<PAGE>
TRAK -Registered Trademark-
-----------------------------------------------------------------------
PERSONALIZED INVESTMENT ADVISORY SERVICE
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Semi-Annual Report
February 28, 1995
[LOGO]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
Shareholder Letter................................................................... 1
Statement of Assets and Liabilities.................................................. 4
Statement of Operations.............................................................. 6
Statement of Changes in Net Assets................................................... 8
Financial Highlights................................................................. 12
Schedule of Investments:
Government Money Investments....................................................... 19
Intermediate Fixed Income Investments.............................................. 22
Long-Term Bond Investments......................................................... 28
Municipal Bond Investments......................................................... 32
Mortgage Backed Investments........................................................ 37
Balanced Investments............................................................... 39
Large Capitalization Value Equity Investments...................................... 43
Large Capitalization Growth Investments............................................ 53
Small Capitalization Value Equity Investments...................................... 61
Small Capitalization Growth Investments............................................ 77
International Equity Investments................................................... 81
International Fixed Income Investments............................................. 87
Emerging Markets Equity Investments................................................ 90
Notes to Financial Statements........................................................ 98
</TABLE>
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUND
Dear Shareholder:
Many stock market investors have been dismayed by the market's performance over
the past three years. Although the market hasn't posted a loss, stock returns
have been significantly less than historical norms. The S&P 500 Index, which is
the most widely watched barometer of the stock market's performance, earned an
average annual return of 6.3% over the past three complete years or nearly 40%
less than the index's long-term 10.3% average annual return. The market's return
from 1992-94 represented the worst 3-year performance in 15 years.
Recently, however, the capital markets have showed signs of improvement. In the
six months ended February 28, 1995, the first half of the Consulting Group
Capital Markets Funds' fiscal year, the S&P 500 Index registered a 4.0% return,
which was more than three times the 1.3% return that the index earned for all of
1994.
The bond market also posted positive results over the past six months, with the
Lehman Brothers Government/Corporate Index recording a 3.1% return, following a
3.5% loss for the index in 1994. The primary reasons for the improved stock and
bond results were an improving outlook on inflation and diminishing prospects of
continued interest rate increases by the Federal Reserve.
At the Consulting Group we have recognized that many investors were disappointed
in the investment returns they had attained during this period. While a portion
of these returns can be attributed to the market itself, we have concluded that
there were steps which could be taken to improve investment management
performance. In the past year, we've retained several new investment management
firms to co-manage our funds. All of the portfolios investing in U.S. stocks now
have co-managers. Our goal in this restructuring was threefold: increase the
funds' investment diversification, lower overall fund expenses and better manage
the performance of these funds around their appropriate market benchmark indices
and our clients' expectations.
Recently, we retained Mellon Capital Management Corp. to co-manage the Small
Capitalization Growth Investments Portfolio with Pilgrim Baxter & Associates,
Ltd. In addition, we hired Wells Fargo Nikke Investment Advisors to co-manage
the Small Capitalization Value Equity Investments Portfolio with NFJ Investment
Group Inc. We also retained State Street Advisors to co-manage the International
Equity Investments Portfolio with Oechsle International Advisors. You may recall
that this restructuring effort began about a year ago when we added co-managers
to the Large Capitalization Value Equity Investments and Large Capitalization
Growth Investments portfolios.
In response to changing conditions and prospects in the stock and bond markets,
we also issued to our clients new asset allocation recommendations over the past
six months. These recommendations, which advise clients on how they should
reapportion their assets among the 13 separate Consulting Group Capital Markets
Funds to take advantage of what we see as developing investment opportunities,
represent the cornerstone of the TRAK Personalized Investment Advisory Service.
We encourage our clients to follow these recommendations.
In September, we recommended that our conservative investors reduce their
holdings in the Government Money Investments Portfolio and increase their
holdings in the Long-Term Bond Investments Portfolio by the same percentage. The
reason for this recommended reallocation was our outlook that the inflation rate
would remain steady and might even decline. With inflation moderating, we
expected interest rates to also stabilize.
We also recommended that our aggressive investors reduce their holdings in the
Small Capitalization Value Equity Investments Portfolio and increase their
exposure to the Large Capitalization Growth Investments Portfolio by the same
percentage. The rationale for this recommendation was our view that value stocks
were overvalued relative to growth stocks.
1
<PAGE>
Finally, we're pleased to inform you that total client assets in the TRAK
program increased 30% to $3.5 billion on February 28, 1995 from $2.7 billion a
year earlier. Our total number of client accounts have also risen from 55,000 to
63,650 over the same time period. We wish to thank you for the trust and support
that you have continued to demonstrate in the TRAK Personalized Investment
Advisory Service.
