<PAGE> 1
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
INVESTMENT REVIEW
JUNE 30, 1996
- --------------------------------------------------------------------------------
ECONOMIC REVIEW--THE FIRST HALF OF 1996.
At the beginning of the reporting period, market participants were primarily
concerned about the likelihood of an economic recession. However, as the six
month reporting period progressed, the economic climate changed, and by June 30,
1996 concern was focused on excessive growth and its potential impact on future
inflation. Following the first quarter of 1996, many economic observers were
surprised by the size of the increases in both the real Gross Domestic Product
(GDP) growth rate and the strength of the labor market. The Real GDP growth rate
was 2.0% for the first quarter in 1996 and 4.2% for the second quarter based on
the advance estimate. The average monthly increase in payroll employment jumped
from 185,000 in 1995 to 232,000 during the first 6 months of 1996. The June
hourly wage increase was the largest recorded in history. These developments
have led most market observers to anticipate that the Federal Reserve (the Fed)
may increase the federal funds rate in the near term.
The economy continues to exhibit signs of strong economic growth as
evidenced by strong growth in jobs, retail sales, auto sales, and strong
construction spending despite higher mortgage rates. Although inflation has
remained relatively low, as evidenced by the 2.8% CPI increase on a
year-over-year basis as on June 1996, there still remains a concern that the
economy is performing at or near its employment and manufacturing capacity. As a
result, the Fed is expected to remain diligent in its effort to prevent future
increases in inflation.
SHORT-TERM INTEREST RATES
Short-term interest rates continued their year-long decline during the first
six weeks of 1996. As shown on the graph below, the 90-day commercial paper rate
fell from 5.50% on January 2 to 5.12% on February 16. This short-lived decline
in interest rates reflected continuing doubts about the strength of the economy
as well as the Fed's announcement of a 0.25% reduction in the federal funds rate
following its Open Market Committee meeting in late January. Since mid-February,
evidence of increased productivity and strength in the labor market has led to
an upward trend in short-term interest rates. By June 28, the last business day
of the period, the 90-day commercial paper rate was 5.52%. Many economists
believe that sustained GDP growth and potential inflationary pressures will lead
the Fed to increase the federal funds rate, and current market rates incorporate
this expectation.
Yields on 90-Day Commercial Paper and 3-Month Treasury Bills.
SCHWAB MONEY MARKET PORTFOLIO
6/30/96 SEMI-ANNUAL REPORT
[The following is a line graph of
for 90-Day CP & T-Bill
for the period from January 1996
to July 1996.]
<TABLE>
<CAPTION>
90 DAY T-BILL 90 DAY COMMERCIAL PAPER
------------- -----------------------
<S> <C> <C>
1/2/96 5.12% 5.50%
1/3/96 5.21% 5.51%
1/4/96 5.19% 5.49%
1/5/96 5.18% 5.46%
1/8/96 5.17% 5.48%
1/9/96 5.15% 5.47%
