Malaysia 280,686 314,749 December 1997 34,063
Rupiah (Buy) ................ Indonesia 44,069 49,287 November 1997 (5,218)
Rupiah (Sell) ............... Indonesia 44,069 43,802 November 1997 (267)
Rupiah (Buy) ................ Indonesia 212,671 254,914 December 1997 (42,243)
Rupiah (Buy) ................ Indonesia 42,798 42,753 January 1998 45
Schilling (Buy) ............. Austria 196,177 188,154 December 1997 8,023
Yen (Buy) ................... Japan 5,429,764 5,755,438 November 1997 (325,674)
Yen (Buy) ................... Japan 130,414 130,544 December 1997 130
Yen (Sell) .................. Japan 3,051,356 3,110,618 December 1997 (59,262)
---------
$ (96,821)
=========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS OCTOBER 31, 1997
Issuer Shares Value
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--9.6%
CAPITAL GOODS/PRODUCER MANUFACTURER - 1.0%
Applied Materials* ............................ 7,100 $ 236,963
Deere & Co.(++) ............................... 6,395 336,537
General Electric Co. .......................... 30,830 1,990,462
Illinois Tool Works ........................... 12,510 615,336
Xerox Corp. ................................... 8,610 682,881
-------------
3,862,179
-------------
COMMERCIAL SERVICES - 0.2%
Interpublic Group Companies Inc. .............. 12,542 595,745
-------------
CONSUMER DURABLES - 0.2%
Leggett & Platt Inc. .......................... 15,430 644,203
-------------
CONSUMER NON-DURABLES - 1.0%
Clorox Co. .................................... 6,145 430,150
Coca Cola Co. ................................. 11,435 646,078
Colgate Palmolive Co. ......................... 8,435 546,166
Gillette Co. .................................. 8,670 772,172
Mattel Inc. ................................... 11,800 458,725
Procter & Gamble Co. .......................... 10,640 723,520
-------------
3,576,811
-------------
CONSUMER SERVICES - 0.7%
Carnival Corp. ................................ 19,840 962,240
Clear Channel Communications* ................. 8,300 547,800
Cracker Barrel Old Country Store .............. 14,345 423,178
Gannett Inc. .................................. 8,420 442,576
-------------
2,375,794
-------------
ENERGY - 0.1%
Schlumberger Ltd. ............................. 5,450 476,875
-------------
FINANCE - 1.2%
American International Group Inc. ............. 5,697 581,450
Chubb Corp.(++) ............................... 7,485 495,881
Federal National Mortgage Association(++) ..... 15,865 768,461
Norwest Corp. ................................. 12,660 405,911
State Street Corp. ............................ 8,875 494,781
Travelers Group Inc. .......................... 11,135 779,450
U.S. Bancorp .................................. 3,575 363,533
Zions Bancorp ................................. 11,475 446,091
-------------
4,335,558
-------------
HEALTHCARE - 2.0%
Abbott Labs ................................... 8,970 549,973
Cardinal Health Inc. .......................... 7,140 530,145
Health Management Association* ................ 25,433 619,917
Johnson & Johnson ............................. 9,650 553,669
Lilly, Eli & Co. .............................. 13,480 901,475
Lincare Holding Inc.* ......................... 12,640 677,820
Merck & Co. ................................... 11,425 1,019,681
Pfizer Inc. ................................... 17,230 1,219,023
Schering Plough Corp. ......................... 12,150 681,159
Warner Lambert Co. ............................ 4,790 685,868
-------------
7,438,730
-------------
RETAIL - 1.3%
Bed Bath & Beyond Inc.* 17,200 ................ 546,100
Consolidated Stores* .......................... 14,617 582,853
Gap Inc. ...................................... 8,825 469,380
Home Depot .................................... 17,440 970,100
Kohls Corp.* .................................. 8,645 580,296
Wal Mart Stores Inc. .......................... 27,300 958,913
Walgreen Co. .................................. 21,655 609,047
-------------
4,716,689
-------------
TECHNOLOGY - 1.4%
Adaptec Inc.* ................................. 10,900 527,968
AMP Inc. ...................................... 11,910 535,950
Cisco Systems Inc.* ........................... 7,975 654,199
Computer Association International Inc. ....... 8,350 622,597
Intel Corp. ................................... 15,080 1,161,160
Microsoft Corp.* .............................. 10,720 1,393,600
Parametric Technology Corp.* .................. 7,795 343,953
-------------
5,239,427
-------------
TRANSPORTATION - 0.2%
Southwest Airlines Co. ........................ 21,650 706,331
-------------
TOTAL COMMON STOCKS .......................................... 33,968,342
-------------
SHORTTERM OBLIGATIONS - 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 1,155,942
-------------
TOTAL LARGE CAP GROWTH
(Identified Cost $31,525,299) ............................... 35,124,284
-------------
LARGE CAP VALUE--9.4%
COMMON STOCKS - 9.2%
BASIC INDUSTRIES - 0.8%
Cabot Corp. ................................... 7,900 194,044
Dow Chemical Co. .............................. 3,900 353,925
E I du Pont de Nemours & Co. .................. 5,400 307,125
FMC Corp.* .................................... 4,500 363,656
Great Lakes Chemical Corp. 10,900 512,300
IMC Global Inc. ............................... 8,200 276,238
Inland Steel Industries Inc. .................. 9,200 180,550
National Steel Corp. .......................... 8,600 141,900
Reynolds Metal Co. ............................ 1,100 67,031
Rohm & Haas Co. ............................... 4,400 366,575
Westvaco Corp. ................................ 5,600 183,750
-------------
2,947,094
-------------
CAPITAL GOODS - 0.9%
Arrow Electronics Inc.* ....................... 10,100 286,588
Caterpillar Inc. .............................. 5,000 256,250
Cummins Engine Inc. ........................... 15,200 926,250
Deere & Co.(++) ............................... 4,000 210,500
Harnischfeger Industries Inc. ................. 11,600 456,750
Kennametal Inc. ............................... 9,000 436,500
Parker Hannifin Corp. ......................... 9,550 399,309
Tecumseh Products Co. ......................... 6,800 352,750
-------------
3,324,897
-------------
CONSUMER BASICS - 0.9%
Bergen Brunswig Corp. ......................... 8,175 327,511
Columbia/HCA Healthcare Corp. ................. 10,500 296,625
IBP Inc. ...................................... 10,300 238,831
Mallinckrodt Inc. ............................. 8,900 333,750
Maxicare Health Plans Inc.* ................... 8,000 112,000
Philip Morris Companies Inc. .................. 18,800 744,950
RJR Nabisco Holdings Corp. .................... 16,200 513,338
Tupperware Corp. .............................. 7,900 197,994
Universal Foods Corp. ......................... 9,100 358,881
-------------
3,123,880
-------------
CONSUMER DURABLE GOODS - 0.9%
Dana Corp. .................................... 7,500 351,094
Eaton Corp. ................................... 5,100 492,787
Ford Motor Co. ................................ 26,000 1,135,875
General Motors Corp. .......................... 9,700 622,619
Goodyear Tire and Rubber ...................... 12,600 789,075
-------------
3,391,450
-------------
CONSUMER NON-DURABLES - 0.6%
Federated Department Stores Inc.* ............. 9,600 422,400
Russell Corp. ................................. 8,300 243,813
Sears Roebuck & Co. ........................... 10,700 448,062
Springs Industries Inc. ....................... 6,400 296,800
Toys "R" Us Inc.* ............................. 11,100 378,093
V F Corp. ..................................... 5,900 527,313
-------------
2,316,481
-------------
CONSUMER SERVICES - 0.3%
AMR Corp. * ................................... 3,600 419,175
Delta Airlines Inc. ........................... 5,700 574,275
-------------
993,450
-------------
ENERGY - 0.9%
Amoco Corp. ................................... 4,600 421,763
Atlantic Richfield Co. ........................ 5,400 444,487
British Petroleum PLC ......................... 5,600 491,400
Mapco Inc. .................................... 9,700 320,100
Phillips Petroleum Co. ........................ 9,100 440,213
Repsol ........................................ 8,300 352,750
Ultra Mar Diamond Shamrock .................... 9,800 302,575
YPF Sociedad Anonima .......................... 12,700 406,400
-------------
3,179,688
-------------
FINANCE - 2.1%
Allstate Corp. ................................ 6,400 530,800
American General Corp. ........................ 6,100 311,100
Bank of New York Inc. ......................... 7,900 371,794
Capital One Financial Corp. ................... 3,000 136,875
Case Corp. .................................... 12,700 759,619
Chase Manhattan Corp. ......................... 6,200 715,325
Chubb Corp.(++) ............................... 3,800 251,750
Cigna Corp. ................................... 1,700 263,925
Crestar Financial Corp. ....................... 3,800 179,787
Everest Reinsurance Holdings .................. 10,300 387,538
Federal National Mortgage Association(++) ..... 5,100 247,030
First Union Corp. ............................. 6,800 333,624
Foundation Health Systems* .................... 15,670 450,513
Hartford Financial Services Group ............. 5,100 413,100
Mellon Bank Corp. ............................. 7,200 371,250
Old Republic International Corp. .............. 9,400 336,050
Reliastar Financial Corp. ..................... 10,000 373,750
Republic NY Corp. ............................. 3,100 328,019
Signet Banking Corp. .......................... 7,300 392,831
Tig Holdings Inc. ............................. 7,100 240,513
Transatlantic Holdings Inc. ................... 4,400 304,425
-------------
7,699,618
-------------
GENERAL BUSINESS - 0.1%
Olsten Corp. .................................. 19,900 303,475
Standard Register ............................. 4,400 142,450
-------------
445,925
-------------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ......................... 17,600 916,300
Dillards Inc. ................................. 8,100 310,838
-------------
1,227,138
-------------
SHELTER - 0.1%
Owens Corning ................................. 10,000 342,500
-------------
TECHNOLOGY - 0.8%
Beckman Industries Inc. ....................... 11,000 433,125
International Business Machines ............... 10,400 1,019,850
Seagate Technology* ........................... 10,100 273,962
Stratus Computer Inc.* ........................ 4,400 155,650
TRW Inc. ...................................... 6,800 389,300
Tektronix Inc. ................................ 6,400 378,400
Western Digital Corp.* ........................ 11,500 344,281
-------------
2,994,568
-------------
TRANSPORTATION - 0.2%
Burlington Northern Santa Fe 2,600 247,000
CSX Corp. ..................................... 5,800 317,188
-------------
564,188
-------------
UTILITIES - 0.3%
Cinergy Corp. ................................. 4,400 145,200
DTE Energy Co. ................................ 7,100 218,325
Duke Energy Co. ............................... 4,019 193,917
El Paso Natural Gas Co. ....................... 4,900 293,694
Entergy Corp. ................................. 7,200 175,950
GPU Inc. ...................................... 6,100 220,743
-------------
1,247,829
-------------
TOTAL COMMON STOCKS .......................................... 33,798,706
-------------
SHORT-TERM OBLIGATIONS--0.2%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 564,363
-------------
TOTAL LARGE CAP VALUE
(Identified Cost $30,567,684) ............................... 34,363,069
-------------
SMALL CAP GROWTH--10.4%
COMMON STOCKS--10.1%
BASIC INDUSTRIES - 0.5%
Central Packing Corp. ......................... 22,450 1,226,331
OM Group Inc. ................................. 14,570 550,018
-------------
1,776,349
-------------
CAPITAL GOODS - 0.3%
Hardinge Brothers Inc.* ....................... 19,100 651,788
ITEQ Inc.* .................................... 29,530 369,125
-------------
1,020,913
-------------
CONSUMER BASICS - 1.4%
General Cigar Holdings Inc.* .................. 22,680 656,303
Human Genome Sciences Inc.* ................... 17,300 709,300
Parexel International Corp.* .................. 24,560 887,230
Performance Food Group Co.* ................... 23,950 443,074
Renal Treatment Centers Inc.* ................. 22,370 742,404
Suiza Foods Corp.* ............................ 24,260 1,222,098
Wholesale Foods Market Inc.* .................. 13,100 514,175
-------------
5,174,584
-------------
CONSUMER DURABLE GOODS - 0.3%
Miller Industries Inc.* ....................... 33,560 339,795
Tower Automotive Inc.* ........................ 13,600 569,500
-------------
909,295
-------------
CONSUMER NON-DURABLES - 0.4%
Henry Schein Inc. ............................. 24,120 792,945
Men's Wearhouse Inc.* ......................... 21,050 815,688
-------------
1,608,633
-------------
CONSUMER SERVICES - 0.2%
Premier Parks Inc.* ........................... 20,340 813,600
-------------
ENERGY - 0.7%
Dawson Production Services Inc.* .............. 20,800 504,400
Forcenergy Inc.* .............................. 23,480 766,035
Key Energy Group Inc.* ........................ 18,200 571,025
Lomak Petroleum Inc. .......................... 41,690 773,871
-------------
2,615,331
-------------
FINANCE - 0.4%
Allied Group Inc. ............................. 17,930 847,193
Metris Companies Inc.* ........................ 17,520 740,220
-------------
1,587,413
-------------
GENERAL BUSINESS - 2.3%
Abacus Direct Corp.* .......................... 32,780 1,204,665
Executive Risk Inc. ........................... 12,550 826,731
Heftel Broadcasting Corp.* .................... 16,740 1,113,210
Intelliquest Information Group* ............... 19,200 326,400
Lamar Advertising Co.* ........................ 26,070 883,121
Metro Networks Inc.* .......................... 13,350 413,850
NFO Worldwide Inc.* ........................... 42,105 757,890
Profit Recovery Group International Inc.* ..... 27,300 426,563
Registry Inc.* ................................ 17,400 722,100
Snyder Communications Inc.* ................... 36,000 1,062,000
Whittman Hart Inc.* ........................... 29,870 866,230
-------------
8,602,760
-------------
MISCELLANEOUS - 2.2%
AHL Services Inc. ............................. 6,310 112,791
American Disposal Services Inc. ............... 10,300 363,075
Concentration Managed Care Inc.* .............. 25,130 819,866
Gray Communications Systems Inc. .............. 16,900 421,444
Probusiness Services Inc. ..................... 21,500 430,000
QAD Inc. ...................................... 27,660 390,698
Rental Service Corp.* ......................... 42,630 1,140,353
Sirrom Capital Corp. .......................... 20,100 1,012,538
Suburban Lodges America Inc.* ................. 38,050 941,738
Synthetic Industries Inc.* .................... 21,130 591,640
Viropharma Inc. ............................... 23,700 521,400
Wilmar Industries Inc.* ....................... 22,790 598,236
Xionics Document Technologies* ................ 51,100 779,274
-------------
8,123,053
-------------
TECHNOLOGY - 1.1%
CDW Computer Centers Inc.* .................... 12,100 750,200
Claremont Technology Group Inc.* .............. 18,670 413,074
E Trade Group Inc.* ........................... 10,950 338,081
ETEC Systems Inc.* ............................ 8,900 397,163
Harbinger Corp. ............................... 15,550 462,613
Imnet Systems Inc.* ........................... 21,040 383,980
Inacom Corp.* ................................. 11,300 348,181
Sipex Corp.* .................................. 17,600 578,600
Speedfam International Inc. ................... 5,800 215,324
-------------
3,887,216
-------------
TRANSPORTATION - 0.3%
Eagle U.S.A. Airfreight Inc.* ................. 23,620 714,504
Hub Group Inc.* ............................... 10,900 332,450
-------------
1,046,954
-------------
TOTAL COMMON STOCKS .......................................... 37,166,101
-------------
SHORT TERM OBLIGATIONS--0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 1,199,353
-------------
TOTAL SMALL CAP GROWTH
(Identified Cost $32,523,938) ............................... 38,365,454
-------------
SMALL CAP VALUE--11.5%
COMMON STOCKS - 11.2%
BASIC INDUSTRIES - 0.9%
Atchison Casting Corp.* ....................... 6,500 133,656
Carpenter Technology Corp. .................... 4,400 212,850
Giant Cement Holding Inc.* .................... 1,800 43,650
Keystone Consolidated Industries Inc.* ........ 75,900 986,700
LTV Corp. ..................................... 101,500 1,237,031
Oil-Dri Corp. of America ...................... 36,900 631,913
-------------
3,245,800
-------------
CAPITAL GOODS - 1.9%
American Buildings Co.* ....................... 18,500 518,000
Astec Industries Inc.* ........................ 2,800 47,600
Astro-Med Inc. ................................ 3,300 28,463
Commercial Intertech Corp. .................... 37,100 602,875
D.R. Horton Inc. .............................. 78,800 1,182,000
ESCO Electronics Corp.* ....................... 66,000 1,134,375
Global Industrial Technologies Inc.* .......... 36,800 627,900
JLG Industries Inc. ........................... 85,800 1,088,588
Ultrak Inc.* .................................. 46,300 532,450
United Industrial Corp. ....................... 100,200 1,045,838
-------------
6,808,089
-------------
CONSUMER BASICS - 1.7%
Dimon Inc. .................................... 28,500 739,219
Ekco Group Inc.* .............................. 156,800 1,087,800
MMI Companies Inc. ............................ 23,400 583,538
Matrix Pharmaceuticals* ....................... 86,400 345,600
Nash Finch Co. ................................ 10,300 207,288
Orthologic Corp.* ............................. 83,000 425,375
RLI Corp. ..................................... 12,400 514,600
Schultz Sav-O Stores Inc. ..................... 33,000 519,750
Schweitzer-Mauduit International Inc. ......... 15,000 631,875
Standard Commercial Corp.* .................... 54,800 914,475
Stanhome Inc. ................................. 5,000 139,688
Thermo Trex Corp.* ............................ 12,300 282,900
-------------
6,392,108
-------------
CONSUMER DURABLE GOODS - 0.8%
Coachmen Industries Inc. ...................... 42,000 834,750
Flexsteel Industries Inc. ..................... 21,300 239,625
Haskel International Inc. ..................... 27,300 337,838
Oshkosh Truck Corp. Class B ................... 37,900 625,350
Republic Automotive Parts Inc.* ............... 17,500 275,625
West Co. Inc. ................................. 21,700 729,663
-------------
3,042,851
-------------
CONSUMER NON-DURABLES - 0.5%
Brookstone Inc.* .............................. 26,300 318,065
Cato Corp. Class A ............................ 25,700 220,056
Haverty Furniture Companies Inc. .............. 11,000 143,000
Little Switzerland Inc.* ...................... 80,000 520,000
Syms Corp.* ................................... 45,000 607,500
-------------
1,808,621
-------------
CONSUMER SERVICES - 0.3%
Aztar Corp.* .................................. 95,700 681,862
Cannondale Corp.* ............................. 27,500 608,438
-------------
1,290,300
-------------
ENERGY - 0.0%
Atwood Oceanics Inc.* ......................... 550 60,913
-------------
FINANCE - 1.8%
APS Holdings Corp. Class A* ................... 65,600 492,000
Allied Life Financial Corp. ................... 20,300 446,600
BankAtlantic Bancorp Inc. Class A ............. 33,531 461,051
BankAtlantic Bancorp Inc. Class B ............. 16,000 222,000
Downey Financial Corp. ........................ 22,837 599,470
FBL Financial Group Inc. Class A .............. 9,200 364,550
Farm Family Holdings Inc.* .................... 19,100 592,100
Flagstar Bancorp Inc.* ........................ 36,000 679,500
GA Financial Inc. ............................. 18,800 366,600
Guaranty National Corp. ....................... 12,200 435,387
Harleysville Group Inc. ....................... 3,200 81,600
Homeside Inc.* ................................ 26,000 697,124
Matrix Capital Corp.* ......................... 25,400 387,350
Ocwen Asset Investment Corp. .................. 18,800 373,650
Penn America Group Inc. ....................... 1,500 27,654
Presidential Life Corp. ....................... 7,800 155,025
Professionals Insurance Company
Management Group* ............................ 1,400 46,900
-------------
6,428,561
-------------
GENERAL BUSINESS - 0.3%
Devon Group Inc.* ............................. 6,500 255,124
Ennis Business Forms Inc. ..................... 68,900 723,450
-------------
978,574
-------------
MISCELLANEOUS - 0.9%
Commonwealth Industries Inc. .................. 22,300 393,036
Flowserve Corp ................................ 29,000 862,750
Kevco Inc.* ................................... 14,500 235,625
Manchester Equipment Inc.* .................... 33,800 139,425
Rush Enterprise Inc.* ......................... 3,100 26,738
Seibels Bruce Group Inc.* ..................... 50,100 382,013
Spacehab Inc.* ................................ 42,600 433,988