Earlier this month, shareholders of the Small Capitalization Growth Investments
portfolio were sent a special proxy. The proxy asks shareholders to re-affirm
Pilgrim Baxter & Associates as an investment adviser for the Small
Capitalization Growth Investments portfolio. The special proxy became necessary
due to Pilgrim Baxter's change of ownership. It has been announced that United
Asset Management Corp., an investment firm that manages $104 billion through 42
affiliates, expects to complete the acquisition of Pilgrim Baxter during the
second quarter of 1995. We encourage all shareholders to participate in the
proxy voting, which ends May 19 with a special shareholder meeting.
As always, if you should have any questions or comments about your TRAK
investments, your Financial Consultant remains ready to assist you.
Sincerely,
<TABLE>
<S> <C>
Leonard A. Reinhart H. John Ellis
Executive Vice President and President
Investment Officer
March 31, 1995
</TABLE>
2
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3
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENT OF ASSETS AND
LIABILITIES
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
MONEY FIXED INCOME LONG-TERM BOND MUNICIPAL BOND MORTGAGE BACKED
INVESTMENTS INVESTMENTS INVESTMENTS* INVESTMENTS INVESTMENTS
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities................... $ 218,010,804 $ 220,377,683 $ 126,853,791 $ 46,900,063 $ 98,447,913
Repurchase agreements........ -- -- 12,812,000 -- 4,313,000
--------------- --------------- --------------- --------------- ---------------
Total investments.............. 218,010,804 220,377,683 139,665,791 46,900,063 102,760,913
Cash and/or foreign currency..... 18,732 1,514 -- 16,340 --
Futures contracts-long position,
at value
(Cost $24,081,525) (Note 1).... -- -- -- -- --
Due from Agents (Note 2)......... 12,288 561 4,742 4,424 11,289
Dividends and/or interest
receivable..................... 51,011 2,437,969 1,919,171 721,969 753,333
Unamortized organization costs
(Note 5)....................... 26,693 27,298 27,298 23,872 27,298
Receivable for Portfolio shares
sold........................... 305,929 2,317,749 1,165,302 235,108 --
Receivable for investment
securities sold................ -- 4,252,199 -- -- 515,513
--------------- --------------- --------------- --------------- ---------------
Total Assets................. 218,425,457 229,414,973 142,782,304 47,901,776 104,068,346
--------------- --------------- --------------- --------------- ---------------
LIABILITIES
Payable for Portfolio shares
redeemed....................... 864,536 245,594 134,568 16,614 133,527
Payable for investment securities
purchased...................... 5,164,533 10,869,582 7,401,594 1,013,333 --
Aggregate exercise cost of
futures-long position.......... -- -- -- -- --
Net unrealized depreciation of
forward foreign exchange
contracts (Note 1)............. -- -- -- -- --
Due to custodian................. -- -- 311 -- 304
Transfer agent fees payable (Note
2)............................. 50,000 13,500 15,200 2,600 16,200
Custodian fees payable (Note
2)............................. 15,997 16,114 12,783 6,311 16,982
Management fee payable (Note
2)............................. 17,538 58,459 58,673 5,210 38,292
Accrued legal and audit fees..... 15,150 15,150 15,150 15,150 15,150
Accrued registration and filing
fees........................... 4,086 500 6,280 500 500
Accrued shareholder reports
expenses....................... 42,066 42,066 42,066 42,066 42,066
Payable for dividends declared... 506,858 -- -- 24,801 --
Administration fee payable (Note
2)............................. 32,488 29,230 29,337 2,605 15,316
Accrued Trustees' fees and
expenses (Note 2).............. 760 760 760 760 760
Accrued expenses and other
payables....................... 2,855 7,119 4,425 3,178 6,274
--------------- --------------- --------------- --------------- ---------------
Total Liabilities............ 6,716,867 11,298,074 7,721,147 1,133,128 285,371
--------------- --------------- --------------- --------------- ---------------
NET ASSETS....................... $ 211,708,590 $ 218,116,899 $ 135,061,157 $ 46,768,648 $ 103,782,975
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
Investments at cost.............. $ 218,010,804 $ 224,708,684 $ 141,801,414 $ 48,805,689 $ 107,089,443
Currency at cost................. 18,732 1,514 -- 16,340 --
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in
excess of net investment income
earned to date)................ 1,874 163,219 10,549 (21,955) 82,627
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and other
net assets..................... (58,259) (7,659,451) (2,828,295) (1,559,842) (1,267,129)
Net unrealized
appreciation/(depreciation) of
securities, futures contracts,
forward foreign exchange
contracts, currency
transactions and net other
assets......................... -- (4,331,001) (2,135,623) (1,905,626) (4,328,530)
Par value........................ 211,765 27,725 17,188 5,777 13,519
Paid-in capital in excess of par
value.......................... 211,553,210 229,916,407 139,997,338 50,250,294 109,282,488
--------------- --------------- --------------- --------------- ---------------
