Eaton Vance Investment Trust
For the Funds:
[bullet] EV Marathon California Limited Maturity Municipals Fund
[bullet] EV Marathon Connecticut Limited Maturity Municipals Fund
[bullet] EV Marathon Florida Limited Maturity Municipals Fund
[bullet] EV Marathon Massachusetts Limited Maturity Municipals Fund
[bullet] EV Marathon Michigan Limited Maturity Municipals Fund
[bullet] EV Marathon New Jersey Limited Maturity Municipals Fund
[bullet] EV Marathon New York Limited Maturity Municipals Fund
[bullet] EV Marathon Ohio Limited Maturity Municipals Fund
[bullet] EV Marathon Pennsylvania Limited Maturity Municipals Fund
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[logo]
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Annual Shareholder Report
March 31, 1997
<PAGE>
[boxed chart]
Results for
the year ended
March 31, 1997
<TABLE>
<CAPTION>
Total Dividends Fund Fund's If your The **Tax
Return* paid by Fund NAV distribution combined after-tax Infor-
(year (During (3/31/97) rate Federal & equivalent mation
ended period) at state tax yield you
3/31/97) 3/31/97 rate+ is... would need
is...
<S> <C> <C> <C> <C> <C> <C> <C> <C>
EV Marathon California 3.0% $0.397 $9.98 3.99% [state map] 41.95% 6.87% 98.99%
Limited Maturity
Municipals Fund -
Class I
EV Marathon California 3.4% $0.440 $9.98 4.72% [state map] 41.95% 8.13% 98.99%
Limited Maturity
Municipals Fund -
Class II
EV Marathon Connecticut 3.2% $0.371 $9.79 3.78% [state map] 38.88% 6.18% 98.21%
Limited Maturity
Municipals Fund -
Class I
EV Marathon Connecticut 3.3% $0.377 $9.79 4.51% [state map] 38.88% 7.38% 98.21%
Limited Maturity
Municipals Fund -
Class II
EV Marathon Florida 2.1% $0.396 $9.98 3.89% [state map] 39.29% 6.41% 99.76%
Limited Maturity
Municipals Fund -
Class I
EV Marathon Florida 2.5% $0.439 $9.98 4.63% [state map] 38.76% 7.56% 99.76%
Limited Maturity
Municipals Fund -
Class II
EV Marathon Massachu- 2.7% $0.383 $9.99 3.83% [state map] 43.68% 6.80% 99.57%
setts Limited Maturity
Municipals Fund -
Class I
EV Marathon Massachu- 3.2% $0.426 $9.99 4.56% [state map] 43.68% 8.10% 99.57%
setts Limited Maturity
Municipals Fund -
Class II
EV Marathon Michigan 4.1% $0.386 $9.74 3.96% [state map] 40.02% 6.60% 99.85%
Limited Maturity
Municipals Fund -
Class I
EV Marathon Michigan 4.4% $0.409 $9.74 4.71% [state map] 40.02% 7.85% 99.85%
Limited Maturity
Municipals Fund -
Class II
EV Marathon New Jersey 3.5% $0.390 $10.07 3.87% [state map] 40.08% 6.46% 99.38%
Limited Maturity
Municipals Fund -
Class I
EV Marathon New Jersey 4.0% $0.433 $10.07 4.60% [state map] 40.08% 7.68% 99.38%
Limited Maturity
Municipals Fund -
Class II
EV Marathon New York 2.8% $0.389 $10.04 3.86% [state map] 40.38% 6.47% 99.93%
Limited Maturity
Municipals Fund -
Class I
EV Marathon New York 3.2% $0.432 $10.04 4.59% [state map] 40.38% 7.70% 99.93%
Limited Maturity
Municipals Fund -
Class II
EV Marathon Ohio 3.9% $0.397 $9.82 4.07% [state map] 40.80% 6.88% 99.70%
Limited Maturity
Municipals Fund -
Class I
EV Marathon Ohio 4.1% $0.419 $9.82 4.81% [state map] 40.80% 8.13% 99.70%
Limited Maturity
Municipals Fund -
Class II
EV Marathon Pennsyl- 3.1% $0.402 $10.10 3.98% [state map] 44.22% 7.14% 99.63%
vania Limited Maturity
Municipals Fund -
Class I
EV Marathon Pennsyl- 3.6% $0.446 $10.10 4.71% [state map] 43.23% 8.30% 99.63%
vania Limited Maturity
Municipals Fund -
Class II
</TABLE>
* Total returns do not include effect of Fund's contingent deferred sales charge
incurred by redeeming shareholders as follows: 1st year - 3%; 2nd year - 2.5%;
3rd year - 2%; 4th year - 1%. **Percentages represent the portions of the total
dividends paid by the Funds from net investment income during the year ended
March 31, 1997, that have been designated as tax-exempt interest dividends. Tax
legislation eliminated the exception to the market discount rules applicable to
tax-exempt obligations. As a result, certain tax-exempt obligations acquired by
the Portfolio at market discounts may generate a small amount of ordinary
taxable income. Tax rates for Florida and Pennsylvania vary with effect of
intangibles and personal property taxes.
2
<PAGE>
To Shareholders:
The municipal bond market in 1996 was characterized by heightened volatility as
investors reacted to a seesaw interest rate environment and a
politically-charged debate over the possibility of a flat tax. After showing
signs of slowing at the year's outset, it became apparent in the first quarter
of 1996 that the economy was stronger than anticipated and that inflation, while
still modest, would bear further watching. Consequently, long-term bond yields
climbed steadily higher, reaching their peak in mid-June, 1996.
Investors were heartened by economic reports in the second half of the year that
showed a scenario of slow growth and low inflation. In addition, the federal
budget deficit, which had ballooned in the 1980s and had been so long the bane
of fixed-income investors, fell to just 1.5% of gross domestic product. Against
that favorable backdrop, bond yields finished the year at lower levels than at
mid-year.
The first quarter of 1997 has been marked by stronger-than-expected economic
growth, a tightening labor market, and increasing uneasiness over inflation,
which remains low. At its March 25 meeting, the Federal Reserve raised the
Federal Funds Rate 0.25% in an effort to slow the economy and make a preemptory
strike at inflation. In response to 1997's economic events, the bond market has
sold off somewhat, and the yield on the 30-year Treasury Bond - a widely-held
gauge of bond market sentiment - rose to 7.08% on March 31 from 6.64% at the end
of 1996.
Despite Changing Market Conditions, Municipal Bonds Remain
an Attractive Investment
According to the Public Securities Association, state and local governments sold
roughly $183 billion in securities in 1996, and will sell approximately the same
volume in 1997. That is sharply lower than the supply levels for 1995 and
earlier. With greatly reduced supply and increasing competition for bonds,
municipal bonds should retain their value among tax-conscious investors.
We believe an investment in municipal bonds continues to represent good value
for several reasons. First, Congress and the Clinton Administration have reached
a tentative agreement to balance the budget over the next five years - a
development viewed favorably by bond investors. Second, with the equity markets
having turned in two consecutive years of performances well above historical
averages, investors may look for alternatives within the bond markets. And
third, taxes remain a burden and, for most investors, municipal bonds are the
last remaining vehicle for tax relief. For these reasons, we believe that the
municipal market will continue to be a favored avenue for tax-conscious
investors. Eaton Vance's municipal bond department will continue to seek high,
tax-free current income for shareholders.
Sincerely,
[photo of Thomas J. Fetter] /s/ Thomas J. Fetter
Thomas J. Fetter,
President
May 9, 1997
[boxed text]
Fund shares are not guaranteed by the FDIC and are not deposits or other
obligations of, or guaranteed by, any depository institution. Shares are subject
to investment risks, including possible loss of principal invested.
3
<PAGE>
Management Discussion
An interview with William H. Ahern, Vice President, and Portfolio Manager of the
Connecticut, Florida, Massachusetts, Michigan, New Jersey and Ohio Limited
Maturity Municipals Portfolios.
Q. Bill, what were your impressions of the economy over the past year?
A. The economy has shown a good deal of resilience in the past year. While
many economists expected the growth trend to slow in late 1996 or early
1997, it has maintained fairly strong momentum. The good news is that the
expansion has continued without significant inflation. The Federal Reserve
has monitored the situation closely and has acted to preempt inflation,
most recently in March, when it raised the Federal funds rates by 25 basis
points (.25 percentage point). In response to the robust economic news, the
bond market has been quite volatile.
Q. What was behind the market volatility?
A. The volatility appears to be more in response to shifting investor
sentiment toward the inflation outlook than to any empirical evidence.
While actual inflation data have been rather tame, the Fed has, for some
time, signalled a bias for higher interest rates. Interestingly, with the
exception of its March rate hike, the Fed has been fairly restrained in its
actions. But the market has still been waiting for the other shoe to drop.
Meanwhile, investors have tended to overreact to economic reports,
especially employment data. With job creation very strong, interest rates
have risen more at the short end of the yield curve than the long end. That
has produced a fairly volatile environment for the bond market. As evidence
of that volatility, Treasury yields, which were 7.2% a year ago, declined
to 6.35% in November before moving back up to 7.1% at March 31. That's a
fairly wild ride for bond investors.
Q. So the Fed has been "jawboning" interest rates higher?
A. That's correct. For many months, the Fed was able to accomplish much of the
rate increase through public comment alone. This jawboning can be very
effective over the short run, but runs the risk of losing credibility if it
is not followed by action. Thus, the March rate increase, while a
relatively mild action, can be seen as part of a larger Fed strategy to
contain inflation.
Q. Did you make any changes within the Portfolios during the period?
A. Yes. We've made a number of STRUCTURAL changes to the Portfolios. As the
market has become increasingly generic in recent years, these structural
subtleties have become much more critical to performance. Our efforts have
been aimed primarily at enhancing liquidity, improving the Portfolios' call
protection, and adjusting duration or the degree to which the Portfolio
will respond to changes in interest rates.
By consolidating holdings, we have been able to reduce the number of bonds
in many of the Portfolios while increasing the average size of those
holdings. That helps to enhance the liquidity of the Portfolio. Call
protection, of course, continues to be an important consideration. By
increasing call protection, we have reduced the Portfolios' exposure to
untimely bond redemptions and increased upside potential. Finally, we have
used the market downturn as an opportunity to adjust the durations of the
Portfolios and improve the trading characteristics of our bonds. By keeping
an average duration generally in the 6.5-to-6.75 year range, we have
limited the damage during the recent downturn.
Q. Specifically, what is meant by a GENERIC market?
A. That refers to the fact that in recent years, quality spreads - the yield
difference between bonds of varying quality - have become increasingly
narrow. That is largely a function of the widespread use of insurance by
municipal bond issuers. Bonds that,
[photo]
William H. Ahern
4
<PAGE>
based on their underlying fundamentals, would ordinarily carry an A-rating,
receive a Aaa-rating due to private insurance. The result is that the
municipal market is increasingly dominated by insured issues. Perhaps more
than ever before, investors must really do their homework to find good
values.
Q. Has that affected your approach to the market?
A. Yes. I think the changing make-up of the market has made it necessary for
investors to expand their research efforts. For example, we have redoubled
our efforts in the non-rated sector of the market. The non-rated segment
typically consists of smaller issuers, such as colleges, nursing homes, or
private purpose industrial development bonds. Because these bonds lack
ratings from the major rating agencies, they may carry an unusually
attractive coupon. Naturally, investing in non-rated bonds requires
especially rigorous analysis. At Eaton Vance, we have dedicated more
resources and analysts to this area of the market. Equally as important,
we've developed our own internal criteria to make certain that these bonds
meet our strict standards of creditworthiness. By focusing on this segment
of the market, we have been able to add incrementally to our yields in an
era of declining spreads.
Q. Has the intermediate sector of the muni market performed in line with
expectations?
A. Yes. While the intermediate municipal market has declined with the rate
increases, it has characteristically declined less than the Treasury
market. The intermediate segment of the market was isolated from the
decline somewhat by shorter maturities as well as by the fact that price
changes in the municipal market are rarely as large as in the Treasury
market - either on the upside or the downside. Once again, the intermediate
bond market performed pretty much in line with expectations.
Q. Supply and demand has long been a major factor in the municipal market. Has
that been the case in the past year?
A. Issuance wasn't much of a factor in the municipal market in the past year.
New issuance in 1996 exceeded the levels of 1995, but not to the extent
that there was a glut. In addition to refundings that removed bonds from
the market in recent years, investor demand from individuals, mutual funds
and insurance companies was more than sufficient to meet new supply.
Q. Bill, as you look ahead to the rest of 1997, what is your view of the
municipal market?
A. I remain generally constructive on the outlook for municipal bonds. While
the economy has registered steady growth, inflation has been modest.
Continuing increases in productivity and global competition are helping to
keep inflation in check. Having said that, the Federal Reserve has been a
staunch inflation-fighter and, therefore, we can't rule out the possibility
of additional Fed rate hikes. That would be a potential hurdle over the
short-term. But it's important to remember that Federal tax rates remain
fairly onerous and municipal bonds are among the few ways for investors to
reduce their tax bills.
For the conservative investor, a major investment goal may be tax-free
income with lower volatility, the mandate of the Limited Municipals
Portfolios. While past performance is no guarantee of future results, the
intermediate sector has historically managed a good percentage of the yield
of long-term bonds, with roughly half of their volatility. I believe
intermediate municipals continue to merit consideration from conservative,
income-oriented investors.
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Included in the pages that follow are performance charts that compare your
Fund's total return with that of a broad-based securities market index. The
lines on the chart represent the total returns of $10,000 hypothetical
investments in your Fund and the unmanaged Lehman Brothers 7-year Municipal Bond
Index. The solid lines on the chart represents the Fund's performance. The
Fund's total return figure reflects fund expenses and portfolio transaction
costs, and assumes the reinvestment of income dividends and capital gain
distributions. The Fund's total return reflects contingent deferred sales
commission incurred by redeeming shareholders as follows: 1st year - 3%; 2nd
year - 2.5%; 3rd year - 2%; 4th year - 1%. The dotted line represents the
performance of the Lehman Brothers 7-Year Municipal Bond Index, a broad-based,
widely recognized unmanaged index of municipal bonds. Whereas the Fund's
portfolio is comprised principally of bonds solely from your individual state,
the Index is composed of bonds from all 50 states and many jurisdictions. The
Index's total return does not reflect any commissions or expenses that would be
incurred if an investor individually purchased or sold the securities
represented in the Index. It is not possible to invest directly in the Index.
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5
<PAGE>
EV Marathon California Limited Maturity Municipals Fund
Your investment at work [graphic of factory buildings]
Central Valley
Financing Authority
Carson Ice Project
These bonds were issued in 1993 to finance the construction of a cogeneration
power plant in Sacramento County following the voter-mandated shutdown of the
Rancho Seco nuclear power plant. Operated by the Carson Company, the gas-fired
project sells generated steam to the Sanitation District for use at its
Treatment Facility, as well as to the Glacier Valley Ice Plant, an affiliate of
Carson. The bonds finance the cost-effective production of public energy and a
safe alternative to nuclear energy, while also fulfilling the energy needs of a
jobs-producing private enterprise.
Portfolio Overview [map of California graphic]
Based on market value as of March 31, 1997
Number of issues............................... 23
Average quality................................ AA
Investment grade............................... 93.7%
Effective maturity (years)..................... 11.29
Largest sectors:
Insured hospital revenue................... 21.9%*
Escrowed/prerefunded....................... 16.4
Insured lease revenue/COP.................. 11.6*
Electric utilities......................... 9.0
Water & sewer revenue...................... 5.0
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: California
The California economy is once again moving at full throttle. Having lost
500,000 jobs in the 1990-93 recession, the state has added almost 1 million in
the past three years and continues to build momentum. Technology, foreign trade,
tourism and entertainment have been the main generators of jobs, according to
California's Center for Continuing Study. The film industry has added 60,000
jobs in the past three years alone, benefiting from increased sales to global
markets. Foreign trade has also been a vital element in the recovery of the
state's technology sector. Technology exports reached more than $72 billion in
1996. Venture capital funding in the pivotal Silicon Valley area exceeded $2
billion last year, a sign of growing confidence in the state's ability to
generate new products for the technology marketplace. Total employment is
expected to rise by 20% in the next decade, while household income should rise
35%, well above national levels. Mirroring the improvement in the California
economy, the state's revenues have improved significantly, running well above
estimates for the current fiscal year, and are likely to produce a surplus at
fiscal year-end.
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Comparison of Change in Value of a $10,000 Investment in EV Marathon
California Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From May 31, 1992, through March 31, 1997
[line chart]
Date Fund-Class I Fund-Class II LMBI
5/31/92+ $10,000 $10,000 $10,000
6/30/92 $10,050 $10,050 $10,159
7/31/92 $10,401 $10,401 $10,462
8/31/92 $10,228 $10,228 $10,354
9/30/92 $10,280 $10,280 $10,438
10/31/92 $10,142 $10,142 $10,368
11/30/92 $10,363 $10,363 $10,522
12/31/92 $10,448 $10,448 $10,608
1/31/93 $10,566 $10,566 $10,763
2/28/93 $10,914 $10,914 $11,093
3/31/93 $10,767 $10,767 $10,947
4/30/93 $10,864 $10,864 $11,015
5/31/93 $10,911 $10,911 $11,048
6/30/93 $11,037 $11,037 $11,250
7/31/93 $11,059 $11,059 $11,252
8/31/93 $11,232 $11,232 $11,451
9/30/93 $11,327 $11,327 $11,577
10/31/93 $11,337 $11,337 $11,607
11/30/93 $11,252 $11,252 $11,505
12/31/93 $11,419 $11,419 $11,716
1/31/94 $11,530 $11,530 $11,840
2/28/94 $11,299 $11,299 $11,583
3/31/94 $10,967 $10,967 $11,274
4/30/94 $11,012 $11,012 $11,356
5/31/94 $11,075 $11,075 $11,413
6/30/94 $11,028 $11,028 $11,392
7/31/94 $11,169 $11,169 $11,553
8/31/94 $11,179 $11,179 $11,613
9/30/94 $11,066 $11,066 $11,502
10/31/94 $10,943 $10,943 $11,387
11/30/94 $10,771 $10,771 $11,221
12/31/94 $10,860 $10,860 $11,391
1/31/95 $11,057 $11,057 $11,604
2/28/95 $11,286 $11,286 $11,866
3/31/95 $11,354 $11,354 $11,989
4/30/95 $11,360 $11,360 $12,021
5/31/95 $11,589 $11,589 $12,341
6/30/95 $11,523 $11,523 $12,330
7/31/95 $11,643 $11,643 $12,487
8/31/95 $11,725 $11,725 $12,634
9/30/95 $11,774 $11,774 $12,683
10/31/95 $11,871 $11,871 $12,793
11/30/95 $11,978 $11,978 $12,934
12/31/95 $12,039 $12,039 $13,003
1/31/96 $12,125 $12,125 $13,129
2/28/96 $12,081 $12,081 $13,084
3/31/96 $11,952 $11,952 $12,956
4/30/96 $11,932 $11,932 $12,932
5/31/96 $11,910 $11,910 $12,913
6/30/96 $11,965 $11,965 $13,012
7/31/96 $12,037 $12,030 $13,120
8/31/96 $12,029 $12,029 $13,127
9/30/96 $12,143 $12,151 $13,246
10/31/96 $12,218 $12,233 $13,388
11/30/96 $12,441 $12,464 $13,612
12/31/96 $12,348 $12,379 $13,570
1/31/97 $12,352 $12,389 $13,619
2/28/97 $12,446 $12,492 $13,732
3/31/97 $12,310 $12,362 $13,554
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AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 0.0% 4.4% $12,310
Class I, Without CDSC 3.0% 4.4% $12,310
Class II 3.4% 4.5% $12,362
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[/line chart]
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 5/29/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
6
<PAGE>
EV Marathon Connecticut Limited Maturity Municipals Fund
Your investment at work [mortarboard graphic]
CT Health & Education
Finance Authority
Quinnipiac College
This bond was issued in 1993 to finance the construction and furnishing of a
new 286-bed residence hall, to construct a series of buildings for the
relocation of the Law School, and to refund earlier Quinnipiac issues. In recent
years, Quinnipiac has continued its transformation from a commuter college to a
residential college, with the percentage of students residing on campus now
reaching over 70%. Rated BBB- by Standard & Poor's, the bonds carry a 6.0%
coupon and are an example of the Portfolio's research efforts during the past
year to find good value in lower-rated, investment-quality bonds.
Portfolio Overview [map of Connecticut graphic]
Based on market value as of March 31, 1997
Number of issues................................ 29
Average quality................................. AA
Investment grade................................ 100%
Effective maturity (years)...................... 9.80
Largest sectors:
Insured general obligations................. 22.8%*
Insured hospitals........................... 15.5*
Education................................... 12.8
General obligations......................... 9.8
Industrial Development Revenue.............. 7.4
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Connecticut
The Connecticut unemployment rate declined to 4.9% in February, bettering the
national average and providing another sign that the state economy is improving.
The state has witnessed strong employment growth in the past year, a marked
improvement from earlier in the decade. Housing permits through February
increased 25% from the same period a year ago. Retail sales also increased in
1996, rising 9.3%. Elsewhere, the casino industry has been particularly strong,
with Foxwood's Casino in Ledyard reportedly the highest grossing casino in the
country. With the addition of another casino in nearby Montville, the gaming
industry has produced significant job creation. Elsewhere, Pratt & Whitney, a
leading manufacturer of jet engines, increased its payroll in the past year.
Having laid off thousands of workers in the recession of the early 1990's, the
company has benefited from increased demand for aircraft from a resurgent
airline industry. On the fiscal front, the imposition of a state income tax in
1992 stabilized the Connecticut tax structure by reducing the state's economic
vulnerability and substantially increasing revenues. Total tax collections for
the fiscal year rose 4.4%, more than offseting higher Medicaid spending
requirements.
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Comparison of Change in Value of a $10,000 Investment in EV Marathon
Connecticut Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From April 30, 1993, through March 31, 1997
[line chart]
Date Fund-Class I Fund w/CDSC Fund-Class II LMBI
4/30/93+ $10,000 $11,349 $10,000 $10,000
5/31/93 $9,970 $11,349 $9,970 $10,030
6/30/93 $10,103 $11,349 $10,103 $10,213
7/31/93 $10,108 $11,349 $10,108 $10,215
8/31/93 $10,287 $11,349 $10,287 $10,396
9/30/93 $10,384 $11,349 $10,384 $10,510
10/31/93 $10,388 $11,349 $10,388 $10,537
11/30/93 $10,302 $11,349 $10,302 $10,444
12/31/93 $10,483 $11,349 $10,483 $10,636
1/31/94 $10,595 $11,349 $10,595 $10,749
2/28/94 $10,381 $11,349 $10,381 $10,516
3/31/94 $10,083 $11,349 $10,083 $10,235
4/30/94 $10,154 $11,349 $10,154 $10,310
5/31/94 $10,189 $11,349 $10,189 $10,361
6/30/94 $10,142 $11,349 $10,142 $10,343
7/31/94 $10,273 $11,349 $10,273 $10,488
8/31/94 $10,301 $11,349 $10,301 $10,543
9/30/94 $10,212 $11,349 $10,212 $10,442
10/31/94 $10,102 $11,349 $10,102 $10,337
11/30/94 $9,978 $11,349 $9,978 $10,187
12/31/94 $10,095 $11,349 $10,095 $10,341
1/31/95 $10,257 $11,349 $10,257 $10,535
2/28/95 $10,440 $11,349 $10,440 $10,772
3/31/95 $10,513 $11,349 $10,513 $10,884
4/30/95 $10,537 $11,349 $10,537 $10,913
5/31/95 $10,719 $11,349 $10,719 $11,204
6/30/95 $10,687 $11,349 $10,687 $11,194
7/31/95 $10,800 $11,349 $10,800 $11,336
8/31/95 $10,898 $11,349 $10,898 $11,470
9/30/95 $10,944 $11,349 $10,944 $11,514
10/31/95 $11,045 $11,349 $11,045 $11,614
11/30/95 $11,156 $11,349 $11,156 $11,742
12/31/95 $11,201 $11,349 $11,201 $11,804
1/31/96 $11,270 $11,349 $11,270 $11,919
2/28/96 $11,215 $11,349 $11,215 $11,878
3/31/96 $11,091 $11,349 $11,091 $11,762
4/30/96 $11,048 $11,349 $11,048 $11,740
5/31/96 $11,003 $11,349 $11,003 $11,723
6/30/96 $11,086 $11,349 $11,086 $11,813
7/31/96 $11,187 $11,349 $11,187 $11,911
8/31/96 $11,154 $11,349 $11,154 $11,917
9/30/96 $11,271 $11,349 $11,271 $12,025
10/31/96 $11,339 $11,349 $11,339 $12,154
11/30/96 $11,525 $11,349 $11,525 $12,357
12/31/96 $11,480 $11,349 $11,480 $12,319
1/31/97 $11,493 $11,349 $11,493 $12,364
2/28/97 $11,579 $11,349 $11,580 $12,467
3/31/97 $11,447 $11,349 $11,454 $12,305
Fund, assuming entire investment was redeemed on 3/31/97 & max. applicable
contingent deferred sales charge deducted from proceeds
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 0.2% 3.2% $11,349
Class I, Without CDSC 3.2% 3.5% $11,447
Class II 3.3% 3.5% $11,454
- -----------------------------------------------------------
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 4/16/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
[/line chart]
7
<PAGE>
EV Marathon Florida Limited Maturity Municipals Fund
Your investment at work [caduceus graphic]
Escambia County FL
Health Facilities Authority
Baptist Hospital, Inc.
Baptist Hospital is a major tertiary care center located in Pensacola. The
Hospital provides a wide range of inpatient and outpatient medical and surgical
services. In addition, the hospital provides specialty services in the areas of
obstetrics, behavioral medicine, psychiatry, substance abuse, diabetes,
hemodialysis, oncology, cardiology, and urology. This issue is a good example of
the Portfolio's efforts to find good value in non-rated or lower-rated
investment grade bonds. Rated BBB+ by Standard & Poor's, a major bond rating
agency, the bond carries an attractive 6% coupon.
Portfolio Overview [map of Florida graphic]
Based on market value as of March 31, 1997
Number of issues................................ 40
Average quality................................. AA
Investment grade................................ 98.3%
Effective maturity (years)...................... 11.44
Largest sectors:
General obligations......................... 17.0%
Escrowed.................................... 14.3
Utilities................................... 13.4
Insured - Hospital.......................... 9.5*
Insured - Transportation.................... 9.3*
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Florida
Florida remains a major generator of jobs in the southeastern U.S. economy,
utilizing its attractive climate and growing reputation as an entertainment
center. The state's economy continued to post solid growth in the past year,
with unemployment reaching a low of 5% in the final quarter of 1996, the lowest
level since 1988. The service sectors have been especially strong, providing the
bulk of new job creation. Meanwhile, the manufacturing sector remained weak,
with the exception of some strength in the aircraft, electrical equipment, and
appliances segments. Tourism remained a source of strength for the Florida
economy. Theme park attendance in the Orlando area set new records, resulting in
rising hotel occupancy rates and prompting plans for park expansions. The influx
of retirees to Florida continues, although population growth has subsided
somewhat from the frantic pace set in the 1980s. In 1996, wage growth outpaced
overall income growth in Florida, reversing a trend in a state where investment
income of retirees has traditionally increased faster than wages. Fiscally,
Florida has done a good job of expanding its tax base and can look forward to
growing revenues from corporate, sales and use-tax revenues.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in EV Marathon
Florida Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From May 31, 1992, through March 31, 1997
[line chart]
Date Fund-Class I Fund-Class II LMBI
5/31/92 $10,000 $10,000 $10,000
6/30/92 $10,020 $10,020 $10,159
7/31/92 $10,334 $10,334 $10,462
8/31/92 $10,202 $10,202 $10,354
9/30/92 $10,265 $10,265 $10,438
10/31/92 $10,147 $10,147 $10,368
11/30/92 $10,369 $10,369 $10,522
12/31/92 $10,454 $10,454 $10,608
1/31/93 $10,572 $10,572 $10,763
2/28/93 $10,951 $10,951 $11,093
3/31/93 $10,794 $10,794 $10,947
4/30/93 $10,881 $10,881 $11,015
5/31/93 $10,928 $10,928 $11,048
6/30/93 $11,054 $11,054 $11,250
7/31/93 $11,065 $11,065 $11,252
8/31/93 $11,226 $11,226 $11,451
9/30/93 $11,332 $11,332 $11,577
10/31/93 $11,352 $11,352 $11,607
11/30/93 $11,256 $11,256 $11,505
12/31/93 $11,492 $11,492 $11,716
1/31/94 $11,592 $11,592 $11,840
2/28/94 $11,351 $11,351 $11,583
3/31/94 $10,975 $10,975 $11,274
4/30/94 $11,075 $11,075 $11,356
5/31/94 $11,148 $11,148 $11,413
6/30/94 $11,101 $11,101 $11,392
7/31/94 $11,253 $11,253 $11,553
8/31/94 $11,264 $11,264 $11,613
9/30/94 $11,162 $11,162 $11,502
10/31/94 $11,039 $11,039 $11,387
11/30/94 $10,890 $10,890 $11,221
12/31/94 $11,029 $11,029 $11,391
1/31/95 $11,226 $11,226 $11,604
2/28/95 $11,433 $11,433 $11,866
3/31/95 $11,501 $11,501 $11,989
4/30/95 $11,506 $11,506 $12,021
5/31/95 $11,723 $11,723 $12,341
6/30/95 $11,715 $11,715 $12,330
7/31/95 $11,835 $11,835 $12,487
8/31/95 $11,940 $11,940 $12,634
9/30/95 $11,967 $11,967 $12,683
10/31/95 $12,051 $12,051 $12,793
11/30/95 $12,136 $12,136 $12,934
12/31/95 $12,208 $12,208 $13,003
1/31/96 $12,282 $12,282 $13,129
2/28/96 $12,203 $12,203 $13,084
3/31/96 $12,050 $12,050 $12,956
4/30/96 $12,018 $12,018 $12,932
5/31/96 $11,984 $11,984 $12,913
6/30/96 $12,039 $12,039 $13,012
7/31/96 $12,111 $12,104 $13,120
8/31/96 $12,115 $12,116 $13,127
9/30/96 $12,218 $12,225 $13,246
10/31/96 $12,280 $12,295 $13,388
11/30/96 $12,479 $12,501 $13,612
12/31/96 $12,398 $12,428 $13,570
1/31/97 $12,365 $12,402 $13,619
2/28/97 $12,459 $12,505 $13,732
3/31/97 $12,297 $12,349 $13,554
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC -0.9% 4.4% $12,297
Class I, Without CDSC 2.1% 4.4% $12,297
Class II 2.5% 4.5% $12,349
- -----------------------------------------------------------
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 5/29/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
[/line chart]
8
<PAGE>
EV Marathon Massachusetts Limited Maturity Municipals Fund
Your investment at work [mortarboard graphic]
Massachusetts Industrial
Finance Agency
Park School
The Park School is a coeducational, independent day school located in Brookline,
with around 500 students enrolled in nursery school through ninth grade. Founded
in 1886, Park has a long tradition of excellence in primary education and has
earned a national reputation for its strong academics. Over the past five years,
the school's median scores were ranked higher than 95% of those of all students
nationally in both reading and math. Rated A/A- by Moody's and S&P,
respectively, this bond represents the ability of the Portfolio to find value in
a lower-rated investment-grade bond.
