<PAGE>
AHA INVESTMENT FUNDS, INC.
SEMI-ANNUAL REPORT TO SHAREHOLDERS
AS OF DECEMBER 31, 1996
<PAGE>
CONTENTS
- -------------------------------------------------------------------------------
PAGE
Portfolio of Investments 1
Full Maturity Fixed Income Portfolio
Limited Maturity Fixed Income Portfolio
Diversified Equity Portfolio
Balanced Portfolio
Financial Statements 38
Notes to Financial Statements 42
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
SHARES OR
PRINCIPAL
---------
LONG-TERM OBLIGATIONS 91.6% MARKET VALUE
--------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 50.0%
--------------------------------------
United States Treasury Bonds Stripped
$ 700,000 0.000% 02/15/20 effective yield 6. $ 144,895
United States Treasury Bonds
2,000,000 10.750% 02/15/03 1,224,376
3,100,000 9.250% 02/15/16 3,934,095
2,970,000 6.000% 02/15/26 2,702,703
1,210,000 6.750% 08/15/26 1,218,697
480,000 6.500% 11/15/26 382,810
United States Treasury Notes
830,000 5.875% 04/30/98 829,482
2,170,000 5.125% 11/30/98 2,140,164
280,000 5.875% 11/15/99 278,950
350,000 7.750% 12/31/99 366,078
150,000 6.875% 03/31/00 153,422
400,000 5.500% 12/31/00 390,875
1,050,000 6.625% 07/31/01 1,067,063
800,000 6.250% 10/31/01 800,750
390,000 6.250% 02/15/03 389,757
695,000 5.750% 08/15/03 674,367
200,000 7.250% 05/15/04 210,563
40,000 6.875% 05/15/06 41,250
Federal Home Loan Mortgage Corporation
243,783 9.000% 04/01/09 252,274
99,750 10.500% 01/01/10 109,711
432,943 9.000% 04/15/19 457,265
458 9.000% 09/01/19 Series 53-8227 485
700,000 7.000% 09/15/21 693,224
455,797 7.000% 05/01/24 449,343
466,049 6.500% 03/01/26 446,279
The accompanying notes to the financial statements are an
integral part of this schedule.
1
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
--------------------------------------------------
Federal National Mortgage Association
(mortgage-backed securities)
$ 600,000 7.600% 11/25/19 $ 609,180
958,493 9.500% 07/25/19 1,021,297
523,000 7.500% 09/25/20 529,872
750,000 6.500% 09/25/20 734,033
600,000 7.000% 01/25/21 600,816
838,625 7.000% 01/25/21 834,920
1,016,247 8.500% 09/25/21 1,051,233
368,182 9.500% 01/01/25 399,393
363,500 7.000% 05/01/26 356,216
373,124 7.000% 05/01/26 365,647
64,666 7.000% 10/01/26 63,371
800,878 7.000% 12/01/26 784,765
2,800,000 7.000% 01/01/27 2,743,126
Government National Mortgage Association
(mortgage-backed securities)
491,127 9.500% 12/15/17 535,790
175,337 6.500% 11/15/23 168,552
219,984 6.500% 01/15/24 211,295
-------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 30,368,384
ASSET BACKED OBLIGATIONS 14.4%
------------------------
Advanta Credit Card Master Trust
675,000 6.050% 08/01/03 Series 1995-F 669,965
Asset Security Corporation
497,285 6.920% 02/14/29 Series 1996-D 492,717
Banc One Credit Card Trust
1,000,000 6.300% 09/15/00 Series 1995-B 1,001,350
Capital Equipment Trust
600,000 6.280% 06/15/00 Series 1996-1 601,584
The accompanying notes to the financial statements are an
integral part of this schedule.
2
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
---------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
ASSET BACKED OBLIGATIONS (CONTINUED)
------------------------------------
Chase Credit Card Master Trust
$1,000,000 6.230% 06/15/03 Series 1995-2 $ 998,670
Chevy Chase Home Loan
500,000 7.150% 05/15/15 Series 1996-1 504,610
DLJ Mortgage Acceptance Corporation
500,000 7.290% 07/12/06 Series 1996-CF 507,500
Ford Motor Credit Company
43,493 4.300% 07/15/98 Series 1993-B 43,441
435,000 9.250% 03/01/00 Series 1995-A 468,244
500,000 6.500% 08/15/00 Series 1995-A 502,810
250,000 9.500% 09/15/11 Series 1996-A 300,207
Merrill Lynch Mortgage Investors
400,000 6.960% 11/21/28 Series 1996-C2 396,624
Nomura Asset Securities Corporation
200,000 7.120% 04/13/36 Series 1996-M 202,000
Resolution Trust Corporation
585,816 6.529% 04/25/22 Series 1992-9 582,986
534,450 7.500% 08/25/23 536,123
500,024 6.995% 06/25/24 490,104
Rural Housing Trust
151,213 3.330% 04/01/26 Series 1987-1 141,596
Standard Credit Card Trust Series 1993-2
65,000 8.250% 11/07/01 69,305
250,000 5.950% 10/07/04 240,310
-------
TOTAL ASSET BACKED OBLIGATIONS 8,750,146
The accompanying notes to the financial statements are an
integral part of this schedule.
3
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS 27.2%
---------------------
AUTOMOTIVE 1.5%
----------
General Motors Corporation
$ 310,000 9.625% 12/01/00 $ 342,039
316,000 9.125% 07/15/01 346,016
800,000 0.000% 06/15/17 effective yield 6.35% 205,046
-------
893,101
BANKS 4.5%
-----
Banque Paribas
350,000 6.875% 03/01/09 330,315
Chase Manhattan Bank
600,000 10.125% 11/01/00 671,907
First National Bank of Boston
600,000 8.375% 12/15/02 644,076
Fleet Norstar Bank
180,000 7.650% 03/01/97 180,506
Midland Bank
250,000 6.950% 03/15/11 242,500
National Bank of Detroit
220,000 8.250% 11/01/24 250,187
NCNB Corporation
325,000 10.200% 07/15/15 414,785
-------
2,734,276
CHEMICAL 0.8%
--------
Millennium America
200,000 7.625% 11/15/26 195,420
Rohm & Haas
250,000 9.500% 04/01/21 283,453
-------
478,873
The accompanying notes to the financial statements are an
integral part of this schedule.
4
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
COMMUNICATION 1.7%
-------------
Continental Cablevision Incorporated
$ 200,000 8.875% 09/15/05 $ 221,121
Time Warner Entertainment
300,000 8.180% 08/15/07 308,228
490,000 8.375% 07/15/33 493,223
-------
1,022,572
ELECTRONICS 2.0%
-----------
Hydro-Quebec
800,000 11.750% 02/01/12 1,125,888
70,000 9.500% 04/30/27 86,171
------
1,212,059
FINANCIAL 5.5%
---------
Auburn Hills Trust
280,000 12.000% 05/01/20 427,589
British Gas Financial
1,300,000 0.000% 11/04/21 effective yield 7.215% 214,500
Chrysler Financial Corporation
750,000 7.570% 03/17/97 753,081
Green Tree Financial Corporation
485,496 6.900% 02/15/04 484,809
424,489 7.850% 07/15/04 430,175
JPM Capital Trust
200,000 7.540% 01/15/27 196,600
Lehman Brothers Incorporated
375,000 11.625% 05/15/05 471,315
The accompanying notes to the financial statements are an
integral part of this schedule.
5
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
FINANCIAL (CONTINUED)
---------------------
Paine Webber Incorporated
$ 150,000 6.730% 01/20/04 $ 146,025
Security Pacific Corporation
200,000 11.000% 03/01/01 231,241
-------
3,355,335
INDUSTRIAL 3.2%
----------
Caterpillar Incorporated
1,000,000 9.750% 06/01/19 1,094,012
Federal Express Corporation
300,000 9.650% 06/15/12 364,050
Hocking Valley Railway
500,000 4.500% 07/01/99 478,558
-------
1,936,620
INSURANCE 0.4%
---------
Allstate Corporation
250,000 7.500% 06/15/13 254,489
PAPER 0.4%
-----
Georgia Pacific Corporation
200,000 9.625% 03/15/22 220,914
RAILROAD 0.8%
--------
Louisville & Nashville Railroad
600,000 3.375% 04/01/03 489,973
RETAIL STORES 0.9%
-------------
Dayton Hudson Corporation
200,000 10.000% 01/01/11 245,030
J.C. Penney Incorporated
250,000 10.000% 01/01/11 278,751
-------
523,781
The accompanying notes to the financial statements are an
integral part of this schedule.
6
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
LONG-TERM OBLIGATIONS (CONTINUED)
---------------------------------
CORPORATE OBLIGATIONS (CONTINUED)
----------------------------------
TELECOMMUNICATION 2.7%
-----------------
GTE Corporation
$ 900,000 10.750% 09/15/17 $ 969,327
TCI Communications Incorporated
520,000 8.750% 08/01/15 512,461
170,000 9.250% 01/15/23 164,249
-------
1,646,037
UTILITIES 1.3%
---------
Long Island Lighting Financial
400,000 9.625% 07/01/24 412,691
System Energy Res
382,666 7.430% 01/15/11 375,016
-------
787,707
MISCELLANEOUS 1.5%
-------------
Lubrizol Corporation
400,000 7.250% 06/15/25 395,486
News American Holdings
100,000 8.250% 10/17/96 98,664
400,000 8.875% 04/26/23 423,598
-------
917,748
TOTAL CORPORATE OBLIGATIONS 16,473,485
----------
TOTAL LONG-TERM OBLIGATIONS (COST $55,470,738) 55,592,015
SHORT-TERM OBLIGATIONS 10.8%
----------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 0.2%
--------------------------------------
U.S. Treasury Bills
(A) 100,000 5.305% 01/01/97 99,882
------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 99,882
The accompanying notes to the financial statements are an
integral part of this schedule.
7
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
--------- ------------
SHORT-TERM OBLIGATIONS
----------------------
DEMAND NOTES 10.6%
------------
American Family Demand Note
$ 752,472 5.5086% 12/31/31 $ 752,472
Eli Lilly Demand Note
417,691 5.440% 12/31/31 417,691
General Mills Demand Note
30,000 5.495% 12/31/31 30,000
Johnson Controls Demand Note
319,144 5.529% 12/31/31 319,144
Sara Lee Demand Note
3,834,696 5.487% 12/31/31 3,834,696
Pitney Bowes Demand Note
207,623 5.507% 12/31/31 262,623
Warner Lambert Demand Note
852,593 5.479% 12/31/31 852,593
Wisconsin Electric Demand Note
1,000 5.549% 12/31/31 1,000
-----
TOTAL DEMAND NOTES 6,470,219
---------
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $6,570,101) 6,570,101
---------
TOTAL INVESTMENTS
(COST BASIS $62,210,839) 102.4% 62,162,116
----------
CASH AND OTHER ASSETS, LESS
LIABILITIES -2.4% (1,454,388)
-----------
TOTAL NET ASSETS 100.0% $ 60,707,728
----------
----------
The accompanying notes to the financial statements are an
integral part of this schedule.
