BLANCHARD FUNDS
STATEMENT OF ASSETS AND LIABILITIES
April 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Blanchard Blanchard
Growth & Capital
Income Growth
--------- ---------
<S> <C> <C>
Assets:
Investment in Portfolio, at value (note 1) ............. $4,001,984 $1,555,296
Shares of beneficial interest sold ..................... - 4,213
Deferred organizational expenses (note 1) .............. 81,715 79,615
---------- ----------
Total assets ................................... 4,083,699 1,639,124
---------- ----------
Liabilities
Due to Manager ......................................... 90,813 88,861
Shares of beneficial interest repurchased .............. 7,938 9,900
Accrued expenses and other liabilities ................. 14,864 7,334
---------- ----------
Total liabilities .............................. 113,615 106,095
---------- ----------
Net assets ..................................... $3,970,084 $1,533,029
========== ==========
Net assets are comprised of:
Paid-in-capital ........................................ $3,763,343 $1,462,120
Accumulated undistributed net investment loss .......... (13,733) (23,760)
Accumulated realized gain-net .......................... 25,841 17,822
Unrealized net appreciation from Portfolio ............. 194,633 76,846
---------- ----------
Net assets ..................................... $3,970,084 $1,533,028
========== ==========
Shares of beneficial interest outstanding
(unlimited number of authorized shares of beneficial
interest, $.01 par value) ............................ 538,628 212,388
========== ==========
Net asset value per share ................................ $7.37 $7.22
===== =====
</TABLE>
See notes to financial statements.
1
<PAGE>
BLANCHARD FUNDS
STATEMENT OF OPERATIONS
For the period November 1, 1994* through April 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Blanchard Blanchard
Growth & Capital
Income Growth
--------- ---------
<S> <C> <C>
Investment Income:
Investment Income from Portfolio:
Interest .............................................................. $ 19,602 $ 4,227
Dividends ............................................................. 16,971 6,338
Less expenses from Portfolio .......................................... (4,996) (2,424)
-------- -------
Investment income from Portfolio .............................. 31,577 8,141
-------- -------
Expenses:
Amortization of organization costs (note 1) ........................... 9,098 9,246
Professional fees ..................................................... 8,404 6,384
Transfer agent fees ................................................... 6,614 5,522
Management fees (note 2) .............................................. 7,310 3,431
Distribution fees (note 2) ............................................ 5,227 2,451
Registration fees ..................................................... 4,527 3,845
Trustees' fees, retirement plan curtailment
and other expenses (note 2) ......................................... 3,980 1,842
Other expenses ........................................................ 107 50
-------- -------
Total expenses ................................................ 45,267 32,771
Less expense reimbursement (note 2) ................................... (2,076) (870)
-------- -------
Net expenses .................................................. 43,191 31,901
-------- -------
Net investment loss ................................................... (11,614) (23,760)
-------- -------
Realized and unrealized gain (loss) on investments:
Realized gain (loss) from Portfolio on:
Investment transactions-net ........................................... 19,365 17,822
Financial futures transactions-net .................................... 6,476 -
-------- -------
Realized gain from Portfolio .................................. 25,841 17,822
Change in unrealized appreciation (depreciation) from portfolio-net ..... 194,633 76,846
-------- -------
Net realized and unrealized gain on investments and
futures transactions ................................................ 220,474 94,668
-------- -------
Net increase in net assets resulting from operations .................. $208,860 $70,908
======== =======
<FN>
- ------------
*Commencement of operations.
</FN>
</TABLE>
See notes to financial statements.
2
<PAGE>
BLANCHARD FUNDS
STATEMENT OF CHANGES IN NET ASSETS
For the Period November 1, 1994* through April 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Blanchard Blanchard
Growth & Capital
Income Growth
--------- ---------
<S> <C> <C>
Increase (decrease) in net assets:
Operations:
Net investment loss ........................................ $ (11,614) $ (23,760)
Realized gain on investments-net ........................... 25,841 17,822
Change in unrealized appreciation on investments
and futures transactions-net ............................. 194,633 76,846
---------- ----------
Net increase in net assets resulting from operations ....... 208,860 70,908
---------- ----------
Distributions to shareholders from net investment income ..... (2,119) -
---------- ----------
Transactions in shares of beneficial interest (note 4) ....... 3,763,343 1,462,120
---------- ----------
Net increase in net assets ......................... 3,970,084 1,533,028
Net assets:
Beginning of period ........................................ 0 0
---------- ----------
End of period (includes undistributed net investment
loss of $13,733 and $23,760, respectively) ............... $3,970,084 $1,533,028
========== ==========
<FN>
- ------------
*Commencement of operations.
</FN>
</TABLE>
See notes to financial statements.
3
<PAGE>
BLANCHARD GROWTH & INCOME FUND
BLANCHARD CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS
April 30, 1995 (unaudited)
NOTE 1-Organization and Accounting Policies:
Blanchard Growth & Income Fund (the "GIF") and Blanchard Capital Growth Fund
(the "CGF") (collectively the "Funds") are registered under the Investment
Company Act of 1940, as amended (the "Act"), as diversified open-end management
investment companies. Both Funds are a series of Blanchard Funds which was
organized as a Massachusetts business trust on January 24, 1986. Both GIF and
CGF commenced operations on November 1, 1994.
Each Fund seeks to achieve its investment objective by investing all of its
investable assets in the Growth & Income Portfolio and the Capital Growth
Portfolio (the "Portfolios") which are open-end management investment companies
having the same investment objectives as the Funds. The Funds, the Portfolios in
which they invest, and the percentage of each portfolio owned by the respective
Fund at April 30, 1995 are shown below. The Portfolios are managed by Chase
Manhattan Bank, its Portfolio Adviser.
<TABLE>
<CAPTION>
Fund's Percentage
Interest in the Portfolio
Fund Portfolio at April 30, 1995
---- --------- -----------------
<S> <C> <C>
Blanchard Growth & Income Fund Growth & Income Portfolio .20%
Blanchard Capital Growth Fund Capital Growth Portfolio .20%
</TABLE>
These financial statements should be read together with the accompanying
portfolio of investments and financial statements of the Growth & Income
Portfolio and the Capital Growth Portfolio.
The following is a summary of significant accounting policies followed by
the Fund:
A. Valuation of Investments-The Funds record their investments in the
Portfolios at value. Securities of the Portfolio are recorded at value as more
fully discussed in the Notes to those accompanying Financial Statements.
B. Investment Income, Expenses, and Distributions to Shareholders-The Fund
records daily its pro-rata share of the respective Portfolio's income, expenses,
and realized and unrealized gains and losses. In addition, the Fund accrues its
own expenses daily as incurred. Expenses directly attributable to the Fund are
charged to the Fund. Certain expenses for the Blanchard Group of Funds are
allocated among all the funds in the group based upon their relative average net
assets. Distributions to shareholders are recorded on the ex-dividend date. The
amount of dividends and distributions from net investment income and net
realized capital gains is determined in accordance with federal income tax
regulations, which may differ from generally accepted accounting principles. To
the extent these "book/tax" differences are permanent in nature, (i.e., that
they will result from other than timing of recognition -- "temporary") such
amounts are reclassified within the capital accounts based on their federal
tax-basis treatment. Dividends and distributions which exceed net investment
income or net realized capital gains for financial reporting purposes, but not
for tax purposes, are reported as distributions in excess of net investment
income or net realized capital gains.
C. Federal Income Taxes-The Fund is treated as a separate taxable entity for
Federal income tax purposes. The Fund's policy is to comply with the provisions
of the Internal Revenue Code applicable to regulated investment companies and to
distribute to shareholders all of the Fund's distributable net income, including
any net realized gain on investments. In addition, the Fund intends to make
distributions as required to avoid excise taxes. Accordingly, no provisions for
Federal income or excise taxes are necessary.
The Portfolios intend to qualify as a partnership and therefore net income
and net realized gains are taxed to the partners. The investors in the
Portfolios must take into account their proportionate share of the Portfolios'
income, gains, losses, deductions, credits and tax preference items in computing
their federal income tax liability, without regard to whether they have received
any cash distributions from the Portfolios. It is intended that the
4
<PAGE>
BLANCHARD GROWTH & INCOME FUND
BLANCHARD CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS-(continued)
April 30, 1995 (unaudited)
Portfolios will be managed in such a way that investors in the portfolio will be
able to satisfy the requirements of subchapter M of the Internal Revenue Code to
be taxed as regulated investment companies.
