<PAGE>
T RAK -R-
--------------
PERSONALIZED INVESTMENT ADVISORY SERVICE
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Annual Report
August 31, 1994
[LOGO]
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
TABLE OF CONTENTS
<TABLE>
<S>
<C>
Shareholder
Letter...................................................................
1
Statement of Assets and
Liabilities.................................................. 4
Statement of
Operations..............................................................
8
Statement of Changes in Net
Assets................................................... 10
Financial
Highlights.................................................................
14
Portfolio of Investments:
Government Money
Investments.....................................................
23
Intermediate Fixed Income
Investments............................................ 26
Total Return Fixed Income
Investments............................................ 34
Municipal Bond
Investments.......................................................
37
Mortgage Backed
Investments......................................................
42
Balanced
Investments.............................................................
44
Large Capitalization Value Equity
Investments.................................... 48
Large Capitalization Growth
Investments.......................................... 58
Small Capitalization Value Equity
Investments.................................... 65
Small Capitalization Growth
Investments.......................................... 71
International Equity
Investments................................................. 75
International Fixed Income
Investments........................................... 81
Emerging Markets Equity
Investments.............................................. 84
Notes to Financial
Statements........................................................
91
Report of Independent
Accountants.................................................... 100
Tax
Information................................................................
...... 101
Portfolio
Highlights.................................................................
102
Appendix...................................................................
.......... 115
</TABLE>
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
The performance of the capital markets over the past fiscal year has
been
somewhat lackluster. Although the major stock market indices posted 12-
month
gains, the bond markets haven't fared as well. The cause for this
uneven
performance has been interest rates. After falling for several years,
interest
rates began rising in February when the Federal Reserve, concerned
about the
prospect of accelerating inflation, moved to tighten credit. Since bond
prices
move in an opposite direction to interest rates, the value of bonds
declined.
The bond market's fall prompted stocks to decline as well, although their
drop
wasn't as dramatic and they remained in positive territory on a 12-month
basis.
As the events since February show, investments often respond differently or
with
varying degrees to forces -- such as changes in interest rates -- that
affect
the capital markets. The TRAK Personalized Investment Advisory Service
was
designed, in part, to help minimize the impact that such forces can have
on an
investor's overall investment portfolio. By holding a diversified
blend of
different investment types, an investor can help smooth the inevitable
bumps and
dips that market swings can have on the value of a portfolio.
The Consulting Group uses a sophisticated investment technique known as
asset
allocation to help its shareholders diversify their portfolios. We
recognize 13
major investment types or asset groups, and we've set up 13 funds within
TRAK to
represent each one of them. Our recommendations to investors on how they
should
apportion their investment funds among the 13 hinge on two critical
elements:
THE INVESTOR'S NEEDS AND SENSITIVITIES. Given that investors vary
according
to their risk tolerances and return expectations, we don't believe that
any
single asset allocation is appropriate for all investors. The
allocation we
recommend to a conservative investor differs significantly from
the
allocation we recommend to aggressive and moderate-risk investors.
THE CURRENT CAPITAL MARKETS ENVIRONMENT AS WELL AS WHAT WE ANTICIPATE
IN THE
FUTURE. The capital markets are in constant flux. Stock and bond
market
trends that may seem quite clear today could disappear or reverse six
months
from now. Our asset allocation recommendations must be consistent with
the
trends that we identify. Over the past 12 months, we've revised our
asset
allocation recommendations twice, recommending that shareholders
realign
their portfolios to take advantage of what we recognize to be
opportunities
and/or to control risk in their TRAK portfolios.
The important element that threads through all our asset
allocation
recommendations is diversification. Throughout the past 12 months,
the
Consulting Group has continued to develop additional ways to increase
the
diversification of our shareholders' investment portfolios. Earlier this
year we
added a 13th fund to the Consulting Group Capital Markets Funds:
Emerging
Markets Equity Investments. This fund, which invests in firms doing
business in
the quickly developing countries of Latin America, Asia and Europe,
offers
aggressive investors both additional global diversification as well as
the
possibility of achieving higher returns due to the growing economies in
these
countries.
We also took steps to increase the diversification of three of our largest
funds
- -- Large Capitalization Value Equity Investments, Large Capitalization
Growth
Investments and Small Capitalization Value Equity Investments. A year ago,
each
of these funds were managed by sole investment managers. Today, the
assets of
the three funds are jointly managed by two investment advisors. We are
currently
in the process of examining the advantages and feasibility of
employing
co-managers for several other Consulting Group Capital Markets funds.
<PAGE>
We recognize that the need for co-managers of a fund grows in importance as
the
assets invested through the TRAK service continue to grow. In the 12
months
ending August 31, 1994, Consulting Group Capital Markets Funds assets have
risen
to $3.3 billion, a 74% increase from the $1.9 billion on August 31, 1993.
The
number of investors has increased 55% over the same period to 59,000
from
38,000. The majority of TRAK shareholders are investing for
retirement.
Approximately 55% of the overall assets are invested in tax-
advantaged
Individual Retirement Accounts (IRAs), 401(k) plans, Keogh plans and
pension
plans.
Once again, we thank you for your continued support and trust in our
service,
and we look forward to serving you in the future. As always, if you should
have
any questions about your TRAK investments, your Financial Consultant
remains
ready and committed to serving you.
Sincerely,
Leonard A. Reinhart H. John Ellis
Executive Vice President and President
Investment Officer
October 7, 1994
2
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
3
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENT OF ASSETS AND
LIABILITIES
AUGUST 31, 1994
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE TOTAL
RETURN MUNICIPAL MORTGAGE
MONEY FIXED INCOME FIXED
INCOME BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- -----
- ------- ------------ -------------
<S> <C> <C> <C>
<C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $ 182,494,195 $215,803,616
$83,639,744 $55,653,375 $ 113,803,721
Repurchase agreements............ -- 3,367,000
8,163,000 -- 5,018,000
------------- ------------- -----
- ------- ------------ -------------
Total investments................ 182,494,195 219,170,616
91,802,744 55,653,375 118,821,721
Cash and/or foreign currency....... 133,485 89,897
35,497 29,315 83
Futures contracts -- long position,
at value (Cost $17,702,475) (Note
1)............................... -- -- -
- - -- --
Net unrealized appreciation of
forward foreign exchange
contracts (Note 1)............... -- -- -
- - -- --
Due from Agents (Note 2)........... 31,705 --
8,196 5,154 17,745
Dividends and/or interest
receivable....................... 107,311 2,573,311
1,036,958 885,041 939,019
Unamortized organization
costs (Note 5)................... 34,882 35,487
35,487 32,061 35,487
Receivable for Portfolio shares
sold............................. 2,787,523 1,465,713
412,757 285,194 926,529
Receivable for investment
securities
sold............................. -- 12,422,108
1,525,145 -- --
------------- ------------- -----
- ------- ------------ -------------
Total Assets................... 185,589,101 235,757,132
94,856,784 56,890,140 120,740,584
------------- ------------- -----
- ------- ------------ -------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 432,753 195,876
95,747 150,835 175,531
Payable for investment securities
purchased........................ -- 11,815,088 -
- - -- --
Aggregate exercise cost of futures
-- long position................. -- -- -
- - -- --
Due to custodian................... -- -- -
- - -- --
Transfer agent fees payable (Note
2)............................... 55,000 12,016
14,000 3,500 20,000
Custodian fees payable (Note 2).... 28,862 8,300
12,522 7,140 20,800
Management fee payable (Note 2).... 6,933 75,430
28,366 9,848 18,597
Accrued legal and audit fees....... 15,300 15,300
15,300 15,300 15,300
Accrued registration and filing
fees............................. 20,127 29,217
11,567 3,950 14,004
Accrued shareholder reports
expense.......................... 16,829 16,829
16,829 16,829 16,829
Payable for dividends declared..... 329,738 -- -
- - 37,935 --
Administration fee payable (Note
2)............................... 24,014 37,715
27,553 13,313 21,852
Accrued Trustees' fees and expenses
(Note 2)......................... 769 769
769 769 769
Accrued expenses and other
payables......................... 3,014 3,017
6,015 5,714 9,811
------------- ------------- -----
- ------- ------------ -------------
Total Liabilities.............. 933,339 12,209,557
228,668 265,133 313,493
------------- ------------- -----
- ------- ------------ -------------
NET ASSETS......................... $ 184,655,762 $223,547,575
$94,628,116 $56,625,007 $ 120,427,091
------------- ------------- -----
- ------- ------------ -------------
------------- ------------- -----
- ------- ------------ -------------
Investments, at cost............... $ 182,494,195 $225,434,451
$96,136,077 $58,572,064 $ 123,370,362
Currency, at cost.................. 133,485 89,897
35,497 29,315 83
</TABLE>
4
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ --------------
- -------------- --------------
<S> <C> <C>
<C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $15,020,503 $ 818,348,548
$ 422,636,332 $ 341,323,413
Repurchase agreements............ -- 4,031,000
32,415,000 --
------------ --------------
- -------------- --------------
Total investments................ 15,020,503 822,379,548
455,051,332 341,323,413
Cash and/or foreign currency....... 20 1,293
- -- 935
Futures contracts -- long position,
at value (Cost $17,702,475) (Note
1)............................... -- --
18,252,850 --
Net unrealized appreciation of
forward foreign exchange
contracts (Note 1)............... -- --
- -- --
Due from Agents (Note 2)........... 31,085 --
- -- --
Dividends and/or interest
receivable....................... 90,399 3,573,558
690,809 565,005
Unamortized organization
costs (Note 5)................... 65,358 35,487
35,487 35,487
Receivable for Portfolio shares
sold............................. 18,345 7,540,734
4,218,534 4,341,092
Receivable for investment
securities
sold............................. 202,753 3,969,205
836,869 4,424,190
------------ --------------
- -------------- --------------
Total Assets................... 15,428,463 837,499,825
479,085,881 350,690,122
------------ --------------
- -------------- --------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 15,282 926,838
705,708 159,099
Payable for investment securities
purchased........................ 405,922 3,741,484
2,020,698 7,774,650
Aggregate exercise cost of futures
-- long position................. -- --
17,702,475 --
Due to custodian................... -- --
627,883 --
Transfer agent fees payable (Note
2)............................... 287 52,500
52,359 47,000
Custodian fees payable (Note 2).... 14,389 30,000
11,343 17,000
Management fee payable (Note 2).... -- 343,430
192,647 166,008
Accrued legal and audit fees....... 27,800 15,300
15,300 15,300
Accrued registration and filing
fees............................. 3,690 93,863
74,023 47,612
Accrued shareholder reports
expense.......................... 16,829 16,829
16,829 16,829
Payable for dividends declared..... -- --
- -- --
Administration fee payable (Note
2)............................... -- 137,361
74,854 55,336
Accrued Trustees' fees and expenses
(Note 2)......................... 769 769
769 769
Accrued expenses and other
payables......................... 3,048 3,014
3,014 3,015
------------ --------------
- -------------- --------------
Total Liabilities.............. 488,016 5,361,388
21,497,902 8,302,618
------------ --------------
- -------------- --------------
NET ASSETS......................... $14,940,447 $ 832,138,437
$ 457,587,979 $ 342,387,504
------------ --------------
- -------------- --------------
------------ --------------
- -------------- --------------
Investments, at cost............... $14,665,488 $ 797,240,459
$ 430,108,510 $ 341,923,566
Currency, at cost.................. 20 1,293
- -- 935
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- ------------- -
- ------------ -------------
<S> <C> <C>
<C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $ 174,434,907 $ 589,186,279
$107,722,378 $ 33,206,928
Repurchase agreements............ 9,277,000 --
1,098,000 1,761,000
-------------- ------------- -
- ------------ -------------
Total investments................ 183,711,907 589,186,279
108,820,378 34,967,928
Cash and/or foreign currency....... 837 3,077,819
354,928 540,395
Futures contracts -- long position,
at value (Cost $17,702,475) (Note
1)............................... -- --
- -- --
Net unrealized appreciation of
forward foreign exchange
contracts (Note 1)............... -- 945,696
12,890 377
Due from Agents (Note 2)........... -- --
20,116 12,967
Dividends and/or interest
receivable....................... 11,699 2,869,467
3,269,290 31,955
Unamortized organization
costs (Note 5)................... 32,731 35,487
35,487 30,460
Receivable for Portfolio shares
sold............................. 2,089,948 6,922,930
690,252 1,953,468
Receivable for investment
securities
sold............................. 4,866,700 3,547,113
6,595,739 --
-------------- ------------- -
- ------------ -------------
Total Assets................... 190,713,822 606,584,791
119,799,080 37,537,550
-------------- ------------- -
- ------------ -------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 246,827 267,938
160,576 7,681
Payable for investment securities
purchased........................ 10,069,888 10,618,816
2,519,672 1,052,420
Aggregate exercise cost of futures
-- long position................. -- --
- -- --
Due to custodian................... -- --
Transfer agent fees payable (Note
2)............................... 37,600 47,785
21,500 5,427
Custodian fees payable (Note 2).... 7,000 110,000
25,000 21,312
Management fee payable (Note 2).... 84,910 342,605
56,339 25,544
Accrued legal and audit fees....... 15,300 15,300
15,300 27,800
Accrued registration and filing
fees............................. 28,376 92,860
9,889 15,000
Accrued shareholder reports
expense.......................... 16,829 16,829
16,829 5,700
Payable for dividends declared..... -- --
- -- --
Administration fee payable (Note
2)............................... 28,304 97,887
39,693 5,676
Accrued Trustees' fees and expenses
(Note 2)......................... 769 769
769 769
Accrued expenses and other
payables......................... 3,010 9,014
4,037 5,344
-------------- ------------- -
- ------------ -------------
Total Liabilities.............. 10,538,813 11,619,803
2,869,604 1,172,673
-------------- ------------- -
- ------------ -------------
NET ASSETS......................... $ 180,175,009 $ 594,964,988
$116,929,476 $ 36,364,877
-------------- ------------- -
- ------------ -------------
-------------- ------------- -
- ------------ -------------
Investments, at cost............... $ 155,703,799 $ 496,032,524
$110,064,622 $ 30,978,408
Currency, at cost.................. 837 3,089,878
354,518 541,326
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
STATEMENT OF ASSETS AND LIABILITIES
(CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
TOTAL RETURN MUNICIPAL MORTGAGE
MONEY FIXED INCOME
FIXED INCOME BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- ----
- -------- ------------ ------------
<S> <C> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ 965 $ -- $
- -- $ (21,955) $ --
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ (43,701) (4,019,401)
(1,193,095) (182,171) (323,003)
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... -- (6,263,835)
(4,333,333) (2,918,689) (4,548,641)
Par value.......................... 184,698 28,235
12,036 7,024 15,652
Paid-in capital in excess of par
value............................ 184,513,800 233,802,576
100,142,508 59,740,798 125,283,083
------------- ------------- ----
- -------- ------------ ------------
Total Net Assets............... $ 184,655,762 $223,547,575
$94,628,116 $56,625,007 $120,427,091
------------- ------------- ----
- -------- ------------ ------------
------------- ------------- ----
- -------- ------------ ------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $1.00 $7.92
$7.86 $8.06 $7.69
----- -----
- ----- ----- -----
----- -----
- ----- ----- -----
Number of shares outstanding....... 184,698,498 28,235,114
12,036,447 7,024,243 15,652,423
</TABLE>
- ------------------------
+ Amount represents net investment loss.
6
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ --------------
- -------------- --------------
<S> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ 102,151 $ 13,631,925
$ 1,388,158 $ 2,326,425
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ 70,038 11,266,079
(576,050) (5,128,858)
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... 355,015 25,139,089
25,493,196 (600,153)
Par value.......................... 1,731 88,581
45,747 37,927
Paid-in capital in excess of par
value............................ 14,411,512 782,012,763
431,236,928 345,752,163
------------ --------------
- -------------- --------------
Total Net Assets............... $14,940,447 $832,138,437
$457,587,979 $342,387,504
------------ --------------
- -------------- --------------
------------ --------------
- -------------- --------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $8.63 $9.39
$10.00 $9.03
----- -----
- ------- -----
----- -----
- ------- -----
Number of shares outstanding....... 1,730,524 88,580,978
45,747,247 37,927,063
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- -------------
- ------------- --------------
<S> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ -- $ (3,125,570)
$ 2,877 $ (84,673)+
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ (2,311,086) 14,225,577
(3,866,582) 526,746
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... 28,008,108 94,134,040
(1,199,083) 3,991,025
Par value.......................... 14,418 54,793
14,320 3,830
Paid-in capital in excess of par
value............................ 154,463,569 489,676,148
121,977,944 31,927,949
-------------- -------------
- ------------- --------------
Total Net Assets............... $180,175,009 $ 594,964,988
$116,929,476 36,364,877
-------------- -------------
- ------------- --------------
-------------- -------------
- ------------- --------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $12.50 $10.86
$8.17 $9.49
------- -------------
- ----- -----
------- -------------
- ----- -----
Number of shares outstanding....... 14,417,825 54,793,025
14,320,075 3,829,945
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31,
1994
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE TOTAL
RETURN MUNICIPAL MORTGAGE
MONEY FIXED INCOME FIXED
INCOME BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
----------- ------------- -----
- ------- ------------ -------------
<S> <C> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $786,264 and $6,243 for
International Equity Investments
and Emerging Markets Equity
Investments, respectively)....... $ -- $ 27,520 $ -
- - $ -- $ --
Interest (net of withholding tax of
$126,972 for International Fixed
Income Investments).............. 5,776,582 12,653,247
5,336,577 3,196,429 8,045,749
----------- ------------- -----
- ------- ------------ -------------
Total investment income.......... 5,776,582 12,680,767
5,336,577 3,196,429 8,045,749
----------- ------------- -----
- ------- ------------ -------------
EXPENSES:
Management fee (Note 2)............ 233,770 771,710
347,438 237,186 560,216
Administration fee (Note 2)........ 311,693 385,855
173,718 118,592 224,086
Transfer agent fees (Note 2)....... 580,122 164,572
130,727 38,607 193,804
Custodian fees (Note 2)............ 40,780 55,253
34,963 25,081 50,702
Trustees' fees and expenses (Note
2)............................... 3,653 3,611
3,612 3,653 3,612
Legal and audit fees............... 35,368 35,033
35,033 35,368 35,033
Amortization of organization costs
(Note 5)......................... 16,378 16,378
16,378 16,378 16,378
Shareholder reports expense........ 26,984 26,983
26,974 26,984 26,984
Registration and filing fees....... 41,593 49,269
26,747 20,840 35,224
Other.............................. 19,324 33,534
29,581 30,042 42,368
Fees waived and/or expenses
reimbursed (Note 2).............. (455,786) --
(130,363) (78,258) (292,235)
----------- ------------- -----
- ------- ------------ -------------
Total expenses................... 853,879 1,542,198
694,808 474,473 896,172
----------- ------------- -----
- ------- ------------ -------------
NET INVESTMENT INCOME/(LOSS)....... 4,922,703 11,138,569
4,641,769 2,721,956 7,149,577
----------- ------------- -----
- ------- ------------ -------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... (42,497) (3,896,417)
(752,714) 161,443 (1,713,808)
Net realized gain on futures....... -- -- -
- - -- --
Net realized gain/(loss) on forward
foreign exchange contracts and
currency transactions............ -- -- -
- - -- --
Net unrealized
appreciation/(depreciation) of
securities during the year....... -- (10,018,042)
(7,822,282) (5,689,466) (5,511,497)
Net unrealized gain on futures..... -- -- -
- - -- --
Net unrealized appreciation of
forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. -- -- -
- - -- --
----------- ------------- -----
- ------- ------------ -------------
Net realized and unrealized
gain/(loss) on investments....... (42,497) (13,914,459)
(8,574,996) (5,528,023) (7,225,305)
----------- ------------- -----
- ------- ------------ -------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $4,880,206 $ (2,775,890)
$(3,933,227) $(2,806,067) $ (75,728)
----------- ------------- -----
- ------- ------------ -------------
----------- ------------- -----
- ------- ------------ -------------
- ------------------------
*Emerging Markets Equity Investments commenced operations on April 21,
1994.
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
----------- --------------
- -------------- --------------
<S> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $786,264 and $6,243 for
International Equity Investments
and Emerging Markets Equity
Investments, respectively)....... $ 229,907 $ 22,669,373
$ 4,017,567 $ 315,517
Interest (net of withholding tax of
$126,972 for International Fixed
Income Investments).............. 218,820 1,773,466
841,437 5,284,546
----------- --------------
- -------------- --------------
Total investment income.......... 448,727 24,442,839
4,859,004 5,600,063
----------- --------------
- -------------- --------------
EXPENSES:
Management fee (Note 2)............ 73,670 4,248,314
2,114,435 1,544,763
Administration fee (Note 2)........ 24,557 1,416,105
704,811 514,919
Transfer agent fees (Note 2)....... 18,455 475,373
479,149 418,693
Custodian fees (Note 2)............ 14,273 154,676
91,695 89,480
Trustees' fees and expenses (Note
2)............................... 3,637 3,610
3,611 3,663
Legal and audit fees............... 36,897 35,034
35,034 35,034
Amortization of organization costs
(Note 5)......................... 18,927 16,378
16,378 16,378
Shareholder reports expense........ 26,974 26,984
26,984 31,763
Registration and filing fees....... 20,845 135,962
102,465 53,261
Other.............................. 8,831 23,771
21,452 20,943
Fees waived and/or expenses
reimbursed (Note 2).............. (124,331) (287,806)
(125,168) --
----------- --------------
- -------------- --------------
Total expenses................... 122,735 6,248,401
3,470,846 2,728,897
----------- --------------
- -------------- --------------
NET INVESTMENT INCOME/(LOSS)....... 325,992 18,194,438
1,388,158 2,871,166
----------- --------------
- -------------- --------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... 87,984 15,919,114
11,130,716 (4,828,113)
Net realized gain on futures....... -- --
395,107 --
Net realized gain/(loss) on forward
foreign exchange contracts and
currency transactions............ -- --
- -- --
Net unrealized
appreciation/(depreciation) of
securities during the year....... 169,151 (13,291,418)
(2,963,618) (4,950,339)
Net unrealized gain on futures..... -- --
550,375 --
Net unrealized appreciation of
forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. -- --
- -- --
----------- --------------
- -------------- --------------
Net realized and unrealized
gain/(loss) on investments....... 257,135 2,627,696
9,112,580 (9,778,452)
----------- --------------
- -------------- --------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $ 583,127 $ 20,822,134
$ 10,500,738 $ (6,907,286)
----------- --------------
- -------------- --------------
----------- --------------
- -------------- --------------
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS*
-------------- -------------
- ------------- -------------
<S> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $786,264 and $6,243 for
International Equity Investments
and Emerging Markets Equity
Investments, respectively)....... $ 49,740 $ 5,329,064
$ -- $ 46,860
Interest (net of withholding tax of
$126,972 for International Fixed
Income Investments).............. 492,549 742,040
7,875,424 45,743
-------------- -------------
- ------------- -------------
Total investment income.......... 542,289 6,071,104
7,875,424 92,603
-------------- -------------
- ------------- -------------
EXPENSES:
Management fee (Note 2)............ 777,704 2,994,898
605,862 63,923
Administration fee (Note 2)........ 259,235 861,250
242,345 14,205
Transfer agent fees (Note 2)....... 321,593 440,369
211,253 16,366
Custodian fees (Note 2)............ 50,912 570,360
122,531 21,441
Trustees' fees and expenses (Note
2)............................... 3,611 3,611
3,618 2,138
Legal and audit fees............... 35,033 35,033
35,170 29,738
Amortization of organization costs
(Note 5)......................... 16,378 16,378
16,378 2,375
Shareholder reports expense........ 26,984 26,984
26,984 5,700
Registration and filing fees....... 47,050 104,994
22,064 21,238
Other.............................. 19,268 44,454
23,870 5,050
Fees waived and/or expenses
reimbursed (Note 2).............. -- --
(159,363) (59,781)
-------------- -------------
- ------------- -------------
Total expenses................... 1,557,768 5,098,331
1,150,712 122,393
-------------- -------------
- ------------- -------------
NET INVESTMENT INCOME/(LOSS)....... (1,015,479) 972,773
6,724,712 (29,790)
-------------- -------------
- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... (713,757) 18,279,534
(3,458,570) 556,536
Net realized gain on futures....... -- --
- -- --
Net realized gain/(loss) on forward
foreign exchange contracts and
currency transactions............ -- (4,564,189)
135,464 (84,673)
Net unrealized
appreciation/(depreciation) of
securities during the year....... 14,390,891 54,432,243
(2,698,187) 3,989,520
Net unrealized gain on futures..... -- --
- -- --
Net unrealized appreciation of
forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. -- 1,427,652
246,084 1,505
-------------- -------------
- ------------- -------------
Net realized and unrealized
gain/(loss) on investments....... 13,677,134 69,575,240
(5,775,209) 4,462,888
-------------- -------------
- ------------- -------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $ 12,661,655 $70,548,013
$ 949,503 $ 4,433,098
-------------- -------------
- ------------- -------------
-------------- -------------
- ------------- -------------
- ------------------------
*Emerging Markets Equity Investments commenced operations on April 21,
1994.
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENT OF CHANGES IN NET
ASSETS
FOR THE YEAR ENDED AUGUST 31,
1994
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
TOTAL RETURN MUNICIPAL MORTGAGE
MONEY FIXED INCOME
FIXED INCOME BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- ---
- --------- ------------ -------------
<S> <C> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 4,922,703 $ 11,138,569 $
4,641,769 $ 2,721,956 $ 7,149,577
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ (42,497) (3,896,417)
(752,714) 161,443 (1,713,808)
Net unrealized appreciation/
(depreciation) of investments,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. -- (10,018,042)
(7,822,282) (5,689,466) (5,511,497)
------------- ------------- ---
- --------- ------------ -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 4,880,206 (2,775,890)
(3,933,227) (2,806,067) (75,728)
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (4,922,042) (11,658,914)
(4,782,814) (2,743,126) (5,667,609)
Distributions from net realized
capital gains.................. -- (1,117,476)
(75,744) (324,664) (91,163)
Distributions in excess of net
realized capital gains......... -- (242,336)
(446,600) (182,170) --
Distributions from capital....... -- (209,411)
(34,587) -- (1,390,385)
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 100,663,669 98,971,646
39,167,305 14,870,441 33,230,560
------------- ------------- ---
- --------- ------------ -------------
Net increase in net assets......... 100,621,833 82,967,619
29,894,333 8,814,414 26,005,675
NET ASSETS:
Beginning of year.................. 84,033,929 140,579,956
64,733,783 47,810,593 94,421,416
------------- ------------- ---
- --------- ------------ -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925 $1,388,158;
$2,326,425; $0; $(3,125,570);
$2,877, and $(84,673)+,
respectively).................... $ 184,655,762 $223,547,575
$94,628,116 $56,625,007 $ 120,427,091
------------- ------------- ---
- --------- ------------ -------------
------------- ------------- ---
- --------- ------------ -------------
- ------------------------
* Emerging Markets Equity Investments commenced operations on April 21,
1994.
+ Amount represents net investment loss.
</TABLE>
10
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ --------------
- -------------- --------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 325,992 $ 18,194,438
$ 1,388,158 $ 2,871,166
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ 87,984 15,919,114
11,525,823 (4,828,113)
Net unrealized appreciation/
(depreciation) of investments,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. 169,151 (13,291,418)
(2,413,243) (4,950,339)
------------ --------------
- -------------- --------------
Net increase/(decrease) in net
assets resulting from
operations....................... 583,127 20,822,134
10,500,738 (6,907,286)
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (223,841) (11,543,060)
- -- (1,542,402)
Distributions from net realized
capital gains.................. -- (30,454)
- -- (11,474,945)
Distributions in excess of net
realized capital gains......... -- --
- -- (300,742)
Distributions from capital....... -- --
- -- --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 9,323,042 260,382,359
208,831,233 179,561,447
------------ --------------
- -------------- --------------
Net increase in net assets......... 9,682,328 269,630,979
219,331,971 159,336,072
NET ASSETS:
Beginning of year.................. 5,258,119 562,507,458
238,256,008 183,051,432
------------ --------------
- -------------- --------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925 $1,388,158;
$2,326,425; $0; $(3,125,570);
$2,877, and $(84,673)+,
respectively).................... $14,940,447 $832,138,437
$457,587,979 $342,387,504
------------ --------------
- -------------- --------------
------------ --------------
- -------------- --------------
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS*
-------------- --------------
- ------------- -------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ (1,015,479) $ 972,773
$ 6,724,712 $ (29,790)
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ (713,757) 13,715,345
(3,323,106) 471,863
Net unrealized appreciation/
(depreciation) of investments,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. 14,390,891 55,859,895
(2,452,103) 3,991,025
-------------- --------------
- ------------- -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 12,661,655 70,548,013
949,503 4,433,098
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... -- (985,545)
(9,381,369) --
Distributions from net realized
capital gains.................. (343,998) (8,595,781)
(1,076,772) --
Distributions in excess of net
realized capital gains......... (904,595) --
(719,263) --
Distributions from capital....... (425,517) --
(107,330) --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 93,689,020 263,696,219
26,902,908 31,931,779
-------------- --------------
- ------------- -------------
Net increase in net assets......... 104,676,565 324,662,906
16,567,677 36,364,877
NET ASSETS:
Beginning of year.................. 75,498,444 270,302,082
100,361,799 --
-------------- --------------
- ------------- -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925 $1,388,158;
$2,326,425; $0; $(3,125,570);
$2,877, and $(84,673)+,
respectively).................... $180,175,009 $ 594,964,988
$116,929,476 $ 36,364,877
-------------- --------------
- ------------- -------------
-------------- --------------
- ------------- -------------
- ------------------------
* Emerging Markets Equity Investments commenced operations on April 21,
1994.
+ Amount represents net investment loss.
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENT OF CHANGES IN NET
ASSETS
FOR THE YEAR ENDED AUGUST 31,
1993
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
TOTAL RETURN MUNICIPAL MORTGAGE
MONEY FIXED INCOME
FIXED INCOME BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------ ------------- ----
- -------- ------------ ------------
<S> <C> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 1,469,479 $ 5,680,753 $
2,706,950 $ 1,606,490 $ 4,155,831
Net realized gain/(loss) on
securities, forward foreign
exchange contracts and currency
transactions..................... (695) 1,830,364
209,264 168,467 (557,044)
Net unrealized
appreciation/(depreciation) of
investments, forward foreign
exchange contracts, currency
transactions and net other assets
during the year.................. -- 2,740,471
2,613,812 2,449,218 460,308
------------ ------------- ----
- -------- ------------ ------------
Net increase in net assets
resulting from operations........ 1,468,784 10,251,588
5,530,026 4,224,175 4,059,095
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (1,469,479) (5,567,036)
(2,693,206) (1,606,490) (3,309,301)
Distributions in excess of net
investment income.............. -- --
- -- -- --
Distributions from net realized
capital gains.................. -- (305,084)
- -- (78,465) --
Distributions in excess of net
realized capital gains......... -- --
- -- -- (289,486)
Distributions from capital....... -- --
- -- -- (414,775)
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 53,681,782 77,655,321
26,911,095 23,476,600 58,681,583
------------ ------------- ----
- -------- ------------ ------------
Net increase in net assets......... 53,681,087 82,034,789
29,747,915 26,015,820 58,727,116
NET ASSETS:
Beginning of year.................. 30,352,842 58,545,167
34,985,868 21,794,773 35,694,300
------------ ------------- ----
- -------- ------------ ------------
End of year (including
undistributed net investment
income of $0; $528,637; $147,264;
$0; $0; $0; $8,087,626; $0;
$1,003,846; $0; $1,451,391; and
$2,764,588, respectively)........ $84,033,929 $140,579,956
$64,733,783 $47,810,593 $94,421,416
------------ ------------- ----
- -------- ------------ ------------
------------ ------------- ----
- -------- ------------ ------------
- ------------------------
*Balanced Investments commenced operations on February 16, 1993.
</TABLE>
12
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS* INVESTMENTS
INVESTMENTS INVESTMENTS
------------- --------------
- -------------- --------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 46,787 $ 10,208,714
$ (56,416) $ 1,172,217
Net realized gain/(loss) on
securities, forward foreign
exchange contracts and currency
transactions..................... (17,946) (4,582,351)
(10,876,955) 11,408,012
Net unrealized
appreciation/(depreciation) of
investments, forward foreign
exchange contracts, currency
transactions and net other assets
during the year.................. 185,864 36,275,547
24,516,508 5,796,499
------------- --------------
- -------------- --------------
Net increase in net assets
resulting from operations........ 214,705 41,901,910
13,583,137 18,376,728
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (46,787) (4,196,724)
(39,351) (376,032)
Distributions in excess of net
investment income.............. -- --
(56,416) --
Distributions from net realized
capital gains.................. -- (2,065,142)
- -- (1,121,192)
Distributions in excess of net
realized capital gains......... -- --
- -- --
Distributions from capital....... (1,045) --
(3,315) --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 5,091,246 329,171,970
139,371,180 72,713,773
------------- --------------
- -------------- --------------
Net increase in net assets......... 5,258,119 364,812,014
152,855,235 89,593,277
NET ASSETS:
Beginning of year.................. 0 197,695,444
85,400,773 93,458,155
------------- --------------
- -------------- --------------
End of year (including
undistributed net investment
income of $0; $528,637; $147,264;
$0; $0; $0; $8,087,626; $0;
$1,003,846; $0; $1,451,391; and
$2,764,588, respectively)........ $ 5,258,119 $562,507,458
$238,256,008 $183,051,432
------------- --------------
- -------------- --------------
------------- --------------
- -------------- --------------
<CAPTION>
SMALL
CAPITALIZATION INTERNATIONAL
INTERNATIONAL
GROWTH EQUITY
FIXED INCOME
INVESTMENTS INVESTMENTS
INVESTMENTS
-------------- -------------
- -------------
<S> <C> <C>
<C>
Net investment income/(loss)....... $ (334,217) $ 1,024,893
$ 3,890,437
Net realized gain/(loss) on
securities, forward foreign
exchange contracts and currency
transactions..................... 1,843,580 5,107,426
3,738,445
Net unrealized
appreciation/(depreciation) of
investments, forward foreign
exchange contracts, currency
transactions and net other assets
during the year.................. 13,131,423 38,439,260
(617,659)
-------------- -------------
- -------------
Net increase in net assets
resulting from operations........ 14,640,786 44,571,579
7,011,223
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... -- (479,961)
(4,103,376)
Distributions in excess of net
investment income.............. -- --
- --
Distributions from net realized
capital gains.................. -- --
(70,734)
Distributions in excess of net
realized capital gains......... -- --
- --
Distributions from capital....... -- --
- --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 38,712,301 110,431,472
58,343,073
-------------- -------------
- -------------
Net increase in net assets......... 53,353,087 154,523,090
61,180,186
NET ASSETS:
Beginning of year.................. 22,145,357 115,778,992
39,181,613
-------------- -------------
- -------------
End of year (including
undistributed net investment
income of $0; $528,637; $147,264;
$0; $0; $0; $8,087,626; $0;
$1,003,846; $0; $1,451,391; and
$2,764,588, respectively)........ $ 75,498,444 $ 270,302,082
$100,361,799
-------------- -------------
- -------------
-------------- -------------
- -------------
- ------------------------
*Balanced Investments commenced operations on February 16, 1993.
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
GOVERNMENT MONEY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED
ENDED ENDED
8/31/94
8/31/93 8/31/92*
--------- ------
- --- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year............ $ 1.00 $
1.00 $ 1.00
--------- ------
- --- --------
Net investment income#........................ 0.03
0.03 0.03
Dividends from net investment income.......... (0.03)
(0.03) (0.03)
--------- ------
- --- --------
NET ASSET VALUE, end of year.................. $ 1.00 $
1.00 $ 1.00
--------- ------
- --- --------
--------- ------
- --- --------
Total return++................................ 3.10%
2.76% 2.72%
--------- ------
- --- --------
--------- ------
- --- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)............ $184,656
$84,034 $30,353
Ratio of operating expenses to average net
assets+..................................... 0.55%
0.50% 0.49%**
Ratio of net investment income to average net
assets...................................... 3.16%
2.71% 3.37%**
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1994 and 1993
and the
period ended August 31, 1992 were 0.84%, 1.39% and 2.48%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1994 and 1993 and the period ended
August 31, 1992 were $0.03, $0.02, and $0.01, respectively.
</TABLE>
INTERMEDIATE FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED ENDED
ENDED
8/31/94 8/31/93
8/31/92*
-------- --------
- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 8.58 $ 8.25
$ 8.00
-------- --------
- --------
Income from investment operations:
Net investment income#................... 0.47 0.51
0.34
Net realized and unrealized gain/(loss)
on investments......................... (0.56) 0.33
0.25
-------- --------
- --------
Total from investment operations......... (0.09) 0.84
0.59
Less Distributions:
Distributions from net investment
income................................. (0.50) (0.48)
(0.34)
Distributions from net realized capital
gains.................................. (0.05) (0.03)
- --
Distributions in excess of net realized
gains.................................. (0.01) --
- --
Distributions from capital............... (0.01) --
- --
-------- --------
- --------
Total Distributions...................... (0.57) (0.51)
(0.34)
-------- --------
- --------
NET ASSET VALUE, end of year............. $ 7.92 $ 8.58
$ 8.25
-------- --------
- --------
-------- --------
- --------
Total return++........................... (1.13)% 10.59%
7.53%
-------- --------
- --------
-------- --------
- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $223,548 $140,580
$58,545
Ratio of operating expenses to average
net assets+ 0.80% 0.80%
0.79%**
Ratio of net investment income to average
net assets............................. 5.77% 5.94%
6.00%**
Portfolio turnover rate.................. 86% 92%
169%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for
the
year ended August 31, 1993 and the period ended August 31, 1992 were
0.88%
and 1.30%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived by the Agents for the year
ended
August 31, 1993 and the period ended August 31, 1992 were $0.50 and
$0.31,
respectively.
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
TOTAL RETURN FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED
ENDED ENDED
8/31/94
8/31/93 8/31/92*
--------- ------
- --- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year............ $ 8.70 $
8.26 $ 8.00
--------- ------
- --- --------
Income from investment operations:
Net investment income#........................ 0.38
0.47 0.31
Net realized and unrealized gain/(loss) on
investments................................. (0.75)
0.42 0.26
--------- ------
- --- --------
Total from investment operations.............. (0.37)
0.89 0.57
Less Distributions:
Distributions from net investment income...... (0.41)
(0.45) (0.31)
Distributions from net realized capital
gains....................................... (0.01) --
- --
Distributions in excess of net realized
gains....................................... (0.05)
Distributions from capital.................... (0.00)@ --
- --
--------- ------
- --- --------
Total Distributions........................... (0.47)
(0.45) (0.31)
--------- ------
- --- --------
NET ASSET VALUE, end of year.................. $ 7.86 $
8.70 $ 8.26
--------- ------
- --- --------
--------- ------
- --- --------
Total return++................................ (3.93)%
11.08% 7.37%
--------- ------
- --- --------
--------- ------
- --- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of period (in 000's).......... $94,628
$64,734 $34,986
Ratio of operating expenses to average net
assets+..................................... 0.80%
0.80% 0.79%**
Ratio of net investment income to average net
assets...................................... 5.34%
5.40% 5.69%**
Portfolio turnover rate....................... 43%
35% 4 %
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1994 and 1993
and the
period ended August 31, 1992 were 0.95%, 1.09% and 1.91%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1994 and 1993 and the period ended
August 31, 1992 were $0.37, $0.44 and $0.25, respectively.