8
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. TREASURY BILLS PLEDGED AS MARGIN FOR FUTURES CONTRACTS. THE
PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS AT DECEMBER 31, 1996:
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1996
---- -------- --------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
5 Year Treasury Note 74 74,000 Long March 1997 ($34,399)
10 Year U.S. Treasury Notes 9 9,000 Short March 1997 13,151
Bond Futures 25 25,000 Short March 1997 43,563
------
$22,315.00
----------
----------
</TABLE>
The accompanying notes to the financial statements
are an integral part of this schedule.
9
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
SHARES OR
PRINCIPAL
LONG-TERM OBLIGATIONS 91.7% MARKET VALUE
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 53.3%
--------------------------------------
United States Treasury Notes
$ 1,745,000 7.250% 02/15/98 $ 1,768,995
4,075,000 5.125% 04/30/98 4,034,254
3,800,000 5.875% 04/30/98 3,797,628
1,390,000 6.125% 05/15/98 1,393,476
1,850,000 5.375% 05/31/98 1,836,704
2,708,000 5.125% 06/30/98 2,679,230
6,150,000 5.875% 08/15/98 6,144,237
7,215,000 6.000% 09/30/98 7,226,276
660,000 5.125% 11/30/98 650,926
9,950,000 5.125% 12/31/98 9,788,321
745,000 5.000% 02/15/99 731,498
3,955,000 5.875% 03/31/99 3,950,060
7,390,000 6.375% 05/15/99 7,456,975
9,000,000 6.000% 08/15/99 9,000,008
8,255,000 6.875% 08/31/99 8,427,842
6,350,000 7.875% 11/15/99 6,655,599
1,555,000 7.750% 01/31/00 1,627,892
Federal Home Loan Mortgage Corporation
207,485 6.225% 05/15/97 Variable Rate CMO 207,881
Federal National Mortgage Association
(mortgage-backed securities)
880,000 5.280% 03/01/99 867,450
2,400,226 7.000% 06/01/11 2,351,472
2,015,155 7.500% 08/01/11 2,046,369
Government National Mortgage Association
(mortgage-backed securities)
85,318 10.000% 08/15/16 94,002
211,219 10.000% 09/15/16 232,715
7,581 9.500% 11/15/16 8,276
62,111 9.500% 05/15/18 67,706
The accompanying notes to the financial statements are an integral part of
this schedule.
10
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
------------
LONG-TERM OBLIGATIONS (CONTINUED)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
--------------------------------------------------
Government National Mortgage Association
(mortgage-backed securities)
$ 1,190 9.500% 06/15/18 $ 1,297
37,329 9.500% 07/15/18 40,692
13,725 10.000% 10/15/18 15,116
190,029 10.000% 11/15/18 209,276
64,980 10.000% 03/15/19 71,561
17,419 10.000% 04/15/19 19,184
11,376 9.500% 09/15/19 12,391
9,624 9.500% 04/15/20 10,475
304,131 9.500% 05/15/20 331,028
295,428 9.500% 06/15/20 321,555
94,783 9.500% 08/15/20 103,165
18,313 10.000% 08/15/20 20,168
5,154 9.500% 09/15/20 5,610
23,973 9.500% 10/15/20 26,093
497,757 9.500% 11/15/20 541,779
160,348 9.500% 03/15/21 174,424
9,691 9.500% 04/15/21 10,542
97,912 9.500% 06/15/21 106,507
-------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 85,066,655
ASSET BACKED OBLIGATIONS 11.8%
Banc One Auto Trust
1,714,930 6.550% 02/15/03 Series 1996 1,732,131
Case Equipment
1,882,087 7.300% 03/15/02 1,912,727
Chase Manhattan Grantor
1,581,230 6.000% 09/17/01 Series 1995-A 1,587,82
860,000 6.730% 02/15/02 Series 1996-4 872,986
1,005,980 6.610% 09/15/02 Series 1996-B 1,017,328
The accompanying notes to the financial statements are an integral part of
this schedule.
11
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
------------
LONG-TERM OBLIGATIONS (CONTINUED)
ASSET BACKED OBLIGATIONS (CONTINUED)
------------------------------------
Daimler Benz Auto Receivable
$ 275,727 3.900% 10/15/98 Series 1993-A $ 274,800
294,496 5.950% 12/15/00 Series 1994-A 294,438
Discover Credit Card Trust Series 1993-A
1,150,000 6.250% 08/16/00 1,155,497
Ford Credit Grantor Trust
2,000,000 7.900% 05/15/99 Series 1996-1 2,070,216
525,000 7.470% 07/29/99 Series 1996-1 539,044
2,120,000 5.500% 02/15/03 Series 1996-1 2,043,129
General Motors Acceptance Corporation Grantor Trust
1,000,000 7.625% 02/27/98 1,018,733
1,000,000 7.500% 03/16/98 1,017,932
430,000 6.450% 04/15/99 432,062
1,150,000 7.375% 06/09/99 1,178,812
Green Tree Financial Corporation
562,432 5.600% 04/15/19 562,978
USAA Auto Loan Grantor Series 1994-1
405,610 5.000% 11/15/99 405,120
Western Financial Grantor Trust
295,715 6.050% 11/01/00 Series 1995-3A 296,945
435,000 6.650% 08/20/00 Series 1996-B 439,998
-------
TOTAL ASSET BACKED OBLIGATIONS 18,852,699
CORPORATE OBLIGATIONS 26.6%
BANKS 3.7%
BankAmerica Corporation
2,000,000 5.750% 03/18/98 1,995,796
Mellon Financial Company
675,000 6.500% 12/01/97 678,507
The accompanying notes to the financial statements are an integral part of
this schedule.
12
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
------------
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
BANKS (CONTINUED)
-----------------
National Australia Bank
$ 3,000,000 9.700% 10/15/98 $ 3,179,091
---------
5,853,394
COMMUNICATION 4.5%
International Business Machines Company
1,500,000 6.375% 11/01/97 1,506,399
WMX Technologies
2,240,000 6.250% 04/01/99 2,240,094
400,000 8.250% 11/15/99 419,073
Xerox Corporation
3,000,000 6.840% 06/01/00 3,037,796
---------
7,203,362
FINANCIAL 13.9%
American General Finance
450,000 7.700% 11/15/97 456,570
810,000 8.500% 08/15/98 839,933
Associates Corporation
1,030,000 8.375% 01/15/98 1,054,550
1,400,000 6.375% 08/15/98 1,406,760
Caterpillar Financial Service
670,000 6.110% 07/15/99 667,487
Fleet Financial Group
2,125,000 6.000% 10/26/98 2,118,784
General Electric Capital Corporation
1,000,000 7.840% 02/05/98 1,021,792
3,850,000 8.100% 01/26/99 4,003,275
The accompanying notes to the financial statements are an integral part of
this schedule.
13
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
------------
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
FINANCIAL (CONTINUED)
----------------------
Household Financial Corporation
$ 2,300,000 6.250% 04/01/99 $ 2,298,304
International Lease Financial Corporation
600,000 5.980% 11/16/98 599,026
1,900,000 7.150% 04/20/98 1,928,937
Norwest Financial Corporation
1,260,000 8.500% 08/15/98 1,306,563
Olympia Financial
599,167 6.200% 01/15/02 602,690
Transamerica Financial Corporation
1,000,000 7.180% 07/29/98 1,015,849
Travelers/Aetna P&C
1,780,000 6.750% 09/01/99 1,798,846
Toyota Motor Credit Note
1,060,000 6.800% 04/15/98 1,072,242
---------
22,191,608
INDUSTRIAL 1.3%
Navistar Financial
1,260,000 6.350% 11/15/02 1,269,601
760,000 6.330% 04/21/03 763,238
-------
2,032,839
UTILITIES 0.5%
Pacific Gas & Electric
800,000 5.375% 08/01/98 791,533
The accompanying notes to the financial statements are an integral part of
this schedule.
14
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
------------
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
MISCELLANEOUS 2.7%
-------------
Alco Capital Resources
$ 1,000,000 6.520% 10/29/99 $ 1,003,777
CIT Group Holdings
1,520,000 6.250% 10/25/99 1,521,847
Capital Equipment Rec Trust
1,750,000 6.110% 07/15/99 1,753,855
---------
4,279,479
TOTAL CORPORATE OBLIGATIONS 42,352,215
----------
TOTAL LONG-TERM OBLIGATIONS
(COST $145,911,937) 146,271,569
-----------
SHORT-TERM OBLIGATIONS 5.7%
COMMERCIAL PAPER 5.7%
American Express
4,350,000 6.300% 01/02/97 4,349,239
Deutsche Bank
4,763,000 6.300% 01/02/97 4,762,163
---------
TOTAL COMMERCIAL PAPER 9,111,402
---------
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $9,111,402) 9,111,402
---------
TOTAL INVESTMENTS
(COST BASIS $155,023,339) 97.4% 155,382,971
CASH AND OTHER ASSETS, LESS
LIABILITIES 2.6% 4,109,087
---------
TOTAL NET ASSETS 100.0% $ 159,492,058
===========
The accompanying notes to the financial statements are an integral part of
this schedule.
15
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
SHARES OR
PRINCIPAL
EQUITIES 93.6% MARKET VALUE
AEROSPACE & DEFENSE 1.9% ------------
- -------------------
5,200 Alliedsignal Incorporated $ 348,400
1,821 Boeing Incorporated 193,709
1,700 General Dynamics Corporation 119,850
700 Lockheed Martin Corporation 64,050
1,100 McDonald Douglas Corporation 70,400
1,100 Raytheon Company 52,938
2,400 Rockwell International Corporation 146,100
600 Textron Incorporated 56,550
2,300 United Technologies Corporation 151,800
-------
1,203,797
AUTOMOTIVE 2.2%
- ----------
4,200 Chrysler Corporation 138,600
32,600 Ford Motor Company 1,039,125
1,700 General Motors Corporation 94,775
1,600 TRW Incorporated 79,200
200 Trinova Corporation 7,275
-----
1,358,975
BANKS 6.3%
- -----
7,800 Bank of New York Corporation 263,250
1,500 BankAmerica Corporation 149,625
23,800 Barnett Banks Incorporated 978,775
5,000 Citicorp 515,000
4,100 Comerica Incorporated 214,738
47,500 Corporation Bancaria Espana ADR 1,068,750
5,000 First Union Corporation 370,000
800 Mellon Bank Corporation 56,800
1,500 Morgan (J.P.) & Company 146,438
1,200 NationsBank Corporation 117,300
900 Norwest Corporation 39,150
------
3,919,826
The accompanying notes to the financial statements are an integral part of this
schedule.