Spectralink Corp.* ............................ 25,700 93,163
Symons International Group Inc.* .............. 13,700 277,425
Wilshire Financial Services Group Inc.* ....... 10,200 300,900
-------------
3,145,063
-------------
SHELTER - 1.4%
Ameron International Corp. .................... 7,800 532,350
Beazer Homes USA Inc.* ........................ 42,000 803,250
Belmont Homes Inc.* ........................... 55,400 409,441
Butler Manufacturing Co. ...................... 8,600 291,325
Morgan Products Ltd.* ......................... 95,400 632,026
Patrick Industries Inc. ....................... 28,300 410,350
Ryland Group Inc. ............................. 50,000 893,750
Southern Energy Homes Inc.* ................... 49,600 455,700
U.S. Home Corp.* .............................. 16,700 592,850
-------------
5,021,042
-------------
TECHNOLOGY - 0.4%
Interlink Computer Sciences Inc.* ............. 41,100 190,088
Komag Inc.* ................................... 46,000 796,375
Premenos Technology Corp.* .................... 14,300 182,325
Read-Rite Corp.* .............................. 25,400 504,825
-------------
1,673,613
-------------
TRANSPORTATION - 0.3%
Fritz Companies Inc.* ......................... 55,700 769,357
Kenan Transportation Co. ...................... 17,700 407,100
-------------
1,176,457
-------------
UTILITIES - 0.0%
NRG Generating Corp.* ......................... 3,500 68,250
-------------
TOTAL COMMON STOCKS .......................................... 41,140,242
-------------
SHORT-TERM OBLIGATIONS - 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 996,512
-------------
TOTAL SMALL CAP VALUE
(Identified Cost $34,890,162) ............................... 42,136,754
-------------
INTERNATIONAL EQUITY--12.3%
COMMON STOCKS - 11.6%
AUSTRIA - 0.1%
Bohler Uddeholm ............................... 5,528 396,370
-------------
AUSTRALIA - 0.3%
Australia & New Zealand
Bank Group ................................... 100,072 698,127
Pioneer International Ltd. .................... 123,040 325,345
Quantas Airways ............................... 153,710 275,646
-------------
1,299,118
-------------
CANADA - 0.5%
Bank of Nova Scotia ........................... 10,523 464,047
Canadian Imperial Bank of Commerce ............ 14,730 430,607
Imasco Ltd. ................................... 18,350 583,304
Noranda Inc. .................................. 16,395 288,499
-------------
1,766,457
-------------
DENMARK - 0.1%
BG Bank ....................................... 8,170 525,578
-------------
FINLAND - 0.4%
Metra AB ...................................... 20,325 542,183
Rauma Oy ...................................... 13,491 252,960
UPM Kymmene Oy ................................ 25,375 564,570
-------------
1,359,713
-------------
FRANCE - 1.0%
Elf Aquitaine ................................. 3,000 371,343
France Telecom ................................ 1,718 65,018
Lafarge Coppee ................................ 10,355 646,980
Pernod Ricard ................................. 13,905 644,356
Seita ......................................... 22,015 702,251
Societe Generale .............................. 4,605 630,685
Usinor Sacilor ................................ 30,700 508,274
-------------
3,568,907
-------------
GERMANY - 0.4%
Buderus AG .................................... 375 181,866
Commerzbank AG ................................ 20,000 678,733
Draegerwerk AG ................................ 22,890 411,643
Dyckerhoff AG ................................. 1,355 412,678
-------------
1,684,920
-------------
GREAT BRITAIN - 2.9%
Abbey National ................................ 44,360 705,549
Allied Domecq PLC ............................. 83,100 678,284
BTR PLC ....................................... 233,063 786,931
Bat Industries ................................ 87,256 763,444
British Gas ................................... 34,500 151,652
Coats Viyella ................................. 295,136 549,633
Commercial Union .............................. 52,125 734,603
Cookson Group ................................. 176,100 709,085
Energy Group .................................. 30,625 312,140
Hanson ........................................ 99,261 507,932
Harrison & Crosfield .......................... 217,508 470,752
Hillsdown Holdings ............................ 190,283 536,336
Hyder ......................................... 38,224 577,173
Lex Service ................................... 70,000 495,608
National Westminster .......................... 18,746 269,536
Powergen ...................................... 52,502 584,005
Redland ....................................... 114,443 649,943
Safeway ....................................... 108,950 709,686
Tate & Lyle ................................... 67,100 508,848
-------------
10,701,140
-------------
HONG KONG - 0.8%
China Light & Power ........................... 97,500 513,257
Dickson Concept Industries .................... 113,000 243,349
HSBC Holdings ................................. 13,600 307,832
Hang Lung Development Co. ..................... 143,000 196,980
Hong Kong Telecomm ............................ 158,200 302,834
Manhattan Card Co. ............................ 959,000 215,826
New World Development Co. ..................... 130,000 457,350
South China Morning Post ...................... 306,000 265,175
Swire Pacific ................................. 75,500 403,305
-------------
2,905,908
-------------
IRELAND - 0.3%
Greencore Group ............................... 112,370 527,259
Jefferson Smurfit ............................. 212,400 629,274
-------------
1,156,533
-------------
ITALY - 0.2%
Danieli & Co. ................................. 32,000 $ 124,844
Eni Spa ....................................... 123,500 694,460
-------------
819,304
-------------
JAPAN - 1.6%
Koito Manufacturing Co. ....................... 64,000 382,883
MOS Food Services ............................. 35,200 470,893
NSK Ltd. ...................................... 81,000 336,518
Nichicon Corp. ................................ 47,000 581,886
Nintendo Co. .................................. 5,800 501,205
Nissan Motor Co. .............................. 53,000 282,285
Promise Co. ................................... 13,420 785,017
SRL Inc. ...................................... 37,000 269,007
Sekisui Chemical .............................. 88,500 696,381
Sony Corp. .................................... 4,900 406,739
Sony Music Entertainment ...................... 1,100 38,662
Suzuki Motor Corp. ............................ 61,000 648,774
Yodogawa Steel Works .......................... 83,000 442,069
-------------
5,842,319
-------------
MALAYSIA - 0.2%
Arab Malaysian Finance ........................ 180,000 94,495
Bolton Properties ............................. 180,000 75,056
Genting Berhad ................................ 104,400 294,393
Kedah Cement Holdings ......................... 88,000 55,701
Malaysian International Shipping .............. 71,000 119,274
-------------
638,919
-------------
NETHERLANDS - 0.8%
ABN Amro Holdings NV .......................... 32,315 650,794
Akzo Nobel NV ................................. 4,409 776,883
Hollandsche Beton ............................. 21,500 430,775
Ing Group NV .................................. 11,987 503,189
Koninklijke PTT NV ............................ 12,521 478,526
-------------
2,840,167
-------------
NEW ZEALAND - 0.1%
Fletcher Challenge ............................ 92,050 277,977
-------------
NORWAY - 0.2%
Kvaerner ASA .................................. 7,652 395,354
Nycomed Amersham .............................. 20,354 389,533
-------------
784,887
-------------
SINGAPORE - 0.0%
Fraser & Neave ................................ 9,000 45,143
-------------
SPAIN - 0.3%
Banco Santander SA ............................ 20,960 587,145
Repsol SA ..................................... 13,400 561,903
-------------
1,149,048
-------------
Shares/
Principal
Issuer Amount Value
- --------------------------------------------------------------------------------
SWEDEN - 0.3%
Electrolux AB ................................. 7,950 $ 658,086
Marieberg Tidnings ............................ 12,500 333,783
-------------
991,869
-------------
SWITZERLAND - 0.9%
Forbo Holdings ................................ 1,545 606,856
Nestle SA ..................................... 490 690,427
Schweizerische
Rueckversicherungs-Gesellschaft ............... 593 893,153
Schweizerische
Industrie-Gesellschaft Holding AG ............ 215 578,861
Sulzer AG ..................................... 671 490,701
-------------
3,259,998
-------------
UNITED STATES - 0.2%
Jardine Matheson .............................. 90,100 576,640
-------------
TOTAL COMMON STOCKS .......................................... 42,590,915
-------------
WARRANTS - 0.0%
Bolton Properties*
Exp. 9/15/01 ................................. 5,750 812
-------------
SHORT-TERM OBLIGATIONS - 0.7%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 2,391,787
-------------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $42,874,179) ............................... 44,983,514
-------------
DOMESTIC FIXED INCOME--24.4%
FIXED INCOME - 24.3%
CORPORATE BONDS - 2.7%
Aetna Services Inc. ...........................
6.97% due 8/15/36 ............................ 330,000 339,164
Atlantic City Electric Co. ....................
7.01% due 8/23/02 ............................ 840,000 867,199
Commonwealth Edison Electric Co. ..............
7.00% due 7/01/05 ............................ 1,155,000 1,183,852
Detroit Edison Co. ............................
6.69% due 3/03/03 ............................ 600,000 609,456
International Business Machines
6.22% due 8/01/27 ............................ 1,080,000 1,089,720
Jackson National Life Insurance Co. ...........
8.15% due 3/15/27 ............................ 1,050,000 1,140,164
Liberty Mutual Insurance Co. ..................
8.20% due 5/04/07 ............................ 710,000 769,463
Lockheed Martin Corp. .........................
7.20% due 5/01/36 ............................ 1,620,000 1,746,263
Mead Corp. ....................................
6.84% due 3/01/37 ............................ 600,000 626,328
Pep Boys
6.40% due 9/19/07 ............................ 700,000 706,909
Raytheon Co. ..................................
6.75% due 8/15/07 ............................ 930,000 946,415
-------------
10,024,933
-------------
YANKEE BONDS - 0.4%
Embotelladora Andina SA
7.00% due 10/01/07 ........................... 950,000 968,174
Korea Development Bank
7.125% due 9/17/01 ........................... 560,000 553,437
-------------
1,521,611
-------------
ASSET BACKED - 2.4%
Aesop Funding II LLC
6.40% due 10/20/03 ........................... 2,000,000 2,026,875
Green Tree Financial Corp. ....................
7.29% due 3/15/28 ............................ 600,000 612,750
7.65% due 4/15/27 ............................ 1,700,000 1,775,429
Money Store Residential Trust
6.42% due 4/15/06 ............................ 1,611,848 1,614,870
Nissan Auto Receivables Grantor Trust
6.15% due 2/17/03 ............................ 2,800,000 2,807,000
-------------
8,836,924
-------------
MORTGAGE BACKED - 4.9%
Asset Securitization Corp.
6.50% due 2/14/41 ............................ 1,900,000 1,912,464
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 ............................ 647,367 617,219
6.50% due 2/01/11 ............................ 92,988 93,365
6.50% due 4/01/11 ............................ 254,615 255,648
6.50% due 7/01/11 ............................ 203,323 203,512
6.50% due 9/15/22 ............................ 1,428,852 1,412,777
7.50% due 1/15/20 ............................ 539,610 547,029
Federal National Mortgage Association
6.50% due 5/01/11 ............................ 268,353 268,602
6.50% due 7/01/11 ............................ 144,959 145,094
6.50% due 8/25/22 ............................ 900,000 879,750
7.00% due 1/01/99 TBA** ...................... 1,400,000 1,418,802
7.00% due 6/01/03 ............................ 175,239 177,223
7.00% due 7/01/03 ............................ 575,696 582,213
7.35% due 8/17/21 ............................ 1,100,690 1,188,401
8.00% due 12/01/99 ........................... 216,655 224,508
8.00% due 5/01/26 ............................ 611,332 633,493
8.00% due 6/01/26 ............................ 112,064 116,127
General Electric Capital Mortgage Services Inc.
7.50% due 3/25/27 ............................ 496,870 511,311
GMAC Commercial Mortgage Securties Inc.
6.83% due 12/15/03 ........................... 1,331,017 1,357,222
7.22% due 2/15/06 ............................ 300,000 315,047
Government National Mortgage Association
7.25% due 10/16/22 ........................... 551,861 560,139
Independent National Mortgage Corp. 94-QA5
7.50% due 9/25/14 ............................ 1,140,000 1,149,257
Norwest Asset Securities Corp. ................
7.50% due 3/25/27 ............................ 696,060 722,815
Residential Asset Securitization Trust 97
7.75% due 4/25/27 ............................ 800,000 843,500
Structured Asset Securities Corp. .............
6.79% due 10/15/34 1,570,000 ................. 1,607,778
-------------
17,743,296
-------------
U. S. TREASURY OBLIGATIONS - 13.9%
United States Treasury Bonds
6.875% due 8/15/25 ........................... 570,000 619,966
6.625% due 2/15/27 ........................... 600,000 636,186
United States Treasury Notes
6.00% due 5/31/98 ............................ 12,762,000 12,791,863
6.375% due 5/15/99 ........................... 6,765,000 6,837,927
5.875% due 11/15/99 .......................... 1,908,000 1,916,052
6.50% due 5/31/01 ............................ 12,245,000 12,539,615
6.25% due 1/31/02 ............................ 2,946,000 2,998,468
6.50% due 5/31/02 ............................ 2,655,000 2,730,906
6.25% due 6/30/02 ............................ 8,105,000 8,259,481
6.875% due 5/15/06 ........................... 1,620,000 1,723,533
-------------
51,053,997
-------------
TOTAL FIXED INCOME ........................................... 89,180,761
-------------
SHORT-TERM OBLIGATIONS - 0.1%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ........................ 199,046
United States Treasury Bills
4.93% due 12/11/97 ........................... 10,000 9,945
5.18% due 12/11/97 ........................... 65,000 64,626
-------------
Total Short-Term Obligations ................................. 273,617
-------------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $87,940,699) ............................... 89,454,378
-------------
Principal
Issuer Currency Amount Value
- --------------------------------------------------------------------------------
INTERNATIONAL BOND--33.6%
FIXED INCOME - 20.0%
ARGENTINA - 0.2%
Republic of Argentina Bocon
3.24% due 4/01/01 ....................... ARS 775,746 $ 642,476
-------------
AUSTRALIA - 1.6%
Australia Government Bonds
9.50% due 8/15/03 ....................... AUD 1,020,000 885,750
10.00% due 2/15/06 ...................... AUD 100,000 88,953
7.50% due 9/15/09 ....................... AUD 5,920,000 4,519,650
-------------
5,494,353
-------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 ..................... ATS 3,670,000 338,462
-------------
BELGIUM - 0.1%
Kingdom of Belgium
9.00% due 3/28/03 ....................... BF 300,000 9,909
8.50% due 10/01/07 ...................... BF 3,800,000 128,811
-------------
138,720
-------------
CANADA - 1.9%
Canadian Government
8.00% due 11/01/98 ...................... CAD 2,395,000 1,759,879
8.50% due 3/01/00 ....................... CAD 4,245,000 3,260,067
9.00% due 12/01/04 ...................... CAD 2,110,000 1,816,680
8.00% due 6/01/27 ....................... CAD 200,000 179,484
-------------
7,016,110
-------------
CROATIA - 0.1%
Republic of Croatia
6.63% due 7/31/10 ....................... 520,000 436,800
-------------
DENMARK - 0.3%
Kingdom of Denmark
8.00% due 5/15/03 ....................... DKK 3,950,000 670,668
8.00% due 3/15/06 ....................... DKK 2,110,000 362,312
-------------
1,032,980
-------------
FINLAND - 0.4%
Republic of Finland
7.25% due 4/18/06 ....................... FIM 4,000,000 842,844
8.25% due 10/15/10 ...................... FIM 2,000,000 462,255
-------------
1,305,099
-------------
FRANCE - 0.3%
Government of France
8.25% due 2/27/04 ....................... FRF 900,000 181,069
7.75% due 10/25/05 ...................... FRF 4,300,000 855,863
-------------
1,036,932
-------------
GERMANY - 2.6%
Bundesrepublik
6.50% due 7/04/27 ....................... DEM 9,364,000 5,626,657
Republic of Germany
7.125% due 12/20/02 ..................... DEM 3,280,000 2,073,071
7.375% due 1/03/05 ...................... DEM 520,000 336,048
6.00% due 7/04/07 ....................... DEM 600,000 357,919
Treuhandanstalt
6.875% due 6/11/03 ...................... DEM 1,980,000 1,240,400
-------------
9,634,095
-------------
GREAT BRITAIN - 1.6%
U. K. Treasury
8.00% due 12/07/00 ...................... GBP 300,000 519,841
6.75% due 11/26/04 ...................... GBP 30,000 51,072
8.50% due 12/07/05 ...................... GBP 2,750,000 5,151,611
-------------
5,722,524
-------------
GREECE - 1.0%
Hellenic Republic
11.10% due 6/17/03 ...................... GRD 21,000,000 76,716
Republic of Greece
11.00% due 10/23/03 ..................... GRD 94,600,000 340,375
8.80% due 6/19/07 ....................... GRD 1,037,200,000 3,370,129
-------------
3,787,220
-------------
ITALY - 0.6%
Republic of Italy
7.25% due 11/01/26 ...................... ITL 3,370,000,000 2,135,063
-------------
JAPAN - 4.3%
Japan Government Bond
6.40% due 3/20/00 ....................... JPY 962,000,000 9,079,649
5.50% due 3/20/02 ....................... JPY 328,000,000 3,237,211
4.50% due 6/20/03 ....................... JPY 242,000,000 2,353,241
4.10% due 12/22/03 ...................... JPY 106,800,000 1,026,025
-------------
15,696,126
-------------
NETHERLANDS - 0.0%
Dutch Government Bond
8.25% due 2/15/07 ....................... NLG 200,000 122,637
-------------
NEW ZEALAND - 0.4%
New Zealand Government
10.00% due 3/15/02 ...................... NED 340,000 237,336
8.00% due 4/15/04 ....................... NED 1,580,000 1,052,696
-------------
1,290,032
-------------
PHILIPPINES - 0.1%
Eurobank Reconstruction
& Development
9.00% due 4/22/98 ....................... PHP 10,000,000 262,341
International Bank
Reconstruction
10.25% due 4/11/02 ...................... PHP 6,000,000 153,174
-------------
415,515
-------------
SPAIN - 0.4%
Government of Spain
10.90% due 8/30/03 ...................... ESP 114,700,000 992,537
10.00% due 2/28/05 ...................... ESP 56,100,000 480,651
-------------
1,473,188
-------------
SWEDEN - 1.7%
Kingdom of Sweden
11.00% due 1/21/99 ...................... SEK 10,000,000 1,425,319
10.25% due 5/05/00 ...................... SEK 30,400,000 4,495,161
13.00% due 6/15/01 ...................... SEK 2,300,000 378,166
8.00% due 8/15/07 ....................... SEK 300,000 44,713
9.00% due 4/20/09 ....................... SEK 6,900,000 1,108,510
-------------
7,451,869
-------------
UNITED STATES - 2.3%
United States Treasury Notes
3.625% due 7/15/02 $8,132,157 ........... 8,147,364
-------------
TOTAL FIXED INCOME ........................................... 73,317,565
-------------
SHORT-TERM OBLIGATIONS - 13.5%
Abbott Laboratories
5.49% due 11/25/97 ........................... $1,600,000 1,594,144
American Express Co. ..........................
5.50% due 11/19/97 ........................... $1,200,000 1,196,700
American Telephone &
Telegram Co. .................................
5.48% due 11/14/97 ........................... $2,000,000 1,996,042
Argentina Treasury Bills
due 1/16/98 ............................. ARS 500,000 488,295
Aubrey G. Lanston
Repurchase Agreement
5.68% due 11/03/97(+) ........................ 2,945,825
Caisse D' Amortissement
5.52% due 12/12/97 ........................... $2,500,000 2,484,283
Canada Government
5.48% due 11/20/97 ...................... CAD 2,400,000 2,393,059
Canadian Treasury Bills
4.20% due 4/02/98 ....................... CAD 1,560,000 1,089,615
Canadian Wheat Board
5.48% due 12/15/97 ...................... CAD 1,200,000 1,191,963
5.51% due 12/12/97 ...................... CAD 2,000,000 1,987,449
Electricite de France
5.47% due 11/05/97 ........................... $ 800,000 799,514
5.47% due 12/09/97 ........................... $1,400,000 1,391,917
Emerson Electric Co. ..........................
5.47% due 11/20/97 ........................... $2,500,000 2,492,782
Finland Government
Treasury Bills
4.12% due 8/14/98 ....................... FIM 4,000,000 748,598
4.12% due 8/14/98 ....................... FIM 5,000,000 935,747
Ford Motor Credit Co.
5.60% due 1/12/98 ............................ $3,000,000 2,966,310
General Electric Credit
Capital Corp.
5.60% due 1/20/98 ............................ $2,500,000 2,468,850
General Motors Corp.
5.54% due 11/3/97 ............................ $1,400,000 1,399,568
IBM International Financing
5.49% due 11/12/97 ........................... $3,000,000 2,994,968
KFW International
Financing Inc.