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
MUNICIPAL BOND INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED ENDED
ENDED
8/31/94 8/31/93
8/31/92*
-------- --------
- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 8.85 $ 8.25
$ 8.00
-------- --------
- --------
Income from investment operations:
Net investment income#................... 0.40 0.41
0.30
Net realized and unrealized gain/(loss)
on investments......................... (0.71) 0.62
0.25
-------- --------
- --------
Total from investment operations......... (0.31) 1.03
0.55
Less Distributions:
Distributions from net investment
income................................. (0.40) (0.41)
(0.30)
Distributions from net realized capital
gains.................................. (0.05) (0.02)
- --
Distributions in excess of net realized
capital gains.......................... (0.03) --
- --
-------- --------
- --------
Total Distributions...................... (0.48) (0.43)
(0.30)
-------- --------
- --------
NET ASSET VALUE, end of year............. $ 8.06 $ 8.85
$ 8.25
-------- --------
- --------
-------- --------
- --------
Total return++........................... (3.78)% 12.94%
7.06%
-------- --------
- --------
-------- --------
- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $56,625 $47,811
$21,795
Ratio of operating expenses to average
net assets+............................ 0.80% 0.80%
0.79%**
Ratio of net investment income to average
net assets............................. 4.59% 4.76%
4.71%**
Portfolio turnover rate.................. 132% 15%
76%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1994 and 1993
and the
period ended August 31, 1992 were .93%, 1.02% and 1.66%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1994 and 1993 and the period ended
August 31, 1992 were $0.39, $0.39 and $0.24, respectively.
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
MORTGAGE BACKED INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED
ENDED ENDED
8/31/94
8/31/93 8/31/92*
--------- ------
- --- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year............ $ 8.21 $
8.19 $ 8.00
--------- ------
- --- --------
Income from investment operations:
Net investment income#........................ 0.41
0.53 0.40
Net realized and unrealized gain/(loss) on
investments................................. (0.41)
0.00@ 0.19
--------- ------
- --- --------
Total from investment operations.............. 0.00
0.53 0.59
Less distributions:
Distributions from net investment income...... (0.41)
(0.42) (0.40)
Distributions from net realized capital
gains....................................... (0.01) --
- --
Distributions in excess of net realized
capital gains............................... --
(0.04) --
Distributions from capital.................... (0.10)
(0.05) (0.10)
--------- ------
- --- --------
Total Distributions........................... (0.52)
(0.51) (0.40)
--------- ------
- --- --------
NET ASSET VALUE, end of year.................. $ 7.69 $
8.21 $ 8.19
--------- ------
- --- --------
--------- ------
- --- --------
Total return++................................ (0.20)%
6.68% 7.56%
--------- ------
- --- --------
--------- ------
- --- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)............ $120,427
$94,421 $35,694
Ratio of operating expenses to average net
assets+..................................... 0.80%
0.80% 0.79%**
Ratio of net investment income to average net
assets...................................... 6.38%
6.53% 6.55%**
Portfolio turnover rate....................... 53%
93% 35%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1994 and 1993
and the
period ended August 31, 1992 were 1.06%, 1.13% and 1.66%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1994 and 1993 and the period ended
August 31, 1992 were $0.39, $0.49 and $0.35, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
BALANCED INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
THE PERIOD.
<TABLE>
<CAPTION>
YEAR
PERIOD
ENDED
ENDED
8/31/94
8/31/93*
--------
- --------
<S> <C>
<C>
NET ASSET VALUE, beginning of period................... $ 8.41
$ 8.00
--------
- --------
Income from investment operations:
Net investment income#................................. 0.21
0.09
Net realized and unrealized gain on investments........ 0.16
0.42
--------
- --------
Total from investment operations....................... 0.37
0.51
Less distributions:
Distributions from net investment income............... (0.15)
(0.10)
Distributions from capital............................. --
(0.00)@
--------
- --------
Total Distributions.................................... (0.15)
(0.10)
--------
- --------
NET ASSET VALUE, end of period......................... $ 8.63
$ 8.41
--------
- --------
--------
- --------
Total return++......................................... 4.62%
6.35%
--------
- --------
--------
- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)................... $14,940
$5,258
Ratio of operating expenses to average net assets+..... 1.00%
1.00%**
Ratio of net investment income to average net assets... 2.66%
2.67%**
Portfolio turnover rate................................ 43%
10%
<FN>
- ------------------------
* The Portfolio commenced operations on February 16, 1993.
** Annualized.
+ Annualized operating expense ratio before fees waived and/or expenses
reimbursed by the Agents for the year ended August 31, 1994 and the
period
ended August 31, 1993 were 2.01% and 5.55%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income/(loss) before fees waived and/or expenses
reimbursed by
the Agents for the year ended August 31, 1994 and the period ended
August 31,
1993 were $0.13 and $(0.06).
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED ENDED
ENDED
8/31/94 8/31/93++
8/31/92*
-------- --------
- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 9.35 $ 8.77
$ 8.00
-------- --------
- --------
Income from investment operations:
Net investment income#................... 0.17 0.25
0.09
Net realized and unrealized gain on
investments............................ 0.02 0.54
0.68
-------- --------
- --------
Total from investment operations......... 0.19 0.79
0.77
Less Distributions:
Distributions from net investment
income................................. (0.15) (0.14)
- --
Distributions from net realized capital
gains.................................. 0.00@ (0.07)
- --
-------- --------
- --------
Total Distributions...................... (0.15) (0.21)
0.00
-------- --------
- --------
NET ASSET VALUE, end of year............. $ 9.39 $ 9.35
$ 8.77
-------- --------
- --------
-------- --------
- --------
Total return+............................ 2.09% 9.25%
9.63%
-------- --------
- --------
-------- --------
- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $832,138 $562,507
$197,695
Ratio of operating expenses to average
net assets+++.......................... 0.88% 0.95%
1.24%**
Ratio of net investment income to average
net assets............................. 2.57% 2.88%
3.24%**
Portfolio turnover rate.................. 108% 47%
12%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Total return represents aggregate total return for the period indicated.
++ Per share amounts have been calculated using the monthly average share
method, which more appropriately presents the per share data for the
period
since the use of the undistributed method does not accord with results
of
operations.
+++ Annualized operating expense ratio before fee waivers by the Agents for
the
year ended August 31, 1994 was 0.92%.
@ Amount represents less than $0.01 per portfolio share.
# Net investment income before fees waived by the Agents for the year
ended
August 31, 1994 was $0.17.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LARGE CAPITALIZATION GROWTH INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR
YEAR PERIOD
ENDED
ENDED ENDED
8/31/94
8/31/93+++ 8/31/92*
--------
- -------- --------
<S> <C>
<C> <C>
NET ASSET VALUE, beginning of year..................... $ 9.76
$ 8.88 $ 8.00
--------
- -------- --------
Income from investment operations:
Net investment income#................................. 0.03
0.00@ 0.01
Net realized and unrealized gain on investments........ 0.21
0.89 0.87
--------
- -------- --------
Total from investment operations....................... 0.24
0.89 0.88
Less Distributions:
Distributions from net investment income............... --
(0.00)@ --
Distributions in excess of net investment income....... --
(0.01) --
Distributions from capital............................. --
(0.00)@ --
--------
- -------- --------
Total Distributions.................................... --
(0.01) --
--------
- -------- --------
NET ASSET VALUE, end of year........................... $ 10.00
$ 9.76 $ 8.88
--------
- -------- --------
--------
- -------- --------
Total return++......................................... 2.46%
10.00% 11.00%
--------
- -------- --------
--------
- -------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $457,588
$238,256 $85,401
Ratio of operating expenses to average net assets+..... 0.98%
1.12% 1.24%**
Ratio of net investment income/(loss) to average net
assets............................................... 0.39%
(0.04)% 0.31%**
Portfolio turnover rate................................ 104%
47% 19%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratio before fees waived by the Agents for
the
year ended August 31, 1994 and period ended August 31, 1992 were 1.02%
and
1.42%.
++ Total return represents aggregate total return for the period
indicated.
+++ Per share amounts have been calculated using the monthly average share
method, which more appropriately presents the per share data for the
period
since the use of the undistributed method does not accord with results
of
operations.
# Net investment income before fees waived by the Agents for the year
ended
August 31, 1994 and for the period ended August 31, 1992 was $0.03 and
$0.00.
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
PERIOD
YEAR ENDED YEAR ENDED
ENDED
8/31/94 8/31/93
8/31/92*
----------- -----------
- ---------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 9.94 $ 8.68
$ 8.00
----------- -----------
- ---------
Income from investment operations:
Net investment income#................... 0.08 0.06
0.03
Net realized and unrealized gain/(loss)
on investments......................... (0.40) 1.31
0.65
----------- -----------
- ---------
Total from investment operations......... (0.32) 1.37
0.68
Less distributions:
Distributions from net investment
income................................. (0.07) (0.03)
- --
Distributions from net realized capital
gains.................................. (0.51) (0.08)
- --
Distributions in excess of net realized
capital gains.......................... (0.01) --
- --
----------- -----------
- ---------
Total Distributions...................... (0.59) (0.11)
- --
----------- -----------
- ---------
NET ASSET VALUE, end of year............. $ 9.03 $ 9.94
$ 8.68
----------- -----------
- ---------
----------- -----------
- ---------
Total return++........................... (3.30)% 15.74%
8.50%
----------- -----------
- ---------
----------- -----------
- ---------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $342,388 $183,051
$ 93,458
Ratio of operating expenses to average
net assets............................. 1.06% 1.11%
1.24%**
Ratio of net investment income to average
net assets............................. 1.12% 0.82%
0.99%**
Portfolio turnover rate.................. 65% 70%
20%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratio before fees waived by the Agents for
the
period ended August 31, 1992 was 1.40%.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived by the Agents for the period
ended
August 31, 1992 was $0.02.
</TABLE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
PERIOD ENDED
8/31/94+++ 8/31/93+++
8/31/92*
------------ -----------
- - -------------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 11.21 $ 7.99
$ 8.00
------------ -----------
- - -------------
Income from investment operations:
Net investment loss#..................... (0.09) (0.07)
(0.01)
Net realized and unrealized gain on
investments............................ 1.56 3.29
- --
------------ -----------
- - -------------
Total from investment operations......... 1.47 3.22
(0.01)
Less distributions:
Distributions from net realized capital
gains.................................. (0.04) --
- --
Distributions in excess of net realized
capital gains.......................... (0.10) --
- --
Distributions from capital............... (0.04) --
- --
------------ -----------
- - -------------
Total Distributions...................... (0.18) --
- --
------------ -----------
- - -------------
NET ASSET VALUE, end of year............. $ 12.50 $ 11.21
$ 7.99
------------ -----------
- - -------------
------------ -----------
- - -------------
Total return++........................... 13.18% 40.30%
(0.13)%
------------ -----------
- - -------------
------------ -----------
- - -------------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $180,175 $75,498
$22,145
Ratio of operating expenses to average
net assets+............................ 1.20% 1.25%
1.24%**
Ratio of net investment loss to average
net assets............................. (0.78)%
(0.72)% (0.25)%**
Portfolio turnover rate.................. 94% 97%
35%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1993 and the
period
ended August 31, 1992 were 1.49% and 2.61%, respectively.
++ Total return represents aggregate total return for the period
indicated.
+++ Per share amounts have been calculated using the monthly average share
method, which more appropriately presents the per share data for the
period
since the use of the undistributed method does not accord with results
of
operations.
# Net investment loss before fees waived and/or expenses reimbursed by the
Agents for the years ended August 31, 1993 and the period ended August
31,
1992 were $(0.09) and $(0.05), respectively.
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
INTERNATIONAL EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
PERIOD
ENDED ENDED
ENDED
8/31/94+++ 8/31/93
8/31/92*
-------- --------
- ---------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year....... $ 9.57 $ 7.76
$ 8.00
-------- --------
- ---------
Income from investment operations:
Net investment income#................... 0.02 0.05
0.03
Net realized and unrealized gain/(loss)
on investments......................... 1.54 1.79
(0.27)
-------- --------
- ---------
Total from investment operations......... 1.56 1.84
(0.24)
Less distributions:
Distributions from net investment
income................................. (0.03) (0.03)
- --
Distributions from net realized capital
gains.................................. (0.24) --
- --
-------- --------
- ---------
Total distributions...................... (0.27) (0.03)
- --
-------- --------
- ---------
NET ASSET VALUE, end of year............. $ 10.86 $ 9.57
$ 7.76
-------- --------
- ---------
-------- --------
- ---------
Total return++........................... 16.74% 23.73%
(3.00)%
-------- --------
- ---------
-------- --------
- ---------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $594,965 $270,302
$ 115,779
Ratio of operating expenses to average
net assets+............................ 1.19% 1.32%
1.50%**
Ratio of net investment income to average
net assets............................. 0.23% 0.61%
1.08%**
Portfolio turnover rate.................. 33% 46%
10%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratio before fees waived by the Agents for
the
period ended August 31, 1992 was 1.52%.
++ Total return represents aggregate total return for the period
indicated.
+++ Per share amounts have been calculated using the monthly average share
method, which more appropriately presents the per share data for the
period
since use of the undistributed method does not accord with results of
operations.
# Net investment income before fees waived by the Agents for the period
ended
August 31, 1992 was $0.03.
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
INTERNATIONAL FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR
PERIOD
ENDED YEAR
ENDED ENDED
8/31/94
8/31/93 8/31/92*
--------- ----
- ------- --------
<S> <C> <C>
<C>
NET ASSET VALUE, beginning of year..................... $ 8.86 $
8.71 $ 8.00
--------- ----
- ------- --------
Income from investment operations:
Net investment income#................................. 0.40
0.51 0.39
Net realized and unrealized gain/(loss) on
investments.......................................... (0.32)
0.20 0.69
--------- ----
- ------- --------
Total from investment operations....................... 0.08
0.71 1.08
Less Distributions:
Distributions from net investment income............... (0.65)
(0.55) (0.37)
Distributions from net realized capital gains.......... (0.07)
(0.01) --
Distributions in excess of net realized capital
gains................................................ (0.05)
- -- --
Distributions from capital............................. (0.00)@
- -- --
--------- ----
- ------- --------
Total Distributions.................................... (0.77)
(0.56) (0.37)
--------- ----
- ------- --------
NET ASSET VALUE, end of year........................... $ 8.17 $
8.86 $ 8.71
--------- ----
- ------- --------
--------- ----
- ------- --------
Total return++......................................... 1.00%
8.67% 13.93%
--------- ----
- ------- --------
--------- ----
- ------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $116,929 $
100,362 $39,182
Ratio of operating expenses to average net assets+..... 0.95%
0.95% 0.95%**
Ratio of net investment income to average net assets... 5.54%
6.03% 6.34%**
Portfolio turnover rate................................ 358%
251% 106%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the years ended August 31, 1994, 1993 and
the
period ended August 31, 1992 were 1.08%, 1.22% and 1.87%, respectively.
++ Total return represents aggregate total return for the period
indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1994, 1993 and the period ended
August
31, 1992 were $0.39, $0.49 and $0.33, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
EMERGING MARKETS EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
THE PERIOD.
<TABLE>
<CAPTION>
PERIOD
ENDED
8/31/94*
-----------
<S> <C>
NET ASSET VALUE, beginning of period................... $ 8.00
Income from investment operations:
Net investment loss#................................... (0.02)
Net realized and unrealized gain on investments........ 1.51
-----------
Total from investment operations....................... 1.49
-----------
-----------
NET ASSET VALUE, end of period......................... $ 9.49
-----------
-----------
Total return++......................................... 18.63%
-----------
-----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)................... $ 36,365
Ratio of operating expenses to average net assets+..... 1.72%**
Ratio of net investment loss to average net assets..... (0.42)%**
Portfolio turnover rate................................ 16%
<FN>
- ------------------------
* The Portfolio commenced operations on April 21, 1994.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for
the
period ended August 31, 1994 was 2.56%.
++ Total return represents aggregate total return for the period indicated.
# Net investment loss per share before fees waived by the Agents for the
period
ended August 31, 1994 was $(0.04).
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE
(NOTE 1)
- ----------- -------------- -
- -----------
<C> <C> <S>
<C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 86.2%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 46.1%
$ 7,500,000 3.940% 09/01/94......................... $
7,499,999
4,800,000 4.670 09/02/94.........................
4,799,377
3,000,000 4.450 09/19/94.........................
2,993,325
4,500,000 4.070 09/20/94.........................
4,490,334
590,000 3.920 09/26/94.........................
588,393
1,650,000 4.410 09/28/94.........................
1,644,542
2,900,000 4.020 10/11/94.........................
2,887,046
2,500,000 4.380 10/28/94.........................
2,482,663
2,600,000 4.710 11/04/94.........................
2,578,229
7,800,000 4.670 11/09/94.........................
7,730,183
4,130,000 4.870 11/10/94.........................
4,092,256
1,500,000 9.250+ 11/10/94.........................
1,515,768
1,500,000 4.370 11/25/94.........................
1,484,522
2,100,000 4.730 11/29/94.........................
2,075,893
4,000,000 4.710 11/29/94.........................
3,953,423
8,600,000 4.710 11/30/94.........................
8,498,735
3,700,000 4.600 12/02/94.........................
3,656,505
1,000,000 4.590 12/16/94.........................
986,485
4,000,000 4.620 12/29/94.........................
3,938,914
500,000 4.920 01/03/95.........................
491,526
4,600,000 4.940 01/17/95.........................
4,512,891
290,000 5.080 01/17/95.........................
284,708
2,000,000 4.920 01/18/95.........................
1,962,007
3,200,000 4.950 01/18/95.........................
3,138,840
1,500,000 4.890 01/18/95.........................
1,471,679
2,800,000 4.830 01/31/95.........................
2,742,899
2,300,000 4.830 02/03/95.........................
2,252,169
500,000 5.070 02/13/95.........................
488,381
-
- -----------
85,241,692
-
- -----------
FEDERAL HOME LOAN BANK (FHLB) -- 26.0%
1,950,000 4.420 09/12/94.........................
1,947,366
12,900,000 4.460 09/22/94.........................
12,866,439
2,350,000 4.430 09/26/94.........................
2,342,770
850,000 4.700 12/19/94.........................
837,904
245,000 4.830 01/05/95.........................
240,858
500,000 4.870 01/05/95.........................
491,478
500,000 4.880 01/05/95.........................
491,460
550,000 4.920 01/05/95.........................
540,529
1,900,000 4.830 01/17/95.........................
1,864,822
8,800,000 4.920 01/17/95.........................
8,634,032
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE
(NOTE 1)
- ----------- -------------- -
- -----------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
<C> <C> <S>
<C>
FEDERAL HOME LOAN BANK (FHLB) (CONTINUED)
$ 2,000,000 4.740% 01/18/95......................... $
1,963,396
2,400,000 4.740 01/19/95.........................
2,355,760
1,500,000 5.080 01/19/95.........................
1,471,358
900,000 4.830 01/25/95.........................
882,371
1,900,000 4.840 01/30/95.........................
1,861,428
2,000,000 4.830 01/31/95.........................
1,962,970
4,000,000 3.460 02/03/95.........................
3,989,844
130,000 5.030 02/17/95.........................
126,930
1,700,000 4.860 02/21/95.........................
1,660,297
1,500,000 4.890 02/21/95.........................
1,464,751
-
- -----------
47,996,762
-
- -----------
FEDERAL FARM CREDIT BANK (FFCB) -- 11.2%
2,590,000 4.500 09/08/94.........................
2,587,734
3,000,000 3.920 09/12/94.........................
2,996,407
9,350,000 4.500 09/15/94.........................
9,333,638
500,000 3.430+ 10/03/94.........................
500,008
595,000 4.600 11/21/94.........................
588,842
200,000 4.100 11/22/94.........................
198,133
520,000 4.700 12/02/94.........................
513,754
2,300,000 4.580 12/16/94.........................
2,268,983
380,000 4.900 01/04/95.........................
373,535
80,000 5.000 01/04/95.........................
78,611
75,000 5.020 01/04/95.........................
73,693
510,000 5.600+ 02/14/95.........................
510,538
600,000 5.100 02/24/95.........................
585,040
-
- -----------
20,608,916
-
- -----------
TENNESSEE VALLEY AUTHORITY (TVA) -- 1.8%
3,400,000 4.500 09/21/94.........................
3,391,500
-
- -----------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 1.1%
2,000,000 4.050 11/28/94.........................
1,980,103
-
- -----------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $159,218,974)...........................
159,218,974
-
- -----------
U.S. TREASURY OBLIGATIONS -- 12.3%
U.S. TREASURY BILLS -- 8.5%
1,000,000 3.380 10/20/94.........................
995,400
1,000,000 3.400 11/17/94.........................
992,608
1,500,000 3.480 11/17/94.........................
1,488,575
1,000,000 3.410 11/17/94.........................
992,709
300,000 3.470 11/17/94.........................
297,976
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE
(NOTE 1)
- ----------- -------------- -
- -----------
U.S. TREASURY OBLIGATIONS (CONTINUED)
<C> <C> <S>
<C>
U.S. TREASURY BILLS (CONTINUED)
$ 400,000 3.300% 12/15/94......................... $
396,895
1,060,000 3.420 12/15/94.........................
1,049,161
970,000 3.440 12/15/94.........................
959,810
670,000 3.600 12/15/94.........................
663,217
200,000 3.450 11/17/94.........................
198,689
1,600,000 3.350 01/12/95.........................
1,580,190
650,000 3.630 01/12/95.........................
641,398
2,500,000 3.450 04/06/95.........................
2,433,183
2,100,000 4.750 05/04/95.........................
2,032,361
1,000,000 4.860 05/04/95.........................
966,678
-
- -----------
15,688,850
-
- -----------
U.S. TREASURY NOTES -- 3.0%
2,850,000 4.250+ 10/31/94.........................
2,853,823
750,000 4.250+ 01/31/95.........................
751,616
2,000,000 3.875+ 02/28/95.........................
1,998,133
-
- -----------
5,603,572
-
- -----------
U.S. TREASURY STRIP GENERIC TINT -- 0.8%
1,500,000 4.380 11/15/94.........................
1,486,326
-
- -----------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $22,778,748)...
22,778,748
-
- -----------
GOVERNMENT TRUST CERTIFICATE -- 0.3% (Cost $496,473)
500,000 Islamic Republic of Pakistan,
3.380 Series P-3, 11/15/94...........
496,473
-
- -----------
</TABLE>
<TABLE>
<S> <C>
<C>
TOTAL INVESTMENTS (Cost $182,494,195*)................ 98.8 %
182,494,195
OTHER ASSETS AND LIABILITIES (NET).................... 1.2
2,161,567
-------- --
- ----------
NET ASSETS............................................ 100.0%
$184,655,762
-------- --
- ----------
-------- --
- ----------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Coupon rate.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Government Money Investments securities held at August 31, 1994 by
investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Net Other Assets and Liabilities 1.5%
U.S. Treasury Obligations 12.3%
US Government and Agency Obligations 86.2%
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 44.9%
BANKING -- 15.3%
$ 1,250,000 Barclays Bank PLC, Yen Put-Spread Note,
3.200% due 1/12/95++............................ $
1,250,000
1,600,000 Bayerische Landesbank, European Swap Basket Note,
4.750% due 10/12/95++...........................
1,335,680
Chase Manhattan Corporation:
Senior Medium Term Notes:
750,000 7.160% due 5/15/95................................
757,500
250,000 7.750% due 11/1/99................................
252,188
Subordinated Notes:
1,500,000 8.000% due 6/15/99................................
1,530,000
2,000,000 5.250% due 5/12/09................................
1,900,000
Citicorp, Subordinated Capital Notes:
1,000,000 8.750% due 11/1/96................................
1,042,500
50,000 9.000% due 4/15/99................................
52,938
1,500,000 9.750% due 8/1/99.................................
1,638,750
425,000 Continental Bank, Subordinated Note,
9.875% due 6/15/96..............................
450,500
1,000,000 First Chicago Corporation, Subordinated Capital
Notes,
9.875% due 7/1/99...............................
1,093,750
1,500,000 First Interstate Bancorp, Subordinated Capital
Notes,
8.625% due 4/1/99...............................
1,558,125
1,500,000 First Union Corporation, Subordinated Note,
8.125% due 12/15/96.............................
1,548,750
General Motors Acceptance Corporation, Notes:
500,000 8.625% due 7/15/96................................
516,875
Medium Term Notes,
500,000 8.700% due 4/11/96................................
516,250
100,000 7.375% due 1/15/97................................
101,000
International Leasing Finance Corporation, Notes:
800,000 7.900% due 10/1/96................................
820,000
600,000 5.500% due 4/1/97.................................
582,000
1,075,000 5.750% due 3/15/98................................
1,030,656
1,325,000 Markel Corporation, Notes,
7.250% due 11/1/03..............................
1,162,688
Morgan Stanley Group Inc., Notes:
250,000 7.320% due 1/15/97................................
254,063
3,000,000 8.100% due 6/24/02................................
3,060,000
1,000,000 NationsBank Corporation, Notes,
6.625% due 1/15/98..............................
993,750
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
$ 1,500,000 Orion Capital Corporation, Senior Notes,
9.125% due 9/1/02............................... $
1,548,750
2,000,000 Rabobank Nederland, U.S. Dollar Denominated Note
and Swap Indexed to the US Dollar/Yen Exchange
Rate,
3.100% due 1/24/95++............................
1,884,600
1,500,000 Shawmut National Corporation, Subordinated Note,
8.625% due 12/15/99.............................
1,558,125
2,000,000 St. George Bank, Note,
6.875% due 4/1/99+..............................
1,950,780
1,235,000 Union Planters Corporation, Notes,
6.250% due 11/1/03..............................
1,207,213
Westpac Banking, Subordinated Debentures:
1,900,000 9.125% due 8/15/01................................
2,042,500
625,000 7.875% due 10/15/02...............................
627,343
----
- --------
34,267,274
----
- --------
FINANCIAL SERVICES -- 6.7%
1,400,000 Dean Witter, Notes,
6.000% due 3/1/98...............................
1,352,750
1,500,000 Fleet Financial Group Inc., Notes,
5.625% due 7/1/95...............................
1,496,250
2,000,000 Goldman Sachs Group, Notes,
6.375% due 6/15/00+.............................
1,862,500
1,000,000 Hartford National Corporation, Senior Notes,
9.850% due 6/1/99...............................
1,090,000
1,500,000 Integra Financial Corporation, Subordinated Notes
6.500% due 4/15/00..............................
1,425,000
Salomon Inc., Medium Term Notes:
1,000,000 8.875% due 4/1/97.................................
1,042,500
525,000 6.360% due 4/1/98.................................
510,563
700,000 6.125% due 5/15/98................................
673,750
1,550,000 Notes,
5.790% due 11/26/97.............................
1,488,000
2,100,000 U.S.F.&G. Corporation, Note,
8.375% due 6/15/01..............................
2,084,250
2,000,000 Western National, Sr. Note,
7.125% due 2/15/04..............................
1,810,000
----
- --------
14,835,563
----
- --------
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
COMMUNICATIONS -- 6.5%
$ 4,050,000 News America Holdings, Inc., Senior Note,
8.450% due 8/1/34............................... $
4,043,398
Telecommunications, Inc., Senior Notes:
400,000 7.375% due 2/15/00................................
400,500
3,000,000 9.250% due 4/15/02................................
3,243,750
Time Warner, Inc., Notes:
4,700,000 7.450% due 2/1/98.................................
4,682,375
1,500,000 7.950% due 2/1/00.................................
1,486,875
600,000 9.625% due 5/1/02.................................
637,500
----
- --------
14,494,398
----
- --------
HEALTH CARE -- 3.1%
Columbia/HCA Healthcare Corporation:
1,675,000 6.125% due 12/15/00...............................
1,553,563
1,750,000 7.250% due 2/23/04................................
1,559,688
2,000,000 Rhone Poulenc,
4.900% due 9/1/94...............................
1,999,726
2,000,000 Scherer (R.P.) International Corporation,
6.750% due 2/1/04...............................
1,832,500
----
- --------
6,945,477
----
- --------
OIL -- 2.6%
Occidental Petroleum Corporation, Notes:
700,000 9.500% due 8/15/97................................
742,293
400,000 5.850% due 11/9/98................................
377,500
2,100,000 5.900% due 11/9/98................................
2,008,125
1,600,000 5.950% due 11/9/98................................
1,516,000
1,000,000 Union Oil Company, California, Notes,
9.625% due 5/15/95..............................
1,023,750
----
- --------
5,667,668
----
- --------
INDUSTRIAL -- 2.0%
1,000,000 Noranda Forest Inc., Notes,
8.125% due 6/15/04..............................
995,000
3,625,000 Twin Pak Inc., Guaranteed Note,
6.375% due 6/15/00..............................
3,461,875
----
- --------
4,456,875
----
- --------
POWER & LIGHTING -- 1.8%
2,000,000 FPL Group Capital Inc., Debenture,
6.500% due 7/1/97...............................
1,972,500
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
POWER & LIGHTING (CONTINUED)
System Energy Resources, First Mortgage Bonds:
$ 1,000,000 6.000% due 4/1/98................................. $
960,000
1,100,000 7.625% due 4/1/99.................................
1,083,500
----
- --------
4,016,000
----
- --------
REAL ESTATE -- 1.8%
4,000,000 SKW Real Estate, Class C,
7.050% due 4/15/02+.............................
3,965,000
----
- --------
PAPER -- 0.9%
1,950,000 Georgia-Pacific Corporation, Debentures,
Credit Sensitive Note,
9.850% due 6/15/97..............................
2,047,500
----
- --------
RETAIL -- 0.9%
2,000,000 Sears Roebuck & Company, Medium Term Notes,
7.040% due 4/3/95...............................
2,015,000
----
- --------
TOBACCO & FOOD -- 0.7%
1,650,000 RJR Nabisco, Inc., Note,
8.000% due 1/15/00..............................
1,551,000
----
- --------
GAS -- 0.6%
1,400,000 Valero Energy Corporation, Medium Term Notes,
6.830% due 4/14/95..............................
1,403,500
----
- --------
OTHER -- 2.0%
2,100,000 ERP Operation Ltd.,
8.500% due 5/15/99..............................
2,107,560
2,675,000 Svenska Cellulosa Aktiebokoeg,
6.750% due 12/15/03+............................
2,457,655
----
- --------
4,565,215
----
- --------
TOTAL CORPORATE BONDS AND NOTES
(Cost $103,987,646).............................
100,230,470
----
- --------
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
MORTGAGE-BACKED SECURITIES -- 30.4%
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 54 POOLS -- 19.0%
$ 167,546 7.000% due 4/15/08................................ $
163,567
1,181,875 7.000% due 6/15/08................................
1,153,805
761,947 7.000% due 7/15/08................................
743,850
92,711 9.500% due 6/15/13................................
98,390
347,690 9.500% due 8/15/16................................
368,986
558,111 9.500% due 9/15/16................................
592,295
372,066 9.500% due 12/15/16...............................
394,855
596,136 9.500% due 8/15/17................................
632,650
691,396 9.500% due 9/15/17................................
733,744
344,261 9.500% due 11/15/18...............................
365,347
85,092 9.500% due 2/15/19................................
90,304
250,193 9.500% due 11/15/19...............................
265,518
257,698 9.500% due 6/15/20................................
273,482
339,358 9.500% due 7/15/20................................
360,144
1,312,530 9.500% due 8/15/20................................
1,392,922
425,626 9.500% due 11/15/20...............................
451,695
492,136 9.500% due 1/15/21................................
522,280
321,814 9.500% due 4/15/21................................
341,525
252,129 8.000% due 4/15/22................................
250,868
431,745 8.000% due 6/15/22................................
429,587
623,396 7.500% due 10/15/22...............................
602,743
975,187 7.500% due 1/15/23................................
942,879
850,682 8.000% due 3/15/23................................
846,428
404,087 7.500% due 4/15/23................................
390,699
297,598 8.000% due 4/15/23................................
296,110
1,903,554 7.500% due 5/15/23................................
1,840,489
1,960,346 7.500% due 7/15/23................................
1,895,400
1,821,138 7.500% due 8/15/23................................
1,760,804
1,570,539 7.500% due 12/15/23...............................
1,518,507
1,980,002 7.000% due 5/15/24................................
1,850,064
4,207,600 8.000% due 8/15/24................................
4,186,563
1,100,000 Commitment to purchase, 5.500% due 9/22/24........
1,073,875
2,175,000 Commitment to purchase, Adjustable Rate Mortgage
6.000% due 9/22/24..............................
2,141,695
2,050,000 Commitment to purchase, 9.500% due 10/15/24.......
2,175,563
GNMA II:
975,562 5.500% due 10/20/23...............................
965,807
399,259 5.500% due 12/20/23...............................
395,266
1,518,779 4.000% due 1/20/24................................
1,393,480
925,649 5.000% due 1/20/24................................
893,825
976,467 5.000% due 2/20/24................................
942,896
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
MORTGAGE-BACKED SECURITIES (CONTINUED)
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 54 POOLS (CONTINUED)
$ 1,997,529 5.000% due 3/20/24................................ $
1,928,854
1,956,608 5.500% due 5/20/24................................
1,916,243
2,033,693 5.000% due 6/20/24................................
1,948,522
990,000 5.500% due 8/20/24................................
966,488
----
- --------
42,499,014
----
- --------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 11 POOLS -- 8.3%
161,956 7.500% due 10/1/22................................
157,652
538,560 7.500% due 11/1/22................................
524,250
858,904 7.500% due 2/1/23.................................
836,083
630,569 7.500% due 5/1/23.................................
613,814
963,156 7.500% due 6/1/23.................................
937,565
517,945 7.500% due 7/1/23.................................
504,182
38,822 7.000% due 10/1/23................................
36,746
5,565,798 7.500% due 5/1/24.................................
5,417,915
4,325,000 Commitment to purchase, 8.000% due 9/1/24.........
4,314,187
1,500,000 Non-interest bearing until 11/22/96, 7.940% due
11/22/01........................................
1,246,635
650,000 Principal Only, FNMA Strips, Zero Coupon due
12/20/01........................................
556,615
1,400,000 Principal Only, FNMA Strips, Zero Coupon due
3/9/02..........................................
1,168,090
2,450,000 Principal Only, FNMA Strips, Zero Coupon due
10/10/01........................................
2,129,540
----
- --------
18,443,274
----
- --------
COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 2.4%
Federal Deposit Insurance Company REMIC Trust:
2,000,000 7.850% due 9/25/25**..............................
2,012,813
2,050,000 Merrill Lynch Mortgage Investors, Inc., Series
1994-C1, Series C,
8.978% due 11/25/20**...........................
2,101,250
U.S. Department of Veteran Affairs:
850,000 6.500% due 2/15/07**..............................
833,000
500,000 7.750% due 9/15/10**..............................
500,000
----
- --------
5,447,063
----
- --------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.7%
Collateralized Mortgage Obligation, Multiclass
Mortgage PC:
300,000 Series 1519 Class D 5.500% due 8/15/03**..........
286,554
702,746 Series 1606 Class LC 5.460% due 5/15/08**.........
676,612
665,311 Series 1635 Class IA 5.260% due 12/15/08**........
654,708
78,060 Series 1235 Class A 1.430% due 4/15/22**..........
66,376
----
- --------
1,684,250
----
- --------
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$69,613,201)....................................
68,073,601
----
- --------
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 21.2%
<C> <S> <C>
U.S. TREASURY NOTES -- 17.5%
$ 500,000 4.375% due 11/15/96............................... $
481,410
3,875,000 6.500% due 11/30/96...............................
3,897,708
325,000 5.500% due 7/31/97................................
317,392
7,180,000 6.000% due 11/30/97...............................
7,073,377
100,000 6.000% due 12/31/97...............................
98,481
13,175,000 5.625% due 1/31/98................................
12,806,364
2,825,000 5.125% due 2/28/98................................
2,700,248
6,075,000 5.125% due 4/30/98................................
5,786,924
1,425,000 5.000% due 1/31/99................................
1,333,073
2,500,000 6.375% due 1/15/00................................
2,448,175
2,255,000 6.375% due 8/15/02................................
2,156,772
----
- --------
39,099,924
----
- --------
U.S. TREASURY BILLS -- 2.6%
2,000,000 4.580%-#- due 11/25/94............................
1,953,386
2,100,000 4.520%-#- due 12/15/94............................
2,052,013
2,000,000 4.920%-#- due 5/4/95..............................
1,906,342
----
- --------
5,911,741
----
- --------
U.S. GOVERNMENT AGENCIES -- 1.1%
Resolution Trust Corporation:
68,875 8.465% due 3/25/20................................
73,524
740,717 6.780% due 3/25/22................................
736,087
403,717 7.500% due 8/25/23................................
397,914
166,443 8.800% due 8/25/23................................
182,047
875,000 7.250% due 10/25/23...............................
864,063
75,034 9.000% due 9/25/28................................
83,382
74,150 7.750% due 7/25/30................................
74,320
69,190 8.625% due 7/25/30................................
76,543
----
- --------
2,487,880
----
- --------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $48,466,604)..............................
47,499,545
----
- --------
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
REPURCHASE AGREEMENT -- 1.5% (Cost $3,367,000)
<C> <S> <C>
$ 3,367,000 Agreement with Union Bank of Switzerland, 4.650%
dated 8/31/94 to be repurchased at $3,367,435 on
9/1/94, collateralized by $2,560,000 U.S.
Treasury Note, 11.625% due 11/15/04............. $
3,367,000
----
- --------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $225,434,451*)............. 98.0%
219,170,616
OTHER ASSETS AND LIABILITIES (NET)................. 2.0
4,376,959
-------- -----
- -------
NET ASSETS......................................... 100.0%
$223,547,575
-------- -----
- -------
-------- -----
- -------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
** Real estate mortgage investment conduit.
+ Security exempt from registration under Rule 144A of the Securities Act
of
1933. These securities may be resold in transactions exempt from
registration
to qualified buyers.
++ Principle Indexed Security (Note 1).
-#- Represents annualized yield to maturity (unaudited).
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Intermediate Fixed Income Investments securities held at August 31, 1994
by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Repurchase Agreement and Net Other Assets and
Liabilities 3.5%
U.S. Government and Agency Obligations 21.2%
Mortgage-Backed Securities 30.4%
Corporate Bonds and Notes 44.9%
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TOTAL RETURN FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
<C> <S> <C>
U.S. TREASURY OBLIGATIONS -- 35.0%
U.S. TREASURY NOTES -- 18.9%
$1,500,000 4.250% due 12/31/95.............................. $
1,471,770
1,500,000 4.625% due 2/29/96...............................