Total Net Assets............. $ 211,708,590 $ 218,116,899 $ 135,061,157 $ 46,768,648 $ 103,782,975
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest............ $1.00 $7.87 $7.86 $8.10 $7.68
----- ----- ----- ----- -----
----- ----- ----- ----- -----
Number of shares outstanding..... 211,764,975 27,724,780 17,188,437 5,777,150 13,518,531
<CAPTION>
BALANCED
INVESTMENTS
---------------
<S> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities................... $ 16,807,197
Repurchase agreements........ --
---------------
Total investments.............. 16,807,197
Cash and/or foreign currency..... 9,821
Futures contracts-long position,
at value
(Cost $24,081,525) (Note 1).... --
Due from Agents (Note 2)......... 24,854
Dividends and/or interest
receivable..................... 123,226
Unamortized organization costs
(Note 5)....................... 55,894
Receivable for Portfolio shares
sold........................... 48,832
Receivable for investment
securities sold................ 164,597
---------------
Total Assets................. 17,234,421
---------------
LIABILITIES
Payable for Portfolio shares
redeemed....................... 33,625
Payable for investment securities
purchased...................... 190,860
Aggregate exercise cost of
futures-long position.......... --
Net unrealized depreciation of
forward foreign exchange
contracts (Note 1)............. --
Due to custodian................. --
Transfer agent fees payable (Note
2)............................. 280
Custodian fees payable (Note
2)............................. 180
Management fee payable (Note
2)............................. --
Accrued legal and audit fees..... 15,150
Accrued registration and filing
fees........................... 327
Accrued shareholder reports
expenses....................... 42,066
Payable for dividends declared... --
Administration fee payable (Note
2)............................. --
Accrued Trustees' fees and
expenses (Note 2).............. 760
Accrued expenses and other
payables....................... 2,841
---------------
Total Liabilities............ 286,089
---------------
NET ASSETS....................... $ 16,948,332
---------------
---------------
Investments at cost.............. $ 16,550,234
Currency at cost................. 9,821
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in
excess of net investment income
earned to date)................ 13,440
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and other
net assets..................... (43,281)
Net unrealized
appreciation/(depreciation) of
securities, futures contracts,
forward foreign exchange
contracts, currency
transactions and net other
assets......................... 256,963
Par value........................ 2,006
Paid-in capital in excess of par
value.......................... 16,719,204
---------------
Total Net Assets............. $ 16,948,332
---------------
---------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest............ $8.45
-----
-----
Number of shares outstanding..... 2,005,806
</TABLE>
- ---------------------------
* Formerly known as Total Return Fixed Income Investments.
4
<PAGE>
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION
VALUE EQUITY GROWTH VALUE EQUITY GROWTH
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities................................. $ 855,433,875 $ 598,990,025 $ 283,620,702 $ 226,225,282
Repurchase agreements...................... -- 2,000,000 -- --
--------------- --------------- --------------- ---------------
Total investments............................ 855,433,875 600,990,025 283,620,702 226,225,282
Cash and/or foreign currency................... -- -- -- --
Futures contracts-long position, at value
(Cost $24,081,525) (Note 1).................. -- 25,572,300 -- --
Due from Agents (Note 2)....................... -- -- -- --
Dividends and/or interest receivable........... 3,968,853 740,714 678,662 21,820
Unamortized organization costs (Note 5)........ 27,298 27,298 27,298 24,542
Receivable for Portfolio shares sold........... 6,213,103 6,622,344 2,123,479 2,764,442
Receivable for investment securities sold...... 2,070,052 1,295,066 2,656,549 4,436,971
--------------- --------------- --------------- ---------------
Total Assets............................... 867,713,181 635,247,747 289,106,690 233,473,057
--------------- --------------- --------------- ---------------
LIABILITIES
Payable for Portfolio shares redeemed.......... 797,485 487,995 321,986 243,783
Payable for investment securities purchased.... 9,892,755 1,200,654 6,041,395 3,006,682
Aggregate exercise cost of futures-long
position..................................... -- 24,081,525 -- --
Net unrealized depreciation of forward foreign
exchange contracts (Note 1).................. -- -- -- --
Due to custodian............................... 3,590 1,078,058 732 734
Transfer agent fees payable (Note 2)........... 49,684 46,000 44,642 35,500
Custodian fees payable (Note 2)................ 39,864 32,969 42,886 15,949
Management fee payable (Note 2)................ 598,985 231,346 263,209 103,849
Accrued legal and audit fees................... 15,150 15,150 15,150 15,150