1/10/96 5.17% 5.45%
1/11/96 5.17% 5.44%
1/12/96 5.17% 5.43%
1/15/96 5.17% 5.43%
1/16/96 5.14% 5.42%
1/17/96 5.13% 5.41%
1/18/96 5.11% 5.39%
1/19/96 5.11% 5.38%
1/22/96 5.13% 5.37%
1/23/96 5.12% 5.36%
1/24/96 5.11% 5.35%
1/25/96 5.13% 5.34%
1/26/96 5.10% 5.34%
1/29/96 5.15% 5.32%
1/30/96 5.12% 5.31%
1/31/96 5.05% 5.27%
2/1/96 5.00% 5.21%
2/2/96 4.98% 5.17%
2/5/96 5.00% 5.17%
2/6/96 4.99% 5.16%
2/7/96 4.93% 5.16%
2/8/96 4.91% 5.15%
2/9/96 4.93% 5.14%
2/12/96 4.93% 5.13%
2/13/96 4.92% 5.13%
2/14/96 4.93% 5.12%
2/15/96 4.90% 5.12%
2/16/96 4.88% 5.12%
2/20/96 4.96% 5.14%
2/21/96 4.96% 5.16%
2/22/96 4.94% 5.14%
2/23/96 4.95% 5.13%
2/26/96 4.98% 5.14%
2/27/96 5.02% 5.16%
2/28/96 5.01% 5.16%
2/29/96 5.03% 5.19%
3/1/96 5.00% 5.19%
3/4/96 5.03% 5.17%
3/5/96 5.03% 5.18%
3/6/96 5.03% 5.19%
3/7/96 5.03% 5.19%
3/8/96 5.03% 5.31%
3/11/96 5.10% 5.31%
3/12/96 5.10% 5.32%
3/13/96 5.12% 5.34%
3/14/96 5.12% 5.34%
3/15/96 5.15% 5.34%
3/18/96 5.18% 5.36%
3/19/96 5.21% 5.36%
3/20/96 5.14% 5.36%
3/21/96 5.06% 5.35%
3/22/96 5.11% 5.35%
3/25/96 5.07% 5.37%
3/26/96 5.15% 5.36%
3/27/96 5.16% 5.37%
3/28/96 5.19% 5.39%
3/29/96 5.14% 5.38%
4/1/96 5.16% 5.36%
4/2/96 5.17% 5.36%
4/3/96 5.15% 5.36%
4/4/96 5.12% 5.36%
4/5/96 5.16% 5.36%
4/8/96 5.16% 5.40%
4/9/96 5.09% 5.41%
4/10/96 5.09% 5.41%
4/11/96 5.10% 5.41%
4/12/96 5.08% 5.41%
4/15/96 5.00% 5.41%
4/16/96 4.97% 5.40%
4/17/96 4.96% 5.39%
4/18/96 5.00% 5.39%
4/19/96 5.03% 5.38%
4/22/96 5.00% 5.38%
4/23/96 5.11% 5.38%
4/24/96 5.14% 5.38%
4/25/96 5.10% 5.38%
4/26/96 5.12% 5.38%
4/29/96 5.16% 5.38%
4/30/96 5.15% 5.39%
5/1/96 5.11% 5.40%
5/2/96 5.13% 5.41%
5/3/96 5.14% 5.41%
5/6/96 5.12% 5.41%
5/7/96 5.15% 5.41%
5/8/96 5.13% 5.41%
5/9/96 5.14% 5.40%
5/10/96 5.14% 5.39%
5/13/96 5.17% 5.38%
5/14/96 5.13% 5.38%
5/15/96 5.14% 5.38%
5/16/96 5.16% 5.38%
5/17/96 5.16% 5.38%
5/20/96 5.16% 5.38%
5/21/96 5.19% 5.37%
5/22/96 5.19% 5.37%
5/23/96 5.19% 5.37%
5/24/96 5.18% 5.37%
5/27/96 5.18% 5.37%
5/28/96 5.18% 5.37%
5/29/96 5.19% 5.37%
5/30/96 5.18% 5.39%
5/31/96 5.18% 5.40%
6/3/96 5.22% 5.43%
6/4/96 5.22% 5.42%
6/5/96 5.21% 5.42%
6/6/96 5.19% 5.41%
6/7/96 5.25% 5.50%
6/10/96 5.27% 5.51%
6/11/96 5.27% 5.50%
6/12/96 5.25% 5.49%
6/13/96 5.23% 5.49%
6/14/96 5.20% 5.49%
6/17/96 5.18% 5.50%
6/18/96 5.23% 5.50%
6/19/96 5.24% 5.50%
6/20/96 5.28% 5.50%
6/21/96 5.28% 5.50%
6/24/96 5.28% 5.51%
6/25/96 5.23% 5.50%
6/26/96 5.22% 5.50%
6/27/96 5.19% 5.51%
6/28/96 5.16% 5.52%
</TABLE>
----
88
<PAGE> 2
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
JUNE 30, 1996
During the six month reporting period, the portfolio managers adjusted the
weighted average maturity of the Portfolio in an effort to capitalize on
opportunities to buy money market instruments resulting from market
fluctuations. Specifically, periodic uncertainties about the future direction of
the economy led the market to overreact to reports of economic growth--in this
case, strong employment figures. The resulting increases in short-term rates
presented us with opportunities to moderately extend the Fund's average maturity
and lock in higher yields at different points throughout the six month period.