At this time, permanent book-tax differences relating to shareholder
distributions for the six month period ended April 30, 1995 are not
determinable.
D. Organization Costs-The Funds' Manager paid the organizational expenses of
GIF and CGF incurred prior to the public offering of its shares amounting to
$90,813 and $88,861, respectively. Each Fund is liable to the Manager for these
expenses and has deferred and is amortizing such expenses using the
straight-line method over five years from the date of commencement of the Funds'
operation.
NOTE 2-Fees and Other Transactions with Affiliates:
A. Investment Advisory Fees-Pursuant to a management agreement (the
"Agreement"), Sheffield Management Company (the "Manager") manages each Fund and
the investment of the Funds' assets, subject at all times to the supervision of
the Funds' Trustees. In addition to providing overall business management and
administrative services, the Manager monitors and evaluates the Portfolio
Adviser, The Chase Manhattan Corporation. The Manager receives from each Fund an
advisory fee payable monthly at an annual rate of .70% of the Fund's average
daily net assets. The Portfolio Adviser's annual fee of .40% of the Fund's
average daily net assets is allocated daily to each Fund and $4,166 and $1,945
are included in expenses allocated from the Growth & Income Portfolio and the
Capital Growth Portfolio, respectively, in the Statement of Operations.
Expenses of the Fund, exclusive of taxes, interest, brokerage commissions,
distribution fees, extraordinary expenses and certain other excludable expenses
for which a waiver has been obtained, are subject to the expense limitation
imposed by one of the states in which shares of the Fund are offered for sale.
For the six months ended April 30, 1995, the Funds' expenses exceeded the above
limitation. The Manager reimbursed $2,076 and $870 in management fees in GIF and
CGF, respectively, during the period ended April 30, 1995.
Certain officers and/or Trustees of the Funds are officers/trustees of the
Manager.
B. Distribution Agreement and Plan-Pursuant to a Distribution Agreement,
Sheffield Investments, Inc. (the "Distributor"), an affiliated company of the
Manager, acts as principal distributor of the Funds' shares. The Distributor has
the exclusive right to distribute Funds' shares directly or through other
broker-dealers.
The Funds have adopted a Distribution Plan (the "Plan") pursuant to Rule
12b-1 under the Act which provides that the Funds may finance activities which
are primarily intended to result in the sale of the Funds' shares, including but
not limited to advertising, printing of prospectuses and reports for other than
existing shareholders, preparation and distribution of advertising material and
sales literature, and payments to dealers and shareholder servicing agents who
enter into agreements with the Manager or Distributor.
Pursuant to the Plan, the Funds may pay distribution fees not to exceed .50%
per annum of the Fund's average daily net assets. Payments under the Plan will
be made for expenses actually incurred by the Distributor. Provided that the
Plan continues in effect, any cumulative expenses incurred by the Distributor on
or after November 1, 1994 but not yet reimbursed by the Funds, may be reimbursed
through future distribution fees from each Fund. The Distributor has advised the
Funds that at April 30, 1995, the unreimbursed distribution expenses amounted to
$515,519 and $568,007 for GIF and CGF, respectively. If the plan is terminated
or discontinued in accordance with its terms , the obligation of the Fund to
make payments to the Distributor pursuant to the Plan will cease and the Fund
will not be required to make any payments past the date the Plan is terminated.
C. Trustee Pension Plan-The Funds have adopted an unfunded noncontributory
pension plan (the "Plan") covering all independent directors/trustees of the
Funds who will have served as an independent director/trustee
5
<PAGE>
BLANCHARD GROWTH & INCOME FUND
BLANCHARD CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS-(continued)
April 30, 1995 (unaudited)
for at least five years at the time of retirement. Benefits under this plan are
based on an annual rate equal to 75% of the director/trustee fee at the time of
retirement, plus 5% for each year of service in excess of five years of service
but not in excess of ten years of service. Net periodic pension expense included
in Trustees' fees, retirement plan curtailment and other expenses in the
Statement of Operations for the six month period ended April 30, 1995 was $1,830
and $784, respectively. As indicated in Note 3 below, the Manager has entered
into an agreement which provides for the acquisition of the Manager by Signet.
Following the acquisition, the independent directors/trustees of the Funds will
not stand for re-election. As a result, the Plan was curtailed and additional
pension expense of $6,475 and $2,775 , respectively, was recorded to reflect the
previously unrecognized prior service costs of the independent
directors/trustees.
NOTE 3-Acquisition Agreement:
Sheffield Management Company ("Sheffield") and Sheffield Investments, Inc.
(the "Distributor"), have entered into an acquisition agreement (the
"Acquisition Agreement") with Signet Banking Corporation and two of its
subsidiaries ("Signet"), dated February 15, 1995, pursuant to which Sheffield
will sell to Signet assets relating to, and the ability to succeed to contracts
with, the Blanchard Funds, including Blanchard Growth & Income Fund and
Blanchard Capital Growth Fund (collectively, the "Funds"). The transactions
contemplated by the Acquisition Agreement which have been approved by the Board
of Trustees of the Funds are conditioned upon the approval of the shareholders
of each Fund, of (1) a new investment management agreement with Signet, (2) a
new distribution agreement with Federated Securities Corp., and (3) certain
other conditions.
No material changes are contemplated in the operation of the Funds and no
management or distribution fee increases are being proposed.
NOTE 4-Shares of Beneficial Interest
Transactions in shares of beneficial interest for the period November 1,
1994 (commencement of operations) through April 30, 1995 were as follows:
<TABLE>
<CAPTION>
Blanchard Growth & Income Fund Blanchard Capital Growth Fund
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Sold .......................................... 872,955 $6,180,060 290,896 $2,003,305
Shares issued in reinvestment of dividends .... 298 2,024 0 0
------- ---------- ------- ----------
873,253 6,182,084 290,896 2,003,305
Repurchased ................................... (334,625) (2,418,741) (78,508) (541,185)
------- ---------- ------- ----------
Net increase ................................ 538,628 $3,763,343 212,388 $1,462,120
======= ========== ======= ==========
</TABLE>
6
<PAGE>
BLANCHARD GROWTH & INCOME FUND
BLANCHARD CAPITAL GROWTH FUND
NOTES TO FINANCIAL STATEMENTS-(continued)
April 30, 1995 (unaudited)
NOTE 5-Financial Highlights
Selected ratios and per share data for a share of beneficial interest
outstanding:
For the Period November 1, 1994* through April 30, 1995 (Unaudited)
<TABLE>
<CAPTION>
Blanchard Blanchard
Growth & Income Capital Growth
Fund Fund
---- ----
<S> <C> <C>
Per Share Operating Performance:
Net asset value, beginning of period................................... $ 7.00 $ 7.00
------ ------
Income from investment operations:
Net investment income (loss)......................................... (.02) (.11)
Net gains or losses on investments (both realized and unrealized).... .40 .33
------ ------
Net income from investment operations............................ .38 .22
------ ------
Less dividends and distributions:
Dividends from investment income-net................................. (.01) -
Distributions from realized gains-net................................ - -
------ ------
Change in net asset value........................................ .37 .22
------ ------
Net asset value, end of period......................................... $ 7.37 $ 7.22
====== ======
Total return(1)........................................................ 5.43% 3.14%
Ratios/Supplemental Data:
Net assets, end of year (000's omitted)........................... $3,970 $1,533
Ratio of expenses to average net assets(2)(3)........................ 4.10% 6.45%
Ratio of net investment loss to average net assets(2)(3)............. (1.10%) (4.81%)
<FN>
- ------------
*Commencement of operations.
(1)Not annualized.
(2)Annualized. Includes expenses of Capital Growth and Growth & Income
Portfolios.
(3)The ratios of expenses to average net assets and net investment income (loss)
to average net assets would have been 4.30% and (1.30%) and 6.63% and
(4.99%), respectively, for the period ended April 30, 1995 if a portion of
the Funds' expenses had not been reimbursed by the Manager. (See note 2).