5.51% due 11/06/97 ........................... $1,600,000 1,598,776
5.50% due 11/19/97 ........................... $1,200,000 1,196,700
Kingdom of Sweden
5.51% due 12/02/97 ........................... $2,000,000 1,990,511
Letras Del Tesoro
7.61% due 3/20/98 ....................... ARS 160,000 153,373
National Rural Utilities
Coop. Financing
5.50% due 12/18/97 ........................... $1,500,000 1,489,229
5.51% due 12/10/97 ........................... $1,100,000 1,093,434
Poland Treasury Bills
19.74% due 11/19/97 ..................... PLN 1,350,000 383,378
19.74% due 12/03/97 ..................... PLN 1,140,000 321,644
19.74% due 11/05/97 ..................... PLN 2,900,000 830,193
19.74% due 1/21/98 ...................... PLN 290,000 79,125
19.74% due 4/22/98 ...................... PLN 1,270,000 328,225
19.74% due 5/13/98 ...................... PLN 720,000 183,803
19.74% due 6/26/98 ...................... PLN 1,300,000 321,917
Poland Treasury Bond
22.01% due 11/19/97 ..................... PLN 1,010,000 286,826
Procter & Gamble
5.49% due 11/06/97 ........................... $1,000,000 999,238
5.47% due 12/08/97 ........................... $1,700,000 1,690,443
Republic of Finland
3.49% due 3/13/98 ....................... FIM 3,000,000 572,261
United Parcel Service
5.50% due 12/03/97 ........................... $1,000,000 995,111
United States Treasury Bills
5.11% due 11/13/97 ........................... $ 45,000 44,923
5.16% due 11/13/97 ........................... $ 20,000 19,966
5.02% due 2/05/98 ............................ $ 35,000 34,535
Western Australian Treasury Bills
5.49% due 11/20/97 ........................... $1,000,000 997,104
-------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 49,176,344
-------------
INTERNATIONAL BOND OPTIONS - 0.1%
Purchased calls
AUD 2,000,000 Australian Government Bonds
@ AUD 94.75 exp. date 2/09/98 ............................... 242,776
AUD 3,670,000 Australian Government Bonds
@ AUD 106.96 exp. date 2/09/98 .............................. 267,255
-------------
TOTAL INTERNATIONAL BOND OPTIONS ............................. 510,031
-------------
TOTAL INTERNATIONAL BOND
(Identified Cost $122,614,611) .............................. 123,003,940
-------------
SHORT-TERM--3.6%
SHORT-TERM OBLIGATIONS - 3.6%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 4,482,172
Bankers Trust
5.97% due 10/27/98 ........................... $1,000,000 1,000,189
Barton Capital Corp. ..........................
5.54% due 11/07/97 ........................... 1,000,000 999,077
Bear Stearns Companies Inc. ...................
5.53% due 12/22/97 ........................... 500,000 496,083
Canadian Imperial Bank of Commerce
5.63% due 12/30/97 ........................... 1,000,000 1,000,000
Dai Ichi Kangyo Bank
5.69% due 11/26/97 ........................... 1,000,000 1,000,022
Deutsche Bank
5.76% due 2/03/98 ............................ 500,000 500,058
5.85% due 10/20/98 ........................... 500,000 499,769
Harris Trust & Savings Bank
5.54% due 11/17/97 ........................... 1,000,000 999,997
National Westminster Bank PLC
5.935% due 6/26/98 ........................... 1,000,000 1,000,448
Societe Generale
5.97% due 9/15/98 ............................ 500,000 500,284
United States Treasury Bill
5.31% due 9/17/98 ............................ 955,038
-------------
TOTAL SHORT-TERM
(Identified Cost $13,430,899) ............................... 13,433,137
-------------
TOTAL INVESTMENTS
(Identified Cost $396,367,471) ............... 114.8% 420,864,530
OTHER ASSETS, LESS LIABILITIES ................ (14.8) (54,084,950)
----- -------------
TOTAL NET ASSETS .............................. 100.0% $ 366,779,580
===== =============
* Non income producing
** TBA's are mortgage-backed securities traded under delayed delivery
commitments, settling after October 31, 1997. Although the unit price for
the trade has been established, the principal value has not been finalized.
However, the amount of the commitment will not fluctuate more than 2% from
the principal amount. Income on TBA's is not earned until settlement date.
(+) The Portfolio owns in aggregate Aubrey Langston Repurchase Agreements 5.68%
due 11/03/97 valued at $13,935,000, collateralized by $14,343,000 United
States Treasury Bills due 1/02/98, portions of which are listed separately
by each Asset Class.
(++) The Portfolio owns in aggregate 10,395 shares of Deere & Co., valued at
$547,039, 11,285 shares of Chubb Corp. valued at $747,631, and 20,965
shares of Federal National Mortgage Association valued at $1,015,491.
See Asset Allocation Portfolio 200 Portfolio of Investments for Foreign
Currency Legend.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 300
<TABLE>
Futures contracts which were open at October 31, 1997 are as follows:
<CAPTION>
Aggregate
Number of Face Value Expiration Unrealized
Contracts Contracts Currency of Contracts Date Gain (Loss)
--------- --------- -------- ------------ ------------- -----------
<S> <C> <C> <C> <C> <C>
Australian Government 3-Year Bond (Buy) .................. 3 AUD 300,000 December 1997 $ 2,608
U.S. Treasury 5-Year Note (Sell) ......................... 16 $ 1,600,000 December 1997 2,234
U.S. Treasury 10-Year Note (Sell) ........................ 2 $ 200,000 December 1997 (1,125)
French Government 10-Year Bond (Buy) ..................... 5 FF 500,000 December 1997 168
-------
$ 3,885
=======
</TABLE>
<TABLE>
Forward currency contracts which were open at October 31, 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 (Sell) ........... Germany $ 7,792,352 $ 7,617,377 November 1997 $(174,975)
Deutsche Mark (Buy) ............ Germany 9,322,024 9,147,097 November 1997 174,927
Deutsche Mark (Buy) ............ Germany 10,316,677 10,026,380 December 1997 290,297
Deutsche Mark (Buy) ............ Germany 761,201 747,712 January 1998 13,489
Dollar (Buy) ................... Australia 651,705 683,261 January 1998 (31,556)
Dollar (Sell) .................. Canada 3,501,029 3,587,844 December 1997 86,815
Dollar (Buy) ................... Canada 3,067,989 3,120,839 December 1997 (52,850)
Dollar (Buy) ................... Canada 642,486 672,042 March 1998 (29,556)
Dollar (Sell) .................. Canada 682,465 702,591 March 1998 20,126
Dollar (Buy) ................... New Zealand 240,676 247,738 November 1997 (7,062)
Dollar (Sell) .................. New Zealand 772,403 794,986 November 1997 22,583
Dollar (Sell) .................. New Zealand 509,364 518,189 December 1997 8,825
Drachma (Buy) .................. Greece 42,176 40,898 November 1997 1,278
Drachma (Buy) .................. Greece 879,990 839,516 January 1998 40,474
ECU (Sell) ..................... Europe 869,715 839,937 November 1997) (29,778
ECU (Sell) ..................... Europe 530,609 516,120 January 1998 (14,489)
Franc (Buy) .................... Belgium 878,823 837,429 December 1997 41,394
Franc (Buy) .................... Belgium 876,602 850,463 January 1998 26,139
Franc (Sell) ................... France 62,490 57,533 November 1997 (4,957)
Franc (Buy) .................... France 4,204,847 4,076,954 November 1997 127,893
Franc (Buy) .................... France 317,652 309,750 December 1997 7,902
Franc (Sell) ................... France 19,646 19,201 December 1997 (445)
Franc (Sell) ................... Switzerland 8,038,596 7,772,560 November 1997 (266,036)
Franc (Buy) .................... Switzerland 4,472,934 4,296,587 November 1997 176,347
Franc (Sell) ................... Switzerland 2,912,304 2,809,688 December 1997 (102,616)
Franc (Sell) ................... Switzerland 3,368,281 3,255,943 January 1998 (112,338)
Guilder (Buy) .................. Netherlands 1,962,978 1,852,601 November 1997 110,377
Guilder (Buy) .................. Netherlands 729,334 715,661 December 1997 13,673
Koruna(Buy) .................... Czechoslovakia 468,140 461,561 November 1997 6,579
Koruna(Sell) ................... Czechoslovakia 349,049 350,059 January 1998 1,010
Krone (Sell) ................... Denmark 24,725 22,923 November 1997 (1,802)
Krone (Buy) .................... Denmark 212,265 208,949 November 1997 3,316
Krone (Buy) .................... Norway 1,731,170 1,717,911 November 1997 13,259
Krone (Buy) .................... Sweden 1,165,146 1,110,276 November 1997 54,870
Lira (Buy) ..................... Italy 4,915,666 4,853,144 January 1998 62,522
Markka (Buy) ................... Finland 653,997 645,790 November 1997 8,207
Markka (Sell) .................. Finland 653,997 613,571 November 1997 (40,426)
Markka (Sell) .................. Finland 464,080 449,796 December 1997 (14,284)
Markka (Buy) ................... Finland 244,362 241,188 January 1998 3,174
Markka (Sell) .................. Finland 1,289,080 1,262,913 January 1998 (26,167)
Peseta (Buy) ................... Spain 404,443 373,999 November 1997 30,444
Peseta (Buy) ................... Spain 2,132,175 2,088,270 December 1997 43,905
Peso (Buy) ..................... Chile 324,690 328,695 November 1997 (4,005)
Peso (Buy) ..................... Mexico 310,079 330,810 November 1997 (20,731)
Peso (Buy) ..................... Mexico 134,765 133,255 December 1997 1,510
Pound (Sell) ................... Great Britain 316,968 300,534 November 1997 (16,434)
Pound (Buy) .................... Great Britain 402,452 386,201 November 1997 16,251
Pound (Buy) .................... Great Britain 2,561,434 2,467,972 January 1998 93,462
Pound (Sell) ................... Great Britain 70,268 67,443 January 1998 (2,825)
Pound (Buy) .................... Ireland 2,134,854 2,081,720 November 1997 53,134
Pound (Buy) .................... Ireland 305,093 297,395 December 1997 7,698
Rand (Buy) ..................... South Africa 305,606 313,194 November 1997 (7,588)
Ringgit (Sell) ................. Malaysia 543,456 609,409 December 1997 65,953
Rupiah (Buy) ................... Indonesia 95,898 107,254 November 1997 (11,356)
Rupiah (Sell) .................. Indonesia 95,898 95,317 November 1997 (581)
Rupiah (Buy) ................... Indonesia 401,834 481,651 December 1997 (79,817)
Rupiah (Buy) ................... Indonesia 93,134 93,036 January 1998 98
Schilling (Buy) ................ Austria 418,362 401,252 December 1997 17,110
Yen (Buy) ...................... Japan 10,788,588 11,429,130 November 1997 (640,542)
Yen (Sell) ..................... Japan 614,870 615,579 November 1997 709
Yen (Buy) ...................... Japan 6,127,795 6,246,806 December 1997 (119,011)
----------
$ (166,477)
==========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS OCTOBER 31, 1997
Issuer Shares Value
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.1%
COMMON STOCKS--7.8%
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.9%
Applied Materials* ............................ 8,040 $ 268,335
Deere & Co.(++) ............................... 7,040 370,480
General Electric Co. .......................... 34,250 2,211,266
Illinois Tool Works ........................... 13,825 680,017
Xerox Corp. ................................... 9,760 774,090
-------------
4,304,188
-------------
COMMERCIAL SERVICES - 0.1%
Interpublic Group Companies Inc. .............. 13,845 657,638
-------------
CONSUMER DURABLES - 0.2%
Leggett & Platt Inc. .......................... 17,410 726,867
-------------
CONSUMER NON-DURABLES - 0.8%
Clorox Co. .................................... 6,950 486,500
Coca Cola Co. ................................. 12,480 705,120
Colgate Palmolive Co. ......................... 9,445 611,564
Gillette Co. .................................. 9,585 853,664
Mattel Inc. ................................... 13,200 513,150
Procter & Gamble Co. .......................... 12,050 819,400
-------------
3,989,398
-------------
CONSUMER SERVICES - 0.5%
Carnival Corp. ................................ 22,160 1,074,760
Clear Channel Communications* ................. 9,200 607,200
Cracker Barrel Old Country Store .............. 15,905 469,197
Gannett Inc. .................................. 9,300 488,831
-------------
2,639,988
-------------
ENERGY - 0.1%
Schlumberger Ltd. ............................. 6,100 533,750
-------------
FINANCE - 1.0%
American International Group Inc. ............. 6,300 642,994
Chubb Corp.(++) ............................... 8,285 548,881
Federal National Mortgage
Association(++) ............................... 17,655 855,164
Norwest Corp. ................................. 14,130 453,043
State Street Corp. ............................ 9,720 541,890
Travelers Group Inc. .......................... 12,450 871,500
U.S. Bancorp .................................. 4,015 408,275
Zions Bancorp ................................. 12,660 492,158
-------------
4,813,905
-------------
HEALTHCARE - 1.7%
Abbott Labs ................................... 9,890 606,380
Cardinal Health Inc. .......................... 7,935 589,174
Health Management Association* ................ 27,973 681,829
Johnson & Johnson ............................. 10,690 613,339
Lilly, Eli & Co. .............................. 14,970 $ 1,001,119
Lincare Holdings Inc.* 14,150 ................. 758,794
Merck & Co. ................................... 12,700 1,133,475
Pfizer Inc. ................................... 19,225 1,360,169
Schering Plough Corp. ......................... 13,555 759,927
Warner Lambert Co. ............................ 5,325 762,473
-------------
8,266,679
-------------
RETAIL - 1.1%
Bed Bath & Beyond Inc.* ....................... 19,700 625,475
Consolidated Stores* .......................... 16,428 655,067
Gap Inc. ...................................... 9,700 515,919
Home Depot .................................... 19,250 1,070,781
Kohls Corp.* .................................. 9,440 633,660
Wal Mart Stores Inc. .......................... 30,720 1,079,040
Walgreen Co. .................................. 24,010 675,281
-------------
5,255,223
-------------
TECHNOLOGY - 1.2%
Adaptec Inc.* ................................. 12,020 582,219
Amp Inc. ...................................... 13,375 601,875
Cisco Systems Inc.* ........................... 8,820 723,515
Computer Associates International Inc. ........ 9,350 697,159
Intel Corp. ................................... 16,525 1,272,425
Microsoft Corp.* .............................. 12,025 1,563,250
Parametric Technology Corp.* .................. 8,510 375,504
-------------
5,815,947
-------------
TRANSPORTATION - 0.2%
Southwest Airlines Co. ........................ 24,100 786,263
-------------
TOTAL COMMON STOCKS .......................................... 37,789,846
-------------
SHORT-TERM OBLIGATIONS -- 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ...................................... 1,429,457
-------------
TOTAL LARGE CAP GROWTH
(Identified Cost $35,127,043) .............................. 39,219,303
-------------
LARGE CAP VALUE--8.1%
COMMON STOCKS--8.0%
BASIC INDUSTRIES - 0.7%
Cabot Corp. ................................... 9,100 223,519
Dow Chemical Co. .............................. 4,900 444,675
E I du Pont de Nemours & Co. .................. 6,200 352,625
FMC Corp.* .................................... 4,800 387,900
Great Lakes Chemical Corp. .................... 12,400 582,800
IMC Global Inc. ............................... 9,300 313,294
Inland Steel Industries Inc. .................. 10,700 209,987
National Steel Corp.* ......................... 9,900 163,350
Reynolds Metals Co. ........................... 1,300 79,218
Rohm & Haas Co. ............................... 5,100 424,894
Westvaco Corp. ................................ 6,300 206,719
-------------
3,388,981
-------------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc.* ....................... 11,400 323,475
Caterpillar Inc. .............................. 5,700 292,125
Cummins Engine Inc. ........................... 17,700 1,078,594
Deere & Co.(++) ............................... 4,800 252,600
Harnischfeger Industries Inc. ................. 13,200 519,750
Kennametal Inc. ............................... 10,300 499,550
Parker Hannifin Corp. ......................... 10,900 455,756
Tecumseh Products Co. ......................... 7,800 404,625
-------------
3,826,475
-------------
CONSUMER BASICS - 0.7%
Bergen Brunswig Corp. ......................... 9,425 377,589
Columbia /HCA Healthcare Corp. ................ 12,000 339,000
IBP Inc. ...................................... 11,800 273,612
Mallinckrodt Inc. ............................. 10,100 378,750
Maxicare Health Plans Inc.* ................... 9,100 127,400
Philip Morris Companies Inc. .................. 21,400 847,975
RJR Nabisco Holdings Corp. .................... 18,500 586,219
Tupperware Corp. .............................. 9,000 225,563
Universal Foods Corp. ......................... 10,400 410,150
-------------
3,566,258
-------------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. .................................... 8,600 402,588
Eaton Corp. ................................... 5,900 570,087
Ford Motor Co. ................................ 29,700 1,297,519
General Motors Corp. .......................... 11,000 706,062
Goodyear Tire and Rubber ...................... 14,400 901,800
-------------
3,878,056
-------------
CONSUMER NON-DURABLES - 0.6%
Federated Department Stores Inc.* ............. 10,900 479,600
Russell Corp. ................................. 9,500 279,062
Sears Roebuck & Co. ........................... 12,200 510,875
Springs Industries Inc. 8,000 ................. 371,000
Toys "R" Us Inc.* ............................. 12,700 432,594
V F Corp. ..................................... 6,600 589,875
-------------
2,663,006
-------------
CONSUMER SERVICES - 0.2%
AMR Corp.* .................................... 4,000 465,750
Delta Airlines Inc. ........................... 6,500 654,875
-------------
1,120,625
-------------
ENERGY - 0.8%
Amoco Corp. ................................... 5,200 476,775
Atlantic Richfield Co. ........................ 6,500 535,031
British Petroleum PLC ......................... 6,000 526,500
Mapco Inc. .................................... 11,000 363,000
Phillips Petroleum Co. ........................ 10,400 503,100
Repsol ........................................ 9,500 403,750
Ultra Mar Diamond Shamrock .................... 11,200 345,800
YPF Sociedad Anonima .......................... 14,500 464,000
-------------
3,617,956
-------------
FINANCE - 1.8%
Allstate Corp. ................................ 6,900 572,269
American General Corp. ........................ 6,900 351,900
Bank of New York Inc. ......................... 9,000 423,562
Capital One Financial Corp. ................... 5,100 232,688
Case Corp. .................................... 14,500 867,281
Chase Manhattan Corp. ......................... 7,000 807,625
Chubb Corp.(++) ............................... 4,200 278,250
Cigna Corp. ................................... 1,900 294,975
Crestar Financial Corp. ....................... 5,100 241,294
Everest Reinsurance Holdings .................. 11,800 443,975
Federal National Mortgage
Association(++) .............................. 5,000 242,188
First Union Corp. ............................. 7,700 377,781
Foundation Health Systems* .................... 17,870 513,762
Hartford Financial Services Group ............. 5,300 429,300
Mellon Bank Corp. ............................. 7,700 397,031
Old Republic International Corp. .............. 10,700 382,525
Reliastar Financial Corp. ..................... 10,800 403,650
Republic NY Corp. ............................. 3,800 402,088
Signet Banking Corp. .......................... 9,000 484,313
Tig Holdings Inc. ............................. 7,400 250,675
Transatlantic Holdings Inc. ................... 5,500 380,531
-------------
8,777,663
-------------
GENERAL BUSINESS - 0.1%
Olsten Corp. .................................. 22,900 349,225
Standard Register ............................. 5,000 161,875
-------------
511,100
-------------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ......................... 20,000 1,041,250
Dillards Inc. ................................. 9,200 353,050
-------------
1,394,300
-------------
SHELTER - 0.1%
Owens Corning ................................. 11,400 390,450
-------------
TECHNOLOGY - 0.7%
Beckman Industries Inc. ....................... 12,500 492,187
International Business Machines ............... 11,600 1,137,525
Seagate Technology* ........................... 11,500 311,938
Stratus Computer Inc.* ........................ 5,100 180,412
TRW Inc. ...................................... 7,400 423,650
Tektronix Inc. ................................ 6,900 407,963
Western Digital Corp.* ........................ 13,000 389,188
-------------
3,342,863
-------------
Transportation - 0.1%
Burlington Northern Santa Fe .................. 3,100 294,500
CSX Corp. ..................................... 6,600 360,937
-------------
655,437
-------------
UTILITIES - 0.3%
Cinergy Corp. ................................. 5,000 165,000
DTE Energy Co. ................................ 8,100 249,075
Duke Energy Co. ............................... 4,142 199,852
El Paso Natural Gas Co. ....................... 5,600 335,650
Entergy Corp. ................................. 8,300 202,831
GPU Inc. ...................................... 7,000 253,312
-------------
1,405,720
-------------
TOTAL COMMON STOCKS .......................................... 38,538,890
-------------
SHORT-TERM OBLIGATIONS -- 0.1%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 546,829
-------------
TOTAL LARGE CAP VALUE
(Identified Cost $34,532,413) .............................. 39,085,719
-------------
SMALL CAP GROWTH--15.7%
COMMON STOCKS--15.2%
BASIC INDUSTRIES - 0.7%
Central Packing Corp. ......................... 42,940 2,345,598
OM Group Inc. ................................. 28,400 1,072,100
-------------
3,417,698
-------------
CAPITAL GOODS - 0.4%