16
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
BASIC INDUSTRIES 0.8% ------------
- ----------------
800 Aluminum Company of America $ 51,000
1,100 Asarco Incorporated 27,363
1,800 Corning Corporation 83,250
3,000 Crane Company 87,000
200 Harnischfeger 9,625
4,500 Inco LTD 143,438
1,400 Newmont Mining Corporation 62,650
400 3M Company 33,150
------
497,476
BUSINESS SERVICE 1.8%
- ----------------
4,450 Computer Associates International Incorporated 221,388
2,900 John H. Harland Company 95,700
400 Moore Corporation 8,150
3,500 National Service Ind. Incorporated 130,813
20,200 Wallace Computer Services Incorporated 696,900
-------
1,152,951
CHEMICALS 1.7%
- ---------
2,200 Dow Chemical Company 172,425
1,600 Eastman Chemical Company 88,400
4,700 E.I. duPont de Nemours and Company 443,563
4,000 Monsanto Company 155,500
1,100 PPG Industries 61,738
1,200 Rohm & Haas Company 97,950
800 Safety Kleen 13,100
------
1,032,676
COMMUNICATION 1.8%
- -------------
2,000 Dow Jones & Company 67,750
2,000 Gannett Company Incorporated 149,750
1,000 Harcourt General Incorporated 46,125
20,000 New York Times 760,000
900 Time Warner Incorporated 33,750
600 Tribune Company 47,325
------
1,104,700
The accompanying notes to the financial statements are an integral part of this
schedule.
17
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
COMPUTERS & OFFICE EQUIPMENT 9.1% ------------
- ----------------------------
22,200 Astra ADR $ 1,087,800
3,300 EMC Corporation Massachusetts 109,313
1,700 Honeywell Incorporated 111,775
11,800 International Business Machines Corporation 1,781,800
1,600 Microsoft Corporation 132,200
8,800 Pitney Bowes Incorporated 479,600
4,600 Sun Microsystems* 118,163
57,000 Tandem Computer Incorporated * 783,750
20,200 Xerox Corporation 1,063,025
---------
5,667,426
CONSTRUCTION 1.1%
- ------------
1,800 Johnson Controls 149,175
15,000 Masco Corporation 540,000
-------
689,175
CONSUMER DURABLES 0.6%
- -----------------
1,500 Brunswick Corporation 36,000
2,300 Eastman Kodak 184,575
1,800 Hasbro Incorporated 69,975
2,200 Mattel Company 61,050
------
351,600
CONSUMER NON-DURABLES 4.8%
- ---------------------
1 Acnielson Corporation 15
24,500 American Greetings Company 695,188
5,500 American Stores Company 224,813
5,000 Avon Products Incorporated 285,625
14,300 Bandag Incorporated 677,463
4,000 Beverly Enterprises 51,000
700 B.F. Goodrich Company 28,350
12,000 Cognizant Corporation 396,000
3,100 Clorox 311,163
The accompanying notes to the financial statements are an integral part of this
schedule.
18
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
CONSUMER NON-DURABLES- (CONTINUED) ------------
- ----------------------------------
100 Colgate Palmolive Company $ 9,225
1,300 Int'l Flavors & Fragrances Incorporated 58,500
200 Procter & Gamble Company 21,500
1,200 Rite Aid Corporation 47,700
2,900 Warner-Lambert Company 217,500
-------
3,024,042
CONTAINER 1.7%
- ---------
1,700 Bemis Company 62,688
45,000 Owens Illinois Incorporated* 1,023,750
100 Stone Container Corporation 1,488
-----
1,087,926
ELECTRONICS 3.3%
- -----------
25,000 AMP Incorporated 959,375
7,000 General Electric Company 692,125
3,200 Intel Corporation 419,000
400 Tektronix Incorporated 20,500
------
2,091,000
ENERGY & RELATED (RAW MATERIALS) 0.3%
- --------------------------------
2,000 Halliburton Company 120,500
2,800 Occidental Petroleum Corporation 65,450
------
185,950
ENTERTAINMENT & LEISURE 0.4%
- -----------------------
9,200 Service Corporation International 257,600
FINANCIAL SERVICES 4.7%
- ------------------
2,200 Ahmanson H.F. & Company 71,500
800 Dean Witter Discovery Company 53,000
26,500 Federal National Mortgage Association 987,125
2,800 Household International Incorporated 258,300
4,400 MBNA Corporation 182,600
1,400 Merrill Lynch Company 114,100
The accompanying notes to the financial statements are an integral part of this
schedule.
19
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
FINANCIAL SERVICES (CONTINUED ------------
- -----------------------------
800 Morgan Stanley Group Incorporated $ 45,700
500 Salomon Incorporated 23,563
12,500 Student Loan Corporation 465,625
6,200 Student Loan Marketing Association 577,375
4,200 Travelers Group Incorporated 190,575
-------
2,969,463
FOOD, BEVERAGES & TOBACCO 5.4%
- -------------------------
30,100 Anheuser-Busch Companies, Incorporated 1,204,000
11,700 Brown Foreman Class B 535,275
7,300 Coca-Cola Company 384,163
3,000 Conagra Incorporated 149,250
600 Loews Corporation 56,550
4,000 Luby's Cafeteria Incorporated 79,500
41,500 McCormick and Company 977,844
-------
3,386,582
GOLD & PRECIOUS METALS 0.1%
- ----------------------
900 Barrick Gold Corporation 25,875
1,700 Freeport McMoran Copper 50,788
600 Placer Dome Incorporated 13,050
------
89,713
HEALTH CARE 9.9%
- -----------
18,000 Abbott Labs Company 913,500
1,800 American Home Products Corporation 105,525
25,900 Baxter International Incorporated 1,061,900
4,000 Becton Dickinson & Company 173,500
7,500 Boston Scientific Corporation 450,000
2,600 Johnson & Johnson 129,350
3,100 Lilly Eli & Company 226,300
The accompanying notes to the financial statements are an integral part of this
schedule.
20
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
HEALTH CARE (CONTINUED) ------------
- -----------------------
9,000 Medtronic Incorporated $ 612,000
4,200 Merck & Company 332,850
1,200 Pfizer Incorporated 99,450
25,500 Pharmacia & Upjohn Incorporated 1,010,438
2,200 Schering Plough Corporation 142,450
20,000 St. Jude Medical * 852,500
2,600 U.S. Surgical Corporation 102,375
-------
6,212,138
INSURANCE 3.1%
- ---------
9,701 Allstate Corporation 561,445
5,000 American International Group Incorporated 541,250
2,700 Jefferson Pilot Corporation 152,888
1,800 Keycorp 90,900
200 MBIA Incorporated 20,250
6,000 Progressive Corporation Ohio 404,250
1,100 Providian Corporation 56,513
1,200 Transamerica Corporation 94,800
600 USF&G 12,525
------
1,934,821
METAL & MINERAL 1.5%
- ---------------
5,090 Allegheny Teledyne Incorporated 117,070
400 Homestake Mining Company 5,700
20,000 Minerals Technologies, Incorporated 820,000
200 USX Marathon Group 4,775
500 USX- US Steel 15,688
------
963,233
PAPER & FOREST PRODUCTS 1.5%
- -----------------------
59,000 Asia Pulp & Paper Company * 671,125
3,200 Avery Dennison Corporation 113,200
276 International Paper 11,144
2,900 Weyerhaeuser Company 137,388
-------
932,857
The accompanying notes to the financial statements are an integral part of this
schedule.
21
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
PETROLEUM 7.8% ------------
- ---------
100 Amoco Corporation $ 8,050
600 Ashland Incorporated 26,325
1,400 Atlantic Richfield 185,500
200 Cyprus Amax Mineral Company 4,675
3,500 Enron 150,938
2,200 Exxon Corporation 215,600
400 Kerr-McGee Company 28,800
3,500 Mobil Corporation 427,875
9,300 Phillips Petroleum Company 411,525
3,000 Royal Dutch Petroleum Co. N.Y.-ADR 512,250
1,800 Texaco 176,625
15,000 Transocean Offshore, Incorporated 939,375
1,500 Unocal Corporation 60,938
51,000 Western Gas Resource, Incorporated 981,750
30,000 YPF S.A. ADR 757,500
-------
4,887,726
RAILROADS 1.8%
- ---------
1,200 Burlington Northern Incorporated 103,650
2,400 CSX Corporation 101,400
1,800 Norfolk Southern Company 157,500
20,000 Trinity Industries 750,000
-------
1,112,550
RESTAURANTS 1.1%
- -----------
93,000 Ryans Family Steak Houses Incorporated * 639,375
1,900 Wendys International 38,950
------
678,325
RETAIL STORES 3.9%
- -------------
4,800 Dayton Hudson Corporation 188,400
15,000 Kroger Company* 697,500
2,000 Longs Drug Stores 98,250
3,000 May Department Stores 140,250
4,500 Sears Roebuck & Company 207,563
1,700 Supervalu Incorporated 48,238
The accompanying notes to the financial statements are an integral part of this
schedule.
22
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
RETAIL STORES (CONTINUED) ------------
- -------------------------
47,000 The Limited LTD. $ 863,625
500 Wal-Marts Stores Incorporated 11,438
3,400 Walgreen Company 136,000
1,200 Winn-Dixie Stores Incorporated 37,950
------
2,429,214
SERVICES 0.4%
- --------
3,100 Cooper Industries 130,588
2,600 John Deere & Company 105,625
800 TYCO International LTD 42,300
------
278,513
TECHNOLOGY 3.0%
- ----------
600 Harris Corporation 41,175
3,000 Hewlett-Packard Company 150,750
500 Micron Technology Incorporated 14,563
1,300 Motorola Incorporated 79,788
22,000 National Semiconductor * 536,250
12,100 Northern Telecom 748,688
400 Texas Instruments 25,500
5,200 Thomas & Betts Company 230,750
1,400 WMX Technologies Incorporated 45,675
------
1,873,139
TELECOMMUNICATION 1.8%
- -----------------
40,000 COMSAT Corporation 985,000
2,437 Lucent Technologies 112,711
400 Tellabs Incorporated 15,050
------
1,112,761
TEXTILE & APPAREL 0.1%
- -----------------
1,500 CVS Corporation 62,063
100 VF Corporation 6,750
-----
68,813
TRAVEL & RECREATION 0.3%
- -------------------
8,000 Hilton Hotels Corporation 209,000
The accompanying notes to the financial statements are an integral part of this
schedule.