1,474,035
750,000 7.000% due 9/30/96...............................
762,653
1,000,000 6.250% due 1/31/97...............................
999,930
3,000,000 5.125% due 3/31/98...............................
2,862,420
1,000,000 4.750% due 9/30/98...............................
932,670
1,000,000 7.125% due 10/15/98..............................
1,016,760
1,000,000 5.125% due 11/30/98..............................
942,500
1,000,000 7.000% due 4/15/99...............................
1,009,670
4,400,000 5.500% due 4/15/00...............................
4,130,104
2,250,000 7.500% due 11/15/01..............................
2,308,613
------
- -----
17,911,125
------
- -----
U.S. TREASURY BONDS -- 13.4%
3,500,000 9.375% due 2/15/06...............................
4,062,940
1,250,000 10.375% due 11/15/12.............................
1,548,838
7,470,000 7.125% due 2/15/23...............................
7,083,428
------
- -----
12,695,206
------
- -----
OTHER U.S. TREASURY OBLIGATIONS -- 2.7%
3,000,000 Treasury Synthetic-Linked Coupon Securities
6.000% due 8/15/09+............................
2,557,500
------
- -----
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$34,649,767)...................................
33,163,831
------
- -----
MORTGAGE-BACKED SECURITIES -- 32.9%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 25 POOLS -- 18.6%
3,860,798 6.000% due 12/1/08 -- 11/1/13....................
3,511,144
7,226,256 7.000% due 2/1/07 -- 11/1/07.....................
7,054,633
1,952,600 7.500% due 12/1/07 -- 7/1/09.....................
1,946,290
688,615 8.000% due 11/1/06 -- 8/1/07.....................
698,297
2,000,000 4.550% due 4/8/96................................
1,955,000
1,500,000 7.000% due 4/10/97...............................
1,508,655
1,000,000 6.400% due 1/13/04...............................
915,490
------
- -----
17,589,509
------
- -----
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 20 POOLS -- 12.8%
4,752,510 Gold 6.000% due 8/1/08 -- 9/1/08.................
4,434,662
1,731,711 Gold 7.000% due 4/1/07 -- 12/1/07................
1,691,657
478,249 Gold 8.000% due 7/1/02 -- 12/1/06................
486,598
1,800,000 3.834% due 2/10/97...............................
1,770,354
1,500,000 5.740% due 12/23/98..............................
1,423,830
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TOTAL RETURN FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
MORTGAGE-BACKED SECURITIES (CONTINUED)
<C> <S> <C>
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 20 POOLS (CONTINUED)
$1,600,000 6.615% due 3/3/04................................ $
1,481,408
1,000,000 6.630% due 1/12/09...............................
888,000
------
- -----
12,176,509
------
- -----
FEDERAL FARM CREDIT BANK (FFCB) NOTES -- 1.5%
1,400,000 4.440% due 4/28/98...............................
1,375,710
------
- -----
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$32,480,388)...................................
31,141,728
------
- -----
CORPORATE BONDS AND NOTES -- 20.4%
BANKING & FINANCE -- 12.2%
1,500,000 Aon Corporation, Note, 6.300% due 1/15/04........
1,370,625
2,000,000 Associates Corporation N.A., 6.000% due
6/15/00........................................
1,875,000
1,500,000 Massachusetts Mutual Life Insurance Company,
Note,
7.625% due 11/15/23............................
1,335,000
1,500,000 NBD Bank N.A., Subordinated Notes, 6.250% due
8/15/03........................................
1,366,875
1,850,000 Republic NY Corporation, Subordinated Note,
5.875% due 10/15/08............................
1,530,875
2,000,000 Toronto Dominion Bank, Subordinated Note, 6.500%
due 8/15/08....................................
1,752,500
2,500,000 Westdeutsche LB Bank, Debenture, 6.750% due
6/15/05........................................
2,350,000
------
- -----
11,580,875
------
- -----
UTILITY -- 5.7%
2,000,000 Citizens Utilities Company, 7.600% due 6/1/06....
1,955,000
400,000 Louisville Gas and Electric, 1st Mortgage, 5.625%
due 6/1/96.....................................
395,500
1,750,000 Pacific Bell, Note, 7.000% due 7/15/04...........
1,677,810
1,500,000 Southern New England Telephone, Medium Term Note,
6.125% due 12/15/03............................
1,378,125
------
- -----
5,406,435
------
- -----
OTHER -- 2.5%
2,500,000 Ontario (Province of) Canada, Note, 6.125% due
6/28/00........................................
2,346,875
------
- -----
TOTAL CORPORATE BONDS AND NOTES (Cost
$20,842,923)...................................
19,334,185
------
- -----
REPURCHASE AGREEMENTS -- 8.7%
3,422,000 Agreement with Morgan Stanley, 4.650% dated
8/31/94, to be repurchased at $3,422,422 on
9/1/94, collateralized by $2,420,000 U.S.
Treasury Note, 12.50% due 8/15/14..............
3,422,000
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TOTAL RETURN FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
REPURCHASE AGREEMENTS (CONTINUED)
<C> <S> <C>
$4,741,000 Agreement with Union Bank of Switzerland, 4.650%
dated 8/31/94, to be repurchased at $4,741,612
on 9/1/94, collateralized by $3,605,000 US
Treasury Note, 11.625% due 11/15/04. $
4,741,000
------
- -----
TOTAL REPURCHASE AGREEMENTS (Cost $8,163,000)....
8,163,000
------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $96,136,077*)............. 97.0%
91,802,744
OTHER ASSETS AND LIABILITIES (NET)................ 3.0
2,825,372
-------- ------
- -----
NET ASSETS........................................ 100.0%
$94,628,116
-------- ------
- -----
-------- ------
- -----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ These instruments represent ownership interest in a series of U.S.
Treasury
Bond STRIPS. STRIPS are zero coupon securities issued by the U.S.
Treasury as
component parts of Treasury Bonds that represent scheduled interest and
principal payment on the bonds. The market value of these holdings will
fluctuate with the value of the underlying STRIPS.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Total Return Fixed Income Investments securities held at August 31, 1994
by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Repurchase Agreement and Net Other Assets and
Liabilities 11.7%
Corporate Bonds and Notes 20.4%
Mortgage-Backed Securities 32.9%
U.S. Treasury Obligations 35.0%
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 93.3%
ALABAMA -- 1.6%
$1,000,000 Birmingham, Alabama, Resource Recovery
Improvement Revenue, Public Improvement
Revenue, Series B,
5.625% due 4/1/18.............................. $
926,250
------
- -----
ARIZONA -- 3.6%
Salt River Project, Arizona, Agriculture
Improvement and Power District:
1,200,000 Series B,
5.250% due 1/1/13..............................
1,075,500
1,000,000 Series C,
6.000% due 1/1/16..............................
976,250
------
- -----
2,051,750
------
- -----
COLORADO -- 3.1%
2,000,000 Colorado Springs, Colorado, Utilities Revenue
Bonds, Series A,
5.125% due 11/15/18............................
1,740,000
------
- -----
CONNECTICUT -- 3.4%
1,000,000 Connecticut State, Clean Water Fund, Sewer
Improvement Revenue,
5.750% due 12/1/13.............................
970,000
1,000,000 Connecticut State, Special Tax Obligation, Series
A,
5.400% due 9/1/10..............................
946,250
------
- -----
1,916,250
------
- -----
FLORIDA -- 9.2%
1,200,000 Florida State Board of Education, Series E,
5.700% due 6/1/14..............................
1,149,000
1,000,000 Jacksonville, Florida, Electric Authority
Revenue, Series 8,
5.500% due 10/1/13.............................
928,750
2,000,000 Orlando, Florida, Utilities Commission, Water and
Electricity Revenue,
5.000% due 10/1/14.............................
1,717,500
450,000 Palm Beach County, Florida, Airport Revenue
Bonds,
6.375% due 10/1/14.............................
460,125
1,000,000 St. Petersburg, Florida, Public Utilities
Revenue, Water and Sewer Revenue,
5.600% due 10/1/15.............................
942,500
------
- -----
5,197,875
------
- -----
ILLINOIS -- 11.6%
1,000,000 Du Page County, Illinois, Jail Revenue Refunding,
5.500% due 1/1/13..............................
931,250
1,950,000 Illinois Regional Transnational Authority,
6.300% due 6/1/12..............................
1,969,500
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
ILLINOIS (CONTINUED)
Illinois State, Public Improvement Revenue:
$1,000,000 5.875% due 8/1/13.............................. $
973,750
1,000,000 5.700% due 4/1/18..............................
937,500
1,000,000 Illinois State Sales Tax Revenue, Series Q,
6.000% due 6/15/09.............................
1,013,750
700,000 Illinois State Toll Highway Authority, Series A,
6.300% due 1/1/12..............................
712,250
------
- -----
6,538,000
------
- -----
INDIANA -- 1.9%
1,200,000 Indiana State Office Commission, Health, Hospital
and Nursing Home Revenue, Series C,
5.250% due 7/1/15..............................
1,057,500
------
- -----
IOWA -- 4.6%
1,650,000 Cedar Rapids, Iowa, Revenue Bonds, Series A,
5.125%, due 6/1/13.............................
1,495,312
1,100,000 Des Moines, Iowa, Series A,
6.000%, due 6/1/12.............................
1,090,375
------
- -----
2,585,687
------
- -----
MAINE -- 0.9%
500,000 Maine Municipal Bond Bank, Revenue Bonds, Series
B,
6.750% due 11/1/12.............................
528,125
------
- -----
MARYLAND -- 2.4%
1,500,000 Harford County, Maryland, Public Improvement
Revenue,
4.900% due 12/1/11.............................
1,329,375
------
- -----
MICHIGAN -- 8.0%
Michigan Municipal Bond Authority, Sewer Revenue:
1,000,000 5.000% due 11/1/09.............................
906,250
750,000 Series A,
6.550% due 10/1/23.............................
784,688
1,500,000 Michigan State Building Authority, Revenue Bonds,
Series I,
5.300% due 10/1/16.............................
1,342,500
1,700,000 Michigan State Public Power Agency, Revenue
Bonds, Series A,
5.250% due 1/1/18..............................
1,496,000
------
- -----
4,529,438
------
- -----
NEBRASKA -- 7.1%
Nebraska Public Power District Revenue:
1,000,000 6.125% due 1/1/15..............................
988,750
2,000,000 5.000% due 1/1/17..............................
1,717,500
1,500,000 Omaha, Nebraska, Power District Revenue, Series
D,
5.300% due 2/1/16..............................
1,340,625
------
- -----
4,046,875
------
- -----
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
NEVADA -- 1.7%
$1,000,000 Washoe County, Nevada, Reno Bowling, Recreational
Revenue, Series A,
5.700% due 7/1/17.............................. $
935,000
------
- -----
NEW YORK -- 5.2%
2,000,000 New York State Environmental Facilities
Corporation, Series D,
5.875% due 6/15/14.............................
1,935,000
1,000,000 Onondaga County, New York,
5.850% due 5/1/14..............................
988,750
------
- -----
2,923,750
------
- -----
OKLAHOMA -- 2.8%
1,000,000 Oklahoma State Municipal Power Authority, Revenue
Bonds,
5.150% due 1/1/14..............................
898,750
700,000 Tulsa, Oklahoma, Sewer and Water Improvement
Revenue,
6.250% due 6/1/14..............................
712,250
------
- -----
1,611,000
------
- -----
TENNESSEE -- 2.3%
1,500,000 Shelby County, Tennessee, Revenue Bonds, Series
A,
5.125% due 3/1/17..............................
1,318,125
------
- -----
TEXAS -- 11.6%
1,500,000 Harris County, Texas, Municipal Utilities
District Revenue,
5.250% due 3/1/10..............................
1,385,625
500,000 Harris County, Texas, Revenue Reference Toll Tax,
Series B,
6.500% due 8/15/15.............................
519,375
2,000,000 Houston, Texas, Public Improvement Revenue
Refunding,
5.000% due 3/1/12..............................
1,765,000
1,000,000 San Antonio, Texas, Certificates of Obligation,
5.750% due 8/1/13..............................
957,500
500,000 San Antonio, Texas, Water Revenue, Series B,
6.500% due 5/15/10.............................
519,375
1,600,000 Texas State, Water Development Board Revenue,
5.250% due 7/15/15.............................
1,434,000
------
- -----
6,580,875
------
- -----
UTAH -- 0.8%
500,000 Intermountain Power Agency, Utah, Revenue
Refunding, Series A,
5.500% due 7/1/13..............................
455,000
------
- -----
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
VIRGINIA -- 4.0%
$2,000,000 Roanoke, Virginia, Public Improvement Revenue,
5.250% due 8/1/19.............................. $
1,777,500
500,000 Virginia State Water Resource Authority, Series
A,
6.450% due 4/1/13..............................
513,125
------
- -----
2,290,625
------
- -----
WASHINGTON -- 4.2%
500,000 Seattle, Washington, Municipal Light and Power
Revenue,
5.750% due 8/1/17..............................
475,625
1,000,000 Snohomish County, Washington, Public Utilities
Revenue,
6.000% due 1/1/13..............................
983,750
1,000,000 Tocoma, Washington, Water Revenue Refunding,
5.500% due 12/1/13.............................
936,250
------
- -----
2,395,625
------
- -----
WISCONSIN -- 3.3%
1,000,000 Green Bay, Wisconsin, Series B,
5.900% due 4/1/10..............................
993,750
1,000,000 Wisconsin State, Clean Water Revenue, Series 1,
5.300% due 6/1/12..............................
902,500
------
- -----
1,896,250
------
- -----
TOTAL MUNICIPAL BONDS AND NOTES
(Cost $55,772,064).............................
52,853,375
------
- -----
SHORT-TERM MUNICIPAL BONDS AND NOTES -- 5.0%
ARIZONA -- 0.9%
500,000 Maricopa County, Arizona, Industrial Development
Agency, Hospital Revenue, Series B,
3.150% due 12/1/08+............................
500,000
------
- -----
INDIANA -- 0.2%
100,000 Fort Wayne, Indiana, Hospital-Parkview,
3.350% due 1/1/16+.............................
100,000
------
- -----
LOUISIANA -- 0.2%
100,000 East Baton Rouge Parish, Louisiana, Pollution
Control Revenue,
3.300% due 6/1/98+.............................
100,000
------
- -----
MISSOURI -- 1.9%
1,100,000 Perry County, Missouri, Pollution Control
Revenue,
3.100% due 3/1/02+.............................
1,100,000
------
- -----
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- ------
- -----
SHORT-TERM MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
NORTH CAROLINA -- 0.2%
$ 100,000 North Carolina, Educational Bowman,
3.000% due 9/1/20+............................. $
100,000
------
- -----
WYOMING -- 1.6%
900,000 Green River, Wyoming, Pollution Control Revenue,
3.300% due 6/1/07+.............................
900,000
------
- -----
TOTAL SHORT-TERM MUNICIPAL BONDS AND NOTES
(Cost $2,800,000)..............................
2,800,000
------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $58,572,064*)............. 98.3 %
55,653,375
OTHER ASSETS AND LIABILITIES (NET)................ 1.7
971,632
-------- ------
- -----
NET ASSETS........................................ 100.0%
$56,625,007
-------- ------
- -----
-------- ------
- -----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate daily demand notes are payable upon not more than one
business
day's notice.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Municipal Bond Investments securities held at August 31, 1994 by
investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Net Other Assets and Liabilities 1.7%
Other States 28.3%
Iowa 4.6%
New York 5.2%
Washington 4.2%
Arizona 4.5%
Nebraska 7.1%
Virginia 4.0%
Michigan 8.0%
Illinois 11.6%
Florida 9.2%
Texas 11.6%
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 90.3%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 62 POOLS -- 38.8%
$ 3,896,517 5.500% due 11/1/08................................ $
3,537,297
5,478,909 6.000% due 9/1/08 - 12/1/23.......................
4,950,705
11,524,723 6.500% due 2/15/09 - 2/1/24.......................
10,689,022
4,653,899 7.000% due 1/1/24.................................
4,405,195
8,866,159 7.500% due 12/1/06 - 9/1/23.......................
8,653,546
3,260,013 8.000% due 9/1/02 - 8/1/17........................
3,258,920
2,695,856 8.500% due 6/1/06 - 6/1/17........................
2,748,379
5,431,059 9.000% due 9/1/97-4/1/09..........................
5,660,757
1,374,523 9.500% due 4/1/01 - 11/1/21.......................
1,453,913
206,640 10.000% due 1/1/21................................
221,813
564,013 10.750% due 10/1/12...............................
618,823
444,370 12.500% due 6/1/15................................
500,055
----
- --------
46,698,425
----
- --------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 76 POOLS -- 34.2%
2,681,524 5.500% due 10/1/97-7/1/98.........................
2,594,374
2,695,949 6.500% due 1/1/97 - 7/1/23........................
2,540,954
854,546 7.000% due 11/1/22................................
809,682
4,829,778 7.500% due 8/1/12 - 8/1/23........................
4,696,575
13,180,473 8.000% due 5/1/06 - 2/1/22........................
13,133,862
9,070,435 8.500% due 12/1/06 - 2/1/18.......................
9,211,967
2,579,553 9.000% due 12/1/04 - 7/1/11.......................
2,661,649
1,995,656 9.500% due 10/1/08 - 8/1/16.......................
2,096,660
715,592 10.000% due 4/1/09 - 6/1/09.......................
762,549
410,529 10.250% due 11/1/03 - 6/1/16......................
439,907
1,067,673 11.000% due 4/1/00 - 10/1/00......................
1,149,083
128,666 11.500% due 10/1/15...............................
141,894
954,863 Collateralized Mortgage Obligation, Multiclass
Mortgage,
7.000% due 11/15/19.............................
949,194
----
- --------
41,188,350
----
- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 28 POOLS -- 17.3%
GNMA -- I-5.2%
1,810,209 7.000% due 4/23/23 - 8/15/23......................
1,694,228
734,464 8.000% due 9/15/22................................
730,791
528,602 8.500% due 5/15/17................................
538,841
1,189,072 9.000% due 10/15/16 - 10/15/21....................
1,237,372
1,587,771 9.500% due 10/15/16 - 6/15/20.....................
1,685,021
376,294 11.000% due 7/15/10 - 9/15/10.....................
419,685
----
- --------
6,305,938
----
- --------
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE
(NOTE 1)
- ----------- ----
- --------
MORTGAGE-BACKED SECURITIES (CONTINUED)
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 28 POOLS (CONTINUED)
GNMA -- II-12.1%
$ 9,205,770 6.500% due 12/20/23 - 5/20/24..................... $
8,236,218
1,643,099 7.000% due 11/20/16...............................
1,525,503
2,792,638 8.500% due 6/20/16 - 1/20/17......................
2,822,296
1,957,981 9.000% due 4/20/17 - 11/20/21.....................
2,010,591
----
- --------
14,594,608
----
- --------
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$113,294,549)...................................
108,787,321
----
- --------
U.S. TREASURY NOTE -- 4.2% (Cost $5,057,813)
5,000,000 7.250% due 5/15/04................................
5,016,400
----
- --------
REPURCHASE AGREEMENT -- 4.2% (Cost $5,018,000)
5,018,000 Agreement with Union Bank of Switzerland, 4.650%
dated 8/31/94, to be repurchased at $5,018,648
on 9/1/94 collateralized by $3,815,000, U.S.
Treasury Note, 11.625% due 11/15/04.............
5,018,000
----
- --------
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $123,370,362*)............. 98.7%
118,821,721
OTHER ASSETS AND LIABILITIES (NET)................. 1.3
1,605,370
-------- -----
- -------
NET ASSETS......................................... 100.0%
$120,427,091
-------- -----
- -------
-------- -----
- -------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Mortgaged Backed Investments securities held at August 31, 1994 by
investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
GNMA 17.3%
FHLMC 34.2%
FNMA 38.8%
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
<C> <S> <C>
COMMON STOCKS -- 64.8%
FINANCIAL SERVICES -- 9.7%
6,000 Ahmanson H F & Company......................... $
134,250
6,000 American General Corporation...................
179,250
6,000 Bank New York Inc..............................
195,000
3,000 Barnett Banks Inc..............................
141,750
5,000 Chase Manhattan Corporation....................
188,750
5,400 Corestates Financial Corporation...............
152,550
11,700 Pinnacle West Capital Corporation..............
216,450
7,000 Providian Corporation..........................
235,375
-------
- -----
1,443,375
-------
- -----
CONSUMER PRODUCTS -- 9.4%
3,300 Avery Dennison Corporation.....................
113,850
5,400 Eastman Kodak Company..........................
268,650
8,500 PepsiCo Inc....................................
281,562
4,900 Philip Morris Companies........................
298,900
5,100 Pitney Bowes Incorporated......................
196,350
4,000 Procter & Gamble Company.......................
243,500
-------
- -----
1,402,812
-------
- -----
OIL & GAS -- 7.8%
5,705 Elf Aquitaine Sponsored ADR....................
218,222
6,300 Repsol S.A. Sponsored ADR......................
203,963
1,700 Royal Dutch Petroleum Company..................
191,463
6,000 Tenneco Inc....................................
295,500
2,400 Texaco Inc.....................................
148,200
4,400 Ypf S.A., Sponsored ADR, Class D Shares........
113,850
-------
- -----
1,171,198
-------
- -----
CAPITAL GOODS -- 7.5%
6,200 General Electric Company.......................
308,450
2,900 Hewlett Packard Company........................
260,637
3,600 International Business Machines Corporation....
247,050
5,400 Minnesota Mining & Manufacturing Company.......
297,675
-------
- -----
1,113,812
-------
- -----
CONSUMER DURABLES -- 5.2%
5,000 General Motors Corporation.....................
251,250
6,900 Goodyear Tire & Rubber Company.................
241,500
10,500 Masco Corporation..............................
291,375
-------
- -----
784,125
-------
- -----
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
COMMUNICATIONS -- 4.2%
3,800 American Telephone & Telegraph Corporation..... $
208,050
6,600 Telefonos De Mexico S.A. Sponsored ADR.........
414,150
-------
- -----
622,200
-------
- -----
CONSUMER SERVICES -- 4.0%
5,000 Browning Ferris Industries Inc.................
158,125
3,900 CPC International Inc..........................
208,650
8,500 Ryder Systems Inc..............................
233,750
-------
- -----
600,525
-------
- -----
RETAIL -- 3.7%
6,900 May Department Stores Company..................
282,900
5,175 V F Corporation................................
273,628
-------
- -----
556,528
-------
- -----
PUBLISHING -- 3.2%
8,500 Donnelley (R.R.) & Sons Company................
257,125
4,500 Gannett Incorporated...........................
225,000
-------
- -----
482,125
-------
- -----
INSURANCE -- 2.5%
6,600 Aon Corporation................................
226,050
2,000 Chubb Corporation..............................
146,500
-------
- -----
372,550
-------
- -----
DIVERSIFIED -- 1.8%
8,000 Hanson Plc ADR.................................
159,000
1,000 Unilever (N.V.) ADR............................
114,125
-------
- -----
273,125
-------
- -----
ELECTRONICS -- 1.7%
6,100 Loral Corporation..............................
254,675
-------
- -----
AEROSPACE -- 1.5%
3,300 Raytheon Company...............................
223,163
-------
- -----
TRANSPORTATION -- 1.4%
4,000 Burlington Northern Inc........................
210,000
-------
- -----
HEALTH CARE -- 0.9%
1,900 Schering Plough Corporation....................
132,763
-------
- -----
UTILITIES -- 0.3%
2,000 Entergy Corporation New........................
49,750
-------
- -----
TOTAL COMMON STOCK (Cost $9,269,167)...........
9,692,726
-------
- -----
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
<C> <S> <C>
U.S. TREASURY NOTES -- 14.0%
U.S. Treasury Notes
$ 925,000 5.500% due 4/30/96........................... $
918,405
100,000 6.375% due 1/15/99...........................
98,812
300,000 7.000% due 4/15/99...........................
302,901
100,000 6.375% due 7/15/99...........................
98,413
50,000 6.375% due 1/15/00...........................
48,963
685,000 5.750% due 8/15/03...........................
621,487
-------
- -----
TOTAL U.S. TREASURY NOTES (Cost $2,149,846)....
2,088,981
-------
- -----
CORPORATE BONDS AND NOTES -- 8.0%
100,000 Associates Corporation North America, Note,
5.250% due 9/01/98...........................
93,625
100,000 Dean Witter Discover & Company, Note,
6.000% due 3/01/98...........................
96,625
100,000 Florida Power & Light Company First Mortgage,
5.375% due 4/01/00...........................
91,500
150,000 Ford Motor Credit Company, Note,
5.625% due 12/15/98..........................
141,187
100,000 Nationsbank Corporation, Sr Note,
5.375% due 4/15/00...........................
91,000
100,000 Norwest Corporation Bond,
5.750% due 3/15/98...........................
96,250
200,000 Ontario Province CDA,
5.700% due 10/01/97..........................
194,500
100,000 Philip Morris Companies Inc., Note,
7.375% due 2/15/99...........................
99,625
200,000 Salomon Brothers, Series C, Medium Term Note,
6.750% due 2/15/00...........................
191,000
100,000 Wal Mart Stores Inc., Sr. Note,
5.500% due 03/01/98..........................
95,875
-------
- -----
TOTAL CORPORATE BONDS AND NOTES (Cost
$1,172,983)..................................
1,191,187
-------
- -----
U.S. GOVERNMENT AND AGENCIES -- 6.5%
Federal Home Loan Banks, Consolidation Bonds:
5.250% due 5/26/98...........................
94,791
100,000
5.010% due 7/29/98.............................
93,707
100,000
Federal Home Loan Mortgage Association:
Corporate Debenture
100,000 5.900% due 4/21/00...........................
93,961
300,000 Multiclass Mortgage PC
7.000% due 8/16/06...........................
292,500
350,000 Multiclass Mortgage PC
7.500% due 7/15/22...........................
346,307
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
U.S. GOVERNMENT AND AGENCIES (CONTINUED)
<C> <S> <C>
$ 50,000 Federal Natlional Mortgage Association
Debenture
5.300% due 03/11/98.......................... $
47,546
-------
- -----
TOTAL U.S. GOVERNMENT AND AGENCIES (Cost
$994,696)....................................
968,812
-------
- -----
U.S. TREASURY BILLS (COST $283,796) -- 1.9%
300,000 U.S. Treasury Bills 5.420%# due 08/24/95.......
283,797
-------
- -----
TOTAL BONDS AND NOTES..........................
4,532,777
-------
- -----
COMMERCIAL PAPER -- 5.3%
290,000 General Electric Capital Corp.,
4.750% due 09/01/94..........................
290,000
505,000 Ford Motor Credit,
4.750% due 09/01/94..........................
505,000
-------
- -----
TOTAL COMMERCIAL PAPER (Cost $795,000).........
795,000
-------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $14,665,488*)............ 100.5 %
15,020,503
OTHER ASSETS AND LIABILITIES (Net)............... (0.5)
(80,056)
------- --------
- ----
NET ASSETS....................................... 100.0% $
14,940,447
------- --------
- ----
------- --------
- ----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
# Represents annualized yield to maturity (unaudited).
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Balanced Investments securities held at August 31, 1994 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Commercial Paper and Net Other Assets and Liabilities 4.8%
Corporate Bonds and Notes 8.0%
U.S. Government and Agency Obligation 6.5%
U.S. Treasury Notes 15.9%
Other Common Stocks 21.0%
Communications 4.2%
Consumer Durables 5.2%
Capital Goods 7.5%
Oil & Gas 7.8%
Consumer Products 9.4%
Financial Services 9.7%
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
<C> <S> <C>
COMMON STOCKS -- 93.5%
FINANCIAL SERVICES -- 16.3%
171,600 American Express Company......................... $
4,826,250
66,500 American General Corporation.....................
1,986,687
41,600 AmSouth Bancorp..................................
1,378,000
131,500 BancOne Corporation..............................
4,569,625
11,900 Bancorp Hawaii Inc...............................
385,262
111,500 Bank New York Inc................................
3,623,750
173,100 BankAmerica Corporation..........................
8,546,813
28,300 Bankers Trust New York Corporation...............
2,083,588
45,800 BanPonce Corporation New.........................
1,522,850
29,200 Barnett Banks Inc................................
1,379,700
98,385 Bear Stearns Companies, Inc......................
1,795,526
25,400 Beneficial Corporation...........................
1,092,200
59,600 Boatmen's Bancshares Inc.........................
2,004,050
57,100 Central Fidelity Banks Inc.......................
1,898,575
124,800 Chase Manhattan Corporation......................
4,711,200
64,200 Chemical Banking Corporation.....................
2,487,750
103,200 Citicorp.........................................
4,566,600
39,700 Comerica Inc.....................................
1,205,888
41,200 Compass Bancshares Inc...........................
1,030,000
36,100 Continental Bank Corporation.....................
1,380,825
34,400 Crestar Financial Corporation....................
1,659,800
45,200 First American Bank Corporation..................
1,655,450
19,500 First Bank System Inc............................
721,500
24,633 First Chicago Corporation........................
1,280,916
42,100 First Commercial Corporation.....................
1,189,325
25,700 First Fidelity Bancorporation New................
1,178,987
39,900 First Financial Management Corporation...........
2,423,925
21,300 First Interstate Bancorp.........................
1,701,338
63,100 First Security Corporation.......................
2,050,750
32,100 First Tennessee National Corporation.............
1,524,750
50,100 First Union Corporation..........................
2,310,863
29,900 First Virginia Banks Inc.........................
1,181,050
55,400 Firstar Corporation..............................
1,800,500
32,500 Fleet Financial Group Inc. New...................
1,287,812
34,200 Golden West Financial Corporation................
1,483,425
31,700 Household International Inc......................
1,252,150
125,750 Huntington Bancshares Inc........................
2,687,906
35,200 Integra Financial Corporation....................
1,720,400
74,400 KeyCorp New......................................
2,445,900
31,600 Lehman Brothers Holdings, Inc....................
513,500
78,200 Marshall & Ilsley Corporation....................
1,583,550
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
48,868 Mellon Bank Corporation.......................... $
2,895,422
49,200 Mercantile Bancorporation Inc....................
1,881,900
13,700 Meridian Bancorp Inc.............................
440,113
72,600 Merrill Lynch & Company, Inc.....................
2,949,375
14,100 Morgan Stanley Group, Inc........................
983,475
70,700 Morgan (J.P.) & Company, Inc.....................
4,657,362
60,500 National City Corporation........................
1,625,938
51,800 NationsBank Corporation..........................
2,887,850
36,000 NBD Bancorp Inc..................................
1,120,500
13,000 New Plan Realty Trust SBI........................
287,625
166,900 Norwest Corporation..............................
4,443,712
32,700 Old Kent Financial Corporation...................
1,152,675
12,700 Old National Bancorp.............................
463,550
44,600 Paine Webber Group, Inc..........................
724,750
51,100 PNC Bank Corporation.............................
1,430,800
43,800 Regions Financial Corporation....................
1,582,275
13,000 Republic New York Corporation....................
588,250
63,600 Salomon Inc......................................
2,758,650
4,800 Shawmut National Corporation.....................
108,000
68,000 Signet Banking Corporation.......................
2,660,500
69,800 SouthTrust Corporation...........................
1,483,250
10,300 Standard Federal Bank, Troy, Michigan............
284,538
1,600 Star Banc Corporation............................
68,800
11,400 State Street Boston Corporation..................
456,000
57,200 SunTrust Banks Inc...............................
2,924,350
61,200 U S Bancorp......................................
1,698,300
52,000 Wachovia Corporation New.........................
1,820,000
54,300 Washington Federal Savings.......................
1,181,025
23,900 Wells Fargo & Company............................
3,818,025
-------
- -----
135,505,946
-------
- -----
UTILITIES -- 12.3%
45,500 Allegheny Power System, Inc......................
1,023,750
61,400 American Electric Power Inc......................
1,934,100
137,900 Ameritech Corporation New........................
5,705,613
35,900 Atlanta Gas Light Company........................
1,175,725
25,300 Atlantic Energy Inc..............................
442,750
93,500 Boston Edison Company............................
2,501,125
76,700 Brooklyn Union Gas Company.......................
1,907,912
82,100 Carolina Power & Light Company...................
2,175,650
61,800 Cincinnati Gas & Electric Company................
1,390,500
28,800 CIPSCO Inc.......................................
784,800
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
11,700 Commonwealth Edison Company...................... $
280,800
66,500 Comsat Corporation, Series 1.....................
1,670,813
48,800 Consolidated Edison Company, New York Inc........
1,335,900
22,300 Consolidated Natural Gas Company.................
889,212
29,500 Delmarva Power & Light Company...................
560,500
86,500 Detroit Edison Company...........................
2,357,125
60,500 Dominion Resources Inc...........................
2,276,313
114,000 DPL Inc..........................................
2,308,500
65,500 DQE Inc..........................................
2,005,937
100,400 Duke Power Company...............................
3,890,500
170,500 Entergy Corporation New..........................
4,241,187
15,500 Equitable Resources Inc..........................
499,875
35,900 Florida Progress Corporation.....................
1,041,100
84,200 FPL Group, Inc...................................
2,641,775
159,300 General Public Utilities Corporation.............
4,161,713
6,300 Idaho Power Company..............................
152,775
12,500 IES Industries, Inc..............................
346,875
30,800 IPALCO Enterprises Inc...........................
954,800
52,200 Kansas City Power & Light Company................
1,128,825
38,700 KU Energy Corporation............................
1,035,225
66,400 LG&E Energy Corporation..........................
2,531,500
24,800 Montana Power Company............................
585,900
31,600 National Fuel Gas Company........................
983,550
43,400 New England Electric System......................
1,437,625
26,100 New York State Electric & Gas Corporation........
541,575
43,900 Niagara Mohawk Power Corporation.................
653,013
65,600 NICOR Inc........................................
1,599,000
71,100 NIPSCO Industries, Inc...........................
2,053,012
37,100 Northeast Utilities..............................
862,575
19,500 Northern States Power Company, Minnesota.........
843,375
22,400 Ohio Edison Company..............................
434,000
19,100 Oklahoma Gas & Electric Company..................
654,175
132,700 Pacific Gas & Electric Company...................
3,267,737
160,800 PacifiCorp.......................................
2,753,700
45,300 Pennsylvania Power & Light Company...............
956,962
54,100 Peoples Energy Corporation.......................
1,447,175
110,000 Pinnacle West Capital Corporation................
2,035,000
76,400 PSI Resources Inc................................
1,709,450
40,500 Public Service Company Colorado..................
1,098,563
59,400 Public Service Enterprise Group..................
1,648,350
42,200 Puget Sound Power & Light Company................
838,725
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
65,000 Questar Corporation.............................. $
2,006,875
16,800 Rochester Gas & Electric Corporation.............
384,300
26,100 Rochester Telephone Corporation..................
587,250
29,000 San Diego Gas & Electric Company.................
565,500
34,800 Scana Corporation................................
1,587,750
295,600 Southern Company.................................
5,579,450
13,200 Southwestern Public Service Company..............
353,100
82,400 Texas Utilities Company..........................
2,760,400
38,200 Union Electric Company...........................
1,365,650
53,400 UtiliCorp United Inc.............................
1,535,250
25,000 Washington Gas Light Company.....................
950,000
29,700 Washington Water Power Company...................
452,925
25,300 Western Resources Inc............................
727,375
50,500 Wisconsin Energy Corporation.....................
1,313,000
13,800 Wisconsin Public Service Corporation.............
401,925
-------
- -----
102,327,387
-------
- -----
ENERGY -- 11.2%
60,300 Amerada Hess Corporation.........................
3,022,538
170,300 Amoco Corporation................................
9,856,112
19,700 Ashland Oil Inc..................................
746,138
98,400 Atlantic Richfield Company.......................
10,541,099
276,900 Chevron Corporation..............................
11,733,638
64,300 Coastal Corporation..............................
1,969,187
388,000 Exxon Corporation................................
23,086,000
77,700 Halliburton Company..............................
2,350,425
44,800 Kerr Mcgee Corporation...........................
2,178,400
68,033 MCN Corporation..................................
2,644,783
98,600 Mobil Corporation................................
8,307,050
12,000 Murphy Oil Corporation...........................
568,500
66,100 Occidental Petroleum Corporation.................
1,470,725
18,600 Panhandle Eastern Corporation....................
406,875
57,900 Schlumberger Ltd.................................
3,300,300
100,300 Sonat Inc........................................
3,059,150
5,700 Sun Inc..........................................
158,888
64,000 Texaco Inc.......................................
3,952,000
174,700 TransCanada Pipeline Ltd.........................
2,358,450
60,800 Williams Companies, Inc..........................
1,892,400
-------
- -----
93,602,658
-------
- -----
CAPITAL GOODS -- 8.5%
38,500 Armstrong World Industries, Inc..................
1,876,875
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
26,600 Avnet Inc........................................ $
987,525
156,600 Boeing Company...................................
7,125,300
58,100 CBI Industries, Inc..............................
1,750,263
15,000 Clark Equipment Company..........................
1,059,375
29,400 Cooper Industries, Inc...........................
1,164,975
42,200 Crane Company....................................
1,102,475
90,800 Dana Corporation.................................
2,531,050
37,300 Deere & Company..................................
2,769,525
41,300 Eaton Corporation................................
2,049,512
81,100 Echlin Inc.......................................
2,503,962
56,000 General Dynamics Corporation.....................
2,527,000
64,800 Ingersoll Rand Company...........................
2,470,500
15,100 Johnson Controls Inc.............................
802,187
22,200 Lockheed Corporation.............................
1,748,250
42,500 Martin Marietta Corporation New..................
2,162,188
123,000 Mascotech Inc....................................
1,814,250
15,500 McDonnell Douglas Corporation....................
1,832,875
68,500 Northrop Grumman Corporation.....................
3,082,500
21,100 PACCAR Inc.......................................
1,055,000
69,600 Parker Hannifin Corporation......................
2,923,200
89,100 Raytheon Company.................................
6,025,388
69,300 Rockwell International Corporation...............
2,503,462
36,700 Sundstrand Corporation...........................
1,825,825
54,600 Textron Inc......................................
3,016,650
41,500 TRW Inc..........................................
3,112,500
138,300 United Technologies Corporation..................
8,799,338
-------
- -----
70,621,950
-------
- -----
BASIC INDUSTRIES -- 7.7%
91,300 Air Products & Chemicals Inc.....................
4,542,175
125,200 Allegheny Ludlum Corporation.....................
2,676,150
85,235 Aluminum Company of America......................
7,159,740
31,900 Avery Dennison Corporation.......................
1,100,550
50,200 Cyprus Amax Minerals Company.....................
1,631,500
123,400 Dow Chemical Company.............................
9,270,425
147,200 Du Pont (E.I.) de Nemours & Company..............