Accrued registration and filing fees........... 3,418 21,926 500 4,972
Accrued shareholder reports expenses........... 42,066 42,066 42,066 42,066
Payable for dividends declared................. -- -- -- --
Administration fee payable (Note 2)............ 129,272 91,679 42,578 34,616
Accrued Trustees' fees and expenses (Note 2)... 760 760 760 760
Accrued expenses and other payables............ 7,546 5,060 5,948 2,959
--------------- --------------- --------------- ---------------
Total Liabilities.......................... 11,580,575 27,335,188 6,821,852 3,507,020
--------------- --------------- --------------- ---------------
NET ASSETS..................................... $ 856,132,606 $ 607,912,559 $ 282,284,838 $ 229,966,037
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Investments at cost............................ $ 841,118,094 $ 556,277,717 $ 286,271,242 $ 192,368,220
Currency at cost............................... -- -- -- --
NET ASSETS consist of:
Undistributed net investment income/
(distributions in excess of net investment
income earned to date)....................... 4,679,838 592,828 685,441 (555,634)
Accumulated net realized gain/(loss) on
securities, futures contracts, forward
foreign exchange contracts, currency
transactions and other net assets............ 69,167 (1,618,396) (15,916,726) 12,219,984
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward
foreign exchange contracts, currency
transactions and net other assets............ 14,315,781 46,203,083 (2,650,540) 33,857,062
Par value...................................... 94,874 59,102 32,716 16,684
Paid-in capital in excess of par value......... 836,972,946 562,675,942 300,133,947 184,427,941
--------------- --------------- --------------- ---------------
Total Net Assets........................... $ 856,132,606 $ 607,912,559 $ 282,284,838 $ 229,966,037
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
NET ASSET VALUE, offering and redemption price
per share of beneficial interest............. $9.02 $10.29 $8.63 $13.78
----- ------ ----- ------
----- ------ ----- ------
Number of shares outstanding................... 94,874,325 59,102,464 32,716,341 16,684,094
<CAPTION>
INTERNATIONAL INTERNATIONAL EMERGING
EQUITY FIXED INCOME MARKETS EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- ---------------
<S> <C> <C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities................................. $ 526,984,011 $ 95,373,410 $ 40,554,812
Repurchase agreements...................... 18,872,000 -- 4,460,000
--------------- --------------- ---------------
Total investments............................ 545,856,011 95,373,410 45,014,812
Cash and/or foreign currency................... 1,858,108 3,294,891 800,077
Futures contracts-long position, at value
(Cost $24,081,525) (Note 1).................. -- -- --
Due from Agents (Note 2)....................... -- 18,336 12,053
Dividends and/or interest receivable........... 796,188 2,409,613 68,529
Unamortized organization costs (Note 5)........ 27,365 27,365 22,327
Receivable for Portfolio shares sold........... 4,732,557 537,921 686,495
Receivable for investment securities sold...... -- 2,220,192 682,898
--------------- --------------- ---------------
Total Assets............................... 553,270,229 103,881,728 47,287,191
--------------- --------------- ---------------
LIABILITIES
Payable for Portfolio shares redeemed.......... 725,012 120,804 71,313
Payable for investment securities purchased.... 1,400 1,492,250 883,069
Aggregate exercise cost of futures-long
position..................................... -- -- --
Net unrealized depreciation of forward foreign
exchange contracts (Note 1).................. 11,428 151,848 721
Due to custodian............................... -- -- --
Transfer agent fees payable (Note 2)........... 43,149 16,359 9,417
Custodian fees payable (Note 2)................ 157,094 27,843 26,241
Management fee payable (Note 2)................ 300,837 57,700 46,288
Accrued legal and audit fees................... 15,150 15,150 15,150
Accrued registration and filing fees........... 8,264 500 4,340
Accrued shareholder reports expenses........... 42,066 42,066 42,066
Payable for dividends declared................. -- -- --
Administration fee payable (Note 2)............ 85,953 23,080 10,295
Accrued Trustees' fees and expenses (Note 2)... 760 760 760
Accrued expenses and other payables............ 6,306 3,146 200
--------------- --------------- ---------------
Total Liabilities.......................... 1,397,419 1,951,506 1,109,860
--------------- --------------- ---------------
NET ASSETS..................................... $ 551,872,810 $ 101,930,222 $ 46,177,331
--------------- --------------- ---------------
--------------- --------------- ---------------
Investments at cost............................ $ 535,307,767 $ 93,306,098 $ 52,261,079
Currency at cost............................... 1,854,602 3,721,051 800,337
NET ASSETS consist of:
Undistributed net investment income/
(distributions in excess of net investment
income earned to date)....................... (3,757,239) (374,796) (132,194)
Accumulated net realized gain/(loss) on
securities, futures contracts, forward
