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Previous: BAUPOST FUND, 497, 1996-06-28 |
Next: BAUPOST FUND, NSAR-A, 1996-06-28 |
THE BAUPOST FUND
SEMI-ANNUAL REPORT
(UNAUDITED)
APRIL 30, 1996
THIS REPORT AND THE FINANCIAL STATEMENTS CONTAINED HEREIN ARE SUBMITTED FOR THE
GENERAL INFORMATION OF THE SHAREHOLDERS OF THE BAUPOST FUND. THE REPORT IS NOT
AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS IN THE BAUPOST FUND UNLESS
PRECEDED OR ACCOMPANIED BY THE CURRENT PROSPECTUS.
THE BAUPOST FUND
SEMI-ANNUAL REPORT
(UNAUDITED)
APRIL 30, 1996
CONTENTS:
Management's Discussion of Performance ................................ 1
Statement of Assets and Liabilities as of April 30, 1996 .............. 4
Statement of Operations for the period ended April 30, 1996 ........... 5
Statement of Changes in Net Assets for the periods ended
April 30, 1996 and October 31, 1995 ................................. 6
Schedule of Investments as of April 30, 1996 .......................... 7
Schedule of Forward Foreign Currency Contracts as of April 30, 1996 ... 17
Schedule of Securities Sold Short as of April 30, 1996 ................ 18
Notes to Financial Statements ......................................... 19
Financial Highlights .................................................. 26
THE BAUPOST GROUP, INC.
44 BRATTLE STREET
P.O. BOX 389125
CAMBRIDGE, MASSACHUSETTS 02238-9125
(617) 497-6680
FAX (617) 876-0930
June 21, 1996
Dear Baupost Fund Shareholder,
We are pleased to report profitable results for the six months ended April 30,
1996. Specifically, during that period the Fund gained 5.10% in value. This was
less than the 6.92% gain posted by the S&P 500 Index during the same time frame.
The Fund ends the first half of its fiscal year 91% invested, with a number of
new positions in European holding companies and small capitalization U.S.
stocks. The Fund also initiated positions in the U.S.-listed ADR's of three
Russian companies (two in the oil and gas business and one electric utility).
Baupost has been following the nascent Russian stock market for three years, and
we are excited that the Fund now has the ability to participate in this
dramatically undervalued part of the world. Of course, because of the higher
risk involved, we are limiting our overall exposure in Russia to a level where
even a total loss would still be manageable.
The Fund's exposure to the U.S. stock market totaled only 29% of net assets at
April 30, a level that reflects our opinion of the frothiness now present in
U.S. share prices. Equity mutual funds continue to experience record inflows,
and recently a number of highly speculative stocks have seen their prices double
or triple within a few weeks as frenzied investors bid up their shares on
dubious corporate developments. Even the slightest association with the Internet
is cause for an upward thrust in a company's share price.
This is reminiscent of so many similar episodes over the last few decades, where
everything from technology stocks to gambling shares to gold mines had their
moment in the sun. We know the current mania will end badly; we do not know
when.
We will not stray from our rigid value investment discipline. We buy absolute
bargains when they become available, and sell when they are no longer bargains.
We hold cash when there is nothing better to do, and we hedge against the risk
of a dramatic and sustained downturn in the market. Our hedging over the last
several years has been expensive and, with perfect hindsight, unnecessary. Yet
we are convinced that hedging against catastrophe has been the right thing to
do, and it thus remains an integral part of our overall investment posture.
Despite our discomfort with the level of speculative activity in the U.S.
market, we remain optimistic regarding our prospects for the future. Because of
our fundamental, research-driven, absolute-value orientation, we own undervalued
securities that we believe will do well
regardless of the overall financial environment. In the event of a major market
reversal, we believe our market hedges should cushion any serious decline within
the portfolio.
Our employees and their families continue to be major shareholders of the Fund,
participating both directly and through our 401(k) plan.
We are grateful for your confidence and support and look forward to continued
investment success in the second half of 1996 and beyond.
Very Truly Yours,
/s/ Seth A. Klarman
Seth A. Klarman
President
AVERAGE ANNUAL TOTAL RETURNS (1) 1 LIFE OF FUND
For Periods Ended 04/30/96 YEAR (SINCE 12/14/90)
---- ----------------
THE BAUPOST FUND 6.74% 14.81%
Total return is an historical measure of past performance and is not intended to
indicate future performance. The investment return and principal value of an
investment will fluctuate so that an investor's shares, when redeemed, may be
worth more or less than their original cost.
(1) Assumes reinvestment of all dividends.
GROWTH OF AN ASSUMED $50,000 INVESTMENT
IN THE BAUPOST FUND FROM 12/14/90 THROUGH 04/30/96
Date The Baupost Fund S&P 500
- ---- ---------------- -------
12/14/90 $50,000.00 $50,000.00
3/91 $55,771.68 $58,024.40
6/91 $59,332.96 $57,891.29
9/91 $58,998.31 $60,987.08
12/91 $61,485.71 $66,100.47
3/92 $63,911.75 $64,430.83
6/92 $64,203.91 $65,659.40
9/92 $65,059.55 $67,729.67
12/92 $70,005.54 $71,140.30
3/93 $75,227.59 $74,243.41
6/93 $77,707.92 $74,604.74
9/93 $80,054.79 $76,532.54
10/31/93 $82,134.71 $78,116.01
12/93 $83,196.92 $78,305.62
3/94 $84,533.67 $75,335.75
6/94 $89,244.13 $75,653.26
9/94 $88,798.55 $79,352.03
10/31/94 $91,217.43 $81,134.73
12/94 $89,880.68 $79,339.62
3/95 $91,488.30 $87,064.74
6/95 $93,607.44 $95,375.77
9/95 $99,526.41 $102,955.48
10/31/95 $98,430.31 $102,587.46
12/95 $99,964.85 $109,153.62
3/96 $103,101.01 $115,011.78
4/96 $105,061.10 $116,707.47
THE BAUPOST FUND
STATEMENT OF ASSETS AND LIABILITIES
APRIL 30, 1996
(UNAUDITED)
ASSETS:
Investments in securities - at value $ 92,839,150
(Notes A and C) (cost $88,464,465)
Cash 200,312
Receivable for investments sold 1,350,538
Receivable for investments sold short 9,471,145
Unrealized appreciation on forward foreign
currency contracts sold 68,295
Accrued investment income 1,379,945
Other assets 22,821
------
Total Assets 105,332,206
LIABILITIES:
Payable for investments purchased 1,094,681
Payable to The Baupost Group, Inc. (Note B) 290,554
Payable for securities sold short 9,397,995
(Notes A and C) (proceeds $8,814,715)
Other payables and accrued expenses 280,257
-------
Total Liabilities 11,063,487
----------
NET ASSETS $ 94,268,719
============
COMPOSITION OF NET ASSETS:
Paid in capital $ 85,806,587
Distributions in excess of net investment
income (Note A) (1,214,426)
Accumulated undistributed net realized
gain on investments and foreign
currency transactions 6,487,337
Net unrealized appreciation on investments
and assets & liabilities in foreign currencies 3,189,221
---------
NET ASSETS $ 94,268,719
============
NET ASSET VALUE:
Offering and redemption price per share
($94,268,719 / 7,036,848.054) $ 13.40
============
See notes to financial statements.
