As filed with the Securities and Exchange Commission on October 19,
1994
Registration No. 33-40823
811-6318
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-1A
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933 X
Pre-Effective Amendment No. _______
Post-Effective Amendment No. 7 X
REGISTRATION STATEMENT UNDER THE INVESTMENT COMPANY ACT OF 1940
Amendment No. 9 X
CONSULTING GROUP CAPITAL MARKETS FUNDS
(Exact name of Registrant as Specified in Charter)
222 Delaware Avenue, Wilmington, Delaware 19801
(Address of Principal Executive Offices) (Zip Code)
Registrant's Telephone Number, including Area Code:
(302) 888-4104
Christina T. Sydor
Consulting Group Capital Markets Funds
1345 Avenue of the Americas
New York, New York 10105
(Name and Address of Agent for Service)
Approximate Date of Proposed Public Offering:
As soon as possible after this Post-Effective Amendment becomes effective
It is proposed that this filing will become effective:
X immediately upon filing pursuant to Rule 485(b)
on ________, 1994 pursuant to Rule 485(b)
60 days after filing pursuant to Rule 485(a)
on _________________ pursuant to Rule 485(a)
___________________________________
The Registrant has previously filed a declaration of indefinite
registration of its shares pursuant to Rule 24f-2 under the Investment
Company Act of 1940. Registrant's Rule 24f-2 Notice for the fiscal year
ended August 31, 1994 will be filed on or about October 31, 1994.
Part A (the Prospectus) and Part B (the Statement of Additional
Information) are incorporated by reference to Post-Effective Amendment No.
6 as filed with the Securities and Exchange Commission on March 18, 1994.
CONSULTING GROUP CAPITAL MARKETS FUNDS
FORM N-1A
CROSS REFERENCE SHEET
PURSUANT TO RULE 485(b)
Part A.
Item No. Prospectus Heading
1. Cover Page Cover Page
2. Synopsis Summary
3. Condensed Financial Information Financial Highlights
4. General Description of Registrant Cover Page; Summary; Objectives
and Policies of the Portfolios; Additional Information
5. Management of the Fund Summary; TRAK Fees; Portfolio Expenses;
Management of the Trust; Custodian and Transfer Agent
6. Capital Stock and Other Securities Cover Page; Dividends,
Distributions and Taxes; Additional Information
7. Purchase of Securities Being Offered Summary; Purchase of
Shares; Net Asset Value; Exchange Privilege
8. Redemption or Repurchase Redemption of Shares; Exchange
Privilege
9. Pending Legal Proceedings Not Applicable
Part B Heading in Statement of
Item No. Additional Information
10. Cover Page Cover Page
11. Table of Contents Contents
12. General Information and History Management of the Trust; See
Prospectus -- "Additional Information"
13. Investment Objectives and Policies Objectives and Policies of the
Portfolios
14. Management of the Fund Management of the Trust; Custodian and
Transfer Agent
15. Control Persons and Principal Holders of Securities Management of
the Trust
16. Investment Advisory and Other Services Purchase of Shares;
Management of the Trust; Custodian and Transfer Agent; See Prospectus --
"TRAK Fees; Portfolio Expenses"; "Custodian and Transfer Agent" and
"Management of the Trust"
17. Brokerage Allocation and Other Practices Objectives and Policies of
the Portfolios
18. Capital Stock and Other Securities See Prospectus -- "Dividends,
Distributions and Taxes" and "Additional Information"
19. Purchase, Redemption and Pricing of Purchase of Shares; Net Asset
Value;
Securities Being Offered See Prospectus -- "Exchange Privilege"
20. Tax Status Taxes; See Prospectus -- "Dividends, Distributions and
Taxes"
21. Underwriters Objectives and Policies of the Portfolios; Purchase
of Shares; See Prospectus -- "Purchase of Shares"
22. Calculation of Performance Data Determination of Performance; See
Prospectus - "Performance of the Portfolios"
23. Financial Statements Report of Independent Accountants; Statement
of Assets and Liabilities
CONSULTING GROUP CAPITAL MARKETS FUNDS (the "Trust")
Supplement to the Prospectus dated March 18, 1994
The following information supplements the disclosure regarding the Trust's
Emerging Markets Equity Investments portfolio found on pages 5 and 6 of the
Prospectus of the Trust under "TRAK FEES; PORTFOLIO EXPENSES" and
"FINANCIAL HIGHLIGHTS", respectively.
TRAK FEES; PORTFOLIO EXPENSES
Emerging Markets Equity Investments
Shareholder Transaction Expenses None
Maximum Annual TRAK Fee (as a
percentage of the value of Portfolio
shares held on the last calendar day
of the previous quarter) 1.50%
Annual Portfolio Operating Expenses
(as a percentage of net assets)
Management Fees (net of fee waivers) 0.26%
Distribution (Rule 12b-1) Expenses None
Other Expenses 1.46%
Total Operating Expenses* 1.72%
*Before voluntary fee waivers and/or expenses were reimbursed by the
Service Providers, the Total Operating Expenses would have been 2.56% for
Emerging Markets Equity Investments.