foreign exchange contracts, currency
transactions and other net assets............ 9,090,039 (4,180,591) (2,219,982)
Net unrealized appreciation/(depreciation) of
securities, futures contracts, forward
foreign exchange contracts, currency
transactions and net other assets............ 10,560,607 2,004,499 (7,245,190)
Par value...................................... 59,328 12,189 6,534
Paid-in capital in excess of par value......... 535,920,075 104,468,921 55,768,163
--------------- --------------- ---------------
Total Net Assets........................... $ 551,872,810 $ 101,930,222 $ 46,177,331
--------------- --------------- ---------------
--------------- --------------- ---------------
NET ASSET VALUE, offering and redemption price
per share of beneficial interest............. $9.30 $8.36 $7.07
----- ----- -----
----- ----- -----
Number of shares outstanding................... 59,328,173 12,189,311 6,534,319
</TABLE>
See Notes to Financial Statements
5
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
MONEY FIXED INCOME LONG-TERM BOND MUNICIPAL BOND MORTGAGE BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of withholding
tax of $2,706, $6,635, $180,
$325,754 and $19,608 for
Balanced Investments, Large
Capitalization Value Equity
Investments, Large
Capitalization Growth
Investments, International
Equity Investments and
Emerging Markets Equity
Investments,
respectively)............... $ -- $ -- $ -- $ -- $ --
Interest (net of withholding
tax of $92,065 for
International Fixed Income
Investments)................ 5,597,267 7,721,380 4,100,256 1,435,343 4,131,052
--------------- --------------- --------------- --------------- ---------------
Total investment income..... 5,597,267 7,721,380 4,100,256 1,435,343 4,131,052
--------------- --------------- --------------- --------------- ---------------
EXPENSES:
Management fee (Note 2)....... 157,540 427,283 247,030 96,146 263,952
Administration fee (Note 2)... 210,052 213,642 123,515 48,073 105,581
Transfer agent fees (Note
2).......................... 299,122 88,937 85,201 16,048 94,223
Custodian fees (Note 2)....... 28,895 33,072 23,048 10,491 28,180
Trustees' fees and expenses
(Note 2).................... 2,904 2,904 2,904 2,904 2,904
Legal and audit fees.......... 26,335 26,335 26,335 26,335 26,335
Amortization of organization
costs (Note 5).............. 8,189 8,189 8,189 8,189 8,189
Shareholder reports expense... 37,535 37,534 37,534 37,525 37,525
Registration and filing
fees........................ 21,937 5,815 12,423 5,087 411
Other......................... 6,259 22,276 8,269 6,801 14,448
Fees waived (Note 2).......... (168,610) (11,424) (80,987) (65,233) (159,322)
--------------- --------------- --------------- --------------- ---------------
Total expenses.............. 630,158 854,563 493,461 192,366 422,426
--------------- --------------- --------------- --------------- ---------------
NET INVESTMENT
INCOME/(LOSS)............... 4,967,109 6,866,817 3,606,795 1,242,977 3,708,626
--------------- --------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities.................. (14,558) (3,640,050) (1,635,200) (1,377,671) (944,126)
Net realized loss on
futures..................... -- -- -- -- --
Net realized gain/(loss) on
forward foreign exchange
contracts and currency
transactions................ -- -- -- -- --
Net unrealized appreciation/
(depreciation) of securities
during the period........... -- 1,932,834 2,197,710 1,013,063 220,111
Net unrealized appreciation of
futures during the period... -- -- -- -- --
Net unrealized depreciation of
forward foreign exchange
contracts, currency
transactions and net other
assets during the period.... -- -- -- -- --
--------------- --------------- --------------- --------------- ---------------
Net realized and unrealized
gain/(loss) on
investments................. (14,558) (1,707,216) 562,510 (364,608) (724,015)
--------------- --------------- --------------- --------------- ---------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 4,952,551 $ 5,159,601 $ 4,169,305 $ 878,369 $ 2,984,611
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
BALANCED
INVESTMENTS
---------------
<S> <C>
INVESTMENT INCOME:
Dividends (net of withholding
tax of $2,706, $6,635, $180,
$325,754 and $19,608 for
Balanced Investments, Large
Capitalization Value Equity
Investments, Large
Capitalization Growth
Investments, International
Equity Investments and
Emerging Markets Equity
Investments,
respectively)............... $ 139,882
Interest (net of withholding
tax of $92,065 for
International Fixed Income
Investments)................ 195,069
---------------
Total investment income..... 334,951
---------------
EXPENSES:
Management fee (Note 2)....... 47,998
Administration fee (Note 2)... 15,999
Transfer agent fees (Note
2).......................... 1,632
Custodian fees (Note 2)....... 412
Trustees' fees and expenses
(Note 2).................... 2,904
Legal and audit fees.......... 13,835
Amortization of organization
costs (Note 5).............. 9,464
Shareholder reports expense... 37,525
Registration and filing
fees........................ 3,625
Other......................... 7,989
Fees waived (Note 2).......... (61,401)