Portfolio Overview [map of Massachusetts graphic]
Based on market value as of March 31, 1997
Number of issues................................ 37
Average quality................................. AA
Investment grade................................ 94.2%
Effective maturity (years)...................... 11.51
Largest sectors:
Insured housing............................. 17.3%*
Insured general obligations................. 10.4*
Hospitals................................... 9.8
General obligations......................... 9.4
Transportation.............................. 8.6
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Massachusetts
The Massachusetts economy remained the pacesetter among the New England states
in the past year. Job creation has been swift, with continued strength in
financial services, biotechnology and selected areas of the technology sector.
The March unemployment rate was 3.8%, significantly lower than the national rate
of 5.3%. The Commonwealth realized a gain of 68,200 non-farm jobs in the past
year, according to the Division of Employment and Training. The service sector
continued to provide the bulk of new jobs, paced by retailing, wholesale, and
the financial sector. While Massachusetts remains a leader in quality health
care, major changes in the high technology and health care industries, both of
which are part of the core of the Massachusetts economy, could have an impact on
the Commonwealth's economy in coming years. However, it is expected that job
gains will continue to materialize in the software, education and biotechnology
sectors. Massachusetts' finances remain stable, though still burdened with
relatively high debt levels. However, Massachusetts enjoys a rating of A1/A+, a
major improvement from the Baa/BBB ratings of 1991.
Comparison of Change in Value of a $10,000 Investment in EV Marathon
Massachusetts Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From June 30, 1992, through March 31, 1997
[line chart]
Date Fund-Class I Fund-Class II LMBI
6/30/92+ $10,000 $10,000 $10,000
7/31/92 $10,278 $10,278 $10,298
8/31/92 $10,136 $10,136 $10,192
9/30/92 $10,178 $10,178 $10,275
10/31/92 $10,070 $10,070 $10,205
11/30/92 $10,270 $10,270 $10,358
12/31/92 $10,355 $10,355 $10,442
1/31/93 $10,462 $10,462 $10,595
2/28/93 $10,798 $10,798 $10,919
3/31/93 $10,652 $10,652 $10,776
4/30/93 $10,739 $10,739 $10,843
5/31/93 $10,786 $10,786 $10,875
6/30/93 $10,900 $10,900 $11,074
7/31/93 $10,911 $10,911 $11,076
8/31/93 $11,094 $11,094 $11,272
9/30/93 $11,180 $11,180 $11,396
10/31/93 $11,201 $11,201 $11,425
11/30/93 $11,117 $11,117 $11,325
12/31/93 $11,300 $11,300 $11,533
1/31/94 $11,399 $11,399 $11,655
2/28/94 $11,180 $11,180 $11,402
3/31/94 $10,838 $10,838 $11,098
4/30/94 $10,917 $10,917 $11,179
5/31/94 $10,979 $10,979 $11,234
6/30/94 $10,933 $10,933 $11,214
7/31/94 $11,085 $11,085 $11,372
8/31/94 $11,107 $11,107 $11,432
9/30/94 $10,995 $10,995 $11,322
10/31/94 $10,884 $10,884 $11,209
11/30/94 $10,746 $10,746 $11,045
12/31/94 $10,903 $10,903 $11,213
1/31/95 $11,077 $11,077 $11,423
2/28/95 $11,295 $11,295 $11,680
3/31/95 $11,363 $11,363 $11,802
4/30/95 $11,369 $11,369 $11,833
5/31/95 $11,575 $11,575 $12,148
6/30/95 $11,533 $11,533 $12,137
7/31/95 $11,641 $11,641 $12,292
8/31/95 $11,747 $11,747 $12,437
9/30/95 $11,795 $11,795 $12,484
10/31/95 $11,878 $11,878 $12,593
11/30/95 $11,996 $11,996 $12,732
12/31/95 $12,043 $12,043 $12,799
1/31/96 $12,116 $12,116 $12,923
2/28/96 $12,058 $12,058 $12,879
3/31/96 $11,940 $11,940 $12,753
4/30/96 $11,883 $11,883 $12,730
5/31/96 $11,860 $11,860 $12,711
6/30/96 $11,925 $11,925 $12,809
7/31/96 $11,996 $11,989 $12,915
8/31/96 $11,999 $11,999 $12,922
9/30/96 $12,111 $12,119 $13,039
10/31/96 $12,208 $12,223 $13,179
11/30/96 $12,380 $12,403 $13,399
12/31/96 $12,298 $12,329 $13,358
1/31/97 $12,300 $12,338 $13,406
2/28/97 $12,405 $12,451 $13,517
3/31/97 $12,268 $12,320 $13,342
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC -0.2% 4.4% $12,268
Class I, Without CDSC 2.7% 4.4% $12,268
Class II 3.2% 4.5% $12,320
- -----------------------------------------------------------
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 6/1/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
[/line chart]
9
<PAGE>
EV Marathon Michigan Limited Maturity Municipals Fund
Your investment at work [caduceus graphic]
Michigan Hospital
Finance Authority
Presbyterian Villages
These bonds were issued in 1995 to refinance existing debt as well as to provide
financing for projects at the Presbyterian Village continuing care retirement
communities. The principal project consists of a new building designed,
programmed, and staffed to serve Alzheimer's patients. In addition to the new
building, the bonds financed capital improvements to roadways, lighting, dining
facilities, natural gas utilities, and telephones. In this bond, the Portfolio
was able to help finance a much needed assisted-living center while realizing an
attractive yield from a well-regarded issuer.
Portfolio Overview [map of Michigan graphic]
Based on market value as of March 31, 1997
Number of issues............................... 27
Average quality................................ A+
Investment grade............................... 97.5%
Effective maturity (years)..................... 9.98
Largest sectors:
Insured general obligations................ 21.2%*
Escrowed/prerefunded....................... 19.4
Hospitals.................................. 16.9
Special tax revenue........................ 10.3
General obligations........................ 8.3
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Michigan
Boosted by a solid performance of the national economy, the Michigan economy
continued to enjoy strong job growth in 1996. The state's robust economic
recovery has pushed employment levels to an all-time high, attracting a flood of
workers to the labor force. The state labor force expanded by 3% from a year
earlier, outpacing the growth in the national labor force, which rose only 1.6%.
The fastest-growing areas for state job creation included services, trade,
retailing, and construction. In the important auto sector, total vehicles
production declined from the sharp pace of 1995, although demand for light
trucks continued to surge. Growth in personal income also showed strong
momentum. The state remains in a very positive financial position. The state's
financial reserves are near their highest in history, with the "Rainy Day Fund"
maintaining a healthy balance equal to around 4% of General and School Aid
revenues. Michigan continues to manage its debt well, with most ratios remaining
below median levels. That prudent fiscal management affords the state an extra
measure of flexibility and continues to earn the state's general obligations a
rating of Aa from Moody's, a major rating agency.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in EV Marathon
Michigan Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From April 30, 1993, through March 31, 1997
[line chart]
Date Fund-Class I Fund w/ CDSC Fund-Class II LMBI
4/30/93+ $10,000 $11,359 $10,000 $10,000
5/31/93 $9,980 $11,359 $9,980 $10,030
6/30/93 $10,124 $11,359 $10,124 $10,213
7/31/93 $10,130 $11,359 $10,130 $10,215
8/31/93 $10,282 $11,359 $10,282 $10,396
9/30/93 $10,380 $11,359 $10,380 $10,510
10/31/93 $10,387 $11,359 $10,387 $10,537
11/30/93 $10,324 $11,359 $10,324 $10,444
12/31/93 $10,495 $11,359 $10,495 $10,636
1/31/94 $10,609 $11,359 $10,609 $10,749
2/28/94 $10,375 $11,359 $10,375 $10,516
3/31/94 $10,057 $11,359 $10,057 $10,235
4/30/94 $10,140 $11,359 $10,140 $10,310
5/31/94 $10,177 $11,359 $10,177 $10,361
6/30/94 $10,151 $11,359 $10,151 $10,343
7/31/94 $10,274 $11,359 $10,274 $10,488
8/31/94 $10,292 $11,359 $10,292 $10,543
9/30/94 $10,193 $11,359 $10,193 $10,442
10/31/94 $10,074 $11,359 $10,074 $10,337
11/30/94 $9,930 $11,359 $9,930 $10,187
12/31/94 $10,038 $11,359 $10,038 $10,341
1/31/95 $10,245 $11,359 $10,245 $10,535
2/28/95 $10,430 $11,359 $10,430 $10,772
3/31/95 $10,483 $11,359 $10,483 $10,884
4/30/95 $10,486 $11,359 $10,486 $10,913
5/31/95 $10,681 $11,359 $10,681 $11,204
6/30/95 $10,639 $11,359 $10,639 $11,194
7/31/95 $10,718 $11,359 $10,718 $11,336
8/31/95 $10,818 $11,359 $10,818 $11,470
9/30/95 $10,863 $11,359 $10,863 $11,514
10/31/95 $10,998 $11,359 $10,998 $11,614
11/30/95 $11,099 $11,359 $11,099 $11,742
12/31/95 $11,133 $11,359 $11,133 $11,804
1/31/96 $11,225 $11,359 $11,225 $11,919
2/28/96 $11,136 $11,359 $11,136 $11,878
3/31/96 $11,001 $11,359 $11,001 $11,762
4/30/96 $10,959 $11,359 $10,959 $11,740
5/31/96 $10,948 $11,359 $10,948 $11,723
6/30/96 $11,022 $11,359 $11,022 $11,813
7/31/96 $11,136 $11,359 $11,136 $11,911
8/31/96 $11,082 $11,359 $11,082 $11,917
9/30/96 $11,212 $11,359 $11,212 $12,025
10/31/96 $11,305 $11,359 $11,305 $12,154
11/30/96 $11,494 $11,359 $11,492 $12,357
12/31/96 $11,463 $11,359 $11,468 $12,319
1/31/97 $11,500 $11,359 $11,512 $12,364
2/28/97 $11,588 $11,359 $11,609 $12,467
3/31/97 $11,457 $11,359 $11,484 $12,305
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 1.1% 3.2% $11,359
Class I, Without CDSC 4.1% 3.4% $11,457
Class II 4.4% 3.5% $11,484
- -----------------------------------------------------------
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 4/16/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
[/line chart]
10
<PAGE>
EV Marathon New Jersey Limited Maturity Municipals Fund
Your investment at work [airplane graphic]
Port Authority of
New York & New Jersey
Delta Airlines
The Port Authority of New York and New Jersey is a joint authority that oversees
the administration of the area's metropolitan airports, sea terminals, tunnels,
and highways. Delta Airlines is among the nation's largest passenger carriers.
This Port Authority issue provided funding for improvements to Delta Airline's
terminal facilities. Rated Baa3/BB+ by Moody's and S&P, respectively, the bonds
carry an attractive 6.95% coupon. With the projected increase in air traffic in
the busy metropolitan area in coming years, credit quality may improve. The
bonds are an example of the Portfolio's research-driven investments in
infrastructure projects.
Portfolio Overview [map of New Jersey graphic]
Based on market value as of March 31, 1997
Number of issues............................... 57
Average quality................................ AA-
Investment grade............................... 97.0%
Effective maturity (years)..................... 9.48
Largest sectors:
Insured general obligations................ 21.2%*
Insured - Transportation................... 10.8*
General obligations........................ 9.6
Hospitals.................................. 7.1
Cogeneration............................... 7.1
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: New Jersey
Employment continued to expand in New Jersey in early 1997, with non-farm
employment reaching a seven-year high in February. The unemployment rate fell to
5.5%, the lowest level since October, 1990. Despite the job creation, the
state's economy continued to lag the nation's, having been hampered by recent
rounds of job cuts tied to corporate restructurings in the communications,
utilities, and pharmaceuticals industries. Despite its slow recovery, New
Jersey's economy remains among the most diverse in the nation, and the state is
the national headquarters for several of the largest commercial and industrial
companies in the U.S. Nonetheless, while New Jersey ranks second in the nation
in per capita income, the state's $1.25 billion, three-year personal income tax
cut, as well as the phase-in of a homeowner property tax deduction, will likely
result in reduced state revenues. Another challenge facing New Jersey is the
impact of federal welfare reforms on state finances. While federal "block
grants" will initially exceed current-law funding, caseload trends suggest that
the state's needs may widen in future years. Like other states, New Jersey will
need to determine ways to manage that deficit.
Comparison of Change in Value of a $10,000 Investment in EV Marathon
New Jersey Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From June 30, 1992, through March 31, 1997
[line chart]
Date Fund-Class I Fund-Class II LMBI
6/30/92+ $10,000 $10,000 $10,000
7/31/92 $10,358 $10,358 $10,298
8/31/92 $10,215 $10,215 $10,192
9/30/92 $10,257 $10,257 $10,275
10/31/92 $10,118 $10,118 $10,205
11/30/92 $10,328 $10,328 $10,358
12/31/92 $10,422 $10,422 $10,442
1/31/93 $10,540 $10,540 $10,595
2/28/93 $10,896 $10,896 $10,919
3/31/93 $10,739 $10,739 $10,776
4/30/93 $10,825 $10,825 $10,843
5/31/93 $10,871 $10,871 $10,875
6/30/93 $11,006 $11,006 $11,074
7/31/93 $11,016 $11,016 $11,076
8/31/93 $11,167 $11,167 $11,272
9/30/93 $11,250 $11,250 $11,396
10/31/93 $11,249 $11,249 $11,425
11/30/93 $11,174 $11,174 $11,325
12/31/93 $11,345 $11,345 $11,533
1/31/94 $11,455 $11,455 $11,655
2/28/94 $11,225 $11,225 $11,402
3/31/94 $10,894 $10,894 $11,098
4/30/94 $10,971 $10,971 $11,179
5/31/94 $11,033 $11,033 $11,234
6/30/94 $10,985 $10,985 $11,214
7/31/94 $11,115 $11,115 $11,372
8/31/94 $11,136 $11,136 $11,432
9/30/94 $11,045 $11,045 $11,322
10/31/94 $10,922 $10,922 $11,209
11/30/94 $10,773 $10,773 $11,045
12/31/94 $10,941 $10,941 $11,213
1/31/95 $11,125 $11,125 $11,423
2/28/95 $11,308 $11,308 $11,680
3/31/95 $11,387 $11,387 $11,802
4/30/95 $11,381 $11,381 $11,833
5/31/95 $11,597 $11,597 $12,148
6/30/95 $11,531 $11,531 $12,137
7/31/95 $11,639 $11,639 $12,292
8/31/95 $11,720 $11,720 $12,437
9/30/95 $11,781 $11,781 $12,484
10/31/95 $11,888 $11,888 $12,593
11/30/95 $12,030 $12,030 $12,732
12/31/95 $12,079 $12,079 $12,799
1/31/96 $12,152 $12,152 $12,923
2/28/96 $12,073 $12,073 $12,879
3/31/96 $11,932 $11,932 $12,753
4/30/96 $11,865 $11,865 $12,730
5/31/96 $11,831 $11,831 $12,711
6/30/96 $11,920 $11,920 $12,809
7/31/96 $12,051 $12,044 $12,915
8/31/96 $12,019 $12,019 $12,922
9/30/96 $12,143 $12,151 $13,039
10/31/96 $12,205 $12,220 $13,179
11/30/96 $12,390 $12,425 $13,399
12/31/96 $12,357 $12,388 $13,358
1/31/97 $12,409 $12,446 $13,406
2/28/97 $12,501 $12,548 $13,517
3/31/97 $12,353 $12,405 $13,342
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 0.5% 4.5% $12,353
Class I, Without CDSC 3.5% 4.5% $12,353
Class II 4.0% 4.6% $12,405
- -----------------------------------------------------------
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 6/1/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
[/line chart]
11
<PAGE>
EV Marathon New York Limited Maturity Municipals Fund
Your Investment at Work [caduceus graphic]
Glen Cove, NY
Industrial Development Authority
The Regency at Glen Cove
These bonds were issued in 1992 to finance the construction of an Adult Home for
elderly residents who require assistance with daily living activities and other
rehabilitation care. Licensed by the New York Department of Social Services, the
project consists of 96 living units, dining facilities, a library, visiting
rooms, games rooms, administrative offices, and examination rooms for visiting
physicians. Communities are turning increasingly to facilities such as the
Regency for living care alternatives for our aging populations. The non-rated
bonds carry a very attractive 9.5% coupon.
Portfolio Overview [map of New York state graphic]
Based on market value as of March 31, 1997
Number of issues................................ 41
Average quality................................. AA-
Investment grade................................ 97.8%
Effective maturity (years)...................... 11.81
Largest sectors:
Transportation.............................. 23.8%
Lease revenue/Certificate of participation.. 14.4
Insured transportation...................... 9.5*
Insured hospital............................ 9.5*
Housing..................................... 6.7
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: New York
The New York economy remains in a slow-growth mode, although there have been
encouraging signs of strength in some sectors. The Wall Street boom that
produced record profits in 1996, continued into 1997 and led to employment
growth in financial services. The state real estate market continued to firm,
with construction of multi-family homes leading the way. Commercial construction
has also strengthened, with the office market seeing a gradual decline in
vacancy rates. For example, major projects underway in New York City include a
new terminal at Kennedy International Airport, a state-of-the-art commodity
trading center, three major entertainment complexes, three hotels, and a number
of new retail complexes. On the fiscal front, the state is expected to end
fiscal 1997 with a surplus, the result of higher-than-expected tax revenues and
successful efforts to restrain spending. Tax revenue growth exceeded
expectations due in part to capital gains from the rising stock market and from
record bonus payments within the financial services industry. The effect of tax
reductions could significantly reduce state revenues. Continued cost controls
will likely be necessary to maintain an operating budget balance.
- --------------------------------------------------------------------------------
Comparison of Change in Value of a $10,000 Investment in EV Marathon
New York Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From May 31, 1992, through March 31, 1997
[line chart]
Date Fund-Class I Fund-Class II LMBI
5/31/92+ $10,000 $10,000 $10,000
6/30/92 $10,010 $10,010 $10,159
7/31/92 $10,312 $10,312 $10,462
8/31/92 $10,220 $10,220 $10,354
9/30/92 $10,274 $10,274 $10,438
10/31/92 $10,135 $10,135 $10,368
11/30/92 $10,368 $10,368 $10,522
12/31/92 $10,464 $10,464 $10,608
1/31/93 $10,603 $10,603 $10,763
2/28/93 $10,962 $10,962 $11,093
3/31/93 $10,795 $10,795 $10,947
4/30/93 $10,871 $10,871 $11,015
5/31/93 $10,908 $10,908 $11,048
6/30/93 $11,055 $11,055 $11,250
7/31/93 $11,076 $11,076 $11,252
8/31/93 $11,258 $11,258 $11,451
9/30/93 $11,342 $11,342 $11,577
10/31/93 $11,351 $11,351 $11,607
11/30/93 $11,265 $11,265 $11,505
12/31/93 $11,437 $11,437 $11,716
1/31/94 $11,548 $11,548 $11,840
2/28/94 $11,305 $11,305 $11,583
3/31/94 $10,952 $10,952 $11,274
4/30/94 $11,030 $11,030 $11,356
5/31/94 $11,103 $11,103 $11,413
6/30/94 $11,078 $11,078 $11,392
7/31/94 $11,208 $11,208 $11,553
8/31/94 $11,218 $11,218 $11,613
9/30/94 $11,106 $11,106 $11,502
10/31/94 $10,983 $10,983 $11,387
11/30/94 $10,788 $10,788 $11,221
12/31/94 $10,952 $10,952 $11,391
1/31/95 $11,149 $11,149 $11,604
2/28/95 $11,366 $11,366 $11,866
3/31/95 $11,434 $11,434 $11,989
4/30/95 $11,440 $11,440 $12,021
5/31/95 $11,657 $11,657 $12,341
6/30/95 $11,626 $11,626 $12,330
7/31/95 $11,734 $11,734 $12,487
8/31/95 $11,839 $11,839 $12,634
9/30/95 $11,866 $11,866 $12,683
10/31/95 $11,974 $11,974 $12,793
11/30/95 $12,093 $12,093 $12,934
12/31/95 $12,154 $12,154 $13,003
1/31/96 $12,228 $12,228 $13,129
2/28/96 $12,148 $12,148 $13,084
3/31/96 $12,019 $12,019 $12,956
4/30/96 $11,975 $11,975 $12,932
5/31/96 $11,942 $11,942 $12,913
6/30/96 $12,020 $12,020 $13,012
7/31/96 $12,091 $12,084 $13,120
8/31/96 $12,070 $12,071 $13,127
9/30/96 $12,195 $12,203 $13,246
10/31/96 $12,281 $12,296 $13,388
11/30/96 $12,478 $12,501 $13,612
12/31/96 $12,409 $12,439 $13,570
1/31/97 $12,387 $12,425 $13,619
2/28/97 $12,480 $12,526 $13,732
3/31/97 $12,355 $12,408 $13,554
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC -0.2% 4.5% $12,355
Class I, Without CDSC 2.8% 4.5% $12,355
Class II 3.2% 4.6% $12,408
- -----------------------------------------------------------
[/line chart]
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 5/29/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
12
<PAGE>
EV Marathon Ohio Limited Maturity Municipals Fund
Your investment at work [caduceus graphic]
Warren County, OH
Hospital Facilities
Otterbein Homes Project
The Otterbein Corporation is a non-profit corporation established in 1912 with
close ties to the United Methodist Church. It currently owns and operates five
retirement homes and health care centers throughout Ohio and provides management
services to four additional homes. The homes provide both skilled and
intermediate care for their elderly residents. These bonds, which were used to
refinance outstanding debt of the Corporation, have a coupon of 7.2% and provide
good income from a small but well-regarded issuer.
Portfolio Overview [map of Ohio graphic]
Based on market value as of March 31, 1997
Number of issues............................... 40
Average quality................................ A+
Investment grade............................... 81.9%
Effective maturity (years)..................... 8.89
Largest sectors:
Insured general obligations................ 31.0%*
Hospitals.................................. 14.7
General obligations........................ 11.3
Escrowed................................... 7.7
Industrial development revenue............. 7.6
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Ohio
Ohio has been a major beneficiary of the strength in the national economy. A low
unemployment rate and low inflation have raised the confidence of Ohio's
consumers, who have stepped up their purchases of homes and consumer products.
Job creation has held firm in the manufacturing sector and increased in the
service and construction sectors. Manufacturing employment remains above the
national average, although continued growth in financial services, retail and
trade sectors has helped diversify the Ohio economy. While manufacturing jobs
are expected to decline in coming years, total employment should expand by 1%
annually. Ohio has enjoyed a strong fiscal profile, with tax revenues exceeding
forecasts in recent years while spending has been held below budgeted levels.
This strong performance prompted the legislature to institute a temporary $400
million tax cut. Despite the loss of these tax receipts, the state's revenues
continue to run ahead of expectations, providing the prospect for continued
balanced operations with no depletion of state reserves.
Comparison of Change in Value of a $10,000 Investment in EV Marathon
Ohio Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From April 30, 1993, through March 31, 1997
[line chart]
Date Fund-Class I Fund w/ CDSC Fund-Class II LMBI
4/30/93+ $10,000 $11,427 $10,000 $10,000
5/31/93 $9,990 $11,427 $9,990 $10,030
6/30/93 $10,149 $11,427 $10,149 $10,213
7/31/93 $10,176 $11,427 $10,176 $10,215
8/31/93 $10,348 $11,427 $10,348 $10,396
9/30/93 $10,446 $11,427 $10,446 $10,510
10/31/93 $10,452 $11,427 $10,452 $10,537
11/30/93 $10,389 $11,427 $10,389 $10,444
12/31/93 $10,561 $11,427 $10,561 $10,636
1/31/94 $10,674 $11,427 $10,674 $10,749
2/28/94 $10,430 $11,427 $10,430 $10,516
3/31/94 $10,113 $11,427 $10,113 $10,235
4/30/94 $10,206 $11,427 $10,206 $10,310
5/31/94 $10,253 $11,427 $10,253 $10,361
6/30/94 $10,217 $11,427 $10,217 $10,343
7/31/94 $10,350 $11,427 $10,350 $10,488
8/31/94 $10,369 $11,427 $10,369 $10,543
9/30/94 $10,260 $11,427 $10,260 $10,442
10/31/94 $10,140 $11,427 $10,140 $10,337
11/30/94 $9,996 $11,427 $9,996 $10,187
12/31/94 $10,136 $11,427 $10,136 $10,341
1/31/95 $10,322 $11,427 $10,322 $10,535
2/28/95 $10,484 $11,427 $10,484 $10,772
3/31/95 $10,558 $11,427 $10,558 $10,884
4/30/95 $10,551 $11,427 $10,551 $10,913
5/31/95 $10,767 $11,427 $10,767 $11,204
6/30/95 $10,715 $11,427 $10,715 $11,194
7/31/95 $10,784 $11,427 $10,784 $11,336
8/31/95 $10,894 $11,427 $10,894 $11,470
9/30/95 $10,952 $11,427 $10,952 $11,514
10/31/95 $11,065 $11,427 $11,065 $11,614
11/30/95 $11,166 $11,427 $11,166 $11,742
12/31/95 $11,224 $11,427 $11,224 $11,804
1/31/96 $11,271 $11,427 $11,271 $11,919
2/28/96 $11,217 $11,427 $11,217 $11,878
3/31/96 $11,094 $11,427 $11,094 $11,762
4/30/96 $11,062 $11,427 $11,062 $11,740
5/31/96 $11,041 $11,427 $11,041 $11,723
6/30/96 $11,161 $11,427 $11,161 $11,813
7/31/96 $11,218 $11,427 $11,218 $11,911
8/31/96 $11,211 $11,427 $11,211 $11,917
9/30/96 $11,343 $11,427 $11,343 $12,025
10/31/96 $11,414 $11,427 $11,414 $12,154
11/30/96 $11,603 $11,427 $11,601 $12,357
12/31/96 $11,562 $11,427 $11,555 $12,319
1/31/97 $11,542 $11,427 $11,554 $12,364
2/28/97 $11,666 $11,427 $11,687 $12,467
3/31/97 $11,525 $11,427 $11,551 $12,305
Fund, assuming entire investment was redeemed on 3/31/97 & max. applicable
contingent deferred sales charge deducted from proceeds
- -----------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 0.9% 3.5% $11,427
Class I, Without CDSC 3.9% 3.7% $11,525
Class II 4.1% 3.7% $11,551
- -----------------------------------------------------------
[/line chart]
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 4/16/93. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
13
<PAGE>
EV Marathon Pennsylvania Limited Maturity Municipals Fund
Your investment at work [factory buildings graphic]
Erie County, PA
Industrial Development Authority
International Paper
International Paper is one of the world's largest producers of paper products,
including writing and newsprint, paperboard and packaging, pulp, and wood
products. The company maintains facilities in the U.S., Canada, Europe, Asia,
and Latin America. These bonds were used to finance the acquisition and
construction costs of a sewage treatment facility at the Company's Erie Mill
plant. They are an excellent example of the Portfolio 's investments once again
being used to finance much needed public projects, while also encouraging
private investment in job-producing enterprises.