Example
A shareholder would pay the following expenses on a $1,000
investment, assuming (i) a 5% annual return and (ii) redemption at the end
of each time period:
1 Year 3 Years 5 Years 10 Years
$17 $54 $93 $203
FINANCIAL HIGHLIGHTS
Emerging Markets Equity Investments
For a Portfolio share outstanding throughout the period.
Period
Ended
8/31/94*
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, and 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%
__________________________________________
* 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).
CONSULTING GROUP CAPITAL MARKETS FUNDS (the "Trust")
Supplement to the Statement of Additional Information dated March 18, 1994
The following Unaudited Financial Information for the Trust's Emerging
Markets Equity Investments Portfolio, for the period beginning April
21,1994 (commencement of operations) through August 31, 1994 supplements
the disclosure found on page 26 of the Statement of Additional Information
dated March 18, 1994.
<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
Statements of Assets and
Liabilities................................................. 4
Statements of
Operations.............................................................
8
Statements 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>
(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 Affiliated 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................. -- -- -
- - -- --
Net unrealized depreciation of
forward foreign exchange
contracts (Note 1)
See accompanying schedules.......
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 $225,276,027
$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 Affiliated 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 --
Net unrealized depreciation of
forward foreign exchange
contracts (Note 1)
See accompanying schedules.......
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 Affiliated 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................. -- --
- -- --
Net unrealized depreciation of
forward foreign exchange
contracts (Note 1)
See accompanying schedules.......
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) $ (1,390,385)
Accumulated net realized
gain/(loss) on securities,
futures contracts forward foreign
contracts and currency
transactions..................... (43,701) (4,228,812)
(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............................ 184,513,800 234,011,987
100,142,508 59,740,798 126,673,468
------------- ------------- ----
- -------- ------------ ------------
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 $ 14,739,004
$ 1,388,158 $ 2,326,425
Accumulated net realized
gain/(loss) on securities,
futures contracts forward foreign
contracts and currency
transactions..................... 70,038 10,199,232
(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............................ 14,411,512 781,972,531
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)........ $ -- $ (3,652,121)
$ 2,877 $ (84,673)+
Accumulated net realized
gain/(loss) on securities,
futures contracts forward foreign
contracts and currency
transactions..................... (2,394,473) 14,300,919
(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 94,119,402
(1,199,083) 3,991,025
Par value.......................... 14,418 54,793
14,320 3,830
Paid-in capital in excess of par
value............................ 154,546,956 490,141,995
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............ -- (4,549,551)
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............................. -- 1,413,014
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) (11,350,455)
(4,649,746) (2,743,928) (5,667,609)
Distributions from net realized
capital gains.................. -- (1,117,476)
(655,412) (324,662) (91,163)
Distributions in excess of net
realized capital gains........... -- (550,795)
- -- (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);
$(1,390,385); $102,151;
$14,739,004; $1,388,158;
$2,326,425; $0; $(3,652,121);
$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);
$(1,390,385); $102,151;
$14,739,004; $1,388,158;
$2,326,425; $0; $(3,652,121);
$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) 13,729,983
(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 55,845,257
(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........................... -- (984,596)
(9,381,369) --
Distributions from net realized
capital gains.................. (343,998) (8,596,730)
(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);
$(1,390,385); $102,151;
$14,739,004; $1,388,158;
$2,326,425; $0; $(3,652,121);
$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#................... 0.45 0.51
0.34
Net realized and unrealized gain/(loss)
on investments......................... (0.54) 0.33
0.25
-------- --------
- --------
Total from investment operations......... (0.09) 0.84
0.59
Less Distributions:
Distributions from net investment
income................................. (0.48) (0.48)
(0.34)
Distributions from net realized capital
gains.................................. (0.05) (0.03)
- --
Distributions in excess of net realized
gains.................................. (0.03) --
- --
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#........................ 0.39
0.47 0.31
Net realized and unrealized gain/(loss) on
investments................................. (0.76)
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 $0.38, $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#................... 0.39 0.41
0.30
Net realized and unrealized gain/(loss)
on investments......................... (0.70) 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 $0.38, $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#........................ 0.42
0.53 0.40
Net realized and unrealized gain/(loss) on
investments................................. (0.42)
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 $0.40, $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#................... 0.18 0.25
0.09
Net realized and unrealized gain on
investments............................ 0.01 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 $0.18.
</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)....... $594,964 $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++......................................... (1.13)%
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 $0.40, $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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
U.S. Treasury Obligations 12.3%
US Government and Agency Obligations 86.2%
Net Other Assets and Liabilities 1.5%
---
100.0%
---
---
</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 -- 45.8%
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 -- 7.6%
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
2,050,000 Merrill Lynch Corporation, Note,
8.978% due 10/25/15.............................
2,101,250
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
----
- --------
16,936,813
----
- --------
</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 $106,097,174).............................
102,331,720
----
- --------
</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 -- 29.5%
<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 Prinicipal Only, FNMA Strips, Zero Coupon due
10/10/01........................................
2,129,540
----
- --------
18,443,274
----
- --------
COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 1.5%
Federal Deposit Insurance Company REMIC Trust:
2,000,000 7.850% due 9/25/25................................
2,012,813
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
----
- --------
3,345,813
----
- --------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 0.7%
Multiclass Mortgage PC:
300,000 Series 1235 Class A 5.500% due 8/15/03............