8,905,600
38,700 Ethyl Corporation................................
454,725
47,000 Georgia Pacific Corporation......................
3,495,625
24,000 Grace (W.R.) & Company...........................
966,000
108,800 Magma Copper Company.............................
1,958,400
137,400 Mark IV Industries, Inc..........................
2,833,875
17,100 Newmont Gold Company.............................
698,963
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
85,900 Phelps Dodge Corporation......................... $
5,454,650
4,575 Rayonier Inc.....................................
152,119
3,300 Reynolds Metals Company..........................
181,087
69,900 Rhone Poulenc S.A., ADR..........................
1,756,237
51,700 Rohm & Haas Company..............................
3,218,325
101,400 Union Carbide Corporation........................
3,485,625
9,000 Vulcan Materials Company.........................
475,875
56,100 Weyerhaeuser Company.............................
2,573,587
43,700 Witco Corporation................................
1,343,775
-------
- -----
64,335,008
-------
- -----
TELECOMMUNICATIONS -- 5.6%
50,600 BCE Inc..........................................
1,771,000
140,100 Bell Atlantic Corporation........................
7,670,475
120,400 BellSouth Corporation............................
7,148,750
111,000 GTE Corporation..................................
3,524,250
264,000 NYNEX Corporation................................
10,197,000
121,600 Pacific Telesis Group............................
4,012,800
168,800 Southwestern Bell Corporation....................
6,984,100
123,500 U S West Inc.....................................
4,986,313
-------
- -----
46,294,688
-------
- -----
CONSUMER DURABLES -- 4.9%
71,300 Chrysler Corporation.............................
3,431,313
79,000 Federal Mogul Corporation........................
2,261,375
466,400 Ford Motor Company...............................
13,642,200
160,100 General Motors Corporation.......................
8,045,025
25,600 General Motors Corporation, Class E..............
931,200
58,800 General Motors Corporation, Class H..............
2,205,000
216,800 Goodyear Tire & Rubber Company...................
7,588,000
14,300 Snap On Inc......................................
523,737
43,300 Whirlpool Corporation............................
2,376,087
-------
- -----
41,003,937
-------
- -----
INSURANCE -- 4.6%
26,100 Ace Limited......................................
603,563
22,500 Aetna Life & Casualty Company....................
1,110,937
3,000 Alleghany Corporation............................
439,500
17,900 AMBAC Inc........................................
729,425
44,550 Aon Corporation..................................
1,525,837
96,100 Chubb Corporation................................
7,039,325
27,300 CIGNA Corporation................................
1,829,100
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
INSURANCE (CONTINUED)
49,200 Cincinnati Financial Corporation................. $
2,730,600
38,800 Equitable Iowa Companies New.....................
1,513,200
39,300 Jefferson Pilot Corporation......................
2,122,200
32,900 Lincoln National Corporation.....................
1,266,650
38,800 MBIA Inc.........................................
2,376,500
25,000 Mercury General Corporation New..................
706,250
110,600 Old Republic International Corporation...........
2,447,024
110,450 Providian Corporation............................
3,713,881
31,200 SAFECO Corporation...............................
1,704,300
35,000 St. Paul Companies, Inc..........................
1,513,750
33,100 Transamerica Corporation.........................
1,766,713
68,000 UNUM Corporation.................................
3,340,500
-------
- -----
38,479,255
-------
- -----
RETAIL -- 4.6%
72,100 American Stores Company New......................
1,820,525
25,500 Dayton Hudson Corporation........................
2,161,125
64,200 Dillard Dept Stores Inc., Class A................
1,797,600
52,300 Giant Food Inc., Class A.........................
1,137,525
308,100 K Mart Corporation...............................
5,276,212
141,300 Limited Inc......................................
2,843,663
66,000 May Department Stores Company....................
2,706,000
25,600 Meyer Fred Inc.+.................................
851,200
127,200 Penney (J.C.) Inc................................
6,693,900
12,300 Petrie Stores Corporation........................
325,950
141,500 Price/Costco Inc.................................
2,219,781
144,600 Sears Roebuck & Company..........................
6,850,425
58,400 Spiegel Inc., Class A, Non-Voting................
1,131,500
28,500 Supervalu Inc....................................
844,313
33,600 Tandy Corporation................................
1,352,400
-------
- -----
38,012,119
-------
- -----
HEALTH CARE -- 3.4%
289,100 Baxter International Inc.........................
8,203,212
20,700 Becton Dickinson & Company.......................
887,513
71,000 Bristol Myers Squibb.............................
4,082,500
5,000 Johnson & Johnson................................
250,625
70,000 Lilly Eli & Company..............................
3,981,250
46,500 Marion Merrell Dow Inc...........................
1,098,562
77,400 Meditrust, SBI...................................
2,554,200
131,700 National Medical Enterprises, Inc................
2,403,525
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
45,300 Upjohn Company................................... $
1,636,463
43,200 Warner Lambert Company...........................
3,612,600
-------
- -----
28,710,450
-------
- -----
CONSUMER PRODUCTS -- 3.4%
56,900 American Brands Inc..............................
2,048,400
102,800 American Greetings Corporation, Class A..........
3,084,000
119,385 Archer Daniels Midland Company...................
3,074,164
24,700 Brown Forman Corporation, Class B................
744,087
2,400 Coors Adolph Company, Class B....................
48,900
26,700 Dean Foods Company...............................
854,400
12,300 Dole Food Inc....................................
376,688
73,600 Eastman Kodak Company............................
3,661,600
48,200 Heinz (H.J.) Company.............................
1,765,325
38,200 Hershey Foods Corporation........................
1,833,600
69,000 IBP, Inc.........................................
2,173,500
56,400 Liz Claiborne Inc................................
1,247,850
26,700 Loews Corporation................................
2,429,700
82,500 Stride Rite Corporation..........................
1,309,687
55,600 Universal Foods Corporation......................
1,793,100
29,000 V.F. Corporation.................................
1,533,375
-------
- -----
27,978,376
-------
- -----
PAPER AND PAPER PRODUCTS -- 3.1%
54,200 Bowater Inc......................................
1,517,600
34,800 Consolidated Papers Inc..........................
1,705,200
10,300 Federal Paper Board Inc..........................
312,863
110,700 International Paper Company......................
8,537,738
65,633 Mead Corporation.................................
3,314,467
16,500 Scott Paper Company..............................
1,080,750
52,100 Temple Inland Inc................................
2,937,138
21,300 Union Camp Corporation...........................
1,072,987
55,900 Westvaco Corporation.............................
2,026,375
59,800 Willamette Industries, Inc.......................
3,079,700
-------
- -----
25,584,818
-------
- -----
TECHNOLOGY -- 3.0%
27,900 E-System Inc.....................................
1,199,700
151,100 International Business Machines Corporation......
10,369,238
30,600 Litton Industries, Inc...........................
1,189,575
78,300 Loral Corporation................................
3,269,025
14,500 Pitney Bowes Inc.................................
558,250
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
102,700 Seagate Technology............................... $
2,464,800
80,000 Storage Technology Corporation...................
2,870,000
2,100 Stratus Computer Inc.............................
79,800
23,000 Unisys Corporation...............................
227,125
25,500 Xerox Corporation................................
2,731,687
-------
- -----
24,959,200
-------
- -----
DIVERSIFIED -- 2.0%
38,600 General Electric Company.........................
1,920,350
25,500 ITT Corporation..................................
2,091,000
300,700 Hanson Plc, ADR..................................
5,976,413
100,000 Honeywell Inc....................................
3,587,500
55,300 Tenneco Inc......................................
2,723,525
-------
- -----
16,298,788
-------
- -----
TRANSPORTATION -- 1.7%
67,900 Conrail Inc......................................
3,734,500
49,700 CSX Corporation..................................
3,839,325
64,600 Norfolk Southern Corporation.....................
4,150,550
37,100 Roadway Services Inc.............................
2,374,400
-------
- -----
14,098,775
-------
- -----
PUBLISHING -- 0.3%
17,400 Knight Ridder Inc................................
900,450
59,000 New York Times Company, Class A..................
1,445,500
-------
- -----
2,345,950
-------
- -----
POLLUTION CONTROL -- 0.2%
64,400 WMX Technologies Inc.............................
1,932,000
-------
- -----
CONSUMER SERVICES -- 0.2%
38,900 Donnelley (R.R.) & Sons Company..................
1,176,725
23,500 National Services Industries, Inc................
631,562
-------
- -----
1,808,287
-------
- -----
OTHER -- 0.5%
153,500 Health & Retirement Properties Trust, S..........
2,360,063
56,400 Nationwide Health Properties, Inc................
2,037,450
-------
- -----
4,397,513
-------
- -----
TOTAL COMMON STOCKS (Cost $753,080,450)..........
778,297,105
-------
- -----
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
CONVERTIBLE PREFERRED STOCK -- 0.2% (Cost $1,868,190)
<C> <S> <C>
275,400 RJR Nabisco Holdings Corporation, Depositary
Shares
Representing 1/10 Pfd C Percs 9.250%........... $
1,927,800
-------
- -----
PREFERRED STOCK -- 0.2% (Cost $1,501,559)
53,800 Peco Energy Company Pfd..........................
1,466,050
-------
- -----
WARRANT -- 0.0% (COST $29,738)
18,300 Viacom Inc., Class B, Expire 6/6/97-+-...........
28,594
-------
- -----
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- ----------
<C> <S> <C> <C>
COMMERCIAL PAPER -- 4.4% (Cost $36,629,000)
$36,629,000 General Electric Capital Corporation,
4.750% due 9/1/94................................
36,629,000
---
- ---------
REPURCHASE AGREEMENT -- 0.5% (Cost $4,031,000)
Agreement with Union Bank of Switzerland,
4,031,000 4.650% dated 8/31/94 to be repurchased at
$4,031,521 on 9/1/94,
collateralized by $3,065,000 U.S. Treasury Note
11.625% due 11/15/04.............................
4,031,000
---
- ---------
TOTAL INVESTMENTS (Cost $797,240,459*)............... 98.8%
822,379,548
OTHER ASSETS AND LIABILITIES (NET)................... 1.2
9,758,889
-------- ---
- ---------
NET ASSETS........................................... 100.0%
$832,138,437
-------- ---
- ---------
-------- ---
- ---------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-incoming producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Large Capitalization Value Equity Investments securities held at August
31,
1994 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Convertible Preferred Stock, Preferred Stock, Warrant,
Commercial Paper, Repurchase Agreement, and Net Other
Assets and Liabilities 6.5%
Other Common Stocks 22.4%
Insurance 4.6%
Consumer Durables 4.9%
Telecommunications 5.6%
Basic Industries 7.7%
Capital Goods 8.5%
Energy 11.2%
Utilities 12.3%
Financial Services 16.3%
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
<C> <S> <C>
COMMON STOCKS -- 91.9%
CONSUMER PRODUCTS -- 14.9%
40,000 Anheuser Busch Companies, Inc.................... $
2,180,000
23,800 Avon Products, Inc...............................
1,407,175
31,800 Brown Forman Corporation, Class B................
957,975
37,000 Campbell Soup Company............................
1,433,750
27,200 Clorox Company...................................
1,417,800
204,500 Coca Cola Company................................
9,407,000
18,000 Colgate Palmolive Company........................
1,030,500
38,000 ConAgra, Inc.....................................
1,244,500
24,000 CPC International, Inc...........................
1,284,000
30,800 Crown Cork & Seal, Inc.+.........................
1,147,300
36,700 Eastman Kodak Company............................
1,825,825
25,600 General Mills, Inc...............................
1,382,400
35,800 Gillette Company.................................
2,591,025
37,100 Heinz, (H.J.) Company............................
1,358,787
25,000 Hershey Foods Corporation........................
1,200,000
35,000 International Flavors & Fragrances, Inc..........
1,535,625
23,300 Kellogg Company..................................
1,319,362
45,300 Mattel, Inc......................................
1,302,375
24,900 McKesson Corporation.............................
2,552,250
117,600 PepsiCo, Inc.....................................
3,895,500
123,500 Philip Morris Companies, Inc.....................
7,533,500
29,000 Pioneer Hi Bred International....................
906,250
85,900 Procter & Gamble Company.........................
5,229,163
18,400 Quaker Oats Company..............................
1,478,900
45,800 Reebok International, Ltd........................
1,665,975
42,300 Rubbermaid, Inc..................................
1,189,688
57,700 Sara Lee Corporation.............................
1,334,313
37,000 Sherwin Williams Company.........................
1,225,625
109,600 Stride Rite Corporation..........................
1,739,900
66,200 Tyson Foods, Inc., Class A.......................
1,605,350
68,000 Universal Corporation, Va........................
1,462,000
48,700 UST, Inc.........................................
1,521,875
19,400 Wrigley, Wm. Jr. Company.........................
792,975
-------
- -----
68,158,663
-------
- -----
TECHNOLOGY -- 13.4%
16,700 AMP, Inc.........................................
1,212,837
30,000 Analog Devices, Inc.+............................
967,500
47,800 Applied Materials, Inc.+.........................
2,413,900
7,900 Cabletron Systems, Inc.+.........................
836,413
38,400 Cisco Systems, Inc.+.............................
952,800
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
76,000 Compaq Computer Corporation+..................... $
2,840,500
36,100 Computer Association International, Inc..........
1,448,512
20,000 Computer Sciences Corporation+...................
897,500
14,000 Compuware Corporation+...........................
581,000
74,100 EG & G, Inc......................................
1,176,338
59,200 Hewlett Packard Company..........................
5,320,600
86,000 Intel Corporation................................
5,654,500
25,300 Lotus Development Corporation+...................
1,034,137
150,900 Microsoft Corporation+...........................
8,771,063
46,300 Minnesota Mining & Manufacturing Company.........
2,552,288
209,700 Motorola, Inc....................................
11,323,800
54,400 Novell, Inc.+....................................
850,000
124,600 Oracle Systems Corporation+......................
5,318,863
39,600 Scientific Atlanta, Inc..........................
1,772,100
56,000 Sensormatic Electronics Corporation..............
1,939,000
31,000 Texas Instruments, Inc...........................
2,414,125
50,000 Wellfleet Communications, Inc.+..................
1,131,250
-------
- -----
61,409,026
-------
- -----
HEALTH CARE -- 11.1%
106,800 Abbott Labs......................................
3,204,000
36,400 American Home Products Corporation...............
2,161,250
27,600 Amgen, Inc.+.....................................
1,455,900
32,100 Bausch & Lomb, Inc...............................
1,255,913
40,000 Bristol Myers Squibb.............................
2,300,000
79,200 Columbia/HCA Healthcare Corporation..............
3,366,000
46,900 Humana, Inc.+....................................
996,625
91,900 Johnson & Johnson................................
4,606,488
31,600 Lilly Eli & Company..............................
1,797,250
54,400 Marion Merrell Dow, Inc..........................
1,285,200
26,000 Medtronic, Inc...................................
2,567,500
157,700 Merck & Company, Inc.............................
5,381,512
49,100 Pfizer, Inc......................................
3,351,075
5,000 Scherer, R.P. Corporation+.......................
202,500
29,400 Schering Plough Corporation......................
2,054,325
106,500 Syntex Corporation...............................
2,556,000
115,450 U.S. Healthcare, Inc.............................
4,993,212
109,900 United Healthcare Corporation....................
5,742,275
18,400 Warner Lambert Company...........................
1,538,700
-------
- -----
50,815,725
-------
- -----
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES -- 9.4%
47,200 AFLAC, Inc....................................... $
1,693,300
93,400 Alexander & Alexander Services, Inc..............
1,914,700
50,000 American International Group, Inc................
4,700,000
31,700 Block, (H & R), Inc..............................
1,386,875
45,000 Dean Witter Discover & Company...................
1,918,125
59,600 Federal Home Loan Mortgage Corporation...........
3,702,650
91,000 Federal National Mortgage Association............
8,087,625
56,000 First Data Corporation...........................
2,730,000
20,700 First Financial Management Corporation...........
1,257,525
43,200 First USA, Inc...................................
1,582,200
34,500 GFC Financial Corporation........................
1,306,688
17,400 Marsh & McLennan Companies, Inc..................
1,481,175
5,200 MBIA, Inc........................................
318,500
144,250 MBNA Corporation.................................
3,642,313
57,800 Mercury Financial Company........................
917,574
73,300 MGIC Investment Corporation......................
2,253,975
27,000 Student Loan Marketing Association, New..........
1,039,500
32,000 Torchmark Corporation............................
1,364,000
63,200 Wilmington Trust Corporation.....................
1,722,200
-------
- -----
43,018,925
-------
- -----
RETAIL -- 8.3%
67,800 Albertsons, Inc..................................
1,957,725
74,000 Autozone, Inc.+..................................
1,840,750
33,500 Gap, Inc.........................................
1,440,500
182,500 Home Depot, Inc..................................
8,258,125
23,400 Kohls Corporation+...............................
1,137,825
101,400 Limited, Inc.....................................
2,040,675
66,600 Lowe's Companies, Inc............................
2,405,925
53,400 May Department Stores Company....................
2,189,400
35,600 Pep Boys Manny Moe & Jack........................
1,241,550
20,000 Talbots, Inc.....................................
712,500
47,200 Toys R Us, Inc.+.................................
1,740,500
479,000 Wal Mart Stores, Inc.............................
11,795,375
28,100 Walgreen Company.................................
1,057,263
-------
- -----
37,818,113
-------
- -----
CAPITAL GOODS -- 6.3%
42,400 Crane Company....................................
1,107,700
40,000 Dover Corporation................................
2,315,000
29,600 Emerson Electric Company.........................
1,838,900
27,600 Fluor Corporation................................
1,462,800
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
310,000 General Electric Company......................... $
15,422,500
23,100 Grainger, W.W., Inc..............................
1,501,500
33,000 Illinois Tool Works, Inc.........................
1,427,250
57,000 Thermo Electron Corporation+.....................
2,557,875
17,000 Thomas & Betts Corporation.......................
1,096,500
-------
- -----
28,730,025
-------
- -----
UTILITIES -- 6.0%
22,000 ALC Communications Corporation, New+.............
786,500
244,000 AT & T Corporation...............................
13,359,000
65,000 Cincinnati Bell, Inc.............................
1,226,875
69,200 GTE Corporation..................................
2,197,100
39,300 Hong Kong Telcom, Ltd., Sponsored ADR............
854,775
147,600 MCI Communications Corporation...................
3,588,524
63,100 Sprint Corporation...............................
2,500,338
84,000 Teco Energy, Inc.................................
1,659,000
17,600 Telefonos de Mexico S.A., ADR....................
1,104,400
-------
- -----
27,276,512
-------
- -----
BASIC INDUSTRIES -- 5.2%
78,000 Alliedsignal, Inc................................
2,915,250
54,000 Bemis, Inc.......................................
1,323,000
53,700 General Signal Corporation.......................
1,933,200
24,000 Great Lakes Chemical Corporation.................
1,446,000
30,896 Grupo Tribasa, ADR...............................
1,054,326
27,500 Kimberly Clark Corporation.......................
1,632,812
115,400 Lawter International, Inc........................
1,413,650
31,400 Louisiana Pacific Corporation....................
1,114,700
40,800 Morton International, Inc........................
1,208,700
28,700 Nalco Chemical Company...........................
972,213
25,821 Newmont Manufacturing Corporation................
1,107,074
21,000 Nucor Corporation................................
1,449,000
54,000 PPG Industries, Inc..............................
2,247,750
85,500 WMX Technologies, Inc............................
2,565,000
63,400 Worthington Industries, Inc......................
1,363,100
-------
- -----
23,745,775
-------
- -----
CONSUMER SERVICES -- 3.5%
36,500 Alco Standard Corporation........................
2,381,625
84,300 Browning Ferris Industries, Inc..................
2,665,988
36,000 Danka Business Systems, Sponsored ADR............
738,000
46,700 Ecolab, Inc......................................
1,079,937
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
12,300 Fingerhut Companies, Inc......................... $
352,087
81,000 Harland (John H.) Company........................
1,711,125
27,000 Hospitality Franchise Systems, Inc.+.............
793,125
13,500 Manpower, Inc....................................
357,750
76,000 Office Depot, Inc.+..............................
1,805,000
62,000 Pitney Bowes, Inc................................
2,387,000
64,300 Sysco Corporation................................
1,647,688
-------
- -----
15,919,325
-------
- -----
ENTERTAINMENT -- 3.1%
50,000 Blockbuster Entertainment Corporation............
1,293,750
25,700 Carnival Corporation, Class A....................
1,140,438
100,500 Disney, (Walt) Company...........................
4,133,062
65,000 Mirage Resorts, Inc.+............................
1,373,125
90,100 Promus Companies, Inc.+..........................
3,311,175
80,000 Time Warner, Inc.................................
3,050,000
-------
- -----
14,301,550
-------
- -----
ENERGY -- 2.6%
12,700 Atlantic Richfield Company.......................
1,360,488
38,500 Burlington Resources, Inc........................
1,448,562
109,900 Enron Corporation................................
3,351,950
38,800 Phillips Petroleum Company.......................
1,285,250
40,000 Pittston Services Group..........................
1,115,000
43,800 Tenneco, Inc.....................................
2,157,150
46,000 Unocal Corporation...............................
1,316,750
-------
- -----
12,035,150
-------
- -----
TRANSPORTATION -- 1.5%
20,000 Burlington Northern, Inc.........................
1,050,000
50,000 Santa Fe Pacific Corporation.....................
1,075,000
80,000 Southwest Airlines Company.......................
2,120,000
4,000 UAL Corporation..................................
404,000
28,600 Union Pacific Corporation........................
1,648,075
14,000 Werner Enterprises, Inc..........................
353,500
-------
- -----
6,650,575
-------
- -----
BROADCASTING -- 1.3%
36,500 Capital Cities ABC, Inc..........................
3,061,438
60,300 Comcast Corporation, Class A.....................
964,800
82,100 Tele Communications, Inc. Class A+...............
1,852,381
-------
- -----
5,878,619
-------
- -----
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TELECOMMUNICATIONS -- 1.7%
35,000 AirTouch Communications+......................... $
988,750
69,800 DSC Communications Corporation+..................
1,998,025
42,000 Ericsson (LM) Tel B, ADR.........................
2,273,250
48,400 McCaw Cellular Communications+...................
2,619,650
-------
- -----
7,879,675
-------
- -----
PUBLISHING -- 1.1%
26,800 Dun & Bradstreet Corporation.....................
1,544,350
22,800 Gannett, Inc.....................................
1,140,000
15,800 McGraw Hill, Inc.................................
1,100,075
22,000 Tribune Company, New.............................
1,182,500
-------
- -----
4,966,925
-------
- -----
RESTAURANTS -- 1.0%
30,000 Brinker International, Inc.+.....................
727,500
55,300 Luby's Cafeterias, Inc...........................
1,299,550
50,000 McDonald's Corporation...........................
1,412,500
86,800 Shoneys, Inc.+...................................
1,182,650
-------
- -----
4,622,200
-------
- -----
CONSUMER DURABLES -- 0.7%
29,200 Corning, Inc.....................................
901,550
18,500 Harley Davidson, Inc.............................
1,045,250
44,700 Masco Corporation................................
1,240,425
-------
- -----
3,187,225
-------
- -----
COMPUTER SERVICES -- 0.5%
55,000 Automatic Data Processing, Inc...................
2,976,875
-------
- -----
OTHER -- 0.3%
32,000 Equity Residential...............................
1,056,000
15,000 Loewen Group, Inc................................
376,875
-------
- -----
1,432,875
-------
- -----
TOTAL COMMON STOCKS (Cost $395,880,936)..........
420,823,758
-------
- -----
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- ---------
<C> <S> <C>
U.S. TREASURY BILL -- 0.2% (Cost $997,574)
$1,000,000 U.S.Treasury Bill, 4.160%# due 9/22/94++.........
997,574
-------
- -----
COMMERCIAL PAPER -- 0.2% (Cost $815,000)
815,000 General Electric Capital Corporation, 4.750% due
9/1/94.........................................
815,000
-------
- -----
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- --------- -------
- -----
<C> <S> <C>
REPURCHASE AGREEMENT -- 7.1% (Cost $32,415,000)
$32,415,000 Agreement with Morgan Stanley and Company, 4.650%
dated 8/31/94 to be repurchased at $32,419,187
on 9/1/94, collateralized by $33,475,000 U.S.
Treasury Note, 4.250% due 12/31/95............. $
32,415,000
-------
- -----
</TABLE>
<TABLE>
<CAPTION>
TOTAL INVESTMENTS (Cost $430,108,510*).........................
99.4% 455,051,332
CONTRACTS
- ---------
FUTURES CONTRACTS -- LONG POSITION -- 4.0% (CONTRACT AMOUNT $17,702,475)
<C> <S> <C>
<C>
77 S&P 500 Index Futures, September 1994
4.0% 18,252,850
OTHER ASSETS AND LIABILITIES (NET).............................
(3.4%) (15,716,203)
- ------- ------------
NET ASSETS.....................................................
100.0% $457,587,979
- -------
- ------- ------------
- ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ This security has been pledged as collateral for futures contracts in
accordance with the prospectus.
# Represents annualized yield to maturity (unaudited).
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Large Capitalization Growth Investments securities held at August 31,
1994 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Futures Contracts, U.S. Treasury Bill, Commercial
Paper, Repurchase Agreements, and Net Other Assets and
Liabilities 8.1%
Other Common Stocks 17.3%
Basic Industries 5.2%
Utilities 6.0%
Capital Goods 6.3%
Retail 8.3%
Financial Services 9.4%
Health Care 11.1%
Technology 13.4%
Consumer Products 14.9%
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ---------- -------
- -----
<C> <S> <C>
COMMON STOCKS -- 97.2%
BANKING AND FINANCIAL SERVICES -- 22.1%
62,000 Alex Brown Inc.................................. $
1,782,500
80,000 American Bankers Insurance Group Inc............
1,720,000
80,000 American Health Properties Inc..................
1,800,000
54,000 Boston Bancorp..................................
2,025,000
57,000 Capstead Mortgage Corporation...................
1,560,375
270,000 Collective Bancorp Inc..........................
5,535,000
86,300 Commercial Federal Corporation+.................
2,286,950
33,400 Compass Bancshares Inc..........................
835,000
113,000 Coral Gables Fedcorp Inc........................
2,415,375
116,100 Cullen Frost Bankers Inc........................
4,411,800
37,500 Dauphin Deposit Corporation.....................
946,875
55,000 Deposit Guaranty Corporation....................
1,801,250
63,000 Eaton Vance Corporation.........................
2,063,250
103,700 First America Corporation, Tennessee............
3,564,688
75,000 First American Financial Corporation,
California....................................
1,696,875
161,400 First Commerce Corporation......................
4,559,550
90,000 First Financial Corporation, Wisconsin..........
1,428,750
37,500 FirsTier Financial Inc..........................
1,293,750
115,000 Fleet Mortgage Group Inc........................
2,070,000
71,000 Fremont General Corporation.....................
1,828,250
210,000 Hibernia Corporation............................
1,732,500
75,000 Inter-Regional Financial Group Inc..............
1,996,875
59,000 Jefferies Group Inc.............................
2,153,500
10,000 Keystone Financial Inc..........................
300,000
95,000 Magna Group Inc.................................
1,959,375
43,000 McGrath Rent Corporation........................
655,750
128,200 Mid Ocean Ltd...................................
3,333,200
50,000 Morgan Keegan Inc...............................
668,750
63,000 ONBANcorp Inc...................................
1,921,500
62,000 Orion Capital Corporation.......................
2,015,000
1,700 Raymond James Financial Inc.....................
27,200
83,700 Rockefeller Center Properties Inc...............
491,738
139,100 Standard Federal Bank, Troy, Michigan...........
3,842,637
107,000 Stewart Information Services Corporation........
1,819,000
102,000 The Money Store Inc.............................
2,040,000
132,700 Union Planters Corporation......................
3,417,025
43,000 Zions Bancorp...................................
1,741,500
-------
- -----
75,740,788
-------
- -----
CAPITAL GOODS -- 9.9%
45,000 AGCO Corporation................................
2,227,500
132,200 Centex Corporation..............................
3,503,300
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ---------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
90,000 Continental Homes Holding Corporation........... $
1,248,750
93,000 Crane Company...................................
2,429,625
4,500 Douglas & Lomason Company.......................
72,000
140,000 Fisher Scientific International Inc.............
4,672,500
80,000 Harman International Industries, Inc............
2,440,000
156,500 International Power Machines Corporation........
606,438
229,000 Kaufman & Broad Home Corporation................
3,549,500
54,000 Kysor Industrial Corporation....................
1,066,500
90,000 Lennar Corporation..............................
1,777,500
75,900 Oakwood Homes Corporation.......................
2,134,687
75,000 Smith, (A. O.) Corporation......................
2,062,500
78,000 Sturm Ruger & Company Inc.......................
2,047,500
90,000 Varlen Corporation..............................
1,957,500
105,000 Wyle Labs.......................................
2,060,625
-------
- -----
33,856,425
-------
- -----
BASIC INDUSTRIES -- 8.7%
100,000 Amcast Industrial Corporation...................
2,125,000
45,000 Cleveland Cliffs Inc............................
1,878,750
156,000 Delta Woodside Industries Inc...................
1,813,500
95,000 Guilford Mills Inc..............................
1,852,500
231,800 Harnischfeger Industries Inc....................
5,360,375
189,200 Oregon Steel Mills Inc..........................
3,547,500
75,500 Oxford Industries Inc...........................
2,151,750
87,000 Pope & Talbot Inc...............................
1,914,000
325,000 Scotts Company, Class A.........................
5,200,000
39,900 Tecumseh Products Company, Class A..............
1,955,100
67,000 Vigoro Corporation..............................
1,951,375
-------
- -----
29,749,850
-------
- -----
HEALTH CARE -- 7.7%
180,000 ADAC Labs.......................................
1,440,000
39,300 Allied Healthcare Products Inc..................
618,975
204,000 Bergen Brunswig Corporation, Class A............
3,060,000
145,000 Bindley Western Industries Inc..................
2,084,375
58,000 Coventry Corporation............................
1,247,000
107,000 Fays Inc........................................
842,625
122,000 Foundation Health Corporation...................
4,620,750
90,000 Herbalife International Inc.....................
1,901,250
145,100 Lincare Holdings Inc............................
3,591,225
149,500 Physician Corporation of America................
3,139,500
126,700 Universal Health Services Inc., Class B.........
3,658,463
-------
- -----
26,204,163
-------
- -----
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ---------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
ENERGY -- 7.4%
71,000 Diamond Shamrock Inc............................ $
1,908,125
537,400 Oceaneering International Inc...................
7,187,725
145,000 Offshore Logistics Inc..........................
2,030,000
60,000 Phoenix Resource Companies Inc..................
1,755,000
230,000 Production Operators Corporation................
5,750,000
160,000 Tosco Corporation...............................
4,800,000
150,000 Total Petroleum North America Ltd...............
1,931,250
-------
- -----
25,362,100
-------
- -----
CONSUMER DURABLES -- 5.2%
180,000 Ethan Allen Interiors Inc.......................
4,455,000
220,800 Fleetwood Enterprises Inc.......................
5,823,600
14,000 General Housewares Corporation..................
150,500
66,000 Standard Products Company.......................
1,823,250
110,000 Stant Corporation...............................
1,691,250
148,000 Toro Company....................................
3,792,500
-------
- -----
17,736,100
-------
- -----
RETAIL -- 5.1%
45,000 Blair Corporation...............................
2,070,000
70,000 Haggar Corporation..............................
1,872,500
134,100 Hannaford Brothers Company......................
3,201,637
217,000 Medicine Shoppe International Inc...............
5,642,000
170,000 Shopko Stores Inc...............................
1,678,750
33,000 Strawbridge/Clothier Company....................
759,000
100,000 Venture Stores Inc..............................
1,850,000
16,500 Wolohan Lumber Company..........................
268,125
-------
- -----
17,342,012
-------
- -----
ELECTRONICS -- 4.8%
33,000 Cubic Corporation...............................
639,375
292,100 Exide Electronics Group Inc.....................
6,499,225
27,000 Joslyn Corporation..............................
816,750
70,000 Logicon Inc.....................................
2,178,750
140,000 Pioneer Standard Electronics Inc................
2,397,500
92,400 Vishay Intertechnology Inc......................
3,973,200
-------
- -----
16,504,800
-------
- -----
CONSUMER SERVICES -- 4.5%
71,000 Enterra Corporation.............................
1,562,000
73,000 First Brands Corporation........................
2,536,750
84,500 Gibson Greetings Inc............................
1,320,312
35,000 Marsh Supermarkets Inc., Class B................
376,250
44,000 Nash Finch Company..............................
792,000
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ---------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
90,000 Ruddick Corporation............................. $
1,800,000
105,000 Ryland Group Inc................................
1,850,625
128,200 Stewart Enterprises Inc., Class A...............
3,205,000
155,100 Super Food Services Inc.........................
1,841,813
-------
- -----
15,284,750
-------
- -----
TECHNOLOGY -- 4.4%
1,038,100 Applied Magnetics Corporation...................
4,411,925
60,800 Aydin Corporation...............................
638,400
90,000 Comdisco Inc....................................
1,968,750
125,000 Computer Data Systems Inc.......................
1,578,125
155,900 Kaman Corporation, Class A......................
1,500,537
134,200 Macneal Schwendler Corporation..................
1,778,150
21,000 MTS Systems Corporation.........................
477,750
28,600 Park Electrochemical Corporation................
993,850
90,000 Quixote Corporation.............................
1,822,500
-------
- -----
15,169,987
-------
- -----
UTILITIES -- 3.7%
56,000 Central Hudson Gas & Electic Corporation........
1,442,000
43,000 Commonwealth Energy Systems.....................
1,736,125
66,000 Eastern Utilities Association...................
1,633,500
85,000 Energen Corporation.............................
1,901,875
32,500 Iowa-Illinois Gas & Electric....................
702,813
43,000 Orange/Rockland Utilities Inc...................
1,311,500
31,000 Southern California Water Company...............
550,250
40,000 Southern Indiana Gas & Electric Company.........
1,120,000
77,000 Swift Energy Company............................
837,375
44,000 United Illuminating Company.....................
1,446,500
-------
- -----
12,681,938
-------
- -----
RESTAURANTS -- 3.2%
86,300 IHOP Corporation................................
2,589,000
81,700 Sbarro Inc......................................
3,073,962
735,900 Sizzler International Inc.......................
5,243,288
-------
- -----
10,906,250
-------
- -----
CONSUMER NON-DURABLES -- 3.1%
73,000 Armor All Products Corporation..................
1,578,625
120,000 Ennis Business Forms Inc........................
1,710,000
27,000 Garan Inc.......................................
513,000
110,000 International Multifoods Corporation............
1,842,500
100,000 Monk Austin Inc.................................
1,400,000
33,000 Thorn Apple Valley Inc..........................
808,500
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ---------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER NON-DURABLES (CONTINUED)
200,000 Topps Inc....................................... $
1,425,000
140,000 United Stationers Inc...........................
1,330,000
-------
- -----
10,607,625
-------
- -----
TRANSPORTATION -- 2.6%
75,000 American President Companies Ltd................
1,978,125
55,000 Oshkosh Truck Corporation, Class B..............
605,000
60,600 PHH Corporation.................................
2,234,625
137,700 Rollins Truck Leasing Corporation...............
2,409,750
100,000 Sea Containers Ltd., Class A....................
1,700,000
-------
- -----
8,927,500
-------
- -----
LEISURE -- 1.7%
28,000 Club Med Inc....................................
675,500
130,000 Coachmen Industries Inc.........................
1,885,000
150,000 Handleman Company...............................
1,593,750
120,000 Showboat Inc....................................
1,740,000
-------
- -----
5,894,250
-------
- -----
MANUFACTURING -- 1.5%
177,000 Hayes Wheels International Inc..................
4,336,500
46,500 Scotsman Industries Inc.........................
738,188
-------
- -----
5,074,688
-------
- -----
AEROSPACE -- 1.1%
130,000 GenCorp Inc.....................................
1,885,000
80,000 Thiokol Corporation.............................
2,050,000
-------
- -----
3,935,000
-------
- -----
PUBLISHING -- 0.5%
81,700 Bowne & Company, Inc............................
1,787,187
-------
- -----
TOTAL COMMON STOCKS (Cost $333,365,566).......
332,765,413
-------
- -----
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ---------- -------
- -----
<C> <S> <C>
COMMERCIAL PAPER -- 2.5%
$6,106,000 Ford Motor Credit Corporation
4.700% due 9/1/94............................. $
6,106,000
2,452,000 General Electric Capital Corporation
4.750% due 9/1/94.............................
2,452,000
-------
- -----
TOTAL COMMERCIAL PAPER (Cost $8,558,000)......
8,558,000
-------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $341,923,566*).............. 99.7%
341,323,413
OTHER ASSETS AND LIABILITIES (NET).................. 0.3
1,064,091
--------- ---
- ---------
NET ASSETS.......................................... 100.0%
$342,387,504
--------- ---
- ---------
--------- ---
- ---------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Small Capitalization Value Equity Investments securities held at August
31,
1994 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Commercial Paper and Net Other Assets and Liabilities 2.8%
Other Common Stocks 17.4%
Technology 4.4%
Consumer Services 4.5%
Electronics 4.8
Retail 5.1%
Consumer Durables 5.2%
Energy 7.4%
Health Care 7.7%
Basic Industries 8.7%
Capital Goods 9.9%
Banking and Financial Services 22.1%
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- ------
- -----
<C> <S> <C>
COMMON STOCKS -- 91.5%
HEALTH CARE -- 24.8%
111,200 Coventry Corporation+........................... $
2,390,800
30,000 Genesis Health Ventures Inc.+...................
791,250
193,100 Health Management Association Inc., Class A+....
4,610,263
120,200 Healthsource Inc.+..............................
3,936,550
123,300 Horizon Healthcare Corporation+.................
3,128,737
78,200 Integrated Health Services Inc.+................
2,844,525
107,350 Lam Research Corporation+.......................
3,810,925
54,800 Mariner Health Group Inc.+......................
1,246,700
75,400 Medaphis Corporation+...........................
2,657,850
100,500 Mid-Atlantic Medical Services Inc.+.............
2,663,250
77,900 Omnicare Inc. ..................................
3,057,575
54,800 PhyCor Inc.+....................................
1,691,950
96,500 Quantum Health Resources Inc.+..................
3,461,938
61,100 Sun Healthcare Group Inc. ......................
1,374,750
49,746 Value Health Inc.+..............................
2,449,990
106,200 Vencor Inc.+....................................
4,513,500
------
- -----
44,630,553
------
- -----
TECHNOLOGY -- 24.1%
46,600 ANTEC Corporation+..............................
1,759,150
103,800 Atmel Corporation+..............................
2,854,500
63,700 Avid Technology Inc.+...........................
2,118,025
28,500 Broderbund Software Inc. .......................
1,581,750
100,000 Cambridge Technology Partners...................
