<PAGE>
AS FILED WITH THE SECURITIES AND EXCHANGE COMMISSION ON MAY 1, 1996
REGISTRATION NO. 2-94996
REGISTRATION NO. 811-4185
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
----------------
FORM N-1A
REGISTRATION STATEMENT
UNDER THE SECURITIES ACT OF 1933 [ ]
PRE-EFFECTIVE AMENDMENT NO. [ ]
POST-EFFECTIVE AMENDMENT NO. 26 [X]
AND/OR
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY
ACT OF 1940 [ ]
AMENDMENT NO. 27 [X]
THE HUDSON RIVER TRUST
(EXACT NAME OF REGISTRANT AS SPECIFIED IN DECLARATION OF TRUST)
1345 AVENUE OF THE AMERICAS
NEW YORK, NEW YORK 10105
(ADDRESS OF PRINCIPAL EXECUTIVE OFFICES, INCLUDING ZIP CODE)
JAMES M. BENSON, PRESIDENT
787 SEVENTH AVENUE
47TH FLOOR
NEW YORK, NEW YORK 10019
(NAME AND ADDRESS OF AGENT FOR SERVICE)
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (800) 852-6860
----------------
PLEASE SEND COPIES OF ALL COMMUNICATIONS TO:
EDMUND P. BERGAN, JR.
ALLIANCE CAPITAL MANAGEMENT L.P.
1345 AVENUE OF THE AMERICAS
NEW YORK, NEW YORK 10105
----------------
APPROXIMATE DATE OF PROPOSED PUBLIC OFFERING: CONTINUOUS.
It is proposed that this filing will become effective (check appropriate box)
[X] immediately upon filing pursuant to paragraph (b)
[ ] on (date) pursuant to paragraph (b)
[ ] 60 days after filing pursuant to paragraph (a)(i)
[ ] on (date) pursuant to paragraph (a)(i)
[ ] 75 days after filing pursuant to paragraph (a)(ii)
[ ] on (date) pursuant to paragraph (a)(ii) of Rule 485
If appropriate, check the following box:
[ ] this post-effective amendment designates a new effective date for a
previously filed post- effective amendment.
PURSUANT TO RULE 24F-2(A)(1) OF THE INVESTMENT COMPANY ACT OF 1940, THE
REGISTRANT HAS REGISTERED AN INDEFINITE NUMBER OR AMOUNT OF SECURITIES UNDER
THE SECURITIES ACT OF 1933.
THE REGISTRANT'S 24F-2 NOTICE FOR THE FISCAL YEAR ENDED DECEMBER 31, 1995
WAS FILED ON FEBRUARY 29, 1996.
<PAGE>
THE HUDSON RIVER TRUST
CROSS-REFERENCE SHEET
ITEMS REQUIRED BY FORM N-1A
<TABLE>
<CAPTION>
ITEM NUMBER IN PART A PROSPECTUS CAPTION
-------------------------------------------------------- ----------------------------
<S> <C> <C>
1. Cover Page .............................................. COVER PAGE
2. Synopsis ................................................ NOT APPLICABLE
3. Condensed Financial Information ......................... FINANCIAL HIGHLIGHTS
4. General Description of Registrant ....................... THE TRUST; INVESTMENT
OBJECTIVES AND POLICIES
5. Management of the Trust ................................. MANAGEMENT OF THE TRUST
5A. Management's Discussion of Fund Performance ............. NOT APPLICABLE
6. Capital Stock and Other Securities ...................... THE TRUST; DESCRIPTION OF
THE TRUST'S SHARES; DIVIDENDS,
DISTRIBUTIONS AND TAXES
7. Purchase of Securities Being Offered .................... DESCRIPTION OF THE TRUST'S
SHARES
8. Redemption or Repurchase ................................ DESCRIPTION OF THE TRUST'S
SHARES
9. Legal Proceedings ....................................... NOT APPLICABLE
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF ADDITIONAL
ITEM NUMBER IN PART B INFORMATION CAPTION
-------------------------------------------------------- ----------------------------
<S> <C> <C>
10. Cover Page .............................................. COVER PAGE
11. Table of Contents ....................................... TABLE OF CONTENTS
12. General Information and History ......................... GENERAL INFORMATION AND
HISTORY
13. Investment Objectives and Policies ...................... INVESTMENT RESTRICTIONS OF
THE PORTFOLIOS; DESCRIPTION
OF CERTAIN SECURITIES IN
WHICH THE PORTFOLIOS MAY
INVEST
14. Management of the Fund .................................. MANAGEMENT OF THE TRUST;
INVESTMENT ADVISORY AND
OTHER SERVICES
15. Control Persons and Principal Holders of Securities .... GENERAL INFORMATION AND
HISTORY; DESCRIPTION OF THE
TRUST'S SHARES*
16. Investment Advisory and Other Services .................. INVESTMENT ADVISORY AND
OTHER SERVICES; FINANCIAL
STATEMENTS
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF ADDITIONAL
ITEM NUMBER IN PART B INFORMATION CAPTION
-------------------------------------------------------- ----------------------------
<S> <C> <C>
17. Brokerage Allocation and Other Practices ................ INVESTMENT ADVISORY AND
OTHER SERVICES
18. Capital Stock and Other Securities ...................... GENERAL INFORMATION AND
HISTORY; DESCRIPTION OF THE
TRUST'S SHARES*
19. Purchase, Redemption and Pricing of Securities Being
Offered ................................................. PURCHASE AND PRICING OF
SECURITIES; DESCRIPTION OF
THE TRUST'S SHARES*
20. Tax Status .............................................. CERTAIN TAX CONSIDERATIONS
21. Underwriters ............................................ OTHER SERVICES
22. Calculation of Performance Data ......................... PORTFOLIO PERFORMANCE
23. Financial Statements .................................... FINANCIAL STATEMENTS
</TABLE>
- ------------
Prospectus Caption*
<PAGE>
<PAGE>
THE HUDSON RIVER TRUST
Principal Office Located at
1345 Avenue of the Americas -- New York, New York 10105
The Hudson River Trust (Trust) is a mutual fund, currently issuing thirteen
series of shares of beneficial interest, each representing a separate
investment portfolio (Portfolio). The Portfolios are The Asset Allocation
Series: Conservative Investors, Balanced and Growth Investors; The Equity
Series: Growth and Income, Equity Index, Common Stock, Global, International
and Aggressive Stock; and The Fixed Income Series: Money Market, Intermediate
Government Securities, Quality Bond and High Yield. An investment in the
Money Market Portfolio is neither insured nor guaranteed by the U.S.
Government.
This prospectus sets forth concisely the investment objectives and policies
of the thirteen Portfolios and the information about the Trust a prospective
investor should know before investing. It should be read and retained for
future reference.
A Statement of Additional Information (SAI) dated May 1, 1996 has been filed
with the Securities and Exchange Commission (SEC). This SAI is incorporated
by reference into this prospectus and is available at no charge by writing
the Trust at the above address.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
--------
<S> <C>
Financial Highlights ........................ 2
The Trust ................................... 11
Investment Objectives and Policies .......... 11
Investment Techniques ....................... 25
Certain Investment Restrictions ............. 31
Management of the Trust ..................... 32
Description of the Trust's Shares ........... 35
Dividends, Distributions and Taxes .......... 36
Investment Performance ...................... 36
Appendix A -- Performance Information ...... A-1
Appendix B -- Description of Bond Ratings .. B-1
</TABLE>
An investment in the Trust is not a deposit or obligation of, or guaranteed
or endorsed by, any bank and is not federally insured by the Federal Deposit
Insurance Corporation, the Federal Reserve Board, or any other agency.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION NOR HAS THE COMMISSION PASSED UPON THE ACCURACY OR
ADEQUACY OF THIS PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL
OFFENSE.
PROSPECTUS DATED MAY 1, 1996
- -----------------------------------------------------------------------------
HRT103 (5/96) Copyright 1996 The Hudson River Trust. All rights reserved.
<PAGE>
FINANCIAL HIGHLIGHTS
The following tables give information regarding income, expenses and capital
changes in the Common Stock and Money Market Portfolios attributable to a
Portfolio share of beneficial interest outstanding throughout the periods
indicated, based upon monthly average shares outstanding, and other
supplementary data. The information is presented under the continuing entity
basis of accounting as if the reorganization described in "General
Information and History" in the SAI had always been in effect.
The succeeding tables also give equivalent information for a share of
beneficial interest in each of the other Portfolios outstanding throughout
the periods indicated.
Information regarding portfolio turnover rates, some of which exceeded 100%
during 1994 and 1993, is also included. Higher levels of portfolio activity
result in higher transaction costs, including higher brokerage expenses. The
equity component of the Balanced Portfolio's portfolio turnover rates in 1995
and 1994 was 152% and 81%, respectively, and the fixed income component was
233% and 196%, respectively, in 1995 and 1994.
On December 16, 1992, the Trust's Board of Trustees declared a 10-for-1 stock
split of the outstanding shares of the Money Market, High Yield, Balanced,
Common Stock, Global and Aggressive Stock Portfolios (Split Portfolios). The
split was effected on January 1, 1993 for shareholders of record on that
date. Consequently, the shares of beneficial interest outstanding and net
asset value per share presented in the Financial Highlights for a Split
Portfolio share outstanding throughout each period (other than the periods
ended December 31, 1993, December 31, 1994 and December 31, 1995), and the
shares outstanding at the end of such periods presented for the Split
Portfolios, have been restated.
The financial information in the tables below for the fiscal years ended
December 31, 1993, December 31, 1994 and December 31, 1995 has been audited
by Price Waterhouse LLP, the Trust's independent accountants. Financial
highlights for prior years have been audited by Deloitte & Touche LLP. The
audited financial statements for the Trust appear in the SAI. The Trust's
annual report, which contains additional performance information, is
available without charge upon request.
FINANCIAL HIGHLIGHTS
PER SHARE INCOME AND CAPITAL CHANGES
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)(C)
ASSET ALLOCATION SERIES
CONSERVATIVE INVESTORS PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------
1995 1994 1993*
<S> <C> <C> <C>
----------------------- -------------- ----------
Net asset value, beginning of period (a) ............ $ 10.15 $11.12 $ 10.94
----------------------- -------------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.60 0.55 0.52
Net realized and unrealized gain (loss) on
investments ...................................... 1.43 (1.00) 0.65
----------------------- -------------- ----------
Total from investment operations .................. 2.03 (0.45) 1.17
----------------------- -------------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income .............. (0.59) (0.52) (0.50)
Dividends in excess of net investment income ...... -- -- (0.00)
Distributions from realized gains ................. (0.07) -- (0.49)
----------------------- -------------- ----------
Total dividends and distributions ................. (0.66) (0.52) (0.99)
----------------------- -------------- ----------
Net asset value, end of period ...................... $ 11.52 $10.15 $ 11.12
======================= ============== ==========
Total return (d) .................................... 20.40% (4.10)% 10.76%
======================= ============== ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ................... $252,101 $173,691 $114,418
Ratio of expenses to average net assets ............. 0.59% 0.59% 0.60%
Ratio of net investment income to average net assets 5.48% 5.22% 4.49%
Portfolio turnover rate ............................. 287% 228% 178%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
OCTOBER 2,
1989 TO
DECEMBER
31,
1992 1991 1990 1989
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period (a) ............ $ 11.29 $ 10.23 $ 10.26 $10.00
--------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ............................. 0.64 0.69 0.72 0.15
Net realized and unrealized gain (loss) on
investments ...................................... (0.01) 1.28 (0.09) 0.16
--------- --------- --------- ---------
Total from investment operations .................. 0.63 1.97 0.63 0.31
--------- --------- --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income .............. (0.62) (0.66) (0.66) (0.05)
Dividends in excess of net investment income ...... -- -- -- --
Distributions from realized gains ................. (0.36) (0.25) -- --
--------- --------- --------- ---------
Total dividends and distributions ................. (0.98) (0.91) (0.66) (0.05)
--------- --------- --------- ---------
Net asset value, end of period ...................... $ 10.94 $ 11.29 $ 10.23 $10.26
========= ========= ========= =========
Total return (d) .................................... 5.64% 19.80% 6.30% 3.10%
========= ========= ========= =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ................... $70,675 $50,279 $29,971 $13,984
Ratio of expenses to average net assets ............. 0.61% 0.64% 0.73% 0.26%
Ratio of net investment income to average net assets 5.77% 6.45% 7.06% 1.54%
Portfolio turnover rate ............................. 136% 171% 88% 0%
</TABLE>
- ---------------
Footnotes appear on page 10.
2
<PAGE>
BALANCED PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------
1995 1994 1993* 1992
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ..................... $ 14.87 $ 16.67 $ 16.19 $ 18.48
------------- ------------- ------------- -------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .......... 0.54 0.45 0.50 0.56
Net realized and unrealized
gain (loss) on investments .... 2.36 (1.78) 1.46 (1.11)
------------- ------------- ------------- -------------
Total from investment
operations .................... 2.90 (1.33) 1.96 (0.55)
------------- ------------- ------------- -------------
LESS DISTRIBUTIONS:
Dividends from net
investment income ............. (0.54) (0.44) (0.50) (0.55)
Dividends in excess of net
investment income ............. -- (0.03) -- --
Distributions from realized
gains ......................... (0.47) -- (0.95) (1.19)
Distributions in excess of
realized gains ................ -- -- (0.03) --
Tax return of capital
distributions ................. -- (0.00) -- --
------------- ------------- ------------- -------------
Total dividends and
distributions ................. (1.01) (0.47) (1.48) (1.74)
------------- ------------- ------------- -------------
Net asset value, end of period .. $ 16.76 $ 14.87 $ 16.67 $ 16.19
============= ============= ============= =============
Total return (d) ................ 19.75% (8.02)% 12.28% (2.85)%
============= ============= ============= =============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $ 1,523,142 $1,329,820 $1,364,640 $1,076,670
Ratio of expenses to average net
assets ......................... 0.40% 0.39% 0.39% 0.40%
Ratio of net investment income to
average net assets ............. 3.33% 2.87% 2.99% 3.30%
Portfolio turnover rate ......... 186% 115% 99% 91%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
JANUARY 27,
1986 TO
DECEMBER 31,
1991 1990 1989 1988 1987 1986
-------- -------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ................... $ 14.40 $ 15.16 $ 13.38 $ 12.39 $ 12.79 $10.00
-------- -------- -------- -------- -------- ------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ........ 0.60 0.78 0.85 0.67 0.41 0.39
Net realized and unrealized
gain (loss) on investments . 5.23 (0.76) 2.53 0.95 (0.47) 2.52
-------- -------- -------- -------- -------- ------------
Total from investment
operations .................. 5.83 0.02 3.38 1.62 (0.06) 2.91
-------- -------- -------- -------- -------- ------------
LESS DISTRIBUTIONS:
Dividends from net
investment income ........... (0.55) (0.78) (0.85) (0.63) (0.34) (0.11)
Dividends in excess of net
investment income ........... -- -- -- -- -- --
Distributions from realized
gains ....................... (1.20) -- (0.75) -- -- (0.01)
Distributions in excess of
realized gains .............. -- -- -- -- -- --
Tax return of capital
distributions ............... -- -- -- -- -- --
-------- -------- -------- -------- -------- ------------
Total dividends and
distributions ............... (1.75) (0.78) (1.60) (0.63) (0.34) (0.12)
-------- -------- -------- -------- -------- ------------
Net asset value, end of period $ 18.48 $ 14.40 $ 15.16 $ 13.38 $ 12.39 $12.79
======== ======== ======== ======== ======== ============
Total return (d) .............. 41.25% 0.25% 25.84% 13.27% (0.86)% 29.10%
======== ======== ======== ======== ======== ============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period
(000's) ...................... $964,262 $286,432 $241,910 $161,819 $108,913 $23,858
Ratio of expenses to average
net assets ................... 0.41% 0.45% 0.45% 0.51% 0.47% 0.62%
Ratio of net investment income
to average net assets ........ 3.60% 5.35% 5.71% 5.15% 2.88% 3.03%
Portfolio turnover rate ...... 159% 119% 132% 204% 197% 219%
</TABLE>
- ------------
Footnotes appear on page 10.
3
<PAGE>
GROWTH INVESTORS PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1995 1994 1993*
------------- ------------- -------------
<S> <C> <C> <C>
Net asset value, beginning of period (a) $14.66 $15.61 $14.69
------------- ------------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................. 0.57 0.50 0.43
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .......................... 3.24 (0.98) 1.79
------------- ------------- -------------
Total from investment operations ....... 3.81 (0.48) 2.22
------------- ------------- -------------
LESS DISTRIBUTIONS:
Dividends from net investment income ... (0.54) (0.46) (0.42)
Dividends in excess of net investment
income ................................ (0.01) (0.01) --
Distributions from realized gains ...... (0.24) -- (0.88)
------------- ------------- -------------
Total dividends and distributions ...... (0.79) (0.47) (1.30)
------------- ------------- -------------
Net asset value, end of period ........... $17.68 $14.66 $15.61
============= ============= =============
Total return (d) ......................... 26.37% (3.15)% 15.26%
============= ============= =============
RATIOS/SUPPLEMENTAL DATA:
Net asset, end of period (000's) ........ $896,134 $492,478 $278,467
Ratio of expenses to average net assets . 0.56% 0.59% 0.62%
Ratio of net investment income to average
net assets ............................. 3.43% 3.32% 2.71%
Portfolio turnover rate .................. 107% 131% 118%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
OCTOBER 2,
1989 TO
DECEMBER 31,
1992 1991 1990 1989
---------- --------- --------- -------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period (a) $ 15.17 $ 11.03 $ 10.33 $10.00
---------- --------- --------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................. 0.44 0.41 0.44 0.11
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions .......................... 0.28 4.93 0.64 0.29
---------- --------- --------- -------------
Total from investment operations ....... 0.72 5.34 1.08 0.40
---------- --------- --------- -------------
LESS DISTRIBUTIONS:
Dividends from net investment income ... (0.41) (0.37) (0.38) (0.06)
Dividends in excess of net investment
income ................................ -- -- -- --
Distributions from realized gains ...... (0.79) (0.83) -- (0.01)
---------- --------- --------- -------------
Total dividends and distributions ...... (1.20) (1.20) (0.38) (0.07)
---------- --------- --------- -------------
Net asset value, end of period ........... $ 14.69 $ 15.17 $ 11.03 $10.33
========== ========= ========= =============
Total return (d) ......................... 4.85% 48.83% 10.70% 4.00%
========== ========= ========= =============
RATIOS/SUPPLEMENTAL DATA:
Net asset, end of period (000's) ........ $148,650 $84,338 $24,539 $6,018
Ratio of expenses to average net assets . 0.60% 0.66% 0.78% 0.29%
Ratio of net investment income to average
net assets ............................. 3.00% 3.03% 4.11% 1.01%
Portfolio turnover rate .................. 129% 139% 92% 6%
</TABLE>
EQUITY SERIES
GROWTH AND INCOME PORTFOLIO:
<TABLE>
<CAPTION>
OCTOBER 1, 1993
YEAR ENDED TO DECEMBER 31,
DECEMBER 31, 1993
-------------------- -----------------
1995 1994
--------- ---------
<S> <C> <C> <C>
Net asset value, beginning of period (a) .............. $ 9.70 $ 9.95 $10.00
--------- --------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.33 0.31 0.03
Net realized and unrealized gain (loss) on
investments .......................................... 1.97 (0.36) (0.06)
--------- --------- -----------------
Total from investment operations ..................... 2.30 (0.05) (0.03)
--------- --------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ................. (0.30) (0.20) (0.02)
Dividends in excess of net investment income ........ -- -- (0.00)
Tax return of capital distribution ................... -- -- (0.00)
--------- --------- -----------------
Total dividends and distributions .................... (0.30) (0.20) (0.02)
--------- --------- -----------------
Net asset value, end of period ........................ $ 11.70 $ 9.70 $ 9.95
========= ========= =================
Total return (d) ...................................... 24.07% (0.58)% (0.25)%
========= ========= =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..................... $98,053 $31,522 $1,456
Ratio of expenses to average net assets ............... 0.60% 0.78% 2.70%(b)
Ratio of net investment income to average net assets . 3.11% 3.13% 1.12%(b)
Portfolio turnover rate ............................... 65% 52% 48%
</TABLE>
- ------------
Footnotes appear on page 10.
4
<PAGE>
EQUITY INDEX PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED MARCH 1, 1994 TO
DECEMBER 31, 1995 DECEMBER 31, 1994
----------------- --------------------
<S> <C> <C>
Net asset value, beginning of period (a) .............. $ 9.87 $10.00
----------------- --------------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.26 0.20
Net realized and unrealized gain (loss) on
investments .......................................... 3.32 (0.09)
----------------- --------------------
Total from investment operations ..................... 3.58 0.11
----------------- --------------------
LESS DISTRIBUTIONS:
Dividends from net investment income ................. (0.22) (0.20)
Distributions of realized gains ...................... (0.09) (0.03)
Distributions in excess of realized gains ............ (0.01) (0.01)
----------------- --------------------
Total dividends and distributions .................... (0.32) (0.24)
----------------- --------------------
Net asset value, end of period ........................ $13.13 $ 9.87
================= ====================
Total return (d) ...................................... 36.48% 1.08%
================= ====================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..................... $165,785 $36,748
Ratio of expenses to average net assets ............... 0.48% 0.49%(b)
Ratio of net investment income to average net assets . 2.16% 2.42%(b)
Portfolio turnover rate ............................... 9% 7%
</TABLE>
COMMON STOCK PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------
1995 1994 1993* 1992
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Net asset value, begin-
ning of year (a) ....... $ 13.36 $14.65 $13.49 $14.18
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .. 0.20 0.20 0.23 0.24
Net realized and
unrealized gain
(loss) on invest-
ments and
foreign currency
transactions .......... 4.12 (0.51) 3.10 0.20
------------ ------------ ------------ ------------
Total from invest-
ment operations ....... 4.32 (0.31) 3.33 0.44
------------ ------------ ------------ ------------
LESS DISTRIBUTIONS:
Dividends from net
investment
income ................ (0.20) (0.19) (0.23) (0.24)
Dividends in
excess of net
investment
income ................ (0.02) (0.01) (0.00) --
Distributions from
realized gains ........ (0.95) (0.77) (1.94) (0.89)
Distributions in excess
of realized gains ..... (0.03) -- -- --
Tax return of capital
distributions ......... -- (0.01) -- --
------------ ------------ ------------ ------------
Total dividends
and distributions ..... (1.20) (0.98) (2.17) (1.13)
------------ ------------ ------------ ------------
Net asset value, end
of year ................ $ 16.48 $13.36 $14.65 $13.49
============ ============ ============ ============
Total return (d) ........ 32.45% (2.14)% 24.84% 3.22%
============ ============ ============ ============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
year (000's) ........... $4,879,677 $3,466,245 $3,125,128 $2,307,292
Ratio of expenses to
average net assets ..... 0.38% 0.38% 0.38% 0.38%
Ratio of net invest-
ment income to
average net assets ..... 1.27% 1.40% 1.55% 1.73%
Portfolio turnover rate 61% 52% 82% 71%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
1991 1990 1989 1988 1987 1986
------------ ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, begin-
ning of year (a) ....... $11.22 $12.87 $12.19 $10.15 $11.34 $11.28
------------ ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .. 0.32 0.21 0.27 0.23 0.17 0.19
Net realized and
unrealized gain
(loss) on invest-
ments and
foreign currency
transactions .......... 3.91 (1.25) 2.84 2.04 0.72 1.77
------------ ---------- ---------- ---------- ---------- ----------
Total from invest-
ment operations ....... 4.23 (1.04) 3.11 2.27 0.89 1.96
------------ ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS:
Dividends from net
investment
income ................ (0.29) (0.22) (0.26) (0.23) (0.17) (0.15)
Dividends in
excess of net
investment
income ................ -- -- -- -- -- --
Distributions from
realized gains ........ (0.98) (0.39) (2.17) -- (1.91) (1.75)
Distributions in excess
of realized gains ..... -- -- -- -- -- --
Tax return of capital
distributions ......... -- -- -- -- -- --
------------ ---------- ---------- ---------- ---------- ----------
Total dividends
and distributions ..... (1.27) (0.61) (2.43) (0.23) (2.08) (1.90)
------------ ---------- ---------- ---------- ---------- ----------
Net asset value, end
of year ................ $ 14.18 $ 11.22 $ 12.87 $ 12.19 $ 10.15 $ 11.34
============ ========== ========== ========== ========== ==========
Total return (d) ........ 37.90% (8.11)% 25.59% 22.44% 7.49% 17.33%
============ ========== ========== ========== ========== ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of
year (000's) ........... $2,126,402 $673,476 $725,627 $537,827 $434,558 $351,580
Ratio of expenses to
average net assets ..... 0.40% 0.44% 0.43% 0.46% 0.46% 0.47%
Ratio of net invest-
ment income to
average net assets ..... 2.32% 1.72% 1.87% 2.02% 1.21% 1.43%
Portfolio turnover rate 90% 82% 90% 71% 86% 89%
</TABLE>
- ------------
Footnotes appear on page 10.
5
<PAGE>
GLOBAL PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1995 1994 1993* 1992
----------- -------------- ---------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ...................... $13.87 $13.62 $11.41 $11.64
----------- -------------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .......... 0.26 0.20 0.08 0.14
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions . 2.32 0.52 3.58 (0.20)
----------- -------------- ---------- ---------
Total from investment operations 2.58 0.72 3.66 (0.06)
----------- -------------- ---------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment
income ........................ (0.25) (0.17) (0.15) (0.11)
Distributions from realized
gains ......................... (0.42) (0.28) (1.30) (0.06)
Distributions in excess of
realized gains ................ (0.03) (0.00) (0.00) --
Tax return of capital
distributions ................. (0.01) (0.02) -- --
----------- -------------- ---------- ---------
Total dividends and
distributions ................. (0.71) (0.47) (1.45) (0.17)
----------- -------------- ---------- ---------
Net asset value, end of period .. $15.74 $13.87 $13.62 $11.41
=========== ============== ========== =========
Total return (d) ................. 18.81% 5.23% 32.09% (0.50)%
=========== ============== ========== =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $686,140 $421,698 $141,257 $49,171
Ratio of expenses to average net
assets ......................... 0.61% 0.69% 0.84% 0.70%
Ratio of net investment income to
average net assets ............. 1.76% 1.41% 0.62% 1.20%
Portfolio turnover rate .......... 67% 71% 150% 216%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
AUGUST 27,
1987 TO
DECEMBER 31,
1991 1990 1989 1988 1987
--------- --------- --------- -------- -------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ...................... $ 9.76 $ 10.74 $ 9.57 $ 8.67 $10.00
--------- --------- --------- -------- -------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .......... 0.22 0.38 0.17 0.13 0.01
Net realized and unrealized gain
(loss) on investments and
foreign currency transactions . 2.74 (1.03) 2.38 0.82 (1.34)
--------- --------- --------- -------- -------------
Total from investment operations 2.96 (0.65) 2.55 0.95 (1.33)
--------- --------- --------- -------- -------------
LESS DISTRIBUTIONS:
Dividends from net investment
income ........................ (0.23) (0.33) (0.14) (0.05) --
Distributions from realized
gains ......................... (0.85) -- (1.24) -- --
Distributions in excess of
realized gains ................ -- -- -- -- --
Tax return of capital
distributions ................. -- -- -- -- --
--------- --------- --------- -------- -------------
Total dividends and
distributions ................. (1.08) (0.33) (1.38) (0.05) --
--------- --------- --------- -------- -------------
Net asset value, end of period .. $ 11.64 $ 9.76 $ 10.74 $ 9.57 $8.67
========= ========= ========= ======== =============
Total return (d) ................. 30.54% (6.06)% 26.73% 10.88% (13.30)%
========= ========= ========= ======== =============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $39,487 $24,097 $15,409 $9,212 $6,030
Ratio of expenses to average net
assets ......................... 0.75% 0.75% 0.80% 1.06% 0.40%
Ratio of net investment income to
average net assets ............. 1.94% 3.67% 1.49% 1.30% 0.19%
Portfolio turnover rate .......... 267% 502% 399% 235% 11%
</TABLE>
INTERNATIONAL PORTFOLIO:
<TABLE>
<CAPTION>
APRIL 3,
1995 TO
DECEMBER 31,
1995
--------------
<S> <C>
Net asset value, beginning of period (A) ............ $ 10.00
--------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.14
Net realized and unrealized gain on investments ... 0.98
--------------
Total from investment operations ................... 1.12
--------------
LESS DISTRIBUTIONS:
Dividends from net investment income ............... (0.07)
Dividends in excess of net investment income ...... (0.13)
Distributions of realized gains .................... (0.05)
--------------
Total dividends and distributions .................. (0.25)
--------------
Net asset value, end of period ...................... $ 10.87
==============
Total return (d) .................................... 11.29%
==============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ................... $28,684
Ratio of expenses to average net assets ............. 1.03%(b)
Ratio of net investment income to average net assets 1.71%(b)
Portfolio turnover rate ............................. 56%
</TABLE>
- ------------
Footnotes appear on page 10.
6
<PAGE>
AGGRESSIVE STOCK PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------
1995 1994 1993* 1992
--------- --------- -------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ...................... $30.63 $31.89 $29.81 $33.82
----------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .......... 0.10 0.04 0.09 0.17
Net realized and unrealized gain
(loss) on investments ......... 9.54 (1.26) 4.91 (1.25)
----------- -------- -------- --------
Total from investment operations 9.64 (1.22) 5.00 (1.08)
----------- -------- -------- --------
LESS DISTRIBUTIONS:
Dividends from net investment
income ........................ (0.10) (0.04) (0.09) (0.18)
Distributions from realized
gains ......................... (4.49) -- (2.75) (2.75)
Distributions in excess of
realized gains ................ -- -- (0.07) --
Tax return of capital
distribution .................. -- (0.00) (0.01) --
----------- -------- -------- --------
Total dividends and
distributions ................. (4.59) (0.04) (2.92) (2.93)
----------- -------- -------- --------
Net asset value, end of period .. $35.68 $30.63 $31.89 $29.81
=========== ======== ======== ========
Total return (d) ................. 31.63% (3.81)% 16.77% (3.16)%
=========== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $2,700,515 $1,832,164 $1,557,332 $1,210,576
Ratio of expenses to average net
assets ......................... 0.49% 0.49% 0.49% 0.50%
Ratio of net investment income to
average net assets ............. 0.28% 0.12% 0.28% 0.57%
Portfolio turnover rate .......... 127% 92% 89% 68%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
JANUARY 27,
1986 TO
DECEMBER 31,
1991 1990 1989 1988 1987 1986
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period (a) ...................... $ 19.37 $ 19.90 $ 14.07 $ 14.09 $ 13.35 $10.00
-------- -------- ------- ------- ------- ------------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .......... 0.12 0.16 0.23 0.20 0.20 0.12
Net realized and unrealized gain
(loss) on investments ......... 16.68 1.46 5.87 (0.03) 0.79 3.46
-------- -------- ------- ------- ------- ------------
Total from investment operations 16.80 1.62 6.10 0.17 0.99 3.58
-------- -------- ------- ------- ------- ------------
LESS DISTRIBUTIONS:
Dividends from net investment
income ........................ (0.10) (0.16) (0.23) (0.19) (0.13) (0.05)
Distributions from realized
gains ......................... (2.25) (1.99) (0.04) -- (0.12) (0.18)
Distributions in excess of
realized gains ................ -- -- -- -- -- --
Tax return of capital
distribution .................. -- -- -- -- -- --
-------- -------- ------- ------- ------- ------------
Total dividends and
distributions ................. (2.35) (2.15) (0.27) (0.19) (0.25) (0.23)
-------- -------- ------- ------- ------- ------------
Net asset value, end of period .. $ 33.82 $ 19.37 $ 19.90 $ 14.07 $ 14.09 $13.35
======== ======== ======= ======= ======= ============
Total return (d) ................. 86.87% 8.16% 43.50% 1.13% 7.30% 35.90%
======== ======== ======= ======= ======= ============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $959,257 $120,960 $99,459 $62,116 $47,776 $8,414
Ratio of expenses to average net
assets ......................... 0.51% 0.55% 0.55% 0.65% 0.58% 0.78%
Ratio of net investment income to
average net assets ............. 0.40% 0.78% 1.29% 1.35% 1.19% 0.99%
Portfolio turnover rate .......... 117% 54% 89% 70% 134% 60%
</TABLE>
- ------------
Footnotes appear on page 10.
7
<PAGE>
FIXED INCOME SERIES
MONEY MARKET PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------
1995 1994 1993* 1992
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning
of year(a) .................... $ 10.14 $10.12 $10.11 $10.13
---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ......... 0.57 0.41 0.30 0.37
Net realized and
unrealized gain (loss)
on investments ............... -- -- -- (0.01)
---------- ---------- ---------- ----------
Total from investment
operations ................... 0.57 0.41 0.30 0.36
---------- ---------- ---------- ----------
LESS DIVIDENDS:
Dividends from net
investment income ............ (0.55) (0.39) (0.29) (0.38)
---------- ---------- ---------- ----------
Total dividends ............... (0.55) (0.39) (0.29) (0.38)
---------- ---------- ---------- ----------
Net asset value, end of year $ 10.16 $10.14 $10.12 $10.11
========== ========== ========== ==========
Total return (d) ............... 5.74% 4.02% 3.00% 3.57%
========== ========== ========== ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $386,691 $325,391 $248,460 $268,584
Ratio of expenses to average
net assets .................... 0.44% 0.42% 0.42% 0.43%
Ratio of net investment
income to average net
assets ........................ 5.53% 4.01% 2.91% 3.63%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
1991 1990 1989 1988 1987 1986
---------- ---------- ---------- ---------- ---------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of year(a) $10.17 $10.14 $10.13 $10.09 $10.02 $10.01
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income ......... 0.61 0.81 0.89 0.73 0.64 0.67
Net realized and
unrealized gain (loss)
on investments ............... -- 0.01 0.01 (0.01) 0.01 (0.01)
---------- ---------- ---------- ---------- ---------- ---------
Total from investment
operations ................... 0.61 0.82 0.90 0.72 0.65 0.66
---------- ---------- ---------- ---------- ---------- ---------
LESS DIVIDENDS:
Dividends from net
investment income ............ (0.65) (0.79) (0.89) (0.68) (0.58) (0.65)
---------- ---------- ---------- ---------- ---------- ---------
Total dividends ............... (0.65) (0.79) (0.89) (0.68) (0.58) (0.65)
---------- ---------- ---------- ---------- ---------- ---------
Net asset value, end of year $ 10.13 $ 10.17 $ 10.14 $ 10.13 $ 10.09 $ 10.02
========== ========== ========== ========== ========== =========
Total return (d) ............... 6.20% 8.22% 9.18% 7.32% 6.63% 6.60%
========== ========== ========== ========== ========== =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $302,395 $359,426 $289,338 $234,378 $154,606 $91,743
Ratio of expenses to average
net assets .................... 0.43% 0.44% 0.44% 0.48% 0.46% 0.46%
Ratio of net investment
income to average net
assets ........................ 5.96% 7.85% 8.70% 7.14% 6.29% 6.45%
</TABLE>
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO (E):
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
-------------------------------------------- APRIL 1, 1991 TO
1995 1994 1993* 1992 DECEMBER 31, 1991
--------- --------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) ............... $ 8.87 $ 10.08 $10.53 $10.73 $10.00
--------- --------- ---------- ---------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.58 0.65 0.59 0.60 0.52
Net realized and unrealized gain (loss) on investments 0.57 (1.08) 0.51 (0.02) 0.66
--------- --------- ---------- ---------- -----------------
Total from investment operations ...................... 1.15 (0.43) 1.10 0.58 1.18
--------- --------- ---------- ---------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income .................. (0.55) (0.78) (0.68) (0.60) (0.34)
Distributions from realized gains ..................... -- -- (0.87) (0.18) (0.11)
--------- --------- ---------- ---------- -----------------
Total dividends and distributions ..................... (0.55) (0.78) (1.55) (0.78) (0.45)
--------- --------- ---------- ---------- -----------------
Net asset value, end of period ......................... $ 9.47 $ 8.87 $10.08 $10.53 $10.73
========= ========= ========== ========== =================
Total return (d) ....................................... 13.33% (4.37)% 10.58% 5.53% 12.10%
========= ========= ========== ========== =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ...................... $71,780 $48,518 $158,511 $293,587 $241,290
Ratio of expenses to average net assets ................ 0.57% 0.56% 0.53% 0.52% 0.43%
Ratio of net investment income to average net assets .. 6.15% 6.75% 5.43% 5.63% 4.88%
Portfolio turnover rate ................................ 255% 133% 254% 316% 174%
</TABLE>
- ------------
Footnotes appear on page 10.
8
<PAGE>
QUALITY BOND PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED
DECEMBER 31,
---------------------- OCTOBER 1, 1993
TO
1995 1994 DECEMBER 31, 1993
---------- ---------- -----------------
<S> <C> <C> <C>
Net asset value, beginning of period (a) .................................. $ 8.72 $ 9.82 $ 10.00
---------- ---------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................................................... 0.57 0.66 0.11
Net realized and unrealized gain (loss) on investments and foreign
currency transactions ................................................. 0.88 (1.16) (0.16)
---------- ---------- -----------------
Total from investment operations ......................................... 1.45 (0.50) (0.05)
---------- ---------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ..................................... (0.56) (0.55) (0.12)
Distributions in excess of realized gains ................................ -- -- (0.01)
Tax return of capital distributions ...................................... -- (0.05) --
---------- ---------- -----------------
Total dividends and distributions ........................................ (0.56) (0.60) (0.13)
---------- ---------- -----------------
Net asset value, end of period ............................................ $ 9.61 $ 8.72 $ 9.82
========== ========== =================
Total return (d) .......................................................... 17.02% (5.10)% (0.51)%
========== ========== =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ......................................... $157,443 $127,575 $104,832
Ratio of expenses to average net assets ................................... 0.59% 0.59% 0.69%(b)
Ratio of net investment income to average net assets ...................... 6.13% 7.17% 4.62%(b)
Portfolio turnover rate ................................................... 411% 222% 77%
</TABLE>
HIGH YIELD PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
1995 1994 1993* 1992
----------------------- ------------ ------- -------
<S> <C> <C> <C> <C>
Net asset value, beginning of period (a) $ 8.91 $10.08 $ 9.15 $ 8.96
----------------------- ------------ ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................. 0.98 0.89 0.94 0.89
Net realized and unrealized gain (loss)
on investments ........................ 0.73 (1.17) 1.10 0.19
----------------------- ------------ ------- -------
Total from investment operations ....... 1.71 (0.28) 2.04 1.08
----------------------- ------------ ------- -------
LESS DISTRIBUTIONS:
Dividends from net investment income ... (0.94) (0.88) (0.92) (0.89)
Dividends in excess of net investment
income ................................ (0.04) (0.01) -- --
Distributions from realized gains ...... -- -- (0.19) --
----------------------- ------------ ------- -------
Total dividends and distributions ...... (0.98) (0.89) (1.11) (0.89)
----------------------- ------------ ------- -------
Net asset value, end of period ........... $ 9.64 $ 8.91 $10.08 $ 9.15
======================= ============ ======= =======
Total return (d) ......................... 19.92% (2.79)% 23.15% 12.31%
======================= ============ ======= =======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ....... $118,129 $73,895 $67,169 $47,687
Ratio of expenses to average net assets . 0.60% 0.61% 0.63% 0.60%
Ratio of net investment income to average
net assets ............................. 10.34% 9.23% 9.52% 9.58%
Portfolio turnover rate .................. 350% 248% 280% 177%
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
JANUARY 2,
1987 TO
---------------------------------- DECEMBER 31,
1991 1990 1989 1988 1987
------- ------- ------- ------- -------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) $ 7.97 $ 9.14 $ 9.72 $ 9.67 $10.00
------- ------- ------- ------- -------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................. 0.89 1.04 1.09 1.00 1.06
Net realized and unrealized gain (loss)
on investments ........................ 0.99 (1.14) (0.60) (0.08) (0.60)
------- ------- ------- ------- -------------
Total from investment operations ....... 1.88 (0.10) 0.49 0.92 0.46
------- ------- ------- ------- -------------
LESS DISTRIBUTIONS:
Dividends from net investment income ... (0.89) (1.07) (1.07) (0.87) (0.79)
Dividends in excess of net investment
income ................................ -- -- -- -- --
Distributions from realized gains ...... -- -- -- -- --
------- ------- ------- ------- -------------
Total dividends and distributions ...... (0.89) (1.07) (1.07) (0.87) (0.79)
------- ------- ------- ------- -------------
Net asset value, end of period ........... $ 8.96 $ 7.97 $ 9.14 $ 9.72 $ 9.67
======= ======= ======= ======= =============
Total return (d) ......................... 24.46% (1.10)% 5.14% 9.73% 4.68%
======= ======= ======= ======= =============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ....... $45,066 $36,569 $41,280 $34,810 $10,687
Ratio of expenses to average net assets . 0.61% 0.62% 0.62% 0.73% 0.98%
Ratio of net investment income to average
net assets ............................. 10.31% 12.04% 11.22% 10.05% 10.62%
Portfolio turnover rate .................. 187% 53% 116% 209% 235%
</TABLE>
- ------------
Footnotes appear on page 10.
9
<PAGE>
- ------------
FOOTNOTES TO FINANCIAL HIGHLIGHTS
* Prior to July 22, 1993, Equitable Capital Management Corporation
(Equitable Capital) served as the investment adviser to the Trust. On
July 22, 1993, Alliance Capital Management L.P. acquired the business
and substantially all of the assets of Equitable Capital and became the
investment adviser to the Trust.
(a) Date as of which funds were first allocated to the Portfolios are as
follows:
Common Stock Portfolio -- June 16, 1975
Money Market Portfolio -- July 13, 1981
Balanced Portfolio -- January 27, 1986
Aggressive Stock Portfolio -- January 27, 1986
High Yield Portfolio -- January 2, 1987
Global Portfolio -- August 27, 1987
Conservative Investors Portfolio -- October 2, 1989
Growth Investors Portfolio -- October 2, 1989
Intermediate Government Securities Portfolio -- April 1, 1991
Quality Bond Portfolio -- October 1, 1993
Growth and Income Portfolio -- October 1, 1993
Equity Index Portfolio -- March 1, 1994
International Portfolio -- April 3, 1995
(b) Annualized.
(c) Net investment income and capital changes per share are based upon
monthly average shares outstanding.
(d) Total return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
(e) On February 22, 1994 shares of the Intermediate Government Securities
Portfolio of the Trust were substituted for shares of the Trust's
Short-Term World Income Portfolio.
10
<PAGE>
THE TRUST
The Trust is an open-end management investment company under the Investment
Company Act of 1940 (Investment Company Act). As a "series" type of mutual
fund, the Trust issues shares of beneficial interest currently divided among
thirteen Portfolios. Each Portfolio is a separate diversified series of the
Trust. The Trust's assets and liabilities are divided among these Portfolios.
Additional Portfolios may be established. Originally organized as a Maryland
corporation which commenced operations on March 22, 1985, the Trust was
formed as a Massachusetts business trust on July 10, 1987.
The Trust's shares are sold only to separate accounts of insurance companies
in connection with variable life insurance contracts and variable annuity
certificates and contracts (collectively, the Contracts) issued by The
Equitable Life Assurance Society of the United States (Equitable), Equitable
Variable Life Insurance Company (Equitable Variable), an affiliate of
Equitable, and certain insurance companies unaffiliated with Equitable or
Equitable Variable. Equitable and Equitable Variable were the record owners
of approximately 99.6% of the Trust's shares as of March 31, 1996, and
consequently may be deemed to control the Trust.
Shares of the Trust are sold to insurance company separate accounts of
companies that are not affiliated with each other. The Trust does not
currently foresee any disadvantages to policy owners arising from offering
the Trust's shares to separate accounts of insurance companies that are
unaffiliated with each other; however, it is theoretically possible that the
interests of owners of various policies participating in the Trust through
their separate accounts might at some time be in conflict. In the case of a
material irreconcilable conflict, one or more separate accounts might
withdraw their investments in the Trust, which would possibly force the Trust
to sell portfolio securities at disadvantageous prices.
INVESTMENT OBJECTIVES AND POLICIES
FUNDAMENTAL INVESTMENT OBJECTIVES
The following investment objectives of each Portfolio are fundamental and,
unless permitted by law, will not be changed without a vote of the holders of
the majority of the voting securities of that Portfolio. There can, of
course, be no assurance that a Portfolio will achieve its investment
objective.
THE ASSET ALLOCATION SERIES
o The Conservative Investors Portfolio's fundamental investment
objective is to achieve a high total return without, in the
investment adviser's opinion, undue risk to principal. It will
pursue this objective by investing in a diversified mix of publicly
traded equity and debt securities.
o The Balanced Portfolio's fundamental investment objective is to
achieve a high return through both appreciation of capital and
current income. The Balanced Portfolio will pursue this objective
by investing in a diversified portfolio of publicly traded equity
and debt securities and short-term money market instruments.
o The Growth Investors Portfolio's fundamental investment objective
is to achieve the highest total return consistent with the
investment adviser's determination of reasonable risk. It will
pursue this objective by investing in a diversified mix of publicly
traded equity and fixed income securities, including at times
common stocks issued by intermediate and small-sized companies and
at times fixed income securities that are medium and lower quality
debt securities known as "junk bonds."
THE EQUITY SERIES
o The Growth and Income Portfolio's fundamental investment objective
is to provide a high total return through a combination of current
income and capital appreciation by investing primarily in
income-producing common stocks and securities convertible into
common stocks.
11
<PAGE>
o The Equity Index Portfolio's fundamental investment objective is to
seek a total return before expenses that approximates the total
return performance of the Standard & Poor's Corporation (S&P) 500
Index, including reinvestment of dividends, at a risk level
consistent with that of the Index.
o The Common Stock Portfolio's fundamental investment objective is to
achieve long-term growth of its capital and increase income. It
will pursue this objective by investing primarily in common stock
and other equity-type instruments.
o The Global Portfolio's fundamental investment objective is to
achieve long-term growth of capital. The Global Portfolio will
pursue this objective by investing primarily in equity securities
of non-United States companies as well as United States issuers.
o The International Portfolio's fundamental investment objective is
to achieve long-term growth of capital by investing primarily in a
diversified portfolio of equity securities selected principally to
permit participation in non-United States companies with prospects
for growth.
o The Aggressive Stock Portfolio's fundamental investment objective
is to achieve long-term growth of capital. The Aggressive Stock
Portfolio will pursue this objective by investing primarily in
common stocks and other equity-type securities issued by quality
small and intermediate sized companies with strong growth prospects
and in covered options on those securities.
THE FIXED INCOME SERIES
o The Money Market Portfolio's fundamental investment objective is to
obtain a high level of current income, preserve its assets and
maintain liquidity. The Money Market Portfolio will pursue this
objective by investing in primarily high quality U.S. dollar
denominated money market instruments.
o The Intermediate Government Securities Portfolio's fundamental
investment objective is to achieve high current income consistent
with relative stability of principal through investment primarily
in debt securities issued or guaranteed as to principal and
interest by the U.S. Government or any of its agencies or
instrumentalities. The Portfolio's investments will each have a
final maturity of not more than ten years or a duration not
exceeding that of a 10-year Treasury note.
o The Quality Bond Portfolio's fundamental investment objective is to
achieve high current income consistent with preservation of capital
by investing primarily in investment grade fixed income securities.
The Quality Bond Portfolio reserves the right to invest in
convertible debt securities, preferred stocks and dividend-paying
common stocks.
o The High Yield Portfolio's fundamental investment objective is to
achieve high return by maximizing current income and, to the extent
consistent with that objective, capital appreciation. The High
Yield Portfolio will pursue this objective by investing primarily
in a diversified mix of high yield, fixed income securities
involving greater volatility of price and risk of principal and
income than high quality fixed income securities. The medium and
lower quality debt securities in which the Portfolio may invest are
known as "junk bonds."
INVESTMENT POLICIES
The following investment policies and restrictions, unless otherwise noted,
are not fundamental policies of the Portfolios. They may be changed by the
Board of Trustees without a shareholder vote, except as otherwise stated in
this Prospectus or in the Trust's SAI.
THE ASSET ALLOCATION SERIES
The Conservative Investors Portfolio, the Balanced Portfolio and the Growth
Investors Portfolio together are called the Asset Allocation Series. These
Portfolios invest in a variety of fixed income and equity securities, each
pursuant to a different asset allocation strategy, as described below. The
term "asset allocation" is used to describe the process of shifting assets
among discrete categories of investments in
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an effort to reduce risk while producing desired return objectives. Portfolio
management, therefore, will consist not only of specific securities selection
but also of setting, monitoring and changing, when necessary, the asset mix.
Each Portfolio has been designed with a view toward a different "investor
profile." The "conservative investor" has a relatively short-term investment
bias, either because of a limited tolerance for market volatility or a short
investment horizon. This investor is averse to taking risks that may result
in principal loss, even though such aversion may reduce the potential for
higher long-term gains and result in lower performance during periods of
equities market strength. Consequently, the asset mix for the Conservative
Investors Portfolio attempts to reduce volatility while providing modest
upside potential. The "growth investor" has a longer-term investment horizon
and is therefore willing to take more risks in an attempt to achieve
long-term growth of principal. This investor wishes, in effect, to be risk
conscious without being risk averse. The asset mix for the Growth Investors
Portfolio attempts to provide for upside potential without excessive
volatility.
The "balanced investor" is somewhat less aggressive than the growth investor
and seeks a medium to long-term investment posture. This investor is
sensitive to risk, but is willing to take on some risk in seeking high total
return. Consequently, the asset mix for the Balanced Portfolio attempts to
capture a sizable portion of the market's upside while diversifying risk
among asset classes.
The Trust's investment adviser has established an asset allocation committee
(the Committee), all the members of which are employees of the investment
adviser, which is responsible for setting and continually reviewing the asset
mix ranges of each Portfolio. The Committee meets at least twice each month.
Under normal market conditions, the Committee is expected to change
allocation ranges approximately three to five times per year. However, the
Committee has broad latitude to establish the frequency, as well as the
magnitude, of allocation changes within the guidelines established for each
Portfolio. During periods of severe market disruption, allocation ranges may
change frequently. It is also possible that in periods of stable and
consistent outlook no change will be made. The Committee's decisions are
based on a variety of factors, including liquidity, portfolio size, tax
consequences and general market conditions, always within the context of the
appropriate investor profile for each Portfolio. Consequently, asset mix
decisions for the Conservative Investors Portfolio particularly emphasize
risk assessment of each asset class viewed over the shorter term, while
decisions for the Growth Investors Portfolio are principally based on the
longer term total return potential for each asset class.
When the Committee establishes a new allocation range for a Portfolio, it
also prescribes the length of time during which that Portfolio should achieve
an asset mix within the new range. To achieve a new asset mix, the Portfolios
look first to available cash flow. If cash flow proves insufficient to
achieve the desired asset mix, the Portfolios will sell securities and
reinvest the proceeds in the appropriate asset class.
The Asset Allocation Series Portfolios are permitted to use a variety of
hedging techniques to attempt to control stock market, interest rate and
currency risks. Each of the Portfolios in the Asset Allocation Series may
make loans of up to 50% of its total portfolio securities. Each of the
Portfolios in the Asset Allocation Series may write covered call and put
options and may purchase call and put options on all the types of securities
in which it may invest, as well as securities indexes and foreign currencies.
Each Portfolio may also purchase and sell stock index, interest rate and
foreign currency futures contracts and options thereon, as well as forward
foreign currency exchange contracts. See "Investment Techniques--Forward
Foreign Currency Exchange Contracts," below.
Risk Factors. In addition to the risk factors associated with certain types
of securities in which the Portfolios in the Asset Allocation Series may
invest, and in addition to the risk of loss inherent in any securities
ownership, there is associated with these Portfolios the risk that the
investment adviser will not accurately assess and respond to changing market
conditions. While the investment adviser has established the Committee to
help it anticipate and respond positively to changes in market conditions,
there can be no assurance that this goal will be achieved. Furthermore, there
may be additional operating expenses for these Portfolios during periods of
frequently changing asset mix ranges.
CONSERVATIVE INVESTORS PORTFOLIO--INVESTMENT POLICIES
The Conservative Investors Portfolio attempts to achieve its investment
objective by allocating varying portions of its assets to high quality,
publicly traded fixed income securities (including money market
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instruments and cash) and publicly traded common stocks and other equity
securities of United States and non-United States issuers. All fixed income
securities held by the Portfolio will be of investment grade. This means that
they will be in one of the top four rating categories assigned by S&P or
Moody's Investors Service, Inc. (Moody's). Equity securities invested in by
the Portfolio will consist of the types of securities in which the Common
Stock Portfolio may invest and may include convertible securities. No more
than 15% of the Portfolio's assets will be invested in securities of
non-United States issuers. See "Investment Techniques--Foreign Securities and
Currencies," below.
The Portfolio will at all times hold at least 40% of its assets in investment
grade fixed income securities, each having a duration of less than that of a
10-year Treasury bond (the Fixed Income Core). Duration is a measure that
relates the price volatility of a bond to changes in interest rates. The
duration of a bond is the weighted average term to maturity, expressed in
years, of the present value of all future cash flows, including coupon
payments and principal repayments. Thus, by definition, duration is always
less than or equal to full maturity. As of December 31, 1995, the duration of
a 10-year Treasury bond was considered to be 5.61 years.
The Portfolio is generally expected to hold approximately 70% of its assets
in fixed income securities (including the Fixed Income Core) and 30% in
equity securities. Actual asset mixes will be adjusted in response to
economic and credit market cycles. The fixed income asset class will always
comprise at least 50%, but never more than 90%, of the Portfolio's total
assets. The equity class will always comprise at least 10%, but never more
than 50%, of the Portfolio's total assets.
BALANCED PORTFOLIO--INVESTMENT POLICIES
The Balanced Portfolio attempts to achieve its objective by investing varying
portions of its assets in publicly-traded equity and debt securities and
money market instruments. The Balanced Portfolio attempts to achieve
long-term growth of capital by investing in common stock and other
equity-type instruments. It will try to achieve a competitive level of
current income and capital appreciation through investments in publicly
traded debt securities and a high level of current income through investments
in money market instruments.
The portion of the Balanced Portfolio's assets invested in each type of
security will vary in accordance with economic conditions, the general level
of common stock prices, interest rates and other relevant considerations,
including the risks associated with each investment medium. Although the
Balanced Portfolio will seek to reduce the risks associated with any one
investment medium by utilizing a variety of investments, performance will
depend upon the investment adviser's ability to assess accurately and react
to changing market conditions.
The Balanced Portfolio will at all times hold at least 25% of its assets in
fixed income securities (including, for these purposes, that portion of the
value of securities convertible into common stock which is attributable to
the fixed income characteristics of those securities). The Portfolio's equity
securities will always comprise at least 25%, but never more than 75%, of the
Portfolio's total assets. Consequently, the Portfolio will have "Core
Holdings" of at least 25% fixed income securities and 25% equity securities.
Over time, holdings by the Portfolio are currently expected to average
approximately 50% in fixed income securities and approximately 50% in equity
securities. Actual asset mixes will be adjusted in response to economic and
credit market cycles.
The equity securities invested in by the Balanced Portfolio will consist of
the types of securities in which the Common Stock Portfolio may invest. The
money market securities will consist of the types of securities and credit
quality in which the Money Market Portfolio may invest. The debt securities
will consist principally of bonds, notes, debentures and equipment trust
certificates. The Portfolio may also buy debt securities with equity features
such as conversion or exchange rights or warrants for the acquisition of
stock or participations based on revenues, rates or profits. These debt
securities will principally be investment grade securities rated at least Baa
by Moody's or BBB by S&P, or will be issued or guaranteed by the U.S.
Government, its agencies or instrumentalities. If such Baa or BBB debt
securities held by the Portfolio fall below those ratings, the Portfolio will
not be obligated to dispose of them and may continue to hold them if the
investment adviser considers them appropriate investments
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under the circumstances. In addition, the Balanced Portfolio may at times
hold some of its assets in cash. The Portfolio may invest no more than 20% of
its total assets in foreign securities. See "Investment Techniques--Foreign
Securities and Currencies," below. The Portfolio may make secured loans of up
to 50% of its total portfolio securities. See "Investment
Techniques--Securities Lending," below. The Balanced Portfolio may write
covered call and put options and may purchase call and put options on all the
types of securities in which it may invest, as well as securities indexes and
foreign currencies. The Balanced Portfolio may also purchase and sell stock
index, interest rate and foreign currency futures contracts and options
thereon. See "Investment Techniques--Options," "Investment Techniques--
Futures" and "Investment Techniques--Risk Factors in Options and Futures,"
below.
GROWTH INVESTORS PORTFOLIO--INVESTMENT POLICIES
The Growth Investors Portfolio attempts to achieve its investment objective
by allocating varying portions of its assets to a number of asset classes.
Equity investments will include common stocks that are listed on national
securities exchanges as well as those that are traded over-the-counter and
also equity-type securities, which may include preferred stock and
convertible securities, and include securities issued by intermediate and
small-sized companies with favorable growth prospects. More risk is
associated with investment in intermediate and small-sized companies because
they are often dependent on only one or two products. They are more
vulnerable to competition from larger companies with greater resources and to
economic conditions affecting their market sector. Intermediate and
small-sized companies may be new, without long business or management
histories, and perceived by the market as unproven. Their securities may be
held primarily by insiders or institutional investors, which may affect
marketability. The prices of these stocks often fluctuate more than the
overall stock market. Fixed income investments will include investment grade
fixed income securities (including cash and money market instruments) as well
as securities that have a high current yield and that are either rated in the
lower categories by nationally recognized statistical rating organizations
NRSROs (i.e., Baa or lower by Moody's or BBB or lower by S&P) or are unrated.
For a discussion of the risks associated with investment in these higher
yielding securities, see "Investment Techniques--Fixed Income Securities";
and "Investment Techniques--Risk Factors of Lower Rated Fixed Income
Securities," below. For the fiscal year ended December 31, 1995,
approximately 31.18% of the Portfolio was invested in fixed income
securities, all rated AAA or its equivalent. No more than 30% of the
Portfolio's assets will be invested in securities of non-United States
issuers. See "Investment Techniques--Foreign Securities and Currencies,"
below.
The Portfolio will at all times hold at least 40% of its assets in publicly
traded common stocks and other equity securities of the type purchased by the
Common Stock Portfolio (the Equity Core). The Portfolio is generally expected
to hold approximately 70% of its assets in equity securities (including the
Equity Core) and 30% in fixed income securities. Actual asset mixes will be
adjusted in response to economic and credit market cycles. The fixed income
asset class will always comprise at least 10%, but never more than 60%, of
the Portfolio's total assets. The equity class will always comprise at least
40%, but never more than 90%, of the Portfolio's total assets.
THE EQUITY SERIES
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GROWTH AND INCOME PORTFOLIO--INVESTMENT POLICIES
The Growth and Income Portfolio seeks to maintain a portfolio yield above
that of issuers comprising the S&P 500 Index and to achieve (in the long run)
a rate of growth in portfolio income that exceeds the rate of inflation. The
Growth and Income Portfolio will generally invest in common stocks of "blue
chip" issuers, i.e., those (1) which have a total market capitalization of at
least $1 billion, (2) which pay periodic dividends and (3) whose common stock
is in the highest four issuer ratings for S&P (i.e., A+, A, A- or B+) or
Moody's (i.e., High Grade, Investment Grade, Upper Medium Grade or Medium
Grade) or, if unrated, is determined to be of comparable quality by the
Trust's investment adviser. It is expected that on average the dividend rate
of these issuers will exceed the average rate of issuers constituting the S&P
500 Index.
The Growth and Income Portfolio may invest without limit in securities
convertible into common stocks which include convertible bonds, convertible
preferred stocks and warrants convertible into common
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stocks. The Growth and Income Portfolio may invest up to 30% of its total
assets in high yield, high risk convertible securities rated at the time of
purchase below investment grade (i.e., rated Ba or lower by Moody's or BB or
lower by S&P or determined by the Trust's investment adviser to be of
comparable quality). Convertible securities normally provide a higher yield
than the underlying stock but lower than a fixed income security without the
convertible feature. Also, the price of a convertible security will normally
vary to some degree with changes in the price of the underlying common stock
although in some market conditions the higher yield tends to make the
convertible security less volatile than the underlying common stock. In
addition, the price of a convertible security will also vary to some degree
inversely with interest rates. For additional discussion of the risks
associated with investment in lower- rated securities, see "Investment
Techniques--Fixed Income Securities" and "Investment Techniques--Risk Factors
of Lower Rated Fixed Income Securities," below. For more information
concerning the bond ratings assigned by Moody's and S&P, see Appendix B.
The Growth and Income Portfolio does not expect to invest more than 25% of
its total assets in foreign securities, although it may do so without limit.
It may enter into foreign currency futures contracts (and related options),
forward foreign currency exchange contracts and options on currencies for
hedging purposes. See "Investment Techniques--Forward Foreign Currency
Exchange Contracts," below.
The Growth and Income Portfolio may write covered call and put options on
securities and securities indexes for hedging purposes or to enhance its
return and may purchase call and put options on securities and securities
indexes for hedging purposes. The Growth and Income Portfolio may also
purchase and sell securities index futures contracts and may write and
purchase options thereon for hedging purposes. See "Investment
Techniques--Options," "Investment Techniques--Futures," and "Investment
Techniques--Risk Factors in Options and Futures," below.
For temporary defensive purposes, the Growth and Income Portfolio may invest
in certain money market instruments. See "Investment Techniques--Certain
Money Market Instruments," below.
EQUITY INDEX PORTFOLIO--INVESTMENT POLICIES
The Equity Index Portfolio's investment objective is to seek a total return
before expenses that approximates the total return performance of the S&P 500
Index (Index), including reinvestment of dividends, at a risk level
consistent with that of the Index. The Index is a widely publicized index
that tracks 500 companies traded on the New York and American Stock Exchanges
and in the over-the-counter market. It is weighted by market value so that
each company's stock influences the Index in proportion to its market
importance. While most issuers are among the 500 largest U.S. companies in
terms of aggregate market value, some other stocks are included by S&P for
purposes of diversification. The value of the Index may change over time due
to a variety of factors, including economic factors and events affecting
issuers included in the Index.
In managing the Equity Index Portfolio, the Trust's investment adviser will
not utilize customary economic, financial or market analyses or other
traditional investment techniques. Rather, the investment adviser will use
proprietary modeling techniques to construct a portfolio which it believes
will, in the aggregate, approximate the performance results of the Index. The
investment adviser will first select from the largest capitalization
securities in the Index on a capitalization-weighted basis. Generally, the
largest capitalization securities reasonably track the Index because the
Index is significantly influenced by a small number of securities. However,
selecting securities on the basis of their capitalization alone would distort
the Equity Index Portfolio's industry diversification, and therefore economic
events could potentially have a dramatically different impact on the
performance of the Equity Index Portfolio from that of the Index. Recognizing
this fact, the modeling techniques also consider industry diversification
when selecting investments for the Equity Index Portfolio. The investment
adviser also seeks to diversify the Equity Index Portfolio's assets with
respect to market capitalization. As a result, the Equity Index Portfolio
will include securities of smaller and medium-sized capitalization companies
in the Index.
Although the modeling techniques are intended to produce a portfolio whose
performance approximates that of the Index (before expenses), there can be no
assurance that these techniques will reduce "tracking error" (i.e., the
difference between the Equity Index Portfolio's investment results (before
expenses) and
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the Index's). Tracking error may arise as a result of brokerage costs, fees
and operating expenses and a lack of correlation between the Equity Index
Portfolio's investments and the Index.
Cash may be accumulated in the Equity Index Portfolio until it reaches
approximately 1% of the value of the Equity Index Portfolio at which time
such cash will be invested in common stocks as described above. Accumulation
of cash increases tracking error. The Equity Index Portfolio will, however,
remain substantially fully invested in common stocks even when common stock
prices are generally falling. Also, adverse performance of a stock will
ordinarily not result in its elimination from the Equity Index Portfolio.
In order to reduce brokerage costs, maintain liquidity to meet shareholder
redemptions or minimize tracking error when the Equity Index Portfolio holds
cash, the Equity Index Portfolio may from time to time buy and hold futures
contracts on the Index and options on such futures contracts. See "Investment
Techniques--Futures" and "Investment Techniques--Risk Factors in Options and
Futures," below. The contract value of futures contracts purchased by the
Equity Index Portfolio plus the contract value of futures contracts
underlying call options purchased by the Equity Index Portfolio will not
exceed 20% of the Equity Index Portfolio's total assets.
The Equity Index Portfolio may seek to increase income by lending securities
with a value of up to 50% of its total assets to brokers-dealers. See
"Investment Techniques--Securities Lending," below.
COMMON STOCK PORTFOLIO--INVESTMENT POLICIES
The Common Stock Portfolio attempts to achieve its investment objective by
investing primarily in common stocks and other equity-type securities that
the Trust's investment adviser believes will share in the growth of the
nation's economy over a long period.
Most of the time, the Common Stock Portfolio will invest primarily in common
stocks that are listed on national securities exchanges. Smaller amounts will
be invested in stocks that are traded over-the-counter and in other
equity-type securities (such as preferred stocks or convertible debt
instruments). Current income is an incidental consideration. The Common Stock
Portfolio generally will not invest more than 20% of its total assets in
foreign securities. See "Investment Techniques--Foreign Securities and
Currencies," below.
If, in light of economic conditions and the general level of common stock
prices, it appears that the Portfolio's investment objective will not be met
by using all its assets to buy equities, the Common Stock Portfolio may also
use part of its assets to make nonequity investments. These could include
buying securities such as nonparticipating and nonconvertible preferred
stocks and certain fixed income securities. Fixed income securities will
include investment grade bonds and debentures and money market instruments,
as well as securities that have a high current yield because they are either
rated in the lower categories by NRSROs (i.e., Baa or lower by Moody's or BBB
or lower by S&P) or are unrated. For a discussion of the risks associated
with investment in these higher yielding securities, see "Investment
Techniques--Fixed Income Securities" and "Investment Techniques--Risk Factors
of Lower Rated Fixed Income Securities," below. For the fiscal year ended
December 31, 1995, less than 1% of the average assets of the Portfolio were
invested in higher yielding securities.
The Common Stock Portfolio may make temporary investments in money market
instruments of the same type and credit quality in which the Money Market
Portfolio may invest. The Portfolio may make secured loans of up to 50% of
its total portfolio securities. See "Investment Techniques--Securities
Lending," below. The Common Stock Portfolio may write covered call and put
options and may buy call and put options on individual common stocks and
other equity-type securities, securities indexes, and foreign currencies. The
Portfolio may also purchase and sell stock index and foreign currency futures
contracts and options thereon. See "Investment Techniques--Options,"
"Investment Techniques-- Futures," and "Investment Techniques--Risk Factors
in Options and Futures," below.
GLOBAL PORTFOLIO--INVESTMENT POLICIES
The Global Portfolio attempts to achieve its objective by investing primarily
in a diversified portfolio of equity securities selected principally to
permit participation in established non-United States companies
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with prospects for growth, as well as in securities issued by United States
companies. These non-United States companies may have operations in the
United States, in their country of incorporation or in other countries. The
Global Portfolio intends to diversify investments among several countries and
to have represented in the Portfolio business activities in not less than
three different countries (including the United States). For temporary or
defensive purposes, the Global Portfolio may at times invest substantially
all of its assets in securities issued by United States companies or in cash
or cash equivalents, including money market instruments issued by foreign
entities.
The Global Portfolio may invest in any type of security including, but not
limited to, shares, preferred or common, as well as shares of mutual funds
which invest in foreign securities, bonds and other evidences of
indebtedness, and other securities of issuers wherever organized and
governments and their political subdivisions. Although no particular
proportion of stocks, bonds or other securities is required to be maintained,
the Global Portfolio, in view of its investment objective, intends under
normal conditions to maintain a portfolio consisting primarily of a
diversified list of equity securities. The Portfolio may make secured loans
of up to 50% of its total portfolio securities. See "Investment
Techniques--Securities Lending," below. The Global Portfolio may write
covered call and put options and may purchase call and put options on
individual equity securities, securities indexes, and foreign currencies. The
Global Portfolio may also purchase and sell stock index, foreign currency and
interest rate futures contracts and options on such contracts, as well as
forward foreign currency exchange contracts. See "Investment
Techniques--Options," "Investment Techniques--Forward Foreign Currency
Exchange Contracts," "Investment Techniques--Futures," and "Investment
Techniques--Risk Factors in Options and Futures," below.
Risk Factors. For a discussion of the risks associated with investments in
foreign securities, see "Investment Techniques--Foreign Securities and
Currencies," below.
INTERNATIONAL PORTFOLIO--INVESTMENT POLICIES
The International Portfolio attempts to achieve its objective by investing
primarily in a diversified portfolio of equity securities selected
principally to permit participation in non-United States companies or foreign
governmental enterprises with prospects for growth. These non-United States
companies may have operations in the United States, in their country of
incorporation and/or in other countries. The International Portfolio intends
to have represented in the Portfolio business activities in not less than
three different countries and may invest anywhere in the world, including
Europe, Canada, Australia, Asia, Latin America and Africa. The International
Portfolio may purchase securities of developing countries, which include,
among others, Mexico, Brazil, Hong Kong, India, Poland, Turkey and South
Africa. The International Portfolio intends to diversify investments among
several countries, although for temporary defensive purposes, the
International Portfolio may at times invest substantially all of its assets
in securities issued by a single major developed country (e.g., the United
States) or in cash or cash equivalents, including money market instruments
issued by that country.
The International Portfolio may invest in any type of investment grade, fixed
income security including, but not limited to, preferred stock, convertible
securities, bonds, notes and other evidences of indebtedness of foreign
issuers, including obligations of foreign governments. The International
Portfolio may also establish and maintain temporary cash balances in U.S. and
foreign short-term high-grade money market instruments for defensive purposes
or to take advantage of buying opportunities. Although no particular
proportion of stocks, bonds or other securities is required to be maintained,
the International Portfolio, in view of its investment objective, intends
under normal market conditions to maintain a portfolio consisting primarily
of a diversified list of equity securities. The International Portfolio may
make loans of up to 50% of its portfolio securities. See "Investment
Techniques--Securities Lending," below. The International Portfolio may write
covered call and put options and may purchase call and put options on
individual equity securities, securities indexes, and foreign currencies. See
"Investment Techniques--Options," below. The International Portfolio may also
purchase and sell stock index, foreign currency and interest rate futures
contracts and options on such contracts, as well as forward foreign currency
exchange contracts. See "Investment Techniques--Forward Foreign Currency
Exchange Contracts," "Investment Techniques--Futures," and "Investment
Techniques--Risk Factors in Options and Futures," below.
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Risk Factors. For a discussion of the risks associated with investments in
foreign securities, see "Investment Techniques--Foreign Securities and
Currencies," below.
AGGRESSIVE STOCK PORTFOLIO--INVESTMENT POLICIES
The Aggressive Stock Portfolio attempts to achieve its objective by investing
primarily in common stocks and other equity-type securities issued by
intermediate and small-sized companies with favorable growth prospects.
The Aggressive Stock Portfolio may also invest a portion of its assets in
securities of companies in cyclical industries, companies whose securities
are temporarily undervalued, companies in special situations and less widely
known companies.
If, in light of economic conditions, it appears that the Aggressive Stock
Portfolio's objective will not be achieved primarily through investments in
common stocks, the Portfolio may also invest in other equity-type securities
(such as preferred stocks and convertible debt instruments) and protective
options. Under certain market conditions, the Aggressive Stock Portfolio may
also invest in corporate fixed income securities, which will generally be
investment grade, or invest part of its assets in cash or cash equivalents
for liquidity or defensive purposes, including money market instruments rated
at least Prime-1 by Moody's or A-1 by S&P. The Aggressive Stock Portfolio may
invest no more than 20% of its total assets in foreign securities. See
"Investment Techniques--Foreign Securities and Currencies," below. The
Portfolio may make secured loans of up to 50% of its total portfolio
securities. See "Investment Techniques--Securities Lending," below. The
Aggressive Stock Portfolio may write covered call options and may purchase
call and put options on individual equity securities, securities indexes and
foreign currencies. The Aggressive Stock Portfolio may also purchase and sell
stock index and foreign currency futures contracts and options thereon. See
"Investment Techniques--Options," "Investment Techniques--Futures" and "Risk
Factors in Options and Futures," below.
Risk Factors. More risk is associated with investment in intermediate and
small-sized companies, because they are often dependent on only one or two
products. They are more vulnerable to competition from larger companies with
greater resources and to economic conditions affecting their market sector.
Intermediate and small-sized companies may be new, without long business or
management histories, and perceived by the market as unproven. Their
securities may be held primarily by insiders or institutional investors,
which may affect marketability. The prices of these stocks often fluctuate
more than the overall stock market.
THE FIXED INCOME SERIES
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MONEY MARKET PORTFOLIO--INVESTMENT POLICIES
The Money Market Portfolio attempts to achieve its objective by investing
primarily in a diversified portfolio of high-quality U.S. dollar-denominated
money market instruments. The instruments in which the Portfolio invests
include: (1) marketable obligations of, or guaranteed by, the U.S.
Government, its agencies or instrumentalities (collectively, the U.S.
Government); (2) certificates of deposit, bankers' acceptances, bank notes,
time deposits and interest bearing savings deposits issued or guaranteed by
(a) domestic banks (including their foreign branches) or savings and loan
associations having total assets of more than $1 billion and which are
members of the Federal Deposit Insurance Corporation (FDIC) in the case of
banks, or insured by the FDIC, in the case of savings and loan associations
or (b) foreign banks (either by their foreign or U.S. branches) having total
assets of at least $5 billion and having an issue of either commercial paper
rated at least A-1 by S&P or Prime-1 by Moody's or long term debt rated at
least AA by S&P or Aa by Moody's; (3) commercial paper (rated at least A-1 by
S&P or Prime-1 by Moody's or, if not rated, issued by domestic or foreign
companies having outstanding debt securities rated at least AA by S&P or Aa
by Moody's) and participation interests in loans extended by banks to such
companies; (4) mortgage-backed securities and asset-backed securities; (5)
corporate debt obligations with remaining maturities of less than one year,
rated at least AA by S&P or Aa by Moody's, as well as corporate debt
obligations rated at least A by S&P or Moody's, provided the corporation also
has outstanding an issue
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of commercial paper rated at least A-1 by S&P or Prime-1 by Moody's; (6)
floating rate or master demand notes; and (7) repurchase agreements covering
securities issued or guaranteed by the U.S. Government, its agencies or
instrumentalities (see "Investment Techniques--Repurchase Agreements,"
below). Time deposits with maturities greater than seven days are considered
to be illiquid securities.
Investments by the Money Market Portfolio are limited to those which present
minimal credit risk. If a security held by the Money Market Portfolio is no
longer deemed to present minimal credit risk, the Money Market Portfolio will
dispose of the security as soon as practicable unless the Trustees determine
that such action would not be in the best interest of the Portfolio.
Purchases of securities that are unrated must be ratified by the Trustees of
the Trust. Because the market value of debt obligations fluctuates as an
inverse function of changing interest rates, the Portfolio seeks to minimize
the effect of such fluctuations by investing only in instruments with a
remaining maturity of 397 calendar days or less at the time of investment,
except for obligations of the U.S. Government, its agencies, and
instrumentalities which may have a remaining maturity of 762 calendar days or
less. The Portfolio will maintain a dollar-weighted average portfolio
maturity of 90 days or less. The Money Market Portfolio may invest up to 20%
of its total assets in U.S. dollar-denominated foreign money market
instruments. See "Investment Techniques--Foreign Securities and Currencies,"
below. The Portfolio may make secured loans of up to 50% of its total
portfolio securities. See "Investment Techniques--Securities Lending," below.
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO--INVESTMENT POLICIES
The Intermediate Government Securities Portfolio (Government Portfolio)
attempts to achieve its investment objective by investing primarily in debt
securities issued or guaranteed as to the timely payment of principal and
interest by the U.S. Government or any of its agencies or instrumentalities
(U.S. Government Securities). The Government Portfolio may also invest in
repurchase agreements and forward commitments related to U.S. Government
Securities. The Portfolio may seek to enhance its current return and may seek
to hedge against changes in interest rates by engaging in transactions
involving related options, futures and options on futures.
The Government Portfolio expects that under normal market conditions it will
invest at least 80% of its total assets in U.S. Government Securities and
repurchase agreements and forward commitments relating to U.S. Government
Securities. U.S. Government Securities include, without limitation, the
following:
o U.S. Treasury Bills--Direct obligations of the U.S. Treasury which
are issued in maturities of one year or less. No interest is paid
on Treasury Bills; instead, they are issued at a discount and
repaid at full face value when they mature. They are backed by the
full faith and credit of the U.S. Government.
o U.S. Treasury Notes--Direct obligations of the U.S. Treasury issued
in maturities which vary between one and ten years, with interest
payable every six months. They are backed by the full faith and
credit of the U.S. Government.
o U.S. Treasury Bonds--These direct obligations of the U.S. Treasury
are issued in maturities more than ten years from the date of
issue, with interest payable every six months. They are backed by
the full faith and credit of the U.S. Government.
o "Ginnie Maes"--Ginnie Maes are debt securities issued by a mortgage
banker or other mortgagee and represent an interest in a pool of
mortgages insured by the Federal Housing Administration or the
Farmer's Home Administration or guaranteed by the Veteran's
Administration. The Government National Mortgage Association (GNMA)
guarantees the timely payment of principal and interest. Ginnie
Maes, although not direct obligations of the U.S. Government, are
guaranteed by the U.S. Treasury.