The weighted average maturity of the Portfolio was 30 days at the beginning of
the reporting period and 39 days at the close of the period.
----
89
<PAGE> 3
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
PORTFOLIO SUMMARY
(UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
ASSET GROWTH
TOTAL TOTAL PERCENTAGE GROWTH
NET ASSETS NET ASSETS OVER REPORTING
AS OF 6/30/96 AS OF 12/31/95 PERIOD
<S> <C> <C>
- --------------------------------------------------------------------------------
$24,238,093 $16,912,432 43%
- --------------------------------------------------------------------------------
<CAPTION>
AVERAGE YIELDS FOR THE PERIODS ENDED JUNE 30, 1996
LAST SEVEN
DAYS LAST THREE MONTHS LAST TWELVE MONTHS
<S> <C> <C>
- --------------------------------------------------------------------------------
4.81% 4.79% 5.02%
- --------------------------------------------------------------------------------
</TABLE>
MATURITY SCHEDULE
PERCENT OF TOTAL INVESTMENTS
<TABLE>
<CAPTION>
MATURITY RANGE 9/30/95 12/31/95 3/31/96 6/30/96
<S> <C> <C> <C> <C>
- --------------------------------------------------------------------------------
0 - 15 Days . . . . . . . . . . 35.6% 25.0% 14.1% 23.6%
16 - 30 Days . . . . . . . . . 17.7% 30.0% 39.9% 30.2%
31 - 60 Days . . . . . . . . . 30.3% 41.0% 31.0% 22.5%
61 - 90 Days . . . . . . . . . 16.4% 4.0% 9.4% 19.4%
91 - 120 Days . . . . . . . . . 0.0% 0.0% 3.1% 0.0%
Over 120 Days . . . . . . . . . 0.0% 0.0% 2.5% 4.3%
Weighted Average . . . . . . . 32 Days 30 Days 35 Days 39 Days
- --------------------------------------------------------------------------------
</TABLE>
PORTFOLIO QUALITY
<TABLE>
<CAPTION>
PERCENT OF NET
SEC TIER RATING ASSETS 6/30/96
<S> <C>
- --------------------------------------------------------------------------------
Tier 1 . . . . . . . . . . . . . . . . . 100.0%
Tier 2 . . . . . . . . . . . . . . . . . 0.0%
- --------------------------------------------------------------------------------
</TABLE>
- --------
----
90
<PAGE> 4
- -------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 1996 (UNAUDITED)
- -------------------------------------------------------------------------------
AGENCY OBLIGATIONS -- 82.5%
PAR VALUE
<TABLE>
<CAPTION>
DISCOUNT NOTES
<S> <C> <C>
Federal Farm Credit Bank
5.27%, 07/09/96 .................................................. $ 665,000 $ 664,227
5.27%, 07/12/96 .................................................. 690,000 688,904
5.23%, 07/19/96 .................................................. 1,400,000 1,396,374
5.36%, 08/29/96 .................................................. 1,400,000 1,387,839
Federal Home Loan Bank
5.27%, 07/01/96 .................................................. 1,010,000 1,010,000
5.11%, 07/01/96 .................................................. 255,000 255,000
5.25%, 07/15/96 .................................................. 2,000,000 1,995,971
5.39%, 09/04/96 .................................................. 990,000 980,491
Federal Home Loan Mortgage Corp.
5.28%, 07/11/96 .................................................. 470,000 469,320
5.25%, 07/16/96 .................................................. 2,205,000 2,200,241
5.25%, 07/22/96 .................................................. 475,000 473,559
5.38%, 09/23/96 .................................................. 1,425,000 1,407,344
Federal National Mortgage Assoc. ...................................