1,500,000
60,000 CIDCO Inc.+.....................................
1,500,000
57,600 Cornerstone Imaging Inc.+.......................
1,080,000
62,400 FTP Software+...................................
1,201,200
57,100 Gentex Corporation+.............................
1,256,200
34,300 Glenayre Technologies Inc.+.....................
1,946,525
62,500 KLA Instruments Corporation+....................
2,968,750
74,100 Level One Communications Inc.+..................
1,741,350
27,000 Maxim Intergrated Products Inc.+................
1,640,250
53,200 Megatest Corporation+...........................
1,024,100
60,050 Microchip Technology Inc.+......................
2,206,838
84,000 NetManage Inc.+.................................
1,575,000
48,900 Novellus System Inc.+...........................
2,163,825
41,600 Oak Industries +................................
1,118,000
35,300 PeopleSoft Inc.+................................
1,579,675
86,000 Tellabs Inc.+...................................
3,622,750
59,500 Tencor Instruments..............................
1,532,125
49,000 Three-Five Systems Inc.+........................
1,911,000
39,600 Ultratech Stepper Inc.+.........................
1,158,300
130,100 Viewlogic Systems Inc.+.........................
2,406,850
------
- -----
43,446,163
------
- -----
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- ------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
COMPUTERS -- 13.1%
72,100 Acxiom Corporation+............................. $
1,982,750
49,200 Catalina Marketing+.............................
2,533,800
49,900 Chipcom Corporation+............................
2,813,112
112,800 IMRS Inc.+......................................
3,496,800
55,500 Landmark Graphics Corporation+..................
1,332,000
35,200 Micros Systems Inc. ............................
1,117,600
103,700 Micro Warehouse Inc.+...........................
2,825,825
32,400 StrataCom Inc.+.................................
1,231,200
50,800 Synopys Inc.+...................................
2,108,200
74,000 Systems & Computer Technology...................
1,369,000
36,200 Wall Data Inc.+.................................
1,411,800
77,800 Wonderware Corporation+.........................
1,458,750
------
- -----
23,680,837
------
- -----
CONSUMER SERVICES -- 7.0%
95,900 ALC Communications Corporation+.................
3,428,425
33,900 Aspect Telecommunications Corporation+..........
1,254,300
119,700 Cognex Corporation+.............................
2,274,300
117,825 Tetra Technologies+.............................
2,739,431
103,200 Viking Office Products Inc.+....................
2,967,000
------
- -----
12,663,456
------
- -----
RETAIL -- 5.6%
38,200 Ann Taylor Stores Corporation...................
1,580,525
61,100 Bed Bath & Beyond Inc.+.........................
1,794,813
50,200 Gymboree Corporation+...........................
1,280,100
67,800 Mens Wearhouse Inc.+............................
1,508,550
68,700 Sunglass Hut International Inc.+................
2,576,250
32,300 Tommy Hilfiger Corporation Inc.+................
1,352,562
------
- -----
10,092,800
------
- -----
RESTAURANTS -- 3.2%
92,950 Apple South Inc. ...............................
1,487,200
69,700 Hometown Buffet Inc. ...........................
923,525
45,050 Outback Steakhouse Inc.+........................
1,368,394
105,433 ShoLodge Inc.+..................................
1,950,511
------
- -----
5,729,630
------
- -----
LEISURE -- 2.9%
56,050 Acclaim Entertainment Inc.+.....................
952,850
63,500 Callaway Golf Company...........................
2,309,812
49,000 Sports & Recreational Inc.+.....................
1,960,000
------
- -----
5,222,662
------
- -----
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- ------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES -- 2.4%
58,900 Credit Acceptance Corporation, Michigan+........ $
1,796,450
76,600 Fair Issac & Company, Inc. .....................
2,527,800
------
- -----
4,324,250
------
- -----
ENERGY SERVICES -- 2.3%
60,000 American Power Conversion Corporation+..........
1,170,000
139,500 Input/Output Inc.+..............................
2,999,250
------
- -----
4,169,250
------
- -----
TRANSPORTATION -- 2.0%
49,250 Wabash National Corporation.....................
2,099,281
35,100 Wisconsin Central Transporation Corporation+....
1,404,000
------
- -----
3,503,281
------
- -----
BASIC INDUSTRIES -- 1.3%
97,200 Schuler Homes, Inc.+............................
2,308,500
------
- -----
PHARMACEUTICALS -- 0.4%
70,000 Dura Pharmaceuticals Inc. ......................
752,500
------
- -----
OTHER -- 2.4%
58,500 Cyrk Inc.+......................................
1,389,375
44,400 Express Scripts Inc, Class A....................
1,531,800
50,100 Papa Johns International Inc. ..................
1,427,850
------
- -----
4,349,025
------
- -----
TOTAL COMMON STOCKS (Cost $136,864,799).........
164,872,907
------
- -----
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- -----------
<C> <S> <C>
COMMERCIAL PAPER -- 5.3%
$ 285,000 Ford Motor Credit Corporation, 4.700% due
9/1/94........................................
285,000
9,277,000 General Electric Capital Corporation, 4.750% due
9/1/94........................................
9,277,000
------
- -----
TOTAL COMMERCIAL PAPER (Cost $9,562,000)........
9,562,000
------
- -----
REPURCHASE AGREEMENT -- 5.2% (Cost $9,277,000)
9,277,000 Agreement with Morgan Stanley, 4.650% dated
8/31/94, to be repurchased at $9,278,198 on
9/1/94, collateralized by $9,605,000 U.S.
Treasury Note, 6.375% due 1/15/00.............
9,277,000
------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $155,703,799*)............ 102.0 %
183,711,907
OTHER ASSETS AND LIABILITIES (NET)................ (2.0 )
(3,536,898)
------ --------
- ---
NET ASSETS........................................ 100.0%
$180,175,009
------ --------
- ---
------ --------
- ---
<FN>
- ---------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Small Capitalization Growth Investments securities held at August 31,
1994 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Commercial Paper, Repurchase Agreement and Net Other
Assets and Liabilities 8.5%
Other Common Stocks 13.7%
Restaurants 3.2%
Retail 5.6%
Consumer Services 7.0%
Computers 13.1%
Technology 24.1%
Health Care 24.8%
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
<C> <S> <C>
COMMON STOCKS -- 94.5%
JAPAN -- 38.4%
757,000 Daiei Inc...................................... $
13,313,880
725 Daito Trust Construction Company...............
15,069
896,000 Daiwa Securities...............................
14,057,360
1,823 DDI Corporation................................
18,763,767
417,000 Hokuetsu Bank..................................
2,566,923
101,000 Ito-Yokado Company.............................
5,349,256
433,000 Keiyo Bank Ltd.................................
2,989,937
287,000 Komori Corporation.............................
7,800,939
134,000 Kyocera Corporation............................
9,935,845
232,300 Matsuzakaya Company............................
3,203,498
737,000 NEC Corporation................................
8,985,110
1,117,000 Nichido Fire & Marine..........................
10,068,292
832,000 Nikon Corporation..............................
8,314,180
2,874,000 Nippon Steel...................................
10,769,961
726 Nippon Telephone & Telegraph Corporation.......
6,616,488
1,732,000 Nissan Motor Company...........................
13,344,379
403,000 Ohbayashi -- Gumi..............................
2,931,788
958,000 Oji Paper Company..............................
9,764,765
637,000 Okumura Corporation............................
5,608,044
300,000 Pioneer Electric Corporation...................
8,184,271
976,000 Sasebo Heavy Industries Company................
3,852,503
1,352,000 Sharp Corporation..............................
24,589,188
211,600 Sony Corporation...............................
12,919,716
252,000 Sumitomo Bank..................................
5,011,292
1,194,000 Sumitomo Realty and Development Corporation....
7,839,093
233,700 Tokyo Ohka Kogyo...............................
8,874,388
334,000 Toshiba Corporation............................
2,533,287
-------
- -----
228,203,219
-------
- -----
UNITED KINGDOM -- 9.0%
11,352,060 ASDA Group Plc.................................
11,598,845
1,560,200 BPB Industries.................................
7,766,828
1,693,300 British Telecommunications.....................
7,024,511
15,700 Cable and Wireless.............................
113,917
278,400 Huntingdon International Holdings Company,
ADR..........................................
1,496,400
3,043,900 Pilkington.....................................
9,143,144
3,363,100 Sears Holdings.................................
6,278,191
983,700 Storehouse.....................................
3,325,093
2,138,300 Vodafone Group.................................
6,817,186
-------
- -----
53,564,115
-------
- -----
GERMANY -- 7.2%
17,604 Daimler Benz AG................................
9,335,666
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
GERMANY (CONTINUED)
8,297 Kaufhof AG..................................... $
2,821,269
58,935 Mannesmann AG..................................
16,390,218
7,953 Schering AG....................................
4,779,102
29,676 Volkswagen AG..................................
9,367,412
-------
- -----
42,693,667
-------
- -----
ITALY -- 7.0%
5,470,866 Fiat S.p.A.....................................
22,657,165
4,684,900 Pirelli S.p.A..................................
7,692,678
55,355 Rinascente.....................................
349,389
3,788,267 Telecom Italia S.p.A...........................
11,074,456
-------
- -----
41,773,688
-------
- -----
FRANCE -- 6.3%
19,585 Canal Plus.....................................
3,360,411
112,880 Compagnie Bancaire S.A.........................
10,864,494
194,274 Michelin.......................................
8,532,997
57,269 Peugeot S.A....................................
9,200,861
112,800 Rhone -- Poulenc S.A., Class A.................
2,866,611
37,785 Societe National Elf Aquitaine.................
2,909,390
-------
- -----
37,734,764
-------
- -----
SWEDEN -- 5.2%
368,590 Astra AB (Free), Series A+.....................
8,399,824
203,560 Astra AB (Free), Series B+.....................
4,612,586
452,320 SKF Group AB (Free), Series B..................
8,140,940
1,670,360 Skandinaviska Enskilda Banken, Series A+.......
9,797,657
-------
- -----
30,951,007
-------
- -----
HONG KONG -- 3.7%
1,510,000 Cheung Kong Holdings...........................
7,640,178
13,800 Hong Kong Telecom Ltd., ADR....................
300,150
1,602,000 Hutchison Whampoa..............................
8,022,749
28,400 Jardine Matheson...............................
267,363
36,500 Swire Pacific, Series A........................
307,012
1,295,000 Wharf Holdings.................................
5,563,622
-------
- -----
22,101,074
-------
- -----
MALAYSIA -- 3.5%
543,000 Genting Berhad.................................
5,092,614
886,500 Magnum Corporation Berhad......................
2,009,261
775,600 Malaysian Helicopter...........................
1,909,449
1,272,000 Renong Berhad+.................................
1,918,687
211,000 Resorts World Berhad...........................
1,385,229
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
MALAYSIA (CONTINUED)
1,939,000 Technology Resources Ltd.+..................... $
8,107,581
26,000 Telekom Malaysia...............................
217,429
-------
- -----
20,640,250
-------
- -----
CANADA -- 3.0%
100 Canadian Pacific Ltd., ADR.....................
1,763
626,900 Echo Bay Mines Ltd., ADR.......................
7,992,975
182,400 Macmillan Bloedel Ltd., ADR....................
2,644,800
320,000 Placer Dome Ltd., ADR..........................
7,280,000
-------
- -----
17,919,538
-------
- -----
AUSTRALIA -- 2.8%
1,585,861 Australia & New Zealand Bank Group.............
4,640,981
25 Pioneer International Ltd......................
62
385,323 The News Corporation...........................
2,616,808
1,600,000 Western Mining Corporation Holdings............
9,555,348
-------
- -----
16,813,199
-------
- -----
SPAIN -- 2.7%
153,610 Banco de Santander.............................
6,233,143
662,000 Iberdrola S.A..................................
4,451,780
400,460 Telefonica De Espana...........................
5,554,294
-------
- -----
16,239,217
-------
- -----
NEW ZEALAND -- 2.5%
2,544,221 Carter Holt Harvey.............................
6,113,706
1,458,893 Fisher & Paykel................................
3,707,769
1,870,500 Fletcher Challenge.............................
4,708,806
358,600 Fletcher Challenge (Forest Division)+..........
496,724
-------
- -----
15,027,005
-------
- -----
NETHERLANDS -- 2.3%
272,580 Philips Electronics N.V........................
8,852,894
71,020 Wolters Kluwer.................................
4,889,508
-------
- -----
13,742,402
-------
- -----
SINGAPORE -- 0.8%
178,000 Fraser & Neave.................................
2,052,933
5,800 Genting International Plc......................
6,922
400,000 Keppel Corporation.............................
2,960,000
-------
- -----
5,019,855
-------
- -----
TOTAL COMMON STOCKS (Cost $469,977,598)........
562,423,000
-------
- -----
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- -----
RIGHTS AND WARRANTS -- 0.4%
<C> <S> <C>
420 Ciba Geigy AG, Warrants,
Expire 6/6/95+............................... $
2,288
1,290,266 Fiat S.p.A., Warrants,
Expire 12/31/94+.............................
2,232,937
2,225 Michelin, Warrants,
Expire 12/31/95+.............................
2,697
200,000 Western Mining Corporation Holdings Ltd.,
Rights
Expire 9/2/94+...............................
318,710
-------
- -----
TOTAL RIGHTS AND WARRANTS (Cost $1,917,669)....
2,556,632
-------
- -----
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- -----------
<C> <S> <C>
CONVERTIBLE NOTE -- 0.1% (Cost $681,257)
$ 4,055,520 Michelin, Note, 2.500% due 1/1/01...............
750,647
------
- -----
COMMERCIAL PAPER -- 4.0% (Cost $23,456,000)
23,456,000 General Electric Capital Corporation, 4.750% due
9/1/94........................................
23,456,000
------
- -----
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $496,032,524*)........... 99.0%
589,186,279
OTHER ASSETS AND LIABILITIES (NET)............... 1.0
5,778,709
-------- -------
- -----
NET ASSETS....................................... 100.0%
$594,964,988
--------
-------- -------
- -----
-------
- -----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
At August 31,1994, sector diversification of the Portfolio was as
follows
(unaudited):
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS
VALUE
- ---------------------------------------------------- -------- ----
- ---------
<S> <C> <C>
COMMON STOCKS:
Holding Companies & Financial Services............ 15.3% $
90,955,867
Durable Goods..................................... 13.8
82,225,391
Communications.................................... 9.1
54,139,855
Machinery......................................... 8.3
49,342,915
Basic Industries.................................. 5.8
34,538,496
Technology........................................ 5.2
30,827,307
Drugs & Chemicals................................. 5.0
29,532,511
Banking & Finance................................. 4.4
26,228,642
Mining & Metals................................... 4.4
26,042,936
Retail............................................ 4.3
25,616,837
Paper & Forest Products........................... 4.0
23,909,503
Transportation.................................... 3.7
22,261,373
Utilities......................................... 2.2
12,915,464
Insurance......................................... 1.7
10,068,292
Automobiles and Trucks............................ 1.6
9,200,861
Real Estate & Development......................... 1.3
7,854,162
Food and Beverage................................. 1.2
7,358,517
Leisure, Sporting & Recreation.................... 1.1
6,477,843
Construction...................................... 0.9
5,608,044
Consumer Services................................. 0.5
3,191,183
Non-Durable Goods................................. 0.4
2,052,933
Other............................................. 0.3
2,074,068
-------- ----
- ---------
Total Common Stocks................................. 94.5
562,423,000
Rights and Warrants................................. 0.4
2,556,632
Convertible Note.................................... 0.1
750,647
Commercial Paper.................................... 4.0
23,456,000
-------- ----
- ---------
Total Investments................................... 99.0
589,186,279
Other Assets and Liabilities (Net).................. 1.0
5,778,709
-------- ----
- ---------
Net Assets.......................................... 100.0% $
594,964,988
-------- ----
- ---------
-------- ----
- ---------
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- International Equity Investments securities held at August 31, 1994 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Other Countries 8.4%
Australia 2.8%
Canada 3.0%
Malaysia 3.5%
Hong Kong 3.7%
Sweden 5.2%
France 6.3%
Italy 7.0%
Germany 7.2%
United Kingdom 9.0%
Japan 38.4%
Rights and Warrants, Convertible Note, Commercial
Paper, Net Other Assets and Liabilities 5.5%
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
NET UNREALIZED
------------------------------------------
APPRECIATION/
CONTRACT LOCAL VALUE IN IN EXCHANGE
(DEPRECIATION)
VALUE DATE CURRENCY U.S. $ FOR U.S. $
OF CONTRACT
- ---------- -------- ----------- -----------
- ---------------
<C> <S> <C> <C> <C>
<C>
9/2/94 JPY 647,382,400 $ 6,469,296 $ 6,473,177
$ (3,881)
9/28/94 DEM 24,590,000 15,569,529 15,441,565
127,964
9/28/94 JPY 3,126,000,000 31,296,874 31,263,063
33,811
----------- -----------
- ---------------
$53,335,699 $53,177,805
$ 157,894
----------- -----------
- ---------------
----------- -----------
- ---------------
</TABLE>
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER
------------------------------------------
CONTRACT LOCAL VALUE IN IN EXCHANGE
VALUE DATE CURRENCY U.S. $ FOR U.S. $
- ---------- -------- ----------- -----------
<C> <S> <C> <C> <C>
<C>
9/2/94 JPY 80,661,669 $ 806,060 $ 807,505
$ 1,445
9/28/94 DEM 60,392,000 38,238,104 38,489,917
251,813
9/28/94 FRF 80,097,000 14,817,694 14,616,241
(201,453)
9/28/94 JPY 6,853,873,000 68,619,580 69,355,577
735,997
----------- -----------
- ---------------
$122,481,438 $123,269,240
$ 787,802
----------- -----------
- ---------------
----------- -----------
- ---------------
Net Unrealized Appreciation of Forward Foreign Exchange Contracts......
$ 945,696
- ---------------
- ---------------
</TABLE>
<TABLE>
<S> <C>
KEY TO CURRENCY ABBREVIATIONS
DEM German Deutschemark
FRF French Franc
JPY Japanese Yen
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ------------------ -------
- -----
<C> <S> <C>
FIXED INCOME INVESTMENTS -- 92.1%
UNITED KINGDOM -- 16.9%
GBP 3,000,000 Barclays, 6.500% due 2/15/04............ $
3,799,280
3,900,000 Government of United Kingdom, Series A,
7.000%
due 11/6/01...........................
5,503,420
2,000,000 Government of United Kingdom, Treasury,
6.750%
due 11/26/04..........................
2,708,953
3,000,000 KFW International Finance, 6.625% due
11/26/24..............................
3,906,424
3,000,000 Royal Bank of Scotland, 6.625% due
3/2/04................................
3,808,706
-------
- -----
19,726,783
-------
- -----
JAPAN -- 16.8%
JPY 500,000,000 European Investment Bank, 4.250% due
7/16/98...............................
5,011,492
528,000,000 Government of Japan, 5.100% due
6/20/96...............................
5,472,058
220,000,000 Inter-American Development Bank, 6.750%
due 2/20/01...........................
2,428,200
150,000,000 Japan Development Bank, 6.500% due
9/20/01...............................
1,644,349
500,000,000 International Bank Reconstruction and
Development, 4.500% due 12/22/97......
5,078,945
-------
- -----
19,635,044
-------
- -----
GERMANY -- 11.9%
DEM 5,000,000 L-Bank Global Bond, 6.000% due
5/10/99...............................
3,064,746
9,400,000 Treuhandanstalt, 6.375% due 7/1/99......
5,882,552
7,950,000 Treuhandanstalt, 7.125% due 1/29/03.....
4,966,076
-------
- -----
13,913,374
-------
- -----
CANADA -- 11.6%
CAD Government of Canada:
12,300,000 7.750% due 9/15/96....................
8,991,792
7,420,000 6.500% due 6/1/04.....................
4,623,120
-------
- -----
13,614,912
-------
- -----
FRANCE -- 11.0%
FRF 36,500,000 B-TAN, 7.000% due 11/12/99..............
6,632,249
15,000,000 Caisse Autonome Refinancement, 7.750%
due 12/6/99...........................
2,784,163
19,000,000 Caisse National D'Autoroute, 6.750% due
7/8/99................................
3,408,796
-------
- -----
12,825,208
-------
- -----
DENMARK -- 5.6%
DKR 40,200,000 Kingdom of Denmark, 9.000% due
11/15/00..............................
6,550,700
-------
- -----
NETHERLANDS -- 5.2%
NLG 10,925,000 Government of Netherlands, 6.750% due
2/15/99...............................
6,125,639
-------
- -----
SWEDEN -- 4.2%
SEK 18,400,000 10.750% due 1/23/97...................
2,392,977
17,800,000 13.000% due 6/15/01................... $
2,495,411
-------
- -----
4,888,388
-------
- -----
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ------------------ -------
- -----
FIXED INCOME INVESTMENTS (CONTINUED)
<C> <S> <C>
AUSTRALIA -- 4.1%
AUD 6,600,000 Government of Australia, 8.750% due
1/15/01...............................
4,825,241
-------
- -----
FINLAND -- 2.4%
FIN 14,000,000 Finnish Housing, 10.750% due 3/15/02....
2,800,439
-------
- -----
ITALY -- 2.1%
ITL 4,345,000,000 BTP, 8.500% due 1/1/99..................
2,461,215
-------
- -----
SPAIN -- 0.3%
ESP 50,700,000 Government of Spain, 8.300% due
12/15/98..............................
355,435
-------
- -----
TOTAL FIXED INCOME INVESTMENTS
(Cost $108,966,622)...................
107,722,378
-------
- -----
</TABLE>
<TABLE>
<C> <S> <C>
REPURCHASE AGREEMENT -- 1.0% (Cost $1,098,000)
$1,098,000 Agreement with Salomon Brothers, 4.65%,
dated 8/31/94, to be repurchased at
$1,098,412 on 9/1/94, collateralized
by $1,100,000 U.S. Treasury Note,
6.500% due 5/15/97....................
1,098,000
-------
- -----
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $110,064,622*).............. 93.1%
108,820,378
OTHER ASSETS AND LIABILITIES (NET).................. 6.9
8,109,098
-------- ----
- --------
NET ASSETS.......................................... 100.0%
$116,929,476
-------- ----
- --------
-------- ----
- --------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- International Fixed Income Investments securities held at August 31,
1994 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Repurchase Agreement and Net Other Assets and Other
Liabilities 7.9%
Finland 2.4%
Netherlands 5.2%
Sweden 4.2%
Australia 4.1%
Spain 0.3%
Italy 2.1%
Denmark 5.6%
Germany 11.9%
Canada 11.6%
France 11.0%
United Kingdom 16.9%
Japan 16.8%
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<C> <S> <C> <C> <C>
<C>
CONTRACTS TO RECEIVE
NET UNREALIZED
------------------------------------------
APPRECIATION/
CONTRACT LOCAL VALUE IN IN EXCHANGE
(DEPRECIATION)
VALUE DATE CURRENCY U.S. $ FOR U.S. $
OF CONTRACT
- ---------- -------- ----------- ------------
- --------------
9/1/94 DEM 19,371,675 $12,266,376 $12,346,055
$(79,679)
9/1/94 SEK 35,000,000 4,531,918 4,516,129
15,789
- --------------
$(63,890)
- --------------
- --------------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
<CAPTION>
CONTRACTS TO DELIVER
------------------------------------------
CONTRACT LOCAL VALUE IN IN EXCHANGE
VALUE DATE CURRENCY U.S. $ FOR U.S. $
- ---------- -------- ----------- ------------
<C> <S> <C> <C> <C>
<C>
9/1/94 DEM 26,445,240 $16,745,443 $16,804,406
$ 58,963
9/19/94 NLG 10,516,500 5,929,331 6,000,000
70,669
- --------------
$129,632
- --------------
- --------------
CROSS CURRENCY FORWARD FOREIGN EXCHANGE CONTRACTS
CONTRACTS TO DELIVER IN EXCHANGE
FOR
----------------------------------------- --------------
- -------
CONTRACT LOCAL VALUE IN LOCAL
VALUE IN
VALUE DATE CURRENCY U.S. $ CURRENCY
U.S. $
- ---------- -------- ---------- -------
- -----------
9/1/94 SEK 35,000,000 $4,531,918 DEM
7,073,565 $ 4,479,066 $ (52,852)
- ---------------
- ---------------
Net Unrealized Appreciation of Forward Foreign Exchange
Contracts............................... $ 12,890
- ---------------
- ---------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
KEY TO CURRENCY ABBREVIATIONS
AUD -- Australian Dollar FRF -- French Franc
CAD -- Canadian Dollar GBP -- Great Britain Pound
Sterling
DEM -- German Deutschemark ITL -- Italian Lire
DKR -- Danish Kroner JPY -- Japanese Yen
ESP -- Spanish Peseta NLG -- Netherland Guilder
FIN -- Finnish Markka SEK -- Swedish Krona
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- ----
<C> <S> <C>
COMMON STOCKS -- 73.1%
MEXICO -- 12.3%
100,000 Cifra S.A. de CV, Class C...................... $
269,776
8,000 Companhia Energetica De Minas Gerais, ADR+.....
238,651
8,000 Electra S.A. de CV, Series L+..................
25,407
30,000 Empresas La Modern, S.A. Class A...............
209,858
18,000 Grupo Carso S.A. de CV, Series A1+.............
206,405
8,000 Grupo Casa Autrey..............................
248,000
50,000 Grupo Financiero Banamex Accival, Class C......
380,756
150,000 Grupo Financiero Bancomer, Class C.............
202,774
8,000 Grupo Televisa S.A.............................
235,419
15,000 Grupo Tribasa S.A. ............................
254,575
41,500 International de Ceramica S.A., Class B........
269,481
20,000 Jugos Del Valle S.A. de CV+....................
111,098
12,000 Kimberly Clark De Mexico, Class A..............
249,705
317,500 Telefonos De Mexico, Series L..................
991,485
21,000 Tolmex S.A., Series B2.........................
291,632
38,000 Vitro SA.......................................
287,131
-------
- ----
4,472,153
-------
- ----
ARGENTINA -- 10.2%
160,000 Astra Cia Argentina De Petroleo................
350,523
40,806 Banco de Galicia y Buenos Aires................
327,787
12,000 Banco Del Sud S.A., Class B....................
198,069
10,000 Buenos Aires Embotelladora S.A., ADR...........
382,500
7,000 Central Costanera, ADR.........................
276,500
7,000 Central Puerto S.A., ADR++.....................
269,500
75,000 Establecimiento Modielo Tellabosi S.A., Class
B............................................
281,649
35,000 Fiplasto S.A.+.................................
196,069
42,000 Juan Minetti+..................................
249,986
15,055 Molinos Rio De La Plata........................
140,814
60,000 Perez Companc (Naviera)+.......................
339,119
10,000 Telecom Argentina+.............................
712,500
-------
- ----
3,725,016
-------
- ----
BRAZIL -- 8.5%
18,225,000 Banco De Brasil+...............................
478,430
1,000,000 Brasmotor S.A..................................
393,830
11,500 Companhia Siderurgica Tubarao, ADR+............
382,375
1,000,000 Electrobras (Centras Electicas) Brasilerias....
421,646
8,000 Sider Nacional Cia Spon, ADR+..................
310,464
13,000 Telebras, ADR..................................
763,750
8,500 Vale Rio Doce (Cia), ADR.......................
329,866
-------
- ----
3,080,361
-------
- ----
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
MALAYSIA -- 6.8%
47,000 Buildcon Berhad................................ $
214,889
60,000 Commerce Asset Holdings........................
288,394
120,000 Dunlop Estates Berhad..........................
400,938
46,000 Hong Leong Industries Berhad...................
251,661
160,000 Kamunting Corporation..........................
166,315
110,000 Kuala Lumpur Kepong Berhad.....................
296,600
48,000 Meta-Corp Berhad...............................
213,834
50,000 TA Enterprise Berhad...........................
339,977
38,000 Westmont Berhad................................
295,506
-------
- ----
2,468,114
-------
- ----
HONG KONG -- 6.6%
140,000 Cathay Pacific Airways.........................
235,516
140,000 Citic Pacific Ltd..............................
446,575
820,000 Continental Mariner Investment.................
186,757
64,000 Guoco Group....................................
322,994
98,000 Hong Kong Electric Holdings....................
346,843
29,600 Jardine Matheson...............................
278,660
820,000 Quingling Motor Company Ltd., H Shares+........
288,624
871,000 Yizheng Chem Fibre.............................
290,795
-------
- ----
2,396,764
-------
- ----
SINGAPORE -- 5.1%
134,000 Amcol Holdings.................................
296,587
225,000 Hitachi Zosen Singapore........................
271,500
160,000 Hotel Properties...............................
234,667
350,000 PCI Limited....................................
200,667
50,000 Singapore Land.................................
253,333
27,500 United Overseas Bank...........................
273,017
70,000 Van Der Horst+.................................
319,667
-------
- ----
1,849,438
-------
- ----
TAIWAN -- 3.9%
16,800 Hocheng, GDR++.................................
499,800
20,866 Microelectronics Technology, GDR+..............
276,474
20,600 Taiwan Fund Inc................................
656,625
-------
- ----
1,432,899
-------
- ----
INDONESIA -- 3.8%
104,000 Astra International............................
233,237
224,000 Indah Kiat Paper & Pulp........................
257,619
73,500 Panco Wiratama Sakti (Alien)+..................
184,278
20,000 Panco Wiratama Sakti (Local)+..................
43,243
110,000 Panin Bank.....................................
182,174
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
INDONESIA (CONTINUED)
61,200 Semen Cibinong................................. $
208,340
60,000 Tempo Scan Pacific+............................
278,781
-------
- ----
1,387,672
-------
- ----
THAILAND -- 3.7%
100,000 First Pacific Land.............................
130,791
11,000 International Cosmetics Public Company, Ltd....
246,006
30,000 Kang Yong Public+..............................
261,182
8,100 Loxley Public Company, Ltd.+...................
128,746
50,000 Thai Modern Plastics Industries................
201,677
13,000 United Communications Industry.................
375,879
-------
- ----
1,344,281
-------
- ----
KOREA -- 3.4%
20,000 Goldstar Electronics+..........................
455,000
9,405 Samsung Electric, GDR+.........................
738,293
1,040 The Korea Express Company......................
28,340
-------
- ----
1,221,633
-------
- ----
TURKEY -- 3.3%
420,000 Arcelik........................................
183,673
200,000 Cimentas+......................................
408,163
80,000 Ege Biracilik Ve Malt Sanayi...................
268,222
40,000 Migros.........................................
93,294
286,800 Netas..........................................
137,965
239,000 Netas, Class B+................................
125,423
-------
- ----
1,216,740
-------
- ----
INDIA -- 1.8%
11,000 DCV, GDR+......................................
196,625
5,000 Hindalco, GDR..................................
170,000
13,000..... Indian Aluminum, GDR+ ++.......................
154,310
14,000 Tube Investments of India, GDR+................
126,000
-------
- ----
646,935
-------
- ----
SRI LANKA -- 1.4%
15,000 Development Finance Corporation................
158,440
600,000 Distilleries of Sri Lanka Company..............
137,112
40,500 Hayleys........................................
215,539
-------
- ----
511,091
-------
- ----
VENEZUELA -- 1.4%
50,000 Ceramica Carabobo..............................
56,250
46,800 Mavesa S.A., ADR...............................
289,425
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- ----------- -------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
VENEZUELA (CONTINUED)
65,000 Sivensa, ADR................................... $
81,250
10,000 Venprecar, GDR+................................
65,000
-------
- ----
491,925
-------
- ----
CHINA -- 0.9%
500,000 Guangdong Investment Ltd.......................
329,982
-------
- ----
TOTAL COMMON STOCKS (Cost $23,104,524).........
26,575,004
-------
- ----
-------
- ----
PREFERRED STOCKS -- 4.3%
2,000,000 Petroleo Brasileira............................
354,002
29,000,000 Petroleo Ipiranga..............................
425,028
150,000,000 Refrigeracao Parana S.A........................
388,952
750,000 Telecomunicacoes de Sao Paulo S.A..............
380,488
-------
- ----
TOTAL PREFERRED STOCKS (Cost $1,089,124).......
1,548,470
-------
- ----
RIGHTS AND WARRANTS -- 2.9%
80 Daewood Corporation, Warrants,
Expire 11/8/96+..............................
169,000
5,500 Sam Yang Company, Warrants,
Expire 3/6/98+...............................
159,500
9,000 Warburg, OTC Call Warrants,
Expire 3/30/95+..............................
128,871
120,000 Yeo Hiap Seng, Transferable Subordinate Rights,
Expire 12/8/94+..............................
292,800
70 Yukong, Warrants,
Expire 6/25/96+..............................
314,125
-------
- ----
TOTAL RIGHTS AND WARRANTS (Cost $1,204,122)....
1,064,296
-------
- ----
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- -----------
<C> <S> <C>
CONVERTIBLE BONDS -- 4.4%
$ 50,000 Acer Inc.,
4.000% due 6/10/01............................
138,500
100,000 Ballar Pur Industries,
4.000% due 4/1/99.............................
113,250
300,000 Daewood Corporation,
3.250% due 12/31/97...........................
291,333
250,000 Indofood,
3.500% due 4/6/97.............................
267,500
180,000 U-Ming Marine,
1.500% due 2/7/01.............................
183,825
350,000 United Microelectronics,
1.250% due 6/8/04.............................
603,750
------
- -----
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- ------
- -----
CONVERTIBLE BONDS (CONTINUED)
<C> <S> <C>
TOTAL CONVERTIBLE BONDS (Cost $1,398,638)....... $
1,598,158
------
- -----
COMMERCIAL PAPER -- 6.7%
$ 660,000 Ford Motor Credit Corporation,
4.700% due 9/1/94............................. $
660,000
1,761,000 General Electric Capital Corporation,
4.750% due 9/1/94.............................
1,761,000
------
- -----
TOTAL COMMERCIAL PAPER (Cost $2,421,000)........
2,421,000
------
- -----
REPURCHASE AGREEMENT -- 4.8% (Cost $1,761,000)
1,761,000 Agreement with Morgan Stanley, 4.650% dated
8/31/94 to be repurchased at $1,761,227 on
9/1/94, collateralized by $1,675,000 U.S.
Treasury Bonds, 8.125% due 5/15/21............
1,761,000
------
- -----
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $30,978,408*)............ 96.2%
34,967,928
OTHER ASSETS AND LIABILITIES (NET)............... 3.8
1,396,949
-------- -------
- -----
NET ASSETS....................................... 100.0% $
36,364,877
--------
-------- -------
- -----
-------
- -----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
++ Security exempt from registration under Rule 144A of the Securities
Act of
1933. These may be resold in transactions exempt from registration to
qualified institutional buyers.
ADR -- American Depositary Receipt
GDR -- Global Depositary Receipt
</TABLE>
See Notes to Financial Statements.
88
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
At August 31, 1994, sector diversification of the Portfolio was as
follows
(Unaudited):
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS
VALUE
- -------------------------------------------------------- -------- ------
- -----
<S> <C> <C>
COMMON STOCKS:
Construction.......................................... 8.1% $
2,963,434
Holding Companies and Financial Services.............. 7.6
2,774,489
Communications........................................ 7.4
2,707,417
Utilities............................................. 7.1
2,598,539
Banking and Finance................................... 7.1
2,554,102
Electronics........................................... 6.0
2,183,203
Mining and Metals..................................... 4.7
1,701,440
Drugs and Chemicals................................... 4.6
1,669,677
Transportation........................................ 3.1
1,140,348
Food and Beverage..................................... 3.1
1,138,506
Paper and Forest Products............................. 2.6
955,157
Automobiles and Trucks................................ 2.5
913,631
Durable Goods......................................... 1.6
570,618
Non-Durable Goods..................................... 1.4
494,006
Leisure, Sporting and Recreation...................... 1.0
365,457
Retail................................................ 1.0
363,070
Consumer Services..................................... 0.8
278,660
Basic Industries...................................... 0.6
201,677
Machinery............................................. 0.1
28,340
Other................................................. 2.7
973,233
-------- ------
- -----
Total Common Stocks..................................... 73.1
26,575,004
Preferred Stocks........................................ 4.3
1,548,470
Rights and Warrants..................................... 2.9
1,064,296
Convertible Bonds....................................... 4.4
1,598,158
Commercial Paper........................................ 6.7
2,421,000
Repurchase Agreement.................................... 4.8
1,761,000
-------- ------
- -----
Total Investments....................................... 96.2
34,967,928
Other Assets and Liabilities (Net)...................... 3.8
1,396,949
-------- ------
- -----
Net Assets.............................................. 100.0%
$36,364,877
-------- ------
- -----
-------- ------
- -----
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Emerging Markets securities held at August 31, 1994 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS
PERCENTAGE
<S> <C>
Preferred Stocks, Rights and Warrants, Convertible
Bonds, Commercial Paper, Repurchase Agreement, and Net
Other Assets and Liabilities 26.9%
Other Countries 8.8%
Korea 3.4%
Thailand 3.7%
Indonesia 3.8%
Taiwan 3.9%
Singapore 5.1%
Hong Kong 6.6%
Malaysia 6.8%
Brazil 8.5%
Argentina 10.2%
Mexico 12.3%
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACT TO
RECEIVE NET
----------- UNREALIZED
CONTRACT LOCAL VALUE IN IN EXCHANGE APPRECIATION
VALUE DATE CURRENCY U.S.$ FOR U.S.$ OF CONTRACT
- ---------- ----------- -------- ----------- ------------
<S> <C> <C> <C> <C>
9/2/94 CHF 405,554 $304,710 $304,333 $377
-------- ----------- -----
-------- ----------- -----
Net Unrealized Appreciation of Forward Foreign
Exchange Contracts........................... $377
-----
-----
</TABLE>
<TABLE>
<S> <C>
KEY TO CURRENCY ABBREVIATIONS
CHF Swiss Franc
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
Consulting Group Capital Markets Funds ("CGCM") (the "Trust"), formerly
known
as The Trust for TRAK Investments, is an open-end management investment
company
registered with the Securities and Exchange Commission under the
Investment
Company Act of 1940, as amended (the "1940 Act"), consisting of
thirteen
portfolios: Government Money Investments, Intermediate Fixed Income
Investments,
Total Return Fixed Income Investments, Municipal Bond Investments,
Mortgage
Backed Investments, Balanced Investments, Large Capitalization Value
Equity
Investments, Large Capitalization Growth Investments, Small Capitalization
Value
Equity Investments, Small Capitalization Growth Investments,
International
Equity Investments, International Fixed Income Investments and Emerging
Markets
Equity Investments (the "Portfolios"). Shareholders participating in the
TRAK
investment advisory service may purchase, redeem and exchange shares of
the
Portfolios without the imposition of any sales or redemption charge, but
will be
subject to the payment of a quarterly fee ranging up to an annual rate of
1.50%
of assets held in their TRAK account. The following is a summary of
significant
accounting policies consistently followed by the Portfolios in the
preparation
of their financial statements.