</FN>
</TABLE>
7
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
SEMI-ANNUAL REPORT
APRIL 30, 1995 (unaudited)
(The following pages should be read in conjunction with the
Blanchard Growth & Income Fund and the Blanchard Capital Growth Fund
Semi-Annual Financial Statements)
8
<PAGE>
CAPITAL GROWTH PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited)
Left Col.
Shares Value
------ -----
LongTerm Investments-84.98%
Common Stock-82.88%
Aerospace-0.47%
Thiokol Corp. ......................... 100,000 $ 2,787,500
*UNC, Inc. ............................. 300,000 1,500,000
-----------
4,287,500
-----------
Agriculture-2.09%
AGCO Corp. ............................ 450,000 16,031,250
Terra Industries, Inc. ................ 250,000 2,781,250
-----------
18,812,500
-----------
Apparel/Textiles-0.50%
Kellwood Co. .......................... 250,000 4,468,750
-----------
Automotive-1.65%
#*Autoliv AB, ADR (Sweden) .............. 20,000 907,173
*Automotive Industries, Class A ........ 75,000 2,006,250
Cummins Engine Inc. ................... 75,000 3,356,250
Echlin, Inc. .......................... 115,000 4,197,500
Masland Corp. ......................... 300,000 4,125,000
Strattec Security Corp. 20,000 232,500
-----------
14,824,673
-----------
Banking-2.09%
BayBanks, Inc. ........................ 75,000 4,687,500
City National Corp. ................... 200,000 2,025,000
*Dime Bancorp, Inc. .................... 200,000 1,925,000
Midlantic Corp., Inc. ................. 50,000 1,825,000
Standard Federal Bank ................. 300,000 8,437,500
-----------
18,900,000
-----------
Broadcasting-0.26%
*People's Choice TV Corp. .............. 50,000 1,425,000
*Preferred Entertainment, Inc. ......... 50,000 900,000
-----------
2,325,000
-----------
Chemicals-2.04%
Cambrex Corp. ......................... 35,000 1,194,375
Hanna (M.A.) Co. ...................... 150,000 3,731,250
*Material Sciences Corp. ............... 250,000 4,531,250
Mississippi Chemical .................. 152,700 2,901,300
The Geon Company ...................... 125,000 3,375,000
Wellman Inc. .......................... 100,000 2,700,000
-----------
18,433,175
-----------
Computer Software-2.95%
*American Management
Systems, Inc. ........................ 300,000 6,337,500
Autodesk, Inc. ........................ 70,000 2,380,000
*Computer Sciences Corp. ............... 70,000 3,456,250
*FileNet Corp. ......................... 100,000 3,350,000
*Hummingbird Communications Ltd. ....... 42,500 998,750
Reynolds & Reynolds, Inc. ............. 381,600 10,112,400
-----------
26,334,900
-----------
Computers/Computer Hardware-2.61%
*Amdahl Corp. .......................... 250,000 2,968,750
Comdisco, Inc. ........................ 400,000 11,250,000
*Cornerstone Imaging, Inc. ............. 50,000 781,250
*SCI Systems, Inc. ..................... 200,000 4,075,000
*Solectron Corp. ....................... 150,000 4,406,250
-----------
23,481,250
-----------
Right Col.
Shares Value
------ -----
Construction Materials-2.20%
Armstrong World Industries Inc. ....... 75,000 $ 3,412,500
*Dravo Corp. ........................... 277,100 3,740,850
*Manville Corp. ........................ 450,000 5,231,250
PlyGem Industries, Inc. ............... 100,500 1,670,812
Texas Industries Inc. ................. 150,000 5,643,750
-----------
19,699,162
-----------
Consumer Products-6.04%
Black & Decker Corp. .................. 250,000 7,500,000
Brunswick Corp. ....................... 175,000 3,740,625
Danaher Corp. ......................... 300,000 8,925,000
*Fieldcrest Cannon, Inc. ............... 200,000 4,425,000
First Brands Corp. .................... 100,000 3,850,000
Fleetwood Enterprises, Inc. ........... 300,000 6,900,000
Herman Miller, Inc. ................... 80,000 1,595,000
Lancaster Colony Corp. ................ 210,000 7,297,500
Leggett & Platt Inc. .................. 100,000 3,850,000
Rival Co. ............................. 125,000 2,000,000
Toro Co. .............................. 150,000 4,331,250
-----------
54,414,375
-----------
Electronics-8.13%
*Analog Devices, Inc. .................. 125,000 3,359,375
*Arrow Electronics, Inc. ............... 150,000 6,975,000
*Cypress Semiconductor Corp. ........... 150,000 4,537,500
Harman International Industries, Inc. . 100,000 3,650,000
*Integrated Device Technology, Inc. .... 242,500 9,245,312
*Lam Research Corp. .................... 200,000 10,100,000
Linear Technology Corp. ............... 50,000 2,987,500
*Marshall Industries ................... 175,000 4,834,375
*Microchip Technology, Inc. ............ 100,000 2,825,000
*Silicon Valley Group, Inc., ........... 110,000 3,190,000
Tektronix Inc. ........................ 100,000 4,550,000
*Teradyne Inc, ......................... 125,000 6,328,125
Vishay Intertechnology, Inc. .......... 65,000 3,843,125
Watkins-Johnson ....................... 50,000 1,981,250
*Xilinx, Inc. .......................... 65,000 4,988,750
-----------
73,395,312
-----------
Entertainment-0.42%
Arctco, Inc. .......................... 150,000 2,137,500
*Integrity Music, Inc., Class A ........ 250,000 1,625,000
-----------
3,762,500
-----------
Financial Services-2.09%
Advanta Corp. ......................... 100,000 3,475,000
Countrywide Credit Industries, Inc. ... 100,000 1,837,500
Green Tree Financial Corp. ............ 250,000 10,218,750
*National Auto Credit, Inc. ............ 300,000 3,300,000
-----------
18,831,250
-----------
Food/Beverage-1.44%
Hudson Foods .......................... 300,000 5,175,000
IBP, Inc. ............................. 200,000 7,400,000
John B. Sanfilippo & Sons ............. 50,000 481,250
-----------
13,056,250
-----------
Health Care-5.86%
Beckman Instruments, Inc. ............. 200,000 5,450,000
*Beverly Enterprises ................... 450,000 6,468,750
*FHP International Corp. ............... 500,000 11,875,000
*Health Care & Retirement Corp. ........ 75,000 2,118,750
*HealthCare COMPARE .................... 375,000 11,273,437
*Homedco Group, Inc. ................... 75,000 4,293,750
Manor Care, Inc. ...................... 100,000 2,937,500
*Physician Corp. of America ............ 200,000 3,575,000
*Sybron International Corp. ............ 130,000 4,826,250
-----------
52,818,437
-----------
9
<PAGE>
CAPITAL GROWTH PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited) (continued)
Left Col.