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o "Fannie Maes"--The Federal National Mortgage Association (FNMA) is
a government-sponsored corporation owned entirely by private
stockholders that purchases residential mortgages from a list of
approved seller/servicers. Pass-through securities issued by FNMA
are guaranteed as to timely payment of principal and interest by
FNMA and supported by FNMA's right to borrow from the U.S.
Treasury, at the discretion of the U.S. Treasury. Fannie Maes are
not backed by the full faith and credit of the U.S. Government.
o "Freddie Macs"--The Federal Home Loan Mortgage Corporation (FHLMC),
a corporate instrumentality of the U.S. Government, issues
participation certificates (PCs) which represent an interest in
residential mortgages from FHLMC's National Portfolio. FHLMC
guarantees the timely payment of interest and ultimate collection
of principal, but PCs are not backed by the full faith and credit
of the U.S. Government.
o Governmental Collateralized Mortgage Obligations--These are
securities issued by a U.S. Government instrumentality or agency
which are backed by a portfolio of mortgages or mortgage-backed
securities held under an indenture. See "Other Investments," below.
o "Sallie Maes"--The Student Loan Marketing Association (SLMA) is a
government-sponsored corporation owned entirely by private
stockholders that provides liquidity for banks and other
institutions engaged in the Guaranteed Student Loan Program. These
loans are either directly guaranteed by the U.S. Treasury or
guaranteed by state agencies and reinsured by the U.S. Government.
SLMA issues both short term notes and longer term public bonds to
finance its activities.
The Portfolio may also invest in "zero coupon" U.S. Government Securities
which have been stripped of their unmatured interest coupons and receipts or
in certificates representing undivided interests in such stripped U.S.
Government Securities and coupons. These securities tend to be more volatile
than other types of U.S. Government Securities.
Guarantees of the Portfolio's securities by the U.S. Government or its
agencies or instrumentalities guarantee only the payment of principal at
maturity and interest when due on the guaranteed securities, and do not
guarantee the securities' yield or value or the yield or value of the
Government Portfolio's shares.
The Portfolio buys and sells securities with a view to maximizing current
return without, in the view of the investment adviser, undue risk to
principal. Potential capital gains resulting from possible changes in
interest rates will not be a major consideration. The Portfolio may take full
advantage of a wide range of maturities of U.S. Government Securities and may
adjust the dollar-weighted average maturity of its portfolio from time to
time, depending on its assessment of relative yields on securities of
different maturities and the expected effect of future changes in interest
rates on the market value of the Portfolio's portfolio. However, at all
times, each instrument in the Portfolio will have either a final maturity of
not more than ten years or a duration not exceeding that of a 10-year
Treasury note. Duration is a measure that relates the price volatility of a
security to changes in interest rates. The duration of a security is the
weighted average term to maturity, expressed in years, of the present value
of all future cash flows, including coupon payments and principal repayments.
Thus, by definition, duration is always less than or equal to full maturity.
As of December 31, 1995, the duration of a 10-year Treasury bond was
considered to be 5.61 years. The Portfolio may also invest a substantial
portion of its assets in money market instruments. See "Investment
Techniques--Certain Money Market Instruments," below.
It is a fundamental policy of the Government Portfolio that under normal
market conditions it will invest at least 65% of its total assets in U.S.
Government Securities and repurchase agreements and forward commitments
relating to U.S. Government Securities.
Other Investments. The Government Portfolio may also purchase collateralized
mortgage obligations (CMOs) issued by non-governmental issuers and securities
issued by a real estate mortgage investment conduit (REMIC). See "Investment
Techniques--Mortgage-Backed and Asset-Backed Securities," below. The
Government Portfolio will purchase only CMOs collateralized by U.S.
Government Securities. However, CMOs issued by entities other than U.S.
Government agencies or instrumentalities
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and securities issued by REMICs are not considered U.S. Government Securities
for purposes of the investment policies of the Government Portfolio even
though the CMOs may be collateralized by U.S. Government Securities. Such
securities will generally be investment grade. In the event such securities
fall below investment grade, the Portfolio will not be obligated to dispose
of such securities and may continue to hold such securities if, in the
opinion of the investment adviser, such investment is considered appropriate
under the circumstances.
In order to enhance its current return and to reduce fluctuations in net
asset value, the Portfolio may write call and put options on U.S. Government
Securities which are "covered" as described herein and may purchase call and
put options on U.S. Government Securities. The Portfolio may also enter into
interest rate futures contracts with respect to U.S. Government Securities,
and may write and purchase options thereon. See "Investment
Techniques--Options" and "Investment Techniques--Futures," below.
The Portfolio may also enter into forward commitments for the purchase of
U.S. Government Securities, purchase such securities on a when-issued or
delayed delivery basis, make secured loans of its portfolio securities
without limitation and enter into repurchase agreements with respect to U.S.
Government Securities with commercial banks and registered broker-dealers.
See "Investment Techniques--Forward Commitments and When-Issued and Delayed
Delivery Securities," below.
The Portfolio may make short sales involving either securities retained in
the Portfolio's portfolio or securities which the Portfolio has the absolute
right to acquire without additional consideration.
Special Considerations. U.S. Government Securities are considered among the
safest of fixed income investments. As a result, however, their yields are
generally lower than the yields available from corporate debt securities. As
with other mutual funds, the value of the Portfolio's shares will fluctuate
with the value of its investments. The value of the Portfolio's investments
will change as the general level of interest rates fluctuates. During periods
of falling interest rates, the values of U.S. Government Securities generally
rise. Conversely, during periods of rising interest rates, the values of U.S.
Government Securities generally decline. In an effort to preserve the capital
of the Portfolio when interest rates are generally rising, the investment
adviser may shorten the average maturity of the U.S. Government Securities in
the Portfolio's portfolio. Because the principal values of U.S. Government
Securities with shorter maturities are less affected by rising interest
rates, a portfolio with a shorter average maturity will generally diminish
less in value during such periods than a portfolio of longer average
maturity. Since U.S. Government Securities with shorter maturities, however,
generally have a lower yield to maturity, the Portfolio's current return
based on its net asset value will generally be lower as a result of such
action than it would have been had such action not been taken. Ginnie Maes
and other mortgage-backed or mortgage related securities in which the
Portfolio invests may not be an effective means of "locking in" favorable
long-term interest rates since the Portfolio must reinvest scheduled and
unscheduled principal payments relating to such securities. At the time
principal payments or prepayments are received by the Portfolio and
reinvested, prevailing interest rates may be higher or lower than the
Portfolio's current yield.
At times when the Portfolio has written call options, its ability to profit
from declining interest rates will be limited. Any resulting appreciation in
the value of the Portfolio would likely be partially or wholly offset by the
losses on call options written by the Portfolio. The termination of option
positions under such conditions would result in the realization of capital
losses, which would reduce the amounts available for distribution to
shareholders.
QUALITY BOND PORTFOLIO--INVESTMENT POLICIES
The Quality Bond Portfolio expects to invest in readily marketable securities
with relatively attractive yields, but which do not, in the opinion of the
Trust's investment adviser, involve undue risk of loss of capital. The
Quality Bond Portfolio will follow a policy of investing at least 65% of its
total assets in securities which at the time of purchase are rated at least
Baa by Moody's or BBB by S&P, or in unrated fixed income securities
determined by the investment adviser to be of comparable quality. In the
event that the credit rating of a security held by the Quality Bond Portfolio
falls below investment grade (or, in the case of unrated securities, the
investment adviser determines that the quality of such security has
deteriorated below investment grade), the Quality Bond Portfolio will not be
obligated to dispose of such
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security and may continue to hold the obligation if, in the opinion of the
investment adviser, such investment is considered appropriate in the
circumstances. The Quality Bond Portfolio will also seek to maintain an
average aggregate quality rating of its portfolio securities of at least A
(Moody's and S&P). For more information concerning the bond ratings assigned
by Moody's and S&P, see Appendix B.
The Quality Bond Portfolio has complete flexibility as to the types of
securities in which it will invest and the relative proportions thereof, and
the Quality Bond Portfolio plans to vary the proportions of its holdings of
long- and short-term fixed income securities (including debt securities,
convertible debt securities and U.S. Government obligations) and preferred
stocks in order to reflect its assessment of prospective cyclical changes
even if such action may adversely affect current income. The Quality Bond
Portfolio will not, however, invest more than 5% of its total assets in the
securities of any one issuer, excepting U.S. Government obligations, although
up to 25% of the total assets of the Portfolio may be invested without regard
to this restriction. Further, the Quality Bond Portfolio will not own more
than 10% of the outstanding voting securities of any issuer.
The Quality Bond Portfolio may invest in foreign securities. The Quality Bond
Portfolio will not invest more than 20% of its total assets in securities
denominated in currencies other than the U.S. dollar. See "Investment
Techniques--Foreign Securities and Currencies," below. The Quality Bond
Portfolio may enter into foreign currency futures contracts (and related
options), forward foreign currency exchange contracts and options on foreign
currencies for hedging purposes. See "Investment Techniques--Forward Foreign
Currency Exchange Contracts," below.
For temporary defensive purposes, the Quality Bond Portfolio may invest in
certain money market instruments. See "Investment Techniques--Certain Money
Market Instruments," below.
The Quality Bond Portfolio may purchase put and call options written by
others and write covered put and call options overlying the types of
securities in which the Quality Bond Portfolio may invest. The Quality Bond
Portfolio also intends to write covered call options for cross-hedging
purposes. A call option is for cross-hedging purposes if it is designed to
provide a hedge against a decline in value of another security which the
Portfolio owns or has the right to acquire. See "Investment
Techniques--Options," below.
Interest Rate Transactions. The Quality Bond Portfolio may seek to protect
the value of its investments from interest rate fluctuations by entering into
various hedging transactions, such as interest rate swaps and the purchase or
sale of interest rate caps and floors. The Portfolio expects to enter into
these transactions primarily to preserve a return or spread on a particular
investment or portion of its portfolio. The Quality Bond Portfolio may also
enter into these transactions to protect against an increase in the price of
securities the Portfolio anticipates purchasing at a later date. The Quality
Bond Portfolio intends to use these transactions as a hedge and not as a
speculative investment. Interest rate swaps involve the exchange by the
Quality Bond Portfolio with another party of their respective commitments to
pay or receive interest, e.g., an exchange of floating rate payments for
fixed rate payments. The purchase of an interest rate cap entitles the
purchaser, to the extent that a specified index exceeds a predetermined
interest rate, to receive payments on a notional principal amount from the
party selling such interest rate cap. The purchase of an interest rate floor
entitles the purchaser, to the extent that a specified index falls below a
predetermined interest rate, to receive payments of interest on a notional
principal amount from the party selling such interest rate floor.
The Quality Bond Portfolio may enter into interest rate swaps, caps and
floors on either an asset-based or liability-based basis depending on whether
it is hedging its assets or its liabilities, and will only enter into such
swaps, caps and floors on a net basis, i.e., the two payment streams are
netted out, with the Quality Bond Portfolio receiving or paying, as the case
may be, only the net amount of the two payments. The net amount of the
excess, if any, of the Quality Bond Portfolio's obligations over its
entitlements with respect to each interest rate swap, cap or floor will be
accrued on a daily basis and an amount of cash or liquid securities having an
aggregate net asset value at least equal to the accrued excess will be
maintained in a segregated account by the custodian. The Quality Bond
Portfolio will not enter into any interest rate swap, cap or floor
transaction unless the unsecured senior debt or the claims-paying ability of
the other party thereto is rated in the highest rating category of at least
one NRSRO at the time of entering into
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such transaction. If there is a default by the other party to such a
transaction, the Quality Bond Portfolio will have contractual remedies
pursuant to the agreements related to the transaction. The swap market has
grown substantially in recent years with a large number of banks and
investment banking firms acting both as principals and agents. As a result,
the swap market has become well established and provides a degree of
liquidity. Caps and floors are more recent innovations which tend to be less
liquid than swaps.
Zero Coupon Securities. To the extent consistent with its investment
objective, the Quality Bond Portfolio may invest in "zero coupon" securities,
which are debt securities that have been stripped of their unmatured interest
coupons, and receipts or certificates representing interests in such stripped
debt obligations and coupons. A zero coupon security pays no interest to its
holder during its life. Its value to an investor consists of the difference
between its face value at the time of maturity and the price for which it was
acquired, which is generally an amount significantly less than its face
value. Accordingly, such securities usually trade at a deep discount from
their face or par value and will be subject to greater fluctuations of market
value in response to changing interest rates than debt obligations of
comparable maturities that make current distributions of interest. The
Quality Bond Portfolio may also invest in "pay-in-kind" debentures (i.e.,
debt obligations the interest on which may be paid in the form of additional
obligations of the same type rather than cash) which have characteristics
similar to zero coupon securities.
The Quality Bond Portfolio may invest in collateralized mortgage obligations
or CMOs. See "Investment Techniques--Mortgage-Backed and Asset-Backed
Securities," below. The Portfolio may purchase and sell interest rate futures
contracts and options thereon and may make loans of securities with a value
of up to 50% of its total assets. See "Investment Techniques--Futures,"
"Investment Techniques--Risk Factors in Options and Futures" and "Investment
Techniques--Securities Lending," below.
HIGH YIELD PORTFOLIO--INVESTMENT POLICIES
The High Yield Portfolio attempts to achieve its objective by investing
primarily in a diversified mix of high yield, fixed income securities
potentially involving greater volatility of price and risk of principal and
income than high quality fixed income securities.
Ordinarily, the Portfolio will invest a portion of its funds in fixed income
securities which have a high current yield and that are either rated in the
lower categories of NRSROs (i.e., rated Baa or lower by Moody's or BBB or
lower by S&P) or are unrated. The Portfolio may also make temporary
investments in money market instruments of the same type as the Money Market
Portfolio. The Portfolio will not invest more than 10% of its total assets in
(i) fixed income securities which are rated lower than B3 or B- or their
equivalents by one NRSRO or if unrated are of equivalent quality as
determined by the investment adviser, and (ii) money market instruments of
any entity which has an outstanding issue of unsecured debt that is rated
lower than B3 or B- or their equivalents by an NRSRO or if unrated is of
equivalent quality as determined by the investment adviser; however, this
restriction will not apply to (i) fixed income securities which, in the
opinion of the investment adviser, have similar characteristics to securities
which are rated B3 or higher by Moody's or B- or higher by S&P, or (ii) money
market instruments of any entity that has an unsecured issue of outstanding
debt which, in the opinion of the investment adviser, has similar
characteristics to securities which are so rated. See Appendix B,
"Description of Bond Ratings," for a description of each rating category. In
the event that any securities held by the High Yield Portfolio fall below
those ratings, the Portfolio will not be obligated to dispose of such
securities and may continue to hold such securities if, in the opinion of the
investment adviser, such investment is considered appropriate under the
circumstances.
For the fiscal year ended December 31, 1995, the approximate percentages of
the Portfolio's average assets invested in securities of each rating
category, determined on a dollar weighted basis, were as follows: 6.2% in
securities rated AAA or its equivalent, 25.2% in securities rated BB or its
equivalent and 65.5% in securities rated B or its equivalent. Of these
securities, 98.4% were rated by an NRSRO and 1.6% were unrated. All of the
unrated securities were considered by the investment adviser to be of
comparable quality to the Portfolio's investments rated by an NRSRO.
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The Portfolio may also invest in fixed income securities which are providing
high current yields because of risks other than credit, such as prepayment
risks, in the case of mortgage-backed securities, or currency risks, in the
case of non-U.S. dollar denominated foreign securities. Smaller amounts may
also be invested in common stocks and other equity-type securities (such as
convertible debt securities). See "Investment Techniques--Fixed Income
Securities" and "Investment Techniques--Risk Factors of Lower Rated Fixed
Income Securities," below.
The High Yield Portfolio will be managed to maximize current income by taking
advantage of market developments, yield disparities and variations in the
creditworthiness of issuers. Substantially all of the Portfolio's investments
will be income producing. The Portfolio will use various strategies in
attempting to achieve its objective. The Portfolio may make secured loans of
its portfolio securities without limitation. See "Investment
Techniques--Securities Lending," below. In order to enhance its current
return and to reduce fluctuations in net asset value, the Portfolio may write
covered call and put options and may purchase call and put options on
individual fixed income securities, securities indexes and foreign
currencies. The Portfolio may also purchase and sell stock index, interest
rate and foreign currency futures contracts and options thereon. See
"Investment Techniques--Options," "Investment Techniques-- Futures," and
"Risk Factors in Options and Futures," below.
INVESTMENT TECHNIQUES
The Portfolios have the flexibility to invest, within limits, in a variety of
instruments designed to enhance their investment capabilities. All of the
Portfolios, other than the Equity Index Portfolio, may make investments in
repurchase agreements, and all of the Portfolios may purchase or sell
securities on a when-issued, delayed delivery or forward commitment basis.
The Portfolios, other than the Money Market and the Equity Index Portfolios,
may write (i.e., sell) covered put and call options and buy put and call
options on securities and securities indexes. The Portfolios, other than the
Money Market, Equity Index and Government Portfolios, may also write covered
put and call options and buy put and call options on foreign currencies. The
Balanced, Common Stock, Aggressive Stock, High Yield, Global, International,
Conservative Investors, Growth Investors, Government, Quality Bond, Growth
and Income and Equity Index Portfolios may use exchange-traded financial
futures contracts, and options thereon. A brief description of certain of
these investment instruments and their risks appears below. More detailed
information is to be found in the SAI.
MORTGAGE-BACKED AND ASSET-BACKED SECURITIES
The Portfolios, other than the Equity Index Portfolio, may invest in
mortgage-backed securities, which are mortgage loans made by banks, savings
and loan institutions and other lenders that are assembled into pools, that
are (i) issued by an agency of the U.S. Government (such as GNMA) whose
securities are guaranteed by the U.S. Treasury, (ii) issued by an
instrumentality of the U.S. Government (such as FNMA) whose securities are
supported by the instrumentality's right to borrow from the U.S. Treasury, at
the discretion of the U.S. Treasury, though not backed by the full faith and
credit of the U.S. Government itself, or (iii) collateralized by U.S.
Treasury obligations or U.S. Government agency securities. Interests in such
pools are described in this prospectus as mortgage-backed securities. The
Portfolios, other than the Equity Index Portfolio, may invest in (i)
mortgage-backed securities, including GNMA, FNMA and FHLMC certificates, (ii)
CMOs that are issued by non-governmental entities and collateralized by U.S.
Treasury obligations or by U.S. Government agency or instrumentality
securities, (iii) REMICs and (iv) other asset-backed securities. Other
asset-backed securities (unrelated to mortgage loans) may include securities
such as certificates for automobile receivables (CARS) and credit card
receivable securities (CARDS) as well as other asset-backed securities that
may be developed in the future.
The rate of return on mortgage-backed securities, such as GNMA, FNMA and
FHLMC certificates and CMOs, and, to a lesser extent, asset-backed securities
may be affected by early prepayment of principal on the underlying loans or
receivables. Prepayment rates vary widely and may be affected by changes in
market interest rates. It is not possible to accurately predict the average
life of a particular mortgage pool or pool of loans or receivables.
Reinvestment of principal may occur at higher or lower rates than the
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original yield. Therefore, the actual maturity and realized yield on
mortgage-backed securities and, to a lesser extent, asset-backed securities
will vary based upon the prepayment experience of the underlying pool of
mortgages or pool of loans or receivables.
The fixed rate mortgage-backed and asset-backed securities in which the Money
Market Portfolio invests will have remaining maturities of less than one
year. The Portfolios may also invest in floating or variable rate
mortgage-backed and asset-backed securities on the same terms as they may
invest in floating or variable rate notes, described below under "Certain
Money Market Instruments."
CERTAIN MONEY MARKET INSTRUMENTS
All of the Portfolios may utilize money market instruments, including
certificates of deposit, time deposits, bankers' acceptances, bank notes and
other short-term debt obligations issued by commercial banks and certificates
of deposit, time deposits, and other short-term obligations issued by savings
and loan associations (S&Ls). Certificates of deposit are receipts from a
bank or an S&L for funds deposited for a specified period of time at a
specified rate of return. Time deposits in banks or S&Ls are generally
similar to certificates of deposit, but are uncertificated. Bankers'
acceptances are time drafts drawn on commercial banks by borrowers, usually
in connection with international commercial transactions.
The Portfolios, other than the Equity Index Portfolio, may also use
commercial paper, meaning short-term, unsecured promissory notes issued by
corporations to finance their short-term credit needs. In addition, these
Portfolios may invest in variable or floating rate notes. Variable and
floating rate notes provide for automatic establishment of a new interest
rate at fixed periodic intervals (e.g., daily, monthly) or whenever some
specified interest rate changes. The interest rate on variable or floating
rate securities is ordinarily determined by reference to some other objective
measure such as the U.S. Treasury bill rate. Many floating rate notes have
put or demand features which allow the holder to put the note back to the
issuer or the broker who sold it at certain specified times and upon notice.
Floating rate notes without such a put or demand feature, or in which the
notice period is greater than seven days, may be considered illiquid
securities.
FIXED INCOME SECURITIES
Fixed income securities include preferred and preference stocks and all types
of debt obligations of both domestic and foreign issuers (such as bonds,
debentures, notes, equipment lease certificates, equipment trust
certificates, conditional sales contracts, commercial paper, mortgage-backed
securities and obligations issued or guaranteed by the U.S. Government, its
agencies or instrumentalities).
Corporate debt securities may bear fixed, contingent or variable rates of
interest and may involve equity features, such as conversion or exchange
rights or warrants for the acquisition of stock of the same or a different
issuer or participation based on revenues, sales or profits or the purchase
of common stock in a unit transaction (where corporate debt securities and
common stock are offered as a unit).
RISK FACTORS OF LOWER RATED FIXED INCOME SECURITIES
Fixed income investments that have a high current yield and that are either
rated in the lower categories by NRSROs (i.e., Baa or lower by Moody's or BBB
or lower by S&P) or are unrated are known as "junk bonds" and are regarded as
predominantly speculative with respect to the issuer's continuing ability to
meet principal and interest payments. Because investment in medium and lower
quality bonds involves greater investment risk, achievement of a Portfolio's
investment objective will be more dependent on the investment adviser's
analysis than would be the case if that Portfolio were investing in higher
quality bonds. Medium and lower quality bonds may be more susceptible to real
or perceived adverse economic and individual corporate developments than
would investment grade bonds. For example, a projected economic downturn or
the possibility of an increase in interest rates could cause a decline in
high yield bond prices because such an event might lessen the ability of
highly leveraged high yield issuers to meet their principal and interest
payment obligations, meet projected business goals or obtain additional
financing. In addition, the secondary trading market for medium and lower
quality bonds may be less liquid than the market for investment grade bonds.
This potential lack of liquidity may make it more
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difficult for the investment adviser to value accurately certain portfolio
securities. Further, as with many corporate bonds (including investment grade
issues), there is the risk that certain high yield bonds containing
redemption or call provisions may be called by the issuers of such bonds in a
declining interest rate market, and the relevant Portfolio would then have to
replace such called bonds with lower yielding bonds, thereby decreasing the
net investment income to the Portfolio. Prepayment of mortgages underlying
mortgage-backed securities, even though these securities will generally be
rated in the higher categories of NRSROs, may reduce their current yield and
total return. However, the Trust's investment adviser intends to invest in
these securities only when the potential benefits to a Portfolio are deemed
to outweigh the risks.
REPURCHASE AGREEMENTS
In repurchase agreements, a Portfolio buys securities from a seller, usually
a bank or brokerage firm, with the understanding that the seller will
repurchase the securities at a higher price at a future date. During the term
of the repurchase agreement, the Portfolio's custodian retains the securities
subject to the repurchase agreement as collateral securing the seller's
repurchase obligation, continually monitors on a daily basis the market value
of the securities subject to the agreement and requires the seller to deposit
with the Portfolio's custodian collateral equal to any amount by which the
market value of the securities subject to the repurchase agreement falls
below the resale amount provided under the repurchase agreement. The
creditworthiness of sellers is determined by the investment adviser, subject
to direction of and review by the Board of Trustees. Such transactions afford
an opportunity for the Portfolio to earn a fixed rate of return on available
cash at minimal market risk, although the Portfolio may be subject to various
delays and risks of loss if the seller is unable to meet its obligation to
repurchase. The staff of the SEC currently takes the position that repurchase
agreements maturing in more than seven days are illiquid securities. No
Portfolio will enter into a repurchase agreement if as a result more than 15%
of the Portfolio's net assets would be invested in "illiquid securities"
(except that the limitation is 10% for the Money Market Portfolio).
LOAN ASSIGNMENTS AND PARTICIPATIONS
The High Yield Portfolio may invest in participations and assignments of
loans to corporate, governmental, or other borrowers originally made by
institutional lenders or lending syndicates. These investments are subject to
the same risks associated with fixed income securities generally. For
example, loans to foreign governments will involve a risk that the
governmental entities responsible for the repayment of the loan may be
unable, or unwilling, to pay interest and repay principal when due. In
addition, loan participations and assignments may have a lower yield because
they are often not rated and may also be less liquid than other debt
interests.
Even if the loans are secured, there is no assurance that the liquidation of
collateral from a secured loan would satisfy the borrower's obligation, or
that the collateral can be liquidated. Also, if a loan is foreclosed, the
Portfolio could become part owner of any collateral, and would bear the costs
and liabilities associated with owning and disposing of the collateral. In
addition, it is conceivable that under emerging legal theories of lender
liability, the Portfolio could be held liable as a co-lender.
A loan is often administered by a bank or other financial institution that
acts as agent for all holders. The agent administers the terms of the loan,
as specified in the loan agreement. Unless, under the terms of the loan or
other indebtedness, the Portfolio has direct recourse against the borrower
(usually not the case with loan participations), it may have to rely on the
agent to apply appropriate credit remedies against a borrower. Consequently,
loan participations may also be adversely affected by the insolvency of the
lending bank or other intermediary.
FORWARD COMMITMENTS AND WHEN-ISSUED AND DELAYED DELIVERY SECURITIES
The Portfolios may enter into forward commitments for the purchase or sale of
securities and may purchase and sell securities on a when-issued or delayed
delivery basis. Forward commitments and when-issued or delayed delivery
transactions arise when securities are purchased or sold by a Portfolio with
27
<PAGE>
payment and delivery taking place in the future in order to secure what is
considered to be an advantageous price or yield to the Portfolio at the time
of entering into the transaction. However, the market value of such
securities may be more or less than the purchase price payable at settlement.
No payment or delivery is made by the Portfolio until it receives delivery or
payment from the other party to the transaction. When a Portfolio engages in
forward commitments or when-issued or delayed delivery transactions, the
Portfolio relies on the other party to consummate the transaction. Failure to
consummate the transaction may result in the Portfolio missing the
opportunity of obtaining a price or yield considered to be advantageous.
Forward commitments and when-issued and delayed delivery transactions are
generally expected to settle within three months from the date the
transactions are entered into, although the Portfolio may close out its
position prior to the settlement date. The Portfolio's custodian will
maintain, in a segregated account of the Portfolio, cash, U.S. Government
securities or other liquid high-grade debt obligations having a value equal
to or greater than the Portfolio's purchase commitments; the custodian will
likewise segregate securities sold under a forward commitment or on a delayed
delivery basis. A Portfolio will sell on a forward settlement basis only
securities it owns or has the right to acquire.
OPTIONS
The Portfolios, other than the Money Market and the Equity Index Portfolios,
may write (sell) covered put and call options and buy put and call options,
including options relating to individual securities and securities indexes.
The Portfolios, other than the Money Market, Government and Equity Index
Portfolios, may also write covered put and call options and buy put and call
options on foreign currencies.
A call option is a contract that gives to the holder the right to buy a
specified amount of the underlying security at a fixed or determinable price
(called the exercise or strike price) upon exercise of the option. A put
option is a contract that gives the holder the right to sell a specified
amount of the underlying security at a fixed or determinable price upon
exercise of the option. In the case of index options, exercises are settled
through the payment of cash rather than the delivery of property. A call
option on a security will be considered covered, for example, if the
Portfolio holds the security upon which the option is written. The Portfolios
may write call options on securities or securities indexes for the purpose of
increasing their return or to provide a partial hedge against a decline in
the value of their portfolio securities or both. The Portfolios may write put
options on securities or securities indexes in order to earn additional
income or (in the case of put options written on individual securities) to
purchase the underlying security at a price below the current market price.
If a Portfolio writes an option which expires unexercised or is closed out by
the Portfolio at a profit, it will retain all or part of the premium received
for the option, which will increase its gross income. If the option is
exercised, the Portfolio will be required to sell or purchase the underlying
security at a disadvantageous price, or, in the case of index options,
deliver an amount of cash, which loss may only be partially offset by the
amount of premium received. Each of the Portfolios noted above may also
purchase put or call options on securities and securities indexes in order to
hedge against changes in interest rates or stock prices which may adversely
affect the prices of securities that the Portfolio wants to purchase at a
later date, to hedge its existing investments against a decline in value, or
to attempt to reduce the risk of missing a market or industry segment
advance. In the event that the expected changes in interest rates or stock
prices occur, the Portfolio may be able to offset the resulting adverse
effect on the Portfolio by exercising or selling the options purchased. The
premium paid for a put or call option plus any transaction costs will reduce
the benefit, if any, realized by the Portfolio upon exercise or liquidation
of the option. Unless the price of the underlying security or level of the
securities index changes by an amount in excess of the premium paid, the
option may expire without value to the Portfolio. See "Risk Factors in
Options and Futures," below.
Options purchased or written by the Portfolios may be traded on the national
securities exchanges or negotiated with a dealer. Options traded in the
over-the-counter market may not be as actively traded as those on an
exchange, so it may be more difficult to value such options. In addition, it
may be difficult to enter into closing transactions with respect to such
options. Such options, and the securities used as "cover" for such options,
may be considered illiquid securities.
28
<PAGE>
In instances in which a Portfolio has entered into agreements with primary
dealers with respect to the over-the-counter options it has written, and such
agreements would enable the Portfolio to have an absolute right to repurchase
at a pre-established formula price the over-the-counter option written by it,
the Portfolio would treat as illiquid securities only the amount equal to the
formula price described above less the amount by which the option is
"in-the-money," i.e., the amount by which the price of the option exceeds the
exercise price.
The Portfolios, except the Money Market, Government and Equity Index
Portfolios, may purchase put and call options and write covered put and call
options on foreign currencies for the purpose of protecting against declines
in the dollar value of portfolio securities and against increases in the
dollar cost of securities to be acquired. Such investment strategies will be
used as a hedge and not for speculation. As in the case of other types of
options, however, the writing of an option on foreign currency will
constitute only a partial hedge, up to the amount of the premium received,
and the Portfolio could be required to purchase or sell foreign currencies at
disadvantageous exchange rates, thereby incurring losses. The purchase of an
option on foreign currency may constitute an effective hedge against
fluctuations in exchange rates although, in the event of rate movements
adverse to the Portfolio's position, it may forfeit the entire amount of the
premium plus related transaction costs. Options on foreign currencies may be
traded on the national securities exchanges or in the over-the-counter
market. As described above, options traded in the over-the-counter market may
not be as actively traded as those on an exchange, so it may be more
difficult to value such options. In addition, it may be difficult to enter
into closing transactions with respect to options traded over-the-counter.
FUTURES
The High Yield, Global, International, Conservative Investors, Growth
Investors, Government, Balanced and Quality Bond Portfolios may each purchase
and sell futures contracts and related options on debt securities and on
indexes of debt securities to hedge against anticipated changes in interest
rates that might otherwise have an adverse effect on the value of their
assets or assets they intend to acquire. In addition, each Portfolio listed
above (except the Government and Quality Bond Portfolios) as well as the
Common Stock, Aggressive Stock and Growth and Income Portfolios may purchase
and sell stock index futures contracts and related options to hedge the
equity portion of its assets or equity assets it intends to acquire with
regard to market risk as distinguished from stock-specific risk. In the case
of the Equity Index Portfolio, futures contracts and related options on the
S&P 500 Index may be purchased in order to reduce brokerage costs, maintain
liquidity to meet shareholder redemptions or minimize tracking error. As
described below under "Foreign Securities and Currencies," the High Yield,
Global, International, Conservative Investors, Growth Investors, Balanced,
Common Stock, Aggressive Stock, Quality Bond and Growth and Income Portfolios
may each enter into futures contracts and related options on foreign
currencies in order to limit its exchange rate risk. All futures contracts
and related options will be traded on exchanges that are licensed and
regulated by the Commodity Futures Trading Commission (CFTC). All of the
Portfolios, except the Money Market Portfolio, may enter into futures
contracts and buy and sell related options without limitation, except as
noted below. Pursuant to regulations of the CFTC which provide an exemption
from registration as a commodity pool operator, a Portfolio will not purchase
or sell futures contracts or options on futures contracts unless either (i)
the futures contracts or options thereon are for "bona fide hedging" purposes
(as that term is defined under the CFTC regulations) or (ii) if for other
purposes, the sum of amounts of initial margin deposits and premiums required
to establish non-hedging positions would not exceed 5% of the Portfolio's
liquidation value. In addition, the contract value of futures contracts
purchased by the Equity Index Portfolio plus the contract value of futures
contracts underlying call options purchased by the Equity Index Portfolio
will not exceed 20% of the Equity Index Portfolio's total assets. When a
Portfolio purchases or sells a futures contract or writes a put or call
option on a futures contract, the Portfolio will segregate with its custodian
cash or cash equivalents (less any related margin deposits) equal to the cost
of the futures contract it intends to sell or purchase to insure that such
futures positions are not leveraged, or may otherwise cover such positions.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
All the Portfolios, except the Money Market, Government and Equity Index
Portfolios, may enter into contracts for the purchase or sale of a specific
currency at a future date at a price set at the time of the contract.
29
<PAGE>
Generally, such forward contracts will be for a period of less than three
months. The Portfolios will enter into forward contracts for hedging purposes
only. These transactions will include forward purchases or sales of foreign
currencies for the purpose of protecting the dollar value of securities
denominated in a foreign currency or protecting the dollar equivalent of
interest or dividends to be paid on such securities. Forward contracts are
traded in the inter-bank market, and not on organized commodities or
securities exchanges.
RISK FACTORS IN OPTIONS AND FUTURES
To the extent a hedging transaction is effective, it will protect the value
of the securities or currencies which are hedged but may reduce or eliminate
the potential for gain. The effectiveness of a hedge depends, among other
things, on the correlation between the price movements of the hedging vehicle
and the hedged items, but these correlations generally are imperfect. A
hedging transaction may produce a loss as a result of such imperfect
correlations or for other reasons. The risks of trading futures contracts
also include the risks of inability to effect closing transactions or to do
so at favorable prices; consequently, losses from investing in futures
contracts are potentially unlimited. The risks of option trading include
possible loss of the entire premium on purchased options and inability to
effect closing transactions at favorable prices. The extent to which a
Portfolio can benefit from investments involving options and futures
contracts may also be limited by various tax rules. Favorable results from
options and futures transactions may depend on the investment adviser's
ability to predict correctly the direction of securities prices, interest
rates and other economic factors.
FOREIGN SECURITIES AND CURRENCIES
All of the Portfolios, except the Government and Equity Index Portfolios, may
invest in foreign securities. Investments in foreign securities may involve a
higher degree of risk because of limited publicly available information,
non-uniform accounting, auditing and financial standards, reduced levels of
government regulation of foreign securities markets, difficulties and delays
in transaction settlements, lower liquidity and greater volatility,
withholding or confiscatory taxes, changes in currency exchange rates,
currency exchange control regulations and restrictions on and the costs
associated with the exchange of currencies and expropriation, nationalization
or other adverse political or economic developments. It may also be more
difficult to obtain and enforce a judgment against a foreign issuer or
enterprise and there may be difficulties in effecting the repatriation of
capital invested abroad. In addition, banking, securities and other business
operations abroad may not be subject to regulation as rigorous as that
applicable to similar activities in the United States. Further, there may be
restrictions on foreign investment in some countries. Special tax
considerations apply to foreign securities, and foreign brokerage commissions
and other fees are generally higher than in the United States.
The Portfolios may buy and sell foreign currencies principally for the
purpose of preserving the value of foreign securities or in anticipation of
purchasing foreign securities.
SECURITIES LENDING
For purposes of realizing additional income, each Portfolio may lend
securities with a value of up to 50% of its total assets to broker-dealers
approved by the Board of Trustees. In addition, the High Yield and Government
Portfolios may each make secured loans of its portfolio securities without
restriction. Any such loan of portfolio securities will be continuously
secured by collateral at least equal to the value of the security loaned.
Such collateral will be in the form of cash, marketable securities issued or
guaranteed by the U.S. Government or its agencies, or a standby letter of
credit issued by qualified banks. The risks in lending portfolio securities,
as with other extensions of secured credit, consist of possible delay in
receiving additional collateral or in the recovery of the securities or
possible loss of rights in the collateral should the borrower fail
financially. Loans will only be made to firms deemed by the investment
adviser to be of good standing and will not be made unless, in the judgment
of the investment adviser, the consideration to be earned from such loans
would justify the risk.
30
<PAGE>
CERTAIN INVESTMENT RESTRICTIONS
The following restrictions apply to all of the Portfolios, unless otherwise
stated, and are fundamental. Unless permitted by law, they will not be
changed for any Portfolio without a vote of that Portfolio's shareholders.
Additional investment restrictions appear in the SAI.
None of the Portfolios will make loans, except that this restriction shall
not apply to secured loans of portfolio securities by each of the Portfolios.
Each Portfolio, other than the High Yield and Government Portfolios, may make
loans of portfolio securities not exceeding 50% of the value of that
Portfolio's total assets. This restriction does not prevent a Portfolio from
purchasing debt obligations in which a Portfolio may invest consistent with
its investment policies, or from buying government obligations, short-term
commercial paper or publicly traded debt, including bonds, notes, debentures,
certificates of deposit, and equipment trust certificates, nor does this
restriction apply to loans made under insurance policies or through entry
into repurchase agreements to the extent they may be viewed as loans. The
High Yield and Government Portfolios may make secured loans of portfolio
securities or cash without limitation.
Each Portfolio, except as noted below, elects not to "concentrate"
investments in an industry, as that concept is defined under applicable
federal securities laws. In general, this means that no Portfolio will make
an investment in an industry if that investment would make the Portfolio's
holding in that industry exceed 25% of the Portfolio's total assets. However,
this restriction does not apply to investments by the Money Market Portfolio
in certificates of deposit or securities issued and guaranteed by domestic
banks. Furthermore, the United States Government, its agencies and
instrumentalities are not considered members of any industry for purposes of
this restriction.
Each Portfolio intends to be "diversified," as that term is defined under
applicable Federal securities laws. In general, this means that no Portfolio
will make an investment unless, when considering all its other investments,
75% of the value of the Portfolio's assets would consist of cash, cash items,
U.S. Government securities, securities of other investment companies and
other securities. For the purposes of this restriction, "other securities"
are limited for any one issuer to not more than 5% of the value of the
Portfolio's total assets and to not more than 10% of the issuer's outstanding
voting securities.
As a matter of operating policy, except as noted below, the Money Market
Portfolio will invest no more than 5% of the value of its total assets, at
the time of acquisition, in the securities of any one issuer, other than
obligations of the U.S. Government, its agencies and instrumentalities.
However, the Money Market Portfolio may invest up to 25% of the value of its
total assets in First Tier Securities (as defined in Rule 2a-7 under the
Investment Company Act of 1940) of a single issuer for a period of up to
three business days after the purchase of such securities. The Money Market
Portfolio will also not (i) invest more than 5% of the value of its total
assets, at time of acquisition, in Second Tier Securities (as defined in Rule
2a-7 under the Investment Company Act of 1940) or (ii) invest more than the
greater of 1% of the value of the Portfolio's total assets or $1,000,000, at
the time of acquisition, in Second Tier Securities of a single issuer.
31
<PAGE>
MANAGEMENT OF THE TRUST
THE BOARD OF TRUSTEES
The Board of Trustees is responsible for the management of the business and
affairs of the Trust as provided in the laws of the Commonwealth of
Massachusetts and the Trust's Declaration of Trust and By-laws.
THE INVESTMENT ADVISER
Alliance Capital Management L.P. (Alliance), the main office of which is
located at 1345 Avenue of the Americas, New York, New York 10105, serves as
investment adviser to the Trust pursuant to an investment advisory agreement,
relating to each of the Portfolios, between the Trust and Alliance. Alliance,
a publicly traded limited partnership, is indirectly majority-owned by
Equitable.
Alliance is an investment adviser registered under the Investment Advisers
Act of 1940 (Advisers Act). Alliance, a leading international investment
adviser, acts as an investment adviser to various separate accounts and
general accounts of Equitable and other affiliated insurance companies.
Alliance also provides investment advisory and management services to other
investment companies and to endowment funds, insurance companies, foreign
entities, qualified and non-tax qualified corporate funds, public and private
pension and profit-sharing plans, foundations and tax-exempt organizations.
Alliance manages the day-to-day investment operations of the Trust and
exercises responsibility for the investment and reinvestment of the Trust's
assets. Alliance provides, without charge, personnel to the Trust to render
such clerical, accounting, administrative and other services, other than
investor services, as the Trust may request.
The advisory fee payable by the Trust is at the following annual percentages
of the value of each Portfolio's daily average net assets:
<TABLE>
<CAPTION>
DAILY AVERAGE NET ASSETS
----------------------------------------------
FIRST NEXT OVER
$350 MILLION $400 MILLION $750 MILLION
-------------- -------------- --------------
<S> <C> <C> <C>
Conservative Investors .550% .525% .500%
Balanced ............... .400% .375% .350%
Growth Investors ....... .550% .525% .500%
Common Stock ........... .400% .375% .350%
Global ................. .550% .525% .500%
Aggressive Stock ....... .500% .475% .450%
Money Market ........... .400% .375% .350%
Intermediate Government
Securities ............ .500% .475% .450%
High Yield ............. .550% .525% .500%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$350 MILLION $400 MILLION $750 MILLION
-------------- -------------- --------------
<S> <C> <C> <C>
Growth and Income .550% .525% .500%
Quality Bond ...... .550% .525% .500%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$350 MILLION $400 MILLION $750 MILLION
-------------- -------------- --------------
<S> <C> <C> <C>
EQUITY INDEX .350% .300% .250%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$350 MILLION $400 MILLION $750 MILLION
-------------- -------------- --------------
<S> <C> <C> <C>
International .900% .850% .800%
</TABLE>
32
<PAGE>
THE PORTFOLIO MANAGERS
THE ASSET ALLOCATION SERIES
- ---------------------------
CONSERVATIVE INVESTORS, BALANCED AND GROWTH INVESTORS PORTFOLIOS
Robert G. Heisterberg is the person principally responsible for the
Conservative Investors, Balanced and Growth Investors Portfolios' investment
programs as of February 12, 1996. Mr. Heisterberg, a Senior Vice President of
Alliance and Global Economic Policy Analysis, has been associated with
Alliance since 1977.
THE EQUITY SERIES
- -----------------
GROWTH AND INCOME PORTFOLIO
Paul Rissman and W. Theodore Kuck are the persons principally responsible for
the Growth and Income Portfolio's investment program, Mr. Rissman since
February 12, 1996 and Mr. Kuck since its the Portfolio's inception. Mr.
Rissman, a Vice President of Alliance, has been associated with Alliance
since 1989. Mr. Kuck, a Vice President of Alliance, has been associated with
Alliance since 1971.*
EQUITY INDEX PORTFOLIO
Judith A. Maglio has been the person principally responsible for the Equity
Index Portfolio's investment program since inception. Ms. Maglio, a Vice
President of Alliance, has been associated with Alliance since 1970.
COMMON STOCK PORTFOLIO
Tyler J. Smith has been the person principally responsible for the Common
Stock Portfolio's investment program since 1977. Mr. Smith, a Senior Vice
President of Alliance, has been associated with Alliance since 1970.*
GLOBAL AND INTERNATIONAL PORTFOLIOS
Ronald Simcoe has been the person principally responsible for the Global
Portfolio's investment program since 1988 and the International Portfolio's
investment program since its inception. Mr. Simcoe, a Vice President of
Alliance, has been associated with Alliance since 1977.*
AGGRESSIVE STOCK PORTFOLIO
Alden M. Stewart and Randall E. Haase have been the persons principally
responsible for the Aggressive Stock Portfolio's investment program since
1993. Mr. Stewart, an Executive Vice President of Alliance, has been
associated with Alliance since 1970.* Mr. Haase, a Vice President of
Alliance, has been associated with Alliance since 1988.*
THE FIXED INCOME SERIES
- -----------------------
MONEY MARKET PORTFOLIO
Raymond J. Papera has been the person principally responsible for the Money
Market Portfolio's investment program since 1990. Mr. Papera, a Vice
President of Alliance, has been associated with Alliance since 1990.*
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO
Patricia J. Young and Paul A. Ullman have been the persons principally
responsible for the Intermediate Government Securities Portfolio's investment
program since 1995. Ms. Young, Senior Vice President of
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<PAGE>
Alliance, with which she has been associated since 1992, previously was
employed by Hyperion Capital (beginning in 1991) and Fischer, Francis, Trees
& Watts prior thereto. Mr. Ullman, Vice President of Alliance, with which he
has been associated since 1992, previously was employed by Hyperion Capital
since 1990.
QUALITY BOND PORTFOLIO
Matthew Bloom has been the person principally responsible for the Quality
Bond Portfolio's investment program since 1995. Mr. Bloom, a Vice President
of Alliance, has been associated with Alliance since 1989.
HIGH YIELD PORTFOLIO
Wayne C. Tappe has been the person principally responsible for the High Yield
Portfolio's investment program since 1995. Mr. Tappe, a Vice President of
Alliance, has been associated with Alliance since 1987.*
* Prior to July 22, 1993, with Equitable Capital Management Corporation
(Equitable Capital). On that date Alliance acquired the business and
substantially all of the assets of Equitable Capital and became the
investment adviser to the Trust.
THE TRUST'S EXPENSES
The Trust's investment adviser pays all of the Trust's operating expenses not
specifically assumed by the Trust. In addition to the investment advisory fee
and brokers' commissions, transfer taxes and other fees relating to
purchases, loans and sales of investments, a number of expenses are paid
directly by the Trust. The Trust pays Trustees' fees and expenses; the fees
and expenses of its independent auditors and of its legal counsel; the costs
of printing and mailing of annual and semi-annual reports to shareholders,
proxy statements, prospectuses, prospectus supplements and SAIs, all to the
extent they are sent to existing Contract owners; the costs of printing of
registration statements; bank transaction charges and custodian's fees; any
proxy solicitors' fees and expenses; SEC filing fees; any federal, state or
local income or other taxes; any interest; any membership fees of the
Investment Company Institute and similar organizations; fidelity bond and
Trustees' liability insurance premiums; and any extraordinary expenses, such
as indemnification payments or damages awarded in litigation or settlements
made. The following table, reflecting the Trust's expenses, is based on
information for the year ended December 31, 1995.
<TABLE>
<CAPTION>
CONSERVATIVE GROWTH GROWTH AND EQUITY COMMON
INVESTORS BALANCED INVESTORS INCOME INDEX STOCK
TYPE OF EXPENSE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------- -------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Investment Advisory Fees 0.55% 0.37% 0.52% 0.55% 0.35% 0.35%
Other Expenses ........... 0.04% 0.03% 0.04% 0.05% 0.13% 0.03%
-------------- ----------- ----------- ----------- ----------- -----------
Total Expenses ........... 0.59% 0.40% 0.56% 0.60% 0.48% 0.38%
============== =========== =========== =========== =========== ===========
</TABLE>
<TABLE>
<CAPTION>
INTERMEDIATE
AGGRESSIVE MONEY GOVERNMENT QUALITY
GLOBAL STOCK MARKET SECURITIES BOND HIGH YIELD INTERNATIONAL
TYPE OF EXPENSE PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO*
- ------------------- ----------- ------------ ----------- -------------- ----------- ----------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
Investment Advisory
Fees .............. 0.53% 0.46% 0.40% 0.50% 0.55% 0.55% 0.90%
Other Expenses ..... 0.08% 0.03% 0.04% 0.07% 0.04% 0.05% 0.13%
----------- ------------ ----------- -------------- ----------- ----------- ---------------
Total Expenses ..... 0.61% 0.49% 0.44% 0.57% 0.59% 0.60% 1.03%
=========== ============ =========== ============== =========== =========== ===============
</TABLE>
- ------------
* Annualized.
TRANSACTIONS WITH AFFILIATES
In December 1984, Equitable acquired Donaldson, Lufkin & Jenrette, Inc.
(DLJ). A DLJ subsidiary, Donaldson, Lufkin & Jenrette Securities Corporation,
is one of the nation's largest investment banking
34
<PAGE>
and securities firms. Another DLJ subsidiary, Autranet, Inc., is a securities
broker that markets independently originated research to institutions.
Through the Pershing Division of Donaldson, Lufkin & Jenrette Securities
Corporation, DLJ supplies security execution and clearance services to
financial intermediaries including broker-dealers and banks. To the extent
permitted by law, the Trust may engage in securities and other transactions
with the above entities or may invest in shares of the investment companies
with which those entities have affiliations. The Investment Company Act
generally prohibits the Trust from engaging in securities transactions with
DLJ or its affiliates, as principal, unless pursuant to an exemptive order
from the SEC. The Trust may apply for such exemptive relief. The Trust has
adopted procedures, prescribed by Section 17(e)(2)(A) of the Investment
Company Act and Rule 17e-1 thereunder, which are reasonably designed to
provide that any commissions it pays to DLJ or its affiliates do not exceed
the usual and customary broker's commission. In addition, the Trust will
adhere to Section 11(a) of the Securities Exchange Act of 1934 and any
applicable rules thereunder governing floor trading. The Trust has adopted
procedures permitting it to purchase securities, under certain restrictions
prescribed by an SEC rule, in a public offering in which DLJ or an affiliate
is an underwriter.
DESCRIPTION OF THE TRUST'S SHARES
CHARACTERISTICS
The Board of Trustees has authority to issue an unlimited number of shares of
beneficial interest, without par value. The shares are divided into thirteen
classes, one class for each Portfolio. Each share is entitled to one vote,
and fractional shares are entitled to fractional votes. The Board of Trustees
may establish additional Portfolios and related classes of shares. The Trust
is not required to hold annual shareholder meetings, but special meetings may
be called for purposes such as electing or removing trustees, changing
fundamental policies or approving an investment advisory agreement.
PURCHASE AND REDEMPTION
EQ Financial Consultants, Inc., formerly Equico Securities, Inc. (EQ
Financial), a wholly-owned subsidiary of Equitable, is the principal
underwriter of the Trust. EQ Financial's address is 1755 Broadway, New York,
New York 10019. The Trust will offer and sell its shares without a sales
charge, at each Portfolio's net asset value per share. The price at which a
purchase is effected is based on the next calculation of net asset value
after an order is placed by an insurance company investing in the Trust. Net
asset value per share is calculated for purchases and redemption of shares of
each Portfolio by dividing the value of total Portfolio assets, less
liabilities (including Trust expenses, which are accrued daily), by the total
number of shares of that Portfolio outstanding. The net asset value per share
of each Portfolio is determined each business day at 4:00 p.m. Eastern time.
Values are not calculated on national business holidays.
All shares may be redeemed in accordance with the Trust's Declaration of
Trust and By-Laws. Shares will be redeemed at their net asset value. Sales
and redemptions of shares of the same class by the same shareholder on the
same day will be netted. All redemption requests will be processed and
payment with respect thereto will be made within seven days after tenders.
The Trust may also suspend redemption, if permitted by the Investment Company
Act, for any period during which the New York Stock Exchange is closed or
during which trading is restricted by the SEC or the SEC declares that an
emergency exists. Redemption may also be suspended during other periods
permitted by the SEC for the protection of the Trust's shareholders.
HOW ASSETS ARE VALUED
Values are determined according to accepted accounting practices and all laws
and regulations that apply. The assets of each Portfolio are generally valued
as follows, as further described in the SAI:
o Stocks and debt securities which mature in more than 60 days are valued
on the basis of market quotations.
35
<PAGE>
o Foreign securities not traded directly, or in American Depositary
Receipt or similar form in the United States, are valued at representative
quoted prices in the currency of the country of origin. Foreign currency
amounts are translated into U.S. dollars at the bid price last quoted by a
composite list of major U.S. banks.
o Short-term debt securities in the Portfolios other than the Money Market
Portfolio which mature in 60 days or less are valued at amortized cost, which
approximates market value. Securities held in the Money Market Portfolio are
valued at prices based on equivalent yields or yield spreads.
o Other securities and assets for which market quotations are not readily
available or for which valuation cannot be provided are valued in good faith
by the Valuation Committee of the Board of Trustees using its best judgment.
DIVIDENDS, DISTRIBUTIONS AND TAXES
Under current federal income tax law, the Trust believes that each Portfolio
is entitled, and the Trust intends that each Portfolio shall qualify each
year and elect, to be treated as a regulated investment company under
Subchapter M of the Internal Revenue Code of 1986, as amended (Internal
Revenue Code). As a regulated investment company, a Portfolio will not be
subject to federal tax on its net investment income and net realized capital
gains to the extent such income and gains are timely distributed to its
insurance company shareholders. Accordingly, each Portfolio intends to
distribute all of its net investment income and net realized capital gains to
its shareholders. An insurance company which is a shareholder of a Portfolio
will generally not be taxed on distributions from that Portfolio. All
dividend distributions will be reinvested in full and fractional shares of
the Portfolio to which they relate.
Although the Trust intends that it and the Portfolios will be operated so
that they will have no federal income or excise tax liability, if any such
liability is nevertheless incurred, the investment performance of the
Portfolio or Portfolios incurring such liability will be adversely affected.
In addition, Portfolios investing in foreign securities and currencies may be
subject to foreign taxes which could reduce the investment performance of
such Portfolio.
In addition to meeting investment diversification rules applicable to
regulated investment companies under Subchapter M of the Internal Revenue
Code, because the Trust funds certain types of Contracts, each Portfolio is
also subject to the investment diversification requirements of Subchapter L
of the Internal Revenue Code. Were any Portfolio to fail to comply with those
requirements, owners of Contracts (other than "pension plan contracts")
funded through the Trust would be taxed immediately on the accumulated
investment earnings under their Contracts and would thereby lose any benefit
of tax deferral. Compliance is therefore carefully monitored by the
investment adviser.
Certain additional tax information appears in the SAI.
For more information regarding the tax implications for owners of Contracts
investing in the Trust, refer to the prospectuses for those products.
INVESTMENT PERFORMANCE
Each Portfolio may illustrate in advertisements or sales materials its
average annual total return, which is the rate of growth of the Portfolio
that would be necessary to achieve the ending value of an investment kept in
the Portfolio for the period specified and is based on the following
assumptions: (1) all dividends and distributions by the Portfolio are
reinvested in shares of the Portfolio at net asset value, and (2) all
recurring fees are included for applicable periods.
Each Portfolio may also illustrate in advertisements or sales materials its
cumulative total return for several time periods throughout the Portfolio's
life based on an assumed initial investment of $1,000. Any such cumulative
total return for each Portfolio will assume the reinvestment of all income
dividends and capital gains distributions for the indicated periods and will
include all recurring fees.
The Money Market Portfolio may illustrate in advertisements or sales
materials its yield and effective yield. The Portfolio's yield refers to
income generated by an investment in the Portfolio over a 7-day
36
<PAGE>
period, expressed as an annual percentage rate. The Money Market Portfolio's
effective yield is calculated similarly but assumes that income earned from
the investment is reinvested. The Portfolio's effective yield will be
slightly higher than its yield because of the compounding effect of this
assumed reinvestment.
The Government, Quality Bond and High Yield Portfolios each may illustrate in
advertisements or sales materials its yield based on a recent 30-day period,
which reflects the income per share earned by that Portfolio's investments.
The yield is calculated by dividing that Portfolio's net investment income
per share during that period by the net asset value on the last day of that
period and annualizing the result.
These performance figures are based on historical earnings and are not
intended to indicate future performance. Nor do they reflect fees and charges
imposed under the Contracts, which fees and charges will reduce such
performance figures; therefore, these figures may be of limited use for
comparative purposes. No Portfolio will use information concerning its
investment performance in advertisements or sales materials unless
appropriate information concerning the relevant separate account is also
included.
37
<PAGE>
APPENDIX A
PERFORMANCE INFORMATION
The following tables provide performance results for The Hudson River Trust
Portfolios, net of investment management fees and direct operating expenses
of the Trust, together with comparative benchmarks, including both unmanaged
market indexes and universes of managed portfolios. The unmanaged market
indexes do not reflect any asset-based charges for investment management or
other expenses, which are inapplicable to these benchmarks. The rates of
return shown for the Portfolios are not an estimate or guarantee of future
investment performance and do not take into account charges applicable to the
Contracts or imposed at the separate account level. The ultimate change in
Contract values will depend not only on the performance of the Portfolios at
the underlying Trust level, but also on the insurance and administrative
charges, applicable sales charges, and the mortality and expense risk charge
applicable under such Contracts. These Contract charges effectively reduce
the dollar amount of any net gains and increase the dollar amount of any net
losses.
The Lipper averages are contained in Lipper's survey of the performance of a
large number of mutual funds. This survey is published by Lipper Analytical
Services, Inc., a firm recognized for its reporting of performance of
actively managed funds. According to Lipper, performance data are presented
net of investment management fees, direct operating expenses and, for funds
with Rule 12b-1 plans, asset-based sales charges. Performance data for funds
which assess sales charges in other ways do not reflect deductions for sales
charges. Performance data shown for the Portfolios does not reflect deduction
for sales charges (which are assessed at the policy level). This means that
to the extent that asset-based sales charges deducted by some funds have
lowered the Lipper averages, the performance data shown for the Portfolios
appears relatively more favorable than the performance data for the Lipper
averages.
The performance results presented below are based on Portfolio percent
changes in net asset values with dividends and capital gains reinvested.
Similarly, the market indexes have been adjusted, where necessary, to reflect
the benefit of total reinvestment of income, dividends and capital gains.
Cumulative rates of return reflect performance over a stated period of time.
Annualized rates of return represent the rate of growth that would have
produced the corresponding cumulative return had performance been constant
over the entire period.
From time to time the Trust and/or its shareholders may include in reports or
in advertising material descriptions of general economic and market
conditions affecting the Trust and/or its shareholders and may compare the
performance of the Trust's Portfolios with (1) that of other insurance
company separate accounts, if appropriate, or mutual funds included in the
rankings prepared by Lipper or similar investment services that monitor the
performance of insurance company separate accounts or mutual funds, (2) other
appropriate indices of investment securities and averages for peer universes
of funds which are described in this prospectus, or (3) data developed by the
Trust and/or its shareholders derived from such indices or averages.
Each Portfolio's performance may also be compared to the performance of other
mutual funds by Morningstar, Inc. which ranks mutual funds on the basis of
historical risk and total return. Morningstar rankings are calculated using
the mutual fund's average annual return for certain periods and a risk factor
that reflects the mutual fund's performance relative to three-month Treasury
bill monthly returns. Morningstar's rankings range from five stars (highest)
to one star (lowest) and represent Morningstar's assessment of the historical
risk level and total return of a mutual fund as a weighted average for 3, 5,
and 10-year periods. In each category, Morningstar limits its five star
rankings to 10% of the funds it follows and its four star rankings to 22.5%
of the funds it follows. Rankings are not absolute or necessarily predictive
of future performance.
The Lehman Treasury Bond Index (Lehman Treasury) represents an unmanaged
group of securities consisting of all currently offered public obligations of
the United States Treasury intended for distribution in the domestic market.
A-1
<PAGE>
The Standard and Poor's 500 Stock Index (S&P 500) represents an unmanaged
weighted index of 500 industrial, transportation, utility, and financial
companies, widely regarded by investors as representative of the stock
market.
The Lehman Government/Corporate Bond Index (Lehman Gov't Corp.) represents an
unmanaged group of securities widely regarded by investors as representative
of the bond market.
The Value Line Convertible Index is comprised of 585 of the most actively
traded convertible bonds and preferred stocks on an unweighted basis.
The Morgan Stanley Capital International World Index (MSCI World Index) is an
arithmetic, market value-weighted average of the performance of over 1,300
securities listed on the stock exchanges of twenty foreign countries and the
United States.
The Morgan Stanley Capital International EAFE Index (MSCI EAFE) is a market
capitalization weighted equity index composed of a sample of companies
representative of the market structure of Europe, Australia and the Far East.
The Standard & Poor's MidCap 400 Index (S&P 400) represents an unmanaged
weighted index of 400 domestic stocks chosen for market size (median market
capitalization of about $610 million), liquidity, and industry group
representation.
The Russell 2000 Index consists of the smallest 2,000 securities in the
Russell 3000 Index. (The Russell 3000 Index represents approximately 98% of
the investable U.S. equity market.) The Russell 2000 Index, widely regarded
in the industry as the premier measure of small capitalization stocks,
represents approximately 11% of the Russell 3000 Index total market
capitalization.
The Lehman Intermediate Government Bond Index represents an unmanaged group
of securities consisting of all United States Treasury and agency securities
with remaining maturities of from one to ten years and issue amounts of at
least $100 million outstanding.
The Lehman Aggregate Bond Index is an index comprised of investment grade
fixed income securities, including U.S. Treasury, mortgage-backed, corporate
and "Yankee" bonds (U.S. dollar denominated bonds issued outside the United
States).
The Merrill Lynch High Yield Master Index (ML Master) represents an unmanaged
group of securities widely regarded by investors as representative of the
high yield bond market.
The "blended" performance numbers (e.g., 50% S&P 400/50% Russell 2000) in all
cases assume a static mix of the two indices.
The dates as of which funds were first allocated to the Portfolios are as
follows: the Common Stock Portfolio on June 16, 1975; the Money Market
Portfolio on July 13, 1981; the Balanced and Aggressive Stock Portfolios on
January 27, 1986; the High Yield Portfolio on January 2, 1987; the Global
Portfolio on August 27, 1987; the Conservative Investors and Growth Investors
Portfolios on October 2, 1989; the Intermediate Government Securities
Portfolio on April 1, 1991; the Quality Bond and Growth and Income Portfolios
on October 1, 1993; the Equity Index Portfolio on March 1, 1994; and the
International Portfolio on April 3, 1995. In the "Since Inception" columns of
Table I and Table II below, the performance of each Portfolio and its
comparative indices is measured from the date funds were first allocated to
the Portfolios, except as follows: for the Common Stock Portfolio and its
comparative indices, from January 13, 1976, the date on which the unit value
was established and Contract owner contributions were first accepted by the
Common Stock Portfolio's separate account predecessor; for the Lipper Money
Market Funds Average, from June 1, 1981; for the Lipper Balanced Funds and
Small Company Growth Funds Averages, from January 1, 1986; and for the Lipper
Global Funds Average, from August 28, 1987.
The Trust's Portfolios serve as the underlying investment vehicles for
Contracts. Shares of these Portfolios cannot be purchased directly. Shares of
the Portfolios of the Trust are purchased by corresponding investment
divisions of insurance company separate accounts. Refer to the attached
Contract prospectus for further information about your Contract including a
description of all charges and expenses.
A-2
<PAGE>
TABLE I
ANNUALIZED RATES OF RETURN
PERIODS ENDING DECEMBER 31, 1995
<TABLE>
<CAPTION>
Since
PORTFOLIO/Benchmarks 1 Year 3 Years 5 Years 10 Years 15 Years Inception
-------- --------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
THE ASSET ALLOCATION SERIES
CONSERVATIVE INVESTORS ...................... 20.40% 8.55% 10.15% -- -- 9.65%
Lipper Flexible Portfolio Average ........... 25.08 10.80 12.85 -- -- 10.28
70% Lehman Treasury/30% S&P 500 ............. 24.11 10.41 11.73 -- -- 10.55
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
BALANCED .................................... 19.75 7.34 11.17 -- -- 12.08
Lipper Balanced Mutual Funds Average ....... 25.16 10.73 13.04 -- -- 11.34
50% S&P 500/50% Lehman Gov't Corp. .......... 28.39 12.01 13.39 -- -- 12.74
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
GROWTH INVESTORS ............................ 26.37 12.15 17.13 -- -- 16.05
Lipper Flexible Portfolio Average ........... 25.08 10.80 12.85 -- -- 10.28
70% S&P 500/30% Lehman Gov't Corp. .......... 32.05 13.35 14.70 -- -- 11.97
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
THE EQUITY SERIES
GROWTH AND INCOME ........................... 24.07 -- -- -- -- 9.66
Lipper Growth & Income Funds Average ....... 30.82 -- -- -- -- 13.47
75% S&P 500/25% Value Line Convertible ..... 34.93 -- -- -- -- 15.45
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
EQUITY INDEX ................................ 36.48 -- -- -- -- 19.11
Lipper S&P 500 Index Funds Average .......... 36.84 -- -- -- -- 18.92
S&P 500 ..................................... 37.54 -- -- -- -- 19.89
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
COMMON STOCK ................................ 32.45 17.40 18.16 15.16% 14.37% 14.78
Lipper Growth Equity Mutual Funds Average .. 30.79 12.45 16.01 12.95 12.81 14.79
S&P 500 ..................................... 37.54 15.30 16.57 14.87 14.79 14.24
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
GLOBAL ...................................... 18.81 18.20 16.49 -- -- 11.36
Lipper Global Mutual Funds Average .......... 16.05 13.96 12.28 -- -- 7.87
MSCI World .................................. 20.72 15.83 11.74 -- -- 6.75
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
INTERNATIONAL ............................... -- -- -- -- -- 11.29*
Lipper International Mutual Funds Average .. -- -- -- -- -- 10.32*
MSCI EAFE ................................... -- -- -- -- -- 9.17*
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
AGGRESSIVE STOCK ............................ 31.63 13.92 21.75 -- -- 20.02
Lipper Small Company Growth Funds
Average .................................... 31.55 14.77 20.78 -- -- 13.42
50% S&P 400/50% Russell 2000 ................ 29.69 13.67 20.16 -- -- 13.58
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
THE FIXED INCOME SERIES
MONEY MARKET ................................ 5.74 4.24 4.48 6.02 -- 7.42
Lipper Money Market Mutual Funds
Average .................................... 5.37 3.89 4.12 5.64 -- 7.15
3 Month T-Bill .............................. 5.74 4.34 4.47 5.77 -- 7.09
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
INTERMEDIATE GOVERNMENT SECURITIES .......... 13.33 6.22 -- -- -- 7.63
Lipper Intermediate Government Funds Average 15.75 6.56 -- -- -- 8.03
Lehman Intermediate Government Bond ........ 14.41 6.74 -- -- -- 8.17
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
QUALITY BOND ................................ 17.02 -- -- -- -- 4.54
Lipper Corporate Debt Funds A Rated
Average .................................... 18.45 -- -- -- -- 5.38
Lehman Aggregate Bond ....................... 18.47 -- -- -- -- 6.46
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
HIGH YIELD .................................. 19.92 12.81 14.95 -- -- 10.20
Lipper High Current Yield Mutual
Funds Average .............................. 16.44 10.18 16.58 -- -- 8.98
ML Master ................................... 19.91 11.57 17.17 -- -- 11.28
- -------------------------------------------- -------- --------- --------- ---------- ---------- -----------
</TABLE>
- ----------
* Unannualized
A-3
<PAGE>
TABLE II
CUMULATIVE RATES OF RETURN
PERIODS ENDING DECEMBER 31, 1995
<TABLE>
<CAPTION>
Since
PORTFOLIO/Benchmarks 1 Year 3 Years 5 Years 10 Years 15 Years Inception
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
THE ASSET ALLOCATION SERIES
CONSERVATIVE INVESTORS ................... 20.40% 27.91% 62.13% -- -- 77.86
Lipper Flexible Portfolio Average ....... 25.08 36.25 84.60 -- -- 85.64
70% Lehman Treasury/30% S&P 500 .......... 24.11 34.58 74.09 -- -- 87.24
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
BALANCED ................................. 19.75 23.67 69.79 -- -- 210.41
Lipper Balanced Mutual Funds Average .... 25.16 35.96 85.17 -- -- 191.88
50% S&P 500/50% Lehman Gov't Corp. ...... 28.39 40.53 87.43 -- -- 229.15
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
GROWTH INVESTORS ......................... 26.37 41.08 120.45 -- -- 153.57
Lipper Flexible Portfolio Average. ...... 25.08 36.25 84.60 -- -- 85.64
70% S&P 500/30% Lehman Gov't Corp. ...... 32.05 45.64 98.56 -- -- 102.72
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
THE EQUITY SERIES
GROWTH AND INCOME ........................ 24.07 -- -- -- -- 23.05
Lipper Growth & Income Funds Average .... 30.82 -- -- -- -- 33.24
75% S&P 500/25% Value Line Convertible .. 34.93 -- -- -- -- 38.14
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
EQUITY INDEX ............................. 36.48 -- -- -- -- 37.96
Lipper S&P 500 Index Funds Average ...... 36.84 -- -- -- -- 37.40
S&P 500 .................................. 37.54 -- -- -- -- 39.30
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
COMMON STOCK ............................. 32.45 61.81 130.29 310.38% 649.17% 1,468.54
Lipper Growth Equity Mutual Funds Average 30.79 42.98 113.39 251.64 564.19 1,534.57
S&P 500 .................................. 37.54 53.30 115.25 300.11 692.18 1,327.94
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
GLOBAL ................................... 18.81 65.16 114.48 -- -- 145.55
Lipper Global Mutual Funds Average ...... 16.05 48.34 79.41 -- -- 90.34
MSCI World ............................... 20.72 55.39 74.20 -- -- 72.35
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
INTERNATIONAL ............................ -- -- -- -- -- 11.29*
Lipper International Mutual Funds Average -- -- -- -- -- 10.32*
MSCI EAFE ................................ -- -- -- -- -- 9.17*
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
AGGRESSIVE STOCK ......................... 31.63 47.84 167.51 -- -- 512.26
Lipper Small Company Growth Funds Average 31.55 52.74 161.35 -- -- 248.87
50% S&P 400/50% Russell 2000 ............. 29.69 46.89 150.49 -- -- 254.09
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
THE FIXED INCOME SERIES
MONEY MARKET ............................. 5.74 13.26 24.51 79.50 -- 181.66
Lipper Money Market Mutual Funds Average 5.37 12.13 22.34 73.21 -- 172.66
3 Month T-Bill ........................... 5.74 13.58 24.45 75.23 -- 170.07
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
INTERMEDIATE GOVERNMENT SECURITIES ...... 13.33 19.84 -- -- -- 41.83
Lipper Intermediate Government Funds
Average ................................. 15.75 21.09 -- -- -- 44.66
Lehman Intermediate Government Bond ..... 14.41 21.60 -- -- -- 45.17
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
QUALITY BOND ............................. 17.02 -- -- -- -- 10.50
Lipper Corporate Debt Funds A Rated
Average ................................. 18.45 -- -- -- -- 12.58
Lehman Aggregate Bond .................... 18.47 -- -- -- -- 15.09
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
HIGH YIELD ............................... 19.92 43.58 100.72 -- -- 139.75
Lipper High Current Yield Bond Funds
Average ................................. 16.44 33.90 116.45 -- -- 118.26
ML Master ................................ 19.91 38.89 120.85 -- -- 161.50
- ----------------------------------------- -------- --------- --------- ---------- ---------- -----------
</TABLE>
- -------------------
* Unannualized
A-4
<PAGE>
TABLE III
ANNUAL RATES OF RETURN
<TABLE>
<CAPTION>
GROWTH
YEAR ENDING COMMON MONEY AGGRESSIVE HIGH CONSERV. GROWTH INTERMEDIATE QUALITY AND EQUITY
DECEMBER 31 STOCK MARKET STOCK BALANCED YIELD GLOBAL INVESTORS INVESTORS GOVT. SECURITIES BOND INCOME INDEX
- ----------- ------ ------ ---------- -------- ----- ------ --------- --------- ---------------- ------- ------ ------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1976 ....... 9.2%
1977 ....... -9.2
1978 ....... 8.2
1979 ....... 29.8
1980 ....... 50.1
1981 ....... -5.8 7.1%*
1982 ....... 17.6 13.0
1983 ....... 26.1 8.9
1984 ....... -2.0 10.9
1985 ....... 33.4 8.2
1986 ....... 17.3 6.6 35.9%* 29.1%*
1987 ....... 7.5 6.6 7.3 -0.9 4.7%* -13.3%*
1988 ....... 22.4 7.3 1.1 13.3 9.7 10.9
1989 ....... 25.6 9.2 43.5 25.8 5.1 26.7 3.1%* 4.0%*
1990 ....... -8.1 8.2 8.2 0.3 -1.1 -6.1 6.3 10.7
1991 ....... 37.9 6.2 86.9 41.3 24.5 30.5 19.8 48.8 12.1%*
1992 ....... 3.2 3.6 -3.2 -2.8 12.3 -0.5 5.6 4.9 5.5
1993 ....... 24.8 3.0 16.8 12.3 23.2 32.1 10.8 15.3 10.6 -0.5%* -0.3%*
1994 ....... -2.1 4.0 -3.8 -8.0 -2.8 5.2 -4.1 -3.2 -4.4 -5.1 -0.6 1.1*
1995 ....... 32.5 5.7 31.6 19.8 19.9 18.8 20.4 26.4 13.3 17.0 24.0 36.5
- ----------- ------ ------ ---------- -------- ----- ------ --------- --------- ---------------- ------- ------ ------
</TABLE>
Restubbed Table from above.
<TABLE>
<CAPTION>
INTERNATIONAL
- ---------------
<S> <C>
11.3%
- ---------
</TABLE>
* Unannualized from the inception date described in the Prospectus through the
end of the calendar year indicated.
A-5
<PAGE>
APPENDIX B
DESCRIPTION OF BOND RATINGS
Bonds are considered to be "investment grade" if they are in one of the top
four ratings.
S&P's ratings are as follows:
o Bonds rated AAA have the highest rating assigned by S&P. Capacity to
pay interest and repay principal is extremely strong.
o Bonds rated AA have a very strong capacity to pay interest and repay
principal and differ from the higher rated issues only in small degree.
o Bonds rated A have a strong capacity to pay interest and repay
principal although they are somewhat more susceptible to the adverse effects
of changes in circumstances and economic conditions than bonds in higher
rated categories.
o Bonds rated BBB are regarded as having an adequate capacity to pay
interest and repay principal. Whereas they normally exhibit adequate
protection parameters, adverse economic conditions or changing circumstances
are more likely to lead to a weakened capacity to pay interest and repay
principal for bonds in this category than in higher rated categories.
o Debt rated BB, B, CCC, CC or C is regarded, on balance, as
predominantly speculative with respect to the issuer's capacity to pay
interest and repay principal in accordance with the terms of the obligation.
While such debt will likely have some quality and protective
characteristics, these are outweighed by large uncertainties or major risk
exposures to adverse debt conditions.
o The rating C1 is reserved for income bonds on which no interest is
being paid.
o Debt rated D is in default and payment of interest and/or repayment of
principal is in arrears.
The ratings from AA to CCC may be modified by the addition of a plus (+) or
minus (-) sign to show relative standing within the major rating categories.
Moody's ratings are as follows:
o Bonds which are rated Aaa are judged to be of the best quality. They
carry the smallest degree of investment risk and are generally referred to
as "gilt-edged." Interest payments are protected by a large or by an
exceptionally stable margin and principal is secure. While the various
protective elements are likely to change, such changes as can be visualized
are most unlikely to impair the fundamentally strong position of such
issues.
o Bonds which are rated Aa are judged to be of high quality by all
standards. Together with the Aaa group they comprise what are generally
known as high grade bonds. They are rated lower than the best bonds because
margins of protection may not be as large as in Aaa securities or
fluctuation of protective elements may be of greater amplitude or there may
be other elements present which make the long term risks appear somewhat
larger than in Aaa securities.
o Bonds which are rated A possess many favorable investment attributes
and are to be considered as upper medium grade obligations. Factors giving
security to principal and interest are considered adequate but elements may
be present which suggest a susceptibility to impairment some time in the
future.
o Bonds which are rated Baa are considered as medium grade obligations,
i.e., they are neither highly protected nor poorly secured. Interest
payments and principal security appear adequate for the present but certain
protective elements may be lacking or may be characteristically unreliable
over any great length of time. Such bonds lack outstanding investment
characteristics and in fact have speculative characteristics as well.