Portfolio Overview [map of Pennsylvania graphic]
Based on market value as of March 31, 1997
Number of issues............................... 51
Average quality................................ AA-
Investment grade............................... 92.6%
Effective maturity (years)..................... 9.50
Largest sectors:
Hospitals.................................. 30.1%
Escrowed................................... 15.3
Insured hospitals.......................... 8.0*
Insured general obligations................ 7.2*
Transportation............................. 7.1
* Private insurance does not remove the market risks that are associated with
these investments.
The State of the State: Pennsylvania
The Pennsylvania economy continued to make progress in 1996 and early 1997 as
the Commonwealth's employment grew significantly. The February unemployment rate
was 4.9%, a marked improvement from 5.9% in the previous year, and below the
national rate for the first time in five years. Services, retailing, and the
financial sector each experienced strong job growth, while mining,
manufacturing, and health care continued to suffer losses. Mining has been in a
long-term decline, although the job losses in 199 6 were relatively small
compared to the previous year. The manufacturing decline was also less severe
than in 1995, with durable goods remaining weak due to a national softening in
electrical machinery demand. Non-durables, such as paper and apparel, showed
some signs of a comeback. Meanwhile, the Commonwealth's large health care
industry continued its consolidation in response to an increasingly competitive
climate. By curtailing spending and utilizing better financial management,
Pennsylvania has made its capital needs significantly more manageable and put
itself in a better position to handle future economic and fiscal challenges.
- --------------------------------------------------------------------------------
[line chart]
Comparison of Change in Value of a $10,000 Investment in EV Marathon
Pennsylvania Limited Maturity Municipals Fund and the Lehman Brothers 7-Year
Municipal Bond Index
From June 30, 1992, through March 31, 1997
(plot points not available)
- --------------------------------------------------------------------
AVERAGE ANNUAL 1 Life of Value at
RETURNS Year Fund* 3/31/97
Class I, With CDSC 0.2% 4.7% $12,358
Class I, Without CDSC 3.1% 4.7% $12,358
Class II 3.6% 4.8% $12,411
- --------------------------------------------------------------------
[/line chart]
Past performance is not indicative of future results. Investment returns and
principal value will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than their original cost. Source: Towers Data Systems,
Bethesda, MD. *Investment operations commenced on 6/1/92. +Index information is
available only at month-end; therefore, the line comparison begins at the next
month-end following the commencement of the Fund's investment operations.
14
<PAGE>
EV Marathon Limited Maturity Municipals Funds
Financial Statements
Statements of Assets and Liabilities
- ---------------------------------------------------------------------------
March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
--------------- --------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments--
Identified cost $ 39,703,565 $ 10,725,892 $ 82,605,900 $ 64,612,147 $ 13,546,215
Unrealized appreciation 665,214 101,855 738,544 755,647 310,913
------------- ------------- ------------- ------------- -------------
Total investment in Portfolio, at value
(Note 1A) $ 40,368,779 $ 10,827,747 $ 83,344,444 $ 65,367,794 $ 13,857,128
Receivable for Fund shares sold -- -- 500 14,909 --
Prepaid expenses -- -- -- -- 1,270
Deferred organization expenses (Note 1D) 971 4,335 1,205 1,175 5,292
------------- ------------- ------------- ------------- -------------
Total assets $ 40,369,750 $ 10,832,082 $ 83,346,149 $ 65,383,878 $ 13,863,690
------------- ------------- ------------- ------------- -------------
Liabilities:
Payable for Fund shares redeemed $ 180,209 $ -- $ 425,811 $ 160,276 $ --
Distributions payable 65,853 15,823 133,344 104,200 20,970
Payable to affiliate for Trustees' fees (Note 4) 40 40 395 395 40
Accrued expenses 19,603 3,761 47,771 33,678 5,478
------------- ------------- ------------- ------------- -------------
Total liabilities $ 265,705 $ 19,624 $ 607,321 $ 298,549 $ 26,488
------------- ------------- ------------- ------------- -------------
Net Assets $ 40,104,045 $ 10,812,458 $ 82,738,828 $ 65,085,329 $ 13,837,202
============= ============= ============= ============= =============
Sources of Net Assets:
Paid-in capital $ 41,893,954 $ 11,091,511 $ 85,073,839 $ 66,460,897 $ 14,498,594
Accumulated net realized loss on investments
and financial futures contracts (computed
on basis of identified cost) (2,389,269) (450,797) (2,940,172) (2,072,194) (982,976)
Accumulated undistributed (distributions in
excess of) net investment income (65,854) 69,889 (133,383) (59,021) 10,671
Net unrealized appreciation of investments
and financial futures contracts (computed
on basis of identified cost) 665,214 101,855 738,544 755,647 310,913
------------- ------------- ------------- ------------- -------------
Total $ 40,104,045 $ 10,812,458 $ 82,738,828 $ 65,085,329 $ 13,837,202
============= ============= ============= ============= =============
Class I
Net Assets $ 25,386,409 $ 10,226,542 $ 48,418,166 $ 41,089,998 $ 13,431,416
============= ============= ============= ============= =============
Shares of beneficial interest outstanding 2,544,562 1,045,041 4,853,138 4,112,513 1,378,860
============= ============= ============= ============= =============
Net Asset Value, Offering Price and
Redemption Price Per Share (Note 6) $9.98 $9.79 $9.98 $9.99 $9.74
===== ===== ===== ===== =====
Class II
Net Assets $ 14,717,636 $ 585,916 $ 34,320,662 $ 23,995,331 $ 405,786
============= ============= ============= ============= =============
Shares of beneficial interest outstanding 1,475,007 59,861 3,439,955 2,401,237 41,659
============= ============= ============= ============= =============
Net Asset Value and Redemption Price
Per Share $9.98 $9.79 $9.98 $9.99 $9.74
===== ===== ===== ===== =====
</TABLE>
See notes to financial statements
15
<PAGE>
Statements of Assets and Liabilities
- ---------------------------------------------------------------------------
March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
--------------- --------------- --------------- --------------
<S> <C> <C> <C> <C>
Assets:
Investments--
Identified cost $56,148,398 $95,977,191 $25,265,417 $61,442,693
Unrealized appreciation 1,081,093 482,159 335,973 709,954
------------ ------------ ------------ ------------
Total investment in Portfolio, at value
(Note 1A) $57,229,491 $96,459,350 $25,601,390 $62,152,647
Receivable for Fund shares sold -- 3,700 -- --
Prepaid expenses -- -- 975 --
Deferred organization expenses (Note 1D) 1,111 1,193 3,940 1,174
------------ ------------ ------------ ------------
Total assets $57,230,602 $96,464,243 $25,606,305 $62,153,821
------------ ------------ ------------ ------------
Liabilities:
Distributions payable $ 90,619 $ 158,098 $ 40,043 $ 102,319
Payable for Fund shares redeemed 189,447 237,449 14,261 139,149
Payable to affiliate for Trustees' fees
(Note 4) 395 791 40 395
Accrued expenses 29,204 38,885 12,942 33,980
------------ ------------ ------------ ------------
Total liabilities $ 309,665 $ 435,223 $ 67,286 $ 275,843
------------ ------------ ------------ ------------
Net Assets $56,920,937 $96,029,020 $25,539,019 $61,877,978
============ ============ ============ ============
Sources of Net Assets:
Paid-in capital $58,088,655 $98,463,860 $26,319,132 $62,743,473
Accumulated net realized loss on
investments and financial futures
contracts (computed on basis of
identified cost) (2,158,260) (2,758,901) (1,248,110) (1,505,979)
Accumulated undistributed
(distributions in excess of) net
investment income (90,551) (158,098) 132,024 (69,470)
Net unrealized appreciation of
investments and financial futures
contracts (computed on basis of
identified cost) 1,081,093 482,159 335,973 709,954
------------ ------------ ------------ ------------
Total $56,920,937 $96,029,020 $25,539,019 $61,877,978
============ ============ ============ ============
Class I
Net Assets $34,690,585 $60,097,020 $24,586,755 $33,970,520
============ ============ ============ ============
Shares of beneficial interest outstanding 3,446,276 5,983,211 2,503,409 3,364,229
============ ============ ============ ============
Net Asset Value, Offering Price
and Redemption Price Per Share (Note 6) $10.07 $10.04 $9.82 $10.10
====== ====== ===== =======
Class II
Net Assets $22,230,352 $35,932,000 $ 952,264 $27,907,458
============ ============ ============ ============
Shares of beneficial interest outstanding 2,208,037 3,577,308 96,986 2,763,913
============ ============ ============ ============
Net Asset Value and Redemption Price
Per Share $10.07 $10.04 $9.82 $10.10
====== ====== ===== =======
</TABLE>
See notes to financial statements
16
<PAGE>
Statements of Operations
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon
California Connecticut
Limited Fund Limited Fund
-------------- --------------
<S> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $ 2,669,291 $ 679,936
Expenses allocated from Portfolio (293,462) (61,120)
------------ ------------
Net investment income from Portfolio $ 2,375,829 $ 618,816
------------ ------------
Expenses
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 907 $ 288
Distribution and service fees--Class I (Note 5) 371,217 106,258
Service fees--Class II (Note 5) 9,580 52
Transfer and dividend disbursing agent fees 35,047 8,163
Printing and postage 16,735 7,661
Legal and accounting services 12,387 9,790
Custodian fee 5,763 2,689
Registration fees 500 1,380
Amortization of organization expenses
(Note 1D) 6,088 4,066
Miscellaneous 4,718 2,163
------------ ------------
Total expenses $ 462,942 $ 142,510
------------ ------------
Net investment income $ 1,912,887 $ 476,306
------------ ------------
Realized and Unrealized Gain
(Loss) from Portfolio:
Net realized gain (loss)--
Investment transactions (identified cost basis) $ 357,491 $ 86,251
Financial futures contracts (462,788) (70,807)
------------ ------------
Net realized gain (loss) $ (105,297) $ 15,444
------------ ------------
Change in unrealized appreciation (depreciation)--
Investment transactions $ (417,800) $ (108,736)
Financial futures contracts 90,861 2,779
------------ ------------
Net change in unrealized appreciation $ (326,939) $ (105,957)
------------ ------------
Net realized and unrealized gain (loss) $ (432,236) $ (90,513)
------------ ------------
Net increase in net assets from
operations $ 1,480,651 $ 385,793
============ ============
<CAPTION>
Marathon Marathon Marathon
Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund
-------------- --------------- ------------
<S> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from Portfolio $ 5,445,598 $ 4,317,960 $ 931,959
Expenses allocated from Portfolio (564,142) (450,271) (121,003)
------------- ------------ ------------
Net investment income from Portfolio $ 4,881,456 $ 3,867,689 $ 810,956
------------- ------------ ------------
Expenses
Compensation of Trustees not members of the
Administrator's organization (Note 4) $ 2,445 $ 1,618 $ 163
Distribution and service fees--Class I (Note 5) 755,063 593,010 143,210
Service fees--Class II (Note 5) 22,501 17,708 47
Transfer and dividend disbursing agent fees 74,741 57,272 9,952
Printing and postage 32,159 28,109 9,491
Legal and accounting services 12,415 12,657 11,810
Custodian fee 10,853 8,770 2,630
Registration fees 7,112 4,813 4,480
Amortization of organization expenses
(Note 1D) 7,614 6,712 4,030
Miscellaneous 11,801 12,640 4,211
------------- ------------ ------------
Total expenses $ 936,704 $ 743,309 $ 190,024
------------- ------------ ------------
Net investment income $ 3,944,752 $ 3,124,380 $ 620,932
------------- ------------ ------------
Realized and Unrealized Gain
(Loss) from Portfolio:
Net realized gain (loss)--
Investment transactions (identified cost basis) $ 561,757 $ 367,923 $ 246,582
Financial futures contracts (706,651) (433,753) (101,217)
------------- ------------ ------------
Net realized gain (loss) $ (144,894) $ (65,830) $ 145,365
------------- ------------ ------------
Change in unrealized appreciation (depreciation)--
Investment transactions $ (1,855,662) $ (1,029,783) $ (138,214)
Financial futures contracts 186,943 168,554 5,849
------------- ------------ ------------
Net change in unrealized appreciation $ (1,668,719) $ (861,229) $ (132,365)
------------- ------------ ------------
Net realized and unrealized gain (loss) $ (1,813,613) $ (927,059) $ 13,000
------------- ------------ ------------
Net increase in net assets from
operations $ 2,131,139 $ 2,197,321 $ 633,932
============= ============ ============
</TABLE>
See notes to financial statements
17
<PAGE>
Statements of Operations
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
-------------- -------------- -------------- ----------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income allocated from
Portfolio $ 3,766,189 $ 6,306,416 $ 1,619,576 $ 4,167,437
Expenses allocated from Portfolio (393,734) (650,949) (180,853) (428,674)
----------- ------------- ----------- -------------
Net investment income from
Portfolio $ 3,372,455 $ 5,655,467 $ 1,438,723 $ 3,738,763
----------- ------------- ----------- -------------
Expenses--
Compensation of Trustees not
members of the Administrator's
organization (Note 4) $ 1,618 $ 3,236 $ 163 $ 1,618
Distribution and service fees--
Class I (Note 5) 512,727 895,821 260,821 532,852
Service fees--Class II (Note 5) 16,174 22,568 101 20,750
Transfer and dividend disbursing
agent fees 50,435 88,374 14,894 57,059
Printing and postage 25,154 37,008 11,761 26,185
Legal and accounting services 12,683 12,408 11,073 12,612
Custodian fee 7,260 12,183 3,715 9,744
Registration fees -- 2,865 4,480 --
Amortization of organization
expenses (Note 1D) 6,691 7,541 4,007 6,975
Miscellaneous 7,819 13,516 5,899 9,169
----------- ------------- ----------- -------------
Total expenses $ 640,561 $ 1,095,520 $ 316,914 $ 676,964
----------- ------------- ----------- -------------
Net investment income $ 2,731,894 $ 4,559,947 $ 1,121,809 $ 3,061,799
----------- ------------- ----------- -------------
Realized and Unrealized Gain
(Loss) from Portfolio:
Net realized gain (loss)--
Investment transactions
(identified cost basis) $ 385,056 $ 488,732 $ 319,787 $ 956,585
Financial futures contracts (313,808) (721,882) (117,216) (462,804)
----------- ------------- ----------- -------------
Net realized gain (loss) $ 71,248 $ (233,150) $ 202,571 $ 493,781
----------- ------------- ----------- -------------
Change in unrealized appreciation
(depreciation)--
Investment transactions $ (377,522) $ (1,273,337) $ (254,502) $ (1,235,168)
Financial futures contracts 13,071 361,494 -- --
----------- ------------- ----------- -------------
Net change in unrealized
appreciation $ (364,451) $ (911,843) $ (254,502) $ (1,235,168)
----------- ------------- ----------- -------------
Net realized and unrealized
loss $ (293,203) $ (1,144,993) $ (51,931) $ (741,387)
----------- ------------- ----------- -------------
Net increase in net assets
from operations $ 2,438,691 $ 3,414,954 $ 1,069,878 $ 2,320,412
=========== ============= =========== =============
</TABLE>
See notes to financial statements
18
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon
California Connecticut
Limited Fund Limited Fund
----------------- --------------
<S> <C> <C>
Increase (Decrease) in Net Assets
From operations--
Net investment income $ 1,912,887 $ 476,306
Net realized gain (loss) (105,297) 15,444
Change in unrealized appreciation (326,939) (105,957)
-------------- -------------
Net increase in net assets from
operations $ 1,480,651 $ 385,793
-------------- -------------
Distributions to shareholders (Note 2)--
From net investment income
Class I $ (1,607,095) $ (455,112)
Class II (301,808) (1,617)
In excess of net investment income
Class I (13,847) --
Class II -- --
-------------- -------------
Total distributions to shareholders $ (1,922,750) $ (456,729)
-------------- -------------
Transactions in shares of beneficial interest
(Note 3)--
Proceeds from sale of shares
Class I $ 444,769 $ 536,742
Net asset value of shares issued to
shareholders in payment of distributions
declared
Class I 765,892 292,883
Class II 103,810 16
Cost of shares redeemed
Class I (11,840,189) (2,960,328)
Class II (3,169,620) --
Net asset value of shares exchanged
Class I (17,897,266) (590,112)
Class II 17,897,266 590,112
-------------- -------------
Net decrease in net assets from Fund
share transactions $ (13,695,338) $ (2,130,687)
-------------- -------------
Net decrease in net assets $ (14,137,437) $ (2,201,623)
-------------- -------------
Net Assets:
At beginning of year $ 54,241,482 $ 13,014,081
-------------- -------------
At end of year $ 40,104,045 $ 10,812,458
============== =============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (65,854) $ 69,889
============== =============
<CAPTION>
Marathon Marathon Marathon
Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund
----------------- --------------- -------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets
From operations--
Net investment income $ 3,944,752 $ 3,124,380 $ 620,932
Net realized gain (loss) (144,894) (65,830) 145,365
Change in unrealized appreciation (1,668,719) (861,229) (132,365)
-------------- -------------- -------------
Net increase in net assets from
operations $ 2,131,139 $ 2,197,321 $ 633,932
-------------- -------------- -------------
Distributions to shareholders (Note 2)--
From net investment income
Class I $ (3,242,562) $ (2,495,404) $ (627,157)
Class II (702,190) (539,280) (1,475)
In excess of net investment income
Class I (42,727) -- --
Class II (1,139) -- (43)
-------------- -------------- -------------
Total distributions to shareholders $ (3,988,618) $ (3,034,684) $ (628,675)
-------------- -------------- -------------
Transactions in shares of beneficial interest
(Note 3)--
Proceeds from sale of shares
Class I $ 2,000,615 $ 1,019,225 $ 383,540
Net asset value of shares issued to
shareholders in payment of distributions
declared
Class I 1,568,006 1,508,179 343,787
Class II 233,744 249,269 --
Cost of shares redeemed
Class I (26,233,067) (22,084,352) (5,590,014)
Class II (9,754,340) (6,578,267) (10,723)
Net asset value of shares exchanged
Class I (44,307,093) (30,459,860) (418,152)
Class II 44,307,093 30,459,860 418,152
-------------- -------------- -------------
Net decrease in net assets from Fund
share transactions $ (32,185,042) $ (25,885,946) $ (4,873,410)
-------------- -------------- -------------
Net decrease in net assets $ (34,042,521) $ (26,723,309) $ (4,868,153)
-------------- -------------- -------------
Net Assets:
At beginning of year $ 116,781,349 $ 91,808,638 $ 18,705,355
-------------- -------------- -------------
At end of year $ 82,738,828 $ 65,085,329 $ 13,837,202
============== ============== =============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (133,383) $ (59,021) $ 10,671
============== ============== =============
</TABLE>
See notes to financial statements
19
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
----------------- ----------------- -------------- ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations--
Net investment income $ 2,731,894 $ 4,559,947 $ 1,121,809 $ 3,061,799
Net realized gain (loss) 71,248 (233,150) 202,571 493,781
Change in unrealized appreciation (364,451) (911,843) (254,502) (1,235,168)
-------------- -------------- ------------- --------------
Net increase in net assets from
operations $ 2,438,691 $ 3,414,954 $ 1,069,878 $ 2,320,412
-------------- -------------- ------------- --------------
Distributions to shareholders (Note 2)--
From net investment income
Class I $ (2,193,735) $ (3,852,507) $ (1,105,384) $ (2,334,113)
Class II (497,596) (692,360) (4,852) (652,722)
In excess of net investment income
Class I -- (8,086) -- --
Class II -- -- (66) --
-------------- -------------- ------------- --------------
Total distributions to shareholders $ (2,691,331) $ (4,552,953) $ (1,110,302) $ (2,986,835)
-------------- -------------- ------------- --------------
Transactions in shares of beneficial
interest (Note 3)--
Proceeds from sale of shares
Class I $ 1,528,851 $ 1,602,059 $ 978,772 $ 1,379,651
Net asset value of shares issued to
shareholders in payment of
distributions declared
Class I 1,475,486 2,412,846 721,660 1,340,237
Class II 229,798 335,280 -- 187,093
Cost of shares redeemed
Class I (17,296,193) (31,149,203) (5,861,554) (18,401,069)
Class II (6,803,386) (9,880,126) (18,208) (6,368,306)
Net asset value of shares exchanged
Class I (28,857,585) (45,738,630) (976,757) (34,187,865)
Class II 28,857,585 45,738,630 976,757 34,187,865
-------------- -------------- ------------- --------------
Net decrease in net assets from
Fund share transactions $ (20,865,444) $ (36,679,144) $ (4,179,330) $ (21,862,394)
-------------- -------------- ------------- --------------
Net decrease in net assets $ (21,118,084) $ (37,817,143) $ (4,219,754) $ (22,528,817)
-------------- -------------- ------------- --------------
Net Assets:
At beginning of year $ 78,039,021 $ 133,846,163 $ 29,758,773 $ 84,406,795
-------------- -------------- ------------- --------------
At end of year $ 56,920,937 $ 96,029,020 $ 25,539,019 $ 61,877,978
============== ============== ============= ==============
Accumulated undistributed
(distributions in excess of) net
investment income included in net
assets at end of year $ (90,551) $ (158,098) $ 132,024 $ (69,470)
============== ============== ============= ==============
</TABLE>
See notes to financial statements
20
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1996
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon Marathon
California Connecticut Florida Massachusetts Michigan
Limited Fund Limited Fund Limited Fund Limited Fund Limited Fund
----------------- -------------- ----------------- --------------- ----------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations--
Net investment income $ 2,430,286 $ 556,922 $ 5,004,434 $ 3,877,768 $ 884,709
Net realized gain (loss) 685,890 37,555 467,460 (29,836) 276,050
Net change in unrealized
appreciation 374,647 239,758 1,319,556 1,657,419 34,463
-------------- ------------- -------------- -------------- -------------
Net increase in net assets
from operations $ 3,490,823 $ 834,235 $ 6,791,450 $ 5,505,351 $ 1,195,222
-------------- ------------- -------------- -------------- -------------
Distributions to shareholders
(Note 2)--
From net investment
income $ (2,430,286) $ (551,156) $ (5,004,434) $ (3,877,768) $ (861,813)
In excess of net investment
income (25,299) -- (78,461) (58,748) --
-------------- ------------- -------------- -------------- -------------
Total distributions to
shareholders $ (2,455,585) $ (551,156) $ (5,082,895) $ (3,936,516) $ (861,813)
-------------- ------------- -------------- -------------- -------------
Transactions in shares of
beneficial interest
(Note 3)--
Proceeds from sale of
shares $ 1,279,875 $ 804,443 $ 6,589,116 $ 3,102,845 $ 435,247
Net asset value of shares
issued to shareholders in
payment of distributions
declared 1,169,614 355,300 2,390,452 2,315,310 486,147
Cost of shares redeemed (23,100,091) (4,041,652) (43,488,206) (28,516,530) (8,597,683)
-------------- ------------- -------------- -------------- -------------
Net decrease in net assets
from Fund share
transactions $ (20,650,602) $ (2,881,909) $ (34,508,638) $ (23,098,375) $ (7,676,289)
-------------- ------------- -------------- -------------- -------------
Net decrease in net
assets $ (19,615,364) $ (2,598,830) $ (32,800,083) $ (21,529,540) $ (7,342,880)
Net Assets:
At beginning of year 73,856,846 15,612,911 149,581,432 113,338,178 26,048,235
-------------- ------------- -------------- -------------- -------------
At end of year $ 54,241,482 $ 13,014,081 $ 116,781,349 $ 91,808,638 $ 18,705,355
============== ============= ============== ============== =============
Accumulated undistributed
(distributions in excess of)
net investment income
included in net assets at
end of year $ (92,849) $ 50,312 $ (196,697) $ (148,717) $ 18,414
============== ============= ============== ============== =============
</TABLE>
See notes to financial statements
21
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1996
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Marathon Marathon Marathon
New Jersey New York Ohio Pennsylvania
Limited Fund Limited Fund Limited Fund Limited Fund
----------------- ----------------- -------------- ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations--
Net investment income $ 3,269,114 $ 5,568,639 $ 1,306,505 $ 3,606,448
Net realized gain (loss) 100,958 263,252 201,615 (333,806)
Net change in unrealized
appreciation 818,497 2,159,272 155,302 1,588,869
-------------- -------------- ------------- --------------
Net increase in net assets from
operations $ 4,188,569 $ 7,991,163 $ 1,663,422 $ 4,861,511
-------------- -------------- ------------- --------------
Distributions to shareholders
(Note 2) --
From net investment income $ (3,269,114) $ (5,568,639) $ (1,240,802) $ (3,606,448)
In excess of net investment income (23,528) (226,436) -- (93,394)
-------------- -------------- ------------- --------------
Total distributions to shareholders $ (3,292,642) $ (5,795,075) $ (1,240,802) $ (3,699,842)
-------------- -------------- ------------- --------------
Transactions in shares of beneficial
interest (Note 3)--
Proceeds from sale of shares $ 1,519,569 $ 4,503,742 $ 823,945 $ 3,135,022
Net asset value of shares issued to
shareholders in payment of
distributions declared 2,124,271 3,728,559 820,409 2,153,945
Cost of shares redeemed (19,862,245) (43,273,612) (6,586,968) (25,596,793)
-------------- -------------- ------------- --------------
Net decrease in net assets from
Fund share transactions $ (16,218,405) $ (35,041,311) $ (4,942,614) $ (20,307,826)
-------------- -------------- ------------- --------------
Net decrease in net assets $ (15,322,478) $ (32,845,223) $ (4,519,994) $ (19,146,157)
Net Assets:
At beginning of year 93,361,499 166,691,386 34,278,767 103,552,952
-------------- -------------- ------------- --------------
At end of year $ 78,039,021 $ 133,846,163 $ 29,758,773 $ 84,406,795
============== ============== ============= ==============
Accumulated undistributed
(distributions in excess of)
net investment income
included in net assets at
end of year $ (131,114) $ (225,055) $ 120,517 $ (144,434)
============== ============== ============= ==============
</TABLE>
See notes to financial statements
22
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon California
Limited Fund
---------------------------
Year Ended March 31,
---------------------------
1997
---------------------------
Class I Class II**
------------ --------------
<S> <C> <C>
Net asset value -- Beginning of year $ 10.080 $ 9.940
-------- --------
Income (loss) from operations:
Net investment income $ 0.393 $ 0.363
Net realized and unrealized gain (loss) on investments (0.097) 0.037++
-------- --------
Total income from operations $ 0.296 $ 0.400
-------- --------
Less distributions:
From net investment income $ (0.393) $ (0.360)
In excess of net investment income (0.003) --
From net realized gain on investments -- --
From paid-in capital -- --
-------- --------
Total distributions $ (0.396) $ (0.360)
-------- --------
Net asset value -- End of year $ 9.980 $ 9.980
======== ========
Total Return (1) 2.99% 3.84%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 25,386 $ 14,718
Ratio of net expenses to average daily net assets (2)(3) 1.71% 0.90%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.70% 0.89%+
Ratio of net investment income to average daily
net assets 3.91% 4.76%+
Portfolio Turnover (4) -- --
<CAPTION>
Marathon California Limited Fund
---------------------------------------------------
1996 1995 1994 1993*
------------ ----------- ----------- ----------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 9.950 $ 10.050 $ 10.340 $ 10.000
--------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.385 $ 0.367 $ 0.380 $ 0.333
Net realized and unrealized gain (loss) on investments 0.134 (0.027) (0.180) 0.443
--------- -------- -------- --------
Total income from operations $ 0.519 $ 0.340 $ 0.200 $ 0.776
--------- -------- -------- --------
Less distributions:
From net investment income $ (0.385) $ (0.367) $ (0.380) $ (0.333)
In excess of net investment income (0.004) (0.066) (0.096) --
From net realized gain on investments -- (0.007) (0.014) --
From paid-in capital -- -- -- (0.103)
--------- -------- -------- ---------
Total distributions $ (0.389) $ (0.440) $ (0.490) $ (0.436)
--------- -------- -------- ---------
Net asset value -- End of year $ 10.080 $ 9.950 $ 10.050 $ 10.340
========= ======== ======== =========
Total Return (1) 5.27% 3.53% 1.86% 7.67%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 54,241 $ 73,857 $ 82,451 $ 37,124
Ratio of net expenses to average daily net assets (2)(3) 1.63% 1.55% 1.40% 1.33%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.59% -- -- --
Ratio of net investment income to average daily
net assets 3.81% 3.72% 3.55% 3.77%+
Portfolio Turnover (4) -- -- 0% 24%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) -- -- 1.48% 1.72%+
Net investment income -- -- 3.47% 3.38%+
Net investment income per share -- -- $ 0.377 $ 0.299
======== ==========
</TABLE>
+ Annualized
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) on investments because of the timing of sales of Fund shares and
the amount of per share realized and unrealized gains and losses at such
time.