---------------
Total expenses.............. 79,982
---------------
NET INVESTMENT
INCOME/(LOSS)............... 254,969
---------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities.................. (43,141)
Net realized loss on
futures..................... --
Net realized gain/(loss) on
forward foreign exchange
contracts and currency
transactions................ --
Net unrealized appreciation/
(depreciation) of securities
during the period........... (98,052)
Net unrealized appreciation of
futures during the period... --
Net unrealized depreciation of
forward foreign exchange
contracts, currency
transactions and net other
assets during the period.... --
---------------
Net realized and unrealized
gain/(loss) on
investments................. (141,193)
---------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS.................. $ 113,776
---------------
---------------
</TABLE>
6
<PAGE>
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL
VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax of
$2,706, $6,635, $180, $325,754 and
$19,608 for Balanced Investments,
Large Capitalization Value Equity
Investments, Large Capitalization
Growth Investments, International
Equity Investments and Emerging
Markets Equity Investments,
respectively)....................... $ 14,924,230 $ 5,013,130 $ 3,453,345 $ 30,654 $ 2,076,726
Interest (net of withholding tax of
$92,065 for International Fixed
Income Investments)................. 886,610 881,748 369,525 555,717 657,004
--------------- --------------- --------------- --------------- ---------------
Total investment income............. 15,810,840 5,894,878 3,822,870 586,371 2,733,730
--------------- --------------- --------------- --------------- ---------------
EXPENSES:
Management fee (Note 2)............... 2,419,271 1,623,890 838,468 609,588 2,010,382
Administration fee (Note 2)........... 806,424 541,297 279,489 203,196 574,395
Transfer agent fees (Note 2).......... 300,988 267,029 268,840 203,938 253,003
Custodian fees (Note 2)............... 79,342 62,470 67,509 30,766 442,122
Trustees' fees and expenses (Note
2).................................. 2,904 2,904 2,904 2,904 2,904
Legal and audit fees.................. 26,335 26,335 26,335 26,335 26,335
Amortization of organization costs
(Note 5)............................ 8,189 8,189 8,189 8,189 8,122
Shareholder reports expense........... 53,062 37,525 51,572 37,556 37,566
Registration and filing fees.......... 236 24,786 15,077 13,168 7,878
Other................................. 14,382 10,645 9,725 6,365 2,692
Fees waived (Note 2).................. (401,433) (249,501) -- -- --
--------------- --------------- --------------- --------------- ---------------
Total expenses...................... 3,309,700 2,355,569 1,568,108 1,142,005 3,365,399
--------------- --------------- --------------- --------------- ---------------
NET INVESTMENT INCOME/(LOSS).......... 12,501,140 3,539,309 2,254,762 (555,634) (631,669)
--------------- --------------- --------------- --------------- ---------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS (NOTES 1
AND 3):
Net realized gain/(loss) on
securities.......................... 2,922,265 (18,447) (10,787,868) 15,664,348 11,192,439
Net realized loss on futures.......... -- (1,023,899) -- -- --
Net realized gain/(loss) on forward
foreign exchange contracts and
currency transactions............... -- -- -- -- 460,095
Net unrealized appreciation/
(depreciation) of securities during
the period.......................... (10,823,308) 19,769,487 (2,050,387) 5,848,954 (82,605,511)
Net unrealized appreciation of futures
during the period................... -- 940,400 -- -- --
Net unrealized depreciation of forward
foreign exchange contracts, currency
transactions and net other assets
during the period................... -- -- -- -- (967,922)
--------------- --------------- --------------- --------------- ---------------
Net realized and unrealized
gain/(loss) on investments.......... (7,901,043) 19,667,541 (12,838,255) 21,513,302 (71,920,899)
--------------- --------------- --------------- --------------- ---------------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... $ 4,600,097 $ 23,206,850 $ (10,583,493) $ 20,957,668 $ (72,552,568)
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
INTERNATIONAL EMERGING
FIXED INCOME MARKETS EQUITY
INVESTMENTS INVESTMENTS
--------------- ---------------
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax of
$2,706, $6,635, $180, $325,754 and
$19,608 for Balanced Investments,
Large Capitalization Value Equity
Investments, Large Capitalization
Growth Investments, International
Equity Investments and Emerging
Markets Equity Investments,
respectively)....................... $ -- $ 303,874
Interest (net of withholding tax of
$92,065 for International Fixed
Income Investments)................. 4,206,482 43,146
--------------- ---------------
Total investment income............. 4,206,482 347,020
--------------- ---------------
EXPENSES:
Management fee (Note 2)............... 266,226 204,018
Administration fee (Note 2)........... 106,490 45,337
Transfer agent fees (Note 2).......... 100,864 49,647