B-1
<PAGE>
o Bonds which are rated Ba are judged to have speculative elements;
their future cannot be considered as well assured. Often the protection of
interest and principal payments may be very moderate and thereby not well
safeguarded during both good and bad times over the future. Uncertainty of
position characterizes bonds in this class.
o Bonds which are rated B generally lack characteristics of the desirable
investment. Assurance of interest and principal payments or of maintenance
of other terms of the contract over any long period of time may be small.
o Bonds which are rated Caa are of poor standing. Such issues may be in
default or there may be present elements of danger with respect to principal
or interest.
o Bonds which are rated Ca represent obligations which are speculative to
a high degree. Such issues are often in default or have other marked
shortcomings.
o Bonds which are rated C are the lowest class of bonds and issues so
rated can be regarded as having extremely poor prospects of ever attaining
any real investment standing.
Moody's applies modifiers to each rating classification from Aa through B to
indicate relative ranking within its rating categories. The modifier "1"
indicates that a security ranks in the higher end of its rating category; the
modifier "2" indicates a mid-range ranking; and the modifier "3" indicates
that the issue ranks in the lower end of its rating category.
B-2
<PAGE>
THE HUDSON RIVER TRUST
1345 Avenue of the Americas -- New York, New York 10105
STATEMENT OF ADDITIONAL INFORMATION
MAY 1, 1996
This Statement of Additional Information is not a prospectus. It should be
read in conjunction with The Hudson River Trust (Trust) Prospectus dated May
1, 1996 and retained for future reference.
A copy of the Prospectus to which this Statement of Additional Information
relates is available at no charge by writing the Trust at the above address.
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PAGE
--------
<S> <C>
General Information and History ........................................ 2
Investment Restrictions of the Portfolios .............................. 4
Description of Certain Securities in Which the Portfolios May Invest .. 6
Management of the Trust ................................................ 21
Investment Advisory and Other Services ................................. 26
Brokerage Allocation ................................................... 28
Trust Expenses and Other Charges ....................................... 30
Purchase and Pricing of Securities ..................................... 30
Certain Tax Considerations ............................................. 32
Portfolio Performance .................................................. 33
Other Services ......................................................... 36
Financial Statements ................................................... 37
Appendix A--Description of Commercial Paper Ratings .................... A-1
</TABLE>
- -----------------------------------------------------------------------------
HRT-SAI (5/96) Copyright 1996. The Hudson River Trust. All rights reserved.
Catalog No.126491
<PAGE>
GENERAL INFORMATION AND HISTORY
THE TRUST
The Hudson River Trust is an open-end management investment company--a type
of company commonly known as a "mutual fund." It is registered as such under
the Investment Company Act of 1940, as amended (Investment Company Act).
Originally organized as a Maryland corporation, the Trust's operations
commenced on March 22, 1985. On July 10, 1987, the Trust was formed as a
Massachusetts business trust. The Trust continuously offers its shares
exclusively to separate accounts of insurance companies in connection with
variable life insurance contracts and variable annuity certificates and
contracts (collectively, Contracts). Currently, the Trust's shareholders are
separate accounts of The Equitable Life Assurance Society of the United
States (Equitable), separate accounts of Equitable Variable Life Insurance
Company (Equitable Variable), a wholly-owned subsidiary of Equitable, a
separate account of Integrity Life Insurance Company, a separate account of
American Franklin Life Insurance Company, a separate account of Transamerica
Occidental Life Insurance Company and a separate account of SAFECO Life
Insurance Company, all of which are insurance companies unaffiliated with
Equitable. The Trust may offer its shares to separate accounts of other
insurance companies, both affiliated and not affiliated with Equitable. As of
March 31, 1996, Equitable and Equitable Variable owned approximately 99.6% of
the Trust's outstanding shares and, as a result, may be deemed to be control
persons with respect to the Trust.
As a "series" type of mutual fund, the Trust issues separate series of shares
of beneficial interest, each of which represents a separate portfolio
(Portfolio) of investments. Each Portfolio resembles a separate fund issuing
a separate class of stock. The Common Stock and Money Market Portfolios are
the successors to Separate Accounts I and II of Equitable Variable. (See
"Description of Reorganization and Other Matters"). The Balanced and
Aggressive Stock Portfolios received their initial funding on January 27,
1986 from Equitable Variable. The High Yield Portfolio received its initial
funding on January 2, 1987. The Global Portfolio received its initial funding
on August 27, 1987. The Conservative Investors and Growth Investors
Portfolios received their initial funding on October 2, 1989. The
Intermediate Government Securities Portfolio (Government Portfolio) received
its initial funding on April 1, 1991. The Quality Bond and Growth and Income
Portfolios received their initial funding on October 1, 1993. The Equity
Index Portfolio received its initial funding on March 1, 1994. The
International Portfolio received its initial funding on April 3, 1995.
Because of current Federal securities law requirements, the Trust expects
that its shareholders will offer to owners of the Contracts (Contractowners)
the opportunity to instruct them as to how shares allocable to their
Contracts will be voted with respect to certain matters, such as approval of
investment advisory agreements. As of March 31, 1996, to the Trust's
knowledge, no Contractowners other than those set forth below owned Contracts
entitling such persons to give voting instructions regarding more than 5% of
the outstanding shares of a Portfolio.
<TABLE>
<CAPTION>
INTERNATIONAL QUALITY BOND
PORTFOLIO PORTFOLIO
---------------------- ---------------------------
UNITS % OF % OF
OWNED PORTFOLIO UNITS OWNED PORTFOLIO
--------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Boatmen's Trust Co.* 10,860,007 61.79
Equitable ........... 501,445 8.59
Wachovia Bank** .... 2,682,954 15.27
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
EQUITY INDEX GLOBAL
PORTFOLIO PORTFOLIO
------------------------ ------------------------
% OF % OF
UNITS OWNED PORTFOLIO UNITS OWNED PORTFOLIO
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Boatmen's Trust Co.*
Equitable ........... 3,410,647 7.19
Wachovia Bank** .... 2,801,789 16.37
</TABLE>
- ------------
* Boatmen's Trust Co., Trustee under Master Trust Agreement for SBC
Communications, Inc. Deferred Compensation Plans and other Executive Benefit
Plans.
** Wachovia Bank of Georgia, N.A., Trustee for the Mars, Inc.
Non-Qualified Retirement Benefits Trust.
The principal addresses of Boatmen's Trust Co., Equitable and Wachovia Bank
are 175 East Houston Street, San Antonio, Texas; 787 Seventh Avenue, New
York, New York; and 301 North Main Street, Winston-Salem, North Carolina,
respectively.
Were such a Contractowner's funds withdrawn from the Trust or transferred to
a different Portfolio at the Contractowner's request, the Trust could be
forced to sell portfolio securities at disadvantageous prices.
2
<PAGE>
LEGAL CONSIDERATIONS
Under Massachusetts law, annual election of Trustees is not required, and, in
the normal course, the Trust does not expect to hold annual meetings of
shareholders. There will normally be no meetings of shareholders for the
purpose of electing Trustees unless and until such time as less than a
majority of the Trustees holding office have been elected by shareholders, at
which time the Trustees then in office will call a shareholders' meeting for
the election of Trustees. Pursuant to the procedures set forth in Section
16(c) of the Investment Company Act, shareholders of record of not less than
two-thirds of the outstanding shares of the Trust may remove a Trustee by a
vote cast in person or by proxy at a meeting called for that purpose.
Except as set forth above, the Trustees shall continue to hold office and may
appoint successor Trustees. Voting rights are not cumulative, so that the
holders of more than 50% of the shares voting in the election of Trustees
can, if they choose to do so, elect all the Trustees of the Trust, in which
event the holders of the remaining shares will be unable to elect any person
as a Trustee. Amendments to the Declaration of Trust of the Trust generally
require the affirmative vote of a majority of the outstanding shares of the
Trust.
The shares of each Portfolio, when issued, will be fully paid and
non-assessable and will have no preference, preemptive, conversion, exchange
or similar rights.
Under Massachusetts law, in certain circumstances shareholders may be held
personally liable as partners for the obligations of a business trust such as
the Trust. The shareholders of the Trust are the insurance companies whose
separate accounts invest in it. The Trust's Declaration of Trust contains
provisions designed to protect shareholders from such liability to the extent
of the Trust's assets. As a result, the risk of personal liability for the
insurance company shareholders is remote.
The Declaration of Trust further provides that the Trustees will not be
liable for errors of judgment or mistakes of fact or law, but nothing in the
Declaration of Trust protects a Trustee against any liability to which he or
she would otherwise be subject by reason of willful misfeasance, bad faith,
gross negligence or reckless disregard of the duties involved in the conduct
of his or her office. The Declaration of Trust permits the Trust to purchase
and maintain on behalf of the Trustees insurance against certain liabilities.
DESCRIPTION OF REORGANIZATION AND OTHER MATTERS
The following transactions, referred to as the Reorganization, were effected
simultaneously on March 22, 1985, pursuant to an Agreement and Plan of
Reorganization dated November 20, 1984, entered into by Equitable Variable,
Separate Accounts I and II, and The Hudson River Fund, Inc. (the Fund), the
predecessor of the Trust.
Equitable Variable divided Separate Account I into two divisions, a Common
Stock Division and a Money Market Division. Separate Account II was combined
with Separate Account I (the Continuing Separate Account). Rather than
investing directly, the Common Stock Division and the Money Market Division
of the Continuing Separate Account invested in shares of the Fund, which, in
turn, invested in diversified portfolios of common stock or money market
investments.
In order for the Fund to commence operations, all the investment assets of
Separate Accounts I and II (together with any related liabilities) were
transferred to the Common Stock and Money Market Portfolios of the Fund,
respectively, in exchange for shares in those Portfolios having an equivalent
aggregate net asset value.
On September 30, 1987, all of the Fund's assets and liabilities were
transferred to the Trust, pursuant to an Agreement and Plan of Reorganization
(the Plan) between the Fund and the Trust. The Plan was proposed to
shareholders in order to permit greater operating flexibility and
efficiencies. The Plan provided for changes of domicile (from Maryland to
Massachusetts) and of form of organization (from a corporation to a business
trust). However, in all other material respects the Trust was identical to
the Fund immediately prior to the execution of the Plan.
3
<PAGE>
INVESTMENT RESTRICTIONS OF THE PORTFOLIOS
FUNDAMENTAL RESTRICTIONS
The following restrictions apply to all of the Portfolios and are
fundamental. Unless permitted by law, they will not be changed for any
Portfolio without a vote of that Portfolio's shareholders.
None of the Portfolios will:
o underwrite securities issued by other persons except to the extent that,
in connection with the disposition of its portfolio investments, it may be
deemed to be an underwriter under certain Federal securities laws;
o make short sales of securities, except when it has, by reason of
ownership of other securities, the right to obtain securities of equivalent
kind and amount that will be held so long as it is in a short position;
o issue senior securities;
o purchase real estate or mortgages; however, the Portfolios may, as
appropriate and consistent with their investment policies and other
investment restrictions, buy securities of issuers which engage in real
estate operations and securities which are secured by interests in real
estate (including partnership interests and shares of real estate investment
trusts), and may hold and sell real estate acquired as a result of ownership
of such securities;
o purchase any security on margin or borrow money, except that this
restriction shall not apply to borrowing from banks for temporary purposes,
to the pledging of assets to banks in order to transfer funds for various
purposes as required without interfering with the orderly liquidation of
securities in a Portfolio (but not for leveraging purposes), to margin
payments or pledges in connection with options, futures contracts, options on
futures contracts, forward contracts or options on foreign currencies or,
with respect to the Quality Bond Portfolio, to transactions in interest rate
swaps, caps and floors; or
o make loans (including lending cash or securities), except that this
restriction shall not apply to the High Yield and Government Portfolio.
Additionally, each of the other Portfolios may make loans of portfolio
securities not exceeding 50% of the value of that Portfolio's total assets.
This restriction does not prevent a Portfolio from purchasing debt
obligations in which a Portfolio may invest consistent with its investment
policies, or from buying government obligations, short-term commercial paper,
or publicly traded debt, including bonds, notes, debentures, certificates of
deposit, and equipment trust certificates, nor does this restriction apply to
loans made under insurance policies or through entry into repurchase
agreements to the extent they may be viewed as loans.
Each Portfolio, except as noted below, elects not to "concentrate"
investments in an industry, as that concept is defined under applicable
Federal securities laws. In general, this means that no Portfolio will make
an investment in an industry if that investment would make the Portfolio's
holding in that industry exceed 25% of the Portfolio's assets. However, this
restriction does not apply to investments by the Money Market Portfolio in
certificates of deposit or securities issued and guaranteed by domestic
banks. Furthermore, the U.S. Government, its agencies and instrumentalities
are not considered members of any industry. Each Portfolio intends to be
"diversified," as that term is defined under applicable Federal securities
laws. In general, this means that no Portfolio will make an investment
unless, when considering all its other investments, 75% of the value of the
Portfolio's assets would consist of cash, cash items, U. S. Government
securities, securities of other investment companies and other securities.
For the purposes of this restriction, "other securities" are limited for any
one issuer to not more than 5% of the value of the Portfolio's total assets
and to not more than 10% of the issuer's outstanding voting securities. As a
matter of operating policy, each Portfolio will not consider repurchase
agreements to be subject to the above-stated 5% limitation if all the
collateral underlying the repurchase agreements are U.S. Government
securities and such repurchase agreements are fully collateralized.
4
<PAGE>
Further, as a matter of operating policy, the Money Market Portfolio will
invest no more than 5% of the value of its total assets in securities of any
one issuer, other than U.S. Government securities, except that the Money
Market Portfolio may invest up to 25% of its total assets in First Tier
Securities (as defined in Rule 2a-7 under the Investment Company Act) of a
single issuer for a period of up to three business days after the purchase of
such security. Further, as a matter of operating policy, the Money Market
Portfolio will not invest more than (i) the greater of 1% of its total assets
or $1,000,000 in Second Tier Securities (as defined in Rule 2a-7 under the
Investment Company Act) of a single issuer and (ii) 5% of the Money Market
Portfolio's total assets, when acquired, in Second Tier Securities.
These policies of the Portfolios with respect to concentration and
diversification will not be changed for any Portfolio without a vote of that
Portfolio's shareholders, unless permitted by law.
NON-FUNDAMENTAL RESTRICTIONS
The following investment restrictions apply to all of the Portfolios, but are
not fundamental. They may be changed for any Portfolio without a vote of that
Portfolio's shareholders.
None of the Portfolios will:
o invest more than 15% of its assets in securities restricted as to
disposition under Federal securities laws, or securities otherwise considered
illiquid or not readily marketable, including repurchase agreements having a
maturity of more than seven days; however, this restriction will not apply to
securities sold pursuant to Rule 144A under the Securities Act of 1933, so
long as such securities meet liquidity guidelines to be established by the
Trust's Board of Trustees;
o trade in foreign exchange (except transactions incidental to the
settlement of purchases or sales of securities for a Portfolio); however, the
Global and International Portfolios may trade in foreign exchange without
limitation in connection with their foreign currency hedging strategies; and
the High Yield, Quality Bond, Growth and Income, Conservative Investors,
Balanced, Common Stock, Aggressive Stock and Growth Investors Portfolios may
trade in foreign exchange in connection with their foreign currency hedging
strategies, provided the amount of foreign exchange underlying such a
Portfolio's currency hedging transactions does not exceed 10% of such
Portfolio's assets;
o acquire securities of any company that is a securities broker or dealer,
a securities underwriter, an investment adviser of an investment company, or
an investment adviser registered under the Investment Advisers Act of 1940
(other than any such company that derives no more than 15% of its gross
revenues from securities related activities), except the Portfolios (other
than the Money Market Portfolio) may purchase bank, trust company, and bank
holding company stock, and except that each of the Portfolios may invest, in
accordance with Rule 12d3-1 under the Investment Company Act, up to 5% of its
total assets in any such company provided that it owns no more than 5% of the
outstanding equity securities of any class plus 10% of the outstanding debt
securities of such company; or
o make an investment in order to exercise control or management over a
company.
In addition, none of the Portfolios will invest more than 5% of its assets in
the securities of any one investment company, own more than 3% of any one
investment company's outstanding voting securities, or have total holdings of
investment company securities in excess of 10% of the value of the
Portfolio's assets.
ADDITIONAL INVESTMENT RESTRICTION THAT APPLIES TO THE COMMON STOCK, BALANCED,
AGGRESSIVE STOCK AND CONSERVATIVE INVESTORS PORTFOLIOS
The Common Stock, Balanced, Aggressive Stock and Conservative Investors
Portfolios will operate under the general investment restrictions described
above. In addition, they will not:
o acquire securities of investment companies not registered under the
Investment Company Act.
5
<PAGE>
ADDITIONAL INVESTMENT RESTRICTIONS THAT APPLY TO THE MONEY MARKET PORTFOLIO
The Money Market Portfolio will operate under the general investment
restrictions described above. In addition, it will not:
o invest more than 10% of its assets in securities restricted as to
disposition under Federal securities laws, or securities otherwise considered
illiquid or not readily marketable, including repurchase agreements having a
maturity of more than seven days; however, this restriction will not apply to
securities sold pursuant to Rule 144A under the Securities Act of 1933, so
long as such securities meet liquidity guidelines to be established by the
Trust's Board of Trustees;
o purchase oil and gas interests;
o purchase or write puts or calls (options); or
o purchase equity securities, voting securities other than securities of
registered investment companies with investment policies not substantially
broader than those of the Portfolio (subject to the above percentage
limitations) or local or state government securities.
The Money Market Portfolio will invest only in funds whose investment
policies are similar to or narrower than those of the Portfolio. It is
expected that such investments would be made in funds designed for
institutional investors such as the Portfolio and would be used for amounts
which might otherwise be left uninvested because they do not meet the
minimums necessary for other permitted investments or to take advantage of
higher yields available at that time in such funds.
ADDITIONAL INVESTMENT RESTRICTION THAT APPLIES TO THE HIGH YIELD AND GROWTH
INVESTORS PORTFOLIOS
The High Yield and Growth Investors Portfolios will operate under the general
investment restrictions described above. In addition, each will not:
o invest more than 10% of its total assets in (i) fixed income securities
which are rated lower than B3 by Moody's Investors Service, Inc. (Moody's) or
B- by Standard & Poor's Corporation (S&P) or are unrated, and (ii) money
market instruments of any entity which has an outstanding issue of unsecured
debt that is rated lower than B3 by Moody's or B- by S&P, or is unrated;
however this restriction will not apply to (i) fixed income securities which,
in the opinion of the Trust's investment adviser, have similar
characteristics to securities which are rated B3 or higher by Moody's or B-
or higher by S&P, or (ii) money market instruments of any entity that has an
unsecured issue of outstanding debt which, in the opinion of the Trust's
investment adviser, has similar characteristics to securities which are so
rated.
DESCRIPTION OF CERTAIN SECURITIES IN WHICH THE PORTFOLIOS MAY INVEST
REPURCHASE AGREEMENTS
All of the Portfolios, except the Equity Index Portfolio, may enter into
repurchase agreements. Under a repurchase agreement, underlying debt
instruments are acquired for a relatively short period (usually not more than
one week and never more than a year) subject to an obligation of the seller
to repurchase and the Portfolio to resell the instrument at a fixed price and
time, thereby determining the yield during the Portfolio's holding period.
This results in a fixed rate of return insulated from market fluctuation
during that holding period.
Repurchase agreements may have the characteristics of loans by the Portfolio.
During the term of the repurchase agreement, the Portfolio retains the
security subject to the repurchase agreement as collateral securing the
seller's repurchase obligation, continually monitors on a daily basis the
market value of the security subject to the agreement and requires the seller
to deposit with the Portfolio collateral equal to any amount by which the
market value of the security subject to the repurchase agreement falls below
the resale amount provided under the repurchase agreement. A Portfolio enters
into repurchase agreements with respect to United States Government
obligations, certificates of deposit, or bankers' acceptances with registered
broker-dealers, United States Government securities dealers or domestic banks
whose
6
<PAGE>
creditworthiness is determined to be satisfactory by the Trust's investment
adviser, Alliance Capital Management L.P. (Alliance), pursuant to guidelines
adopted by the Board of Trustees. Generally, a Portfolio does not invest in
repurchase agreements maturing in more than seven days. The staff of the
Securities and Exchange Commission (SEC) currently takes the position that
repurchase agreements maturing in more than seven days are illiquid
securities. No Portfolio will enter into a repurchase agreement maturing in
more than seven days if as a result more than 15% of the Portfolio's net
assets (10% for the Money Market Portfolio) would be invested in "illiquid
securities."
If a seller under a repurchase agreement were to default on the agreement and
be unable to repurchase the security subject to the agreement, the Portfolio
would look to the collateral underlying the seller's repurchase agreement,
including the security subject to the repurchase agreement, for satisfaction
of the seller's obligation to the Portfolio. In the event a repurchase
agreement is considered a loan and the seller defaults, the Portfolio might
incur a loss if the value of the collateral declines and may incur
disposition costs in liquidating the collateral. In addition, if bankruptcy
proceedings are commenced with respect to the seller, realization on the
collateral may be delayed or limited and a loss may be incurred.
FORWARD COMMITMENTS AND WHEN-ISSUED AND DELAYED DELIVERY SECURITIES
The Portfolios may enter into forward commitments for the purchase or sale of
securities and may purchase or sell securities on a "when-issued" or "delayed
delivery" basis. Forward commitments and when-issued or delayed delivery
transactions arise when securities are purchased by a Portfolio with payment
and delivery taking place in the future in order to secure what is considered
to be an advantageous price or yield to the Portfolio at the time of entering
into the transaction. However, the price of or yield on a comparable security
available when delivery takes place may vary from the price of or yield on
the security at the time that the forward commitment or when-issued or
delayed delivery transaction was entered into. Agreements for such purchases
might be entered into, for example, when a Portfolio anticipates a decline in
interest rates and is able to obtain a more advantageous price or yield by
committing currently to purchase securities to be issued later. When a
Portfolio purchases securities on a forward commitment, when-issued or
delayed delivery basis, it does not pay for the securities until they are
received, and the Portfolio is required to create a segregated account with
the Trust's custodian and to maintain in that account cash, U.S. Government
securities or other liquid high-grade debt obligations in an amount equal to
or greater than, on a daily basis, the amount of the Portfolio's forward
commitments, when-issued or delayed delivery commitments.
A Portfolio will only enter into forward commitments and make commitments to
purchase securities on a when-issued or delayed delivery basis with the
intention of actually acquiring the securities. However, the Portfolio may
sell these securities before the settlement date if it is deemed advisable as
a matter of investment strategy. Forward commitments and when-issued and
delayed delivery transactions are generally expected to settle within three
months from the date the transactions are entered into, although the
Portfolio may close out its position prior to the settlement date by entering
into a matching sale transaction.
Although none of the Portfolios intends to make such purchases for
speculative purposes and each Portfolio intends to adhere to the policies of
the SEC, purchases of securities on such bases may involve more risk than
other types of purchases. For example, by committing to purchase securities
in the future, a Portfolio subjects itself to a risk of loss on such
commitments as well as on its portfolio securities. Also, a Portfolio may
have to sell assets which have been set aside in order to meet redemptions.
In addition, if a Portfolio determines it is advisable as a matter of
investment strategy to sell the forward commitment or when-issued or delayed
delivery securities before delivery, that Portfolio may incur a gain or loss
because of market fluctuations since the time the commitment to purchase such
securities was made. Any such gain or loss would be treated as a capital gain
or loss and would be treated for tax purposes as such. When the time comes to
pay for the securities to be purchased under a forward commitment or on a
when-issued or delayed delivery basis, a Portfolio will meet its obligations
from the then available cash flow or the sale of securities, or, although it
would not normally expect to do so, from the sale of the forward commitment
or when-issued or delayed delivery securities themselves (which may have a
value greater or less than a Portfolio's payment obligation).
7
<PAGE>
WARRANTS
All the Portfolios, except the Money Market Portfolio, may purchase warrants
and similar rights, which are rights to purchase securities at specific
prices valid for a specific period of time. Their prices do not necessarily
move parallel to the prices of the underlying securities, and warrantholders
receive no dividends and have no voting rights or rights with respect to the
assets of an issuer. Warrants cease to have value if not exercised prior to
the expiration date.
FOREIGN SECURITIES
Each Portfolio, except the Government and Equity Index Portfolios, may invest
in foreign securities. Each of the Common Stock, Balanced, Quality Bond and
Aggressive Stock Portfolios has the discretion to invest a portion of its
assets in foreign securities. Generally, this amount will not exceed 20% of
each Portfolio's total assets. The Money Market Portfolio may invest up to
20% of its assets in foreign money market instruments denominated in U.S.
dollars. The Conservative Investors Portfolio may invest up to 15% of its
assets in foreign securities, the Growth Investors Portfolio may invest up to
30% of its assets in foreign securities, and the Growth and Income Portfolio
may invest up to 25% of its assets in foreign securities. The High Yield
Portfolio may purchase foreign securities, provided the value of issues
denominated in foreign currency shall not exceed 20% of the Portfolio's total
assets and the value of issues denominated in United States currency shall
not exceed 25% of the Portfolio's total assets.
No percentage limitation applies to investments in foreign securities by the
Global Portfolio or the International Portfolio.
Foreign securities involve currency risks. The value of a foreign security
denominated in foreign currency changes with variations in the exchange
rates. Fluctuations in exchange rates may also affect the earning power and
asset value of the foreign entity issuing a security, even one denominated in
U.S. dollars. Dividend and interest payments will be repatriated based on the
exchange rate at the time of disbursement, and restrictions on capital flows
may be imposed.
Foreign securities may be subject to foreign government taxes which reduce
their attractiveness. Other risks of investing in such securities include
political or economic instability in the country involved, the difficulty of
predicting international trade patterns and the possibility of imposition of
exchange controls. The prices of such securities may be more volatile than
those of domestic securities. In addition, there may be less publicly
available information about a foreign issuer than about a domestic issuer.
Foreign issuers generally are not subject to uniform accounting, auditing and
financial reporting standards comparable to those applicable to domestic
issuers. There is generally less regulation of stock exchanges, brokers,
banks and listed companies abroad than in the United States, and settlements
may be slower and may be subject to failure. With respect to certain foreign
countries, there is a possibility of expropriation of assets or
nationalization, imposition of withholding taxes on dividend or interest
payments, difficulty in obtaining and enforcing judgments against foreign
entities or diplomatic developments which could affect investment in these
countries. Losses and other expenses may be incurred in converting between
various currencies in connection with purchases and sales of foreign
securities.
For many foreign securities, there are U.S. dollar-denominated American
Depository Receipts (ADRs) which are traded in the United States on exchanges
or over-the-counter, are issued by domestic banks or trust companies and for
which market quotations are readily available. ADRs do not lessen the foreign
exchange risk inherent in investing in the securities of foreign issuers.
However, by investing in ADRs rather than directly in stock of foreign
issuers, the Portfolios will avoid currency risks which might occur during
the settlement period for either purchases or sales. A Portfolio may purchase
foreign securities directly, as well as through ADRs.
MORTGAGE-BACKED SECURITIES
Government National Mortgage Association (GNMA) certificates are
mortgage-backed securities representing part ownership of a pool of mortgage
loans. These loans, issued by lenders such as mortgage bankers, commercial
banks and savings and loan associations, are either insured by the Federal
Housing
8
<PAGE>
Administration or the Farmer's Home Administration or guaranteed by the
Veterans Administration. A "pool" or group of such mortgages is assembled and
after being approved by GNMA, is offered to investors through securities
dealers. Once approved by GNMA, the timely payment of interest and principal
on each mortgage is guaranteed by GNMA and backed by the full faith and
credit of the U.S. Treasury. GNMA certificates differ from bonds in that
principal is paid back monthly by the borrower over the term of the loan
rather than returned in a lump sum at maturity. GNMA certificates are called
"pass-through" securities because both interest and principal payments
(including prepayments) are passed through to the holder of the certificate.
In addition to GNMA certificates, a Portfolio (other than the Equity Index
Portfolio) may invest in mortgage-backed securities issued by the Federal
National Mortgage Association (FNMA) and by the Federal Home Loan Mortgage
Corporation (FHLMC). FNMA, a federally chartered and privately-owned
corporation, issues mortgage-backed pass-through securities which are
guaranteed as to timely payment of principal and interest by FNMA. FHLMC, a
corporate instrumentality of the United States whose stock is owned by the
Federal Home Loan Banks, issues participation certificates which represent an
interest in mortgages from FHLMC's portfolio. FHLMC guarantees the timely
payment of interest and the ultimate collection of principal. Securities
guaranteed by FNMA and FHLMC are not backed by the full faith and credit of
the United States. If other fixed or variable rate pass-through securities
issued by the United States Government or its agencies or instrumentalities
are developed in the future, the Portfolios reserve the right to invest in
them.
The Portfolios (other than the Equity Index Portfolio) may also invest in
other types of mortgage-backed securities issued by governmental or
non-governmental entities, such as banks and other mortgage lenders. These
other instruments include collateralized mortgage obligations (CMOs),
mortgage pass-through bonds and mortgage-backed bonds. Non-governmental
securities may offer a higher yield but may also be subject to greater price
fluctuation and risk than governmental securities.
CMOs are obligations fully collateralized directly or indirectly by a pool of
mortgages on which payments of principal and interest are passed through to
the holders of the CMOs on the same schedule as they are received, although
not necessarily on a pro rata basis. In reliance on an SEC interpretation,
investments in certain qualifying CMOs, including CMOs that have elected to
be treated as Real Estate Mortgage Investment Conduits (REMICs), are not
subject to the Investment Company Act's limitation on acquiring interests in
other investment companies. In order to be able to rely on the SEC's
interpretation, the CMOs and REMICs must be unmanaged, fixed-asset issuers
that (i) invest primarily in mortgage-backed securities, (ii) do not issue
redeemable securities, (iii) operate under general exemptive orders exempting
them from all provisions of the Investment Company Act, and (iv) are not
registered or regulated under the Investment Company Act as investment
companies. To the extent that a Portfolio selects CMOs or REMICs that do not
meet the above requirements, the Portfolio may not invest more than 10% of
its assets in all such entities and may not acquire more than 3% of the
voting securities of any single such entity. Mortgage-backed bonds are
general obligations of the issuer fully collateralized directly or indirectly
by a pool of mortgages. The mortgages serve as collateral for the issuer's
payment obligations on the mortgage-backed bonds but interest and principal
payments on the mortgages are not passed through directly (as with GNMA, FNMA
and FHLMC pass-through securities) or on a modified basis (as with CMOs).
Accordingly, a change in the rate of prepayments on the pool of mortgages
could change the effective maturity of a CMO but not the effective maturity
of a mortgage-backed bond (although, like many bonds, mortgage-backed bonds
may be callable by the issuer prior to maturity). It is expected that
governmental, government-related, or private entities may create mortgage
loan pools and other mortgage-backed securities offering mortgage
pass-through and mortgage-collateralized investments in addition to those
described above.
Commercial banks, savings and loans, private mortgage insurance companies,
mortgage bankers, and other secondary market issuers also create pass-through
pools of conventional residential mortgage loans. In addition, such issuers
may be the originators and/or servicers of the underlying mortgage loans as
well as the guarantors of the mortgage-backed securities. Pools created by
non-governmental issuers generally offer a higher rate of interest than
government and government-related pools because of the absence of direct or
indirect government or agency guarantors. Timely payment of interest and
principal with respect
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to these pools may be supported by various forms of insurance or guarantees,
including individual loan, title, pool and hazard insurance, and letters of
credit. The insurance, guarantees, and creditworthiness of the issuers
thereof will be considered in determining whether a mortgage-backed security
meets a Portfolio's investment quality standards. There is no assurance that
the private insurers or guarantors can meet their obligations under the
insurance policies or guarantee arrangements.
Each Portfolio (other than the Equity Index Portfolio) may buy
mortgage-backed securities without insurance or guarantees, if the investment
adviser determines that the securities meet the Portfolio's quality
standards. The investment adviser will, consistent with each Portfolio's
investment objectives, policies, and quality standards, consider making
investments in new types of mortgage-backed securities as such securities are
developed and offered to investors.
Prepayment of mortgages underlying mortgage-backed securities may reduce
their current yield and total return. During periods of declining interest
rates, such prepayments can be expected to accelerate and the Portfolios
would be required to reinvest the proceeds at the lower interest rates then
available. In addition, prepayments of mortgages which underlie securities
purchased at a premium could result in capital losses because the premium may
not have been fully amortized at the time the obligation is repaid. The
Portfolios do not intend to invest in these securities unless the Trust's
adviser believes that the potential benefits outweigh the risks.
ASSET-BACKED SECURITIES
The Portfolios (other than the Equity Index Portfolio) may purchase
asset-backed securities (unrelated to first mortgage loans) that represent
fractional interests in pools of retail installment loans, both secured (such
as Certificates for Automobile Receivables) and unsecured, leases or
revolving credit receivables both secured and unsecured (such as Credit Card
Receivable Securities). These assets are generally held by a special purpose
trust and payments of principal and interest or interest only are passed
through or paid through monthly or quarterly to certificate holders and may
be guaranteed up to certain amounts by letters of credit issued by a
financial institution affiliated or unaffiliated with the trustee or
originator of the trust.
Underlying automobile sales contracts, leases or credit card receivables are
subject to prepayment, which may reduce the overall return to certificate
holders. Nevertheless, for asset-backed securities, principal repayment rates
tend not to vary much with interest rates and the short-term nature of the
underlying car loans, leases or receivables tends to dampen the impact of any
change in the prepayment level. Certificate holders may also experience
delays in payment on the certificates if the full amounts due on underlying
sales contracts, leases or receivables are not realized by the Trust because
of unanticipated legal or administrative costs of enforcing the contracts or
because of depreciation or damage to the collateral (usually automobiles)
securing certain contracts, or other factors. If consistent with its
investment objective and policies, a Portfolio may invest in other
asset-backed securities that may be developed in the future.
SECURITIES ISSUED OR GUARANTEED BY THE U.S. GOVERNMENT OR ITS AGENCIES OR
INSTRUMENTALITIES
These securities include issues of the United States Treasury, such as bills,
certificates of indebtedness, notes and bonds, and issues of agencies and
instrumentalities established under the authority of an act of Congress.
Such agencies and instrumentalities include, but are not limited to, the
National Bank for Cooperatives, each of the Federal Financing Banks, FHLMC,
the Farm Credit Banks, Federal Land Banks, FNMA, Tennessee Valley Authority,
Farm Credit System, Farm Credit System Financial Assistance Corporation,
Inter-American Development Bank, Maritime Administration, Resolution Trust
Corporation, Federal Agricultural Mortgage Corporation, Small Business
Administration, U.S. Postal Service and Washington Metropolitan Transit
Authority.
Issues of the U.S. Treasury are direct obligations of the U.S. Government and
are backed by the full faith and credit of the United States. Issues of
agencies, such as GNMA, are guaranteed by the U.S. Treasury,
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and issues of other agencies and instrumentalities, such as FNMA, are
supported by the issuing agency's or instrumentality's right to borrow from
the U.S. Treasury, at the discretion of the U.S. Treasury, or are supported
by the issuing agency's or instrumentality's own credit.
CERTIFICATES OF DEPOSIT, BANKERS' ACCEPTANCES AND BANK TIME DEPOSITS
Certificates of deposit are receipts issued by a bank in exchange for the
deposit of funds. The issuer agrees to pay the amount deposited plus interest
to the bearer of the receipt on the date specified on the certificate. The
certificate usually can be traded in the secondary market prior to maturity.
Bankers' acceptances typically arise from short-term credit arrangements
designed to enable businesses to obtain funds to finance commercial
transactions. Generally, an acceptance is a time draft drawn on a bank by an
exporter or an importer to obtain a stated amount of funds to pay for
specific merchandise. The draft is then "accepted" by a bank that, in effect,
unconditionally guarantees to pay the face value of the instrument on its
maturity date. The acceptance may then be held by the accepting bank as an
earning asset or it may be sold in the secondary market at the going rate of
discount for a specific maturity. Although maturities for acceptances can be
as long as 270 days, most maturities are six months or less.
Bank time deposits are funds kept on deposit with a bank for a stated period
of time in an interest bearing account. At present, bank time deposits
maturing in more than seven days are not considered by management of the
Trust to be readily marketable and therefore are subject to the 15% limit on
illiquid securities.
COMMERCIAL PAPER, MASTER DEMAND NOTES AND FLOATING RATE NOTES
Commercial paper consists of short-term (usually from 1 to 270 days)
unsecured promissory notes issued by corporations in order to finance their
current operations.
Variable amount master demand notes are obligations that permit the
investment of fluctuating amounts by a Portfolio, at varying rates of
interest pursuant to direct arrangements between the Portfolio, as lender,
and the borrower. These notes permit daily changes in the amounts borrowed.
The Portfolio has the right to increase the amount under the note at any time
up to the full amount provided by the note agreement, or to decrease the
amount, and the borrower may repay up to the full amount of the note without
penalty. Because variable amount master notes are direct lending arrangements
between the lender and borrower, and not generally backed by bank letters of
credit, it is not generally contemplated that such instruments will be
traded, and there is no secondary market for these notes, although they are
redeemable (and thus immediately repayable by the borrower) at face value,
plus accrued interest, at any time. Therefore, the Portfolio's right to
redeem depends on the ability of the borrower to pay principal and interest
on demand. Variable amount master demand notes are valued at their face
amount (par) because of their one-day demand feature. In connection with
master demand note arrangements, the Portfolio considers earning power, cash
flow, and other liquidity ratios of the issuer. Master demand notes, as such,
are not typically rated by credit rating agencies.
Floating or variable rate notes are generally medium to long-term debt
securities, but may include short-term debt securities, issued by entities
such as commercial banks, corporations or sovereign borrowers. They are
interest bearing securities on which the coupon is adjusted periodically to
reflect money market conditions. The period at the end of which the
adjustment occurs is often called the interest reset period. The Portfolios
will buy only notes with an interest reset period of six months or less.
There is an active secondary market for floating or variable rate notes.
EURODOLLAR SECURITIES
Negotiable certificates of deposit and time deposits of foreign branches of
American or foreign banks payable in United States dollars are known as
Eurodollar deposits. Eurodollar securities also include bonds underwritten by
an international syndicate and sold "at issue" to non-U.S. investors. Such
securities are not registered with the SEC or issued domestically and are
primarily traded in foreign markets. Certain risks applicable to foreign
securities apply to Eurodollar instruments. Investment risks from these
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securities include future political and economic developments, possible
foreign withholding taxes on interest, possible seizure of foreign deposits,
or the possible establishment of exchange controls affecting payment on these
securities. See "Foreign Securities," above, for additional information about
foreign securities. In addition to those risks, foreign branches of American
and foreign banks have extensive government regulation which may limit both
the amount and type of loans and interest rates. In addition, the banking
industry's profitability is closely linked to prevailing money market
conditions for financing lending operations. Both general economic conditions
and credit risks play an important part in the operations of the industry.
American banks are required to maintain reserves, are limited in how much
they can loan a single borrower and are subject to other regulations to
promote financial soundness. Not all of these laws and regulations apply to
foreign branches of American and foreign banks. In addition, foreign
countries have accounting and reporting principles that differ from those in
the United States.
HIGH YIELD DEBT SECURITIES
The High Yield Portfolio, as described in the Prospectus, intends to invest
primarily in debt securities offering high current income. The Growth
Investors Portfolio may invest up to 15% of its total assets in such high
yield debt securities, and the Growth and Income Portfolio may invest up to
30% of its total assets in high yield convertible securities. High yield
securities may be medium and lower quality securities rated, for example, BB
or B by one of the nationally recognized statistical rating organizations
(NRSROs) or may be unrated but of similar investment quality as determined by
the Portfolio's investment adviser. These securities are also known as "junk
bonds." The market values of such high yield securities tend to reflect
individual corporate developments to a greater extent than higher rated
securities, which react primarily to fluctuations in the general level of
interest rates. Such medium and lower rated securities also tend to be more
sensitive to real or perceived adverse economic conditions than higher rated
securities.
Companies that issue high yield securities are often highly leveraged and may
not have available to them more traditional methods of financing. Therefore,
the risk associated with acquiring the securities of such issuers generally
is greater than is the case with higher rated securities. For example, during
an economic downturn or a sustained period of rising interest rates, highly
leveraged issuers of high yield securities may experience "financial stress"
and may not have sufficient revenues to meet their payment obligations. Such
an issuer's ability to service its obligations may also be adversely affected
by specific corporate developments, or the issuer's inability to meet
specific projected business forecasts, or the unavailability of additional
financing. Risk of loss due to default by the issuer is also significantly
greater for the holders of high yield securities because such securities are
generally unsecured and are generally subordinated to the debts of other
creditors of the issuer.
The High Yield, Growth and Income and Growth Investors Portfolios may have
difficulty disposing of certain high yield securities, particularly those
perceived to have a high credit risk, because there may be a thin trading
market for such securities. Because not all dealers maintain markets in all
high yield securities, there is no established retail secondary market for
certain of these securities, and the Portfolios anticipate that such
securities could be sold only to a limited number of dealers or institutional
investors. Moreover, to the extent a secondary trading market for high yield
securities does exist, it is generally less liquid than the secondary market
for higher rated securities. The lack of a highly liquid secondary market for
certain high yield securities may have an adverse impact on the market price
for such securities and each Portfolio's ability to dispose of particular
issues when necessary to meet the Portfolio's liquidity needs or in response
to a specific economic event such as a deterioration in the creditworthiness
of the issuer. Adverse publicity and investor perceptions, whether or not
based on fundamental analysis, may decrease the values and liquidity of high
yield securities, especially in a thinly traded market. The lack of a liquid
secondary market for certain securities may also make it more difficult for
the Portfolios to obtain accurate market quotations for purposes of valuing
certain of its high yield portfolio securities. Market quotations are
generally available on many high yield issues only from a limited number of
dealers and may not necessarily represent firm bids of such dealers or prices
for actual sales.
In addition, the market for high yield securities, at its current size, has
not weathered a major economic recession, and one cannot be certain what
effect such a recession might have on such securities. It is
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possible, however, that a recession could severely disrupt the market for
such medium and lower quality securities and may have an adverse impact on
the value of such securities. In addition, it is possible that an economic
downturn could adversely affect the ability of the issuers of such securities
to repay principal and pay interest on such securities.
From time to time, proposals have been discussed regarding new legislation
designed to limit the use of certain high yield securities by issuers in
connection with leveraged buy-outs, mergers and acquisitions, or to limit the
deductibility of interest payments on such securities. Such proposals if
enacted into law could: (i) reduce the market for such securities generally;
(ii) negatively affect the financial condition of issuers of high yield
securities by removing or reducing a source of future financing; and (iii)
negatively affect the value of specific high yield issues and the high yield
market in general.
Factors adversely impacting the market value of high yield securities may
adversely impact each Portfolio's net asset value. In addition, each
Portfolio may incur additional expenses to the extent it is required to seek
recovery upon a default in the payment of principal or interest on its
portfolio securities. The Portfolios will not rely primarily on ratings of
NRSROs, but rather will rely on the investment adviser's judgment, analysis
and experience in evaluating the creditworthiness of an issuer. In evaluating
such securities, Alliance will take into consideration, among other things,
the issuer's financial resources, its sensitivity to economic conditions and
trends, its operating history, the quality of the issuer's management and
regulatory matters.
TRANSACTIONS IN OPTIONS, FUTURES AND FORWARD CONTRACTS
To the extent provided below, the Portfolios may enter into transactions in
options, futures and forward contracts on a variety of instruments and
indexes, in order to protect against declines in the value of portfolio
securities and increases in the cost of securities to be acquired and, in the
case of options written on securities or indexes of securities, to increase a
Portfolio's return. All the Portfolios, except the Money Market Portfolio,
are authorized to engage in futures transactions. In general, the Portfolios
will limit their use of futures contracts and options on futures contracts so
that either (i) the contracts or options thereon are for "bona fide hedging"
purposes as defined under regulations of the Commodity Futures Trading
Commission (CFTC) or (2) if for other purposes, no more than 5% of the
liquidation value of each Portfolio's total assets will be used for initial
margin or option premiums required to establish non-hedging positions. These
instruments will be used for hedging purposes and not for speculation or to
leverage the Portfolios.
OPTIONS ON SECURITIES
Writing Call Options. Every Portfolio, except the Money Market and Equity
Index Portfolios, may write (sell) covered call options on its portfolio
securities in an attempt to enhance investment performance. A call option is
a contract which gives the purchaser of the option (in return for a premium
paid) the right to buy, and the writer of the option (in return for a premium
received) the obligation to sell, the underlying security at the exercise
price at any time prior to the expiration of the option, regardless of the
market price of the security during the option period. A covered call option
is, for example, a call option written on a security that is owned by the
writer (or on a security convertible into such a security without additional
consideration) throughout the option period.
A Portfolio will write covered call options both to reduce the risks
associated with certain of its investments and to increase total investment
return through the receipt of premiums. In return for the premium income, the
Portfolio will give up the opportunity to profit from an increase in the
market price of the underlying security above the exercise price so long as
its obligations under the contract continue, except insofar as the premium
represents a profit. Moreover, in writing the call option, the Portfolio will
retain the risk of loss should the price of the security decline. The premium
is intended to offset that loss in whole or in part. Unlike the situation in
which the Portfolio owns securities not subject to a call option, the
Portfolio, in writing call options, must assume that the call may be
exercised at any time prior to the expiration of its obligation as a writer,
and that in such circumstances the net proceeds realized from the sale of the
underlying securities pursuant to the call may be substantially below the
prevailing market price.
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A Portfolio may terminate its obligation under an option it has written by
buying an identical option. Such a transaction is called a "closing purchase
transaction." The Portfolio will realize a gain or loss from a closing
purchase transaction if the amount paid to purchase a call option is less or
more than the amount received from the sale of the corresponding call option.
Also, because increases in the market price of a call option will generally
reflect increases in the market price of the underlying security, any loss
resulting from the exercise or closing out of a call option is likely to be
offset in whole or part by unrealized appreciation of the underlying security
owned by the Portfolio. When an underlying security is sold from the
Portfolio's securities portfolio, the Portfolio will effect a closing
purchase transaction so as to close out any existing covered call option on
that underlying security. A closing purchase transaction for exchange-traded
options may be made only on a national securities exchange (exchange). There
is no assurance that a liquid secondary market on an exchange will exist for
any particular option, or at any particular time, and for some options, such
as over-the-counter options, no secondary market on an exchange may exist. If
the Portfolio is unable to effect a closing purchase transaction, the
Portfolio will not sell the underlying security until the option expires or
the Portfolio delivers the underlying security upon exercise.
Writing Put Options. The writer of a put option becomes obligated to purchase
the underlying security at a specified price during the option period if the
buyer elects to exercise the option before its expiration date. A Portfolio
which writes a put option will be required to "cover" it, for example, by
depositing and maintaining in a segregated account with its custodian cash,
United States Government securities or other liquid high-grade debt
obligations having a value equal to or greater than the exercise price of the
option.
The Portfolios, except the Money Market and Equity Index Portfolios, may
write put options either to earn additional income in the form of option
premiums (anticipating that the price of the underlying security will remain
stable or rise during the option period and the option will therefore not be
exercised) or to acquire the underlying security at a net cost below the
current value (e.g., the option is exercised because of a decline in the
price of the underlying security, but the amount paid by the Portfolio,
offset by the option premium, is less than the current price). The risk of
either strategy is that the price of the underlying security may decline by
an amount greater than the premium received. The premium which a Portfolio
receives from writing a put option will reflect, among other things, the
current market price of the underlying security, the relationship of the
exercise price to that market price, the historical price volatility of the
underlying security, the option period, supply and demand and interest rates.
A Portfolio may effect a closing purchase transaction to realize a profit on
an outstanding put option or to prevent an outstanding put option from being
exercised. If a Portfolio is able to enter into a closing purchase
transaction, the Portfolio will realize a profit (or loss) from that
transaction if the cost of the transaction is less (or more) than the premium
received from the writing of the option. After writing a put option, a
Portfolio may incur a loss equal to the difference between the exercise price
of the option and the sum of the market value of the underlying security plus
the premiums received from the sale of the option.
Purchasing Options. The Portfolios, except the Money Market and Equity Index
Portfolios, may purchase put options and call options. The Portfolios may
purchase put options on securities to protect their holdings against a
substantial decline in market value. The purchase of put options on
securities will enable a Portfolio to preserve, at least partially,
unrealized gains in an appreciated security in its portfolio without actually
selling the security. In addition, the Portfolio will continue to receive
interest or dividend income on the security. The Portfolios may also purchase
call options on securities to protect against substantial increases in prices
of securities the Portfolios intend to purchase pending their ability to
invest in an orderly manner in those securities. The Portfolios may sell put
or call options they have previously purchased, which could result in a net
gain or loss depending on whether the amount received on the sale is more or
less than the premium and other transaction costs paid on the put or call
option which was bought.
SECURITIES INDEX OPTIONS
The Portfolios, except for the Money Market and Equity Index Portfolios, may
write covered put and call options and purchase call and put options on
securities indexes for the purpose of hedging against the risk
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of unfavorable price movements adversely affecting the value of a Portfolio's
securities or securities it intends to purchase. Each Portfolio writes only
"covered" options. A call option on a securities index is considered covered,
for example, if, so long as the Portfolio is obligated as the writer of the
call, it holds securities the price changes of which are, in the opinion of
Alliance, expected to replicate substantially the movement of the index or
indexes upon which the options written by the Portfolio are based. A put on a
securities index written by a Portfolio will be considered covered if, so
long as it is obligated as the writer of the put, the Portfolio segregates
with its custodian cash, United States Government securities or other liquid
high-grade debt obligations having a value equal to or greater than the
exercise price of the option. Unlike a stock option, which gives the holder
the right to purchase or sell a specified stock at a specified price, an
option on a securities index gives the holder the right to receive a cash
"exercise settlement amount" equal to (i) the difference between the exercise
price of the option and the value of the underlying stock index on the
exercise date, multiplied by (ii) a fixed "index multiplier."
A securities index fluctuates with changes in the market values of the
securities so included. For example, some securities index options are based
on a broad market index such as the S&P 500 or the NYSE Composite Index, or a
narrower market index such as the S&P 100. Indexes may also be based on an
industry or market segment such as the AMEX Oil and Gas Index or the Computer
and Business Equipment Index. Options on stock indexes are currently traded
on the following exchanges among others: The Chicago Board Options Exchange;
New York Stock Exchange; and American Stock Exchange.
The effectiveness of hedging through the purchase of securities index options
will depend upon the extent to which price movements in the portion of the
securities portfolio being hedged correlate with price movements in the
selected securities index. Perfect correlation is not possible because the
securities held or to be acquired by a Portfolio will not exactly match the
composition of the securities indexes on which options are written. In the
purchase of securities index options the principal risk is that the premium
and transaction costs paid by a Portfolio in purchasing an option will be
lost if the changes (increase in the case of a call, decrease in the case of
a put) in the level of the index do not exceed the cost of the option.
In writing securities index options, the principal risk is that price changes
in the hedged securities will not correlate with price changes in the
options, and thus the Portfolio could bear a loss on the options that would
be only partially offset (or not offset at all) by the increased value or
reduced cost of the hedged securities. Moreover, in the event the Portfolio
were unable to close an option it had written, it might be unable to sell the
securities used as cover.
OVER-THE-COUNTER OPTIONS
Options traded in the over-the-counter market may not be as actively traded
as those on an exchange. Accordingly, it may be more difficult to value such
options. In addition, it may be difficult to enter into closing transactions
with respect to options traded over-the-counter. The Portfolios will engage
in such transactions only with firms of sufficient credit so as to minimize
these risks. Such options and the securities used as "cover" for such options
may be considered illiquid securities.
The Portfolios may enter into contracts (or amend existing contracts) with
primary dealer(s) with whom they write over-the-counter options. The
contracts will provide that each Portfolio has the absolute right to
repurchase an option it writes at any time at a repurchase price which
represents the fair market value, as determined in good faith through
negotiation between the parties, but which in no event will exceed a price
determined pursuant to a formula contained in the contract. Although the
specific details of the formula may vary between contracts with different
primary dealers, the formula will generally be based on a multiple of the
premium received by each Portfolio for writing the option, plus the amount,
if any, of the option's intrinsic value (i.e., the amount the option is
"in-the-money"). The formula will also include a factor to account for the
difference between the price of the security and the strike price of the
option if the option is written "out-of-the-money." Although the specific
details of the formula may vary with different primary dealers, each contract
will provide a formula to determine the maximum price at which each Portfolio
can repurchase the option at any time. The Portfolios have established
standards of creditworthiness for these primary dealers, although the
Portfolios may still be subject to the risk that firms participating in such
transactions will fail to meet their obligations. In instances in which a
Portfolio
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has entered into agreements with respect to the over-the-counter options it
has written, and such agreements would enable the Portfolio to have an
absolute right to repurchase at a pre-established formula price the
over-the-counter option written by it, the Portfolio would treat as illiquid
only securities equal in amount to the formula price described above less the
amount by which the option is "in-the-money," i.e., the amount by which the
price of the option exceeds the exercise price.
FUTURES TRANSACTIONS
All the Portfolios, except the Money Market Portfolio, may trade in certain
futures contracts. A futures contract is a bilateral agreement to buy or sell
a security (or deliver a cash settlement price, in the case of a contract
relating to an index or otherwise not calling for physical delivery at the
end of trading in the contracts) for a set price in the future. No purchase
price is paid or received when the contract is entered into. Instead, a good
faith deposit known as initial margin is made with the broker and subsequent
daily payments known as variation margin are made to and by the broker
reflecting changes in the value of the security or level of the index.
Futures contracts are designated by boards of trade which have been
designated "contracts markets" by the CFTC. By using futures contracts as a
risk management technique, given the greater liquidity in the futures market
than in the cash market, it might be possible to accomplish certain results
more quickly and with lower transaction costs.
Purchases or sales of securities index futures contracts may be used to
attempt to protect a Portfolio's current or intended investments from broad
fluctuations in securities prices, and interest rate and foreign currency
futures contracts are purchased or sold to attempt to hedge against the
effects of interest or exchange rate changes on a Portfolio's current or
intended investments in fixed income or foreign securities. All the
Portfolios, except the Money Market, Equity Index and Government Portfolios,
may trade in foreign currency futures contracts. In the event that an
anticipated decrease in the value of portfolio securities occurs as a result
of a general stock market decline, a general increase in interest rates or a
decline in the dollar value of foreign currencies in which portfolio
securities are denominated, the adverse effects of such changes may be
offset, in whole or part, by gains on the sale of futures contracts. In
addition, the increased cost of portfolio securities to be acquired, caused
by a general rise in the dollar value of foreign currencies or by a rise in
stock prices or a decline in interest rates, may be offset, in whole or part,
by gains on futures contracts purchased by a Portfolio. In order to achieve
desired asset mix parameters, the Conservative Investors and Growth Investors
Portfolios may use futures contracts and related options transactions to
establish a position in an asset class as a temporary substitute for
purchasing individual securities, which may be subsequently purchased in
orderly fashion. Similarly, these transactions may enable the Conservative
Investors and Growth Investors Portfolios to reduce a position in an asset
class as a temporary substitute for selling individual securities, in order
to effect an orderly sale program. In the case of the Equity Index Portfolio,
futures contracts and related options on the S&P 500 Index may be purchased
in order to reduce brokerage costs, maintain liquidity to meet shareholder
redemptions or minimize tracking error. A Portfolio will incur brokerage fees
when it purchases and sells futures contracts, and it will be required to
maintain margin deposits. (See "Risks of Transactions in Options, Futures
Contracts and Forward Currency Contracts," below.) Positions taken in the
futures markets are not normally held until delivery or cash settlement is
required, but are instead liquidated through offsetting transactions which
may result in a gain or a loss. While futures positions taken by a Portfolio
will usually be liquidated in this manner, the Portfolio may instead make or
take delivery of underlying securities whenever it appears economically
advantageous to the Portfolio to do so. A clearing organization associated
with the exchange on which futures are traded assumes responsibility for
closing out transactions and guarantees that as between the clearing members
of an exchange, the sale and purchase obligations will be performed with
regard to all positions that remain open at the termination of the contract.
SECURITIES INDEX FUTURES CONTRACTS
A securities index futures contract does not require the physical delivery of
securities, but merely provides for profits and losses resulting from changes
in the market value of the contract to be credited or debited at the close of
each trading day to the respective accounts of the parties to the contract.
On the contract's
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expiration date a final cash settlement occurs and the futures positions are
simply closed out. Changes in the market value of a particular index futures
contract reflect changes in the specified index of securities on which the
future is based.
By establishing an appropriate "short" position in index futures, a Portfolio
may seek to protect the value of its portfolio against an overall decline in
the market for such securities. Alternatively, in anticipation of a generally
rising market, a Portfolio can seek to avoid losing the benefit of apparently
low current prices by establishing a "long" position in securities index
futures and later liquidating that position as particular securities are in
fact acquired. To the extent that these hedging strategies are successful,
the Portfolio will be affected to a lesser degree by adverse overall market
price movements than would otherwise be the case.
OPTIONS ON FUTURES CONTRACTS
Each of the Portfolios, other than the Money Market Portfolio, may also
purchase and write exchange-traded call and put options on futures contracts
of the type which the particular Portfolio is authorized to enter into. These
options are traded on exchanges that are licensed and regulated by the CFTC
for the purpose of options trading. A call option on a futures contract gives
the purchaser the right, in return for the premium paid, to purchase a
futures contract (assume a "long" position) at a specified exercise price at
any time before the option expires. A put option gives the purchaser the
right, in return for the premium paid, to sell a futures contract (assume a
"short" position), for a specified exercise price, at any time before the
option expires. The Portfolios will write only options on futures contracts
which are "covered." A Portfolio will be considered "covered" with respect to
a put option it has written if, so long as it is obligated as a writer of the
put, the Portfolio segregates with its custodian cash, United States
Government securities or liquid high-grade debt obligations at all times
equal to or greater than the aggregate exercise price of the puts it has
written (less any related margin deposited with the futures broker). A
Portfolio will be considered "covered" with respect to a call option it has
written on a debt security future if, so long as it is obligated as a writer
of the call, the Portfolio owns a security deliverable under the futures
contract. A Portfolio will be considered "covered" with respect to a call it
has written on a securities index future if the Portfolio owns, so long as
the Portfolio is obligated as the writer of the call, a portfolio of
securities the price changes of which are, in the opinion of Alliance,
expected to replicate substantially the movement of the index upon which the
futures contract is based.
Upon the exercise of a call, the writer of the option is obligated to sell
the futures contract (to deliver a "long" position to the option holder) at
the option exercise price, which will presumably be lower than the current
market price of the contract in the futures market. Upon exercise of a put,
the writer of the option is obligated to purchase the futures contract
(deliver a "short" position to the option holder) at the option exercise
price which will presumably be higher than the current market price of the
contract in the futures market. When the holder of an option exercises it and
assumes a long futures position, in the case of a call, or a short futures
position, in the case of a put, its gain will be credited to its futures
margin account, while the loss suffered by the writer of the option will be
debited to its account and must be immediately paid by the writer. However,
as with the trading of futures, most participants in the options markets do
not seek to realize their gains or losses by exercise of their option rights.
Instead, the holder of an option will usually realize a gain or loss by
buying or selling an offsetting option at a market price that will reflect an
increase or a decrease from the premium originally paid.
Options on futures contracts can be used by a Portfolio to hedge
substantially the same risks as might be addressed by the direct purchase or
sale of the underlying futures contracts. If the Portfolio purchases an
option on a futures contract, it may obtain benefits similar to those that
would result if it held the futures position itself. Purchases of options on
futures contracts may present less risk in hedging than the purchase and sale
of the underlying futures contracts since the potential loss is limited to
the amount of the premium plus related transaction costs.
The purchase of put options on futures contracts is a means of hedging a
portfolio of securities against a general decline in market prices. The
purchase of a call option on a futures contract represents a means of hedging
against a market advance when a Portfolio is not fully invested.
17
<PAGE>
If a Portfolio writes options on futures contracts, the Portfolio will
receive a premium but will assume a risk of adverse movement in the price of
the underlying futures contract comparable to that involved in holding a
futures position. If the option is not exercised, the Portfolio will realize
a gain in the amount of the premium, which may partially offset unfavorable
changes in the value of securities held in or to be acquired for the
Portfolio. If the option is exercised, the Portfolio will incur a loss in the
option transaction, which will be reduced by the amount of the premium it has
received, but which will offset any favorable changes in the value of its
portfolio securities or, in the case of a put, lower prices of securities it
intends to acquire.
The writing of a call option on a futures contract constitutes a partial
hedge against declining prices of the underlying securities. If the futures
price at expiration is below the exercise price, the Portfolio will retain
the full amount of the option premium, which provides a partial hedge against
any decline that may have occurred in the value of the Portfolio's holdings
of securities. The writing of a put option on a futures contract is analogous
to the purchase of a futures contract in that it hedges against an increase
in the price of securities the Portfolio intends to acquire. However, the
hedge is limited to the amount of premium received for writing the put.
While the holder or writer of an option on a futures contract may normally
terminate its position by selling or purchasing an offsetting option of the
same series, a Portfolio's ability to establish and close out options
positions at fairly established prices will be subject to the existence of a
liquid market. The Portfolios will not purchase or write options on futures
contracts unless, in Alliance's opinion, the market for such options has
sufficient liquidity that the risks associated with such options transactions
are not at unacceptable levels.
LIMITATIONS ON PURCHASE AND SALE OF FUTURES CONTRACTS AND OPTIONS ON FUTURES
CONTRACTS
The Portfolios will not engage in transactions in futures contracts and
related options for speculation. All the Portfolios, other than the Money
Market Portfolio, may enter into futures contracts and buy and sell related
options as described above. The Portfolios will not purchase or sell futures
contracts or related options unless either (1) the futures contracts or
options thereon are purchased for "bona fide hedging" purposes (as that term
is defined under the CFTC regulations) or (2) if purchased for other
purposes, the sum of the amounts of initial margin deposits on a Portfolio's
existing futures and premiums required to establish non-hedging positions
would not exceed 5% of the liquidation value of the Portfolio's total assets.
In instances involving the purchase of futures contracts or the writing of
put options thereon by a Portfolio, an amount of cash and cash equivalents,
equal to the cost of such futures contracts or options written (less any
related margin deposits), will be deposited in a segregated account with its
custodian, thereby insuring that the use of such futures contracts and
options is unleveraged. In instances involving the sale of futures contracts
or the writing of call options thereon by a Portfolio, the securities
underlying such futures contracts or options will at all times be maintained
by the Portfolio or, in the case of index futures and related options, the
Portfolio will own securities the price changes of which are, in the opinion
of Alliance, expected to replicate substantially the movement of the index
upon which the futures contract or option is based.
Positions in futures contracts may be closed out only on an exchange or a
board of trade which provides the market for such futures. Although the
Portfolios intend to purchase or sell futures only on exchanges or boards of
trade where there appears to be an active market, there is no guarantee that
such will exist for any particular contract or at any particular time. If
there is not a liquid market at a particular time, it may not be possible to
close a futures position at such time, and, in the event of adverse price
movements, a Portfolio would continue to be required to make daily cash
payments of maintenance margin. However, in the event futures positions are
used to hedge portfolio securities, the securities will not be sold until the
futures positions can be liquidated. In such circumstances, an increase in
the price of securities, if any, may partially or completely offset losses on
the futures contracts.
FOREIGN CURRENCY OPTIONS, FOREIGN CURRENCY FUTURES CONTRACTS AND OPTIONS ON
FUTURES
The Portfolios, other than the Money Market, Government and Equity Index
Portfolios, may purchase or sell exchange-traded or over-the-counter foreign
currency options, foreign currency futures contracts
18
<PAGE>
and related options on foreign currency futures contracts as a hedge against
possible variations in foreign exchange rates. The Portfolios will write
options on foreign currency or on foreign currency futures contracts only if
they are "covered." A put on a foreign currency or on a foreign currency
futures contract written by a Portfolio will be considered "covered" if, so
long as the Portfolio is obligated as the writer of the put, it segregates
with the Portfolio's custodian cash, U.S. Government securities or other
liquid high-grade debt securities equal at all times to the aggregate
exercise price of the put. A call on a foreign currency or on a foreign
currency future contract written by the Portfolio will be considered
"covered" only if the Portfolio owns short term debt securities with a value
equal to the face amount of the option contract and denominated in the
currency upon which the call is written. Option transactions may be effected
to hedge the currency risk on non-U.S. dollar-denominated securities owned by
a Portfolio, sold by a Portfolio but not yet delivered or anticipated to be
purchased by a Portfolio. As an illustration, a Portfolio may use such
techniques to hedge the stated value in U.S. dollars of an investment in a
Japanese yen-denominated security. In these circumstances, a Portfolio may
purchase a foreign currency put option enabling it to sell a specified amount
of yen for dollars at a specified price by a future date. To the extent the
hedge is successful, a loss in the value of the dollar relative to the yen
will tend to be offset by an increase in the value of the put option. As in
the case of other types of options, however, the writing of an option on
foreign currency will constitute only a partial hedge, up to the amount of
the premium received, and the Portfolio could be required to purchase or sell
foreign currencies at disadvantageous exchange rates, thereby incurring
losses. The purchase of an option on foreign currency may constitute an
effective hedge against fluctuations in exchange rates although, in the event
of rate movements adverse to the Portfolio's position, it may forfeit the
entire amount of the premium plus related transaction costs.
Certain differences exist between foreign currency hedging instruments.
Foreign currency options provide the holder the right to buy or to sell a
currency at a fixed price on or before a future date. Listed options are
third-party contracts (performance is guaranteed by an exchange or clearing
corporation) which are issued by a clearing corporation, traded on an
exchange and have standardized prices and expiration dates. Over-the-counter
options are two-party contracts and have negotiated prices and expiration
dates. See "Over-the-Counter Options," above. A futures contract on a foreign
currency is an agreement between two parties to buy and sell a specified
amount of the currency for a set price on a future date. Futures contracts
and listed options on futures contracts are traded on boards of trade or
futures exchanges. Options traded in the over-the-counter market may not be
as actively traded as those on an exchange, so it may be more difficult to
value such options. In addition, it may be difficult to enter into closing
transactions with respect to options traded over-the-counter.
A Portfolio will not speculate in foreign currency options, futures or
related options. Accordingly, a Portfolio will not hedge a currency
substantially in excess of the market value of the securities denominated in
that currency which it owns or the expected acquisition price of securities
which it anticipates purchasing.
Hedging against a decline in the value of a currency does not eliminate
fluctuations in the prices of portfolio securities or prevent losses if the
prices of such securities decline. These hedging transactions also preclude
the opportunity for gain if the value of the hedged currency should rise.
Whether a currency hedge benefits a Portfolio will depend on Alliance's
ability to predict future currency exchange rates.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
When a Portfolio invests in foreign securities, the securities are usually
denominated in foreign currency, and the Portfolio may temporarily hold
foreign currency in connection with such investments. As a result, the value
of the Portfolio's assets will be subject to fluctuations based on changes in
the relative value of the foreign currency and the United States dollar. To
control the effects of this exchange risk, all the Portfolios, except the
Money Market, Equity Index and Government Portfolios, may enter into forward
foreign currency exchange contracts (forward currency contracts), which are
agreements to purchase or sell foreign currencies at a specified future date
and price. Forward currency contracts are usually used to fix the United
States dollar value of securities a Portfolio has agreed to buy or sell
(transaction hedging). The Portfolios may also use forward currency contracts
to hedge the United States dollar value of securities it already owns
(position hedging). The Portfolios will not speculate in forward currency
contracts.
19
<PAGE>
In general, forward currency contracts are not regulated by any governmental
authority, or guaranteed by a third party or traded on an exchange.
Accordingly, each party to a forward currency contract is dependent upon the
creditworthiness and good faith of the other. Creditworthiness is evaluated
by Alliance.
RISKS OF TRANSACTIONS IN OPTIONS, FUTURES CONTRACTS AND FORWARD CURRENCY
CONTRACTS
Although the Portfolios will enter into transactions in futures contracts,
options on securities and securities indexes, options on futures contracts,
forward currency contracts and certain currency options as described above
for hedging purposes, and transactions in options on securities and
securities indexes to generate option premium income, their use does involve
the following risks. A lack of correlation between the index or instrument
underlying an option or futures contract and the assets being hedged, or
unexpected adverse price movements, could render a Portfolio's hedging
strategy unsuccessful and could result in losses. Moreover, when an option
has been written, in the event of a decline, the underlying position is only
hedged to the extent of the amount of premium received. Over-the-counter
transactions in options on foreign currencies and options on securities and
securities indexes also involve a lack of an organized exchange trading
environment, making them less liquid, and making it more difficult to value
them than if they were exchange traded.
In addition, there can be no assurance that a liquid secondary market will
exist for any futures contract or option purchased or sold, and a Portfolio
may be required to maintain a position until exercise or expiration, which
could result in losses. If a futures market were to become unavailable, in
the event of an adverse movement, the Portfolio would be required to continue
to make daily cash payments of variation margin if it could not close a
futures position. If an options market were to become unavailable and a
closing transaction could not be entered into, an option holder would be able
to realize profits or limit losses only by exercising an option, and an
option writer would remain obligated until exercise or expiration. Finally,
if a broker or clearing member of an options or futures clearing corporation
were to become insolvent, the Portfolios could experience delays and might
not be able to trade or exercise options or futures purchased through that
broker. In addition, the Portfolios could have some or all of their positions
closed out without their consent. If substantial and widespread, these
insolvencies could ultimately impair the ability of the clearing corporations
themselves. While the principal purpose of hedging is to limit the effects of
adverse market movements, the attendant expense may cause the Portfolios'
returns to be less than if hedging had not taken place. The overall
effectiveness of hedging therefore depends on Alliance's accuracy in
predicting future changes in interest rate levels or securities price
movements, as well as on the expense of hedging.
20
<PAGE>
MANAGEMENT OF THE TRUST
As of March 31, 1996, the Trustees and officers of the Trust owned Contracts
entitling them to provide voting instructions in the aggregate with respect
to less than one percent of the Trust's shares of beneficial interest.
THE TRUSTEES
<TABLE>
<CAPTION>
NAME, ADDRESS AND AGE PRINCIPAL OCCUPATION DURING LAST FIVE YEARS
- ------------------------------------ ----------------------------------------------------------------
<S> <C>
*John D. Carifa (51)................ President, Chief Operating Officer and a Director of Alliance
Alliance Capital Management L.P. Capital Management Corporation, the general partner of Alliance
1345 Avenue of the Americas ("ACMC"); Chairman and Chief Executive Officer of Alliance's
New York, NY 10105 Mutual Fund Division. Mr. Carifa also serves as a director or
trustee of all other registered investment companies sponsored
by Alliance, and a director of Frontier Trust Company, a
subsidiary of Equitable.
Richard W. Couper (73)............. President Emeritus and Trustee of Woodrow Wilson
The Burke Library National Fellowship Foundation and President Emeritus of the New
Hamilton College York Public Library.
P.O. Box 345
Clinton, NY 13323-0345
Brenton W. Harries (68)............ Director of Enhance Reinsurance Co. since December 1986. Mr.
14 Point Road Harries was also President and Chief Executive Officer, Global
Wilton Point, Electronic Markets Company from August 1985 to October 1986
South Norwalk, CT 06854
Howard E. Hassler (Chairman) (66).. Currently a consultant specializing in retailing, finance and
200 East 57th Street real estate. Former Chairman and Chief Executive Officer of
Penthouse D Brooks Fashion Stores, Inc. (specialty clothing stores); Former
New York, NY 10022 Chairman, President and Chief Operating Officer of Allied Stores
Corporation (department and specialty stores), 1987; Executive
Vice President and Director,
Allied Stores Corporation from June 1984 to June 1987.
William L. Mannion (65)............ Retired. Former Group Senior Vice President of Operations of
45 Bonnie Way American Ultramar Limited until December 31, 1986.
Allendale, NJ 07401
Alton G. Marshall (74)............. Senior Fellow, Nelson A. Rockefeller Institute of Government
136 E. 79th Street since January 1991. Mr. Marshall is also President of Alton G.
New York, NY 10021 Marshall Associates, Inc., New York, New York, a real estate
investment corporation, since 1981; Director of EQK Partners,
Atlanta, Georgia, since 1984; Director, New York State Electric
& Gas Corp., since 1971; Director and Chairman of the Executive
Committee of Lincoln Savings Bank since January 1991, and
Chairman and Chief Executive Officer of such bank from March
1984 through December 1990.
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
NAME, ADDRESS AND AGE PRINCIPAL OCCUPATION DURING LAST FIVE YEARS
- ------------------------------------ ----------------------------------------------------------------
<S> <C>
*Peter D. Noris (40)..................Executive Vice President and Chief Investment Officer of
Equitable Equitable since May 1995; prior thereto, Vice President of
787 Seventh Avenue Salomon Brothers Inc., from 1992 to 1995. Principal of
New York, NY 10019 Equity Division, Morgan Stanley & Co. Inc., from 1984 to 1992.
Director of Equitable Variable and Equitable Real Estate
Investment Management, Inc. since September 1995 and of ACMC
since July 1995.
Donald J. Robinson (61)............ Partner and Member of the Executive Committee of the law firm of
599 Lexington Avenue Orrick, Herrington & Sutcliffe from July 1987 to December 1994.
New York, NY 10022 Of Counsel since January 1995.
Doris H. Smith (65) ................ Former President, College of Mount Saint Vincent.
3961 Carpenter Avenue
Bronx, New York 10466
</TABLE>
* Trustees Carifa and Noris are "interested persons" (as defined in the
Investment Company Act) of the Trust. Mr. Carifa is deemed an "interested
person" of the Trust by virtue of his position as a director and officer of
ACMC. Mr. Noris is deemed an "interested person" of the Trust by virtue of
his position as an officer of Equitable and a director of ACMC.
Trustees Couper, Harries and Robinson are Trustees (but not "interested
persons") of The Alliance Portfolios, a mutual fund. Trustee Robinson is also
a director or trustee (but not an "interested person") of three other mutual
funds advised by Alliance. Trustee Marshall is an independent general partner
(but not an "interested person") of Equitable Capital Partners, L.P. and
Equitable Capital Partners (Retirement Fund), L.P., both of which are
business development companies registered under the Investment Company Act.
COMMITTEES OF THE BOARD
The Trust has a standing audit committee consisting of Trustees Mannion,
Couper, Harries, Hassler, Marshall, Robinson and Smith. The audit committee's
function is to recommend to the Board of Trustees a firm of independent
auditors to conduct the annual audit of the Trust's financial statements;
review with such firm the outline, scope and results of this annual audit;
and review the performance and fees charged by the independent auditors for
professional services. In addition, the committee meets with the independent
auditors and representatives of management to review accounting activities
and areas of financial reporting and control. The Trust has no standing
executive committee.
The Trust has a nominating committee consisting of Trustees Hassler, Couper
and Robinson. This committee considers individuals for nomination as Trustees
of the Trust.
The Trust has a valuation committee consisting of Trustees Harries, Mannion
and Noris. This committee determines the value of any of the Trust's
securities and assets for which market quotations are not readily available
or for which valuation cannot otherwise be provided.
The Trust has a compensation committee consisting of Trustees Robinson,
Hassler and Mannion. The compensation committee's function is to review the
Trustees' compensation arrangements.
The Trust has a conflicts committee consisting of Trustees Hassler, Robinson
and Smith. The conflicts committee's function is to take any action necessary
to resolve conflicts among shareholders.
22
<PAGE>
TRUSTEE COMPENSATION TABLE
<TABLE>
<CAPTION>
TOTAL
PENSION OR COMPENSATION FROM
RETIREMENT THE ALLIANCE FUND
AGGREGATE BENEFITS ACCRUED ESTIMATED ANNUAL COMPLEX,
COMPENSATION AS PART OF TRUST BENEFITS UPON INCLUDING THE
TRUSTEE FROM THE TRUST EXPENSES RETIREMENT TRUST1
- ------------------ -------------- ---------------- ---------------- -----------------
<S> <C> <C> <C> <C>
John D. Carifa $ -0- $-0- $-0- $ -0-
- ------------------ -------------- ---------------- ---------------- -----------------
Richard W. Couper $42,500 $-0- $-0- $ 66,500
- ------------------ -------------- ---------------- ---------------- -----------------
Brenton W. Harries $42,500 $-0- $-0- $ 66,500
- ------------------ -------------- ---------------- ---------------- -----------------
Howard E. Hassler $55,750 $-0- $-0- $ 55,750
- ------------------ -------------- ---------------- ---------------- -----------------
William L. Mannion $44,500(3) $-0- $-0- $ 44,500
- ------------------ -------------- ---------------- ---------------- -----------------
Alton G. Marshall $42,500 $-0- $-0- $112,000
- ------------------ -------------- ---------------- ---------------- -----------------
Peter D. Noris $ -0- $-0- $-0- $ -0-
- ------------------ -------------- ---------------- ---------------- -----------------
Donald J. Robinson $42,500(2) $-0- $-0- $ 60,500
- ------------------ -------------- ---------------- ---------------- -----------------
Doris H. Smith $40,500 $-0- $-0- $ 40,500
- ------------------ -------------- ---------------- ---------------- -----------------
</TABLE>
- ------------
(1) There are 107 investment companies in the Alliance Fund Complex.
(2) Including amounts deferred.
(3) Completely deferred.