THE BAUPOST FUND
STATEMENT OF OPERATIONS
SIX MONTHS ENDED APRIL 30, 1996
(UNAUDITED)
INVESTMENT INCOME:
INCOME:
Interest $ 1,113,740
Dividends 401,921
Other loss (165,622)
--------
Total Investment Income 1,350,039
EXPENSES:
Investment management fee (Note B) 463,024
Administrative fee (Note B) 115,756
Legal fees 45,618
Custodian fees 20,391
Amortization of organization costs 6,048
Audit fees 18,000
Directors' fees 12,750
Registration and filing fees 13,752
Miscellaneous 17,690
------
Total Expenses 713,029
Waiver of investment management fee (Note B) (4,432)
------
Total Expenses, Net 708,597
NET INVESTMENT INCOME 641,442
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain (loss) on:
Investments 5,697,112
Short sales 78,383
Foreign currency transactions 683,801
-------
6,459,296
Change in unrealized appreciation (depreciation) on:
Investments (515,629)
Short sales (610,021)
Foreign currency transactions 9,007
-----
(1,116,643)
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS 5,342,653
---------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 5,984,095
===========
See notes to financial statements.
THE BAUPOST FUND
STATEMENT OF CHANGES IN NET ASSETS
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
APRIL 30, 1996 OCTOBER 31, 1995
-------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS:
Net investment income $ 641,442 $ 1,368,087
Net realized gain on investments and foreign
currency transactions 6,459,296 4,176,280
Change in unrealized appreciation of investments
and foreign currency transactions (1,116,643) 1,080,207
---------- ---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS 5,984,095 6,624,574
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (610,993) (1,430,985)
In excess of net investment income (1,214,426) (432,464)
From net realized gain on investments (4,283,665) (8,459,115)
CAPITAL SHARE TRANSACTIONS (NOTE E) 4,954,329 11,350,535
--------- ----------
INCREASE IN NET ASSETS 4,829,340 7,652,545
NET ASSETS AT BEGINNING OF PERIOD 89,439,379 81,786,834
---------- ----------
NET ASSETS AT END OF PERIOD
(including distributions in excess of
net investment income of ($1,214,426)
and ($30,449) , respectively) $ 94,268,719 $ 89,439,379
============ ============
</TABLE>
See notes to financial statements.
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
<S> <C> <C>
COMMON STOCKS - 67.42%
UNITED STATES - 28.95%
FINANCIAL INSTITUTIONS - 10.87%
243,600 Allmerica Financial Corporation $ 6,333,600 ~
110 Fidelity Federal Savings Bank Florida 1,485
26,200 First Federal Bancorp (Minnesota) 347,150 *
120 First Federal Savings Bank of Siouxland 2,880
100 Harbor Federal Savings Bank 2,875
1,949 Mid-Central Financial Corporation 28,260
808 Mid-Coast Bancorp Inc. 13,332
95,000 Mississippi View Holding Company 1,068,750
1,800 Shelby County Bancorp 27,000
59,900 Trenton Savings Bank FSB 823,625
550 Valley Federal Savings Bank 17,050
150,209 Wells Financial Corporation 1,577,195 *
------------------
10,243,202
ALUMINUM - 3.77%
78,200 Maxxam, Inc. 3,558,100 ~*
AUTO & HOME SUPPLY - 2.55%
29,450 Dart Group Corporation - Class A 2,407,538 ~
TOBACCO - 2.34%
73,700 RJR Nabisco Holdings Corp. 2,201,788
FIRE, MARINE & CASUALTY INSURANCE - 2.08%
90,000 Chartwell RE Corporation 1,963,125
LESSORS OF REAL PROPERTY - 1.42%
833,959 MBO Properties, Inc. 1,334,334 *
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
PHARMACEUTICALS - 1.14%
118,100 Therapeutic Discovery $ 1,077,663 *
ELECTRICAL EQUIPMENT - 1.13%
75,100 Emcor Group Inc. 1,070,175 *
FOOD - 1.01%
185,424 Carr-Gottstein Foods Company 950,298 *
MOTOR VECHICLE PARTS & ACCESSORIES - 0.88%
138,218 Pullman 829,308 *
HOUSEHOLD APPLIANCES - 0.66%
15,800 National Presto Industries, Inc. 620,150
HARDWARE - 0.63%
78,700 Noel Group, Inc. 590,250 *
MISCELLANEOUS - 0.47%
4,800 Northwestern Steel & Wire Company 32,400 *
7,070 Prospect Group, Inc. 76,886 *
938,000 Regency Equities 9,380 *
10,000 RSI Holdings, Inc. 600 *
1,105 The Homestake Oil & Gas Company 100,555 +
1,579 The Homestake Royalty Corporation 221,060 +
------------------
440,881
TOTAL COMMON STOCKS - UNITED STATES $ 27,286,812
(Total Cost $24,496,095) ==================
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
FRANCE - 16.24%
DIVERSIFIED HOLDING COMPANIES - 12.12%
24,755 Chargeurs $ 6,585,050
7,406 Compagnie Generale D'Industrie et de Partcipations 1,654,852
2,535 Financiere et Industrielle Gaz et Eaux 1,053,921
2,200 Fonciere Financiere et de Participation SA 88,911
5,308 Societe Eurafrance SA 2,041,459
------------------
11,424,193
WHOLESALE - FOOD - 4.10%