Hardinge Brothers Inc. ........................ 38,780 1,323,367
ITEQ Inc.* .................................... 58,230 727,875
-------------
2,051,242
-------------
CONSUMER BASICS - 2.1%
General Cigar Holdings Inc.* .................. 44,150 1,277,591
Human Genome Sciences Inc.* ................... 34,740 1,424,340
Parexel International Corp.* .................. 48,470 1,750,979
Performance Food Group Co.* ................... 47,375 876,438
Renal Treatment Centers Inc.* ................. 44,300 1,470,206
Suiza Foods Corp.* ............................ 46,910 2,363,091
Wholesale Foods Market Inc.* .................. 25,700 1,008,725
-------------
10,171,370
-------------
CONSUMER DURABLE GOODS - 0.4%
Miller Industries Inc.* ....................... 66,520 673,515
Tower Automotive Inc.* ........................ 28,620 1,198,463
-------------
1,871,978
-------------
CONSUMER NON-DURABLES - 0.7%
Henry Schein Inc.* ............................ 47,810 1,571,754
Men's Wearhouse Inc.* ......................... 41,670 1,614,712
-------------
3,186,466
-------------
CONSUMER SERVICES - 0.3%
Premier Parks Inc. ............................ 39,370 1,574,800
-------------
ENERGY - 1.1%
Dawson Production Services Inc.* .............. 41,100 996,675
Forcenergy Inc.* .............................. 44,440 1,449,855
Key Energy Group Inc.* ........................ 35,900 1,126,363
Lomak Petroleum Inc. .......................... 82,450 1,530,478
-------------
5,103,371
-------------
FINANCE - 0.7%
Allied Group Inc. ............................. 34,800 1,644,300
Metris Companies Inc.* ........................ 34,800 1,470,300
-------------
3,114,600
-------------
GENERAL BUSINESS - 3.5%
Abacus Direct Corp.* .......................... 65,060 2,390,955
Executive Risk Inc. ........................... 24,590 1,619,866
Heftel Broadcasting Corp.* .................... 32,364 2,152,206
Intelliquest Information Group* ............... 38,300 651,100
Lamar Advertising Co.* ........................ 51,490 1,744,224
Metro Networks Inc.* .......................... 26,190 811,890
NFO Research Inc. ............................. 83,210 1,497,780
Profit Recovery Group
International Inc.* ........................... 54,200 846,875
Registry Inc.* ................................ 34,230 1,420,545
Snyder Communications Inc.* ................... 70,260 2,072,670
Whittman Hart Inc.* ........................... 59,200 1,716,800
-------------
16,924,911
-------------
MISCELLANEOUS - 3.3%
AHL Services Inc.* ............................ 12,620 225,582
American Disposal Services Inc.* .............. 20,250 713,812
Concentration Managed Care Inc.* .............. 49,270 1,607,434
Gray Communications Systems Inc. .............. 33,800 842,887
Probusiness Services Inc.* .................... 42,575 851,500
QAD Inc.* ..................................... 54,430 768,824
Rental Service Corp.* ......................... 84,350 2,256,363
Sirrom Capital Corp. .......................... 40,830 2,056,811
Suburban Lodges America Inc.* ................. 73,040 1,807,740
Synthetic Industries Inc.* .................... 41,550 1,163,400
Viropharma Inc.* .............................. 46,900 1,031,800
Wilmar Industries Inc.* ....................... 42,610 1,118,512
Xionics Document Technologies* ................ 101,210 1,543,453
-------------
15,988,118
-------------
TECHNOLOGY - 1.6%
CDW Computer Centers Inc.* .................... 24,270 1,504,740
Claremont Technology Group Inc.* .............. 36,650 810,881
E Trade Group Inc.* ........................... 21,520 664,430
ETEC Systems Inc.* ............................ 17,710 790,309
Harbinger Inc.* ............................... 30,820 916,895
Imnet Systems Inc.* ........................... 41,570 758,653
Inacom Corp.* ................................. 22,510 693,589
Sipex Corp.* .................................. 34,750 1,142,406
Speedfam International Inc. ................... 11,400 423,225
-------------
7,705,128
-------------
TRANSPORTATION - 0.4%
Eagle U.S.A. Airfreight Inc.* ................. 47,070 1,423,867
Hub Group Inc.* ............................... 21,600 658,800
-------------
2,082,667
-------------
TOTAL COMMON STOCKS .......................................... 73,192,349
-------------
SHORT-TERM OBLIGATIONS--0.5%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 2,193,212
-------------
TOTAL SMALL CAP GROWTH
(Identified Cost $63,570,059) .............................. 75,385,561
-------------
SMALL CAP VALUE--16.9%
COMMON STOCKS--16.6%
BASIC INDUSTRIES - 1.3%
Atchenson Casting Corp.* ...................... 16,100 331,056
Carpenter Technology Corp. .................... 9,200 445,050
Giant Cement Holdings Inc.* ................... 3,700 89,725
Keystone Consolidated
Industries Inc.* .............................. 147,700 1,920,100
LTV Corp. ..................................... 197,400 2,405,813
Oil-Dri Corp. of America ...................... 71,300 1,221,012
-------------
6,412,756
-------------
CAPITAL GOODS - 2.7%
American Buildings Co.* ....................... 33,100 926,800
Astec Industries Inc.* ........................ 800 13,600
Astro Medical Inc. ............................ 8,800 75,900
Commercial Intertech Corp. .................... 69,100 1,122,875
D.R. Horton Inc.* ............................. 155,400 2,331,000
ESCO Electronics Corp.* ....................... 125,000 2,148,438
Global Industries Technologies Inc.* .......... 71,600 1,221,675
JLG Industries Inc. ........................... 165,500 2,099,781
Ultrak Inc.* .................................. 89,000 1,023,500
United Industrial Corp. ....................... 189,600 1,978,950
-------------
12,942,519
-------------
CONSUMER BASICS - 2.6%
Dimon Inc. .................................... 55,000 1,426,562
Ekco Group Inc.* .............................. 299,300 2,076,394
MMI Companies Inc. ............................ 47,000 1,172,063
Matrix Pharmaceuticals* ....................... 168,200 672,800
Nash Finch Co. ................................ 18,200 366,275
Orthologic Corp.* ............................. 160,000 820,000
RLI Corp. ..................................... 24,300 1,008,450
Schultz Sav-O Stores Inc. ..................... 64,300 1,012,725
Schweitzer-Mauduit International Inc. ......... 28,500 1,200,562
Standard Commercial Corp.* .................... 104,700 1,747,181
Stanhome Inc. ................................. 8,900 248,644
ThermoTrex Corp.* ............................. 25,200 579,600
-------------
12,331,256
-------------
CONSUMER DURABLE GOODS - 1.2%
Coachmen Industries Inc. ...................... 81,000 1,609,875
Flexsteel Industries Inc. ..................... 26,600 299,250
Haskel International Inc. ..................... 52,900 654,638
Oshkosh Truck Corp. Class B ................... 75,000 1,237,500
Republic Automotive Parts Inc.* ............... 34,300 540,225
West Co. Inc. ................................. 43,400 1,459,325
-------------
5,800,813
-------------
CONSUMER NON-DURABLES - 0.7%
Brookstone Inc.* .............................. 50,700 613,153
Cato Corp. Class A ............................ 48,400 414,425
Haverty Furniture Companies Inc. .............. 24,600 319,800
Little Switzerland Inc.* ...................... 148,000 962,000
Syms Corp.* ................................... 88,200 1,190,700
-------------
3,500,078
-------------
CONSUMER SERVICES - 0.5%
Aztar Corp.* .................................. 185,900 1,324,538
Cannondale Corp.* ............................. 53,600 1,185,900
-------------
2,510,438
-------------
Energy - 0.0%
Atwood Oceanics Inc.* ......................... 1,400 155,050
-------------
FINANCE - 2.7%
APS Holdings Corp.* Class A ................... 127,500 956,250
Allied Life Financial Corp. ................... 52,300 1,150,600
BankAtlantic Bancorp Inc. Class A ............. 59,937 824,134
BankAtlantic Bancorp Inc. Class B ............. 36,000 499,500
Downey Financial Corp. ........................ 45,675 1,198,969
FBL Financial Group Inc. Class A .............. 18,900 748,912
Farm Family Holdings Inc.* .................... 34,800 1,078,800
Flagstar Bancorp Inc.* ........................ 71,000 1,340,125
GA Financial Inc. ............................. 39,900 778,050
Guaranty National Corp. ....................... 23,700 845,794
Harleysville Group Inc. ....................... 1,400 35,700
Homeside Inc.* ................................ 58,000 1,555,125
Matrix Capital Corp.* ......................... 49,500 754,875
Ocwen Asset Investment Corp. .................. 36,300 721,463
Penn America Group Inc. ....................... 2,900 53,469
Presidential Life Corp. ....................... 18,300 363,712
Professionals Insurance Co.
Management Group* ........................... 3,200 107,200
-------------
13,012,678
-------------
GENERAL BUSINESS - 0.4%
Devon Group Inc.* ............................. 13,700 537,725
Ennis Business Forms Inc. ..................... 131,000 1,375,500
-------------
1,913,225
-------------
MISCELLANEOUS - 1.3%
Commonwealth Industries Inc. .................. 42,700 752,588
Flowserve Corp. ............................... 56,000 1,666,000
Kevco Inc.* ................................... 31,800 516,750
Manchester Equipment Inc.* .................... 68,400 282,150
Rush Enterprises Inc.* ........................ 6,400 55,200
Siebels Bruce Group Inc.* ..................... 97,400 742,675
Spacehab Inc.* ................................ 83,800 853,712
Spectralink Corp.* ............................ 51,200 185,600
Symons International Group Inc.* .............. 27,100 548,775
Wilshire Financial Services Group Inc.* ....... 21,800 643,100
-------------
6,246,550
-------------
SHELTER - 2.0%
Ameron International Corp. .................... 14,600 996,450
Beazer Homes USA Inc.* ........................ 84,000 1,606,500
Belmont Homes Inc.* ........................... 59,500 439,742
Butler Manufacturing Co. ...................... 16,300 552,162
Morgan Products Ltd.* ......................... 185,500 1,228,938
Patrick Industries Inc. ....................... 57,800 838,100
Ryland Group Inc. ............................. 96,000 1,716,000
Southern Energy Homes Inc.* ................... 97,700 897,619
U.S. Homes Corp.* ............................. 36,800 1,306,400
-------------
9,581,911
-------------
TECHNOLOGY - 0.7%
Interlink Computer Sciences Inc.* ............. 80,000 370,000
Komag Inc.* ................................... 98,000 1,696,625
Premenos Technology Corp.* .................... 27,800 354,450
Read-Rite Corp.* .............................. 49,100 975,862
-------------
3,396,937
-------------
TRANSPORTATION - 0.5%
Fritz Companies Inc.* ......................... 107,400 1,483,462
Kenan Transportation Co. ...................... 32,900 756,700
-------------
2,240,162
-------------
UTILITIES - 0.0%
NRG Generating Corp.* ......................... 6,400 124,800
-------------
TOTAL COMMON STOCKS .......................................... 80,169,173
-------------
SHORT-TERM OBLIGATIONS--0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 1,165,713
-------------
TOTAL SMALL CAP VALUE
(Identified Cost $67,106,751) .............................. 81,334,886
-------------
INTERNATIONAL EQUITY--24.0%
COMMON STOCKS--22.9%
AUSTRIA - 0.2%
Bohler Uddeholm ............................... 14,460 1,036,815
-------------
AUSTRALIA - 0.7%
Australia & New Zealand
Bank Group .................................... 260,487 1,817,220
Pioneer International Ltd. 331,420 876,348
Quantas Airways ............................... 375,807 673,930
-------------
3,367,498
-------------
CANADA - 1.0%
Bank of Nova Scotia ........................... 28,054 1,237,135
Canadian Imperial Bank of Commerce ............ 37,340 1,091,573
Imasco Ltd. ................................... 47,800 1,519,452
Noranda Inc. .................................. 43,285 761,676
-------------
4,609,836
-------------
DENMARK - 0.3%
BG Bank ....................................... 21,245 1,366,695
-------------
FINLAND - 0.7%
Metra AB ...................................... 52,755 1,407,276
Rauma Oy ...................................... 35,409 663,930
UPM Kymmene Oy ................................ 63,000 1,401,691
-------------
3,472,897
-------------
FRANCE - 1.9%
Elf Aquitaine ................................. 7,300 903,602
France Telecom ................................ 4,483 169,660
Lafarge Coppee ................................ 27,655 1,727,883
Pernod Ricard ................................. 35,785 1,658,272
Seita ......................................... 57,448 1,832,520
Societe Generale .............................. 12,205 1,671,555
Usinor Sacilor ................................ 72,250 1,196,182
-------------
9,159,674
-------------
GERMANY - 1.0%
Bayer AG ...................................... 12,150 426,427
Buderus AG .................................... 900 436,478
Commerzbank AG ................................ 57,400 1,947,964
Draegerwerk AG ................................ 60,588 1,089,586
Dyckerhoff AG ................................. 3,533 1,076,009
-------------
4,976,464
-------------
GREAT BRITAIN - 5.7%
Abbey National ................................ 113,800 1,809,998
Allied Domecq PLC ............................. 216,110 1,763,946
BTR PLC ....................................... 564,114 1,904,715
Bat Industries ................................ 224,782 1,966,724
British Gas ................................... 101,000 443,966
Coats Viyella ................................. 777,579 1,448,088
Commercial Union .............................. 137,625 1,939,564
Cookson Group ................................. 462,700 1,863,109
Energy Group .................................. 66,000 672,694
Hanson ........................................ 254,752 1,303,602
Harrison & Crosfield .......................... 565,926 1,224,833
Hillsdown Holdings ............................ 498,520 1,405,139
Hyder ......................................... 100,442 1,516,650
Lex Service ................................... 166,000 1,175,298
National Westminister ......................... 35,512 510,603
Powergen ...................................... 137,178 1,525,898
Redland ....................................... 323,535 1,837,416
Safeway ....................................... 283,900 1,849,287
Tate & Lyle ................................... 176,400 1,337,718
-------------
27,499,248
-------------
HONG KONG - 1.5%
China Light & Power ........................... 266,000 1,400,271
Dickson Concept Industries .................... 297,000 639,598
HSBC Holdings ................................. 34,000 769,579
Hang Lung Development Co. ..................... 318,000 438,039
Hong Kong Telecomm ............................ 415,800 795,944
Manhattan Card Co. ............................ 2,498,000 562,183
New World Development Co. ..................... 298,000 1,048,386
South China Morning Post ...................... 610,000 528,617
Swire Pacific ................................. 196,500 1,049,661
-------------
7,232,278
-------------
IRELAND - 0.6%
Greencore Group ............................... 293,620 1,377,714
Jefferson Smurfit ............................. 543,600 1,610,514
-------------
2,988,228
-------------
ITALY - 0.5%
Danieli & Co. ................................. 87,900 342,929
Eni Spa ....................................... 315,600 1,774,668
-------------
2,117,597
-------------
JAPAN - 3.2%
Koito Manufacturing Co. ....................... 158,000 945,243
MOS Food Services ............................. 92,400 1,236,095
NSK Ltd. ...................................... 210,000 872,455
Nichicon Corp. ................................ 126,000 1,559,950
Nintendo Co. .................................. 15,000 1,296,219
Nissan Motor Co. .............................. 144,000 766,963
Promise Co. ................................... 33,600 1,965,467
SRL Inc. ...................................... 103,000 748,858
Sekisui Chemical .............................. 230,500 1,813,739
Sony Corp. .................................... 12,300 1,020,997
Sony Music Entertainment ...................... 4,100 144,105
Suzuki Motor Corp. ............................ 152,000 1,616,618
Yodogawa Steel Works .......................... 223,000 1,187,727
-------------
15,174,436
-------------
MALAYSIA - 0.4%
Arab Malaysian Finance ........................ 423,000 222,064
Bolton Properties ............................. 457,000 190,559
Genting Berhard ............................... 272,200 767,566
Kedah Cement Holdings ......................... 242,000 153,178
Malaysian International Shipping .............. 187,000 314,144
-------------
1,647,511
-------------
NETHERLANDS - 1.5%
ABN Amro Holdings NV .......................... 85,470 1,721,286
Akzo Nobel NV ................................. 11,565 2,037,799
Hollandsche Beton ............................. 44,000 881,586
Ing Groep NV .................................. 26,800 1,125,007
Koninklijke PTT NV ............................ 32,134 1,228,093
-------------
6,993,771
-------------
NEW ZEALAND - 0.1%
Fletcher Challenge ............................ 223,490 674,907
-------------
NORWAY - 0.4%
Kvaerner ASA .................................. 18,200 940,336
Nycomed Amersham .............................. 52,370 1,038,885
-------------
1,979,221
-------------
SINGAPORE - 0.0%
Fraser & Neave ................................ 29,000 145,460
-------------
SPAIN - 0.6%
Banco Santander SA ............................ 55,450 1,553,302
Repsol SA ..................................... 35,200 1,476,043
-------------
3,029,345
-------------
SWEDEN - 0.5%
Electrolux AB ................................. 20,745 1,717,232
Marieberg Tidnings ............................ 31,100 830,452
-------------
2,547,684
-------------
SWITZERLAND - 1.8%
Forbo Holdings ................................ 3,885 1,525,978
Nestle SA ..................................... 1,285 1,810,609
Sarna Kunst Holdings .......................... 208 254,012
Schweizerische
Rueckversicherungs-Gesellschaft ............... 1,487 2,239,659
Schweizerische Industrie-Gesellschaft
Holding AG .................................... 559 1,505,038
Sulzer AG ..................................... 1,771 1,295,129
-------------
8,630,425
-------------
UNITED STATES - 0.3%
Jardine Matheson .............................. 235,200 1,505,280
-------------
TOTAL COMMON STOCKS .......................................... 110,155,270
-------------
WARRANTS -- 0.0%
Bolton Properties*
Exp. 9/15/01 .................................. 16,500 2,326
-------------
SHORT-TERM OBLIGATIONS -- 1.1%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 5,317,854
-------------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $110,044,096) ............................. 115,475,450
-------------
DOMESTIC FIXED INCOME -- 4.9%
FIXED INCOME--4.9%
CORPORATE BONDS - 0.5%
Aetna Services Inc. ...........................
6.97% due 8/15/36 ............................ 90,000 92,499
Atlantic City Electric Co.
7.01% due 8/23/02 ............................ 225,000 232,286
Commonwealth Edison Electric Co. ..............
7.00% due 7/01/05 ............................ 310,000 317,744
Detroit Edison Co. ............................
6.69% due 3/03/03 ............................ 100,000 101,576
International Business Machines
6.22% due 8/01/27 ............................ 300,000 302,700
Jackson National Life Insurance Co. ...........
8.15% due 3/15/27 ............................ 290,000 314,902
Liberty Mutual Insurance Co. ..................
8.20% due 5/04/07 ............................ 180,000 195,075
Lockheed Martin Corp. .........................
7.20% due 5/01/36 ............................ 430,000 463,514
Mead Corp. ....................................
6.84% due 3/01/37 ............................ 100,000 104,388
Pep Boys
6.40% due 9/19/07 ............................ 200,000 201,974
Raytheon Co. ..................................
6.75% due 8/15/07 ............................ 300,000 305,295
-------------
2,631,953
-------------
YANKEE BONDS - 0.1%
Embotelladora Andina SA
7.00% due 10/01/07 ........................... 255,000 259,878
Korea Development Bank
7.125% due 9/17/01 ........................... 140,000 138,359
-------------
398,237
-------------
ASSET BACKED - 0.6%
Aesop Funding ll LLC
6.40% due 10/20/03 ........................... 600,000 608,063
Green Tree Financial Corp. ...................
7.29% due 3/15/28 ............................ 100,000 102,125
7.65% due 4/15/27 ............................ 450,000 469,966
Money Store Residential Trust
6.42% due 4/15/06 ............................ 436,947 437,766
Nissan Auto Receivables Grantor Trust
6.15% due 2/17/03 ............................ 700,000 701,750
-------------
2,319,670
-------------
MORTGAGE BACKED - 0.9%
Asset Securitization Corp.
6.50% due 2/14/41 ............................ 500,000 503,280
Federal Home Loan Mortgage Corp.
6.00% due 3/15/09 ............................ 184,962 176,348
6.50% due 4/01/11 ............................ 42,436 42,608
6.50% due 7/01/11 ............................ 110,018 110,120
6.50% due 9/15/22 ............................ 388,648 384,275
7.50% due 1/15/20 ............................ 89,935 91,171
Federal National Mortgage Association
6.50% due 5/01/11 ............................ 80,947 81,022
6.50% due 7/01/11 ............................ 52,712 52,762
6.50% due 8/25/22 ............................ 150,000 146,625
7.00% due 1/01/99 TBA** ...................... 390,000 395,238
7.00% due 6/01/03 ............................ 63,281 63,998
7.00% due 7/01/03 ............................ 136,771 138,319
7.35% due 8/17/21 ............................ 290,000 313,109
8.00% due 5/01/26 ............................ 322,137 333,815
General Electric Capital
Mortgage Services Inc.