COMPENSATION OF TRUSTEES
Each Trustee, other than those who are "interested persons" of the Trust (as
defined in the Investment Company Act), receives from the Trust an annual fee
of $29,000, plus an additional fee of $4,000 per board meeting and $2,000 per
committee meeting attended. The meeting fee paid to the Trustee acting as
chairman of the meeting is increased by 50%. The Chairman of the Board
receives an additional annual retainer of $7,000. Trustees receive $1,000 for
each day spent performing special services requested by the Chairman or the
President of the Trust, and reimbursement for expenses in connection with the
performance of regular and special services.
During the year ended December 31, 1995 the Trust paid total retainer and
meeting fees of $310,750 (including deferrals of $69,000).
A deferred compensation plan for the benefit of the Trustees has been adopted
by the Trust. Under the plan each Trustee may defer payment of all or part of
the fees payable for such Trustee's services. Each Trustee may defer payment
of such fees until his retirement as a Trustee or until the earlier
attainment of a specified age. Fees deferred under the plan, together with
accrued interest thereon, will be disbursed to a participating Trustee in
monthly installments over a five to twenty year period elected by such
Trustee.
THE TRUST'S OFFICERS
No officer of the Trust receives any compensation paid by the Trust. Each
officer of the Trust is an employee of Alliance or Equitable. The Trust's
principal executive officers are:
<TABLE>
<CAPTION>
NAME AND AGE POSITION WITH TRUST PRINCIPAL OCCUPATION DURING LAST FIVE YEARS
- ----------------------------- --------------------------------- -----------------------------------------------
<S> <C> <C>
James M. Benson (49) President and Chief Executive President and Chief Operating Officer,
Officer Equitable (February 1994 to present); Senior
Executive Vice President, Equitable (April 1993
to February 1994); Director, Association for
Advanced Life Underwriting, Health Plans, Inc.
(August 1988 to present).
</TABLE>
23
<PAGE>
<TABLE>
<CAPTION>
NAME AND AGE POSITION WITH TRUST PRINCIPAL OCCUPATION DURING LAST FIVE YEARS
- ----------------------------- --------------------------------- -----------------------------------------------
<S> <C> <C>
Mark D. Gersten (45) Treasurer and Chief Financial Senior Vice President, Alliance Fund Services,
Officer Inc. (AFS) with which he has been associated
since prior to 1991.
Laura Mah (40) Controller and Chief Accounting Vice President, Alliance Capital Management
Officer Corporation (ACMC) (July 1993 to present);
Equitable Capital Management Corporation (ECMC)
(April 1989 to July 1993).
Bruce Calvert (49) Vice President Vice Chairman and Chief Investment Officer of
ACMC with which he has been associated since
prior to 1991.
Kathleen A. Corbet (36) Vice President Senior Vice President, ACMC (July 1993 to
present); Executive Vice President, ECMC (June
1992 to July 1993); Senior Vice President, ECMC
(May 1991 to June 1992); Managing Director,
ECMC (September 1988 to May 1991).
Nelson R. Jantzen (51) Vice President Senior Vice President, ACMC (July 1993 to
present); Executive Vice President, ECMC (June
1992 to July 1993); Senior Vice President, ECMC
(February 1990 to June 1992); Managing
Director, ECMC (January 1987 to February 1990).
Director, Equitable Capital DHO Ltd. (November
1990 to July 1993); Secretary and Treasurer,
Equitable Capital Diversified Holdings L.P. II
(February 1990 to July 1993); Secretary and
Treasurer, Equitable Capital Diverisifed
Holdings L.P. I (May 1989 to July 1993);
Investment Officer, Equitable Variable
(February 1977 to July 1993); Investment
Officer, Equitable (February 1977 to July
1993).
Barbara J. Krumsiek (43) Vice President Senior Vice President, Alliance Fund
Distributors Inc. (AFD) (July 1993 to present);
Executive Vice President, ECMC (June 1992 to
July 1993); Senior Vice President, ECMC (March
1987 to June 1992).
Wayne D. Lyski (54) Vice President Executive Vice President, ACMC with which he
has been associated since prior to 1991.
</TABLE>
24
<PAGE>
<TABLE>
<CAPTION>
NAME AND AGE POSITION WITH TRUST PRINCIPAL OCCUPATION DURING LAST FIVE YEARS
- ----------------------------- --------------------------------- -----------------------------------------------
<S> <C> <C>
Michael S. Martin (49) Vice President Chairman and Director, Equico Securities, Inc.
(January 1992 to present); Chairman and
Director, TRAEBCO (January 1992 to present);
Chairman and Director, Frontier Trust Company
(January 1992 to present); Senior Vice
President, Equitable (January 1988 to present).
Samuel B. Shlesinger (49) Vice President Senior Vice President, Equitable Variable
(February 1986 to present); Senior Vice
President, Equitable (November 1986 to
present); President and Chief Executive
Officer, Equitable of Colorado (October 1985 to
present).
Alden M. Stewart (50) Vice President Executive Vice President, ACMC (July 1993 to
present); ECMC since prior to 1991.
Edmund P. Bergan, Jr. (45) Secretary Senior Vice President and General Counsel, AFD
with which he has been associated since prior
to 1991.
</TABLE>
25
<PAGE>
INVESTMENT ADVISORY AND OTHER SERVICES
GENERAL INFORMATION
Alliance, an investment adviser registered with the SEC under the Investment
Advisers Act of 1940, has served as the investment adviser to the Trust since
July 22, 1993. Alliance is a major international investment adviser that
serves its clients, who primarily are major corporate employee benefit funds,
public employee retirement systems, investment companies, foundations and
endowment funds, with a staff of more than 1,400 employees operating out of
domestic offices and the overseas offices of subsidiaries in London, England;
Tokyo, Japan; Vancouver and Toronto, Canada; Melbourne, Australia; and
Dusseldorf, Germany. The principal offices of Alliance are located at 1345
Avenue of the Americas, New York, New York 10105.
Alliance is a publicly-traded Delaware limited partnership whose limited
partnership interests, represented by units, are listed on the New York Stock
Exchange. As of March 1, 1996, ACMC, Inc. and Equitable Capital Management
Corporation, each a wholly-owned direct or indirect subsidiary of Equitable,
owned in the aggregate approximately 57.6% of the issued and outstanding
units representing assignments of beneficial ownership of limited partnership
interests in the Adviser ("Units"), and approximately 32.4% and 10.0% of the
Units were owned by the public and employees of the Adviser and its
subsidiaries, respectively, calculated. ACMC, the sole general partner of,
and the owner of a 1% general partnership interest in, Alliance, is a
wholly-owned subsidiary of Equitable Investment Corporation (EIC), which in
turn is wholly-owned by Equitable Holding Corporation (EHC), a wholly-owned
subsidiary of Equitable.
Equitable, which is a New York life insurance company and one of the largest
life insurance companies in the United States, is a wholly-owned subsidiary
of The Equitable Companies Incorporated (The Equitable Companies), a
publicly-owned holding company. The principal offices of The Equitable
Companies and Equitable are located at 787 Seventh Avenue, New York, New York
10019.
AXA, a French insurance holding company, currently owns approximately 63.9%
of the outstanding voting shares of common stock of The Equitable Companies.
Under its investment arrangements with Equitable and The Equitable Companies,
AXA is able to exercise significant influence over the operations and capital
structure of The Equitable Companies, Equitable and their subsidiaries. AXA
is the principal holding company for most of the companies in one of the
largest insurance groups in Europe. The majority of AXA's stock is owned by a
group of five French mutual insurance companies, the AXA Group, which is the
third largest insurance group in France and one of the largest insurance
groups in Europe. Principally engaged in property and casualty insurance and
life insurance in Europe and elsewhere in the world, the AXA Group is also
involved in real estate operations and certain other financial services,
including mutual fund management, lease financing services and brokerage
services.
ADVISORY AGREEMENT
The Investment Advisory Agreement terminates automatically in the event of
its assignment or, with respect to any Portfolio, upon 60 days' notice given
by the Trust's Board of Trustees, by Alliance or by majority vote (as defined
in the Investment Company Act and the rules thereunder) of the Portfolio's
shares. Otherwise, the term of the Investment Advisory Agreement on behalf of
each Portfolio is two years, but the Agreement will remain in effect from
year to year with respect to any Portfolio so long as its continuance is
approved at least annually by a majority of the non-interested members of the
Board of Trustees, and by (i) a majority vote (as defined in the Investment
Company Act and the rules thereunder) of the Portfolio's shareholders or (ii)
the Board of Trustees.
26
<PAGE>
The advisory fee payable by the Trust is at the following annual percentages
of the value of each Portfolio's daily average net assets:
<TABLE>
<CAPTION>
DAILY AVERAGE NET ASSETS
----------------------------------------------------
FIRST $350 NEXT $400 OVER $750
MILLION MILLION MILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Conservative Investors .... .550% .525% .500%
Balanced ................... .400% .375% .350%
Growth Investors ........... .550% .525% .500%
Common Stock ............... .400% .375% .350%
Global ..................... .550% .525% .500%
Aggressive Stock ........... .500% .475% .450%
Money Market ............... .400% .375% .350%
Intermediate Goverment
Securities ................ .500% .475% .450%
High Yield ................. .550% .525% .500%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$500 MILLION $500 MILLION $1 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Growth and Income .......... .550% .525% .500%
Quality Bond ............... .550% .525% .500%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$750 MILLION $750 MILLION $1.5 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Equity Index ............... .350% .300% .250%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$500 MILLION $1 BILLION $1.5 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
International .............. .900% .850% .800%
</TABLE>
Because of undertakings made by Equitable Variable in connection with the
Reorganization, Equitable Variable reimburses the Common Stock and Money
Market Divisions of its Continuing Separate Account to offset completely the
effect on such divisions of the portion of the Trust's advisory fees
applicable to such divisions which exceed a .25% effective annual rate. In
addition, Equitable Variable reimburses the High Yield, Aggressive Stock and
Balanced Divisions of its Separate Account I for the portion of the Trust's
advisory fees applicable to those divisions which exceeds a .25% effective
annual rate. Because of expense limits in the variable annuity contracts
funded by its Separate Account A, Equitable reimburses the Common Stock,
Money Market and Balanced Division of that separate account for the portion
of the Trust's advisory fees applicable to those divisions which exceeds a
.26% effective rate, and the Aggressive Stock Division for the portion that
exceeds a .41% effective rate. Policies sold by insurers other than Equitable
and Equitable Variable and newer policy designs of Equitable Variable bear
the advisory fees without adjustment. For a discussion of the Reorganization,
see "General Information," above.
In 1995, the Trust paid advisory fees of $40,636,168 to Alliance. In 1994,
the Trust paid advisory fees of $31,614,475 to Alliance. In 1993, the Trust
paid advisory fees of $15,066,885 to Equitable Capital Management Corporation
(Equitable Capital), the Trust's prior investment adviser, for the period
January 1, 1993 to July 22, 1993 and advisory fees of $9,858,491 to Alliance
for the period July 23, 1993 to December 31, 1993.
27
<PAGE>
SPECIFIC SERVICES PERFORMED
Alliance performs the following services for or on behalf of the Trust
pursuant to the Investment Advisory Agreement.
Subject to the approval and supervision of the Board of Trustees, Alliance
exercises overall responsibility for the investment and reinvestment of the
Trust's assets. Alliance manages each Portfolio and is responsible for the
investment operations of the Trust and the composition of each Portfolio,
including the purchase, retention and disposition of the investments,
securities and cash contained therein, in accordance with each Portfolio's
investment objectives and policies as stated in the Trust's Declaration of
Trust, By-laws, Prospectus and SAI as from time to time in effect. In
connection therewith, Alliance provides investment research and supervision
of the Trust's investments and conducts a continuous program of investment
evaluation and, if appropriate, sales and reinvestment of the Trust's assets.
Alliance furnishes to the Trust such statistical information, with respect to
the investments which the Trust may hold or contemplate purchasing, as the
Trust may reasonably request. On Alliance's own initiative, it apprises the
Trust of important developments materially affecting each Portfolio and
furnishes the Trust from time to time such information as it may believe
appropriate for this purpose. In addition, Alliance furnishes to the Board of
Trustees such periodic and special reports as the Board may reasonably
request. Alliance also implements all purchases and sales of investments for
each Portfolio in a manner consistent with such investment policies, as from
time to time amended.
Alliance, on behalf of the Trust, arranges for the placement of orders and
other execution of transactions for each Portfolio. Alliance furnishes to the
Trust, at least once every three months, a schedule of the investments and
other assets held in each Portfolio and a statement of all purchases and
sales for each Portfolio made during the period since the last preceding
report. Alliance prepares the financial statements for the Trust's
Prospectuses, SAIs and annual and semi-annual reports to shareholders and
furnishes such other investment accounting services as the Trust may from
time to time reasonably request. Alliance computes the Trust's net asset
value per share for each Portfolio on a daily basis.
At the Trust's request, Alliance provides, without charge, personnel, who may
be the Trust's officers, to render such clerical, accounting, administrative
and other services, other than investor services, to the Trust as it may from
time to time request. Also, Alliance furnishes to the Trust, without charge,
such office facilities, which may be Alliance's own offices, as Alliance may
believe appropriate or as the Trust may reasonably request, subject to the
requirements of any regulatory authority to which Alliance may be subject.
However, the Trust may also hire its own employees and contract for services
to be performed by third parties.
Pursuant to the terms of the Investment Advisory Agreement, Alliance has
contracted with Equitable for the provision of certain administrative
services to the Trust.
Alliance also performs investment advisory services for certain of
Equitable's separate and advisory accounts and for other clients, including
mutual funds registered as investment companies under the Investment Company
Act, some of which fund Contracts issued by Equitable, Equitable Variable and
certain other unaffiliated insurance companies. There are occasions on which
transactions for the Trust may be executed as part of concurrent
authorizations to purchase or sell the same security for Equitable's general
account or for other accounts or investment companies managed by Equitable or
Alliance. These concurrent authorizations potentially can be either
advantageous or disadvantageous to the Trust. When these concurrent
authorizations occur, the objective is to allocate the executions and related
brokerage charges among the accounts or mutual funds in an equitable manner.
BROKERAGE ALLOCATION
SELECTION OF BROKERS
Pursuant to the Investment Advisory Agreement, Alliance, on behalf of the
Trust, arranges for the placement of orders and other transactions for each
Portfolio.
28
<PAGE>
BROKERAGE COMMISSIONS
The Portfolios are charged for securities brokers' commissions, transfer
taxes and similar fees relating to securities transactions. Alliance seeks to
obtain the best price and execution on all orders placed for the Portfolios,
considering all the circumstances except to the extent it may be permitted to
pay higher commissions as described below.
It is expected that securities will ordinarily be purchased in the primary
markets, whether over-the- counter or listed, and that listed securities may
be purchased in the over-the-counter market if that market is deemed the
primary market.
Transactions on stock exchanges involve the payment of brokerage commissions.
In transactions on stock exchanges in the United States, these commissions
are negotiated, whereas on many foreign stock exchanges these commissions are
fixed. However, brokerage commission rates in certain countries in which the
Portfolios may invest may be discounted for certain large domestic and
foreign investors such as the Portfolios. A number of foreign banks and
brokers will be used for execution of each Portfolio's portfolio
transactions. In the case of securities traded in the foreign and domestic
over-the-counter markets, there is generally no stated commission, but the
price usually includes an undisclosed com- mission or mark-up. In
underwritten offerings, the price generally includes a disclosed fixed
commission or discount.
Alliance may, in the allocation of brokerage business, take into
consideration research and other brokerage services provided by brokers and
dealers to Equitable or Alliance. The research services include economic,
market, industry and company research material. Based upon an assessment of
the value of research and other brokerage services provided, proposed
allocations of brokerage for commission transactions are periodically
prepared internally.
In limited cases, certain brokers have been advised informally that, although
the Trust is under no legal obligation, an attempt will be made to meet the
internally proposed level of allocated brokerage business to the broker for
brokerage and research services over a period of time. Equitable Variable and
its affiliates, in their insurance and investment operations, and Alliance,
in its investment advisory operations, engage in transactions in the normal
course of business with brokers and dealers which execute orders of the
Portfolios. The allocation of the Trust's portfolio brokerage business is not
affected by such transactions.
Commissions charged by brokers which provide research services may be
somewhat higher than commissions charged by brokers which do not provide
them. As permitted by Section 28(e) of the Securities Exchange Act of 1934
and by policies adopted by the Trustees, Alliance may cause the Trust to pay
a broker-dealer which provides brokerage and research services to Alliance an
amount of commission for effecting a securities transaction for the Trust in
excess of the commission another broker-dealer would have charged for
effecting that transaction.
Alliance does not engage brokers whose commissions it believes to be
unreasonable in relation to services provided. The overall reasonableness of
commissions paid will be evaluated by rating brokers on such general factors
as execution capabilities, quality of research (that is, quantity and quality
of information provided, diversity of sources utilized, nature and frequency
of communication, professional experience, analytical ability and
professional stature of the broker) and financial standing, as well as the
net results of specific transactions, taking into account such factors as
price, promptness, size of order and difficulty of execution. The research
services obtained will, in general, be used by Alliance for the benefit of
all accounts for which it makes investment decisions. The receipt of research
services from brokers will tend to reduce Alliance's expenses in managing the
Portfolios other than the Money Market Portfolio. This has been taken into
account when setting the amount paid for managing those Portfolios. Although
orders may be given by the Money Market Portfolio to brokers or dealers which
provide research services to Alliance, the fact that the investment adviser
may benefit from such research has not been considered when setting the
amount paid for managing that Portfolio. This is because Money Market
Portfolio transactions will generally be with issuers or market makers where
no commissions are charged. In 1993 the Trust paid an aggregate of
$14,267,261 in brokerage commissions of which $2,154,951 was paid to
29
<PAGE>
brokers relating to transactions aggregating $1,230,357,454 which were
directed to them in part for research services provided by them. In 1994 the
Trust paid an aggregate of $15,624,978 in brokerage commissions of which
$3,918,833 was paid to brokers relating to transactions aggregating
$1,594,352,806 which were directed to them in part for research services
provided by them. In 1995 the Trust paid an aggregate of $21,329,056 in
brokerage commissions of which $18,468,344 was paid to brokers relating to
transactions aggregating $8,928,306,482 which were directed to them in part
for research services provided by them.
BROKERAGE TRANSACTIONS WITH AFFILIATES
To the extent permitted by law, the Trust may engage in brokerage
transactions with its affiliate, Donaldson, Lufkin & Jenrette, Inc. (DLJ),
with brokers who are DLJ affiliates, or with unaffiliated brokers who trade
or clear through DLJ. The Investment Company Act generally prohibits the
Trust from engaging in securities transactions with DLJ or its affiliates, as
principal, unless pursuant to an exemptive order from the SEC. The Trust may
apply for such exemptive relief. The Trust has adopted procedures, prescribed
by the Investment Company Act, which are reasonably designed to provide that
any commissions or other remuneration it pays to DLJ or its affiliates do not
exceed the usual and customary broker's commission. In addition, the Trust
will adhere to the requirements under the Securities Exchange Act of 1934
governing floor trading. Also, due to securities law limitations, the Trust
will limit purchases of securities in a public offering, if such securities
are underwritten by DLJ or its affiliates. During the years ended December
31, 1993, December 31, 1994, and December 31, 1995, the Trust paid no
brokerage commissions to DLJ.
TRUST EXPENSES AND OTHER CHARGES
Pursuant to the Trust's Investment Advisory Agreement, Alliance is obligated
to pay all of the Trust's operating expenses not specifically assumed by the
Trust. In addition, as principal underwriter, Equitable Variable will bear
the Trust's marketing expenses. Although the Trust does specifically assume
certain of its operating expenses (in addition to the investment advisory
fee), a daily adjustment will be made in the values under certain Contracts
outstanding and offered by Equitable and Equitable Variable when their
management separate accounts were reorganized into unit investment trust form
to offset completely the impact of any such expense on values under such
Contracts. Contracts sold by insurers other than Equitable and Equitable
Variable and new policy designs of Equitable and Equitable Variable bear such
expenses without adjustment. Although Equitable and Equitable Variable do not
expect the Trust to incur any federal income or excise tax liability (see
"Dividends, Distributions and Taxes" in the Prospectus), Equitable and
Equitable Variable reserve the right to exclude any such taxes from such
adjustments.
The expenses which the Trust will pay directly are set forth in the
Prospectus.
PURCHASE AND PRICING OF SECURITIES
As stated in the Prospectus, the Trust will offer and sell its shares at each
Portfolio's per share net asset value, which will be determined in the manner
set forth below.
The net asset value of the shares of each Portfolio of the Trust will be
determined once daily, immediately after the declaration of dividends, if
any, at the close of business on each business day. The net asset value per
share of each Portfolio will be computed by dividing the sum of the
investments held by that Portfolio, plus any cash or other assets, minus all
liabilities, by the total number of outstanding shares of that Portfolio at
such time. All expenses borne by the Trust, including the investment advisory
fee payable to Alliance, will be accrued daily.
The net asset value per share of any series (i.e., Portfolio) will be
determined and computed as follows, in accordance with generally accepted
accounting principles, and consistent with the Investment Company Act:
o The assets belonging to each series will include (a) all consideration
received by the Trust for the issue or sale of shares of that particular
series, together with all assets in which such consideration
30
<PAGE>
is invested or reinvested, (b) all income, earnings, profits, and proceeds
thereof, including any proceeds derived from the sale, exchange or
liquidation of such assets, (c) any funds or payments derived from any
reinvestment of such proceeds in whatever form the same may be and (d)
General Items, if any, allocated to that series. General Items includes any
assets, income, earnings, profits, and proceeds thereof, funds, or payments
which are not readily identifiable as belonging to any particular series.
General Items will be allocated as the Trust's Board of Trustees considers
fair and equitable.
o The liabilities belonging to each series will include (a) the
liabilities of the Trust in respect of that series, (b) all expenses, costs,
charges and reserves attributable to that series, and (c) any general
liabilities, expenses, costs, charges or reserves of the Trust which are not
readily identifiable as belonging to any particular series which have been
allocated as the Trust's Board of Trustees considers fair and equitable.
The value of each Portfolio will be determined at the close of business on
each "business day," i.e., each day in which the degree of trading in the
Portfolio might materially affect the net asset value of such Portfolio.
Normally, this would be each day that the New York Stock Exchange is open and
would include some Federal holidays. For stocks and options, the close of
trading is the 4:00 p.m. and 4:15 p.m. close respectively of the New York
Stock Exchange and the Options Price Reporting Authority; for bonds it is the
close of business in New York City, and for foreign securities it is the
close of business in the applicable foreign country with exchange rates
determined at 2:00 p.m. New York City time.
Values are determined according to accepted accounting practices and all laws
and regulations that apply. The assets of each Portfolio are valued as
follows:
o Stocks listed on national securities exchanges and certain
over-the-counter issues traded on the NASDAQ national market system are
valued at the last sale price, or, if there is no sale, at the latest
available bid price. Other unlisted stocks are valued at their last sale
price or, if there is no reported sale during the day, at a bid price
estimated by a broker.
o Foreign securities not traded directly, or in American Depositary
Receipt or similar form in the United States, are valued at representative
quoted prices in the currency of the country of origin. Foreign currency is
converted into its U.S. dollar equivalent at current exchange rates.
o U.S. Treasury securities and other obligations issued or guaranteed by
the U.S. Government, its agencies or instrumentalities, are valued at
representative quoted prices.
o Long-term corporate bonds are valued at prices obtained from a bond
pricing service of a major dealer in bonds when such prices are available;
however, when such prices are not available, such bonds are valued at a bid
price estimated by a broker.
o Short-term debt securities in the Portfolios other than the Money
Market Portfolio which mature in 60 days or less are valued at amortized
cost, which approximates market value. Short-term debt securities in such
Portfolios which mature in more than 60 days are valued at representative
quoted prices. Securities held by the Money Market Portfolio are valued at
prices based on equivalent yields or yield spreads.
o Convertible preferred stocks listed on national securities exchanges
are valued as of their last sale price or, if there is no sale, at the latest
available bid price.
o Convertible bonds, and unlisted convertible preferred stocks, are
valued at bid prices obtained from one or more of the major dealers in such
bonds or stocks. Where there is a discrepancy between dealers, values may be
adjusted based on recent premium spreads to the underlying common stocks.
o Mortgage backed and asset backed securities are valued at prices
obtained from a bond pricing service where available, or at a bid price
obtained from one or more of the major dealers in such securities. If a
quoted price is unavailable, an equivalent yield or yield spread quotes will
be obtained from a broker and converted to a price.
31
<PAGE>
o Purchased options, including options on futures, are valued at their
last bid price. Written options are valued at their last asked price.
o Futures contracts are valued as of their last sale price or, if there
is no sale, at the latest available bid price.
o Other securities and assets for which market quotations are not readily
available or for which valuation cannot be provided are valued in good faith
by the valuation committee of the Board of Trustees using its best judgment.
The market value of a put or call option will usually reflect, among other
factors, the market price of the underlying security.
When the Trust writes a call option, an amount equal to the premium received
by the Trust is included in the Trust's financial statements as an asset and
an equivalent liability. The amount of the liability is subsequently
marked-to-market to reflect the current market value of the option written.
When an option expires on its stipulated expiration date or the Trust enters
into a closing purchase or sale transaction, the Trust realizes a gain (or
loss) without regard to any unrealized gain or loss on the underlying
security, and the liability related to such option is extinguished. When an
option is exercised, the Trust realizes a gain or loss from the sale of the
underlying security, and the proceeds of sale are increased by the premium
originally received, or reduced by the price paid for the option.
Alliance may, from time to time, under the general supervision of the Board
of Trustees or its valuation committee, utilize the services of one or more
pricing services available in valuing the assets of the Trust. Alliance will
continuously monitor the performance of these services.
CERTAIN TAX CONSIDERATIONS
Each Portfolio is treated for Federal income tax purposes as a separate
taxpayer. The Trust intends that each Portfolio shall qualify each year and
elect to be treated as a regulated investment company under Subchapter M of
the Internal Revenue Code of 1986 (the Code). Such qualification does not
involve supervision of management or investment practices or policies by any
governmental agency or bureau.
As a regulated investment company, each Portfolio will not be subject to
federal income or excise tax on any of its net investment income or net
realized capital gains which are timely distributed to shareholders under the
Code. Under present law, as a Massachusetts business trust doing business in
New York, a Portfolio will also not be subject to any excise or income taxes
in Massachusetts or New York on such amounts. A number of technical rules are
prescribed for computing net investment income and net capital gains. For
example, dividends are generally treated as received on the ex-dividend date.
Also, certain foreign currency losses and capital losses arising after
October 31 of a given year may be treated as if they arise on the first day
of the next taxable year.
Portfolios investing in foreign securities or currencies may be subject to
foreign taxes which could reduce the investment performance of such
Portfolios. However, if foreign securities comprise more than 50% of the
year-end value of any Portfolio, the Portfolio may elect to pass through such
foreign taxes as a deemed dividend to shareholders. In such a case the
shareholder and not the Portfolio would be entitled to claim a Federal tax
deduction or credit for foreign taxes, as appropriate. As of December 31,
1994 only the Global Portfolio qualified to pass through foreign tax paid to
its shareholders.
To qualify for treatment as a regulated investment company, a Portfolio must,
among other things, derive in each taxable year at least 90% of its gross
income from dividends, interest, payments with respect to securities loans,
gains from the sale or other disposition of stock or securities or foreign
currencies, or other income derived with respect to its business of
investing. A Portfolio must also derive less than 30% of its gross income in
each taxable year from gains from the sale or other disposition of stock or
securities held for less than three months. Other investments subject to this
three-month limit are options, futures or forward contracts (other than those
relating to foreign currency), or in certain circumstances, foreign
currencies and related options, futures and forward contracts the gains on
which are not directly related
32
<PAGE>
to the Portfolio's business of investing in stock or securities. This 30%
rule may be inapplicable in the context of certain abnormal redemptions of
Portfolio shares. For purposes of these tests, gross income is determined
without regard to losses from the sale or other disposition of stock or
securities.
In addition, the Secretary of the Treasury has regulatory authority to
exclude from qualifying income described above foreign currency gains which
are not "directly related" to a regulated investment company's "principal
business of investing" in stock, securities or related options or futures.
The Secretary of the Treasury has not to date exercised this authority.
Generally, in order to avoid a 4% nondeductible excise tax, each Portfolio of
the Trust must distribute to its shareholders during the calendar year the
following amounts:
o 98% of the Portfolio's ordinary income for the calendar year;
o 98% of the Portfolio's capital gain net income (all capital gains, both
long-term and short-term, minus all such capital losses), all computed as if
the Portfolio were on a taxable year ending October 31 of the year in
question and beginning the previous November 1; and
o any undistributed ordinary income or capital gain net income for the
prior year.
The excise tax is inapplicable to any regulated investment company whose sole
shareholders are either tax-exempt pension trusts or separate accounts of
life insurance companies funding variable contracts. Although each Portfolio
believes that it is not subject to the excise tax, the Portfolios intend to
make the distributions required to avoid the imposition of such a tax.
Because the Trust is used to fund non-qualified Contracts each Portfolio must
meet the diversification requirements imposed by the Code or these policies
will fail to qualify as life insurance and annuities. In general, for a
Portfolio to meet the investment diversification requirements of Subchapter L
of the Code, Treasury regulations require that no more than 55% of the total
value of the assets of the Portfolio may be represented by any one
investment, no more than 70% by two investments, no more than 80% by three
investments and no more than 90% by four investments. Generally, for purposes
of the regulations, all securities of the same issuer are treated as a single
investment. In the context of United States Government securities (including
any security that is issued, guaranteed or insured by the United States or an
instrumentality of the United States) each U.S. Government agency or
instrumentality is treated as a separate issuer. Compliance with the
regulations is tested on the last day of each calendar year quarter. There is
a 30 day period after the end of each calendar year quarter in which to cure
any non-compliance.
PORTFOLIO PERFORMANCE
MONEY MARKET PORTFOLIO YIELD
The Money Market Portfolio calculates yield information for seven-day
periods. The seven-day current yield calculation is based on a hypothetical
shareholder account with one share at the beginning of the period. To
determine the seven-day rate of return, the net change in the share value is
computed by subtracting the share value at the beginning of the period from
the share value (exclusive of capital changes) at the end of the period. The
net change is divided by the share value at the beginning of the period to
obtain the base period rate of return. This seven-day base period return is
then multiplied by 365/7 to produce an annualized current yield figure
carried to the nearest one-hundredth of one percent.
Realized capital gains or losses and unrealized appreciation or depreciation
of the Portfolio are excluded from this calculation. The net change in share
values also reflects all accrued expenses of the Money Market Portfolio as
well as the value of additional shares purchased with dividends from the
original shares and any additional shares.
The effective yield is obtained by adjusting the current yield to give effect
to the compounding nature of the Money Market Portfolio's investments, as
follows: The unannualized base period return is compounded by adding one to
the base period return, raising the sum to a power equal to 365 divided by 7,
and subtracting one from the result--i.e., effective yield = [(base period
return +1)365/7] - 1.
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<PAGE>
Money Market Portfolio yields will fluctuate daily. Accordingly, yields for
any given period are not necessarily representative of future results. Yield
is a function of the type and quality of the instruments in the Money Market
Portfolio, maturities and rates of return on investments, among other
factors. In addition, the value of shares of the Money Market Portfolio will
fluctuate and not remain constant.
The Money Market Portfolio yield may be compared with yields of other
investments. However, it should not be compared to the return on fixed rate
investments which guarantee rates of interest for specified periods. The
yield also should not be compared to the yield of money market funds made
available to the general public because their yields usually are calculated
on the basis of a constant $1 price per share and they pay out earnings in
dividends which accrue on a daily basis. Investment income of the Money
Market Portfolio, including any realized gains as well as accrued interest,
is not paid out in dividends but is reflected in the share value. The Money
Market Portfolio yield also does not reflect insurance company charges and
fees applicable to Contracts.
The seven-day current yield for the Money Market Portfolio was 5.44% for the
period ended December 31, 1995. The effective yield for that period was
5.44%.
QUALITY BOND, GOVERNMENT AND HIGH YIELD PORTFOLIO YIELDS
Yields of the Quality Bond, Government and High Yield Portfolios will be
computed by annualizing net investment income, as determined by the SEC's
formula, calculated on a per share basis for a recent 30-day period and
dividing that amount by a Portfolio share's net asset value (reduced by any
undeclared earned income expected to be paid shortly as a dividend) on the
last trading day of that period. Net investment income will reflect
amortization of any market value premium or discount of fixed income
securities (except for obligations backed by mortgages or other assets) over
such period and may include recognition of a pro rata portion of the stated
dividend rate of dividend paying portfolio securities. The Portfolios' yields
will vary from time to time depending upon market conditions, the
compostition of each Portfolio's portfolio and operating expenses of the
Trust allocated to each Portfolio. Yield should also be considered relative
to changes in the value of a Portfolio's shares and to the relative risks
associated with the investment objectives and policies of the Portfolios.
These yields do not reflect insurance company charges and fees applicable to
the Contracts.
At any time in the future, yields and total return may be higher or lower
than past yields and there can be no assurance that any historical results
will continue.
The 30 day yields for the Quality Bond, Government and High Yield Portfolios
for the period ended December 31, 1995 were 5.31%, 6.28% and 10.57%,
respectively.
TOTAL RETURN CALCULATIONS
Each Portfolio may provide average annual total return information calculated
according to a formula prescribed by the SEC. According to that formula,
average annual total return figures represent the average annual compounded
rate of return for the stated period. Average annual total return quotations
reflect the percentage change between the beginning value of a static account
in the Portfolio and the ending value of that account measured by the then
current net asset value of that Portfolio assuming that all dividends and
capital gains distributions during the stated period were invested in shares
of the Portfolio when paid. Total return is calculated by finding the average
annual compounded rates of return of a hypothetical investment that would
equate the initial amount invested to the ending redeemable value of such
investment, according to the following formula:
T = (ERV/P)1/n - 1
where T equals average annual total return; where ERV, the ending redeemable
value, is the value at the end of the applicable period of a hypothetical
$1,000 investment made at the beginning of the applicable period; where P
equals a hypothetical initial investment of $1,000; and where n equals the
number of years.
The average annual total returns through December 31, 1995 for the Common
Stock Portfolio for one year, five years, and 10 years were 32.45%, 18.16%,
and 15.16%, respectively.
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<PAGE>
The average annual total returns through December 31, 1995 for the
Intermediate Government Securities Portfolio for one year and since inception
(on April 1, 1991) were 13.33%, and 7.63%, respectively.
The average annual total returns through December 31, 1995 for the High Yield
Portfolio for one year, five years, and since inception (on January 2, 1987)
were 19.92%, 14.95%, and 10.20%, respectively.
The average annual total returns through December 31, 1995 for the Balanced
Portfolio for one year, five years, and since inception (on January 27, 1986)
were 19.75%, 11.17%, and 12.08%, respectively.
The average annual total returns through December 31, 1995 for the Global
Portfolio for one year, five years, and since inception (on August 27, 1987)
were 18.81%, 16.49%, and 11.36%, respectively.
The average annual total returns through December 31, 1995 for the Aggressive
Stock Portfolio for one year, five years, and since inception (on January 27,
1986) were 31.63%, 21.75%, and 20.02%, respectively.
The average annual total returns through December 31, 1995 for the
Conservative Investors Portfolio for one year, five years, and since
inception (on October 2, 1989) were 20.40%, 10.15%, and 9.65%, respectively.
The average annual total returns through December 31, 1995 for the Growth
Investors Portfolio for one year, five years, and since inception (on October
2, 1989) were 26.37%, 17.13%, and 16.05%, respectively.
The average annual total returns through December 31, 1995 for the Quality
Bond Portfolio for one year and since inception (on October 1, 1993) were
17.02% and 4.54%, respectively.
The average annual total returns through December 31, 1995 for the Growth and
Income Portfolio for one year and since inception (on October 1, 1993) were
24.07% and 9.66%, respectively.
The average annual total return through December 31, 1995 for the Equity
Index Portfolio for one year and since inception (on March 1, 1994) was
36.48% and 19.11%, respectively.
The aggregate annual total return through December 31, 1995 for the
International Portfolio since inception (April 3, 1995) was 11.29%.
Each Portfolio, from time to time, also may advertise its cumulative total
return figures. Cumulative total return is the compound rate of return on a
hypothetical initial investment of $1,000 for a specified period. Cumulative
total return quotations reflect changes in the price of a Portfolio's shares
and assume that all dividends and capital gains distributions during the
period were reinvested in shares of that Portfolio. Cumulative total return
is calculated by finding the compound rates of return of a hypothetical
investment over such period, according to the following formula (cumulative
total return is then expressed as a percentage):
C = (ERV/P) - 1
Where:
C = Cumulative Total Return
P = a hypothetical initial investment of $1,000
ERV = ending redeemable value; ERV is the value, at the end of the applicable
period, of a hypothetical $1,000 investment made at the beginning of the
applicable period.
The cumulative total return, since the inception of each Portfolio through
December 31, 1995, for the Common Stock, Intermediate Government Securities,
High Yield, Balanced, Global, Aggressive Stock, Conservative Investors,
Growth Investors, Quality Bond, Growth and Income, Equity Index and
International Portfolios were 1,468.54%, 41.83%, 139.75%, 210.41%, 145.55%,
512.26%, 77.86%, 153.57%, 10.50%, 23.05%, 37.96% and 11.29%, respectively.
35
<PAGE>
OTHER SERVICES
INDEPENDENT ACCOUNTANTS
Price Waterhouse LLP, 1177 Avenue of the Americas, New York, New York 10036,
serves as the Trust's independent accountants. The financial statements of
the Common Stock, Money Market, Balanced, Aggressive Stock, High Yield,
Global, Conservative Investors, Growth Investors, Intermediate Government
Securities, Quality Bond, Growth and Income and Equity Index Portfolios for
the year ended December 31, 1995 and the International Portfolio for the
period April 3, 1995 (commencement of operations) through December 31, 1995,
which are included in this SAI, have been audited by Price Waterhouse LLP,
the Trust's independent accountants for such periods, as stated in their
report appearing herein, and have been so included in reliance upon such
report given upon the authority of such firm as experts in accounting and
auditing.
CUSTODIAN
The Chase Manhattan Bank, N.A., whose principal address is One Chase
Manhattan Plaza, New York, New York 10081, has been designated the Custodian
of the Trust's portfolio securities and other assets.
TRANSFER AGENT
Equitable serves as the transfer agent and dividend disbursing agent for the
Trust. For the year ended December 31, 1995, Equitable received no
compensation for providing such services for the Trust.
UNDERWRITER
EQ Financial Consultants, Inc., formerly Equico Securities, Inc. (EQ
Financial), a wholly-owned subsidiary of Equitable, serves, without
compensation from the Trust, as the principal underwriter of the Trust,
pursuant to an agreement with the Trust. Under the terms of the agreement, EQ
Financial is not obligated to sell any specific number of shares. It has
authority, pursuant to the agreement, to enter into similar contracts with
other insurance companies and with other entities registered as
broker-dealers under the Securities Exchange Act of 1934.
As principal underwriter, EQ Financial bears the Trust's marketing expenses.
However, EQ Financial expects to be reimbursed for the portion of expenses
attributable to the marketing of other insurance companies' products by such
insurance companies. EQ Financial has entered into sales agreements with
Equitable, Equitable Variable and each unaffiliated insurer under which
shares of the Trust are made available for the investment of net
considerations which are received under variable insurance contracts and are
allocated to their respective separate accounts.
36
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
37
<PAGE>
THE HUDSON RIVER TRUST
STATEMENTS OF ASSETS AND LIABILITIES
December 31, 1995
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT GROWTH AND
MONEY MARKET SECURITIES QUALITY BOND HIGH YIELD INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments at value (Cost:
Money Market Portfolio--$382,846,598;
Intermediate Government Securities
Portfolio--$74,723,960; Quality Bond
Portfolio--$149,681,749; High Yield
Portfolio--$110,787,784; Growth and Income
Portfolio--$86,427,597; Equity Index
Portfolio--$142,183,170; Common Stock
Portfolio--$3,900,452,197; Global
Portfolio--$603,019,021; International
Portfolio--$28,252,263; Aggressive Stock
Portfolio--$2,162,160,335; Conservative
Investors Portfolio--$233,830,095;
Balanced Portfolio--$1,383,682,049; Growth
Investors Portfolio-- $760,456,806) (Notes
1 and 3) .................................. $383,012,005 $76,370,937 $153,826,664 $112,882,893 $ 97,536,248
Cash ....................................... 116,470 16,517 47,771 30,052 18,113
Foreign cash ............................... -- -- -- -- --
Receivable for securities sold ............. -- 3,597,770 -- 7,298,266 88,427
Deposits received for securities lending .. -- 6,643,688 20,985,500 18,254,850 1,066,750
Receivable from Separate Accounts for Trust
shares sold ............................... 3,238,781 1,098,522 445,411 1,039,727 1,148,914
Unrealized appreciation of forward currency
contracts (Notes 1 and 3) ................. -- -- 24,934 -- --
Dividends, interest and other receivables . 490,991 405,766 3,187,876 2,196,225 311,126
-------------- -------------- -------------- -------------- -------------
Total assets ............................ 386,858,247 88,133,200 178,518,156 141,702,013 100,169,578
-------------- -------------- -------------- -------------- -------------
LIABILITIES:
Options written at value (Premiums
received: Common Stock Portfolio--
$31,689,532)(Notes 1 and 3) ............... -- -- -- -- --
Payable to custodian ....................... -- -- -- -- --
Payable for securities purchased ........... -- 9,666,046 -- 5,246,556 994,457
Payable for securities loaned .............. -- 6,643,688 20,985,500 18,254,850 1,066,750
Payable to Separate Accounts for Trust
shares redeemed ........................... -- -- -- -- --
Unrealized depreciation of forward currency
contracts (Notes 1 and 3) ................. -- -- -- -- --
Variation margin payable on futures
contracts ................................. -- -- -- -- --
Investment advisory fees payable ........... 112,296 27,477 67,731 50,288 41,007
Trustees' fees payable ..................... 20,075 3,841 1,778 2,958 575
Accrued expenses ........................... 34,930 12,323 20,300 18,778 13,968
-------------- -------------- -------------- -------------- -------------
Total liabilities ....................... 167,301 16,353,375 21,075,309 23,573,430 2,116,757
-------------- -------------- -------------- -------------- -------------
NET ASSETS ................................. $386,690,946 $71,779,825 $157,442,847 $118,128,583 $ 98,052,821
============== ============== ============== ============== =============
COMPONENTS OF NET ASSETS (NOTE 1):
Paid in capital ........................... $386,427,732 $79,487,800 $159,028,166 $117,138,948 $ 87,432,803
Accumulated undistributed
(overdistributed) net investment income . 97,807 22,777 63,771 22,557 10,278
Accumulated net realized loss ............. -- (9,377,729) (5,823,240) (1,128,031) (498,911)
Unrealized appreciation of investments
and foreign currency denominated assets
and liabilities ........................... 165,407 1,646,977 4,174,150 2,095,109 11,108,651
-------------- -------------- -------------- -------------- -------------
NET ASSETS ................................. $386,690,946 $71,779,825 $157,442,847 $118,128,583 $ 98,052,821
============== ============== ============== ============== =============
Shares outstanding (Note 4) ................ 38,057,162 7,577,459 16,383,900 12,254,186 8,380,234
============== ============== ============== ============== =============
Net asset value, offering and redemption
price per share (Note 1) .................. $ 10.16 $ 9.47 $ 9.61 $ 9.64 $ 11.70
============== ============== ============== ============== =============
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
<TABLE>
<CAPTION>
AGGRESSIVE CONSERVATIVE GROWTH
EQUITY INDEX COMMON STOCK GLOBAL INTERNATIONAL STOCK INVESTORS BALANCED INVESTORS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
$163,208,624 $4,875,871,045 $678,407,015 $29,176,683 $2,675,322,143 $248,258,573 $1,504,511,537 $ 878,864,009
1,037,577 13,990,895 324,618 -- 4,389,240 297,764 4,810,822 2,626,146
-- 1,025 6,342,916 403,458 -- -- -- 1,374,231
-- 1,157,500 1,818,300 95,798 19,636,221 -- 3,050,337 3,264,186
476,000 18,344,700 34,167,000 375,100 65,963,300 93,741,041 160,627,359 181,639,018
1,888,033 9,683,756 2,459,258 -- 8,490,410 432,486 128,251 4,468,726
-- -- -- 19,961 -- -- -- --
290,725 7,207,381 1,317,515 12,870 304,278 3,250,877 13,905,148 8,351,971
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
166,900,959 4,926,256,302 724,836,622 30,083,870 2,774,105,592 345,980,741 1,687,033,454 1,080,588,287
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
-- 18,316,250 -- -- -- -- -- --
-- -- -- 23,755 -- -- -- --
549,349 8,035,250 3,671,218 961,083 6,430,077 -- 2,659,384 2,298,845
476,000 18,344,700 34,167,000 375,100 65,963,300 93,741,041 160,627,359 181,639,018
-- -- -- 14,769 -- -- -- --
-- -- 432,014 -- -- -- -- 54,671
10,362 -- -- -- -- -- -- --
43,814 1,365,761 281,382 17,216 954,156 107,793 442,263 362,330
851 129,332 6,774 76 39,395 3,140 35,388 8,958
35,302 388,009 137,841 8,008 203,815 27,772 127,332 90,605
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
1,115,678 46,579,302 38,696,229 1,400,007 73,590,743 93,879,746 163,891,726 184,454,427
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
$165,785,281 $4,879,677,000 $686,140,393 $28,683,863 $2,700,514,849 $252,100,995 $1,523,141,728 $ 896,133,860
============== ============== ============== =============== ============== ============== ============== ===============
$144,880,868 $3,916,746,349 $612,649,654 $27,831,272 $2,191,338,507 $237,609,491 $1,402,865,274 $ 778,073,456
(851) 8,246,095 455,586 6,487 (4,129) 63,026 86,599 105,968
(123,990) (34,107,750) (1,942,133) (98,401) (3,981,337) -- (639,633) (397,563)
21,029,254 988,792,306 74,977,286 944,505 513,161,808 14,428,478 120,829,488 118,351,999
- -------------- -------------- -------------- --------------- -------------- -------------- -------------- ---------------
$165,785,281 $4,879,677,000 $686,140,393 $28,683,863 $2,700,514,849 $252,100,995 $1,523,141,728 $ 896,133,860
============== ============== ============== =============== ============== ============== ============== ===============
12,630,306 296,135,981 43,590,992 2,637,866 75,690,902 21,883,284 90,899,832 50,677,525
============== ============== ============== =============== ============== ============== ============== ===============
$ 13.13 $ 16.48 $ 15.74 $ 10.87 $ 35.68 $ 11.52 $ 16.76 $ 17.68
============== ============== ============== =============== ============== ============== ============== ===============
</TABLE>
39
<PAGE>
THE HUDSON RIVER TRUST
STATEMENTS OF OPERATIONS
Year Ended December 31, 1995
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT GROWTH AND
MONEY MARKET SECURITIES QUALITY BOND HIGH YIELD INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Income** (Note 1):
Dividends (including $3,791,511 and
$1,543,363 from affiliated companies
for the Common Stock and Aggressive
Stock Portfolios, respectively) ...... $ -- $ -- $ -- $ -- $ 1,276,889
Interest ............................... 19,759,375 3,998,091 9,694,417 10,449,665 1,026,456
-------------- -------------- -------------- ------------- ------------
Total income .......................... 19,759,375 3,998,091 9,694,417 10,449,665 2,303,345
-------------- -------------- -------------- ------------- ------------
Expenses (Note 2):
Investment advisory fee ................ 1,320,130 295,954 790,598 521,901 338,067
Custody fees ........................... 22,774 15,839 13,115 22,425 13,338
Printing and mailing expenses .......... 57,615 10,178 25,013 16,215 10,005
Professional fees ...................... 19,063 11,811 11,787 9,663 7,914
SEC registration fees .................. 11,190 -- -- 231 258
Trustees' fees ......................... 10,439 2,099 4,591 3,028 1,784
Miscellaneous .......................... 5,834 2,472 2,456 2,160 2,075
-------------- -------------- -------------- ------------- ------------
Total expenses ........................ 1,447,045 338,353 847,560 575,623 373,441
-------------- -------------- -------------- ------------- ------------
NET INVESTMENT INCOME .................... 18,312,330 3,659,738 8,846,857 9,874,042 1,929,904
-------------- -------------- -------------- ------------- ------------
REALIZED AND UNREALIZED GAIN (LOSS)
(NOTES 1 AND 3):
Realized Gain (Loss):
On securities (including $13,347,567,
$9,375, $(12,968,115) and
$(22,075,146) from affiliated
companies for the Common Stock,
Global, Aggressive Stock and Balanced
Portfolios, respectively) ............. -- 1,061,357 3,271,727 1,037,899 (78,675)
On options written ..................... -- -- -- -- --
On foreign currency transactions ...... -- -- 40,304 -- --
On futures contracts ................... -- -- -- -- --
-------------- -------------- -------------- ------------- ------------
Realized gain (loss)--net ............... -- 1,061,357 3,312,031 1,037,899 (78,675)
-------------- -------------- -------------- ------------- ------------
Change in Unrealized
Appreciation/Depreciation:
On securities .......................... 145,252 2,579,005 10,322,173 6,108,056 11,348,703
On options written ..................... -- -- -- -- --
On foreign currency transactions ...... -- -- 29,235 -- --
On futures contracts ................... -- -- -- -- --
-------------- -------------- -------------- ------------- ------------
Unrealized appreciation--net ............ 145,252 2,579,005 10,351,408 6,108,056 11,348,703
-------------- -------------- -------------- ------------- ------------
REALIZED AND UNREALIZED GAIN--NET ....... 145,252 3,640,362 13,663,439 7,145,955 11,270,028
-------------- -------------- -------------- ------------- ------------
NET INCREASE IN NET ASSETS FROM
OPERATIONS .............................. $18,457,582 $7,300,100 $22,510,296 $17,019,997 $13,199,932
============== ============== ============== ============= ============
</TABLE>
- ------------
* For the Period from April 3, 1995 (Commencement of Operations) to
December 31, 1995.
** Net of foreign taxes withheld on dividends of $10,201, $381,313,
$615,845, $8,121, $130,466, $34,870 and $84,420 for the Equity Index,
Common Stock, Global, International, Aggressive Stock, Balanced and
Growth Investors Portfolios, respectively, and on interest of $84 and
$82 for the Global and Growth Investors Portfolios, respectively.
See Notes to Financial Statements.
40
<PAGE>
<TABLE>
<CAPTION>
AGGRESSIVE CONSERVATIVE GROWTH
EQUITY INDEX COMMON STOCK GLOBAL INTERNATIONAL STOCK INVESTORS BALANCED INVESTORS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO* PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 2,080,947 $ 62,582,054 $ 7,426,190 $ 55,208 $ 9,527,352 $ 524,570 $ 10,938,202 $ 5,787,751
180,058 6,975,119 5,799,137 172,902 7,494,955 12,303,070 42,020,343 21,516,203
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
2,261,005 69,557,173 13,225,327 228,110 17,022,307 12,827,640 52,958,545 27,303,954
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
295,735 14,946,487 2,957,363 73,079 10,210,784 1,156,344 5,237,550 3,584,538
91,943 94,352 318,608 6,405 28,372 36,859 36,724 92,632
13,110 719,153 94,530 1,035 379,328 36,225 248,055 114,540
8,698 174,480 25,957 4,912 94,703 14,048 66,613 31,069
-- -- 149 -- 2,380 -- -- --
2,527 134,132 17,290 192 72,027 6,525 47,299 20,690
1,129 55,633 8,355 32 31,203 2,868 18,844 8,582
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
413,142 16,124,237 3,422,252 85,655 10,818,797 1,252,869 5,655,085 3,852,051
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
1,847,863 53,432,936 9,803,075 142,455 6,203,510 11,574,771 47,303,460 23,451,903
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
746,923 219,787,101 18,939,519 117,369 346,368,084 11,270,671 64,616,058 19,808,245
-- 36,109,107 -- -- -- -- -- --
-- 6,565,318 (1,134,719) 149,406 -- -- -- 285,771
396,452 -- -- -- -- -- -- --
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
1,143,375 262,461,526 17,804,800 266,775 346,368,084 11,270,671 64,616,058 20,094,016
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
21,460,414 832,566,741 72,201,148 924,420 262,696,319 16,138,395 144,740,180 114,934,096
-- 12,585,703 -- -- -- -- -- --
-- 444 (95,099) 20,085 -- -- -- (234)
3,800 -- -- -- -- -- -- --
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
21,464,214 845,152,888 72,106,049 944,505 262,696,319 16,138,395 144,740,180 114,933,862
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
22,607,589 1,107,614,414 89,910,849 1,211,280 609,064,403 27,409,066 209,356,238 135,027,878
- -------------- -------------- ------------- --------------- -------------- -------------- -------------- -------------
$24,455,452 $1,161,047,350 $99,713,924 $1,353,735 $615,267,913 $38,983,837 $256,659,698 $158,479,781
============== ============== ============= =============== ============== ============== ============== =============
</TABLE>
41
<PAGE>
THE HUDSON RIVER TRUST
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
INTERMEDIATE GOVERNMENT
MONEY MARKET PORTFOLIO SECURITIES PORTFOLIO
-------------------------------- -------------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
1995 1994 1995 1994
--------------- --------------- -------------- ---------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ................................ $ 18,312,330 $ 11,408,342 $ 3,659,738 $ 7,088,044
Realized gain (loss)--net ............................ -- -- 1,061,357 (10,439,086)
Change in unrealized appreciation/depreciation of
investments and foreign currency denominated assets
and liabilities--net ................................ 145,252 (9,847) 2,579,005 (2,940,993)
--------------- --------------- -------------- ---------------
Net increase (decrease) in net assets from operations 18,457,582 11,398,495 7,300,100 (6,292,035)
--------------- --------------- -------------- ---------------
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS (NOTE 1):
Dividends from net investment income ................. (18,199,892) (11,411,476) (3,633,574) (7,088,604)
Dividends in excess of net investment income ........ -- -- -- --
Distributions from realized gains .................... -- -- -- --
Distributions in excess of realized gains ............ -- -- -- --
Tax return of capital distributions .................. -- -- -- --
--------------- --------------- -------------- ---------------
Decrease in net assets from dividends and
distributions ....................................... (18,199,892) (11,411,476) (3,633,574) (7,088,604)
--------------- --------------- -------------- ---------------
SHARE TRANSACTIONS (NOTES 1 AND 4):
Shares sold .......................................... 394,575,427 355,157,130 29,533,754 33,872,981
Shares issued in connection with the substitution of
the Short-Term World Income Portfolio ............... -- -- -- 2,582,814
Shares issued in reinvestment of dividends and
distributions ....................................... 18,199,892 11,411,476 3,633,574 7,088,604
Shares redeemed ...................................... (351,733,059) (289,624,991) (13,571,893) (140,156,888)
--------------- --------------- -------------- ---------------
Net increase (decrease) in net assets derived from
share transactions .................................. 61,042,260 76,943,615 19,595,435 (96,612,489)
--------------- --------------- -------------- ---------------
INCREASE (DECREASE) IN NET ASSETS ..................... 61,299,950 76,930,634 23,261,961 (109,993,128)
NET ASSETS, BEGINNING OF PERIOD ....................... 325,390,996 248,460,362 48,517,864 158,510,992
--------------- --------------- -------------- ---------------
NET ASSETS, END OF PERIOD* ............................ $ 386,690,946 $ 325,390,996 $ 71,779,825 $ 48,517,864
=============== =============== ============== ===============
</TABLE>
- ------------
* Including accumulated undistributed (overdistributed) net investment
income of $97,807 and $(14,631) for the Money Market Portfolio and
$22,777 and $(3,387) for the Intermediate Government Securities
Portfolio and $63,771 and $683,882 for the Quality Bond Portfolio and
$22,557 and $(6,358) for the High Yield Portfolio and $10,278 and $(69)
for the Growth and Income Portfolio and $(851) and $(113) for the
Equity Index Portfolio as of December 31, 1995 and December 31, 1994,
respectively.
** Commencement of Operations.
See Notes to Financial Statements.
42
<PAGE>
<TABLE>
<CAPTION>
GROWTH AND INCOME
QUALITY BOND PORTFOLIO HIGH YIELD PORTFOLIO PORTFOLIO EQUITY INDEX PORTFOLIO
- ------------------------------ ------------------------------ ---------------------------- -------------------------------
MARCH 1, 1994**
YEAR ENDED
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, DECEMBER 31, TO DECEMBER 31,
1995 1994 1995 1994 1995 1994 1995 1994
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 8,846,857 $ 8,721,547 $ 9,874,042 $ 6,297,910 $ 1,929,904 $ 422,647 $ 1,847,863 $ 644,079
3,312,031 (10,171,031) 1,037,899 (1,709,091) (78,675) (409,119) 1,143,375 110,383
10,351,408 (4,533,902) 6,108,056 (6,485,505) 11,348,703 (250,229) 21,464,214 (434,960)
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
22,510,296 (5,983,386) 17,019,997 (1,896,686) 13,199,932 (236,701) 24,455,452 319,502
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
(8,729,254) (7,694,742) (9,874,042) (6,297,910) (1,919,557) (422,714) (1,841,475) (644,216)
-- -- (385,462) (85,166) -- -- -- --
-- -- -- -- -- -- (1,143,375) (110,383)
-- -- -- -- -- -- (84,099) (46,993)
-- (627,091) -- -- -- -- (123) --
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
(8,729,254) (8,321,833) (10,259,504) (6,383,076) (1,919,557) (422,714) (3,069,072) (801,592)
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
18,946,820 33,996,457 46,607,272 30,003,628 57,426,026 31,788,696 153,767,030 39,737,348
-- -- -- -- -- -- -- --
8,729,254 8,321,833 10,259,504 6,383,076 1,919,557 422,714 3,069,072 801,592
(11,589,738) (5,269,742) (19,393,315) (21,380,848) (4,095,508) (1,485,659) (49,185,409) (3,308,642)
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
16,086,336 37,048,548 37,473,461 15,005,856 55,250,075 30,725,751 107,650,693 37,230,298
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
29,867,378 22,743,329 44,233,954 6,726,094 66,530,450 30,066,336 129,037,073 36,748,208
127,575,469 104,832,140 73,894,629 67,168,535 31,522,371 1,456,035 36,748,208 --
- -------------- -------------- -------------- -------------- ------------- ------------- -------------- ---------------
$157,442,847 $127,575,469 $118,128,583 $ 73,894,629 $98,052,821 $31,522,371 $165,785,281 $36,748,208
============== ============== ============== ============== ============= ============= ============== ===============
</TABLE>
43
<PAGE>
THE HUDSON RIVER TRUST
STATEMENTS OF CHANGES IN NET ASSETS (Concluded)
<TABLE>
<CAPTION>
INTERNATIONAL
COMMON STOCK PORTFOLIO GLOBAL PORTFOLIO PORTFOLIO
------------------------------ ------------------------------ ----------------
YEAR ENDED YEAR ENDED APRIL 3, 1995**
DECEMBER 31, DECEMBER 31, TO
1995 1994 1995 1994 DECEMBER 31, 1995
----- ---- ------ ----------- ----------------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net investment income ............................ $ 53,432,936 $ 47,048,382 $ 9,803,075 $ 3,875,457 $ 142,455
Realized gain (loss)--net ........................ 262,461,526 194,537,213 17,804,800 8,257,708 266,775
Change in unrealized appreciation/depreciation of
investments and foreign currency denominated
assets and liabilities--net ..................... 845,152,888 (317,116,958) 72,106,049 (6,372,853) 944,505
------------- ------------- ----------- ----------- ----------
Net increase (decrease) in net assets from
operations ...................................... 1,161,047,350 (75,531,363) 99,713,924 5,760,312 1,353,735
------------- ------------- ----------- ----------- ----------
Net increase (decrease) in net assets from
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 1):
Dividends from net investment income ............. (53,432,936) (47,048,382) (9,500,310) (3,755,996) (142,455)
Dividends in excess of net investment income .... (6,567,658) (1,675,372) -- -- (240,038)
Distributions from realized gains ................ (262,461,526) (187,473,461) (17,804,800) (8,257,708) (118,651)
Distributions in excess of realized gains ....... (8,497,379) -- (1,081,237) (134,077) --
Tax return of capital distributions .............. -- (1,707,109) (546,316) (395,364) --
------------- ------------- ----------- ----------- ----------
Decrease in net assets from dividends and
distributions ................................... (330,959,499) (237,904,324) (28,932,663) (12,543,145) (501,144)
SHARE TRANSACTIONS (NOTES 1 AND 4):
Shares sold ...................................... 509,750,491 520,896,037 229,097,991 302,129,663 29,365,420
Shares issued in reinvestment of dividends and
distributions ................................... 330,959,499 237,904,324 28,932,663 12,543,145 501,144
Shares redeemed .................................. (257,365,702) (104,247,444) (64,369,805) (27,448,676) (2,035,292)
------------- ------------- ----------- ----------- ----------
Net increase (decrease) in net assets derived
from share transactions ......................... 583,344,288 654,552,917 193,660,849 287,224,132 27,831,272
-------------- -------------- -------------- -------------- ----------
INCREASE (DECREASE) IN NET ASSETS ................. 1,413,432,139 341,117,230 264,442,110 280,441,299 28,683,863
NET ASSETS, BEGINNING OF PERIOD ................... 3,466,244,861 3,125,127,631 421,698,283 141,256,984 --
-------------- -------------- -------------- -------------- ----------
NET ASSETS, END OF PERIOD* ........................ $4,879,677,000 $3,466,244,861 $686,140,393 $421,698,283 $28,683,863
============== ============== ============== ============== ===========
</TABLE>
- ------------
* Including accumulated undistributed (overdistributed) net investment
income of $8,246,095 and $3,552,516 for the Common Stock Portfolio and
$455,586 and $215,631 for the Global Portfolio and $(4,129) and $12,105
for the Aggressivie Stock Portfolio and $63,026 and $(1,522) for the
Conservative Investors Portfolio and $86,599 and $(26,573) for the
Balanced Portfolio and $105,968 and $146,879 for the Growth Investors
Portfolio, as of December 31, 1995 and December 31, 1994, respectively,
and $6,487 for the International Portfolio, as of December 31, 1995.
** Commencement of Operations.
See Notes to Financial Statements.
44
<PAGE>
<TABLE>
<CAPTION>
CONSERVATIVE INVESTORS
AGGRESSIVE STOCK PORTFOLIO PORTFOLIO BALANCED PORTFOLIO GROWTH INVESTORS PORTFOLIO
- ------------------------------ ------------------------------ ------------------------------ ------------------------------
YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31, YEAR ENDED DECEMBER 31,
1995 1994 1995 1994 1995 1994 1995 1994
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 6,203,510 $ 2,046,981 $ 11,574,771 $ 7,840,102 $ 47,303,460 $ 38,893,215 $ 23,451,903 $ 12,859,008
346,368,084 (44,726,592) 11,270,671 (9,714,278) 64,616,058 (18,710,641) 20,094,016 (7,561,554)
262,696,319 (7,416,655) 16,138,395 (3,628,013) 144,740,180 (133,794,748) 114,933,862 (17,401,140)
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
615,267,913 (50,096,266) 38,983,837 (5,502,189) 256,659,698 (113,612,174) 158,479,781 (12,103,686)
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(6,203,510) (2,006,386) (11,510,223) (7,847,155) (47,099,230) (38,893,215) (23,451,903) (12,859,008)
(43,012) -- -- -- -- (2,417,748) (429,740) (323,341)
(300,293,392) -- (1,556,393) -- (41,562,533) -- (11,896,371) --
-- -- -- -- -- -- -- --
-- (49,382) -- -- -- (202,506) -- --
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
(306,539,914) (2,055,768) (13,066,616) (7,847,155) (88,661,763) (41,513,469) (35,778,014) (13,182,349)
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
843,611,785 691,803,895 50,112,293 72,545,380 55,178,023 163,763,699 264,281,654 240,852,053
306,539,914 2,055,768 13,066,616 7,847,155 88,661,763 41,513,469 35,778,014 13,182,349
(590,529,129) (366,875,063) (10,686,445) (7,769,739) (118,515,605) (84,972,287) (19,105,124) (14,738,042)
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
559,622,570 326,984,600 52,492,464 72,622,796 25,324,181 120,304,881 280,954,544 239,296,360
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
868,350,569 274,832,566 78,409,685 59,273,452 193,322,116 (34,820,762) 403,656,311 214,010,325
1,832,164,280 1,557,331,714 173,691,310 114,417,858 1,329,819,612 1,364,640,374 492,477,549 278,467,224
- -------------- -------------- -------------- -------------- -------------- -------------- -------------- --------------
$2,700,514,849 $1,832,164,280 $252,100,995 $173,691,310 $1,523,141,728 $1,329,819,612 $896,133,860 $492,477,549
============== ============== ============== ============== ============== ============== ============== ==============
</TABLE>
45
<PAGE>
THE HUDSON RIVER TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
EFFECTIVE
PRINCIPAL VALUE ANNUAL
AMOUNT (NOTE 1) YIELD*
- --------------------------------------- ------------ ------------ -----------
<S> <C> <C> <C>
SHORT-TERM DEBT SECURITIES:
BANK NOTES
Suntrust Bank
Due 02/29/96 .......................... $ 4,500,000 $ 4,509,944 5.61%
Wachovia Bank N. Carolina
Due 11/07/96 .......................... 10,050,000 10,194,519 5.40
------------
TOTAL BANK NOTES (3.8%) .............. 14,704,463
------------
BANKERS' ACCEPTANCES
Bank of Tokyo:
Due 02/05/96 .......................... 4,000,000 3,977,019 5.85
Due 03/05/96 .......................... 10,000,000 9,898,800 5.79
Corestates National Bank
Due 04/23/96 .......................... 2,800,000 2,750,984 5.77
Mitsubishi Bank Ltd.-N.Y.:
Due 02/06/96 .......................... 1,900,000 1,888,268 6.13
Due 02/20/96 .......................... 1,150,000 1,140,283 6.14
------------
TOTAL BANKERS' ACCEPTANCES (5.1%) .. 19,655,354
------------
CERTIFICATES OF DEPOSIT
Mitsubishi Bank Ltd.-N.Y.
Due 02/29/96 .......................... 9,000,000 9,001,838 6.08
Norinchuckin Bank Ltd.:
Due 03/11/96 .......................... 10,000,000 10,007,979 5.62
Due 03/14/96 .......................... 5,000,000 5,004,387 5.62
National Westminster Bank-U.S.A.
Due 01/22/96 .......................... 9,000,000 9,001,473 5.71
------------
TOTAL CERTIFICATES OF DEPOSIT (8.5%)
33,015,677
------------
COMMERCIAL PAPER
Alpha Finance Corp.:
Due 02/27/96 .......................... 5,500,000 5,451,235 5.66
Due 03/15/96 .......................... 5,000,000 4,943,633 5.60
American Express Credit Corp.
Due 04/09/96 .......................... 7,000,000 6,896,110 5.55
ASCC Commercial Paper:
Due 02/01/96 .......................... 4,000,000 3,980,127 5.66
Due 02/20/96 .......................... 10,000,000 9,921,856 5.66
ASI Funding Corp.
Due 02/02/96 .......................... 17,300,000 17,211,606 5.65
Beta Finance, Inc.
Due 02/02/96 .......................... 7,900,000 7,859,635 5.65
Campbell Soup Co.
Due 02/06/96 .......................... 8,055,000 8,009,001 5.66
Chemical Banking Corp.
Due 03/21/96 .......................... 10,000,000 9,878,367 5.60
Crosby Head Funding
Due 01/25/96 .......................... 15,000,000 14,940,417 5.75
Ciesco LP
Due 01/18/96 .......................... 2,300,000 2,293,263 5.80
Dynamic Funding Corp.
Due 01/25/96 .......................... 2,400,000 2,398,886 5.81
Equipment Funding, Inc.
Due 02/07/96 .......................... 4,800,000 4,771,868 5.66
ESC Securitization, Inc.
Due 02/01/96 .......................... 10,000,000 9,950,408 5.65
Ford Motor Credit Co.:
Due 02/13/96 .......................... 8,000,000 7,945,800 5.67
Due 02/28/96 .......................... 7,000,000 6,937,583 5.60
</TABLE>
46
<PAGE>
THE HUDSON RIVER TRUST
MONEY MARKET PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- -----------------------------------------------------------------------------
<TABLE>
<CAPTION>
EFFECTIVE
PRINCIPAL ANNUAL
AMOUNT VALUE (NOTE 1) YIELD*
- ------------------------------------------------------ ------------ -------------- -----------
<S> <C> <C> <C>
SHORT-TERM DEBT SECURITIES (Continued):
Greenwich Funding:
Due 02/09/96 ......................................... $ 7,000,000 $ 6,956,791 5.67%
Due 02/21/96 ......................................... 200,000 198,407 5.66
International Securitization:
Due 01/12/96 ......................................... 11,870,000 11,845,911 5.87
Due 03/28/96 ......................................... 6,000,000 5,920,790 5.60
Merrill Lynch & Co., Inc.:
Due 01/31/96 ......................................... 4,700,000 4,677,231 5.70
Due 03/29/96 ......................................... 11,000,000 10,854,250 5.56
Morgan Stanley Group, Inc.:
Due 01/02/96 ......................................... 9,500,000 9,495,551 5.87
Due 02/12/96 ......................................... 4,200,000 4,172,023 5.70
Norwest Corp.
Due 02/26/96 ......................................... 15,000,000 14,869,258 5.66
Preferred Receivables Funding
Due 01/05/96 ......................................... 3,634,000 3,630,578 5.90
Premium Funding
Due 03/08/96 ......................................... 17,000,000 16,825,027 5.63
Progress Funding Corp.
Due 01/16/96 ......................................... 15,300,000 15,260,263 5.74
Ranger Funding Corp.:
Due 02/09/96 ......................................... 8,000,000 7,950,709 5.66
Due 02/27/96 ......................................... 9,200,000 9,118,429 5.66
Sumitomo Corp. of America
Due 03/13/96 ......................................... 10,000,000 9,889,617 5.63
Triple A Funding:
Due 01/12/96 ......................................... 5,300,000 5,289,244 5.87
Due 02/05/96 ......................................... 4,500,000 4,474,979 5.66
Working Capital Management Corp.
Due 01/16/96 ......................................... 11,343,000 11,313,540 5.74
--------------
TOTAL COMMERCIAL PAPER (71.4%) ...................... 276,132,393
--------------
VARIABLE RATE LIBOR
American Express Centerian
Due 06/14/96 ......................................... 10,000,000 10,000,821 5.93
Boatmen's First National Bank
Due 02/14/96 ......................................... 10,000,000 10,002,636 5.85
CS First Boston, Inc.
Due 03/29/96 ......................................... 9,500,000 9,500,000 5.90
Goldman Sachs & Co.
Due 01/08/96 ......................................... 10,000,000 10,000,661 5.93
--------------
TOTAL VARIABLE RATE LIBOR (10.2%) ................... 39,504,118
--------------
TOTAL INVESTMENTS IN SHORT-TERM DEBT SECURITIES
(99.0%)
(Amortized Cost $382,846,598) ........................ 383,012,005
CASH AND RECEIVABLES LESS LIABILITIES (1.0%) ......... 3,678,941
--------------
NET ASSETS (100.0%) ................................... $386,690,946
==============
</TABLE>
- ------------
* Based on market values at the close of business on December 31, 1995.
See Notes to Financial Statements.
47
<PAGE>
THE HUDSON RIVER TRUST
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- -----------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- --------------------------------- ------------ -------------
LONG-TERM DEBT SECURITIES:
CREDIT SENSITIVE
ASSET BACKED (4.4%)
Main Place Funding
6.108% Floater, 10/25/00 (a) ... $ 3,200,000 $ 3,201,344
-------------
COLLATERALIZED MORTGAGE OBLIGATIONS (12.8%)
Federal Home Loan Bank
7.61%, 04/25/02 ................. 3,598,143 3,653,807
Federal Home Loan
Mortgage Corp.
6.24%, 07/15/97 ................. 3,141,534 3,185,704
Federal National
Mortgage Association
6.494% Floater, 09/25/21(a) .... 2,342,645 2,345,574
-------------
9,185,085
-------------
MORTGAGE RELATED (47.3%)
Federal Home Loan
Mortgage Corp.
7.0%, 12/13/10 .................. 5,900,000 6,010,625
9.5%, 01/01/20 .................. 5,016 5,336
Federal National
Mortgage Association:
11.5%, 06/01/20 ................. 1,337,162 1,524,366
7.89%, 09/01/22 ................. 2,092,514 2,160,522
7.634%, 01/01/23 ................ 2,211,914 2,245,093
8.5%, 01/01/25 .................. 1,076,333 1,122,751
8.5%, 02/01/25 .................. 162,665 169,681
8.5%, 03/01/25 .................. 227,120 236,915
8.5%, 04/01/25 .................. 7,361,742 7,679,217
8.5%, 05/01/25 .................. 547,607 571,223
8.5%, 07/01/25 .................. 168,787 176,066
8.5%, 10/01/25 .................. 350,967 366,103
7.978%, 05/01/27 ................ 1,923,022 1,987,925
Government National
Mortgage Association:
8.0%, 06/15/23 .................. 1,092,453 1,137,518
8.0%, 11/15/23 .................. 335,521 349,362
8.0%, 07/15/24 .................. 338,856 352,834
8.0%, 09/15/24 .................. 401,187 417,736
8.0%, 10/15/24 .................. 351,141 365,627
8.0%, 11/15/24 .................. 336,632 350,519
8.0%, 03/15/25 .................. 351,297 365,788
8.0%, 04/15/25 .................. 350,227 364,674
8.0%, 05/15/25 .................. 1,030,733 1,073,251
8.0%, 05/17/25 .................. 703,872 732,908
11.0%, 01/15/10 ................. 271,488 305,086
11.0%, 02/15/10 ................. 838,925 942,748
LONG-TERM DEBT SECURITIES
(Continued):
11.0%, 03/15/10 ................. $ 970,714 $ 1,090,844
11.0%, 04/15/10 ................. 88,062 98,961
11.0%, 05/15/10 ................. 1,723 1,937
11.0%, 06/15/10 ................. 284,991 320,260
11.0%, 07/15/10 ................. 580,569 652,418
11.0%, 08/15/10 ................. 289,092 324,868
11.0%, 09/15/10 ................. 377,531 424,253
-------------
33,927,415
-------------
U.S. GOVERNMENT AGENCIES (27.2%)
Resolution Funding S.T.R.I.P.S.
Zero Coupon Deb., 04/15/99 ..... 5,000,000 4,195,950
U.S. Treasury:
11.875% Bond, 11/15/03 .......... 6,300,000 8,806,221
5.875% Note, 11/15/05 ........... 6,350,000 6,492,875
-------------
19,495,046
-------------
TOTAL CREDIT SENSITIVE (91.7%) . 65,808,890
-------------
TOTAL LONG-TERM DEBT SECURITIES (91.7%)
(Amortized Cost $64,190,415) ... 65,808,890
-------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT (14.6%)
Federal Home Loan Mortgage Corp.
5.75%, due 01/02/96 ............. 10,500,000 10,494,969
-------------
TOTAL SHORT-TERM DEBT SECURITIES (14.6%)
(Amortized Cost $10,494,969) ... 10,494,969
-------------
NUMBER OF
CONTRACTS (B)
---------------------------
OPTIONS PURCHASED:
U.S. 10 Year Treasury Note
February 115 Call * ............. 81 67,078
-------------
TOTAL OPTIONS PURCHASED (0.1%)
(Premiums Paid $38,576) ......... 67,078
-------------
TOTAL INVESTMENTS (106.4%)
(Amortized Cost $74,723,960) ... 76,370,937
LIABILITIES IN EXCESS OF CASH AND
RECEIVABLES (- 6.4%) ............ (4,591,112)
-------------
NET ASSETS (100.0%) .............. $71,779,825
=============
- ------------
* Non-income producing.
(a) Interest rate shown on floating rate securities represents the rate at
December 31, 1995.
(b) One contract relates to 100 shares.
See Notes to Financial Statements
48
<PAGE>
THE HUDSON RIVER TRUST
QUALITY BOND PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
PRINCIPAL
AMOUNT VALUE (NOTE 1)
- ------------------------------- ------------- --------------
LONG-TERM DEBT SECURITIES:
BUSINESS SERVICES
PRINTING, PUBLISHING &
BROADCASTING (8.3%)
Tele-Communications, Inc.
8.75%, 08/01/15 ............... $ 5,600,000 $ 6,208,552
Time Warner, Inc.
9.15%, 02/01/23 ............... 6,000,000 6,804,240
--------------
TOTAL BUSINESS SERVICES (8.3%) 13,012,792
--------------
CONSUMER NONCYCLICALS (3.5%)
FOODS
Borden, Inc.
Zero Coupon, 05/22/97+ ........ 6,000,000 5,493,000
--------------
CREDIT SENSITIVE
BANKS (3.6%)
St. George Bank Ltd.
7.15%, 10/15/05+ .............. 5,500,000 5,692,830
--------------
FINANCIAL SERVICES (5.7%)
Commercial Credit Co.