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
23
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Connecticut Limited Fund
---------------------------------------------------------------
Year Ended March 31,
---------------------------------------------------------------
1997 1996 1995 1994*
----------------------- ------------ ------------ ------------
Class I Class II**
---------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 9.850 $ 9.870 $ 9.690 $ 9.690 $ 10.000
--------- -------- --------- --------- --------
Income (loss) from operations:
Net investment income $ 0.398 $ 0.087 $ 0.379 $ 0.373 $ 0.343
Net realized and unrealized gain (loss) on investments (0.089) (0.082) $ 0.150 0.026 (0.243)
--------- -------- --------- --------- ---------
Total income from operations $ 0.309 $ 0.005 $ 0.529 $ 0.399 $ 0.100
--------- -------- --------- --------- ---------
Less distributions:
From net investment income $ (0.369) $ (0.085) $ (0.369) $ (0.373) $ (0.343)
In excess of net investment income -- -- -- (0.026) (0.056)
From net realized gain on investments -- -- -- -- (0.011)
--------- -------- --------- --------- ---------
Total distributions $ (0.369) $ (0.085) $ (0.369) $ (0.399) $ (0.410)
--------- -------- --------- --------- ---------
Net asset value -- End of year $ 9.790 $ 9.790 $ 9.850 $ 9.690 $ 9.690
========= ======== ========= ========= =========
Total Return (1) 3.21% (0.13)% 5.50% 4.27% 0.73%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 10,227 $ 586 $ 13,014 $ 15,613 $ 14,752
Ratio of net expenses to average daily net assets (2)(3) 1.72% 0.70%+ 1.53% 1.23% 0.86%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.68% 0.66%+ 1.49% -- --
Ratio of net investment income to average daily
net assets 3.93% 5.06%+ 3.78% 3.89% 3.50%+
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an
allocation of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and
net investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2)(3) 1.96% 0.94%+ 1.86% 1.81% 2.02%+
Expenses after custodian fee reduction (2) 1.92% 0.90%+ -- -- --
Net investment income 3.69% 4.82%+ 3.45% 3.31% 2.34%+
Net investment income per share $ 0.374 $ 0.083 $ 0.346 $ 0.317 $ 0.229
========= ======== ========= ========= ==========
</TABLE>
+ Annualized
* For the period from the start of business, April 16, 1993, to March 31,
1994.
** For the period from the start of business, January 21, 1997, to March 31,
1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
See notes to financial statements
24
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Florida Limited
Fund
---------------------------
Year Ended March 31,
---------------------------
1997
---------------------------
Class I Class II**
------------ --------------
<S> <C> <C>
Net asset value -- Beginning of year $ 10.170 $ 10.030
-------- -----------
Income (loss) from operations:
Net investment income $ 0.388 $ 0.357
Net realized and unrealized gain (loss) on investments (0.185) (0.049)
-------- -----------
Total income from operations $ 0.203 $ 0.308
-------- -----------
Less distributions:
From net investment income $ (0.388) $ (0.357)
In excess of net investment income (0.005) (0.001)
From net realized gain on investments -- --
From paid-in capital -- --
-------- -----------
Total distributions $ (0.393) $ (0.358)
-------- -----------
Net asset value -- End of year $ 9.980 $ 9.980
======== ===========
Total Return (1) 2.05% 2.88%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 48,418 $ 34,321
Ratio of net expenses to average daily net assets (2)(3) 1.65% 0.89%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.63% 0.87%+
Ratio of net investment income to average daily
net assets 3.86% 4.65%+
Portfolio Turnover (4) -- --
<CAPTION>
Marathon Florida Limited Fund
---------------------------------------------------
1996 1995 1994 1993*
------------ ------------ ------------ ----------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 10.080 $ 10.060 $ 10.360 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.383 $ 0.375 $ 0.387 $ 0.333
Net realized and unrealized gain (loss) on investments 0.096 0.090 (0.200) 0.469
-------- -------- -------- --------
Total income from operations $ 0.479 $ 0.465 $ 0.187 $ 0.802
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.383) $ (0.375) $ (0.387) $ (0.333)
In excess of net investment income (0.006) (0.058) (0.092) --
From net realized gain on investments -- (0.012) (0.008) --
From paid-in capital -- -- -- (0.109)
-------- -------- -------- ---------
Total distributions $ (0.389) $ (0.445) $ (0.487) $ (0.442)
-------- -------- -------- ---------
Net asset value -- End of year $ 10.170 $ 10.080 $ 10.060 $ 10.360
======== ======== ======== =========
Total Return (1) 4.78% 4.79% 1.68% 7.94%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 116,781 $ 149,581 $ 162,999 $ 90,210
Ratio of net expenses to average daily net assets (2)(3) 1.57% 1.50% 1.42% 1.24%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.56% -- -- --
Ratio of net investment income to average daily
net assets 3.74% 3.77% 3.57% 3.73%+
Portfolio Turnover (4) -- -- 0% 11%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Advisor or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.49%+
Net investment income 3.48%+
Net investment income per share $ 0.311
==========
</TABLE>
+ Annualized
* For the period from the start of business, May 29, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
25
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Massachusetts
Limited Fund
---------------------------
Year Ended March 31,
---------------------------
1997
---------------------------
Class I Class II**
------------ --------------
<S> <C> <C>
Net asset value -- Beginning of year $ 10.100 $ 9.940
-------- --------
Income (loss) from operations:
Net investment income $ 0.378 $ 0.359
Net realized and unrealized gain (loss) on investments (0.106) 0.040++
-------- --------
Total income from operations $ 0.272 $ 0.399
-------- --------
Less distributions:
From net investment income $ (0.382) $ (0.349)
In excess of net investment income -- --
From net realized gain on investments -- --
From paid-in capital -- --
-------- --------
Total distributions $ (0.382) $ (0.349)
-------- --------
Net asset value -- End of year $ 9.990 $ 9.990
======== ========
Total Return (1) 2.74% 3.83%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 41,090 $ 23,995
Ratio of net expenses to average daily net assets (2)(3) 1.68% 0.91%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.66% 0.89%+
Ratio of net investment income to average daily
net assets 3.90% 4.76%+
Portfolio Turnover (4) -- --
<CAPTION>
Marathon Massachusetts Limited Fund
---------------------------------------------------
1996 1995 1994 1993*
------------ ------------ ------------ ---------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 9.980 $ 9.960 $ 10.270 $ 10.000
--------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.383 $ 0.383 $ 0.385 $ 0.334
Net realized and unrealized gain (loss) on investments 0.126 0.082 (0.197) 0.368
--------- -------- -------- --------
Total income from operations $ 0.509 $ 0.465 $ 0.188 $ 0.702
--------- -------- -------- --------
Less distributions:
From net investment income $ (0.383) $ (0.383) $ (0.385) $ (0.334)
In excess of net investment income (0.006) (0.055) (0.095) --
From net realized gain on investments -- (0.007) (0.018) --
From paid-in capital -- -- -- (0.098)
--------- -------- -------- ---------
Total distributions $ (0.389) $ (0.445) $ (0.498) $ (0.432)
--------- -------- -------- ---------
Net asset value -- End of year $ 10.100 $ 9.980 $ 9.960 $ 10.270
========= ======== ======== =========
Total Return (1) 5.08% 4.84% 1.75% 6.95%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 91,809 $ 113,338 $ 115,121 $ 55,737
Ratio of net expenses to average daily net assets (2)(3) 1.60% 1.57% 1.46% 1.24%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.58% -- -- --
Ratio of net investment income to average daily
net assets 3.71% 3.89% 3.61% 3.88%+
Portfolio Turnover (4) -- -- 2% 21%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.55%+
Net investment income 3.57%+
Net investment income per share $ 0.307
==========
</TABLE>
+ Annualized
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) on investments because of the timing of sales of Fund shares and
the amount of per share realized and unrealized gains and losses at such
time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
26
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Michigan Limited Fund
-----------------------------------------------------------------
Year Ended March 31,
-----------------------------------------------------------------
1997 1996 1995 1994*
------------------------- ------------ ------------ ------------
Class I Class II**
------------ ------------
<S> <C> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 9.730 $ 9.740 $ 9.630 $ 9.650 $ 10.000
--------- -------- - --------- --------- --------
Income (loss) from operations:
Net investment income $ 0.382 $ 0.201 $ 0.383 $ 0.364 $ 0.345
Net realized and unrealized gain (loss) on investments 0.012 0.001 0.090 0.030 (0.279)
--------- -------- - --------- --------- ---------
Total income from operations $ 0.394 $ 0.202 $ 0.473 $ 0.394 $ 0.066
--------- -------- - --------- --------- ---------
Less distributions:
From net investment income $ (0.384) $ (0.201) $ (0.373) $ (0.364) $ (0.345)
In excess of net investment income -- (0.001) -- (0.050) (0.071)
--------- -------- - --------- --------- ---------
Total distributions $ (0.384) $ (0.202) $ (0.373) $ (0.414) $ (0.416)
--------- -------- - --------- --------- ---------
Net asset value -- End of year $ 9.740 $ 9.740 $ 9.730 $ 9.630 $ 9.650
========= ======== = ========= ========= =========
Total Return (1) 4.14% 1.89% 4.95% 4.24% 0.37%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 13,431 $ 406 $ 18,705 $ 26,048 $ 26,788
Ratio of net expenses to average daily net assets (2)(3) 1.99% 1.18%+ 1.78% 1.55% 1.91%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.96% 1.15%+ 1.75% -- --
Ratio of net investment income to average daily
net assets 3.91% 4.56%+ 3.92% 3.82% 3.56%+
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.66% 2.63%+
Expenses after custodian fee reduction -- --
Net investment income 3.71% 2.84%+
Net investment income per share $ 0.354 $ 0.275
========= ==========
</TABLE>
+ Annualized
* For the period from the start of business, April 16, 1993, to March 31,
1994.
** For the period from the start of business, October 22, 1996, to March 31,
1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
See notes to financial statements
27
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon New Jersey Limited Fund
----------------------------------------
Year Ended March 31,
----------------------------------------
1997 1996
--------------------------- ------------
Class I Class II**
------------ --------------
<S> <C> <C> <C>
Net asset value -- Beginning of year $ 10.110 $ 9.960 $ 10.020
-------- -------- - --------
Income (loss) from operations:
Net investment income $ 0.375 $ 0.362 $ 0.383
Net realized and unrealized gain (loss) on investments (0.026) 0.102++ 0.093
-------- -------- - --------
Total income from operations $ 0.349 $ 0.464 $ 0.476
-------- -------- - --------
Less distributions:
From net investment income $ (0.389) $ (0.354) $ (0.383)
In excess of net investment income -- -- (0.003)
From net realized gain on investments -- -- --
From paid-in capital -- -- --
-------- -------- - ---------
Total distributions $ (0.389) $ (0.354) $ (0.386)
-------- -------- - ---------
Net asset value -- End of year $ 10.070 $ 10.070 $ 10.110
======== ======== = =========
Total Return (1) 3.53% 4.48% 4.79%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 34,691 $ 22,230 $ 78,039
Ratio of net expenses to average daily net assets (2)(3) 1.69% 0.88%+ 1.60%
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.66% 0.85%+ 1.58%
Ratio of net investment income to average daily
net assets 3.90% 4.75%+ 3.77%
Portfolio Turnover (4) -- -- --
<CAPTION>
1995 1994 1993*
------------ -------------- ----------
<S> <C> <C> <C>
Net asset value -- Beginning of year $ 10.030 $ 10.350 $ 10.000
-------- ----------- --------
Income (loss) from operations:
Net investment income $ 0.370 $ 0.374 $ 0.325
Net realized and unrealized gain (loss) on investments 0.068 (0.216)++ 0.453
-------- ----------- --------
Total income from operations $ 0.438 $ 0.158 $ 0.778
-------- ----------- --------
Less distributions:
From net investment income $ (0.370) $ (0.374) $ (0.325)
In excess of net investment income (0.060) (0.092) --
From net realized gain on investments (0.018) (0.012) --
From paid-in capital -- -- (0.103)
-------- ----------- ---------
Total distributions $ (0.448) $ (0.478) $ (0.428)
-------- ----------- ---------
Net asset value -- End of year $ 10.020 $ 10.030 $ 10.350
======== =========== =========
Total Return (1) 4.53% 1.44% 7.71%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 93,361 $ 99,743 $ 58,527
Ratio of net expenses to average daily net assets (2)(3) 1.56% 1.51% 1.25%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) -- -- --
Ratio of net investment income to average daily
net assets 3.73% 3.50% 3.71%+
Portfolio Turnover (4) -- 0% 9%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.55%+
Net investment income 3.41%+
Net investment income per share $ 0.299
==========
</TABLE>
+ Annualized
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of timing of sales of Fund shares and the
amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
28
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon New York Limited
Fund
----------------------------
Year Ended March 31,
----------------------------
1997
----------------------------
Class I Class II*
------------ ---------------
<S> <C> <C>
Net asset value -- Beginning of year $ 10.150 $ 10.000
-------- ---------
Income (loss) from operations:
Net investment income $ 0.387 $ 0.357
Net realized and unrealized gain (loss) on investments (0.109) 0.035++
-------- ---------
Total income from operations $ 0.278 $ 0.392
-------- ---------
Less distributions:
From net investment income $ (0.387) $ (0.352)
In excess of net investment income (0.001) --
From net realized gain on investments -- --
From paid-in capital -- --
-------- ---------
Total distributions $ (0.388) $ (0.352)
-------- ---------
Net asset value -- End of year $ 10.040 $ 10.040
======== =========
Total Return (1) 2.79% 3.74%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 60,097 $ 35,932
Ratio of net expenses to average daily net assets (2)(3) 1.63% 0.88%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.61% 0.86%+
Ratio of net investment income to average daily
net assets 3.84% 4.67%+
Portfolio Turnover (4) -- --
<CAPTION>
Marathon New York Limited Fund
---------------------------------------------------
1996 1995 1994 1993**
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 10.030 $ 10.040 $ 10.360 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.374 $ 0.378 $ 0.387 $ 0.327
Net realized and unrealized gain (loss) on investments 0.135 0.049 (0.219) 0.475
-------- -------- -------- --------
Total income from operations $ 0.509 $ 0.427 $ 0.168 $ 0.802
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.374) $ (0.378) $ (0.387) $ (0.327)
In excess of net investment income (0.015) (0.055) (0.093) --
From net realized gain on investments -- (0.004) (0.008) --
From paid-in capital -- -- -- (0.115)
-------- -------- -------- ---------
Total distributions $ (0.389) $ (0.437) $ (0.488) $ (0.442)
-------- -------- -------- ---------
Net asset value -- End of year $ 10.150 $ 10.030 $ 10.040 $ 10.360
======== ======== ======== =========
Total Return (1) 5.12% 4.41% 1.46% 7.95%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 133,846 $ 166,691 $ 178,251 $ 93,819
Ratio of net expenses to average daily net assets (2)(3) 1.57% 1.51% 1.40% 1.21%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.55% -- -- --
Ratio of net investment income to average daily
net assets 3.66% 3.81% 3.56% 3.69%+
Portfolio Turnover (4) -- -- -- 11%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.47%+
Net investment income 3.43%+
Net investment income per share $ 0.305
==========
</TABLE>
+ Annualized
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of timing of sales of Fund shares and the
amount of per share realized and unrealized gains and losses at such time. *
For the period from the start of business, June 27, 1996, to March 31, 1997.
** For the period from the start of business, May 29, 1992, to March 31, 1993.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
29
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Ohio Limited Fund
---------------------------------------------------------------
Year Ended March 31,
---------------------------------------------------------------
1997 1996 1995 1994*
----------------------- ------------ ------------ ------------
Class I Class II**
---------- ------------
<S> <C> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 9.840 $ 9.860 $ 9.730 $ 9.730 $ 10.000
--------- -------- - --------- --------- --------
Income (loss) from operations:
Net investment income $ 0.408 $ 0.205 $ 0.398 $ 0.382 $ 0.354
Net realized and unrealized gain (loss) on investments (0.033) (0.037) 0.085 0.032 (0.194)
--------- -------- - --------- --------- ---------
Total income from operations $ 0.375 $ 0.168 $ 0.483 $ 0.414 $ 0.160
--------- -------- - --------- --------- ---------
Less distributions:
From net investment income $ (0.395) $ (0.205) $ (0.373) $ (0.382) $ (0.354)
In excess of net investment income -- (0.003) -- (0.032) (0.076)
--------- -------- - --------- --------- ---------
Total distributions $ (0.395) $ (0.208) $ (0.373) $ (0.414) $ (0.430)
--------- -------- - --------- --------- ---------
Net asset value -- End of year $ 9.820 $ 9.820 $ 9.840 $ 9.730 $ 9.730
========= ======== = ========= ========= =========
Total Return (1) 3.89% 1.51% 5.07% 4.41% 1.23%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 24,587 $ 952 $ 29,759 $ 34,279 $ 32,002
Ratio of net expenses to average daily net assets (2)(3) 1.84% 1.08%+ 1.67% 1.49% 1.03%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.81% 1.05%+ 1.65% -- --
Ratio of net investment income to average daily
net assets 4.06% 4.75%+ 4.04% 3.95% 3.53%+
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an
allocation of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net
investment income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.60% 1.63%+
Net investment income 3.84% 2.93%+
Net investment income per share $ 0.371 $ 0.293
========= ==========
</TABLE>
+ Annualized
* For the period from the start of business, April 16, 1993, to March 31,
1994.
** For the period from the start of business, October 22, 1996, to March 31,
1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
See notes to financial statements
30
<PAGE>
Financial Highlights
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Marathon Pennsylvania
Limited Fund
----------------------------
Year Ended March 31,
----------------------------
1997
----------------------------
Class I Class II**
------------ ---------------
<S> <C> <C>
Net asset value -- Beginning of year $ 10.190 $ 10.030
-------- ---------
Income (loss) from operations:
Net investment income $ 0.392 $ 0.371
Net realized and unrealized gain (loss) on investments (0.081) 0.063++
-------- ---------
Total income from operations $ 0.311 $ 0.434
-------- ---------
Less distributions:
From net investment income $ (0.401) $ (0.364)
In excess of net investment income -- --
From net realized gain on investments -- --
In excess of net realized gain on investments -- --
-------- ---------
Total distributions $ (0.401) $ (0.364)
-------- ---------
Net asset value -- End of year $ 10.100 $ 10.100
======== =========
Total Return (1) 3.12% 4.15%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 33,971 $ 27,907
Ratio of net expenses to average daily net assets (2)(3) 1.69% 0.90%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.67% 0.88%+
Ratio of net investment income to average daily
net assets 4.05% 4.83%+
Portfolio Turnover (4) -- --
<CAPTION>
Marathon Pennsylvania Limited Fund
---------------------------------------------------
1996 1995 1994 1993*
------------ ------------ ------------ -----------
<S> <C> <C> <C> <C>
Net asset value -- Beginning of year $ 10.090 $ 10.100 $ 10.390 $ 10.000
-------- -------- -------- --------
Income (loss) from operations:
Net investment income $ 0.388 $ 0.374 $ 0.399 $ 0.336
Net realized and unrealized gain (loss) on investments 0.110 0.065 (0.195) 0.490
-------- -------- -------- --------
Total income from operations $ 0.498 $ 0.439 $ 0.204 $ 0.826
-------- -------- -------- --------
Less distributions:
From net investment income $ (0.388) $ (0.374) $ (0.399) $ (0.336)
In excess of net investment income (0.010) (0.069) (0.083) --
From net realized gain on investments -- (0.006) (0.012) --
In excess of net realized gain on investments -- -- -- (0.100)
-------- -------- -------- ---------
Total distributions $ (0.398) $ (0.449) $ (0.494) $ (0.436)
-------- -------- -------- ---------
Net asset value -- End of year $ 10.190 $ 10.090 $ 10.100 $ 10.390
======== ======== ======== =========
Total Return (1) 4.98% 4.50% 1.89% 8.19%
Ratios/Supplemental Data+
Net assets, end of year (000 omitted) $ 84,407 $ 103,553 $ 109,515 $ 65,005
Ratio of net expenses to average daily net assets (2)(3) 1.62% 1.57% 1.45% 1.29%+
Ratio of net expenses to average daily net assets, after
custodian fee reduction (2) 1.60% -- -- --
Ratio of net investment income to average daily
net assets 3.79% 3.75% 3.63% 3.88%+
Portfolio Turnover (4) -- -- 0% 18%
+ The operating expenses of the Funds and the Portfolios may reflect a reduction of the Investment Adviser fee, an allocation
of expenses to the Investment Adviser or Administrator, or both. Had such actions not been taken, the ratios and net investment
income per share would have been as follows:
Ratios (As a percentage of average daily net assets):
Expenses (2) 1.53%+
Net investment income 3.64%+
Net investment income per share $ 0.315
==========
</TABLE>
+ Annualized
++ The per share amount is not in accord with the net realized and unrealized
gain (loss) for the period because of timing of sales of Fund shares and the
amount of per share realized and unrealized gains and losses at such time.
* For the period from the start of business, June 1, 1992, to March 31, 1993.
** For the period from the start of business, June 27, 1996, to March 31, 1997.
(1) Total return is calculated assuming a purchase at the net asset value on the
first day and a sale at the net asset value on the last day of each period
reported. Dividends and distributions, if any, are assumed to be reinvested
at the net asset value on the payable date. Total return is not computed on
an annualized basis.
(2) Includes the Fund's share of its corresponding Portfolio's allocated
expenses.
(3) The expense ratios for the years ended March 31, 1996 and thereafter, have
been adjusted to reflect a change in reporting guidelines. The new reporting
guidelines require the Fund to increase its expense ratio by the effect of
any expense offset arrangements with its service providers or those of the
Portfolio. The expense ratios for each of the prior periods have not been
adjusted to reflect this change.
(4) Portfolio Turnover represents the rate of portfolio activity for the period
while the Fund was making investments directly in securities. The portfolio
turnover rate for the period since the Fund transferred substantially all of
its investable assets to the Portfolio is shown in the Portfolio's financial
statements which are included elsewhere in this report.
See notes to financial statements
31
<PAGE>
Notes to Financial Statements
---------------------------------------------------------------------------
(1) Significant Accounting Policies
Eaton Vance Investment Trust (the Trust) is an entity of the type commonly known
as a Massachusetts business trust and is registered under the Investment Company
Act of 1940, as amended, as an open-end management investment company. The Trust
presently consists of twenty-four Funds, nine of which are included in these
financial statements. They include EV Marathon California Limited Maturity
Municipals Fund ("Marathon California Limited Fund"), EV Marathon Connecticut
Limited Maturity Municipals Fund ("Marathon Connecticut Limited Fund"), EV
Marathon Florida Limited Maturity Municipals Fund ("Marathon Florida Limited
Fund"), EV Marathon Massachusetts Limited Maturity Municipals Fund ("Marathon
Massachusetts Limited Fund"), EV Marathon Michigan Limited Maturity Municipals
Fund ("Marathon Michigan Limited Fund"), EV Marathon New Jersey Limited Maturity
Municipals Fund ("Marathon New Jersey Limited Fund"), EV Marathon New York
Limited Maturity Municipals Fund ("Marathon New York Limited Fund"), EV Marathon
Ohio Limited Maturity Municipals Fund ("Marathon Ohio Limited Fund"), and EV
Marathon Pennsylvania Limited Maturity Municipals Fund ("Marathon Pennsylvania
Limited Fund"). The Funds have two classes of shares. Class I shares are sold at
net asset value and are subject to a contingent deferred sales charge (See Note
6). Class I shares held longer of (i) four years or (ii) the time at which the
contingent deferred sales charge applicable to such shares expires, will
automatically convert to Class II shares. All classes of shares have equal
rights to assets and voting privileges. Realized and unrealized gains and losses
and net investment income, other than class specific expenses, are allocated
daily to each class of shares based on the relative net assets of each class to
the total net assets of the Fund. Each class of shares differs in its
distribution plan and certain other class specific expenses. Each Fund invests
all of its investable assets in interests in a separate corresponding open-
end management investment company (a "Portfolio"), a New York Trust, having the
same investment objective as its corresponding Fund. The Marathon California
Limited Fund invests its assets in the California Limited Maturity Municipals
Portfolio, the Marathon Connecticut Limited Fund invests its assets in the
Connecticut Limited Maturity Municipals Portfolio, the Marathon Florida Limited
Fund invests its assets in the Florida Limited Maturity Municipals Portfolio,
the Marathon Massachusetts Limited Fund invests its assets in the Massachusetts
Limited Maturity Municipals Portfolio, the Marathon Michigan Limited Fund
invests its assets in the Michigan Limited Maturity Municipals Portfolio, the
Marathon New Jersey Limited Fund invests its assets in the New Jersey Limited
Maturity Municipals Portfolio, the Marathon New York Limited Fund invests its
assets in the New York Limited Maturity Municipals Portfolio, the Marathon Ohio
Limited Fund invests its assets in the Ohio Limited Maturity Municipals
Portfolio, and the Marathon Pennsylvania Limited Fund invests its assets in the
Pennsylvania Limited Maturity Municipals Portfolio. The value of each Fund's
investment in its corresponding Portfolio reflects the Fund's proportionate
interest in the net assets of that Portfolio (93.5%, 88.2%, 89.7%, 93.4%, 92.4%,
98.2%, 96.4%, 89.9%, and 91.6%) at March 31, 1997 for the Marathon California
Limited Fund, Marathon Connecticut Limited Fund, Marathon Florida Limited Fund,
Marathon Massachusetts Limited Fund, Marathon Michigan Limited Fund, Marathon
New Jersey Limited Fund, Marathon New York Limited Fund, Marathon Ohio Limited
Fund, and Marathon Pennsylvania Limited Fund, respectively). The performance of
each Fund is directly affected by the performance of its corresponding
Portfolio. The financial statements of each Portfolio, including the portfolio
of investments, are included elsewhere in this report and should be read in
conjunction with each Fund's financial statements. The following is a summary of
significant accounting policies consistently followed by the Trust in the
preparation of its financial statements. The policies are in conformity with
generally accepted accounting principles.
A. Investment Valuations -- Valuation of securities by the Portfolios is
discussed in Note 1A of the Portfolios' Notes to Financial Statements, which are
included elsewhere in this report.
B. Income -- Each Fund's net investment income consists of each Fund's pro rata
share of the net investment income of its corresponding Portfolio, less all
actual and accrued expenses of each Fund determined in accordance with generally
accepted accounting principles.
C. Federal Taxes -- Each Fund's policy is to comply with the provisions of the
Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders each year all of its taxable and tax-exempt income,
including any net realized gain on investments. Accordingly, no provision for
federal income or excise tax is necessary. At March 31, 1997, the following
Funds, for federal income tax purposes, had capital loss carryovers, which will
reduce each Fund's taxable income arising from future net realized gain on
investments, if any, to the extent permitted by the Internal Revenue Code, and
thus will reduce the amount of the distributions to shareholders which would
otherwise be necessary to relieve the Funds of any liability for federal income
taxes. The amounts and expiration dates of the capital loss carryovers are as
follows:
32
<PAGE>
---------------------------------------------------------------------------
Fund Amount Expires
- ----------------------------- ----------- ---------------
Marathon California Limited $ 29,906 March 31, 2005
Fund 1,636,789 March 31, 2004
723,340 March 31, 2003
Marathon Connecticut 248,769 March 31, 2004
Limited Fund 215,439 March 31, 2003
Marathon Florida Limited 53,705 March 31, 2005
Fund 2,395,400 March 31, 2004
645,654 March 31, 2003
Marathon Massachusetts 1,434,610 March 31, 2004
Limited Fund 507,369 March 31, 2003
Marathon Michigan Limited 629,966 March 31, 2004
Fund 364,378 March 31, 2003
Marathon New Jersey Limited 1,685,218 March 31, 2004
Fund 481,071 March 31, 2003
Marathon New York Limited 1,660,209 March 31, 2004
Fund 797,871 March 31, 2003
Marathon Ohio Limited Fund 627,563 March 31, 2004
621,935 March 31, 2003
Marathon Pennsylvania 1,531,994 March 31, 2004
Limited Fund 141,151 March 31, 2003
Dividends paid by each Fund from net interest on tax-exempt municipal bonds
allocated from its corresponding Portfolio are not includable by shareholders as
gross income for federal income tax purposes because each Fund and Portfolio
intend to meet certain requirements of the Internal Revenue Code applicable to
regulated investment companies which will enable the Funds to pay
exempt-interest dividends. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item to shareholders.
