FFTW FUNDS, INC.
Semi-Annual Report
June 30, 1995
200 PARK AVENUE
NEW YORK, NY 10166
TELEPHONE 212.681.3000
FACSIMILE 212.681.3250
August 22, 1995
Dear Shareholder:
We are pleased to present the Semi-Annual Report for
the first six months of 1995. The FFTW Funds, Inc. currently
consists of five Portfolios, each reflecting a strategy pursued
over many years by the Fund's investment adviser, Fischer
Francis Trees & Watts, Inc.
In contrast to 1994, the first six months saw rate
declines in major bond markets with U.S., German and
Japanese long bond rates falling by 126, 37 and 161 basis
points, respectively. Market participants had generally
expected upward pressure on rates but the Fed's tightening in
the U.S. early in the year was followed by lower rates as
weaker economic activity provided evidence of a "soft
landing" and muted inflationary forces. The dollar's steep
decline against the yen and deutschemark was also largely
unanticipated as prevailing sentiment had long seen the dollar
as fairly or undervalued. A combination of the Kobe
earthquake, continuing financial problems and a weak
domestic stock market reinforced the tendency for Japan to
resist overseas consumption or investment. With significant
global concern about the Mexican crisis and its potential
effects on all emerging markets, investors rushed to buy
strong currency markets -- putting upward pressure on the
deutschemark and the yen.
Domestic Portfolios generally outperformed their
benchmarks as duration and yield curve positioning generally
added to returns. The Worldwide Portfolios -- Worldwide
Short-Term, Worldwide Fixed Income and Worldwide Fixed
Income- Hedged -- had disappointing results relative to
benchmarks, reflecting stronger than anticipated bond
markets and the dramatic decline in the dollar against major
currencies.
We greatly appreciate your participation in the FFTW
Funds. We welcome the opportunity to discuss our Portfolios
in a continuing effort to meet your investment needs. Please
do not hesitate to contact us with questions or comments
regarding this report, or for any assistance.
Yours sincerely,
by: \s\ O. John Olcay
O. John Olcay
<TABLE>
TABLE OF CONTENTS
<S> <C>
U.S. Short-Term Fixed Income Portfolio
Overview 1
Statement Of Net Assets 2
Schedule of Open Written Options Contracts 5
Stable Return Portfolio
Overview 6
Statement Of Net Assets 7
Statement Of Cash Flows 8
Worldwide Short-Term Fixed Income Portfolio
Overview 9
Statement Of Assets and Liabilities and Schedule of Investments 10
Worldwide Fixed Income Portfolio
Overview 11
Statement Of Assets and Liabilities and Schedule of Investments 12
Worldwide Fixed Income-Hedged Portfolio
Overview 14
Statement Of Assets and Liabilities 15
Statement Of Operations 16
Statement of Changes in Net Assets 18
Financial Highlights 21
Notes to Financial Statements 27
</TABLE>
U.S. SHORT-TERM FIXED INCOME PORTFOLIO
Graph: Comparison of change in value of $10,000 investment in U.S. Short-
Term Fixed Income Portfolio and the Donoghue's Money Market Fund Average
where the Y-axis ranges from $10,000 to $13,197 and the X-axis ranges from
12/6/89 to 6/30/95.
The U.S. Short-Term Fixed Income Portfolio rose by 2.95% during the
first six months of the year, outperforming its benchmark, the IBC Donoghue's
Money Market Fund Average, by 22 basis points. For the 12-month and five-
year periods ending June 30, 1995, the Portfolio has outperformed its
benchmark by an annualized rate of 41 and 35 basis points, respectively. It
ended the period with net assets of $322.3 million. The Portfolio invests in
high-quality, short-term, dollar-denominated securities. It seeks to attain a
high level of total return while preserving capital and maintaining liquidity.
Average weighted duration is maintained at less than one year.
Developments in the First Quarter
Interest rates fell and the yield curve flattened as investors became
more positive on the markets despite a falling dollar and Federal Reserve
tightening. Having started the quarter with considerable pessimism about rate
decline prospects, market participants became increasingly convinced that
further tightening would not be needed. The Portfolio's favorable duration
exposures and yield curve positioning led to its outperformance.
Developments in the Second Quarter
Interest rates declined dramatically during the quarter as economic data
appeared much weaker than expected and fears of economic slowdown returned
to the market. Market volatility increased significantly. With such a rapid
fall in rates, the Portfolio's duration positioning detracted slightly from
performance, although this was somewhat offset by tactical yield curve
positioning. The net result was a slight underperformance for the quarter.
<TABLE>
U.S. SHORT-TERM FIXED INCOME PORTFOLIO - STATEMENT June 30, 1995 (Unaudited)
OF NET ASSETS
<S> <C> <C>
Face
Amount Value
Bank Obligations - 20.6%
Bank of America Bank Note, 5.64% due 9/21/95 $10,000,000 $10,000,000
Bank of America Bankers Acceptance, 6.100% due 8/24/95 3,000,000 2,972,550
Bank of Boston Nassau, Time Deposit, 6.188% due 7/3/95 7,507,000 7,507,000
Canadian Imperial Bank Yankee CD, 6.070% due 8/15/95 7,000,000 7,000,655
Canadian Imperial Bank Yankee CD, 5.980% due 9/5/95 5,000,000 5,000,650
FCC National Bank, 5.390% due 2/20/96++ 4,000,000 3,991,652
Mellon Bank, Bank Note, 6.240% due 11/1/95 5,000,000 5,006,865
Mellon Bank Euro CD, 6.000% due 8/30/95 5,000,000 5,000,000
Nationsbank Texas, 6.0625% due 6/18/97++ 10,000,000 9,993,000
Societe Generale Yankee CD, 5.910% due 9/14/95 10,000,000 9,998,941
Total (Cost - $66,471,197) 66,471,313
Asset- & Mortgage-Backed Securities - 45.4%
Advanta Credit Card Master Trust, Ser. 1993-2, Cl. A, 6.2925% due 8/31/00++ 9,625,000 9,658,293
CARAT, Ser. 1992-1, Cl. A3, 5.750% due 12/15/97 5,418,999 5,410,955
Chase Manhattan Credit Card, Ser. 1995-2, Cl. A, 6.925% due 8/15/01++ 6,500,000 6,500,000
Discover Card Trust, Ser. 1992-A, Cl. A, 5.500% due 5/16/98 2,750,000 2,739,795
Federal Home Loan Mortgage Corp., Ser. 1610, Cl. PA, 4.250% due 11/15/03 5,799,909 5,763,422
Federal National Mortgage Assn. ARM, 6.799% due 9/1/16++ 13,267,916 13,525,977
Federal National Mortgage Assn., Ser 1990-127, Cl. F, 6.944% due 10/25/20++ 2,512,400 2,547,521
HFCHC, Ser. 1990-2, Cl. A1, 6.78% due12/20/95++ 653,841 655,064
HFCHC, Ser. 1992-1, Cl. A1, 6.4625% due 5/20/07++ 4,495,459 4,508,091
HFCHC, Ser. 1992-2, Cl. A2, 6.423% due 10/20/07++ 1,490,522 1,495,173
HFCHC, Ser. 1993-1, Cl. A1, 6.430% due 5/20/08++ 8,165,012 8,182,811
Independent National Mortgage, Ser. 1994-0, Cl. A10, 7.500% due 9/25/24 5,515,272 5,546,295
John Deere Owner Trust, Ser. 1993-A, Cl. A2, 6.4375% due 4/29/00++ 5,113,523 5,118,989
MBNA Credit Card Trust, Ser. 1991-A, Cl. A, 8.250% due 6/30/98 9,000,000 9,023,391
Merrill Lynch Trust Series, Ser. 10, Cl. B, 6.7875% due 7/25/17++ 11,239,518 11,255,916
Merrill Lynch Mortgage Investors Inc., Ser. 1994-F, Cl. A1, 6.3125% due 4/15/19++ 3,478,570 3,473,678
Merrill Lynch Mortgage Investors Inc., Ser. 1993-I, Cl. A1, 6.3925% due 12/15/23++ 1,366,841 1,366,631
MLCC Mortgage Investors Inc., Ser. 1994-B, Cl. A1, 6.463% due 12/15/19++ 1,724,952 1,723,600
Merrill Lynch Home Equity Loan, Ser. 1993-1, Cl. A, 6.5% due 2/15/03++ 1,252,176 1,252,375
Novus Home Equity Line of Credit Trust, Ser. 1993-1, Cl. A, 6.513% due 12/31/03++ 5,484,007 5,497,717
PNC Mortgage Securities Corp., Ser. 1994-2, Cl. A1, 6.743% due 5/25/24++ 2,204,814 2,202,747
Premier Auto Trust, Ser. 1995-2, Cl. A-5, 7.150% due 2/4/99 100,000 102,061