Shares Value
------ -----
Home Building-0.35%
Oakwood Homes Corp. ................... 125,000 $ 3,125,000
-----------
Insurance-3.76%
#ACE, Ltd. ............................. 250,000 6,625,000
*Mid Ocean, Ltd. (Bermuda) ............. 175,000 5,009,375
PartnerRe Holdings, Ltd. .............. 50,000 1,150,000
PXRE Corp. ............................ 103,500 2,509,875
Reliastar Financial Corp. ............. 300,000 10,762,500
SunAmerica, Inc. ...................... 100,000 4,900,000
USF&G Corp. ........................... 200,000 2,950,000
-----------
33,906,750
-----------
Manufacturing-7.50%
Albany International .................. 150,000 3,281,250
Blount, Inc. .......................... 75,000 3,346,875
Briggs & Stratton Corp. ............... 100,000 3,512,500
Case Corp. ............................ 58,500 1,484,438
*Clark Equipment Co. ................... 50,000 4,275,000
Commercial Intertech Corp. ............ 75,000 1,659,375
Duriron, Inc. ......................... 150,000 3,253,125
*Elsag Bailey Process Automation N.V. .. 100,000 2,575,000
Furon Co. ............................. 125,000 2,515,625
JLG Industries, Inc. .................. 100,000 2,000,000
Johnson Controls ...................... 65,000 3,526,250
Kennametal Inc. ....................... 280,000 9,380,000
Mark IV Industries .................... 315,000 5,670,000
Modine Manufacturing Co. .............. 225,000 7,621,875
NACCO Industries, Inc. Class A ........ 100,000 5,537,500
*Simpson Manufacturing, Inc. ........... 50,000 531,250
*Varity Corp. .......................... 175,000 7,393,750
-----------
67,563,813
-----------
Metals/Mining-0.97%
Amcast Industrial Corp. ............... 300,000 6,000,000
Cleveland Cliffs, Inc. ................ 75,000 2,746,875
-----------
8,746,875
Oil & Gas-8.77%
Ashland Inc. .......................... 300,000 11,100,000
#Diamond Shamrock ...................... 500,000 13,437,500
Noble Affiliates ...................... 50,000 1,350,000
Panhandle Eastern Corp. ............... 200,000 4,800,000
*Smith International ................... 595,000 10,263,750
Sonat Offshore Drilling, Inc. ......... 100,000 2,700,000
Total Petroleum of North America ...... 1,000,000 12,500,000
*Triton Energy Corp. ................... 200,000 7,700,000
Union Texas Petroleum Holdings ........ 350,000 7,481,250
*Weatherford International ............. 700,000 7,700,000
-----------
79,032,500
-----------
Packaging-0.38%
Ball Corp. ............................ 100,000 3,425,000
Publishing-0.67%
Houghton Mifflin Co. .................. 125,000 6,015,625
Real Estate Investment Trust-3.13%
Avalon Properties, Inc. ............... 200,000 3,925,000
Bay Apartment Communities ............. 150,000 2,700,000
Developers Diversified Realty ......... 50,000 1,375,000
Evans Withycombe Residential, Inc. .... 150,000 2,812,500
Home Properties of New York, Inc. ..... 222,400 4,003,200
Liberty Property Trust ................ 200,000 3,725,000
Oasis Residential, Inc. ............... 200,000 4,375,000
ROC Communities, Inc. ................. 100,000 2,012,500
Storage Trust Realty .................. 100,000 2,037,500
Walden Residential Properties, Inc. ... 65,000 1,251,250
-----------
28,216,950
-----------
Right Col.
Shares Value
------ -----
Retailing-6.57%
*Ann Taylor Stores ..................... 100,000 $ 2,512,500
Baker (J.), Inc. ...................... 400,000 5,000,000
Big B, Inc. ........................... 212,000 3,074,000
*Caldor, Inc. .......................... 425,000 8,234,375
Casey's General Stores, Inc. .......... 225,000 3,881,250
Circuit City Stores, Inc. ............. 75,000 1,940,625
Dillard Department Stores, Inc.,
Class A .............................. 300,000 7,762,500
*Ethan Allen Interiors, Inc. ........... 550,000 10,312,500
*MacFrugals Bargains Close Outs, Inc. .. 300,000 4,425,000
Mercantile Stores ..................... 200,000 8,850,000
*Revco D.S., Inc. ...................... 150,000 3,225,000
-----------
59,327,750
-----------
Services-0.31%
Manpower Inc. ......................... 25,000 834,375
PHH Corp. ............................. 50,000 2,012,500
-----------
2,846,875
-----------
Shipping/Transportation-3.97%
Alexander & Baldwin Inc., ............. 150,000 3,318,750
Consolidated Freightways .............. 350,000 8,925,000
GATX Corp. ............................ 250,000 11,250,000
Pittston Services Group ............... 125,000 2,968,750
Rollins Truck Leasing Corp. ........... 300,000 3,300,000
XTRA Corp. ............................ 125,000 6,031,250
-----------
35,793,750
-----------
Steel-1.04%
*LTV Corp. ............................. 650,000 9,262,500
*Webco Industries, Inc. ................ 10,000 80,000
-----------
9,342,500
-----------
Telecommunications-0.90%
*DSC Communications Corp. .............. 100,000 3,700,000
*Nextel Communications Inc.
Class A, ............................. 200,000 3,225,000
Scientific Atlanta, Inc. .............. 50,000 1,137,500
-----------
8,062,500
-----------
Utilities-3.67%
CINergy Corp. ......................... 200,000 5,025,000
CMS Energy Corp. ...................... 400,000 9,350,000
DQE ................................... 200,000 6,750,000
Eastern Utilities Associates .......... 500,000 11,937,500
-----------
33,062,500
-----------
Wholesaling-0.05%
Ellett Brothers, Inc. ................. 50,000 425,000
Total Common Stock
(Cost $697,144,542) .................. 746,928,422
-----------
Convertible Preferred Stock-0.06%
Electronics-0.00%
Comptronix, Ser. A, 6.0% .............. 3,649 7,299
-----------
Oil & Gas-0.02%
Noble Drilling Corp., $2.25 ........... 5,000 180,000
-----------
Telecommunications-0.04%
LCI International, Inc., 5% ........... 10,000 341,250
-----------
Total Convertible Preferred Stock
(Cost $375,000) ...................... 528,549
-----------
Warrants-
Oil & Gas-0.03%
BJ Services Co., Expires 4/13/00,
strike price, $30.00 (Cost $600) ..... 60,000 285,000
-----------
10
<PAGE>
CAPITAL GROWTH PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited) (continued)
Left Col.
Principal Value
--------- -----
Convertible Corporate Bonds-0.69%
Computers/Computer Hardware-0.03%
Quantum Corp., 6.375%,
due 4/01/02 .......................... $250,000 $ 270,000
-----------
Health Care-0.00%
Surgical Laser Technology, Inc.,
8.00%, due 7/30/99 ................... 3,033 1,820
-----------
Manufacturing-0.36%
ICN Pharmaceutical, 8.50%,
due 11/15/99 ......................... 3,000,000 2,977,500
-----------
Shuler Homes, 6.50%,
due 1/15/03 .......................... 300,000 224,250
-----------
3,201,750
-----------
Restaurants/Food Services-0.10%
Boston Chicken, 4.50%,
due 2/01/04 .......................... 1,000,000 842,500
Flagstar Companies, Inc., 10.00%,
due 11/01/14 ......................... 100,000 70,034
-----------
912,534
-----------
Tire & Rubber-0.20%
Titan Wheel International, 4.75%,
due 12/01/00 ......................... 1,500,000 1,805,025
-----------
Total Convertible Corporate
Bonds (Cost $6,076,283) .............. 6,191,129
-----------
Variable Rate Notes-1.32%
#Goldman Sachs Variable Rate Note,
6.55%, due 7/01/96,
(Cost $12,000,000) .................... 12,000,000 11,934,000
-----------
Total Long-Term Investments
(Cost $715,596,425)............................ 765,867,100
-----------
Right Col.
Principal Value
--------- -----
Short-Term Investments-14.81%
Commercial Paper-14.81%
Banking-4.43%
Bank of Nova Scotia, 5.97%,
due 5/25/95 ......................... $20,000,000 $19,920,400
Fuji Bank of New York, 6.13%,
due 5/23/95 ......................... 20,000,000 20,002,335
-----------
39,922,735
-----------
Finance-8.16%
Household Finance Corp., 5.853%,
due 5/01/95 .......................... 53,531,000 53,531,000
National Australia Funding, Inc.,
5.96%, due 5/05/95 ................... 20,000,000 19,986,756
-----------
73,517,756
-----------
Retail-2.22%
WalMart Stores, 5.95%,
due 5/03/95 .......................... 20,000,000 19,993,389
-----------
Total Short-Term Investments
(Cost $133,433,880) ........................... 133,433,880
-----------
Total Investments-99.79%
(Cost $849,030,305) ........................... $899,300,980
============
ADR = American Depository Receipts.
# = Security may only be sold to qualified institutional investors.
See notes to financial statements.
11
<PAGE>
GROWTH AND INCOME PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited)
Left Col.