D. Deferred Organization Expenses -- Costs incurred by a Fund in connection with
its organization, including registration costs, are being amortized on the
straight-line basis over five years, beginning on the date each Fund commenced
operations.
E. Use of Estimates -- The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts of
revenue and expense during the reporting period. Actual results could differ
from those estimates.
F. Expense Reduction -- Investors Bank & Trust Company (IBT) serves as custodian
to the Funds and the Portfolios. Pursuant to the respective custodian
agreements, IBT receives a fee reduced by credits which are determined based on
the average daily cash balances the Funds or the Portfolios maintain with IBT.
All significant credit balances used to reduce each Fund's custodian fees are
reflected as a reduction of expenses on the statement of operations.
G. Other -- Investment transactions are accounted for on a trade date basis.
- ---------------------------------------------------------------------------
(2) Distributions to Shareholders
The net income of each Fund is determined daily and substantially all of the net
income so determined is declared as a dividend to shareholders of record at the
time of declaration. Dividends are declared separately for each class of shares.
Distributions are paid monthly. Distributions of allocated realized capital
gains, if any, are made at least annually. Shareholders may reinvest income and
capital gain distributions in additional shares of the same class of a Fund at
the net asset value as of the ex-dividend date. Distributions are paid in the
form of additional shares of the same class or, at the election of the
shareholder, in cash. The Funds distinguish between distributions on a tax basis
and a financial reporting basis. Generally accepted accounting principals
require that only distributions in excess of tax basis earnings and profits be
reported in the financial statements as a return of capital. Differences in the
recognition or classification of income between the financial statements and tax
earnings and profits which result in temporary over distributions for financial
statement purposes are classified as distributions in excess of net investment
income or accumulated net realized gains. Permanent differences between book and
tax accounting relating to distributions are reclassified to paid-in capital.
Tax treatment of distributions for the calendar year will be reported to
shareholders prior to February 1, 1998 and will be based on tax accounting
methods which may differ from amounts determined for financial statement
purposes.
33
<PAGE>
---------------------------------------------------------------------------
(3) Shares of Beneficial Interest
The Funds' Declaration of Trust permits the Trustees to issue an unlimited
number of full and fractional shares of beneficial interest (without par value).
Such shares may be issued in a number of different classes. Transactions in Fund
shares were as follows:
<TABLE>
<CAPTION>
Marathon California Limited Fund
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996
------------------------------ ---------------
Class I Class II Class I
--------------- ------------ ---------------
<S> <C> <C> <C>
Sales 44,303 -- 125,775
Issued to shareholders electing to receive
payment of distribution in Fund shares 76,296 10,290 115,612
Redemptions (1,178,410) (314,531) (2,283,300)
Exchange to Class II shares (1,779,248) 1,779,248 --
------------ ----------- ------------
Net Increase (Decrease) (2,837,059) 1,475,007 (2,041,913)
============ =========== ============
Marathon Connecticut Limited Fund
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996
------------------------------ ---------------
Class I Class II Class I
--------------- ------------ ---------------
Sales 54,830 -- 81,436
Issued to shareholders electing to receive
payment of distribution in Fund shares 29,813 2 35,937
Redemptions (300,480) -- (408,009)
Exchange to Class II shares (59,859) 59,859 --
------------ ----------- ------------
Net Increase (Decrease) (275,696) 59,861 (290,636)
============ =========== ============
Marathon Florida Limited Fund
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996
------------------------------ ---------------
Class I Class II Class I
--------------- ------------ ---------------
Sales 197,900 -- 640,788
Issued to shareholders electing to receive
payment of distribution in Fund shares 155,202 23,070 232,870
Redemptions (2,599,329) (963,892) (4,235,722)
Exchange to Class II shares (4,380,777) 4,380,777 --
------------ ----------- ------------
Net Increase (Decrease) (6,627,004) 3,439,955 (3,362,064)
============ =========== ============
Marathon Massachusetts Limited Fund
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996
------------------------------ ---------------
Class I Class II Class I
--------------- ------------ ---------------
Sales 101,398 -- 305,814
Issued to shareholders electing to receive
payment of distribution in Fund shares 150,180 24,689 228,138
Redemptions (2,198,694) (652,306) (2,805,006)
Exchange to Class II shares (3,028,854) 3,028,854 --
------------ ----------- ------------
Net Increase (Decrease) (4,975,970) 2,401,237 (2,271,054)
============ =========== ============
</TABLE>
34
<PAGE>
---------------------------------------------------------------------------
(3) Shares of Beneficial Interest (continued)
<TABLE>
<CAPTION>
Marathon Michigan Limited Fund
----------------------------------------------
Year Ended March 31,
----------------------------------------------
1997 1996
------------------------------ -------------
Class I Class II Class I
--------------- ------------ -------------
<S> <C> <C> <C>
Sales 39,358 -- 44,619
Issued to shareholders electing to receive
payment of distribution in Fund shares 35,316 -- 49,660
Redemptions (575,559) (1,098) (876,104)
Exchange to Class II shares (42,757) 42,757 --
------------ ----------- ------------
Net Increase (Decrease) (543,642) 41,659 (781,825)
============ =========== ============
Marathon New Jersey Limited Fund
----------------------------------------------
Year Ended March 31,
----------------------------------------------
1997 1996
------------------------------ -------------
Class I Class II Class I
--------------- ------------ -------------
Sales 151,146 -- 149,270
Issued to shareholders electing to receive
payment of distribution in Fund shares 146,399 22,628 208,755
Redemptions (1,717,413) (670,727) (1,950,361)
Exchange to Class II shares (2,856,136) 2,856,136 --
------------ ----------- ------------
Net Increase (Decrease) (4,276,004) 2,208,037 (1,592,336)
============ =========== ============
Marathon New York Limited Fund
----------------------------------------------
Year Ended March 31,
----------------------------------------------
1997 1996
------------------------------ -------------
Class I Class II Class I
--------------- ------------ -------------
Sales 158,358 -- 441,765
Issued to shareholders electing to receive
payment of distribution in Fund shares 239,015 33,049 365,297
Redemptions (3,084,350) (975,814) (4,238,030)
Exchange to Class II shares (4,520,073) 4,520,073 --
------------ ----------- ------------
Net Increase (Decrease) (7,207,050) 3,577,308 (3,430,968)
============ =========== ============
Marathon Ohio Limited Fund
----------------------------------------------
Year Ended March 31,
----------------------------------------------
1997 1996
------------------------------ -------------
Class I Class II Class I
--------------- ------------ -------------
Sales 99,376 -- 83,296
Issued to shareholders electing to receive
payment of distribution in Fund shares 73,211 -- 82,900
Redemptions (595,795) (1,819) (664,620)
Exchange to Class II shares (98,805) 98,805 --
------------ ----------- ------------
Net Increase (Decrease) (522,013) 96,986 (498,424)
============ =========== ============
</TABLE>
35
<PAGE>
---------------------------------------------------------------------------
(3) Shares of Beneficial Interest (continued)
<TABLE>
<CAPTION>
Marathon Pennsylvania Limited Fund
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996
------------------------------ ---------------
Class I Class II Class I
--------------- ------------ ---------------
<S> <C> <C> <C>
Sales 136,028 -- 304,907
Issued to shareholders electing to receive
payment of distribution in Fund shares 132,318 18,350 209,882
Redemptions (1,815,306) (625,891) (2,491,336)
Exchange to Class II shares (3,371,454) 3,371,454 --
------------ ---------- ------------
Net Increase (Decrease) (4,918,414) 2,763,913 (1,976,547)
============ ========== ============
</TABLE>
There were no transactions for Class II shares during the year ended March 31,
1996.
- ---------------------------------------------------------------------------
(4) Transactions with Affiliates
Eaton Vance Management (EVM) serves as the Administrator of each Fund, but
receives no compensation. Each of the Portfolios have engaged Boston Management
and Research (BMR), a subsidiary of EVM, to render investment advisory services.
See Note 2 of the Portfolios' Notes to Financial Statements which are included
elsewhere in this report. Certain of the officers and Trustees of the Funds and
Portfolios are officers and directors/trustees of the above organizations (Note
5). Except as to Trustees of the Funds and Portfolios who are not members of
EVM's or BMR's organization, officers and Trustees receive remuneration for
their services to each Fund out of the investment advisor fee earned by BMR.
- ---------------------------------------------------------------------------
(5) Distribution Plan
Each Fund has adopted a distribution plan (the "Plans") pursuant to Rule 12b-1
under the Investment Company Act of 1940. The Plans require the Funds to pay the
principal underwriter, Eaton Vance Distributors, Inc. (EVD) amounts equal to
1/365 of 0.75% of each Fund's Class I daily net assets, for providing ongoing
distribution services and facilities to the respective Fund. A Fund will
automatically discontinue payments to EVD during any period in which there are
no outstanding Uncovered Distribution Charges, which are equivalent to the sum
of (i) 3% (31/2% for Marathon Connecticut Limited Fund, Marathon Michigan
Limited Fund and Marathon Ohio Limited Fund) of the aggregate amount received by
the Fund for Class I shares sold plus, (ii) distribution fees calculated by
applying the rate of 1% over the prevailing prime rate to the outstanding
balance of Uncovered Distribution Charges of EVD reduced by the aggregate amount
of contingent deferred sales charges (see Note 6) and amounts theretofore paid
to EVD. The amount payable to EVD with respect to each day is accrued on such
day as a liability of each Fund and, accordingly, reduces each Fund's net
assets. For the year ended March 31, 1997, Marathon California Limited Fund,
Marathon Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon
Massachusetts Limited Fund, Marathon Michigan Limited Fund, Marathon New Jersey
Limited Fund, Marathon New York Limited Fund, Marathon Ohio Limited Fund, and
Marathon Pennsylvania Limited Fund paid or accrued $308,795, $90,685, $631,417,
$493,460, $118,937, $427,268, $754,897, $206,303, and $443,211, respectively, to
or payable to EVD representing 0.75% (annualized) of average daily net assets.
At March 31, 1997, the amount of Uncovered Distribution Charges of EVD
calculated under the Plans for Marathon California Limited Fund, Marathon
Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon Massachusetts
Limited Fund, Marathon Michigan Limited Fund, Marathon New Jersey Limited Fund,
Marathon New York Limited Fund, Marathon Ohio Limited Fund, and Marathon
Pennsylvania Limited Fund were approximately $331,700, $235,800, $714,000,
$475,700, $330,900, $444,900, $680,400, $505,100 and $348,000, respectively.
In addition, the Plan permits the Fund to make monthly payments of service fees
to the Principal Underwriter in amounts not expected to exceed 0.25% of each
Fund's average daily net assets for any fiscal year. The Trustees have initially
implemented the Plans by authorizing the Funds to make quarterly service fee
payments to the Principal Underwriter and Authorized Firms in amounts not
expected to exceed 0.15% of each Fund's average daily net assets attributable to
both Class I and Class II shares based on the value of Fund shares sold by such
persons remaining outstanding for at least one year. For the year ended March
31, 1997, Marathon California Limited Fund, Marathon Connecticut Limited Fund,
Marathon Florida Limited
36
<PAGE>
---------------------------------------------------------------------------
(5) Distribution Plan (continued)
Fund, Marathon Massachusetts Limited Fund, Marathon Michigan Limited Fund,
Marathon New Jersey Limited Fund, Marathon New York Limited Fund, Marathon Ohio
Limited Fund, and Marathon Pennsylvania Limited Fund paid or accrued service
fees to or payable to EVD in the amount of $72,002, $15,625, $146,147, $117,258,
$24,320, $101,633, $163,492, $54,619, and $110,391, respectively. Service fee
payments are made for personal services and/or maintenance of shareholder
accounts. Service fees paid to EVD and Authorized Firms are separate and
distinct from the sales commissions and distribution fees payable by the Fund to
EVD, and as such are not subject to automatic discontinuance when there are no
outstanding Uncovered Distribution Charges of EVD.
Certain officers and Trustees of the Fund are officers or directors of EVD.
- ---------------------------------------------------------------------------
(6) Contingent Deferred Sales Charge
A contingent deferred sales charge (CDSC) is imposed on any redemption of Class
I shares made within four years of purchase. Generally, the CDSC is based upon
the lower of the net asset value at date of redemption or date of purchase. No
charge is levied on Class I shares acquired by reinvestment of dividends or
capital gains distributions. The CDSC is imposed at declining rates that begin
at 3% in the case of redemptions in the first year of purchase. No CDSC is
levied on shares which have been sold to EVM or its affiliates or to their
respective employees. CDSC charges are paid to EVD to reduce the amount of
Uncovered Distribution Charges calculated under each Fund's Distribution Plan.
CDSC charges received when no Uncovered Distribution Charges exist will be
credited to the Fund. EVD received approximately $110,000, $27,000, $245,000,
$178,000, $65,000, $138,000, $269,000, $78,000, and $164,000, respectively, of
CDSC paid by shareholders of Marathon California Limited Fund, Marathon
Connecticut Limited Fund, Marathon Florida Limited Fund, Marathon Massachusetts
Limited Fund, Marathon Michigan Limited Fund, Marathon New Jersey Limited Fund,
Marathon New York Limited Fund, Marathon Ohio Limited Fund, and Marathon
Pennsylvania Limited Fund for the year ended March 31, 1997.
- ---------------------------------------------------------------------------
(7) Investment Transactions
Increases and decreases in each Fund's investment in its corresponding Portfolio
for the year ended March 31, 1997 were as follows:
Marathon Marathon Marathon
California Connecticut Florida
Limited Limited Limited
Fund Fund Fund
--------------- ------------- -------------
Increases $ 770,394 $ 701,393 $ 2,389,100
Decreases 16,759,194 3,436,444 39,337,954
Marathon Marathon Marathon
Massachusetts Michigan New Jersey
Limited Limited Limited
Fund Fund Fund
--------------- ------------- -------------
Increases $ 1,278,206 $ 631,241 $ 1,747,630
Decreases 30,956,665 6,345,497 25,883,790
Marathon Marathon Marathon
New York Ohio Pennsylvania
Limited Limited Limited
Fund Fund Fund
--------------- ------------- -------------
Increases $ 2,388,376 $1,251,049 $ 1,666,064
Decreases 44,721,623 6,896,582 27,249,424
- ---------------------------------------------------------------------------
37
<PAGE>
Independent Auditors' Report
---------------------------------------------------------------------------
To the Trustees and Shareholders of Eaton Vance Investment Trust:
We have audited the accompanying statements of assets and liabilities of EV
Marathon California Limited Maturity Municipals Fund, EV Marathon Connecticut
Limited Maturity Municipals Fund, EV Marathon Florida Limited Maturity
Municipals Fund, EV Marathon Massachusetts Limited Maturity Municipals Fund, EV
Marathon Michigan Limited Maturity Municipals Fund, EV Marathon New Jersey
Limited Maturity Municipals Fund, EV Marathon New York Limited Maturity
Municipals Fund, EV Marathon Ohio Limited Maturity Municipals Fund, and EV
Marathon Pennsylvania Limited Maturity Municipals Fund (the Funds) (series of
the Eaton Vance Investment Trust) as of March 31, 1997, the related statements
of operations for the year then ended, the statements of changes in net assets
for the years ended March 31, 1997 and 1996, and the financial highlights for
each of the years in the five year period ended March 31, 1997. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, such financial statements and financial highlights present
fairly, in all material respects, the financial position of each of the
aforementioned Funds of Eaton Vance Investment Trust at March 31, 1997, the
results of their operations, the changes in their net assets, and their
financial highlights for the respective stated periods in conformity with
generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 2, 1997
38
<PAGE>
California Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cogeneration - 3.5%
NR BBB- $1,500 Central Valley Finance
Authority, Carson Ice
Project, 5.20%, 7/1/99 $1,505,550
-----------
Escrowed/Prerefunded - 16.4%
A1 AA- $2,400 California Health Facilities,
Sisters of Providence,
Prerefunded to 10/1/00,
7.50%, 10/1/10 $2,664,000
Aa AA 1,500 Los Angeles Department of
Airports, Prerefunded to
5/1/97, 7.40%, 5/1/10 1,534,470
NR AAA 2,500 San Bernardino, California,
Certificates of Participation,
Prerefunded to 8/1/01,
7.00%, 8/1/28 2,777,800
-----------
$6,976,270
-----------
Electric Utilities - 9.0%
A2 A+ $1,000 California Pollution Control
Financing Authority,
Southern California Edison
Company, Series D, 6.85%,
12/1/08 $1,058,450
A2 A 2,000 California Pollution Control
Financing Authority, San
Diego Gas & Electric, 5.90%,
6/1/14 2,053,200
Baa1 BBB+ 750 Puerto Rico Electric Power
Authority, 5.50%, 7/1/14 714,998
-----------
$3,826,648
-----------
Housing - 3.6%
Aaa NR $1,500 Corona, California, Single
Family Housing Project,
6.05%, 5/1/27 $1,506,105
-----------
Insured Electric Utility - 3.5%
Aaa AAA $1,500 Sacramento Municipal Utility
District, (AMBAC), 5.60%,
8/15/16 $1,471,230
-----------
Insured General Obligation - 4.7%
Aaa AAA $2,000 Mt. Diablo, CA School
District (AMBAC), 5.70%,
8/1/14 $2,002,760
-----------
Insured Hospital Revenue - 21.9%
Aaa AAA $1,750 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 4.90%, 11/1/03 $1,752,853
Aaa AAA 1,000 ABAG Finance Authority,
Certificates of Participation,
Stanford University Hospital,
(MBIA), 5.125%, 11/1/05 1,004,440
Aaa AAA 2,500 California Health Facilities
Financing Authority,
(Catholic Health West),
(AMBAC), 5.00%, 7/1/14 2,286,100
Aaa AAA 2,750 Loma Linda, CA, Hospital
Revenue, (MBIA), 5.00%,
12/1/13 2,533,300
Aaa AAA 1,750 Tri-City, California, Hospital
District, (MBIA), 5.625%,
2/15/17 1,698,953
-----------
$9,275,646
-----------
Insured Lease Revenue/
Certificates of Participation - 11.6%
Aaa AAA $1,355 California State Public Works
Board - Department of
Corrections, (AMBAC),
5.25%, 12/1/13 $1,303,225
Aaa AAA 3,850 San Francisco, California,
State Building Authority
Lease Revenue, (AMBAC),
5.25%, 12/1/16 3,626,854
-----------
$4,930,079
-----------
Insured Special Tax Revenue - 3.0%
Aaa AAA $1,250 Los Angeles Metropolitan
Transportation Authority
Sales Tax, (AMBAC), 5.70%,
7/1/12 $1,258,075
-----------
Insured Transportation - 3.5%
Aaa AAA $1,500 San Francisco, California,
City & County Airport,
(MBIA), (AMT), 5.60%,
5/1/13 $1,479,600
-----------
Industrial Development
Revenue - 4.6%
A3 A $2,000 California Pollution Control
Revenue Waste Disposal,
(Browning-Ferris Industries),
(AMT), 5.80%, 12/1/16 $1,933,840
-----------
Nursing Homes - 4.8%
NR A+ $2,000 California Statewide
Communities Development
Corporation, (Pacific
Homes), 5.90%, 4/1/09 $2,017,120
-----------
Special Tax Revenue - 4.9%
Aa AA $2,000 Orange County Local
Transportation Authority,
Sales Tax Revenue Bonds,
5.70%, 2/15/03 $2,085,220
-----------
39
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
Water & Sewer Revenue - 5.0%
A1 A $2,000 The City of Los Angeles
Wastewater System, 6.90%,
6/1/08 (1) $ 2,120,739
------------
Total Tax-Exempt
Investments (identified
cost, $41,774,003) $42,388,882
============
</TABLE>
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by California
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 48.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 20.0% to 28.2% of total investments.
See notes to financial statements
40
<PAGE>
Connecticut Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 12.8%
NR BBB- $500 State of Connecticut HEFA,
Quinnipiac College, 6.00%,
7/1/13 $ 484,080
NR BBB- 285 State of Connecticut HEFA,
University of New Haven,
6.00%, 7/1/06 287,585
Baa1 BBB+ 750 State of Connecticut HEFA,
Fairfield University, 6.90%,
7/1/14 768,555
-----------
$1,540,220
-----------
Escrowed/Prerefunded - 2.2%
Aaa AAA $250 South Central Connecticut
Regional Water Authority,
(AMBAC), Prerefunded to
8/1/01, 6.50%, 8/1/07 $ 271,373
-----------
General Obligations - 9.8%
Aa3 AA- $400 State of Connecticut,
5.125%, 8/15/11 $ 383,940
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/14 175,953
Aa NR 190 Norwich, Connecticut,
5.00%, 8/1/15 174,473
Baa1 A- 500 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/19 444,315
-----------
$1,178,681
-----------
Hospital Revenue - 5.3%
NR BBB- $600 Connecticut Health and
Educational Facilities
Authority, New Britain
Hospital, 7.50%, 7/1/06 $ 637,572
-----------
Housing - 4.3%
Aa AA $500 Connecticut Housing
Finance Authority, 6.90%,
11/15/99 $ 517,895
-----------
Industrial Development
Revenue - 7.4%
A1 NR $625 Connecticut Development
Authority - Frito Lay
Project, 6.375%, 7/1/04 $ 636,156
Baa3 BB+ 250 Puerto Rico Port Authority,
(American Airlines), (AMT),
6.25%, 6/1/26 254,805
-----------
$ 890,961
-----------
Insured General Obligations - 22.8%
Aaa AAA $500 Brandford, Connecticut,
(FGIC), 5.40%, 2/15/14 $ 487,595
Aaa AAA 500 Bridgeport, Connecticut,
(AMBAC), 6.00%, 9/1/06 528,315
Aaa AAA 500 Old Saybrook, Connecticut,
(AMBAC), 4.10%, 8/15/01 487,840
Aaa AAA 300 Connecticut Regional School
District #19, (MBIA),
5.00%, 6/15/16 275,487
Aaa AAA 320 Seymour, Connecticut,
(FSA), 5.40%, 3/1/15 310,026
Aaa AAA 180 Seymour, Connecticut,
(FSA), 5.40%, 3/1/16 173,606
Aaa AAA 500 Waterbury, Connecticut,
(MBIA), 4.875%, 8/15/06 485,150
-----------
$2,748,019
-----------
Insured Hospitals - 15.5%
Aaa AAA $150 Connecticut HEFA,
Greenwich Hospital Issue,
(MBIA), 5.75%, 7/1/06 $ 156,600
Aaa AAA 250 Connecticut HEFA,
Waterbury Hospital Issue,
(FSA), 7.00%, 7/1/20 268,398
Aaa AAA 250 Connecticut HEFA,
Stamford Hospital Issue,
(MBIA), 6.50%, 7/1/06 267,583
Aaa AAA 250 Connecticut HEFA,
Stamford Hospital Issue,
(MBIA), 5.25%, 7/1/11 241,227
Aaa AAA 470 Connecticut HEFA, St.
Raphael Hospital Issue,
(AMBAC), 6.50%, 7/1/06 466,447
Aaa AAA 500 Connecticut HEFA, Veteran
Memorial Hospital Issue,
(MBIA), 5.375%, 7/1/16 474,115
-----------
$1,874,370
-----------
Insured Miscellaneous - 4.5%
Aaa AAA $500 Woodstock, Connecticut
Special Obligation Bonds,
(AMBAC), 7.00%, 3/1/07 $ 541,425
-----------
Insured Transportation - 7.1%
Aaa AAA $750 Connecticut State Airport
Bonds, Bradley International
Airport, (FGIC), 7.40%,
10/1/04 $ 858,555
-----------
Insured Utility - 4.4%
Aaa AAA $500 Connecticut Municipal
Electric Authority, (MBIA),
6.00%, 1/1/07 $ 532,410
-----------
</TABLE>
41
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water & Sewer Revenue - 3.9%
Aaa AA+ $500 Connecticut State Clean
Water Revenue, 4.875%,
5/1/09 $ 474,135
------------
Total Tax-Exempt
Investments (identified
cost, $11,956,737) $12,065,616
============
</TABLE>
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Connecticut
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 54.3% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 6.2% to 19.0% of total investments.
See notes to financial statements
42
<PAGE>
Florida Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed - 14.3%
Aaa AAA $1,015 Dade County, FL,
Educational Facilities
Authority, (MBIA),
Prerefunded to 10/1/01,
7.00%, 10/1/08 $ 1,124,955
Aaa AAA 1,500 Dade County, FL, Local
School District, (FGIC),
Prerefunded to 8/1/01,
6.00%, 8/1/06 1,575,240
Aaa AAA 1,500 Florida Department of
Natural Resources,
Preservation 2000, (MBIA),
Prerefunded to 7/1/98,
7.25%, 7/1/08 1,587,945
Aaa AAA 3,000 Jacksonville Electric
Authority, Bulk Power
Supply System, Prerefunded
to 10/1/00, 6.75%, 10/1/16 3,247,260
Aaa AAA 3,250 Orlando Utility Community
Water & Electric,
Prerefunded to 10/1/01,
6.50%, 10/1/20 3,538,243
Baa1 AAA 1,750 Puerto Rico Aqueduct &
Sewer Authority, Prerefunded
to 7/1/98, 7.875%, 7/1/17 1,868,142
------------
$12,941,785
------------
General Obligations - 17.0%
Aa2 AA $4,000 Florida State Board of
Education, 5.00%, 6/1/14 $ 3,705,960
Aa2 AA 5,000 Florida State Board of
Education, 5.00%, 6/1/15 4,588,200
Aa2 AA 4,000 Florida State Board of
Education, 5.55%, 6/1/11 4,014,160
Baa1 A 1,000 Puerto Rico Public Building
Authority, 6.50%, 7/1/03 1,084,330
Baa1 A- 2,000 Puerto Rico Municipal
Finance Agency, 5.50%,
7/1/01 2,040,760
------------
$15,433,410
------------
Hospitals - 2.9%
NR BBB+ $1,250 Escambia County Health
Facilities Authority, (Baptist
Hospital, Inc., and Baptist
Manor, Inc.), 6.00%,
10/1/14 $ 1,237,600
Baa1 NR 425 Jacksonville Health Facilities
Authority, (National
Benevolent Association-
Cypress Village Project),
6.00%, 12/1/98 429,900
Baa1 NR 450 Jacksonville Health Facilities
Authority, (National
Benevolent Association-
Cypress Village Project),
6.25%, 12/1/99 457,223
Baa1 NR 480 Jacksonville Health Facilities
Authority, (National
Benevolent Association-
Cypress Village Project),
6.50%, 12/1/00 489,797
------------
$ 2,614,520
------------
Housing - 2.2%
Baa BBB $2,000 Puerto Rico Housing Bank
and Finance Agency, 5.10%,
12/1/03 $ 1,979,400
------------
Industrial Development
Revenue - 2.3%
B1 BB+ $2,000 Polk County, Florida,
Industrial Development
Authority, (IMC Fertilizer),
(AMT), 7.525%, 1/1/15 $ 2,124,520
------------
Insured Cogeneration - 2.2%
Aaa AAA $2,000 Dade County, Florida,
Resource Recovery Facilities,
(AMBAC), (AMT), 5.30%,
10/1/07 $ 1,975,320
------------
Insured General Obligation - 5.9%
Aaa AAA $2,000 Dade County Local School
District, (MBIA), 5.00%,
2/15/15 $ 1,821,240
Aaa AAA 4,000 Manatee County, FL,
(FGIC), 4.75%, 10/1/13 3,555,840
------------
$ 5,377,080
------------
Insured Hospital - 9.5%
Aaa AAA $4,000 Jacksonville Health Facilities
Authority, (Baptist Medical
Center Project), (MBIA),
7.25%, 6/1/25 (1) $ 4,269,080
Aaa AAA 3,500 Naples, Florida, Hospital
District, (Naples Community
Hospital) (MBIA), 5.50%,
10/1/16 3,368,470
Aaa AAA 1,000 Orange County Health
Facilities Authority,
(Adventist Health System/
Sunbelt Inc.) (CGIC), 5.50%,
11/15/02 1,031,100
------------
$ 8,668,650
------------
</TABLE>
43
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Housing - 2.6%
Aaa AAA $1,240 Florida Housing Finance
Agency, (Leigh Meadows
Apartments), (AMBAC),
5.85%, 9/1/10 $ 1,246,076
Aaa AAA 1,140 Florida Housing Finance
Agency, (Stottert Arms
Apartments), (AMBAC),
5.90%, 9/1/10 1,150,305
------------
$ 2,396,381
------------
Insured Industrial Development
Revenue - 1.6%
Aaa AAA $1,500 Pinellas County, FL,
Resource Recovery, (MBIA),
5.125%, 10/1/04 $ 1,500,465
------------
Insured Miscellaneous - 1.8%
Aaa AAA $1,750 Hillsborough County Florida
Capital Improvement,
(MBIA), 5.00%, 7/1/13 $ 1,634,342
------------
Insured Special Tax - 4.3%
Aaa AAA $4,000 Florida Department of
Natural Resources, (MBIA),
5.25%, 7/1/10 $ 3,941,520
------------
Insured Transportation - 9.3%
Aaa AAA $2,000 Dade County, Florida,
Seaport Revenue, (MBIA),
5.125%, 10/1/16 $ 1,851,260
Aaa AAA 2,000 Florida State Turnpike
Authority - D.O.T., (FGIC),
5.00%, 7/1/19 1,790,920
Aaa AAA 3,120 Hillsborough County
Aviation Authority, Tampa
International Airport,
(FGIC), 6.85%, 10/1/06 3,325,577
Aaa AAA 1,500 Sarasota - Manatee County,
Florida, Airport, (MBIA),
5.375%, 8/1/14 1,455,465
------------
$ 8,423,222
------------
Insured Water & Sewer - 9.0%
Aaa AAA $5,000 Dade County FL, Water &
Sewer Revenue, (FGIC),
5.25%, 10/1/11 $ 4,893,300
Aaa AAA 2,000 Manatee County FL, Public
Utilities, (MBIA), 6.75%,
10/1/04 2,225,260
Aaa AAA 1,000 Pasco County FL, Water &
Sewer Revenue, (FGIC),
5.40%, 10/1/03 1,027,270
------------
$ 8,145,830
------------
Special Tax Revenue - 1.7%
NR NR $1,500 Virgin Islands Public Finance
Authority, 6.80%, 10/1/00 $ 1,569,570
------------
Utility - 13.4%
Aa AA $3,000 Gainesville, Florida Utility
System Revenue, 5.00%,
10/1/15 $ 2,747,400
Aa1 AA 6,000 Jacksonville Electric
Authority, St. John's River
Power Park, 5.25%, 10/1/20 5,468,580
Baa1 BBB+ 2,000 Puerto Rico Electric Power
Authority, 5.50%, 7/1/14 1,906,660
Aa AA- 2,000 City of Tallahassee, Electric
Refunding Bonds, 5.90%,
10/1/05 2,104,420
------------
$12,227,060
------------
Total Tax-Exempt
Investments (identified
cost, $90,512,005) $90,953,075
============
</TABLE>
- ------------------------------------
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Florida
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 51.0% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 1.1% to 27.2% of total investments.