168,100 TLC Beatrice International Holdings 3,866,300
MISCELLANEOUS - 0.02%
180 Bazar de L'Hotel de Ville 16,541
------------------
TOTAL COMMON STOCKS - FRANCE $ 15,307,034
(Total Cost $15,096,417) ==================
HONG KONG - 6.87%
ELECTRONIC & OTHER ELECTRICAL EQUIP. - 5.33%
39,500 Semi-Tech Global Co. - ADR $ 281,438
3,206,457 Semi-Tech Global Co. Ltd. 4,746,582
------------------
5,028,020
MANUFACTURING - TOYS & DOLLS - 1.54%
6,288,700 Playmates Toys Holdings Ltd. 1,447,219
------------------
TOTAL COMMON STOCKS - HONG KONG $ 6,475,239
(Total Cost $8,759,695) ==================
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
RUSSIA - 5.51%
OIL & GAS FIELD EXPLORATION SERVICES - 3.97%
112,500 Chernogorneft - Sponsored ADR $ 681,328 *
130,000 Lukoil Oil Co. - Sponsored ADR 3,056,625
------------------
3,737,953
ELECTRIC SERVICES - 1.54%
125,000 Mosenergo RDC Regulation S 1,454,687 *
------------------
TOTAL COMMON STOCKS - RUSSIA $ 5,192,640
(Total Cost $3,992,625) ==================
SWEDEN - 4.02%
DIVERSIFIED HOLDING COMPANIES - 4.02%
12,900 Forvaltnings AB Ratos - B shares $ 300,464
7,700 Incentive AB Series B 408,639
2,600 Investor AB Series A Shares 104,253
43,400 Investor AB Series B Shares 1,733,825
12,500 Scania AB A Shares 346,429
12,500 Scania AB B Shares 345,507
10,000 Scania AB Sponsored ADR A 273,750
10,000 Scania AB Sponsored ADR B 272,500
------------------
TOTAL COMMON STOCKS - SWEDEN $ 3,785,367
(Total Cost $3,369,164) ==================
ITALY - 2.09%
DIVERSIFIED HOLDING COMPANIES - 2.09%
335,500 IFIL Finanziaria di Partecipazioni ordinary shares $ 1,094,032
503,600 IFIL Finanziaria di Partecipazioni savings shares 879,039
------------------
TOTAL COMMON STOCKS - ITALY $ 1,973,071
(Total Cost $1,927,442) ==================
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
BAHAMAS - 1.60%
CRUDE PETROLEUM - 1.60%
5,300 Basic Holdings Ltd. $ 517,354 *+
34,100 Basic Petroleum International Ltd. 988,900 *
------------------
TOTAL COMMON STOCKS - BAHAMAS $ 1,506,254
(Total Cost $870,750) ==================
SPAIN - 1.30%
DIVERSIFIED HOLDING COMPANIES - 1.30%
33,200 Repsol SA - Sponsored ADR $ 1,228,400
------------------
TOTAL COMMON STOCKS - SPAIN $ 1,228,400
(Total Cost $1,162,000) ==================
UNITED KINGDOM - 0.79%
LUMBER & OTHER CONSTRUCTION MATERIALS - 0.79%
115,000 Adam & Harvey Group PLC $ 745,113
------------------
TOTAL COMMON STOCKS - UNITED KINGDOM $ 745,113
(Total Cost $452,380) ==================
CANADA - 0.05%
MINING OF NONMETALLIC MINERALS - 0.05%
11,900 Asbestos Corporation Ltd. $ 52,442 *
------------------
TOTAL COMMON STOCKS - CANADA $ 52,442
(Total Cost $383,574) ==================
TOTAL COMMON STOCKS $ 63,552,372
(Total Cost $60,510,142) ==================
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
CLOSED-END MUTUAL FUNDS - 5.56%
UNITED KINGDOM - 5.56%
1,546,927 RIT Capital Partners PLC $ 5,244,547
------------------
TOTAL CLOSED-END MUTUAL FUNDS $ 5,244,547
(Total Cost $3,645,800) ==================
CORPORATE BONDS - 4.05%
$ 11,000 Chartwell Contingent Interest Note 0.000% due 06/30/06 $ 4,702 +
3,118,000 Emcor Group Inc. Series C Notes 11.000% 12/15/01 2,993,280
1,205,000 Louise's Inc. Senior Notes 10.500% due 11/18/98 120,500 +
625,000 Unisys Corp. Convertible Debenture 8.250% due 03/15/06 698,437
------------------
TOTAL CORPORATE BONDS $ 3,816,919
(Total Cost $3,977,266) ==================
COLLATERALIZED MORTGAGE OBLIGATIONS - 3.00%
380,451 Guardian S&L 1990-4 FRN due 06/25/20 $ 228,271
629,121 RTC Series 1991-M2 Class A1 principal only due 09/25/20 415,220
2,468,807 RTC Series 1991-M2 Class A3 principal only due 09/25/20 1,629,413
665,000 RTC Series 1991-M2 Class B principal only due 09/25/20 14,364
61,497 RTC Series 1991-M2 Class X1 interest only due 09/25/20 393,306
56,858 RTC Series 1991-M2 Class X2 interest only due 09/25/20 44,959
81,913 RTC Series 1991-M2 Class X3 interest only due 09/25/20 88,751
------------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS $ 2,814,284
(Total Cost $2,954,088) ==================
OPTIONS - 2.45%
1,200 Bear Stearns Basket 61.6 Puts expiring 08/30/96 $ 600 +
50 Gold April 550 Calls expiring 04/07/97 1,000 +
50 Gold April 555 Calls expiring 04/07/97 900 +
50 Gold May 555 Calls expiring 05/12/97 1,150 +
170 Hills Stores Co. 18.15 Calls expiring 08/12/96 850 +
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
450 Philip Morris 50 Puts expiring 05/19/97 $ 5,400 +
360 Philip Morris 50 Puts expiring 05/19/97 5,760 +
295 Philip Morris 50 Puts expiring 05/23/97 3,540 +
295 Philip Morris 50 Puts expiring 05/23/97 3,540 +