Shares Value
------ -----
Long-Term Investments-83.00%
Common Stock-70.38%
Aerospace-3.10%
Allied Signal, Inc. ................... 250,000 $ 9,906,250
Lockheed Martin Corp. ................. 122,250 7,059,938
Loral Corp. ........................... 200,000 9,400,000
Rockwell International ................ 50,000 2,181,250
Sundstrand Corp. ...................... 100,000 5,550,000
United Technologies Corp. 250,000 18,281,250
-----------
-----------
Agriculture-0.85%
AGCO Corp. ............................ 175,000 6,234,375
Deere & Co. ........................... 100,000 8,200,000
-----------
14,434,375
-----------
Apparel/Textiles-0.26%
*Fieldcrest Cannon, Inc. ............... 25,000 553,125
V.F. Corp. ............................ 75,000 3,787,500
-----------
4,340,625
-----------
Automotive-2.02%
Chrysler Corp. ........................ 150,000 6,468,750
Dana Corp. ............................ 300,000 7,725,000
Echlin, Inc. .......................... 300,000 10,950,000
General Motors ........................ 200,000 9,025,000
-----------
34,168,750
-----------
Banking-2.59%
Bank of New York ...................... 300,000 9,862,500
Citicorp .............................. 375,000 17,390,625
First Union Corp. ..................... 200,000 9,050,000
NationsBank Corp. ..................... 150,000 7,500,000
-----------
43,803,125
-----------
Broadcasting-0.55%
CBS, Inc. ............................. 145,075 9,302,804
-----------
Chemicals-1.89%
duPont (EI) de Nemours ................ 300,000 19,762,500
*FMC Corp. ............................. 75,000 4,603,125
Union Carbide Corp. ................... 235,000 7,520,000
-----------
31,885,625
-----------
Computer Software-0.85%
Computer Associates International ..... 150,000 9,656,250
Reynolds & Reynolds, Inc., Class A .... 175,000 4,637,500
-----------
14,293,750
-----------
Computers/Computer Hardware-2.01%
Comdisco, Inc. ........................ 180,000 5,062,500
*Compaq Computer ....................... 525,000 19,950,000
*Sun Microsystems, Inc. ................ 225,000 8,971,875
-----------
33,984,375
-----------
Consumer Products-3.30%
Brunswick Corp. ....................... 325,000 6,946,875
Black & Decker Corp. .................. 240,000 7,200,000
First Brands Corp. .................... 85,000 3,272,500
Philip Morris Companies, Inc. ......... 125,000 8,468,750
Premark International, Inc. ........... 146,700 7,078,275
RJR Nabisco Holdings Corp. ............ 200,000 5,475,000
Shaw Industries ....................... 195,000 2,559,375
Toro Co. .............................. 120,000 3,465,000
Whirlpool Corp. ....................... 205,000 11,223,750
-----------
55,689,525
-----------
Right Col.
Shares Value
------ -----
Diversified-0.67%
Textron, Inc. ......................... 200,000 $ 11,400,000
Electronics-5.73%
*Analog Devices, Inc. .................. 200,000 5,375,000
*Arrow Electronics, Inc. ............... 150,000 6,975,000
Eaton Corp. ........................... 325,000 18,646,875
*General Instrument Corp. .............. 450,000 15,356,250
General Motors Class H ................ 300,000 11,737,500
*Integrated Device Technology, Inc. .... 100,000 3,812,500
National Semiconductor Corp. .......... 300,000 6,862,500
Texas Instruments ..................... 175,099 18,560,494
*Xilinx, Inc. .......................... 125,000 9,593,750
-----------
96,919,869
-----------
Entertainment-0.33%
*Viacom, Inc. Class B .................. 121,230 5,561,426
-----------
Financial Services-1.20%
American Express ...................... 200,000 6,950,000
Dean Witter, Discover & Co. ........... 107,806 4,568,279
Federal National Mortgage Assoc. ...... 100,000 8,825,000
-----------
20,343,279
-----------
Food/Beverage-2.22%
Coca-Cola Enterprises, Inc. ........... 300,000 6,712,500
ConAgra, Inc. ......................... 225,000 7,481,250
IBP, Inc. ............................. 140,000 5,180,000
PepsiCo., Inc. ........................ 300,000 12,487,500
Pioneer Hi-Bred International ......... 150,000 5,625,000
-----------
37,486,250
-----------
Health Care-2.14%
Baxter International Inc. ............. 500,000 17,375,000
FHP International Corp. ............... 200,000 4,750,000
Manor Care, Inc. ...................... 125,000 3,671,875
*National Medical Enterprises .......... 350,000 5,950,000
U.S. HealthCare, Inc. ................. 162,600 4,349,650
-----------
36,096,425
-----------
Home Building-0.38%
*Owens Corning Fiberglass Corp. ........ 175,000 6,409,375
-----------
Insurance-4.90%
American General Corp. ................ 416,300 13,737,900
American International Group .......... 170,000 18,147,500
Cigna Corp. ........................... 125,000 9,078,125
General Re Corp. ...................... 60,000 7,642,500
Kemper Corp. .......................... 200,000 9,050,000
*Mid Ocean, Ltd. (Bermuda) ............. 120,000 3,390,000
Reliastar Financial Corp. ............. 140,000 5,022,500
Transamerica Corp. .................... 150,000 8,493,750
Travelers, Inc. ....................... 200,000 8,275,000
-----------
82,837,275
-----------
Manufacturing-2.30%
Case Corp. ............................ 330,000 8,373,750
Johnson Controls ...................... 200,000 10,850,000
Mark IV Industries .................... 157,500 2,835,000
*Varity Corp. .......................... 400,000 16,900,000
-----------
38,958,750
-----------
Metals/Mining-1.50%
Cyprus Amax Minerals Co. .............. 300,000 8,362,500
*Phelps Dodge Corp. .................... 300,000 16,987,500
-----------
25,350,000
-----------
12
<PAGE>
GROWTH AND INCOME PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited) (continued)
Left Col.
Shares Value
------ -----
Oil & Gas-6.50%
Amoco Corp. ........................... 200,000 $ 13,125,000
Ashland Inc. .......................... 330,000 12,210,000
British Petroleum PLC, ADR
(United Kingdom) ..................... 75,000 6,459,375
Halliburton Company ................... 325,000 12,471,875
Mobil Corp. ........................... 125,000 11,859,375
Panhandle Eastern Corp. ............... 200,000 4,800,000
Phillips Petroleum Co. ................ 400,000 14,000,000
*Smith International ................... 194,200 3,349,950
Tenneco Inc. .......................... 150,000 6,881,250
*Triton Energy Corp. ................... 250,000 9,625,000
Ultramar Corp. ........................ 200,000 5,225,000
Williams Companies, Inc. .............. 300,000 9,862,500
-----------
-----------
Paper/Forest Products-2.34%
Fort Howard Corp. ..................... 400,000 5,100,000
Georgia Pacific ....................... 100,000 7,937,500
Mead Corp. ............................ 170,000 8,797,500
Willamette Industries ................. 345,000 17,681,250
-----------
39,516,250
-----------
Pharmaceuticals-1.53%
Allergan Inc. ......................... 150,000 4,068,750
Schering-Plough Corp. ................. 140,000 10,552,500
Upjohn Company ........................ 200,000 7,250,000
Warner-Lambert Co. .................... 50,000 3,987,500
-----------
25,858,750
-----------
Photographic Equipment-0.44%
Eastman Kodak Co. ..................... 130,000 7,475,000
Pollution Control-0.49%
Browning Ferris Industries, Inc. ...... 250,000 8,250,000
Publishing-1.36%
Harcourt General, Inc. ................ 200,000 8,175,000
The News Corporation, Ltd. ADR
(Australia) .......................... 300,000 5,850,000
Tribune Co. ........................... 150,000 8,868,750
-----------
22,893,750
-----------
Real Estate Investment Trust-0.01%
General Growth Properties ............. 12,100 245,025
Retailing-5.14%
American Stores ....................... 725,000 18,578,125
*Caldor, Inc. .......................... 200,000 3,875,000
Circuit City Stores, Inc. ............. 350,000 9,056,250
Dayton Hudson Corp. ................... 250,000 16,781,250
*Kroger Co. ............................ 200,000 5,100,000
May Department Stores ................. 475,000 17,218,750
Sears Roebuck & Co. ................... 300,000 16,275,000
-----------
86,884,375
-----------
Shipping and Transportation-3.80%
Alexander & Baldwin Inc., ............. 130,000 2,876,250
Burlington Northern, Inc. ............. 140,000 8,330,000
Consolidated Railway, Inc. ............ 200,000 10,925,000
CSX Corp. ............................. 200,000 15,925,000
*Federal Express Corp. ................. 100,000 6,800,000
Ryder System .......................... 300,000 7,012,500
*Southern Pacific Rail Corp. ........... 150,000 2,606,250
XTRA Corp. ............................ 200,000 9,650,000
-----------
64,125,000
-----------
Right Col.