Prudential Home Mortgage Securities, Ser. 1992-48, Cl. A2, 7.50% due 1/25/23 6,886,153 6,883,599
Prudential Securities Secured Finance Corp., Ser. 1993-3, Cl. A3, 7.50% due 6/25/23 1,404,277 1,402,522
Residential Funding Mortgage, Ser. 1993-S41, Cl. A1, 6.849% due 9/25/23 1,632,415 1,632,925
Residential Funding Mortgage, Ser. 1993-S31, Cl. A1, 7.000% due 9/25/23 5,201,334 5,187,390
Resolution Trust Corp., Ser. 1994-M2, Cl. A1, 6.865% due 3/25/20++ 3,041,893 3,049,498
Resolution Trust Corp., Ser. 1992-CHF, Cl. A2, 7.155% due 12/25/20++ 763,631 771,267
Resolution Trust Corp., Ser. 1992-11, Cl. A1, 6.885% due 10/25/24++ 8,587,991 8,598,726
Santa Barbara Funding II, Ser. A, Cl. 1, 6.7125% due 3/20/18++ 591,801 596,014
Standard Credit Card Trust, Ser. 1992-2, Cl. A, 5.875% due 7/7/95 1,000,000 999,969
Asset- & Mortgage-Backed Securities (cont'd)
Standard Credit Card Trust, Ser. 1992-2, Cl. B, 6.125% due 8/7/95# 5,640,000 5,640,050
The Money Store Home Equity Trust, Ser. 1995-A2, Cl. A7,
6.5825% due 6/15/25++ 3,948,324 3,948,324
Total (Cost - $146,410,314) 146,260,786
Commercial Paper - 21.7%*
Abbey National N.A., 5.860% due 9/21/95 5,000,000 4,933,261
Coca Cola Company, 5.950% due 11/3/95 3,500,000 3,427,691
Coca Cola Finance Company, 5.950% due 11/3/95 12,000,000 11,752,083
Emerson Electric Co., 5.870% due 8/11/95 15,000,000 14,899,721
Ford Motor Credit Co., 5.930% due 8/1/95 5,000,000 4,974,468
General Electric Capital Corp., 5.950% due 7/5/95 1,513,000 1,512,000
General Electric Capital Corp., 5.940% due 8/2/95 6,000,000 5,968,320
Hanson Finance PLC, 6.000% due 8/3/95 12,000,000 11,934,000
Hanson Finance PLC, 5.900% due 8/31/95 4,000,000 3,960,011
Student Loan Corp., 5.930% due 8/1/95 6,500,000 6,466,808
Total (Cost - $69,828,363) 69,828,363
Corporate Obligations - 12.5%
Ameritech Capital Funding, 6.1125% due 5/12/98++ 5,000,000 4,997,690
AT&T Capital Corp., 6.07126% due 10/5/95++ 9,000,000 8,994,492
AT&T Capital Corp., 5.580% due 5/24/96++ 6,000,000 5,975,580
CIT Group Holdings, 5.780% due 5/2/97++ 4,000,000 3,986,196
General Electric Capital Corp., 5.680% due 5/12/97++ 6,200,000 6,181,859
World Savings & Loan, 6.0625% due 3/15/96++ 10,000,000 9,980,660
Total (Cost - $40,183,705) 40,116,477
U.S. Government Obligations - 0.9%
U.S. Treasury Bill, 5.644% due 10/12/95*# 3,000,000 2,953,788
Total (Cost - $2,915,228)
Long OptioContracts
August '95 Eurodollar 94.75 Call Expiring 8/25/95 169 8,450
September '95 Eurodollar 94.25 Call Expiring 9/25/95 169 97,175
September '95 Eurodollar 94.00 Put Expiring 9/18/95 169 29,575
Total (Cost - $163,881) 135,200
Total Investments - 101.1% (Cost - $325,972,688) 325,765,927
Other Assets and Liabilities - (1.1%)
Receivable From Investment Adviser 366,688
Other Assets 1,934,505
Payable For Securities Purchased (5,519,868)
Open written options contracts (cost - $113,859) (101,400)
Other Liabilities (131,908)
Total Other Assets and Liabilities, net (3,451,983)
Net Assets - 100.0%
Applicable to 32,591,314 outstanding $.001 par value shares
(authorized 200,000,000 shares) 322,313,944
Net Asset Value Per Share $ 9.89
Components of Net Assets as of June 30, 1995 were as follows:
Capital Stock at par value ($.001) $ 32,591
Capital Stock in excess of par value 326,325,438
Temporary overdistribution of net investment income (72,363)
Accumulated net realized (loss) on investments, options and
financial futures contracts (3,777,420)
Net unrealized (loss) on investments and options contracts (194,302)
$ 322,313,944
<FN>
++ Variable or floating rate securities. Coupon rate shown reflects current rate.
# Assets currently held in a segregated account.
* Interest rate shown represents yield to maturity at date of purchase.
See Notes To Financial Statements
</FN>
</TABLE>
<TABLE>
SCHEDULE OF OPEN WRITTEN OPTION CONTRACTS As of June 30, 1995 (Unaudited)
(For U.S. Short-Term Fixed Income Portfolio)
<S> <C> <C> <C> <C> <C>
Unrealized
Number of Exercise Expiration Value at Appreciation
Name of Issuer Contracts Price Date 6/30/95 (Depreciation)
Sept. '95 Eurodollar (Call) 169 $ 94.50 9/18/95 $ 46,475 $ 11,565
Sept. '95 Eurodollar (Call) 169 94.75 9/18/95 21,125 3,115
Sept. '95 Eurodollar (Put) 338 93.75 9/25/95 33,800 (2,221)
$ 101,400 $ 12,459
</TABLE>
STABLE RETURN PORTFOLIO
Graph: Comparison of change in value of $10,000 investment in Stable Return
Portfolio and the Merrill Lynch 1-2.99 Year Index where the Y-axis ranges from
$10,000 to $10,993 and the X-axis ranges from 7/26/93 to 6/30/95.
The Stable Return Portfolio rose by 7.03% in the first half of the year,
compared to its benchmark, the Merrill Lynch 1-2.99 Year Treasury Index, which
rose by 6.67%. Net assets at the end of the period were $4.8 million. The
Portfolio's objective is to maintain as stable a rate of return as is consistent
with preservation of capital by investing primarily in high-quality debt
securities with an average duration of less than three years.
Developments in the First Quarter
The Portfolio was defensively positioned through the first half of the quarter.
Later, the duration of the Portfolio was lengthened in anticipation of declining
interest rates, resulting in moderate outperformance for the quarter.
Developments in the Second Quarter
The Portfolio outperformed its benchmark in the quarter as volatility
soared and the yield curve flattened. The Portfolio benefited from correct
anticipation of a rise in rates early in the period but generally kept to more
neutral stance as the rally proved faster and more extended than most market
upturns. Yield curve positioning added to returns while holdings of
non-Treasury securities detracted somewhat as spreads widened.
<TABLE>
STABLE RETURN PORTFOLIO - STATEMENT OF NET ASSETS June 30, 1995 (Unaudited)
<S> <C> <C>
Face
Amount Value
Long Term Investments - 119.8%
U.S. Treasury Note, 5.500% due 4/30/96# $ 2,750,000 $ 2,743,983
U.S. Treasury Note, 7.500% due 1/31/97 2,150,000 2,203,750
U.S. Treasury Note, 6.875% due 2/28/97 150,000 152,438
U.S. Treasury Note, 6.500% due 4/30/97 220,000 222,475
U.S. Treasury Note, 6.125% due 5/31/97 420,000 422,230
Total (Cost - $5,716,756) 5,744,876
Short Term Investments - 3.9%
Bank of Boston Nassau Time Deposit, 6.188% due 7/3/95 89,000 89,000
U.S. Treasury Bill, 5.400% due 10/12/95*# 100,000 98,460
Total (Cost - $187,365) 187,460
Total Investments - 123.7% (Cost - $5,904,121) 5,932,336
Other Assets and Liabilities - (23.7%)
Receivable from Investment Adviser 34,740
Other Assets 102,219
Eastbridge Capital Reverse Repurchase Agreement, 5.93% due 7/3/95 (Dated 6/30/95
Collateralized By $100,000 U.S. Treasury Note, 6.125% due 5/31/97) 101,125 (101,125)
Sanwa Bank Reverse Repurchase Agreement, 5.93% due 7/3/95 (Dated 6/30/95
Collateralized By $1,050,000 U.S. Treasury Note, 7.5% due 1/31/97) 1,163,250 (1,163,250)
Other Liabilities (10,594)
Other Assets and Liabilities (1,138,010)
Net Assets - 100.0%
Applicable to 484,403 outstanding $.001 par value shares
(authorized 100,000,000 shares) $ 4,794,326
Net Asset Value Per Share $ 9.90
Components of Net Assets as of June 30, 1995 were as follows:
Capital Stock at par value ($.001) 484
Capital Stock in excess of par value 4,813,277
Undistributed net investment income 129
Accumulated net realized (loss) on investments and financial futures contracts (47,494)
Net unrealized gain on investments and financial futures contracts 27,930
$ 4,794,326
<FN>
# Assets currently held in a segregated account.
* Interest rate shown represents yield to maturity at date of purchase.