330 RJR Nabisco Holdings 25 Calls expiring 11/07/97 232,320 +
330 RJR Nabisco Holdings 25 Calls expiring 11/10/97 223,740 +
400 RJR Nabisco Holdings 25 Calls expiring 11/11/97 283,200 +
330 RJR Nabisco Holdings 25 Calls expiring 11/14/97 224,400 +
280 RJR Nabisco Holdings 30 Calls expiring 10/10/97 122,220 +
375 RJR Nabisco Holdings 30 Calls expiring 10/13/97 164,250 +
177 Russell 2000 Index 263.700 Puts expiring 10/28/96 14,021 +
109 Russell 2000 Index 267.000 Puts expiring 10/28/96 10,517 +
127 Russell 2000 Index 270.675 Puts expiring 10/18/96 11,811 +
122 Russell 2000 Index 281.970 Puts expiring 09/23/96 18,300 +
128 S&P 500 Index 482.310 Puts expiring 06/14/96 800 +
120 S&P 500 Index 491.085 Puts expiring 07/01/96 1,800 +
119 S&P 500 Index 494.190 Puts expiring 06/27/96 1,904 +
116 S&P 500 Index 505.575 Puts expiring 01/17/97 20,351 +
106 S&P 500 Index 520.020 Puts expiring 10/11/96 18,550 +
104 S&P 500 Index 554.230 Puts expiring 01/06/97 61,537 +
103 S&P 500 Index 556.650 Puts expiring 01/27/97 56,511 +
83 S&P 500 Index 556.750 Puts expiring 01/27/97 45,284 +
103 S&P 500 Index 557.110 Puts expiring 01/27/97 56,984 +
205 S&P 500 Index 581.310 Puts expiring 02/10/97 191,330 +
103 S&P 500 Index 583.990 Puts expiring 03/19/97 103,412 +
101 S&P 500 Index 585.675 Puts expiring 02/10/97 104,243 +
203 S&P 500 Index 585.810 Puts expiring 02/10/97 209,056 +
101 S&P 500 Index 589.500 Puts expiring 02/18/97 114,996 +
------------------
TOTAL OPTIONS $ 2,314,277
(Total Cost $3,770,997) ==================
PARTNERSHIPS - 2.25%
158,800 Falcon Cable Systems Co., L.P. $ 1,488,750
150,000 NCH Investors Fund L.P. 150,000 +
485,480 New Century Capital Partners II L.P. 485,480 +
------------------
TOTAL PARTNERSHIPS $ 2,124,230
(Total Cost $2,009,153) ==================
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
BONDS & NOTES IN REORGANIZATION - 1.30%
$ 2,125,000 Eagle-Picher Industries Inc. 9.500% due 03/01/17 $ 446,250 *
669,082 El Paso Electric Promissory Note 15.750% due 07/02/00 719,264
45,000 Mansfield Ohio IDR Eagle-Picher 8,550 *
9.750% due 10/01/00
265,000 Port Development Corp. TX Eagle-Picher 50,350 *
9.750% due 10/01/20
------------------
TOTAL BONDS AND NOTES IN REORGANIZATION $ 1,224,414
(Total Cost $1,690,847) ==================
PURCHASED BANK DEBT & TRADE CLAIMS - 1.14%
$ 2,453,800 Maxwell Comm. Bank Debt - Baker Nye $ 147,379 *+
5,000,000 Maxwell Comm. Berlitz Obligations 300,000 *+
167,868 Maxwell Comm. Revolving Bank Debt - First Chicago 10,107 *+
943,496 Maxwell Comm. Revolving Bank Debt - Halcyon 56,992 *+
396,015 Maxwell Comm. Revolving Bank Debt - Halcyon II 23,843 *+
875,543 Maxwell Comm. Revolving Bank Debt - Lazard Freres 52,677 *+
264,059 Maxwell Comm. Revolving Bank Debt - Merrill Lynch 15,898 *+
823,981 Maxwell Comm. Revolving Bank Debt - San Paolo 49,752 *+
1,015,000 Maxwell Comm. Revolving Bank Debt - TCC Associates 61,262 *+
579,133 Maxwell Comm. Term Bank Debt - First Chicago 34,748 *+
1,678,704 Maxwell Comm. Term Bank Debt - Halcyon 100,722 *+
702,220 Maxwell Comm. Term Bank Debt - Halcyon II 42,133 *+
426,846 Maxwell Comm. Term Bank Debt - Lazard Freres 25,611 *+
468,268 Maxwell Comm. Term Bank Debt - Merrill Lynch 28,096 *+
325,093 Maxwell Comm. Term Bank Debt - San Paolo 19,505 *+
1,806,951 Maxwell Comm. Term Bank Debt - TCC Associates 108,417 *+
1,750,000 Wheeling-Pittsburgh Nonrestricted Trade Claims 875 *+
------------------
TOTAL PURCHASED BANK DEBT & TRADE CLAIMS $ 1,078,017
(Total Cost $656,155) ==================
COMPANIES IN LIQUIDATION - 1.05%
5,682,800 Antonelli Liquidating Trust $ 106,552 *+
3,150 EHLCO Liquidating Trust 315 *+
$ 250,000 Lionel Corp. Subordinated Notes 2,500 *
12.375% due 08/01/96
364,000 Lionel Corp. Subordinated Convertible Debentures 3,640 *
8.000% due 07/15/07
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
DEM 15,000,000 Maxwell Comm. Corp. PLC 6.000% due 06/15/93 $ 588,043 *
CHF 5,500,000 Maxwell Comm. Corp. PLC 5.000% due 06/16/95 265,380 *
0 MBO Properties Inc. Liquidating Trust 0 *+
100,550 Timber Realization Liquidating Trust 26,143 *+
------------------
TOTAL COMPANIES IN LIQUIDATION $ 992,573
(Total Cost $448,355) ==================
MUNICIPAL BONDS - 0.50%
$ 290,000 Broward County FL HFA Banyan Bay 6.900% due 04/01/07 $ 233,450 *
260,000 Broward County FL HFA Los Prados 8.875% due 10/01/07 236,275 *
------------------
TOTAL MUNICIPAL BONDS $ 469,725
(Total Cost $453,700) ==================
WARRANTS AND RIGHTS - 0.14%
60,000 Five Arrows Chile Inv. Trust Warrants Exp. 5/31/99 $ 30,600
240,300 Jardine Strategic Holdings Warrants Exp. 5/02/98 91,314