5.25%, 07/23/96 .................................................. 1,290,000 1,285,901
5.28%, 07/30/96 .................................................. 690,000 687,104
5.31%, 08/06/96 .................................................. 1,180,000 1,173,817
5.40%, 09/16/96 .................................................. 260,000 257,036
5.40%, 11/06/96 .................................................. 1,085,000 1,064,631
Tennessee Valley Authority
5.25%, 07/01/96 .................................................. 770,000 770,000
5.30%, 07/18/96 .................................................. 705,000 703,242
5.33%, 08/14/96 .................................................. 725,000 720,314
5.34%, 08/23/96 .................................................. 850,000 843,368
-----------
TOTAL AGENCY OBLIGATIONS (Cost $20,434,683) ...................... $20,434,683
U.S. TREASURY OBLIGATIONS--17.5%
U.S. TREASURY BILLS
5.05%, 07/25/96 .................................................. 750,000 747,505
5.03%, 08/01/96 .................................................. 40,000 39,829
5.03%, 08/08/96 .................................................. 35,000 34,816
5.06%, 08/15/96 .................................................. 75,000 74,531
5.09%, 08/22/96 .................................................. 30,000 29,782
5.05%, 08/22/96 .................................................. 245,000 243,229
5.10%, 08/29/96 .................................................. 995,000 986,789
5.08%, 08/29/96 .................................................. 30,000 29,753
5.17%, 09/05/96 .................................................. 1,085,000 1,074,845
5.15%, 09/05/96 .................................................. 1,025,000 1,015,435
5.07%, 09/05/96 .................................................. 70,000 69,356
TOTAL U.S. TREASURY OBLIGATIONS (Cost $4,345,870) ................ 4,345,870
-----------
TOTAL INVESTMENTS--100.0% (Cost $24,780,553) ..................... $24,780,553
===========
</TABLE>
- --------------
NOTES TO SCHEDULE OF INVESTMENTS
Yields shown are effective yields at the time of purchase and are stated
according to the market convention for the security type. For each security,
cost (for financial reporting and federal income tax purposes) and carrying
value are the same.
See accompanying Notes to Financial Statements.
----
91
<PAGE> 5
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at value (Cost: $24,780,553) . . . . . . . . . . . . . $24,780,553
Cash . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,408
Receivable for Fund shares sold . . . . . . . . . . . . . . . . . 143,924
Deferred organization costs . . . . . . . . . . . . . . . . . . . 21,910
Prepaid expenses . . . . . . . . . . . . . . . . . . . . . . . . 2,317
-----------
Total assets . . . . . . . . . . . . . . . . . . . . . . . . . 24,953,112
-----------
LIABILITIES
Payable for:
Dividends . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,345
Fund shares redeemed . . . . . . . . . . . . . . . . . . . . . . 674,488
Investment advisory fee . . . . . . . . . . . . . . . . . . . . . 695
Other . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23,491
-----------
Total liabilities . . . . . . . . . . . . . . . . . . . . . . . 715,019
-----------
NET ASSETS applicable to outstanding shares . . . . . . . . . . . . . . $24,238,093
===========
NET ASSETS CONSIST OF:
Capital paid in . . . . . . . . . . . . . . . . . . . . . . . . . . $24,238,945
Accumulated net realized loss on investments sold . . . . . . . . . (852)
-----------
$24,238,093
===========
PRICING OF SHARES
Outstanding shares, $0.00001 par value (unlimited shares
authorized) . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24,238,945
NET ASSET VALUE, offering and redemption price per share . . . . . . $1.00
-----------
</TABLE>
- ------
See accompanying Notes to Financial Statements.