PORTFOLIO VALUATION:
Generally, a Portfolio's investments are valued at market value or, in
the
absence of a market value, at fair value as determined by or under the
direction
of the Trust's Board of Trustees. A security that is primarily traded on a
U.S.
or foreign exchange is valued at the last sale price on that exchange
or, if
there were no sales during the day, at the current quoted bid
price.
Over-the-counter securities and securities listed or traded on certain
foreign
exchanges whose operations are similar to the U.S. over-the-counter
market are
valued on the basis of the bid price at the close of business on each
day.
Investments in U.S. Government securities (other than short-term
securities) are
valued at the average of the quoted bid and asked prices in the over-the-
counter
market. Short-term investments are valued at amortized cost. Amortized
cost
valuation involves valuing an instrument at its cost initially and
thereafter
assuming a constant amortization to maturity of any discount or
premium,
regardless of the effect of fluctuating interest rates on the market
value of
the instrument.
REPURCHASE AGREEMENTS:
Each Portfolio may engage in repurchase agreement transactions.
Under the
terms of a typical repurchase agreement, the Portfolio takes possession
of an
underlying debt obligation subject to an obligation of the seller to
repurchase,
and the Portfolio to resell, the obligation at an agreed-upon price and
time,
thereby determining the yield during the Portfolio's holding period.
This
arrangement results in a fixed rate of return that is not subject to
market
fluctuations during the Portfolio's holding period. The value of the
collateral
is at least equal, at all times, to the total amount of the
repurchase
obligations, including interest. In the event of counterparty default,
the
Portfolio has the right to use the collateral to offset losses incurred.
There
is potential loss to the Portfolio in the event the Portfolio is
delayed or
prevented from exercising its rights to dispose of the collateral
securities,
including the risk of a possible decline in the value of the
underlying
securities during the period while the Portfolio seeks to assert its
rights. The
Portfolio's investment advisers, acting under the supervision of the
Board of
Trustees, reviews the value of the collateral and the creditworthiness of
those
banks and dealers with which the Portfolio enters into repurchase
agreements to
evaluate potential risks.
FORWARD FOREIGN CURRENCY TRANSACTIONS:
International Equity Investments, International Fixed Income Investments
and
Emerging Markets Equity Investments may engage in forward foreign
currency
contracts. Forward foreign currency contracts are valued at the forward
rate and
are marked-to-market daily. The change in market value is recorded by
the
Portfolio as an unrealized gain or loss. When the contract is
closed, the
Portfolio records a realized gain or loss equal to the difference between
the
value of the contract at the time it was opened and the value at the time
it was
closed.
91
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The use of forward foreign currency contracts does not eliminate
fluctuations
in the underlying prices of the Portfolio's investment securities, but it
does
establish a rate of exchange that can be achieved in the future.
Although
forward foreign currency contracts limit the risk of loss due to a
decline in
the value of the hedged currency, they also limit any potential gain that
might
result should the value of the currency increase. In addition, the
Portfolio
could be exposed to risks if the counterparties to the contracts are
unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in United States
(U.S.)
dollars. Foreign currencies, investments and other assets and liabilities
are
translated into U.S. dollars at the exchange rates prevailing at the end
of the
period, and purchases and sales of investment securities, income and
expenses
are translated on the respective dates of such transactions. Unrealized
gains
and losses which result from changes in foreign currency exchange rates
have
been included in the unrealized appreciation/(depreciation) of
investments. Net
realized foreign currency gains and losses resulting from changes in
exchange
rates include foreign currency gains and losses between trade date
and
settlement date on investment securities transactions, foreign
currency
transactions and the difference between the amounts of interest and
dividends
recorded on the books of the Portfolio and the amount actually received.
The
portion of foreign currency gains and losses related to fluctuation in
exchange
rates between the initial purchase trade date and subsequent sale trade
date is
included in realized gains and losses on investment securities sold.
FUTURES CONTRACTS:
Each Portfolio except Government Money Investments, Balanced
Investments and
Municipal Bond Investments may enter into futures contracts. Upon entering
into
a futures contract, the Portfolio is required to deposit with the
broker an
amount of cash or cash equivalents equal to a certain percentage of the
contract
amount. This is known as the "initial margin." Subsequent payments
("variation
margin") are made or received by the Portfolio each day, depending on the
daily
fluctuation of the value of the contract.
For financial statement purposes, an amount equal to the settlement
amount of
the contract is included in the Portfolio's Statement of Assets and
Liabilities
as an asset and as an equivalent liability. For long futures positions,
the
asset is marked-to-market daily. For short futures positions, the
liability is
marked-to-market daily. The daily changes in the contract are
recorded as
unrealized gains or losses. The Portfolio recognizes a realized gain or
loss
when the contract is closed.
There are several risks in connection with the use of futures contracts
as a
hedging device. The change in value of futures contracts primarily
corresponds
with the value of their underlying instruments or index, which may not
correlate
with the change in value of the hedged investments. In addition, there is
the
risk that the Portfolio may not be able to enter into a closing
transaction
because of an illiquid secondary market.
INDEXED SECURITIES:
Indexed securities held by the Portfolio are investments whose
value is
indexed to another financial instrument, index, currency, or commodity
(the
"reference instrument"). For principal indexed securities, the principal
amount
payable at maturity may be more or less than the amounts shown
depending on
fluctuations in the value of the reference instrument. The price
sensitivity of
these securities may be greater than that of non-indexed securities with
similar
maturities.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of the trade date.
Securities
purchased or sold on a when-issued or delayed-delivery basis may be
settled a
month or more after the trade date. Realized gains and losses from
securities
sold are recorded on the identified cost basis. Dividend income
and
distributions
92
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
to shareholders are recorded on the ex-dividend date, except that
certain
dividends from foreign securities are recorded as soon as the
Portfolio is
informed of the ex-dividend date. Interest income is recorded on the
accrual
basis.
Securities purchased or sold on a when-issued or delayed-delivery basis
may be
settled a month or more after the trade date. Interest income is not
accrued
until settlement date. The Portfolio instructs the custodian to segregate
assets
in a separate account with a current value at least equal to the amount
of its
when-issued purchase commitments.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income of Government Money Investments
and
Municipal Bond Investments are declared daily and paid monthly. Dividends
from
net investment income of Intermediate Fixed Income Investments, Total
Return
Fixed Income Investments, Mortgage Backed Investments, Balanced
Investments and
International Fixed Income Investments are declared and paid monthly.
Dividends
from net investment income of Large Capitalization Value Equity
Investments,
Large Capitalization Growth Investments, Small Capitalization Value
Equity
Investments, Small Capitalization Growth Investments, International
Equity
Investments and Emerging Markets Equity Investments are declared and
paid
annually. Distributions from net realized capital gains are declared and
paid on
an annual basis. In addition, the Portfolios intend to make any
additional
distributions to avoid the application of a 4% nondeductible excise
tax on
certain undistributed amounts of net investment income and capital gains.
Income
distributions and capital gain distributions of a Portfolio are
determined in
accordance with income tax regulations which may differ from generally
accepted
accounting principles. These differences are primarily due to
differing
treatments of income and gains on various securities held by a Portfolio,
timing
differences and/or differing characterization of distributions made by
the
Portfolios. Any permanent book and tax basis differences at fiscal year-end
have
been reclassified to reflect the tax characterization.
FEDERAL TAXES:
It is each Portfolio's policy to qualify as a regulated investment
company, if
such qualification is in the best interest of its shareholders, by
complying
with the requirements of the Internal Revenue Code applicable to
regulated
investment companies and by distributing all of its taxable income
to its
shareholders. Therefore, no Federal income tax provision is required.
93
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
2. MANAGEMENT FEE, ADMINISTRATION FEE AND OTHER RELATED
TRANSACTIONS
The Trust has entered into an investment management agreement (the
"Management
Agreement") with the Consulting Group (the "Manager") of Smith, Barney
Advisers,
Inc. ("SBA"). SBA is a wholly owned subsidiary of Smith Barney Holdings,
Inc.
("Holdings") which is in turn wholly owned subsidiary of The Travelers
Inc.
Under the Management Agreement, each Portfolio pays a monthly fee
(the
"Manager's Fee") at the following annual rates applied to the value of
their
average daily net assets:
<TABLE>
<CAPTION>
MANAGER'S
PORTFOLIO
FEE
- --------------------------------------------------------------------- -
- --------
<S>
<C>
Government Money Investments.........................................
.15%
Intermediate Fixed Income Investments................................
.40%
Total Return Fixed Income Investments................................
.40%
Municipal Bond Investments...........................................
.40%
Mortgage Backed Investments..........................................
.50%
Balanced Investments.................................................
.60%
Large Capitalization Value Equity Investments........................
.60%*
Large Capitalization Growth Investments..............................
.60%*
Small Capitalization Value Equity Investments........................
.60%
Small Capitalization Growth Investments..............................
.60%
International Equity Investments.....................................
.70%
International Fixed Income Investments...............................
.50%
Emerging Markets Equity Investments..................................
.90%
<FN>
- -------------------
* As of March 21, 1994, the Manager has agreed to waive a portion of the
fees
otherwise payable to it by Large Capitalization Value Equity
Investments and
Large Capitalization Growth Investments. The Manager will retain as its
annual
fee an amount equal to no more than .30% of the value of each such
Portfolio's
average daily net assets.
</TABLE>
The Manager has in turn entered into an investment advisory agreement
(the
"Advisory Agreement") with each adviser selected for the
Portfolios
(collectively, the "Advisers"). The Trust's current Advisers and the
Portfolios
they advise are as follows: Standish, Ayer & Wood, Inc., Intermediate
Fixed
Income Investments and Government Money Investments; Wolf, Webb,
Burk &
Campbell, Inc., Total Return Fixed Income Investments; Smith Affiliated
Capital
Corp., Municipal Bond Investments; Atlantic Portfolio Analytics &
Management,
Inc., Mortgage Backed Investments; Palley-Needelman Asset Management,
Inc.,
Balanced Investments; Newbold's Asset Management, Inc. and, as of March
21,
1994, Parametric Portfolio Associates, Inc., Large Capitalization Value
Equity
Investments; Provident Investment Counsel and, as of March 21, 1994,
Boston
Structured Advisors, Large Capitalization Growth Investments; Thorsell,
Parker
Partners Inc. and NFJ Investment Group Inc., Small Capitalization Value
Equity
Investments, Pilgrim Baxter & Associates, Ltd., Small Capitalization
Growth
Investments; Oechsle International Advisors, L.P., International
Equity
Investments; Julius Baer Investment Management Inc., International Fixed
Income
Investments; and John Govett & Co. Limited, Emerging Markets Equity
Investments.
The Manager pays the Advisers a monthly portfolio management fee. The
Portfolios
pay no direct investment advisory fee to any of the Advisers.
Prior to June 2, 1994, the Trust was party to an administration agreement
(the
"Administration Agreement") with The Boston Company Advisors, Inc.
("Boston
Advisors"), an indirect wholly owned subsidiary of Mellon Bank
Corporation
("Mellon"). Under the Administration Agreement, each Portfolio paid a
monthly
fee at the annual rate of .20% of the value of its average daily net
assets.
94
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
As of the close of business on June 2, 1994, SBA succeeded Boston
Advisors as
the Trust's administrator. The new administration agreement
contains
substantially the same terms and conditions, including the level of fees,
as the
predecessor agreement.
As of the close of business on June 2, 1994, the Trust and SBA also
entered
into a sub-administration agreement (the "Sub-Administration Agreement")
with
Boston Advisors. Under the Sub-Administration Agreement, SBA pays
Boston
Advisors a portion of its fee at a rate agreed upon from time to time
between
SBA and Boston Advisors.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect
wholly
owned subsidiary of Mellon, serves as the Trust's custodian. The
Shareholder
Services Group Inc., a subsidiary of First Data Corporation, serves
as the
Trust's transfer agent.
From time to time, the Manager, SBA, Boston Advisors and Boston
Safe
(collectively known as the "Agents") may voluntarily waive a portion or
all of
their respective fees otherwise payable to them and/or reimburse expenses.
For the year ended August 31, 1994, the Agents waived fees pursuant to
the
above agreements as follows:
<TABLE>
<CAPTION>
TOTAL FEE
BOSTON
WAIVERS MANAGER SBA
SAFE
--------- -------- --------
- -------
<S> <C> <C> <C>
<C>
Government Money Investments....... $455,786 $181,749 $242,332
$31,705
Total Return Fixed Income
Investments....................... 130,363 81,445 40,722
8,196
Municipal Bond Investments......... 78,258 48,736 24,368
5,154
Mortgage Backed Investments........ 292,235 196,064 78,426
17,745
Balanced Investments............... 112,500 73,670 24,557
14,273
Large Capital Value Equity
Investments....................... 287,806 287,806 --
- --
Large Capital Growth Investments... 125,168 125,168 --
- --
International Fixed Income
Investments....................... 159,363 99,463 39,785
20,115
Emerging Markets Equity
Investments....................... 59,781 38,379 8,529
12,873
</TABLE>
In addition, the Agents have agreed to reimburse $11,831 for expenses
related
to the Balanced Investments Portfolio. The Manager will reimburse $7,747,
SBA
and Boston Advisors, as the Trust's administrators, will collectively
reimburse
$2,582, and Boston Safe will reimburse $1,502.
For the year ended August 31, 1994, the Trust incurred total
brokerage
commissions of $6,309,327, of which $207,869 was paid to Smith Barney
Inc.
("Smith Barney").
No officer, director or employee of Smith Barney, the Agents or any of
their
affiliates receives any compensation from the Portfolios for serving
as a
Trustee or officer of the Trust. The Trust pays each Trustee who is
not an
officer, director or employee of Smith Barney, the Agents or any of
their
affiliates $10,000 per annum plus $500 per meeting attended and reimburses
each
such Trustee for travel and out-of-pocket expenses. Prior to December 9,
1993,
the annual fee paid to such Trustees was $7,500.
95
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of securities, excluding
U.S.
Government securities and short-term investments, for the year ended
August 31,
1994 were as follows:
<TABLE>
<CAPTION>
PURCHASES
SALES
------------ -------
- -----
<S> <C> <C>
Intermediate Fixed Income Investments......... $ 79,149,223 $
44,460,400
Total Return Fixed Income Investments......... 18,668,616
4,914,722
Municipal Bond Investments.................... 91,274,327
77,191,425
Balanced Investments.......................... 9,943,193
3,432,500
Large Capitalization Value Equity
Investments.................................. 948,040,004
711,186,897
Large Capitalization Growth Investments....... 523,778,706
343,382,758
Small Capitalization Value Equity
Investments.................................. 325,033,898
161,695,571
Small Capitalization Growth Investments....... 194,024,785
109,934,350
International Equity Investments.............. 378,056,126
133,343,568
International Fixed Income Investments........ 403,112,674
379,225,902
Emerging Markets Equity Investments........... 28,700,571
2,461,843
</TABLE>
Cost of purchases and proceeds from sales of U.S. Government
securities,
excluding short-term investments, for the year ended August 31, 1994
were as
follows:
<TABLE>
<CAPTION>
PURCHASES
SALES
------------ ------
- ------
<S> <C> <C>
Intermediate Fixed Income Investments.......... $162,802,332
$113,735,111
Total Return Fixed Income Investments.......... 51,864,698
29,667,655
Mortgage Backed Investments.................... 87,738,254
56,112,578
Balanced Investments........................... 4,195,035
1,681,938
</TABLE>
At August 31, 1994, aggregate gross unrealized appreciation for all
securities
in which there was an excess of value over tax cost and aggregate
gross
unrealized depreciation for all securities in which there was an excess
of tax
cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX
BASIS
UNREALIZED
UNREALIZED
APPRECIATION
DEPRECIATION
------------ -------
- -----
<S> <C> <C>
Intermediate Fixed Income Investments......... $ 351,085 $
6,614,920
Total Return Fixed Income Investments......... 119,379
4,452,712
Municipal Bond Investments.................... 290,764
3,209,453
Mortgage Backed Investments................... 13,331
4,561,972
Balanced Investments.......................... 744,415
389,400
Large Capitalization Value Equity
Investments.................................. 43,958,961
18,819,872
Large Capitalization Growth Investments....... 33,704,394
8,761,572
Small Capitalization Value Equity
Investments.................................. 19,429,144
20,029,297
Small Capitalization Growth Investments....... 30,133,096
2,124,988
International Equity Investments.............. 99,753,536
6,599,781
International Fixed Income Investments........ 997,539
2,241,783
Emerging Markets Equity Investments........... 3,989,520 --
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Trust may issue an unlimited number of shares of beneficial
interest of
separate series with a $.001 par value per share. Since Government
Money
Investments has sold shares, issued shares as reinvestment of dividends
and
redeemed shares only at a constant net asset value of $1.00 per
share, the
96
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
number of shares represented by such sales, reinvestments and redemptions
is the
same as the dollar amounts shown for such transactions. Changes in
shares of
beneficial interest for each Portfolio were as follows:
<TABLE>
<CAPTION>
YEAR ENDED
YEAR ENDED
AUGUST 31, 1994
AUGUST 31, 1993
------------------------------- ---
- ---------------------------
SHARES AMOUNT
SHARES AMOUNT
------------ ------------- ---
- -------- -------------
<S> <C> <C> <C>
<C>
GOVERNMENT MONEY INVESTMENTS:
Sold.......................... $ 345,194,367
$ 120,758,267
Issued as reinvestment of
dividends.................... 4,540,400
1,376,787
Redeemed...................... (249,071,098)
(68,453,272)
-------------
- -------------
Net increase.................. $ 100,663,669
$ 53,681,782
-------------
- -------------
-------------
- -------------
INTERMEDIATE FIXED INCOME
INVESTMENTS:
Sold.......................... 22,381,600 $ 185,007,845
11,732,048 $ 98,052,019
Issued as reinvestment of
dividends.................... 1,568,507 12,839,876
679,697 5,668,719
Redeemed...................... (12,108,834) (98,876,075)
(3,118,184) (26,065,417)
------------ ------------- ---
- -------- -------------
Net increase.................. 11,841,273 $ 98,971,646
9,293,561 $ 77,655,321
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
TOTAL RETURN FIXED INCOME
INVESTMENTS:
Sold.......................... 8,683,417 $ 72,680,596
6,171,923 $ 51,853,902
Issued as reinvestment of
dividends.................... 624,452 5,139,012
305,509 2,568,134
Redeemed...................... (4,713,343) (38,652,303)
(3,271,047) (27,510,941)
------------ ------------- ---
- -------- -------------
Net increase.................. 4,594,526 $ 39,167,305
3,206,385 $ 26,911,095
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
MUNICIPAL BOND INVESTMENTS:
Sold.......................... 4,962,612 42,778,188
4,091,353 $ 34,760,685
Issued as reinvestment of
dividends.................... 352,791 2,992,923
182,881 1,554,085
Redeemed...................... (3,695,644) (30,900,670)
(1,512,753) (12,838,170)
------------ ------------- ---
- -------- -------------
Net increase.................. 1,619,759 $ 14,870,441
2,761,481 $ 23,476,600
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
MORTGAGE BACKED INVESTMENTS:
Sold.......................... 10,000,128 $ 79,873,717
8,633,686 $ 70,892,674
Issued as reinvestment of
dividends.................... 874,769 6,914,524
476,113 3,899,994
Redeemed...................... (6,727,653) (53,557,681)
(1,962,067) (16,111,085)
------------ ------------- ---
- -------- -------------
Net increase.................. 4,147,244 $ 33,230,560
7,147,732 $ 58,681,583
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
PERIOD ENDED
AUGUST 31, 1993*
---
- ---------------------------
SHARES AMOUNT
---
- -------- -------------
BALANCED INVESTMENTS:
Sold.......................... 1,714,853 $ 14,427,658
663,212 $ 5,402,095
Issued as reinvestment of
dividends.................... 26,504 222,987
5,801 47,789
Redeemed...................... (636,219) (5,327,603)
(43,627) (358,638)
------------ ------------- ---
- -------- -------------
Net increase.................. 1,105,138 $ 9,323,042
625,386 $ 5,091,246
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
YEAR ENDED
AUGUST 31, 1993
---
- ---------------------------
SHARES AMOUNT
---
- -------- -------------
LARGE CAPITALIZATION VALUE
EQUITY INVESTMENTS:
Sold.......................... 57,067,774 $ 524,060,959
44,406,711 $ 389,283,546
Issued as reinvestment of
dividends.................... 1,243,086 11,448,832
722,291 6,204,476
Redeemed...................... (29,902,432) (275,127,432)
(7,503,742) (66,316,052)
------------ ------------- ---
- -------- -------------
Net increase.................. 28,408,428 $ 260,382,359
37,625,260 $ 329,171,970
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
</TABLE>
97
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
YEAR ENDED
AUGUST 31, 1994
AUGUST 31, 1993
------------------------------- ---
- ---------------------------
SHARES AMOUNT
SHARES AMOUNT
------------ ------------- ---
- -------- -------------
LARGE CAPITALIZATION GROWTH
INVESTMENTS:
<S> <C> <C> <C>
<C>
Sold.......................... 37,994,847 $ 368,606,148
19,222,339 $ 181,299,634
Issued as reinvestment of
dividends.................... -- --
10,079 98,374
Redeemed...................... (16,647,531) (159,774,915)
(4,450,973) (42,026,828)
------------ ------------- ---
- -------- -------------
Net increase.................. 21,347,316 $ 208,831,233
14,781,445 $ 139,371,180
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS:
Sold.......................... 24,961,805 $ 229,169,814
13,092,656 $ 127,115,155
Issued as reinvestment of
dividends.................... 1,439,020 13,253,371
148,246 1,492,837
Redeemed...................... (6,884,450) (62,861,738)
(5,601,453) (55,894,219)
------------ ------------- ---
- -------- -------------
Net increase.................. 19,516,375 $ 179,561,447
7,639,449 $ 72,713,773
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
SMALL CAPITALIZATION GROWTH
INVESTMENTS:
Sold.......................... 13,655,513 $ 166,661,153
6,017,650 $ 59,433,010
Issued as reinvestment of
dividends.................... 136,380 1,667,927
- -- --
Redeemed...................... (6,106,555) (74,640,060)
(2,055,438) (20,720,709)
------------ ------------- ---
- -------- -------------
Net increase.................. 7,685,338 $ 93,689,020
3,962,212 $ 38,712,301
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
INTERNATIONAL EQUITY
INVESTMENTS:
Sold.......................... 36,546,773 $ 364,735,786
20,558,453 $ 167,726,683
Issued as reinvestment of
dividends.................... 1,020,865 9,534,883
63,349 477,653
Redeemed...................... (11,016,786) (110,574,450)
(7,295,259) (57,772,864)
------------ ------------- ---
- -------- -------------
Net increase.................. 26,550,852 $ 263,696,219
13,326,543 $ 110,431,472
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
INTERNATIONAL FIXED INCOME
INVESTMENTS:
Sold.......................... 9,382,953 $ 80,752,952
8,424,901 $ 71,915,585
Issued as reinvestment of
dividends.................... 1,305,302 10,993,448
477,398 4,052,425
Redeemed...................... (7,699,173) (64,843,492)
(2,069,674) (17,624,937)
------------ ------------- ---
- -------- -------------
Net increase.................. 2,989,082 $ 26,902,908
6,832,625 $ 58,343,073
------------ ------------- ---
- -------- -------------
------------ ------------- ---
- -------- -------------
</TABLE>
<TABLE>
<CAPTION>
PERIOD ENDED
AUGUST 31, 1994**
-------------------------------
SHARES AMOUNT
------------ -------------
<S> <C> <C> <C>
<C>
EMERGING MARKETS EQUITY
INVESTMENTS:
Sold.......................... 3,950,355 $ 32,960,776
Redeemed...................... (120,410) (1,028,997)
------------ -------------
Net increase.................. 3,829,945 $ 31,931,779
------------ -------------
------------ -------------
<FN>
- ------------------------
* Balanced Investments commenced operations on February 16, 1993.
** Emerging Markets Equity Investments commenced operations on April 21,
1994.
</TABLE>
5. ORGANIZATION COSTS
Each Portfolio bears all cost in connection with its initial
organization
including the fees for registering and qualifying its shares for
distribution
under Federal and state securities regulations. All such costs are
being
amortized on the straight-line basis over periods of five years from the
dates
on which each Portfolio commenced operations. The Manager has agreed that
in the
event any of the initial shares in any of the Portfolios are redeemed
during
such period, the appropriate Portfolio will be reimbursed for any
unamortized
organization costs in the same proportion as the number of shares redeemed
bears
to the number of initial shares held at the time of redemption.
6. FOREIGN SECURITIES
International Equity Investments, International Fixed Income
Investments and
Emerging Markets Equity Investments invest in foreign securities.
Investing in
securities of foreign companies and foreign
98
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
governments involves special risks and considerations not typically
associated
with investing in U.S. companies and the U.S. Government. These risks
include
revaluation of currencies and future adverse political and
economic
developments. Moreover, securities of many foreign companies and
foreign
governments and their markets may be less liquid and their prices more
volatile
than those of securities of U.S. companies and the U.S. Government.
7. CAPITAL LOSS CARRYFORWARD
At August 31, 1994, the following Portfolios had available for federal
income
tax purposes unused capital losses as follows:
<TABLE>
<CAPTION>
EXPIRING EXPIRING
PORTFOLIO IN 2001 IN 2002
- -------------------------------------------- -------- --------
<S> <C> <C>
Government Money Investments................ $ 197 $202
Large Capitalization Growth Investments..... $25,678 --
</TABLE>
POST OCTOBER LOSS
Under current tax law, capital losses realized after October 31
may be
deferred and treated as occurring on the first day of the following fiscal
year.
In the fiscal year ended August 31, 1993, the Government Money
Investments,
Balanced Investments, Large Capitalization Value Equity Investments and
Large
Capitalization Growth Investments deferred losses of $703, $17,946,
$4,622,581,
and $9,672,954, respectively, into the current fiscal year.
For the fiscal year ended August 31, 1994, the following Portfolios
have
elected to defer losses occurring between November 1, 1993 and August 31,
1994
under these rules, as follows:
<TABLE>
<CAPTION>
LOSSES DEFERRED
------------------
- ----
CAPITAL
CURRENCY
---------- ------
- ----
<S> <C> <C>
Government Money Investments.......................... $ 42,979 --
Intermediate Fixed Income Investments................. 4,019,401 --
Total Return Fixed Income Investments................. 1,193,095 --
Municipal Bond Investments............................ 182,170 --
Mortgage Backed Investments........................... 323,003 --
Small Capitalization Value Equity Investments......... 5,134,024 --
Small Capitalization Growth Investments............... 2,311,087 --
International Equity Investments...................... --
$2,715,957
International Fixed Income Investments................ 3,866,582
70,690
Emerging Markets Equity Investments................... --
84,296
</TABLE>
99
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Trustees of
Consulting Group Capital Markets Funds:
We have audited the accompanying statement of assets and
liabilities of
Government Money Investments, Intermediate Fixed Income Investments,
Total
Return Fixed Income Investments, Municipal Bond Investments, Mortgage
Backed
Investments, Balanced Investments, Large Capitalization Value
Equity
Investments, Large Capitalization Growth Investments, Small Capitalization
Value
Equity Investments, Small Capitalization Growth Investments,
International
Equity Investments, International Fixed Income Investments and Emerging
Markets
Equity Investments (the "Portfolios") of Consulting Group Capital Markets
Funds
(the "Trust"), including the schedules of portfolio investments, as of
August
31, 1994, and the related statement of operations, the statements of
changes in
net assets and the financial highlights for each of the periods
indicated
therein. These financial statements and financial highlights are
the
responsibility of the Trust's management. Our responsibility is to
express an
opinion on these financial statements and financial highlights based
on our
audits.
We conducted our audits in accordance with generally accepted
auditing
standards. Those standards require that we plan and perform the audit to
obtain
reasonable assurance about whether the financial statements and
financial
highlights are free of material misstatement. An audit includes examining,
on a
test basis, evidence supporting the amounts and disclosures in the
financial
statements. Our procedures included confirmation of securities owned
as of
August 31, 1994, by correspondence with the custodian and brokers. An audit
also
includes assessing the accounting principles used and significant estimates
made
by management, as well as evaluating the overall financial
statement
presentation. We believe that our audits provide a reasonable basis
for our
opinion.
In our opinion, the financial statements and financial highlights
referred to
above present fairly, in all material respects, the financial position
of the
Portfolios of the Trust as of August 31, 1994, the results of their
operations,
the changes in their net assets and the financial highlights for the
periods
indicated therein, in conformity with generally accepted accounting
principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
October 19, 1994
100
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TAX INFORMATION
FOR THE YEAR ENDED AUGUST 31, 1994 (UNAUDITED)
The following tax information represents fiscal year end
disclosures of
various tax benefits passed through to shareholders at calendar year end.
Of the distributions made from investment income the following
percentages
have been derived from investments in U.S. Government and Agency
Obligations.
All of a portion of the distributions from this income may be exempt
from
taxation at the state level. Consult your tax advisor for the state
specific
information.
<TABLE>
<S> <C>
Government Money Investments 100.00%
Intermediate Fixed Income Investments 30.76%
Total Return Fixed Income Investments 74.75%
Balanced Investments 31.23%
</TABLE>
Of the distributions made by the following Portfolios the
corresponding
percentage represents the amount of each distribution which will qualify
for the
dividend received deduction available to corporate shareholders.
<TABLE>
<S> <C>
Balanced Investments 70.53%
Large Capitalization Value Equity
Investments 100.00%
Small Capitalization Value Equity
Investments 100.00%
Emerging Markets Equity Investments 9.22%
</TABLE>
The capital gains dividend distribution paid to shareholders for fiscal
year
ended August 31, 1994, whether taken in shares or in cash, from long
term
capital gains is as follows:
<TABLE>
<S> <C>
Intermediate Fixed Income Investments $ 228,714
Total Return Fixed Income Investments Fund $ 380,406
Municipal Bond Investments $ 385,915
Large Capitalization Value Equity
Investments $ 30,456
Small Capitalization Value Equity
Investments $5,331,365
Small Capitalization Growth Investments $1,248,593
International Equity Investments $4,894,119
International Fixed Income Investments $ 92,696
</TABLE>
FOREIGN TAX CREDIT
For the fiscal year ended August 31, 1994, the total income
received by
International Equity Investments from the sources within foreign
countries and
possessions of the United States was $0.1116 per share (representing a
total of
$6,115,328). The total amount of taxes paid by the Fund to such
countries was
$0.0143 per share (representing a total of $786,264).
The above figures may differ from those cited elsewhere in this report
due to
differences in the calculations of income and capital gains for
Securities and
Exchange Commission (book) purposes and Internal Revenue Service (tax)
purposes.
101
<PAGE>
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C> <C>
<C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+ WITH
TRAK FEE+
--------------------------- ----------
- -----------------
GOVERNMENT MONEY INVESTMENTS ACTUAL WITHOUT WAIVERS* ACTUAL
WITHOUT WAIVERS*
---------------------------- ------ ------------------ ------ -
- -----------------
<S> <C> <C> <C>
<C>
Year Ended 8/31/94 3.10% 2.81% 1.57%
1.28%
Inception (11/18/91) through
8/31/94 3.09% 1.86% 1.55%
0.34%
</TABLE>
The Portfolio had an aggregate total return of 2.18% for the period from
January
1, 1994 through August 31, 1994. The Portfolio's benchmark, Donoghue
Money
Market Funds Average, had an aggregate total return for the same period of
2.12%
and average annual total returns of 2.94% and 3.06% for the fiscal year
ended
August 31, 1994 and for the period from inception through August 31,
1994,
respectively.
*See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
102
<PAGE>
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL
RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
-----------------------------
- ----------- ----------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
---------------------------------------- -------- -------
- ----------- -------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 (1.13)%
(1.13)% (2.63)% (2.63)%
Inception (11/18/91) through 8/31/94 5.99%
5.80% 4.40% 4.21%
</TABLE>
The Portfolio had an aggregate total return of (1.67)% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark index,
Lehman
Brothers Intermediate Government/Corporate Bond Index, had an aggregate
total
return for the same period of (.91)% and average annual total returns of
(.33)%
and 6.32% for the fiscal year ended August 31, 1994 and for the period
from
inception through August 31, 1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Lehman
Brothers Intermediate Government/Corporate Bond Index, slightly
underperformed
the index for the fiscal year ending August 31, 1994. Over the fiscal year
the
Portfolio has been positioned in longer term securities than that
of the
benchmark index. In a rising interest rate environment these longer
dated
maturity securities have underperformed the shorter term securities.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERMEDIATE FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Intermediate Fixed
Income
Investments on December 1, 1991 through August 31, 1994 is compared
with the
growth of a $10,000 investment in Lehman Brothers
Intermediate
Government/Corporate Bond Index. The plot points used to draw the line
graph
were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
INTERMEDIATE INTERMEDIATE LEHMAN BROTHERS
FIXED INCOME FIXED INCOME INTERMEDIATE
MONTH INVESTMENTS INVESTMENTS GOVERNMENT/
ENDING (EXCLUDING FEE) (INCLUDING FEE) CORPORATE BOND INDEX
<S> <C> <C> <C>
11/91 $ 10,000 $ 10,000 $ 10,000
12/91 $ 10,210 $ 10,197 $ 10,244
3/92 $ 10,084 $ 10,034 $ 10,151
6/92 $ 10,443 $ 10,351 $ 10,553
9/92 $ 10,909 $ 10,774 $ 11,018
12/92 $ 10,809 $ 10,634 $ 10,979
3/93 $ 11,357 $ 11,132 $ 11,415
6/93 $ 11,643 $ 11,369 $ 11,661
9/93 $ 11,919 $ 11,594 $ 11,925
12/93 $ 11,943 $ 11,573 $ 11,945
3/94 $ 11,668 $ 11,263 $ 11,703
6/94 $ 11,552 $ 11,109 $ 11,632
8/94 $ 11,743 $ 11,265 $ 11,836
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Lehman Brothers Intermediate Government/Corporate Bond Index is a
weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index,
which is
comprised of all publicly issued, non-convertible debt of the U.S.
government or
any agency thereof, quasi-federal corporations, and corporate debt
guaranteed by
the U.S. government with a maturity of between one and ten years and (ii)
Lehman
Brothers Corporate Bond Index, which is comprised of all public fixed-
rate,
non-convertible investment-grade domestic corporate debt with a
maturity of
between one and ten years, excluding collateralized mortgage
obligations.
Because the index is not a managed portfolio, there are no advisory
fees or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
103
<PAGE>
TOTAL RETURN FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<S> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK
FEE+ WITH TRAK FEE+
------------------------
- ---------------- ------------------
TOTAL RETURN FIXED INCOME INVESTMENTS ACTUAL
WITHOUT WAIVERS** ACTUAL
--------------------------------------------- ------- --
- ---------------- -------
<S> <C>
<C> <C>
Year Ended 8/31/94 (3.93)%
(4.06)% (5.36)%
Inception (11/18/91) through 8/31/94 5.01%
4.52% 3.44%
<CAPTION>
AVER
TOTAL RETURN FIXED INCOME INVESTMENTS WITHOUT WAIVERS**
--------------------------------------------- ------------------
<S> <C>
Year Ended 8/31/94 (5.49)%
Inception (11/18/91) through 8/31/94 2.97%
</TABLE>
The Portfolio had an aggregate total return of (4.08)% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark index,
Lehman
Brothers Government/Corporate Bond Index, had an aggregate total return for
the
same period of (2.38)% and average annual total returns of (2.33)% and
7.03% for
the fiscal year ended August 31, 1994 and for the period from inception
through
August 31, 1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Lehman
Brothers Government/ Corporate Bond Index, underperformed the index
for the
fiscal year ending August 31, 1994. The mandate of the Portfolio is to
invest in
longer term bonds, those bonds with greater than 10 years' maturity.
This
mandate forces the portfolio to be positioned in longer term securities
than the
benchmark Lehman Brothers Government/Corporate Bond index. As shorter term
bonds
have outperformed longer term bonds over the Portfolio's fiscal year
this
positioning is clearly detrimental to the Portfolio performance versus
the
index. Compared to longer term bond market benchmarks with similar
maturities as
the Portfolio, the Portfolio has slightly outperformed them.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
TOTAL RETURN FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Total Return Fixed
Income
Investments on December 1, 1991 through August 31, 1994 as compared
with the
growth of a $10,000 investment in Lehman Brothers Government/ Corporate
Bond
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
TOTAL RETURN TOTAL RETURN LEHMAN BROTHERS
FIXED INCOME FIXED INCOME INTERMEDIATE
MONTH INVESTMENTS INVESTMENTS GOVERNMENT/
ENDING (EXCLUDING FEE) (INCLUDING FEE) CORPORATE BOND INDEX
<S> <C> <C> <C>
11/91 $ 10,000 $ 10,000 $ 10,000
12/91 $ 10,249 $ 10,236 $ 10,337
3/92 $ 9,950 $ 9,900 $ 10,182
6/92 $ 10,356 $ 10,266 $ 10,594
9/92 $ 10,876 $ 10,741 $ 11,112
12/92 $ 10,857 $ 10,682 $ 11,120
3/93 $ 11,362 $ 11,138 $ 11,638
6/93 $ 11,648 $ 11,374 $ 11,988
9/93 $ 11,990 $ 11,665 $ 12,386
12/93 $ 11,945 $ 11,578 $ 12,350
3/94 $ 11,535 $ 11,138 $ 11,962
6/94 $ 11,293 $ 11,864 $ 11,814
8/94 $ 11,457 $ 10,994 $ 12,055
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Lehman Brothers Government/Corporate Bond Index is a weighted
composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all
publicly
issued, non-convertible debt of the U.S. government or any agency
thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government
and (ii) Lehman Brothers Corporate Bond Index, which is comprised of all
public
fixed-rate, non-convertible investment-grade domestic corporate debt,
excluding
collateralized mortgage obligations. Because the index is not a
managed
portfolio, there are no advisory fees or internal management expenses
reflected
in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
104
<PAGE>
MUNICIPAL BOND INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
----------------------------------------
- ----------------------------------------
MUNICIPAL BOND INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
---------------------------- ------- ------------------
- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94.......... (3.78)% (3.92)%
(5.21)% (5.34)%
Inception (11/18/91) through
8/31/94.................... 5.59% 5.15%
4.01% 3.58%
</TABLE>
The Portfolio had an aggregate total return of (6.05)% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark index,
Lehman
Brothers Municipal Bond Index, had an aggregate total return for the same
period
of (2.36)% and average annual total returns of 0.14% and 7.45% for the
fiscal
year ended August 31, 1994 and for the period from inception through
August 31,
1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Lehman
Brothers Municipal Bond Index, underperformed the index for the fiscal
year
ending August 31, 1994. The underperformance is attributable to the
Portfolio's
longer maturity and higher quality orientation than the benchmark index.