See notes to financial statements
44
<PAGE>
Massachusetts Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Education - 3.3%
A1 A+ $1,200 Massachusetts Health and
Education Finance Authority,
Tufts University, 7.40%,
8/1/18 $ 1,268,268
A A- 1,030 Massachusetts Industrial
Finance Agency, Park School,
5.50% 9/1/16 991,324
------------
$ 2,259,592
------------
Escrowed/Prerefunded - 6.5%
Aaa AAA $2,000 Lynn, Massachusetts, Water
and Sewer Commission,
(MBIA), Prerefunded to
12/1/00, 7.25%, 12/1/10 $ 2,211,720
NR AAA 1,050 Massachusetts Health and
Educational Facilities
Authority, Jordan Hospital,
(FHA), Prerefunded to
8/15/98, 7.85%, 8/15/28 1,111,414
Aaa AAA 1,060 Massachusetts Health and
Educational Facilities
Authority, Berkshire Health
System, (MBIA), Prerefunded
to 10/1/98, 6.75%, 10/1/19 1,101,011
------------
$ 4,424,145
------------
General Obligations - 9.4%
A1 A+ $2,000 The Commonwealth of
Massachusetts, 5.00%,
11/1/14 $ 1,832,200
Baa1 A 4,000 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 3,610,960
Baa1 A 1,000 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/19 888,630
------------
$ 6,331,790
------------
Hospitals - 9.8%
Baa3 BB $1,130 Massachusetts Health and
Educational Facilities
Authority, Milford
Whitinsville Hospital,
7.125%, 7/15/02 $ 1,141,594
NR BBB- 1,845 Massachusetts Health and
Educational Facilities
Authority, North Adams
Regional Hospital, 6.25%,
7/1/04 1,877,011
Baa2 BBB 500 Massachusetts Health and
Educational Facilities
Authority, Sisters of
Providence Hospital, 6.00%,
11/15/00 508,895
Aa2 AA 3,000 Massachusetts Health and
Educational Facilities
Authority, Daughters of
Charity Issue, 5.75%, 7/1/02 3,101,100
------------
$ 6,628,600
------------
Insured Education - 1.5%
Aaa AAA $1,015 Massachusetts Industrial
Financing Authority -
Dexter School Project,
(MBIA), 5.40%, 5/1/13 $ 985,342
------------
Insured General Obligations - 10.4%
Aaa AAA $1,000 Bridgewater, Massachusetts,
(FGIC), 5.40%, 6/1/12 $ 981,760
Aaa AAA 1,000 Bridgewater, Massachusetts,
(FGIC), 5.50%, 6/1/16 969,410
Aaa AAA 2,000 The Commonwealth of
Massachusetts, (MBIA),
5.375%, 9/1/14 1,936,220
Aaa AAA 1,000 The Commonwealth of
Massachusetts, (FGIC),
6.50%, 6/1/01 1,067,510
Aaa AAA 1,000 Lowell, Massachusetts,
(AMBAC), 5.10%, 12/15/08 976,510
Aaa AAA 1,000 Town of Rockport,
Massachusetts, (AMBAC),
6.80%, 12/15/04 1,088,060
------------
$ 7,019,470
------------
Insured Hospital - 4.1%
Aaa AAA $3,000 Massachusetts Health and
Educational Facilities
Authority, Lowell General
Hospital, (FSA), 5.25%,
6/1/16 $ 2,785,800
------------
Insured Housing - 17.3%
Aaa AAA $1,900 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), 5.90%, 1/1/03 $ 1,965,189
Aaa AAA 4,800 Massachusetts Housing
Finance Agency, (AMBAC),
(AMT), (Harborpoint
Development), 6.20%,
12/1/10 4,935,840
Aaa AAA 4,730 Massachusetts Housing
Finance Agency, (MBIA),
6.125%, 12/1/11 4,822,377
------------
$11,723,406
------------
</TABLE>
45
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Industrial Development
Revenue - 2.1%
Aaa AAA $1,400 Massachusetts IFA
(Nantucket Electric),
(AMBAC), (AMT), 5.30%,
7/1/04 $ 1,410,766
------------
Insured Transportation - 4.3%
Aaa AAA $3,000 Massachusetts Bay
Transportation Authority,
(AMBAC), 5.25%, 3/1/11 $ 2,920,470
------------
Insured Utility - 5.2%
Aaa AAA $2,000 Massachusetts Municipal
Wholesale Electric Company,
(AMBAC), 6.625%, 7/1/03 (1) $ 2,176,320
Aaa AAA 1,225 Massachusetts Municipal
Wholesale Electric Company,
(MBIA), 6.40%, 7/1/02 1,311,669
------------
$ 3,487,989
------------
Insured Water and Sewer - 7.8%
Aaa AAA $4,000 Massachusetts Water & Sewer
Authority, (FGIC), 5.50%,
11/1/14 $ 3,918,200
Aaa AAA 1,500 Massachusetts Water & Sewer
Authority, (MBIA), 5.00%,
12/1/16 1,361,010
------------
$ 5,279,210
------------
Lease Revenue/Certificate
of Participation - 2.4%
NR BBB $1,650 Puerto Rico ITEM & EC -
Guaynabo Lease Program,
5.375%, 7/1/06 $ 1,627,411
------------
Nursing Homes - 3.1%
NR NR $ 970 Massachusetts Health and
Educational Facilities,
(1st Mortgage - Fairview
Extended Care), 10.125%,
1/1/11 $ 1,091,192
NR NR 1,000 Massachusetts Industrial
Finance Agency, Health Care
Facilities, (Age Institute of
Massachusetts), 7.60%,
11/1/05 999,590
------------
$ 2,090,782
------------
Special Tax Revenue - 2.7%
NR NR $1,750 Virgin Islands Public Finance
Authority, 6.70%, 10/1/99 $ 1,817,112
------------
Transportation - 8.6%
A1 A+ $3,000 Massachusetts Bay
Transportation Authority,
5.75%, 3/1/18 $ 2,940,870
A1 A+ 2,000 Massachusetts Turnpike
Authority, 5.00%, 1/1/20 1,774,860
A1 A+ 1,000 Woods Hole, Martha's
Vineyard and Nantucket
Steamship Authority, 6.60%,
3/1/03 1,082,090
------------
$ 5,797,820
------------
Utilities - 1.5%
A BBB+ $1,000 Massachusetts Municipal
Wholesale Electric Company,
5.70%, 7/1/01 $ 1,027,960
------------
Total Tax-Exempt
Investments (identified
cost, $67,029,171) $67,617,665
============
</TABLE>
- ------------------------------------
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Massachusetts
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 57.6% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 4.1% to 22.9% of total investments.
See notes to financial statements
46
<PAGE>
Michigan Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed/Prerefunded - 19.4%
Aaa AAA $1,500 Grand Ledge, Michigan
Public School District,
(MBIA), Prerefunded to
5/1/04, 7.875%, 5/1/11 $1,781,580
Baa1 AAA 500 Puerto Rico Aqueduct &
Sewer Authority, Prerefunded
to 7/1/98, 7.875%, 7/1/17 533,755
Aaa AAA 2,305 Romulus, Michigan
Community School District,
Prerefunded to 5/1/07,
0.00%, 5/1/22 496,681
-----------
$2,812,016
-----------
General Obligations - 8.3%
Ba1 BBB $ 650 Detroit, Michigan, 6.25%,
4/1/05 $ 677,794
Ba1 BBB 495 Detroit, Michigan, 6.40%,
4/1/05 520,908
-----------
$1,198,702
-----------
Hospitals - 16.9%
Baa1 NR $ 525 Flint, Michigan Hospital
Authority, (Hurley Medical
Center), 6.00%, 7/1/05 $ 526,397
A2 A+ 470 Marquette Michigan Hospital
Finance Authority, 6.625%,
4/1/07 470,602
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI.
Community Hospital),
6.00%, 10/1/05 101,595
NR BBB 100 Michigan Hospital Finance
Authority, (Central MI.
Community Hospital),
6.10%, 10/1/06 102,021
NR BBB 225 Michigan Hospital Finance
Authority, (Central MI.
Community Hospital),
6.20%, 10/1/07 230,157
NR BBB 1,000 Michigan State Hospital
Finance Authority, (Gratiot
Community Hospital),
6.10%, 10/1/07 1,017,450
-----------
$2,448,222
-----------
Industrial Development
Revenue - 5.1%
NR BB- $ 225 Richmond, Michigan
Economic Development
Corporation, K-MART
Project, 6.30%, 1/1/99 $ 224,386
Baa3 BB+ 500 Puerto Rico Port Authority
(American Airlines),(AMT)
6.25%, 6/1/26 509,610
-----------
$ 733,996
-----------
Insured General Obligations - 21.2%
Aaa AAA $ 500 Detroit, Michigan, School
District, (AMBAC), 6.50%,
5/1/10 $ 549,370
Aaa AAA 500 Hartland, Michigan, 5.125%,
5/1/17 461,635
Aaa AAA 500 Imlay, Michigan, School
District, 5.40%, 5/1/17 474,440
Aaa AAA 750 Willow Run, Michigan,
Community School District,
(AMBAC), 5.00%, 5/1/16 683,272
Aaa AAA 1000 Wixom, Michigan,
(AMBAC), 4.75%, 5/1/11 903,860
-----------
$3,072,577
-----------
Insured Industrial Development
Revenue - 3.7%
Aaa AAA $ 500 Monroe County, Michigan,
The Detroit Edison
Company, (AMBAC),
(AMT), 6.35%, 12/1/04 $ 536,910
-----------
Insured Lease Revenue/
Certificate of Participation - 1.5%
A1 AA- $ 225 State of Michigan Building
Authority, (AMBAC), 5.20%,
10/1/09 $ 221,270
-----------
Lease Revenue/C.O.P - 3.6%
A1 AA- $ 500 State of Michigan Building
Authority, 6.10%, 10/1/01 $ 527,370
-----------
Miscellaneous Healthcare - 1.0%
NR NR $ 150 Pittsfield, Michigan,
Economic Development
Authority, (Arbor Hospice
Project), 7.875%, 8/15/27 $ 138,462
-----------
Nursing Homes - 2.8%
NR NR $ 395 Michigan Hospital Finance
Authority, (Presbyterian
Villages), 6.20%, 1/1/06 $ 399,736
-----------
Solid Waste - 2.4%
Ba1 BBB- $ 350 Central Wayne, Michigan,
Sanitation Authority, 6.40%,
7/1/06 $ 350,343
-----------
Special Tax Revenue - 10.3%
NR A- $2,000 Detroit, Michigan,
Downtown Development
Authority Tax Increment,
0.00%, 7/1/21 $ 438,180
NR BBB+ 1,000 Battle Creek, Michigan
Downtown Development
Authority, 6.65%, 5/1/02 1,059,600
-----------
$1,497,780
-----------
</TABLE>
47
<PAGE>
Michigan Limited Maturity Municipals Portfolio (continued)
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Water & Sewer Revenue - 3.8%
Aa1 AA $500 Michigan Municipal Bond
Authority, 7.00%, 10/1/02 $ 552,750
------------
Total Tax-Exempt
Investments (identified
cost, $14,096,910) $14,490,134
============
</TABLE>
- ------------------------------------
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Michigan
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 42.2% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 6.6% to 23.3% of total investments.
See notes to financial statements
48
<PAGE>
New Jersey Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living - 1.1%
NR NR $ 650 New Jersey Economic
Development Authority
Assisted Living Project,
(Chelsea at East Brunswick),
(AMT), 8.00%, 10/1/07 $ 646,685
-----------
Cogeneration - 7.1%
NR BBB- $2,250 New Jersey Economic
Development Authority,
Heating & Cooling, (Trigen-
Trenton Project), (AMT),
6.10%, 12/1/05 $2,327,918
NR BB+ 1,135 New Jersey Economic
Development Authority,
Electric Energy Facilities,
(Vineland Cogeneration),
(AMT), 7.875%, 6/1/19 1,219,603
NR NR 550 Port Authority of New York
& New Jersey, (KIAC
Project), (AMT), 6.50%,
10/1/01 566,241
-----------
$4,113,762
-----------
Education - 0.7%
NR BBB+ $ 380 New Jersey Educational
Facilities Authority, Drew
University, 5.875%, 7/1/03 $ 393,501
-----------
Escrowed - 3.2%
Baa1 AAA $1,735 Puerto Rico Aqueduct &
Sewer Authority, Prerefunded
to 7/1/98, 7.875%, 7/1/17 $1,852,130
-----------
General Obligations - 9.6%
Aaa AAA $1,000 Morris County, New Jersey,
6.50%, 8/1/02 $1,085,680
A3 AA 2,195 Jersey City, New Jersey,
School District, 6.25%,
10/1/10 2,377,712
Aa AA 1,000 South Brunswick, New
Jersey, 7.125%, 7/15/02 1,108,890
Aaa AA+ 1,000 Union County, New Jersey,
5.00%, 2/1/10 963,680
-----------
$5,535,962
-----------
Hospitals - 7.1%
Baa2 NR $ 500 Camden County, New Jersey
Healthcare, (Cooper Health
Systems), 5.60%, 2/15/07 $ 486,310
Baa2 BBB 1,380 New Jersey Health Care
Facilities Financing
Authority, (St. Elizabeth's
Hospital), 5.75%, 7/1/08 1,361,894
A3 A- 1,000 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.45%, 7/1/02 1,056,690
A3 A- 340 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.25%, 7/1/00 352,985
A3 A- 750 New Jersey Health Care
Facilities Financing
Authority, (Atlantic City
Medical Care Center),
6.55%, 7/1/03 807,090
-----------
$4,064,969
-----------
Housing - 6.5%
NR A+ $2,570 New Jersey Housing and
Mortgage Finance Agency,
6.50%, 11/1/03 $2,734,968
NR A+ 1,000 New Jersey Housing and
Mortgage Finance Agency,
6.00%, 11/1/02 1,033,400
-----------
$3,768,368
-----------
Industrial Development
Revenue - 2.0%
Aa3 NR $ 610 New Jersey Economic
Development Authority,
LOC: Bank of Paris, (AMT),
6.00%, 12/1/02 $ 630,313
NR NR 500 New Jersey Economic
Development Authority,
(Holt- Hauling) (AMT),
7.80%, 12/15/16 498,960
-----------
$1,129,273
-----------
Insured Education - 3.5%
Aaa AAA $1,000 Essex County, New Jersey,
Improvement Authority,
(Guaranteed County College
Project), (AMBAC), 5.25%,
12/1/16 $ 943,160
Aaa AAA 1,000 New Jersey State Educational
Facilities, Seton Hall
University, (FGIC), 6.10%,
7/1/01 1,053,480
-----------
$1,996,640
-----------
</TABLE>
49
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured General Obligations - 21.2%
Aaa AAA $1,000 Atlantic City, New Jersey,
Board of Education,
(AMBAC), 6.00%, 12/1/02 $ 1,059,610
Aaa AAA 1,175 Edison, New Jersey,
(AMBAC), 4.70%, 1/1/04 1,160,160
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey, (MBIA)
6.10%, 11/15/99 521,370
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey, (MBIA)
6.20%, 11/15/01 531,975
Aaa AAA 500 City of Elizabeth, Union
County, New Jersey, (MBIA)
6.20%, 11/15/02 532,355
Aaa AAA 1,200 Jackson Township, New
Jersey, Local School District,
(FGIC), 6.60%, 6/1/03 1,310,340
Aaa AAA 1,200 Kearney, New Jersey, (FSA),
6.50%, 2/1/04 1,296,048
Aaa AAA 1,000 Monmouth County, New
Jersey, Improvement
Authority, (MBIA), 5.125%,
12/1/16 933,000
Aaa AAA 850 Roselle, New Jersey, (MBIA),
4.65%, 10/15/03 840,506
Aaa AAA 1,000 South Brunswick Township,
New Jersey, Board of
Education, (FGIC), 6.40%,
8/1/03 1,083,520
Aaa AAA 1,000 South River, New Jersey,
School District, (FGIC),
5.00%, 12/1/09 1,072,225
Aaa AAA 2000 Washington Township, New
Jersey, Board of Education,
5.125%, 2/1/15 1,873,620
------------
$12,214,729
------------
Insured Hospital - 3.7%
Aaa AAA $1,910 New Jersey Health Care
Facilities & Financing
Authority, (Dover General
Hospital & Medical Center),
(MBIA), 7.00%, 7/1/04 $ 2,136,641
------------
Insured Industrial Development
Revenue - 0.2%
Aaa AAA $ 100 Warren County New Jersey
Pollution Control Finance
Authority, Resource
Recovery, (MBIA), 6.55%,
12/1/06 $ 108,218
------------
Insured Lease Revenue/
Certificate of Participation - 1.1%
Aaa AAA $ 595 Hudson County, New Jersey,
Certificates of Participation,
(MBIA), 6.20%, 6/1/03 $ 631,468
------------
Insured Solid Waste - 0.5%
Aaa AAA $ 250 The Bergen County Utilities
Authority, Solid Waste
System, (FGIC), 6.00%,
6/15/02 $ 264,300
------------
Insured Transportation - 10.8%
Aaa AAA $2,000 New Jersey Transportation
Trust Fund Authority,
(MBIA), 5.00%, 6/15/15 $ 1,839,320
Aaa AAA 1,500 New Jersey Turnpike
Authority, (FSA), 5.90%,
1/1/03 1,571,565
Aaa AAA 895 New Jersey Turnpike
Authority, (FSA), 6.40%,
1/1/02 953,336
Aaa AAA 2,000 Port Authority of New York
& New Jersey, (AMBAC),
5.125%, 7/15/14 1,882,180
------------
$ 6,246,401
------------
Insured Utility - 1.8%
Aaa AAA $1,000 Middlesex County, New
Jersey, Utility Authority,
(FGIC) 6.10%, 12/1/01 $ 1,060,340
------------
Insured Water & Sewer
Revenue - 0.9%
Aaa AAA $ 565 Pennsville Sewerage
Authority Capital
Appreciation Bonds, (MBIA),
0.00%, 11/1/16 $ 185,111
Aaa AAA 565 Pennsville Sewerage
Authority Capital
Appreciation Bonds, (MBIA),
0.00%, 11/1/17 174,856
Aaa AAA 565 Pennsville Sewerage
Authority Capital
Appreciation Bonds, (MBIA),
0.00%, 11/1/18 165,172
------------
$ 525,139
------------
</TABLE>
50
<PAGE>
New Jersey Limited Maturity Municipals Portfolio (continued)
---------------------------------------------------------------------------
Tax-Exempt Investments (continued)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Lease Revenue/
Certificates of Participation - 2.8%
A1 A+ $ 720 New Jersey Economic
Development Authority,
Lease Revenue, (Green Lights
Energy Project), 5.00%,
1/15/06 $ 700,488
A1 A+ 875 State of New Jersey,
Certificates of Participation,
5.90%, 4/1/99 895,492
------------
$ 1,595,980
------------
Life Care - 0.6%
NR NR $ 310 New Jersey Economic
Development Authority,
(Cadbury Corporation
Project), 8.00%, 7/1/15 $ 322,047
------------
Solid Waste - 4.9%
Ba NR $ 300 The Atlantic County Utilities
Authority (New Jersey),
Solid Waste System, 7.00%,
3/1/08 $ 299,793
A1 AA- 500 Gloucester County
Improvement Authority of
New Jersey, (Landfill
Project), 5.40%, 9/1/00 512,575
A1 NR 300 The Passaic County Utilities
Authority (New Jersey),
Solid Waste Disposal, 5.70%,
3/1/98 305,037
NR BB 1,700 The Union County Utilities
Authority (New Jersey),
Solid Waste System, (AMT),
7.20%, 6/15/14 1,730,736
------------
$ 2,848,141
------------
Transportation - 6.0%
A1 AA- $ 250 New Jersey Highway
Authority, (Garden State
Parkway), 6.10%, 1/1/06 $ 263,243
Baa3 BB+ 1,625 Port Authority of New York
& New Jersey, (Delta
Airlines), 6.95%, 6/1/08 1,724,352
A1 AA- 1000 Port Authority of New York
& New Jersey, (AMT),
5.375%, 10/15/16 942,870
A1 AA- 500 Port Authority of New York
& New Jersey, (AMT),
5.50%, 7/1/06 509,755
------------
$ 3,440,220
------------
Utility - 4.7%
Baa1 BBB+ $3,000 Puerto Rico Electric Power
Authority, 5.25%, 7/1/21 $ 2,705,279
------------
Total Tax-Exempt
Investments (identified
cost, $56,492,991) $57,600,193
============
</TABLE>
- ------------------------------------
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by New Jersey
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 43.7% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 6.6% to 18.2% of total investments.
See notes to financial statements
51
<PAGE>
New York Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living--1.2%
NR NR $ 115 Glen Cove, New York,
Industrial Development
Authority, (The Regency at
Glen Cove), 9.50%, 7/1/97 $ 115,000
NR NR 560 Glen Cove, New York,
Industrial Development
Authority, (The Regency at
Glen Cove), 9.50%, 7/1/99 560,000
NR NR 500 Glen Cove, New York,
Industrial Development
Authority, (The Regency at
Glen Cove), 9.50%, 7/1/12 500,000
-----------
$1,175,000
-----------
Cogeneration - 1.0%
NR NR $ 950 Port Authority of New York
& New Jersey - KIAC
Project, 6.50%, 10/1/01 $ 978,054
-----------
Escrowed/Prerefunded - 2.1%
NR AA- $2,000 Power Authority of the State
of New York, Prerefunded
to 1/1/98, 8.00%, 1/1/17 $2,100,320
-----------
General Obligations - 3.6%
Baa1 BBB+ $1,500 The City of New York,
6.375%, 8/1/06 $1,541,325
A2 A- 2,000 State of New York, 5.25%,
7/15/09 1,966,100
-----------
$3,507,425
-----------
Hospitals - 4.0%
Baa1 B+ $2,000 Dormitory Authority of
New York, Department of
Health, 5.375%, 7/1/08 $1,929,480
Baa1 BBB+ 1,000 New York State Dormitory
Authority, Mental Health
Services, 5.30%, 2/15/04 991,990
Baa NR 1,000 New York State Dormitory
Authority, Nyack Hospital,
6.00%, 7/1/06 999,190
-----------
$3,920,660
-----------
Housing - 6.7%
Aa AA $5,100 New York City Housing
Development Corporation,
(Multi-Family), 5.625%,
5/1/12 $5,000,754
Aa2 NR 1,500 New York State Mortgage
Agency - Homeownership
Mortgage Bonds, (AMT),
6.45%, 10/1/21 1,540,875
-----------
$6,541,629
-----------
Insured Education - 3.2%
Aaa AAA $1,075 Dormitory Authority of the
State of New York, Mt.
Sinai School of Medicine,
(MBIA), 6.75%, 7/1/09 $1,164,193
Aaa AAA 2,000 Dormitory Authority of the
State of New York, State
University, (AMBAC),
5.25%, 5/15/10 1,980,260
-----------
$3,144,453
-----------
Insured General Obligations - 5.0%
Aaa AAA $2,000 Nassau County, New York,
(AMBAC), 5.25%, 11/1/12 $1,934,820
Aaa AAA 3,000 Nassau County, New York,
(AMBAC), 5.15%, 3/1/05 3,008,580
-----------
$4,943,400
-----------
Insured Hospital - 9.5%
Aaa AAA $2,000 New York State Dormitory
Authority, Montefiore
Medical Center, (AMBAC),
5.25%, 2/1/15 (1) $1,876,480
Aaa AAA 4,450 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC), 6.10%,
2/15/04 4,726,389
Aaa AAA 2,500 New York State Medical
Care Facilities Finance
Agency, New York State
Hospital, (AMBAC), 6.20%,
2/15/05 2,674,125
-----------
$9,276,994
-----------
Insured Lease Revenue/
Certificate of Participation - 2.0%
Aaa AAA $2,000 City University of New York
- John Jay College,
(AMBAC), 5.00%, 8/15/08 $1,943,300
-----------
Insured Transportation - 9.5%
Aaa AAA $1,500 Albany County New York
Airport, (FSA), 5.25%,
12/15/10 $1,440,390
Aaa AAA 2,240 Metropolitan Transportation
Authority of New York,
(FGIC), 5.70%, 7/1/10 2,263,139
Aaa AAA 1,500 New York State Thruway
Authority - Highway &
Bridge Project, (AMBAC),
5.25%, 4/1/13 1,444,230
Aaa AAA 1,750 The Port Authority of New
York and New Jersey,
(FGIC), (AMT), 5.40%,
7/15/10 1,731,713
</TABLE>
52
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments (continued)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured Transportation (continued)
Aaa AAA 2,290 Triborough Bridge and
Tunnel Authority, (FGIC),
5.80%, 1/1/02 2,391,470
------------
$ 9,270,942
------------
Insured Utility - 5.6%
Aaa AAA $5,000 New York State Energy
Research and Development
Authority, Central Hudson
Gas, (FGIC), 7.375%,
10/1/14 $ 5,437,500
------------
Insured Water and Sewer - 1.1%
Aaa AAA $1,000 New York City Municipal
Water Finance Authority,
(AMBAC), 5.80%, 6/15/03 $ 1,043,120
------------
Lease Revenue/
Certificates of Participation - 14.4%
A1 AA $3,500 Housing New York
Corporation, 6.00%,
11/1/03 $ 3,676,085
NR BBB 1,485 New York State Thruway
Authority, Capital
Appreciation Bonds, 0.00%,
1/1/04 1,012,844
Aaa AAA 5,250 New York Urban
Development Corporation,
Senior Lien, 5.50%, 7/1/16 5,047,665
Baa1 BBB 4,715 New York Urban
Development Corporation,
5.375%, 1/1/15 4,335,018
------------
$14,071,612
------------
Special Tax Revenue - 4.3%
A3 A $4,500 New York Local
Government Assistance
Corporation, 5.25%, 4/1/16 $ 4,249,395
------------
Transportation - 23.8%
Baa1 BBB $3,000 New York State Thruway
Authority, 5.75%, 4/1/16 $ 2,890,980
A1 AA- 3,000 Port Authority of New York
& New Jersey, (AMT),
6.00%, 7/1/14 3,058,710
A1 AA- 5,750 Port Authority of New York
& New Jersey, (AMT),
5.375%, 10/15/13 5,527,590
A1 AA- 2,500 Port Authority of New York
& New Jersey, (AMT),
5.375%, 10/15/14 2,386,600
Baa3 BB+ 2,875 Port Authority of New York
& New Jersey, (Delta
Airlines), 6.95%, 6/1/08 3,050,778
Baa3 BB+ 1,700 Puerto Rico Port Authority,
(American Airlines), (AMT),
6.25%, 6/1/26 1,732,674
Aa A+ 5,000 Triborough Bridge & Tunnel
Authority, 5.30%, 1/1/17 4,705,050
------------
$23,352,382
------------
Water & Sewer Revenue - 3.0%
A A- $1,825 New York City Municipal
Water Finance Authority,
5.70%, 6/15/02 $ 1,884,458
Aaa AAA 1,000 New York State
Environmental Facilities
Corporation, County of
Westchester Project, 5.60%,
9/15/13 1,012,120
------------
$ 2,896,578
------------
Total Tax-Exempt
Investments (identified
cost, $97,740,065) $97,852,764
============
</TABLE>
- ------------------------------------
(1) Security has been segregated to cover margin requirements on open financial
futures contracts.