See Notes To Financial Statements
</FN>
</TABLE>
<TABLE>
STABLE RETURN PORTFOLIO - STATEMENT OF CASH FLOWS Six Months Ended June 30, 1995
<S> <C>
Increase (Decrease) in Cash
Cash Flows from Operating Activities
Net Investment income $ 145,406
Adjustments to reconcile net investment income
to net cash provided by operating activities:
Increase in receivables and other assets related to operations (46,888)
Decrease in payables related to operations (298,735)
Net amortization of discount/premium (25,003)
Net cash used for operating activities (225,220)
Cash Flows used for Investing Activities
Purchases of investments (30,133,915)
Sales of investments 29,226,463
Net sales of short-term investments 695,612
Net proceeds from futures transactions 24,249
Net cash used for investing activities (187,591)
Cash Flows provided by Financing Activities
Shares of capital stock sold 150,000
Net proceeds from issuance of reverse repurchase agreements 265,625
Dividends to shareholders (net of reinvestments of $142,139) (3,138)
Net cash provided by financing activities 412,487
Net decrease in cash (324)
Cash at beginning of year 692
Cash at end of year $ 368
Cash paid during the period for interest $ 28,054
</TABLE>
WORLDWIDE SHORT-TERM FIXED INCOME PORTFOLIO
Graph: Comparison of change in value of $10,000 investment in Worldwide Short-
Term Fixed Income Portfolio and the J.P. Morgan 3-Month Eurodeposit Index where
the Y-axis ranges from $10,000 to $10,816 and the X-axis ranges from 12/13/93 to
6/30/95.
The Worldwide Short-Term Fixed Income Portfolio rose by
1.16% during the first half of the year underperforming its benchmark,
the J.P. Morgan 3-month Eurodollar Index, which rose 3.35%. The
Portfolio seeks as high a return as is consistent with preservation of
principal by investing in debt securities from bond markets around the
world, with an average duration of less than one year. Net assets totaled
$37.4 million as of June 30, 1995.
Developments in the First Quarter
The Portfolio was positioned defensively, with underweightings
in major markets and a shorter duration in the U.S., reflecting
expectations of a stronger economic environment. An initial
underweighting of the yen vs. the deutschemark and overweighting of
the dollar, reversed during the course of the quarter, contributed to the
Portfolio's underperformance.
Developments in the Second Quarter
The U.S. bond market was overweighted, reflecting expectations
of weaker economic activity. Yen bonds were underweighted, as the
Japanese economy was expected to strengthen. In Europe, German
bonds were overweighted. Exposures were modest given market
volatility, lack of trend and uncertainty about the factors driving interest
rates.
<TABLE>
WORLDWIDE SHORT-TERM FIXED INCOME PORTFOLIO-STATEMENT OF ASSETS
AND LIABILITIES AND SCHEDULE OF INVESTMENTS June 30, 1995 (Unaudited)
<S> <C> <C>
Face
Amount (a) Value
U.S. Obligations - 71.3%
AT&T Capital Corp., 5.580% due 5/24/96++# 2,000,000 $ 1,991,860
Bank Of Boston Nassau Time Deposit, 6.188% due 7/3/95 6,695,000 6,695,000
CIT Group Holdings, 5.780% due 5/2/97++# 2,000,000 1,993,098
Federal Home Loan Mortgage Corp. Discount Note, 5.89% due 7/20/95 5,000,000 4,984,457
Federal Home Loan Mortgage Corp. Discount Note, 5.38% due 7/24/95 5,000,000 4,981,313
General Electric Capital Corp, 5.680% due 5/12/97++# 3,000,000 2,991,222
Toyota Motor Credit Corp., 5.680% due 6/3/96++# 2,500,000 2,496,750
U.S. Treasury Bill, 5.580% due 7/20/95*# 510,000 508,497
Total (Cost - $26,667,297) 26,642,197
Foreign Governmemt Obligations - 13.1%
Canadian Government Bond, 8.75% due 12/1/05 2,200,000 CAD 1,687,530
Spanish Government Bond, 8.65% due 3/25/00# 380,000,000 ESP 3,221,260
Total (Cost - $4,909,207) 4,908,790
Total Investments - 84.4% (Cost - $31,576,504) 31,550,987
Other Assets and Liabilities - 15.6%
Receivable From Investment Adviser 96,966
Receivable From Securities Sold 2,781,932
Foreign Currency Holdings (Cost - $2,652,617) 2,828,883
Other Assets 208,506
Liabilities (90,867)
Other Assets and Liabilities, net 5,825,420
Net Assets - 100.0%
Applicable to 3,846,253 outstanding $.001 par value shares
(authorized 100,000,000 shares) $37,376,407
Net Asset Value Per Share $ 9.72
Components of Net Assets as of June 30, 1995 were as follows:
Capital Stock at par value ($.001) $ 3,846
Capital Stock in excess of par value 38,492,904
Undistributed net investment income 3,213
Accumulated net realized (loss) on investments, financial futures
contracts, and foreign currency-related transactions (1,196,304)
Net unrealized gain on investments, financial futures contracts,
and on assets and liabilities denominated in foreign currency 72,748
$ 37,376,407
<FN>
++ Variable or floating rate securities. Coupon rate shown reflects current rate.
# Assets currently held in a segregated account.
* Interest rate shown represents yield to maturity at date of purchase.
(a) Face amount stated in U.S. dollars unless otherwise noted.
See Notes To Financial Statements
</FN>
</TABLE>
WORLDWIDE FIXED INCOME PORTFOLIO
Graph: Comparison of change in value of $10,000 investments in Worldwide
Fixed Income Portfolio and the J.P. Morgan Global Unhedged Bond Index where
the Y-axis ranges from $10,000 to $14,043 and the X-axis ranges from
4/15/92 to 6/30/95.
The Worldwide Fixed Income Portfolio rose 7.74% in the first
half of the year. Its benchmark, the J.P. Morgan Global Unhedged Bond
Index, rose 15.56%. The Portfolio's net assets totaled $34.9 million on
June 30, 1995.
The Portfolio's objective is to achieve a high level of total return,
consistent with the preservation of capital by investing in bonds from
around the world, denominated in U.S. dollars and other currencies. The
Portfolio's duration should not exceed six years.
Developments in the First Quarter
Major markets were predominantly underweighted during the
first quarter. Appreciation of the yen and mark, the Mexican crisis,
together with a moderation of expectations for the US economy, all
contributed to lower rates and underperformance against the
benchmark.
Developments in the Second Quarter
Bond market exposure reflected a view that U.S. rates would
continue to decline and the dollar would appreciate somewhat against
the yen. European bonds, primarily German bonds, were overweighted,
while Japanese bonds were defensively positioned in anticipation of a
pick-up in economic activity. However, Japanese rates declined and the
dollar was stable causing the Portfolio to underperform the benchmark.