7.50% due 3/25/27 ............................ 99,374 102,262
GMAC Commercial
Mortgage Securities Inc.
6.83% due 12/15/03 ........................... 357,587 364,627
7.22% due 10/15/28 ........................... 100,000 105,016
Government National
Mortgage Association
7.25% due 10/16/22 ........................... 91,977 93,357
Independent National
Mortgage Corp. 94-QA5
7.50% due 9/25/14 ............................ 305,000 307,477
Norwest Asset Securities Corp. ................
7.50% due 3/25/27 ............................ 198,874 206,519
Residential Asset Securitization
Trust
7.75% due 4/25/27 ............................ 200,000 210,875
Structured Asset Securities Corp.
6.79% due 10/15/34 ........................... 415,000 424,986
-------------
4,647,809
-------------
U. S. TREASURY OBLIGATIONS - 0.1%
United States Treasury Bonds
6.875% due 8/15/25 ........................... 155,000 168,587
6.50% due 11/15/26 ........................... 250,000 260,585
6.625% due 2/15/27 ........................... 100,000 106,031
-------------
535,203
-------------
UNITED STATES TREASURY NOTES - 2.7%
6.00% due 5/31/98 ............................ 3,835,000 3,843,974
6.375% due 5/15/99 ........................... 1,680,000 1,698,111
5.875% due 11/15/99 .......................... 439,000 440,853
6.50% due 5/31/01 ............................ 3,085,000 3,159,225
6.25% due 1/31/02 ............................ 954,000 970,991
6.50% due 5/31/02 ............................ 831,000 854,758
6.25% due 6/30/02 ............................ 1,357,000 1,382,864
6.875% due 5/15/06 ........................... 600,000 638,346
6.50% due 10/15/06 ........................... 65,000 67,610
-------------
13,056,732
-------------
TOTAL FIXED INCOME ........................................... 23,589,604
-------------
SHORT-TERM OBLIGATIONS--0.0%
United States Treasury Bills
4.93% due 12/11/97 ........................... 10,000 9,945
5.18% due 12/11/97 ........................... 15,000 14,914
-------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 24,859
-------------
TOTAL DOMESTIC FIXED INCOME
(Identified Cost $23,209,469) .............................. 23,614,463
-------------
INTERNATIONAL BOND--33.3%
FIXED INCOME--19.9%
ARGENTINA - 0.2%
Republic of Argentina Bocon
3.24% due 4/01/01 ...................... ARS 1,018,167 843,250
-------------
AUSTRALIA - 0.8%
Australia Government Bond
9.50% due 8/15/03 ...................... AUD 1,690,000 1,455,568
7.50% due 9/15/09 ...................... AUD 3,400,000 2,463,288
-------------
3,918,856
-------------
AUSTRIA - 0.1%
Republic of Austria
7.625% due 10/18/04 .................... ATS 4,810,000 443,598
-------------
BELGIUM - 0.0%
Kingdom of Belgium
9.00% due 3/28/03 ...................... BF 800,000 26,424
8.50% due 10/01/07 ..................... BF 4,600,000 155,929
-------------
182,353
-------------
CANADA - 1.9%
Canadian Government
8.00% due 11/01/98 ..................... CAD 3,350,000 2,461,627
8.50% due 3/01/00 ...................... CAD 5,850,000 4,492,672
9.00% due 12/01/04 ..................... CAD 2,480,000 2,135,244
8.00% due 6/01/27 ...................... CAD 250,000 224,355
-------------
9,313,898
-------------
CROATIA - 0.1%
Republic of Croatia
6.625% due 7/31/10 ........................... 700,000 588,000
-------------
DENMARK - 0.3%
Kingdom of Denmark
8.00% due 5/15/03 ...................... DKK 5,780,000 981,383
8.00% due 3/15/06 ...................... DKK 2,690,000 461,905
-------------
1,443,288
-------------
FINLAND - 0.5%
Republic of Finland
7.25% due 4/18/06 ...................... FIM 8,000,000 1,685,687
8.25% due 10/15/10 ..................... FIM 3,000,000 693,383
-------------
2,379,070
-------------
FRANCE - 0.3%
Government of France
8.25% due 2/27/04 ...................... FRF 1,200,000 241,425
7.75% due 10/25/05 ..................... FRF 6,520,000 1,297,727
-------------
1,539,152
-------------
GERMANY - 2.5%
Bundesrepublik
6.50% due 7/04/27 ...................... DEM 10,759,000 6,464,887
Republic of Germany
7.125% due 12/20/02 .................... DEM 3,830,000 2,420,690
7.375% due 1/03/05 ..................... DEM 640,000 413,598
6.00% due 7/04/07 ...................... DEM 1,400,000 835,143
Treuhandanstalt
6.875% due 6/11/03 ..................... DEM 3,050,000 1,910,718
-------------
12,045,036
-------------
GREAT BRITAIN - 1.6%
U. K. Treasury
8.00% due 12/07/00 ..................... GBP 300,000 519,841
6.75% due 11/26/04 ..................... GBP 80,000 136,191
8.50% due 12/07/05 ..................... GBP 3,709,000 6,948,118
-------------
7,604,150
-------------
GREECE - 1.0%
Hellenic Republic
11.10% due 6/17/03 ..................... GRD 28,200,000 103,018
Republic of Greece
11.00% due 10/23/03 .................... GRD 126,200,000 454,073
8.80% due 6/19/07 ...................... GRD 1,356,500,00 4,407,617
-------------
4,964,708
-------------
ITALY - 0.6%
Republic of Italy
7.25% due 11/01/26 ..................... ITL 4,445,000,00 2,816,126
-------------
JAPAN - 4.3%
Japan Government Bond
4.80% due 6/21/99 ...................... JPY 50,000,000 444,495
6.40% due 3/20/00 ...................... JPY 1,257,000,00 11,863,949
5.50% due 3/20/02 ...................... JPY 403,000,000 3,977,427
4.50% due 6/20/03 ...................... JPY 292,000,000 2,839,448
4.10% due 12/22/03 ..................... JPY 151,100,000 1,451,615
-------------
20,576,934
-------------
NETHERLANDS - 0.5%
Dutch Government Bond
6.25% due 7/15/98 ...................... NLG 3,800,000 1,986,609
8.25% due 2/15/07 ...................... NLG 400,000 245,274
-------------
2,231,883
-------------
NEW ZEALAND - 0.4%
New Zealand Government
10.00% due 3/15/02 ..................... NED 520,000 362,984
8.00% due 4/15/04 ...................... NED 2,000,000 1,332,527
-------------
1,695,511
-------------
PHILLIPPINES - 0.1%
Eurobank Reconstruction &
Development
9.00% due 4/22/98 ...................... PHP 13,000,000 341,044
International Bank
Reconstruction
10.25% due 4/11/02 ..................... PHP 8,000,000 204,231
-------------
545,275
-------------
SPAIN - 0.4%
Government of Spain
10.90% due 8/30/03 ..................... ESP 137,300,000 1,188,102
10.00% due 2/28/05 ..................... ESP 77,900,000 667,428
-------------
1,855,530
-------------
SWEDEN - 2.1%
Kingdom of Sweden
11.00% due 1/21/99 ..................... SEK 13,800,000 1,966,941
10.25% due 5/05/00 ..................... SEK 40,700,000 6,018,192
13.00% due 6/15/01 ..................... SEK 3,000,000 493,260
8.00% due 8/15/07 ...................... SEK 600,000 89,427
9.00% due 4/20/09 ...................... SEK 9,900,000 1,590,472
-------------
10,158,292
-------------
UNITED STATES - 2.2%
United States Treasury Notes
3.625% due 7/15/02 ........................... $10,742,479 10,762,567
-------------
TOTAL FIXED INCOME ............................................ 95,907,477
-------------
SHORT-TERM OBLIGATIONS -- 13.2%
Ameritech Capital Funding Corp.
5.48% due 11/25/97 ........................... $ 2,300,000 2,291,597
Argentina Treasury Bills
7.46% due 1/16/98 ...................... ARS 500,000 488,295
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ........................ 3,213,923
Caisse D'Amotissement
5.49% due 11/07/97 ........................... $ 1,400,000 1,398,719
Canadian Discount Notes
5.48% due 11/20/97 ..................... CAD 4,000,000 3,988,431
Canadian Treasury Bills
4.11% due 4/02/98 ...................... CAD 2,120,000 1,480,758
Canadian Wheat Board
5.51% due 12/12/97 ........................... $ 3,500,000 3,478,038
Emerson Electric Co.
5.47% due 11/20/97 ........................... $ 4,000,000 3,988,452
Finland Government
Treasury Bills
4.12% due 8/14/98 ...................... FIM 12,000,000 2,245,796
Ford Motor Co.
5.48% due 12/10/97 ........................... $ 4,000,000 3,976,253
General Electric Credit
Capital Service
5.51% due 11/20/97 ........................... $ 1,000,000 997,092
5.60% due 1/20/98 ............................ $ 1,900,000 1,876,326
General Motors
Acceptance Corp.
5.54% due 11/03/97 ........................... $ 4,000,000 3,998,769
IBM International Financing
5.50% due 11/19/97 ........................... $ 1,000,000 997,250
5.52% due 12/10/97 ........................... 900,000 894,618
KFW International
Financing Inc.
5.50% due 11/19/97 ........................... $ 1,200,000 1,196,700
5.51% due 11/06/97 ........................... $ 1,300,000 1,299,005
5.54% due 11/19/97 ........................... $ 1,600,000 1,595,568
Kingdom of Sweden
5.51% due 12/02/97 ..................... SEK 1,300,000 1,293,832
Letras Del Tesoro
7.61% due 3/20/98 ...................... ARS 210,000 201,302
National Rural Utilities
Coop Financing Inc.
5.51% due 12/02/97 ........................... $ 3,100,000 3,085,291
New Center Asset Trust
5.56% due 1/21/98 ............................ $ 2,800,000 2,764,664
Poland Treasury Bills
26.38% due 11/05/97 .................... PLN 3,800,000 1,087,839
19.74% due 11/19/97 .................... PLN 1,820,000 516,850
19.74% due 12/03/97 .................... PLN 1,520,000 428,858
19.74% due 1/21/98 ..................... PLN 170,000 46,384
19.74% due 4/22/98 ..................... PLN 1,700,000 439,356
19.74% due 5/13/98 ..................... PLN 980,000 250,176
19.74% due 6/26/98 ..................... PLN 1,800,000 500,126
Poland Treasury Bond
22.01% due 11/19/97 .................... PLN 1,350,000 383,381
Procter & Gamble Co.
5.49% due 11/06/97 ........................... $ 2,100,000 2,098,399
5.46% due 11/18/97 ........................... $ 800,000 797,937
Queensland Treasury Corp.
5.49% due 11/07/97 ........................... $ 1,000,000 999,085
5.49% due 11/12/97 ........................... $ 2,200,000 2,196,309
Republic of Finland
3.49% due 3/13/98 ...................... FIM 4,000,000 763,015
SBC Communications Inc.
5.50% due 11/06/97 ........................... $ 1,100,000 1,099,160
United Parcel Service
5.48% due 11/03/97 ........................... $ 3,700,000 3,698,874
United States Treasury Bills
5.10% due 11/13/97 ........................... $ 70,000 69,881
5.13% due 11/13/97 ........................... $ 10,000 9,983
5.16% due 11/13/97 ........................... $ 115,000 114,802
5.02% due 2/05/98 ............................ $ 20,000 19,734
Wool International
5.50% due 12/02/97 ........................... $ 1,100,000 1,094,743
-------------
TOTAL SHORT-TERM OBLIGATIONS 63,365,571
-------------
INTERNATIONAL BOND OPTIONS -- 0.2%
Purchased calls
AUD 6,653,000 Australian Government Bonds
@ AUD 94.750 exp. date 2/09/98 ............................... 807,595
AUD 4,820,000 Australian Government Bonds
@ AUD 106.960 exp. date 2/09/98 .............................. 351,000
$2,000,000 U.S Treasury Notes
@ $100.00 exp. date 11/15/97 ................................. 97
-------------
TOTAL INTERNATIONAL BOND OPTIONS .............................. 1,158,692
-------------
TOTAL INTERNATIONAL BOND
(Indentified Cost $159,426,413) ............................. 160,431,740
-------------
SHORT-TERM--3.6%
SHORT-TERM OBLIGATIONS -- 3.6%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ........................................ 4,162,013
Bankers Trust
5.97% due 10/27/98 ........................... 1,500,000 1,500,283
Barton Capital Corp.
5.54% due 11/07/97 ........................... 1,500,000 1,498,615
Bear Stearns Companies Inc.
5.53% due 12/22/97 ........................... 1,500,000 1,488,249
Canadian Imperial Bank of Commerce
5.63% due12/30/97 ............................ 1,000,000 1,000,000
Dai Ichi Kangyo Bank
5.69% due 11/26/97 ........................... 1,000,000 1,000,022
Deutsche Bank
5.76% due 2/03/98 ............................ 500,000 500,058
5.85% due 10/20/98 ........................... 500,000 499,769
Harris Trust & Savings Bank
5.54% due 11/17/97 ........................... 1,000,000 999,997
National Westminster Bank PLC
5.935% due 6/26/98 ........................... 1,500,000 1,500,673
Societe Generale
5.97% due 9/15/98 ............................ 1,500,000 1,500,851
Sumitomo Bank
5.66% due 12/18/97 ........................... 1,000,000 1,000,000
United States Treasury Bill
5.31% due 9/17/98 ............................ 1,000,000 955,038
-------------
TOTAL SHORT-TERM
(Identified Cost $17,603,329) ................................ 17,605,568
-------------
TOTAL INVESTMENTS
(Identified Cost $510,619,573) ............... 114.6% 552,152,690
Other Assets, Less Liabilities ................ (14.6) (70,307,286)
----- -------------
TOTAL NET ASSETS .............................. 100.0% $ 481,845,404
===== =============
* non income producing
** TBA's are mortgage-backed securities traded under delayed delivery
commitments, settling after October 31, 1997. Although the unit price for
the trade has been established, the principal value has not been finalized.
However, the amount of the commitment will not fluctuate more than 2% from
the principal amount. Income on TBA's is not earned until settlement date.
(+) The Portfolio owns in aggregate Aubrey G. Lanston Repurchase Agreements
5.68%, due 11/03/97 valued at $18,029,001, collateralized by $18,557,000
United States Treasury Bills due 1/02/98, portions of which are listed
separately by each Asset Class.
(++) The Portfolio owns in aggregate 11,840 shares of Deere & Co. valued at
$623,080, 12,485 shares of Chubb Corp. valued at $827,131 and 22,655 shares
of Federal National Mortgage Association, valued at $1,097,352.
See Asset Allocation Portfolio 200 Portfolio of Investment for Foreign
Currency Legend.
See notes to financial statements
<PAGE>
ASSET ALLOCATION PORTFOLIO 400
- --------------------------------------------------------------------------------
<TABLE>
Futures contracts which were open at October 31, 1997 are as follows:
Aggregate
Number of Face Value Expiration Unrealized
Contracts Contracts Currency of Contracts Date Gain (Loss)
--------- --------- ----------- ----------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Australian Government 3-Year Bond (Buy) .................... 40 AUD 4,000,000 December 1997 $3,478
U.S. Treasury 5-Year Note (Buy) ............................ 20 $ 2,000,000 December 1997 3,750
U.S. Treasury 5-Year Note (Sell) ........................... 80 $ 8,000,000 December 1997 641
------
$7,869
======
</TABLE>
<TABLE>
Forward currency contracts which were open at October 31, 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 $14,332,571 $14,064,027 November 1997 $ 268,544
Deutsche Mark (Sell) ............ Germany 12,423,199 12,198,461 November 1997 (224,738)
Deutsche Mark (Buy) ............. Germany 14,018,017 13,634,255 December 1997 383,762
Deutsche Mark (Buy) ............. Germany 2,341,039 2,286,352 January 1998 54,687
Dollar (Buy) .................... Australia 858,842 900,427 January 1998 (41,585)
Dollar (Sell) ................... Canada 39,039 39,829 November 1997 790
Dollar (Buy) .................... Canada 5,751,145 5,852,357 December 1997 (101,212)
Dollar (Sell) ................... Canada 6,340,620 6,489,840 December 1997 149,220
Dollar (Buy) .................... Canada 968,727 1,013,292 March 1998 (44,565)
Dollar (Sell) ................... Canada 968,727 996,476 March 1998 27,749
Dollar (Buy) .................... New Zealand 368,167 378,969 November 1997 (10,802)
Dollar (Sell) ................... New Zealand 1,110,097 1,142,552 November 1997 32,455
Dollar (Sell) ................... New Zealand 570,218 580,388 December 1997 10,170
Drachma (Buy) ................... Greece 64,548 62,591 November 1997 1,957
Drachma (Buy) ................... Greece 1,133,624 1,081,485 January 1998 52,139
ECU (Sell) ...................... Europe 1,121,475 1,083,076 November 1997 (38,399)
ECU (Sell) ...................... Europe 717,411 697,834 January 1998 (19,577)
Franc (Buy) ..................... Belgium 1,067,348 1,017,074 December 1998 50,274
Franc (Buy) ..................... Belgium 1,283,661 1,245,057 January 1998 38,604
Franc (Buy) ..................... France 5,825,972 5,641,682 November 1997 184,290
Franc (Sell) .................... France 99,121 92,540 November 1997 (6,581)
Franc (Buy) ..................... France 228,111 221,997 December 1997 6,114
Franc (Sell) .................... France 102,233 99,852 December 1997 (2,381)
Franc (Buy) ..................... Switzerland 7,633,351 7,332,403 November 1997 300,948
Franc (Sell) .................... Switzerland 12,063,807 11,657,543 November 1997 (406,264)
Franc (Sell) .................... Switzerland 3,851,989 3,716,263 December 1997 (135,726)
Franc (Sell) .................... Switzerland 4,599,193 4,445,803 January 1998 (153,390)
Guilder (Buy) ................... Netherlands 3,082,912 2,903,756 November 1997 179,156
Guilder (Buy) ................... Netherlands 293,903 288,393 December 1997 5,510
Koruna (Buy) .................... Czechoslovakia 601,894 593,436 November 1997 8,458
Koruna (Sell) ................... Czechoslovakia 445,287 446,576 January 1998 1,289
Krona (Buy) ..................... Sweden 3,055,437 2,969,015 November 1997 86,422
Krona (Sell) .................... Sweden 1,102,015 1,097,074 November 1997 (4,941)
Krona (Buy) ..................... Sweden 1,104,639 1,099,765 January 1998 4,874
Krona (Sell) .................... Sweden 1,104,640 1,084,613 January 1998 (20,027)
Krone (Buy) ..................... Denmark 421,567 415,910 November 1997 5,657
Krone (Sell) .................... Denmark 222,588 213,671 November 1997 (8,917)
Krone (Buy) ..................... Norway 2,267,326 2,249,961 November 1997 17,365
Lira (Buy) ...................... Italy 6,643,582 6,559,082 January 1998 84,500
Markka (Buy) .................... Finland 1,102,242 1,088,410 November 1997 13,832
Markka (Sell) ................... Finland 1,102,242 1,034,108 November 1997 (68,134)
Markka (Sell) ................... Finland 682,847 664,271 December 1997 (18,576)
Markka (Buy) .................... Finland 244,362 241,187 January 1998 3,175
Markka (Sell) ................... Finland 1,771,359 1,734,577 January 1998 (36,782)
Peseta (Buy) .................... Spain 3,427,740 3,317,384 December 1997 110,356
Peso (Buy) ...................... Chile 428,970 434,261 November 1997 (5,291)
Peso (Buy) ...................... Mexico 405,487 432,597 November 1997 (27,110)
Peso (Buy) ...................... Mexico 181,277 179,245 December 1997 2,032
Pound (Buy) ..................... Great Britain 712,517 690,118 November 1997 22,399
Pound (Sell) .................... Great Britain 712,517 673,714 November 1997 (38,803)
Pound (Buy) ..................... Great Britain 3,737,586 3,601,208 January 1998 136,378
Pound (Sell) .................... Great Britain 269,194 264,692 January 1998 (4,502)
Pound (Buy) ..................... Ireland 2,796,358 2,726,760 November 1997 69,598
Pound (Buy) ..................... Ireland 414,806 404,340 December 1997 10,466
Rand (Buy) ...................... South Africa 398,527 408,422 November 1997 (9,895)
Ringgit (Sell) .................. Malaysia 710,674 796,920 December 1997 86,246
Rupiah (Sell) ................... Indonesia 128,880 128,099 November 1997 (781)
Rupiah (Buy) .................... Indonesia 518,284 621,232 December 1997 (102,948)
Rupiah (Buy) .................... Indonesia 125,165 125,034 January 1998 131
Schilling (Buy) ................. Austria 535,854 513,939 December 1997 21,915
Yen (Buy) ....................... Japan 14,620,747 15,503,112 November 1997 (882,365)
Yen (Sell) ...................... Japan 826,806 827,852 November 1997 1,046
Yen (Buy) ....................... Japan 7,799,771 7,951,253 December 1997 (151,482)
Yen (Sell) ...................... Japan 341,919 342,259 December 1997 340
---------
$(132,926)
=========
</TABLE>
<TABLE>
Written options which were open at October 31, 1997 are as follows:
<CAPTION>
Number of Expiration Date/
Options Contracts Strike Price Value
------- --------- ---------------- -----
<S> <C> <C> <C>
Indonesian Government Bond (Put) ........................... 1 11/5/97 @ $3,750 $(2,634)
=======
</TABLE>
This was the only option written during the fiscal year ended October 31, 1997.