23
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
EQUITIES (CONTINUED) MARKET VALUE
TRUCKING 0.1% ------------
- --------
3,200 Ryder System $ 90,000
UTILITIES-ELECTRIC 1.3%
- ------------------
1,400 Baltimore Gas & Electric Company 37,450
2,700 Carolina Power & Light Company 98,550
1,700 Consolidated Edison 49,725
3,000 DTE Energy Company 97,125
1,400 Energy Corporation 38,850
1,800 Houston Industries 40,725
1,000 Ohio Edison 22,750
1,600 PECO Energy Company 40,400
2,800 Pacific Gas & Electric 58,800
6,600 Pacificorp 135,300
4,400 People's Energy Corporation 149,050
1,700 Public Service Enterprises 46,325
------
815,050
UTILITIES-TELEPHONE 4.4%
- -------------------
4,200 Alltell Corporation 131,775
1,900 AT&T Company 82,650
17,900 Ameritech Corporation 1,085,188
2,000 Bell Atlantic Corporation 129,500
7,800 Bell South Corporation 314,925
3,600 GTE Corporation 163,800
3,500 Pacific Telesis Group 128,625
6,500 SBC Communication Incorporated 336,375
3,500 Sprint Corporation 139,563
6,600 US West Incorporated 212,850
-------
2,725,251
MISCELLANEOUS 3.6%
- -------------
5,700 PP&L Resources Incorporated 131,100
40,000 Reading and Bates Corporation* 1,060,000
2,200 Schlumberger 219,725
3,900 Unilever 683,457
-------
2,094,282
TOTAL COMMON STOCK (COST 48,183,054) 58,488,551
The accompanying notes to the financial statements are an integral part of this
schedule.
24
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHORT-TERM OBLIGATIONS 3.9% MARKET VALUE
- ---------------------- ------------
DEMAND NOTES 3.9%
- ------------
American Family Demand Note
$ 359,213 5.509% 12/31/31 $ 359,213
General Mills Demand Note
10,000 5.495% 12/31/31 10,000
Johnson Controls Demand Note
1,777,368 5.529% 12/31/31 1,777,368
Sara Lee Demand Note
150,519 5.487% 12/31/31 150,519
Pitney Bowes Demand Note
80,000 5.508% 12/31/31 80,000
Wisconsin Electric Demand Note
84,583 5.549% 12/31/31 84,583
------
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $2,461,683) 2,461,683
---------
TOTAL INVESTMENTS
(COST BASIS $50,644,737) 97.5% 60,950,234
CASH AND OTHER ASSETS, LESS
LIABILITIES 2.5% 1,578,772
---------
TOTAL NET ASSETS 100.0% $ 62,529,006
----------
----------
* NON-INCOME PRODUCING STOCKS.
The accompanying notes to the financial statements are an integral part of this
schedule.
25
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1996
SHARES OR
PRINCIPAL
- ---------
EQUITIES 76.4% MARKET VALUE
- -------- ------------
AEROSPACE & DEFENSE 0.8%
- -------------------
500 Boeing $ 53,188
1,700 Comair Holdings Incorporated 40,800
600 Delta Airlines 42,525
2,200 Gulfstream Aerospace Corporation 53,350
900 Textron Incorporated 84,825
1,600 United Technologies Corporation 105,600
-------
380,288
AUTOMOTIVE 1.7%
- ----------
18,000 Ford Motor Company 573,750
2,500 General Motors Corporation 139,375
3,200 Lear Seating Corporation * 109,200
-------
822,325
BANKS 5.0%
- -----
1,200 Bank of Boston Corporation 77,100
1,500 Bank of New York 50,625
2,400 Bank United Corporation 64,200
600 BankAmerica Corporation 59,850
16,000 Barnett Banks Incorporated 658,000
1,340 Chase Manhattan Corporation 119,595
6,000 Citicorp 618,000
33,000 Corp Bancaria Espana ADR 742,500
-------
2,389,870
BUSINESS SERVICES 1.9%
- -----------------
2,000 American Management Systems* 49,000
1,400 Cisco Systems Incorporated* 89,075
1,500 COMPUSA 30,938
1,775 Computer Associates 88,306
1,900 Dial Corporation 28,025
1,200 Netscape Communication Corporation 68,250
600 Noble Affiliates 28,725
16,000 Wallace Computer Services Incorporated 552,000
-------
934,319
The accompanying notes to the financial statements
are an integral part of this schedule.
26
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
CAPITAL GOODS 3.8%
- -------------
20,000 AMP Incorporated $ 767,500
700 Caterpilliar Incorporated 52,675
1,300 Cooper Industries 54,763
3,400 JLG Industries Incorporated 54,400
2,300 Philip Environmental Control 33,350
900 Reynolds Metals 50,738
19,400 Trinity Industries 727,500
2,600 UCAR International, Incorporated* 97,825
-------
1,838,751
CHEMICALS 0.3%
- ---------
1,100 E.I. duPont de Nemours and Company 103,813
1,200 Praxair Incorporated 55,350
-------
159,163
COMMUNICATION 1.8%
- -------------
20,600 New York Times 782,800
1,900 Time Warner Incorporated 71,250
-------
854,050
COMPUTERS & OFFICE EQUIPMENT 7.6%
- ----------------------------
15,000 Astra ADR 735,000
1,500 Converse Technology 56,719
1,200 Dell Computer Corporation 63,750
6,000 International Business Machines Corporation 906,000
700 Rational Software Corporation 27,964
3,200 Sun Microsystems* 82,200
62,000 Tandem Computer Incorporated * 852,500
900 Western Digital Corporation 51,188
15,600 Xerox Corporation 868,313
-------
3,643,634
CONSTRUCTION 1.8%
- ------------
900 Cooper Cameron Corporation 68,850
1,300 Corning Corporation 60,125
20,000 Masco Corporation 720,000
-------
848,975
The accompanying notes to the financial statements
are an integral part of this schedule.
27
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
CONSUMER DURABLES 0.2%
- -----------------
1,000 Eastman Kodak $ 80,250
CONSUMER NON-DURABLES 2.4%
- ---------------------
19,000 American Greetings Company 539,125
13,000 Bandag Incorporated 615,875
-------
1,155,000
ELECTRONICS 2.9%
- -----------
1,000 Intel Corporation 130,938
18,000 National Semiconductor * 438,750
12,000 Northern Telecom 742,500
900 Western Atlas Incorporated * 63,788
-------
1,375,976
ENERGY & RELATED
- ----------------
ENERGY & RELATED (DOMESTIC) 4.6%
- ---------------------------
2,000 Burlington Resources Incorporated 100,750
1,000 Columbia Gas System, Incorporated 63,625
500 Kerr-McGee Company 36,000
3,100 Oryx Energy* 76,725
1,100 Pennzoil 62,150
14,100 Transocen Offshore, Incorporated 883,013
51,000 Western Gas Resources, Incorporated 981,750
-------
2,204,013
ENERGY & RELATED (INTERNATIONAL) 2.0%
- --------------------------------
500 British Petroleum PLC ADR 70,688
600 Mobil Corporation 73,350
33,000 YPF S.A. ADR 833,250
-------
977,288
ENERGY & RELATED (SERVICES) 0.5%
- ---------------------------
1,500 BJ Services 76,500
500 Diamond Offshore Drilling* 28,500
800 Energy Ventures Incorporated 40,700
1,200 Ensco International Incorporated * 58,200
2,700 Global Marine Incorporated* 55,688
-------
259,588
The accompanying notes to the financial statements
are an integral part of this schedule.
28
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
ENERGY & RELATED (RAW MATERIALS) 2.2%
- --------------------------------
2,600 Baker Hughes Incorporated $ 89,700
1,000 Halliburton Company 60,250
40,000 Owens Illinois Incorporated * 910,000
-------
1,059,950
ENTERTAINMENT & LEISURE 0.7%
- -----------------------
1,000 Callaway Golf Company 28,750
700 Family Golf Centers Incorporated 21,088
1,100 MGM Grand Incorporated* 38,363
1,900 Marriott International 104,975
1,300 Mid Ocean LTD 68,250
1,700 Patriot American Hospitality 73,313
-------
334,739
FINANCIAL SERVICES 4.5%
- -------------------
900 Conseco Incorporated 57,375
2,200 Countrywide Credit Industries Incorporated 62,975
21,200 Federal National Mortgage Association 789,700
2,100 Green Tree Financial Corporation 81,113
10,000 Student Loan Corporation 372,500
6,000 Student Loan Marketing Association 558,750
4,733 Travelers Group Incorporated 214,760
2,530 WFS Financial Incorporated* 50,284
-------
2,187,457
FOOD, BEVERAGES & TOBACCO 3.2%
- -------------------------
18,000 Anheuser-Busch Companies, Incorporated 720,000
25,500 McCormick and Company 600,844
2,200 Nabisco Holdings Corporation 85,525
2,300 Quaker Oats 87,688
1,900 Simon Debartlolo Group Incorporated 58,900
-------
1,552,957
GOLD & PRECIOUS METALS 0.2%
- ----------------------
2,700 Barrick Gold Corporation 77,625
The accompanying notes to the financial statements
are an integral part of this schedule.
29
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
HEALTH CARE 7.3%
- -----------
15,000 Abbott Labs $ 761,250
1,200 American Home Products Corporation 70,350
16,600 Baxter International Incorporated 680,600
2,900 Healthsouth Corporation* 112,013
2,400 Medpartners, Incorporated 50,400
1,500 Merck & Company 118,875
1,700 Ornda Healthcorp* 49,725
15,000 Pharmacia & Upjohn Incorporated 594,375
20,500 St. Jude Medical* 873,813
1,500 US Surgical Corporation 59,063
2,000 Warner Lambert Company 150,000
-------
3,520,464
INSURANCE 3.1%
- ---------
300 AETNA Life & Casualty Company 24,000
2,110 Allstate Corporation 122,116
5,900 American International Group Incorporated 638,675
400 CIGNA Corporation 54,650
2,900 Everest Reinsurance Holdings 83,375
500 General Research Corporation 78,875
900 Potash Corporation 76,500
6,000 Progressive Corporation Ohio 404,250
-------
1,482,441
METAL & MINERAL 1.9%
- ---------------
1,300 AK Steel Holding Corporation 51,513
4,100 Alumax Incorporated 136,838
1,700 Applied Materials Incorporated 61,094
2,500 Federal Mogul Corporated 55,000
15,300 Minerals Technologies Incorporated 627,300
931,745
PAPER & FOREST PRODUCTS 1.5%
- -----------------------
59,000 Asia Pulp & Paper Company * 671,125
1,700 James River of Virgina 56,313
-------
727,438
The accompanying notes to the financial statements
are an integral part of this schedule.