This
Portfolio positioning has generally hurt performance during a period of
time in
which the best performing sectors of the municipal bond market have
been the
lower quality and shorter term segments of the market.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MUNICIPAL BOND INVESTMENTS
VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Municipal Bond
Investments on
December 1, 1991 through August 31, 1994 as compared with the growth
of a
$10,000 investment in the Lehman Brothers Municipal Bond Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
MUNICIPAL BOND MUNICIPAL BOND INVESTMENT IN THE
MONTH INVESTMENTS INVESTMENTS LEHMAN BROTHERS
ENDING (EXCLUDING FEE) (INCLUDING FEE) MUNICIPAL BOND INDEX
<S> <C> <C> <C>
11/30/91 -- $ 10,000 $ 10,000
12/01/91 $ 10,000 -- --
12/91 $ 10,262 $ 10,249 $ 10,215
03/92 $ 10,247 $ 10,195 $ 10,246
06/92 $ 10,632 $ 10,539 $ 10,635
09/92 $ 10,831 $ 10,695 $ 10,918
12/92 $ 11,096 $ 10,916 $ 11,117
03/93 $ 11,525 $ 11,295 $ 11,529
06/93 $ 11,923 $ 11,642 $ 11,906
09/93 $ 12,325 $ 11,989 $ 12,309
12/93 $ 12,493 $ 12,107 $ 12,481
3/94 $ 11,474 $ 11,077 $ 11,796
6/94 $ 11,483 $ 11,044 $ 11,927
8/94 $ 11,737 $ 11,261 $ 12,188
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Lehman Brothers Municipal Bond Index is a weighted composite
which is
comprised of more than 15,000 bonds issued within the last 5 years,
having a
minimum credit rating of at least Baa and a maturity of at least 2
years,
excluding all bonds subject to the Alternative Minimum Tax and bonds
with
floating or zero coupons. Because the index is not a managed portfolio,
there
are no advisory fees or internal management expenses reflected in the
index's
performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
105
<PAGE>
MORTGAGE BACKED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
----------------------------------------
- ----------------------------------------
MORTGAGE BACKED INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
---------------------------- ------- ------------------
- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94.......... (0.20)% (0.47)%
(1.69)% (1.96)%
Inception (11/18/91) through
8/31/94.................... 4.99% 4.54%
3.42% 2.98%
</TABLE>
The Portfolio had an aggregate total return of (1.10)% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark index,
Lehman
Brothers Mortgage-Backed Securities Index, had an aggregate total return
for the
same period of (.61)% and average annual total returns of .37% and 5.50%
for the
fiscal year ended August 31, 1994 and for the period from inception
through
August 31, 1994, respectively.
The Lipper U.S. Mortgage Fund Average had an aggregate total
return of
(2.66)% for the period from January 1, 1994 through August 31, 1994 and
average
annual total returns of (2.52)% and 4.99% for the fiscal year ended
August 31,
1994 and for the period from inception through August 31, 1994,
respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Lehman
Brothers Mortgage-Backed Securities Index performed comparably with the
index
for the fiscal year ending August 31, 1994. The mortgage-backed sector of
the
bond market outperformed the broad bond market. In general the
Portfolio has
been positioned in high quality mortgage securities with no exposure to
the
derivative mortgage securities that have wreaked havoc on many funds in
this
rising interest rate environment.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MORTGAGE BACKED INVESTMENTS
VS.
LEHMAN BROTHERS MORTGAGE-BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE
FUND
AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Mortgage Backed
Investments on
December 1, 1991 through August 31, 1994 as compared with the growth
of a
$10,000 investment in the Lehman Brothers Mortgage-Backed Securities
Index and
Lipper U.S. Mortgage Fund Average. The plot points used to draw the line
graph
were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000 GROWTH
OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
INVESTMENT IN THE
MORTGAGE BACKED MORTGAGE BACKED LEHMAN BROTHERS
LIPPER U.S.
MONTH INVESTMENTS INVESTMENTS MORTGAGE-BACKED
MORTGAGE FUND
ENDING (EXCLUDING FEE) (INCLUDING FEE) SECURITIES INDEX
AVERAGE
<S> <C> <C> <C> <C>
11/91 $ 10,000 -- --
- --
12/91 $ 10,220 $ 10,207 $ 10,201 $
10,266
03/92 $ 10,132 $ 10,081 $ 10,113 $
10,145
06/92 $ 10,525 $ 10,433 $ 10,519 $
10,538
09/92 $ 10,812 $ 10,363 $ 10,833 $
10,887
12/92 $ 10,889 $ 10,712 $ 10,911 $
10,910
03/93 $ 11,168 $ 10,946 $ 11,233 $
11,312
06/93 $ 11,384 $ 11,116 $ 11,444 $
11,551
9/93 $ 11,463 $ 11,151 $ 11,554 $
11,734
12/93 $ 11,564 $ 11,207 $ 11,658 $
11,745
3/94 $ 11,315 $ 10,924 $ 11,387 $
11,444
6/94 $ 11,224 $ 10,795 $ 11,323 $
11,239
8/94 $ 11,438 $ 10,973 $ 11,586 $
11,431
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Lehman Brothers Mortgage-Backed Securities Index includes all
fixed-rate
securities backed by mortgage pools of the Government National
Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and
Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund
Average is
an average of funds invested at least 65% in mortgage securities
issued or
guaranteed as to principal and interest by the U.S. Government and
certain
federal agencies. Because the index is not a managed portfolio, there
are no
advisory fees or internal management expenses reflected in the
index's
performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
106
<PAGE>
BALANCED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C> <C>
<C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+ WITH
TRAK FEE+
--------------------------- ----------
- -----------------
BALANCED INVESTMENTS ACTUAL WITHOUT WAIVERS** ACTUAL
WITHOUT WAIVERS**
---------------------------- ------ ------------------ ------ -
- -----------------
<S> <C> <C> <C>
<C>
Year Ended 8/31/94 4.62% 3.64% 3.06%
2.09%
Inception (2/16/93) through
8/31/94 7.19% 5.32% 5.60%
3.75%
</TABLE>
The Portfolio had an aggregate total return without TRAK fee of 2.26%
for
the period from January 1, 1994 through August 31, 1994. The
Portfolio's
benchmark index, Lehman Brothers Government/Corporate Bond Index,
had an
aggregate total return for the same period of (2.30)% and average annual
total
returns of (2.33)% and 7.03% for the fiscal year ended August 31, 1994 and
for
the period from inception through August 31, 1994, respectively.
The Standard & Poor's 500 Composite Stock Price Index ("S&P 500
Stock
Index") had an aggregate total return of 3.87% for the period from
January 1,
1994 through August 31, 1994 and average annual total returns of 5.46% and
7.75%
for the fiscal year ended August 31, 1994 and for the period from
inception
through August 31, 1994, respectively.
The Portfolio is managed using a mix of both stocks and bonds and as
such it
is more appropriate to compare the Portfolio performance to a balanced
index
comprised of both stocks and bonds. The portfolio outperformed a
representative
benchmark consisting of 65% S&P 500 Stock Index and 35% Lehman
Brothers
Government/ Corporate Bond Index for the fiscal year ended August 31,
1994. The
performance is attributable to the Portfolio manager's stock selection and
the
conservative positioning in the fixed income markets as the Portfolio
had a
shorter average maturity and a higher average quality than that of the
balanced
benchmark index.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
BALANCED INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX AND S&P 500 STOCK INDEX
MARCH 1, 1993 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Balanced Investments on
March
1, 1993 through August 31, 1994 as compared with the growth of a
$10,000
investment in the Lehman Brothers Government/Corporate Bond Index and S&P
500
Stock Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK LEHMAN BROTHERS GROWTH
OF $10,000
BALANCED BALANCED GOVERNMENT/
INVESTMENT IN THE
MONTH INVESTMENTS INVESTMENTS CORPORATE
S&P 500
ENDING (INCLUDING FEE) (EXCLUDING FEE) BOND INDEX
STOCK INDEX
<S> <C> <C> <C> <C>
2/93 -- $ 10,000 --
- --
03/01/93 $ 10,000 -- $ 10,000 $
10,000
03/93 $ 10,212 $ 10,225 $ 10,034 $
10,211
06/93 $ 10,315 $ 10,366 $ 10,336 $
10,260
9/93 $ 10,430 $ 10,521 $ 10,678 $
10,524
12/93 $ 10,745 $ 10,880 $ 10,648 $
10,769
3/94 $ 10,368 $ 10,539 $ 11,313 $
11,362
6/94 $ 10,276 $ 10,484 $ 10,185 $
10,404
8/94 $ 10,878 $ 11,126 $ 10,393 $
11,185
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Lehman Brothers Government/Corporate Bond Index is a weighted
composite of
(i) Lehman Brothers Government Bond Index, which is comprised of all
publicly
issued, non-convertible debt of the U.S. government or any agency
thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government
and (ii) Lehman Brothers Corporate Bond Index, which is comprised of all
public
fixed-rate, non-convertible investment-grade domestic corporate debt,
excluding
collateralized mortgage obligations. The S&P 500 Stock Index is an
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange and over-the-counter market. Because the index is
not a
managed portfolio, there are no advisory fees or internal management
expenses
reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
107
<PAGE>
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ---------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 2.09% 2.06%
0.58% 0.55%
Inception (11/18/91) through 8/31/94 7.49% 7.47%
5.88% 5.87%
</TABLE>
The Portfolio had an aggregate total return of 1.95% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark
index,
Russell 1000 Value Index, had an aggregate total return for the same
period of
3.00% and average annual total returns of 2.89% and 15.91% for the fiscal
year
ended August 31, 1994 and for the period from inception through August 31,
1994,
respectively.
The Lipper Growth and Income Fund Average had an aggregate total
return of
3.69% for the period from January 1, 1994 through August 31, 1994 and
average
annual total returns of 6.30% and 14.19% for the fiscal year ended August
31,
1994 and for the period from inception through August 31, 1994,
respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Russell
1000 Value Index, performed in line with the index for the fiscal year
ending
August 31, 1994. Over the course of the last fiscal year the Portfolio
changed
from a single manager approach to one of a multi-manager approach
increasing the
Portfolio's diversification. The Portfolio maintains similar industry and
other
fundamental characteristics to that of the benchmark index while stock
selection
appears to have slightly detracted from performance.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Large Capitalization
Value
Equity Investments on December 1, 1991 through August 31, 1994 as compared
with
the growth of a $10,000 investment in Russell 1000 Value Index and Lipper
Growth
and Income Fund Average. The plot points used to draw the line graph
were as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK
GROWTH OF $10,000
LARGE CAPITALIZATION LARGE CAPITALIZATION GROWTH OF $10,000
INVESTMENT IN THE
VALUE EQUITY VALUE EQUITY INVESTMENT IN THE
LIPPER GROWTH
MONTH INVESTMENTS INVESTMENTS RUSSELL 1000
AND INCOME
ENDING (EXCLUDING FEE) (INCLUDING FEE) VALUE INDEX
FUND AVERAGE
<S> <C> <C> <C>
<C>
11/91 $ 10,000 -- --
$ 10,000
12/91 $ 10,667 $ 10,663 $ 10,838
$ 10,895
03/92 $ 10,485 $ 10,432 $ 10,960
$ 10,941
06/92 $ 11,034 $ 10,937 $ 11,418
$ 11,119
09/92 $ 11,239 $ 11,098 $ 11,665
$ 11,435
12/92 $ 11,150 $ 10,968 $ 12,335
$ 12,093
03/93 $ 11,582 $ 11,350 $ 13,527
$ 12,811
06/93 $ 11,674 $ 11,397 $ 13,922
$ 12,971
9/93 $ 12,080 $ 11,749 $ 14,609
$ 13,557
12/93 $ 12,252 $ 11,873 $ 14,570
$ 13,892
3/94 $ 11,720 $ 11,315 $ 14,060
$ 13,427
6/94 $ 11,800 $ 11,350 $ 14,147
$ 13,505
8/94 $ 12,492 $ 11,986 $ 15,006
$ 14,402
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Russell 1000 Value Index is a capitalization weighted total return
index
which is comprised of 1000 of the largest capitalized U.S. domiciled
companies
with greater-than-average value orientation whose common stock is traded
in the
United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Growth and Income Fund Average is composed of the Portfolio's peer
group of
mutual funds investing in growth and income oriented Funds.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
108
<PAGE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ---------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 2.46% 2.43%
0.91% 0.89%
Inception (11/18/91) through 8/31/94 8.38% 8.33%
6.75% 6.70%
</TABLE>
The Portfolio had a flat aggregate total return of 2.25% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark
index,
Russell 1000 Growth Index, had an aggregate total return for the same
period of
.23% and average annual total returns of 3.34% and 8.01% for the fiscal
year
ended August 31, 1994 and for the period from inception through August 31,
1994,
respectively.
The Lipper Growth Fund Average had an aggregate total return of 1.54%
for
the period from January 1, 1994 through August 31, 1994 and average annual
total
returns of 4.14% and 12.83% for the fiscal year ended August 31, 1994
and for
the period from inception through August 31, 1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Russell
1000 Growth Index, underperformed the index due to the Portfolio's
conservative
positioning. Over the course of the last fiscal year the Portfolio changed
from
a single manager approach to one of a multi-manager approach
increasing the
Portfolio's diversification. The Portfolio has been emphasizing growth
oriented
companies selling at attractive valuations. These "cheap" growth stocks
have
underperformed the more traditional "expensive" growth stocks over the
fiscal
year ending August 31, 1994.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Large Capitalization
Growth
Investments on December 1, 1991 through August 31, 1994 as compared
with the
growth of a $10,000 investment in Russell 1000 Growth Index and Lipper
Growth
Fund Average. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
GROWTH OF $10,000
LARGE CAPITALIZATION LARGE CAPITALIZATION INVESTMENT IN THE
INVESTMENT IN THE
MONTH GROWTH INVESTMENTS GROWTH INVESTMENTS RUSSELL 1000
LIPPER GROWTH
ENDING (EXCLUDING FEE) (INCLUDING FEE) GROWTH INDEX
FUND AVERAGE
<S> <C> <C> <C>
<C>
11/91 $ 10,000 $ 10,000 $ 10,000
$ 10,000
12/91 $ 11,448 $ 11,443 $ 11,413
$ 11,180
03/92 $ 10,699 $ 10,645 $ 10,849
$ 10,984
06/92 $ 10,587 $ 10,493 $ 10,731
$ 10,825
09/92 $ 11,511 $ 11,367 $ 11,203
$ 11,113
12/92 $ 12,185 $ 11,997 $ 11,984
$ 12,022
03/93 $ 11,948 $ 11,720 $ 11,884
$ 12,486
06/93 $ 11,823 $ 11,554 $ 11,700
$ 12,811
9/93 $ 12,495 $ 12,155 $ 11,873
$ 13,469
12/93 $ 12,220 $ 11,842 $ 12,332
$ 13,728
3/94 $ 11,745 $ 11,339 $ 11,789
$ 13,265
6/94 $ 11,533 $ 11,091 $ 11,323
$ 13,002
8/94 $ 12,495 $ 11,986 $ 12,362
$ 13,941
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Russell 1000 Growth Index is a capitalization weighted total return
index
which is comprised of 1000 of the largest capitalized U.S. domiciled
companies
with a greater-than-average growth orientation whose common stock is
traded in
the United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Growth Fund Average is composed of the Portfolio's peer group of mutual
funds
investing in companies where long term earnings are expected to
grow
significantly faster than the earnings of the stocks represented in the
major
unmanaged stock indices.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
109
<PAGE>
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT
TRAK FEE+ WITH TRAK FEE+
-------------------
- --------------------- ------------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS ACTUAL
WITHOUT WAIVERS** ACTUAL
-------------------------------------------------- --------
- ------------------ --------
<S> <C>
<C> <C>
Year Ended 8/31/94 (3.30)%
(3.30)% (4.75)%
Inception (11/18/91) through 8/31/94 7.23%
7.18% 5.63%
<CAPTION>
AVERAG
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS WITHOUT WAIVERS**
-------------------------------------------------- ------------------
<S> <C>
Year Ended 8/31/94 (4.75)%
Inception (11/18/91) through 8/31/94 5.59%
</TABLE>
The Portfolio had an aggregate total return of (1.95)% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark
index,
Russell 2000 Value Index, had an aggregate total return for the same
period of
.39% and average annual total returns of 5.93% and 16.63% for the fiscal
year
ended August 31, 1994 and for the period from inception through August 31,
1994,
respectively.
The Lipper Small Company Fund Average had an aggregate total
return of
(.97)% for the period from January 1, 1994 through August 31, 1994 and
average
annual total returns of 5.29% and 13.58% for the fiscal year ended
August 31,
1994 and for the period from inception through August 31, 1994,
respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Russell
2000 Value Index, underperformed the index for the fiscal year ending
August 31,
1994. Despite efforts to increase the diversification of the Portfolio by
adding
a co-manager the Portfolio underperformed the index for the fiscal
year. The
underperformance is attributable to industry weightings which differed from
the
Russell 2000 Value benchmark. In general these industry weightings did
not pay
off for the Portfolio.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 2000 INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Small Capitalization
Value
Equity Investments on December 1, 1991 through August 31, 1994 as compared
with
the growth of a $10,000 investment in the Russell 2000 Index and Lipper
Small
Company Fund Average. The plot points used to draw the line graph
were as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK
SMALL CAPITALIZATION SMALL CAPITALIZATION GROWTH OF $10,000
GROWTH OF $10,000
VALUE EQUITY VALUE EQUITY INVESTMENT IN THE
INVESTMENT IN THE
MONTH INVESTMENTS INVESTMENTS RUSSELL 2000
LIPPER SMALL
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
FUND AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $ 10,000 $ 10,000 $ 10,000
$10,000
12/91 $ 11,717 $ 11,703 $ 11,142
$11,185
03/92 $ 11,383 $ 11,326 $ 10,861
$11,282
06/92 $ 11,204 $ 11,106 $ 11,067
$10,334
09/92 $ 11,255 $ 11,116 $ 11,416
$11,128
12/92 $ 13,251 $ 13,038 $ 11,990
$12,316
03/93 $ 13,057 $ 12,800 $ 12,514
$12,434
06/93 $ 12,591 $ 12,297 $ 12,574
$12,887
9/93 $ 12,928 $ 12,578 $ 12,898
$13,926
12/93 $ 12,686 $ 12,297 $ 13,197
$14,331
3/94 $ 12,218 $ 11,800 $ 12,699
$13,832
6/94 $ 11,749 $ 11,304 $ 12,751
$13,044
8/94 $ 12,438 $ 11,937 $ 13,708
$14,193
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Russell 2000 Index is a capitalization weighted total return index
which is
comprised of 2000 of the smallest capitalized U.S. domiciled companies
whose
common stock is traded in the United States on the New York Stock
Exchange,
American Stock Exchange and NASDAQ. Because the index is not a
managed
portfolio, there are no advisory fees or internal management expenses
reflected
in the index's performance. The Lipper Small Company Fund Average is
composed of
the Portfolio's peer group of mutual funds which limit their
investments to
companies on the basis of the size of the company.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
110
<PAGE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ---------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 13.18% 13.18%
11.49% 11.49%
Inception (11/18/91) through 8/31/94 18.02% 17.81%
16.25% 16.05%
</TABLE>
The Portfolio had an aggregate total return of 2.21% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark
index,
Russell 2000 Growth Index, had an aggregate total return for the same
period of
.39% and average annual total returns of 5.93% and 16.63% for the fiscal
year
ended August 31, 1994 and for the period from inception through August 31,
1994,
respectively.
The Lipper Small Company Fund Average had an aggregate total
return of
(.97)% for the period from January 1, 1994 through August 31, 1994 and
average
annual total returns of 5.29% and 13.58% for the fiscal year ended August
31,
1994 and for the period from inception through August 31, 1994,
respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Russell
2000 Growth Index, outperformed the index for the fiscal year ending August
31,
1994. The performance over the fiscal year is due mainly to the Portfolio's
more
aggressive positioning than the index and to superior stock selection
by the
Portfolio's sub-advisor. The Portfolio has held stocks with significantly
higher
sales and earnings growth rates than the Russell 2000 Growth Index. These
stocks
also have higher price to earnings ratios, higher betas and have exhibited
more
volatility than the Russell 2000 Growth Index. During the Portfolio's
fiscal
year this positioning and the sub-advisor's stock selection skills were
well
rewarded.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTMENT IN
SMALL CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Small Capitalization
Growth
Investments on December 1, 1991 through August 31, 1994 as compared
with the
growth of a $10,000 investment in the Russell 2000 Index and Lipper
Small
Company Fund Average. The plot points used to draw the line graph
were as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
INVESTMENT IN THE
SMALL CAPITALIZATION SMALL CAPITALIZATION INVESTMENT IN THE
LIPPER SMALL
MONTH GROWTH INVESTMENTS GROWTH INVESTMENTS RUSSELL 2000
COMPANY FUND
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $ 10,000 $ 10,000 $ 10,000
$ 10,000
12/91 $ 11,191 $ 11,177 $ 11,142
$ 11,185
03/92 $ 10,844 $ 10,789 $ 10,861
$ 11,282
06/92 $ 10,112 $ 10,023 $ 11,067
$ 10,334
09/92 $ 10,397 $ 10,267 $ 11,416
$ 10,633
12/92 $ 12,469 $ 12,268 $ 11,990
$ 12,316
03/93 $ 12,060 $ 11,820 $ 12,514
$ 12,434
06/93 $ 13,412 $ 13,096 $ 12,574
$ 12,887
9/93 $ 15,025 $ 14,616 $ 12,898
$ 13,926
12/93 $ 15,402 $ 14,926 $ 13,197
$ 14,331
3/94 $ 14,490 $ 14,955 $ 12,699
$ 13,832
6/94 $ 13,840 $ 13,311 $ 12,751
$ 13,044
8/94 $ 15,742 $ 15,102 $ 13,708
$ 14,193
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Russell 2000 Index is a capitalization weighted total return index
which is
comprised of 2000 of the smallest capitalized U.S. domiciled companies
whose
common stock is traded in the United States on the New York Stock
Exchange,
American Stock Exchange and NASDAQ. Because the index is not a
managed
portfolio, there are no advisory fees or internal management expenses
reflected
in the index's performance. The Lipper Small Company Fund Average is
composed of
the Portfolio's peer group of mutual funds which limit their
investments to
companies on the basis of the size of the company.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
111
<PAGE>
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<CAPTION>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ---------------------------
INTERNATIONAL EQUITY INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 16.74% 16.74%
15.01% 15.01%
Inception (11/18/91) through 8/31/94 12.88% 12.88%
11.20% 11.20%
</TABLE>
The Portfolio had an aggregate total return of 16.27% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark index,
Morgan
Stanley EAFE-GDP Weighted Index, had an aggregate total return for the
same
period of 12.92% and average annual total returns of 12.04% and 14.63%
for the
fiscal year ended August 31, 1994 and for the period from inception
through
August 31, 1994, respectively. The Portfolio's secondary index, Morgan
Stanley
EAFE-Capitalization Weighted Index, had an aggregate total return for the
same
period of 12.62% and average annual total returns of 11.14% and 12.67%
for the
fiscal year ended August 31, 1994 and for the period from inception
through
August 31, 1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Morgan
Stanley EAFE Index, outperformed the index for the fiscal year ending
August 31,
1994. The Portfolio's performance is attributable to superior stock
selection,
weightings in some of the better performing markets including Malaysia,
Germany,
New Zealand, and Germany.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL EQUITY INVESTMENTS
VS.
MORGAN STANLEY EAFE-GDP WEIGHTED INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- International
Equity
Investments on December 1, 1991 through August 31, 1994 as compared
with the
growth of a $10,000 investment in Morgan Stanley EAFEGDP-Weighted Index
and
Morgan Stanley EAFA -- Capitalization Weighted. The plot points used to
draw the
line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
MORGAN STANLEY
INTERNATIONAL EQUITY INTERNATIONAL EQUITY MORGAN STANLEY
EAFA-
MONTH INVESTMENTS INVESTMENTS EAFE-GDP
CAPITALIZATION
ENDING (EXCLUDING FEE) (INCLUDING FEE) WEIGHTED INDEX
WEIGHTED
<S> <C> <C> <C>
<C>
11/91 $ 10,000 $ 10,000 $ 10,000
$ 10,000
12/91 $ 10,178 $ 10,165 $ 10,520
$ 10,580
3/92 $ 9,619 $ 9,571 $ 10,449
$ 9,852
6/92 $ 9,886 $ 9,799 $ 10,471
$ 10,196
9/92 $ 9,454 $ 9,336 $ 10,339
$ 9,960
12/92 $ 9,466 $ 9,345 $ 9,702
$ 9,613
3/93 $ 10,212 $ 10,011 $ 10,055
$ 10,764
6/93 $ 11,079 $ 10,819 $ 12,232
$ 11,745
9/93 $ 11,831 $ 11,511 $ 13,143
$ 12,724
12/93 $ 12,250 $ 11,874 $ 12,093
$ 12,891
3/94 $ 13,273 $ 12,818 $ 14,032
$ 13,615
6/94 $ 13,640 $ 13,123 $ 13,927
$ 13,982
8/94 $ 14,243 $ 13,669 $ 14,266
$ 14,557
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Morgan Stanley EAFE-GDP Weighted Index is a composite portfolio
consisting
of equity total returns for the countries of Australia and New Zealand
and
countries in Europe and the Far East, weighted based on each country's
gross
domestic product. The Morgan Stanley EAFE-Capitalization Weighted Index
is a
composite portfolio consisting of equity total returns for the
countries of
Australia, New Zealand and countries in Europe and the Far East, weighted
based
on each country's market capitalization. Because the indices are not
managed
portfolios, there are no advisory fees or internal management expenses
reflected
in the indices' performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
112
<PAGE>
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<S> <C> <C>
<C> <C>
AVERAGE ANNUAL TOTAL
RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ----------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/94 1.00% 0.88%
(0.52)% (0.63)%
Inception (11/18/91) through 8/31/94 8.36% 7.93%
6.74% 6.32%
</TABLE>
The Portfolio had an aggregate total return of 0.37% for the period
from
January 1, 1994 through August 31, 1994. The Portfolio's benchmark
index,
Salomon Brothers Non-U.S. Government Bond Index, had an aggregate total
return
for the same period of 3.34% and average annual total returns of 5.28%
and
10.98% for the fiscal year ended August 31, 1994 and for the period
from
inception through August 31, 1994, respectively.
The Portfolio's returns (excluding the TRAK fee), compared to the
Salomon
Brothers Non-US Government Bond Index, underperformed the index for the
fiscal
year ending August 31, 1994. This underperformance is mainly attributable
to the
Portfolio's posture of hedging a portion of its portfolio. This
posture of
foreign currency hedging has hurt performance as the US dollar has
fallen to
post World War II lows over the past twelve months.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL FIXED INCOME INVESTMENTS
VS.
SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- International Fixed
Income
Investments on December 1, 1991 through August 31, 1994 as compared with
the
growth of a $10,000 investment in the Salomon Brothers Non-U.S. Government
Bond
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
INTERNATIONAL INTERNATIONAL INVESTMENT IN THE
FIXED INCOME FIXED INCOME SALOMON BROTHERS
MONTH INVESTMENTS INVESTMENTS NON-U.S. GOVERNMENT
ENDING (EXCLUDING FEE) (INCLUDING FEE) BOND INDEX
<S> <C> <C> <C>
11/91 $ 10,000 $ 10,000 $ 10,000
12/91 $ 10,709 $ 10,695 $ 10,686
03/92 $ 10,223 $ 10,172 $ 10,170
06/92 $ 10,949 $ 10,854 $ 11,125
09/92 $ 11,496 $ 11,352 $ 11,946
12/92 $ 11,055 $ 10,876 $ 11,195
03/93 $ 11,589 $ 11,359 $ 11,861
06/93 $ 12,140 $ 11,855 $ 12,207
09/93 $ 12,605 $ 12,262 $ 12,864
12/93 $ 12,583 $ 12,196 $ 12,887
3/94 $ 12,568 $ 12,135 $ 13,137
6/94 $ 12,539 $ 12,060 $ 13,361
8/94 $ 12,630 $ 12,118 $ 13,318
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Salomon Brothers Non-U.S. Government Bond Index is an index subset of
the
Salomon Brothers World Bond Index that excludes corporate bonds and
bonds
denominated in U.S. dollars. It contains foreign government and
supranational
bonds denominated in Australian, Austrian, Belgian, British, Canadian,
Danish,
Dutch, French, German, Italian, Japanese, Spanish, and Swedish
currencies.
Because the index is not a managed portfolio, there are no advisory
fees or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
113
<PAGE>
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1994
<TABLE>
<S> <C> <C>
<C> <C>
AGGREGATE TOTAL RETURN
<CAPTION>
WITHOUT TRAK FEE+
WITH TRAK FEE+
------------------------
- --- ----------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ---------------
- --- ------- ------------------
<S> <C> <C>
<C> <C>
Inception (4/21/94) through 8/31/94 18.63% 18.38%
17.98% 17.73%
</TABLE>
The Portfolio's benchmark index, Morgan Stanley Emerging Markets Free
Index,
had an aggregate total return for the period since inception of 20.08%.
Since its inception in April, Emerging Markets Equity
Investments has
slightly underperformed the Morgan Stanley Emerging Markets Free Index.
Although
the four month time period is too short of a time period to make any
meaningful
comments about the fund performance; the fund appears to be in line
with the
benchmark index. The fund maintains a commitment to investing in
countries
throughout the world which are experiencing significantly higher growth
rates
than countries of the developed world. The fund maintains its largest
weightings
in Mexico, Argentina, and Brazil. Approximately one-half of the equity
holdings
are in the countries in central and South America and approximately one-
half of
the equity holdings are in countries in Asia, including Malaysia, Hong
Kong,
Singapore and Taiwan.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
EMERGING MARKETS EQUITY INVESTMENTS
VS.
MORGAN STANLEY EMERGING MARKETS FREE INDEX
APRIL 1, 1994 THROUGH AUGUST 31, 1994
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Emerging Markets on
April 1,
1994 through August 31, 1994 as compared with the growth of a $10,000
investment
in the Morgan Stanley Emerging Markets Free Index. The plot points used to
draw
the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK MORGAN STANLEY
INTERNATIONAL EQUITY INTERNATIONAL EQUITY EMERGING
MONTH INVESTMENTS INVESTMENTS MARKETS FREE
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
<S> <C> <C> <C>
4/30/94 $ 10,000 $ 10,000 $ 10,000
5/30/94 $ 10,236 $ 10,000 $ 10,342
6/30.94 $ 9,801 $ 9,825 $ 10,057
8/31/94 $ 11,744 $ 11,803 $ 12,008
</TABLE>
- ---------------------------------------------------------------------------
- -----
The Morgan Stanley Emerging Markets Free Index is an index comprised of
thirteen
emerging markets open to direct foreign participation. Because the index is
not
a managed portfolio, there are no advisory fees or internal management
expenses
reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
114
<PAGE>
Appendix to Follow
[Unaudited]
115
<PAGE>
- ----------------------------------------
[APPLICATION NOS. D-9337 AND D-9415]
SMITH BARNEY SHEARSON (SBS), LOCATED IN NEW YORK, NY
AGENCY: Pension and Welfare Benefits Administration, Labor.
ACTION: Notice of proposed exemption to modify and replace prohibited
transaction exemption (PTE) 92-77 involving Shearson Lehman Brothers, Inc.
(Shearson Lehman).
- ----------------------------------------
SUMMARY: This document contains a notice of pendency before the Department
of
Labor (the Department) of a proposed individual exemption which, if
granted,
would replace PTE 92-77 (55 FR 45833, October 5, 1992). PTE 92-77 permits
the
purchase or redemption of shares by an employee benefit plan, an individual
retirement account (the IRA) or a retirement plan for a self-employed
individual
(the Keogh Plan; collectively the Plans) in the Trust for TRAK Investments
(the
Trust) established by Shearson Lehman, in connection with such Plans'
participation in the TRAK Personalized Investment Advisory Service (the
TRAK
Program). In addition, PTE 92-77 permits the provision, by the Consulting
Group
Division of Shearson Lehman (the Consulting Group), of investment advisory
services to an independent fiduciary of a participating Plan (the
Independent
Plan Fiduciary) which may result in such fiduciary's selection of a
portfolio
(the Portfolio) in the TRAK Program for the investment of Plan assets.
These
transactions are described in a notice of pendency that was published in
the
Federal Register on April 3, 1992 at 57 FR 11514. PTE 92-77 is effective as
of
April 3, 1992.
If granted, the proposed exemption would replace PTE 92-77, which as
discussed
below, expired by operation of the law. The new proposed exemption would
permit
the replacement of Shearson Lehman with a newly-merged entity known as
"Smith
Barney Shearson, Inc." It would also permit the adoption of a daily-traded
collective investment fund (the GIC Fund) for Plans providing for
participant
directed investments (the Section 404(c) Plans). The proposed exemption
would
provide conditional relief that is identical to that provided by PTE 92-77.
In
addition, the proposed exemption would affect participants and
beneficiaries of,
and fiduciaries with respect to, Plans participating in the TRAK Program.
DATES: Written comments and requests for a public hearing should be
received by
the Department on or before the expiration of 60 days from the publication
of
this proposed exemption in the Federal Register. If granted, the proposed
exemption will be effective July 31, 1993 for transactions that are covered
by
PTE 92-77. With respect to transactions involving the GIC Fund, the
proposed
exemption will be effective as of the date the grant notice is published in
the
Federal Register.
ADDRESSES: All written comments and requests for a public hearing
(preferably,
three copies) should be sent to the Office of Exemption Determinations,
Pension
and Welfare Benefits Administration, Room N-5849, U.S. Department of Labor,
200
Constitution Avenue, NW., Washington, DC 20210. ATTENTION: Application Nos.
D-9337 and D-9415. The applications pertaining to the proposed exemption
and the
comments received will be available for public inspection in the Public
Documents Room of the Pension and Welfare Benefits Administration, U.S.
Department of Labor, room N-3307, 200 Constitution Avenue, NW., Washington,
DC
20210.
FOR FURTHER INFORMATION CONTACT: Ms. Jan D. Broady, Office of Exemption
Determinations, Pension and Welfare Benefits Administration, U.S.
Department of
Labor, telephone (202) 219-8881. (This is not a toll-free number.)
SUPPLEMENTARY INFORMATION: Notice is hereby given of the pendency before
the
Department of a proposed exemption that would replace PTE 92-77. PTE 92-77
provides an exemption from certain prohibited transaction restrictions of
section 406 of the Employee Retirement Income Security Act of 1974 (the
Act) and
from the sanctions resulting from the application of section 4975 of the
Internal Revenue Code of 1986 (the Code), as amended, by reason of section
4975(c)(1) of the Code. The proposed exemption was requested in an
application
filed by SBS pursuant to section 408(a) of the Act and section 4975(c)(2)
of the
Code, and in accordance with the procedures (the Procedures) set forth in
29 CFR
Part 2570, Subpart 3 (55 FR 32836, August 10, 1990). Effective December 31,
1978, section 102 of Reorganization Plan No. 4 of 1978 (43 FR 47713,
October 17,
1978) transferred the authority of the Secretary of the Treasury to issue
exemptions of the type requested to the Secretary of Labor. Accordingly,
this
proposed replacement exemption is being issued solely by the Department.
As stated briefly above, PTE 92-77 allows Shearson Lehman to make the
TRAK
Program available to Plans that acquire shares in the Trust subject to
certain
conditions. Specifically, PTE 92-77 provides exemptive relief from section
406(a) of the Act and the sanctions resulting from the application of
section
4975 of the Code, by reason of section 4975(c)(1) (A) through (D) of the
Code,
with respect to the purchase or redemption of shares in the Trust by Plans
investing therein. In addition, PTE 92-77 provides exemptive relief from
the
restrictions of section 408(b)(1) and (b)(2) of the Act and the sanctions
resulting from the application of section 4975 of the Code, by reason of
section
4975(c)(1)(E) of the Code, with respect to the provision, by the Consulting
Group of Shearson Lehman, of investment advisory services to an Independent
Plan
Fiduciary of a Plan participating in the TRAK Program which may result in
such
fiduciary's selection of a Portfolio in the TRAK Program for the investment
of
Plan assets.
Subsequent to the granting of PTE 92-77, Shearson Lehman informed the
Department that it had signed an asset purchase agreement with Primerica
Corporation (Primerica) and Smith Barney Harris Upham & Company, Inc.
(Smith
Barney), an indirect wholly owned subsidiary. The terms of the agreement
provided for the sale of substantially all of the assets of Shearson Lehman
and
its Asset Management Divisions (collectively, the Shearson Divisions) to
Smith
Barney.1 The transaction was completed on
- -------------
1 Shearson Lehman's other primary division, Lehman Brothers,
which is
responsible for securities underwriting, financial advisory, investment
and
merchant banking services and commodities trading as a principal and
agent has
been retained by Shearson Lehman it has been renamed "Lehman Brothers Inc."
A-1
<PAGE>
July 31, 1993. As a result of the transaction, most of the assets and
business
of the Shearson Divisions were transferred to Smith Barney which, upon
merger
with Shearson Lehman, was renamed "Smith Barney Shearson." (Smith Barney
Shearson is denoted herein as SBS.) Shearson Lehman received cash and an
interest-bearing note from SBS. As further consideration for the asset
sale, SBS
agreed to pay future contingent amounts based upon the combined performance
of
SBS and certain other Shearson Divisions acquired from Shearson Lehman.
Shearson
Lehman also assigned to the American Express Company (American Express) the
right to receive 2.5 million shares of certain convertible preferred stock
issued by Primerica and a warrant. As consideration for the assignment,
American
Express agreed to pay Shearson Lehman for the stock and the warrant based
on
their value as of March 12, 1993, the date of the Asset Purchase Agreement.
At
present, SBS offers the TRAK Program to investors through one or more of
its
subsidiaries or divisions.
Since PTE 92-77 was granted, SBS informed the Department that it wished
to
modify the exemption in order to improve the TRAK Program and make it more
responsive to the needs of investors. Specifically, SBS proposes to add to
the
Portfolios currently available under the TRAK Program, the GIC Fund, which
is
designed to invest primarily in guaranteed investment contracts (the GICs),
synthetic GIC products and/or units of other GIC collective funds. The GIC
Fund
will not differ in any material respects from the Government Money
Investments
Portfolio which generally permits daily redemptions of its shares. In
addition,
the GIC Fund will operate in a manner that is consistent with the
requirements
of PTE 92-77. SBS believes it is important to offer the GIC Fund to Section
404(c) Plans because these Plans may prefer to offer participants this type
of
investment option instead of the Government Money Investments Portfolio
presently offered to such Plans under the TRAK Program. Therefore, SBS
requests
exemptive relief in order that the GIC Fund may be added to the Portfolios
that
are available under the Trust.