<TABLE>
WORLDWIDE FIXED INCOME PORTFOLIO-STATEMENT OF ASSETS AND
LIABILITIES AND SCHEDULE OF INVESTMENTS June 30, 1995 (Unaudited)
<S> <C> <C>
Face
Amount (a) Value
Long-Term Investments
U.S. Obligations - 17.1%
U.S. Treasury Note, 6.125% due 5/31/97# 2,800,000 $ 2,814,871
U.S. Treasury Note, 6.500% due 5/15/05# 950,000 969,594
U.S. Treasury Bond, 7.875% due 2/15/21# 1,900,000 2,163,625
Total (Cost - $5,970,002) 5,948,090
Foreign Government Obligations - 64.5%
Australian Government Bond, 7.500% due 7/15/05 365,000 AUD 230,420
Canadian Government Bond, 9.000% due 12/01/04 1,000,000 CAD 777,741
Canadian Government Bond, 8.750% due 12/01/05# 2,000,000 CAD 1,534,118
Deutschland Republic, 7.500% due 11/11/04 900,000 DEM 669,992
Kingdom of Denmark, 7.000% due 12/15/04 5,000,000 DK 834,505
Kingdom of Denmark, 8.000% due 3/15/06 2,100,000 DK 369,695
French Treasury Bill, 7.750% due 4/12/00 14,000,000 FFR 2,955,470
Buoni Polienalli Del Tes, 8.500% due 8/1/99# 2,330,000,000 ITL 1,260,530
Japanese Governemnt Bond, 6.400% due 3/20/00 200,000,000 JPY 2,817,400
Japanese Government Bond, 5.700% due 6/20/02 150,000,000 JPY 2,109,900
Japanese Government Bond, 4.100% due 12/22/03 55,000,000 JPY 708,015
Japanese Government Bond, 4.600% due 9/20/04 60,000,000 JPY 807,360
Netherlands Government Bond, 5.750% due 1/15/04 1,700,000 NG 1,015,719
Spanish Government Bond, 7.400% due 7/30/99 110,000,000 ESP 789,910
Spanish Government Bond, 12.250% due 3/25/00# 360,000,000 ESP 3,051,720
Kingdom of Sweden, 6.000% due 2/9/05# 2,500,000 SK 247,093
United Kingdom Treasury, 8.000% due 12/7/00# 1,300,000 GBP 2,049,177
United Kingdom Treasury, 6.750% due 11/26/04 200,000 GBP 282,460
Total (Cost - $22,343,049) 22,511,225
Total Long-Term Investments - 81.6% (Cost - $28,313,051) 28,459,315
Short-Term Investments - 16.0%
FHLMC Discount Note, 5.85% due 7/24/95* 2,000,000 1,992,525
Bank of Boston Nassau Time Deposit, 6.188% due 7/3/95 3,599,000 3,599,000
Total (Cost - $5,591,525) 5,591,525
Total Investments - 97.6% (Cost - $33,904,576) 34,050,840
Other Assets and Liabilities - 2.4%
Receivable From Investment Adviser 88,220
Receivable From Securities Sold 10,158,749
Foreign Currency Holdings (Cost - $1,777,100) 1,791,297
Other Assets 640,725
Payable For Securities Purchased (11,332,591)
Other Liabilities (517,900)
Total Other Assets and Liabilities, net 828,500
Net Assets - 100.0%
Applicable to 3,600,303 outstanding $.001 par value shares
(authorized 100,000,000 shares) 34,879,340
Net Asset Value Per Share $ 9.69
Components of Net Assets as of June 30, 1995 were as follows:
Capital Stock at par value ($.001) $ 3,600
Capital Stock in excess of par value 45,147,303
Temporary overdistribution of net investment income (102,193)
Accumulated net realized (loss) on investments, financial futures
contracts, and foreign currency-related transactions (10,205,450)
Net unrealized gain on investments, financial futures contracts,
and on assets and liabilities denominated in foreign currency 36,080
$ 34,879,340
<FN>
# Assets currently held in a segregated account.
* Interest rate shown represents yield to maturity at date of purchase.
(a) Face amount stated in U.S. dollars unless otherwise noted.
</FN>
</TABLE>
WORLDWIDE FIXED INCOME-HEDGED PORTFOLIO
Graph: Comparison of change in value of $10,000 investments in Worldwide Fixed
Income-Hedged Portfolio and the J.P. Morgan Hedged Global Government Bond Index
where the Y-axis ranges from $10,000 to $13,286 and the X-axis ranges from
5/19/92 to 6/30/95.
The Worldwide Fixed Income-Hedged Portfolio for the first six
months of 1995, due to its relative small size in assets, remained
invested in cash or short term instruments. Thus its benchmark, the J.P.
Morgan Global Hedged Bond Index which rose by 9.82% during the
same period, is not comparable for the first six months of 1995.
The Portfolio's net assets were $0.3 million as of June 30, 1995.
Subsequent to that date, the Portfolio has received additional assets in
excess of $25 million and has become fully invested. The Portfolio will
seek a high level of total return consistent with preservation of capital by
investing in high-quality fixed income securities from bond markets
worldwide and by actively utilizing currency hedging techniques.
<TABLE>
WORLDWIDE FIXED INCOME-HEDGED PORTFOLIO - STATEMENT OF
ASSETS AND LIABILITIES June 30, 1995 (Unaudited)
<S> <C>
Cash - 86.2%
Cash $ 242,328
Other Assets and Liabilities - 13.8%
Receivable From Investment Adviser 45,375
Other Assets 5,916
Other Liabilities (12,404)
Other Assets and Liabilities, net 38,887
Net Assets - 100.0%
Applicable to 26,757 outstanding $.001 par value shares
(authorized 100,000,000 shares) $ 281,215
Net Asset Value Per Share $ 10.51
Components of Net Assets as of June 30, 1995 were as follows:
Capital Stock at par value ($.001) $ 27
Capital Stock in excess of par value 2,064,368
Accumulated net realized (loss) on investments, financial
futures contracts, and foreign currency-related transactions (1,783,180)
$ 281,215
<FN>
See Notes To Financial Statements
</FN>
</TABLE>
<TABLE>
STATEMENT OF OPERATIONS Six months ended June30, 1995 (Unaudited)
U.S. Portfolios
<S> <C> <C> <C>
U.S. Short-Term Stable
Fixed Income Return
Portfolio Portfolio
Investment Income
Interest $ 9,877,390 $ 184,702
Expenses
Investment advisory fees $ 469,724 $ 7,869
Administration fees 98,877 1,394
Custodian fees 108,385 6,421
Shareholder recordkeeping fees 13,683 905
Legal fees 5,429 15
Audit fees 11,707 4,864
Directors' fees and expenses 26,432 369
Other fees and expenses 29,926 1,151
Total operating expenses 764,163 22,988
Waiver of investment advisory fees
and reimbursement of expenses (137,865) (11,746)
Operating expenses, net 626,298 11,242
Interest expense 38,883 28,054
Total expenses 665,181 39,296
Investment income, net 9,212,209 145,406
Net Realized and Unrealized Gain
(Loss) on Investments, and Options
and Financial Futures Contracts
Net realized gain (loss) on investments (235,015) 104,916
Net realized gain (loss) on options and
financial futures contracts (90,203) 24,249
Net unrealized appreciation on investments 237,005 34,616
Net unrealized (depreciation)
on options and financial futures contracts (16,222) (62)
Net realized and unrealized gain (loss)
on investments, and options and financial
futures contracts (104,435) 163,719
Net Increase in Net Assets
Resulting From Operations $ 9,107,774 $ 309,125
Global Portfolios
Worldwide Worldwide Worldwide Fixed
Short-Term Fixed Fixed Income Income-Hedged
Income Portfolio Portfolio Portfolio
Investment Income
Interest $ 1,867,139 $ 1,476,041 $ 8,184
Expenses
Investment advisory fees 92,421 85,838 549
Administration fees 15,753 13,041 85
Custodian fees 32,183 58,736 3,034
Shareholder recordkeeping fees 1,461 4,755 1,920
Legal fees - 1,044 -
Audit fees 12,040 12,095 12,342
Directors' fees and expenses 4,561 3,491 -
Other fees and expenses 3,596 9,006 729
Total operating expenses 162,015 188,006 18,659
Waiver of investment advisory fees
fees and reimbursement of expenses (29,985) (59,249) (18,440)
Operating expenses, net 132,030 128,757 219
Interest expense - - -
Total expenses 132,030 128,757 219
Investment income, net 1,735,109 1,347,284 7,965
Net Realized and Unrealized Gain (Loss) on
Investments, Financial Futures Contracts,
and Foreign Currency-Related Transactions
Net realized gain on investments 1,866,177 5,574,111 -
Net realized (loss) on foreign currency-
related transactions (1,913,719) (3,888,342) -
Net realized gain (loss) on financial future contracts (1,019,684) 78,477 -
Net unrealized (depreciation) on investments (501,309) (245,196) -
Net unrealized appreciation on assets and
liabilities denominated in foreign currency 511,070 355,754 -
Net unrealized (depreciation) on
financial futures contracts (161,382) (112,988) -
Net realized and unrealized gain (loss) on
investments, financial futures contracts, and
foreign currency-related transactions (1,218,847) 1,761,816 -
Net Increase in Net Assets
Resulting From Operations $ 516,262 $ 3,109,100 $ 7,965
<FN>
See Notes To Financial Statements
</FN>
</TABLE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS (Unaudited)
U.S. Portfolios
U.S. Short-Term Fixed Income Portfolio Stable Return Portfolio
<S> <C> <C> <C> <C>
Six Months Ended Year Ended Six Months Ended Year Ended
6/30/95 12/31/94 6/30/95 12/31/94
Increase (Decrease) in Net
Assets From Operations
Investment income, net $ 9,212,209 $11,720,200 $ 145,406 $ 179,805
Net realized gain (loss) on investments,
and options and financial futures contracts (325,218) (1,979,592) 129,165 (155,660)
Net unrealized appreciation (depreciation)
on investments, and options and
financial futures contracts 220,783 (325,913) 34,554 (6,548)