1,000 Letchworth Indep Bancshares Warrants Exp. 12/31/97 7,750
14 Louise's Inc. Warrants Exp. 11/18/98 0 +
------------------
TOTAL WARRANTS AND RIGHTS $ 129,664
(Total Cost $78,393) ==================
TEMPORARY INVESTMENTS - 8.77%
U S GOVERNMENT OBLIGATIONS - 6.29%
$ 2,000,000 U S Treasury Bill due 06/13/96 $ 1,988,497
4,000,000 U S Treasury Bill due 08/15/96 3,941,783
------------------
5,930,280
THE BAUPOST FUND
SCHEDULE OF INVESTMENTS
APRIL 30, 1996
(UNAUDITED)
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
REPURCHASE AGREEMENT - 2.48%
2,340,000 Repurchase Agreement with Chase Manhattan Bank
dated 04/30/96; collateralized by U.S. Government
and/or Federal agency securities; rate 5.10%;
matures 05/01/96; repurchase amount $2,340,332 $ 2,340,000
------------------
TOTAL TEMPORARY INVESTMENTS $ 8,270,280
(Total Cost $8,269,569) ==================
TOTAL INVESTMENTS - 97.63% $ 92,031,302
(Total Cost of Investments $88,464,465) ==================
</TABLE>
* Non-income producing security.
+ Restricted Securities - securities not registered under the Securities Act of
1933. See Note D in the Notes to Financial Statements.
~ A portion of the security is serving as collateral or is segregated for
securities sold short. (Allmerica Financial Corp. - $6,292,000, Maxxam Inc. -
$3,185,000, Dart Group Corp. - $2,370,750)
The percentage shown for each investment category is the total value of that
category expressed as a percentage of total net assets of the Fund.
See notes to financial statements.
THE BAUPOST FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY CONTRACTS
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
MARKET UNREALIZED
VALUE GAIN/(LOSS)
--------------------- ------------------
<S> <C> <C> <C>
CONTRACTS TO SELL
GBP 3,147,000 British Pound Sterling due 05/31/96 $ 4,740,137 $ 7,553
(Receivable amount $4,747,690)
CAD 129,000 Canadian Dollar due 06/18/96 94,765 (529)
(Receivable amount $94,236)
FRF 43,795,100 French Franc due 05/31/96 8,481,797 21,280
(Receivable amount $8,503,077)
ITL 25,796,000 Italian Lira due 05/31/96 1,647,590 (1,072)
(Receivable amount $1,646,518)
SEK 1,383,656 Swedish Krona due 05/02/96 203,923 458
(Receivable amount $204,381)
SEK 26,244,600 Swedish Krona due 05/13/96 3,865,830 40,605
(Receivable amount $3,906,435)
------------------------- ----------------------
TOTAL CONTRACTS TO SELL $ 19,034,042 68,295
(Receivable amount $19,102,337) ========================= ----------------------
CONTRACTS TO BUY
GBP 191,900 British Pound Sterling due 05/31/96 $ 289,047 (103)
(Payable amount $289,150)
SEK 1,383,656 Swedish Krona due 05/13/96 203,813 (477)
(Payable amount $204,290)
SEK 2,138,400 Swedish Krona due 05/13/96 314,986 (2,195)
(Payable amount $317,181)
------------------------- ----------------------
TOTAL CONTRACTS TO BUY $ 807,846 (2,775)
(Payable amount $810,621) ========================= ----------------------
$ 65,520
======================
</TABLE>
See notes to financial statements.
THE BAUPOST FUND
SCHEDULE OF SECURITIES SOLD SHORT
APRIL 30, 1996
(UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF SHARES, MARKET
UNITS OR FACE VALUE ($) VALUE
----------------------- -----
<S> <C> <C>
COMMON STOCK-9.65%
18,400 Healthplan Services Corporation $ 441,600
131,075 British Sky Broadcasting ADR (United Kingdom) 5,668,994
82,500 Fiat SPA (Italy) 281,029
195,450 Kaiser Aluminum Corporation 2,614,144
288 Sidel SA (France) 68,532
604 Union Planters Corporation 18,195
------------------
TOTAL COMMON STOCK SOLD SHORT 9,092,494
(Total Proceeds from Common Stock Sold Short $8,502,607)
PREFERRED STOCK-0.32%
10,400 Unisys Corporation Series A 305,500
------------------
TOTAL PREFERRED STOCK SOLD SHORT 305,500
(Total Proceeds from Preferred Stock Sold Short $312,108) ------------------
TOTAL SECURITIES SOLD SHORT - 9.97%
(Total Proceeds from Securities Sold Short $8,814,715) $ 9,397,994
==================
The percentage shown for each investment category is the
total value of that category expressed as a percentage
of total net assets of the Fund.
</TABLE>
See notes to financial statements.
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE A--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Baupost Fund (the Fund) was established as a Massachusetts business trust
under an Agreement and Declaration of Trust dated June 29, 1990, and is
registered under the Investment Company Act of 1940, as amended, as a no-load,
nondiversified, open-end management investment company. The Fund is the
successor organization to Baupost Limited Partnership 1985 E-1 (the
Partnership).