The proposed GIC Fund will be a collective trust fund established and
maintained by Smith Barney Shearson Trust Company (SBS Trust), a wholly
owned
subsidiary of Primerica. The GIC Fund will invest primarily in a portfolio
of
GICs with varying maturities issued by highly-rated insurance companies,
and/or
units of other collective funds invested in GICs. The GIC Fund may also
invest
in asset-backed investment products designed to offer risk and return
characteristics similar to those of GICs (i.e., synthetic GIC products). In
addition, the GIC Fund may hold short-term, low risk securities where the
investment of all fund assets in GICs and/or units of other GIC collective
funds
is not feasible.
SBS Trust will serve as the trustee of the GIC Fund. SBS Trust will
employ a
sub-adviser (the Sub-Adviser) which is independent of SBS and its
affiliates to
make recommendations on purchases of GICs and/ or units of other GIC
collective
funds. Currently, SBS Trust employs Morley Capital Management (Morley
Capital)
of Lake Oswego, Oregon as the Sub-Adviser of the GIC Fund. SBS Trust will
also
employ Boston Company Investors Services Group (ISG), a business group of
The
Boston Company to provide custody and valuation services and The
Shareholder
Services Group, Inc. (TSSG), an entity which is indirectly owned by
American
Express, as transfer agent. Both ISG and TSSG are not affiliated with SBS.
SBS represents that the GIC Fund will not pay a management or other
similar
fee to it or SBS Trust. (SBS Trust's fees for general trust services
provided to
a Section 404(c) Plan is included in such plan's investment advisory or
"outside" fee.) A management fee may be paid to Morley Capital or any other
Sub-Adviser which is independent of SBS and its affiliates. The GIC Fund
will
pay ISG, as custodian and provider of fund valuation services, a fee for
such
services, and TSSG, as transfer agent, a fee of $8.50 to $9.50 per Section
404(c) Plan, plus out-of-pocket expenses. With respect to the fees paid to
SBS
and its affiliates, the GIC Fund will not differ materially from the
Government
Money Investments Portfolio in that it will not pay a management or other
similar fee to SBS or SBS Trust.
SBS will describe the GIC Fund in the prospectus (the Prospectus) and
promotional materials it furnishes to Section 404(c) Plan participants who
are
interested in investing in the GIC Fund. Such disclosures will reflect, in
all
material respects, the information discussed above.
Because of the foregoing material changes to the factual representations
supporting PTE 92-77, the Department has determined that the prior
exemption was
no longer effective as of July 31, 1993, the date Shearson Lehman sold the
assets described above to SBS. Thus, the Department is of the view that PTE
92-77 would be unavailable for use by SBS and its subsidiaries with respect
to
the subject transactions.
Accordingly, the Department has decided to publish a new exemption which,
if
granted, would replace PTE 92-77. Under the replacement exemption, all
references to Shearson Lehman would be replaced with references to SBS. In
addition, the replacement exemption would incorporate the new GIC Fund, SBS
Trust, ISG and TSSG. Further, the replacement exemption would have an
effective
date of July 31, 1993 for transactions described in PTE 92-77. With respect
to
transactions involving the GIC Fund, the replacement exemption would become
effective as of the date of the grant of the notices of pendency.
NOTICE TO INTERESTED PERSONS
Notice of the proposed exemption will be mailed by first class mail to
each
Plan which invests in the TRAK Program. The notice will contain a copy of
the
notice of proposed exemption as published in the Federal Register and an
explanation of the rights of interested persons to comment on and/or
request
such a hearing with respect thereto. Such notice will be sent to the above-
named
parties within 30 days of the publication of the proposed exemption in the
Federal Register. Written comments and hearing request are due within 60
days of
the publication of the proposed exemption in the Federal Register.
GENERAL INFORMATION
The attention of interested persons is directed to the following:
(1) This fact that a transaction is the subject of an exemption under
section
408(a) of the Act and section 4973(c)(2) of the Code does not relieve a
fiduciary or other party in interest or disqualified person from certain
other
provisions of the Act and the Code, including any prohibited transaction
provisions to which the exemption does not apply and the general fiduciary
responsibility provisions of section 404 of the Act, which require, among
other
things, a fiduciary to discharge his or her duties respecting the plan
solely in
the interest of the participants and beneficiaries of the plan and in a
prudent
fashion in accordance with section 404(a)(1)(B) of the Act: nor does it
affect
the requirements of section 401(a) of the Code that the Plan operate for
the
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<PAGE>
exclusive benefit of the employees of the employer maintaining the plan and
their beneficiaries:
(2) Before an exemption can be granted under section 408(a) of the Act
and
section 4975(c)(2) of the Code, the Department must find that the exemption
is
administratively feasible, in the interest of the plan and of its
participants
and beneficiaries and protective of the rights of participants and
beneficiaries
of the plan; and
(3) The proposed exemption, if granted, will be supplemental to, and not
in
derogation of, any other provisions of the Act and the Code, including
statutory
or administrative exemptions. Furthermore, the fact that a transaction is
subject to an administrative or statutory exemption is not dispositive of
whether the transaction is in fact a prohibited transaction.
(4) In addition to transactions involving the GIC Fund, the proposed
exemption, if granted, will be applicable to the transactions previously
described in PTE 92-77 only if the conditions specified therein are met.
WRITTEN COMMENTS AND HEARING REQUESTS
All interested persons are invited to submit written comments or requests
for
a hearing on the proposed replacement exemption to the address above,
within the
time period set forth above. All comments will be made a part of the
record.
Comments and requests for a hearing should state the reasons for the
writer's
interest in the proposed exemption. Comments received will be available for
public inspection with the referenced applications at the address set forth
above.
PROPOSED EXEMPTION
Under the authority of section 408(a) of the Act and section 4975(c)(2)
of the
Code and in accordance with the Procedures cited above, the Department
proposes
to replace PTE 92-77 as follows:
SECTION I. COVERED TRANSACTIONS
(a) The restrictions of section 406(a) of the Act and the sanctions
resulting from the application of section 4975 of the Code, by reason of
section
4975(c)(1)(A) through (D) of the Code, shall not apply to the purchase or
redemption of shares by Plans in the SBS-established Trust in connection
with
such Plans' participation in the TRAK Personalized Investment Advisory
Service.
(b) The restrictions of section 406(b) of the Act and the sanctions
resulting
from the application of section 4975 of the Code by reason of section
4975(c)(1)(E) and (F) of the Code, shall not apply to the provision, by the
Consulting Group, of investment advisory services to an Independent Plan
Fiduciary of a participating Plan which may result in such fiduciary's
selection
of a Portfolio in the TRAK Program for the investment of Plan assets.
The proposed exemption is subject to the following conditions that are
set
forth in Section II.
SECTION II. GENERAL CONDITIONS
(a) The participation of Plans in the TRAK Program will be approved by
an
Independent Plan Fiduciary. For purposes of this requirement, an employee,
officer or director of SBS and/or its affiliates covered by an IRA not
subject
to Title I of the Act will be considered an Independent Plan Fiduciary with
respect to such IRA.
(b) The total fees paid to the Consulting Group and its affiliates will
constitute no more than reasonable compensation.
(c) No Plan will pay a fee or commission by reason of the acquisition or
redemption of shares in the Trust.
(d) The terms of each purchase or redemption of Trust shares shall remain
at
least as favorable to an investing Plan as those obtainable in an arm's
length
transaction with an unrelated party.
(e) The Consulting Group will provide written documentation to an
Independent
Plan Fiduciary of its recommendations or evaluations based upon objective
criteria.
(f) Any recommendation or evaluation made by the Consulting Group to an
Independent Plan Fiduciary will be implemented only at the express
direction of
such independent fiduciary.
(g) The Consulting Group will generally give investment advice in writing
to
an Independent Plan Fiduciary with respect to all available Portfolios.
However,
in the case of a Section 404(c) Plan, the Consulting Group will provide
investment advice that is limited to the Portfolios made available under
the
Plan.
(h) Any Sub-Adviser that acts for the Trust to exercise investment
discretion
over a Portfolio will be independent of SBS and its affiliates.
(i) Immediately following the acquisition by a Portfolio of any
securities
that are issued by SBS and/or its affiliates, the percentage of that
Portfolio's
net assets invested in such securities will not exceed one percent.
(j) The quarterly investment advisory fee that is paid by a Plan to the
Consulting Group for investment advisory services rendered to such Plan
will be
offset by such amount as is necessary to assure that the Consulting Group
retains no more than 20 basis points from any Portfolio (with the exception
of
the Government Money Investments Portfolio and the GIC Fund Portfolio for
which
the Consulting Group and SBS Trust will retain no investment management
fee)
which contains investments attributable to the Plan investor.
(k) With respect to its participation in the TRAK Program prior to
purchasing
Trust shares.
(1) Each Plan will receive the following written or oral disclosures from
the
Consulting Group:
(A) A copy of the Prospectus for the Trust discussing the investment
objectives of the Portfolios comprising the Trust, the policies employed to
achieve these objectives, the corporate affiliation existing between the
Consulting Group, SBS and its subsidiaries and the compensation paid to
such
entities.
(B) Upon written or oral request to SBS, a Statement of Additional
Information supplementing the Prospectus which describes the types of
securities
and other instruments in which the Portfolios may invest, the investment
policies and strategies that the Portfolios may utilize and certain risks
attendant to those investments, policies and strategies.
(C) A copy of the investment advisory agreement between the Consulting
Group
and such Plan relating to participation in the TRAK Program.
(D) Upon written request of SBS, a copy of the respective investment
advisory agreement between the Consulting Group and the Sub-Advisers.
(E) In the case of a section 404(c) Plan, if required by the
arrangement
negotiated between the Consulting Group and the Plan, an explanation by an
SBS
Financial Consultant (the Financial Consultant) to eligible participants in
such
Plan, of the services offered under the TRAK Program and the operation and
objectives of the Portfolios.
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<PAGE>
(F) Copies of PTE 92-77 and documents pertaining to the proposed
replacement
exemption.
(2) If accepted as an investor in the TRAK Program, an Independent Plan
Fiduciary of an IRA or Keogh Plan, is required to acknowledge, in writing,
prior
to purchasing Trust shares that such fiduciary has received copies of the
documents described above in subparagraph (k)(1) of this section.
(3) With respect to a section 404(c) Plan, written acknowledgement of
the
receipt of such documents will be provided by the Independent Plan
Fiduciary
(i.e., the Plan administrator, trustee or named fiduciary, as the
recordholder
of Trust shares). Such Independent Plan Fiduciary will be required to
represent
in writing to SBS that such fiduciary is (a) independent of SBS and its
affiliates and (b) knowledgeable with respect to the Plan in administrative
matters and funding matters related thereto, and able to make an informed
decision concerning participation in the TRAK Program.
(4) With respect to a Plan that is covered under Title I of the Act,
where
investment decisions are made by a trustee, investment manager or a named
fiduciary, such Independent Plan Fiduciary is required to acknowledge, in
writing, receipt of such documents and represent to SBS that such fiduciary
is
(a) independent of SBS and its affiliates, (b) capable of making an
independent
decision regarding the investment of Plan assets and (c) knowledgeable with
respect to the Plan in administrative matters and funding matters related
thereto, and able to make an informed decision concerning participation in
the
TRAK Program.
(l) Subsequent to its participation in the TRAK Program, each Plan
receives
the following written or oral disclosures with respect to its ongoing
participation in the TRAK Program:
(1) The Trust's semi-annual and annual report which will include
financial
statement for the Trust and investment management fees paid by each
Portfolio.
(2) A written quarterly monitoring statement containing an analysis and
an
evaluation of a Plan investor's account to ascertain whether the Plan's
investment objectives have been met and recommending, if required, changes
in
Portfolio allocations.
(3) If required by the arrangement negotiated between the Consulting
Group
and a section 404(c) Plan, a quarterly, detailed investment performance
monitoring report, in writing, provided to an Independent Plan Fiduciary of
such
Plan showing, Plan level asset allocations, Plan cash flow analysis and
annualized risk adjusted rates of return for Plan investments. In addition,
if
required by such arrangement, Financial Consultants will meet periodically
with
Independent Plan Fiduciaries of section 404(c) Plans to discuss the report
as
well as with eligible participants to review their accounts' performance.
(4) If required by the arrangement negotiated between the Consulting
Group
and a section 404(c) Plan, a quarterly participant performance monitoring
report
provided to a Plan participant which accompanies the participant's benefit
statement and describes the investment performance of the Portfolios, the
investment performance of the participant's individual investment in the
TRAK
Program, and gives market commentary and toll-free numbers that will enable
the
participant to obtain more information about the TRAK Program or to amend
his or
her investment allocations.
(5) On a quarterly and annual basis, written disclosures to all Plans
of the
(a) percentage of each Portfolio's brokerage commissions that are paid to
SBS
and its affiliates and (b) the average brokerage commission per share paid
by
each Portfolio to SBS and its affiliates: as compared to the average
brokerage
commission per share paid by the Trust to brokers other than SBS and its
affiliates, both expressed as cents per share.
(m) SBS shall maintain, for a period of six years, the records
necessary to
enable the persons described in paragraph (n) of this section to determine
whether the conditions of this exemption have been met, except that (1) a
prohibited transaction will not be considered to have occurred if, due to
circumstances beyond the control of SBS and/ or its affiliates, the records
are
lost or destroyed prior to the end of the six year period, and (2) no party
in
interest other than SBS shall be subject to the civil penalty that may be
assessed under section 502(i) of the Act, or to the taxes imposed by
section
4975(a) and (b) of the Code, if the records are not maintained, or are not
available for examination as required by paragraph (n) below.
(n)(1)Except as provided in section (2)
of this paragraph and notwithstanding any provisions of subsections (a)(2)
and
(b) of section 504 of the Act, the records referred to in paragraph (m) of
this
section shall be unconditionally available at their customary location
during
normal business hours by:
(A) Any duly authorized employee or representative of the Department or
the
Service;
(B) Any fiduciary of a participating Plan or any duly authorized
representative of such fiduciary;
(C) Any contributing employer to any participating Plan or any duly
authorized employee representative of such employer; and
(D) Any participant or beneficiary of any participating Plan, or any
duly
authorized representative of such participant or beneficiary.
(2) None of the persons described above in subparagraphs (B)-(D) of
this
paragraph (n) shall be authorized to examine the trade secrets of SBS or
commercial or financial information which is privileged or confidential.
SECTION III. DEFINITIONS
For purposes of this exemption:
(a) An "affiliate" of SBS includes --
(1) Any person directly or indirectly through one or more
intermediaries,
controlling, controlled by, or under common control with SBS. (For purposes
of
this subsection, the term "control" means the power to exercise a
controlling
influence over the management or policies of a person other than an
individual.)
(2) Any officer, director or partner in such person, and
(3) Any corporation or partnership of which such person is an officer,
director or a 5 percent partner or owner.
(b) An "Independent Plan Fiduciary" is a Plan fiduciary which is
independent
of SBS and its affiliates and is either --
(1) A Plan administrator, sponsor, trustee or named fiduciary, as the
recordholder of Trust shares of a section 404(c) Plan.
(2) A participant in a Keogh Plan.
A-4
<PAGE>
(3) An individual covered under a self-directed IRA which invests in
Trust
shares, or
(4) A trustee, investment manager or named fiduciary responsible for
investment decisions in the case of a Title I Plan that does not permit
individual direction as contemplated by section 404(c) of the Act.
SECTION IV. EFFECTIVE DATES
This exemption will be effective as of July 31, 1993, except for
transactions involving the GIC Fund. The exemption will be effective upon
its
grant with respect to the inclusion of the GIC Fund in the TRAK Program.
The availability of this proposed exemption is subject to the express
condition that the material facts and representations contained in the
applications for exemption are true and complete and accurately describe
all
material terms of the transactions. In the case of continuing transactions,
if
any of the material facts or representations described in the applications
change, the exemption will cease to apply as of the date of such change. In
the
event of any such change, an application for a new exemption must be made
to the
Department.
For a more complete statement of the facts and representations supporting
the
Department's decision to grant PTE 92-77, refer to the proposed exemption
and
grant notice which are cited above.
Signed at Washington, D.C. this 23rd day of March, 1994.
Ivan L. Strasfeld,
DIRECTOR OF EXEMPTION DETERMINATIONS,
PENSION AND WELFARE BENEFITS ADMINISTRATION,
U.S. DEPARTMENT OF LABOR.
[FR Doc. 94-7271 Filed 3-28-94: 8:45 am]
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<PAGE>
- ----------------------------------------
[PROHIBITED TRANSACTION EXEMPTION 94-4S; APPLICATION NOS. D-9337 AND D-
9415]
SMITH BARNEY, INC. (SBI), LOCATED IN NEW YORK, NY
AGENCY: Pension and Welfare Benefits Administration.
ACTION: Grant of individual exemption to modify and replace prohibited
transaction exemption (PTE) 92-77 involving Shearson Lehman Brothers, Inc.
(Shearson Lehman).
- ----------------------------------------
SUMMARY: This document contains an individual exemption which supersedes
PTE
92-77 (57 FR 45833, October 5, 1992).1 This exemption permits the
replacement of
Shearson Lehman with an entity known as "Smith Barney Inc."2 It also allows
SBI
to adopt a daily-traded collective investment fund (the GIC Fund) for Plans
investing in the Consulting Group Capital Markets Funds (the Trust). The
exemption provides conditional relief that is identical to that provided by
PTE
92-77 and it will affect participants and beneficiaries of, and fiduciaries
with
respect to, Plans participating in the Trust.
EFFECTIVE DATE This exemption is effective July 31, 1993 for transactions
that
are covered by PTE 92-77. With respect to transactions involving the GIC
Fund,
the exemption is effective March 29, 1994.
FOR FURTHER INFORMATION CONTACT: Ms. Jan D. Broady, Office of Exemption
Determinations, Pension and Welfare Benefits Administration, U.S.
Department of
Labor, telephone (202) 219-8881. (This is not a toll-free number.)
SUPPLEMENTARY INFORMATION: On March 29, 1994, the Department of Labor (the
Department) published a notice of proposed exemption (the Notice) in the
FEDERAL
REGISTER (59 FR 14680) that would replace PTE 92-77. PTE 92-77 provides an
exemption from certain prohibited transaction restrictions of section 406
of the
Employee Retirement Income Security Act of 1974 (the Act) and from the
sanctions
resulting from the application of section 4975 of the Internal Revenue Code
of
1986 (the Code), as amended, by reason of section 4975(c)(1) of the Code.
The
proposed exemption was requested in an application filed by SBI pursuant to
section 408(a) of the Act and section 4975(c)(2) of the Code, and in
accordance
with the procedures (the Procedures) set forth in 29 CFR Part 2570, Subpart
B
(55 FR 32836, August 10, 1990). Effective December 31, 1978, section 102 of
Reorganization Plan No. 4 of 1978 (43 FR 47713, October 17, 1978)
transferred
the authority of the Secretary of the Treasury to issue exemptions of the
type
requested to the Secretary of Labor. Accordingly, this replacement
exemption is
being issued solely by the Department.
The Notice gave interested persons an opportunity to comment on the
proposed
exemption and to request a public hearing. The only written comments
submitted
to the Department during the comment period were made by SBI. These
comments
expressed SBI's substantive concerns about the Notice and offered
suggestions
for clarifying certain language of the Notice. Discussed below are SBI's
comments and the Department's responses thereto. Also discussed is a
comment
made by the Department.
SBI'S COMMENTS
SBI notes that there is an ambiguity regarding the effective date of
the GIC
Fund. SBI represents that the Notice provides in the last paragraph under
the
heading "Supplementary Information," that with respect to transactions
involving
the GIC Fund, the exemption "would become effective as of the date of the
grant
of the notice of pendency." However, under the captions EFFECTIVE DATES and
DATES, SBI explains that the Notice states that the exemption will be
effective
"upon its grant," or "as of the date the grant notice is published."
Because it
was the intention of the parties that the effective date for transactions
involving the GIC Fund would be March 29, 1994, the date of publication of
the
Notice in the FEDERAL REGISTER, SBI requests that the Department make the
exemption retroactive to this date for the GIC Fund.
The Department has considered SBI's comment and has made the requested
modification.
SBI wishes to modify the exemption in order that it may offer the GIC
Fund to
both fiduciary-directed Plans as well as Plans providing for
participant-directed investments (the Section 404(c) Plans). The Department
believes this comment has merit and that it would be potentially beneficial
to
participants and beneficiaries since it provides different
- -------------
1 PTE 92-77 provides exemptive relief from section 406(a) of the Act
and the
sanctions resulting from the application of section 4975 of the Code, by
reason
of section 4975(c)(1) (A) through (D) of the Code, with respect to the
purchase
or redemption of shares in the Trust for TRAK Investments (which has
been
redesignated as the "Consulting Group Capital Markets Funds" and is
referred to
herein as the Trust) by Plans investing therein. In addition, PTE 92-77
provides
exemptive relief from the restrictions of section 406 (b)(1) and (b)(2) of
the
Act and the sanctions resulting from the application of section 4975
of the
Code, by reason of section 4975(c)(1)(E) of the Code, with respect to
the
provision, by the Consulting Group of Shearson Lehman, of investment
advisory
services to an Independent Plan Fiduciary of a Plan participating in the
TRAK
Personalized Investment Advisory Service (the TRAK Program) which may
result in
such fiduciary's selection of a Portfolio in the TRAK Program for the
investment
of Plan assets.
- -------------
2 Effective June 1, 1994, Smith Barney Shearson, Inc. (SBS) was renamed
"Smith
Barney Inc." Hereinafter, SBS is referred to in this grant notice as
either
"Smith Barney Inc." or "SBI."
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<PAGE>
types of Plans participating in the TRAK Program with the opportunity to
invest
in the GIC Fund.
SBI explains that in the preamble to the Notice there is a statement to
the
effect that it will "describe the GIC Fund in a prospectus (the Prospectus)
and
promotional materials that will be furnished to Section 404(c) Plan
participants." SBI represents that interests in the GIC Fund are not
subject to
the registration and Prospectus delivery requirements of the Securities Act
of
1933. Also, SBI points out that the conditions of PTE 92-77 require it to
deliver copies of the Trust Prospectus only to the Plan administrator and
not to
the individual participants. Because it has no practical means of
delivering
Prospectuses or other disclosures to participants, SBI indicates that the
responsibility for providing these materials to participants rests with the
Plan
administrator. In this regard, SBI represents that the disclosure
information it
will make available to all Plans proposing to invest in the GIC Fund will
include copies of the Trust Prospectus and a separate description of the
GIC
Fund's investment objectives, policies and processes. SBI explains that its
description of the GIC Fund will be designed to provide a participant with
sufficient information in order that the participant can make an informed
investment decision.
The Department concurs with these comments.
In addition to principal comments discussed above, SBI has made certain
technical clarifications and updates to the Notice in the following areas:
(1) GENERAL.
a. REDESIGNATIONS. SBI explains that effective December 31, 1993,
Primerica Corporation changed its name to "The Travelers Inc." and that
effective May 9, 1994, the "Trust for TRAK Investments" was renamed
"Consulting
Group Capital Markets Funds." Also effective June 1, 1994, "Smith Barney
Shearson Inc." was renamed "Smith Barney Inc."
(2) SUPPLEMENTARY INFORMATION.
a. ASSET SALE TRANSACTION. SBI explains that the transaction by which
Smith Barney Harris Upham & Company, Inc. (Smith Barney) acquired Shearson
Lehman and its Asset Management Divisions was an asset sale and not a
merger.
Accordingly, SBI suggests that the fourth sentence of the third paragraph
under
the heading "Supplementary Information," read as follows: "As a result of
the
transaction, most of the assets and business of the Shearson divisions were
transferred to Smith Barney, which was renamed 'Smith Barney Shearson Inc.'
"
b. FEES PAID TO TRANSFER AGENT. SBI represents that in the seventh
paragraph under the heading "Supplementary Information," the Notice states
that
The Shareholder Services Group (TSSG), as transfer agent, will charge a fee
of
$8.50 to $9.50 per plan for its transfer agency services. While these are
the
current expected fee levels, SBI notes that such fees may increase or
decrease
in the future. Because TSSG is no longer an affiliate, SBI requests that
the
paragraph be amended to provide that TSSG as transfer agent will receive a
reasonable fee for its services rather than specifying a precise dollar
amount.
(3) GENERAL CONDITIONS.
a. WRITTEN DISCLOSURES. Section II(k)(1)(F) of the General Conditions
of
the Notice states that SBI will provide copies of PTE 92-77 and documents
pertaining to the proposed replacement exemption to each Plan participating
in
the TRAK Program. SBI wishes to clarify that the "documents pertaining to
the
proposed replacement exemption" refer to copies of the Notice and, when
issued,
the final exemption.
The Department concurs with the above supplemental clarifications to the
Notice that have been made by SBI and hereby incorporates these changes, as
well
as the substantive changes also described above, by reference into the
Notice
and, where applicable, into this final exemption.
DEPARTMENT'S COMMENT
Section III of the Notice, which is captioned "Definitions," provides
several meanings of the term "Independent Plan Fiduciary" in subparagraph
(b).
For purposes of the exemption, the term "Independent Plan Fiduciary" may
include
a Plan administrator, a participant in a Keogh Plan, an individual covered
under
a self-directed IRA or a trustee of a Title I Plan that does not permit
participant-directed investments as contemplated under section 404(c) of
the
Act. However, due to an oversight, the definition does not extend to a
participant in a Section 404(c) Plan. Because the TRAK Program is being
marketed
as an investment alternative to Section 404(c) Plans and the individual
participant of such Plan makes the decision on whether to invest therein,
the
Department has amended the definition of the term "Independent Plan
Fiduciary"
by providing a new subparagraph (b)(5) which includes a Section 404(c) Plan
participant.
Accordingly, after consideration of the entire exemption record,
including the
written comments, the Department has determined to grant the replacement
exemption as modified herein.
GENERAL INFORMATION
The attention of interested persons is directed to the following:
(1) The fact that a transaction is the subject of an exemption under
section
408(a) of the Act and section 4975(c)(2) of the Code does not relieve a
fiduciary or other party in interest or disqualified person from certain
other
provisions of the Act and the Code, including any prohibited transaction
provisions to which the exemption does not apply and the general fiduciary
responsibility provisions of section 404 of the Act, which require, among
other
things, a fiduciary to discharge his or her duties respecting the plan
solely in
the interest of the participants and beneficiaries of the plan and in a
prudent
fashion in accordance with section 404(a)(1)(B) of the Act; nor does it
affect
the requirements of section 401(a) of the Code that the plan operate for
the
exclusive benefit of the employees of the employer maintaining the plan and
their beneficiaries;
(2) In accordance with section 408(a) of the Act and section 4975(c)(2)
of
the Code, the Department has found that the exemption is administratively
feasible, in the interest of the Plans and their participants and
beneficiaries
and protective of the rights of participants and beneficiaries of the
Plans; and
(3) The exemption is supplemental to, and not in derogation of, any
other
provisions of the Act and the Code, including statutory or administrative
exemptions. Furthermore, the fact that a transaction is subject to an
administrative or statutory exemption is not dispositive of whether the
transaction is in fact a prohibited transaction.
(4) In addition to transactions involving the GIC Fund, the exemption
is
applicable to the transactions previously described in PTE 92-77 only if
the
conditions specified therein are met.
EXEMPTION
Under the authority of section 408(a) of the Act and section 4975(c)(2)
of the
Code
A-7
<PAGE>
and in accordance with the Procedures cited above, the Department hereby
replaces PTE 92-77 as follows:
SECTION I. COVERED TRANSACTIONS
(a) The restrictions of section 406(a) of the Act and the sanctions
resulting from the application of section 4975 of the Code, by reason of
section
4975(c)(1)(A) through (D) of the Code, shall not apply to the purchase or
redemption of shares by Plans in the SBI-established Trust in connection
with
such Plans' participation in the TRAK Personalized Investment Advisory
Service.
(b) The restrictions of section 406(b) of the Act and the sanctions
resulting from the application of section 4975 of the Code by reason of
section
4975(c)(1)(E) and (F) of the Code, shall not apply to the provision, by the
Consulting Group, of investment advisory services to an Independent Plan
Fiduciary of a participating Plan which may result in such fiduciary's
selection
of a Portfolio in the TRAK Program for the investment of Plan assets.
The exemption is subject to the following conditions that are set forth
in
Section II.
SECTION II. GENERAL CONDITIONS
(a) The participation of Plans in the TRAK Program will be approved by
an
Independent Plan Fiduciary. For purposes of this requirement, an employee,
officer or director of SBI and/or its affiliates covered by an IRA not
subject
to Title I of the Act will be considered an Independent Plan Fiduciary with
respect to such IRA.
(b) The total fees paid to the Consulting Group and its affiliates will
constitute no more than reasonable compensation.
(c) No Plan will pay a fee or commission by reason of the acquisition
or
redemption of shares in the Trust.
(d) The terms of each purchase or redemption of Trust shares shall
remain at
least as favorable to an investing Plan as those obtainable in an arm's
length
transaction with an unrelated party.
(e) The Consulting Group will provide written documentation to an
Independent Plan Fiduciary of its recommendations or evaluations based upon
objective criteria.
(f) Any recommendation or evaluation made by the Consulting Group to an
Independent Plan Fiduciary will be implemented only at the express
direction of
such independent fiduciary.
(g) The Consulting Group will generally give investment advice in
writing to
an Independent Plan Fiduciary with respect to all available Portfolios.
However,
in the case of a Section 404(c) Plan, the Consulting Group will provide
investment advice that is limited to the Portfolios made available under
the
Plan.
(h) Any Sub-Adviser that acts for the Trust to exercise investment
discretion over a Portfolio will be independent of SBI and its affiliates.
(i) immediately following the acquisition by a Portfolio of any
securities
that are issued by SBI and/or its affiliates, the percentage of that
Portfolio's
net assets invested in such securities will not exceed one percent.
(j) The quarterly investment advisory fee that is paid by a Plan to the
Consulting Group for investment advisory services rendered to such Plan
will be
offset by such amount as is necessary to assure that the Consulting Group
retains no more than 20 basis points from any Portfolio (with the exception
of
the Government Money Investments Portfolio and the GIC Fund Portfolio for
which
the Consulting Group and SBI Trust will retain no investment management
fee)
which contains investments attributable to the Plan investor.
(k) With respect to its participation in the TRAK Program prior to
purchasing Trust shares.
(l) Each Plan will receive the following written or oral disclosures
from
the Consulting Group:
(A) A copy of the Prospectus for the Trust discussing the investment
objectives of the Portfolios comprising the Trust, the policies employed to
achieve these objectives, the corporate affiliation existing between the
Consulting Group, SBI and its subsidiaries and the compensation paid to
such
entities.3
(B) Upon written or oral request to SBI, a Statement of Additional
Information supplementing the Prospectus which describes the types of
securities
and other instruments in which the Portfolios may invest, the investment
policies and strategies that the Portfolios may utilize and certain risks
attendant to those investments, policies and strategies.
(C) A copy of the investment advisory agreement between the Consulting
Group
and such Plan relating to participation in the TRAK Program.
(D) Upon written request of SBI, a copy of the respective investment
advisory agreement between the Consulting Group and the Sub-Advisers.
(E) In the case of a Section 404(c) Plan, if required by the
arrangement
negotiated between the Consulting Group and the Plan, an explanation by an
SBI
Financial Consultant (the Financial Consultant) to eligible participants in
such
Plan, of the services offered under the TRAK Program and the operation and
objectives of the Portfolios.
(F) Copies of PTE 92-77 and documents pertaining to the replacement
exemption.
(2) If accepted as an investor in the TRAK Program, an Independent Plan
Fiduciary of an IRA or Keogh Plan, is required to acknowledge, in writing,
prior
to purchasing Trust shares that such fiduciary has received copies of the
documents described above in subparagraph (k)(1) of this Section.
- -------------
3 The fact that certain transactions and fee arrangements are the
subject of
an administrative exemption does not relieve the Independent Plan Fiduciary
from
the general fiduciary responsibility provisions of section 404 of the
Act. In
this regard, the Department expects the Independent Plan Fiduciary to
consider
carefully the totality of fees and expenses to be paid by the Plan
including the
fees paid directly to SBI or to other third parties and paid directly
through
the Trust to SBI.
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<PAGE>
(3) With respect to a Section 404(c) Plan, written acknowledgement of
the
receipt of such documents will be provided by the Independent Plan
Fiduciary
(i.e., the Plan administrator, trustee or named fiduciary, as the
recordholder
of Trust shares). Such Independent Plan Fiduciary will be required to
represent
in writing to SBI that such fiduciary is (a) independent of SBI and its
affiliates and (b) knowledgeable with respect to the Plan in administrative
matters and funding matters related thereto, and able to make an informed
decision concerning participation in the TRAK Program.
(4) With respect to a Plan that is covered under Title I of the Act,
where
investment decisions are made by a trustee, investment manager or a named
fiduciary, such Independent Plan Fiduciary is required to acknowledge, in
writing, receipt of such documents and represent to SBI that such fiduciary
is
(a) independent of SBI and its affiliates, (b) capable of making an
independent
decision regarding the investment of Plan assets and (c) knowledgeable with
respect to the Plan in administrative matters and funding matters related
thereto, and able to make an informed decision concerning participation in
the
TRAK Program.
(l) Subsequent to its participation in the TRAK Program, each Plan
receives
the following written or oral disclosures with respect to its ongoing
participation in the TRAK Program:
(1) The Trust's semi-annual and annual report which will include
financial
statement for the Trust and investment management fees paid by each
Portfolio.
(2) A written quarterly monitoring statement containing an analysis and
an
evaluation of a Plan investor's account to ascertain whether the Plan's
investment objectives have been met and recommending, if required, changes
in
Portfolio allocations.
(3) If required by the arrangement negotiated between the Consulting
Group
and a Section 404(c) Plan, a quarterly, detailed investment performance
monitoring report, in writing, provided to an Independent Plan Fiduciary of
such
Plan showing, Plan level asset allocations, Plan cash flow analysis and
annualized risk adjusted rates of return for Plan investments. In addition,
if
required by such arrangement, Financial Consultants will meet periodically
with
Independent Plan Fiduciaries of Section 404(c) Plans to discuss the report
as
well as with eligible participants to review their accounts' performance.
(4) If required by the arrangement negotiated between the Consulting
Group
and a Section 404(c) Plan, a quarterly participant performance monitoring
report
provided to a Plan participant which accompanies the participant's benefit
statement and describes the investment performance of the Portfolios, the
investment performance of the participant's individual investment in the
TRAK
Program, and gives market commentary and toll-free numbers that will enable
the
participant to obtain more information about the TRAK Program or to amend
his or
her investment allocations.
(5) On a quarterly and annual basis, written disclosures to all Plans
of the
(a) percentage of each Portfolio's brokerage commissions that are paid to
SBI
and its affiliates and (b) the average brokerage commission per share paid
by
each Portfolio to SBI and its affiliates, as compared to the average
brokerage
commission per share paid by the Trust to brokers other than SBI and its
affiliates, both expressed as cents per share.
(m) SBI shall maintain, for a period of six years, the records
necessary to
enable the persons described in paragraph (n) of this Section to determine
whether the conditions of this exemption have been met, except that (1) a
prohibited transaction will not be considered to have occurred if, due to
circumstances beyond the control of SBI and/ or its affiliates, the records
are
lost or destroyed prior to the end of the six year period, and (2) no party
in
interest other than SBI shall be subject to the civil penalty that may be
assessed under section 502(i) of the Act, or to the taxes imposed by
section
4975(a) and (b) of the Code, if the records are not maintained, or are not
available for examination as required by paragraph (n) below.
(n)(1)Except as provided in section (2)
of this paragraph and notwithstanding any provisions of subsections (a) (2)
and
(b) of section 504 of the Act, the records referred to in paragraph (m) of
this
Section shall be unconditionally available at their customary location
during
normal business hours by:
(A) Any duly authorized employee or representative of the Department or
the
Internal Revenue Service;
(B) Any fiduciary of a participating Plan or any duly authorized
representative of such fiduciary;
(C) Any contributing employer to any participating Plan or any duly
authorized employee representative of such employer; and
(D) Any participant or beneficiary of any participating Plan, or any
duly
authorized representative of such participant or beneficiary.
(2) None of the persons described above in subparagraphs (B)-(D) of
this
paragraph (n) shall be authorized to examine the trade secrets of SBI or
commercial or financial information which is privileged or confidential.
SECTION III. DEFINITIONS
For purposes of this exemption:
(a) An "affiliate" of SBI includes --
(1) Any person directly or indirectly through one or more
intermediaries,
controlling, controlled by, or under common control with SBI. (For purposes
of
this subsection, the term "control" means the power to exercise a
controlling
influence over the management or policies of a person other than an
individual.)
(2) Any officer, director or partner in such person, and
(3) Any corporation or partnership of which such person is an officer,
director or a 5 percent partner or owner.
(b) An "Independent Plan Fiduciary" is a Plan fiduciary which is
independent
of SBI and its affiliates and is either
(1) A Plan administrator, sponsor, trustee or named fiduciary, as the
recordholder of Trust shares of a Section 404(c) Plan,
(2) A participant in a Keogh Plan,
(3) An individual covered under a self-directed IRA which invests in
Trust
shares,
(4) A trustee, investment manager or named fiduciary responsible for
investment decisions in the case of a Title I Plan that does not permit
individual direction as contemplated by Section 404(c) of the Act, or
(5) A participant in a Section 404(c) Plan.
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<PAGE>
SECTION IV. EFFECTIVE DATES
This exemption will be effective as of July 31, 1993, except for
transactions involving the GIC Fund. The exemption will be effective March
29,
1994 with respect to the inclusion of the GIC Fund in the TRAK Program.
The availability of this exemption is subject to the express condition
that
the material facts and representations contained in the applications for
exemption are true and complete and accurately describe all material terms
of
the transactions. In the case of continuing transactions, if any of the
material
facts or representations described in the applications change, the
exemption
will cease to apply as of the date of such change. In the event of any such
change, an application for a new exemption must be made to the Department.
For a more complete statement of the facts and representations supporting
the
Department's decision to grant PTE 92-77, refer to the proposed exemption
and
grant notice which are cited above.
Signed at Washington, DC, this 16th day of June 1994.
Ivan L. Strasfeld,
DIRECTOR OF EXEMPTION DETERMINATIONS,
PENSION AND WELFARE BENEFITS ADMINISTRATION,
U.S. DEPARTMENT OF LABOR.
[FR Doc. 94-15006 Filed 6-20-94; 8:45 am]
BILLING CODE 4510-29-P
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<PAGE>
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS
OF
CONSULTING GROUP CAPITAL MARKETS FUNDS.
IT IS NOT AUTHORIZED FOR DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS
ACCOMPANIED OR PRECEDED BY AN EFFECTIVE PROSPECTUS FOR THE TRUST WHICH
CONTAINS
INFORMATION CONCERNING THE TRUST'S INVESTMENT POLICIES, CHARGES AND
EXPENSES AS WELL AS OTHER PERTINENT INFORMATION.
TK2120 CONSULTING GROUP CAPITAL MARKETS FUNDS - 222 DELAWARE
AVENUE -
WILMINGTON, DELAWARE - 19801
J4