Net increase in net assets resulting
from operations 9,107,774 9,414,695 309,125 17,597
Distributions to Shareholders
From investment income, net 9,212,209 12,010,085 145,277 179,805
In excess of investment income, net 2,416 69,947 - -
Total Distributions 9,214,625 12,080,032 145,277 179,805
Capital Share Transactions, Net 31,725,927 (124,367,616) 292,139 1,018,108
Total increase (decrease) in net assets 31,619,076 (127,032,953) 455,987 855,900
Net Assets
Beginning of period 290,694,868 417,727,821 4,338,339 3,482,439
End of period $ 322,313,944 $ 290,694,868 $ 4,794,326 $ 4,338,339
Undistributed net investment income $ - $ - $ 129 $ -
Global Portfolios
</TABLE>
<TABLE>
Worldwide Short-Term Fixed Income Portfolio Worldwide Fixed Income Portfolio
Six Months Ended Year Ended Six Months Ended Year Ended
6/30/95 12/31/94 6/30/95 12/31/94
Increase (Decrease) in Net
Assets From Operations <C> <C> <C> <C>
Investment income, net $ 1,735,109 $ 2,976,095 $ 1,347,284 $ 6,927,707
Net realized gain (loss) on investments,
options and financial futures contracts,
and foreign currency-related transactions (1,067,226) (799,335) 1,764,246 (13,205,211)
Net unrealized appreciation (depreciation)
on investments, options and financial futures
contracts, and on assets and liabilities
denominated in foreign currency (151,621) 216,567 (2,430) (1,187,991)
Net increase (decrease) in net assets resulting
from operations 516,262 2,393,327 3,109,100 (7,465,495)
Distributions to Shareholders
From investment income, net 1,731,801 2,305,838 1,343,511 3,041,000
In excess of investment income, net - 95 - 105,966
From capital stock - 670,257 - 3,902,306
Total Distributions 1,731,801 2,976,190 1,343,511 7,049,272
Capital Share Transactions, Net (41,169,985) 74,329,808 (20,607,730) (148,926,788)
Total increase (decrease) in net assets (42,385,524) 73,746,945 (18,842,141) (163,441,555)
Net Assets
Beginning of period 79,761,931 6,014,986 53,721,481 217,163,036
End of period 37,376,407 79,761,931 34,879,340 53,721,481
Undistributed (overdistributed) net
investment income $ 3,213 $ - $ (102,193) $ -
Worldwide Fixed Income
Hedged Portfolio
Six Months Ended Year Ended
6/30/95 12/31/94
Increase (Decrease) in Net
Assets From Operations
Investment income, net $ 7,965 $ 748,449
Net realized (loss) on investments,
options and financial futures contracts,
and foreign currency-related transactions - (1,924,957)
Net unrealized (depreciation)
on investments, options and financial futures
contracts, and on assets and liabilities
denominated in foreign currency - (207,823)
Net increase (decrease) in net assets resulting
from operations 7,965 (1,384,331)
Distributions to Shareholders
From investment income, net 5,318 748,449
In excess of investment income, net - 2,647
Total Distributions 5,318 751,096
Capital Share Transactions, Net 5,843 (38,729,363)
Total increase (decrease) in net assets 8,490 (40,864,790)
Net Assets
Beginning of period 272,725 41,137,515
End of period $ 281,215 $ 272,725
Undistributed net investment income $ $ -
<FN>
See Notes To Financial Statements
</FN>
</TABLE>
<TABLE>
FINANCIAL HIGHLIGHTS (Unaudited)
U.S. Portfolios
U.S. Short-Term Fixed Income Portfolio
<S> <C> <C> <C>
Six Months Year Ended Year Ended
Ended 6/30/95 12/31/94 12/31/93
Per Share Data
Net asset value, beginning of period $ 9.889 $ 9.976 $ 10.000
Increases (Decreases) From Operations
Investment income, net 0.289 0.443 0.321
Net realized and unrealized (loss)
on investments, and options
and financial futures contracts 0.001(d) -0.078 -0.03
Total from operations 0.29 0.365 0.291
Less Distributions
From investment income, net 0.289 0.449 0.315
In excess of investment income, net 0.000 0.003 -
From net realized and unrealized gain
on investments, and options and
financial futures contracts - - -
Total distributions 0.289 0.452 0.315
Net asset value, end of period $ 9.890 $ 9.889 $ 9.976
Total Return 2.95%(c) 3.71% 2.88%
Ratios/Supplemental Data
Net assets, end of period $ 322,313,944 $ 290,694,868 $ 417,727,821
Ratio of operating expenses
to average net assets (a) 0.40%(b) 0.40% 0.40%
Ratio of interest expense
to average net assets 0.02%(b) 0.03% 0.08%
Ratio of investment income,
net to average net assets 5.88%(b) 4.14% 3.28%
Decrease in above ratios
due to waiver of investment
advisory fees 0.09%(b) 0.08% 0.03%
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
U.S. Short-Term Fixed Income Portfolio
Year Ended 12/31/92 Three Months Year Ended Period From
Ended 12/31/91 9/30/91 12/6/89* to 9/30/90
Per Share Data
Net asset value, beginning of period $ 10.000 $ 10.000 $ 10.000 $ 10.000
Increases (Decreases) From Operations
Investment income, net 0.337 0.119 0.627 0.621
Net realized and unrealized gain
(loss) on investments, and options
and financial futures contracts 0.008 0.023 0.057 0.037
Total from operations 0.345 0.142 0.684 0.658
Less Distributions
From investment income, net 0.337 0.119 0.627 0.621
In excess of investment income, net - - - -
From net realized and unrealized gain
on investments, and options and
financial futures contracts 0.008 0.023 0.057 0.037
Total distributions 0.345 0.142 0.684 0.658
Net asset value, end of period $ 10.000 $ 10.000 $ 10.000 $ 10.000
Total Return 3.45% 1.43% 7.11% 6.81%(c)
Ratios/Supplemental Data
Net assets, end of period $ 682,513,193 $ 365,310,697 $ 269,114,721 $ 111,956,929
Ratio of operating expenses
to average net assets (a) 0.40% 0.40%(b) 0.40% 0.50%(b)
Ratio of interest expense
to average net assets 0.03% - 0.03% -
Ratio of investment income,
net to average net assets 3.37% 4.67%(b) 5.99% 8.23%(b)
Decrease in above ratios
due to waiver of investment
advisory fees and reimburse-
ment of other expenses - 0.03%(b) 0.11% 0.86%(b)
</TABLE>
<TABLE>
<S> <C> <C> <C>
Stable Return Portfolio
Six Months Year Ended Period From
Ended 6/30/95 12/31/94 7/26/93* to 12/31/93
Per Share Data
Net asset value, beginning of period $ 9.546 $ 9.947 $ 10.000
Increases (Decreases) From Operations
Investment income, net 0.312 0.428 0.138
Net realized and unrealized gain
(loss) on investments and
financial futures contracts 0.351 -0.401 0.043
Total from operations 0.663 0.027 0.181
Less Distributions
From investment income, net 0.312 0.428 0.138
From net realized gain on investments and
financial futures contracts - - 0.031
In excess of net realized and unrealized
gains on investments and financial futures
contracts - - 0.065
Total distributions 0.312 0.428 0.234
Net asset value, end of period $ 9.897 $ 9.546 $ 9.947
Total Return 7.03%(c) 0.29% 1.86%(c)
Ratios/Supplemental Data
Net assets, end of period $ 4,794,326 $ 4,338,339 $ 3,482,439
Ratio of operating expenses
to average net assets (a) 0.50%(b) 0.50% 0.50%(b)
Ratio of interest expense
to average net assets 1.25%(b) 1.24% -
Ratio of investment income,
net to average net assets 6.47%(b) 4.43% 3.68%(b)
Decrease in above ratios
due to waiver of investment
advisory fees and reimburse-
ment of other expenses 0.52%(b) 0.57% 1.46%(b)
Portfolio turnover 588%(c) 343% 1841%(c)
Worldwide Short-Term Fixed Income Portfolio
Six Months Year Ended Period From
Ended 6/30/95 12/31/94 12/13/93* to 12/31/93
Per Share Data
Net asset value, beginning of period $ 9.924 $ 10.013 $ 10.000
Increases (Decreases) From Operations
Investment income, net 0.314 0.328 0.012
Net realized and unrealized gain (loss) on
investments, options and financial future contracts,
and foreign currency-related transactions (0.207) (0.089) 0.013
Total from operations 0.107 0.239 0.025
Less Distributions
From investment income, net 0.313 0.254 0.012
In excess of investment income, net - 0.000 -
From capital stock in excess of par value - 0.074 -
Total distributions 0.313 0.328 0.012
Net asset value, end of period $ 9.718 $ 9.924 $ 10.013
Total Return 1.16%(c) 2.72% 0.22%(c)
Ratios/Supplemental Data
Net assets, end of period $ 37,376,407 $ 79,761,931 $ 6,014,986
Ratio of operating expenses
to average net assets (a) 0.50%(b) 0.50% 0.50%(b)
Ratio of investment income,
net to average net assets 6.57%(b) 4.17% 2.43%(b)
Decrease in above ratios due to waiver of
investment advisory fees and reimburse-
ment of other expenses 0.11%(b) 0.09% 0.76%(b)
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
Worldwide Fixed Income Portfolio
Six Months Year Ended Year Ended Period From
Ended 6/30/95 12/31/94 12/31/93 4/15/92* to 12/31/92
Per Share Data
Net asset value, beginning of period $ 9.267 $ 10.023 $ 9.976 $ 10.000
Increases (Decreases) From Operations
Investment income, net 0.290 0.503 0.454 0.387
Net realized and unrealized gain (loss) on
investments, options and financial future contracts,
and foreign currency-related transactions 0.419 -0.737 1.042 0.530
Total from operations 0.709 -0.234 1.496 0.917