The Fund had no operations from the date of organization, other than those
relating to organizational matters, until October 1, 1990, when shares of
beneficial interest were issued at value, to an individual who serves as a
Trustee and Vice-Chairman of the Fund. Limited operations ensued from October 1,
1990 until the exchange of Fund shares for Partnership net assets on December
31, 1990. Effective on December 31, 1990, all of the assets and liabilities of
the Partnership were transferred to the Fund in exchange for shares of
beneficial interest of the Fund (the Shares). 1,792,452.890 shares (after the
effect of the stock split on October 31, 1993) were received by the Partnership
in the exchange (the Exchange) and distributed pro rata by the Partnership to
its partners in liquidation of the Partnership, after which the Partnership was
dissolved. As a result of the Exchange, each partner of the Partnership became a
shareholder of the Fund. Significant investment activity commenced in January
1991.
The following is a summary of significant accounting policies followed by the
Fund in the preparation of its financial statements. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that may affect the
reported amounts of assets and liabilities. Actual results could differ from
those estimates.
SECURITY VALUATION: Portfolio securities, options and futures contracts for
which market quotations are available and which are traded on an exchange or on
NASDAQ are valued at the last quoted sales price or, if there is no such
reported sale that day, at the closing bid price. Securities, options and
forward contracts traded in the over-the-counter market (other than those traded
on NASDAQ) and other unlisted securities are valued at the most recent bid price
as obtained from one or more dealers that make markets in the securities.
Portfolio securities which are traded both in the over-the-counter market and on
one or more stock exchanges are valued according to the broadest and most
representative market. To the extent the Fund engages in "naked" short sales
(i.e., it does not own the underlying security or a security convertible into
the underlying security without the payment of any further consideration) the
Fund will value such short position as described above, except that the
valuation, where necessary, will be based on the asked price instead of the bid
price. Other assets for which no quotations are readily available are valued at
fair value as determined in good faith in accordance with procedures adopted by
the Trustees of the Fund. Determination of fair value is based upon such factors
as are deemed relevant under the circumstances, including the financial
condition and operating results of the issuer, recent third-party transactions
(actual or proposed) relating to such securities and, in extreme cases, the
liquidation value of the issuer.
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE A--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES -- CONTINUED
Certain investments held by the Fund are restricted as to public sale in
accordance with the Securities Act of 1933. Whenever possible, such assets are
valued based on bid prices obtained from reputable brokers or market makers as
of the valuation date. For assets not priced by brokers or market makers, fair
value is determined by The Baupost Group, Inc. (Baupost) in accordance with
procedures adopted by the Trustees of the Fund.
SHORT SALES: The Fund is engaged in short-selling which obligates the Fund to
replace the security borrowed by purchasing the security at current market
value. The Fund would incur a loss if the price of the security increases
between the date of the short sale and the date on which the Fund replaces the
borrowed security. The Fund would realize a gain if the price of the security
declines between those dates. Until the Fund replaces the borrowed security, the
Fund maintains daily, in a segregated account with its custodian, cash or
securities sufficient to cover its short position. At April 30,1996, the Fund
has approximately $11.8 million of common stock in a segregated account relating
to its short positions. Securities sold short for which market quotations are
available are valued at the last quoted sales price. If there is no reported
sale on the valuation date the closing asked price is used. Short securities
traded in the over-the-counter market are valued at the most recent asked price
as obtained from one or more dealers that make markets in the securities. Short
securities which are traded both in the over-the-counter market and on one or
more stock exchanges are valued according to the broadest and most
representative market.
Securities sold short at April 30, 1996 and their related market values and
proceeds are set forth in the Schedule of Securities Sold Short.
FORWARD FOREIGN CURRENCY CONTRACTS: The Fund may enter into forward foreign
currency contracts for the purchase or sale of a specific foreign currency at a
fixed price on a future date. The U.S. dollar value of the currencies the Fund
has committed to buy or sell is shown in the Schedule of Forward Foreign
Currency Contracts. Losses may arise from changes in the value of the foreign
currency or if the counterparties do not perform under the contracts' terms.
FOREIGN CURRENCY TRANSLATION: The value of foreign securities, when held by the
Fund, is translated into U.S. dollars at the rate of exchange on the day of
valuation. Purchases and sales of foreign securities, as well as income and
expenses relating to such securities, are translated into U.S. dollars at the
exchange rate on the dates of the transactions. The portion of both realized and
unrealized gains and losses on investments that result from fluctuations in
foreign exchange rates is not separately disclosed.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities transactions are
recorded on the trade date. Gains and losses on securities sold are determined
using the specific identification method. Dividend income is recorded on the
ex-dividend date or, for certain foreign dividends, as soon as the Fund becomes
aware of the dividends. Interest income, including original issue discount,
where applicable, is recorded on an accrual basis, except for bonds in default
for which there is some concern as to whether interest will be received in cash,
in which case interest is recorded when received.
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE A--ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES -- CONTINUED
FEDERAL INCOME TAXES AND DISTRIBUTIONS: The Fund is a regulated investment
company, as defined under Subchapter M of the Internal Revenue Code (the Code).
By complying with Code provisions, the Fund is relieved from federal income tax
provided that substantially all of its taxable income is distributed to
shareholders. Therefore, no provision has been made for federal income taxes.
The Fund's income and capital gain distributions are determined in accordance
with income tax regulations which may differ from generally accepted accounting
principles. These differences are primarily due to different treatment for
certain of the Fund's foreign securities. Differences in the recognition or
classification of income between the financial statements and tax earnings and
profits, which result in temporary overdistributions for financial statement
purposes are classified as distributions in excess of net investment income or
accumulated net realized gains.
NOTE B--INVESTMENT MANAGEMENT CONTRACT AND OTHER TRANSACTIONS WITH AFFILIATES
The Fund retains Baupost as its investment adviser, transfer agent and
administrator. Certain individuals who are officers and trustees of the Fund are
also officers, directors and shareholders of Baupost.