286,554
702,746 Series 1519 Class D 5.460% due 5/15/08............
676,612
665,311 Series 1606 Class LC 5.260% due 12/15/08..........
654,708
78,060 Series 1635 Class IA 1.430% due 4/15/22...........
66,376
----
- --------
1,684,250
----
- --------
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$67,503,623)....................................
65,972,351
----
- --------
</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.
+ 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. See Note 1.
-#- Represents annualized yield to maturity.
</TABLE>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Corporate Bonds and Notes 45.8%
Mortgage-Backed Securities 29.5%
U.S. Government and Agency Obligations 21.2%
Repurchase Agreement and Net Other Assets and
Liabilities 3.5%
---
100.0%
---
---
</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 Trust for TRAK Investments--
Total
Return Fixed Income Investments' securities held at August 31,
1993 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
U.S. Treasury Obligations 35.0%
Mortgage-Backed Securities 33.0%
Corporate Bonds and Notes 20.4%
Repurchase Agreement and Net Other Assets and
Liabilities 11.6%
---
100.0%
---
---
</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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Texas 11.6%
Florida 9.2%
Illinois 11.6%
Michigan 8.0%
Virginia 4.0%
Nebraska 7.1%
Arizona 4.5%
Washington 4.2%
New York 5.2%
Iowa 4.6%
Other States 28.3%
Net Other Assets and Liabilities 1.7%
---
100.0%
---
---
</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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
FNMA 38.8%
FHLMC 34.2%
GNMA 17.3%
U.S. Treasury Note, Repurchase Agreement, and Net Other
Assets and Liabilities 9.7%
---
100.0%
---
---
</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 -- 64.9%
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
------- --------
- ----
--------
- ----
</TABLE>
* Aggregate cost for Federal tax purposes.
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Financial Services 9.7%
Consumer Products 9.4%
Oil & Gas 7.8%
Capital Goods 7.5%
Consumer Durables 5.2%
Communications 4.2%
Other Commpn Stocks 21.0%
U.S. Treasury Notes 15.9%
U.S. Government and Agency Obligation 6.5%
Corporate Bonds and Notes 8.0%
Commercial Paper and Net Other Assets and Liabilities 4.8%
---
100.0%
---
---
</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, Ordinary............................
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 Ind.................
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 Dept 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 1997-+-.............
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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Financial Services 16.3%
Utilities 12.3%
Energy 11.2%
Capital Goods 8.5%
Basic Industries 7.7%
Telecommunications 5.6%
Consumer Durables 4.9%
Insurance 4.6%
Other Common Stocks 22.4%
Convertible Preferred Stock, Preferred Stock Warrant,
Commercial Paper, Repurchase Agreement, and Net Other
Assets and Liabilities 6.5%
---
100.0%
---
---
</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.
</TABLE>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Consumer Products 14.9%
Technology 13.4%
Helath Care 11.1%
Financial Services 9.4%
Retail 8.3%
Utilities 6.0%
Capital Goods 6.3%
Basic Industries 5.2%
Other Common Stocks 17.3%
Futures Contracts, U.S. Treasury Bill, Commercial
Paper, Repurchase Agreements, and Net Other Assets and
Liabilities 8.1%
---
100.1%
---
---
</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 Westernn 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 Utilitiess 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 Illumination 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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Banking and Financial Services 22.1%
Capital Goods 9.9%
Basic Industries 8.7%
Health Care 7.7%
Energy 7.4%
Consumer Durables 5.2%
Retail 5.1%
Electronics 4.8
Consumer Services 4.5%
Technology 4.4%
Other Common Stocks 17.4%
Commercial Paper and Net Other Assets and Liabilities 2.8%
---
100.0%
---
---
</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
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Health Care 24.8%
Technology 24.1%
Computers 13.1%
Consumer Services 7.0%
Retail 5.6%
Restaurants 3.2%
Other Common Stocks 13.7%
Commercial Paper, Repurchase Agreement and Net Other
Assets and Liabilities 8.5%
-----
100.0%
-----
-----
</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
5,764,071
-------- -------
- -----
NET ASSETS....................................... 100.0%
$594,950,350
--------
-------- -------
- -----
-------
- -----
<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
5,764,071
-------- ----
- ---------
Net Assets.......................................... 100.0% $
594,950,350
-------- ----
- ---------
-------- ----
- ---------
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Japan 38.4%
United Kingdom 9.0%
Germany 7.2%
Italy 7.0%
France 6.3%
Sweden 5.2%
Hong Kong 3.7%
Malaysia 3.5%
Canada 3.0%
Australia 2.8%
Other Countries 8.4%
Rights and Warrants 5.5%
---
100.0%
---
---
</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
----------- -----------
- ---------------
$62,767,224 $62,623,968
$ 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>
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Japan 16.8%
United Kingdom 16.9%
France 11.0%
Canada 11.6%
Germany 11.9%
Denmark 5.6%
Italy 2.1%
Spain 0.3%
Australia 4.1%
Sweden 4.2%
Netherlands 5.2%
Finland 2.4%
Repurchase Agreement and Net Other Assets and
Liabilities 7.9%
---
100.0%
---
---
</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
<CAPTION>
CONTRACTS TO DELIVER IN
EXCHANGE FOR
------------------------------------------ -------------
- -------------------
CONTRACT LOCAL VALUE IN LOCAL
VALUE DATE CURRENCY U.S. $ CURRENCY
- ---------- -------- ----------- ------------
VALUE
IN
U.S.