6.125%, 12/01/05 .............. 3,155,000 3,124,709
Prudential Insurance
8.3%, 07/01/25+ ............... 5,400,000 5,796,738
--------------
8,921,447
--------------
FOREIGN GOVERNMENT (13.3%)
Deutschland Republic
6.875%, 05/12/05 .............. 8,300,000 6,141,583
Italy Global Bond
6.875%, 09/27/23 .............. 3,000,000 2,929,650
Government of Spain
12.25%, 03/25/00 .............. 675,000,000 6,108,746
Province of Quebec
7.5%, 07/15/23 ................ $ 5,500,000 5,765,760
--------------
20,945,739
--------------
MORTGAGE RELATED (8.4%)
Federal National Mortgage
Association
6.0%, 12/01/09 ................ 13,423,998 13,289,759
--------------
LONG-TERM DEBT SECURITIES (Continued):
UTILITY -- ELECTRIC (3.1%)
GG1B Funding Corp.
7.43%, 01/15/11 ............... $ 4,926,622 $ 4,934,702
--------------
U.S. GOVERNMENT (50.9%)
Federal Farmers Credit
7.64% Medium Term Note,
02/03/98 ...................... 5,000,000 5,223,000
Federal Home Loan Bank
5.725%, 06/15/98 .............. 20,000,000 20,164,000
U.S. Treasury:
5.625% Note, 06/30/97 ......... 13,500,000 13,588,587
7.125% Note, 09/30/99 ......... 24,050,000 25,485,473
6.75% Note, 04/30/00 .......... 13,640,000 14,356,100
6.875% Bond, 08/15/25 ......... 1,170,000 1,319,906
--------------
80,137,066
--------------
TOTAL CREDIT SENSITIVE (85.0%) 133,921,543
--------------
TOTAL LONG-TERM DEBT SECURITIES (96.8%)
(Amortized Cost $148,282,420) 152,427,335
--------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT (0.9%)
Federal Home Loan Mortgage
Corp. 5.75%, due 01/02/96 .... 1,400,000 1,399,329
--------------
TOTAL SHORT-TERM DEBT SECURITIES (0.9%)
(Amortized Cost $1,399,329) .. 1,399,329
--------------
TOTAL INVESTMENTS (97.7%)
(Amortized Cost $149,681,749) 153,826,664
CASH AND RECEIVABLES
LESS LIABILITIES (2.3%) ....... 3,616,183
--------------
NET ASSETS (100.0%) ............ $157,442,847
==============
- ------------
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
See Notes to Financial Statements.
49
<PAGE>
THE HUDSON RIVER TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
NUMBER OF VALUE
SHARES (NOTE 1)
- ------------------------------- ------------ -----------
COMMON STOCKS:
BUSINESS SERVICES (0.0%)
PRINTING, PUBLISHING &
BROADCASTING
Pegasus Media &
Communications--Warrants* .... 150 $ 45,000
-----------
CONSUMER CYCLICALS
APPAREL, TEXTILE (0.0%)
AVI Holdings, Inc.--Warrants*+ 3,300 16,500
-----------
RETAIL--GENERAL (0.0%)
Eye Care Centers of America--
Warrants* ..................... 3,000 30,000
-----------
TOTAL CONSUMER CYCLICALS (0.0%) 46,500
-----------
CONSUMER NONCYCLICALS
HOSPITAL SUPPLIES & SERVICES (0.1%)
Wright Medical Techonolgy,
Inc.--Warrants* ............... 412 67,980
-----------
SOAPS & TOILETRIES (0.1%)
Renaissance Cosmetics--
Warrants*+ .................... 2,000 45,000
-----------
TOTAL CONSUMER NONCYCLICALS (0.2%) 112,980
-----------
TOTAL COMMON STOCKS (0.2%)
(Cost $201,480) ............... 204,480
-----------
PRINCIPAL
AMOUNT
------------
LONG-TERM DEBT SECURITIES:
BASIC MATERIALS
CHEMICALS (7.7%)
Buckeye Cellulos Corp.
8.5%, 12/15/05 ................ $1,000,000 1,032,500
G-I Holdings
Zero Coupon Sr. Disc. Note,
10/01/98 ...................... 2,000,000 1,550,000
Harris Chemical
10.75%, 10/15/03 .............. 2,000,000 1,830,000
Pioneer Americas Corp.
13.375%, 04/01/05 ............. 1,500,000 1,567,500
Sherritt Gordon
9.75%, 04/01/03 ............... 2,000,000 2,130,000
Trans Resources, Inc.
11.875% Sr. Sub. Note Series
B, 07/01/02 ................... 1,000,000 915,000
-----------
9,025,000
-----------
METALS & MINING (4.2%)
Great Lakes Carbon Corp.
10.0%, 01/01/06 ............... 2,000,000 2,050,000
Interlake Corp.
12.0%, 11/15/01 ............... 1,500,000 1,515,000
International Wire Group
11.75%, 06/01/05 .............. 1,500,000 1,440,000
-----------
5,005,000
-----------
PAPER (9.0%)
Crown Paper Co.
11.0%, 09/01/05 ............... 1,500,000 1,312,500
PRINCIPAL
AMOUNT VALUE (NOTE 1)
------------ ---------------------------
LONG-TERM DEBT SECURITIES (CONTINUED):
Indah Kiat International Finance
11.875%, 06/15/02 .............. $1,500,000 $ 1,515,000
Rapp International Finance:
11.5%, 12/15/00 ................ 1,500,000 1,492,500
13.25%, 12/15/05 ............... 1,000,000 986,250
Repap New Brunswick
9.875%, 07/15/00 ............... 1,000,000 1,002,500
Sweetheart Cup
10.5%, 09/01/03 ................ 2,250,000 2,266,875
Williamhouse Regency of
Delaware, Inc.
13.0%, 11/15/05+ ............... 2,000,000 2,075,000
---------------------------
10,650,625
---------------------------
STEEL (0.8%)
Algoma Steel
12.375%, 07/15/05 .............. 1,000,000 900,000
---------------------------
TOTAL BASIC MATERIALS (21.7%) . 25,580,625
---------------------------
BUSINESS SERVICES
PRINTING, PUBLISHING &
BROADCASTING (7.7%)
Act III Broadcasting, Inc.
10.25%, 12/15/05 ............... 2,000,000 2,035,000
Continental Cablevision
8.3%, 05/15/06+ ................ 3,000,000 3,011,250
Fundy Cable Ltd.
11.0%, 11/15/05 ................ 2,500,000 2,600,000
Pegasus Media & Communications
12.5%, 07/01/05 ................ 1,500,000 1,485,000
---------------------------
9,131,250
---------------------------
TRUCKING, SHIPPING (4.5%)
Penn Traffic Co.
8.625%, 12/15/03 ............... 2,500,000 2,225,000
Stena AB
10.5%, 12/15/05 ................ 3,000,000 3,060,000
---------------------------
5,285,000
---------------------------
TOTAL BUSINESS SERVICES (12.2%) 14,416,250
---------------------------
CAPITAL GOODS
AEROSPACE (0.9%)
Howmet Corp.
10.0%, 12/01/03+ ............... 1,000,000 1,040,000
---------------------------
MACHINERY (3.0%)
Monarch Acquisition
12.5%, 07/01/03 ................ 1,500,000 1,590,000
Specialty Equipment Cos., Inc.
11.375%, 12/01/03 .............. 2,000,000 2,030,000
---------------------------
3,620,000
---------------------------
TOTAL CAPITAL GOODS (3.9%) .... 4,660,000
---------------------------
CONSUMER CYCLICALS
APPAREL, TEXTILE (6.6%)
Apparel Ventures, Inc.
12.25%, 12/31/00 ............... 900,000 706,500
CMI Industries
9.5%, 10/01/03 ................. 2,000,000 1,620,000
50
<PAGE>
THE HUDSON RIVER TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE (NOTE 1)
- -------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES (CONTINUED):
Hosiery Corp. of America
14.25%, 08/01/02 (b) ........... $1,500,000 $ 1,612,500
Ithaca Industries
11.125%, 12/15/02 .............. 1,500,000 600,000
PT Polysindo Eka Perkasa
13.0%, 06/01/01 ................ 2,175,000 2,251,125
Tultex Corp.
10.625%, 03/15/05 .............. 1,000,000 1,025,000
---------------------------
7,815,125
---------------------------
HOUSEHOLD FURNITURE, APPLIANCES (1.3%)
Crain Industries
13.5%, 08/15/05+ ............... 1,500,000 1,515,000
---------------------------
LEISURE RELATED (0.9%)
Premier Parks, Inc.
12.0%, 08/15/03+ ............... 1,000,000 1,035,000
---------------------------
RETAIL--GENERAL (5.4%)
Eye Care Centers of America
12.0%, 10/01/03 ................ 3,000,000 2,790,000
Florist Transworld
14.0%, 12/15/01 (b) ............ 1,500,000 1,635,000
Tag-Heuer International SA
12.0%, 12/15/05+ ............... 2,000,000 2,000,000
---------------------------
6,425,000
---------------------------
TOTAL CONSUMER CYCLICALS (14.2%) 16,790,125
---------------------------
CONSUMER NONCYCLICALS
FOODS (2.9%)
Carr-Gottstein Foods Co.
12.0%, 11/15/05+ ............... 1,500,000 1,515,000
Specialty Foods Corp.
11.125%, 10/01/02 .............. 2,000,000 1,940,000
---------------------------
3,455,000
---------------------------
CONTAINERS (2.2%)
MVE, Inc.
12.5%, 02/15/02 ................ 1,500,000 1,500,000
Riverwood International
11.25% Sr. Sub. Deb., 06/15/02 1,000,000 1,085,000
---------------------------
2,585,000
---------------------------
SOAPS & TOILETRIES (1.9%)
Revlon Worldwide
Zero Coupon, 03/15/98 .......... 3,000,000 2,227,500
---------------------------
TOTAL CONSUMER NONCYCLICALS (7.0%) 8,267,500
---------------------------
CREDIT SENSITIVE
BANKS (1.3%)
Firstbank Puerto Rico
7.625%, 12/15/05 ............... 1,500,000 1,483,125
---------------------------
FINANCIAL SERVICES (3.2%)
Tembec Finance Corp.
9.875%, 09/30/05 ............... 1,750,000 1,736,875
Trizec Finance Ltd.
10.875%, 10/15/05 .............. 2,000,000 2,050,000
---------------------------
3,786,875
---------------------------
GENERAL OBLIGATIONS (1.7%)
Paxson Communications Corp.
11.625%, 10/01/02+ ............. 2,000,000 2,030,000
---------------------------
FOREIGN GOVERNMENT (3.2%)
Bulgaria Discount Bonds
6.75% Floating Rate Series A,
07/28/24 (a) ................... $2,000,000 $ 1,062,500
Republic of Ecuador
6.813% Floating Rate,
02/28/25 (a) ................... 1,500,000 757,500
Republic of Poland
3.25% Floating Rate,
10/27/14 (a) ................... 3,000,000 1,946,250
---------------------------
3,766,250
---------------------------
UTILITY--ELECTRIC (1.3%)
California Energy
9.875%, 06/30/03 ............... 1,500,000 1,575,000
---------------------------
UTILITY--GAS (1.8%)
Bridas Corp.
12.5%, 11/15/99 ................ 2,100,000 2,079,000
---------------------------
UTILITY--TELEPHONE (2.5%)
Telewest Communications PLC
9.625%, 10/01/06 ............... 3,000,000 3,030,000
---------------------------
TOTAL CREDIT SENSITIVE (15.0%) 17,750,250
---------------------------
ENERGY
OIL--DOMESTIC (3.6%)
Clark USA, Inc.
10.875%, 12/01/05+ ............. 1,500,000 1,575,000
Gulf Canada Resources Ltd.
9.625%, 07/01/05 ............... 1,000,000 1,055,000
Kelley Oil & Gas
13.5%, 06/15/99 ................ 2,000,000 1,600,000
---------------------------
TOTAL ENERGY (3.6%) ............ 4,230,000
---------------------------
TECHNOLOGY
OFFICE EQUIPMENT SERVICES (0.9%)
Graphic Controls Corp.
12.0%, 09/15/05 ................ 1,000,000 1,035,000
---------------------------
TELECOMMUNICATIONS (11.9%)
Clearnet Communications
14.75%, 12/15/05 (b)(c) ........ 4,000,000 2,080,000
Communication & Power Corp.
12.0%, 08/01/05+ ............... 1,000,000 1,027,500
EZ Communications, Inc.
9.75%, 12/01/05 ................ 1,500,000 1,507,500
Fonorola, Inc.
12.5%, 08/15/02 ................ 1,000,000 1,050,000
Galaxy Telecom L.P.
12.375%, 10/01/05 .............. 1,500,000 1,496,250
IXC Communications, Inc.
13.0%, 10/01/05+ ............... 2,000,000 2,145,000
Lenfest Communications
8.375%, 11/01/05 ............... 2,000,000 2,007,500
Nextel Communications
9.75%, 08/15/04 (c) ............ 1,500,000 813,750
Rogers Cablesystems Ltd.
10.0%, 12/01/07 ................ 1,840,000 1,982,600
---------------------------
14,110,100
---------------------------
TOTAL TECHNOLOGY (12.8%) ...... 15,145,100
---------------------------
51
<PAGE>
THE HUDSON RIVER TRUST
HIGH YIELD PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- -------------------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE (NOTE 1)
- -------------------------------------------------------------------------------
LONG-TERM DEBT SECURITIES (CONTINUED):
DIVERSIFIED
MISCELLANEOUS (2.4%)
Cabot Safety Corp.
12.5%, 07/15/05 ................ $1,000,000 $ 1,060,000
Jordan Industries
10.375%, 08/01/03 .............. 2,000,000 1,780,000
---------------------------
TOTAL DIVERSIFIED (2.4%) ...... 2,840,000
---------------------------
TOTAL LONG-TERM DEBT SECURITIES (92.8%)
(Amortized Cost $107,587,741) . 109,679,850
---------------------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT (2.6%)
Federal Home Loan Mortgage Corp.
5.75%, due 01/02/96 ............ $3,000,000 $ 2,998,563
---------------------------
TOTAL SHORT-TERM DEBT SECURITIES (2.6%)
(Amortized Cost $2,998,563) ... 2,998,563
---------------------------
TOTAL INVESTMENTS (95.6%)
(Cost/Amortized Cost $110,787,784) 112,882,893
CASH AND RECEIVABLES
LESS LIABILITIES (4.4%) ........ 5,245,690
---------------------------
NET ASSETS (100.0%) ............. $118,128,583
===========================
- ------------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities
Act of 1933. These securities may only be resold to qualified
institutional buyers.
(a) Interest rate shown on floating rate securities represents the rate at
December 31, 1995.
(b) Consists of more than one class of securities traded together as a
unit; generally bonds with attached stocks or warrants.
(c) Debt security initially issued in zero coupon form which converts to
coupon form at a specific rate and date.
See Notes to Financial Statements.
52
<PAGE>
THE HUDSON RIVER TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF VALUE
SHARES (NOTE 1)
- -------------------------------- ----------- -----------------------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (1.5%)
Avery Dennison Corp. ............ 15,000 $ 751,875
Dow Chemical Co. ................ 5,000 351,875
Dupont (E.I.) de Nemours & Co. . 5,000 349,375
-----------------------------
TOTAL BASIC MATERIALS (1.5%) .. 1,453,125
-----------------------------
ENVIRONMENTAL CONTROL (1.1%)
Johnson Controls, Inc. .......... 15,000 1,031,250
-----------------------------
PRINTING, PUBLISHING &
BROADCASTING (1.2%)
Jostens, Inc. ................... 50,000 1,212,500
-----------------------------
PROFESSIONAL SERVICES (0.7%)
GATX Corp. ...................... 15,000 729,375
-----------------------------
TOTAL BUSINESS SERVICES (3.0%) 2,973,125
-----------------------------
CAPITAL GOODS
AEROSPACE (1.0%)
Northrop Grumman Corp. .......... 15,000 960,000
-----------------------------
BUILDING MATERIALS &
FOREST PRODUCTS (1.8%)
Weyerhaeuser Co. ................ 40,000 1,730,000
-----------------------------
ELECTRICAL EQUIPMENT (1.5%)
General Electric Co. ............ 20,000 1,440,000
-----------------------------
MACHINERY (1.0%)
Deere & Co. ..................... 30,000 1,057,500
-----------------------------
TOTAL CAPITAL GOODS (5.3%) .... 5,187,500
-----------------------------
CONSUMER CYCLICALS
AUTO RELATED (1.0%)
Dana Corp. ...................... 35,000 1,023,750
-----------------------------
RETAIL--GENERAL (0.8%)
Sears Roebuck & Co. ............. 20,000 780,000
-----------------------------
TOTAL CONSUMER CYCLICALS (1.8%) 1,803,750
-----------------------------
CONSUMER NONCYCLICALS
FOODS (2.0%)
Heinz (H.J.) Co. ................ 60,000 1,987,500
-----------------------------
DRUGS (2.2%)
Bristol-Myers Squibb Co. ........ 25,000 2,146,875
-----------------------------
HOSPITAL SUPPLIES & SERVICES (1.5%)
Baxter International, Inc. ..... 35,000 1,465,625
-----------------------------
RETAIL--FOOD (0.4%)
Kroger Co.* ..................... 9,574 359,025
-----------------------------
SOAPS & TOILETRIES (1.8%)
Clorox Co. ...................... 25,000 1,790,625
-----------------------------
TOBACCO (2.8%)
Philip Morris Cos., Inc. ........ 25,000 2,262,500
UST, Inc. ....................... 15,000 500,625
-----------------------------
2,763,125
-----------------------------
TOTAL CONSUMER NONCYCLICALS (10.7%) 10,512,775
-----------------------------
COMMON STOCKS (Continued):
CREDIT SENSITIVE
BANKS (4.0%)
Bank of New York Co. ............ 45,000 $ 2,193,750
First Bank Systems .............. 35,000 1,736,875
-----------------------------
3,930,625
-----------------------------
FINANCIAL SERVICES (2.3%)
American Express Co. ............ 40,000 1,655,000
MBNA Corp. ...................... 15,000 553,125
-----------------------------
2,208,125
-----------------------------
INSURANCE (0.6%)
Saint Paul Cos., Inc. ........... 10,000 556,250
-----------------------------
UTILITY--ELECTRIC (5.4%)
Duke Power Co. .................. 30,000 1,421,250
Houston Industries, Inc. ........ 60,000 1,455,000
Portland General Corp. .......... 30,000 873,750
Teco Energy, Inc. ............... 60,000 1,537,500
-----------------------------
5,287,500
-----------------------------
UTILITY--GAS (1.9%)
Consolidated Natural Gas Co. ... 40,000 1,815,000
-----------------------------
UTILITY--TELEPHONE (6.3%)
Ameritech Corp. ................. 35,000 2,065,000
Cincinnati Bell, Inc. ........... 60,000 2,085,000
NYNEX Corp. ..................... 40,000 2,160,000
-----------------------------
6,310,000
-----------------------------
TOTAL CREDIT SENSITIVE (20.5%) 20,107,500
-----------------------------
ENERGY
COAL & GAS PIPELINES (2.5%)
MCN CORP. 50,000 1,162,500
WILLIAMS COS., INC. 30,000 1,316,250
-----------------------------
2,478,750
-----------------------------
OIL--INTERNATIONAL (3.9%)
Exxon Corp. ..................... 20,000 1,602,500
Mobil Corp. ..................... 20,000 2,240,000
-----------------------------
3,842,500
-----------------------------
OIL--SUPPLIES & CONSTRUCTION (0.5%)
Halliburton Co. ................. 10,000 506,250
-----------------------------
RAILROADS (2.4%)
Burlington Northern Santa Fe ... 4,148 323,544
Norfolk Southern Corp. .......... 25,000 1,984,375
-----------------------------
2,307,919
-----------------------------
TOTAL ENERGY (9.3%) ............ 9,135,419
-----------------------------
TECHNOLOGY
OFFICE EQUIPMENT (2.1%)
Xerox Corp. ..................... 15,000 2,055,000
-----------------------------
ELECTRONICS (0.5%)
National Semiconductor Corp.* .. 19,223 427,712
-----------------------------
TOTAL TECHNOLOGY (2.6%) ........ 2,482,712
-----------------------------
TOTAL COMMON STOCKS (54.7%)
(Cost $45,015,363) ............. 53,655,906
-----------------------------
53
<PAGE>
THE HUDSON RIVER TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF VALUE
SHARES (NOTE 1)
- -------------------------------- ----------- -----------------------------
PREFERRED STOCKS:
BASIC MATERIALS
METALS & MINING (0.3%)
Reynolds Metals Co.
7.0% Conv., 12/31/97 ........... 5,300 $ 268,312
-----------------------------
PAPER (0.1%)
James River Corp.
9.0% Conv. ..................... 6,600 154,275
-----------------------------
TOTAL BASIC MATERIALS (0.4%) .. 422,587
-----------------------------
BUSINESS SERVICES (0.4%)
PRINTING, PUBLISHING &
BROADCASTING
Cablevision Systems
8.5% Conv. ..................... 12,900 351,525
-----------------------------
CAPITAL GOODS (0.7%)
ELECTRICAL EQUIPMENT
Westinghouse Electric Corp.
1.3% Conv. *+ .................. 40,400 641,350
-----------------------------
CONSUMER CYCLICALS (0.5%)
AIRLINES
Continental Air Finance Trust
8.5% Conv.*+ ................... 9,000 481,500
-----------------------------
CONSUMER NONCYCLICALS
DRUGS (0.0%)
Gensia Pharmaceuticals, Inc.
$3.75 Conv. + .................. 1,800 26,100
-----------------------------
HOSPITAL SUPPLIES & SERVICES (0.5%)
FHP International Corp.
5.0% Conv. Series A ............ 15,900 423,338
-----------------------------
TOTAL CONSUMER NONCYCLICALS (0.5%) 449,438
-----------------------------
CREDIT SENSITIVE
BANKS (0.9%)
First Chicago NBD Corp.
5.75% Conv. Series B ........... 7,600 509,200
Jefferson-Pilot Corp.
7.25% Conv. .................... 4,600 336,375
-----------------------------
845,575
-----------------------------
FINANCIAL SERVICES (0.5%)
Allstate Corp.
$2.30 Conv. .................... 7,000 287,000
First USA, Inc.
6.25% Conv. .................... 5,500 217,250
-----------------------------
504,250
-----------------------------
INSURANCE (0.4%)
Travelers Group, Inc.
5.5% Conv. Series B ............ 4,400 383,900
-----------------------------
UTILITY--TELEPHONE (0.7%)
LCI International
5.0% Conv. ..................... 12,800 684,800
-----------------------------
TOTAL CREDIT SENSITIVE (2.5%) . 2,418,525
-----------------------------
ENERGY (0.3%)
OIL--DOMESTIC
ENRON Corp.
6.25% Conv.* ................... 14,700 352,800
-----------------------------
PREFERRED STOCKS (Continued):
TECHNOLOGY (0.3%)
TELECOMMUNICATIONS
MFS Communications Co., Inc.
8.0% Conv.* .................... 7,200 $ 350,550
-----------------------------
TOTAL PREFERRED STOCKS (5.6%)
(Cost $5,100,065) .............. 5,468,275
-----------------------------
PRINCIPAL
AMOUNT
---------
LONG-TERM DEBT SECURITIES:
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (1.2%)
Thermo Electron Corp.:
5.0% Euro Conv., 04/15/01 ..... $500,000 846,250
4.25% Euro Conv., 01/01/03+ ... 300,000 328,125
-----------------------------
1,174,375
-----------------------------
PROFESSIONAL SERVICES (2.0%)
Career Horizons, Inc.
7.0% Conv., 11/01/02+ .......... 280,000 318,500
Danka Business Systems
6.75% Conv., 04/01/02 .......... 470,000 665,638
First Financial Management Corp.
5.0% Conv., 12/15/99 ........... 605,000 981,613
-----------------------------
1,965,751
-----------------------------
TOTAL BUSINESS SERVICES (3.2%) 3,140,126
-----------------------------
CAPITAL GOODS
MACHINERY (1.6%)
Dovatron International
6.0% Conv., 10/15/02+ ......... 300,000 321,000
Solectron Corp.
Zero Coupon Conv. Sub. Note,
05/05/12 ....................... 930,000 853,274
Titan Wheel International, Inc.
4.75% Conv., 12/01/00 .......... 315,000 416,194
-----------------------------
TOTAL CAPITAL GOODS (1.6%) .... 1,590,468
-----------------------------
CONSUMER CYCLICALS
FOOD SERVICES, LODGING (0.8%)
HFS, INC.
4.5% CONV., 10/01/99 365,000 843,150
----------------------------
RETAIL--GENERAL (0.9%)
Federated Department Stores,
Inc.
5.0% Conv., 10/01/03 ........... 375,000 375,000
Lowes Cos., Inc.
3.0% Conv., 07/22/03 ........... 380,000 495,425
-----------------------------
870,425
-----------------------------
TOTAL CONSUMER CYCLICALS (1.7%) 1,713,575
-----------------------------
CONSUMER NONCYCLICALS
HOSPITAL SUPPLIES & SERVICES (2.0%)
Healthsouth Corp.
5.0% Conv., 04/01/01 ........... 390,000 629,850
Integrated Health Services, Inc.
5.75% Conv., 01/01/01+ ......... 735,000 739,593
Omnicare, Inc.
5.75% Conv., 10/01/03 .......... 205,000 636,013
-----------------------------
TOTAL CONSUMER NONCYCLICALS (2.0%) 2,005,456
-----------------------------
54
<PAGE>
THE HUDSON RIVER TRUST
GROWTH & INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- -------------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ---------------------------------- ------------ -------------
LONG-TERM DEBT SECURITIES
(Continued):
CREDIT SENSITIVE
BANKS (0.3%)
Bank of New York Co.
7.5% Conv., 08/15/01 ............. $ 135,000 $ 336,656
-------------
FINANCIAL SERVICES (0.7%)
Medaphis Corp.
6.5% Conv., 01/01/00+ ............ 241,000 640,759
-------------
UTILITY--TELEPHONE (1.0%)
Worldcom, Inc.
5.0% Conv., 08/15/03 ............. 895,000 948,700
-------------
TOTAL CREDIT SENSITIVE (2.0%) ... 1,926,115
-------------
TECHNOLOGY
ELECTRONICS (4.1%)
Altera Corp.
5.75% Conv. Sub. Note, 06/15/02+ 405,000 471,825
Cypress Semiconductor
3.15% Conv., 03/15/01+ ........... 285,000 289,988
General Instrument Corp.
5.0% Conv., 06/15/00 ............. 290,000 322,625
Integrated Device Technology, Inc.
5.5% Conv., 06/01/02 ............. 550,000 449,625
Lam Research Corp.
6.0% Conv. Sub. Deb., 05/01/03 .. 300,000 557,250
LSI Logic Corp.
5.5% Conv., 03/15/01+ ............ 125,000 339,219
Motorola, Inc.
Zero Coupon Conv., 09/27/13 ..... 150,000 114,375
Sanmina Corporation
5.5% Conv., 08/15/02+ ............ 625,000 683,594
3Com Corp.
10.25% Conv., 11/01/01+ .......... 495,000 790,763
-------------
4,019,264
-------------
TELECOMMUNICATIONS (1.9%)
Intelcom Group, Inc.
7.0% Conv., 10/30/98 ............. $ 387,000 $ 332,820
Bay Networks, Inc.
5.25% Conv., 05/15/03+ ........... 720,000 779,400
U.S. Cellular Corp.
Zero Coupon Conv., 06/15/15 ..... 2,035,000 717,336
-------------
1,829,556
-------------
TOTAL TECHNOLOGY (6.0%) .......... 5,848,820
-------------
TOTAL LONG-TERM DEBT SECURITIES (16.5%)
(Amortized Cost $14,124,662) .... 16,224,560
-------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT (22.7%)
Federal Home Loan Bank
5.54%, due 01/03/96 .............. 13,600,000 13,591,628
Federal Home Loan Mortgage Corp.
5.75%, due 01/02/96 .............. 8,600,000 8,595,879
-------------
TOTAL U.S. GOVERNMENT (22.7%) ... 22,187,507
-------------
TOTAL SHORT-TERM DEBT SECURITIES (22.7%)
(Amortized Cost $22,187,507) .... 22,187,507
-------------
TOTAL INVESTMENTS (99.5%)
(Cost/Amortized Cost $86,427,597) 97,536,248
CASH AND RECEIVABLES
LESS LIABILITIES (0.5%) .......... 516,573
-------------
NET ASSETS (100.0%) ............... $98,052,821
=============
- ------------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
See Notes to Financial Statements.
55
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (2.4%)
Air Products & Chemicals, Inc. ... 3,800 $ 200,450
Avery Dennison Corp. .............. 1,800 90,225
Dow Chemical Co. .................. 9,200 647,450
Dupont (E.I.) de Nemours & Co. ... 19,000 1,327,625
Eastman Chemical Company .......... 2,800 175,350
Ecolab, Inc. ...................... 2,500 75,000
FMC Corp.* ........................ 1,200 81,150
Goodrich (B.F.) Co. ............... 1,200 81,750
Grace (W.R.) & Co. ................ 3,200 189,200
Hercules, Inc. .................... 3,800 214,225
Millipore Corp. ................... 2,000 82,250
Monsanto Co. ...................... 4,000 490,000
Nalco Chemical Co. ................ 2,700 81,338
Rohm & Haas Co. ................... 2,300 148,062
Union Carbide Corp. ............... 4,500 168,750
--------------------------
4,052,825
--------------------------
CHEMICALS--SPECIALTY (0.3%)
Great Lakes Chemical Corp. ........ 2,200 158,400
Morton International, Inc. ........ 4,800 172,200
Raychem Corp. ..................... 1,500 85,312
Sigma Aldrich ..................... 1,700 84,150
--------------------------
500,062
--------------------------
METALS & MINING (1.3%)
Alcan Aluminium Ltd. .............. 7,800 242,775
Aluminum Co. of America ........... 6,200 327,825
Asarco, Inc. ...................... 2,100 67,200
Barrick Gold Corp. ................ 11,700 308,588
Cyprus Amax Minerals Co. .......... 3,000 78,375
Engelhard Corp. ................... 4,950 107,663
Freeport-McMoRan Copper & Gold,
Inc. (Class B) ................... 7,000 196,875
Homestake Mining Co. .............. 4,100 64,063
Inco Ltd. ......................... 4,100 136,325
Newmont Mining Corp. .............. 2,948 133,397
Phelps Dodge Corp. ................ 2,300 143,175
Placer Dome, Inc. ................. 7,900 190,587
Reynolds Metals Co. ............... 2,100 118,912
Santa Fe Pacific Gold Corp. ...... 5,920 71,780
--------------------------
2,187,540
--------------------------
PAPER (1.4%)
Boise Cascade Corp. ............... 2,300 79,637
Champion International Corp. ..... 3,300 138,600
Federal Paper Board, Inc. ......... 1,400 72,625
Georgia Pacific Corp. ............. 3,000 205,875
International Paper Co. ........... 8,700 329,512
James River Corp. ................. 2,800 67,550
Kimberly Clark Corp. .............. 9,322 771,395
Mead Corp. ........................ 1,800 94,050
Moore Corp. Ltd. .................. 4,400 81,950
Stone Container Corp. ............. 5,500 79,063
Temple Inland, Inc. ............... 1,900 83,838
Union Camp Corp. .................. 2,300 109,538
Westvaco Corp. .................... 3,300 91,575
Willamette Industries, Inc. ...... 1,800 101,250
--------------------------
2,306,458
COMMON STOCKS (Continued):
--------------------------
STEEL (0.3%)
Bethlehem Steel Corp.* ............ 5,800 $ 81,200
Nucor Corp. ....................... 3,000 171,375
USX-U.S. Steel Group .............. 2,900 89,175
Worthington Industries, Inc. ..... 4,100 85,331
--------------------------
427,081
--------------------------
TOTAL BASIC MATERIALS (5.7%) .... 9,473,966
--------------------------
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (0.5%)
Browning-Ferris Industries, Inc. . 7,300 215,350
Johnson Controls, Inc. ............ 1,300 89,375
WMX Technologies, Inc. ............ 16,600 495,925
--------------------------
800,650
--------------------------
PRINTING, PUBLISHING &
BROADCASTING (2.5%)
Capital Cities ABC, Inc. .......... 5,300 653,887
Comcast Corp. (Class A) SPL ...... 8,200 149,137
Deluxe Corp. ...................... 2,800 81,200
Donnelley (R.R.) & Sons Co. ...... 5,300 208,687
Dow Jones & Co., Inc. ............. 3,300 131,588
Dun & Bradstreet Corp. ............ 5,800 375,550
Gannett Co. ....................... 4,800 294,600
Jostens, Inc. ..................... 2,892 70,131
King World Productions, Inc.* .... 1,800 69,975
Knight-Ridder, Inc. ............... 1,600 100,000
McGraw-Hill Companies, Inc. ...... 1,700 148,113
New York Times Co. ................ 3,300 97,763
Tele-Communications, Inc.
(Class A)* ....................... 22,400 445,200
Time Warner, Inc. ................. 13,200 499,950
Times Mirror Co. (Class A) ........ 3,600 121,950
Tribune Co. ....................... 2,200 134,475
Viacom, Inc. (Class A)* ........... 1,000 45,875
Viacom, Inc. (Class B)* ........... 11,400 540,075
--------------------------
4,168,156
--------------------------
PROFESSIONAL SERVICES (0.2%)
Block (H&R), Inc. ................. 3,400 137,700
Interpublic Group Cos., Inc. ..... 2,400 104,100
Service Corp. International ...... 3,400 149,600
--------------------------
391,400
--------------------------
TRUCKING, SHIPPING (0.2%)
Federal Express Corp.* ............ 2,000 147,750
Laidlaw, Inc. (Class B) ........... 3,300 33,825
Roadway Services, Inc. ............ 1,600 78,200
Ryder System, Inc. ................ 3,300 81,675
--------------------------
341,450
--------------------------
TOTAL BUSINESS SERVICES (3.4%) ... 5,701,656
--------------------------
CAPITAL GOODS
AEROSPACE (2.2%)
Boeing Co. ........................ 11,600 909,150
General Dynamics Corp. ............ 2,000 118,250
Lockheed Martin Corporation ...... 6,804 537,516
Loral Corp. ....................... 5,800 205,175
McDonnell Douglas Corp. ........... 3,800 349,600
Northrop Grumman Corp. ............ 1,700 108,800
Raytheon Co. ...................... 8,300 392,175
56
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS (Continued):
Rockwell International Corp. ..... 7,400 $ 391,275
TRW, Inc. ......................... 2,100 162,750
United Technologies Corp. ......... 4,200 398,475
--------------------------
3,573,166
--------------------------
BUILDING & CONSTRUCTION (0.0%)
Centex Corp. ...................... 1,900 66,025
--------------------------
BUILDING MATERIALS & FOREST
PRODUCTS (0.7%)
Armstrong World Industries, Inc. . 1,100 68,200
Crane Co. ......................... 2,100 77,437
Louisiana Pacific Corp. ........... 3,700 89,725
Masco Corp. ....................... 5,200 163,150
Owens Corning Fiberglass Corp. ... 1,700 76,288
PPG Industries, Inc. .............. 7,000 320,250
Sherwin Williams Co. .............. 2,600 105,950
Weyerhaeuser Co. .................. 6,900 298,425
--------------------------
1,199,425
--------------------------
ELECTRICAL EQUIPMENT (3.1%)
Emerson Electric Co. .............. 7,700 629,475
General Electric Co. .............. 57,700 4,154,400
Grainger (W.W.), Inc. ............. 1,700 112,625
Thomas & Betts Corp. .............. 1,100 81,125
Westinghouse Electric Corp. ...... 13,400 221,100
--------------------------
5,198,725
--------------------------
MACHINERY (1.4%)
Caterpillar, Inc. ................. 6,800 399,500
Cooper Industries, Inc. ........... 3,700 135,975
Cummins Engine, Inc. .............. 1,800 66,600
Deere & Co. ....................... 8,900 313,725
Dover Corp. ....................... 3,900 143,812
Fluor Corp. ....................... 2,700 178,200
Foster Wheeler Corp. .............. 1,800 76,500
General Signal Corp. .............. 2,400 77,700
Harnischfeger Industries Corp. ... 2,400 79,800
Illinois Tool Works, Inc. ......... 4,000 236,000
Ingersoll Rand Co. ................ 3,500 122,938
Pall Corp. ........................ 3,900 104,813
Parker Hannifin Corp. ............. 2,500 85,625
Timken Co. ........................ 2,000 76,500
Varity Corp.* ..................... 2,000 74,250
--------------------------
2,171,938
--------------------------
TOTAL CAPITAL GOODS (7.4%) ...... 12,209,279
--------------------------
CONSUMER CYCLICALS
AIRLINES (0.3%)
AMR Corp.* ........................ 2,700 200,475
Delta Air Lines, Inc. ............. 1,800 132,975
Southwest Airlines Co. ............ 4,600 106,950
--------------------------
440,400
--------------------------
APPAREL, TEXTILE (0.5%)
Fruit of the Loom, Inc.* .......... 3,200 78,000
Liz Claiborne, Inc. ............... 2,600 72,150
National Service Industries, Inc. 2,400 77,700
Nike, Inc. ........................ 4,700 327,237
Reebok International, Ltd. ........ 2,900 81,925
Russell Corp. ..................... 2,600 $ 72,150
VF Corp. .......................... 2,000 105,500
--------------------------
814,662
--------------------------
AUTO RELATED (0.5%)
Cooper Tire & Rubber Co. .......... 2,600 64,025
Dana Corp. ........................ 3,400 99,450
Eaton Corp. ....................... 2,500 134,062
Echlin, Inc. ...................... 2,100 76,650
Genuine Parts Co. ................. 4,200 172,200
Goodyear Tire & Rubber Co. ........ 5,100 231,413
Snap-On Tools Corp. ............... 1,800 81,450
--------------------------
859,250
--------------------------
AUTOS & TRUCKS (1.9%)
Chrysler Corp. .................... 13,000 719,875
Ford Motor Co. .................... 36,400 1,055,600
General Motors Corp. .............. 25,400 1,343,025
Paccar, Inc. ...................... 1,700 71,613
--------------------------
3,190,113
--------------------------
FOOD SERVICES, LODGING (0.8%)
Harrah's Entertainment, Inc.* .... 3,500 84,875
Marriott International, Inc. ..... 4,200 160,650
McDonald's Corp. .................. 24,000 1,083,000
Wendy's International, Inc. ...... 3,300 70,125
--------------------------
1,398,650
--------------------------
HOUSEHOLD FURNITURE, APPLIANCES (0.4%)
Black & Decker Corp. .............. 2,500 88,125
Maytag Corp. ...................... 3,700 74,925
Newell Co. ........................ 4,900 126,787
Premark International, Inc. ...... 2,100 106,313
Rubbermaid, Inc. .................. 5,500 140,250
Stanley Works ..................... 1,400 72,100
Whirlpool Corp. ................... 2,400 127,800
Zenith Electronics Corp.* ......... 1,205 8,284
--------------------------
744,584
--------------------------
LEISURE RELATED (1.5%)
American Greetings Corp. .......... 2,800 77,350
Brunswick Corp. ................... 3,600 86,400
CUC International, Inc.* .......... 5,700 194,513
Disney (Walt) Co. ................. 17,500 1,032,500
Fleetwood Enterprises, Inc. ...... 2,900 74,675
Hasbro, Inc. ...................... 3,000 93,000
Hilton Hotels Corp. ............... 1,500 92,250
ITT Corp. ......................... 4,000 212,000
Mattel, Inc. ...................... 7,675 236,006
U.S. West Media Group* ............ 16,100 305,900
--------------------------
2,404,594
--------------------------
PHOTO & OPTICAL (0.6%)
Allergan, Inc. .................... 2,300 74,750
Bausch & Lomb, Inc. ............... 2,000 79,250
Eastman Kodak Co. ................. 11,600 777,200
Polaroid Corp. .................... 1,500 71,062
--------------------------
1,002,262
--------------------------
RETAIL--GENERAL (3.9%)
Charming Shoppes, Inc. ............ 3,600 10,350
Circuit City Stores, Inc. ......... 3,300 91,163
57
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS (Continued):
Dayton Hudson Corp. ............... 2,500 $ 187,500
Dillard Department Stores ......... 3,700 105,450
Federated Department Stores, Inc.* 6,900 189,750
Gap, Inc. ......................... 4,900 205,800
Harcourt General, Inc. ............ 2,500 104,688
Home Depot, Inc. .................. 16,400 785,150
K-Mart Corp. ...................... 13,200 95,700
Limited, Inc. ..................... 12,300 213,712
Lowes Cos., Inc. .................. 5,500 184,250
May Department Stores Co. ......... 8,500 359,125
Melville Corp. .................... 3,600 110,700
Mercantile Stores, Inc. ........... 1,700 78,625
Nordstrom, Inc. ................... 2,700 109,350
Penney (J.C.), Inc. ............... 7,800 371,475
Pep Boys Manny, Moe & Jack ........ 3,100 79,438
Price/Costco, Inc.* ............... 6,700 102,175
Rite Aid Corp. .................... 2,900 99,325
Sears Roebuck & Co. ............... 13,400 522,600
Tandy Corp. ....................... 2,100 87,150
Toys R Us, Inc.* .................. 9,500 206,625
Wal-Mart Stores, Inc. ............. 78,900 1,765,387
Walgreen Co. ...................... 8,500 253,937
Woolworth Corp. ................... 5,500 71,500
--------------------------
6,390,925
--------------------------
TOTAL CONSUMER CYCLICALS (10.4%) 17,245,440
--------------------------
CONSUMER NONCYCLICALS
BEVERAGES (3.5%)
Anheuser Busch, Inc. .............. 8,900 595,188
Brown Forman Corp. (Class B) ..... 2,400 87,600
Coca-Cola Co. ..................... 43,000 3,192,750
Pepsico, Inc. ..................... 27,000 1,508,625
Seagram Ltd. ...................... 13,000 450,125
--------------------------
5,834,288
--------------------------
CONTAINERS (0.1%)
Bemis, Inc. ....................... 3,100 79,438
Crown Cork & Seal, Inc.* .......... 2,800 116,900
--------------------------
196,338
--------------------------
FOODS (2.7%)
Archer Daniels Midland Co. ........ 18,566 334,188
Campbell Soup Co. ................. 8,600 516,000
ConAgra, Inc. ..................... 8,400 346,500
CPC International, Inc. ........... 5,000 343,125
Darden Restaurants, Inc. .......... 6,700 79,562
General Mills, Inc. ............... 5,400 311,850
Heinz (H.J.) Co. .................. 12,550 415,719
Hershey Foods Corp. ............... 2,700 175,500
Kellogg Co. ....................... 7,500 579,375
Pioneer Hi Bred
International, Inc. .............. 2,900 161,313
Quaker Oats Co. ................... 4,600 158,700
Ralston Purina Group .............. 3,600 224,550
Sara Lee Corp. .................... 16,500 525,937
Whitman Corp. ..................... 3,600 83,700
Wrigley (Wm.), Jr. Co. ............ 3,800 199,500
--------------------------
4,455,519
--------------------------
DRUGS (6.1%)
ALZA Corp. (Class A)* ............. 3,200 $ 79,200
American Home Products Corp. ..... 10,600 1,028,200
Amgen, Inc.* ...................... 9,000 534,375
Bristol-Myers Squibb Co. .......... 17,300 1,485,637
Lilly (Eli) & Co. ................. 20,000 1,125,000
Merck & Co., Inc. ................. 42,200 2,774,650
Pfizer, Inc. ...................... 21,400 1,348,200
Pharmacia & Upjohn, Inc. .......... 17,090 662,238
Schering Plough Corp. ............. 12,600 689,850
Warner-Lambert Co. ................ 4,600 446,775
--------------------------
10,174,125
--------------------------
HOSPITAL SUPPLIES & SERVICES (3.9%)
Abbott Laboratories, Inc. ......... 27,100 1,131,425
Bard (C.R.), Inc. ................. 2,400 77,400
Baxter International, Inc. ........ 9,400 393,625
Becton Dickinson & Co. ............ 2,200 165,000
Beverly Enterprises, Inc.* ........ 6,400 68,000
Biomet, Inc. ...................... 4,200 75,075
Boston Scientific Corp.* .......... 5,500 269,500
Columbia/HCA Healthcare Corp. .... 15,100 766,325
Humana, Inc.* ..................... 5,500 150,563
Johnson and Johnson ............... 22,000 1,883,750
Mallinckrodt, Inc. ................ 2,600 94,575
Manor Care, Inc. .................. 2,200 77,000
Medtronic, Inc. ................... 7,900 441,412
Saint Jude Medical, Inc.* ......... 2,250 96,750
Tenet Healthcare Corporation* .... 6,800 141,100
United Healthcare Corp. ........... 5,900 386,450
U.S. Healthcare, Inc. ............. 5,200 241,800
--------------------------
6,459,750
--------------------------
RETAIL--FOOD (0.7%)
Albertsons, Inc. .................. 8,700 286,012
American Stores Co. ............... 4,800 128,400
Giant Food, Inc. (Class A) ........ 2,400 75,600
Kroger Co.* ....................... 4,000 150,000
Supervalu, Inc. ................... 2,400 75,600
Sysco Corp. ....................... 6,300 204,750
Winn Dixie Stores, Inc. ........... 5,200 191,750
--------------------------
1,112,112
--------------------------
SOAPS & TOILETRIES (2.6%)
Avon Products, Inc. ............... 2,400 180,900
Clorox Co. ........................ 1,700 121,763
Colgate Palmolive Co. ............. 4,800 337,200
Gillette Corp. .................... 15,300 797,512
International Flavors &
Fragrances, Inc. ................. 3,800 182,400
Procter & Gamble Co. .............. 23,700 1,967,100
Unilever N.V. ..................... 5,500 774,125
--------------------------
4,361,000
--------------------------
TOBACCO (2.1%)
American Brands, Inc. ............. 6,600 294,525
Loews Corp. ....................... 4,100 321,338
58
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS (Continued):
Philip Morris Cos., Inc. .......... 29,100 $ 2,633,550
UST, Inc. ......................... 6,500 216,937
--------------------------
3,466,350
--------------------------
TOTAL CONSUMER NONCYCLICALS (21.7%) 36,059,482
--------------------------
CREDIT SENSITIVE
BANKS (6.2%)
Ahmanson (H.F.) & Co. ............. 4,000 106,000
Banc One Corp. .................... 13,500 509,625
Bank of Boston Corp. .............. 3,800 175,750
Bank of New York Co. .............. 6,600 321,750
BankAmerica Corp. ................. 12,800 828,800
Bankers Trust New York Corp. ..... 2,700 179,550
Barnett Banks, Inc. ............... 3,200 188,800
Boatmen's Bancshares, Inc. ........ 4,100 167,588
Chase Manhattan Corp. ............. 6,000 363,750
Chemical Banking Corp. ............ 8,600 505,250
Citicorp .......................... 14,500 975,125
Comerica, Inc. .................... 3,900 156,487
CoreStates Financial Corp. ........ 4,800 181,800
First Bank Systems ................ 4,600 228,275
First Chicago NBD Corp. ........... 10,849 428,535
First Fidelity BankCorp. .......... 2,700 203,513
First Interstate Bancorp. ......... 2,600 354,900
First Union Corp. ................. 5,900 328,188
Golden West Financial Corp. ...... 2,000 110,500
Great Western Financial Corp. .... 4,600 117,300
KeyCorp. .......................... 7,800 282,750
Mellon Bank Corp. ................. 5,000 268,750
Morgan (J.P.) & Co., Inc. ......... 6,400 513,600
National City Corp. ............... 4,800 159,000
NationsBank Corp. ................. 9,300 647,513
Norwest Corp. ..................... 12,100 399,300
PNC Bank Corp. .................... 11,800 380,550
Republic New York Corp. ........... 1,800 111,825
Suntrust Banks, Inc. .............. 3,900 267,150
U.S. Bancorp. ..................... 5,100 171,487
Wachovia Corp. .................... 5,900 269,925
Wells Fargo & Co. ................. 1,600 345,600
--------------------------
10,248,936
--------------------------
FINANCIAL SERVICES (1.6%)
American Express Co. .............. 16,700 690,963
Beneficial Corp. .................. 1,800 83,925
Dean Witter Discover & Co. ........ 5,800 272,600
Fleet Financial Group, Inc. ...... 8,779 357,744
Household International, Inc. .... 3,300 195,113
MBNA Corp. ........................ 5,100 188,063
Merrill Lynch & Co., Inc. ......... 6,000 306,000
Morgan Stanley Group, Inc. ........ 2,600 209,625
Salomon, Inc. ..................... 3,500 124,250
Transamerica Corp. ................ 2,300 167,612
--------------------------
2,595,895
--------------------------
INSURANCE (3.5%)
Aetna Life & Casualty Co. ......... 3,900 270,075
Alexander & Alexander
Services, Inc. ................... 3,700 70,300
Allstate Corp. .................... 15,238 $ 626,663
American General Corp. ............ 7,000 244,125
American International
Group, Inc. ...................... 16,150 1,493,875
Chubb Corp. ....................... 3,000 290,250
CIGNA Corp. ....................... 2,500 258,125
General Re Corp. .................. 2,800 434,000
ITT Hartford Group, Inc. .......... 4,000 193,500
Jefferson-Pilot Corp. ............. 2,400 111,600
Lincoln National Corp. Industries 3,400 182,750
Marsh & McLennan Cos., Inc. ...... 2,400 213,000
Providian Corp. ................... 3,100 126,325
Safeco Corp. ...................... 4,300 148,350
Saint Paul Cos., Inc. ............. 2,900 161,313
Torchmark Corp. ................... 2,300 104,075
Travelers Group, Inc. ............. 10,900 685,337
UNUM Corp. ........................ 2,500 137,500
USF&G Corp. ....................... 4,600 77,625
--------------------------
5,828,788
--------------------------
MORTGAGE RELATED (1.0%)
Federal Home Loan
Mortgage Corp. ................... 6,200 517,700
Federal National Mortgage
Association ...................... 9,300 1,154,362
--------------------------
1,672,062
--------------------------
UTILITY--ELECTRIC (3.5%)
American Electric Power, Inc. .... 6,300 255,150
Baltimore Gas & Electric Co. ..... 5,000 142,500
Carolina Power & Light Co. ........ 5,300 182,850
Central & South West Corp. ........ 6,500 181,188
Cinergy Corp. ..................... 5,113 156,586
Consolidated Edison Co.
N.Y., Inc. ....................... 8,000 256,000
Detroit Edison Co. ................ 5,000 172,500
Dominion Resources, Inc. .......... 5,900 243,375
Duke Power Co. .................... 7,000 331,625
Entergy Corp. ..................... 7,800 228,150
FPL Group, Inc. ................... 6,300 292,162
General Public Utilities Corp. ... 3,800 129,200
Houston Industries, Inc. .......... 9,000 218,250
Niagara Mohawk Power Co. .......... 7,900 76,037
Northern States Power Co. ......... 2,300 112,987
Ohio Edison Co. ................... 5,200 122,200
Pacific Gas & Electric Co. ........ 14,500 411,438
Pacificorp. ....................... 9,700 206,125
Peco Energy Co. ................... 7,600 228,950
PP&L Resources, Inc. .............. 5,900 147,500
Public Service Enterprise Group .. 8,400 257,250
SCE Corp. ......................... 15,200 269,800
Southern Co. ...................... 22,700 558,988
Texas Utilities Co. ............... 7,700 316,662
Unicom Corporation ................ 7,300 239,075
Union Electric Co. ................ 3,500 146,125
--------------------------
5,882,673
--------------------------
59
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS (Continued):
UTILITY--GAS (0.4%)
Columbia Gas System, Inc.* ........ 1,700 $ 74,587
Consolidated Natural Gas Co. ..... 3,200 145,200
ENRON Corp. ....................... 8,600 327,875
Nicor, Inc. ....................... 3,000 82,500
--------------------------
630,162
--------------------------
UTILITY--TELEPHONE (7.4%)
Alltel Corp. ...................... 6,500 191,750
Ameritech Corp. ................... 18,900 1,115,100
AT&T Corp. ........................ 54,000 3,496,500
Bell Atlantic Corp. ............... 14,900 996,438
BellSouth Corp. ................... 33,900 1,474,650
GTE Corp. ......................... 33,200 1,460,800
NYNEX Corp. ....................... 14,500 783,000
Pacific Telesis Group ............. 14,600 490,925
SBC Communications, Inc. .......... 20,700 1,190,250
Sprint Corp. ...................... 11,900 474,512
U.S. West Communications Group ... 16,000 572,000
--------------------------
12,245,925
--------------------------
TOTAL CREDIT SENSITIVE (23.6%) ... 39,104,441
--------------------------
ENERGY
COAL & GAS PIPELINES (0.8%)
Burlington Resources, Inc. ........ 4,100 160,925
Coastal Corp. ..................... 3,600 134,100
Enserch Corp. ..................... 4,400 71,500
Pacific Enterprises, Ltd. ......... 2,900 81,925
Panhandle Eastern Corp. ........... 5,100 142,162
Praxair, Inc. ..................... 4,700 158,038
Sonat, Inc. ....................... 2,800 99,750
Tenneco, Inc. ..................... 6,200 307,675
Williams Cos., Inc. ............... 3,500 153,563
--------------------------
1,309,638
--------------------------
OIL--DOMESTIC (2.1%)
Amerada Hess Corp. ................ 3,200 169,600
Amoco Corp. ....................... 16,800 1,207,500
Ashland, Inc. ..................... 2,200 77,275
Atlantic Richfield Co. ............ 5,500 609,125
Kerr McGee Corp. .................. 1,700 107,950
Louisiana Land & Exploration Corp. 1,900 81,463
Occidental Petroleum Corp. ........ 10,300 220,162
Oryx Energy Co.* .................. 5,500 73,563
Pennzoil Co. ...................... 1,700 71,825
Phillips Petroleum Co. ............ 8,900 303,712
Santa Fe Energy Resources,
Inc.* ............................ 2,800 26,950
Sun, Inc. ......................... 2,782 76,157
Unocal Corp. ...................... 8,400 244,650
USX-Marathon Group ................ 10,200 198,900
--------------------------
3,468,832
--------------------------
OIL--INTERNATIONAL (5.6%)
Chevron Corp. ..................... 22,300 1,170,750
Exxon Corp. ....................... 42,200 3,381,275
Mobil Corp. ....................... 13,500 1,512,000
Royal Dutch Petroleum Co. (ADR) .. 18,300 $ 2,582,588
Texaco, Inc. ...................... 8,900 698,650
--------------------------
9,345,263
--------------------------
OIL--SUPPLIES & CONSTRUCTION (0.7%)
Baker Hughes, Inc. ................ 4,800 117,000
Dresser Industries, Inc. .......... 6,200 151,125
Halliburton Co. ................... 3,700 187,312
McDermott International, Inc. .... 4,200 92,400
Schlumberger, Ltd. ................ 8,200 567,850
Western Atlas, Inc.* .............. 1,600 80,800
--------------------------
1,196,487
--------------------------
RAILROADS (1.0%)
Burlington Northern Santa Fe ..... 4,851 378,378
Conrail, Inc. ..................... 2,700 189,000
CSX Corp. ......................... 7,200 328,500
Norfolk Southern Corp. ............ 4,300 341,312
Union Pacific Corp. ............... 7,000 462,000
--------------------------
1,699,190
--------------------------
TOTAL ENERGY (10.2%) ............. 17,019,410
--------------------------
TECHNOLOGY
ELECTRONICS (3.3%)
Advanced Micro Devices, Inc. ..... 4,100 67,650
AMP, Inc. ......................... 7,400 283,975
Applied Materials, Inc.* .......... 6,000 236,250
Cisco Systems, Inc.* .............. 9,300 694,012
Harris Corp. ...................... 1,400 76,475
ITT Industries, Inc. .............. 4,000 96,000
Intel Corp. ....................... 28,100 1,594,675
LSI Logic Corp.* .................. 4,300 140,825
Micron Technology, Inc. ........... 7,000 277,375
Motorola, Inc. .................... 20,100 1,145,700
National Semiconductor Corp.* .... 3,800 84,550
Perkin Elmer Corp. ................ 1,800 67,950
Texas Instruments, Inc. ........... 6,400 331,200
Tyco International, Ltd. .......... 5,200 185,250
3Com Corp.* ....................... 5,500 256,438
--------------------------
5,538,325
--------------------------
OFFICE EQUIPMENT (3.4%)
Amdahl Corp.* ..................... 5,900 50,150
Apple Computer, Inc. .............. 4,100 130,688
Ceridian Corp.* ................... 1,800 74,250
Compaq Computer Corp.* ............ 9,000 432,000
Digital Equipment Corp.* .......... 5,000 320,625
Hewlett-Packard Co. ............... 17,500 1,465,625
Honeywell, Inc. ................... 4,300 209,087
International Business Machines
Corp. ............................ 19,400 1,779,950
Pitney Bowes, Inc. ................ 5,200 244,400
Sun Microsystems, Inc.* ........... 6,400 292,000
Tandem Computers, Inc.* ........... 6,600 70,125
Unisys Corp.* ..................... 3,200 18,000
Xerox Corp. ....................... 3,700 506,900
--------------------------
5,593,800
--------------------------
60
<PAGE>
THE HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------------------------------------------------------
COMMON STOCKS (Continued):
OFFICE EQUIPMENT SERVICES (2.6%)
Autodesk, Inc. .................... 2,000 $ 68,500
Automatic Data Processing, Inc. .. 4,900 363,825
Computer Associates International,
Inc. ............................. 8,200 466,375
Computer Sciences Corp.* .......... 1,800 126,450
First Data Corp. .................. 7,500 501,562
Microsoft Corp.* .................. 20,000 1,755,000
Novell, Inc.* ..................... 12,000 171,000
Oracle Corp.* ..................... 14,850 629,269
Silicon Graphics, Inc.* ........... 5,200 143,000
--------------------------
4,224,981
--------------------------
TELECOMMUNICATIONS (1.2%)
AirTouch Communications, Inc.* ... 16,900 477,425
Andrew Corp.* ..................... 2,050 78,412
Cabletron Systems, Inc.* .......... 2,400 194,400
Cox Communications, Inc.
(Class A)* ....................... 95 1,853
DSC Communications Corp.* ......... 3,900 143,813
MCI Communications Corp. .......... 23,200 606,100
Northern Telecommunications Ltd. . 8,700 374,100
Tellabs, Inc.* .................... 3,000 111,000
--------------------------
1,987,103
--------------------------
TOTAL TECHNOLOGY (10.5%) ......... 17,344,209
--------------------------
DIVERSIFIED
MISCELLANEOUS (1.4%)
Alco Standard Corp. ............... 3,600 164,250
Allied Signal, Inc. ............... 9,700 460,750
Corning, Inc. ..................... 7,200 230,400
Dial Corp. ........................ 3,200 94,800
Minnesota Mining & Manufacturing
Co. .............................. 14,400 954,000
Ogden Corp. ....................... 3,500 $ 74,812
Teledyne, Inc. .................... 3,100 79,438
Textron, Inc. ..................... 2,900 195,750
--------------------------
TOTAL DIVERSIFIED (1.4%) ......... 2,254,200
--------------------------
TOTAL COMMON STOCKS (94.3%)
(Cost $135,386,614) .............. 156,412,083
--------------------------
PREFERRED STOCKS:
DIVERSIFIED (0.0%)
MISCELLANEOUS
Teledyne, Inc.
$1.2 Series E .................... 24 345
--------------------------
TOTAL PREFERRED STOCKS (0.0%)
(Cost $360) ...................... 345
--------------------------
PRINCIPAL
AMOUNT
------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT
Federal Home Loan Bank
5.54%, due 01/03/96 .............. $4,000,000 3,997,538
Federal Home Loan Mortgage Corp.
5.75%, due 01/02/96 .............. 2,800,000 2,798,658
--------------------------
TOTAL U.S. GOVERNMENT (4.1%) .... 6,796,196
--------------------------
TOTAL SHORT-TERM DEBT SECURITIES (4.1%)
(Amortized Cost $6,796,196) ..... 6,796,196
--------------------------
TOTAL INVESTMENTS (98.4%)
(Cost/Amortized Cost $142,183,170) 163,208,624
CASH AND RECEIVABLES
LESS LIABILITIES (1.6%) .......... 2,576,657
--------------------------
NET ASSETS (100.0%) ............... $165,785,281
==========================
Financial Futures Contracts outstanding at December 31, 1995:
<TABLE>
<CAPTION>
EXPIRATION NUMBER OF ORIGINAL VALUE AT UNREALIZED
DESCRIPTION DATE CONTRACTS VALUE 12/31/95 APPRECIATION
- ---------------------- ------------ -------------- ------------ ------------ --------------
<S> <C> <C> <C> <C> <C>
LONG S & P 500 INDEX* 3/96 20 $6,180,700 $6,184,500 $3,800
</TABLE>
- ------------
* Non-income producing.
See Notes to Financial Statements.
61
<PAGE>
THE HUDSON RIVER TRUST
COMMON STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
NUMBER OF
SHARES VALUE (NOTE 1)
- --------------------------------- ------------- --------------------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (1.6%)
Grace (W.R.) & Co. 397,000 $ 23,472,625
Monsanto Co. 446,000 54,635,000
--------------------------
78,107,625
--------------------------
CHEMICALS--SPECIALTY (1.3%)
Great Lakes Chemical Corp. 893,900 64,360,800
--------------------------
TOTAL BASIC MATERIALS (2.9%) 142,468,425
--------------------------
BUSINESS SERVICES
PRINTING, PUBLISHING &
BROADCASTING (6.5%)
Chris Craft Industries, Inc.
(Class B)*++ 1,223,733 52,926,452
Comcast Corp. (Class A) SPL 411,800 7,489,613
Donnelley (R.R.) & Sons Co. 2,172,200 85,530,375
Grupo Televisa SA (ADR)(a) 450,000 10,125,000
Liberty Media Group (Class A)* 1,424,309 38,278,303
Tele-Communications, Inc. (Class
A)* 5,697,236 113,232,565
Time Warner, Inc. 310,600 11,763,975
--------------------------
TOTAL BUSINESS SERVICES (6.5%) 319,346,283
--------------------------
CAPITAL GOODS
AEROSPACE (0.2%)
General Motors Corp. (Class H) 225,600 11,082,600
--------------------------
BUILDING MATERIALS & FOREST
PRODUCTS (0.1%)
Louisiana Pacific Corp. 200,000 4,850,000
--------------------------
ELECTRICAL EQUIPMENT (0.8%)
Westinghouse Electric Corp. 2,300,000 37,950,000
--------------------------
TOTAL CAPITAL GOODS (1.1%) 53,882,600
--------------------------
CONSUMER CYCLICALS
APPAREL, TEXTILE (0.1%)
Stride Rite Corp. 393,300 2,949,750
--------------------------
AUTOS & TRUCKS (0.6%)
Chrysler Corp. 293,509 16,253,060
General Motors Corp. 244,700 12,938,513
--------------------------
29,191,573
--------------------------
FOOD SERVICES, LODGING (0.1%)
McDonald's Corp. 153,000 6,904,125
--------------------------
LEISURE RELATED (2.2%)
ITT Corporation 1,987,600 105,342,800
--------------------------
PHOTO & OPTICAL (2.4%)
Eastman Kodak Co. 1,737,700 116,425,900
--------------------------
RETAIL--GENERAL (5.6%)
Home Depot, Inc. 1,724,000 82,536,500
Lowes Cos., Inc. 2,401,400 80,446,900
Sears Roebuck & Co. 2,795,500 109,024,500
Talbots, Inc. 70,000 2,012,500
Tandy Corp. 52,500 2,178,750
--------------------------
276,199,150
--------------------------
TOTAL CONSUMER CYCLICALS (11.0%) 537,013,298
COMMON STOCKS (Continued):
--------------------------
CONSUMER NONCYCLICALS
DRUGS (3.9%)
Amgen, Inc.* 270,000 $ 16,031,250
Astra AB, Series A 1,350,000 53,859,632
Merck & Co., Inc. 1,018,000 66,933,500
Pfizer, Inc. 852,000 53,676,000
--------------------------
190,500,382
--------------------------
HOSPITAL SUPPLIES & SERVICES (3.4%)
Abbott Laboratories, Inc. 1,210,000 50,517,500
Columbia/HCA
Healthcare Corp. 505,320 25,644,990
United Healthcare Corp. 1,188,500 77,846,750
U.S. Healthcare, Inc. 207,150 9,632,475
--------------------------
163,641,715
--------------------------
TOBACCO (6.5%)
Loews Corp. 2,077,500 162,824,062
Philip Morris Cos., Inc. 1,738,300 157,316,150
--------------------------
320,140,212
--------------------------
TOTAL CONSUMER NONCYCLICALS (13.8%) 674,282,309
--------------------------
CREDIT SENSITIVE
BANKS (0.3%)
Grupo Financiero Banamex Series
L* 19,600 28,758
NationsBank Corp. 224,000 15,596,000
--------------------------
15,624,758
--------------------------
FINANCIAL SERVICES (2.6%)
American Express Co. 1,260,000 52,132,500
Dean Witter Discover & Co. 179,983 8,459,200
Fleet Financial Group, Inc. 855,861 34,876,336
Student Loan Marketing
Association 441,000 29,050,875
--------------------------
124,518,911
--------------------------
INSURANCE (15.6%)
Allstate Corp.(a) 2,546,647 104,730,858
American International
Group, Inc. 2,540,050 234,954,625
Berkley (W.R.) Corp. 233,143 12,531,436
ITT Hartford Group, Inc. 1,949,500 94,307,063
Progressive Corp. 1,116,100 54,549,388
TIG Holdings, Inc. 1,283,300 36,574,050
Travelers Group, Inc. 3,532,766 222,122,662
--------------------------
759,770,082
--------------------------
MORTGAGE RELATED (0.6%)
Federal National Mortgage
Association 230,000 28,548,750
--------------------------
REAL ESTATE (3.8%)
AMLI Residential Property Trust 138,500 2,770,000
CBL & Associates Properties++ 1,097,200 23,864,100
Columbus Realty Trust 360,000 6,975,000
Essex Property Trust, Inc.++ 365,000 7,026,250
First Industrial Realty Trust 254,500 5,726,250
62
<PAGE>
THE HUDSON RIVER TRUST
COMMON STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- --------------------------------- ------------- --------------------------
COMMON STOCKS (Continued):
Gables Residential Trust 314,000 $ 7,182,750
JDN Realty Corporation 126,600 2,832,675
Macerich Co. 717,500 14,350,000
Manufactured Home Communities 338,000 5,915,000
Paragon Group, Inc. 217,800 3,784,275
Regency Realty Corp.++ 768,700 13,260,075
Shurgard Storage Centers, Inc. 169,000 4,563,000
Simon Property Group, Inc. 1,493,000 36,391,875
Spieker Properties, Inc. 1,307,200 32,843,400
Summit Properties, Inc. 549,100 10,913,363
Walden Residential
Properties, Inc. 235,000 4,905,625
--------------------------
183,303,638
--------------------------
UTILITY--GAS (0.2%)
Renaissance Energy Ltd.* 455,000 11,328,769
--------------------------
UTILITY--TELEPHONE (0.1%)
BellSouth Corp. 10,824 470,844
Telefonos de Mexico, L(a) 150,000 4,781,250
--------------------------
5,252,094
--------------------------
TOTAL CREDIT SENSITIVE (23.2%) 1,128,347,002
--------------------------
ENERGY
OIL--INTERNATIONAL (0.1%)
YPF Sociedad Anonima (ADR) 171,000 3,697,875
--------------------------
OIL-- SUPPLIES & CONSTRUCTION (0.9%)
Western Atlas, Inc.* 829,300 41,879,650
--------------------------
RAILROADS (1.8%)
Canadian National Railway* 407,500 6,112,500
Conrail, Inc. 34,000 2,380,000
Southern Pacific Rail Corp.* 60,300 1,447,200
Union Pacific Corp. 1,200,000 79,200,000
--------------------------
89,139,700
--------------------------
TOTAL ENERGY (2.8%) 134,717,225
--------------------------
TECHNOLOGY
ELECTRONICS (20.8%)
Applied Materials, Inc.* 100,000 3,937,500
Bay Networks, Inc.*(a) 1,021,900 42,025,638
Cisco Systems, Inc.*(a) 3,613,000 269,620,125
EMC Corp.* 3,377,900 51,935,213
General Instrument Corp.* 2,861,800 66,894,575
ITT Industries, Inc. 1,949,500 46,788,000
Intel Corp.(a) 2,161,800 122,682,150
Micron Technology, Inc.(a) 864,500 34,255,813
Motorola, Inc.(a) 2,868,600 163,510,200
National Semiconductor Corp.*(a) 3,039,400 67,626,650
Texas Instruments, Inc.(a) 1,610,000 83,317,500
3Com Corp.*(a) 1,325,200 61,787,450
--------------------------
1,014,380,814
--------------------------
OFFICE EQUIPMENT SERVICES (4.6%)
General Motors Corp. (Class E) 1,460,000 75,920,000
Microsoft Corp.* 270,000 23,692,500
Oracle Corp.*(a) 2,589,000 109,708,875
Silicon Graphics, Inc.* 530,000 14,575,000
--------------------------
223,896,375
--------------------------
TELECOMMUNICATIONS (9.7%)
AirTouch Communications, Inc.* 3,549,600 $ 100,276,200
Cabletron Systems, Inc.* 371,700 30,107,700
DSC Communications Corp.*(a) 1,776,300 65,501,063
Mannesmann AG (ADR) 600,700 191,022,600
MCI Communications Corp. 1,386,000 36,209,250
Newbridge Networks Corp.* 290,000 11,998,750
Nokia Corp. (ADR) 484,000 18,815,500
Northern Telecommunications Ltd. 102,500 4,407,500
Rogers Cantel Mobile
Commmunications, Inc. (Class B)
(ADR)* 275,000 7,287,500
Vodafone Group PLC (ADR) 250,000 8,812,500
--------------------------
474,438,563
--------------------------
TOTAL TECHNOLOGY (35.1%) 1,712,715,752
--------------------------
DIVERSIFIED
MISCELLANEOUS (0.5%)
Anixter International, Inc.* 847,434 15,783,458
Hanson PLC (ADR)--Warrants (Class
B)* 51,320,479 4,811,295
--------------------------
TOTAL DIVERSIFIED (0.5%) 20,594,753
--------------------------
TOTAL COMMON STOCKS (96.9%)
(Cost $3,747,892,690) 4,723,367,647
--------------------------
PREFERRED STOCKS:
CONSUMER CYCLICALS (0.5%)
AUTOS & TRUCKS
Chrysler Corp.
$4.625 Conv., Series A+ 175,700 26,706,400
--------------------------
TOTAL PREFERRED STOCKS (0.5%)
(Cost $22,386,080) 26,706,400
--------------------------
PRINCIPAL
AMOUNT
LONG-TERM DEBT SECURITIES:
TECHNOLOGY
ELECTRONICS (0.5%)
General Instrument Corp.
5.0% Conv., 06/15/00 $22,130,000 24,619,625
3Com Corp.
10.25% Conv., 11/01/01+ 900,000 1,437,750
--------------------------
TOTAL TECHNOLOGY (0.5%) 26,057,375
--------------------------
TOTAL LONG-TERM DEBT SECURITIES (0.5%)
(Amortized Cost $30,433,804) 26,057,375
SHORT-TERM DEBT SECURITIES:
--------------------------
COMMERCIAL PAPER
Corporate Asset Funding Co., Inc.
5.9%, due 01/02/96 11,700,000 11,694,248
Ciesco LP
5.8%, due 01/02/96 10,000,000 9,995,167
Goldman Sachs & Co.
5.9%, due 01/02/96 25,000,000 24,987,708
63
<PAGE>
THE HUDSON RIVER TRUST
COMMON STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- -------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE (NOTE 1)
- ----------------------------- ------------------ --------------------------
SHORT-TERM DEBT SECURITIES (CONTINUED):
International Securitization:
6.0%, due 01/03/96 .......... $25,000,000 $ 24,983,333
6.0%, due 01/04/96 .......... 25,000,000 24,979,167
--------------------------
TOTAL COMMERCIAL PAPER (2.0%) 96,639,623
--------------------------
TIME DEPOSITS (0.0%)
Harris Trust & Savings
5.875%, due 01/02/96 ........ 3,100,000 3,100,000
--------------------------
TOTAL SHORT-TERM DEBT SECURITIES (2.0%)
(Amortized Cost $99,739,623) 99,739,623
--------------------------
TOTAL INVESTMENTS (99.9%)
(Cost/Amortized Cost $3,900,452,197) 4,875,871,045
--------------------------
NUMBEROF
CONTRACTS(B)
OPTIONS WRITTEN**:
Allstate Corp.
January Call 39.625* ........ 2,000 (396,400)
Bay Networks, Inc.
March 40.50 Call* ........... 2,500 (1,442,500)
Cisco Systems, Inc.:
January 78.25 Call* ......... 2,500 (537,500)
January 78.50 Call* ......... 400 (74,800)
February 79.75 Call* ........ 1,000 (266,400)
February 80 Call* ........... 2,000 (722,000)
DSC Communications Corp.:
January 38 Call* ............ 1,000 (224,000)
February 38.375 Call* ....... 2,000 (415,400)
March 34.75 Call* ........... 1,500 (781,500)
Grupo Televisa S.A. (ADR)
January Call 18.375* ........ 2,000 (852,000)
Intel Corp.:
January 58.625 Call* ........ 1,000 (85,000)
January 59.50 Call* ......... 2,000 (82,000)
March 59.375 Call* .......... 2,500 (825,000)
March 60.75 Call* ........... 1,500 (468,750)
March 61 Call* .............. 2,000 (484,000)
March 62.50 Call* ........... 1,500 (271,500)
- -------------------------------------------------------------------------------
NUMBER OF
CONTRACTS (B) VALUE (NOTE 1)
- ----------------------------- ------------- ----------------------------
OPTIONS WRITTEN** (CONTINUED):
Micron Technology, Inc.
March 45.625 Call* .......... 1,500 $ (464,850)
Motorola, Inc.:
February 61 Call* ........... 2,000 (386,000)
February 65.75 Call* ........ 1,000 (37,000)
March 58.375 Call* .......... 3,000 (1,077,000)
March 60.375 Call* .......... 2,500 (627,500)
March 61.625 Call* .......... 2,500 (557,500)
March 61.746 Call* .......... 2,500 (475,000)
National Semiconductor Corp.:
January 24.875 Call* ........ 1,000 (5,000)
February 22.5 Call* ......... 2,500 (417,250)
February 24.875 Call * ..... 2,000 (128,800)
March 22.50 Call* ........... 2,000 (425,000)
Oracle Corp.:
January 38.125 Call* ........ 2,000 (870,000)
January 40 Call* ............ 2,000 (670,000)
January 44.25 Call* ......... 1,500 (247,650)
February 45.50 Call* ........ 2,000 (414,000)
February 46.75 Call* ........ 1,500 (258,000)
February 47 Call* ........... 1,500 (242,850)
March 43.75 Call* ........... 2,500 (827,500)
March 43.875 Call* .......... 1,500 (452,700)
March 44.50 Call* ........... 1,000 (312,500)
Telefonos de Mexico, L
January Call 30.875* ........ 1,500 (223,500)
Texas Instruments, Inc.:
February 52.75 Call* ........ 1,500 (589,500)
February 60.375 Call* ....... 2,000 (276,000)
3Com Corp.
January 47 Call* ............ 2,000 (402,400)
----------------------------
TOTAL OPTIONS WRITTEN (- 0.4%) (Premiums
Received $31,689,532) (18,316,250)
----------------------------
CASH AND RECEIVABLES
LESS LIABILITIES (0.5%) .... 22,122,205
----------------------------
NET ASSETS (100.0%) .......... $4,879,677,000
============================
- ---------
* Non-income producing.
** Covered call option contracts written in connection with securities
held.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
++ Affiliated company as defined under the Investment Company Act of 1940
(see Note 5).
(a) Partially held as collateral on outstanding written call options.
(b) One contract relates to 100 shares.
See Notes to Financial Statements.