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by New York
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 35.8% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 1.2% to 21.1% of total investments.
See notes to financial statements
53
<PAGE>
Ohio Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31,1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Escrowed - 7.7%
Aaa AAA $ 650 Clermont County, Ohio,
Water Works, (AMBAC),
Prerefunded to 12/1/01,
6.625%, 12/1/16 $ 712,296
NR NR 350 Cuyahoga County, Ohio,
(Judson Retirement
Community), Escrowed to
11/15/99, 8.875%, 11/15/19 396,116
Baa1 AAA 1,000 Puerto Rico Aqueduct &
Sewer Authority, Prerefunded
to 7/1/98, 7.875%, 7/1/17 1,067,510
-----------
$2,175,922
-----------
General Obligations - 11.3%
NR NR $ 500 Cleveland, Ohio, City School
District, 6.50%, 6/15/97 $ 500,645
Aa NR 500 Hamilton County, Ohio,
5.00%, 12/1/16 458,610
NR A+ 300 Kings County, Ohio, Local
School District, 7.60%,
12/1/10 327,084
A NR 1,000 Wauseon, Ohio School
District, 7.25%, 12/1/10 1,106,570
NR NR 770 Youngstown, Ohio, County
School District, 6.40%,
7/1/00 798,505
-----------
$3,191,414
-----------
Hospitals - 14.7%
A A- $1,000 Erie County Hospital
Improvement (Fireland
Community Hospital
Project), 6.75%, 1/1/08 $1,046,930
Aa NR 500 Franklin County, Ohio,
Hospital Improvement,
(Children's Hospital), 5.75%,
11/1/15 491,295
Baa BBB 500 Hamilton County Ohio
Health System (Providence
Hospital Project), 6.00%,
7/1/01 507,420
NR NR 990 Mt. Vernon Ohio Hospital,
(Knox Community Hospital),
7.875%, 6/1/12 1,020,670
Aa2 NR 1,000 Warren County, Ohio, Hospital
Facilities, (Otterbein Homes
Project), 7.20%, 7/1/11 1,072,910
-----------
$4,139,225
-----------
Housing - 5.7%
NR AAA $1,000 Cuyahoga County, Ohio,
Multifamily Housing,
(National Terminal Apts.
Project), 6.40%, 7/1/16 $1,026,500
NR NR 300 Cuyahoga County, Ohio,
First Mortgage, (Rolling
Hills Apts. Project), (AMT),
8.00%, 1/1/28 290,307
NR NR 300 Lucas County, Ohio,
Economic Development
Multifamily Housing
(County Creek Project),
(AMT), 8.00%, 7/1/26 286,941
-----------
$1,603,748
-----------
Industrial Development
Revenue - 7.6%
NR A- $1,020 Ohio Economic
Development Commission,
(ABS Industries) (AMT),
6.00%, 6/1/04 $1,075,386
NR NR 250 Ohio State Solid Waste
Revenue, (Republic
Engineered Steel), (AMT),
9.00%, 6/1/21 251,658
NR A- 765 Ohio Economic
Development Commission,
(Ohio Enterprise Bond
Fund-Progress Plastics
Products), (AMT), 6.80%,
12/1/01 803,189
-----------
$2,130,233
-----------
Insured Education - 3.2%
Aaa AAA $1,000 Ohio State Public Facilities
Commission, (Higher
Educational Facilities),
(AMBAC), 4.30%, 12/1/08 $ 898,650
-----------
Insured General Obligations - 31.0%
Aaa AAA $1,000 Cleveland, Ohio, (MBIA),
6.50%, 11/15/01 $1,073,720
Aaa AAA 225 Finneytown, Ohio, Local
School District, (FGIC),
6.15%, 12/1/11 240,716
Aaa AAA 500 Forest Hills, Ohio, Local
School District, (MBIA),
6.00%, 12/1/09 528,560
Aaa AAA 1,350 Mt. Vernon County, Ohio,
Local School District,
(FGIC), 7.50%, 12/1/14 1,537,164
Aaa AAA 1,000 North Olmstead, Ohio,
(AMBAC), 5.00%, 12/1/16 913,910
Aaa AAA 1,500 Southwest Licking Ohio
School Facilities
Improvement, (FGIC),
7.10%, 12/1/16 1,685,055
</TABLE>
54
<PAGE>
Ohio Limited Maturity Municipals Portfolio (continued)
---------------------------------------------------------------------------
Tax-Exempt Investments (continued)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Insured General Obligations
(continued)
Aaa AAA $ 500 Strongsville, Ohio, City
School District, (MBIA),
5.375%, 12/1/12 $ 493,970
Aaa AAA 500 West Clermont Ohio School
District, (AMBAC), 7.125%,
12/1/19 556,275
Aaa AAA 1,500 West Clermont Ohio School
District, (AMBAC), 6.90%,
12/1/12 1,664,580
------------
$ 8,693,950
------------
Insured Transportation - 3.4%
Aaa AAA $1,000 Dayton, Ohio, Airport
Revenue, (James M. Cox -
Dayton International
Airport), (AMBAC), 5.25%,
12/1/15 $ 946,970
------------
Insured Utility - 1.6%
Aaa AAA $ 500 Cleveland, Ohio, Public
Power System, (MBIA),
5.125%, 11/15/18 $ 461,280
------------
Insured Water & Sewer - 2.2%
Aaa AAA $ 690 Bellefontaine, Ohio, Water
System Mortgage Revenue,
(AMBAC), 5.00%, 12/1/15 $ 630,080
------------
Life Care - 2.4%
NR BBB- $ 680 Marion County, Ohio,
Health Care Facilities,
(United Church Homes
Project), 5.25%, 11/15/98 $ 679,960
------------
Nursing Homes - 4.2%
NR NR $ 300 Fairfield County, Ohio,
Economic Development
Authority, (Beverly
Enterprises), 8.50%, 1/1/03 $ 324,147
NR NR 295 Greene County, Ohio, First
Mortgage, (Fairview
Extended Care), 10.125%,
1/1/11 331,857
VMIG1 NR 500 Hamilton County, Ohio,
Hospital Facilities,
(Episcopal
Retirement Project), 5.00%,
1/1/15 505,225
------------
$ 1,161,229
------------
Special Tax - 1.6%
NR NR $ 454 Columbus Ohio Special
Assessment, 6.05%, 9/15/05 $ 460,324
------------
Transportation - 2.6%
NR NR $ 500 Cleveland-Cuyahoga County
Port Authority, (Rock &
Roll Hall of Fame), 5.45%,
12/1/05 $ 493,850
NR NR 250 Cleveland-Cuyahoga
County Port Authority,
(Rock & Roll Hall of
Fame), 5.85%, 12/1/08 248,975
------------
$ 742,825
------------
Utility - 0.8%
Baa1 BBB+ $ 250 Puerto Rico Electric Power
Authority, 5.50%, 7/1/14 $ 238,333
------------
Total Tax-Exempt
Investments (identified
cost, $27,768,855) $28,154,143
============
</TABLE>
- ------------------------------------
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Ohio
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 54.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 9.1% to 33.1% of total investments.
See notes to financial statements
55
<PAGE>
Pennsylvania Limited Maturity Municipals Portfolio
Portfolio of Investments - March 31, 1997
---------------------------------------------------------------------------
Tax-Exempt Investments - 100%
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Assisted Living - 1.8%
NR NR $1,120 Delaware County,
Pennsylvania, Industrial
Development Authority,
(Glen Riddle Project),
(AMT), 8.125%, 9/1/05 $ 1,156,165
------------
Cogeneration - 5.1%
NR BBB- $2,000 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery - Culver Project),
(AMT), 7.05%, 12/1/10 $ 2,117,520
NR NR 1,200 Pennsylvania Economic
Development Financing
Authority, (Resource
Recovery for Northampton),
6.75%, 1/1/07 1,214,004
------------
$ 3,331,524
------------
Education - 1.1%
NR AAA $ 700 Montgomery County Higher
Education and Health
Authority, (Saint Joseph's
University), (CLEE), 6.00%,
12/15/02 $ 735,378
------------
Escrowed - 15.3%
Aaa AAA $1,485 Elizabeth, Pennsylvania,
School District, (MBIA),
Escrowed to Maturity, 0.00%,
9/1/15 $ 508,924
Aaa AAA 3,200 Philadelphia Municipal
Authority, Justice Lease
Revenue Bonds, (FGIC),
Prerefunded to 11/15/01,
7.10%, 11/15/11 3,563,040
Aaa NR 1,500 Philadelphia, Pennsylvania,
Hospital & Higher
Education, (Children's
Hospital), Prerefunded to
2/15/02, 6.50%, 2/15/21 1,631,610
Baa BBB 500 Pennsylvania State Higher
Education, (Medical College
of Pennsylvania), Prerefunded
to 3/1/01, 7.25%, 3/1/05 552,965
Aaa AAA 1,500 Somerset County, Pennsylvania,
General Authority, (FGIC),
Escrowed to Maturity, 6.50%,
10/15/01 1,608,225
Aaa AAA 1,000 Westmoreland County,
Pennsylvania, Municipal
Authority, Escrowed to
Maturity, 0.00%, 7/1/15 346,050
Aaa AAA 7,000 Westmoreland County,
Pennsylvania, Municipal
Authority, Escrowed to
Maturity, 0.00%, 8/15/19 1,885,450
------------
$10,096,264
------------
General Obligations - 1.0%
Baa1 A $ 750 Puerto Rico Aqueduct &
Sewer Authority, 5.00%,
7/1/15 $ 677,055
------------
Hospitals - 30.1%
NR BBB- $2,355 Clearfield, Pennsylvania,
Hospital Authority,
(Clearfield Hospital), 6.875%,
6/1/16 $ 2,415,547
Aa AA 2,000 Geisinger, Pennsylvania,
Health System, 7.375%,
7/1/02 2,131,460
Baa3 BBB+ 650 Hazelton, Pennsylvania
Health Service Authority, St.
Joseph's Hospital, 5.85%,
7/1/06 649,012
NR AAA 1,030 Indiana County, Pennsylvania,
Hospital Authority, (Indiana
Hospital Project), (CLEE),
5.75%, 7/1/00 1,063,413
NR AAA 825 Indiana County, Pennsylvania,
Hospital Authority, (Indiana
Hospital Project), (CLEE),
5.875%, 7/1/01 859,625
A3 A 1,200 Lehigh County Pennsylvania
General Purpose Authority,
(Muhlenberg Hospital),
5.75%, 7/15/10 1,167,324
A BBB+ 1,000 Monroeville, Pennsylvania,
Hospital Authority, (Forbes
Health), 5.75%, 10/1/05 1,004,670
Baa NR 1,030 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.25%, 7/1/06 1,043,946
Baa NR 1,100 Montgomery County,
Pennsylvania, Higher
Education & Health
Authority, (Montgomery
Hospital), 6.375%, 7/1/07 1,106,435
A NR 500 New Castle Area Hospital
Authority, (St. Francis
Hospital of New Castle),
5.90%, 11/15/00 513,045
NR BBB 380 Northampton County
Hospital Authority, (Easton
Hospital) 6.90%, 1/1/02 394,429
</TABLE>
56
<PAGE>
Pennsylvania Limited Maturity Municipals Portfolio (continued)
---------------------------------------------------------------------------
Tax-Exempt Investments (continued)
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Hospitals (continued)
Baa1 BBB+ $1,500 The Hospitals and Higher
Education Facilities
Authority of Philadelphia,
(Graduate Health System),
7.00%, 7/1/05 $ 1,535,400
Baa1 BBB+ 1,500 Pennsylvania State Higher
Education, (Thomas Jefferson
Univ.), 5.90%, 8/15/00 1,557,330
Aa NR 4,750 Pottsville, PA, Hospital
Authority, (Daughters of
Charity), 5.00%, 8/15/12 4,382,492
------------
$19,824,129
------------
Industrial Development
Revenue - 3.2%
NR NR $ 885 Chester County, PA,
Industrial Development
Authority, 8.00%, 9/1/05 $ 900,204
A3 A- 1,200 Erie County Pennsylvania
IDA Pollution Control
Revenue, (International
Paper), (AMT), 5.85%,
12/1/20 1,174,620
------------
$ 2,074,824
------------
Insured General Obligations - 7.2%
Aaa AAA $2,000 Bucks County, Pennsylvania,
Technical School Authority,
(AMBAC), 5.375%, 8/15/15 $ 1,918,740
Aaa AAA 3,000 Commonwealth of
Pennsylvania, (AMBAC),
5.00%, 11/15/11 2,843,220
------------
$ 4,761,960
------------
Insured Hospitals - 8.0%
Aaa AAA $1,000 Allegheny County,
Pennsylvania, Hospital
Development Authority,
(South Hills Health),
(MBIA), 5.50%, 5/1/08 $ 1,011,120
Aaa AAA 1,000 The Hospital Authority of
Beaver County, Pennsylvania,
(The Medical Center of
Beaver, PA), (AMBAC),
5.90%, 7/1/00 1,036,910
Aaa AAA 1,000 Erie County, Pennsylvania,
Hospital Authority, (Hamot
Health System), (AMBAC),
7.10%, 2/15/10 1,086,400
Aaa AAA 2,050 Sayre Health Care Facilities
Authority, (Guthrie Medical
Center), (AMBAC), 6.50%,
3/1/00 2,151,660
------------
$ 5,286,090
------------
Insured Industrial Development
Revenue - 6.8%
Aaa AAA $2,000 Cambria County
Pennsylvania, IDA Pollution
Control Revenue, (PENN
Electric), (MBIA), 5.35%,
11/1/10 $ 1,985,620
Aaa AAA 2,500 Indiana County Pennsylvania,
IDA Pollution Control
Revenue, (PENN Electric),
(MBIA), 5.35%, 11/1/10 2,488,675
------------
$ 4,474,295
------------
Insured Lease Revenue/
Certificates of Participation - 6.5%
Aaa AAA $ 500 The Harrisburg Authority
(Dauphin County,
Pennsylvania), Lease Revenue
Bonds, (CGIC), 6.25%,
6/1/01 $ 528,705
Aaa AAA 1,000 Northumberland County
Authority, Pennsylvania,
Lease Revenue Bonds,
(MBIA), 6.50%, 10/15/01 1,072,150
Aaa AAA 2,750 Pennsylvania Intragovernment
Cooperative Authority,
(FGIC), 5.50%, 6/15/16 2,662,660
------------
$ 4,263,515
------------
Life Care - 1.1%
NR NR $ 245 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.30%, 7/1/03 $ 246,098
NR NR 505 Delaware County,
Pennsylvania, Authority,
(White Horse Village),
6.40%, 7/1/04 507,838
------------
$ 753,936
------------
Nursing Home - 0.9%
NR NR $ 500 Wilkins Area, Pennsylvania,
Industrial Development
Authority, (Fairview
Extended Care), 10.25%,
1/1/21 $ 564,500
------------
Solid Waste - 2.8%
Baa A- $ 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue, 6.20%,
5/15/99 $ 514,115
</TABLE>
57
<PAGE>
---------------------------------------------------------------------------
Tax-Exempt Investments
---------------------------------------------------------------------------
<TABLE>
<CAPTION>
Ratings (Unaudited) Principal
- ------------------ Amount
Standard (000
Moody's & Poor's omitted) Security Value
- -----------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Solid Waste (continued)
Baa A- $ 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue, 6.20%,
11/15/99 $ 517,195
Baa A- 300 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue, 6.40%,
5/15/00 311,367
Baa A- 500 Greater Lebanon Refuse
Authority of Lebanon
County, Pennsylvania, Solid
Waste Revenue, 6.40%,
11/15/00 521,720
------------
$ 1,864,397
------------
Special Tax Revenue - 0.4%
NR NR $ 250 Virgin Islands Public Finance
Authority, (V.I. General
Obligation/Matching Loan
Fund Notes), 6.70%,10/1/99 $ 259,588
------------
Transportation - 7.1%
A1 A $1,000 Pennsylvania Turnpike
Authority, 6.00%, 12/1/17 $ 987,430
Aa3 AA- 2,550 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial
Bank of Commerce, 6.00%,
6/1/99 2,629,280
Aa3 AA- 1,000 Southeastern Pennsylvania
Transportation Authority,
LOC: Canadian Imperial
Bank of Commerce, 6.00%,
6/1/01 1,045,710
------------
$ 4,662,420
------------
Utility - 1.6%
NR NR $1,000 Virgin Islands Water & Sewer
Authority, 7.40%, 7/1/11 $ 1,060,100
------------
Total Tax-Exempt
Investments (identified
cost, $65,161,613) $65,846,138
============
</TABLE>
- ------------------------------------
AMT--Interest earned from these securities may be considered a tax preference
item for purposes of the Federal Alternative Minimum Tax.
The Portfolio invests primarily in debt securities issued by Pennsylvania
municipalities. The ability of the issuers of the debt securities to meet their
obligations may be affected by economic developments in a specific industry or
municipality. In order to reduce the risk associated with such economic
developments, at March 31, 1997, 40.5% of the securities in the portfolio of
investments are backed by bond insurance of various financial institutions and
financial guaranty assurance agencies. The aggregate percentage by financial
institution range from 0.8% to 15.3% of total investments.
See notes to financial statements
58
<PAGE>
Limited Maturity Municipals Portfolio
Financial Statements
Statements of Assets and Liabilities
- ---------------------------------------------------------------------------
March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- --------------- -------------
<S> <C> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $ 41,774,003 $ 11,956,737 $ 90,512,005 $ 67,029,171 $ 14,096,910
Unrealized appreciation 614,879 108,879 441,070 588,494 393,224
------------- ------------- ------------- ------------- -------------
Investments at value (Note 1A) $ 42,388,882 $ 12,065,616 $ 90,953,075 $ 67,617,665 $ 14,490,134
Cash 282 31,601 778 112 137,744
Receivable for investments sold 936,857 -- 1,827,129 1,386,820 35,000
Interest receivable 773,815 176,116 2,001,265 1,249,370 335,000
Receivable for variation margin on
open financial futures contracts (Note 1E) 5,469 -- 11,719 10,156 --
Deferred organization expenses (Note 1D) 1,647 1,743 4,582 4,442 259
------------- ------------- ------------- ------------- -------------
Total assets $ 44,106,952 $ 12,275,076 $ 94,798,548 $ 70,268,565 $ 14,998,137
------------- ------------- ------------- ------------- -------------
Liabilities:
Payable for investments purchased $ -- $ -- $ 1,834,573 $ -- $ --
Demand note payable (Note 5) 907,000 -- 45,000 263,000 --
Payable to affiliate for Trustees' fees (Note 2) 1,781 40 2,256 1,781 40
Accrued expenses 3,730 1,069 7,527 33,848 1,665
------------- ------------- ------------- ------------- -------------
Total liabilities $ 912,511 $ 1,109 $ 1,889,356 $ 298,629 $ 1,705
------------- ------------- ------------- ------------- -------------
Net Assets applicable to investors'
interest in Portfolio $ 43,194,441 $ 12,273,967 $ 92,909,192 $ 69,969,936 $ 14,996,432
============= ============= ============= ============= =============
Sources of Net Assets:
Net proceeds from capital contributions
and withdrawals $ 42,482,427 $ 12,165,088 $ 92,259,978 $ 69,201,051 $ 14,603,208
Net unrealized appreciation of investments
and financial futures contracts (computed
on the basis of identified cost) 712,014 108,879 649,214 768,885 393,224
------------- ------------- ------------- ------------- -------------
Total $ 43,194,441 $ 12,273,967 $ 92,909,192 $ 69,969,936 $ 14,996,432
============= ============= ============= ============= =============
</TABLE>
See notes to financial statements
59
<PAGE>
Statements of Assets and Liabilities
- ---------------------------------------------------------------------------
March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
Assets:
Investments --
Identified cost $56,492,991 $ 97,740,065 $27,768,855 $65,161,613
Unrealized appreciation 1,107,202 112,699 385,288 684,525
------------ ------------- ------------ ------------
Investments at value (Note 1A) $57,600,193 $ 97,852,764 $28,154,143 $65,846,138
Cash 181 265 26,568 509
Receivable for investments sold 1,285,363 632,741 536,948 1,730,184
Interest receivable 1,001,651 1,833,333 527,972 1,067,259
Receivable for variation margin
on open financial futures contracts
(Note 1E) -- 21,094 -- --
Prepaid expenses 2,345 -- -- --
Deferred organization expenses (Note 1D) 1,893 2,789 -- 2,912
------------ ------------- ------------ ------------
Total assets $59,891,626 $100,342,986 $29,245,631 $68,647,002
------------ ------------- ------------ ------------
Liabilities:
Payable for investments purchased $ 1,385,559 $ -- $ -- $ --
Payable for when-issued securities
(Note 1G) -- -- 773,281 --
Demand note payable (Note 5) 206,000 318,000 -- 735,000
Payable to affiliate for Trustees' fees
(Note 2) 1,781 2,256 395 1,781
Accrued expenses 32,347 8,982 2,103 34,614
------------ ------------- ------------ ------------
Total liabilities $ 1,625,687 $ 329,238 $ 775,779 $ 771,395
------------ ------------- ------------ ------------
Net Assets applicable to investors'
interest in Portfolio $58,265,939 $100,013,748 $28,469,852 $67,875,607
============ ============= ============ ============
Sources of Net Assets:
Net proceeds from capital
contributions and withdrawals $57,158,737 $ 99,526,390 $28,084,564 $67,191,082
Net unrealized appreciation of
investments and financial futures
contracts (computed on the basis of
identified cost) 1,107,202 487,358 385,288 684,525
------------ ------------- ------------ ------------
Total $58,265,939 $100,013,748 $28,469,852 $67,875,607
============ ============= ============ ============
</TABLE>
See notes to financial statements
60
<PAGE>
Statements of Operations
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
--------------- ------------- --------------- --------------- --------------
<S> <C> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income $ 2,860,592 $ 770,927 $ 5,988,431 $ 4,582,888 $1,029,154
------------ ------------ ------------ ------------ -----------
Expenses
Investment adviser fee (Note 2) $ 239,320 $ 64,492 $ 508,203 $ 385,610 $ 83,756
Compensation of Trustees not members of the
Administrator's organization (Note 2) 6,787 163 8,728 6,787 163
Custodian fee (Note 1H) 30,586 13,042 63,236 48,329 15,751
Legal and accounting services 22,036 17,641 23,929 23,940 21,842
Bond pricing 6,319 6,556 8,970 8,562 4,943
Amortization of organization expenses
(Note 1D) 1,253 609 4,205 4,088 3,113
Miscellaneous 14,658 4,981 24,387 17,725 9,745
------------ ------------ ------------ ------------ -----------
Total expenses $ 320,959 $ 107,484 $ 641,658 $ 495,041 $ 139,313
------------ ------------ ------------ ------------ -----------
Deduct --
Reduction of investment adviser fee (Note 2) $ -- $ 32,497 $ -- $ -- $ --
Reduction of custodian fee (Note 1H) 6,576 5,706 21,381 17,201 5,813
------------ ------------ ------------ ------------ -----------
Total expense reductions $ 6,576 $ 38,203 $ 21,381 $ 17,201 $ 5,813
------------ ------------ ------------ ------------ -----------
Net expenses $ 314,383 $ 69,281 $ 620,277 $ 477,840 $ 133,500
------------ ------------ ------------ ------------ -----------
Net investment income $ 2,546,209 $ 701,646 $ 5,368,154 $ 4,105,048 $ 895,654
------------ ------------ ------------ ------------ -----------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions (identified cost basis) $ 350,071 $ 92,432 $ 426,609 $ 335,925 $ 310,139
Financial futures contracts (496,498) (80,714) (772,529) (458,656) (113,883)
------------ ------------ ------------- ------------- -----------
Net realized gain (loss) $ (146,427) $ 11,718 $ (345,920) $ (122,731) $ 196,256
------------ ------------ ------------- ------------- -----------
Change in unrealized appreciation (depreciation) --
Investments (identified cost basis) $ (423,549) $ (117,846) $ (1,862,868) $ (1,041,564) $ (185,210)
Financial futures contracts 97,135 3,175 208,144 180,391 4,763
------------ ------------ ------------- ------------- -----------
Net change in unrealized appreciation $ (326,414) $ (114,671) $ (1,654,724) $ (861,173) $ (180,447)
------------ ------------ ------------- ------------- -----------
Net realized and unrealized gain (loss) $ (472,841) $ (102,953) $ (2,000,644) $ (983,904) $ 15,809
------------ ------------ ------------- ------------- -----------
Net increase in net assets
from operations $ 2,073,368 $ 598,693 $ 3,367,510 $ 3,121,144 $ 911,463
============ ============ ============= ============= ===========
</TABLE>
See notes to financial statements
61
<PAGE>
Statements of Operations
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
-------------- -------------- -------------- ----------------
<S> <C> <C> <C> <C>
Investment Income (Note 1B):
Interest income $ 3,854,081 $ 6,539,821 $ 1,802,655 $ 4,536,693
------------ ------------- ------------ -------------
Expenses --
Investment adviser fee (Note 2) $ 324,454 $ 557,305 $ 146,515 $ 375,224
Compensation of Trustees not
members of the Administrator's
organization (Note 2) 6,412 8,729 1,618 6,787
Custodian fee (Note 1H) 43,642 68,754 21,250 47,916
Legal and accounting services 21,851 23,944 20,644 23,939
Bond pricing 10,126 9,302 7,239 8,363
Amortization of organization
expenses (Note 1D) 1,789 2,570 2,549 2,671
Miscellaneous 14,436 23,382 9,450 19,531
------------ ------------- ------------ -------------
Total expenses $ 422,710 $ 693,986 $ 209,265 $ 484,431
Deduct --
Reduction of custodian fee
(Note 1H) 19,776 18,973 7,991 17,860
------------ ------------- ------------ -------------
Net expenses $ 402,934 $ 675,013 $ 201,274 $ 466,571
------------ ------------- ------------ -------------
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381 $ 4,070,122
------------ ------------- ------------ -------------
Realized and Unrealized Gain
(Loss) on Investments:
Net realized gain (loss) --
Investment transactions
(identified cost basis) $ 393,991 $ 459,925 $ 357,703 $ 910,989
Financial futures contracts (321,525) (747,067) (131,066) (503,490)
------------ ------------- ------------ -------------
Net realized gain (loss) $ 72,466 $ (287,142) $ 226,637 $ 407,499
------------ ------------- ------------ -------------
Change in unrealized appreciation
(depreciation) --
Investments (identified cost basis) $ (383,438) $ (1,269,739) $ (288,513) $ (1,218,041)
Financial futures contracts 13,389 374,659 -- --
------------ ------------- ------------ -------------
Net change in unrealized
appreciation $ (370,049) $ (895,080) $ (288,513) $ (1,218,041)
------------ ------------- ------------ -------------
Net realized and unrealized
loss $ (297,583) $ (1,182,222) $ (61,876) $ (810,542)
------------ ------------- ------------ -------------
Net increase in net assets
from operations $ 3,153,564 $ 4,682,586 $ 1,539,505 $ 3,259,580
============ ============= ============ =============
</TABLE>
See notes to financial statements
62
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut
Limited Limited
Portfolio Portfolio
---------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 2,546,209 $ 701,646
Net realized gain (loss) on
investment transactions (146,427) 11,718
Change in unrealized appreciation (326,414) (114,671)
-------------- -------------
Net increase in net assets
from operations $ 2,073,368 $ 598,693
-------------- -------------
Capital transactions --
Contributions $ 890,101 $ 868,089
Withdrawals (18,985,108) (4,054,341)
-------------- -------------
Net decrease in net assets resulting from
capital transactions $ (18,095,007) $ (3,186,252)
-------------- -------------
Net decrease in net assets $ (16,021,639) $ (2,587,559)
Net Assets:
At beginning of year 59,216,080 14,861,526
-------------- -------------
At end of year $ 43,194,441 $ 12,273,967
============== =============
<CAPTION>
Florida Massachusetts Michigan
Limited Limited Limited
Portfolio Portfolio Portfolio
--------------- -------------- --------------
<S> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 5,368,154 $ 4,105,048 $ 895,654
Net realized gain (loss) on
investment transactions (345,920) (122,731) 196,256
Change in unrealized appreciation (1,654,724) (861,173) (180,447)
-------------- -------------- -------------
Net increase in net assets
from operations $ 3,367,510 $ 3,121,144 $ 911,463
-------------- -------------- -------------
Capital transactions --
Contributions $ 4,859,506 $ 1,754,803 $ 727,519
Withdrawals (43,152,835) (32,041,287) (7,833,956)
-------------- -------------- -------------
Net decrease in net assets resulting from
capital transactions $ (38,293,329) $ (30,286,484) $ (7,106,437)
-------------- -------------- -------------
Net decrease in net assets $ (34,925,819) $ (27,165,340) $ (6,194,974)
Net Assets:
At beginning of year 127,835,011 97,135,276 21,191,406
-------------- -------------- -------------
At end of year $ 92,909,192 $ 69,969,936 $ 14,996,432
============== ============== =============
</TABLE>
See notes to financial statements
63
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1997
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
----------------- ----------------- -------------- ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 3,451,147 $ 5,864,808 $ 1,601,381 $ 4,070,122
Net realized gain (loss) on
investment transactions 72,466 (287,142) 226,637 407,499
Change in unrealized
appreciation (370,049) (895,080) (288,513) (1,218,041)
-------------- -------------- ------------- --------------
Net increase in net assets
from operations $ 3,153,564 $ 4,682,586 $ 1,539,505 $ 3,259,580
-------------- -------------- ------------- --------------
Capital transactions --
Contributions $ 1,862,282 $ 3,989,610 $ 1,294,856 $ 2,538,420
Withdrawals (26,922,483) (47,386,927) (7,893,884) (30,116,393)
-------------- -------------- ------------- --------------
Net decrease in net assets resulting
from capital transactions $ (25,060,201) $ (43,397,317) $ (6,599,028) $ (27,577,973)
-------------- -------------- ------------- --------------
Net decrease in net assets $ (21,906,637) $ (38,714,731) $ (5,059,523) $ (24,318,393)
Net Assets:
At beginning of year 80,172,576 138,728,479 33,529,375 92,194,000
-------------- -------------- ------------- --------------
At end of year $ 58,265,939 $ 100,013,748 $ 28,469,852 $ 67,875,607
============== ============== ============= ==============
</TABLE>
See notes to financial statements
64
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1996
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
---------------- ------------- -------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 3,416,052 $ 795,358 $ 6,849,405 $ 5,212,102 $ 1,341,190
Net realized gain (loss) on
investment transactions 690,889 16,771 295,731 (63,095) 313,930
Change in unrealized appreciation 500,309 283,601 1,590,260 1,762,463 87,479
------------- ------------- ------------- -------------- --------------
Net increase in net assets
from operations $ 4,607,250 $ 1,095,730 $ 8,735,396 $ 6,911,470 $ 1,742,599
------------- ------------- ------------- -------------- --------------
Capital transactions --
Contributions $ 2,502,298 $ 1,702,174 $ 10,648,982 $ 4,408,033 $ 748,500
Withdrawals (30,237,193) (5,251,996) (56,128,282) (33,303,769) (14,497,709)
------------- ------------- ------------- -------------- --------------
Net decrease in net assets resulting
from capital transactions $ (27,734,895) $ (3,549,822) $ (45,479,300) $ (28,895,736) $ (13,749,209)
------------- ------------- ------------- -------------- --------------
Net decrease in net assets $ (23,127,645) $ (2,454,092) $ (36,743,904) $ (21,984,266) $ (12,006,610)
Net Assets:
At beginning of year 82,343,725 17,315,618 164,578,915 119,119,542 33,198,016
------------- ------------- ------------- -------------- --------------
At end of year $ 59,216,080 $ 14,861,526 $ 127,835,011 $ 97,135,276 $ 21,191,406
============= ============= ============= ============== ==============
</TABLE>
See notes to financial statements
65
<PAGE>
Statements of Changes in Net Assets
- ---------------------------------------------------------------------------
Year Ended March 31, 1996
- ---------------------------------------------------------------------------
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
---------------- ---------------- --------------- ----------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From operations --
Net investment income $ 4,281,726 $ 7,387,952 $ 1,869,100 $ 4,991,356
Net realized gain (loss) on
investment transactions 83,359 217,916 230,400 (470,305)
Change in unrealized appreciation 875,687 2,312,427 179,256 1,828,795
-------------- -------------- ------------- --------------
Net increase in net assets
from operations $ 5,240,772 $ 9,918,295 $ 2,278,756 $ 6,349,846
-------------- -------------- ------------- --------------
Capital transactions --
Contributions $ 2,138,038 $ 7,273,143 $ 1,242,994 $ 4,976,577
Withdrawals (24,485,909) (52,095,383) (9,427,749) (32,738,468)
-------------- -------------- ------------- --------------
Net decrease in net assets resulting
from capital transactions $ (22,347,871) $ (44,822,240) $ (8,184,755) $ (27,761,891)
-------------- -------------- ------------- --------------
Net decrease in net assets $ (17,107,099) $ (34,903,945) $ (5,905,999) $ (21,412,045)
Net Assets:
At beginning of year 97,279,675 173,632,424 39,435,374 113,606,045
-------------- -------------- ------------- --------------
At end of year $ 80,172,576 $ 138,728,479 $ 33,529,375 $ 92,194,000
============== ============== ============= ==============
</TABLE>
See notes to financial statements
66
<PAGE>
Supplementary Data
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Limited Portfolio Connecticut Limited Portfolio
-------------------------------------------- --------------------------------------------
Year Ended March 31, Year Ended March 31,
-------------------------------------------- --------------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
---------- ---------- ---------- ----------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net
assets+:
Expenses (1) 0.63% 0.58% 0.53% 0.46%+ 0.54% 0.39% 0.17% 0.00%+
Net expenses, after custodian
fee reduction 0.61% 0.55% -- -- 0.50% 0.35% -- --
Net investment income 4.98% 4.82% 4.72% 4.50%+ 5.09% 4.91% 4.95% 4.53%+
Portfolio Turnover 57% 36% 56% 6% 46% 52% 73% 39%
Net Assets, end of period
(000 omitted) $43,194 $59,216 $82,344 $95,704 $12,274 $14,862 $17,316 $16,767
+ The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee, and/or an allocation
of expenses to the Investment Adviser. Had such actions not been taken, the ratios (as a percentage of average daily
net assets) would have been as follows:
Expenses (1) 0.52%+ 0.78% 0.72% 0.67% 0.62%+
Expenses after custodian
fee reduction -- 0.74% 0.68% -- --
Net investment income 4.44%+ 4.85% 4.58% 4.45% 3.92%+
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31, 1994.