Less Distributions
From investment income, net 0.288 0.225 0.453 0.387
In excess of investment income, net - 0.008 - -
From capital stock in excess of par value - 0.289 - -
From net realized gain on investments,
options and financial futures contracts,
and foreign currency-related transactions - - 0.866 0.554
In excess of net realized gain on investments,
options and financial futures contracts, and
foreign currency-related transactions - - 0.130 0.000
Total distributions 0.288 0.522 1.449 0.941
Net asset value, end of period $ 9.688 $ 9.267 $ 10.023 $ 9.976
Total Return 7.74%(C) (2.25)% 15.86% 9.62%(c)
Ratios/Supplemental Data
Net assets, end of period $ 34,879,340 $ 53,721,481 $ 217,163,036 $ 82,757,009
Ratio of operating expenses
to average net assets (a) 0.60%(b) 0.006 0.0059 0.006(b)
Ratio of interest expense to average net assets - 0.03% 0.27% 0.19%(b)
Ratio of investment income,
net to average net assets 6.28%(b) 5.11% 4.48% 5.39%(b)
Decrease in above ratios due to waiver of
investment advisory fees and reimbursement
of other expenses 0.28%(b) 0.02% - 0.72%(b)
Portfolio Turnover 923%(c) 1479% 1245% 850%(c)
Worldwide Fixed Income-Hedged Portfolio
Six Months Year Ended Year Ended Period From
Ended 6/30/95 12/31/94 12/31/93 4/15/92* to 12/31/92
Per Share Data
Net asset value, beginning of period $ 10.410 $ 10.077 $ 9.848 $ 10.000
Increases From Operations
Investment income, net 0.321 0.338 0.448 0.319
Net realized and unrealized gain on
investments, options and financial future contracts,
and foreign currency-related transactions - 0.434 (c) 0.754 0.247
Total from operations 0.321 0.772 1.202 0.566
Less Distributions
From investment income, net 0.221 0.437 0.448 0.319
In excess of investment income, net - 0.002 - -
From net realized gain on investments,
options and financial futures contracts,
and foreign currency-related transactions - - 0.525 0.399
Total distributions 0.221 0.439 0.973 0.718
Net asset value, end of period $ 10.510 $ 10.410 $ 10.077 $ 9.848
Total Return 3.11%(e) 7.84% 12.89% 5.88%(e)
Ratios/Supplemental Data
Net assets, end of period $ 281,215 $ 272,725 $41,137,515 $21,785,134
Ratio of operating expenses
to average net assets (a) 0.16%(b) 0.60% 0.60% 0.60%(b)
Ratio of interest expense to average net assets - 0.05% 0.26% 0.23%(b)
Ratio of investment income,
net to average net assets 5.81%(b) 4.72% 4.49% 5.13%(b)
Decrease in above ratios due to waiver of
investment advisory fees and reimburse-
ment of other expenses 1,344.28%(b) 0.17% 0.09% 1.01%(b)
Portfolio Turnover 0% 1622% 1254% 826%(e)
<FN>
(a) Net of waivers and reimbursements, exclusive of interest.
(b) Annualized
(c) Includes the effect of net realized losses prior to significant decreases in shares outstanding.
(d) In addition to net realized and unrealized (loss) on investments, this amount includes an
increase in net asset value per share resulting from the timing and issuances or redemption of
shares in relation to fluctuating market values for the portfolio.
(e) Not annualized
* Commencement of Operations
See Notes To Financial Statements
</FN>
</TABLE>
1. Organization
FFTW Funds, Inc. (the "Fund") was organized as a Maryland corporation
on February 23, 1989 and is registered under the Investment Company
Act of 1940, as amended, as an open-end, management investment
company. The Fund currently has ten Portfolios, five of which were
active as of June 30, 1995. The five active Portfolios are: U.S. Short-
Term Fixed Income Portfolio ("U.S. Short-Term"); Stable Return
Portfolio ("Stable Return"); Worldwide Short-Term Fixed Income
Portfolio ("Worldwide Short-Term"); Worldwide Fixed Income Portfolio
("Worldwide"); and Worldwide Fixed Income-Hedged Portfolio
("Worldwide-Hedged"). The costs incurred by the Fund in connection
with the organization and initial registration of shares were borne by the
Adviser.
2. Summary of Significant Accounting Policies
Securities
All securities transactions are recorded on a trade date basis. Interest
income and expense are recorded on an accrual basis. The Fund
amortizes discount or premium on a daily basis to interest income. The
Fund uses the specific identification method for determining gain or loss
on sales of securities.
Valuation
All investments are valued daily at their market price, which results in
unrealized gains or losses. Securities traded on an exchange are valued
at their last sales price on that exchange. Securities for which over-the-
counter market quotations are available are valued at the latest bid
price. Deposits and repurchase agreements and reverse repurchase
agreements are generally valued at their cost plus accrued interest. The
value of other investments is determined under procedures established
by the Fund's Board of Directors.
Expenses
Expenses directly attributed to each Portfolio in the Fund are charged to
that Portfolio's operations; expenses which are applicable to all
Portfolios are allocated among them based on average daily net assets.
Income Tax
There is no provision for Federal income or excise tax since each
Portfolio has elected to be taxed as a regulated investment company
("RIC") and therefore complies with the requirements of Subchapter M of
the Internal Revenue Code applicable to RICs and distributes all of its
taxable income.
At June 30, 1995, the Fund had the following capital loss carryforwards,
to offset future net capital gains, to the extent provided by regulations.
Net realized losses attributable to security transactions after October 31,
1994, are treated for federal income tax purposes as arising on the first
day of the Portfolio's next fiscal year.
Portfolio Carryforward Amount Expiration Date
U.S. Short-Term $ 1,779,703 December 31, 2002
1,404,714 December 31, 2001
Stable Return 176,908 December 31, 2002
Worldwide Short-Term 13,607 December 31, 2002
Worldwide 11,233,871 December 31, 2002
Worldwide-Hedged 1,916,115 December 31, 2002
Dividends to Shareholders
It is the policy of the U.S. Short-Term to employ the "Full Payout
Method" of paying dividends. As such, income is determined daily and,
if positive, a dividend is declared daily from net investment income, net
short-term capital gains or losses and net unrealized gains or losses
("Full Payout Income"). If a day's distribution is negative, each
shareholder's accumulated dividend accrual for the month is
proportionately reduced. Actual dividends declared each day are based
on an average daily rate (based on the previous 30 days) to reduce the
possibility of a negative rate on a particular day. The "Full Payout
Method" was suspended by the Board at the beginning of 1994 and will
remain so until further notice to shareholders. In the interim, U.S. Short-
Term is declaring daily dividends from net investment income.
It is the policy of the other four Portfolios to declare dividends daily from
net investment income. Dividends are paid in cash or reinvested
monthly for all Portfolios.
Dividends from net short-term capital gains of each Portfolio (currently
including U.S. Short-Term), if any, are normally declared and paid
annually, but each Portfolio may make distributions on a more frequent
basis to comply with the distribution requirements of the Internal
Revenue Code.
Dividends from net long-term capital gains of each Portfolio, if any, are
normally declared and paid annually, but each Portfolio may make
distributions on a more frequent basis to comply with the distribution
requirements of the Internal Revenue Code. To the extent that a net
realized capital gain can be reduced by a capital loss carryover, such
gain will not be distributed.
Dividends from net investment income and distributions from realized
gains from investment transactions have been determined in
accordance with income tax regulations and may differ from net
investment income and realized gains recorded by the Fund for financial
reporting purposes. Differences result primarily from foreign currency
transactions and timing differences related to recognition of income, and
gains and losses from investment transactions. To the extent that those
differences which are permanent in nature result in overdistributions to
shareholders, amounts are reclassified to capital stock in excess of par
value. At December 31, 1994, Worldwide Short-Term and Worldwide
reclassed $670,257 and $3,902,306, respectively, to capital stock in
excess of par value as a result of differences in treatments of foreign
currency transactions. Dividends and distributions which exceed net
investment income and net realized capital gains for financial reporting
purposes but not for tax purposes are reported as distributions in excess
of net investment income and net realized capital gains, respectively.