64
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- ------------------------------------------------------------------------------
NUMBER OF SHARES VALUE (NOTE 1)
- ---------------------------- ------------------------- ----------------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (2.4%)
Bayer AG ......................... 6,000 $ 1,593,139
Dainippon Ink & Chemical, Inc. .. 198,000 922,402
Freeport-McMoRan, Inc. ........... 70,000 2,590,000
Grace (W.R.) & Co. ............... 32,400 1,915,650
Indo Gulf Fertilisers (GDR) ..... 150,000 195,000
Ishihara Sangyo Ltd.* ............ 590,000 1,914,286
Monsanto Co. ..................... 21,500 2,633,750
Nippon Sanso Corp. ............... 10,000 48,039
Riken Vinyl Industries Co. Ltd. . 9,000 82,809
Sanyo Chemicals .................. 37,000 351,545
Sekisui Chemical Co. Ltd. ........ 150,000 2,208,232
Shin-Etsu Chemical Ltd. .......... 23,000 476,707
Showa Denko K.K.* ................ 100,000 313,801
Tessenderlo Chemie ............... 2,300 813,377
----------------
16,058,737
----------------
CHEMICALS--SPECIALTY (2.0%)
Great Lakes Chemical Corp. ...... 42,400 3,052,800
SGL Carbon AG*+ .................. 120,000 9,371,405
UCAR International, Inc.* ........ 40,000 1,350,000
----------------
13,774,205
----------------
METALS & MINING (0.4%)
Biron Corp.* ..................... 40,000 13,379
Hoganas AB, Series B+ ............ 5,000 146,035
Johnson Matthey PLC .............. 50,000 406,240
Western Mining Corp. ............. 200,000 1,284,336
Westralian Sands Ltd. ............ 280,000 749,196
----------------
2,599,186
----------------
PAPER (0.8%)
Asia Pacific Resources
Internationl Holdings Ltd.
(Class A)* ...................... 70,000 332,500
Chuoh Pack Industries Ltd. ...... 5,000 36,320
Enso-Gutzeit, Series R ........... 124,000 826,709
Fletcher Forestry Shares ......... 17,026 24,265
Grupo Industrial Durango (ADR)* . 70,000 463,750
Mayr-Melnhof Karton Aktien+ ..... 24,000 1,201,117
Norske Skogindustrier A.S. 'A'
Free ............................ 10,000 293,856
Oji Paper ........................ 265,000 2,397,191
----------------
5,575,708
----------------
STEEL (0.9%)
Acerinox S.A. .................... 6,000 605,884
British Steel .................... 700,000 1,769,825
Hitachi Metals Ltd. .............. 17,000 212,397
SSAB Svenskt Stal (Class B) ..... 70,000 706,084
Sumitomo Metal Industries* ...... 950,000 2,879,903
----------------
6,174,093
----------------
TOTAL BASIC MATERIALS (6.5%) ... 44,181,929
----------------
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (0.9%)
Powerscreen International ........ 640,000 3,852,680
Tomra Systems .................... 329,000 2,598,892
----------------
6,451,572
----------------
COMMON STOCKS (Continued):
PRINTING, PUBLISHING &
BROADCASTING (4.3%)
Capital Radio PLC* ............... 20,000 $ 165,603
Carlton Communications PLC ...... 240,000 3,601,634
Donnelley (R.R.) & Sons Co. ..... 100,700 3,965,063
Elsevier ......................... 280,000 3,733,182
Liberty Media Group (Class A)* .. 73,250 1,968,594
Mirror Group Newspapers PLC ..... 300,000 820,248
Nippon Television Network ........ 15,950 4,263,632
Oriental Press Group ............. 1,000,000 303,912
Reed International ............... 70,000 1,067,876
Sunshine Broadcasting Network ... 90,000 113,717
Tele-Communications, Inc.
(Class A)* ...................... 278,000 5,525,250
Time Warner, Inc. ................ 10,000 378,750
Toppan Printing Co. .............. 11,000 144,891
TVI Televisao Independente* ..... 4,700 21,827
United Newspapers PLC ............ 50,000 431,096
Ver Ned Uitgevers ................ 20,000 2,745,060
Wolters Kluwer ................... 3,000 283,727
----------------
29,534,062
----------------
PROFESSIONAL SERVICES (0.7%)
Apcoa Parking AG* ................ 21,100 1,390,335
Asatsu, Inc. ..................... 35,000 1,471,186
Automated Security Holdings* .... 153,125 64,228
Blenheim Exhibition Group ........ 25,000 97,094
Randstadt Holdings N.V. .......... 20,000 907,128
Secom Co. ........................ 7,000 486,780
WPP Group PLC .................... 250,000 636,935
----------------
5,053,686
----------------
TRUCKING, SHIPPING (0.8%)
Autostrade Conc E Costr-Priv .... 180,000 197,234
Brambles Industries Ltd. ......... 100,000 1,114,875
Irish Continental Group .......... 200,442 1,507,626
Kawasaki Kisen* .................. 460,000 1,461,308
Western Bulk Shipping+ ........... 94,500 432,964
Yamato Transport ................. 35,000 416,949
----------------
5,130,956
----------------
TOTAL BUSINESS SERVICES (6.7%) 46,170,276
----------------
CAPITAL GOODS
BUILDING & CONSTRUCTION (2.6%)
Bam Groep Holdings ............... 1,000 57,319
BBC Brown Boveri ................. 3,000 3,483,535
Bufete Industrial S.A. (ADS)* ... 20,000 300,000
Fomento de Construcciones Y
Contratas S.A. .................. 9,000 688,842
Fukuda Corp. ..................... 60,000 543,341
Japan Industrial Land* ........... 8,000 307,603
Kanamoto Co. Ltd. ................ 30,800 399,729
Kaneshita Construction ........... 129,000 1,736,659
Kvaerner AS (Series A)* .......... 11,000 434,465
Macmahon Holdings Ltd. ........... 2,000,000 981,090
Metacorp Berhard* ................ 20,000 51,975
Nanno Construction Co. Ltd.* .... 21,000 235,932
National House Industrial ........ 49,000 896,949
Paul Y.-ITC Construction ......... 500,000 96,347
Paul Y.-ITC
Construction--Warrants* ......... 100,000 3,130
65
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF SHARES VALUE (NOTE 1)
- --------------------------------- ----------------------- -------------------
COMMON STOCKS (Continued):
Penta Ocean Construction ......... 28,000 $ 216,949
PS Corp. ......................... 109,100 1,986,518
Royal Plastics Group Ltd.*+ ..... 70,000 1,012,413
Sacos Corp. ...................... 25,200 512,542
Sekisui House--Warrants* ......... 20 4,500
Sho Bond Construction ............ 31,800 1,068,726
Suido Kiko Kaisha ................ 39,000 338,063
Toda Construction ................ 140,000 1,213,559
Wesco, Inc. ...................... 37,300 903,148
------------
17,473,334
------------
BUILDING MATERIALS & FOREST
PRODUCTS (0.8%)
Advan Co.* ....................... 21,000 549,153
BPB Industries PLC ............... 200,000 938,314
Lafarge Canada ................... 7,000 128,794
Lafarge Corp. .................... 33,000 2,128,706
Louisiana Pacific Corp. .......... 47,000 1,139,750
Macmillan Bloedel Ltd. ........... 35,000 432,518
Nichiha .......................... 17,000 385,278
------------
5,702,513
------------
ELECTRICAL EQUIPMENT (1.1%)
Kinden Corp. ..................... 5,000 85,230
Omron Corp. ...................... 102,000 2,351,186
Vae Eisenbahnsys ................. 4,183 352,362
Westinghouse Electric Corp. ..... 295,000 4,867,500
------------
7,656,278
------------
MACHINERY (3.0%)
Asahi Diamond Industry Co. Ltd. . 9,000 126,392
BT Industries AB*+ ............... 76,500 823,477
Construcciones Auxiliar Ferro ... 9,425 333,537
Fag Kugelfischer Georg Schaefer* 2,000 256,598
IHC Caland* ...................... 63,500 2,136,362
Kalmar Industries AB+ ............ 70,000 1,153,974
Keppel Corp. ..................... 120,000 1,068,929
Keyence Corp. .................... 32,000 3,688,135
Kurita Water Industries .......... 15,000 399,516
Mitsubishi Heavy Industries Ltd. 450,000 3,586,924
Namura Shipbuilding .............. 15,000 82,809
Nippon Seiko K.K. ................ 108,000 784,504
Siebe PLC ........................ 150,000 1,850,219
SMC Corp. ........................ 45,900 3,320,803
Yaskawa Electric Corp.* .......... 191,000 900,891
------------
20,513,070
------------
TOTAL CAPITAL GOODS (7.5%) ..... 51,345,195
------------
CONSUMER CYCLICALS
AIRLINES (0.9%)
Air New Zealand Limted 'B' Shares 250,000 849,875
British Airways .................. 270,000 1,954,614
KLM .............................. 100,000 3,513,876
------------
6,318,365
------------
APPAREL, TEXTILE (0.2%)
Adidas AG*+ ...................... 7,900 415,891
Chargeurs SA ..................... 4,400 877,121
------------
1,293,012
------------
AUTOS & TRUCKS (1.0%)
Honda Motor Corp. ................ 201,000 $ 4,146,538
Mitsubishi Motors Corp. .......... 86,000 700,494
Toyota Motor Co. ................. 40,000 848,426
Volvo AB (Series B) .............. 50,500 1,033,984
------------
6,729,442
------------
AUTO RELATED (1.5%)
Autoliv AB ....................... 30,000 1,752,414
Autoliv AB (ADS)*+ ............... 11,850 688,781
Exedy Corp. ...................... 18,600 295,438
Kasai Kogyo Co. .................. 3,000 13,511
Mabuchi Motor .................... 55,400 3,444,726
Michelin (CGDE), (Class B) ...... 40,000 1,597,219
Minebea Co. ...................... 227,000 1,903,942
NGK Spark Plug Co. ............... 31,000 390,315
Pacific Dunlop ................... 22,300 52,210
------------
10,138,556
------------
FOOD SERVICES, LODGING (0.2%)
AAPC Limited ..................... 1,500,000 813,858
Cafe de Coral .................... 100,000 22,761
International Fast Food Corp.* .. 8,000 4,250
McDonald's Corp. ................. 7,000 315,875
QPQ Corporation* ................. 32,700 61,313
QPQ Corporation--Warrants* ...... 32,700 15,328
------------
1,233,385
------------
HOUSEHOLD FURNITURE, APPLIANCES (1.4%)
Alpine Electronics ............... 40,000 674,092
Atag Holdings .................... 3,800 250,956
Industrie Natuzzi (ADR) .......... 60,000 2,722,500
Matsushita Electric Industries .. 100,000 1,627,118
Morishita Co. Ltd. ............... 11,000 98,015
Nippon Electric Glass ............ 138,000 2,619,661
Noritz Co. ....................... 22,000 357,966
Philips Electronics .............. 30,000 1,084,068
Philips Electronics N.V. (ADR) .. 3,000 107,625
------------
9,542,001
------------
LEISURE RELATED (1.7%)
Cinar Films, Inc. (Class B)* .... 48,000 726,000
Helicopter Line Ltd. ............. 600,000 1,294,425
ITT Corp. ........................ 99,500 5,273,500
Nelvana Limited*+++ .............. 135,800 1,889,495
Rank Organisation PLC ............ 100,000 723,931
Skis Rossignol ................... 280 76,827
Thorn EMI ........................ 25,000 589,165
Turner Broadcasting Systems
(Class B) ....................... 43,000 1,118,000
------------
11,691,343
------------
PHOTO & OPTICAL (0.7%)
Eastman Kodak Co. ................ 59,300 3,973,100
Luxottica Group (ADR) ............ 20,000 1,170,000
------------
5,143,100
------------
RETAIL--GENERAL (4.7%)
Asda/Mfi ......................... 500,000 858,309
Centros Comerciales Pryca S.A. .. 80,000 1,675,605
Chiyoda Co.* ..................... 40,800 948,378
Daiichi Corp. .................... 5,000 118,160
Doshisha Co.* .................... 42,000 1,492,881
66
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF SHARES VALUE (NOTE 1)
- --------------------------------- ----------------------- -----------------
COMMON STOCKS (Continued):
Eidensha Co. Ltd. ................ 59,000 $ 742,857
Fu Hui Jewellery* ................ 900,000 34,918
Homac Corp. ...................... 29,000 513,995
Home Centers Ltd.* ............... 142,800 946,050
Home Depot, Inc. ................. 97,000 4,643,875
Home Wide Corp., Inc. ............ 2,000 23,632
Lowes Cos., Inc. ................. 126,300 4,231,050
Matsuyadenki Co. Industries ..... 25,000 295,400
MFI Furniture PLC ................ 200,000 498,674
Morrison (Wm.) Supermarkets ..... 240,000 529,433
Nissen Corp. Ltd. ................ 55,360 1,297,542
Paris Miki, Inc.* ................ 23,400 840,814
Pinault Printemps ................ 2,000 399,509
Rinascente ....................... 175,000 1,059,061
Sato Corp. ....................... 48,000 1,259,855
Sears Roebuck & Co. .............. 124,300 4,847,700
Shimamura Co. Ltd. ............... 46,500 1,796,949
Swank International Manufacturing 1,400,000 161,138
Talbots, Inc. .................... 45,000 1,293,750
Tandy Corp. ...................... 5,300 219,950
Warehouse Group Ltd. ............. 156,250 414,723
Xebio Co. ........................ 33,400 1,180,726
------------
32,324,934
------------
TOTAL CONSUMER CYCLICALS (12.3%) 84,414,138
------------
CONSUMER NONCYCLICALS
BEVERAGES (0.7%)
Grand Metropolitan ............... 300,000 2,162,472
Lion Nathan Ltd. ................. 800,000 1,908,950
Panamerican Beverages ............ 30,000 960,000
------------
5,031,422
------------
FOODS (0.5%)
Fyffes PLC* ...................... 800,000 1,382,677
Nestle AG ........................ 500 552,860
NV (Verenigde Bed) Nutricia*+ ... 2,900 234,520
Shriram Industrial Enterprises
Ltd. (GDR)+ ..................... 165,000 536,250
Shriram Industrial Enterprises
Ltd.--Warrants* ................. 55,000 550
Viscofan Envoltura ............... 75,000 888,828
------------
3,595,685
------------
DRUGS (5.0%)
Amgen, Inc.* ..................... 14,000 831,250
Astra AB (Series A) .............. 60,000 2,393,762
Cochlear Ltd.*+ .................. 50,400 108,633
Merck KGAA*+ ..................... 65,000 2,664,993
Merck & Co., Inc. ................ 48,000 3,156,000
Novo-Nordisk AS .................. 22,900 3,133,741
Pfizer, Inc. ..................... 42,000 2,646,000
Roche Holdings AG Genusscheine .. 800 6,325,823
Sankyo Co. ....................... 101,000 2,269,443
Santen Pharmaceutical Co. ........ 137,000 3,104,891
Taisho Pharmaceutical ............ 35,000 691,526
Takeda Chemical Industries ...... 35,000 576,271
Yamanouchi Pharmaceutical ........ 82,000 1,763,099
Zeneca Group PLC ................. 220,000 4,258,454
------------
33,923,886
------------
HOSPITAL SUPPLIES & SERVICES (0.9%)
Abbott Laboratories, Inc. ........ 58,500 $ 2,442,375
Healthsource, Inc.* .............. 33,000 1,188,000
Patriot American Hospitality .... 24,000 618,000
Quest Medical, Inc.* ............. 164,543 1,707,134
Scandinavian Mobility
International*+ ................. 13,700 328,085
Tamro Group ...................... 10,000 43,910
------------
6,327,504
------------
RETAIL-- FOOD (0.4%)
Casino Guichard-Perrachon* ...... 29,200 848,358
Ministop Co. Ltd. ................ 4,000 115,061
Seven-Eleven Japan Ltd. .......... 25,000 1,762,712
York-Benimaru Co. ................ 5,000 191,283
------------
2,917,414
------------
SOAPS & TOILETRIES (0.2%)
McBride PLC*+ .................... 400,000 1,211,730
------------
TOBACCO (2.2%)
Loews Corp. ...................... 94,800 7,429,950
Philip Morris Cos., Inc. ......... 83,500 7,556,750
------------
14,986,700
------------
TOTAL CONSUMER NONCYCLICALS (9.9%) 67,994,341
------------
CREDIT SENSITIVE
BANKS (3.4%)
Advance Bank of Australia ........ 89,000 713,089
Akita Bank ....................... 86,000 675,506
Asahi Bank Ltd. .................. 59,000 742,857
Banco Latinoamericano de
Exportaciones, S.A. ............. 60,000 2,790,000
Banco Osorno Y La Union (ADR) ... 15,000 208,125
Banco Popular .................... 6,000 1,104,615
Bancomer B Local* ................ 1,000,000 278,678
Bankgesellschaft Berliner* ...... 6,500 1,658,822
Bankinter--Banco Interc Espana* . 4,500 437,007
Barclays Bank .................... 200,000 2,296,073
Fokus Bank* ...................... 58,000 313,842
Grupo Financiero Banorte (Class
B)* ............................. 143,000 133,084
Hachijuni Bank ................... 87,000 960,581
Hock Hua Bank .................... 180,000 510,296
HSBC Holding PLC ................. 140,000 2,118,332
Mitsubishi Bank .................. 58,000 1,365,036
Mitsubishi Trust & Banking ...... 165,000 2,748,668
Nordbanken AB*+ .................. 38,000 657,908
Overseas Chinese Bank ............ 81,000 1,013,574
Overseas Union Bank Ltd. ......... 220,400 1,519,194
Schweiz Bankverein ............... 500 204,073
Sparbanken Sverige AB*+ .......... 10,000 121,916
Toho Bank ........................ 86,000 620,533
United Overseas Bank ............. 6,000 57,688
Yamanashi Chuo Bank .............. 34,000 339,177
------------
23,588,674
------------
FINANCIAL SERVICES (3.5%)
American Express Co. ............. 28,400 1,175,050
Americredit Corp.* ............... 296,700 4,042,537
67
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF SHARES VALUE (NOTE 1)
- ---------------------------------- ---------------------- -----------------
COMMON STOCKS (Continued):
Capital One Financial Corp. ..... 70,000 $ 1,671,250
Credit Local de France ........... 30,000 2,404,416
Credit Saison Co. ................ 28,900 688,562
Hong Leong Finance ............... 160,000 454,719
Invesco .......................... 400,000 1,575,249
JCG Holdings ..................... 142,000 103,757
Mercury Finance Co. .............. 100,950 1,337,588
MS Financial, Inc.* .............. 101,000 694,375
Nichiei Co. Ltd. ................. 40,000 2,983,050
Promise Co. Ltd. ................. 35,000 1,684,746
Sanyo Shinpan Finance Co. Ltd. .. 22,800 1,876,998
Union Acceptance Corp.
(Class A)* ...................... 63,800 893,200
Yamaichi Securities .............. 330,000 2,566,489
--------------
24,151,986
--------------
INSURANCE (7.2%)
Acceptance Industries Cos., Inc.* 75,100 1,117,113
Aegon N.V. ....................... 120,000 5,308,196
Allstate Corp. ................... 96,008 3,948,329
American International Group,
Inc. ............................ 86,250 7,978,125
Corporacion Mapfre Cia Inter .... 44,340 2,477,760
Fortes Amev N.V. ................. 50,000 3,348,774
ITT Hartford Group, Inc. ......... 93,000 4,498,875
Koa Fire & Marine ................ 97,000 593,743
PennCorp Financial Group, Inc. .. 75,700 2,223,688
Progressive Corp. ................ 55,000 2,688,125
PMI Group, Inc. .................. 4,000 181,000
Travelers Group, Inc. ............ 162,900 10,242,338
Twentieth Century Industries* ... 211,000 4,193,625
--------------
48,799,691
--------------
MORTGAGE RELATED (0.2%)
Federal National Mortgage
Association ..................... 12,000 1,489,500
--------------
REAL ESTATE (3.0%)
AMLI Residential Property Trust . 32,000 640,000
CBL & Associates Properties ..... 21,700 471,975
Cheung Kong Holdings ............. 160,000 974,588
Chubu Sekiwa Real Estate ......... 23,000 356,416
Daibiru Corp. .................... 23,000 260,630
Essex Property Trust, Inc. ...... 32,800 631,400
First Industrial Realty Trust ... 62,000 1,395,000
Gables Residential Trust ......... 32,000 732,000
Highwoods Properties, Inc. ...... 49,000 1,384,250
Hong Kong Land Holding ........... 703,000 1,300,539
JP Realty, Inc. .................. 87,300 1,909,687
Macerich Co. ..................... 109,700 2,194,000
Mitsubishi Estate Co. ............ 92,000 1,149,443
Saul Centers, Inc. ............... 16,000 218,000
Shurgard Storage Centers, Inc.
(Class A) ....................... 22,000 594,000
Spieker Properties, Inc. ......... 37,700 947,213
Storage USA, Inc. ................ 48,000 1,566,000
Summit Properties ................ 102,000 2,027,250
Sun Communities, Inc. ............ 41,000 1,081,375
Tucker Properties Corp. .......... 54,900 480,375
--------------
20,314,141
--------------
UTILITY--ELECTRIC (0.8%)
Chilectra S.A. ................... 5,000 $ 247,500
Enersis S.A. (ADR) ............... 45,000 1,282,500
EVN .............................. 2,000 274,513
Hidroelectrica del Cantabrico ... 14,000 483,917
Powergen PLC ..................... 100,000 827,239
Veba AG .......................... 60,000 2,552,034
--------------
5,667,703
--------------
UTILITY--TELEPHONE (1.5%)
Empresas Telex-Chile S.A. (ADR) . 45,000 466,875
Kon PTT Nederland+ ............... 50,000 1,816,126
Nippon Telegraph & Telephone
Corp. ........................... 32 258,789
PT Indonesian Satellite (ADR) ... 40,000 1,460,000
Stet-Societa Finanziaria
Telefonica (ADR) ................ 64,000 180,961
Tele Danmark AS, (B Shares) ..... 53,000 2,891,562
Telefonica de Espana SA .......... 50,000 691,310
Telephone & Data Systems, Inc. .. 61,700 2,437,150
--------------
10,202,773
--------------
TOTAL CREDIT SENSITIVE (19.6%) 134,214,468
--------------
ENERGY
OIL--DOMESTIC (0.0%)
XCL Corp.* ....................... 850,000 318,750
--------------
OIL--INTERNATIONAL (1.6%)
Ampolex Ltd.* .................... 155,000 338,699
Aran Energy PLC* ................. 1,400,000 1,674,673
Canadian Occidental .............. 5,000 163,750
ENI Spa* ......................... 666,000 2,327,700
Omv AG ........................... 40,000 3,468,572
Repsol SA ........................ 70,000 2,289,966
Yukong Ltd. (GDR)*+ .............. 35,000 315,000
Yukong Ltd. (GDS)* ............... 4,194 72,893
--------------
10,651,253
--------------
OIL--SUPPLIES & CONSTRUCTION (0.2%)
Coflexip (ADR) ................... 70,117 1,323,458
--------------
RAILROADS (1.1%)
Canadian National Railway* ...... 50,000 750,000
Conrail, Inc. .................... 32,000 2,240,000
Union Pacific Corp. .............. 71,000 4,686,000
--------------
7,676,000
--------------
UTILITY--GAS (0.1%)
Renaissance Energy Ltd.* ......... 23,000 572,663
--------------
TOTAL ENERGY (3.0%) ............. 20,542,124
--------------
TECHNOLOGY
ELECTRONICS (9.4%)
ASM Lithography Holding N.V.* ... 16,000 553,249
Austria Mikro Systeme
International+ .................. 72 11,666
Aval Data* ....................... 37,000 695,206
Bay Networks, Inc.* .............. 83,050 3,415,431
Cisco Systems, Inc.* ............. 160,000 11,940,000
EMC Corp.* ....................... 208,000 3,198,000
Futaba Corp. ..................... 12,000 549,734
General Instrument Corp.* ........ 97,600 2,281,400
GP Batteries International ...... 850,000 2,048,500
68
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
<TABLE>
- -------------------------------------------------------------------------------
NUMBER OF SHARES VALUE (NOTE 1)
- --------------------------------- ----------------------- --------------------
COMMON STOCKS (Continued):
GP Batteries
International--Rights* .......... 12,500 $ 6,250
Hirose Electric Co. Ltd. ......... 31,400 1,806,450
Hoya Corp. ....................... 85,000 2,922,518
Intel Corp. ...................... 57,000 3,234,750
ITT Industries Inc ............... 93,000 2,232,000
Kyocera Corp. .................... 27,000 2,005,714
Micron Technology, Inc. .......... 34,500 1,367,063
Motorola, Inc. ................... 56,400 3,214,800
National Semiconductor Corp.* ... 156,000 3,471,000
NEC Corp. ........................ 320,000 3,905,085
Nikon Corp. ...................... 119,000 1,613,559
Rohm Co. Ltd. .................... 70,000 3,952,542
TDK Corp. ........................ 55,000 2,807,264
Texas Instruments, Inc. .......... 57,000 2,949,750
Tokyo Electron ................... 85,000 3,292,978
3Com Corp.* ...................... 28,500 1,328,813
--------------
64,803,722
--------------
OFFICE EQUIPMENT (1.0%)
Canon, Inc. ...................... 200,000 3,622,276
Fujitsu Ltd. ..................... 30,000 334,140
Ricoh Elemex Corp. ............... 22,000 317,482
Sterling Software, Inc.* ......... 42,000 2,619,750
--------------
6,893,648
--------------
OFFICE EQUIPMENT SERVICES (1.7%)
Accugraph Corp. (Class A)* ...... 6,200 16,572
General Motors Corp. (Class E) .. 89,000 4,628,000
Getronics N.V. ................... 10,000 467,271
Istar Internet, Inc.*+ ........... 12,500 117,855
Microsoft Corp.* ................. 13,000 1,140,750
Misys PLC* ....................... 125,000 1,106,869
Oracle Corp.* .................... 100,000 4,237,500
--------------
11,714,817
--------------
TELECOMMUNICATIONS (5.8%)
AirTouch Communications, Inc.* .. 178,000 5,028,500
BCE Mobile Communications, Inc.* 16,000 540,442
Bell Cablemedia PLC (ADR)* ...... 49,300 788,800
Cabletron Systems, Inc.* ......... 25,400 2,057,400
Cellular Communications Puerto
Rico, Inc.* ..................... 7,600 210,900
Cox Communications, Inc.
(Class A)* ...................... 72,000 1,404,000
DSC Communications Corp.* ........ 55,600 2,050,250
Filtronic Comtek PLC ............. 1,210,000 9,323,486
Hong Kong Telecommunications Ltd. 680,000 1,213,579
Mannesmann AG .................... 7,000 2,228,149
MCI Communications Corp. ......... 59,000 1,541,375
Memc Electronic Materials* ...... 49,500 1,614,938
Newbridge Networks Corp.* ........ 36,000 1,489,500
Nihon Dempa Kogyo ................ 94,000 2,103,051
Rogers Cantel Mobile
Communications, Inc. (Class B)* 20,000 527,260
Rogers Cantel Mobile
Commmunications, Inc.
(Class B) (ADR)* ................ 63,900 1,693,350
Tokyo Broadcasting System ........ 108,000 1,778,208
Total Access Communication*+ .... 473,000 $ 3,074,500
U.S. Cellular Corp.* ............. 35,600 1,201,500
--------------
39,869,188
--------------
TOTAL TECHNOLOGY (17.9%) ........ 123,281,375
--------------
DIVERSIFIED
MISCELLANEOUS (1.4%)
Alba ............................. 9,300 571,738
BTR PLC .......................... 200,000 1,022,203
Crean (James) PLC--Units ......... 385,000 1,201,441
Hanson PLC ....................... 500,000 1,495,244
Indonesia Fund, Inc.* ............ 25,000 253,125
International UNP Holdings* ..... 450,000 151,587
International UNP
Holdings--Warrants* ............. 225,000 10,858
Pittston Services Group .......... 56,000 1,757,000
Taiwan Fund ...................... 40,000 820,000
Tomkins PLC ...................... 500,000 2,190,435
- --------------
TOTAL DIVERSIFIED (1.4%) ....... 9,473,631
--------------
TOTAL COMMON STOCKS (84.8%)
(Cost $508,790,513) ............. 581,617,477
--------------
PREFERRED STOCKS:
TECHNOLOGY
ELECTRONICS (0.5%)
Korea Electric Power (ADR) ...... 120,000 3,180,000
--------------
TELECOMMUNICATIONS (0.2%)
Nokia Oy Cum ..................... 44,000 1,729,744
--------------
TOTAL TECHNOLOGY (0.7%) ......... 4,909,744
--------------
TOTAL PREFERRED STOCKS (0.7%)
(Cost $3,183,006) ............... 4,909,744
--------------
PRINCIPAL
AMOUNT
LONG-TERM DEBT SECURITIES:
CAPITAL GOODS (0.1%)
BUILDING & CONSTRUCTION
Boskalis Westminster
5.25% Conv., 06/01/00 ........... $1,500,000 911,178
--------------
TECHNOLOGY
ELECTRONICS (0.9%)
Altera Corp.
5.75% Sub. Conv. Note, 06/15/02+ 825,000 961,125
3Com Corp.
10.25% Conv., 11/01/01+ ......... 3,000,000 4,792,500
--------------
TOTAL TECHNOLOGY (0.9%) .......... 5,753,625
--------------
DIVERSIFIED (0.0%)
MISCELLANEOUS
Brierley Investment Ltd.
9.0% Sub. Conv. Note, 06/30/98 . 27,900 20,793
--------------
TOTAL LONG-TERM DEBT SECURITIES (1.0%)
(Amortized Cost $5,858,307) .... 6,685,596
--------------
69
<PAGE>
THE HUDSON RIVER TRUST
GLOBAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- ----------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ----------------------------- ------------ -------------
SHORT-TERM DEBT SECURITIES:
BANKERS' ACCEPTANCES (0.6%)
Bank of Tokyo
6.12%, due 01/29/96 ......... $ 4,000,000 $ 3,979,600
-------------
CERTIFICATES OF DEPOSIT
Mitsubishi Bank Ltd.-N.Y.
6.0%, due 01/10/96 .......... 10,000,000 10,000,000
6.0%, due 02/29/96 .......... 10,000,000 10,002,042
Norinchuckin Bank Ltd.
5.86%, due 03/14/96 ......... 5,000,000 5,004,387
Societe Generale Bank
5.77%, due 04/22/96 ......... 5,000,000 5,000,931
-------------
TOTAL CERTIFICATES OF DEPOSIT (4.4%) 30,007,360
-------------
COMMERCIAL PAPER
Alamo Funding
5.75%, due 02/02/96 ......... 1,000,000 994,569
Allianz of America Financial
5.66%, due 02/09/96 ......... 3,040,000 3,020,404
Briarcliff Capital Corp.
5.69%, due 02/01/96 ......... 11,002,000 10,944,616
Corporate Asset Funding Co., Inc.
5.9%, due 01/02/96 .......... 5,200,000 5,197,443
Dynamic Funding Corp.
6.1%, due 01/02/96 .......... $ 7,300,000 $ 7,296,289
Equipment Funding, Inc.
5.87%, due 02/07/96 ......... 6,100,000 6,061,209
Ford Motor Credit Co.
5.67%, due 02/09/96 ......... 4,000,000 3,974,170
Hanson PLC
5.7%, due 01/26/96 .......... 750,000 746,794
International Securitization
6.0%, due 01/03/96 .......... 10,500,000 10,493,000
Morgan Stanley Group, Inc.
6.08%, due 01/02/96 ......... 2,480,000 2,478,744
-------------
TOTAL COMMERCIAL PAPER (7.4%) 51,207,238
-------------
TOTAL SHORT-TERM DEBT SECURITIES (12.4%)
(Amortized Cost $85,187,195) 85,194,198
-------------
TOTAL INVESTMENT (98.9%)
(Cost/Amortized Cost $603,019,021) 678,407,015
CASH AND RECEIVABLES
LESS LIABILITIES (1.1%) .... 7,733,378
-------------
NET ASSETS (100.0%) .......... $686,140,393
=============
- ---------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
++ Affiliated company as defined under the Investment Company Act of 1940
(see Note 5).
See Notes to Financial Statements.
70
<PAGE>
THE HUDSON RIVER TRUST
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS:
AUSTRALIA
Advance Bank of Australia ...... 6,000 $ 48,073
Cochlear Ltd.*+ ................. 97,300 209,724
Guiness Peat Group* ............. 12,000 6,422
Gwalia Consolidated ............. 5,000 8,547
Novus Petroleum Ltd.* ........... 50,000 60,203
Oil Search Ltd. ................. 20,000 17,243
Plutonic Resources .............. 10,000 47,568
Qantas Airways Ltd. ............. 30,000 49,946
Villa World Ltd. ................ 50,000 36,419
Westralian Sands Ltd. ........... 14,000 37,460
--------------------------
TOTAL AUSTRALIA (1.8%) ......... 521,605
--------------------------
AUSTRIA (0.2%)
Omv AG .......................... 600 52,029
--------------------------
CANADA
Accugraph Corp. (Class A)* ..... 5,000 13,365
Cinar Films, Inc. (Class B)* ... 1,000 15,125
Istar Internet, Inc.*+ .......... 16,000 150,854
Nelvana Limited*+ ............... 1,000 13,914
Quality Dino Entertainment Ltd.* 3,000 8,625
--------------------------
TOTAL CANADA (0.7%) ............ 201,883
--------------------------
CHILE (0.1%)
Enersis S.A. (ADR) .............. 1,000 28,500
--------------------------
DENMARK
Novo-Nordisk AS ................. 350 47,896
Scandinavian Mobility
International*+ ................ 6,000 143,686
Tele Danmark AS, (B Shares) .... 2,000 109,116
--------------------------
TOTAL DENMARK (1.0%) ........... 300,698
--------------------------
FRANCE
Casino Guichard-Perrachon* ..... 2,202 63,976
Coflexip (ADR) .................. 3,000 56,625
Credit Local de France .......... 1,000 80,147
Michelin (CGDE), (Class B) ..... 900 35,937
Pernod-Ricard ................... 2,000 113,801
--------------------------
TOTAL FRANCE (1.2%) ............ 350,486
--------------------------
GERMANY
Adidas AG*+ ..................... 3,300 173,727
Apcoa Parking AG* ............... 800 52,714
Bayer AG ........................ 100 26,552
Merck KGAA*+ .................... 1,000 41,000
Schwarz Pharma AG* .............. 1,000 49,368
SGL Carbon AG*+ ................. 3,000 234,285
Skw Trostberg ................... 1,000 21,211
Turbon International AG* ........ 1,500 44,451
Veba AG ......................... 2,500 106,335
--------------------------
TOTAL GERMANY (2.6%) ........... 749,643
--------------------------
HONG KONG
Amoy Properties ................. 50,000 49,790
Ek Chor China Motorcycle Co. ... 3,000 34,875
Guangzhou Investment ............ 200,000 38,280
Hong Kong Telecommunications
Ltd. ........................... 12,000 21,416
HSBC Holding PLC ................ 5,000 75,655
COMMON STOCKS (Continued):
Jardine International
Holdings Ltd. .................. 32,000 $ 36,417
--------------------------
TOTAL HONG KONG (0.9%) ......... 256,433
--------------------------
INDONESIA
Asia Pacific Resources
International Holdings Ltd.
(Class A)* ..................... 1,000 4,750
PT Indonesian Satellite (ADR) .. 1,500 54,750
--------------------------
TOTAL INDONESIA (0.2%) ......... 59,500
--------------------------
IRELAND
Crean (James) PLC--Units ........ 5,000 15,603
Fyffes PLC* ..................... 40,000 69,134
--------------------------
TOTAL IRELAND (0.3%) ........... 84,737
--------------------------
ISRAEL (0.3%)
Home Centers Ltd.* .............. 11,400 75,525
--------------------------
ITALY
Editoriale La Repubblica* ...... 40,000 35,769
ENI Spa* ........................ 30,000 104,850
Industrie Natuzzi (ADR) ......... 1,700 77,138
Rinascente ...................... 10,000 60,518
Telecom Italia .................. 10,000 15,555
Telecom Italia Mobile Spa* ..... 10,000 17,601
--------------------------
TOTAL ITALY (1.1%) ............. 311,431
--------------------------
JAPAN
Advan Co.* ...................... 3,000 78,450
Akita Bank ...................... 8,000 62,838
Alpine Electronics .............. 5,000 84,262
Aoki Marine* .................... 4,000 31,574
Asahi Bank Ltd. ................. 3,000 37,772
Asahi Diamond Industry Co. Ltd. 5,000 70,218
Asatsu, Inc. .................... 2,000 84,068
Aval Data* ...................... 1,000 18,789
Canon, Inc. ..................... 8,000 144,891
Chiyoda Co.* .................... 5,500 127,845
Coco's Japan Co. Ltd. ........... 1,000 11,041
Credit Saison Co. ............... 6,000 142,954
Dai-Ichi Corp. .................. 1,500 35,448
Doshisha Co.* ................... 4,000 142,179
Eidensha Co. Ltd. ............... 6,000 75,545
Fujitsu Ltd. .................... 3,000 33,414
Futaba Corp. .................... 1,000 45,811
Hachijuni Bank .................. 2,000 22,082
Hankyu Corp. .................... 25,000 136,804
Hirose Electric Co. Ltd. ........ 3,000 172,591
Hitachi Metals Ltd. ............. 6,000 74,964
Home Wide Corp, Inc. ............ 1,000 11,816
Honda Motor Corp. ............... 9,000 185,666
Hoya Corp. ...................... 4,000 137,530
I-Net Corporation* .............. 4,000 75,545
Ishihara Sangyo Ltd.* ........... 25,000 81,114
Japan Industrial Land* .......... 4,000 153,801
Kaneshita Construction .......... 4,000 53,850
Kawasaki Kisen* ................. 20,000 63,535
Keyence Corp. ................... 1,800 207,459
Koa Fire & Marine ............... 31,000 189,753
Kurita Water Industries ......... 1,000 26,634
71
<PAGE>
THE HUDSON RIVER TRUST
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- --------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
Kyocera Corp. ................... 1,000 $ 74,286
Mabuchi Motor ................... 2,200 136,794
Matsushita Electric Industries . 2,000 32,542
Minebea Co. ..................... 12,000 100,649
Ministop Co. Ltd. ............... 1,000 28,765
Mitsubishi Bank ................. 3,000 70,605
Mitsubishi Estate Co. ........... 3,000 37,482
Mitsubishi Heavy Industries Ltd. 25,000 199,274
Mitsubishi Trust & Banking ..... 5,000 83,293
Mitsui Home Co. Ltd. ............ 3,000 47,942
Nanno Construction Co. Ltd.* ... 6,000 67,409
NEC Corp. ....................... 12,000 146,441
NGK Spark Plug Co. .............. 3,000 37,772
Nichiei Co. Ltd. ................ 3,000 223,729
Nichiha ......................... 3,000 67,990
Nikon Corp. ..................... 4,000 54,237
Nippon Electric Glass ........... 6,000 113,898
Nippon Kanzai Co. ............... 1,000 30,896
Nippon Paper Industries ......... 7,000 48,610
Nippon Seiko K.K. ............... 9,000 65,375
Nippon Telegraph &
Telephone Corp. ................ 10 80,872
Nippon Television Network ...... 800 213,850
Nissen Corp. Ltd. ............... 3,300 77,346
Ohmoto Gumi* .................... 1,000 24,697
Oji Paper ....................... 4,000 36,184
Omron Corp. ..................... 7,000 161,356
Oriental Construction Co. ...... 4,000 85,230
Paris Miki, Inc.* ............... 3,500 125,763
PCA Corporation* ................ 2,000 83,293
Penta Ocean Construction ........ 3,000 23,245
Promise Co. Ltd. ................ 2,500 120,339
PS Corp. ........................ 5,000 91,041
Rohm Co. Ltd. ................... 4,000 225,860
Sankyo Co. ...................... 9,000 202,228
Santen Pharmaceutical Co. ...... 7,000 158,644
Sanyo Shinpan Finance Co. Ltd. . 2,500 205,811
Sato Corp. ...................... 2,000 52,494
Secom Co. ....................... 1,000 69,540
Sekisui Chemical Co. Ltd. ...... 6,000 88,329
Seven-Eleven Japan Ltd. ......... 1,000 70,508
Shimamura Co. Ltd. .............. 3,000 115,932
Sho Bond Construction ........... 3,000 100,823
Shohkoh Fund* ................... 1,000 185,956
SMC Corp. ....................... 900 65,114
Sumitomo Metal Industries* ..... 55,000 166,731
Taisho Pharmaceutical ........... 10,000 197,579
TDK Corp. ....................... 3,000 153,123
Teijin Ltd. ..................... 2,000 10,228
Toda Construction ............... 8,000 69,346
Toho Bank ....................... 3,000 21,646
Tokyo Broadcasting System ...... 12,000 197,579
Tokyo Electron .................. 3,000 116,223
Toppan Printing Co. ............. 10,000 131,719
Wesco, Inc. ..................... 2,500 60,533
Xebio Co. ....................... 4,000 141,404
Yamaichi Securities ............. 13,000 101,104
Yamanashi Chuo Bank ............. 5,000 49,879
Yamanouchi Pharmaceutical ...... 4,000 86,005
Yaskawa Electric Corp.* ......... 18,000 84,901
York-Benimaru Co. ............... 2,200 $ 84,165
Yorozu Corp.* ................... 3,000 54,625
--------------------------
TOTAL JAPAN (31.0%) ............ 8,879,477
--------------------------
MALAYSIA
Guinness Anchor BHD ............. 6,000 11,245
Hock Hua Bank ................... 7,000 19,845
MBF Capital BHD ................. 30,000 30,358
Metacorp BHD* ................... 13,333 34,648
Peladang Kimia BHD* ............. 5,000 12,797
Pelangi BHD ..................... 19,000 18,404
Road Builder Holdings* .......... 10,000 34,650
--------------------------
TOTAL MALAYSIA (0.6%) .......... 161,947
--------------------------
MEXICO (0.3%)
Panamerican Beverages ........... 3,000 96,000
--------------------------
NETHERLANDS
Aegon N.V. ...................... 5,000 221,175
Elsevier ........................ 12,000 159,994
Fortis Amev N.V. ................ 800 53,580
IHC Caland* ..................... 4,000 134,574
KLM ............................. 2,000 70,278
Kon PTT Nederland+ .............. 3,000 108,967
NV (Verenigde Bed) Nutricia*+ .. 1,000 80,869
Philips Electronics N.V. ........ 500 18,067
Ver Ned Uitgevers ............... 500 68,627
--------------------------
TOTAL NETHERLANDS (3.2%) ...... 916,131
--------------------------
NEW ZEALAND
Air New Zealand Limted 'B'
Shares ......................... 10,000 33,995
Fisher & Paykel ................. 20,000 60,799
Helicopter Line Ltd. ............ 15,000 32,361
Lion Nathan Ltd. ................ 15,000 35,793
Warehouse Group Ltd. ............ 60,000 159,253
--------------------------
TOTAL NEW ZEALAND (1.1%) ...... 322,201
--------------------------
NORWAY
C. Tybring-Gjedde AS* ........... 1,300 24,646
Elkjop Norge AS* ................ 2,000 49,608
Fokus Bank* ..................... 1,500 8,117
Kvaerner AS (Series A)* ......... 500 19,748
Merkantildata AS ................ 10,000 112,171
Petroleum Geo-Services (ADR)* .. 2,000 50,000
Tomra Systems ................... 18,000 142,188
--------------------------
TOTAL NORWAY (1.4%) ............ 406,478
--------------------------
PANAMA (0.6%)
Banco Latinoamericano de
Exportaciones, S.A. ............ 4,000 186,000
--------------------------
PERU (0.2%)
Banco Wiese Limitado (ADS) ..... 10,000 62,500
--------------------------
SINGAPORE
GP Batteries International ..... 30,000 72,300
Overseas Chinese Bank ........... 1,000 12,513
Overseas Union Bank Ltd. ........ 3,000 20,679
--------------------------
TOTAL SINGAPORE (0.4%) ......... 105,492
--------------------------
SPAIN
Banco de Valencia ............... 12,000 167,890
Banco Popular ................... 200 36,821
Bankinter--Banco Interc Espana* 1,000 97,113
72
<PAGE>
THE HUDSON RIVER TRUST
INTERNATIONAL PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -------------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
Centros Comerciales Pryca S.A. . 3,650 $ 76,449
Construcciones Auxiliar Ferro .. 500 17,694
Corporacion Mapfre Cia Inter ... 2,700 150,879
Cubiertas* ...................... 2,000 110,610
Fomento de Construcciones Y
Contratas S.A. ................. 1,200 91,846
Hidroelectrica del Cantabrico .. 4,000 138,260
Repsol SA ....................... 3,000 98,141
Telefonica de Espana ............ 3,000 41,479
Viscofan Envoltura .............. 2,500 29,628
--------------------------
TOTAL SPAIN (3.7%) ............. 1,056,810
--------------------------
SWEDEN
Astra AB (Series B) ............. 2,000 79,190
Autoliv AB (ADS) ................ 1,200 70,097
BT Industries AB*+ .............. 8,500 91,497
Kalmar Industries AB+ ........... 4,000 65,941
Nordbanken AB*+ ................. 5,800 100,418
--------------------------
TOTAL SWEDEN (1.4%) ............ 407,143
--------------------------
SWITZERLAND
BBC Brown Boveri ................ 70 81,282
Roche Holdings AG Genusscheine . 10 79,073
--------------------------
TOTAL SWITZERLAND (0.6%) ...... 160,355
--------------------------
THAILAND (0.4%)
Total Access Communication*+ ... 16,000 104,000
--------------------------
UNITED KINGDOM
Aran Energy PLC* ................ 30,000 35,886
Barclays Bank ................... 10,000 114,804
British Airways ................. 10,000 72,393
Capital Radio PLC* .............. 10,000 82,802
Carlton Communications PLC ..... 10,000 150,068
Filtronic Comtek PLC ............ 2,000 15,411
Grand Metropolitan .............. 12,000 86,499
Hanson PLC ...................... 16,000 47,848
McBride PLC*+ ................... 20,000 60,587
Mirror Group Newspapers PLC .... 10,000 27,342
Misys PLC* ...................... 10,000 88,550
Morrison (Wm.) Supermarkets .... 80,000 176,478
Powergen PLC (ADR) .............. 3,000 24,817
Powerscreen International ...... 30,000 180,593
Rank Organisation PLC ........... 8,000 57,915
Reed International .............. 6,000 91,532
Tate & Lyle PLC ................. 12,000 87,990
Tomkins PLC ..................... 25,000 109,522
WPP Group PLC ................... 30,000 76,432
Zeneca Group PLC ................ 4,000 77,426
--------------------------
TOTAL UNITED KINGDOM (5.8%) ... 1,664,895
--------------------------
TOTAL COMMON STOCKS (61.1%)
(Cost $16,634,981) ............. 17,521,899
--------------------------
NUMBER OF VALUE (NOTE
SHARES 1)
- --------------------------------- ----------- ------------
<S> <C> <C>
PREFERRED STOCKS:
FINLAND (0.4%)
Nokia Corp. (ADR) ................ 3,000 $ 116,625
------------
GERMANY (0.5%)
Fielmann AG DEM5 ................. 2,600 134,519
------------
SOUTH KOREA (0.3%)
Korea Electric Power (ADR) ...... 3,000 79,500
------------
TOTAL PREFERRED STOCKS (1.2%)
(Cost $295,547) ................. 330,644
------------
PRINCIPAL
AMOUNT
-----------
LONG-TERM DEBT SECURITIES:
NETHERLANDS (0.1%)
Boskalis Westminster
5.25% Conv., 06/01/00 ........... $50,000 30,373
------------
TOTAL LONG-TERM DEBT SECURITIES (0.1%)
(Amortized Cost $27,968) ........ 30,373
------------
SHORT-TERM DEBT SECURITIES:
U.S. GOVERNMENT
Federal Home Loan Bank
5.54%, due 01/03/96 ............. 6,000,000 5,996,307
Federal Home Loan Mortgage Corp.
5.75%, due 01/02/96 ............. 5,300,000 5,297,460
------------
TOTAL U.S. GOVERNMENT (39.3%) .. 11,293,767
------------
TOTAL SHORT-TERM DEBT SECURITIES (39.3%)
(Amortized Cost $11,293,767) ... 11,293,767
------------
TOTAL INVESTMENTS (101.7%)
(Cost/Amortized Cost $28,252,263) 29,176,683
LIABILITIES IN EXCESS OF CASH AND
RECEIVABLES (-1.7%) ............. (492,820)
------------
NET ASSETS (100.0%) .............. $28,683,863
============
- --------------------------------------
MARKET SECTOR DIVERSIFICATION
As a Percentage of Total Equity Investments
Basic Materials ........ 4.9%
Business Services ...... 9.6
Capital Goods .......... 14.4
Consumer Cyclicals .... 18.4
Consumer Non-Cyclicals 12.8
Credit Sensitive ....... 21.7
Energy ................. 3.1
Technology ............. 14.1
Diversified ............ 1.0
-------
100.0%
=======
- ------------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
See Notes to Financial Statements.
73
<PAGE>
THE HUDSON RIVER TRUST
AGGRESSIVE STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- --------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- ---------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS--SPECIALTY (1.4%)
Cytec Industries, Inc.* ......... 242,200 $ 15,107,225
UCAR International, Inc.* ...... 698,200 23,564,250
---------------
38,671,475
---------------
METALS & MINING (0.7%)
Newmont Mining Corp. ............ 440,000 19,910,000
---------------
TOTAL BASIC MATERIALS (2.1%) .. 58,581,475
---------------
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (1.8%)
USA Waste Services, Inc.* ...... 2,508,600 47,349,825
---------------
PRINTING, PUBLISHING &
BROADCASTING (2.4%)
Infinity Broadcasting Corp.
(Class A)* ..................... 1,531,500 57,048,375
Playboy Enterprises, Inc.
(Class B)*++ ................... 931,200 7,798,800
---------------
64,847,175
---------------
PROFESSIONAL SERVICES (0.5%)
Loewen Group, Inc. .............. 558,700 14,142,094
---------------
TRUCKING, SHIPPING (2.2%)
TNT Freightways Corp. ........... 480,550 9,671,069
Xtra Corp.++ .................... 1,186,300 50,417,750
---------------
60,088,819
---------------
TOTAL BUSINESS SERVICES (6.9%) 186,427,913
---------------
CONSUMER CYCLICALS
AIRLINES (5.1%)
America West Airlines, Inc.
(Class B)* ..................... 1,565,100 26,606,700
Delta Air Lines, Inc. ........... 257,000 18,985,875
Northwest Airlines Corp.
(Class A)* ..................... 624,200 31,834,200
Southwest Airlines Co. .......... 852,200 19,813,650
USAir Group, Inc.* .............. 2,968,200 39,328,650
---------------
136,569,075
---------------
APPAREL, TEXTILE (3.8%)
Jones Apparel Group* ............ 375,700 14,793,188
Nine West Group, Inc.*++ ........ 2,341,600 87,810,000
---------------
102,603,188
---------------
FOOD SERVICES, LODGING (3.8%)
Extended Stay America, Inc. * .. 480,300 13,208,250
HFS, Inc.* ...................... 653,600 53,431,800
Host Marriott Corp. * ........... 2,798,100 37,074,825
---------------
103,714,875
---------------
HOUSEHOLD FURNITURE, APPLIANCES (1.8%)
Industrie Natuzzi (ADR) ......... 1,081,300 49,063,988
---------------
LEISURE RELATED (4.8%)
Ascent Entertainment Group,
Inc.* .......................... 374,000 5,890,500
Heritage Media Corp.
(Class A)* ..................... 692,850 17,754,281
ITT Corp. ....................... 1,049,300 55,612,900
Mirage Resorts, Inc.* ........... 787,300 27,161,850
Sierra On-line, Inc.* ........... 772,900 22,220,875
---------------
128,640,406
---------------
COMMON STOCKS (Continued):
PHOTO & OPTICAL (0.2%)
Luxottica Group (ADR) ........... 93,700 $ 5,481,450
---------------
RETAIL--GENERAL (10.4%)
Bed Bath & Beyond, Inc.* ........ 1,336,800 51,884,550
Federated Department Stores,
Inc.* .......................... 3,730,500 102,588,750
Office Depot, Inc.* ............. 2,823,025 55,754,744
Office Max, Inc.* ............... 2,807,300 62,813,337
Staples, Inc.* .................. 375,800 9,160,125
---------------
282,201,506
---------------
TOTAL CONSUMER CYCLICALS (29.9%) 808,274,488
---------------
CONSUMER NONCYCLICALS
DRUGS (3.8%)
Amgen, Inc.* .................... 419,900 24,931,563
Biogen, Inc.* ................... 354,000 21,771,000
Centocor, Inc.* ................. 1,111,600 34,320,650
Cephalon, Inc.* ................. 464,500 18,928,375
Pharmacyclics, Inc.* ............ 173,000 2,422,000
---------------
102,373,588
---------------
HOSPITAL SUPPLIES & SERVICES (12.7%)
Apria Healthcare Group, Inc.* .. 1,217,380 34,390,985
Boston Scientific Corp.* ........ 849,700 41,635,300
Healthsouth Corp.* .............. 1,974,900 57,518,962
Healthwise of America, Inc.*++ . 946,135 36,899,265
Manor Care, Inc. ................ 695,200 24,332,000
Saint Jude Medical, Inc.* ...... 759,150 32,643,450
Summit Technology, Inc.* ........ 551,950 18,628,313
Sun Healthcare Group, Inc.*++ .. 2,555,700 34,501,950
Surgical Care Affiliates, Inc. . 1,819,800 61,873,200
---------------
342,423,425
---------------
TOTAL CONSUMER NONCYCLICALS (16.5%) 444,797,013
---------------
CREDIT SENSITIVE
INSURANCE (6.5%)
CNA Financial Corp.* ............ 1,102,600 125,145,100
ITT Hartford Group, Inc. ........ 1,049,300 50,759,887
---------------
175,904,987
---------------
UTILITY--TELEPHONE (4.4%)
Telephone & Data Systems, Inc.++ 2,981,100 117,753,450
---------------
TOTAL CREDIT SENSITIVE (10.9%) 293,658,437
---------------
ENERGY
OIL--DOMESTIC (1.0%)
Diamond Shamrock, Inc. .......... 424,400 10,981,350
Snyder Oil Corp. ................ 1,229,300 14,905,262
---------------
25,886,612
---------------
OIL--SUPPLIES & CONSTRUCTION (10.1%)
Arethusa (Off-Shore) Ltd. ...... 754,800 21,134,400
Diamond Offshore Drilling, Inc.* 1,960,900 66,180,375
Global Marine, Inc.* ............ 6,292,600 55,060,250
Noble Drilling Corp.* ........... 3,875,300 34,877,700
Reading & Bates Corp.* .......... 2,518,600 37,779,000
Rowan Cos., Inc.* ............... 4,133,400 40,817,325
Sonat Offshore Drilling, Inc. .. 354,700 15,872,825
---------------
271,721,875
---------------
TOTAL ENERGY (11.1%) ........... 297,608,487
---------------
74
<PAGE>
THE HUDSON RIVER TRUST
AGGRESSIVE STOCK PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- ----------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- ---------------
COMMON STOCKS (Continued):
TECHNOLOGY
ELECTRONICS (3.3%)
Applied Materials, Inc. * ...... 276,400 $ 10,883,250
Bay Networks, Inc.* ............. 353,350 14,531,519
ITT Industries, Inc. ............ 1,049,300 25,183,200
Parametric Technology Corp.* ... 564,600 37,545,900
---------------
88,143,869
---------------
OFFICE EQUIPMENT (0.9%)
Dell Computer Corp.* ............ 318,800 11,038,450
Storage Technology Corp.* ...... 585,600 13,981,200
---------------
25,019,650
---------------
OFFICE EQUIPMENT SERVICES (2.7%)
Hummingbird Communications Ltd.* 112,300 4,548,150
Informix Corp.* ................. 1,727,300 51,819,000
Sybase, Inc. * .................. 442,300 15,922,800
---------------
72,289,950
---------------
TELECOMMUNICATIONS (10.0%)
American Satellite
Network--Warrants * ............ 49,450 0
Andrew Corp.* ................... 577,400 22,085,550
Ascend Communications, Inc. * .. 185,600 15,056,800
Cellular Communications, Inc.
(Class A) ...................... 605,329 30,115,118
DSC Communications Corp. * ..... 521,300 19,222,937
Mannesmann AG (ADR) ............. 243,600 77,464,800
Millicom International Cellular
S.A.* .......................... 1,140,215 34,776,557
Tellabs, Inc. * ................. 498,900 18,459,300
U.S. Cellular Corp.* ............ 1,043,000 35,201,250
Vanguard Cellular Systems, Inc.
(Class A)* ..................... 981,550 19,876,388
---------------
272,258,700
---------------
TOTAL TECHNOLOGY (16.9%) ...... 457,712,169
---------------
DIVERSIFIED (1.1%)
MISCELLANEOUS
Pittston Services Group ......... 925,600 29,040,700
---------------
TOTAL COMMON STOCKS (95.4%)
(Cost $2,062,941,937) .......... 2,576,100,682
---------------
PRINCIPAL
AMOUNT VALUE (NOTE 1)
- ----------------------------- ------------ --------------
SHORT-TERM DEBT SECURITIES:
BANKERS' ACCEPTANCES (0.0%)
Bank of Tokyo
6.12%, due 02/05/96 ......... $ 1,000,000 $ 993,710
--------------
CERTIFICATES OF DEPOSIT
Mitsubishi Bank Ltd.-N.Y.:
6.0%, due 01/10/96 .......... 10,000,000 10,000,000
6.0%, due 02/29/96 .......... 15,000,000 15,003,063
--------------
TOTAL CERTIFICATES OF DEPOSIT (0.9%) 25,003,063
--------------
COMMERCIAL PAPER
Ciesco LP
5.8%, due 01/04/96 .......... 500,000 499,597
Equipment Funding, Inc.
5.87%, due 02/07/96 ......... 9,100,000 9,042,132
Hanson PLC
5.68%, due 02/08/96 ......... 7,300,000 7,253,929
International Securitization
6.0%, due 01/04/96 .......... 25,000,000 24,979,167
Ranger Funding Corp.
5.69%, due 02/09/96 ......... 7,000,000 6,954,638
Sheffield Receivables Corp.
5.73%, due 01/19/96 ......... 1,500,000 1,495,225
--------------
TOTAL COMMERCIAL PAPER (1.9%) 50,224,688
--------------
TIME DEPOSITS (0.9%)
Harris Trust & Savings
5.875%, due 01/02/96 ........ 23,000,000 23,000,000
--------------
TOTAL SHORT-TERM DEBT SECURITIES (3.7%)
(Amortized Cost $99,218,398) 99,221,461
--------------
TOTAL INVESTMENTS (99.1%)
(Cost/Amortized Cost $2,162,160,335) 2,675,322,143
CASH AND RECEIVABLES
LESS LIABILITIES (0.9%) .... 25,192,706
--------------
NET ASSETS (100.0%) .......... $2,700,514,849
==============
- ------------
* Non-income producing.
++ Affiliated company as defined under the Investment Company Act of 1940
(see Note 5).
See Notes to Financial Statements.
75
<PAGE>
THE HUDSON RIVER TRUST
CONSERVATIVE INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- ------------------------------------------------------------------
NUMBER OF VALUE
SHARES (NOTE 1)
- ------------------------------- ------------ ------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (0.6%)
Air Products & Chemicals, Inc. 4,000 $ 211,000
Hercules, Inc. ................. 25,000 1,409,375
------------
1,620,375
------------
METALS & MINING (0.3%)
Aluminum Co. of America ........ 12,000 634,500
------------
TOTAL BASIC MATERIALS (0.9%) . 2,254,875
------------
BUSINESS SERVICES (0.4%)
PROFESSIONAL SERVICES
Reynolds & Reynolds Co. ........ 25,000 971,875
------------
CAPITAL GOODS
ELECTRICAL EQUIPMENT (0.7%)
General Electric Co. ........... 25,000 1,800,000
------------
MACHINERY (0.2%)
Deere & Co. .................... 12,000 423,000
------------
TOTAL CAPITAL GOODS (0.9%) ... 2,223,000
------------
CONSUMER CYCLICALS
FOOD SERVICES, LODGING (0.4%)
McDonald's Corp. ............... 25,000 1,128,125
------------
PHOTO & OPTICAL (0.3%)
Eastman Kodak Co. .............. 10,000 670,000
------------
RETAIL--GENERAL (0.1%)
Rite Aid Corp. ................. 8,300 284,275
------------
TOTAL CONSUMER CYCLICALS (0.8%) 2,082,400
------------
CONSUMER NONCYCLICALS
BEVERAGES (0.6%)
Coca-Cola Co. .................. 20,000 1,485,000
------------
FOODS (0.2%)
IBP, Inc. ...................... 12,000 606,000
------------
DRUGS (0.6%)
Pfizer, Inc. ................... 25,000 1,575,000
------------
HOSPITAL SUPPLIES & SERVICES (0.7%)
Medtronic, Inc. ................ 30,000 1,676,250
------------
SOAPS & TOILETRIES (0.7%)
Gillette Corp. ................. 32,100 1,673,213
------------
TOBACCO (0.8%)
Philip Morris Cos., Inc. ...... 21,000 1,900,500
------------
UST, Inc. ...................... 6,000 200,250
------------
2,100,750
------------
TOTAL CONSUMER NONCYCLICALS (3.6%) 9,116,213
------------
CREDIT SENSITIVE
BANKS (1.4%)
Bank of New York Co. ........... 40,000 1,950,000
------------
Citicorp ....................... 15,000 1,008,750
------------
First Bank Systems, Inc. ...... 10,000 496,250
------------
3,455,000
------------
FINANCIAL SERVICES (0.2%)
American Express Co. ........... 15,000 620,625
------------
INSURANCE (0.9%)
AFLAC, Inc. .................... 15,000 650,625
------------
General Reinsurance Corp. ..... 10,000 1,550,000
------------
2,200,625
------------
COMMON STOCKS (Continued):
UTILITY--GAS (0.2%)
ENRON Corp. .................... 15,000 $ 571,875
------------
UTILITY--TELEPHONE (1.1%)
Ameritech Corp. ................ 20,000 1,180,000
------------
NYNEX Corp. .................... 28,800 1,555,200
------------
2,735,200
------------
TOTAL CREDIT SENSITIVE (3.8%) 9,583,325
------------
ENERGY
OIL--DOMESTIC (0.3%)
Amoco Corp. .................... 12,000 862,500
------------
OIL--INTERNATIONAL (0.5%)
Mobil Corp. .................... 10,000 1,120,000
------------
TOTAL ENERGY (0.8%) ........... 1,982,500
------------
TECHNOLOGY (0.2%)
ELECTRONICS
Molex, Inc. .................... 14,000 444,500
------------
DIVERSIFIED (0.1%)
MISCELLANEOUS
Allied Signal, Inc. ............ 8,000 380,000
------------
TOTAL COMMON STOCKS (11.5%)
(Cost $20,755,754) ........... 29,038,688
------------
PRINCIPAL
AMOUNT
------------
LONG-TERM DEBT SECURITIES:
BUSINESS SERVICES
PRINTING, PUBLISHING &
BROADCASTING (5.7%)
Tele-Communications, Inc.
8.0%, 08/01/05 ................ $ 6,475,000 6,873,147
------------
Time Warner Entertainment
8.375%, 03/15/23 .............. 7,000,000 7,535,570
------------
TOTAL BUSINESS SERVICES (5.7%) 14,408,717
------------
CREDIT SENSITIVE
BANKS (3.9%)
Abbey National PLC
6.69%, 10/17/05 ............... 3,500,000 3,632,405
------------
Chemical Banking Corp.
8.625% Sub. Deb., 05/01/02 ... 5,500,000 6,220,390
------------
9,852,795
------------
FINANCIAL SERVICES (3.1%)
Lehman Brothers Holdings
8.75%, 03/15/05 ............... 6,800,000 7,732,280
------------
INSURANCE (2.8%)
Prudential Insurance Co.
8.1%, 07/15/15+ ............... 6,800,000 7,165,840
------------
MORTGAGE RELATED (10.7%)
Federal National Mortgage
Association:
6.0%, 11/01/08 ................ 3,853,201 3,814,669
------------
6.0%, 11/01/10 ................ 17,548,890 17,373,401
------------
Premier Auto Trust
7.15%, 02/04/99 ............... 5,650,000 5,780,628
------------
26,968,698
------------
76
<PAGE>
THE HUDSON RIVER TRUST
CONSERVATIVE INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- ---------------------------------------------------------------
PRINCIPAL VALUE (NOTE
AMOUNT 1)
- ------------------------------- ------------ -------------
LONG-TERM DEBT SECURITIES
(Continued):
FOREIGN GOVERNMENT (2.2%)
Generalitat de Catalunya
6.375%, 12/15/07 .............. $ 5,500,000 $ 5,534,012
-------------
U.S. GOVERNMENT (49.6%)
U.S. Treasury:
5.5% Note, 11/15/98 ........... 27,000,000 27,194,049
7.75% Note, 12/31/99 .......... 5,000,000 5,428,125
6.125% Note, 09/30/00 ......... 20,000,000 20,625,000
5.75% Note, 10/31/00 .......... 11,765,000 11,945,145
6.375% Note, 08/15/02 ......... 7,800,000 8,194,875
6.5% Note, 08/15/05 ........... 16,005,000 17,050,319
6.875% Bond, 08/15/25 ......... 30,665,000 34,593,947
-------------
125,031,460
-------------
TOTAL CREDIT SENSITIVE (72.3%) 182,285,085
-------------
TOTAL LONG-TERM DEBT SECURITIES (78.0%)
(Amortized Cost $190,548,258) 196,693,802
-------------
SHORT-TERM DEBT SECURITIES:
COMMERCIAL PAPER
Alamo Funding 5.7%, Due
02/02/96 ...................... $ 3,000,000 $ 2,983,850
-------------
ESC Securitization, Inc.
5.8%, Due 02/01/96 ............ 10,000,000 9,946,833
-------------
TOTAL COMMERCIAL PAPER (5.1%) 12,930,683
-------------
U.S. GOVERNMENT (3.9%)
Federal Home Loan Mortgage
Corp.
5.75%, Due 01/02/96 ............ 9,600,000 9,595,400
-------------
TOTAL SHORT-TERM DEBT SECURITIES (9.0%)
(Amortized Cost $22,526,083) . 22,526,083
-------------
TOTAL INVESTMENTS (98.5%) (Cost/Amortized
Cost $233,830,095) 248,258,573
-------------
CASH AND RECEIVABLES
LESS LIABILITIES (1.5%) ....... 3,842,422
-------------
NET ASSETS (100.0%) ............ $252,100,995
=============
- ------------
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
See Notes to Financial Statements.
77
<PAGE>
THE HUDSON RIVER TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- ------------------------------------------------------------------
NUMBER OF VALUE (NOTE
SHARES 1)
- -------------------------------- ------------ -------------
<S> <C> <C>
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (3.0%)
Freeport-McMoRan, Inc. .......... 107,500 $ 3,977,500
Hercules, Inc. .................. 140,000 7,892,500
IMC Global, Inc. ................ 260,000 10,627,500
Monsanto Co. .................... 193,000 23,642,500
-------------
46,140,000
-------------
CHEMICALS--SPECIALTY (1.0%)
Morton International, Inc. ..... 150,000 5,381,250
UCAR International, Inc.* ...... 170,000 5,737,500
Wellman, Inc. ................... 176,500 4,015,375
-------------
15,134,125
-------------
METALS & MINING (0.2%)
Alumax, Inc.* ................... 96,900 2,967,562
Nord Resources Corp.* ........... 26,078 58,676
-------------
3,026,238
-------------
PAPER (0.2%)
Champion International Corp. ... 71,000 2,982,000
-------------
STEEL (0.0%)
Lukens, Inc. .................... 20,000 575,000
-------------
TOTAL BASIC MATERIALS (4.4%) .. 67,857,363
-------------
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (0.1%)
WMX Technologies, Inc. .......... 70,000 2,091,250
-------------
PRINTING, PUBLISHING &
BROADCASTING (3.0%)
Cablevision System Corp.
(Class A)* ..................... 152,500 8,273,125
Clear Channel Communications,
Inc.* .......................... 243,000 10,722,375
Comcast Corp. (Class A) SPL .... 355,000 6,456,563
Infinity Broadcasting Corp.
(Class A)* ..................... 140,500 5,233,625
Liberty Media Group (Class A)* . 381,000 10,239,375
Tele-Communications, Inc.
(Class A)* ..................... 255,000 5,068,125
Tele-Communications
International, Inc.* ........... 10,000 227,500
-------------
46,220,688
-------------
PROFESSIONAL SERVICES (0.2%)
Ideon Group, Inc. ............... 260,700 2,639,587
-------------
TRUCKING, SHIPPING (0.2%)
Sea Containers Ltd. ............. 98,800 1,716,650
-------------
TOTAL BUSINESS SERVICES (3.5%) 52,668,175
-------------
CAPITAL GOODS
AEROSPACE (0.3%)
Boeing Co. ...................... 40,000 3,135,000
Coltec Industries, Inc.* ........ 200,000 2,325,000
-------------
5,460,000
-------------
BUILDING & CONSTRUCTION (0.2%)
American Standard Companies,
Inc.* .......................... 100,000 2,800,000
-------------
BUILDING MATERIALS
& FOREST PRODUCTS (0.2%)
Martin Marietta Materials, Inc. 150,000 3,093,750
-------------
ELECTRICAL EQUIPMENT (0.2%)
General Electric Co. ............ 40,000 2,880,000
-------------
MACHINERY (0.4%)
Solectron Corp.* ................ 141,500 6,243,688
-------------
TOTAL CAPITAL GOODS (1.3%) .... 20,477,438
-------------
COMMON STOCKS (Continued):
CONSUMER CYCLICALS
AIRLINES (0.3%)
Northwest Airlines Corp.
(Class A)* ..................... 75,000 $ 3,825,000
-------------
AUTOS & TRUCKS (0.4%)
Autozone, Inc.* ................. 210,000 6,063,750
-------------
FOOD SERVICES, LODGING (0.9%)
John Q. Hammons Hotels, Inc.
(Class A)* ..................... 300,000 2,775,000
La Quinta Motor Inns, Inc. ..... 120,000 3,285,000
McDonald's Corp. ................ 160,000 7,220,000
-------------
13,280,000
-------------
HOUSEHOLD FURNITURE, APPLIANCES (0.1%)
First Brands Corporation ........ 38,600 1,838,325
-------------
LEISURE RELATED (2.3%)
Carnival Corp. .................. 310,000 7,556,250
Cyrk, Inc.* ..................... 212,800 2,074,800
Disney (Walt) Co. ............... 145,000 8,555,000
Gaylord Entertainment Co.
(Class A) ...................... 216,930 6,019,807
ITT Corp. ....................... 214,600 11,373,800
-------------
35,579,657
-------------
PHOTO & OPTICAL (0.3%)
Eastman Kodak Co. ............... 62,000 4,154,000
-------------
RETAIL--GENERAL (0.6%)
Fingerhut Companies, Inc. ...... 484,200 6,718,275
Payless Cashways, Inc.* ......... 435,000 1,848,750
Tandy Corp. ..................... 35,000 1,452,500
-------------
10,019,525
-------------
TOTAL CONSUMER CYCLICALS (4.9%) 74,760,257
-------------
CONSUMER NONCYCLICALS
BEVERAGES (1.5%)
Coca-Cola Co. ................... 80,000 5,940,000
Pepsico, Inc. ................... 315,000 17,600,625
-------------
23,540,625
-------------
DRUGS (4.1%)
Biogen, Inc.* ................... 40,000 2,460,000
Centocor, Inc.* ................. 136,500 4,214,437
Lilly (Eli) & Co. ............... 89,500 5,034,375
Merck & Co., Inc. ............... 215,000 14,136,250
Pharmacia & Upjohn, Inc. ........ 157,330 6,096,538
Pfizer, Inc. .................... 150,000 9,450,000
Schering Plough Corp. ........... 160,000 8,760,000
Warner-Lambert Co. .............. 124,100 12,053,213
-------------
62,204,813
-------------
HOSPITAL SUPPLIES & SERVICES (2.6%)
Amsco International, Inc.* ..... 189,700 2,821,787
Columbia/HCA Healthcare Corp. .. 260,000 13,195,000
Guidant Corp. ................... 60,000 2,535,000
Healthsource, Inc.* ............. 200,000 7,200,000
Summit Technology, Inc.* ........ 80,000 2,700,000
United Healthcare Corp. ......... 120,000 7,860,000
U.S. Healthcare, Inc. ........... 80,000 3,720,000
-------------
40,031,787
-------------
RETAIL--FOOD (0.1%)
Kroger Co.* ..................... 31,992 1,199,700
-------------
SOAPS & TOILETRIES (0.9%)
Gillette Corp. .................. 265,000 13,813,125
-------------
78
<PAGE>
THE HUDSON RIVER TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- -----------------------------------------------------------------
NUMBER OF VALUE (NOTE
SHARES 1)
- -------------------------------- ------------ -------------
COMMON STOCKS (Continued):
TOBACCO (3.2%)
Loews Corp. ..................... 130,000 $ 10,188,750
Philip Morris Cos., Inc. ........ 425,000 38,462,500
-------------
48,651,250
-------------
TOTAL CONSUMER NONCYCLICALS (12.4%) 189,441,300
-------------
CREDIT SENSITIVE
BANKS (0.6%)
NationsBank Corp. ............... 140,000 9,747,500
-------------
FINANCIAL SERVICES (1.2%)
Household International, Inc. .. 50,000 2,956,250
MBNA Corp. ...................... 185,000 6,821,875
Merrill Lynch & Co., Inc. ...... 165,000 8,415,000
-------------
18,193,125
-------------
INSURANCE (6.0%)
Aetna Life & Casualty Co. ...... 117,900 8,164,575
American International
Group, Inc. .................... 130,000 12,025,000
CNA Financial Corp.* ............ 15,400 1,747,900
General Re Corp. ................ 32,000 4,960,000
ITT Hartford Group, Inc. ........ 164,700 7,967,362
Life Re Corp. ................... 205,500 5,137,500
MGIC Investment Corp. ........... 80,000 4,340,000
NAC Re Corp. .................... 100,000 3,600,000
PMI Group, Inc. ................. 110,000 4,977,500
TIG Holdings, Inc. .............. 240,000 6,840,000
Transatlantic Holdings, Inc. ... 80,100 5,877,338
Travelers Group, Inc. ........... 422,000 26,533,250
-------------
92,170,425
-------------
UTILITY--GAS (0.7%)
ENRON Corp. ..................... 295,000 11,246,875
-------------
UTILITY--TELEPHONE (2.2%)
AT&T Corp. ...................... 250,000 16,187,500
Telefonos de Mexico, L .......... 150,000 4,781,250
Telephone & Data Systems, Inc. . 271,600 10,728,200
-------------
31,696,950
-------------
TOTAL CREDIT SENSITIVE (10.7%) 163,054,875
-------------
ENERGY
OIL--DOMESTIC (1.2%)
Atlantic Richfield Co. .......... 35,000 3,876,250
Tom Brown, Inc.* ................ 120,000 1,755,000
Louis Dreyfus Natural Gas Corp.* 245,400 3,711,675
Louisiana Land & Exploration
Corp. .......................... 94,200 4,038,825
Occidental Petroleum Corp. ..... 203,700 4,354,088
-------------
17,735,838
-------------
OIL--SUPPLIES & CONSTRUCTION (0.3%)
Smith International, Inc.* ..... 180,000 4,230,000
-------------
RAILROADS (0.3%)
Union Pacific Corp. ............. 73,000 4,818,000
-------------
TOTAL ENERGY (1.8%) ............ 26,783,838
-------------
TECHNOLOGY
ELECTRONICS (4.4%)
Altera Corp.* ................... 85,000 4,228,750
Applied Materials, Inc.* ........ 275,500 10,847,812
Bay Networks, Inc.* ............. 151,500 6,230,438
Cisco Systems, Inc.* ............ 120,000 8,955,000
General Instrument Corp.* ...... 221,300 5,172,888
Intel Corp. ..................... 215,000 12,201,250
ITT Industries, Inc. ............ 209,600 5,030,400
COMMON STOCKS (Continued):
Lam Research Corp.* ............. 55,000 $ 2,516,250
Motorola, Inc. .................. 40,000 2,280,000
National Semiconductor Corp.* .. 257,620 5,732,045
3Com Corp.* ..................... 70,000 3,263,750
-------------
66,458,583
-------------
OFFICE EQUIPMENT (1.9%)
Ceridian Corp.* ................. 342,800 14,140,500
Compaq Computer Corp.* .......... 235,000 11,280,000
Compuware Corp.* ................ 226,400 4,188,400
-------------
29,608,900
-------------
OFFICE EQUIPMENT SERVICES (1.8%)
First Data Corp. ................ 100,000 6,687,500
General Motors Corp. (Class E) . 130,000 6,760,000
Informix Corp.* ................. 40,000 1,200,000
Microsoft Corp.* ................ 45,000 3,948,750
Oracle Corp.* ................... 205,000 8,686,875
-------------
27,283,125
-------------
TELECOMMUNICATIONS (2.9%)
AirTouch Communications, Inc.* . 321,800 9,090,850
Commnet Cellular, Inc.* ......... 80,000 2,310,000
Cox Communications, Inc.