Shares Value
------ -----
Steel-1.20%
*LTV Corp. ............................. 300,000 $ 4,275,000
USX-US Steel Group, Inc. .............. 525,000 16,012,500
-----------
20,287,500
-----------
Telecommunications-3.60%
AT&T Corp. ............................ 225,000 11,418,750
Frontier Corp. ........................ 200,000 4,025,000
GTE Corp. ............................. 500,000 17,062,500
MCI Communications .................... 190,000 4,132,500
Sprint Corp. .......................... 275,000 9,075,000
*Tele-Communications, Class A .......... 350,000 6,693,750
U S West, Inc. ........................ 200,000 8,275,000
-----------
60,682,500
-----------
Tire & Rubber-0.45%
Goodyear Tire & Rubber, lnc. .......... 200,000 7,600,000
-----------
Utilities-4.73%
CINergy Corp. ......................... 200,000 5,025,000
CMS Energy Corp. ...................... 500,000 11,687,500
DQE ................................... 100,000 3,375,000
Eastern Utilities Associates .......... 200,000 4,775,000
Florida Progress Corp. ................ 300,000 9,150,000
FPL Group Inc. ........................ 285,000 10,473,750
General Public Utilities .............. 150,000 4,275,000
Oklahoma Gas & Electric Co. ........... 150,000 5,156,250
PECO Energy Co. ....................... 324,100 8,345,575
Pinnacle West Capital Corp. ........... 700,000 15,050,000
*Tele Danmark ADS, ADS
(Denmark) ............................ 100,000 2,625,000
-----------
79,938,075
-----------
Total Common Stock
(Cost $1,087,094,137) ................ 1,189,269,841
-------------
Equity Linked Securities-0.80%
Financial Services-0.80%
Salomon, Inc.
6.50% Amgen, Inc. .................... 100,000 5,825,000
Salomon, Inc.
5.25% Hewlett-Packard ................ 82,000 7,759,250
-----------
Total Equity Linked Securities
(Cost $11,162,750) ................... 13,484,250
-----------
Convertible Preferred Stock-3.48%
Automotive-0.42%
Ford Motor Co., Ser. A, 8.4% .......... 80,000 7,050,000
-----------
Banking/Finance-0.24%
BankAmerica Corp., 6.5% ............... 75,000 4,078,125
-----------
Computers/Computer Hardware-0.69%
Ceridian Corp., 5.5% .................. 150,000 11,700,000
-----------
Health Care-0.32%
FHP International Corp., Ser. A,
5.0% ................................. 225,000 5,315,625
-----------
Oil & Gas-0.86%
#Diamond Shamrock, 5.0% ................ 120,000 6,615,000
Occidental Petroleum, $3.00 ........... 140,000 7,980,000
-----------
14,595,000
-----------
Publishing-0.21%
The News Corporation ADR,
$.11 (Australia) ..................... 200,000 3,600,000
-----------
13
<PAGE>
GROWTH AND INCOME PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited) (continued)
Left Col.
Shares Value
------ -----
Shipping and Transportation-0.49%
Delta Airlines, Ser. C, $3.50 ......... 150,000 $ 8,212,500
-----------
Steel-0.25%
WHX Corp., Ser. B. $3.75 .............. 100,000 4,200,000
-----------
Total Convertible Preferred Stock
(Cost $53,175,090) ................... 58,751,250
-----------
Stock Rights-0.02%
Entertainment-0.02%
Viacom, Inc. expires 9/25/95
(Cost $0.0) .......................... 200,000 252,500
-----------
Principal
---------
Floating Rate Notes-1.47%
Financial Services-1.47%
#Goldman Sachs Variable Rate,
6.55%, due 5/04/95,
(Cost $25,000,000) ...................$25,000,000 24,862,500
-----------
Convertible Corporate Bond-5.98%
Consumer- 0.62%
#Grand Metropoliton Placing,
6.60%, due 1/31/00 .................... 9,500,000 10,396,800
-----------
Financial Services-0.35%
First Financial Management,
5.00%, due 12/15/99 .................. 5,000,000 5,967,950
-----------
Health Care-0.20%
#Theratx Inc., 8.00%, due 2/01/02 ...... 3,800,000 3,431,856
-----------
Insurance-0.68%
#Aegon NV, 4.75%, due 11/01/04,
(Netherlands) ........................ 10,000,000 11,525,000
-----------
Manufacturing-0.53%
#3 Com Corp., 10.25%,
due 11/01/01 .......................... 7,750,000 8,896,845
-----------
Metals/Mining-0.62%
Coeur D'Alene Mines Corp., 6.00%,
due 6/01/02 .......................... 5,000,000 4,587,500
-----------
Freeport McMoran, 6.55%,
due 1/15/01 .......................... 6,500,000 5,934,825
-----------
10,522,325
-----------
Oil & Gas-0.32%
#Apache Corp., 6.00%, due 1/15/02 ...... 5,000,000 5,396,500
-----------
Paper/Forest Products-0.20%
International Paper Co., 5.75%,
due 9/23/02 .......................... 3,000,000 3,348,630
-----------
Pharmaceuticals-0.45%
#Ciba-Geigy AG, 6.25%, due 3/15/16,
(Switzerland) ........................ 3,000,000 2,760,000
-----------
ICN Pharmaceuticals, 8.50%,
due 11/15/99 ......................... 5,000,000 4,962,500
-----------
7,722,500
-----------
Right Col.
Principal Value
--------- -----
Publishing-0.91%
Time Warner, Inc., 8.75%,
due 1/10/15 ..........................$15,250,000 $ 15,364,375
-----------
Restaurants/Food Services-0.30%
Boston Chicken, 4.50%,
due 2/01/04 .......................... 6,000,000 5,055,000
-----------
Retailing-0.23%
Hechinger Co., 5.50%, due 4/01/12 ..... 1,600,000 1,062,000
Waban Inc., 6.50%, due 7/01/02 ........ 3,000,000 2,767,500
-----------
3,829,500
-----------
Shipping/Transportation-0.57%
AMR. Corp., 6.13%, due 11/01/24 ....... 10,000,000 9,645,200
-----------
Total Convertible Corporate Bonds
(Cost $95,512,186) ................... 101,102,481
-----------
U.S. Government Obligation-0.87%
@U.S. Treasury Bond, 9.25%, due
2/15/16, (Cost $14,430,500) .......... 12,400,000 14,740,500
-----------
Total Long Term Investments
(Cost $1,286,374,663) ................ 1,402,573,322
-------------
ShortTerm Investments-17.16%
U.S. Government Obligations-0.53%
U.S. Treasury Bill, 5.66%, due
5/25/95 (Cost $8,966,040) ............ 9,000,000 8,966,040
-----------
Commercial Paper-12.49%
Banking-6.20%
Bank of Nova Scotia, 5.97%,
due 5/25/95 .......................... 35,000,000 34,860,700
Barclays U.S Funding Corp., 5.95%,
due 5/30/95 .......................... 35,000,000 34,832,243
Fuji Bank of New York, 6.08%,
due 6/05/95 .......................... 35,000,000 35,002,778
-----------
104,695,721
-----------
Finance-6.29%
Federal Home Loan Bank, 5.87%,
due 6/26/65 .......................... 35,000,000 34,680,411
Greenwich Asset Funding, 6.02%,
due 5/08/95 .......................... 35,000,000 34,959,031
Household Finance Corp., 5.85%,
due 5/01/95 .......................... 36,727,000 36,727,000
-----------
106,366,442
-----------
Total Commercial Paper
(Cost $211,062,163) .................. 211,062,163
-----------
Time Deposits-4.14%
Sanwa Bank, 6.07%, due 5/15/95 ........ 35,000,000 35,000,974
Sumitomo Bank, 6.18%,
due 5/08/95 .......................... 35,000,000 35,000,000
-----------
Total Time Deposits
(Cost $70,000,974) ................... 70,000,974
-----------
Total Short-term Investments
(Cost $290,029,177) .................. 290,029,177
-----------
Total Investments-100.16%
(Cost $1,576,403,840) ................ $1,692,602,499
==============
14
<PAGE>
GROWTH AND INCOME PORTFOLIO-PORTFOLIO OF INVESTMENTS
April 30, 1995 (unaudited) (continued)
Number Original Nominal
Expiration of Nominal Value at
Description (A) Date Contracts Value 4/30/95
- -------------------------------------------------------------------------------
S&P 500 Index ...... June 1995 235 $ 57,436,366 $ 60,718,125
S&P Index .......... June 1995 200 48,887,014 51,675,000
--------------------------------
$106,323,380 $112,393,125
(A) One contract equals 500 shares.