Currency Translation
Assets and liabilities denominated in foreign currencies and
commitments under forward exchange currency contracts are translated
into U.S. dollars at the mean of the quoted bid and asked prices of such
currencies against the U.S. dollar. Purchases and sales of portfolio
securities are translated at the rates of exchange prevailing when such
securities were acquired or sold. Income and expenses are translated at
exchange rates prevailing when accrued. The Fund does not isolate that
portion of the results of operations resulting from changes in foreign
exchange rates on investments from the fluctuations arising from
changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from
investments.
Reported net realized gains or losses on foreign currency-related
transactions arise from sales and maturities of short-term securities,
sales 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 Fund's books, and the U.S. dollar equivalent of
the amounts actually received or paid. Net unrealized appreciation or
depreciation on assets and liabilities denominated in foreign currency
arise from changes in the value of assets and liabilities other than
investments in securities at fiscal year end, resulting from changes in
the exchange rate.
3. Investment Advisory Agreement and Affiliated Transactions
The Fund's Board of Directors has approved investment management
agreements (the "Agreements") with the Adviser. The advisory fees to
be paid to the Adviser are computed daily at annual rates set forth
below. The fees are payable quarterly for U.S. Short-Term, Worldwide,
and Worldwide-Hedged, and monthly for Stable Return and Worldwide
Short-Term. The Agreement with U.S. Short-Term, Worldwide, and
Worldwide-Hedged provides that to the extent that the aggregate annual
expenses, including the advisory fee but excluding interest expense,
exceed 0.40% of U.S. Short-Term's and 0.60% of Worldwide's and
Worldwide-Hedged's average daily net assets, the Adviser has agreed to
waive its investment management fee and reimburse the Portfolios for
any excess expenses. The Adviser has voluntarily agreed to waive its
investment management fees and reimburse for any excess expenses
of Stable Return and Worldwide Short-Term Portfolios to the extent that
each Portfolio's aggregate expenses, including investment management
fees, but excluding interest expense, exceed 0.50% of the respective
Portfolio's average daily net assets. The Adviser and Administrator have
voluntarily agreed to waive their fees with respect to Worldwide Fixed-
Income Hedged Portfolio, for the period ending June 30, 1995, to the
extent of $549 and $85, respectively. Accordingly, the Adviser has
agreed to waive its investment management fee and reimburse excess
expenses for each Portfolio as illustrated below.
Investment Six Months Ended
Advisory 6/30/95
Portfolio Fee Waivers
U.S. Short-Term 0.30% $ 137,865
Stable Return 0.35% 11,746
Worldwide Short-Term 0.35% 29,985
Worldwide 0.40% 59,249
Worldwide-Hedged 0.40% 17,806
Directors' fees and expenses of $34,853 were allocated among the
Portfolios and paid for the six months ended June 30, 1995 to Directors
who are not employees of the Adviser.
4. Investment Transactions
Purchase cost and proceeds from sales of investment securities, other
than short-term investments, for the six months ended June 30, 1995 for
each of the Portfolios were as follows:
Purchase Cost Proceeds from Sales of
Portfolio of Investment Securities Investment Securities
U.S. Short-Term $ 335,296,854 $ 292,012,277
Stable Return 30,133,915 33,709,679
Worldwide Short-Term 206,788,127 235,125,106
Worldwide 391,478,387 417,981,580
Worldwide-Hedged - -
The components of net unrealized appreciation (depreciation) of
investments at June 30, 1995 for each Portfolio were as follows:
U.S. Short-Term Fixed Stable Return
Income Portfolio Portfolio
U.S. Portfolios
Gross Unrealized Appreciation $ 192,063 $ 28,215
Gross Unrealized Depreciation (370,143) -
$ (178,080) $ 28,215
Worldwide Short-Term Worldwide Fixed
Fixed Income Portfolio Income Portfolio
Gross Unrealized Appreciation $ 6,697 $ 295,163
Gross Unrealized Depreciation (32,214) (148,899)
$ (25,517) $ 146,264
The cost of securities owned by the Fund at June 30, 1995 for Federal
tax purposes was substantially the same as for financial statement
purposes.
The Fund enters into forward foreign exchange currency contracts in
order to hedge its exposure to changes in foreign currency exchange
rates on its foreign portfolio holdings. A forward exchange contract is a
commitment to purchase or sell a foreign currency at a future date at a
negotiated forward rate. The gain or loss arising from the difference
between the original contracts and the closing of such contracts is
included in net realized gains on foreign currency-related transactions.
Fluctuations in the value of forward foreign currency contracts are
recorded for book purposes as unrealized gains or losses by the Fund.
Risks may arise from the potential inability of a counterparty to meet the
terms of a contract and from unanticipated movements in the value of a
foreign currency relative to the U.S. dollar.
At June 30, 1995, Worldwide Short-Term had outstanding forward
foreign exchange currency contracts, both to purchase and sell foreign
currencies as follows:
<TABLE>
<C> <S> <C> <C> <C>
Unrealized
Contract Cost/ Current Appreciation
Amount Proceeds Value (Depreciation)
Forward Foreign Exchange Buy Contracts
35,739,000 Belgian Francs maturing 7/27/95 $ 1,242,663 $ 1,259,768 $ 17,105
1,404,692 German Deutsche Marks maturing 7/24/95 1,022,820 1,016,049 (6,771)
4,620,419 German Deutsche Marks maturing 7/27/95 4,914,868 4,945,410 30,542
4,300,000 French Francs maturing 7/27/95 883,310 886,912 3,602
2,117,158,000 Italian Lira maturing 7/27/95 1,281,573 1,289,213 7,640
423,119,490 Japanese Yen maturing 7/27/95 5,031,147 5,009,554 (21,593)
372,860 Netherlands Guilders maturing 7/27/95 238,569 241,102 2,533
3,243,576 Swedish Krona maturing 7/27/95 447,390 444,856 (2,534)
Forward Foreign Exchange Sell Contracts
1,200,000 Australian Dollars maturing 7/27/95 855,521 851,028 4,493
1,783,771 Canadian Dollars maturing 7/27/95 1,289,849 1,297,864 (8,015)
1,227,274 German Deutsche Marks maturing 7/27/95 1,683,310 1,694,501 (11,191)
3,471,966 Danish Krone maturing 7/27/95 636,684 642,451 (5,767)
401,026,439 Spanish Peseta maturing 7/27/95 3,290,892 3,304,682 (13,790)
5,000,000 French Francs maturing 7/24/95 1,022,820 1,031,383 (8,563)
7,615,904 French Francs maturing 7/27/95 1,554,901 1,570,847 (15,946)
323,452 Great British Pounds maturing 7/27/95 517,200 514,121 3,079
67,181,400 Japanese Yen maturing 7/27/95 795,172 795,399 (227)
$ (25,403)
At June 30, 1995, Worldwide Short-Term had outstanding forward
foreign exchange currency contracts, both to purchase and sell foreign
currencies as follows:
Unrealized
Contract Cost/ Current Appreciation
Amount Proceeds Value (Depreciation)
Forward Foreign Exchange Buy Contracts
1,404,692 German Deutsche Marks maturing 7/24/95 $ 1,026,619 $ 1,016,049 $ (10,570)
1,136,805 German Deutsche Marks maturing 7/27/95 2,411,948 2,425,282 13,334
4,500,000 French Francs maturing 7/27/95 924,394 928,164 3,770
Forward Foreign Exchange Sell Contracts
1,300,000 Australian Dollars maturing 7/27/95 926,814 921,947 4,867
2,647,695 Canadian Dollars maturing 7/27/95 1,914,554 1,926,451 (11,897)
1,284,357 German Deutsche Marks maturing 7/27/95 1,724,394 1,735,796 (11,402)
414,225,889 Spanish Peseta maturing 7/27/95 3,399,209 3,413,453 (14,244)
5,000,000 French Francs maturing 7/24/95 1,026,619 1,031,383 (4,764)
12,226,510 French Francs maturing 7/27/95 2,496,225 2,521,824 (25,599)
185,867 Great British Pounds maturing 7/27/95 297,201 295,432 1,769
31,134,800 Japanese Yen maturing 7/27/95 1,165,384 1,164,020 1,364
100,000 Swedish Krona maturing 7/27/95 13,793 13,715 78
$ (53,294)
</TABLE>
The Fund enters into foreign currency transactions on the spot markets
in order to pay for foreign investment purchases or to convert to dollars
the proceeds from foreign investment sales or coupon interest receipts.