Custodian fees (Note 2)............... 68,903 66,651
Trustees' fees and expenses (Note
2).................................. 2,904 2,904
Legal and audit fees.................. 26,335 13,835
Amortization of organization costs
(Note 5)............................ 8,122 8,133
Shareholder reports expense........... 37,525 37,535
Registration and filing fees.......... 1,338 21,461
Other................................. 5,044 2,166
Fees waived (Note 2).................. (117,519) (57,146)
--------------- ---------------
Total expenses...................... 506,232 394,541
--------------- ---------------
NET INVESTMENT INCOME/(LOSS).......... 3,700,250 (47,521)
--------------- ---------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS (NOTES 1
AND 3):
Net realized gain/(loss) on
securities.......................... 881,348 (1,388,853)
Net realized loss on futures.......... -- --
Net realized gain/(loss) on forward
foreign exchange contracts and
currency transactions............... (1,195,357) (192,978)
Net unrealized appreciation/
(depreciation) of securities during
the period.......................... 3,311,556 (11,235,787)
Net unrealized appreciation of futures
during the period................... -- --
Net unrealized depreciation of forward
foreign exchange contracts, currency
transactions and net other assets
during the period................... (107,974) (428)
--------------- ---------------
Net realized and unrealized
gain/(loss) on investments.......... 2,889,573 (12,818,046)
--------------- ---------------
NET INCREASE/(DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS........... $ 6,589,823 $ (12,865,567)
--------------- ---------------
--------------- ---------------
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
STATEMENT OF CHANGES IN NET ASSETS
FOR THE SIX MONTHS ENDED FEBRUARY 28, 1995
(UNAUDITED)
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
MONEY FIXED INCOME LONG-TERM BOND MUNICIPAL BOND MORTGAGE BACKED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Net investment
income/(loss).............. $ 4,967,109 $ 6,866,817 $ 3,606,795 $ 1,242,977 $ 3,708,626
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... (14,558) (3,640,050) (1,635,200) (1,377,671) (944,126)
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the period... -- 1,932,834 2,197,710 1,013,063 220,111
--------------- --------------- --------------- --------------- ---------------
Net increase/(decrease) in
net assets resulting from
operations................. 4,952,551 5,159,601 4,169,305 878,369 2,984,611
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... (4,966,200) (6,703,598) (3,596,246) (1,242,977) (3,625,999)
Distributions from net
realized capital gains.... -- -- -- -- --
Net increase/(decrease) in
net assets from Portfolio
share transactions (Note
4)......................... 27,066,477 (3,886,679) 39,859,982 (9,491,751) (16,002,728)
--------------- --------------- --------------- --------------- ---------------
Net increase/(decrease) in
net assets................. 27,052,828 (5,430,676) 40,433,041 (9,856,359) (16,644,116)
NET ASSETS:
Beginning of period.......... 184,655,762 223,547,575 94,628,116 56,625,007 120,427,091
--------------- --------------- --------------- --------------- ---------------
End of period (including
undistributed net
investment
income/(distributions in
excess of net investment
income earned to date) of
$1,874; $163,219; $10,549;
$(21,955); $82,627;
$13,440; $4,679,838;
$592,828; $685,441;
$(555,634); $(3,757,239);
$(374,796) and $(132,194),
respectively).............. $ 211,708,590 $ 218,116,899 $ 135,061,157 $ 46,768,648 $ 103,782,975
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
BALANCED
INVESTMENTS
---------------
<S> <C>
Net investment
income/(loss).............. $ 254,969
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... (43,141)
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the period... (98,052)
---------------
Net increase/(decrease) in
net assets resulting from
operations................. 113,776
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... (343,680)
Distributions from net
realized capital gains.... (70,178)
Net increase/(decrease) in
net assets from Portfolio
share transactions (Note
4)......................... 2,307,967
---------------
Net increase/(decrease) in
net assets................. 2,007,885
NET ASSETS:
Beginning of period.......... 14,940,447
---------------
End of period (including
undistributed net
investment
income/(distributions in
excess of net investment
income earned to date) of
$1,874; $163,219; $10,549;
$(21,955); $82,627;
$13,440; $4,679,838;
$592,828; $685,441;
$(555,634); $(3,757,239);
$(374,796) and $(132,194),
respectively).............. $ 16,948,332
---------------
---------------
</TABLE>
8
<PAGE>
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL
VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
--------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C>
Net investment
income/(loss).............. $ 12,501,140 $ 3,539,309 $ 2,254,762 $ (555,634) $ (631,669)
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... 2,922,265 (1,042,346) (10,787,868) 15,664,348 11,652,534