ADS = American Depository Shares
ADR = American Depository Receipt
# = Security may only be sold to qualified institutional investors.
* = Nonincome producing security.
@ = A portion of this security is pledged to cover financial
futures contracts.
See notes to financial statements.
15
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
April 30, 1995 (unaudited)
Growth & Income Capital Growth
Portfolio Portfolio
--------- ---------
Assets:
Investment securities, at value (Note 1) ....... $1,692,602,499 $899,300,980
Cash ........................................... 546 780
Receivable for investment securities sold ...... 5,223,400 15,544,177
Dividends and interest receivable .............. 4,761,540 941,724
Unamortized organization costs (Note 1) ........ 28,024 28,024
Variation margin receivable on futures contracts 315,375 0
Other assets ................................... 0 26,895
-------------- ------------
Total Assets ................................ 1,702,931,384 915,842,580
-------------- ------------
Liabilities:
Payable for investment securities purchased .... 12,347,350 14,153,520
Accrued liabilities:
Advisory fees (Note 2) ........................ 551,326 288,309
Administration fees (Note 2) .................. 68,916 36,039
Organization costs payable .................... 40,000 40,000
Other accrued expenses ........................ 63,030 96,764
-------------- ------------
Total Liabilities ........................... 13,070,622 14,614,632
-------------- ------------
Net Assets Applicable to Investors' Beneficial
Interests ...................................... $1,689,860,762 $901,227,948
============== ============
Cost of investments ............................. $1,576,403,840 $849,030,305
============== ============
See notes to financial statements.
16
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
STATEMENT OF OPERATIONS
For the period November 1, 1994 through April 30, 1995 (unaudited)
<TABLE>
<CAPTION>
Growth & Income Capital Growth
Portfolio Portfolio
--------- ---------
<S> <C> <C>
Investment Income:
Interest ...................................................... $ 14,400,083 $ 3,327,211
Dividends ..................................................... 13,907,688 5,029,814
Foreign taxes withheld ........................................ (46,464) 0
------------ -----------
Total investment income ................................... 28,261,307 8,357,025
------------ -----------
Expenses:
Advisory fees (Note 2) ........................................ 3,143,965 1,534,427
Administration fees (Note 2) .................................. 392,996 191,803
Professional fees ............................................. 34,712 39,542
Sub-custodian fees (Note 2) ................................... 36,696 36,696
Custodian fees ................................................ 55,019 41,541
Trustee fees .................................................. 2,480 4,980
Miscellaneous expense ......................................... 24,329 26,722
Amortization of organization costs (Note 1) ................... 3,962 3,962
------------ -----------
Total expenses ........................................... 3,694,159 1,879,673
------------ -----------
Net investment income .................................... 24,567,148 6,477,352
------------ -----------
Realized and Unrealized Gain (Loss):
Net realized gain (loss) on:
Investments ..................................................... 14,273,925 15,584,891
Futures transactions ............................................ 1,641,428 0
------------ -----------
Net realized gain ........................................ 15,915,353 15,584,891
------------ -----------
Change in unrealized appreciation/depreciation on:
Investments ................................................... 55,317,211 27,984,403
Futures contracts ............................................. 6,474,792 0
------------ -----------
Change in net unrealized appreciation/depreciation ....... 61,792,003 27,984,403
------------ -----------
Net realized and unrealized gain (loss).......................... 77,707,356 43,569,294
------------ -----------
Net increase (decrease) in net assets resulting from operations . $102,274,504 $50,046,646
============ ===========
<FN>
- ---------------
*Commencement of operations
</FN>
</TABLE>
See notes to financial statements.
17
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
For the Periods Indicated (unaudited)
<TABLE>
<CAPTION>
Growth & Income Capital Growth
Portfolio Portfolio
---------------------------------- --------------------------------
11/1/94 11/29/93* 11/1/94 11/29/93*
Through Through Through Through
4/30/95 10/31/94 4/30/95 10/31/94
-------------- -------------- ------------ ------------
<S> <C> <C> <C> <C>
Increase (Decrease) in Net Assets:
From Operations:
Net investment income............ $ 24,567,148 $ 30,288,120 $ 6,477,352 $ 5,544,732
Net realized gain (loss) on
investment and futures.......... 15,915,353 (4,034,603) 15,584,891 14,244,098
Change in net unrealized
appreciation/depreciation on
investments and futures......... 61,792,003 9,175,252 27,984,403 4,750,804
-------------- -------------- ------------ ------------
Increase in net assets
resulting from operations.... 102,274,504 35,428,769 50,046,646 24,539,634
-------------- -------------- ------------ ------------
Transactions in Investors'
Beneficial Interests:
Contributions.................... 289,620,716 1,858,407,526 627,247,183 1,071,735,107
Withdrawals...................... (287,553,758) (308,316,995) (473,227,808) (399,112,814)
-------------- -------------- ------------ ------------
Net increase from transactions in
investor's beneficial interests.. 2,066,958 1,550,090,531 154,019,375 672,622,293
-------------- -------------- ------------ ------------
Net increase in net assets......... 104,341,462 1,585,519,300 204,066,021 697,161,927
Net Assets:
Beginning of period.............. 1,585,519,300 0 697,161,927 0
-------------- -------------- ------------ ------------
End of period.................... $1,689,860,762 $1,585,519,300 $901,227,948 $697,161,927
============== ============== ============ ============
</TABLE>
See notes to financial statements.
18
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
April 30, 1995 (unaudited)
NOTE 1-Organization and Significant Accounting Policies:
Growth and Income Portfolio ("GIP") and Capital Growth Portfolio ("CGP) (the
"Portfolio") are separately registered under the Investment Company Act of 1940,
as amended, as non-diversified, open end management investment companies
organized as trusts under the laws of the State of New York, USA. Each
declaration of trust permits the Trustees to issue beneficial interests in the
respective Portfolios. The GIP and CGP Portfolios commenced operations on
November 29, 1993.
The following is a summary of significant accounting policies followed by
the Portfolio:
A. Valuation of Investments- Equity securities are valued at the last sale
price on the exchange on which they are primarily traded, including the NASDAQ
National Market. Securities for which last sale prices are not available and
other over-the-counter securities are valued at the last quoted bid price. Bonds
and other fixed income securities (other than short-term obligations), including
listed issues, are valued on the basis of valuations furnished by a pricing
service. In making such valuations, the pricing service utilizes both
dealer-supplied valuations and electronic data processing techniques that take
into account appropriate factors such as institutional-sized trading in similar
groups of securities, yield, quality, coupon rate, maturity, type of issue,
trading characteristics and other market data, without exclusive reliance upon
quoted prices. Short-term obligations are valued at amortized cost if acquired
with fewer than 61 days to maturity, or at value until the 61st day prior to
maturity and thereafter by amortizing the value on the 61st day to par at
maturity. Options and futures contracts are valued at the last sale price on the
exchange on which they are principally traded. Portfolio securities for which
there are no such quotations or valuations are valued at fair value as
determined in good faith by or at the direction of the Trustees.