(1) The expense ratios for the years ended March 31, 1996 and thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Florida Limited Portfolio Massachusetts Limited Portfolio
------------------------------------------ -----------------------------------------
Year Ended March 31, Year Ended March 31,
------------------------------------------ -----------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994*
-------- -------- -------- -------- ------- ------- ------- --------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net
assets:
Expenses (1) 0.59% 0.55% 0.52% 0.49%+ 0.60% 0.57% 0.54% 0.52%+
Net expenses, after custodian
fee reduction 0.57% 0.54% -- -- 0.58% 0.55% -- --
Net investment income 4.90% 4.73% 4.73% 4.53%+ 4.97% 4.72% 4.90% 4.57%+
Portfolio Turnover 66% 20% 44% 8% 60% 27% 46% 8%
Net Assets, end of period
(000 omitted) $92,909 $127,835 $164,579 $185,977 $69,970 $97,135 $119,120 $119,772
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the years ended March 31, 1996 and thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
</TABLE>
See notes to financial statements
67
<PAGE>
Supplementary Data
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Michigan Limited Portfolio New Jersey Limited Portfolio
-------------------------------------------- --------------------------------------------
Year Ended March 31, Year Ended March 31,
-------------------------------------------- --------------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
---------- ---------- ---------- ----------- ---------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net
assets+:
Expenses (1) 0.79% 0.68% 0.48% 0.00%+ 0.61% 0.57% 0.54% 0.54%+
Net expenses, after custodian
fee reduction 0.76% 0.64% -- -- 0.58% 0.55% -- --
Net investment income 5.09% 5.00% 4.88% 4.62%+ 4.96% 4.78% 4.73% 4.53%+
Portfolio Turnover 28% 40% 111% 30% 37% 42% 44% 10%
Net Assets, end of period
(000 omitted) $14,996 $21,191 $33,198 $35,608 $58,266 $80,173 $97,280 $102,948
+ The operating expenses of the Portfolios may reflect a reduction of the investment adviser fee, and/or an allocation of
expenses to the Investment Adviser. Had such actions not been taken, the ratios (as a percentage of average daily net assets)
would have been as follows:
Expenses (1) 0.59% 0.54%+
Net investment income 4.77% 4.08%+
+ Annualized.
* For the period from the start of business, April 16, 1993, to March 31, 1994.
** For the period from the start of business, May 3, 1993, to March 31, 1994.
(1)The expense ratios for the years ended March 31, 1996 and thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
- -------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
New York Limited Portfolio Ohio Limited Portfolio
----------------------------------------- -------------------------------------------
Year Ended March 31, Year Ended March 31,
----------------------------------------- -------------------------------------------
1997 1996 1995 1994* 1997 1996 1995 1994**
-------- -------- -------- --------- -------- -------- -------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Ratios to average daily net
assets+:
Expenses (1) 0.58% 0.55% 0.52% 0.47%+ 0.68% 0.63% 0.46% 0.00%+
Net expenses, after custodian
fee reduction 0.56% 0.53% -- -- 0.65% 0.61% -- --
Net investment income 4.87% 4.66% 4.79% 4.50%+ 5.20% 5.06% 4.96% 4.68%+
Portfolio Turnover 58% 32% 31% 5% 34% 47% 120% 33%
Net Assets, end of period
(000 omitted) $100,014 $138,728 $173,632 $183,768 $28,470 $33,529 $39,435 $37,978
+ The operating expenses of Portfolios may reflect a reduction of the Investment Adviser fee, and/or an allocation of expenses to
the Investment Adviser. Had such actions not been taken, the ratios (as a percentage of average daily net assets) would have
been as follows:
Expenses (1) 0.58% 0.54%+
Net investment income 4.84% 4.14%+
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
** For the period from the start of business, April 16, 1993, to March 31, 1994.
(1) The expense ratios for the years ended March 31, 1996 and thereafter have been adjusted to reflect a change in reporting
requirements. The new reporting guidelines require each Portfolio to increase its expense ratio by the effect of any expense
offset arrangements with its service providers. The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
</TABLE>
See notes to financial statements
68
<PAGE>
Supplementary Data
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Pennsylvania Limited Portfolio
------------------------------------------------
Year Ended March 31,
------------------------------------------------
1997 1996 1995 1994*
--------- --------- ---------- -----------
<S> <C> <C> <C> <C>
Ratios to average daily net assets:
Expenses (1) 0.61% 0.58% 0.53% 0.50%+
Net expenses, after custodian
fee reduction 0.59% 0.56% -- --
Net investment income 5.11% 4.81% 4.77% 4.59%+
Portfolio Turnover 51% 24% 39% 12%
Net Assets, end of period
(000 omitted) $67,876 $92,194 $113,606 $123,620
</TABLE>
+ Annualized.
* For the period from the start of business, May 3, 1993, to March 31, 1994.
(1) The expense ratios for the years ended March 31, 1996 and thereafter have
been adjusted to reflect a change in reporting requirements. The new
reporting guidelines require each Portfolio to increase its expense ratio by
the effect of any expense offset arrangements with its service providers.
The expense ratios for each of the prior periods have not been adjusted to
reflect this change.
See notes to financial statements
69
<PAGE>
Notes to Financial Statements
- -------------------------------------------------------------------------------
(1) Significant Accounting Policies
California Limited Maturity Municipals Portfolio (California Limited Portfolio),
Connecticut Limited Maturity Municipals Portfolio (Connecticut Limited
Portfolio), Florida Limited Maturity Municipals Portfolio (Florida Limited
Portfolio), Massachusetts Limited Maturity Municipals Portfolio (Massachusetts
Limited Portfolio), Michigan Limited Maturity Municipals Portfolio (Michigan
Limited Portfolio), New Jersey Limited Maturity Municipals Portfolio (New Jersey
Limited Portfolio), New York Limited Maturity Municipals Portfolio (New York
Limited Portfolio), Ohio Limited Maturity Municipals Portfolio (Ohio Limited
Portfolio) and Pennsylvania Limited Maturity Municipals Portfolio (Pennsylvania
Limited Portfolio), collectively the Portfolios, are registered under the
Investment Company Act of 1940 as non-diversified open-end management investment
companies which were organized as trusts under the laws of the State of New York
on May 1, 1992. The Declarations of Trust permit the Trustees to issue interests
in the Portfolios. The following is a summary of significant accounting policies
of the Portfolios. The policies are in conformity with generally accepted
accounting principles.
A. Investment Valuations -- Municipal bonds are normally valued on the basis of
valuations furnished by a pricing service. Taxable obligations, if any, for
which price quotations are readily available are normally valued at the mean
between the latest bid and asked prices. Futures contracts listed on commodity
exchanges are valued at closing settlement prices. Short-term obligations,
maturing in sixty days or less, are valued at amortized cost, which approximates
value. Investments for which valuations or market quotations are unavailable are
valued at fair value using methods determined in good faith by or at the
direction of the Trustees.
B. Income -- Interest income is determined on the basis of interest accrued,
adjusted for amortization of premium or discount when required for federal
income tax purposes.
C. Federal Taxes -- The Portfolios are treated as partnerships
for Federal tax purposes. No provision is made by the Portfolios for federal or
state taxes on any taxable income of the Portfolios because each investor in the
Portfolios is ultimately responsible for the payment of any taxes. Since some of
the Portfolios' investors are regulated investment companies that invest all or
substantially all of their assets in the Portfolios, the Portfolios normally
must satisfy the applicable source of income and diversification requirements
(under the Internal Revenue Code) in order for their respective investors to
satisfy them. The Portfolios will allocate at least annually among their
respective investors each investor's distributive share of the Portfolios' net
taxable (if any) and tax-exempt investment income, net realized capital gains,
and any other items of income, gain, loss, deduction or credit.
Interest income received by the Portfolios on investments in municipal bonds,
which is excludable from gross income under the Internal Revenue Code, will
retain its status as income exempt from federal income tax when allocated to
each Portfolio's investors. The portion of such interest, if any, earned on
private activity bonds issued after August 7, 1986, may be considered a tax
preference item for investors.
D. Deferred Organization Expenses -- Costs incurred by a Portfolio in connection
with its organization, including registration costs, are being amortized on a
straight-line basis over five years, beginning on the date each Fund commenced
operations.
E. Financial Futures Contracts -- Upon entering a financial futures contract, a
Portfolio is required to deposit ("initial margin") either in cash or securities
an amount equal to a certain percentage of the purchase price indicated in the
financial futures contract. Subsequent payments are made or received by a
Portfolio ("margin maintenance") each day, dependent on the daily fluctuations
in the value of the underlying security, and are recorded for book purposes as
unrealized gains or losses by a Portfolio. A Portfolio's investment in financial
futures contracts is designed only to hedge against anticipated future changes
in interest rates. Should interest rates move unexpectedly, a Portfolio may not
achieve the anticipated benefits of the financial futures contracts and may
realize a loss.
F. Options on Financial Futures Contracts -- Upon the purchase of a put option
on a financial futures contract by a Portfolio, the premium paid is recorded as
an investment, the value of which is marked-to-market daily. When a purchased
option expires, a Portfolio will realize a loss in the amount of the cost of the
option. When a Portfolio enters into a closing sales transaction, the Portfolio
will realize a gain or loss depending on whether the sales proceeds from the
closing sales transaction is greater or less than the cost of the option. When a
Portfolio exercises a put option, settlement is made in cash. The risk
associated with purchasing options is limited to the premium originally paid.
G. When-issued and Delayed Delivery Transactions -- The Portfolios may engage in
when-issued and delayed delivery transactions. The Portfolios record when-issued
securities on trade date and maintain security positions such that sufficient
liquid assets will be available to make payment for the securities purchased.
Securities purchased on a when-issued or delayed delivery basis are marked to
market daily and begin earning interest on settlement date.
H. Expense Reduction -- Investors Bank & Trust Company (IBT) serves as custodian
of the Portfolios. Pursuant to the custodian agreements, IBT receives a fee
reduced by credits
70
<PAGE>
- -------------------------------------------------------------------------------
which are determined based on the average daily cash balances each Portfolio
maintains with IBT. All significant credit balances used to reduce the
Portfolios' custodian fees are reflected as a reduction of expenses on the
statement of operations.
I. Use of Estimates -- The preparation of the financial statements in conformity
with generally accepted accounting principles requires management to make
estimates and assumptions that affect the reported amounts of assets and
liabilities at the date of the financial statements and the reported amounts of
revenue and expense during the reporting period. Actual results could differ
from those estimates.
J. Other -- Investment transactions are accounted for on a trade date basis.
- -------------------------------------------------------------------------------
(2) Investment Adviser Fee and Other Transactions with Affiliates
The investment adviser fee is earned by Boston Management and Research (BMR), a
wholly-owned subsidiary of Eaton Vance Management (EVM), as compensation for
management and investment advisory services rendered to each Portfolio. The fee
is based upon a percentage of average daily net assets plus a percentage of
gross income (i.e., income other than gains from the sale of securities). For
the year ended March 31, 1997, each Portfolio incurred advisory fees as follows:
<TABLE>
<CAPTION>
Portfolio Amount Effective Rate
- ----------------------- ---------- ---------------
<S> <C> <C>
California Limited $239,320 0.47%
Connecticut Limited 64,492 0.47%
Florida Limited 508,203 0.46%
Massachusetts Limited 385,610 0.47%
Michigan Limited 83,756 0.48%
New Jersey Limited 324,454 0.47%
New York Limited 557,305 0.46%
Ohio Limited 146,515 0.48%
Pennsylvania Limited 375,224 0.47%
</TABLE>
To enhance the net income of the Connecticut Limited Portfolio, BMR made a
reduction of its fee in the amount of $32,497.
Except as to Trustees of the Portfolios who are not members of EVM's or BMR's
organization, officers and Trustees receive remuneration for their services to
the Portfolios out of such investment adviser fee. Trustees of the Portfolios
that are not affiliated with the Investment Adviser may elect to defer receipt
of all or a percentage of their annual fees in accordance with the terms of the
Trustees Deferred Compensation Plan. For the year ended March 31, 1997, no
significant amounts have been deferred.
Certain of the officers and Trustees of the Portfolios are officers and
directors/trustees of the above organizations.
- ---------------------------------------------------------------------------
(3) Investments
Purchases and sales of investments, other than U.S. Government securities, put
option transactions and short-term obligations, for the year ended March 31,
1997 were as follows:
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- ------------- --------------- -----------
<S> <C> <C> <C> <C> <C>
Purchases $28,784,757 $6,190,195 $70,750,321 $50,757,550 $4,839,639
Sales 46,006,048 8,563,337 102,106,262 82,537,912 10,872,883
</TABLE>
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
------------- -------------- ------------- -------------
<S> <C> <C> <C> <C>
Purchases $25,394,155 $ 69,170,036 $10,295,734 $39,990,076
Sales 46,414,717 106,987,883 14,960,465 64,446,380
</TABLE>
71
<PAGE>
- -------------------------------------------------------------------------------
(4) Federal Income Tax Basis of Investments
The cost and unrealized appreciation/depreciation in value of the investments
owned by each Portfolio at March 31, 1997, as computed on a federal income tax
basis, are as follows:
<TABLE>
<CAPTION>
California Connecticut Florida Massachusetts Michigan
Limited Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio Portfolio
------------- ------------- -------------- --------------- ------------
<S> <C> <C> <C> <C> <C>
Aggregate cost $41,774,003 $11,956,737 $90,512,005 $67,029,171 $14,096,910
============ ============ ============ ============ ============
Gross unrealized appreciation $ 832,712 $ 187,375 $ 1,291,406 $ 1,067,203 $ 495,155
Gross unrealized depreciation (217,833) (78,496) (850,336) (478,709) (101,931)
------------ ------------ ------------ ------------ ------------
Net unrealized appreciation $ 614,879 $ 108,879 $ 441,070 $ 588,494 $ 393,224
============ ============ ============ ============ ============
</TABLE>
<TABLE>
<CAPTION>
New Jersey New York Ohio Pennsylvania
Limited Limited Limited Limited
Portfolio Portfolio Portfolio Portfolio
-------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Aggregate cost $56,492,991 $97,740,065 $27,768,855 $65,161,613
============ ============ ============ ============
Gross unrealized appreciation $ 1,372,834 $ 961,923 $ 519,339 $ 1,147,269
Gross unrealized depreciation (265,632) (849,224) (134,051) (462,744)
------------ ------------ ------------ ------------
Net unrealized appreciation $ 1,107,202 $ 112,699 $ 385,288 $ 684,525
============ ============ ============ ============
</TABLE>
- -------------------------------------------------------------------------------
(5) Line of Credit
The Portfolios participate with other portfolios and funds managed by BMR and
EVM and its affiliates in a $120 million unsecured line of credit with a group
of banks. Borrowings will be made by the Portfolios or Funds solely to
facilitate the handling of unusual or unanticipated short-term cash
requirements. Interest is charged to each portfolio or fund based on its
borrowings at the bank's base rate or at an amount above either the bank's
adjusted certificate of deposit rate, Eurodollar rate or federal funds effective
rate. In addition, a fee computed at an annual rate of 0.15% on the daily unused
portion of the facility is allocated among the participating portfolios and
funds at the end of each quarter. At March 31, 1997 the California Limited
Portfolio, Florida Limited Portfolio, Massachusetts Limited Portfolio, New
Jersey Limited Portfolio, New York Limited Portfolio, and Pennsylvania Limited
Portfolio had a balance outstanding pursuant to this line of credit of $907,000,
$45,000, $263,000, $206,000, $318,000, and $735,000, respectively. The
Portfolios did not have any significant borrowings or allocated fees during the
year ended March 31, 1997.
- ---------------------------------------------------------------------------
(6) Financial Instruments
The Portfolios regularly trade in financial instruments with off-balance sheet
risk in the normal course of their investing activities to assist in managing
exposure to various market risks. These financial instruments include futures
contracts and may involve, to a varying degree, elements of risk in excess of
the amounts recognized for financial statement purposes.
The notional or contractual amounts of these instruments represent the
investment a Portfolio has in particular classes of financial instruments and
does not necessarily represent the amounts potentially subject to risk. The
measurement of the risks associated with these instruments is meaningful only
when all related and offsetting transactions are considered.
A summary of obligations under these financial instruments at March 31, 1997,
were as follows:
<TABLE>
<CAPTION>
Futures Contracts Net Unrealized
Limited Portfolio Expiration Date Contracts Position Appreciation
- ------------------- ------------------- ------------------------- ---------- ---------------
<S> <C> <C> <C> <C>
California 6/97 35 U.S. Treasury Bonds Short $ 97,135
Florida 6/97 75 U.S. Treasury Bonds Short 208,144
Massachusetts 6/97 65 U.S. Treasury Bonds Short 180,391
New York 6/97 135 U.S. Treasury Bonds Short 374,659
</TABLE>
At March 31, 1997, the Portfolios had sufficient cash and/or securities
segregated to cover margin requirements on open futures contracts.
72
<PAGE>
Independent Auditors' Report
- -------------------------------------------------------------------------------
To the Trustees and Investors of
California Limited Maturity Municipals Portfolio
Connecticut Limited Maturity Municipals Portfolio
Florida Limited Maturity Municipals Portfolio
Massachusetts Limited Maturity Municipals Portfolio
Michigan Limited Maturity Municipals Portfolio
New Jersey Limited Maturity Municipals Portfolio
New York Limited Maturity Municipals Portfolio
Ohio Limited Maturity Municipals Portfolio
Pennsylvania Limited Maturity Municipals Portfolio
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of California Limited Maturity Municipals
Portfolio, Connecticut Limited Maturity Municipals Portfolio, Florida Limited
Maturity Municipals Portfolio, Massachusetts Limited Maturity Municipals
Portfolio, Michigan Limited Maturity Municipals Portfolio, New Jersey Limited
Maturity Municipals Portfolio, New York Limited Maturity Municipals Portfolio,
Ohio Limited Maturity Municipals Portfolio, and Pennsylvania Limited Maturity
Municipals Portfolio (the Portfolios) as of March 31, 1997, the related
statements of operations for the year then ended, the statements of changes in
net assets for the years ended March 31, 1997 and 1996 and the supplementary
data for each of the years in the four year period ended March 31, 1997. These
financial statements and supplementary data are the responsibility of the
Trusts' management. Our responsibility is to express an opinion on the financial
statements and supplementary data based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and supplementary
data are free of material misstatement. An audit includes examining, on a test
basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned at March
31, 1997 by correspondence with the custodian and brokers; where replies were
not received from brokers, we performed other audit procedures. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, such financial statements and supplementary data present fairly,
in all material respects, the financial position of the aforementioned
Portfolios as of March 31, 1997, the results of their operations, the changes in
their net assets, and their supplementary data for the respective stated periods
in conformity with generally accepted accounting principles.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
May 2, 1997
73
<PAGE>
Investment Management
- -------------------------------------------------------------------------------
Funds Officers Independent Trustees
Thomas J. Fetter Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of
James B. Hawkes New England, Inc.
Vice President and Trustee
Samuel L. Hayes, III
Robert B. MacIntosh Jacob H. Schiff Professor of Investment
Vice President Banking, Harvard University Graduate
School of Business Administration
James L. O'Connor
Treasurer Norton H. Reamer
President and Director,
Thomas Otis United Asset Management Corporation
Secretary
John L. Thorndike
Director, Fiduciary Company Incorporated
Jack L. Treynor
Investment Adviser and Consultant
- -------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Portfolios Officers Independent Trustees
<S> <C> <C>
Thomas J. Fetter Donald R. Dwight
President President, Dwight Partners, Inc.
Chairman, Newspapers of
James B. Hawkes New England, Inc.
Vice President and Trustee
Samuel L. Hayes, III
Robert B. MacIntosh Jacob H. Schiff Professor of Investment
Vice President Banking, Harvard University Graduate
School of Business Administration
William H. Ahern, Jr.
Vice President and Portfolio Manager of Norton H. Reamer
Connecticut, Florida, Massachusetts, President and Director,
Michigan, New Jersey, and Ohio Limited United Asset Management Corporation
Maturity Municipals Portfolios
John L. Thorndike
Nicole Anderes Director, Fiduciary Company Incorporated
Vice President and Portfolio Manager
of New York Limited Maturity Jack L. Treynor
Municipals Portfolio Investment Adviser
and Consultant
Timothy T. Browse
Vice President and Portfolio Manager
of Pennsylvania Limited Maturity
Municipals Portfolio
Cynthia J. Clemson
Vice President and Portfolio Manager
of California Limited Maturity
Municipals Portfolio
James L. O'Connor
Treasurer
Thomas Otis
Secretary
</TABLE>
74
<PAGE>
Investment Adviser of Limited Maturity Tax Free Portfolios
Boston Management and Research
24 Federal Street
Boston, MA 02110
Administrator of EV Marathon Limited Maturity Tax Free Funds
Eaton Vance Management
24 Federal Street
Boston, MA 02110
Principal Underwriter
Eaton Vance Distributors, Inc.
24 Federal Street
Boston, MA 02110
(617) 482-8260
Custodian
Investors Bank & Trust Company
24 Federal Street
Boston, MA 02110
Transfer Agent
The Shareholder Services Group, Inc.
BOS725
P.O. Box 1559
Boston, MA 02104
Independent Auditors
Deloitte & Touche LLP
125 Summer Street
Boston, MA 02110
75
<PAGE>
This report must be preceded or accompanied by a current prospectus which
contains more complete information on the Funds, including distribution plan,
sales charges and expenses. Please read the prospectus carefully before you
invest or send money.
Eaton Vance Investment Trust
24 Federal Street
Boston, MA 02110
M-9LTFCSRC-5/97