At June 30, 1995 Worldwide Short-Term, Worldwide, and Worldwide-
Hedged had no outstanding purchases or sales of foreign currencies on
the spot markets.
The Fund is engaged in trading financial futures contracts to hedge
investment positions or to enhance investment performance. The Fund
is exposed to market risk as a result of changes in the value of the
underlying financial instruments. Investments in financial futures require
the Fund to "mark to market" on a daily basis, which reflects the change
in the market value of the contract at the close of each day's trading.
Accordingly, variation margin payments are made or received to reflect
daily unrealized gains or losses. When the contracts are closed, the
Fund recognizes a realized gain or loss. These investments require
initial margin deposits which consist of cash or cash equivalents, equal
to approximately 5-10% of the contract amount. At June 30, 1995, the
Portfolios placed as collateral with brokers U.S. Treasury Bills in
connection with their margin accounts with respect to their futures
contracts as follows:
Portfolio 6/30/95 Collateral Value
U.S. Short-Term $ 679,250
Stable Return 4,750
Worldwide Short-Term 503,202
Worldwide 2,007,500
Worldwide-Hedged -
At June 30, 1995 Stable Return had the following open futures contracts:
<TABLE>
<C> <S> <C> <C>
Market Value
Covered by Unrealized
Contracts Contracts (Depreciation)
Long Futures Contracts
3 September '95 2-Year U.S. T-Note $ 622,172 $ (285)
At June 30, 1995, Worldwide Short-Term had the following open futures contracts:
Market Value Unrealized
Covered by Appreciation
Contracts Contracts (Depreciation)
Short Futures Contracts
34 September '95 CBT 5 Year U.S. Treasury Note US $ 3,649,688 $ (15,719)
3 September '95 LIFFE 10 Year German Gov't Bond DEM 696,150 2,956
$ (12,763)
At June 30, 1995 Worldwide had the following open futures contracts:
Market Value
Covered by Unrealized
Contracts Contracts (Depreciation)
Long Futures Contracts
10 September '95 LIFFE 10 Year German Gov't Bond DEM $ 2,320,500 $ (8,317)
Short Futures Contracts
64 September '95 LIFFE Euro Deutsche Mark DEM 15,251,200 (683)
$ (9,000)
</TABLE>
5. Capital Share Transactions
As of June 30, 1995 there were 1,000,000,000 shares of $0.001 par value
capital stock authorized. Transactions in capital stock for Worldwide were
as follows for the periods indicated:
<TABLE>
<S> <C> <C> <C> <C>
Six Months Ended June 30, 1995 Year Ended December 31, 1994
Shares Amount Shares Amount
Shares sold 203,657,217 $ 2,014,959,945 506,605,624 $ 5,036,843,719
Shares issued related to
reinvestment of dividends 925,660 9,157,683 1,208,822 12,008,654
204,582,877 2,024,117,628 507,814,446 5,048,852,373
Shares redeemed 201,388,194 1,992,391,701 520,290,568 5,173,219,989
Net increase (decrease) 3,194,683 $ 31,725,927 (12,476,122) $ (124,367,616)
Transactions in capital stock for Stable Return were as follows for the periods indicated:
Six Months Ended June 30, 1995 Year Ended December 31, 1994
Shares Amount Shares Amount
Shares sold 15,385 $ 150,000 87,759 $ 857,000
Shares issued related to
reinvestment of dividends 14,571 142,139 18,075 175,508
29,956 292,139 105,834 1,032,508
Shares redeemed - - 1,490 14,400
Net increase 29,956 $ 292,139 104,344 $ 1,018,108
Transactions in capital stock for Worldwide Short-Term were as follows for the periods indicated:
Six Months Ended June 30, 1995 Year Ended December 31, 1994
Shares Amount Shares Amount
Shares sold - $ 18,652,539 18,652,539 $ 185,400,115
Shares issued related to
reinvestment of dividends 171,197 1,680,288 297,020 2,948,491
171,197 1,680,288 18,949,559 188,348,606
Shares redeemed 4,362,134 42,850,273 11,513,098 114,018,798
Net increase (decrease) (4,190,937) $ (41,169,985) 7,436,461 $ 74,329,808
Transactions in capital stock for Worldwide were as follows for the periods indicated:
Six Months Ended June 30, 1995 Year Ended December 31, 1994
Shares Amount Shares Amount
Shares sold 745,096 $ 7,047,543 1,092,884 $ 10,420,502
Shares issued related to
reinvestment of dividends 139,202 1,318,542 735,508 6,999,011
884,298 8,366,085 1,828,392 17,419,513
Shares redeemed 3,080,943 28,973,815 17,698,224 166,346,301
Net (decrease) (2,196,645) $ (20,607,730) (15,869,832) $ (148,926,788)
Transactions in capital stock for Worldwide-Hedged were as follows for the periods indicated:
Six Months Ended June 30, 1995 Year Ended December 31, 1994
Shares Amount Shares Amount
Shares sold - $ - 1,058,719 $ 10,310,000
Shares issued related to
reinvestment of dividends 559 5,843 62,526 607,111
559 5,843 1,121,245 10,917,111
Shares redeemed - 5,177,515 49,646,474
Net increase (decrease) 559 $ 5,843 (4,056,270) $ (38,729,363)
</TABLE>
6. Repurchase and Reverse Repurchase Agreements
Each Portfolio may enter into repurchase agreements under which a
bank or securities firm that is a primary or reporting dealer in U.S.
Government securities agrees, upon entering into the contract, to sell
U.S. Government securities to a Portfolio and repurchase such
securities from such Portfolio at a mutually agreed upon price and date.
U.S. Short-Term, Worldwide, and Worldwide-Hedged may only invest
up to 25% of their assets in repurchase agreements.
Each Portfolio is also permitted to enter into reverse repurchase
agreements under which a primary or reporting dealer in U.S.
Government securities purchases U.S. Government securities from a
Portfolio and such Portfolio agrees to repurchase the securities at an
agreed upon price and date.
Each Portfolio will engage in repurchase and reverse repurchase
transactions with parties selected on the basis of such party's
creditworthiness. Securities purchased subject to repurchase
agreements must have an aggregate market value greater than or equal
to the repurchase price plus accrued interest at all times.
If the value of the underlying securities falls below the value of the
repurchase price plus accrued interest, the Portfolio will require the
seller to deposit additional collateral by the next business day. If the
request for additional collateral is not met, or the seller defaults on its
repurchase obligation, such Portfolio maintains the right to sell the
underlying securities at market value and may claim any resulting loss
against the seller.
7. Written Option Transactions
A summary of put and call options written by U.S. Short-Term for the six
month period ended June 30, 1995 is as follows:
1995 Calls 1995 Puts
# of # of
Contracts Premiums Contracts Premiums
Outstanding, beginning of period
Eurodollars $ - - - $ -
U.S. Treasury - - - -
Options written
Eurodollars 1,247 653,158 1,247 488,232
U.S. Treasury 200 273,807 200 45,562
Options closed
Eurodollars (909) (570,878) (709) (452,967)
U.S. Treasury (200) (273,807) (200) (45,562)
Options exercised
Eurodollars - - - -
U.S. Treasury - - - -
Options expired
Eurodollars - - (200) (3,686)
U.S. Treasury - - - -
Outstanding, end of period
Eurodollars 338 82,280 338 31,579
U.S. Treasury - - - -
$ 82,280 $ 31,579
OFFICERS & DIRECTORS AND OTHER PERTINENT INFORMATION
OFFICERS AND DIRECTORS Investment Adviser
Fischer Francis Trees & Watts, Inc.
Stephen J. Constantine 200 Park Avenue
President and Director of the Fund New York, NY 10166
John C Head III Sub-Adviser
Director of the Fund Fischer Francis Trees & Watts
3 Royal Court
Lawrence B. Krause The Royal Exchange
Director of the Fund London, EC3V 3RA
Paul Meek Administrator and Distributor
Director of the Fund AMT Capital Services, Inc.
430 Park Avenue
Onder John Olcay New York, NY 10022
Chairman of the Board and
CEO of the Fund Custodian and Fund Accounting Agent
Investors Bank & Trust Company
Stephen P. Casper P.O. Box 1537
Treasurer of the Fund Boston, MA 02205-1537
Kyle L. Chang Transfer and Dividend Disbursing Agent
Secretary of the Fund Investors Bank & Trust Company
P.O. Box 1537
Carla E. Dearing Boston, MA 02205-1537
Assistant Treasurer of the Fund
Legal Counsel
William E. Vastardis Dechert Price & Rhoads
Assistant Secretary of the Fund 1500 K Street, N.W.
Washington, D.C. 20005-1208
Independent Auditors
Ernst & Young LLP
787 Seventh Avenue
New York, NY 10019