Effective January 1, 1991, the Fund began to pay Baupost a quarterly management
fee at an annual rate of 1% of average net assets of the Fund and an
administrative fee at an annual rate of 0.25% of average net assets of the Fund,
to serve as transfer agent, dividend disbursing agent and administrator. Baupost
has agreed with the Fund to reduce its management fee by up to 0.75% of the
Fund's average net assets until further notice to the extent that the Fund's
total annual expenses (including the management fee, administrative fee and
certain other expenses, but excluding brokerage commissions, transfer taxes,
interest and expenses relating to preserving the value of the Fund's
investments) would otherwise exceed 1.5% of the Fund's average net assets. For
the purpose of determining the applicable management and administrative fees,
average net assets is determined by taking an average of the determination of
such net asset values during each quarter at the close of business on the last
business day of each month during such quarter before any month-end share
purchases or redemptions.
Management and administrative fees for the period November 1, 1995 through April
30, 1996 amounted to $463,024 and $115,756, respectively, of which $4,432 of the
management fee was waived by Baupost.
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE C--INVESTMENT TRANSACTIONS
Purchases and proceeds from the sale of investment securities (excluding
short-term investments) for the period ended April 30, 1996 aggregated
$67,706,306 and $62,685,547, respectively.
For federal income tax purposes, the identified cost of investments at April 30,
1996 was $90,407,775. Net unrealized appreciation, on a federal income tax
basis, for all securities and securities sold short was as follows:
Six Months Ended
April 30, 1996
--------------
Gross unrealized appreciation $ 10,560,110
------------
Gross unrealized depreciation (8,643,719)
------------
Net unrealized appreciation $ 1,916,391
============
In the normal course of operations, the Fund may enter into various contractual
commitments involving forward settlement including foreign currency contracts,
futures contracts, short sales of securities and the writing of option
contracts. Commitments involving future settlement give rise to off balance
sheet market risk, which represents the potential accounting loss that can be
caused by a change in the market value of a particular investment. The Fund's
exposure to off balance sheet market risk is determined by a number of factors,
including the size, composition and diversification of positions held, market
volatility and relative levels of interest rates and foreign currency exchange
rates, if applicable. For securities such as options, the time period during
which the options may be exercised and the relationship between the current
market price of the underlying instrument and the option's contractual strike or
exercise price may also affect the level of off balance sheet risk.
A significant factor influencing the overall level of off balance sheet market
risk to which the Fund is exposed is its use of hedging strategies to mitigate
such risk which may include the use of purchased index options. The Fund closely
monitors and manages its exposure to risk. In addition, all positions involving
future settlement are collateralized by cash balances or security deposits at
the broker through which the transaction was performed.
The Fund uses forward foreign currency contracts to hedge currency risk (See
Schedule of Forward Foreign Currency Contracts). At April 30, 1996 the Fund had
no open positions in futures contracts which it had written.
Concentrations of credit risk exist if a number of companies in which the Fund
has invested are engaged in similar activities and have similar economic
characteristics that would cause their ability to meet contractual obligations
to be similarly affected by changes in economic or other conditions. To mitigate
its exposure to concentrations of credit risk, the Fund invests in a variety of
industries located in diverse
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE C--INVESTMENT TRANSACTIONS- CONTINUED
geographic areas. While the portfolio is not concentrated in any one industry,
securities of distressed companies, many of which are restricted as to resale
and which were purchased at a significant discount, are an important component
of the Fund's investments in bonds.
NOTE D--RESTRICTED SECURITIES
At April 30, 1996 the Fund held the following securities which are restricted as
to public sale in accordance with the Securities Act of 1933:
<TABLE>
<CAPTION>
Value at Earliest Acquisition
Cost April 30, 1996 Date
---- -------------- ----
<S> <C> <C> <C>
Purchased Bank Debt & Trade Claims:
Maxwell Communications Corporate Debt $ 656,155 $1,077,142 11/22/93
Wheeling-Pittsburgh
Nonrestricted Trade Claims 0 875 05/11/89
Corporate Bonds:
Louise's Inc. 10.50% due 11/18/98 1,202,590 120,500 11/18/93
Chartwell Inc. 8.00% due 06/30/96 5,002 4,702 12/21/95
Options:
Bear Stearns Basket #4 61.60 Put
Expiring 08/30/96 8,400 600 02/16/96
Gold 550 Call Expiring 04/07/97 2,150 1,000 11/06/95
Gold 555 Call Expiring 04/07/97 1,825 900 11/08/95
Gold 555 Call Expiring 05/12/97 2,300 1,150 11/08/95
Hills Stores Co. 18.15 Call Expiring 08/12/96 74,357 850 08/11/95
Philip Morris 50 Put Expiring 05/19/97 61,200 5,400 05/19/95
Philip Morris 50 Put Expiring 05/19/97 52,830 5,760 05/19/95
Philip Morris 50 Put Expiring 05/23/97 33,335 3,540 05/24/95
</TABLE>
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE D--RESTRICTED SECURITIES--CONTINUED
<TABLE>
<CAPTION>
Options: (continued) Value at Earliest Acquisition
Cost April 30, 1996 Date
---- -------------- ----
<S> <C> <C> <C>