(Class A)* ..................... 410,000 7,995,000
Glenayre Technologies, Inc.* ... 45,000 2,801,250
MCI Communications Corp. ........ 477,500 12,474,687
Millicom International Cellular
S.A.* .......................... 14,800 451,400
Scientific Atlanta, Inc. ........ 339,800 5,097,000
Tellabs, Inc.* .................. 90,000 3,330,000
-------------
43,550,187
-------------
TOTAL TECHNOLOGY (11.0%) ...... 166,900,795
-------------
DIVERSIFIED
MISCELLANEOUS (1.1%)
Alco Standard Corp. ............. 160,000 7,300,000
Allied Signal, Inc. ............. 190,000 9,025,000
-------------
TOTAL DIVERSIFIED (1.1%) ...... 16,325,000
-------------
TOTAL COMMON STOCKS (51.1%)
(Cost $682,448,018) ............ 778,269,041
-------------
PREFERRED STOCKS:
BASIC MATERIALS
METALS & MINING (0.1%)
Reynolds Metals Co.
7.0% Conv., 12/31/97 ........... 20,700 1,047,937
-------------
PAPER (0.0%)
James River Corp.
9.0% Conv. ..................... 19,300 451,138
-------------
TOTAL BASIC MATERIALS (0.1%) .. 1,499,075
-------------
CAPITAL GOODS (0.1%)
ELECTRICAL EQUIPMENT
Westinghouse Electric Corp.
$1.3 Conv.+ .................... 123,100 1,954,212
-------------
CONSUMER CYCLICALS (0.1%)
AIRLINES
Continental Air Finance Trust
8.5% Conv.+ .................... 28,200 1,508,700
-------------
CONSUMER NONCYCLICALS (0.1%)
HOSPITAL SUPPLIES & SERVICES
FHP International Corp.
5.0% Conv. Series A ............ 46,700 1,243,388
-------------
79
<PAGE>
THE HUDSON RIVER TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
NUMBER OF VALUE (NOTE
SHARES 1)
- -------------------------------- ------------ -------------
PREFERRED STOCKS (Continued):
CREDIT SENSITIVE
BANKS (0.1%)
First Chicago NBD Corp.
5.75% Conv. Series B ........... 28,300 $ 1,896,100
-------------
FINANCIAL SERVICES (0.1%)
Allstate Corp.
$2.3 Conv. ..................... 22,000 902,000
First USA
$6.25% Conv. ................... 31,200 1,232,400
-------------
2,134,400
-------------
INSURANCE (0.1%)
Travelers Group, Inc.
5.5% Conv. Series B ............ 16,100 1,404,725
-------------
UTILITY--TELEPHONE (0.2%)
LCI International, Inc.
5.0% Conv. ..................... 55,000 2,942,500
-------------
TOTAL CREDIT SENSITIVE (0.5%) . 8,377,725
-------------
ENERGY (0.1%)
OIL--DOMESTIC
ENRON Corp.
6.25% Conv.* ................... 42,100 1,010,400
-------------
TOTAL PREFERRED STOCKS (1.0%)
(Cost $13,943,336) ............. 15,593,500
-------------
PRINCIPAL
AMOUNT
------------
LONG-TERM DEBT SECURITIES:
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (0.2%)
Thermo Electron Corp.
5.0% Euro Conv., 04/15/01 ..... $ 2,115,000 3,579,638
-------------
PRINTING, PUBLISHING &
BROADCASTING (2.6%)
Tele-Communications, Inc.
10.125%, 04/15/22 .............. 17,325,000 21,706,146
Time Warner Entertainment Co.
8.375%, 03/15/23 ............... 16,350,000 17,600,939
-------------
39,307,085
-------------
PROFESSIONAL SERVICES (0.4%)
Career Horizons, Inc.
7.0% Conv., 11/01/02+ .......... 805,000 915,688
Danka Business Systems PLC
6.75% Conv., 04/01/02 .......... 1,600,000 2,266,000
First Financial Management Corp.
5.0% Conv., 12/15/99 ........... 1,815,000 2,944,838
-------------
6,126,526
-------------
TOTAL BUSINESS SERVICES (3.2%) 49,013,249
-------------
CAPITAL GOODS
MACHINERY (0.4%)
Solectron Corp.
Zero Coupon Conv. Sub. Note,
05/05/12 ....................... 4,050,000 3,715,875
Titan Wheel International, Inc.
4.75% Conv., 12/01/00 .......... 1,425,000 1,882,781
-------------
TOTAL CAPITAL GOODS (0.4%) .... 5,598,656
-------------
LONG-TERM DEBT SECURITIES
(Continued):
CONSUMER CYCLICALS
FOOD SERVICES, LODGING (0.1%)
HFS, Inc.
4.5% Conv., 10/01/99 ............. $ 735,000 $1,697,850
--------------
RETAIL--GENERAL (0.2%)
Federated Department Stores, Inc.
5.0% Conv., 10/01/03 ............. 1,110,000 1,110,000
Lowes Cos., Inc.
3.0% Conv., 07/22/03 ............. 1,165,000 1,518,868
--------------
2,628,868
--------------
TOTAL CONSUMER CYCLICALS (0.3%) 4,326,718
--------------
CONSUMER NONCYCLICALS
DRUGS (0.1%)
Genzyme Corp.
6.75% Conv., 10/01/01 ............ 910,000 1,131,812
--------------
HOSPITAL SUPPLIES & SERVICES (0.3%)
Healthsouth Corp.
5.0% Conv., 04/01/01 ............. 1,150,000 1,857,250
Integrated Health Services
5.75% Conv., 01/01/01+ ........... 2,245,000 2,259,031
Omnicare, Inc.
5.75% Conv., 10/01/03 ............ 155,000 480,888
--------------
4,597,169
--------------
TOTAL CONSUMER NONCYCLICALS (0.4%) 5,728,981
--------------
CREDIT SENSITIVE
BANKS (0.6%)
Abbey National PLC
6.69%, 10/17/05 .................. 8,750,000 9,081,013
--------------
FINANCIAL SERVICES (4.6%)
Commercial Credit Co.
6.125%, 12/01/05 ................. 10,000,000 9,903,990
Farmers Insurance Exchange
8.5%, 08/01/04 ................... 19,750,000 20,758,633
Lehman Brothers Holdings, Inc.
8.5%, 05/01/07 ................... 19,000,000 21,320,280
Liberty Mutual Insurance Co.
8.5%, 05/15/25 ................... 14,375,000 15,998,800
Medaphis Corp.
6.5% Conv., 01/01/00+ ............ 840,000 2,233,350
--------------
70,215,053
--------------
FOREIGN GOVERNMENT (1.3%)
Italy Global Bond
6.875%, 09/27/23 ................. 20,000,000 19,531,000
--------------
MORTGAGE RELATED (2.9%)
Federal National Mortgage
Association
6.0%, 06/01/09 ................... 46,326,416 45,214,582
--------------
U.S. GOVERNMENT (24.7%)
U.S. Treasury
5.625% Note, 06/30/97 ............ 68,000,000 68,446,212
7.25% Note, 02/15/98 ............. 42,800,000 44,498,606
5.875% Note, 08/15/98 ............ 25,000,000 25,390,625
7.75% Note, 12/31/99 ............. 50,400,000 54,715,500
7.75% Note, 01/31/00 ............. 56,000,000 60,847,470
6.75% Note, 04/30/00 ............. 35,600,000 37,469,000
5.75% Note, 10/31/00 ............. 45,000,000 45,689,040
80
<PAGE>
THE HUDSON RIVER TRUST
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- ---------------------------------------------------------------------
PRINCIPAL
AMOUNT VALUE (NOTE 1)
- ---------------------------------- ------------- --------------
LONG-TERM DEBT SECURITIES
(Continued):
6.5% Note, 08/15/05 .............. $13,730,000 $ 14,626,734
7.625% Bond, 02/15/25 ............ 6,755,000 8,253,766
6.875% Bond, 08/15/25 ............ 14,000,000 15,793,750
--------------
375,730,703
--------------
UTILITY--ELECTRIC (1.1%)
GG1B Funding Corp.
7.43%, 01/15/11 .................. 17,612,675 17,641,560
--------------
UTILITY--TELEPHONE (0.2%)
Worldcom, Inc.
5.0% Conv., 08/15/03 ............. 2,345,000 2,485,700
--------------
TOTAL CREDIT SENSITIVE (35.4%) .. 539,899,611
--------------
TECHNOLOGY
ELECTRONICS (0.8%)
Altera Corp.
5.75% Conv. Sub. Note, 06/15/02+ 1,165,000 1,357,225
Cypress Semiconductor Corp.
3.15% Conv., 03/15/01+ ........... 855,000 869,963
Integrated Device Technology, Inc.
5.5% Conv., 06/01/02 ............. 1,630,000 1,332,525
LSI Logic Corp.
5.5% Conv., 03/15/01+ ............ 595,000 1,614,681
Lam Research Corp.
6.0% Conv. Sub. Deb., 05/01/03 .. 1,005,000 1,866,788
Motorola, Inc.
Zero Coupon Conv., 09/27/13 ..... 455,000 346,938
Sanmina Corporation
5.5% Conv., 08/15/02+ ............ 1,815,000 1,985,156
3Com Corp.
10.25% Conv., 11/01/01+ .......... 1,415,000 2,260,463
--------------
11,633,739
--------------
TELECOMMUNICATIONS (0.3%)
Bay Networks, Inc.
5.25% Conv., 05/15/03+ ........... 2,055,000 2,224,538
U.S. Cellular Corp.
Zero Coupon Conv. 06/15/15 ....... 7,120,000 2,509,800
--------------
4,734,338
--------------
TOTAL TECHNOLOGY (1.1%) .......... 16,368,077
--------------
TOTAL LONG-TERM DEBT SECURITIES (40.8%)
(Amortized Cost $597,595,463) ... 620,935,292
--------------
SHORT-TERM DEBT SECURITIES:
CERTIFICATES OF DEPOSIT
Mitsubishi Bank Ltd.--N.Y.
6.0%, due 02/29/96 ............... $15,000,000 $ 15,003,063
Norinchuckin Bank Ltd.
5.84%, due 03/11/96 .............. 15,000,000 15,011,969
National Westminster Bank--USA
5.81%, due 01/22/96 .............. 6,000,000 6,000,000
--------------
TOTAL CERTIFICATES OF DEPOSIT (2.4%) 36,015,032
--------------
COMMERCIAL PAPER
Alamo Funding
5.75%, due 02/02/96 .............. 5,000,000 4,972,847
ASI Funding Corp.:
5.715%, due 02/02/96 ............. 5,000,000 4,973,012
5.73%, due 02/02/96 .............. 2,500,000 2,486,471
Corporate Asset Funding Co., Inc.
5.9%, due 01/02/96 ............... 8,100,000 8,096,018
General Electric Capital Corp.
5.58%, due 03/08/96 .............. 5,000,000 4,948,729
Greenwich Funding
5.72%, due 02/09/96 .............. 14,400,000 14,306,192
Hanson PLC
5.7%, due 01/26/96 ............... 7,500,000 7,467,938
Province of British Columbia
5.61%, due 03/15/96 .............. 1,500,000 1,483,090
Riverwood Funding Corp.
5.7%, due 02/13/96 ............... 5,000,000 4,964,375
--------------
TOTAL COMMERCIAL PAPER (3.5%) 53,698,672
--------------
TOTAL SHORT-TERM DEBT SECURITIES (5.9%)
(Amortized Cost $89,695,232) .... 89,713,704
--------------
TOTAL INVESTMENTS (98.8%)
(Cost/Amortized Cost $1,383,682,049) 1,504,511,537
CASH AND RECEIVABLES
LESS LIABILITIES (1.2%) .......... 18,630,191
--------------
NET ASSETS (100.0%) ............... $1,523,141,728
==============
- ------------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
See Notes to Financial Statements.
81
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
- -----------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS:
BASIC MATERIALS
CHEMICALS (2.3%)
Air Products & Chemicals, Inc. . 60,000 $ 3,165,000
Bayer AG ........................ 500 132,762
Dainippon Ink & Chemical, Inc. . 20,000 93,172
Hercules, Inc. .................. 300,000 16,912,500
Indo Gulf Fertilisers (GDR) .... 50,000 65,000
Ishihara Sangyo Ltd.* ........... 88,000 285,521
Sanyo Chemicals ................. 4,000 38,005
Sekisui Chemical Co. Ltd. ...... 19,000 279,709
--------------------------
20,971,669
--------------------------
CHEMICALS--SPECIALTY (0.2%)
SGL Carbon AG*+ ................. 15,000 1,171,426
UCAR International, Inc.* ...... 8,000 270,000
--------------------------
1,441,426
--------------------------
METALS & MINING (1.0%)
Aluminum Co. of America ......... 160,000 8,460,000
Biron Corp.* .................... 80,000 26,757
Gwalia Consolidated ............. 95,800 163,768
--------------------------
8,650,525
--------------------------
PAPER (0.1%)
Asia Pacific Resources
International Holdings Ltd.
(Class A)* ..................... 5,000 23,750
Enso-Gutzeit, Series R .......... 30,000 200,010
Fletcher Forestry Shares ........ 4,256 6,066
Grupo Industrial Durango (ADR)* 12,000 79,500
Mayr-Melnhof Karten Aktien+ .... 1,500 75,070
Nippon Paper Industries ......... 26,000 180,552
Oji Paper ....................... 30,000 271,380
--------------------------
836,328
--------------------------
STEEL (0.1%)
Acerinox S.A. ................... 500 50,490
British Steel ................... 50,000 126,416
Hitachi Metals Ltd. ............. 15,000 187,409
SSAB Svenskt Stal (Class B) .... 20,000 201,738
Sumitomo Metal Industries* ..... 140,000 424,407
--------------------------
990,460
--------------------------
TOTAL BASIC MATERIALS (3.7%) .. 32,890,408
--------------------------
BUSINESS SERVICES
ENVIRONMENTAL CONTROL (0.2%)
Powerscreen International ...... 65,000 391,288
Tomra Systems ................... 120,000 947,924
--------------------------
1,339,212
--------------------------
PRINTING, PUBLISHING &
BROADCASTING (0.3%)
Carlton Communications PLC ..... 20,000 300,136
Elsevier ........................ 45,000 599,976
Mirror Group Newspapers PLC .... 40,000 109,366
Nippon Television Network ...... 1,880 502,547
Oriental Press Group ............ 200,000 60,782
Reed International .............. 10,000 152,554
Sunshine Broadcasting Network .. 27,000 34,115
Toppan Printing Co. ............. 35,000 461,017
COMMON STOCKS (Continued):
United Newspapers PLC ........... 10,000 $ 86,219
Ver Ned Uitgevers ............... 2,500 343,133
--------------------------
2,649,845
--------------------------
PROFESSIONAL SERVICES (1.2%)
Apcoa Parking AG* ............... 3,000 197,678
Asatsu, Inc. .................... 7,600 319,458
Automated Security Holdings* ... 51,041 21,409
Randstadt Holdings N.V. ......... 3,000 136,069
Reynolds & Reynolds Co. ......... 260,000 10,107,500
Secom Co. ....................... 1,000 69,540
WPP Group PLC ................... 50,000 127,387
--------------------------
10,979,041
--------------------------
TRUCKING, SHIPPING (0.1%)
Autostrade Conc E Costr-Priv ... 30,000 32,872
Brambles Industries Ltd. ........ 15,000 167,231
Irish Continental Group ......... 30,000 225,645
Kawasaki Kisen* ................. 85,000 270,024
Western Bulk Shipping+ .......... 31,500 144,321
Yamato Transport ................ 4,000 47,651
--------------------------
887,744
--------------------------
TOTAL BUSINESS SERVICES (1.8%) 15,855,842
--------------------------
CAPITAL GOODS
BUILDING & CONSTRUCTION (0.4%)
BBC Brown Boveri ................ 350 406,412
Bufete Industrial S.A. (ADS)* .. 2,700 40,500
Chloride Group .................. 230,000 83,073
Fomento de Construcciones Y
Contratas S.A. ................. 500 38,269
Fukuda Corp. .................... 12,000 108,668
Japan Industrial Land* .......... 6,000 230,702
Kanamoto--Rights* ............... 200 0
Kanamoto Co. Ltd. ............... 2,200 28,552
Kaneshita Construction .......... 18,000 242,324
Kvaerner AS (Series A)* ......... 500 19,748
Macmahon Holdings Ltd. .......... 700,000 343,382
Nanno Construction Co. Ltd.* ... 20,000 224,697
National House Industrial ...... 3,000 54,915
Oriental Construction Co. ...... 4,000 85,230
Paul Y.-ITC Construction ........ 400,000 77,077
Paul Y.-ITC Construction--
Warrants* ...................... 80,000 2,478
Penta Ocean Construction ........ 20,000 154,964
PS Corp. ........................ 14,000 254,915
Royal Plastics Group Ltd.*+ .... 10,000 144,630
Sho Bond Construction ........... 9,000 302,470
Toda Construction ............... 24,000 208,039
Wesco, Inc. ..................... 7,500 181,598
--------------------------
3,232,643
--------------------------
BUILDING MATERIALS
& FOREST PRODUCTS (0.1%)
Advan Co.* ...................... 7,000 183,051
C.I. Holdings BHD ............... 21,000 74,418
Lafarge Canada .................. 3,000 55,198
Lafarge Corp. ................... 3,300 212,871
Nichiha ......................... 11,000 249,298
--------------------------
774,836
--------------------------
82
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS
December 31, 1995
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
ELECTRICAL EQUIPMENT (1.7%)
General Electric Co. ............ 200,000 $14,400,000
Omron Corp. ..................... 15,000 345,763
Vae Eisenbahnsys ................ 1,633 137,559
--------------------------
14,883,322
--------------------------
MACHINERY (1.0%)
Asahi Diamond Industry Co. Ltd. 5,000 70,218
Construcciones Auxiliar Ferro .. 3,000 106,166
Deere & Co. ..................... 180,000 6,345,000
Fag Kugelfischer Georg Schaefer* 400 51,320
IHC Caland* ..................... 10,000 336,435
Kalmar Industries AB+ ........... 12,000 197,824
Keppel Corp. .................... 18,000 160,339
Keyence Corp. ................... 4,500 518,644
Kurita Water Industries ......... 3,000 79,903
Mitsubishi Heavy Industries Ltd. 60,000 478,257
Nippon Seiko K.K. ............... 31,000 225,182
SMC Corp. ....................... 6,000 434,092
Yaskawa Electric Corp.* ......... 55,000 259,419
--------------------------
9,262,799
--------------------------
TOTAL CAPITAL GOODS (3.2%) .... 28,153,600
--------------------------
CONSUMER CYCLICALS
AIRLINES (0.4%)
Air New Zealand Limted 'B'
Shares ......................... 50,000 169,975
British Airways ................. 40,000 289,572
Delta Air Lines, Inc. ........... 40,000 2,955,000
KLM ............................. 14,000 491,943
--------------------------
3,906,490
--------------------------
APPAREL, TEXTILE (0.1%)
Adidas AG*+ ..................... 12,400 652,791
Teijin Ltd. ..................... 9,000 46,024
--------------------------
698,815
--------------------------
AUTOS & TRUCKS (0.1%)
Honda Motor Corp. ............... 32,000 660,145
Toyota Motor Co. ................ 5,000 106,053
Volvo AB (Series B) ............. 5,000 102,375
--------------------------
868,573
--------------------------
AUTO RELATED (0.1%)
Autoliv AB ...................... 3,000 175,241
Autoliv AB (ADS)*+ .............. 3,000 174,375
Mabuchi Motor ................... 7,000 435,254
Minebea Co. ..................... 32,000 268,397
NGK Spark Plug Co. .............. 8,000 100,726
Pacific Dunlop .................. 10,000 23,412
--------------------------
1,177,405
--------------------------
FOOD SERVICES, LODGING (2.4%)
AAPC Limited .................... 400,000 217,029
Marriott International, Inc. ... 240,000 9,180,000
McDonald's Corp. ................ 260,000 11,732,500
QPQ Corporation* ................ 16,400 30,750
QPQ Corporation--Warrants* ..... 16,400 7,688
--------------------------
21,167,967
--------------------------
HOUSEHOLD FURNITURE, APPLIANCES (0.2%)
Alpine Electronics .............. 15,000 $ 252,785
Atag Holdings ................... 800 52,833
Industrie Natuzzi (ADR) ......... 8,000 363,000
Maax, Inc.* ..................... 22,000 161,107
Matsushita Electric Industries . 13,000 211,525
Nippon Electric Glass ........... 20,000 379,661
Noritz Co. ...................... 1,000 16,271
Philips Electronics ............. 3,500 126,475
Philips Electronics N.V. (ADR) . 3,000 107,625
--------------------------
1,671,282
--------------------------
LEISURE RELATED (1.0%)
Cinar Films, Inc. (Class B)* ... 25,000 378,125
CUC International, Inc.* ........ 240,000 8,190,000
Helicopter Line Ltd. ............ 70,000 151,016
Nelvana Limited*+ ............... 18,000 250,449
Rank Organisation PLC ........... 20,000 144,786
Skis Rossignol .................. 100 27,438
--------------------------
9,141,814
--------------------------
PHOTO & OPTICAL (1.0%)
Eastman Kodak Co. ............... 140,000 9,380,000
--------------------------
RETAIL--GENERAL (1.5%)
Centros Comerciales Pryca S.A. . 11,350 237,726
Chiyoda Co.* .................... 10,000 232,446
Consolidated Stores Corp.* ..... 40,000 870,000
Dollar General Corp. ............ 100,000 2,075,000
Doshisha Co.* ................... 14,000 497,627
Eidensha Co. Ltd. ............... 12,000 151,090
Eye Care Centers of
America--Warrants* ............. 500 5,000
Fu Hui Jewellery * .............. 382,000 14,821
Homac Corp. ..................... 1,100 19,496
Matsuyadenki Co. Industries .... 7,000 82,712
Morrison (Wm.) Supermarkets .... 10,000 22,060
Nissen Corp. Ltd. ............... 7,700 180,475
Office Depot, Inc.* ............. 120,000 2,370,000
Paris Miki, Inc.* ............... 10,700 384,475
Rinascente ...................... 13,000 78,673
Rite Aid Corp. .................. 160,000 5,480,000
Sato Corp. ...................... 7,000 183,729
Shimamura Co. Ltd. .............. 7,000 270,508
Swank International
Manufacturing .................. 400,000 46,039
Xebio Co. ....................... 6,000 212,107
--------------------------
13,413,984
--------------------------
TOTAL CONSUMER CYCLICALS (6.8%) 61,426,330
--------------------------
CONSUMER NONCYCLICALS
BEVERAGES (1.5%)
Coca-Cola Co. ................... 180,000 13,365,000
Grand Metropolitan .............. 42,000 302,746
Lion Nathan Ltd. ................ 80,000 190,895
Panamerican Beverages ........... 2,000 64,000
--------------------------
13,922,641
--------------------------
FOODS (1.0%)
Fyffes PLC* ..................... 100,000 172,835
IBP, Inc. ....................... 160,000 8,080,000
83
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- ---------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
NV (Verenigde Bed) Nutricia*+ .. 2,600 $ 210,259
Shriram Industrial Enterprises
Ltd. (GDR)+ .................... 24,000 78,000
Shriram Industrial
Enterprises Ltd.--Warrants* ... 8,000 80
Viscofan Envoltura .............. 9,000 106,659
--------------------------
8,647,833
--------------------------
CONTAINERS (0.3%)
Sealed Air Corp.* ............... 80,000 2,250,000
--------------------------
DRUGS (2.9%)
Astra AB (Series A) ............. 15,000 598,440
Cochlear Ltd.*+ ................. 162,100 349,394
Merck KGAA*+ .................... 6,000 245,999
Novo-Nordisk AS ................. 2,500 342,111
Pfizer, Inc. .................... 350,000 22,050,000
Roche Holdings AG Genusscheine . 80 632,582
Sankyo Co. ...................... 20,000 449,395
Sankyo Co.--Rights* ............. 3,300 0
Santen Pharmaceutical Co. ...... 20,000 453,269
Schwarz Pharma AG* .............. 2,000 98,734
Taisho Pharmaceutical ........... 16,000 316,126
Takeda Chemical Industries ..... 3,000 49,395
Yamanouchi Pharmaceutical ...... 14,000 301,017
Zeneca Group PLC ................ 30,000 580,698
--------------------------
26,467,160
--------------------------
HOSPITAL SUPPLIES & SERVICES (4.0%)
Cardinal Health, Inc. ........... 120,000 6,570,000
Healthcare Compare Corp.* ...... 160,000 6,960,000
Medtronic, Inc. ................. 380,000 21,232,500
Scandinavian Mobility
International*+ ................ 27,600 660,959
Tamro Group ..................... 20,000 87,821
Wright Medical Technology,
Inc.--Warrants* ................ 206 33,990
--------------------------
35,545,270
--------------------------
RETAIL--FOOD (0.1%)
Casino Guichard-Perrachon* ..... 4,002 116,272
Seven-Eleven Japan Ltd. ......... 5,000 352,542
York-Benimaru Co. ............... 1,000 38,257
--------------------------
507,071
--------------------------
SOAPS & TOILETRIES (2.3%)
Gillette Corp. .................. 400,000 20,850,000
McBride PLC*+ ................... 60,000 181,760
--------------------------
21,031,760
--------------------------
TOBACCO (2.8%)
Philip Morris Cos., Inc. ........ 260,000 23,530,000
UST, Inc. ....................... 60,000 2,002,500
--------------------------
25,532,500
--------------------------
TOTAL CONSUMER NONCYCLICALS (14.9%) 133,904,235
--------------------------
CREDIT SENSITIVE
BANKS (5.3%)
Advance Bank of Australia ...... 40,000 320,489
Akita Bank ...................... 10,000 78,547
Asahi Bank Ltd. ................. 6,000 75,545
Banco Latinoamericano de
Exportaciones, S.A. ............ 9,500 $ 441,750
Banco Osorno Y La Union (ADR) .. 16,000 222,000
Banco Popular ................... 1,200 220,923
Bancomer B Local* ............... 50,000 13,934
Bank of New York Co. ............ 480,000 23,400,000
Bankgesellschaft Berliner* ..... 300 76,561
Barclays Bank ................... 30,000 344,411
Citicorp. ....................... 200,000 13,450,000
First Bank Systems .............. 140,000 6,947,500
Fokus Bank* ..................... 8,000 43,289
Grupo Financiero Bancorte (Class
B)* ............................ 18,000 16,752
Hock Hua Bank ................... 30,000 85,049
HSBC Holding PLC ................ 20,000 302,619
International Bank of Asia ..... 270,000 128,322
Mitsubishi Bank ................. 11,000 258,886
Mitsubishi Trust & Banking ..... 22,000 366,489
Nordbanken AB*+ ................. 6,200 107,343
Overseas Chinese Bank ........... 5,000 62,566
Overseas Union Bank Ltd. ........ 22,000 151,644
Schweiz Bankverein .............. 270 110,199
Toho Bank ....................... 10,000 72,155
Yamanashi Chuo Bank ............. 8,000 79,806
--------------------------
47,376,779
--------------------------
FINANCIAL SERVICES (0.8%)
American Express Co. ............ 120,000 4,965,000
Credit Local de France .......... 3,500 280,515
Credit Saison Co. ............... 15,000 357,385
Hong Leong Finance .............. 50,000 142,100
Invesco ......................... 60,000 236,287
JCG Holdings .................... 60,000 43,841
Nichiei Co. Ltd. ................ 6,000 447,458
Promise Co. Ltd. ................ 6,000 288,814
Sanyo Shinpan Finance Co. Ltd. . 4,500 370,460
Yamaichi Securities ............. 50,000 388,862
--------------------------
7,520,722
--------------------------
INSURANCE (3.4%)
Aegon N.V. ...................... 15,000 663,525
AFLAC, Inc. ..................... 160,000 6,940,000
Corporacion Mapfre Cia Inter ... 7,100 396,755
Fortis Amev N.V. ................ 6,800 455,433
General Re Corp. ................ 140,000 21,700,000
Koa Fire & Marine ............... 30,000 183,632
--------------------------
30,339,345
--------------------------
REAL ESTATE (0.1%)
Cheung Kong Holdings ............ 30,000 182,735
Chubu Sekiwa Real Estate ........ 4,000 61,985
Daibiru Corp. ................... 7,000 79,322
Hong Kong Land Holding .......... 100,000 184,998
Mitsubishi Estate Co. ........... 11,000 137,433
--------------------------
646,473
--------------------------
UTILITY--ELECTRIC (0.1%)
Enersis S.A. (ADR) .............. 6,000 171,000
EVN ............................. 1,000 137,256
84
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- ---------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
Hidroelectrica del Cantabrico .. 2,000 $ 69,131
Powergen PLC (ADR) .............. 1,250 42,500
Veba AG ......................... 9,000 382,805
--------------------------
802,692
--------------------------
UTILITY--GAS (0.7%)
ENRON Corp. ..................... 160,000 6,100,000
--------------------------
UTILITY--TELEPHONE (2.1%)
Cincinnati Bell, Inc. ........... 70,000 2,432,500
Kon PTT Nederland+ .............. 7,000 254,258
Nippon Telegraph & Telephone
Corp. .......................... 33 266,877
NYNEX Corp. ..................... 280,100 15,125,400
PT Indonesian Satellite (ADR) .. 6,000 219,000
Stet-Societa Finanziaria
Telefonica (ADR) ............... 30,000 84,826
Tele Danmark AS, (B Shares) .... 8,000 436,462
Telefonica de Espana SA ......... 12,000 165,915
--------------------------
18,985,238
--------------------------
TOTAL CREDIT SENSITIVE (12.5%) 111,771,249
--------------------------
ENERGY
OIL--DOMESTIC (1.1%)
Amoco Corp. ..................... 140,000 10,062,500
XCL Corp. * ..................... 200,000 75,000
--------------------------
10,137,500
--------------------------
OIL--INTERNATIONAL (1.2%)
Ampolex Ltd.* ................... 15,000 32,777
Canadian Occidental ............. 3,000 98,250
ENI Spa* ........................ 91,000 318,049
Mobil Corp. ..................... 80,000 8,960,000
Omv AG .......................... 5,000 433,572
Repsol SA ....................... 10,000 327,138
Yukong Ltd. (GDS)* .............. 838 14,559
Yukong Ltd. (GDR)*+ ............. 7,000 63,000
--------------------------
10,247,345
--------------------------
OIL--SUPPLIES & CONSTRUCTION (0.0%)
Coflexip (ADR) .................. 11,000 207,628
--------------------------
RAILROADS (0.2%)
Hankyu Corp. .................... 24,000 131,332
Illinois Central Corp. .......... 40,000 1,535,000
--------------------------
1,666,332
--------------------------
TOTAL ENERGY (2.5%) ............ 22,258,805
--------------------------
TECHNOLOGY
ELECTRONICS (3.9%)
Applied Materials, Inc.* ........ 100,000 3,937,500
ASM Lithography Holding N.V.* .. 1,500 51,867
Austria Mikro Systeme
International+ ................. 1,660 268,973
Aval Data* ...................... 8,000 150,315
Futaba Corp. .................... 1,000 45,811
GP Batteries International ..... 143,000 344,630
GP Batteries
International--Rights* ......... 5,750 2,875
Hirose Electric Co. Ltd. ........ 4,000 230,121
Hoya Corp. ...................... 10,000 343,826
Kyocera Corp. ................... 4,000 297,143
Linear Technology Corp. ......... 160,000 $ 6,280,000
Molex, Inc. ..................... 180,000 5,715,000
NEC Corp. ....................... 40,000 488,136
Nikon Corp. ..................... 16,000 216,949
Rohm Co. Ltd. ................... 9,000 508,184
TDK Corp. ....................... 8,000 408,329
Tokyo Electron .................. 10,000 387,409
Tyco International, Ltd. ........ 240,000 8,550,000
3Com Corp.* ..................... 150,000 6,993,750
--------------------------
35,220,818
--------------------------
OFFICE EQUIPMENT (0.9%)
Canon, Inc. ..................... 30,000 543,341
Fujitsu Ltd. .................... 4,000 44,552
Ricoh Elemex Corp. .............. 5,000 72,155
Sun Microsystems, Inc.* ......... 160,000 7,300,000
--------------------------
7,960,048
--------------------------
OFFICE EQUIPMENT SERVICES (1.7%)
Accugraph Corp. (Class A)* ..... 30,000 80,187
Getronics N.V. .................. 3,000 140,181
Istar Internet, Inc.*+ .......... 38,000 358,281
Merkantildata A/S ............... 10,000 112,171
Misys PLC* ...................... 20,000 177,099
Oracle Corp.* ................... 140,000 5,932,500
Paychex, Inc. ................... 160,000 7,980,000
--------------------------
14,780,419
--------------------------
TELECOMMUNICATIONS (0.9%)
ADC Telecommunications, Inc.* .. 140,000 5,110,000
BCE Mobile Communications, Inc.* 4,000 135,111
Bell Cablemedia PLC (ADR)* ..... 7,000 112,000
Cellular Communications Puerto
Rico, Inc.* .................... 3,600 99,900
Filtronic Comtek PLC ............ 170,000 1,309,911
Hong Kong Telecommunications
Ltd. ........................... 80,000 142,774
Mannesmann AG ................... 1,000 318,307
Rogers Cantel Mobile
Communications, Inc.
(Class B)* ..................... 6,000 158,178
Tokyo Broadcasting System ...... 21,000 345,763
Total Access Communication*+ ... 96,000 624,000
--------------------------
8,355,944
--------------------------
TOTAL TECHNOLOGY (7.4%) ........ 66,317,229
--------------------------
DIVERSIFIED
MISCELLANEOUS (0.4%)
Alba ............................ 2,000 122,955
Allied Signal, Inc. ............. 60,000 2,850,000
Austral Enterprises BHD ......... 33,333 59,324
Austral Enterprises BHD--Rights* 6,666 0
Crean (James) PLC--Units ........ 40,000 124,825
Hanson PLC ...................... 60,000 179,429
Indonesia Fund, Inc.* ........... 4,000 40,500
International UNP Holdings* .... 143,000 48,171
International UNP
Holdings--Warrants* ............ 125,000 6,032
85
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- ---------------------------------------------------------------------------
NUMBER OF
SHARES VALUE (NOTE 1)
- -------------------------------- ----------- --------------------------
COMMON STOCKS (Continued):
Taiwan Fund ..................... 5,000 $ 102,500
Tomkins PLC ..................... 70,000 306,661
--------------------------
TOTAL DIVERSIFIED (0.4%) ...... 3,840,397
--------------------------
TOTAL COMMON STOCKS (53.2%)
(Cost $372,256,316) ............ 476,418,095
--------------------------
PREFERRED STOCKS:
CONSUMER CYCLICALS (0.0%)
RETAIL--GENERAL
Fielmann AG ..................... 4,200 217,300
--------------------------
TECHNOLOGY (0.1%)
TELECOMMUNICATIONS
Nokia Oy Cum .................... 12,000 471,748
--------------------------
TOTAL PREFERRED STOCKS (0.1%)
(Cost $298,990) ................ 689,048
--------------------------
PRINCIPAL
AMOUNT
-----------
LONG-TERM DEBT SECURITIES:
BASIC MATERIALS
CHEMICALS (0.4%)
Buckeye Cellulos Corp. 8.5%,
12/15/05 ....................... $ 500,000 516,250
G-I Holdings
Zero Coupon Sr. Disc. Note,
10/01/98 ....................... 1,000,000 775,000
Harris Chemical
10.75%, 10/15/03 ............... 500,000 457,500
Pioneer Americas Corp.
13.375%, 04/01/05 .............. 500,000 522,500
Sherritt Gordon
9.75%, 04/01/03 ................ 1,000,000 1,065,000
--------------------------
3,336,250
--------------------------
METALS & MINING (0.1%)
Great Lakes Carbon Corp.
10.0%, 01/01/06 ................ 500,000 512,500
International Wire Group
11.75%, 06/01/05 ............... 500,000 480,000
--------------------------
992,500
--------------------------
PAPER (0.4%)
Crown Paper Co.
11.0%, 09/01/05 ................ 500,000 437,500
Rapp International Finance
11.5%, 12/15/00 ................ 500,000 497,500
Repap New Brunswick
9.875%, 07/15/00 ............... 500,000 501,250
Repap Wisconsin
9.25%, 02/01/02 ................ 1,000,000 950,000
Williamhouse--Regency of
Delaware, Inc.
12.0%, 11/15/05+ ............... 1,000,000 1,037,500
--------------------------
3,423,750
--------------------------
STEEL (0.0%)
Algoma Steel
12.375%, 07/15/05 .............. 500,000 450,000
--------------------------
TOTAL BASIC MATERIALS (0.9%) .. 8,202,500
--------------------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------------------------- ------------ -------------
LONG-TERM DEBT SECURITIES
(Continued):
BUSINESS SERVICES
PRINTING, PUBLISHING & BROADCASTING (0.4%)
Act III Broadcasting, Inc.
10.25%, 12/15/05 .............. $ 500,000 $ 508,750
Continental Cablevision
8.3%, 05/15/06+ ............... 1,500,000 1,505,625
Fundy Cable Ltd.
11.0%, 11/15/05 ............... 500,000 520,000
Pegasus Media & Communications
12.5%, 07/01/05 ............... 500,000 495,000
-------------
3,029,375
-------------
TRUCKING, SHIPPING (0.2%)
Penn Traffic Co.
8.625%, 12/15/03 .............. 1,000,000 890,000
Stena AB
10.5%, 12/15/05 ............... 1,000,000 1,020,000
-------------
1,910,000
-------------
TOTAL BUSINESS SERVICES (0.6%) 4,939,375
-------------
CAPITAL GOODS
AEROSPACE (0.1%)
Howmet Corp.
10.0%, 12/01/03+ .............. 500,000 520,000
-------------
BUILDING & CONSTRUCTION (0.1%)
Boskalis Westminster
5.25% Conv., 06/01/00 ......... 900,000 546,707
-------------
MACHINERY (0.1%)
Specialty Equipment Cos., Inc.
11.375%, 12/01/03 ............. 1,000,000 1,015,000
-------------
TOTAL CAPITAL GOODS (0.3%) ... 2,081,707
-------------
CONSUMER CYCLICALS
APPAREL, TEXTILE (0.2%)
CMI Industries
9.5%, 10/01/03 ................ 1,000,000 810,000
Ithaca Industries
11.125%, 12/15/02 ............. 500,000 200,000
Tultex Corp.
10.625%, 03/15/05 ............. 500,000 512,500
-------------
1,522,500
-------------
HOUSEHOLD FURNITURE, APPLIANCES (0.0%)
Crain Industries 13.5%,
08/15/05+ ..................... 500,000 505,000
-------------
RETAIL--GENERAL (0.1%)
Eye Care Centers of America
12.0%, 10/01/03 ............... 500,000 465,000
Tag-Heuer International SA
12.0%, 12/15/05+ .............. 500,000 500,000
-------------
965,000
-------------
TOTAL CONSUMER CYCLICALS (0.3%) 2,992,500
-------------
CONSUMER NONCYCLICALS
FOODS (0.1%)
Carr-Gottstein Foods Co.
12.0%, 11/15/05+ .............. 500,000 505,000
Specialty Foods Corp.
11.125%, 10/01/02 ............. 500,000 485,000
-------------
990,000
-------------
86
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Continued)
December 31, 1995
- ------------------------------------------------------------------------
PRINCIPAL VALUE (NOTE
AMOUNT 1)
- ------------------------------- ------------ -------------
LONG-TERM DEBT SECURITIES
(Continued):
CONTAINERS (0.0%)
MVE, Inc.
12.5%, 02/15/02 ............... $ 500,000 $ 500,000
-------------
SOAPS & TOILETRIES (0.1%)
Revlon Worldwide
Zero Coupon, 03/15/98 ......... 1,000,000 742,500
-------------
TOTAL CONSUMER NONCYCLICALS (0.2%) 2,232,500
-------------
CREDIT SENSITIVE
BANKS (0.1%)
Firstbank Puerto Rico
7.625%, 12/15/05 .............. 500,000 494,375
-------------
FINANCIAL SERVICES (0.2%)
Tembec Finance Corp.
9.875%, 09/30/05 .............. 1,000,000 992,500
Trizec Finance Ltd.
10.875%, 10/15/05 ............. 1,000,000 1,025,000
-------------
2,017,500
-------------
GENERAL OBLIGATIONS (0.1%)
Paxson Communications Corp.
11.625%, 10/01/02+ ............ 1,000,000 1,015,000
-------------
REAL ESTATE (0.1%)
Scotsman Group
9.5%, 12/15/00 ................ 1,000,000 1,010,000
-------------
U.S. GOVERNMENT (33.1%)
U.S. Treasury:
5.625% Note, 06/30/97 ......... 27,200,000 27,378,486
7.25% Note, 02/15/98 .......... 30,200,000 31,398,547
7.75% Note, 12/31/99 .......... 16,780,000 18,216,788
6.75% Note, 04/30/00 .......... 31,250,000 32,890,625
6.125% Note, 09/30/00 ......... 25,000,000 25,781,250
6.5% Note, 08/15/05 ........... 46,190,000 49,206,761
6.875% Bond, 08/15/25 ......... 98,440,000 111,052,625
-------------
295,925,082
-------------
UTILITY--ELECTRIC (0.1%)
California Energy
9.875%, 06/30/03 .............. 1,000,000 1,050,000
-------------
UTILITY--TELEPHONE (0.1%)
Telewest Communications PLC
9.625%, 10/01/06 .............. 1,000,000 1,010,000
-------------
TOTAL CREDIT SENSITIVE (33.8%) 302,521,957
-------------
ENERGY
OIL--DOMESTIC (0.1%)
Clark USA, Inc.
10.875%, 12/01/05+ ............ 500,000 525,000
Gulf Canada Resources Ltd.
9.625%, 07/01/05 .............. 500,000 527,500
-------------
TOTAL ENERGY (0.1%) ........... 1,052,500
-------------
TECHNOLOGY
TELECOMMUNICATIONS (0.7%)
Cai Wireless Systems, Inc.
12.25%, 09/15/02 .............. 500,000 533,750
LONG-TERM DEBT SECURITIES
(Continued):
Century Communications
9.5% Sr. Note, 03/01/05 ....... $ 500,000 $ 516,250
Clearnet Communications
14.75%, 12/15/05 (a)(b) ....... 1,000,000 520,000
Communication & Power Corp.
12.0%, 08/01/05+ .............. 500,000 513,750
EZ Communications, Inc.
9.75%, 12/01/05 ............... 1,000,000 1,005,000
Fonorola, Inc.
12.5%, 08/15/02 ............... 500,000 525,000
Lenfest Communications
8.375%, 11/01/05 .............. 1,000,000 1,003,750
Nextel Communications
9.75%, 08/15/04 (b) ........... 1,500,000 813,750
Rogers Cablesystems Ltd.
10.0%, 12/01/07 ............... 500,000 538,750
-------------
TOTAL TECHNOLOGY (0.7%) ...... 5,970,000
-------------
DIVERSIFIED
MISCELLANEOUS (0.0%)
Brierley Investment Ltd.
9.0% Sub. Conv. Note, 06/30/98 14,000 10,434
Jordan Industries
10.375%, 08/01/03 ............. 500,000 445,000
-------------
TOTAL DIVERSIFIED (0.0%) ..... 455,434
-------------
TOTAL LONG-TERM DEBT SECURITIES (36.9%)
(Amortized Cost $316,597,087) 330,448,473
-------------
SHORT-TERM DEBT SECURITIES:
BANK NOTES (0.8%)
NationsBank Corp. 7.03%, due
02/09/96 ...................... 7,500,000 7,508,514
-------------
CERTIFICATES OF DEPOSIT (1.1%)
Mitsubishi Bank Ltd.-N.Y.
6.0%, due 02/29/96 ............ 10,000,000 10,002,042
-------------
COMMERCIAL PAPER (5.4%)
Alamo Funding
5.74%, due 02/08/96 ........... 5,000,000 4,968,111
Allianz of America Financial
5.66%, due 02/09/96 ........... 3,300,000 3,278,728
Beta Finance, Inc.
5.68%, due 02/02/96 ........... 5,300,000 5,271,568
Ciesco LP
5.8%, due 01/04/96 ............ 9,500,000 9,492,347
Dynamic Funding Corp.
6.08%, due 01/02/96 ........... 5,300,000 5,297,315
Hanson PLC
5.7%, due 01/26/96 ............ 6,600,000 6,571,785
Premium Funding
5.75%, due 02/09/96 ........... 10,000,000 9,934,514
5.67%, due 03/08/96 ........... 3,370,000 3,335,314
-------------
TOTAL COMMERCIAL PAPER (5.4%) 48,149,682
-------------
87
<PAGE>
THE HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
PORTFOLIO OF INVESTMENTS (Concluded)
December 31, 1995
- ----------------------------------------------------------------------------
PRINCIPAL VALUE
AMOUNT (NOTE 1)
- ------------------------------ ------------ -------------
SHORT-TERM DEBT SECURITIES
(Continued):
TIME DEPOSITS (0.2%)
Harris Trust & Savings
5.875%, due 01/02/96 ......... $1,800,000 $ 1,800,000
-------------
U.S. GOVERNMENT (0.4%)
Federal Home Loan Mortgage
Corp.
5.75%, due 01/02/96 .......... 3,850,000 3,848,155
-------------
TOTAL SHORT-TERM DEBT SECURITIES (7.9%)
(Amortized Cost $71,304,413) 71,308,393
-------------
TOTAL INVESTMENTS (98.1%)
(Cost/Amortized Cost $760,456,806) 878,864,009
CASH AND RECEIVABLES
LESS LIABILITIES (1.9%) ..... 17,269,851
-------------
NET ASSETS (100.0%) ........... $896,133,860
=============
- -----------------
* Non-income producing.
+ Security exempt from registration under Rule 144A of the Securities Act
of 1933. These securities may only be resold to qualified institutional
buyers.
(a) Consists of more than one class of securities traded together as a
unit; generally bonds with attached stocks or warrants.
(b) Debt security initially issued in zero coupon form which converts to
coupon form at a specific rate and date.
See Notes to Financial Statements.
88
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS
December 31, 1995
1. Organization and Significant Accounting Policies
The Hudson River Trust (Trust) (successor to The Hudson River Fund, Inc.,
a Maryland corporation organized in 1984) was formed as a Massachusetts
business trust on July 10, 1987 and is registered under the Investment
Company Act of 1940, as amended, as an open-end management investment
company. The Trust has thirteen Portfolios (Portfolios) currently in
operation: Money Market, Intermediate Government Securities, Quality Bond,
High Yield, Growth and Income, Equity Index, Common Stock, Global,
International, Aggressive Stock, Conservative Investors, Balanced and Growth
Investors. The investment objectives of each Portfolio are as follows:
Money Market Portfolio -- High level of current income, preserve its
assets and maintain liquidity. The Portfolio pursues this objective by
investing in primarily high quality U.S. dollar denominated money market
instruments.
Intermediate Government Securities Portfolio -- High current income
consistent with relative stability of principal through investment primarily
in debt securities issued or guaranteed as to principal and interest by the
U.S. Government or any of its agencies or instrumentalities.
Quality Bond Porfolio -- High current income consistent with preservation
of capital by investing primarily in investment grade fixed income
securities. The Portfolio reserves the right to invest in convertible debt
securities, preferred stocks and dividend-paying common stocks.
High Yield Portfolio -- High return by maximizing current income and, to
the extent consistent with that objective, capital appreciation. The
Portfolio pursues this objective by investing primarily in a diversified mix
of high yield, fixed income securities involving greater volatility of price
and risk of principal and income than high quality fixed income securities.
The medium and lower quality debt securities in which the Portfolio may
invest are known as "junk bonds."
Growth and Income Portfolio -- High total return through a combination of
current income and capital appreciation by investing primarily
income-producing common stocks and securities convertible into common stocks.
Equity Index Portfolio -- Total return before expenses that approximates
the total return performance of the Standard & Poor's Corporation 500 Index,
including reinvestment of dividends, at a risk level consistent with that of
the Index.
Common Stock Portfolio -- Long-term growth of its capital and increase
income. The Portfolio pursues this objective by investing primarily in common
stock and other equity-type instruments.
Global Portfolio -- Long-term growth of capital. The Portfolio pursues
this objective by investing primarily in equity securities of non-United
States companies as well as United States issuers.
International Portfolio -- Long-term growth of capital by investing
primarily in a diversified portfolio of equity securities selected
principally to permit participation in non-United States companies with
prospects for growth.
Aggressive Stock Portfolio -- Long-term growth of capital. The Portfolio
pursues this objective by investing primarily in common stocks and other
equity-type securities issued by quality small and intermediate sized
companies with strong growth prospects.
Conservative Investors Portfolio -- High total return without, in the
investment adviser's opinion, undue risk to principal. The Portfolio pursues
this objective by investing in a diversified mix of publicly traded equity
and debt securities.
Balanced Portfolio -- High return through both appreciation of capital and
current income. The Portfolio pursues this objective by investing in a
diversified portfolio of publicly traded equity and debt securities and
short-term money market instruments.
89
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
Growth Investors Portfolio -- Highest total return consistent with the
investment adviser's determination of reasonable risk. The Portfolio pursues
this objective by investing in a diversified mix of publicly traded equity
and fixed income securities, including at times common stocks issued by
intermediate and small-sized companies and at times fixed income securities
that are medium and lower equity debt securities known as "junk bonds."
Shares of the Trust are offered to separate accounts of The Equitable Life
Assurance Society of the United States (Equitable), a wholly-owned subsidiary
of The Equitable Companies Incorporated, Equitable Variable Life Insurance
Company (Equitable Variable), a wholly-owned subsidiary of the Equitable, and
to separate accounts of other insurance companies unaffiliated with Equitable
and Equitable Variable. Effective December 10, 1993 and December 14, 1994,
the Board of Trustees approved the establishment of the Equity Index and
International Portfolios, respectively. The Equity Index and International
Portfolios commenced operations on March 1, 1994 and April 3, 1995,
respectively, at an initial share value of $10.
On September 15, 1993, the Trustees approved an application for an order
of approval and exemption under the Investment Company Act of 1940 for filing
with the Securities and Exchange Commission (SEC) for the substitution of
shares of the Intermediate Government Securities Portfolio for shares of the
Short-Term World Income Portfolio (STWIP) (Substitution). On February 22,
1994, 289,703 shares of STWIP with a value of $2,582,814 (including no
unrealized appreciation or depreciation) were substituted for 254,893 shares
of Intermediate Government Securities Portfolio with a net asset value at the
date of substitution of $10.13 per share.
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. Actual results
could differ from those estimates.
The following is a summary of the significant accounting policies of the
Trust:
Stocks listed on national securities exchanges and certain
over-the-counter issues traded on the NASDAQ national market system are
valued at the last sale price, or, if there is no sale, at the latest
available bid price. Other unlisted stocks are valued at their last sale
price or, if no reported sale during the day, at a bid price estimated by a
broker.
Convertible preferred stocks listed on national securities exchanges are
valued as of their last sale price or, if there is no sale, at the latest
available bid price.
Convertible bonds and unlisted convertible preferred stocks are valued at
bid prices obtained from one or more of the major dealers in such securities.
Where there is a discrepancy between dealers, values may be adjusted based on
recent premium spreads to the underlying common stocks.
Mortgage backed and asset backed securities are valued at prices obtained
from a bond pricing service where available, or at a bid price obtained from
one or more of the major dealers in such securities. If a quoted price is
unavailable, an equivalent yield or yield spread quotes will be obtained from
a broker and converted to a price.
Purchased options, including options on futures, are valued at their last
bid price. Written options are valued at their last asked price.
Long-term corporate bonds are valued at prices obtained from a bond
pricing service of a major dealer in bonds when such prices are available;
however, when such prices are not available, such bonds are valued at a bid
price estimated by a broker.
U.S. Treasury securities and other obligations issued or guaranteed by the
U.S. Government, its agencies or instrumentalities are valued at
representative quoted prices.
90
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
Foreign securities not traded directly, or in American Depository Receipt
(ADR) or similar form in the United States, are valued at representative
quoted prices in the currency of the country of origin.
Except for the Money Market Portfolio, short-term debt securities which
mature in 60 days or less are valued at amortized cost, which approximates
market value. Short-term debt securities which mature in more than 60 days
are valued at representative quoted prices. Short-term debt securities held
in the Money Market Portfolio are valued at representative quoted prices
regardless of the length of maturity.
Futures and forward contracts are valued at their last sale price or, if
there is no sale, at the latest available bid price.
Other securities, including restricted securities, and assets for which
market quotations are not readily available or for which valuation cannot be
provided, are valued at "fair value" as determined in good faith by the
Valuation Committee of the Board of Trustees.
Securities transactions are recorded on the trade date net of brokerage
fees, commissions, and transfer fees.
Interest income (including amortization of premium and discount on
securities using the effective yield method) is accrued daily. Dividend
income is recorded on the ex-dividend date.
Realized gains and losses on the sale of investments are computed on the
basis of the identified cost of the related investments sold.
The Board of Trustees has approved the lending of Portfolio securities,
through it's custodian bank Chase Manhattan Bank, N.A. (Chase) acting as
lending agent, to certain broker-dealers in exchange for negotiated lenders'
fees. Any such loan of portfolio securities will be continuously secured by
collateral at least equal to the value of the security loaned. All loans will
be collateralized in the form of cash or U.S. Government securities. Chase
will indemnify the Portfolios from any loss resulting from a borrower's
failure to return a loaned security when due. At December 31, 1995, the value
of securities loaned and cash collateral received were as follows:
</TABLE>
<TABLE>
<CAPTION>
VALUE OF CASH
SECURITIES COLLATERAL
PORTFOLIO LOANED RECEIVED
- -------------------------------- ------------- -------------
<S> <C> <C>
Intermediate Government
Securities ..................... $ 6,492,875 $ 6,643,688
Quality Bond .................... 19,809,132 20,985,500
High Yield ...................... 17,898,413 18,254,850
Growth and Income ............... 1,179,525 1,066,750
Equity Index .................... 462,625 476,000
Common Stock .................... 18,258,363 18,344,700
Global .......................... 32,200,575 34,167,000
International ................... 355,466 375,100
Aggressive Stock ................ 65,958,738 65,963,300
Conservative Investors .......... 90,882,271 93,741,041
Balanced ........................ 155,564,647 160,627,359
Growth Investors ................ 175,250,230 181,639,018
</TABLE>
At December 31, 1995, the Growth and Income Portfolio had on loan a
security having a value of $843,150 and collateralized at $726,350.
Subsequent to year end, the Portfolio was furnished with additional
collateral to meet the minimum requirement until the security was returned.
Chase invests the cash collateral and retains a portion of the interest
earned. During the year ended December 31, 1995, the Intermediate Government
Securities, Quality Bond, High Yield, Growth and Income,
91
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
Equity Index, Common Stock, Global, International, Aggressive Stock,
Conservative Investors, Balanced and Growth Investors Portfolios received
$11,432, $8,015, $5,001, $459, $244, $8,519, $20,716, $189, $22,717, $72,882,
$117,251 and $120,212, respectively, of security loan fees, net of rebates
paid. Such net fees are included in interest income in the accompanying
Statements of Operations.
The books and records of the Trust are kept in U.S. dollars. Foreign
currency amounts are translated into U.S. dollars at the bid price last
quoted by a composite list of major U.S. banks at the following dates:
(i) market value of investment securities, other assets and
liabilities--at the valuation date.
(ii) purchase and sales of investment securities, income and expenses--at
the date 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
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from investments.
Net currency gains or losses realized and unrealized as a result of
differences between interest or dividends and withholding taxes recorded on
the Portfolio's books and the U.S. dollar equivalent amount actually received
or paid are presented under foreign currency transactions in the realized and
unrealized gains and losses section of the Statements of Operations.
The Trust intends to comply with the requirements of the Internal Revenue
Code applicable to regulated investment companies and to distribute
substantially all of its net investment income and net realized capital gains
to shareholders of each Portfolio. Therefore, no Federal income tax provision
is required. Dividends from net investment income are declared and
distributed quarterly; dividends from net realized short-term and long-term
capital gains are declared and distributed annually to the shareholders of
the Portfolios to which such gains are attributable. All dividends are
reinvested in additional full and fractional Shares of the related
Portfolios. All dividends are distributed on a tax basis and as such, the
amounts may differ from financial statement investment income and realized
capital gains.
Options Written:
All Portfolios (except for the Money Market and Equity Index Portfolios)
may write (sell) covered options as a hedge to provide protection against
adverse movements in the price of securities in the portfolio or to enhance
investment performance. When a Portfolio writes an option, an amount equal to
the premium received by the Portfolio is recorded as a liability and is
subsequently adjusted on a daily basis to the current market price of the
option written. Premiums received from writing options which expire
unexercised are recognized as gains on the expiration date. In writing
options, a Portfolio must assume that the option may be exercised at any time
prior to the expiration of its obligation as a writer, and that in such
circumstances the net proceeds of the sale or cost of purchase of the
underlying securities pursuant to the call or put option may be substantially
below or above the prevailing market price. A Portfolio also has the
additional risk of not being able to enter into a closing purchase
transaction if a liquid secondary market does not exist and bears the risk of
unfavorable changes in the price of the financial instruments underlying the
options.
Futures and Forward Contracts:
Futures and forward contracts are agreements to buy or sell a security for
a set price in the future. A Portfolio may buy or sell futures and forward
contracts for the purpose of protecting its portfolio securities against
future changes in interest rates which might adversely affect the value of
the Portfolio's securities or the price of securities that it intends to
purchase at a later date. Initial margin deposits are made upon entering into
futures contracts and can be either in cash or treasury securities. During
the period the futures and forward contracts are open, changes in the market
price of the contract are recognized as unrealized gains or losses by
"marking-to-market" at the end of each trading day. Variation margin payments
on futures contracts are received or made, depending upon whether unrealized
gains or losses are incurred. When the contract is closed, the Portfolio
records a realized gain or loss equal to the difference between the proceeds
from (or cost of) the
92
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
closing transactions and the Portfolio's basis in the contract. Should
interest rates move unexpectedly, the Portfolio may not achieve the
anticipated benefits of the futures and forward contracts and may incur a
loss. The use of futures and forward contracts transactions involves the risk
of imperfect correlation in movements in the price of futures and forward
contracts, interest rates and the underlying hedged assets.
Limitations on Market and Credit Risk:
Written options, futures and forward contracts involve elements of both
market and credit risk in excess of the amounts reflected in the Statements
of Assets and Liabilities. The contract amounts of these written options,
futures and forward contracts reflect the extent of the Portfolio's exposure
to off-balance sheet risk. The Portfolio bears the market risk which arises
from any changes in security values. The credit risk for futures contracts is
limited to failure of the exchange or board of trade which acts as the
counterparty to the Portfolio's futures transactions. Forward contracts are
done directly with the counterparty and not through an exchange and can be
terminated only by agreement of both parties to the contract. There is no
daily margin settlement and the Portfolio is exposed to the risk of default
by the counterparty.
Statement of Position 93-2:
For the year ended December 31, 1995, in conformity with Statement of
Position 93-2 Determination, Disclosure and Financial Statement Presentation
of Income, Capital Gain, and Return of Capital Distributions by Investment
Companies, the reclassification arising from current book/tax differences
resulted in increases (decreases) to the components of net assets as follows:
<TABLE>
<CAPTION>
EQUITY
QUALITY BOND HIGH YIELD INDEX COMMON STOCK GLOBAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTOFLIO PORTFOLIO
------------ ----------- -------------- ------------
<S> <C> <C> <C> <C> <C>
Paid-in capital ..................... $(198,410) $ (10,868) $ (123) $ (1,132,224) $(546,316)
Undistributed (overdistributed) net
investment income .................. (737,714) 414,377 (7,126) 11,261,237 483,506
Accumulated net realized gain (loss) 936,124 (403,509) 7,249 (10,129,013) 62,810
</TABLE>
<TABLE>
<CAPTION>
AGGRESSIVE CONSERVATIVE GROWTH
INTERNATIONAL STOCK INVESTORS BALANCED INVESTORS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
--------------- ------------ -------------- ------------ -----------
<S> <C> <C> <C> <C> <C>
Paid-in capital ............... $ -- $(790,113) $(875) $(172,395) $ (2,453)
Undistributed
(overdistributed)
net investment income ........ 246,525 26,778 -- (91,058) 388,829
Accumulated net realized gain
(loss) ....................... (246,525) 763,335 875 263,453 (386,376)
</TABLE>
93
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
2. Management of the Trust
Alliance Capital Management L.P. (Alliance), a publicly traded limited
partnership, indirectly majority- owned by Equitable, is the investment
adviser. The investment advisory fees are as follows:
<TABLE>
<CAPTION>
DAILY AVERAGE NET ASSETS
----------------------------------------------------
FIRST $350 NEXT $400 OVER $750
MILLION MILLION MILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Common Stock, Money Market and Balanced Portfolios ....... .40% .375% .35%
Aggressive Stock and Intermediate Government Securities ..
Portfolios ............................................... .50% .475% .45%
High Yield, Global, Conservative Investors and Growth
Investors Portfolios ..................................... .55% .525% .50%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$500 MILLION $500 MILLION $1 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Quality Bond and Growth and Income Portfolios ............. .55% .525% .50%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$750 MILLION $750 MILLION $1.5 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
Equity Index Portfolio .................................... .35% .30% .25%
</TABLE>
<TABLE>
<CAPTION>
FIRST NEXT OVER
$500 MILLION $1 BILLION $1.5 BILLION
---------------- ---------------- ----------------
<S> <C> <C> <C>
International Portfolio ................................... .90% .85% .80%
</TABLE>
3. Investment Transactions
Investment security transactions, excluding short-term debt securities,
for the Intermediate Government Securities, Quality Bond, High Yield, Growth
and Income, Equity Index, Common Stock, Global, Aggressive Stock,
Conservative Investors, Balanced and Growth Investors Portfolios for the year
ended December 31, 1995 and for the International Portfolio for the period
from April 3, 1995 (commencement of operations) through December 31, 1995,
were as follows:
<TABLE>
<CAPTION>
INTER-
MEDIATE
GOVERNMENT GROWTH AND
SECURITIES QUALITY BOND HIGH YIELD INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
COST OF PURCHASES:
Stocks and long-term corporate debt
securities ........................... $ -- $145,468,402 $349,218,590 $74,232,273
U.S. Government securities ............ 154,192,900 418,925,017 -- --
NET PROCEEDS OF SALES AND REDEMPTIONS:
Stocks and long-term corporate debt
securities ........................... -- 112,473,992 314,920,743 30,977,163
U.S. Government securities ............ 122,356,378 398,895,012 -- --
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX COMMON STOCK GLOBAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C>
COST OF PURCHASES:
Stocks and long-term corporate debt
securities ........................... $106,032,562 $2,806,308,707 $471,497,571 $21,099,670
U.S. Government securities ............ -- -- -- --
NET PROCEEDS OF SALES AND REDEMPTIONS:
Stocks and long-term corporate debt
securities ........................... 7,753,855 2,516,145,081 308,510,791 4,258,544
U.S. Government securities ............ -- -- -- --
</TABLE>
94
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
<TABLE>
<CAPTION>
AGGRESSIVE CONSERVATIVE GROWTH
STOCK INVESTORS BALANCED INVESTORS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
COST OF PURCHASES:
Stocks and long-term corporate debt
securities ........................... $2,872,849,009 $148,743,299 $1,434,884,249 $437,048,382
U.S. Government securities ............ -- 461,237,646 1,084,635,596 520,328,525
NET PROCEEDS OF SALES AND REDEMPTIONS:
Stocks and long-term corporate debt
securities ........................... 2,669,746,113 122,077,033 1,357,040,743 318,090,192
U.S. Government securities ............ -- 387,824,935 871,984,286 303,579,157
</TABLE>
No activity is shown for the Money Market Portfolio since it trades
exclusively in short-term debt securities.
Transactions in options written for the year ended December 31, 1995 are
summarized as follows:
<TABLE>
<CAPTION>
COMMON STOCK
PORTFOLIO
---------------------------
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
----------- --------------
<S> <C> <C>
Options outstanding--January 1, 1995 ............... 11,000 $ 4,512,479
Options written .................................... 372,200 129,355,157
Options terminated in closing purchase transactions (129,200) (44,663,530)
Options expired .................................... (79,900) (23,860,121)
Options exercised .................................. (101,700) (33,654,453)
----------- --------------
Options outstanding -- December 31, 1995 .......... 72,400 $ 31,689,532
=========== ==============
</TABLE>
The Portfolios (except for the Money Market, Intermediate Government
Securities and Equity Index Portfolios) may enter into forward currency
contracts in order to hedge their exposure to changes in foreign currency
exchange rates on its foreign securities holdings. A forward contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. The gain or loss arising from the difference between
the original contracts and the closing of such contracts is included in
realized gains or losses from foreign currency transactions. At December 31,
1995, the Quality Bond, Global, International and Growth Investors Portfolios
had outstanding forward currency contracts to buy/sell foreign currencies as
follows:
<TABLE>
<CAPTION>
CONTRACT COST ON U.S. $ UNREALIZED
AMOUNT ORIGINATION CURRENT APPRECIATION/
QUALITY BOND PORTFOLIO: (000'S) DATE VALUE (DEPRECIATION)
- --------------------------------- ---------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
FOREIGN CURRENCY SALE CONTRACTS
Deutsche Marks, expiring 01/08/96 8,561 $6,203,531 $6,086,607 $116,924
Spanish Pesetas, expiring
01/08/96 ........................ 800,056 6,400,394 6,492,384 (91,990)
---------------
$ 24,934
===============
</TABLE>
95
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
<TABLE>
<CAPTION>
CONTRACT COST ON U.S. $ UNREALIZED
AMOUNT ORIGINATION CURRENT APPRECIATION/
GLOBAL PORTFOLIO: (000'S) DATE VALUE (DEPRECIATION)
- ---------------------------------------- ----------- ------------- ------------ ---------------
<S> <C> <C> <C> <C>
FOREIGN CURRENCY BUY CONTRACTS
Japanese Yen, expiring 01/18/96-03/13/96 753,065 $ 7,582,760 $ 7,438,184 $(144,576)
FOREIGN CURRENCY SALE CONTRACTS
Deutsche Marks, expiring 01/18/96 ...... 10,025 6,546,793 6,768,498 (221,705)
Japanese Yen, expiring 01/18/96-03/13/96 1,425,065 14,834,482 14,318,282 516,200
Netherland Guilders, expiring 01/18/96 . 29,464 16,569,996 17,151,929 (581,933)
---------------
$(432,014)
===============
</TABLE>
<TABLE>
<CAPTION>
CONTRACT COST ON U.S. $ UNREALIZED
AMOUNT ORIGINATION CURRENT APPRECIATION/
INTERNATIONAL PORTFOLIO: (000'S) DATE VALUE (DEPRECIATION)
- ---------------------------------- ---------- ------------- --------- ---------------
<S> <C> <C> <C> <C>
FOREIGN CURRENCY BUY CONTRACTS
Deutsche Marks, expiring 01/02/96 7 $ 4,927 $ 4,938 $ 11
Japanese Yen, expiring 03/13/96 .. 29,200 297,824 290,316 (7,508)
Spanish Pesetas, expiring 01/02/96 1,970 16,201 16,207 6
FOREIGN CURRENCY SALE CONTRACTS
Deutsche Marks, expiring 01/18/96 53 34,332 35,508 (1,176)
Japanese Yen, expiring 03/13/96 .. 68,400 717,938 690,204 27,734
Netherland Guilders, expiring
01/18/96-04/18/96 ................ 1,156 721,696 720,802 894
---------------
$19,961
===============
</TABLE>
<TABLE>
<CAPTION>
CONTRACT COST ON U.S. $ UNREALIZED
AMOUNT ORIGINATION CURRENT APPRECIATION/
GROWTH INVESTORS PORTFOLIO: (000'S) DATE VALUE (DEPRECIATION)
- --------------------------------- ---------- ------------- ----------- ---------------
<S> <C> <C> <C> <C>
FOREIGN CURRENCY BUY CONTRACTS
British Pounds, expiring 01/02/96 46 $ 71,711 $ 71,897 $ 186
Japanese Yen, expiring 03/13/96 . 160,000 1,645,911 1,597,774 (48,137)
FOREIGN CURRENCY SALE CONTRACTS
Deutsche Marks, expiring 01/18/96 581 379,142 392,130 (12,988)
Japanese Yen, expiring 03/13/96 . 270,000 2,832,888 2,723,950 108,938
Netherland Guilders,
expiring 01/18/96 ............... 5,054 2,943,441 3,046,111 (102,670)
---------------
$ (54,671)
===============
</TABLE>
As of December 31, 1995, the gross unrealized appreciation (depreciation)
of investments based on the aggregate cost of investments for Federal income
tax purposes was as follows:
<TABLE>
<CAPTION>
INTER-
MEDIATE
GOVERNMENT GROWTH AND
MONEY MARKET SECURITIES QUALITY BOND HIGH YIELD INCOME
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- ------------- -------------- -------------- -------------
<S> <C> <C> <C> <C> <C>
Aggregate gross unrealized appreciation $ 165,407 $ 1,641,323 $ 3,827,546 $ 3,680,822 $11,613,177
Aggregate gross unrealized depreciation -- (22,848) -- (1,660,205) (528,849)
-------------- ------------- -------------- -------------- -------------
Net unrealized appreciation ............. $ 165,407 $ 1,618,475 $ 3,827,546 $ 2,020,617 $11,084,328
============== ============= ============== ============== =============
Federal income tax cost of investments . $382,846,598 $74,752,462 $149,999,118 $110,862,276 $86,451,920
============== ============= ============== ============== =============
</TABLE>
96
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
<TABLE>
<CAPTION>
EQUITY INDEX COMMON STOCK GLOBAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- ---------------
<S> <C> <C> <C> <C>
Aggregate gross unrealized appreciation $ 22,610,639 $1,084,158,519 $ 99,390,461 $ 1,200,611
Aggregate gross unrealized depreciation (1,705,375) (108,346,750) (25,331,986) (364,080)
------------ -------------- -------------- ---------------
Net unrealized appreciation ............. $ 20,905,264 $ 975,811,769 $ 74,058,475 $ 836,531
------------ -------------- -------------- ---------------
Federal income tax cost of investments . $142,303,360 $3,900,059,276 $604,348,540 $28,340,152
============ ============== ============== ===============
</TABLE>
<TABLE>
<CAPTION>
AGGRESSIVE CONSERVATIVE GROWTH
STOCK INVESTORS BALANCED INVESTORS
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
-------------- -------------- --------------
<S> <C> <C> <C> <C>
Aggregate gross unrealized appreciation $ 564,697,749 $ 14,448,758 $ 141,484,133 $123,642,423
Aggregate gross unrealized depreciation (56,646,411) (20,280) (21,819,284) (5,622,923)
-------------- -------------- --------------
Net unrealized appreciation ............. $ 508,051,338 $ 14,428,478 $ 119,664,849 $118,019,500
============== ============== ============== ==============
Federal income tax cost of investments . $2,167,270,805 $233,830,095 $1,384,846,688 $760,844,509
============== ============== ============== ==============
</TABLE>
The Growth and Income Portfolio had net capital loss carryforwards of
$474,588 (of which $2,753 expires in the year 2001, $281,737 expires in the
year 2002 and $190,098 expires in the year 2003), the High Yield Portfolio
had net capital loss carryforwards of $1,100,531 (of which $1,059,564 expires
in the year 2002 and $40,967 expires in the year 2003), the Intermediate
Government Securities and Quality Bond Portfolios had net capital loss
carryforwards of $9,349,227 and $5,388,947, respectively, which all expire in
the year 2002. To the extent the above losses are used to offset future
capital gains, it is probable that the gains so offset will not be
distributed to shareholders.
4. Capital Share Transactions
At December 31, 1995, there was an unlimited number of shares of
beneficial interest (Shares), without par value, available for issuance by
the Board of Trustees. Shares are divided into thirteen classes, one class
for each Portfolio.
97
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Continued)
December 31, 1995
Transactions in Shares were as follows:
<TABLE>
<CAPTION>
INTERMEDIATE
GOVERNMENT
MONEY MARKET SECURITIES
PORTFOLIO PORTFOLIO
------------------------------ -----------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
1995 1994 1995 1994
-------------- -------------- ------------- --------------
<S> <C> <C> <C> <C>
Shares sold ..... 38,608,910 34,864,688 3,178,905 3,505,801
Shares issued in
connection with
the
substitution of
the Short-Term
World Income
Portfolio ...... -- -- -- 254,893
Shares issued in
reinvestment
of dividends
and
distributions . 1,793,866 1,126,391 391,277 764,978
-------------- -------------- ------------- --------------
Total shares
issued ......... 40,402,776 35,991,079 3,570,182 4,525,672
Shares redeemed (34,441,594) (28,439,024) (1,464,671) (14,777,456)
-------------- -------------- ------------- --------------
Net increase
(decrease) ..... 5,961,182 7,552,055 2,105,511 (10,251,784)
============== ============== ============= ==============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
QUALITY BOND HIGH YIELD
PORTFOLIO PORTFOLIO
-------------------------- ----------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
1995 1994 1995 1994
------------- ----------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold ..... 2,039,780 3,600,969 4,920,577 3,096,529
Shares issued in
connection with
the
substitution of
the Short-Term
World Income
Portfolio ...... -- -- -- --
Shares issued in
reinvestment
of dividends
and
distributions . 941,017 931,997 1,087,864 687,436
------------- ----------- ------------- -------------
Total shares
issued ......... 2,980,797 4,532,966 6,008,441 3,783,965
Shares redeemed (1,231,693) (572,547) (2,047,031) (2,156,031)
------------- ----------- ------------- -------------
Net increase
(decrease) ..... 1,749,104 3,960,419 3,961,410 1,627,934
============= =========== ============= =============
</TABLE>
<TABLE>
<CAPTION>
GROWTH AND
INCOME EQUITY INDEX
PORTFOLIO PORTFOLIO
-------------------- -----------------------------
FOR THE PERIOD
FROM
YEAR ENDED YEAR ENDED MARCH 1, 1994*
DECEMBER 31, DECEMBER 31, TO DECEMBER 31,
1995 1994 1995 1994
--------- ---------
<S> <C> <C> <C> <C>
Shares sold ..... 5,330,789 3,211,395 12,811,615 3,972,324
Shares issued in
reinvestment
of dividends
and
distributions . 173,344 43,243 243,074 81,699
--------- --------- ------------ ---------------
Total shares
issued ......... 5,504,133 3,254,638 13,054,689 4,054,023
Shares redeemed (375,025) (149,828) (4,148,263) (330,143)
--------- --------- ------------ ---------------
Net increase ... 5,129,108 3,104,810 8,906,426 3,723,880
========= ========= ============ ===============
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
COMMON STOCK GLOBAL INTERNATIONAL
PORTFOLIO PORTFOLIO PORTFOLIO
------------------------- ------------------------ -----------------
FOR THE PERIOD
YEAR ENDED YEAR ENDED FROM
DECEMBER 31, DECEMBER 31, APRIL 3, 1995* TO
1995 1994 1995 1994 DECEMBER 31, 1995
------------ ----------- ----------- ----------- --------------------
<S> <C> <C> <C> <C> <C>
Shares sold ..... 32,314,046 35,758,326 15,621,046 21,053,323 2,781,575
Shares issued in
reinvestment
of dividends
and
distributions . 20,247,043 17,645,138 1,875,847 898,514 46,457
------------ ----------- ----------- ----------- -----------------
Total shares
issued ......... 52,561,089 53,403,464 17,496,893 21,951,837 2,828,032
Shares redeemed (15,886,663) (7,202,598) (4,317,611) (1,911,754) (190,166)
------------ ----------- ----------- ----------- -----------------
Net increase ... 36,674,426 46,200,866 13,179,282 20,040,083 2,637,866
============ =========== =========== =========== =================
</TABLE>
98
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--
December 31, 1995
<TABLE>
<CAPTION>
CONSERVATIVE
AGGRESSIVE STOCK INVESTORS
PORTFOLIO PORTFOLIO
------------------------------ ------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
1995 1994 1995 1994
-------------- -------------- ----------- -----------
<S> <C> <C> <C> <C>
Shares sold ........ 24,290,758 23,071,977 4,574,632 6,795,540
Shares issued in
reinvestment
of dividends and
distributions ..... 8,689,767 69,084 1,178,017 760,857
-------------- -------------- ----------- -----------
Total shares issued 32,980,525 23,141,061 5,752,649 7,556,397
Shares redeemed ... (17,101,621) (12,173,721) (983,364) (730,909)
-------------- -------------- ----------- -----------
Net increase ....... 15,878,904 10,967,340 4,769,285 6,825,488
============== ============== =========== ===========
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
GROWTH
BALANCED INVESTORS
PORTFOLIO PORTFOLIO
---------------------------- ---------------------------
YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31,
1995 1994 1995 1994
------------- ------------- ------------- ------------
<S> <C> <C> <C> <C>
Shares sold ........ 3,451,513 10,355,446 16,117,087 15,839,742
Shares issued in
reinvestment
of dividends and
distributions ..... 5,393,327 2,742,085 2,104,190 886,613
------------- ------------- ------------- ------------
Total shares issued 8,844,840 13,097,531 18,221,277 16,726,355
Shares redeemed ... (7,393,399) (5,497,701) (1,144,340) (960,533)
------------- ------------- ------------- ------------
Net increase ....... 1,451,441 7,599,830 17,076,937 15,765,822
============= ============= ============= ============
</TABLE>
* Commencement of operations.