$
- --
<C> <S> <C> <C> <C>
<C> <C>
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
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
FRF -- French Franc
</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 -- 73.0%
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 -- 5.0%
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
25,000 United Overseas Bank...........................
255,050
70,000 Van Der Horst+.................................
319,667
-------
- ----
1,831,471
-------
- ----
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 $23,104,542).........
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
2,500 United Overseas Bank, Rights
Expire 6/8/94+...............................
17,967
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
</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>
$ 350,000 United Microelectronics,
1.250% due 6/8/04............................. $
603,750
------
- -----
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..................................... 2.90
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%
$36,364,877
-------- ------
- -----
-------- ------
- -----
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1994
<TABLE>
<CAPTION>
CLASSIFICATION OF INVESTMENTS
<S> <C>
Mexico 2.3%
Argentina 10.2%
Brazil 8.5%
Malaysia 6.8%
Hong Kong 6.6%
Singapore 5.0%
Taiwan 3.9%
Indonesia 3.8%
Thailand 3.7%
Korea 3.4%
Other Countries 8.8%
Preferred Stocks, Rights and Warrants, Convertible
Bonds, Commercial Paper, Repurchase Agreement, and Net
Other Assets and Liabilities 27.0%
---
100.0%
---
---
</TABLE>
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACT TO
RECEIVE NET
----------- UNREALIZED
CONTRACT LOCAL VALUE IN IN EXCHANGE APPRECIATION
VALUE DATE CURRENCY U.S.$ 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, other than 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 Fund 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 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 and as of March 21, 1994
Parametric
Portfolio Associates, Inc., Large Capitalization Value Equity
Investments;
Provident Investment Counsel and 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, which is
controlled by
Holdings, 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 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 $11,830 for expenses
related
to the Balanced Investments Portfolio. The Manager will reimburse
$7,747, the
Administrator will reimburse $2,582, and the Custodian 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 or any of its
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 or any of its 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.............. 99,783,536
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................. 4,177,825
Total Return Fixed Income Investments................. 1,193,095
Municipal Bond Investments............................ 182,170
Mortgage Backed Investments........................... 323,003
Small Capitalization Value Equity Investments......... 5,050,864
Small Capitalization Growth Investments............... 2,227,700
International Equity Investments......................
$2,791,229
International Fixed Income Investments................ 3,866,582
139,015
Emerging Markets Equity Investments...................
84,296
</TABLE>
99
THE TRUST FOR TRAK INVESTMENTS
PART C
Item 24. Financial Statements and Exhibits
(a) Financial Statements:
Included in Part A:
Financial Highlights
Included in Part B:
Portfolio Highlights
Statements of Assets and Liabilities
Statements of Operations
Statements of Changes in Net Assets
Financial Highlights
Portfolios of Investments
Notes to Financial Statements
Report of Independent Accountants
(All of the above financial statements except those
relating to Emerging Markets Equity Investments Portfolio, are incorporated
by reference to the Trust's Annual Report dated August 31, 1993)
Included in Part C:
None.
(b) Exhibits
1(a) Master Trust Agreement is incorporated by reference to Registrant's
Registration Statement on Form N-1A as filed with the Securities and
Exchange Commission (the "Commission") on May 24, 1991 (the "Registration
Statement").
1(b) Amendment No. 1 to Master Trust Agreement is incorporated by
reference to the Registration Statement.
1(c) Amendment No. 2 to Master Trust Agreement is incorporated by
reference to Pre-Effective Amendment No. 1 to the Registration Statement on
Form N-1A as filed with the Commission on July 22, 1991 ("Pre-Effective
Amendment No. 1").
1(d) Amendment No. 3 to Master Trust Agreement is incorporated by
reference to Post-Effective Amendment No. 6 ("Post-Effective Amendment No.
6") to the Registration Statement on Form N-1A filed on March 18, 1994.
2(a) By-Laws are incorporated by reference to the Registration Statement.
2(b) Amended and Restated By-Laws are incorporated by reference to Pre-
Effective Amendment No. 1.
3 Not Applicable.
4 Not Applicable.
5(a) Investment Management Agreement dated July 30, 1993 between the
Registrant and The Consulting Group, a division of Smith, Barney Advisers,
Inc., is incorporated by reference to Post-Effective Amendment No. 3
("Post-Effective Amendment No. 3") to the Registration Statement on Form N-
1A filed with the Commission on October 29, 1993.
5(b) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Pilgrim Baxter & Associates, Ltd. relating to
Registrant's Small Capitalization Growth Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(c) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Smith Affiliated Capital Corp. relating to
Registrant's Municipal Bond Investments Portfolio is incorporated by
reference to Post-Effective Amendment No. 3.