<PAGE>
ASSET ALLOCATION PORTFOLIO 500
- --------------------------------------------------------------------------------
PORTFOLIO OF INVESTMENTS OCTOBER 31, 1997
Issuer Shares Value
- --------------------------------------------------------------------------------
LARGE CAP GROWTH--8.0%
COMMON STOCKS--7.7%
CAPITAL GOODS/PRODUCER MANUFACTURER - 0.9%
Applied Materials* ................................ 3,370 $ 112,474
Deere & Co.(++) ................................... 3,075 161,822
General Electric Co. .............................. 14,530 938,093
Illinois Tool Works ............................... 5,765 283,566
Xerox Corp. ....................................... 4,140 328,354
------------
1,824,309
------------
COMMERCIAL SERVICES - 0.1%
Interpublic Group Companies Inc. .................. 5,792 275,120
------------
CONSUMER DURABLES - 0.1%
Leggett & Platt Inc. .............................. 7,320 305,610
------------
CONSUMER NON-DURABLES - 0.8%
Clorox Co. ........................................ 2,995 209,650
Coca Cola Co. ..................................... 5,300 299,450
Colgate Palmolive Co. ............................. 3,995 258,676
Gillette Co. ...................................... 4,075 362,930
Mattel Inc. ....................................... 5,500 213,812
Procter & Gamble Co. .............................. 5,050 343,400
------------
1,687,918
------------
CONSUMER SERVICES - 0.5%
Carnival Corp. .................................... 9,355 453,717
Clear Channel Communications* ..................... 3,900 257,400
Cracker Barrel Old Country Store .................. 6,740 198,830
Gannett Inc. ...................................... 3,910 205,519
------------
1,115,466
------------
ENERGY - 0.1%
Schlumberger Ltd. ................................. 2,550 223,125
------------
FINANCE - 1.0%
American International Group Inc. ................. 2,700 275,569
Chubb Corp.(++) ................................... 3,575 236,844
Federal National Mortgage
Association(++) .................................. 7,390 357,953
Norwest Corp. ..................................... 6,030 193,337
State Street Corp. ................................ 4,190 233,593
Travelers Group Inc. .............................. 5,255 367,850
U.S. Bancorp ...................................... 1,675 170,327
Zions Bancorp ..................................... 5,395 209,731
------------
2,045,204
------------
HEALTHCARE - 1.7%
Abbott Labs ....................................... 4,180 256,286
Cardinal Health Inc. .............................. 3,350 248,738
Health Management Association* .................... 11,903 290,123
Johnson & Johnson ................................. 4,535 260,196
Lilly, Eli & Co. .................................. 6,260 418,637
Lincare Holdings Inc.* ............................ 5,850 313,706
Merck & Co. ....................................... 5,315 474,363
Pfizer Inc. ....................................... 8,140 575,905
Schering Plough Corp. ............................. 5,585 313,109
Warner Lambert Co. ................................ 2,315 331,479
------------
3,482,542
------------
RETAIL - 1.1%
Bed, Bath & Beyond Inc.* .......................... 8,100 257,175
Consolidated Stores* .............................. 6,975 278,128
Gap Inc. .......................................... 4,175 222,058
Home Depot ........................................ 8,072 449,005
Kohls Corp.* ...................................... 4,050 271,856
Wal Mart Stores Inc. .............................. 12,800 449,600
Walgreen Co. ...................................... 10,385 292,078
------------
2,219,900
------------
TECHNOLOGY - 1.2%
Adaptec Inc.* ..................................... 5,110 247,516
AMP Inc. .......................................... 5,565 250,425
Cisco Systems Inc.* ............................... 3,770 309,258
Computer Associates International Inc. ............ 4,000 298,250
Intel Corp. ....................................... 7,030 541,310
Microsoft Corp.* .................................. 5,005 650,650
Parametric Technology Corp.* ...................... 3,670 161,939
------------
2,459,348
------------
TRANSPORTATION- 0.2%
Southwest Airlines Co. ............................ 10,100 329,512
------------
TOTAL COMMON STOCKS ............................... 15,968,054
------------
SHORT-TERM OBLIGATIONS -- 0.3%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 649,834
------------
TOTAL LARGE CAP GROWTH
(Identified Cost $15,167,328) ............................... 16,617,888
------------
LARGE CAP VALUE--7.8%
COMMON STOCKS--7.6%
BASIC INDUSTRIES - 0.7%
Cabot Corp. ....................................... 3,700 90,881
Dow Chemical Co. .................................. 2,000 181,500
E I du Pont de Nemours & Co. ...................... 2,500 142,188
FMC Corp.* ........................................ 2,100 169,706
Great Lakes Chemical Corp. ........................ 5,100 239,700
IMC Global Inc. ................................... 3,900 131,381
Inland Steel Industries Inc. ...................... 4,900 96,162
National Steel Corp. .............................. 4,100 67,650
Reynolds Metals Co. ............................... 500 30,469
Rohm & Haas Co. ................................... 2,100 174,956
Westvaco Corp. .................................... 2,600 85,312
------------
1,409,905
------------
CAPITAL GOODS - 0.8%
Arrow Electronics Inc.* ........................... 4,700 133,363
Caterpillar Inc. .................................. 2,400 123,000
Cummins Engine Inc. ............................... 7,400 450,937
Deere & Co.(++) ................................... 2,100 110,512
Harnischfeger Industries Inc. ..................... 5,400 212,625
Kennametal Inc. ................................... 4,200 203,700
Parker Hannifin Corp. ............................. 4,450 186,066
Tecumseh Products Co. ............................. 3,200 166,000
------------
1,586,203
------------
CONSUMER BASICS - 0.7%
Bergen Brunswig Corp. ............................. 3,750 150,234
Columbia/HCA Healthcare Corp. ..................... 4,900 138,425
IBP Inc. .......................................... 4,800 111,300
Mallinckrodt Inc. ................................. 4,200 157,500
Maxicare Health Plans Inc.* ....................... 3,700 51,800
Philip Morris Companies Inc. ...................... 8,800 348,700
RJR Nabisco Holdings Corp. ........................ 7,600 240,825
Tupperware Corp. .................................. 3,700 92,731
Universal Foods Corp. ............................. 4,300 169,581
------------
1,461,096
------------
CONSUMER DURABLE GOODS - 0.8%
Dana Corp. ........................................ 3,500 163,844
Eaton Corp. ....................................... 2,400 231,900
Ford Motor Co. .................................... 12,200 532,988
General Motors Corp. .............................. 4,500 288,844
Goodyear Tire and Rubber .......................... 6,100 382,013
------------
1,599,589
------------
CONSUMER NON-DURABLES - 0.5%
Federated Department Stores Inc.* ................. 4,500 198,000
Russell Corp. ..................................... 3,900 114,562
Sears Roebuck & Co. ............................... 5,000 209,375
Springs Industries Inc. ........................... 3,000 139,125
Toys "R" Us Inc.* ................................. 5,200 177,125
V F Corp. ......................................... 2,600 232,375
------------
1,070,562
------------
CONSUMER SERVICES - 0.2%
AMR Corp. * ....................................... 1,700 197,944
Delta Airlines Inc. ............................... 2,800 282,100
UAL Corp.* ........................................ 500 43,812
------------
523,856
------------
ENERGY - 0.7%
Amoco Corp. ....................................... 2,200 201,713
Atlantic Richfield Co. ............................ 2,500 205,781
British Petroleum PLC ............................. 2,500 219,375
Mapco Inc. ........................................ 4,500 148,500
Phillips Petroleum Co. ............................ 4,600 222,525
Repsol ............................................ 3,900 165,750
Ultra Mar Diamond Shamrock ........................ 4,800 148,200
YPF Sociedad Anonima .............................. 6,000 192,000
------------
1,503,844
------------
FINANCE - 1.7%
Allstate Corp. .................................... 2,800 232,225
American General Corp. ............................ 2,800 142,800
Bank of New York Inc. ............................. 3,700 174,131
Capital One Financial Corp. ....................... 2,100 95,813
Case Corp. ........................................ 6,000 358,875
Chase Manhattan Corp. ............................. 2,900 334,587
Chubb Corp.(++) ................................... 1,900 125,875
Cigna Corp. ....................................... 800 124,200
Crestar Financial Corp. ........................... 1,800 85,162
Everest Reinsurance Holdings ...................... 4,800 180,600
Federal National Mortgage
Association(++) .................................. 2,100 101,719
First Union Corp. ................................. 3,200 157,000
Foundation Health Systems* ........................ 7,400 212,750
Hartford Financial Services Group ................. 2,200 178,200
Mellon Bank Corp. ................................. 3,100 159,844
Old Republic International Corp. .................. 4,400 157,300
Reliastar Financial Corp. ......................... 4,400 164,450
Republic NY Corp. ................................. 1,600 169,300
Signet Banking Corp. .............................. 3,400 182,962
Tig Holdings Inc. ................................. 3,000 101,625
Transatlantic Holdings Inc. ....................... 2,050 141,834
------------
3,581,252
------------
GENERAL BUSINESS - 0.1%
Olsten Corp. ...................................... 9,400 143,350
Standard Register ................................. 2,000 64,750
------------
208,100
------------
MISCELLANEOUS - 0.3%
Aeroquip Vickers Inc. ............................. 8,200 426,913
Dillards Inc. ..................................... 4,100 157,338
------------
584,251
------------
SHELTER - 0.1%
Owens Corning ..................................... 4,700 160,975
------------
TECHNOLOGY - 0.6%
Beckman Industries Inc. ........................... 5,400 212,625
International Business Machines ................... 4,900 480,506
Seagate Technology* ............................... 4,700 127,488
Stratus Computer Inc.* ............................ 2,100 74,288
TRW Inc. .......................................... 3,100 177,475
Tektronix Inc. .................................... 2,800 165,550
Western Digital Corp.* ............................ 5,400 161,663
------------
1,399,595
------------
TRANSPORTATION - 0.1%
Burlington Northern Santa Fe ...................... 1,200 114,000
CSX Corp. ......................................... 2,700 147,656
------------
261,656
------------
UTILITIES - 0.3%
Cinergy Corp. ..................................... 2,000 66,000
DTE Energy Co. .................................... 3,300 101,475
Duke Energy Co. ................................... 2,053 99,057
El Paso Natural Gas Co. ........................... 2,300 137,856
Entergy Corp. ..................................... 3,400 83,088
GPU Inc. .......................................... 2,900 104,944
------------
592,420
------------
TOTAL COMMON STOCKS .......................................... 15,943,304
------------
SHORT-TERM OBLIGATIONS -- 0.2%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 342,204
------------
TOTAL LARGE CAP VALUE
(Identified Cost $14,841,583) ............................... 16,285,508
------------
SMALL CAP GROWTH--18.0%
COMMON STOCKS--17.3%
BASIC INDUSTRIES - 0.8%
Central Packing Corp. ............................. 20,860 1,139,478
OM Group Inc. ..................................... 14,040 530,010
------------
1,669,488
------------
CAPITAL GOODS - 0.5%
Hardinge Brothers Inc. ............................ 17,950 612,544
ITEQ Inc.* ........................................ 28,960 362,000
------------
974,544
------------
CONSUMER BASICS - 2.4%
General Cigar Holdings Inc.* ...................... 21,030 608,556
Human Genome Sciences Inc.* ....................... 17,110 701,510
Parexel International Corp.* ...................... 24,230 875,309
Performance Food Groups* .......................... 22,200 410,700
Renal Treatment Centers Inc.* ..................... 22,000 730,125
Suiza Foods Corp.* ................................ 23,270 1,172,226
Wholesale Foods Market Inc.* ...................... 12,800 502,400
------------
5,000,826
------------
CONSUMER DURABLE GOODS - 0.4%
Miller Industries Inc.* ........................... 32,950 333,619
Tower Automotive Inc.* ............................ 13,650 571,594
------------
905,213
------------
CONSUMER NON-DURABLES -0.8%
Henry Schein Inc.* ................................ 23,670 778,151
Men's Wearhouse Inc.* ............................. 20,690 801,737
------------
1,579,888
------------
CONSUMER SERVICES - 0.4%
Premier Parks Inc.* ............................... 19,300 772,000
------------
ENERGY - 1.2%
Dawson Production Services Inc.* .................. 19,400 470,450
Forcenergy Inc.* .................................. 23,060 752,332
Key Energy Group Inc.* ............................ 17,800 558,475
Lomak Petrolium Inc. .............................. 41,150 763,847
------------
2,545,104
------------
FINANCE - 0.7%
Allied Group Inc. ................................. 16,630 785,767
Metris Companies Inc.* ............................ 17,260 729,235
------------
1,515,002
------------
GENERAL BUSINESS - 4.1%
Abacus Direct Corp.* .............................. 32,230 1,184,452
Executive Risk Inc. ............................... 14,240 938,060
Heftel Broadcasting Corp.* ........................ 15,100 1,004,150
Intelliquest Information Group* ................... 18,800 319,600
Lamar Advertising Co.* ............................ 25,560 865,845
Metro Networks Inc.* .............................. 13,050 404,550
NFO Research Inc.* ................................ 41,410 745,380
Profit Recovery Group
International Inc.* .............................. 26,900 420,312
Registry Inc.* .................................... 17,030 706,745
Snyder Communications Inc.* ....................... 34,890 1,029,255
Whittman Hart Inc.* ............................... 29,490 855,210
------------
8,473,559
------------
MISCELLANEOUS - 3.7%
AHL Services Inc.* ................................ 6,220 111,182
American Disposal Services Inc.* .................. 9,900 348,975
Concentration Managed Care Inc.* .................. 23,970 782,021
Gray Communications Systems Inc. .................. 16,500 411,469
Probusiness Services Inc.* ........................ 21,100 422,000
QAD Inc.* ......................................... 27,110 382,929
Rental Service Corp.* ............................. 41,840 1,119,220
Sirrom Capital Corp. .............................. 19,330 973,749
Suburban Lodges America Inc.* ..................... 33,860 838,035
Synthetic Industries Inc.* ........................ 20,710 579,880
Viropharma Inc.* .................................. 23,300 512,600
Wilmar Industries Inc.* ........................... 21,380 561,225
Xionics Document Technologies* .................... 50,200 765,550
------------
7,808,835
------------
TECHNOLOGY - 1.8%
CDW Computer Centers Inc.* ........................ 11,440 709,280
Claremont Technology Group Inc.* .................. 18,280 404,445
E Trade Group Inc.* ............................... 10,880 335,920
ETEC Systems Inc.* ................................ 8,800 392,700
Harbinger Corp.* .................................. 15,270 454,283
Imnet Systems Inc.* ............................... 20,100 366,825
Inacom Corp.* ..................................... 11,200 345,100
Sipex Corp.* ...................................... 17,120 562,820
Speedfam International Inc.* ...................... 5,700 211,613
------------
3,782,986
------------
TRANSPORTATION - 0.5%
Eagle U.S.A. Airfreight Inc.* ..................... 23,360 706,640
Hub Group Inc.* ................................... 10,650 324,825
------------
1,031,465
------------
TOTAL COMMON STOCKS .......................................... 36,058,910
------------
SHORT-TERM OBLIGATIONS--0.7%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 1,451,389
------------
TOTAL SMALL CAP GROWTH
(Identified Cost $32,145,637) ............................... 37,510,299
------------
SMALL CAP VALUE--19.5%
COMMON STOCKS--18.8%
BASIC INDUSTRIES - 1.5%
Atchison Casting Corp.* ........................... 6,800 139,825
Carpenter Technology Corp. ........................ 4,400 212,850
Giant Cement Holding Inc.* ........................ 1,700 41,225
Keystone Consolidated Industries Inc.* ............ 72,500 942,500
LTV Corp. ......................................... 97,000 1,182,188
Oil-Dri Corp. of America .......................... 34,800 595,950
------------
3,114,538
------------
CAPITAL GOODS - 3.0%
American Buildings Co.* ........................... 16,000 448,000
Astec Industries Inc.* ............................ 400 6,800
Astro-Med Inc. .................................... 3,600 31,050
Commercial Intertech Corp. ........................ 35,100 570,375
D.R. Horton Inc. .................................. 73,200 1,098,000
ESCO Electronics Corp.* ........................... 56,000 962,500
Global Industrial Technologies Inc.* .............. 41,000 699,562
JLG Industries Inc. ............................... 81,600 1,035,300
Ultrak Inc.* ...................................... 43,300 497,950
United Industrial Corp. ........................... 81,200 847,525
------------
6,197,062
------------
CONSUMER BASICS - 3.2%
Dimon Inc. ........................................ 27,400 710,687
Ekco Group Inc.* .................................. 135,800 942,113
MMI Companies Inc. ................................ 21,700 541,144
Matrix Pharmaceuticals* ........................... 94,300 377,200
Nash Finch Co. .................................... 19,800 398,475
Orthologic Corp.* ................................. 79,000 404,875
RLI Corp. ......................................... 9,600 398,400
Schultz Sav-O Stores Inc. ......................... 40,800 642,600
Schweitzer-Mauduit International Inc. ............. 17,000 716,125
Standard Commercial Corp.* ........................ 63,400 1,057,988
Stanhome Inc. ..................................... 4,500 125,719
ThermoTrex Corp.* ................................. 11,900 273,700
------------
6,589,026
------------
CONSUMER DURABLE GOODS - 1.4%
Coachmen Industries Inc. .......................... 46,000 914,250
Flexsteel Industries Inc. ......................... 12,300 138,375
Haskel International Inc. ......................... 38,200 472,725
Oshkosh Truck Corp. Class B ....................... 34,000 561,000
Republic Automotive Parts Inc.* ................... 16,800 264,600
West Co. Inc. ..................................... 19,000 638,875
------------
2,989,825
------------
CONSUMER NON-DURABLES - 0.7%
Brookstone Inc.* .................................. 24,900 301,134
Cato Corp. Class A ................................ 22,000 188,375
Haverty Furniture Companies Inc. .................. 16,000 208,000
Little Switzerland Inc.* .......................... 42,000 273,000
Syms Corp.* ....................................... 40,200 542,700
------------
1,513,209
------------
CONSUMER SERVICES - 0.6%
Aztar Corp.* ...................................... 88,500 630,562
Cannondale Corp.* ................................. 26,500 586,313
------------
1,216,875
------------
ENERGY - 0.0%
Atwood Oceanics Inc.* ............................. 500 55,375
------------
FINANCE - 2.8%
APS Holdings Corp. Class A* ....................... 62,900 471,750
Allied Life Financial Corp. ....................... 28,400 624,800
BankAtlantic Bancorp Inc. Class A ................. 32,968 453,310
BankAtlantic Bancorp Inc. Class B ................. 12,500 173,437
Downey Financial Corp. ............................ 20,500 538,125
FBL Financial Group Inc. Class A .................. 10,700 423,988
Farm Family Holdings Inc.* ........................ 15,800 489,800
Flagstar Bancorp Inc.* ............................ 33,000 622,875