----
92
<PAGE> 6
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Interest income . . . . . . . . . . . . . . . . . . . . . . . . . . . $521,417
-----------
EXPENSES
Investment advisory and administration fee . . . . . . . . . . . . . 44,985
Custodian fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 8,419
Professional fees . . . . . . . . . . . . . . . . . . . . . . . . . 13,071
Shareholder reports . . . . . . . . . . . . . . . . . . . . . . . . 5,460
Trustees' fees . . . . . . . . . . . . . . . . . . . . . . . . . . . 4,914
Amortization of deferred organization costs . . . . . . . . . . . . 3,822
Insurance and other expenses . . . . . . . . . . . . . . . . . . . . 1,446
-----------
82,117
Less expenses reduced . . . . . . . . . . . . . . . . . . . . . . . . . (33,220)
-----------
Total expenses incurred by Fund . . . . . . . . . . . . . . . . . . 48,897
-----------
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . 472,520
Net realized loss on investments sold . . . . . . . . . . . . . . . . . (788)
-----------
Net increase in net assets resulting from operations . . . . . . . . . $ 471,732
===========
</TABLE>
- ------
See accompanying Notes to Financial Statements.
----
93
<PAGE> 7
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS ENDED
JUNE 30, 1996 YEAR ENDED
(UNAUDITED) DECEMBER 31, 1995
---------------- -----------------
<S> <C> <C>
OPERATIONS
Net investment income . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 472,520 $ 602,287
Net realized gain (loss) on investments sold . . . . . . . . . . . . . . . . . (788) 33
----------- -----------
Net increase in net assets resulting from operations . . . . . . . . . . . 471,732 602,320
----------- -----------
Dividends to shareholders from net investment income . . . . . . . . . . . . . . (472,520) (602,287)
----------- -----------
CAPITAL SHARE TRANSACTIONS (dollar amounts and number of shares are the same)
Proceeds from shares sold . . . . . . . . . . . . . . . . . . . . . . . . . . 44,497,102 68,313,915
Net asset value of shares issued in reinvestment of dividends . . . . . . . . 536,639 552,602
Less payments for shares redeemed . . . . . . . . . . . . . . . . . . . . . . (37,707,292) (59,363,572)
------------ ------------
Increase in net assets from capital share transactions . . . . . . . . . . 7,326,449 9,502,945
------------ ------------
Total increase in net assets . . . . . . . . . . . . . . . . . . . . . . . . . . 7,325,661 9,502,978
NET ASSETS
Beginning of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16,912,432 7,409,454
------------ ------------
End of period . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . $ 24,238,093 $ 16,912,432
============ ============
</TABLE>
- ------
See accompanying Notes to Financial Statements.
----
94
<PAGE> 8
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
- --------------------------------------------------------------------------------
1. DESCRIPTION OF THE FUND
The Schwab Money Market Portfolio (the "Fund") is a series of Schwab Annuity
Portfolios (the "Trust"), a diversified, no-load, open-end investment management
company organized as a Massachusetts business trust on January 21, 1994 and
registered under the Investment Company Act of 1940, as amended.
The Fund invests primarily in a portfolio of high quality, debt
securities which mature within 397 days. The Fund is intended exclusively as an
investment vehicle for Schwab Investment Advantage(R), a variable annuity
program.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally
accepted accounting principles for investment companies. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could differ
from those estimates.
SECURITY VALUATION: Investments are stated at amortized cost which
approximates market value.
SECURITY TRANSACTIONS AND INTEREST INCOME: Security transactions are accounted
for on a trade date basis (date the order to buy or sell is executed). Interest
income is recorded on the accrual basis and includes amortization of premium and
accretion of discount on investments. Realized gains and losses from security
transactions are determined on an identified cost basis.
REPURCHASE AGREEMENTS: Repurchase agreements are fully collateralized by U.S.
Treasury or government agency securities. All collateral is held by the Fund's
custodian and is monitored daily to ensure that its market value at least equals
the repurchase price under the agreement.
DIVIDENDS TO SHAREHOLDERS: The Fund declares a daily dividend, equal to its
net investment income for that day, payable monthly.
DEFERRED ORGANIZATION COSTS: Costs incurred in connection with the organization
of the Fund, its initial registration with the Securities and Exchange
Commission and with various states are amortized on a straight-line basis over a
five-year period from the Fund's commencement of operations.
EXPENSES: Expenses arising in connection with the Fund are charged directly to
the Fund. As the Trust offers additional funds, expenses common to all series of
the Trust will be allocated to each series in proportion to their relative net
assets.