5(d) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Atlantic Portfolio Analytics & Management, Inc.
relating to Registrant's Mortgage Backed Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(e) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Palley-Needelman Asset Management, Inc. relating
to Registrant's Balanced Investments Portfolio is incorporated by reference
to Post-Effective Amendment No. 3.
5(f) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Standish, Ayer & Wood, Inc. relating to
Registrant's Intermediate Fixed Income Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(g) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Julius Baer Investment Management Inc. relating
to Registrant's International Fixed Income Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(h) Investment Advisory Agreement dated January 13, 1993 between Shearson
Lehman Brothers Inc. and Thorsell, Parker Partners Inc. relating to
Registrant's Small Capitalization Value Equity Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(i) Amendment dated April 1, 1993 to Investment Advisory Agreement dated
January 13, 1993 between Shearson Lehman Brothers Inc. and Thorsell, Parker
Partners Inc. relating to Registrant's Small Capitalization Value Equity
Investments Portfolio is incorporated by reference to Post-Effective
Amendment No. 3.
5(j) Investment Advisory Agreement dated April 1, 1993 between Smith,
Barney Advisers, Inc. and Thorsell, Parker Partners Inc. relating to
Registrant's Small Capitalization Value Equity Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(k) Investment Advisory Agreement dated April 1, 1993 between Smith,
Barney Advisers, Inc. and NFJ Investment Group Inc. relating to
Registrant's Small Capitalization Value Equity Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(l) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Wolf, Webb, Burk & Campbell, Inc. relating to
Registrant's Total Return Fixed Income Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 3.
5(m) Amended and Restated Investment Advisory Agreement dated March 3,
1994 between Smith, Barney Advisers, Inc. and Newbold's Asset Management,
Inc. relating to Registrant's Large Capitalization Value Equity Investments
Portfolio is incorporated by reference to Post-Effective Amendment No.
6.
5(n) Investment Advisory Agreement dated March 3, 1994 between Smith,
Barney Advisers, Inc. and Parametric Portfolio Associates, Inc. relating to
Registrant's Large Capitalization Value Equity Investments Portfolio is
incorporated by reference to Post-Effective Amendment No. 6.
5(o) Amended and Restated Investment Advisory Agreement dated March 3,
1994 between Smith, Barney Advisers, Inc. and Provident Investment Counsel
relating to Registrant's Large Capitalization Growth Investments Portfolio
is incorporated by reference to Post-Effective Amendment No. 6.
5(p) Investment Advisory Agreement dated March 3, 1994 between Smith
Barney Advisers, Inc. and Boston Structured Advisors, a division of
PanAgora Asset Management, Inc. relating to Registrant's Large
Capitalization Growth Investments Portfolio is incorporated by reference to
Post-Effective Amendment No. 6.
5(q) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Standish, Ayer & Wood, Inc. relating to
Registrant's Government Money Investments Portfolio is incorporated by
reference to Post-Effective Amendment No. 3.
5(r) Investment Advisory Agreement dated July 30, 1993 between Smith,
Barney Advisers, Inc. and Oechsle International Advisors L.P. relating to
Registrant's International Equity Investments Portfolio is incorporated by
reference to Post-Effective Amendment No. 3.
5(s) Investment Advisory Agreement dated March 3, 1994 between Smith,
Barney Advisers, Inc. and John Govett & Company, Ltd. relating to
Registrant's Emerging Markets Equity Investments Portfolio is incorporated
by reference to Post-Effective Amendment No. 6.
5(t) Administration Agreement dated June 2, 1994 between the Registrant
and Smith, Barney Advisers, Inc. shall be filed by Amendment.
6 Distribution Agreement dated July 30, 1993 between the Registrant and
Smith Barney Shearson Inc. is incorporated by reference to Post-Effective
Amendment No. 3.
7 Not Applicable.
8 Custody Agreement between the Registrant and Boston Safe Deposit and
Trust Company dated August 26, 1991 is incorporated by reference to Post-
Effective Amendment No. 1 to the Registration Statement on Form N-1A, as
filed with the Commission on March 31, 1992 ("Post-Effective Amendment No.
1").
9 Transfer Agency and Registrar Agreement between the Registrant and
The Shareholder Services Group, Inc., dated September 1993, is incorporated
by reference to Post-Effective Amendment No. 4 to the Registration
Statement on Form N-1A, as filed with the Commission on December 30, 1993.
10 Opinion of Willkie Farr & Gallagher, including Consent, is
incorporated by reference to Pre-Effective Amendment No. 2.
11 Not Applicable.
12 Not Applicable.
13 Purchase Agreement between the Registrant and Shearson Lehman
Brothers Inc. is incorporated by reference to Post-Effective Amendment No.
1.
14 Not Applicable.
15 Not Applicable.
16 Schedule for computation of Performance Data is incorporated by
reference to Post-Effective Amendment No. 1.
17 Powers of Attorney are incorporated by reference to Post-Effective
Amendment No. 3.
Item 25. Persons Controlled by or Under Common Control with Registrant
None.