GA Financial Inc. ................................. 7,600 148,200
Guaranty National Corp. ........................... 11,600 413,975
Harleysville Group Inc. ........................... 2,400 61,200
Homeside Inc.* .................................... 25,800 691,762
Matrix Capital Corp.* ............................. 24,000 366,000
Ocwen Asset Investment Corp. ...................... 17,900 355,762
Penn America Group Inc. ........................... 1,400 25,813
Professionals Insurance Company
Management Group* ................................ 1,400 46,900
------------
5,907,697
------------
GENERAL BUSINESS - 0.4%
Devon Group Inc.* ................................. 7,100 278,675
Ennis Business Forms Inc. ......................... 60,400 634,200
------------
912,875
------------
MISCELLANEOUS - 1.4%
Commonwealth Industries Inc. ...................... 20,900 368,362
Flowserve Corp. ................................... 24,000 714,000
Kevco Inc.* ....................................... 18,700 303,875
Manchester Equipment Inc.* ........................ 32,300 133,238
Rush Enterprises Inc.* ............................ 3,000 25,875
Seibels Bruce Group Inc.* ......................... 47,800 364,475
Spacehab Inc.* .................................... 40,400 411,575
Spectralink Corp.* ................................ 41,800 151,525
Symons International Group Inc.* .................. 10,700 216,675
Wilshire Financial Services Group Inc.* ........... 5,800 171,100
------------
2,860,700
------------
SHELTER - 2.3%
Ameron International Corp. ........................ 5,600 382,200
Beazer Homes USA Inc.* ............................ 43,000 822,375
Belmont Homes Inc.* ............................... 71,700 529,908
Butler Manufacturing Co. .......................... 5,800 196,475
Morgan Products Ltd.* ............................. 86,000 569,750
Patrick Industries Inc. ........................... 27,100 392,950
Ryland Group Inc. ................................. 45,000 804,375
Southern Energy Homes Inc.* ....................... 46,300 425,381
U.S. Home Corp.* .................................. 16,200 575,100
------------
4,698,514
------------
TECHNOLOGY - 0.9%
Interlink Computer Sciences Inc.* ................. 39,300 181,763
Komag Inc.* ....................................... 45,000 779,062
Premenos Technology Corp.* ........................ 25,700 327,675
Read-Rite Corp.* .................................. 24,400 484,950
------------
1,773,450
------------
TRANSPORTATION - 0.6%
Fritz Companies Inc.* ............................. 59,300 819,081
Kenan Transportation Co. .......................... 14,600 335,800
------------
1,154,881
------------
UTILITIES - 0.0%
NRG Generating Inc.* .............................. 3,300 64,350
------------
TOTAL COMMON STOCKS .......................................... 39,048,377
------------
SHORT-TERM OBLIGATIONS--0.7%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 1,484,932
------------
TOTAL SMALL CAP VALUE
(Identified Cost $34,407,125) ............................... 40,533,309
------------
INTERNATIONAL EQUITY--33.6%
COMMON STOCKS--31.4%
AUSTRIA - 0.3%
Bohler Uddeholm ................................... 9,396 673,715
------------
AUSTRALIA - 0.8%
Australia & New Zealand
Bank Group ....................................... 142,061 991,052
Pioneer International Ltd. ........................ 147,050 388,833
Quantas Airways ................................... 168,149 301,540
------------
1,681,425
------------
CANADA - 1.3%
Bank of Nova Scotia ............................... 14,723 649,260
Canadian Imperial Bank of Commerce ................ 18,370 537,016
Imasco Ltd. ....................................... 26,350 837,606
Noranda Inc. ...................................... 33,285 585,708
------------
2,609,590
------------
DENMARK - 0.4%
BG Bank ........................................... 12,615 811,525
------------
FINLAND - 0.9%
Metra AB .......................................... 31,230 833,082
Rauma Oy .......................................... 19,555 366,662
UPM Kymmene Oy .................................... 31,250 695,284
------------
1,895,028
------------
FRANCE - 2.5%
Elf Aquitaine ..................................... 3,350 414,666
France Telecom .................................... 2,665 100,857
Lafarge Coppee .................................... 15,000 937,199
Pernod Ricard ..................................... 25,155 1,165,680
Seita ............................................. 32,835 1,047,396
Societe Generale .................................. 6,875 941,577
Usinor Sacilor .................................... 38,000 629,134
------------
5,236,509
------------
GERMANY - 1.3%
Bayer AG .......................................... 3,450 121,084
Commerzbank AG .................................... 32,380 1,098,869
Draegerwerk AG .................................... 34,120 613,598
Dyckerhoff AG ..................................... 2,857 870,127
------------
2,703,678
------------
GREAT BRITAIN - 8.2%
Abbey National .................................... 72,300 1,149,937
Allied Domecq PLC ................................. 128,560 1,049,340
BTR PLC ........................................... 337,930 1,141,011
Bat Industries .................................... 137,901 1,206,561
British Gas ....................................... 41,000 180,224
Coats Viyella ..................................... 535,501 997,265
Commercial Union .................................. 76,750 1,081,646
Cookson Group ..................................... 308,400 1,241,804
Energy Group ...................................... 38,000 387,309
Hanson ............................................ 183,400 938,484
Harrison & Crosfield .............................. 350,760 759,149
Hillsdown Holdings ................................ 349,926 986,309
Hyder ............................................. 69,135 1,043,922
Lex Service ....................................... 109,500 775,272
National Westminster .............................. 25,278 363,455
Powergen .......................................... 83,909 933,361
Redland ........................................... 171,121 971,828
Safeway ........................................... 160,900 1,048,081
Tate & Lyle ....................................... 97,500 739,385
------------
16,994,343
------------
HONG KONG - 2.0%
China Light & Power ............................... 152,000 800,155
Dickson Concept Industries ........................ 171,833 370,047
HSBC Holdings ..................................... 12,800 289,724
Hang Lung Development Co. ......................... 302,000 416,000
Hong Kong Telecomm ................................ 229,400 439,128
Manhattan Card Co. ................................ 1,717,000 386,417
New World Development Co. ......................... 173,000 608,627
South China Morning Post .......................... 282,000 244,377
Swire Pacific ..................................... 116,500 622,318
------------
4,176,793
------------
IRELAND - 0.8%
Greencore Group ................................... 173,840 815,686
Jefferson Smurfit ................................. 318,100 942,429
------------
1,758,115
------------
ITALY - 0.5%
Eni Spa ........................................... 191,000 1,074,022
------------
JAPAN - 4.4%
Koito Manufacturing Co. ........................... 153,000 915,330
MOS Food Services ................................. 56,400 754,499
NSK Ltd. .......................................... 207,000 859,992
Nichicon Corp. .................................... 69,000 854,258
Nintendo Co. ...................................... 8,800 760,449
Nissan Motor Co. .................................. 81,000 431,417
Promise Co. ....................................... 19,800 1,158,222
SRL Inc. .......................................... 57,000 414,416
Sekisui Chemical .................................. 136,000 1,070,145
Sony Corp. ........................................ 5,500 456,543
Sony Music Entertainment .......................... 2,200 77,324
Suzuki Motor Corp. ................................ 73,000 776,402
Yodogawa Steel Works .............................. 126,000 671,092
------------
9,200,089
------------
MALAYSIA - 0.4%
Arab Malaysian Finance ............................ 265,000 139,118
Bolton Properties ................................. 225,000 93,820
Genting Berhad .................................... 156,800 442,154
Kedah Cement Holdings ............................. 132,000 83,552
Malaysian International Shipping .................. 83,000 139,433
------------
898,077
------------
NETHERLANDS - 2.2%
ABN Amro Holdings NV .............................. 48,105 968,790
Akzo Nobel NV ..................................... 7,456 1,313,777
Hollandsche Beton ................................. 30,690 614,907
Ing Group NV ...................................... 16,500 692,635
Koninklijke PTT NV ................................ 25,911 990,263
------------
4,580,372
------------
NEW ZEALAND - 0.1%
Fletcher Challenge ................................ 76,000 229,509
------------
Shares/
Principal
Issuer Amount Value
- --------------------------------------------------------------------------------
NORWAY - 0.6%
Kvaerner ASA ...................................... 12,570 649,452
Nycomed Amersham .................................. 30,314 610,391
------------
1,259,843
------------
SINGAPORE- 0.0%
Fraser & Neave .................................... 14,000 70,222
------------
SPAIN - 0.9%
Banco Santander SA ................................ 31,250 875,395
Repsol SA ......................................... 22,960 962,783
------------
1,838,178
------------
SWEDEN - 0.8%
Electrolux AB ..................................... 13,870 1,148,133
Marieberg Tidnings ................................ 13,600 363,156
------------
1,511,289
------------
SWITZERLAND - 2.5%
Forbo Holdings .................................... 2,630 1,033,030
Nestle SA ......................................... 760 1,070,866
Schweizerische Rueckversicherungs-
Gesellschaft ..................................... 855 1,287,767
Schweizerische Industrie-Gesellschaft
Holding AG ....................................... 371 998,872
Sulzer AG ......................................... 1,132 827,829
------------
5,218,364
------------
UNITED STATES - 0.5%
Jardine Matheson .................................. 141,200 903,680
------------
TOTAL COMMON STOCKS .......................................... 65,324,366
------------
SHORT-TERM OBLIGATIONS--2.2%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... 4,602,441
------------
TOTAL INTERNATIONAL EQUITY
(Identified Cost $67,747,066) ............................... 69,926,807
------------
INTERNATIONAL BOND--16.0%
FIXED INCOME--9.4%
Currency
--------
ARGENTINA - 0.1%
Republic of Argentina Bocon
3.24% due 4/01/01 ....................... ARS 193,937 160,619
------------
AUSTRALIA - 0.8%
Australia Government Bond
9.50% due 8/15/03 ....................... AUD 250,000 208,535
7.50% due 9/15/09 ....................... AUD 1,520,000 1,356,094
------------
1,564,629
------------
AUSTRIA - 0.0%
Republic of Austria
7.625% due 10/18/04 ..................... ATS 700,000 64,557
------------
BELGIUM - 0.1%
Kingdom of Belgium
9.00% due 3/28/03 ....................... BF 300,000 9,909
8.50% due 10/01/07 ...................... BF 2,500,000 84,744
------------
94,653
------------
CANADA - 0.8%
Canadian Government
8.00% due 11/01/98 ...................... CAD 600,000 440,888
8.50% due 3/01/00 ....................... CAD 1,179,000 905,446
9.00% due 12/01/04 ...................... CAD 400,000 344,394
------------
1,690,728
------------
CROATIA - 0.1%
Republic of Croatia
6.625% due 7/31/10 ............................... $ 140,000 117,600
------------
DENMARK - 0.1%
Kingdom of Denmark
8.00% due 5/15/03 ....................... DKK 1,000,000 169,789
8.00% due 3/15/06 ....................... DKK 460,000 78,987
------------
248,776
------------
FINLAND - 0.2%
Republic of Finland
7.25% due 4/18/06 ....................... FIM 1,000,000 210,711
8.25% due 10/15/10 ...................... FIM 1,000,000 231,128
------------
441,839
------------
FRANCE - 0.1%
Government of France
8.25% due 2/27/04 ....................... FRF 100,000 20,119
7.75% due 10/25/05 ...................... FRF 1,320,000 262,730
------------
282,849
------------
GERMANY - 1.3%
Bundesrepublik
6.50% due 7/04/27 ....................... DEM 2,436,000 1,463,748
Republic of Germany
7.125% due 12/20/02 ..................... DEM 650,000 410,822
6.00% due 7/04/07 ....................... DEM 500,000 298,265
Treuhandanstalt
6.875% due 6/11/03 ...................... DEM 790,000 494,907
------------
2,667,742
------------
GREAT BRITAIN - 0.8%
U. K. Treasury
8.00% due 12/07/00 ...................... GBP 200,000 346,560
6.75% due 11/26/04 ...................... GBP 20,000 34,048
8.50% due 12/07/05 ...................... GBP 671,000 1,256,993
------------
1,637,601
------------
GREECE - 0.5%
Hellenic Republic
11.10% due 6/17/03 ...................... GRD 5,400,000 19,727
Republic of Greece
11.00% due 10/23/03 ..................... GRD 24,400,000 87,792
8.80 due 6/19/07 ........................ GRD 288,600,000 937,736
------------
1,045,255
------------
JAPAN - 2.2%
Japan Government Bonds
6.40% due 3/20/00 ....................... JPY 291,000,000 2,746,547
5.50% due 3/20/02 ....................... JPY 110,000,000 1,085,650
4.50% due 6/20/03 ....................... JPY 45,000,000 437,586
4.10% due 12/22/03 ...................... JPY 32,300,000 310,305
------------
4,580,088
------------
NETHERLANDS - 0.3%
Dutch Government Bonds
6.25% due 7/15/98 ....................... NLG 1,100,000 575,071
8.25% due 2/15/07 ....................... NLG 100,000 61,319
------------
636,390
------------
NEW ZEALAND - 0.1%
New Zealand Government
8.00 % due 4/15/04 ...................... NED 410,000 273,168
------------
PHILLIPPINES - 0.1%
Eurobank Reconstruction & Development
9.00% due 4/22/98 ....................... PHP 3,000,000 78,702
International Bank Reconstruction
10.25% due 4/11/02 ...................... PHP 2,000,000 51,058
------------
129,760
------------
SPAIN - 0.2%
Government of Spain
10.25% due 11/30/98 ..................... ESP 22,000,000 159,370
10.90% due 8/30/03 ...................... ESP 19,500,000 168,740
10.00% due 2/28/05 ...................... ESP 18,760,000 160,731
------------
488,841
------------
SWEDEN - 0.5%
Kingdom of Sweden
11.00% due 1/21/99 ...................... SEK 2,100,000 299,317
10.25% due 5/05/00 ...................... SEK 1,300,000 192,227
13.00% due 6/15/01 ...................... SEK 600,000 98,652
9.00% due 4/20/09 ....................... SEK 2,400,000 385,569
------------
975,765
------------
UNITED STATES OBLIGATIONS - 1.1%
United States Treasury Notes
3.625% due 7/15/02 ............................... $2,309,131 2,313,450
------------
TOTAL FIXED INCOME ............................................ 19,414,310
------------
SHORT-TERM OBLIGATIONS--6.4%
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) 485,494
Ameritech Capital Funding Corp.
5.48% due 11/25/97 ............................... $ 900,000 896,712
Caisse des Depots et Consignment
5.52% due 12/12/97 ............................... $ 700,000 695,599
Canadian Government
5.50% due 11/20/97 ............................... $ 800,000 797,678
Canadian Treasury Bill
4.20% due 4/02/98 ....................... CAD 400,000 279,388
Canadian Wheat Board
5.49% due 11/14/97 ............................... $ 300,000 299,405
Electricite de France
5.49% due 12/11/97 ............................... $ 700,000 695,730
Emerson Electric
5.47% due 11/20/97 ............................... $ 900,000 897,402
Finland Government
Treasury Bills
4.12% due 8/14/98 ........................ FIM 2,000,000 374,299
General Electric Credit
Capital Service
5.52% due 11/19/97 ............................... $ 700,000 698,068
IBM International Financing
5.48% due 11/05/97 ............................... $ 700,000 699,574
KFW International
Financing Inc. ...................................
5.47% due 11/07/97 ............................... $ 600,000 599,453
Kellogg Co. .......................................
5.50% due 12/17/97 ............................... $ 800,000 794,378
Kingdom of Sweden
5.48% due 11/25/97 ............................... $ 500,000 498,173
Letras Del Tesoro
7.61% due 3/20/98 ....................... ARS 40,000 38,343
National Rural Utilities
Coop. Financing
5.54% due 1/05/98 ................................ $ 900,000 890,856
New Center Asset Trust
5.52% due 1/28/98 ................................ $ 300,000 295,890
Poland Treasury Bills
26.38% due 11/05/97 ..................... PLN 800,000 229,019
19.74% due 11/19/97 ..................... PLN 360,000 102,234
19.74% due 12/03/97 ..................... PLN 300,000 84,643
19.74% due 1/21/98 ...................... PLN 100,000 27,285
19.74% due 4/22/98 ...................... PLN 330,000 85,287
19.74% due 5/13/98 ...................... PLN 180,000 45,951
19.74% due 6/26/98 ...................... PLN 400,000 99,661
Poland Treasury Bond
22.01% due 11/19/97 ..................... PLN 270,000 76,676
Republic of Finland
3.49% due 3/13/98 ....................... FIM 1,000,000 190,754
United Parcel Service
5.50% due 11/05/97 ............................... $ 700,000 699,572
United States Treasury Bills
5.11% due 11/13/97 ............................... $ 25,000 24,958
5.02% due 2/05/98 ................................ $ 10,000 9,867
Western Australian
Treasury Bills
5.48% due 11/03/97 ............................... $ 600,000 599,817
Wisconsin Electric
Power Co. ........................................
5.48% due 11/10/97 ............................... $ 800,000 798,904
Wool International
5.50% due 12/02/97 ............................... $ 400,000 398,088
------------
TOTAL SHORT-TERM OBLIGATIONS ................................. 13,409,158
------------
INTERNATIONAL BOND OPTIONS -- 0.2%
Purchased calls
AUD 1,330,000 Australian Government Bonds
@ AUD 94.75 exp. date 2/09/98 ............................... 161,446
AUD 1,000,000 Australian Government Bonds
@ AUD 106.96 exp. date 2/09/98 .............................. 72,822
SEK 6,100,000 Swedish Government Bonds
@ SEK 95.38 exp. date 1/28/98 ............................... 114,517
------------
TOTAL INTERNATIONAL BOND OPTIONS ............................. 348,785
------------
TOTAL INTERNATIONAL BOND
(Identified Cost $32,694,944) ............................... 33,172,253
------------
SHORT-TERM--3.8%
SHORT-TERM OBLIGATIONS
Aubrey G. Lanston Repurchase Agreement
5.68% due 11/03/97(+) ....................................... $ 4,541,706
Bankers Trust
5.97% due 10/27/98 ............................... $ 500,000 500,094
Canadian Imperial Bank of Commerce
5.63% due 12/30/97 ............................... 500,000 500,000
Dai Ichi Kangyo Bank
5.69% due 11/26/97 ............................... 500,000 500,011
Deutsche Bank
5.85% due 10/20/98 ............................... 500,000 500,059
National Westminster Bank PLC
5.935% due 6/26/98 ............................... 500,000 500,224
Societe Generale
5.97% due 9/15/98 ................................ 500,000 500,284
United States Treasury Bill
5.31% due 9/17/98 ................................ 500,000 477,519
------------
TOTAL SHORT-TERM OBLIGATIONS
(Identified Cost $8,018,487) ................................ 8,019,897
------------
TOTAL INVESTMENTS
(Identified Cost $205,022,170) ................... 106.7% 222,065,961
OTHER ASSETS, LESS LIABILITIES .................... (6.7) (13,952,329)
----- ------------
TOTAL NET ASSETS .................................. 100.0% $208,113,632
===== ============
* Non income producing
(+) The Portfolio owns in aggregate Aubrey G. Lanston Repurchase Agreements
5.68%, due 11/03/97 valued at $13,558,000, collateralized by $13,955,000
United States Treasury Bills, due 1/02/98, portions of which are listed
separately by each asset class.
(++) The Portfolio owns in aggregate 5,175 shares of Deere & Co. valued at
$272,334, 5,475 shares of Chubb Corp. valued at $362,719 and 9,490 shares
of Federal National Mortgage Association, valued at $459,672, portions of
which are listed separately by each asset class.
See Asset Allocation Portfolio 200 Portfolio of Investments for Foreign
Currency Legend.