FEDERAL INCOME TAXES: It is the Fund's policy to meet the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute all of its net investment income and realized net capital gains, if
any, to shareholders. Therefore, no federal income tax provision is required.
The Fund is considered a separate entity for tax purposes.
3. TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AND ADMINISTRATION AGREEMENTS: The Trust has an investment
advisory and administration agreement with Charles Schwab Investment Management,
Inc. (the "Investment Manager"). For advisory services and facilities furnished,
the Fund pays an annual fee, payable monthly, of .46% of the first $2 billion of
average daily net assets, .45% of such assets over $2 billion and .40% of such
assets in excess of $3 billion. Under this agreement, the Fund incurred
investment advisory and administration fees of $44,985 during the six months
ended June 30, 1996, before the Investment Manager reduced its fee (see Note 4).
OFFICERS AND TRUSTEES: Certain officers and trustees of the Trust are also
officers or directors of the Investment Manager. During the six months ended
June 30, 1996, the Trust made no direct payments to its officers or trustees who
are "interested persons" within the meaning of the Investment Company Act of
1940, as amended. The Fund incurred fees of $4,914 related to the Trust's
unaffiliated trustees.
4. EXPENSES REDUCED BY THE INVESTMENT MANAGER
The Investment Manager reduced a portion of its fee in order to limit the
Fund's ratio of operating expenses to average net assets. For the six months
ended June 30, 1996, the total of such fees reduced by the Investment Manager
was $33,220.
<PAGE> 9
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
5. INVESTMENT TRANSACTIONS
Purchases, sales and maturities of investment securities for the six months
ended June 30, 1996, aggregated $72,921,684 and $65,941,221, respectively.
----
95
<PAGE> 10
- --------------------------------------------------------------------------------
SCHWAB ANNUITY PORTFOLIOS
SCHWAB MONEY MARKET PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
SIX MONTHS ENDED JUNE 30, 1996 (UNAUDITED)
6. FINANCIAL HIGHLIGHTS
Per share income and capital changes for a share outstanding throughout the
period:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED PERIOD ENDED
JUNE 30, 1996 DECEMBER 31, DECEMBER 31,
(UNAUDITED) 1995 1994 (1)
---------------- ------------ -----------
<S> <C> <C> <C>
Net asset value at beginning of period . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00
Income from investment operations
- ---------------------------------
Net investment income . . . . . . . . . . . . . . . . . . . . .02 .05 .03
Net realized and unrealized gain (loss) on investments . . . . -- -- --
----------- ----------- ----------
Total from investment operations . . . . . . . . . . . . . .02 .05 .03
Less distributions
- ------------------
Dividends from net investment income . . . . . . . . . . . . . (.02) (.05) (.03)
Distributions from realized gain on investments . . . . . . . -- -- --
----------- ----------- ----------
Total distributions . . . . . . . . . . . . . . . . . . . . (.02) (.05) (.03)
----------- ----------- ----------
Net asset value at end of period . . . . . . . . . . . . . . . . $ 1.00 $ 1.00 $ 1.00
=========== =========== ==========
Total return (%) . . . . . . . . . . . . . . . . . . . . . . . . 2.43 5.26 2.55
- ----------------
Ratios/Supplemental data
- ------------------------
Net assets, end of period . . . . . . . . . . . . . . . . . . $24,238,093 $16,912,432 $7,409,454
Ratio of expenses to average net assets(%) . . . . . . . . . . .50* .50 .50*
Ratio of net investment income to average net assets(%). . . .
4.84* 5.17 4.16*
</TABLE>
The Investment Manager has reduced a portion of its fees and absorbed
certain expenses in order to limit the Fund's ratio of operating expenses to
average net assets. Had these fees and expenses not been reduced and absorbed,
the ratio of expenses to average net assets for the periods ended June 30, 1996,
December 31, 1995 and 1994, would have been .84%*, 1.02% and 2.10%*,
respectively, and the ratio of net investment income to average net assets would
have been 4.50%*, 4.65% and 2.56%*, respectively.
- ------
(1) For the period May 3, 1994 (commencement of operations) to December 31,
1994.
* Annualized
----
96