Item 26. Number of Holders of Securities
(1) (2)
Number of Record Holders
Title of Class as of September 23, 1994
Shares of beneficial interest, par value
$.001 per share
Government Money Investments 49,864
Intermediate Fixed-Income Investments 18,720
Total Return Fixed-Income Investments 16,528
Municipal Bond Investments 3,642
Mortgage Backed Investments 21,073
Balanced Investments 298
Large Capitalization Value Equity Investments 58,356
Large Capitalization Growth Investments 58,414
Small Capitalization Value Equity Investments 51,978
Small Capitalization Growth Investments 43,238
International Equity Investments 55,087
International Fixed Income Investments 22,812
Emerging Markets Equity Investments 8,280
Item 27. Indemnification
Incorporated by reference to Pre-Effective Amendment No. 2.
Item 28.(a) Business and Other Connections of Investment Advisors
Investment Manager - The Consulting Group
The Consulting Group and its predecessor have been in the investment
counseling business since 1973. The Consulting Group is a division of
Smith, Barney Advisers, Inc. ("SBA"), which was incorporated in 1968 under
the laws of the State of Delaware. SBA is a wholly owned subsidiary of
Smith Barney Shearson Holdings Inc., which is in turn a wholly owned
subsidiary of The Traveler's Inc. (formerly Primerica Corporation).
The list required by this Item 28 of officers and directors of SBA
and the Consulting Group, together with information as to any other
business, profession, vocation or employment of a substantial nature
engaged in by such officers and directors during the past two fiscal years,
is incorporated by reference to Schedules A and D of Form ADV filed by SBA
on behalf of the Consulting Group pursuant to the Advisers Act (SEC File
No. 801-8314).
Item 28.(b) Business and Other Connections of Advisors
Advisors - Standish, Ayer & Wood, Inc.
Standish, Ayer & Wood, Inc. ("SAW") serves as investment advisor to
Intermediate Fixed Income Investments and Government Money Investments.
SAW is registered as a commodity trading adviser with the National Futures
Association. SAW has been registered as an investment advisor under the
Advisers Act since 1940. SAW provides investment advisory services to
individuals and institutions. SAW's principal executive offices are
located at One Financial Center, Boston, Massachusetts 02111.
The list required by this Item 28 of officers and directors of SAW,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by SAW pursuant to the Advisers Act
(SEC File No. 801-584).
Advisors - Wolf, Webb, Burk & Campbell, Inc.
Wolf, Webb, Burk & Campbell, Inc. ("WWBC") serves as investment
advisor to Total Return Fixed Income Investments. WWBC has been registered
as an investment advisor under the Advisers Act since 1980 and provides
investment advisory services to individuals and institutions. WWBC's
principal executive offices are located at 1525 Locust Street, 11th Floor,
Philadelphia, Pennsylvania 19102.
The list required by this Item 28 of officers and directors of WWBC,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by WWBC pursuant to the
Advisers Act (SEC File No. 801-15571).
Advisors - Smith Affiliated Capital Corp.
Smith Affiliated Capital Corp. ("SACC") serves as investment advisor
to Municipal Bond Investments. SACC has been registered as an investment
advisor under the Advisers Act since 1982. SACC provides investment
advisory services to individuals and institutions, and is a general partner
of, and investment advisor to, a limited partnership primarily investment
in municipal bonds. SAW's principal executive offices are located at 880
Third Avenue, New York, New York 10022.
The list required by this Item 28 of officers and directors of SACC,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by SACC pursuant to the Advisers Act
(SEC File No. 801-17037).
Advisors - Atlantic Portfolio Analytics & Management, Inc.
Atlantic Portfolio Analytics & Management, Inc. ("APAM") serves as
investment advisor to Mortgage Backed Investments. APAM has been
registered as an investment advisor under the Advisers Act since 1984.
APAM serves as an investment advisor to institutions. APAM's principal
executive offices are located at 201 East Pine Street, Suite 600, Orlando,
Florida 32801.
The list required by this Item 28 of officers and directors of APAM,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by APAM pursuant to the Advisers Act
(SEC File No. 801-24775).
Advisors - Palley-Needelman Asset Management, Inc.
Palley-Needelman Asset Management, Inc. ("PNAM") serves as investment
advisor to Balanced Investments. PNAM, the predecessor of which has been
registered as an investment advisor under the Advisers Act since 1974,
provides investment advisory services to individuals and institutions,
including retirement plans, foundations and endowments. PNAM's principal
executive offices are located at 800 Newport Center Drive, Suite 450,
Newport Beach, California 92660.
The list required by this Item 28 of officers and directors of PNAM,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by PNAM pursuant to the Advisers Act
(SEC File No. 801-9755).
Advisors - Newbold's Asset Management, Inc.
Newbold's Asset Management, Inc. ("NAM") serves as co-investment
advisor to Large Capitalization Value Equity Investments. NAM has been
registered as an investment advisor under the Advisers Act since 1943. NAM
provides investment advisory services to individual and institutional
clients. NAM's principal executive offices are located at 937 Haverford
Road, Bryn Mawr, Pennsylvania 19010.
The list required by this Item 28 of officers and directors of NAM,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by NAM pursuant to the Advisers Act
(SEC File No. 801-33560).
Advisors - Parametric Portfolio Associates, Inc.