30
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
RAILROAD 0.1%
- --------
1,400 Whitman Corporation $ 32,025
REAL ESTATE 0.6%
- -----------
1,600 Bay Apartments Communities 57,600
1,600 Beacon Office Property 58,600
1,300 Crescent Real Estate 68,575
2,600 Liberty Property Beneficial Trust 66,950
900 Starwood Lodging Trust 49,613
-------
301,338
RETAIL STORES 4.2%
- -------------
3,200 Dayton Hudson Corporation 125,600
3,000 Federated Department Stores* 102,375
3,600 Food Lion Incorporated 35,213
15,000 Kroger Company 697,500
1,900 Revco Drug Stores Incorporated* 70,300
1,000 Ross Stores Incorporated 50,000
1,600 Safeway Incorporated * 68,400
1,600 TJX Cos Incorporated 75,800
36,000 The Limited LTD 661,500
3,700 Toys R Us Incorporated* 111,000
-------
1,997,688
SERVICES 1.4%
- --------
900 Marks Brothers Jewelers Incorporated 10,463
70,000 Ryans Family Steak Houses Incorporated * 481,250
1,000 Sovran Self Storage Incorporated 31,250
1,650 Stewart Enterprises Incorporated 56,100
2,400 U.S.A. Waste Services Incorporated* 76,500
-------
655,563
TECHNOLOGY 0.4%
- ----------
900 Amgen* 48,938
1,200 Biogen Incorporated 46,500
800 HBO & Company 47,500
1,714 Sterling Commerce Incorporated 60,419
-------
203,357
The accompanying notes to the financial statements
are an integral part of this schedule.
31
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
EQUITIES (CONTINUED) MARKET VALUE
- -------------------- ------------
TELECOMMUNICATION 2.2%
- -----------------
34,000 COMSAT Corporation $ 837,250
3,400 Deutsche Telecom 69,275
1,800 Lucent Technologies 83,250
2,200 Metromedia International Group 21,725
1,000 Parametric Technologies Company 51,375
-------
1,062,875
TEXTILE & APPAREL 0.2%
- -----------------
1,900 Liz Claiborne Incorporated 73,388
600 NIKE, Incorporated 35,850
-------
109,238
TRUCKING 0.1%
- --------
1,700 Ryder System 47,813
UTILITIES -ELECTRIC 0.6%
- -------------------
3,500 General Public Utilities 117,688
3,800 Illinova Corporation 104,500
1,800 Scana Corporation 48,150
-------
270,338
UTILITIES -GAS 1.7%
- --------------
1,000 Chesapeake Energy Corporation* 55,625
29,000 Reading and Bates Corporation* 768,500
-------
824,125
UTILITIES -TELEPHONE 2.1%
- --------------------
13,500 Ameritech Corporation 818,438
1,100 GTE Corporation 50,050
2,000 Teleport Communications* 61,000
1,600 Telespectrum Worldwide Incoprorated 25,400
2,800 Worldcom Incorporated* 72,975
-------
1,027,863
MISCELLANEOUS 0.9%
- -------------
12,500 Cognizant Corporation 412,212
-------
TOTAL COMMON STOCK (COST $29,051,809) 36,742,741
The accompanying notes to the financial statements
are an integral part of this schedule.
32
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
TOTAL LONG-TERM OBLIGATIONS 16.1% MARKET VALUE
- --------------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 7.9%
- --------------------------------------
United States Treasury Bonds
$ 250,000 6.500% 11/15/26 $ 245,391
United States Treasury Notes
300,000 5.875% 04/30/98 299,813
200,000 5.875% 11/15/99 199,250
400,000 6.250% 10/31/01 400,375
70,000 7.250% 05/15/04 73,697
270,000 6.875% 05/15/06 278,438
Federal Home Loan Mortgage Corporation
186,420 6.500% 03/01/26 178,513
Federal National Mortgage Association
448,875 9.000% 08/01/07 470,875
1,500,000 7.000% 01/01/27 1,469,532
Government National Mortgage Association
(mortgage-backed securities)
167,208 10.000% 12/15/20 184,151
-------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 3,800,035
ASSET BACKED OBLIGATIONS 2.9%
Asset Security Corporation
197,272 6.920% 02/14/29 Series 1996-D2 197,087
98,485 7.100% 08/13/29 Series 1995-MD4 99,543
Chevy Chase Home Loan
200,000 7.150% 05/15/15 Series 1996-1 201,844
DLJ Mortgage Acceptance Corporation
200,000 7.290% 07/12/06 Series 1996-CF2 203,000
Merrill Lynch Mortgage Investors
100,000 6.960% 11/21/28 Series 1996-C2 99,156
The accompanying notes to the financial statements
are an integral part of this schedule.
33
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
- --------------------------------------- ------------
ASSET BACKED OBLIGATIONS (CONTINUED)
- ------------------------------------
Nomura Asset Securities Corporation
$ 70,000 7.120% 04/13/36 Series 1996-M $ 70,700
Resolution Trust Corporation
290,405 6.573% 04/25/22 Series 1992-9 289,002
250,012 6.958% 06/25/24 245,052
-------
TOTAL ASSET BACKED OBLIGATIONS 1,405,384
CORPORATE OBLIGATIONS 5.3%
- ---------------------
AUTOMOTIVE 0.1%
- ----------
General Motors Corporation
250,000 0.000% 06/15/15 effective yield 64,077
BANK 0.2%
- ----
Banque Paribas
120,000 6.875% 03/01/09 113,251
CHEMICAL 0.1%
- --------
Millennium America
60,000 7.625% 11/15/26 58,626
COMMUNICATION 0.7%
- -------------
Time Warner Company
150,000 8.180% 08/15/07 154,114
160,000 8.375% 07/15/33 161,052
-------
315,166
FINANCIAL 2.4%
- ---------
British Gas Financial
500,000 0.000% 11/04/21 effective yield 6.850% 82,500
Commercial Credit Company
350,000 7.875% 02/01/25 378,457
The accompanying notes to the financial statements
are an integral part of this schedule.
34
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
- ---------
TOTAL LONG-TERM OBLIGATIONS (CONTINUED) MARKET VALUE
- --------------------------------------- ------------
CORPORATE OBLIGATIONS (CONTINUED)
- ----------------------------------
FINANCIAL (CONTINUED)
- ---------------------
General Electric Capital Corporation
$ 260,000 8.200% 10/30/03 $ 283,738
Green Tree Financial Corporation
188,804 6.900% 02/15/04 188,537
156,772 7.850% 07/15/04 158,871
JPM Capital Trust
60,000 7.540% 01/15/27 58,980
-------
1,151,083
TELECOMMUNICATION 0.5%
- -----------------
TCI Communications Incorporated
150,000 8.750% 08/01/15 147,825
110,000 7.875% 02/15/26 96,617
-------
244,442
UTILITIES 0.8%
- ---------
Long Island Lighting
240,000 9.625% 07/01/24 247,615
System Energy
138,717 7.430% 01/15/11 135,943
-------
383,558
MISCELLANEOUS 0.5%
- -------------
News American Holdings
200,000 8.875% 04/26/23 211,799
-------
TOTAL CORPORATE OBLIGATIONS 2,542,002
---------
TOTAL LONG-TERM OBLIGATIONS
(COST $7,682,119) 7,747,421
---------
The accompanying notes to the financial statements
are an integral part of this schedule.
35
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL
---------
TOTAL SHORT-TERM OBLIGATIONS 5.5% MARKET VALUE
---------------------------- ------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 3.7%
--------------------------------------
United States Treasury Bills
(A) $1,760,000 5.305% 01/09/97 $ 1,758,260
---------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 1,758,260
DEMAND NOTES 1.8%
------------
American Family Demand Note
180,000 5.508% 12/31/31 180,000
Eli Lilly Demand Note
388,060 5.140% 12/31/31 388,060
Johnson Controls Demand Note
112,561 5.529% 12/31/31 112,561
Pitney Bowes Demand Note
47,409 5.507% 12/31/31 47,409
Sara Lee Demand Note
147,265 5.487% 12/31/31 147,265
Warner Lambert Demand Note
9,450 5.479% 12/31/31 9,450
Wisconsin Electric Demand Note
2,617 5.548% 12/31/31 2,617
-------
TOTAL DEMAND NOTES 887,362
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $2,645,622) 2,645,622
---------
TOTAL INVESTMENTS
(COST BASIS $39,379,550) 98.0% 47,135,784
CASH AND OTHER ASSETS, LESS
LIABILITIES 2.0% 949,721
-------
TOTAL NET ASSETS 100.0% $ 48,085,505
----------
----------
* Non-income producing stocks.
The accompanying notes to the financial statements are an integral part of this
schedule.
36
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. TREASURY BILLS PLEDGED AS MARGIN FOR FUTURES CONTRACTS. THE
PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS AT DECEMBER 31, 1996:
OPEN FUTURES CONTRACTS:
<TABLE>
<S> <C> <C> <C> <C> <C>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1996
---- --------- ------ -------- ---------- -----------------
5 Year Treasury Note 26 26,000 Long March 1997 ($9,336)
10 Year U.S. Treasury Notes 2 2,000 Long March 1997 (2,953)
Bond Futures 8 8,000 Long March 1997 4,190
Bond Futures 10 10,000 Short March 1997 17,425
------
$9,326
------
------
</TABLE>
The accompanying notes to the financial statements are an integral part of
this schedule.