B. Security Transactions and Investment Income-Investment transactions are
accounted for on the trade date (the date the order to buy or sell is executed).
Securities gains and losses are calculated on the identified cost basis.
Interest income is determined on the basis of coupon interest accrued, adjusted
for amortization of premiums and accretion of discounts. Dividend income is
recorded on the ex-dividend date.
C. Repurchase agreements-It is the Portfolios' policy that all repurchase
agreements are fully collateralized by U.S. Treasury and Government agency
securities. All collateral is held by the Trust's custodian bank, sub-custodian
or a bank with which the custodian bank has entered into a sub-custodian
agreement or is segregated in the Federal Reserve Book Entry System. In
connection with transactions in repurchase agreements, if the seller defaults
and the value of the collateral declines, or if the seller enters into an
insolvency proceeding, realization of the collateral by the Trust may be delayed
or limited.
D. Futures contracts-Upon entering into a futures contract, a Portfolio is
required to deposit in a segregated account, either in cash or liquid debt
securities, an amount equal to a certain percentage of the purchase price of the
futures contract. Subsequent payments ("variation margin") are made or received
by such Portfolio 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 such Portfolio.
The Growth and Income Portfolio trades futures contracts on stock indices.
Futures contracts involve elements of credit and market risk in excess of the
amounts reflected in the Statement of Assets and Liabilities. The Growth and
Income Portfolio invests in stock index futures contracts for the purpose of
hedging its portfolio to reduce the volatility of the net asset value of its
shares. In general, each such transaction involves the establishment of a
position which is expected to move in a direction opposite to that of the
securities being hedged. The Portfolio's ability to effectively hedge all or a
portion of its portfolio through transactions in futures on stock indexes
depends on the degree to which movements in the value of the securities or index
underlying such
19
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS-(continued)
April 30, 1995 (unaudited)
hedging instrument correlate with movements in the value of the relevant portion
of the portfolio. The trading of futures on indexes involves the additional risk
of imperfect correlation between movements in the futures price and the value of
the underlying index. At April 30, 1995, the Growth and Income Portfolio held
futures contracts as listed on the portfolio of investments.
The Portfolio may enter into futures contracts only on exchanges or boards
of trade. The exchange or board of trade acts as the counterparty to each
futures transaction, therefore, the Portfolio credit risk is limited to failure
of the exchange or board of trade. The Portfolio bears the market risk which
arises from any changes in the value of the futures contracts.
E. Written Options-When a Portfolio writes an option on a stock index
futures contract or an equity option, an amount equal to the premium received by
the Portfolio is recorded as an asset and corresponding liability. The amount of
the liability is adjusted daily to reflect the current market value of the
written option and the change is recorded in a corresponding unrealized gain or
loss account. When a written option expires on its stipulated expiration date,
or when a closing transaction is entered into, the related liability is
extinguished and the Portfolio realizes a gain (or loss if the cost of the
closing transaction exceeds the premium received when the option was written).
Only GIP writes options on stock index futures and equity options. These
options are settled for cash and subject the Portfolio to market risk in excess
of the amounts that are reflected in the Statement of Assets and Liabilities to
the extent of the contract amount. The Portfolio, however, is not subject to
credit risk on written options as the counterparty has already performed its
obligation by paying a premium at the inception of the contract.
F. Foreign Currency Translation-The books and records of the Portfolios are
maintained in U.S. dollars. Foreign currency amounts are translated into U.S.
dollars at the official exchange rates, or at the mean of the current bid and
asked prices, of such currencies against the U.S. dollar last quoted by a major
bank, on the following basis:
(a) Market value of investment securities, other assets and liabilities: at
the closing rate of exchange at the balance sheet date.
(b) Purchases and sales of investment securities, income and expenses: at
the rate of exchange prevailing on the respective date of such transactions.
Reported realized foreign exchange gains or losses arise from disposition of
foreign currency, currency gains or losses realized between the trade and
settlement dates on securities transactions, the difference between the amounts
of dividends, interest, and foreign withholding taxes recorded on the
Portfolios' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Unrealized foreign exchange gains and losses
arise from changes (due to the changes in the exchange rate) in the value of
foreign currency and other assets and liabilities denominated in foreign
currencies which are held at period end.
G. Forward Foreign Currency Exchange Contracts-A forward currency contract
is an obligation to purchase or sell a specific currency for an agreed price at
a future date. During the period the forward contract is open, changes in the
value of the contract are recognized as unrealized gains or losses by "marking
to market" on a daily basis to reflect the market value of the contract at the
end of each day's trading. When the forward contract is closed, or the delivery
of the currency is made or taken, the Portfolio records a realized gain or loss
equal to the difference between the proceeds from (or cost of) the closing
transaction and the Portfolio basis in the contract.
H. Federal Income Taxes and Distributions to Investors- The Portfolios
intend to qualify as partnerships and therefore net income and net realized
gains are taxed to the partners. The investors in the Portfolio must take
20
<PAGE>
GROWTH & INCOME PORTFOLIO
CAPITAL GROWTH PORTFOLIO
NOTES TO FINANCIAL STATEMENTS-(continued)
April 30, 1995 (unaudited)
into account their proportionate share of the Portfolio income, gains, losses,
deductions, credits and tax preference items in computing their federal income
tax liability, without regard to whether they have received any cash
distributions from the Portfolio. The Portfolios do not intend to distribute to
investors their net investment income or their net realized gains, if any. It is
intended that the Portfolios will be managed in such a way that investors in the
portfolio will be able to satisfy the requirements of subchapter M of the
Internal Revenue Code to be taxed as regulated investment companies.
I. Organization Costs-Organization and registration costs incurred in
connection with establishing each of the Portfolio have been deferred and are
being amortized on a straight-line basis over a sixty-month period beginning
with the commencement of operations of the Portfolio.
NOTE 2- Fees and Other Transactions with Affiliates:
A. Investment Advisory Fees- The Chase Manhattan Bank, N.A. ("Chase"), a
direct wholly-owned subsidiary of The Chase Manhattan Corporation, is the
Portfolios' investment adviser (the "Adviser") and custodian (the "Custodian").
The Adviser manages the assets of the Portfolio pursuant to an Advisory
Agreement (the "Advisory Agreement"), and for such services, is paid an annual
fee computed daily and paid monthly based on an annual rate equal to .40% of the
GIP's and CGP's average daily net assets.
B. Custodial Fees-Chase as Custodian provides safekeeping services for the
Portfolios' securities. Compensation for such services are presented in the
Statement of Operations as custodian fees.
C. Administration Fee-Pursuant to an Administration Agreement, The Chase
Manhattan Trust Corporation Limited (the "Administrator") provides certain
administration services to the Portfolios. For these services and facilities,
the Administrator receives from the Portfolio a fee computed at the annual rate
equal to 0.05% of the respective Portfolio's average daily net assets.
D. Other-The Portfolios' organizational costs payable is comprised of
liabilities owed to the Funds' Distributor, Vista Broker Dealer Services (VBDS).
NOTE 3-Investment Transactions:
Purchases and sales of investments (excluding short-term investments) for
the six months ended April 30, 1995, were as follows:
Fund GIP CGP
---- --- ---
Purchases (excluding U.S. Government) ....... $569,364,825 $382,273,314
Sales (excluding U.S. Government) ........... 426,284,723 257,770,503
Purchases of U.S. Government ................ 36,782,063
Sales of U.S. Government .................... 110,888,672
The portfolio turnover rates of GIP and CGP Portfolios for this period were
42% and 38%, respectively.
21
<PAGE>
Blanchard
Capital Growth Fund
Blanchard
Growth & Income Fund
Semi-Annual Report
April 30, 1995
Managed by: Sheffield Management Company
41 Madison Ave., 24th Floor, New York, NY 10010-2267
1-800-922-7771
Portfolio Adviser: Chase Manhattan Bank, N.A.
Custodian and Transfer Agent: United States Trust Company of New York
Independent Accountants: Price Waterhouse LLP
Legal Counsel: Kramer, Levin, Naftalis, Nessen, Kamin & Frankel