Parametric Portfolio Associates, Inc. ("PPA") serves as co-investment
advisor to Large Capitalization Value Equity Investments. PPA has been
registered as an investment advisor under the Advisers Act since 1987. PPA
provides investment advisory services to a number of individual and
institutional clients. PPA's principal executive offices are located at
7310 Columbia Center, 701 Fifth Avenue, Seattle, Washington 98104-7090.
The list required by this Item 28 of officers and directors of PPA,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by PPA pursuant to the Advisers Act
(SEC File No. 801-29855).
Advisors - Provident Investment Counsel, Inc.
Provident Investment Counsel, Inc. ("PIC") serves as investment
advisor to Large Capitalization Growth Investments. PIC has been
registered as an investment advisor under the Advisers Act since 1951. PIC
provides investment advisory services to individual and institutional
clients. PIC's principal executive offices are located at 300 North Lake
Avenue, Pasadena, California 91101.
The list required by this Item 28 of officers and directors of PIC,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by PIC pursuant to the Advisers Act
(SEC File No. 801-11303).
Advisors - Boston Structured Advisors
Boston Structured Advisors serves as co-investment adviser to Large
Capitalization Growth Investments. Boston Structured Advisors is a
division of PanAgora Asset Management Inc. ("PanAgora Boston"), which has
been registered as an investment advisor under the Advisers Act since 1989.
PanAgora Boston provides investment services to a number of individual and
institutional clients. PanAgora Boston's principal offices are located at
260 Franklin Street, Boston, Massachusetts 02110.
The list required by this Item 28 of officers and directors of
PanAgora Boston, together with information as to any other business,
profession, vocation or employment of a substantial nature engaged in by
such officers and directors during the past two years, is incorporated by
reference to Schedules A and D of Form ADV filed by PanAgora Boston
pursuant to the Advisers Act (SEC File No. 801-35497).
Advisors - Thorsell, Parker Partners Inc.
Thorsell, Parker Partners Inc. ("TPP") serves as co-investment
advisor to Small Capitalization Value Equity Investments. TPP has been
registered as an investment advisor under the Advisors Act since 1992. The
sole investment company for which TPP provides services is Small
Capitalization Value Equity Investments. TPP's principal executive offices
are located at 215 Main Street, Westport, Connecticut 06880.
The list required by this Item 28 of officers and directors of TPP,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by TPP pursuant to the Advisers Act
(SEC File No. 801-42814).
Advisors - NFJ Investment Group, Inc.
NFJ Investment Group, Inc. ("NFJ") serves as co-investment advisor to
Small Capitalization Value Equity Investments. NFJ has been registered as
an investment advisor under the Advisors Act since 1989. NFJ provides
investment advisory services to a number of individual and institutional
clients. NFJ's principal executive offices are located at 2121 San Jacinto
Street, Suite 1440, Dallas, Texas 75201.
The list required by this Item 28 of officers and directors of NFJ,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by NFJ pursuant to the Advisers Act
(SEC File No. 801-42814).
Advisors - Pilgrim Baxter & Associates, Ltd.
Pilgrim Baxter & Associates, Ltd. ("PBA") serves as investment
advisor to Small Capitalization Growth Investments. PBA has been
registered as an investment advisor under the Advisers Act since 1982. PBA
is the investment adviser of various institutional clients. PBA's
principal executive offices are located at 1255 Drummers Lane, Wayne,
Pennsylvania 19087.
The list required by this Item 28 of officers and directors of PBA,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by PBA pursuant to the Advisers Act
(SEC File No. 801-19165).
Advisors - Oechsle International Advisors, L.P.
Oechsle International Advisors, L.P. ("OIA") serves as investment
advisor to International Equity Investments. OIA has been registered as an
investment advisor under the Advisers Act since 1986. OIA provides
investment advisory services to a number of individual and institutional
clients. OIA's principal executive offices are located at One
International Place, Boston, Massachusetts 02110.
The list required by this Item 28 of officers and directors of OIA,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by OIA pursuant to the Advisers Act
(SEC File No. 801-28111).
Advisors - Julius Baer Investment Management Inc.
Julius Baer Investment Management Inc. ("JBIM") serves as investment
advisor to International Fixed Income Investments. JBIM has been
registered as an investment advisor under the Advisers Act since 1984.
Directly and through Julius Baer Securities Inc., JBIM provides investment
advisory services to a wide variety of individual and institutional
clients, including registered investment companies. JBIM's principal
executive offices are located at 330 Madison Avenue, New York, New York
10017.
The list required by this Item 28 of officers and directors of JBIM
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorporated by reference to
Schedules A and D of Form ADV filed by JBIM pursuant to the Advisers Act
(SEC File No. 801-18766).
Advisors - John Govett & Company, Ltd.
John Govett & Company, Ltd. ("JGC") will serve as investment advisor
to Emerging Markets Equity Investments. JGC has been registered as an
investment advisor under the Advisers Act since 1972. JGC is the
investment adviser of various institutional clients. JGC's principal
executive offices are located at Shackleton House, 4 Battlebridge Lane,
London, SE1-2HR.
The list required by this Item 28 of officers and directors of JGC,
together with information as to any other business, profession, vocation or
employment of a substantial nature engaged in by such officers and
directors during the past two years, is incorproated by reference to
Schedule A and D of Form ADV filed by JGC pursuant to the Advisers Act (SEC
File No.801-34730).