37
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
ASSETS:
<S> <C> <C> <C> <C>
Investments, at market value $ 62,162,116 $ 155,382,971 $ 60,950,234 $ 47,135,784
Receivable for investments sold 90,298 0 0 0
Receivable for shares sold 908,265 2,323,114 2,507,336 2,519,014
Cash 237,485 4,260 276 133,730
Dividends and interest receivable 839,673 1,969,467 99,973 141,020
Futures variation margin 3,594 0 0 (11,250)
Prepaid insurance 3,109 12,039 3,208 2,545
------------- -------------- ------------- -------------
Total Assets $ 64,244,540 $ 159,691,851 $ 63,561,027 $ 49,920,843
------------- -------------- ------------- -------------
------------- -------------- ------------- -------------
LIABILITIES:
Payable for investments purchased $ 3,470,834 $ 0 $ 1,014,750 $ 1,805,791
Payable for shares redeemed 530 520 0 0
Payable for dividends 39,565 158,021 0 0
Outstanding written options 5,676 0 0 1,548
Accrued expenses and other liabilities 20,207 41,252 17,271 27,999
------------- -------------- ------------- -------------
Total Liabilities 3,536,812 199,793 1,032,021 1,835,338
------------- -------------- ------------- -------------
NET ASSETS $ 60,707,728 $ 159,492,058 $ 62,529,006 $ 48,085,505
------------- -------------- ------------- -------------
------------- -------------- ------------- -------------
Net Assets consist of:
Capital Stock ($0.01 par value
and 200 million shares
authorized) and Paid-in Capital $ 62,268,797 $ 162,729,093 $ 49,231,512 $ 39,792,076
Undistributed
net investment income 0 0 57,550 729,342
Accumulated net realized gain
(loss) on investments sold (1,512,346) (3,596,667) 2,934,447 (192,146)
Net unrealized appreciation
(depreciation) of investments,
futures and options (48,723) 359,632 10,305,497 7,756,233
------------- -------------- ------------- -------------
Total Net Assets $ 60,707,728 $ 159,492,058 $ 62,529,006 $ 48,085,505
------------- -------------- ------------- -------------
------------- -------------- ------------- -------------
Number of Shares Outstanding
at the end of period 6,188,753 15,671,431 3,572,548 3,599,187
------------- -------------- ------------- -------------
NET ASSET VALUE
Per Share $ 9.81 $ 10.18 $ 17.50 $ 13.36
------------- -------------- ------------- -------------
------------- -------------- ------------- -------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- -------------------------------------------------------------------------------
38
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF OPERATIONS
FOR THE SIX-MONTHS ENDED DECEMBER 31, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
INVESTMENT INCOME:
<S> <C> <C> <C> <C>
Interest income $ 1,867,967 $ 5,264,845 $ 26,510 $ 428,121
Dividends 0 0 581,186 283,697
------------- ------------- ------------- -------------
Total investment income $ 1,867,967 $ 5,264,845 $ 607,696 $ 711,818
EXPENSES:
Custodian fees $ 16,099 $ 20,675 $ 10,090 $ 14,894
Accounting fees 20,644 32,319 15,665 16,435
Transfer agent fees 3,630 11,005 3,613 2,982
Legal fees 4,528 4,528 4,528 4,528
Audit and tax return fees 6,088 6,088 6,088 6,088
Director fees and expenses 2,965 2,965 2,965 2,965
Officers and directors insurance 3,730 14,447 3,850 3,053
Administrative and other fees 3,300 6,020 2,564 3,948
------------- ------------- ------------- -------------
Total Expenses $ 60,984 $ 98,047 $ 49,363 $ 54,893
NET INVESTMENT INCOME $ 1,806,983 $ 5,166,798 $ 558,333 $ 656,925
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gain (loss)
on investments sold 700,657 (363,874) 4,855,906 1,941,016
Net realized gain on
closed futures and options contracts 60,789 0 0 18,954
Net change in unrealized appreciation
of investments, futures and options 244,107 1,389,680 738,087 1,974,199
------------- ------------- ------------- -------------
NET GAIN (LOSS) ON INVESTMENTS 1,005,553 1,025,806 5,593,993 3,934,169
------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 2,812,536 $ 6,192,604 $ 6,152,326 $ 4,591,094
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
39
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
FULL MATURITY LIMITED MATURITY
FIXED INCOME PORTFOLIO FIXED INCOME PORTFOLIO
------------------------------------- -------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1996 DECEMBER 31, 1996 JUNE 30, 1996 DECEMBER 31, 1996
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 3,286,328 $ 1,806,983 $ 11,653,180 $ 5,166,798
Net realized gain (loss) on investments
sold and closed futures and
options contracts 328,668 761,446 657,870 (363,874)
Net change in unrealized appreciation
(depreciation) of investments,
futures and options (1,600,342) 244,107 (2,783,917) 1,389,680
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations 2,014,654 2,812,536 9,527,133 6,192,604
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income (3,286,328) (1,806,983) (11,653,180) (5,166,798)
Capital gains distribution -- -- -- --
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from distributions $ (3,286,328) $ (1,806,983) $ (11,653,180) $ (5,166,798)
SHARE TRANSACTIONS:
Subscriptions of fund shares 17,301,502 6,718,785 54,975,361 20,951,224
Investment income dividends
reinvested 2,653,135 1,517,461 9,241,385 3,986,370
Capital gains distribution
reinvested -- -- -- --
------------- ------------- ------------- -------------
Gross increase in fund shares 19,954,637 8,236,246 64,216,746 24,937,594
Redemptions of fund shares (5,265,318) (1,826,135) (47,750,515) (67,667,682)
------------- ------------- ------------- -------------
Net increase (decrease) from
share transactions 14,689,319 6,410,111 16,466,231 (42,730,088)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets $ 13,417,645 $ 7,415,664 $ 14,340,184 $ (41,704,282)
TOTAL NET ASSETS:
Beginning of period 39,874,419 53,292,064 186,856,156 201,196,340
------------- ------------- ------------- -------------
End of period $ 53,292,064 $ 60,707,728 $ 201,196,340 $ 159,492,058
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Undistributed net investment income $ 0 $ 0 $ 0 $ 0
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statements.
- --------------------------------------------------------------------------------
40
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED EQUITY PORTFOLIO BALANCED PORTFOLIO
--------------------------------------------------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1996 DECEMBER 31, 1996 JUNE 30, 1996 DECEMBER 31, 1996
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,043,023 $ 558,333 $ 1,329,333 $ 656,925
Net realized gain on investments
sold and closed futures and
options contracts 5,931,111 4,855,906 4,867,720 1,959,970
Net change in unrealized appreciation
of investments, futures and options 4,737,172 738,087 1,636,437 1,974,199
------------- ------------- ------------- -------------
Net increase in net assets resulting
from operations 11,711,306 6,152,326 7,833,490 4,591,094
------------- ------------- ------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income (1,045,999) (544,213) (1,344,443) (715,060)
Capital gains distribution (2,212,939) (6,206,933) (3,650,612) (3,710,927)
------------- ------------- ------------- -------------
Net decrease in net assets
resulting from distributions $ (3,258,938) $ (6,751,146) $ (4,995,055) $ (4,425,987)
SHARE TRANSACTIONS:
Subscriptions of fund shares 8,994,364 9,718,869 1,576,359 7,242,100
Investment income dividends
reinvested 1,046,655 544,212 1,287,967 618,357
Capital gains distribution
reinvested 2,212,939 6,206,933 3,409,871 3,180,507
------------- ------------- ------------- -------------
Gross increase in fund shares 12,253,958 16,470,014 6,274,197 11,040,964
Redemptions of fund shares (5,905,325) (7,777,076) (12,628,112) (6,250,990)
------------- ------------- ------------- -------------
Net increase (decrease) from
share transactions 6,348,633 8,692,938 (6,353,915) 4,789,974
------------- ------------- ------------- -------------
Net increase (decrease) in net assets $ 14,801,001 $ 8,094,118 $ (3,515,480) $ 4,955,081
TOTAL NET ASSETS:
Beginning of period 39,633,887 54,434,888 46,645,904 43,130,424
------------- ------------- ------------- -------------
End of period $ 54,434,888 $ 62,529,006 $ 43,130,424 $ 48,085,505
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
Undistributed net investment income $ 43,429 $ 57,550 $ 787,475 $ 729,342
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
The accompanying notes to the financial statements are an integral part of these
statemnts.
- --------------------------------------------------------------------------------
41
<PAGE>
AHA INVESTMENT FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
(UNAUDITED)
NOTE 1.
SIGNIFICANT ACCOUNTING POLICIES
The following are the significant accounting policies of Full Maturity Fixed
Income, Limited Maturity Fixed Income, Diversified Equity and Balanced
Portfolios (the "Portfolios"), each a series of AHA Investment Funds, Inc., a
Maryland corporation, ("Fund").
SECURITY VALUATIONS
All securities are recorded at fair market value as of December 31, 1996.
Securities traded on national securities exchanges are valued at last reported
sales prices or, if there are no sales, at the latest bid quotation. Each
over-the-counter security for which the last sale price is available from NASDAQ
is valued at that price. All other over-the-counter securities for which
reliable quotations are available are valued at the latest bid quotation.
Securities convertible into equity securities are valued at the greater of
latest bid valuation or net conversion value. Other assets and securities are
valued by a method that the Board of Directors believes represents a fair value.
ACCOUNTING FOR FUTURES
The Fund may enter into long or short positions in futures contracts in order to
hedge against the effect of changing values on portfolio securities held. When
the Fund enters into a futures contract, it is required to deposit, into a
segregated account at its custodian bank, U.S. Government securities as a
guarantee that it will meet the futures commitment. Each day the Fund receives
or pays cash, called "variation margin," equal to the daily change in the market
value of the futures contracts. Such receipts and payments are recorded as
unrealized gains or losses until the futures contracts expire or are closed out.
Risks of entering into futures contracts include the possibility that there may
be an illiquid market at the time the Portfolios seek to close out a contract
and changes in the value of the futures contract may not correlate with changes
in the value of the portfolio securities being hedged. The Full Maturity Fixed
Income and Balanced Portfolios had open futures contracts as of December 31,
1996.
ACCOUNTING FOR OPTIONS
The Fund may purchase and write (sell) put and call options on U.S. securities,
stock indices, and futures contracts that are traded on U.S. securities
exchanges and over-the-counter markets.
42
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ACCOUNTING FOR OPTIONS (CONTINUED)
The risk associated with purchasing an option is that the Fund pays a premium
whether or not the option is exercised. Additionally, the Fund bears the risk of
loss of premium and change in market value should the counterparty not perform
under the contract. Put and call options purchased are accounted for in the same
manner as portfolio securities. The cost of securities acquired through the
exercise of call options is increased by premiums paid. The proceeds from
securities sold through the exercise of put options are decreased by the
premiums paid.