98
<PAGE>
THE HUDSON RIVER TRUST
NOTES TO FINANCIAL STATEMENTS--(Concluded)
December 31, 1995
5. Transactions with Affiliated Companies
An affiliated company is a company in which the fund has ownership of at
least 5% of the voting securities. Investments in companies which are
affiliates as of December 31, 1995 are summarized as follows:
<TABLE>
<CAPTION>
PORTFOLIO AFFILIATES COST MARKET VALUE
- ------------ -------------------------------------- -------------- -------------
<S> <C> <C> <C>
Common CBL & Associates Properties ........... $ 21,426,856 $ 23,864,100
Stock Chris Craft Industries, Inc. (Class B) 13,002,923 52,926,452
Essex Property Trust, Inc. ............ 7,083,100 7,026,250
Regency Realty Corp. .................. 14,600,607 13,260,075
-------------- -------------
$ 56,113,486 $ 97,076,877
============== =============
Global Nelvana Limited ....................... $ 1,348,650 $ 1,889,495
============== =============
Aggressive Healthwise of America, Inc. ........... $ 21,053,273 $ 36,899,265
Stock Nine West Group, Inc. ................. 71,622,521 87,810,000
Playboy Enterprises, Inc. (Class B) .. 7,372,639 7,798,800
Sun Healthcare Group, Inc. ............ 60,385,694 34,501,950
Telephone & Data Systems, Inc. ....... 115,178,270 117,753,450
Xtra Corp. ............................ 56,821,377 50,417,750
-------------- -------------
$332,433,774 $335,181,215
============== =============
</TABLE>
99
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS
December 31, 1995
SELECTED DATA FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT EACH PERIOD(C)
MONEY MARKET PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------
1995 1994 1993* 1992 1991
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) $10.14 $10.12 $10.11 $10.13 $10.17
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................... 0.57 0.41 0.30 0.37 0.61
Net realized and unrealized loss on
investments ............................ -- -- -- (0.01) --
---------- ---------- ---------- ---------- ----------
Total from investment operations ....... 0.57 0.41 0.30 0.36 0.61
---------- ---------- ---------- ---------- ----------
LESS DIVIDENDS:
Dividends from net investment income ... (0.55) (0.39) (0.29) (0.38) (0.65)
---------- ---------- ---------- ---------- ----------
Total dividends ......................... (0.55) (0.39) (0.29) (0.38) (0.65)
---------- ---------- ---------- ---------- ----------
Net asset value, end of period ........... $10.16 $10.14 $10.12 $10.11 $10.13
========== ========== ========== ========== ==========
Total return (d) ......................... 5.74% 4.02% 3.00% 3.57% 6.20%
========== ========== ========== ========== ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ....... $386,691 $325,391 $248,460 $268,584 $302,395
Ratio of expenses to average net assets . 0.44% 0.42% 0.42% 0.43% 0.43%
Ratio of net investment income to average
net assets .............................. 5.53% 4.01% 2.91% 3.63% 5.96%
</TABLE>
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO(E):
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31, APRIL 1, 1991 TO
---------------------------------------------- DECEMBER 31,
1995 1994 1993* 1992 1991
----------- --------- ---------- ---------- ----------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) .............. $ 8.87 $10.08 $10.53 $10.73 $10.00
----------- --------- ---------- ---------- ----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.58 0.65 0.59 0.60 0.52
Net realized and unrealized gain (loss) on
investments .......................................... 0.57 (1.08) 0.51 (0.02) 0.66
----------- --------- ---------- ---------- ----------------
Total from investment operations ..................... 1.15 (0.43) 1.10 0.58 1.18
----------- --------- ---------- ---------- ----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ................. (0.55) (0.78) (0.68) (0.60) (0.34)
Distributions from realized gains .................... -- -- (0.87) (0.18) (0.11)
----------- --------- ---------- ---------- ----------------
Total dividends and distributions .................... (0.55) (0.78) (1.55) (0.78) (0.45)
----------- --------- ---------- ---------- ----------------
Net asset value, end of period ........................ $ 9.47 $ 8.87 $10.08 $10.53 $10.73
=========== ========= ========== ========== ================
Total return (d) ...................................... 13.33% (4.37)% 10.58% 5.53% 12.10%
=========== ========= ========== ========== ================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..................... $71,780 $48,518 $158,511 $293,587 $241,290
Ratio of expenses to average net assets ............... 0.57% 0.56% 0.53% 0.52% 0.43%
Ratio of net investment income to average net assets . 6.15% 6.75% 5.43% 5.63% 4.88%
Portfolio turnover rate ............................... 255% 133% 254% 316% 174%
</TABLE>
100
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS -- (Continued)
December 31, 1995
QUALITY BOND PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31 OCTOBER 1, 1993
TO
1995 1994 DECEMBER 31, 1993
--------- ---------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period (a) ................................... $8.72 $ 9.82 $10.00
---------- ---------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ..................................................... 0.57 0.66 0.11
Net realized and unrealized gain (loss) on investments and foreign
currency transactions .................................................... 0.88 (1.16) (0.16)
---------- ---------- -----------------
Total from investment operations .......................................... 1.45 (0.50) (0.05)
---------- ---------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ...................................... (0.56) (0.55) (0.12)
Distributions in excess of realized gains ................................. -- -- (0.01)
Tax return of capital distributions ....................................... -- (0.05) --
---------- ---------- -----------------
Total dividends and distributions ......................................... (0.56) (0.60) (0.13)
---------- ---------- -----------------
Net asset value, end of period ............................................. $9.61 $ 8.72 $ 9.82
========== ========== =================
Total return (d) ........................................................... 17.02% (5.10)% (0.51)%
========== ========== =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) .......................................... $157,443 $127,575 $104,832
Ratio of expenses to average net assets .................................... 0.59% 0.59% 0.69%(b)
Ratio of net investment income to average net assets ....................... 6.13% 7.17% 4.62%(b)
Portfolio turnover rate .................................................... 411% 222% 77%
</TABLE>
HIGH YIELD PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
---------------------------------------------------------
1995 1994 1993* 1992 1991
------------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) .... $ 8.91 $10.08 $ 9.15 $ 8.96 $ 7.97
------------- --------- --------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ....................... 0.98 0.89 0.94 0.89 0.89
Net realized and unrealized gain (loss) on
investments ................................ 0.73 (1.17) 1.10 0.19 0.99
------------- --------- --------- --------- ---------
Total from investment operations ............ 1.71 (0.28) 2.04 1.08 1.88
------------- --------- --------- --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income ....... (0.94) (0.88) (0.92) (0.89) (0.89)
Dividends in excess of net investment income (0.04) (0.01) -- -- --
Distributions from realized gains ........... -- -- (0.19) -- --
------------- --------- --------- --------- ---------
Total dividends and distributions ........... (0.98) (0.89) (1.11) (0.89) (0.89)
------------- --------- --------- --------- ---------
Net asset value, end of period ............... $ 9.64 $8.91 $10.08 $ 9.15 $ 8.96
============= ========= ========= ========= =========
Total return (d) ............................. 19.92% (2.79)% 23.15% 12.31% 24.46%
============= ========= ========= ========= =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ............ $118,129 $73,895 $67,169 $47,687 $45,066
Ratio of expenses to average net assets ..... 0.60% 0.61% 0.63% 0.60% 0.61%
Ratio of net investment income to average net
assets ...................................... 10.34% 9.23% 9.52% 9.58% 10.31%
Portfolio turnover rate ...................... 350% 248% 280% 177% 187%
</TABLE>
101
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS -- (Continued)
December 31, 1995
GROWTH AND INCOME PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31 OCTOBER 1, 1993
TO
1995 1994 DECEMBER 31, 1993
--------- ---------- ------------------
<S> <C> <C> <C>
Net asset value, beginning of period (a) ............... $ 9.70 $ 9.95 $10.00
--------- --------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................. 0.33 0.31 0.03
Net realized and unrealized gain (loss) on investments 1.97 (0.36) (0.06)
--------- --------- -----------------
Total from investment operations ...................... 2.30 (0.05) (0.03)
--------- --------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income .................. (0.30) (0.20) (0.02)
Dividends in excess of net investment income ......... -- -- (0.00)
Tax return of capital distributions ................... -- -- (0.00)
--------- --------- -----------------
Total dividends and distributions ..................... (0.30) (0.20) (0.02)
--------- --------- -----------------
Net asset value, end of period ......................... $11.70 $ 9.70 $ 9.95
========= ========= =================
Total return (d) ....................................... 24.07% (0.58)% (0.25)%
========= ========= =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ...................... $98,053 $31,522 $1,456
Ratio of expenses to average net assets ................ 0.60% 0.78% 2.70%(b)
Ratio of net investment income to average net asset ... 3.11% 3.13% 1.12%(b)
Portfolio turnover rate ................................ 65% 52% 48%
</TABLE>
EQUITY INDEX PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED MARCH 1, 1994 TO
DECEMBER 31, 1995 DECEMBER 31, 1994
----------------- -----------------
<S> <C> <C>
Net asset value, beginning of period (a) ............... $ 9.87 $10.00
----------------- -----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................ 0.26 0.20
Net realized and unrealized gain (loss) on investments 3.32 (0.09)
----------------- -----------------
Total from investment operations ..................... 3.58 0.11
----------------- -----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ................. (0.22) (0.20)
Distributions of realized gains ...................... (0.09) (0.03)
Distributions in excess of realized gains ............ (0.01) (0.01)
----------------- -----------------
Total dividends and distributions .................... (0.32) (0.24)
----------------- -----------------
Net asset value, end of period ......................... $13.13 $ 9.87
================= =================
Total return (d) ....................................... 36.48% 1.08%
================= =================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ...................... $165,785 $36,748
Ratio of expenses to average net assets ................ 0.48% 0.49%(b)
Ratio of net investment income to average net assets .. 2.16% 2.42%(b)
Portfolio turnover rate ................................ 9% 7%
</TABLE>
102
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS--(Continued)
December 31, 1995
COMMON STOCK PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------------------
1995 1994 1993* 1992 1991
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) .... $ 13.36 $ 14.65 $ 13.49 $ 14.18 $ 11.22
--------------- --------------- --------------- --------------- ---------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ...................... 0.20 0.20 0.23 0.24 0.32
Net realized and unrealized gain (loss) on
investments and foreign currency
transactions ............................. 4.12 (0.51) 3.10 0.20 3.91
--------------- --------------- --------------- --------------- ---------------
Total from investment operations ........... 4.32 (0.31) 3.33 0.44 4.23
--------------- --------------- --------------- --------------- ---------------
LESS DISTRIBUTIONS:
Dividends from net investment income ....... (0.20) (0.19) (0.23) (0.24) (0.29)
Dividends in excess of net investment
income ................................... (0.02) (0.01) (0.00) -- --
Distributions from realized gains .......... (0.95) (0.77) (1.94) (0.89) (0.98)
Distributions in excess of realized gains .. (0.03) -- -- -- --
Tax return of capital distributions ........ -- (0.01) -- -- --
--------------- --------------- --------------- --------------- ---------------
Total dividends and distributions .......... (1.20) (0.98) (2.17) (1.13) (1.27)
--------------- --------------- --------------- --------------- ---------------
Net asset value, end of period ............... $ 16.48 $ 13.36 $ 14.65 $ 13.49 $ 14.18
=============== =============== =============== =============== ===============
Total return (d) ............................. 32.45% (2.14)% 24.84% 3.22% 37.90%
=============== =============== =============== =============== ===============
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ............ $4,879,677 $3,466,245 $3,125,128 $2,307,292 $2,126,402
Ratio of expenses to average net assets ..... 0.38% 0.38% 0.38% 0.38% 0.40%
Ratio of net investment income to average net
assets ..................................... 1.27% 1.40% 1.55% 1.73% 2.32%
Portfolio turnover rate ...................... 61% 52% 82% 71% 90%
</TABLE>
103
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS -- (Continued)
December 31, 1995
GLOBAL PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
--------------------------------------------------------------
1995 1994 1993* 1992 1991
------------ ------------ --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) . $ 13.87 $ 13.62 $ 11.41 $ 11.64 $ 9.76
------------ ------------ ------------ --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................... 0.26 0.20 0.08 0.14 0.22
Net realized and unrealized gain (loss)
on investments and foreign currency
transactions ............................ 2.32 0.52 3.58 (0.20) 2.74
------------ ------------ ------------ --------- ---------
Total from investment operations ........ 2.58 0.72 3.66 (0.06) 2.96
------------ ------------ ------------ --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income .... (0.25) (0.17) (0.15) (0.11) (0.23)
Distributions from realized gains ....... (0.42) (0.28) (1.30) (0.06) (0.85)
Distributions in excess of realized gains (0.03) (0.00) (0.00) -- --
Tax return of capital distributions ..... (0.01) (0.02) -- -- --
------------ ------------ ------------ --------- ---------
Total dividends and distributions ....... (0.71) (0.47) (1.45) (0.17) (1.08)
------------ ------------ ------------ --------- ---------
Net asset value, end of period ............ $ 15.74 $ 13.87 $ 13.62 $ 11.41 $ 11.64
============ ============ ============ ========= =========
Total return (d) .......................... 18.81% 5.23% 32.09% (0.50)% 30.54%
============ ============ ============ ========= =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ........ $686,140 $421,698 $141,257 $49,171 $39,487
Ratio of expenses to average net assets .. 0.61% 0.69% 0.84% 0.70% 0.75%
Ratio of net investment income to average
net assets ............................... 1.76% 1.41% 0.62% 1.20% 1.94%
Portfolio turnover rate ................... 67% 71% 150% 216% 267%
</TABLE>
INTERNATIONAL PORTFOLIO:
<TABLE>
<CAPTION>
APRIL 3, 1995 TO
DECEMBER 31,
1995
----------------
<S> <C>
Net asset value, beginning of period (a) ............. $ 10.00
----------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .............................. 0.14
Net realized and unrealized gain on investments .... 0.98
----------------
Total from investment operations ................... 1.12
----------------
LESS DISTRIBUTIONS:
Dividends from net investment income ............... (0.07)
Dividends in excess of net investment income ....... (0.13)
Distributions of realized gains .................... (0.05)
----------------
Total dividends and distributions .................. (0.25)
----------------
Net asset value, end of period ....................... $ 10.87
================
Total return (d) ..................................... 11.29%
================
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) .................... $28,684
Ratio of expenses to average net assets .............. 1.03%(b)
Ratio of net investment income to average net assets 1.71%(b)
Portfolio turnover rate .............................. 56%
</TABLE>
104
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS -- (Continued)
December 31, 1995
AGGRESSIVE STOCK PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
----------------------------------------------------------------------------
1995 1994 1993* 1992 1991
-------------- -------------- --------------- -------------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period
(a) ................................... $ 30.63 $ 31.89 $ 29.81 $ 33.82 $ 19.37
-------------- -------------- --------------- -------------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.10 0.04 0.09 0.17 0.12
Net realized and unrealized gain
(loss) on investments ................ 9.54 (1.26) 4.91 (1.25) 16.68
-------------- -------------- --------------- -------------- -----------
Total from investment operations ..... 9.64 (1.22) 5.00 (1.08) 16.80
-------------- -------------- --------------- -------------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.10) (0.04) (0.09) (0.18) (0.10)
Distributions from realized gains .... (4.49) -- (2.75) (2.75) (2.25)
Distributions in excess of realized
gains ................................ -- -- (0.07) -- --
Tax return of capital distributions .. -- (0.00) (0.01) -- --
-------------- -------------- --------------- -------------- -----------
Total dividends and distributions. ... (4.59) (0.04) (2.92) (2.93) (2.35)
-------------- -------------- --------------- -------------- -----------
Net asset value, end of period ......... $ 35.68 $ 30.63 $ 31.89 $ 29.81 $ 33.82
============== ============== =============== ============== ===========
Total return (d) ....................... 31.63% (3.81)% 16.77% (3.16)% 86.87%
============== ============== =============== ============== ===========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..... $2,700,515 $1,832,164 $1,557,332 $1,210,576 $959,257
Ratio of expenses to average net assets 0.49% 0.49% 0.49% 0.50% 0.51%
Ratio of net investment income to
average net assets .................... 0.28% 0.12% 0.28% 0.57% 0.40%
Portfolio turnover rate ................ 127% 92% 89% 68% 117%
</TABLE>
CONSERVATIVE INVESTORS PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
-----------------------------------------------------------
1995 1994 1993* 1992 1991
---------- ----------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period (a) $ 10.15 $ 11.12 $ 10.94 $ 11.29 $ 10.23
----------- ----------- ----------- --------- ---------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income .................. 0.60 0.55 0.52 0.64 0.69
Net realized and unrealized gain
(loss) on investments ................. 1.43 (1.00) 0.65 (0.01) 1.28
----------- ----------- ----------- --------- ---------
Total from investment operations ...... 2.03 (0.45) 1.17 0.63 1.97
----------- ----------- ----------- --------- ---------
LESS DISTRIBUTIONS:
Dividends from net investment income . (0.59) (0.52) (0.50) (0.62) (0.66)
Dividends in excess of net investment
income ................................. -- -- (0.00) -- --
Distributions from realized gains ..... (0.07) -- (0.49) (0.36) (0.25)
----------- ----------- ----------- --------- ---------
Total dividends and distributions ..... (0.66) (0.52) (0.99) (0.98) (0.91)
----------- ----------- ----------- --------- ---------
Net asset value, end of period .......... $ 11.52 $ 10.15 $ 11.12 $ 10.94 $ 11.29
=========== =========== =========== ========= =========
Total return (d) ........................ 20.40% (4.10)% 10.76% 5.64 % 19.80%
=========== =========== =========== ========= =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ...... $252,101 $173,691 $114,418 $70,675 $50,279
Ratio of expenses to average net assets 0.59% 0.59% 0.60% 0.61% 0.64%
Ratio of net investment income to
average net assets ..................... 5.48% 5.22% 4.49% 5.77% 6.45%
Portfolio turnover rate ................. 287% 228% 178% 136% 171%
</TABLE>
105
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS -- (Continued)
December 31, 1995
BALANCED PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------------
1995 1994 1993* 1992 1991
-------------- ------------- ------------- ------------- -----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period
(a) ................................... $14.87 $16.67 $16.19 $18.48 $14.40
-------------- ------------- ------------- ------------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.54 0.45 0.50 0.56 0.60
Net realized and unrealized gain
(loss) on investments ................ 2.36 (1.78) 1.46 (1.11) 5.23
-------------- ------------- ------------- ------------- -----------
Total from investment operations ..... 2.90 (1.33) 1.96 (0.55) 5.83
-------------- ------------- ------------- ------------- -----------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.54) (0.44) (0.50) (0.55) (0.55)
Dividends in excess of net investment
income ................................ -- (0.03) -- -- --
Distributions from realized gains .... (0.47) -- (0.95) (1.19) (1.20)
Distributions in excess of realized
gains ................................ -- -- (0.03) -- --
Tax return of capital distributions .. -- (0.00) -- -- --
-------------- ------------- ------------- ------------- -----------
Total dividends and distributions .... (1.01) (0.47) (1.48) (1.74) (1.75)
-------------- ------------- ------------- ------------- -----------
Net asset value, end of period ......... $16.76 $14.87 $16.67 $16.19 $18.48
============== ============= ============= ============= ===========
Total return (d) ....................... 19.75% (8.02)% 12.28% (2.85)% 41.25%
============== ============= ============= ============= ===========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..... $1,523,142 $1,329,820 $1,364,640 $1,076,670 $964,262
Ratio of expenses to average net assets 0.40% 0.39% 0.39% 0.40% 0.41%
Ratio of net investment income to
average net assets .................... 3.33% 2.87% 2.99% 3.30% 3.60%
Portfolio turnover rate ................ 186% 115% 99% 91% 159%
</TABLE>
GROWTH INVESTORS PORTFOLIO:
<TABLE>
<CAPTION>
YEAR ENDED DECEMBER 31,
------------------------------------------------------------------
1995 1994 1993* 1992 1991
------------ ------------ ------------ ---------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period
(a) ................................... $ 14.66 $ 15.61 $ 14.69 $ 15.17 $ 11.03
------------ ------------ ------------ ------------ ----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................ 0.57 0.50 0.43 0.44 0.41
Net realized and unrealized gain
(loss) on investments and foreign
currency transactions .............. 3.24 (0.98) 1.79 0.28 4.93
------------ ------------ ------------ ------------ ----------
Total from investment operations ..... 3.81 (0.48) 2.22 0.72 5.34
------------ ------------ ------------ ------------ ----------
LESS DISTRIBUTIONS:
Dividends from net investment income . (0.54) (0.46) (0.42) (0.41) (0.37)
Dividends in excess of net investment
income ............................. (0.01) (0.01) -- -- --
Distributions from realized gains .... (0.24) -- (0.88) (0.79) (0.83)
------------ ------------ ------------ ------------ ----------
Total dividends and distributions .... (0.79) (0.47) (1.30) (1.20) (1.20)
------------ ------------ ------------ ------------ ----------
Net asset value, end of period ......... $ 17.68 $ 14.66 $ 15.61 $ 14.69 $ 15.17
============ ============ ============ ============ ==========
Total return (d) ....................... 26.37% (3.15)% 15.26% 4.85% 48.83%
============ ============ ============ ============ ==========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) ..... $896,134 $492,478 $278,467 $148,650 $84,338
Ratio of expenses to average net assets 0.56% 0.59% 0.62% 0.60% 0.66%
Ratio of net investment income to
average net assets ................... 3.43% 3.32% 2.71% 3.00% 3.03%
Portfolio turnover rate ................ 107% 131% 118% 129% 139%
</TABLE>
106
<PAGE>
THE HUDSON RIVER TRUST
FINANCIAL HIGHLIGHTS--(Concluded)
December 31, 1995
* Prior to July 22, 1993, Equitable Capital Management Corporation
(Equitable Capital) served as the investment adviser to the Trust. On
July 22, 1993, Alliance Capital Management L.P. acquired the business
and substantialy all of the assets of Equitable Capital and became the
investment adviser to the Trust.
(a) Date as of which funds were first allocated to the Portfolios are as
follows:
Common Stock Portfolio--June 16, 1975
Money Market Portfolio--July 13, 1981
Balanced Portfolio--January 27, 1986
Aggressive Stock Portfolio--January 27, 1986
High Yield Portfolio--January 2, 1987
Global Portfolio--August 27, 1987
Conservative Investors Portfolio--October 2, 1989
Growth Investors Portfolio--October 2, 1989
Intermediate Government Securities Portfolio--April 1, 1991
Quality Bond Portfolio--October 1, 1993
Growth and Income Portfolio--October 1, 1993
Equity Index Portfolio--March 1, 1994
International Portfolio--April 3, 1995
(b) Annualized.
(c) Net investment income and capital changes per share are based upon
monthly average shares outstanding.
(d) Total return is calculated assuming an initial investment made at the
net asset value at the beginning of the period, reinvestment of all
dividends and distributions at net asset value during the period, and
redemption on the last day of the period. Total return calculated for a
period of less than one year is not annualized.
(e) On February 22, 1994, shares of the Intermediate Government Securities
Portfolio of the Trust were substituted for shares of the Trust's
Short-Term World Income Portfolio.
107
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees
of The Hudson River Trust
In our opinion, the accompanying statements of assets and liabilities,
including the portfolios of investments, and the related statements of
operations and of changes in net assets and financial highlights present
fairly, in all material respects, the financial position of the Money Market
Portfolio, Intermediate Government Securities Portfolio, Quality Bond
Portfolio, High Yield Portfolio, Growth and Income Portfolio, Equity Index
Portfolio, Common Stock Portfolio, Global Portfolio, International Portfolio,
Aggressive Stock Portfolio, Conservative Investors Portfolio, Balanced
Portfolio and Growth Investors Portfolio (constituting The Hudson River
Trust, hereafter referred to as the "Trust") at December 31, 1995, the
results of each of their operations for the year or indicated period then
ended, the changes in each of their net assets and the financial highlights
for each of the periods presented, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of
the Trust's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We believe that
our audits, which included confirmation of securities at December 31, 1995 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 the opinion expressed above. The
financial highlights for the year ended December 31, 1992 and for each of the
periods indicated prior thereto, were audited by other independent
accountants whose report dated February 10, 1993, expressed an unqualified
opinion on those financial statements.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
February 8, 1996
108
<PAGE>
APPENDIX A
DESCRIPTION OF COMMERCIAL PAPER RATINGS
A-1 AND PRIME-1 COMMERCIAL PAPER RATINGS
The rating A-1 (including A-1+) is the highest commercial paper rating
assigned by S&P. Commercial paper rated A-1 by S&P has the following
characteristics:
o liquidity ratios are adequate to meet cash requirements;
o long-term senior debt is rated "A" or better;
o the issuer has access to at least two additional channels of borrowing;
o basic earnings and cash flow have an upward trend with allowance made
for unusual circumstances;
o typically, the issuer's industry is well established and the issuer has
a strong position within the industry; and
o the reliability and quality of management are unquestioned.
Relative strength or weakness of the above factors determines whether the
issuer's commercial paper is rated A-1, A-2 or A-3. Issues rated A-1 that are
determined by S&P to have overwhelming safety characteristics are designated
A-1+.
The rating Prime-1 is the highest commercial paper rating assigned by
Moody's. Among the factors considered by Moody's in assigning ratings are the
following:
o evaluation of the management of the issuer;
o economic evaluation of the issuer's industry or industries and an
appraisal of speculative-type risks which may be inherent in certain areas;
o evaluation of the issuer's products in relation to competition and
customer acceptance;
o liquidity;
o amount and quality of long-term debt;
o trend of earnings over a period of ten years;
o financial strength of parent company and the relationships which exist
with the issuer; and
o recognition by the management of obligations which may be present or may
arise as a result of public interest questions and preparations to meet
such obligations.
A-1
<PAGE>
PART C. OTHER INFORMATION
ITEM 24. FINANCIAL STATEMENTS AND EXHIBITS
<TABLE>
<CAPTION>
<S> <C>
(a) Financial Statements:
The following financial statements are filed as part of this amended Registration
Statement.
Included in Part A -- Prospectus of the Registration Statement: Financial Highlights.
Included in Part B -- Statement of Additional Information of the Registration Statement:
Audited Statements of Assets and Liabilities as of December 31, 1995.
Audited Statements of Operations for the year ended December 31, 1995.
Audited Statements of Changes in Net Assets of the Common Stock, Money Market,
Balanced, Aggressive Stock, High Yield, Global, Conservative Investors, Growth
Investors, Quality Bond, Growth and Income and Intermediate Government Securities
Portfolios for the years ended December 31, 1995 and 1994, of the Equity Index
Portfolio for the year ended December 31, 1995 and for the period from March 1,
1994 (date of commencement of operations) through December 1, 1994 and of the
International Portfolio for the period from April 3, 1995 (date of commencement
of operations) through December 31, 1995.
Money Market Portfolio Audited Portfolio of Investments as of December 31, 1995.
Intermediate Government Securities Portfolio Audited Portfolio of Investments as
of December 31, 1995.
Quality Bond Portfolio Audited Portfolio of Investments as of December 31, 1995.
High Yield Portfolio Audited Portfolio of Investments as of December 31, 1995.
Balanced Portfolio Audited Portfolio of Investments as of December 31, 1995.
Growth and Income Portfolio Audited Portfolio of Investments as of December 31,
1995.
Equity Index Portfolio Audited Portfolio of Investments as of December 31, 1995.
Common Stock Portfolio Audited Portfolio of Investments as of December 31, 1995.
Global Portfolio Audited Portfolio of Investments as of December 31, 1995.
Aggressive Stock Portfolio Audited Portfolio of Investments as of December 31,
1995.
Conservative Investors Portfolio Audited Portfolio of Investments as of December
31, 1995.
Growth Investors Portfolio Audited Portfolio of Investments as of December 31,
1995.
International Portfolio Audited Portfolio of Investments as of December 31, 1995.
Notes to Financial Statements.
Financial Highlights.
Report of Independent Accountants.
</TABLE>
1
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
(b) Exhibits:
The following exhibits are filed herewith:
*(1)(a) Articles of Incorporation of The Hudson River Fund, Inc. (the "Fund") (previously
filed with the original Registration Statement on December 20, 1984).
*(1)(b) Articles Supplementary of the Fund (relating to the Balanced and Aggressive Stock
Series) (previously filed with Post-Effective Amendment No. 4 on January 10, 1986).
*(1)(c) Articles Supplementary of the Fund (relating to the High Yield Series) (previously
filed with Post-Effective Amendment No. 6 on October 10, 1986).
*(1)(d) Declaration of Trust of The Hudson River Trust (the "Trust") (previously filed
with Post-Effective Amendment No. 9 on August 17, 1987).
*(2)(a) By-Laws of the Fund (previously filed with the original Registration Statement
on December 20, 1984).
*(2)(b) By-Laws of the Trust (previously filed with Post-Effective Amendment No. 11 on
April 29, 1988).
(3) Not applicable.
*(4)(a) Portions of Declaration of Trust relating to shareholders' rights (previously filed
with Post-Effective Amendment No. 22 on February 28, 1994).
*(4)(b) Portions of By-Laws of the Trust relating to shareholders' rights (previously filed
with Post-Effective Amendment No. 22 on February 28, 1994).
*(5)(a) Investment Advisory Agreement among the Fund, Equitable Investment Management
Corporation ("EIMC") and Integrity Life Insurance Company ("Integrity") (previously
filed with the original Registration Statement on December 20, 1984).
*(5)(b) Amendment No. 1 to Investment Advisory Agreement (previously filed with Post-Effective
Amendment No. 4 on January 10, 1986).
*(5)(c) Amendment No. 2 to Investment Advisory Agreement (previously filed with Post-Effective
Amendment No. 6 on October 10, 1986).
*(5)(d) Amendment No. 3 to Investment Advisory Agreement (previously filed with Post-Effective
No. 7 on February 27, 1987).
*(5)(e) Investment Advisory Agreement between the Trust and Equitable Capital Management
Corporation ("Equitable Capital") (previously filed with Post-Effective Amendment
No. 12 on April 28, 1989).
*(5)(f) Amendment No. 1 to the Investment Advisory Agreement between the Trust and Equitable
Capital (previously filed with Post-Effective Amendment No. 14 on April 30, 1990).
*(5)(g) Amendment No. 2 to the Investment Advisory Agreement between the Trust and Equitable
Capital (previously filed with Post-Effective Amendment No. 14 on April 30, 1990).
*(5)(h) Form of Investment Advisory Agreement between the Trust and Equitable Capital re
Short-Term World Income Portfolio (previously filed with Post-Effective Amendment
No. 15 on December 21, 1990).
</TABLE>
- -------------
* Incorporated by reference.
2
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
*(5)(i) Form of Investment Advisory Agreement between the Trust and Equitable Capital re
Intermediate Government Securities Portfolio (previously filed with Post-Effective
Amendment No. 15 on December 21, 1990).
*(5)(j) Form of Sub-Advisory Agreement among the Trust, Equitable Capital and Hanseatic
Management, Inc. ("Hanseatic") (previously filed with Post-Effective Amendment
No. 15 on December 21, 1990).
*(5)(k) Investment Advisory Agreement between the Trust and Equitable Capital dated July
22, 1992 (previously filed with Post-Effective Amendment No. 19 on March 2, 1993).
*(5)(l) Form of Investment Advisory Agreement between the Trust and Alliance Capital Management
L.P. ("Alliance") (previously filed with Post-Effective Amendment No. 19 on March
2, 1993).
*(5)(m) Form of Investment Advisory Agreement between the Trust and Alliance (previously
filed with Post-Effective Amendment No. 20 on June 28, 1993).
*(5)(n) Investment Advisory Agreement between the Trust and Alliance dated July 22, 1993
(previously filed with Post-Effective Amendment No. 21 on February 17, 1994).
*(5)(o) Investment Advisory Agreement between the Trust and Alliance dated July 22, 1993
(previously filed with Post-Effective Amendment No. 25 on May 1, 1995).
*(6)(a) Form of Distribution Agreement among the Trust, Equitable Variable Life Insurance
Company ("Equitable Variable" or "EVLICO") and Integrity (previously filed with
Post-Effective Amendment No. 9 on August 17, 1987).
*(6)(b) Form of Sales Agreement between Integrity and other Insurance Companies (previously
filed with Post-Effective Amendment No. 4 on January 10, 1986).
*(6)(c) Distribution Agreement between the Trust and Equitable Variable (previously filed
with Post-Effective Amendment No. 12 on April 28, 1989).
*(6)(d) Distribution Agreement between the Trust and Integrity (previously filed with
Post-Effective Amendment No. 12 on April 28, 1989).
*(6)(e) Distribution Agreement between the Trust and Integrity, dated September 30, 1991
(previously filed with Post-Effective Amendment No. 15 on December 21, 1990).
*(6)(f) Distribution Agreement between the Trust and Equitable Variable dated September
30, 1991 (previously filed with Post-Effective Amendment No. 15 on December 20,
1990).
*(6)(g) Distribution Agreement between the Trust and Equitable Variable dated July 22,
1992 (previously filed with Post-Effective Amendment No. 19 on March 2, 1993).
*(6)(h) Distribution Agreement between the Trust and Equico Securities, Inc. ("Equico")
dated May 1, 1994 (previously filed with Post-Effective Amendment No. 23 on August
24, 1994).
*(6)(i) Distribution Agreement between the Trust and Equico dated January 1, 1995 (previously
filed with Post-Effective Amendment No. 25 on May 1, 1995).
(7) Not applicable.
*(8)(a) Custodian Agreement between the Fund and Manufacturers Hanover Trust Company
(previously filed with Pre-Effective Amendment No. 2 on March 26, 1985).
</TABLE>
- -------------
* Incorporated by reference.
3
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
*(8)(b) Amendment of Custodian Agreement between the Fund and Manufacturers Hanover Trust
Company (previously filed with Post-Effective Amendment No. 1 on August 14, 1985).
*(8)(c) Custody Agreement, dated January 27, 1986, among the Fund, Integrity and The Chase
Manhattan Bank, N.A. ("Chase") (previously filed with Post-Effective Amendment
No. 5 on February 28, 1986).
*(8)(d) Amendment of Custodian Agreement between the Fund and Manufacturers Hanover Trust
Company, extending the Agreement to December 31, 1985 (previously filed with
Post-Effective Amendment No. 4 on January 10, 1986).
*(8)(e) Amendment of Custodian Agreement between the Fund and Manufacturers Hanover Trust
Company, extending the Agreement to January 31, 1986 (previously filed with
Post-Effective Amendment No. 4 on January 10, 1986).
*(8)(f) Custodian Agreement between the Trust and Chase, dated August 25, 1988 (previously
filed with Post-Effective Amendment No. 12 on April 28, 1989).
*(9)(a)(1) Agreement and Plan of Reorganization among Equitable Variable, Separate Account
I of Equitable Variable, Separate Account II of Equitable Variable and the Fund
(previously filed with the original Registration Statement on December 20, 1984).
*(9)(a)(2) Agreement relating to effective date of reorganization among Separate Account I
of Equitable Variable, Separate Account II of Equitable Variable and the Fund
(previously filed with Pre-Effective Amendment No. 1 on March 14, 1985).
*(9)(b) Agreement pursuant to Rule 11a2-2(T) under the Securities Exchange Act of 1934
among the Fund, Integrity, EIMC, Donaldson, Lufkin & Jenrette Securities Corporation
and Autranet, Inc. (previously filed with Post-Effective Amendment No. 1 on August
14, 1985).
*(9)(1) Code of Ethics of the Fund (previously filed with Pre-Effective Amendment No. 1
on March 14, 1985).
*(9)(c)(2) Amendment of Code of Ethics of the Fund (previously filed with Post-Effective Amendment
No. 1 on August 14, 1985).
*(9)(d) Fidelity Bond between the Fund and National Union Fire Insurance Company of Pittsburgh,
Pa.
*(9)(e) Form of Agreement and Plan of Reorganization between the Fund and the Trust (previously
filed with Post-Effective Amendment No. 9 on August 17, 1987).
(10) Inapplicable.
(11)(a)(1) Consent of Deloitte & Touche LLP.
(11)(a)(2) Consent of Price Waterhouse LLP.
*(11)(b)(1) Powers of Attorney (previously filed with Post-Effective Amendment No. 12 on April
28, 1989).
*(11)(b)(2) Powers of Attorney (previously filed with Post-Effective Amendment No. 14 on April
30, 1991).
*(11)(b)(3) Powers of Attorney (previously filed with Post-Effective Amendment No. 17 on February
26, 1992).
</TABLE>
- -------------
* Incorporated by reference.
4
<PAGE>
<TABLE>
<CAPTION>
<S> <C>
*(11)(b)(4) Powers of Attorney (previously filed with Post-Effective Amendment No. 19 on March
2, 1993).
*(11)(b)(5) Powers of Attorney (previously filed with Post-Effective Amendment No. 20 on June
28, 1993).
*(11)(b)(6) Powers of Attorney (previously filed with Post-Effective Amendment No. 24 on December
1, 1994).
(12) Inapplicable.
(13) See Exhibit number 9(a)(1) above.
(14) Inapplicable.
(15) Inapplicable.
(16) Schedule for computation of Portfolio yield quotations and total return.
(17) Financial Data Schedule.
</TABLE>
- ------------
* Incorporated by reference.
ITEM 25. PERSONS CONTROLLED BY OR UNDER COMMON CONTROL WITH REGISTRANT
Equitable and Equitable Variable control the Trust by virtue of their
ownership of 99.5% of the Trust's shares as of March 31, 1995. All Trust
shareholders are required to solicit instructions from their policyowners as
to certain matters. The Trust also offers its shares to insurance companies
unaffiliated with Equitable or Equitable Variable.
On July 22, 1992, Equitable converted from a New York mutual life
insurance company to a publicly-owned New York stock life insurance company.
At that time Equitable became a wholly-owned subsidiary of The Equitable
Companies Incorporated ("Holding Company" or "EQ") and currently Equitable
constitutes the Holding Company's only operating business. Equitable Variable
(a New York stock life insurance company) is a wholly-owned subsidiary of
Equitable.
The largest stockholder of the Holding Company is AXA, a French insurance
holding company. AXA currently owns approximately 60% of the outstanding
shares of common stock of the Holding Company plus convertible preferred
stock. AXA, a public company with shares traded on the Paris Bourse (the
French stock exchange), is the principal holding company for most of the
companies in one of the largest insurance groups in Europe. The majority of
AXA's stock is owned by a group of five French mutual insurance companies.
The response to Item 26 included in Post-Effective Amendment No. 5 to the
Registration Statement on Form N-4 for Separate Account A of Equitable (File
Nos. 33-47949 and 811-1705) is incorporated herein by reference.
ITEM 26. NUMBER OF HOLDERS OF SECURITIES
<TABLE>
<CAPTION>
(1)
TITLE OF CLASS (2) NUMBER OF RECORD HOLDERS AS OF MARCH 31, 1996
- ----------------------------- -------------------------------------------------------
<S> <C>
SHARES OF BENEFICIAL INTEREST 14
</TABLE>
5
<PAGE>
ITEM 27. INDEMNIFICATION
DECLARATION OF TRUST
The Declaration of Trust provides in substance that no Trustee or officer
and no investment adviser or other third party shall be liable to the Trust,
its shareholders, or to any shareholder, Trustee, officer, employee or agent
for any action or failure to act, except upon a showing of bad faith, willful
misfeasance, gross negligence or reckless disregard of duties. The
Declaration of Trust further provides in substance that, with the exceptions
stated above, a Trustee or officer of the Trust is entitled to be indemnified
against all liability incurred in connection with the affairs of the Trust.
In addition, the Declaration of Trust authorizes the Trust to purchase and
pay for liability insurance to indemnify the Trustees and officers against
certain claims and liabilities.
MASSACHUSETTS LAW
Under Massachusetts law, shareholders of a Massachusetts business trust
such as the Trust may, under certain circumstances, be held personally liable
as partners for the obligations of the Trust. The Trust's Declaration of
Trust contains an express disclaimer of shareholder liability for acts or
obligations of the Trust and requires that notice of such disclaimer be given
in each agreement, obligation or instrument entered into or executed by the
Trust or the Trustees.
INSURANCE
To the extent permitted by New York law and subject to all applicable
requirements thereof, Equitable has undertaken to indemnify each Trustee and
officer of the Trust, so long as Equitable indirectly controls the Trust, who
is made or threatened to be made a party to any action or proceeding, whether
civil or criminal, by reason of the fact that he or she, his or her testator
or intestate, is or was a Trustee or officer of the Trust.
The Trustees and officers are insured under a policy issued by Lloyd's of
London to Equitable and certain affiliates:
Annual Limit: $25,000,000
Deductible: $5,000,000 each loss and aggregate for company
retention, nil per trustee and officer individually.
The Trustees and officers are also insured under a policy issued by X.L.
Insurance Company of $25,000,000 coverage and a policy issued by A.C.E.
Insurance Company of $50,000,000 coverage excess of the Lloyd's policy.
UNDERTAKING
Insofar as indemnification for liability arising under the Securities Act
of 1933 (the "Act") may be permitted to directors, officers and controlling
persons of the registrant pursuant to the foregoing provisions, or otherwise,
the registrant has been advised that in the opinion of the Securities and
Exchange Commission such indemnification is against public policy as
expressed in the Act and is, therefore, unenforceable. In the event that a
claim for indemnification against such liabilities (other than the payment by
the registrant of expenses incurred or paid by a director, officer or
controlling person of the registrant in the successful defense of any action,
suit or proceeding) is asserted by such director, officer or controlling
person in connection with the securities being registered, the registrant
will, unless in the opinion of its counsel the matter has been settled by
controlling precedent, submit to a court of appropriate jurisdiction the
question whether such indemnification by it is against public policy as
expressed in the Act and will be governed by the final adjudication of such
issue.
ITEM 28. BUSINESS AND OTHER CONNECTIONS OF INVESTMENT ADVISER
The descriptions of Alliance Capital Management L.P. under the caption
"Management of the Trust" in the Prospectus and under the caption "Investment
Advisory and Other Services" in the Statement of Additional Information
constituting Parts A and B, respectively, of this Registration Statement are
incorporated by reference herein.
6
<PAGE>
The information as to the directors and executive officers of Alliance
Capital Management Corporation, the general partner of Alliance Capital
Management L.P., set forth in Alliance Capital Management L.P.'s Form ADV
filed with the Securities and Exchange Commission on April 21, 1988 (File No.
801-32361) and amended through the date hereof, is incorporated by reference.
ITEM 29. PRINCIPAL UNDERWRITERS
(a) EQ Financial Consultants, Inc. is the principal underwriter of the
Trust.
(b) Set forth below is certain information regarding the directors and
officers of EQ Financial Consultants, Inc., the principal underwriter of the
Trust. The business address of the persons whose names are preceded by a
single asterisk is 787 Seventh Avenue, New York, New York 10019. The business
address of the persons whose names are preceded by a double asterisk is 1755
Broadway, 3rd Floor, New York, New York 10019. Ms. Krumsiek's business
address is 1345 Avenue of the Americas, 33rd Floor, New York, New York 10105.
Mr. Kornweiss's business address is 4251 Crums Mill Road, Harrisburg, PA
17112.
<TABLE>
<CAPTION>
POSITIONS AND POSITIONS AND
NAME AND PRINCIPAL OFFICES WITH OFFICES WITH
BUSINESS ADDRESS EQ FINANCIAL CONSULTANTS, INC. REGISTRANT
- ---------------------------- ----------------------------------------------------- ------------------
<S> <C> <C>
DIRECTORS
*Derry E. Bishop Director None
*Harvey Blitz Director None
Barbara J. Krumsiek Director Vice President
*Michael S. Martin Director Vice President
**Michael F. McNelis Director None
**Richard V. Silver Director None
Mark R. Wutt Director None
OFFICERS
*Michael S. Martin Chairman of the Board and Chief Executive Officer Vice President
**Michael F. McNelis President and Chief Operating Officer None
*Derry E. Bishop Executive Vice President None
*Gordon G. Dinsmore Executive Vice President None
*Donald D. Higgins Executive Vice President None
**Martin J. Telles Executive Vice President None
*Fred A. Folco Executive Vice President None
*Thomas J. Duddy, Jr. Executive Vice President None
*William J. Green Executive Vice President None
*A. Frank Beaz Executive Vice President None
*Dennis D. Witte Executive Vice President None
**Robert McKenna Senior Vice President and Chief Financial Officer None
**Theresa A. Nurge-Alws Senior Vice President None
Naomi Friedland-Wechsler General Counsel None
**Ronald Boswell First Vice President None
**Donna M. Dazzo First Vice President None
**Nancy Yurinan First Vice President None
**Michael Brzozowski Vice President None
**Amy Franceschini Vice President None
**Linda Funigiello Vice President None
**James Furlong Vice President None
**Richard Koll Vice President None
Peter R. Kornweiss Vice President None
**Frank Lupo Vice President None
**T.S. Narayanan Vice President None
*Janet E. Hannon Secretary None
*Linda J. Galasso Assistant Secretary None
</TABLE>
(c) Inapplicable.
7
<PAGE>
ITEM 30. LOCATION OF ACCOUNTS AND RECORDS
The Trust's accounts and records required to be maintained by Section
31(a) of the Investment Company Act of 1940 and the Rules thereunder are in
the physical possession of the following:
The Trust
Rule 31a-1(b)(4)
Rule 31a-2(a)(1)
Alliance Capital Management Corporation
135 West 50th Street
New York, New York 10019
Rule 31a-1(b)(1)-(3),(5)-(12)
Rule 31a-2(a)(1)-(2)
The Chase Manhattan Bank, N.A.
One Chase Manhattan Plaza
New York, New York 10081
Rule 31a-1(b)(2)-(3)
Rule 31a-2(a)(2)
ITEM 31. MANAGEMENT SERVICES
Inapplicable.
ITEM 32. UNDERTAKINGS
The Registrant undertakes to furnish each person to whom a prospectus is
delivered with a copy of the Registrant's latest annual report to
shareholders upon request and without charge.
***************
NOTICE
A copy of the Declaration of Trust of The Hudson River Trust (the "Trust")
is on file with the Secretary of State of The Commonwealth of Massachusetts
and notice is hereby given that this Registration Statement has been executed
on behalf of the Trust by an officer of the Trust as an officer and by its
Trustees as trustees and not individually and the obligations of or arising
out of this Registration Statement are not binding upon any of the Trustees,
officers or shareholders individually but are binding only upon the assets
and property of the Trust.
8
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933 and the
Investment Company Act of 1940, the Registrant certifies that it meets all of
the requirements for effectiveness of the Registration Statement pursuant to
Rule 485(b) under the Securities Act of 1933 and has duly caused this
amendment to the Registration Statement to be signed on its behalf by the
undersigned, thereunto duly authorized, in the City of New York, and the
State of New York on the 30 day of April 1996.
THE HUDSON RIVER TRUST
By: /s/ Kathleen A. Corbet
-----------------------------------
Title: Vice President
Pursuant to the requirements of the Securities Act of 1933, this amended
Registration Statement has been signed below by the following persons in the
capacities and on the date indicated.
PRINCIPAL EXECUTIVE OFFICER:
James M. Benson,
President and Chief Executive Officer
PRINCIPAL FINANCIAL OFFICER:
Mark D. Gersten,
Treasurer and Chief Financial Officer
PRINCIPAL ACCOUNTING OFFICER:
Laura Mah,
Controller and Chief Accounting Officer
TRUSTEES:
John D. Carifa
Richard W. Couper
Brenton W. Harries
Howard E. Hassler
William L. Mannion
Alton G. Marshall
Brian S. O'Neil
Donald J. Robinson
Doris H. Smith
By: /s/ Edmund P. Bergan, Jr.
-----------------------------------
Edmund P. Bergan, Jr.
As Attorney-in-Fact
April 30, 1996
9
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION
- --------------- ----------------------------------------
<S> <C>
11(a)(1) Consent of Deloitte & Touche LLP
11(a)(2) Consent of Price Waterhouse LLP
16 Schedule of Performance Calculations
27 Financial Data Schedule
</TABLE>
CONSENT OF INDEPENDENT AUDITORS
HUDSON RIVER TRUST:
We consent to the reference to us under the heading "Financial Highlights" in
the Prospectus which is part of Post-Effective Amendment No. 26 to Registration
Statement No. 2-94996.
/s/ Deloitte & Touche LLP
DELOITTE & TOUCHE LLP
New York, New York
April 30, 1996
CONSENT OF INDEPENDENT ACCOUNTANTS
We hereby consent to the use in the Statement of Additional Information
constituting part of this Post-Effective Amendment No. 27 to the registration
statement on Form N-1A (the "Registration Statement") of our report dated
February 8, 1996, relating to the financial statements and financial highlights
of the Hudson River Trust, which appears in such Statement of Additional
Information, and to the incorporation by reference of our report into the
Prospectus which constitutes part of this Registration Statement. We also
consent to the reference to us under the heading "Financial Highlights" in such
Prospectus and to the reference to us under the heading "Independent
Accountants" in such Statement of Additional Information.
PRICE WATERHOUSE LLP
1177 Avenue of the Americas
New York, New York 10036
April 26, 1996
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
HIGH YIELD PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust High Yield
Portfolio for the one and five year and since inception periods ended December
31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,199.17 as of 12/31/95 ERV = $2,007.21 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,199.17/$1,000)1/1-1 T = ($2,007.21/$1,000)1/5-1
T = 19.92% T = 14.95%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 1/2/87
n = 9.00 years (1/2/87 to
12/31/95)
ERV = $2,397.46 as of 12/31/95
Calculation - Since Inception Return
------------------------------------
T = ($2,397.46/$1,000)1/9.00-1
T = 10.20%
HRTPERF-2
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
AGGRESSIVE STOCK PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Aggressive
Stock Portfolio for the one and five year and since inception periods ended
December 31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,316.34 as of 12/31/95 ERV = $2,675 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,316.34/$1,000)1/1-1 T = ($2,675/$1,000)1/5-1
T = 31.63% T = 21.75%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 1/27/86
n = 9.93 years (1/27/86 to
12/31/95)
ERV = $6,122.64 as of 12/31/95
Calculation - Since Inception Return
------------------------------------
T = ($6,122.64/$1,000)1/9.93-1
T = 20.02%
HRTPERF-4
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
BALANCED PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Balanced
Portfolio for the one and five year and since inception periods ended December
31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,197.53 as of 12/31/95 ERV = $1,697.85 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,197.53/$1,000)1/1-1 T = ($1,697.85/$1,000)1/5-1
T = 19.75% T = 11.17%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 1/27/86
n = 9.93 years (1/27/86 to
12/31/95)
ERV = $3,104.10 as of 12/31/95
Calculation - Since Inception Return
------------------------------------
T = ($3,104.10/$1,000)1/9.93-1
T = 12.08%
HRTPERF-5
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
COMMON STOCK PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Common Stock
Portfolio for the one, five and ten year periods ended December 31, 1995 are set
forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,324.47 as of 12/31/95 ERV = $2,302.88 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,324.47/$1,000)1/1-1 T = ($2,302.88/$1,000)1/5-1
T = 32.45% T = 18.16%
Ten Year Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 1/1/85
n = 10 years (1/1/85 to
12/31/95)
ERV = $4,103.80 as of 12/31/95
Calculation - Ten Year Return
-----------------------------
T = ($4,103.80/$1,000)1/10-1
T = 5.16%
HRTPERF-6
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
MONEY MARKET PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Money Market
Portfolio for the one, five and ten year periods ended December 31, 1995 are set
forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,057.44 as of 12/31/95 ERV = $1,245.06 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,057.44/$1,000)1/1-1 T = ($1,245.06/$1,000)1/5-1
T = 5.74% T = 4.48%
Ten Year Return
Period Ended
December 31, 1995
-------------------
Given: P = $1,000 on 1/1/86
n = 10 years (1/1/86 to
12/31/95)
ERV = $1,794.99 as of 12/31/95
Calculation - Ten Year Return
T = ($1,794.99/$1,000)1/10-1
T = 6.02%
HRTPERF-7
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO
--------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Intermediate
Government Securities Portfolio for the one year and since inception periods
ended December 31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Since Inception Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 4/1/91
n = 1 year (1/1/95 to n = 4.75 years (4/1/91
12/31/95) to 12/31/95)
ERV = $1,133.29 as of 12/31/95 ERV = $1,418.29 as of 12/31/95
Calculation - One Year Return Calculation - Since Inception Return
- ----------------------------- ------------------------------------
T = ($1,133.29/$1,000)1/1-1 T = ($1,418.29/$1,000)1/4.75-1
T = 13.33% T = 7.63%
HRTPERF-8
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
CONSERVATIVE INVESTORS PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Conservative
Investors Portfolio for the one and five year and since inception periods ended
December 31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,204.03 as of 12/31/95 ERV = $1,621.34 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,204.03/$1,000)1/1-1 T = ($1,621.34/$1,000)1/5-1
T = 20.40% T = 10.15%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 10/2/89
n = 6.25 years (10/2/89
to 12/31/95)
ERV = $1,778.58 as of 12/31/95
Calculation - Since Inception Return
------------------------------------
T = ($1,778.58/$1,000)1/6.25-1
T = 9.65%
HRTPERF-9
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
GLOBAL PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Global
Portfolio for the one and five year and since inception periods ended December
31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91 to
12/31/95) 12/31/95)
ERV = $1,188.14 as of 12/31/95 ERV = $2,144.79 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,188.14/$1,000)1/1-1 T = ($2,144.79/$1,000)1/5-1
T = 18.81% T = 16.49%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 8/27/87
n = 8.35 years (8/27/87
to 12/31/95)
ERV = $2,455.54 as of 12/31/95
Calculation - Since Inception Return
T = ($2,455.54/$1,000)1/8.35-1
T = 11.36%
HRTPERF-10
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
GROWTH INVESTORS PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Growth
Investors Portfolio for the one and five year and since inception periods ended
December 31, 1995 are set forth in the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Five Year Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 1/1/91
n = 1 year (1/1/95 to n = 5 years (1/1/91
12/31/95) to 12/31/95)
ERV = $1,263.69 as of 12/31/95 ERV = $2,204.52 as of 12/31/95
Calculation - One Year Return Calculation - Five Year Return
- ----------------------------- ------------------------------
T = ($1,263.69/$1,000)1/1-1 T = ($2,204.52/$1,000)1/5-1
T = 26.37% T = 17.13%
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 10/2/89
n = 6.25 years (10/2/89
to 12/31/95)
ERV = $2,535.74 as of 12/31/95
Calculation - Since Inception Return
------------------------------------
T = ($2,535.74/$1,000)1/6.25-1
T = 16.05%
HRTPERF-11
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
INTERNATIONAL PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust International
Portfolio since inception for the period ended December 31, 1995 is set forth in
the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
Since Inception Return
Period Ended
December 31, 1995
-----------------
Given: P = $1,000 on 4/3/95
n = 0.75 years (4/3/95
to 12/31/95)
ERV = $1,112.88 as of 12/31/95
Calculation - Since Inception Return*
-------------------------------------
T = ($1,112.88/$1,000)-1
T = 11.29%
* Total return calculated for the period from inception
through December 31, 1995 (less than one year) is not annualized.
HRTPERF-12
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
EQUITY INDEX PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Equity Index
Portfolio since inception for the period ended December 31, 1995 is set forth in
the illustrations below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Since Inception Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- ----------------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 3/1/94
n = 1 year (1/1/95 to n = 1.84 years (3/1/94
12/31/95) to 12/31/95)
ERV = $1,364,81 as of 12/31/95 ERV = $1,379.58 as of 12/31/95
Calculation - One Year Return Calculation - Since Inception Return*
----------------------------- -------------------------------------
T = ($1,364.81/$1,000)1/1-1 T = ($1,379.58/$1,000)1/1.84-1
T = 36.48 T = 19.11%
HRTPERF-12
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
QUALITY BOND PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Quality Bond
Portfolio for the one year and since inception periods ended December 31, 1995
are set forth in the illustration below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Since Inception Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 10/1/93
n = 1 year (1/1/95 to n = 2.25 years (10/1/93
12/31/95) to 12/31/95)
ERV = $1,170.25 as of 12/31/95 ERV = $1,104.97 as of 12/31/95
Calculation - One Year Return Calculation - Since Inception
- ----------------------------- -----------------------------
T = ($1,170.25/$1,000)1/1-1 T = ($1,104.97/$1,000)1/2.25-1
T = 17.02% T = 4.54%
HRTPERF-13
EXHIBIT 16(b)
CALCULATION OF AVERAGE ANNUAL TOTAL RETURN
HUDSON RIVER TRUST
GROWTH AND INCOME PORTFOLIO
------------------------------------------
Average annual total return for a Portfolio for a specified period is found by
first taking a hypothetical $1,000 investment ("initial investment") in the
Portfolio's shares on the first day of the period, and computing the "redeemable
value" of that investment at the end of the period. The redeemable value is
then divided by the initial investment, and this quotient is taken to the Nth
root (N representing the number of years in the period) and 1 is subtracted from
the result, which is then expressed as a percentage. The calculation assumes
that all income and capital gains dividends paid by the Portfolio have been
reinvested at net asset value on the reinvestment dates during the period.
Average annual total return calculation for the Hudson River Trust Growth and
Income Portfolio for the one year and since inception periods ended December 31,
1995 are set forth in the illustration below.
T = (ERV/P)1/n-1
Where:
P = a hypothetical initial investment of $1,000
T = average annual total return
n = number of years
ERV = ending redeemable value: ERV is the value, at the end of the
applicable period, of a hypothetical $1,000 investment made
at the beginning of the applicable period.
One Year Return Since Inception Return
Period Ended Period Ended
December 31, 1995 December 31, 1995
----------------- -----------------
Given: P = $1,000 on 1/1/95 Given: P = $1,000 on 10/1/93
n = 1 year (1/1/95 to n = 2.25 years (10/1/93
12/31/95) to 12/31/95)
ERV = $1,240.72 as of 12/31/95 ERV = $1,230.49 as of 12/31/95
Calculation - One Year Return Calculation - Since Inception
- ----------------------------- -----------------------------
T = ($1,240.72/$1,000)1/1-1 T = ($1,230.49/$1,000)1/2.25-1
T = 24.07% T = 9.66%
HRTPERF-14
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 1
<NAME> COMMON STOCK PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 3,900,452,197
<INVESTMENTS-AT-VALUE> 4,875,871,045
<RECEIVABLES> 18,048,637
<ASSETS-OTHER> 13,991,920
<OTHER-ITEMS-ASSETS> 18,344,700
<TOTAL-ASSETS> 4,926,256,302
<PAYABLE-FOR-SECURITIES> 8,035,250
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 38,544,052
<TOTAL-LIABILITIES> 46,579,302
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 3,916,746,349
<SHARES-COMMON-STOCK> 296,135,981
<SHARES-COMMON-PRIOR> 259,461,555
<ACCUMULATED-NII-CURRENT> 8,246,095
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (34,107,750)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 988,792,306
<NET-ASSETS> 4,879,677,000
<DIVIDEND-INCOME> 62,582,054
<INTEREST-INCOME> 6,975,119
<OTHER-INCOME> 0
<EXPENSES-NET> 16,124,237
<NET-INVESTMENT-INCOME> 53,432,936
<REALIZED-GAINS-CURRENT> 262,461,526
<APPREC-INCREASE-CURRENT> 845,152,888
<NET-CHANGE-FROM-OPS> 1,161,047,350
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (60,000,594)
<DISTRIBUTIONS-OF-GAINS> (270,958,905)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 32,314,046
<NUMBER-OF-SHARES-REDEEMED> (15,886,663)
<SHARES-REINVESTED> 20,247,043
<NET-CHANGE-IN-ASSETS> 1,413,432,139
<ACCUMULATED-NII-PRIOR> 3,552,516
<ACCUMULATED-GAINS-PRIOR> (15,481,358)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 14,946,487
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 16,124,237
<AVERAGE-NET-ASSETS> 4,210,139,494
<PER-SHARE-NAV-BEGIN> 13.36
<PER-SHARE-NII> 0.20
<PER-SHARE-GAIN-APPREC> 4.12
<PER-SHARE-DIVIDEND> (0.22)
<PER-SHARE-DISTRIBUTIONS> (0.98)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 16.48
<EXPENSE-RATIO> 0.38
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 2
<NAME> MONEY MARKET PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 382,846,598
<INVESTMENTS-AT-VALUE> 383,012,005
<RECEIVABLES> 3,729,772
<ASSETS-OTHER> 116,470
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 386,858,247
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 167,301
<TOTAL-LIABILITIES> 167,301
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 386,427,732
<SHARES-COMMON-STOCK> 38,057,162
<SHARES-COMMON-PRIOR> 32,095,980
<ACCUMULATED-NII-CURRENT> 97,807
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 165,407
<NET-ASSETS> 386,690,946
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 19,759,375
<OTHER-INCOME> 0
<EXPENSES-NET> 1,447,045
<NET-INVESTMENT-INCOME> 18,312,330
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 145,252
<NET-CHANGE-FROM-OPS> 18,457,582
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (18,199,892)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 38,608,910
<NUMBER-OF-SHARES-REDEEMED> (34,441,594)
<SHARES-REINVESTED> 1,793,866
<NET-CHANGE-IN-ASSETS> 61,299,950
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> (14,631)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,320,130
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,447,045
<AVERAGE-NET-ASSETS> 331,400,438
<PER-SHARE-NAV-BEGIN> 10.14
<PER-SHARE-NII> 0.57
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> (0.55)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 10.16
<EXPENSE-RATIO> 0.44
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 3
<NAME> BALANCED PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 1,383,682,049
<INVESTMENTS-AT-VALUE> 1,504,511,537
<RECEIVABLES> 17,083,736
<ASSETS-OTHER> 4,810,822
<OTHER-ITEMS-ASSETS> 160,627,359
<TOTAL-ASSETS> 1,687,033,454
<PAYABLE-FOR-SECURITIES> 2,659,384
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 161,232,342
<TOTAL-LIABILITIES> 163,891,726
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1,402,865,274
<SHARES-COMMON-STOCK> 90,899,832
<SHARES-COMMON-PRIOR> 89,448,391
<ACCUMULATED-NII-CURRENT> 86,599
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (639,633)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 120,829,488
<NET-ASSETS> 1,523,141,728
<DIVIDEND-INCOME> 10,938,202
<INTEREST-INCOME> 42,020,343
<OTHER-INCOME> 0
<EXPENSES-NET> 5,655,085
<NET-INVESTMENT-INCOME> 47,303,460
<REALIZED-GAINS-CURRENT> 64,616,058
<APPREC-INCREASE-CURRENT> 144,740,180
<NET-CHANGE-FROM-OPS> 256,659,698
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (47,099,230)
<DISTRIBUTIONS-OF-GAINS> (41,562,533)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,451,513
<NUMBER-OF-SHARES-REDEEMED> (7,393,399)
<SHARES-REINVESTED> 5,393,327
<NET-CHANGE-IN-ASSETS> 193,322,116
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (23,956,611)
<OVERDISTRIB-NII-PRIOR> (26,573)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 5,237,550
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 5,655,085
<AVERAGE-NET-ASSETS> 1,422,625,649
<PER-SHARE-NAV-BEGIN> 14.87
<PER-SHARE-NII> 0.54
<PER-SHARE-GAIN-APPREC> 2.36
<PER-SHARE-DIVIDEND> (0.54)
<PER-SHARE-DISTRIBUTIONS> (0.47)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 16.76
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 4
<NAME> AGGRESSIVE STOCK PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 2,162,160,335
<INVESTMENTS-AT-VALUE> 2,675,322,143
<RECEIVABLES> 28,430,909
<ASSETS-OTHER> 4,389,240
<OTHER-ITEMS-ASSETS> 64,978,600
<TOTAL-ASSETS> 2,773,120,892
<PAYABLE-FOR-SECURITIES> 6,430,077
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 66,175,966
<TOTAL-LIABILITIES> 72,606,043
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2,191,338,507
<SHARES-COMMON-STOCK> 75,690,902
<SHARES-COMMON-PRIOR> 59,811,998
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (4,129)
<ACCUMULATED-NET-GAINS> (3,981,337)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 513,161,808
<NET-ASSETS> 2,700,514,849
<DIVIDEND-INCOME> 9,527,352
<INTEREST-INCOME> 7,494,955
<OTHER-INCOME> 0
<EXPENSES-NET> 10,818,797
<NET-INVESTMENT-INCOME> 6,203,510
<REALIZED-GAINS-CURRENT> 346,368,084
<APPREC-INCREASE-CURRENT> 262,696,319
<NET-CHANGE-FROM-OPS> 615,267,913
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (6,246,522)
<DISTRIBUTIONS-OF-GAINS> (300,293,392)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 24,290,758
<NUMBER-OF-SHARES-REDEEMED> (17,101,621)
<SHARES-REINVESTED> 8,689,767
<NET-CHANGE-IN-ASSETS> 868,350,569
<ACCUMULATED-NII-PRIOR> 12,105
<ACCUMULATED-GAINS-PRIOR> (50,819,364)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 10,210,784
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 10,818,797
<AVERAGE-NET-ASSETS> 2,219,990,270
<PER-SHARE-NAV-BEGIN> 30.63
<PER-SHARE-NII> 0.10
<PER-SHARE-GAIN-APPREC> 9.54
<PER-SHARE-DIVIDEND> (0.10)
<PER-SHARE-DISTRIBUTIONS> (4.49)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 35.68
<EXPENSE-RATIO> 0.49
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 5
<NAME> HIGH YIELD PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 110,787,784
<INVESTMENTS-AT-VALUE> 112,882,893
<RECEIVABLES> 10,534,218
<ASSETS-OTHER> 30,052
<OTHER-ITEMS-ASSETS> 16,746,850
<TOTAL-ASSETS> 140,194,013
<PAYABLE-FOR-SECURITIES> 5,246,556
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 16,818,874
<TOTAL-LIABILITIES> 22,065,430
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 117,138,948
<SHARES-COMMON-STOCK> 12,254,186
<SHARES-COMMON-PRIOR> 8,292,776
<ACCUMULATED-NII-CURRENT> 22,557
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,128,031)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,095,109
<NET-ASSETS> 118,128,583
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 10,449,665
<OTHER-INCOME> 0
<EXPENSES-NET> 575,623
<NET-INVESTMENT-INCOME> 9,874,042
<REALIZED-GAINS-CURRENT> 1,037,899
<APPREC-INCREASE-CURRENT> 6,108,056
<NET-CHANGE-FROM-OPS> 17,019,997
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (10,259,504)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,920,577
<NUMBER-OF-SHARES-REDEEMED> (2,047,031)
<SHARES-REINVESTED> 1,087,864
<NET-CHANGE-IN-ASSETS> 44,233,954
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (1,762,421)
<OVERDISTRIB-NII-PRIOR> (6,358)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 521,901
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 575,623
<AVERAGE-NET-ASSETS> 95,478,393
<PER-SHARE-NAV-BEGIN> 8.91
<PER-SHARE-NII> 0.98
<PER-SHARE-GAIN-APPREC> 0.73
<PER-SHARE-DIVIDEND> (0.98)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.64
<EXPENSE-RATIO> 0.60
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 6
<NAME> GLOBAL PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 603,019,021
<INVESTMENTS-AT-VALUE> 678,407,015
<RECEIVABLES> 5,595,073
<ASSETS-OTHER> 6,667,534
<OTHER-ITEMS-ASSETS> 33,615,050
<TOTAL-ASSETS> 724,284,672
<PAYABLE-FOR-SECURITIES> 3,671,218
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 34,473,061
<TOTAL-LIABILITIES> 38,144,279
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 612,649,654
<SHARES-COMMON-STOCK> 43,590,992
<SHARES-COMMON-PRIOR> 30,411,710
<ACCUMULATED-NII-CURRENT> 455,586
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (1,942,133)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 74,977,286
<NET-ASSETS> 686,140,393
<DIVIDEND-INCOME> 7,426,190
<INTEREST-INCOME> 5,799,137
<OTHER-INCOME> 0
<EXPENSES-NET> 3,422,252
<NET-INVESTMENT-INCOME> 9,803,075
<REALIZED-GAINS-CURRENT> 17,804,800
<APPREC-INCREASE-CURRENT> 72,106,049
<NET-CHANGE-FROM-OPS> 99,713,924
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (9,500,310)
<DISTRIBUTIONS-OF-GAINS> (18,886,037)
<DISTRIBUTIONS-OTHER> (546,316)
<NUMBER-OF-SHARES-SOLD> 156,621,046
<NUMBER-OF-SHARES-REDEEMED> (4,317,611)
<SHARES-REINVESTED> 1,875,847
<NET-CHANGE-IN-ASSETS> 264,442,110
<ACCUMULATED-NII-PRIOR> 215,631
<ACCUMULATED-GAINS-PRIOR> (923,706)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2,957,363
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,422,252
<AVERAGE-NET-ASSETS> 557,491,807
<PER-SHARE-NAV-BEGIN> 13.87
<PER-SHARE-NII> 0.26
<PER-SHARE-GAIN-APPREC> 2.32
<PER-SHARE-DIVIDEND> (0.25)
<PER-SHARE-DISTRIBUTIONS> (0.45)
<RETURNS-OF-CAPITAL> (0.01)
<PER-SHARE-NAV-END> 15.74
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 7
<NAME> CONSERVATIVE INVESTORS PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 233,830,095
<INVESTMENTS-AT-VALUE> 248,258,573
<RECEIVABLES> 3,683,363
<ASSETS-OTHER> 297,764
<OTHER-ITEMS-ASSETS> 93,741,041
<TOTAL-ASSETS> 345,980,741
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 93,879,746
<TOTAL-LIABILITIES> 93,879,746
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 237,609,491
<SHARES-COMMON-STOCK> 21,883,284
<SHARES-COMMON-PRIOR> 17,113,999
<ACCUMULATED-NII-CURRENT> 63,026
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 14,428,478
<NET-ASSETS> 252,100,995
<DIVIDEND-INCOME> 524,570
<INTEREST-INCOME> 12,303,070
<OTHER-INCOME> 0
<EXPENSES-NET> 1,252,869
<NET-INVESTMENT-INCOME> 11,574,771
<REALIZED-GAINS-CURRENT> 11,270,671
<APPREC-INCREASE-CURRENT> 16,138,395
<NET-CHANGE-FROM-OPS> 38,983,837
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (11,510,223)
<DISTRIBUTIONS-OF-GAINS> (1,556,393)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 4,574,632
<NUMBER-OF-SHARES-REDEEMED> (983,364)
<SHARES-REINVESTED> 1,178,017
<NET-CHANGE-IN-ASSETS> 78,409,685
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (9,715,153)
<OVERDISTRIB-NII-PRIOR> (1,522)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 1,156,344
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1,252,869
<AVERAGE-NET-ASSETS> 211,378,418
<PER-SHARE-NAV-BEGIN> 10.15
<PER-SHARE-NII> 0.60
<PER-SHARE-GAIN-APPREC> 1.43
<PER-SHARE-DIVIDEND> (0.59)
<PER-SHARE-DISTRIBUTIONS> (0.07)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 11.52
<EXPENSE-RATIO> 0.59
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 8
<NAME> GROWTH INVESTORS PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 760,456,806
<INVESTMENTS-AT-VALUE> 878,864,009
<RECEIVABLES> 16,084,883
<ASSETS-OTHER> 4,000,377
<OTHER-ITEMS-ASSETS> 181,639,018
<TOTAL-ASSETS> 1,080,588,287
<PAYABLE-FOR-SECURITIES> 2,298,845
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 182,155,582
<TOTAL-LIABILITIES> 184,454,427
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 778,073,456
<SHARES-COMMON-STOCK> 50,677,525
<SHARES-COMMON-PRIOR> 33,600,588
<ACCUMULATED-NII-CURRENT> 105,968
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (397,563)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 118,351,999
<NET-ASSETS> 896,133,860
<DIVIDEND-INCOME> 5,787,751
<INTEREST-INCOME> 21,516,203
<OTHER-INCOME> 0
<EXPENSES-NET> 3,852,051
<NET-INVESTMENT-INCOME> 23,451,903
<REALIZED-GAINS-CURRENT> 20,094,016
<APPREC-INCREASE-CURRENT> 114,933,862
<NET-CHANGE-FROM-OPS> 158,479,781
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (23,881,643)
<DISTRIBUTIONS-OF-GAINS> (11,896,371)
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 16,117,087
<NUMBER-OF-SHARES-REDEEMED> (1,144,340)
<SHARES-REINVESTED> 2,104,190
<NET-CHANGE-IN-ASSETS> 403,656,311
<ACCUMULATED-NII-PRIOR> 146,879
<ACCUMULATED-GAINS-PRIOR> (8,208,832)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 3,584,538
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3,852,051
<AVERAGE-NET-ASSETS> 683,756,684
<PER-SHARE-NAV-BEGIN> 14.66
<PER-SHARE-NII> 0.57
<PER-SHARE-GAIN-APPREC> 3.24
<PER-SHARE-DIVIDEND> (0.55)
<PER-SHARE-DISTRIBUTIONS> (0.24)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 17.68
<EXPENSE-RATIO> 0.56
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 9
<NAME> INTERMEDIATE GOVERNMENT SECURITIES PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 74,723,960
<INVESTMENTS-AT-VALUE> 76,370,937
<RECEIVABLES> 5,102,058
<ASSETS-OTHER> 16,517
<OTHER-ITEMS-ASSETS> 6,643,688
<TOTAL-ASSETS> 88,133,200
<PAYABLE-FOR-SECURITIES> 9,666,046
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 6,687,329
<TOTAL-LIABILITIES> 16,353,375
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 79,487,800
<SHARES-COMMON-STOCK> 7,577,459
<SHARES-COMMON-PRIOR> 5,471,948
<ACCUMULATED-NII-CURRENT> 22,777
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (9,377,729)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,646,977
<NET-ASSETS> 71,779,825
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3,998,091
<OTHER-INCOME> 0
<EXPENSES-NET> 338,353
<NET-INVESTMENT-INCOME> 3,659,738
<REALIZED-GAINS-CURRENT> 1,061,357
<APPREC-INCREASE-CURRENT> 2,579,005
<NET-CHANGE-FROM-OPS> 7,300,100
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (3,633,574)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 3,178,905
<NUMBER-OF-SHARES-REDEEMED> (1,464,671)
<SHARES-REINVESTED> 391,277
<NET-CHANGE-IN-ASSETS> 23,261,961
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> (10,439,086)
<OVERDISTRIB-NII-PRIOR> (3,387)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 295,954
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 338,353
<AVERAGE-NET-ASSETS> 59,482,727
<PER-SHARE-NAV-BEGIN> 8.87
<PER-SHARE-NII> 0.58
<PER-SHARE-GAIN-APPREC> 0.57
<PER-SHARE-DIVIDEND> (0.55)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.47
<EXPENSE-RATIO> 0.57
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 10
<NAME> QUALITY BOND PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 149,681,749
<INVESTMENTS-AT-VALUE> 153,826,664
<RECEIVABLES> 3,658,221
<ASSETS-OTHER> 47,771
<OTHER-ITEMS-ASSETS> 20,985,500
<TOTAL-ASSETS> 178,518,156
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 21,075,309
<TOTAL-LIABILITIES> 21,075,309
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 159,028,166
<SHARES-COMMON-STOCK> 16,383,900
<SHARES-COMMON-PRIOR> 14,634,796
<ACCUMULATED-NII-CURRENT> 63,771
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (5,823,240)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 4,174,150
<NET-ASSETS> 157,442,847
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 9,694,417
<OTHER-INCOME> 0
<EXPENSES-NET> 847,560
<NET-INVESTMENT-INCOME> 8,846,857
<REALIZED-GAINS-CURRENT> 3,312,031
<APPREC-INCREASE-CURRENT> 10,351,408
<NET-CHANGE-FROM-OPS> 22,510,296
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> (8,729,254)
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2,039,780
<NUMBER-OF-SHARES-REDEEMED> (1,231,693)
<SHARES-REINVESTED> 941,017
<NET-CHANGE-IN-ASSETS> 29,867,378
<ACCUMULATED-NII-PRIOR> 683,882
<ACCUMULATED-GAINS-PRIOR> (10,071,395)
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 790,598
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 847,560
<AVERAGE-NET-ASSETS> 144,262,230
<PER-SHARE-NAV-BEGIN> 8.72
<PER-SHARE-NII> 0.57
<PER-SHARE-GAIN-APPREC> 0.88
<PER-SHARE-DIVIDEND> (0.56)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.61
<EXPENSE-RATIO> 0.59
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<SERIES>
<NUMBER> 11
<NAME> GROWTH & INCOME PORTFOLIO
<S> <C>
<PERIOD-TYPE> 12-MOS
<FISCAL-YEAR-END> DEC-31-1995
<PERIOD-END> DEC-31-1995
<INVESTMENTS-AT-COST> 86,427,597
<INVESTMENTS-AT-VALUE> 97,536,248
<RECEIVABLES> 1,548,467
<ASSETS-OTHER> 18,113
<OTHER-ITEMS-ASSETS> 1,066,750
<TOTAL-ASSETS> 100,169,578
<PAYABLE-FOR-SECURITIES> 994,457
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<NAME> EQUITY INDEX PORTFOLIO
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<NAME> INTERNATIONAL PORTFOLIO
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