Item 29. Principal Underwriters
Smith Barney Inc. ("Smith Barney") currently acts as distributor for Smith
Barney Managed Municipals Fund Inc., Smith Barney New York Municipals Fund
Inc., Smith Barney California Municipals Fund Inc., Smith Barney
Massachusetts Municipals Fund, Smith Barney Global Opportunities Fund,
Smith Barney Aggressive Growth Fund Inc., Smith Barney Appreciation Fund
Inc., Smith Barney Worldwide Prime Assets Fund, Smith Barney Short-Term
World Income Fund, Smith Barney Principal Return Fund, Smith Barney
Municipal Money Market Fund Inc., Smith Barney Daily Dividend Fund Inc.,
Smith Barney Government and Agencies Fund Inc., Smith Barney Managed
Governments Fund Inc., Smith Barney New York Municipal Money Market Fund,
Smith Barney California Municipal Money Market Fund, Smith Barney Income
Funds, Smith Barney Equity Funds, Smith Barney Investment Funds Inc., Smith
Barney Precious Metals and Minerals Fund Inc., Smith Barney
Telecommunications Trust, Smith Barney Arizona Municipals Fund Inc., Smith
Barney New Jersey Municipals Fund Inc., The USA High Yield Fund N.V.,
Garzarelli Sector Analysis Portfolio N.V., The Advisors Fund L.P., Smith
Barney Fundamental Value Fund Inc., Smith Barney Series Fund, Consulting
Group Capital Markets Funds, Smith Barney Income Trust, Smith Barney FMA R
Trust, Smith Barney Adjustable Rate Government Income Fund, Smith Barney
Florida Municipals Fund, Smith Barney Funds, Inc., Smith Barney Muni Funds,
Smith Barney World Funds, Inc., Smith Barney Money Funds, Inc., Smith
Barney Tax Free Money Fund, Inc., Smith Barney Variable Account Funds,
Smith Barney U.S. Dollar Reserve Fund (Cayman), Worldwide Special Fund,
N.V., Worldwide Securities Limited, (Bermuda), and various series of unit
investment trusts.
Smith Barney is a wholly owned subsidiary of Smith Barney Holdings Inc.,
which in turn is a wholly owned subsidiary of The Travelers, Inc. (formerly
Primerica Corporation). The information required by this Item 29 with
respect to each director, officer and partner of Smith Barney is
incorporated by reference to Schedule A of FORM BD filed by Smith Barney
pursuant to the Securities Exchange Act of 1934 (SEC File No. 812-8510).
Item 30. Location of Accounts and Records
(1) Consulting Group Capital Markets Funds
222 Delaware Avenue
Wilmington, Delaware 19801
(2) The Boston Company Advisors, Inc.
One Boston Place
Boston, Massachusetts 02108
(3) Boston Safe Deposit and Trust Company
One Boston Place
Boston, Massachusetts 02108
(4) Smith Barney Inc.
388 Greenwich Street
New York, New York 10013
(5) The Shareholder Services Group, Inc.
Exchange Place
Boston, MA 02109
Item 31. Management Services
Not Applicable.
Item 32. Undertakings
(a) The Registrant hereby undertakes to call a meeting of its
shareholders for the purpose of voting upon the question of removal of a
trustee or trustees of Registrant when requested in writing to do so by the
holders of at least 10% of Registrant's outstanding shares. Registrant
undertakes further, in connection with the meeting, to comply with the
provisions of Section 16(c) of the Investment Company Act of 1940, as
amended, relating to communications with the shareholders of certain
common-law trusts.
(b) The Registrant hereby undertakes to furnish to each person to whom
the Registrant's Prospectus is delivered a copy of the Registrant's latest
annual report to shareholders, upon request and without charge.
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, as
amended, and the Investment Company Act of 1940, as amended, the
Registrant, The Trust for TRAK Investments, has duly caused this Post-
Effective Amendment No. 7 to the Registration Statement to be signed on its
behalf by the undersigned, thereunto duly authorized, all in the City of
New York, State of New York on the 19th day of October, 1994.
CONSULTING GROUP CAPITAL MARKETS FUNDS
By: /s/ H. John Ellis
H. John Ellis, President
WITNESS our hands on the date set forth below.
Pursuant to the requirements of the Securities Act of 1933, this
Amendment to the Registration Statement has been signed below by the
following persons in the capacities and on the dates indicated.
Signature Title Date
/s/ Heath B. McLendon Trustee and Chairman of the Board October 19,
1994
Heath B. McLendon
/s/ Lewis E. Daidone Treasurer (Chief Financial and October 19,
1994
Lewis E. Daidone Accounting Officer)
/s/ Walter E. Auch, Sr. Trustee October 19, 1994</R
Walter E. Auch, Sr.
/s/ Armon E. Kamesar Trustee
October 19, 1994
Armon E. Kamesar
/s/ Martin Brody Trustee October 19, 1994
Martin Brody
/s/ Stephen E. Kaufman Trustee October 19, 1994
Stephen E. Kaufman
/s/ Madelon DeVoe Talley Trustee October 19, 1994
Madelon DeVoe Talley
shared/shearsn2/trak/peas/pea#9
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