See notes to financial statements
ASSET ALLOCATION PORTFOLIO 500
<TABLE>
Futures contracts which were open at October 31, 1997 are as follows:
<CAPTION>
Aggregate
Number of Face Value Expiration Unrealized
Contracts Contracts Currency of Contracts Date Gain (Loss)
--------- --------- -------- ------------- ------------- -----------
<S> <C> <C> <C> <C> <C>
U.S. Treasury 3-Year Bond (Buy) ........................... 1 $ 100,000 December 1997 $ 869
U.S. Treasury 10-Year Note (Buy) .......................... 9 $ 900,000 December 1997 10,438
U.S. Treasury Long Bond (Buy) ............................. 2 $ 200,000 December 1997 2,313
-------
$13,620
=======
</TABLE>
<PAGE>
<TABLE>
Forward currency contracts which were open at October 31, 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 $3,027,698 $2,962,452 November 1997 $ 65,246
Deutsche Mark (Sell) .............. Germany 3,712,912 3,648,727 November 1997 (64,185)
Deutsche Mark (Sell) .............. Germany 81,409 77,443 December 1997 (3,966)
Deutsche Mark (Buy) ............... Germany 2,735,753 2,660,506 December 1997 75,247
Deutsche Mark (Buy) ............... Germany 1,945,808 1,890,042 January 1998 55,766
Dollar (Sell) ..................... Australia 450,910 453,459 January 1998 2,549
Dollar (Sell) ..................... Canada 1,055,560 1,081,477 December 1997 25,917
Dollar (Buy) ...................... Canada 890,592 905,934 December 1997 (15,342)
Dollar (Buy) ...................... Canada 314,104 328,554 March1998 (14,450)
Dollar (Sell) ..................... Canada 314,104 323,101 March1998 8,997
Dollar (Sell) ..................... New Zealand 169,780 174,743 November 1997 4,963
Dollar (Sell) ..................... New Zealand 99,413 100,787 December 1997 1,374
Drachma (Buy) ..................... Greece 15,403 14,937 November 1997 466
Drachma (Buy) ..................... Greece 250,490 238,969 January 1998 11,521
ECU (Sell) ........................ Europe 251,760 243,140 November 1997 (8,620)
ECU (Sell) ........................ Europe 136,377 132,653 January 1998 (3,724)
Franc (Buy) ....................... Belgium 145,380 138,532 December 1997 6,848
Franc (Buy) ....................... Belgium 249,445 241,943 January 1998 7,502
Franc (Sell) ...................... France 17,402 16,034 November 1997 (1,368)
Franc (Buy) ....................... France 1,037,022 1,003,546 November 1997 33,476
Franc (Buy) ....................... France 135,789 132,370 December 1997 3,419
Franc (Sell) ...................... France 5,216 5,098 December 1997 (118)
Franc (Sell) ...................... Switzerland 4,226,100 4,074,840 November 1997 (151,260)
Franc (Buy) ....................... Switzerland 2,988,807 2,870,972 November 1997 117,835
Franc (Sell) ...................... Switzerland 796,221 768,166 December 1997 (28,055)
Franc (Sell) ...................... Switzerland 691,417 668,439 January 1998 (22,978)
Guilder (Buy) ..................... Netherlands 669,279 631,698 November 1997 37,581
Guilder (Buy) ..................... Netherlands 32,541 31,931 December 1997 610
Koruna (Buy) ...................... Czechoslovakia 21,779 21,842 January 1998 (63)
Krone (Buy) ....................... Denmark 79,103 77,867 November 1997 1,236
Krone (Sell) ...................... Denmark 11,752 10,896 November 1997 (856)
Krone (Buy) ....................... Norway 482,770 479,073 November 1997 3,697
Krona (Buy) ....................... Sweden 2,143,779 2,113,972 November 1997 29,807
Krona (Sell) ...................... Sweden 1,781,214 1,748,922 January 1998 (32,292)
Lira (Buy) ........................ Italy 1,283,323 1,267,000 January 1998 16,323
Markka (Sell) ..................... Finland 227,216 213,171 November 1997 (14,045)
Markka (Buy) ...................... Finland 227,216 224,365 November 1997 2,851
Markka (Buy) ...................... Finland 218,961 216,198 December 1997 2,763
Markka (Sell) ..................... Finland 218,961 214,666 December 1997 (4,295)
Markka (Buy) ...................... Finland 622,066 613,985 January 1998 8,081
Markka (Sell) ..................... Finland 1,145,923 1,115,547 January 1998 (30,376)
Peseta (Buy) ...................... Spain 179,741 166,211 November 1997 13,530
Peseta (Sell) ..................... Spain 53,773 53,218 December 1997 (555)
Peseta (Buy) ...................... Spain 555,928 543,716 December 1997 12,212
Peso (Buy) ........................ Chile 90,060 91,171 November 1997 (1,111)
Peso (Buy) ........................ Mexico 95,409 101,788 November 1997 (6,379)
Peso (Buy) ........................ Mexico 35,778 35,377 December 1997 401
Pound (Buy) ....................... Great Britain 167,688 160,917 November 1997 6,771
Pound (Sell) ...................... Great Britain 38,219 36,529 November 1997 (1,690)
Pound (Buy) ....................... Great Britain 545,413 525,512 January 1998 19,901
Pound (Sell) ...................... Great Britain 20,077 19,272 January 1998 (805)
Pound (Buy) ....................... Ireland 586,333 571,740 November 1997 14,593
Pound (Buy) ....................... Ireland 79,655 77,645 December 1997 2,010
Rand (Buy) ........................ South Africa 84,661 86,763 November 1997 (2,102)
Ringgit (Sell) .................... Malaysia 146,315 164,072 December 1997 17,757
Rupiah (Buy) ...................... Indonesia 24,945 27,898 November 1997 (2,953)
Rupiah (Sell) ..................... Indonesia 24,945 24,793 November 1997 (152)
Rupiah (Buy) ...................... Indonesia 110,436 132,372 December 1997 (21,936)
Rupiah (Buy) ...................... Indonesia 24,226 24,200 January 1998 26
Schilling (Buy) ................... Austria 121,785 116,804 December 1997 4,981
Yen (Buy) ......................... Japan 2,553,106 2,696,411 November 1997 (143,305)
Yen (Buy) ......................... Japan 2,006,372 2,045,338 December 1997 (38,966)
Yen (Sell) ........................ Japan 66,043 66,109 December 1997 66
--------
$ 376
========
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES OCTOBER 31, 1997 (NOTE 1J)
<TABLE>
<CAPTION>
Asset Asset Asset Asset
Allocation Allocation Allocation Allocation
Portfolio 200 Portfolio 300 Portfolio 400 Portfolio 500
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value (Note1A) (Identified Cost, $214,412,224,
$396,367,471, $510,619,573 and $205,022,170, respectively) ............... $223,081,404 $420,864,530 $552,152,690 $222,065,961
Foreign currency at value (Cost $216,231, $440,094, $647,148
and $175,237, respectively) .............................................. 211,402 430,735 634,707 173,187
Cash ...................................................................... 771 978 -- 311
Receivable for securities sold ............................................ 6,504,048 21,08,026 27,798,313 7,331,737
Receivable for forward contracts .......................................... 871,084 1,645,750 2,432,848 616,323
Dividends receivable ...................................................... 85,850 277,481 597,616 318,297
Interest receivable ....................................................... 1,914,614 3,401,387 2,936,289 520,367
Receivable for daily variation on future contracts ........................ 3,454 3,138 3,495 2,017
Other assets .............................................................. 1,483 621 1,695 422
------------ ------------ ------------ ------------
Total assets ............................................................. 232,674,110 447,711,646 588,557,653 231,028,622
------------ ------------ ------------ ------------
LIABILITIES:
Payable for securities purchased .......................................... 37,338,617 78,701,125 103,333,743 22,139,752
Payable for forward contracts ............................................. 967,905 1,812,227 2,565,774 615,947
Payable for written options, at value (Premium received $0, $0, $6,400, $0) -- -- 2,364 --
Payable for daily variation on future contracts ........................... 1,185 1,197 804 107
Payable to affiliates--Management fees (Note 2) ........................... 76,486 200,522 282,550 47,822
Accrued expenses .......................................................... 138,500 187,817 434,837 72,935
Other liabilities ......................................................... 8,088 29,178 92,177 38,427
------------ ------------ ------------ ------------
Total liabilities ........................................................ 38,530,781 80,932,066 106,712,249 22,914,990
------------ ------------ ------------ ------------
Net Assets ................................................................ $194,143,329 $366,779,580 $481,845,404 $208,113,632
============ ============ ============ ============
Represented by:
Paid-in capital for beneficial interest ................................... $194,143,329 $366,779,580 $481,845,404 $208,113,632
============ ============ ============ ============
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
ASSET ALLOCATION PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE TEN MONTHS ENDED OCTOBER 31, 1997 (NOTE 1J)
<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
$10,176, $20,512, $24,554
and $3,487, respectively) ..................................... $ 4,390,288 $ 6,806,967 $ 5,588,772 $ 1,287,084
Dividends (net of foreign tax of
$54,262, $185,965, $472,890
and $265,045, respectively) ................................... 592,304 1,809,804 3,511,027 1,773,932
----------- ----------- ----------- ------------
Total income .................................................. 4,982,592 8,616,771 9,099,799 3,061,016
----------- ----------- ----------- ------------
EXPENSES:
Management fees (Note 2) ....................................... 737,146 1,478,303 1,993,100 787,459
Custodian fees and accounting fees ............................. 376,791 385,389 513,351 331,975
Auditing services .............................................. 24,200 13,655 17,655 21,000
Legal services ................................................. 11,350 13,350 13,349 13,350
Trustees fees .................................................. 3,731 3,760 4,645 3,574
Miscellaneous .................................................. 19,082 38,603 196,552 21,958
----------- ----------- ----------- ------------
Total expenses ................................................ 1,172,300 1,933,060 2,738,652 1,179,316
Less aggregate amount waived by the Manager (Note 2) ........... (208,393) -- -- (89,168)
----------- ----------- ----------- ------------
Net expenses ................................................... 963,907 1,933,060 2,738,652 1,090,148
----------- ----------- ----------- ------------
Net investment income .......................................... 4,018,685 6,683,711 6,361,147 1,970,868
----------- ----------- ----------- ------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS AND
FOREIGN CURRENCY TRANSACTIONS
Net realized gain from investments, forward currency contracts,
foreign
currency transactions, futures and written options ............ 1,787,624 4,499,098 6,456,163 2,307,612
Net change in unrealized appreciation of investments, forward
currency contracts, foreign currency, futures, written options
and other assets and liabilities .............................. 5,337,995 16,157,737 27,659,682 13,466,552
----------- ----------- ----------- ------------
Net realized and unrealized gain on investments and foreign
currency ...................................................... 7,125,619 20,656,835 34,115,845 15,774,164
----------- ----------- ----------- ------------
Net Increase in Net Assets Resulting from Operations ........... $11,144,304 $27,340,546 $40,476,992 $ 17,745,032
=========== =========== =========== ============
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
ASSET ALLOCATION PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
Asset Asset
Allocation Allocation
Portfolio 200 Portfolio 300
---------------------------------------- --------------------------------------
Ten Months June 17, 1996* Ten Months June 17, 1996*
Ended to Ended to
October 31, 1997 December 31, October 31, 1997 December 31,
(Note 1J) 1996 (Note 1J) 1996
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income .................. $ 4,018,685 $ 1,111,495 $ 6,683,711 $ 1,871,599
Net realized gain (loss) from
investments, forward currency contracts,
foreign currency transactions, futures
and written options ................... 1,787,624 328,852 4,499,098 756,606
Net change in unrealized appreciation
of investments, forward currency
contracts, foreign currency, futures,
written options and other assets and
liabilities ........................... 5,337,995 2,910,650 16,157,737 7,633,362
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ...................... 11,144,304 4,350,997 27,340,546 10,261,567
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions ........... 90,995,068 98,061,294 156,806,219 181,943,760
Value of withdrawals .................. (9,071,112) (1,337,222) (9,401,765) (170,747)
------------ ------------ ------------ ------------
Net increase in net assets from capital
transactions ......................... 81,923,956 96,724,072 147,404,454 181,773,013
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ............. 93,068,260 101,075,069 174,745,000 192,034,580
NET ASSETS:
Beginning of period .................... 101,075,069 -- 192,034,580 --
------------ ------------ ------------ ------------
End of period .......................... $194,143,329 $101,075,069 $366,779,580 $192,034,580
============ ============ ============ ============
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Asset Asset
Allocation Allocation
Portfolio 400 Portfolio 500
---------------------------------------- --------------------------------------
Ten Months June 17, 1996* Ten Months Sept. 3, 1996*
Ended to Ended to
October 31, 1997 December 31, October 31, 1997 December 31,
(Note 1J) 1996 (Note 1J) 1996
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income .................. $ 6,361,147 $ 1,772,551 $ 1,970,868 $ 331,253
Net realized gain (loss) from
investments, forward currency
transactions, futures and written
options ............................... 6,456,163 1,371,474 2,307,612 (188,916)
Net change in unrealized appreciation of
investments, forward currency contracts,
foreign currency, futures,
written options and other assets and
liabilities ........................... 27,659,682 12,898,831 13,466,552 3,431,686
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ........................ 40,476,992 16,042,856 17,745,032 3,574,023
------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS
Proceeds from contributions ........... 202,165,630 230,379,266 110,566,938 78,557,699
Value of withdrawals .................. (6,949,364) (269,976) (2,199,791) (130,269)
------------ ------------ ------------ ------------
Net increase in net assets from capital
transactions ......................... 195,216,266 230,109,290 108,367,147 78,427,430
------------ ------------ ------------ ------------
NET INCREASE IN NET ASSETS ............. 235,693,258 246,152,146 126,112,179 82,001,453
NET ASSETS:
Beginning of period .................... 246,152,146 -- 82,001,453 --
------------ ------------ ------------ ------------
End of period .......................... $481,845,404 $246,152,146 $208,113,632 $ 82,001,453
============ ============ ============ ============
* Commencement of Operations
See notes to financial statements
</TABLE>
<PAGE>
<TABLE>
ASSET ALLOCATION PORTFOLIOS
- ------------------------------------------------------------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<CAPTION>
Asset Asset
Allocation Allocation
Portfolio 200 Portfolio 300
--------------------------------- ------------------------------
Ten Months June 17, 1996* Ten Months June 17, 1996*
Ended to Ended to
October 31, 1997 December 31, October 31, 1997 December 31,
(Note 1J) 1996 (Note 1J) 1996
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) .................. $194,143 $101,075 $366,780 $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 ....... 3.54%+ 3.65%+ 2.94%+ 3.15%+
Portfolio turnover ......................................... 177% 147% 154% 132%
Average commission rate per share (A) ...................... $ 0.0070 $ 0.0019 $ 0.0063 $ 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 ............................. 1.03%+ 1.79%+ 0.85%+ 1.50%+
Net investment income to average net assets ................ 3.36%+ 2.71%+ 2.94%+ 2.50%+
</TABLE>
<TABLE>
<CAPTION>
Asset Asset
Allocation Allocation
Portfolio 400 Portfolio 500
--------------------------------- ------------------------------
Ten Months June 17, 1996* Ten Months Sept. 3, 1996*
Ended to Ended to
October 31, 1997 December 31, October 31, 1997 December 31,
(Note 1J) 1996 (Note 1J) 1996
---------------- ------------ ---------------- ------------
<S> <C> <C> <C> <C>
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's omitted) .................. $481,845 $246,152 $208,114 $ 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 ....... 2.09%+ 2.33%+ 1.63%+ 2.08%+
Portfolio turnover ......................................... 151% 130% 92% 27%
Average commission rate per share (A) ...................... $ 0.0070 $ 0.0024 $ 0.0063 $ 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%+ 0.98%+ 1.91%+
Net investment income to average net assets ................ 2.09%+ 1.86%+ 1.55%+ 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
</TABLE>
<PAGE>
ASSET ALLOCATION PORTFOLIOS
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(1) SIGNIFICANT ACCOUNTING POLICIES
Asset Allocation Portfolio 200, Asset Allocation Portfolio 300, Asset
Allocation Portfolio 400 and Asset Allocation Portfolio 500 (the "Portfolios")
are each a separate series of Asset Allocation Portfolios (the "Trust") which
are registered under the Investment Company Act of 1940, as amended, as an
open-end, management investment company which is organized as a trust under the
laws of the State of New York. The Declaration of the Trust permits the Trustees
to issue beneficial interest in the Portfolios. Citibank, N.A. ("Citibank" or
the Manager) is the Investment Manager of each of the Portfolios. Signature
Financial Group (Grand Cayman), Ltd. ("SFG") acts as the Portfolios'
Sub-Administrator. See Note 6.
The financial statements are prepared in accordance with U.S. 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 may 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 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 the ex-dividend date. Dividend
and interest income is recorded net of foreign taxes withheld. 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. 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,
as well as 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 and expenses recorded and the
amount actually received or paid.
D. FORWARD FOREIGN CURRENCY CONTRACTS -- Each of the Portfolios may enter into
forward foreign currency 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 portfolio 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 or
expires. 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. TBA PURCHASE COMMITMENTS -- The Portfolios enter 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
Portfolios 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 Portfolios will generally enter into TBA purchase commitments with
the intention of acquiring securities for its portfolio, the Portfolios may
dispose of a commitment prior to settlement if the Portfolio's Adviser deems it
appropriate to do so.
J. CHANGE IN FISCAL YEAR END -- During the fiscal year, the Portfolios changed
their year ends from December 31 to October 31.
K. WRITTEN OPTIONS -- When a Portfolio writes an option, the premium received by
the Portfolio is presented in the Portfolio's Statement of Assets and
Liabilities as an asset with an equivalent liability. The amount of the
liability is subsequently "marked-to-market" to reflect the current market value
of the option written. Written options are valued at the last sale price or, in
the absence of a sale, the last offering price on the market on which it is
principally traded. If an option expires on its stipulated expiration date, or
if the Portfolio enters into a closing purchase transaction, the Portfolio
realizes gain (or loss if the cost of a closing purchase transaction exceeds the
premium received when the option was written) without regard to any unrealized
gain or loss on the underlying security, and the liability related to such
option is extinguished. If a written call option is exercised, the Portfolio
realizes a gain or loss from the sale of the underlying security and the
proceeds of the sale are increased by the premium originally received. If a
written put option is exercised, the amount of the premium originally received
reduces the cost of the security which the portfolio purchases upon exercise of
the option.
The risk in writing a call option is that the Portfolio relinquished the
opportunity to profit if the market price of the underlying security increases
and the option is exercised. In writing a put option the Portfolio assumes the
risk of incurring a loss if the market price of the underlying security
decreases and the option is exercised. In addition, there is a risk the
Portfolio may not be able to enter into a closing transaction because of an
illiquid secondary market, or if the counterparties do not perform under the
contracts terms. See the Portfolio of Investments of Asset Allocation Portfolio
400 for all outstanding options as of October 31, 1997 and activity during the
year.
L. 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 fees paid to Citibank, is accrued daily and payable monthly.
The management fees are computed at the annual rate of 0.65% of each of the
Portfolios' average daily net assets.
The management fees paid to Citibank for Asset Allocation Portfolio 200,
Asset Allocation Portfolio 300, Asset Allocation Portfolio 400 and Asset
Allocation Portfolio 500 amounted to $737,146, $1,478,303, $1,993,100, and
$787,459, respectively, of which $208,393 and $89,168 were waived for Asset
Allocation Portfolio 200 and 500, respectively, for the ten months ended October
31, 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 ten months ended October 31, 1997, were as follows:
Purchases Sales
Asset Allocation
Portfolio 200 ..................... $252,084,237 $191,476,542
Asset Allocation
Portfolio 300 ..................... $535,886,119 $393,721,418
Asset Allocation
Portfolio 400 ..................... $702,743,861 $510,899,876
Asset Allocation
Portfolio 500 ..................... $222,771,496 $122,015,120
(4) FEDERAL INCOME TAX BASIS OF INVESTMENTS
The cost and unrealized appreciation (depreciation) in value of the
investment securities owned at October 31, 1997, as computed on a federal income
tax basis, are as follows:
ASSET ALLOCATION PORTFOLIO 200
Aggregate Cost ........................................ $ 214,600,147
=============
Gross unrealized appreciation ......................... $ 11,049,156
Gross unrealized depreciation ......................... (2,567,899)
-------------
Net unrealized appreciation
(depreciation) ....................................... $ 8,481,257
=============
ASSET ALLOCATION PORTFOLIO 300
Aggregate Cost ....................................... $ 396,995,635
=============
Gross unrealized appreciation ........................ $ 30,962,921
Gross unrealized depreciation ........................ (7,094,026)
-------------
Net unrealized appreciation
(depreciation) ...................................... $ 23,868,895
=============
ASSET ALLOCATION PORTFOLIO 400
Aggregate Cost ....................................... $ 512,058,353
=============
Gross unrealized appreciation ........................ $ 53,968,900
Gross unrealized depreciation ........................ (13,874,563)
-------------
Net unrealized appreciation
(depreciation) ....................................... $ 40,094,337
=============
ASSET ALLOCATION PORTFOLIO 500
Aggregate Cost ....................................... $ 205,840,000
=============
Gross unrealized appreciation ........................ $ 23,397,108
Gross unrealized depreciation ........................ (7,171,147)
-------------
Net unrealized appreciation
(depreciation) ....................................... $ 16,225,961
=============
(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 ten
months ended October 31, 1997, the commitment fees were allocated as follows:
Asset Allocation Portfolio 200 $536
Asset Allocation Portfolio 300 $1,066
Asset Allocation Portfolio 400 $1,422
Asset Allocation Portfolio 500 $558
Since the line of credit was established, there have been no borrowings.
(6) SUBSEQUENT EVENT
Effective November 1, 1997, each of the Portfolios contributed its
securities to multiple new or existing investment companies (New Portfolio),
each corresponding to a particular asset class of each Portfolio. In exchange,
each Portfolio received interests in each New Portfolio to which the
contributions were made. The Portfolios were then dissolved and the interests
were distributed to the investors.
<PAGE>
ASSET ALLOCATION PORTFOLIOS
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INDEPENDENT AUDITORS' REPORT
TO THE TRUSTEES AND THE INVESTORS OF ASSET ALLOCATION PORTFOLIO 200, ASSET
ALLOCATION PORTFOLIO 300, ASSET ALLOCATION PORTFOLIO 400 AND ASSET ALLOCATION
PORTFOLIO 500 (THE "PORTFOLIOS"):
We have audited the accompanying statement of assets and liabilities, including
the portfolio of investments, of the Portfolios as at October 31, 1997, and the
related statements of operations and of changes in net assets and the financial
highlights for the periods indicated. The financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of each Portfolio's management. Our responsibility is to express
an opinion on these financial statements based on our audits.
We conducted our audits in accordance with U.S. generally accepted auditing
standards. Those standards require that we plan and perform an audit to obtain
reasonable assurance whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence supporting
the amounts and disclosures in the financial statements. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of investments owned as
at October 31, 1997 by correspondence with the custodian and brokers, and the
application of alternative auditing procedures where confirmations from brokers
were not received, provide a reasonable basis for our opinion.
In our opinion, these financial statements present fairly, in all material
respects, the financial position of the Portfolios as at October 31, 1997, the
results of each of their operations and the changes in each of their net assets
and each of their financial highlights for the periods indicated, in accordance
with U.S. generally accepted accounting principles.
PRICE WATERHOUSE
Chartered Accountants
Toronto, Ontario
December 10, 1997