When the Fund writes an option, the premium received by the Fund is recorded as
a liability and is subsequently adjusted to the current market value of the
option written. Premiums received from writing options which expire unexercised
are recorded by the Fund on the expiration date as realized gains from option
transactions. The difference between the premium and the amount paid on
effecting a close purchase transaction, including brokerage commissions, is also
treated as a realized gain, or if the premium is less than the amount paid for
the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized a gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
security or currency purchased by the Fund. In writing an option, the Fund bears
the market risk of an unfavorable change in the price of the security or
currency underlying the written option. Exercise of an option written by the
Fund could result in the Fund selling or buying a security or currency at a
price different from the current market value. Transactions in put options
written for the six months ending December 31, 1996 for the Fund were as
follows:
- --------------------------------------------------------------------------------
FULL MATURITY
FIXED INCOME BALANCED
----------------------- ---------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS (000'S) CONTRACTS (000'S)
- --------------------------------------------------------------------------------
Options Outstanding at 28 25,438 9 8,438
Beginning of Year
Options Outstanding at 0 $ 0 0 $ 0
12/31/96
- --------------------------------------------------------------------------------
43
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INVESTMENT OBJECTIVES
FULL MATURITY FIXED INCOME PORTFOLIO
Seeks over the long term the highest level of income consistent with
preservation of capital. Invests primarily in high quality fixed income
securities. There is no restriction on the maximum maturity of the securities
purchased. The average dollar-weighted maturity will vary and may exceed 20
years.
LIMITED MATURITY FIXED INCOME PORTFOLIO
Seeks a high level of current income, consistent with preservation of capital
and liquidity. Invests primarily in high quality fixed income securities and
maintains an average dollar-weighted portfolio maturity of five years or less.
DIVERSIFIED EQUITY PORTFOLIO
Seeks long-term capital growth. Invests primarily in equity securities and
securities having equity characteristics.
BALANCED PORTFOLIO
Seeks a combination of growth of capital and income. Invests varying proportions
of its assets in equity and fixed income securities, with not less than 25
percent of total assets invested in fixed income securities.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with respect to any of the types
of securities in which they are authorized to invest without regard to the
maturity of the underlying security. Repurchase agreements will be effected only
with banks, savings institutions and broker-dealers. They involve the purchase
by a Portfolio of a debt security with the condition that, after a stated period
of time, the original seller will buy back the same security at a predetermined
price or yield. Repurchase agreements are used to enhance liquidity and to earn
income for periods as short as overnight. To minimize risk, the securities
underlying each repurchase agreement will be maintained with the Fund's
custodian, or a subcustodian, in an amount at least equal in value to the
repurchase price under the agreement (including accrued interest thereunder),
and such agreements will only be effected with parties that meet certain
creditworthiness standards. However, in the event the other party to the
repurchase agreement fails to repurchase the securities subject to such
agreement, a Portfolio could suffer a loss to the extent it is precluded from
selling the securities or, if due to delays, proceeds from the sale are less
than the repurchase price. The Fund had no outstanding repurchase agreements as
of December 31, 1996.
44
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEDERAL INCOME TAXES
No provision is made for Federal Income Taxes since the Portfolios elect to be
taxed as "regulated investment companies" and make such distributions to their
shareholders as to be relieved of all Federal income taxes under provisions of
current Federal tax law. At June 30, 1996, the Funds' most recent fiscal year
end, the approximate capital loss carryforwards for U.S. Federal income tax
purposes for the Full Maturity Fixed Income Portfolio and the Limited Maturity
Fixed Income Portfolio were approximately $2,200,000 and $3,200,000
respectively. This capital loss carryforward expires beginning in the year
ending June 30, 2003 and is available to offset future capital gains.
USE OF ESTIMATES
The preparation of 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 and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
OTHER INFORMATION
The accounts of the Fund are kept on the accrual basis of accounting. Securities
transactions are recorded on the trade date. Realized gains or losses from sales
of securities are determined on the specific identification cost basis. Dividend
income is recognized on the ex-dividend date.
NOTE 2.
FUND DISTRIBUTIONS
The Full Maturity Fixed Income Portfolio and the Limited Maturity Fixed Income
Portfolio declare income dividends from net investment income daily and pay
these dividends monthly, on the last day of every month.
In the Diversified Equity Portfolio and Balanced Portfolio, dividends from net
investment income are declared on the thirteenth day of the last month of each
quarter; the ex-dividend date is the fourteenth; and payment is made on the
fifteenth. The aggregate distributions of net investment income for the
Diversified Equity Portfolio and Balanced Portfolio were $0.18 and $0.21 per
share, respectively, during the six months ended December 31, 1996.
During the six months ended December 31, 1996, the Diversified Equity and
Balanced Portfolios made a long-term capital gain distribution of $1.3355 and
$0.8111 per share, respectively.
During the six months ended December 31, 1996, the Diversified Equity and
Balanced Portfolios made a short-term capital gain distribution of $0.7162 and
$0.3417 per share, respectively.
45
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3.
DIRECTORS' FEES AND TRANSACTIONS WITH AFFILIATES
Directors not affiliated with Hewitt Associates LLC ("Hewitt") or American
Hospital Association ("AHA") receive $1,000 for each quarterly meeting and $500
for each special meeting of the Board of Directors, or committee thereof, (plus
travel expenses). No remuneration has been paid to any principal or employee of
the Fund's investment consultant, Hewitt, or any director or officer of AHA. The
investments of the Portfolios are managed by various advisory organizations
which serve as the investment managers. The Fund pays no fees to Hewitt or to
the investment managers.
Hewitt is compensated for its services by the shareholders pursuant to The
Program Services Agreement it has with each shareholder, under which Hewitt
provides asset allocation consulting and certain other services. Fees of the
investment managers are paid by Hewitt.
Hewitt has voluntarily undertaken to pay certain expenses of the Portfolios (or
to reimburse the Portfolios for certain expenses) as may be necessary to limit
total expenses of the Portfolios to specified amounts. American Hospital
Association Services, Inc. has, in this regard, agreed to reimburse Hewitt for
one-half of the amounts incurred by Hewitt pursuant to this undertaking. The
maximum expense as a percent of average net assets for the Full Maturity Fixed
Income Portfolio, the Limited Maturity Fixed Income Portfolio, the Diversified
Equity Portfolio, and the Balanced Portfolio is 0.50% (annual percentage). The
Portfolios have reached asset levels which allow the reduction of expenses to
percentage amounts below that set forth above. The Portfolios may reimburse
Hewitt for the expenses of the Portfolios it voluntarily has absorbed on or
after September 1, 1989, provided that such reimbursement does not cause the
percentage expense limitations set forth above to be exceeded and is approved by
the Board of Directors of the Fund. There is no commitment, however, by the Fund
to make any such reimbursement. As of December 31, 1996, approximate expenses
paid on behalf of or reimbursed to the Portfolio by Hewitt since September 1,
1989 were: $101,400 for the Full Maturity Fixed Income Portfolio; $41,000 for
the Limited Maturity Fixed Income Portfolio; $116,000 for the Diversified Equity
Portfolio; and $10,900 for the Balanced Portfolio.
NOTE 4.
SHORT-TERM DEBT
To facilitate portfolio liquidity, each Portfolio is authorized to borrow
against portfolio securities. During the six months ended December 31, 1996,
there were no borrowings.
46
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 5.
INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of securities (exclusive
of short-term obligations) for the six months ended December 31, 1996, is
presented below:
- --------------------------------------------------------------------------------
PORTFOLIO PURCHASES SALES
- --------------------------------------------------------------------------------
Full Maturity Fixed Income $ 116,559,149 $114,079,357
Limited Maturity Fixed Income $ 96,746,385 $133,746,868
Diversified Equity $ 21,579,058 $ 22,512,081
Balanced $ 37,145,636 $ 36,710,255
- --------------------------------------------------------------------------------
At December 31, 1996, gross unrealized appreciation and depreciation of
investments on a tax basis and the cost of investments for financial reporting
purposes and for Federal income tax purposes were as follows:
- --------------------------------------------------------------------------------
COST OF INVESTMENTS
-------------------------
FINANCIAL FEDERAL
PORTFOLIO APPRECIATION DEPRECIATION REPORTING INCOME TAX
- --------------------------------------------------------------------------------
Full Maturity
Fixed Income $ 377,768 $ 426,491 $ 62,210,839 $ 62,210,839
Limited Maturity
Fixed Income $ 674,679 $ 315,047 $ 155,023,339 $ 155,023,339
Diversified Equity $ 10,853,149 $ 547,652 $ 50,644,737 $ 50,644,737
Balanced $ 8,367,427 $ 611,193 $ 39,379,550 $ 39,379,550
- --------------------------------------------------------------------------------
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 6.
TRANSACTIONS IN CAPITAL STOCK SHARES
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED DECEMBER 31, 1996
------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 682,318 2,059,198 526,644 542,874
Investment income dividends
reinvested 155,958 392,764 29,498 44,868
Capital gains distribution
reinvested 0 0 354,075 238,777
---------- ---------- ---------- ----------
Gross increase in fund shares 838,276 2,451,962 910,217 826,519
Redemptions of fund shares (185,586) (6,671,048) (431,955) (449,712)
----------- ----------- ---------- ----------
Net increase (decrease) in fund shares 652,690 (4,219,086) 478,262 376,807
Beginning of Year 5,536,063 19,890,517 3,094,286 3,222,380
----------- ----------- ---------- ----------
End of Period 6,188,753 15,671,431 3,572,548 3,599,187
----------- ----------- ---------- ----------
----------- ----------- ---------- ----------
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED JUNE 30, 1996
-----------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 1,752,269 5,384,961 563,437 121,597
Investment income dividends
reinvested 269,138 904,877 62,641 97,469
Capital gains distribution
reinvested 0 0 139,442 273,885
--------- --------- ---------- ----------
Gross increase in fund shares 2,021,407 6,289,838 765,520 492,951
Redemptions of fund shares (520,065) (4,674,879) (355,860) (963,559)
---------- ----------- ---------- ----------
Net increase (decrease) in fund shares 1,501,342 1,614,959 409,660 (470,608)
Beginning of Year 4,034,721 18,275,558 2,684,626 3,692,988
---------- ----------- ---------- ----------
End of Year 5,536,063 19,890,517 3,094,286 3,222,380
---------- ----------- ---------- ----------
---------- ----------- ---------- ----------
- --------------------------------------------------------------------------------------------------
</TABLE>
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
FULL MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30 SIX MOS.