Philip Morris 50 Put Expiring 05/23/97 35,990 3,540 05/24/95
RJR Nabisco 25 Call Expiring 11/07/97 221,173 232,320 05/08/95
RJR Nabisco 25 Call Expiring 11/10/97 229,680 223,740 05/10/95
RJR Nabisco 25 Call Expiring 11/11/97 298,000 283,200 05/11/95
RJR Nabisco 25 Call Expiring 11/14/97 231,660 224,400 05/17/95
RJR Nabisco 30 Call Expiring 10/10/97 128,240 122,220 04/10/96
RJR Nabisco 30 Call Expiring 10/13/97 183,281 164,250 04/12/96
Russell 2000 281.97 Put Expiring 09/23/96 87,913 18,300 09/21/95
Russell 2000 270.675 Put Expiring 10/18/96 105,037 11,811 10/17/95
Russell 2000 267.00 Put Expiring 10/28/96 82,884 10,517 10/25/95
Russell 2000 263.70 Put Expiring 10/28/96 135,200 14,020 10/26/95
S & P 500 Index 482.31 Put Expiring 06/14/96 130,331 800 06/13/95
S & P 500 Index 491.085 Put Expiring 07/01/96 117,860 1,800 06/30/95
S & P 500 Index 494.19 Put Expiring 06/27/96 118,271 1,904 06/26/95
S & P 500 Index 505.575 Put Expiring 01/17/97 170,820 20,351 07/17/95
S & P 500 Index 520.02 Put Expiring 10/11/96 113,307 18,550 10/11/95
S & P 500 Index 554.229 Put Expiring 01/06/97 107,909 61,537 01/05/96
S & P 500 Index 556.65 Put Expiring 01/27/97 98,946 56,511 01/25/96
S & P 500 Index 556.75 Put Expiring 01/27/97 80,698 45,284 01/24/96
S & P 500 Index 557.10 Put Expiring 01/27/97 100,230 56,984 01/25/96
S & P 500 Index 581.31 Put Expiring 02/10/97 204,200 191,330 02/07/96
S & P 500 Index 585.675 Put Expiring 02/10/97 105,331 104,243 02/08/96
S & P 500 Index 585.81 Put Expiring 02/10/97 210,670 209,056 02/08/96
S & P 500 Index 589.50 Put Expiring 02/18/97 109,907 114,996 02/14/96
S & P 500 Index 583.99 Put Expiring 03/19/97 126,999 103,412 03/18/96
Partnerships:
NCH Investors Fund, L.P. 150,000 150,000 12/18/95
New Century Capital Partners II, L.P. 485,480 485,480 11/30/95
</TABLE>
THE BAUPOST FUND
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1996
(UNAUDITED)
NOTE D--RESTRICTED SECURITIES--CONTINUED
<TABLE>
<CAPTION>
Value at Earliest Acquisition
Cost April 30, 1996 Date
---- -------------- ----
<S> <C> <C> <C>
Common Stock:
Basic Holdings Limited 346,885 517,354 07/06/95
The Homestake Oil & Gas Company 113,815 100,555 02/10/94
The Homestake Royalty Corporation 241,587 221,060 02/10/94
Companies in Liquidation:
Antonelli Liquidating Trust 345,777 106,553 12/02/93
Ehlco Liquidating Trust 1,047 315 01/30/89
MBO Properties Inc. Liquidating Trust 0 0 11/25/92
Timber Realization Liquidating Trust 0 26,143 08/03/87
Warrants and Rights:
Louise's Inc. Warrants Expiring 11/18/98 2,410 0 11/18/93
---------- --------
TOTAL RESTRICTED SECURITIES $7,321,682 $5,124,955
(5.44% of Net Assets) ========== ==========
</TABLE>
The Fund does not have the right to demand that such securities be registered.
The Fund does not anticipate any significant costs associated with the
disposition of these securities.
NOTE E--CAPITAL SHARE TRANSACTIONS
Transactions in capital shares were as follows:
<TABLE>
<CAPTION>
For the Six Months Ended For the Year Ended
April 30, 1996 October 31, 1995
-------------- ----------------
Shares Amount Shares Amount
------ ------ ------- ------
<S> <C> <C> <C> <C>
Shares sold 589,814.396 7,696,032.23 1,160,287.242 $ 14,670,652
Shares issued in
reinvestment of
dividends 454,829.173 5,799,072.03 798,660.448 9,823,524
Shares redeemed (648,701.484) (8,540,775.41) (1,026,796.162) (13,143,641)
----------- ------------- ------------- ------------
NET INCREASE 395,942.085 $ 4,954,328.85 932,151.528 $ 11,350,535
=========== ============= ============= ============
</TABLE>
THE BAUPOST FUND
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
Six Months Period Ended
Ended April 30, Year ended October 31, October 31,
1996 1995 1994 1993 1992 1991(d)
---- ---- ---- ---- ---- -------
<S> <C> <C> <C> <C> <C> <C>
SELECTED PER SHARE DATA (a)
Net Asset Value, beginning of period $13.47 $14.33 $14.77 $12.56 $11.97 $10.04
------ ------ ------ ------ ------ ------
Income from Investment Operations
Net investment income 0.12 0.25 0.22 0.28 0.24 0.47
Net realized and unrealized gain (loss) 0.74 0.71 1.23 2.76 0.88 1.46
---- ---- ---- ---- ---- ----
Total from investment operations 0.86 0.96 1.45 3.04 1.12 1.93
---- ---- ---- ---- ---- ----
Less Distributions
From net investment income 0.12 0.25 0.46 0.22 0.53 --
In excess of net investment income 0.16 0.08 -- -- -- --
From net realized gain 0.65 1.49 1.43 0.61 -- --
---- ---- ---- ---- ---- ----
Total distributions 0.93 1.82 1.89 0.83 0.53 --
---- ---- ---- ---- ---- ----
Net Asset Value, end of period $13.40 $13.47 $14.33 $14.77 $12.56 $11.97
====== ====== ====== ====== ====== ======
Total Return 5.10%(b) 7.91% 11.06% 25.45% 9.51% 19.21%(b)
RATIOS AND SUPPLEMENTAL DATA
Net Assets, end of period (in thousands) 94,269 89,439 81,787 75,378 46,942 35,054
Ratio of expenses to average net assets 1.53%(c) 1.54% 1.53% 1.51% 1.50% 1.50%(c)
Total expenses to average net assets 1.54%(c) 1.54% 1.55% 1.63% 1.72% 2.01%(c)
Ratio of net investment income to
average net assets 1.39%(c) 1.60% 1.32% 2.29% 2.07% 5.33%(c)
Ratio of net investment income excluding
waiver of management fee to average
net assets 1.38%(c) 1.60% 1.30% 1.17% 1.85% 4.82%(c)
Portfolio Turnover rate 177% 106% 161% 183% 137% 144%
(a) All per share amounts reflect the effect of the ten-for-one share split
as of the close of business October 31, 1993.
(b) Total returns for periods of less than one year are not annualized.
(c) Annualized.
(d) For the period January 1, 1991-October 31, 1991. For the period from
June 29, 1990 (date of organization) to December 31, 1990, net income
of $2,993, or $1.50 per share, was distributed to the Fund's sole
shareholder. Such distributions represented the net income of the Fund
prior to the date shares of beneficial interest were issued.
</TABLE>
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