--------------------------------------------------------------------------- ENDED
1989 (A) 1990 1991 1992 1993 1994 1995 1996 12/31/96
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.30 $10.01 $10.03 $10.58 $10.76 $9.48 $9.88 $9.63
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.55 0.78* 0.79* 0.75 0.72 0.59 0.65 0.65 0.32
Net realized and unrealized
gain (loss) on investments
and futures 0.30 (0.29) 0.02 0.64 0.53 (0.64) 0.40 (0.25) 0.18
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total from Investment Operations 0.85 0.49 0.81 1.39 1.25 (0.05) 1.05 0.40 0.50
LESS DISTRIBUTIONS:
Net investment income (0.55) (0.78) (0.79) (0.75) (0.72) (0.59) (0.65) (0.65) (0.32)
Net realized capital gains (0.00) (0.00) (0.00) (0.09) (0.35) (0.64) (0.00) (0.00) (0.00)
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total Distributions (0.55) (0.78) (0.79) (0.84) (1.07) (1.23) (0.65) (0.65) (0.32)
-------- ------- ------ ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.30 $10.01 $10.03 $10.58 $10.76 $9.48 $9.88 $9.63 $9.81
-------- ------- ------ ------- ------- ------- ------- ------- -------
-------- ------- ------ ------- ------- ------- ------- ------- -------
TOTAL RETURN ON NET ASSET VALUE(B) 8.60% 4.62% 7.87% 13.66% 11.98% -1.43% 10.99% 3.58% 2.24%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period
(in thousands) $1,422 $11,134 $19,893 $47,500 $52,094 $48,752 $39,874 $53,292 $60,708
Ratio of Expenses to Average
Net Assets 0.50%* 0.50%* 0.50%* 0.42% 0.27% 0.24% 0.21% 0.21% 0.22%
Ratio of Net Investment Income to
Average Net Assets 8.12%* 8.44%* 8.06%* 7.37% 6.77% 5.67% 6.88% 6.52% 6.46%
Ratio of Expenses to Average Net
Assets(C) 1.94% 1.36% 0.89% 0.42% 0.27% 0.24% 0.21% 0.21% 0.22%
Ratio of Net Investment Income to
Average Net Assets(C) 6.67% 7.56% 7.68% 7.37% 6.77% 5.67% 6.88% 6.52% 6.46%
Portfolio turnover rate 234.20% 203.83% 411.24% 252.89% 266.03% 331.63% 279.42% 283.13% 205.87%
_________________________
*Reflects the waiver of certain management fees and reimbursement of certain other expenses by the Investment Advisor.
(A)Commencement date for the Full Maturity Fixed Income Portfolio was October 20, 1988.
(B)Total Return on Net Asset Value is net of the management fee of 0.50% per annum.
(C)Ratios include all management fees and expenses.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
LIMITED MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30 SIX MOS.
--------------------------------------------------------------------------- ENDED
1989 (A) 1990 1991 1992 1993 1994 1995 1996 12/31/96
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.07 $9.98 $10.11 $10.48 $10.52 $10.09 $10.22 $10.12
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.43* 0.77* 0.74* 0.64 0.49 0.49 0.62 0.62 0.31
Net realized and unrealized gain (loss)
on investments and futures 0.07 (0.09) 0.13 0.45 0.12 (0.32) 0.13 (0.10) 0.06
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total from Investment Operations 0.50 0.68 0.87 1.09 0.61 0.17 0.75 0.52 0.37
LESS DISTRIBUTIONS:
Net investment income (0.43) (0.77) (0.74) (0.64) (0.49) (0.49) (0.62) (0.62) (0.31)
Net realized capital gains (0.00) (0.00) (0.00) (0.08) (0.08) (0.11) (0.00) (0.00) (0.00)
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total Distributions (0.43) (0.77) (0.74) (0.72) (0.57) (0.60) (0.62) (0.62) (0.31)
-------- ------- ------ ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.07 $9.98 $10.11 $10.48 $10.52 $10.09 $10.22 $10.12 $10.18
-------- ------- ------ ------- ------- ------- ------- ------- -------
-------- ------- ------ ------- ------- ------- ------- ------- -------
TOTAL RETURN ON NET ASSET VALUE(B) 5.01% 6.52% 8.49% 10.46% 5.49% 1.14% 7.19% 4.66% 3.41%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $6,284 $18,522 $30,151 $101,881 $162,694 $189,542 $186,856 $201,196 $159,492
Ratio of Expenses to Average Net Assets 0.50%* 0.50%* 0.50%* 0.29% 0.17% 0.14% 0.12% 0.10% 0.12%
Ratio of Net Investment Income to
Average Net Assets 8.49%* 8.04%* 7.49%* 6.02% 4.66% 4.73% 6.17% 6.03% 6.08%
Ratio of Expenses to Average
Net Assets(C) 1.97% 0.88% 0.55% 0.29% 0.17% 0.14% 0.12% 0.10% 0.12%
Ratio of Net Investment Income to
Average Net Assets(C) 7.01% 7.66% 7.45% 6.02% 4.66% 4.73% 6.17% 6.03% 6.08%
Portfolio turnover rate 0.00% 137.50% 279.16% 99.86% 167.38% 178.01% 155.12% 132.75% 58.59%
_________________________
*Reflects the waiver of certain management fees and reimbursement of certain other expenses by the Investment Advisor.
(A)Commencement date for the Limited Maturity Fixed Income Portfolio was December 22, 1988.
(B)Total Return on Net Asset Value is net of the management fee of 0.50% per annum.
(C)Ratios include all management fees and expenses.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
DIVERSIFIED EQUITY PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30 SIX MOS.
--------------------------------------------------------------------------- ENDED
1989 (A) 1990 1991 1992 1993 1994 1995 1996 12/31/96
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $11.16 $11.42 $11.47 $12.95 $13.95 $13.90 $14.76 $17.59
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.35* 0.43* 0.35* 0.31* 0.25* 0.26 0.29 0.35 0.18
Net realized and unrealized gain
on investments 1.12 0.52 0.08 1.52 1.70 0.45 2.34 3.57 1.96
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total from Investment Operations 1.47 0.95 0.43 1.83 1.95 0.71 2.63 3.92 2.14
LESS DISTRIBUTIONS:
Net investment income (0.31) (0.44) (0.34) (0.31) (0.25) (0.26) (0.29) (0.35) (0.18)
Net realized capital gains (0.00) (0.25) (0.04) (0.04) (0.70) (0.50) (1.48) (0.74) (2.05)
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total Distributions (0.31) (0.69) (0.38) (0.35) (0.95) (0.76) (1.77) (1.09) (2.23)
-------- ------- ------ ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $11.16 $11.42 $11.47 $12.95 $13.95 $13.90 $14.76 $17.59 $17.50
-------- ------- ------ ------- ------- ------- ------- ------- -------
-------- ------- ------ ------- ------- ------- ------- ------- -------
TOTAL RETURN ON NET ASSET VALUE(B) 14.45% 7.76% 3.24% 15.14% 14.47% 4.21% 20.11% 26.42% 11.81%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $3,556 $7,920 $10,725 $13,878 $21,087 $22,547 $39,634 $54,435 $62,529
Ratio of Expenses to Average Net Assets 0.50%* 0.50%* 0.50%* 0.50%* 0.50%* 0.40% 0.31% 0.18% 0.18%
Ratio of Net Investment Income to
Average Net Assets 4.88%* 4.45%* 3.37%* 2.13%* 1.90%* 1.83% 2.30% 2.09% 2.02%
Ratio of Expenses to Average Net
Assets(C) 2.68% 1.33% 1.08% 0.66% 0.53% 0.40% 0.31% 0.18% 0.18%
Ratio of Net Investment Income to
Average Net Assets(C) 2.70% 3.61% 2.80% 1.97% 1.87% 1.83% 2.30% 2.09% 2.02%
Portfolio turnover rate 29.99% 33.57% 72.49% 65.89% 45.87% 100.45% 68.12% 57.76% 40.26%
_________________________
*Reflects the waiver of certain management fees and reimbursement of certain other expenses by the Investment Advisor.
(A)Commencement date for the Diversified Equity Portfolio was October 20, 1988.
(B)Total Return on Net Asset Value is net of the management fee of 0.75% per annum.
(C)Ratios include all management fees and expenses.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30 SIX MOS.
--------------------------------------------------------------------------- ENDED
1989 (A) 1990 1991 1992 1993 1994 1995 1996 12/31/96
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.00 $10.68 $10.69 $10.87 $12.03 $12.76 $11.66 $12.63 $13.38
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.39* 0.56* 0.54* 0.44 0.44 0.42 0.32 0.41 0.21
Net realized and unrealized gain (loss)
on investments and futures 0.64 0.11 0.21 1.16 1.18 (0.26) 1.44 1.98 1.13
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total from Investment Operations 1.03 0.67 0.75 1.60 1.62 0.16 1.76 2.39 1.34
LESS DISTRIBUTIONS:
Net investment income (0.35) (0.56) (0.57) (0.44) (0.44) (0.42) (0.32) (0.41) (0.21)
Net realized capital gains (0.00) (0.10) (0.00) (0.00) (0.45) (0.84) (0.47) (1.23) (1.15)
-------- ------- ------ ------- ------- ------- ------- ------- -------
Total Distributions (0.35) (0.66) (0.57) (0.44) (0.89) (1.26) (0.79) (1.64) (1.36)
-------- ------- ------ ------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.68 $10.69 $10.87 $12.03 $12.76 $11.66 $12.63 $13.38 $13.36
-------- ------- ------ ------- ------- ------- ------- ------- -------
-------- ------- ------ ------- ------- ------- ------- ------- -------
TOTAL RETURN ON NET ASSET VALUE(B) 9.96% 5.34% 6.62% 13.99% 13.02% 0.29% 14.97% 19.20% 9.74%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $13,545 $34,565 $33,547 $34,853 $41,313 $46,523 $46,646 $43,130 $48,087
Ratio of Expenses to Average Net Assets 0.50%* 0.50%* 0.50%* 0.38% 0.31% 0.26% 0.21% 0.23% 0.24%
Ratio of Net Investment Income to
Average Net Assets 6.06%* 6.12%* 4.92%* 3.73% 3.51% 3.39% 4.12% 3.08% 2.86%
Ratio of Expenses to Average Net
Assets(C) 1.27% 0.52% 0.52% 0.38% 0.31% 0.26% 0.21% 0.23% 0.24%
Ratio of Net Investment Income to
Average Net Assets(C) 5.29% 6.11% 4.89% 3.73% 3.51% 3.39% 4.12% 3.08% 2.86%
Portfolio turnover rate 106.23% 132.60% 201.36% 201.93% 132.14% 208.31% 160.41% 146.69% 86.07%
_________________________
*Reflects the waiver of certain management fees and reimbursement of certain other expenses by the Investment Advisor.
(A)Commencement date for the Balanced Portfolio was October 20, 1988.
(B)Total Return on Net Asset Value is net of the management fee of 0.75% per annum.
(C)Ratios include all management fees and expenses.
- ---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