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the period... (10,823,308) 20,709,887 (2,050,387) 5,848,954 (83,573,433)
--------------- --------------- --------------- --------------- ---------------
Net increase/(decrease) in
net assets resulting from
operations................. 4,600,097 23,206,850 (10,583,493) 20,957,668 (72,552,568)
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... (21,453,227) (4,334,639) (3,895,746) -- --
Distributions from net
realized capital gains.... (14,119,177) -- -- (1,133,278) (16,788,072)
Net increase/(decrease) in
net assets from Portfolio
share transactions (Note
4)......................... 54,966,476 131,452,369 (45,623,427) 29,966,638 46,248,462
--------------- --------------- --------------- --------------- ---------------
Net increase/(decrease) in
net assets................. 23,994,169 150,324,580 (60,102,666) 49,791,028 (43,092,178)
NET ASSETS:
Beginning of period.......... 832,138,437 457,587,979 342,387,504 180,175,009 594,964,988
--------------- --------------- --------------- --------------- ---------------
End of period (including
undistributed net
investment
income/(distributions in
excess of net investment
income earned to date) of
$1,874; $163,219; $10,549;
$(21,955); $82,627;
$13,440; $4,679,838;
$592,828; $685,441;
$(555,634); $(3,757,239);
$(374,796) and $(132,194),
respectively).............. $ 856,132,606 $ 607,912,559 $ 282,284,838 $ 229,966,037 $ 551,872,810
--------------- --------------- --------------- --------------- ---------------
--------------- --------------- --------------- --------------- ---------------
<CAPTION>
INTERNATIONAL EMERGING
FIXED INCOME MARKETS EQUITY
INVESTMENTS INVESTMENTS
--------------- ---------------
<S> <C> <C>
Net investment
income/(loss).............. $ 3,700,250 $ (47,521)
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... (314,009) (1,581,831)
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the period... 3,203,582 (11,236,215)
--------------- ---------------
Net increase/(decrease) in
net assets resulting from
operations................. 6,589,823 (12,865,567)
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... (4,077,923) --
Distributions from net
realized capital gains.... -- (1,164,897)
Net increase/(decrease) in
net assets from Portfolio
share transactions (Note
4)......................... (17,511,154) 23,842,918
--------------- ---------------
Net increase/(decrease) in
net assets................. (14,999,254) 9,812,454
NET ASSETS:
Beginning of period.......... 116,929,476 36,364,877
--------------- ---------------
End of period (including
undistributed net
investment
income/(distributions in
excess of net investment
income earned to date) of
$1,874; $163,219; $10,549;
$(21,955); $82,627;
$13,440; $4,679,838;
$592,828; $685,441;
$(555,634); $(3,757,239);
$(374,796) and $(132,194),
respectively).............. $ 101,930,222 $ 46,177,331
--------------- ---------------
--------------- ---------------
</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 LONG-TERM MUNICIPAL MORTAGE
MONEY FIXED INCOME BOND BOND BACKED BALANCED
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- ------------ ------------ ------------- ------------
<S> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss)........ $ 4,922,703 $ 11,138,569 $ 4,641,769 $ 2,721,956 $ 7,149,577 $ 325,992
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) 87,984
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) 169,151
------------- ------------- ------------ ------------ ------------- ------------
Net increase/(decrease)
in net assets
resulting from
operations........... 4,880,206 (2,775,890) (3,933,227) (2,806,067) (75,728) 583,127
Distributions to
shareholders (Note
1):
Distributions from
net investment
income.............. (4,922,042) (11,658,914) (4,782,814) (2,743,126) (5,667,609) (223,841)
Distributions from
net realized capital
gains............... -- (1,117,476) (75,744) (324,664) (91,163) --
Distributions in
excess of net
realized capital
gains............... -- (242,336) (446,600) (182,170) -- --
Distributions from
capital............. -- (209,411) (34,587) -- (1,390,385) --
Net increase in net
assets from Portfolio
share transactions
(Note 4)............. 100,663,669 98,971,646 39,167,305 14,870,441 33,230,560 9,323,042
------------- ------------- ------------ ------------ ------------- ------------
Net increase in net
assets............... 100,621,833 82,967,619 29,894,333 8,814,414 26,005,675 9,682,328
NET ASSETS:
Beginning of year...... 84,033,929 140,579,956 64,733,783 47,810,593 94,421,416 5,258,119
------------- ------------- ------------ ------------ ------------- ------------
End of year (including
undistributed net
investment
income/(distributions
in excess of net
investment income) of
$965; $0; $0;
$(21,955); $0;
$102,151;
$13,631,925;
$1,388,158;
$2,326,425; $0;
$(3,125,570); $2,877,
and $(84,673)+,
respectively)........ $184,655,762 $223,547,575 $94,628,116 $56,625,007 $ 120,427,091 $14,940,447
------------- ------------- ------------ ------------ ------------- ------------
------------- ------------- ------------ ------------ ------------- ------------
</TABLE>
- -------------------
* Emerging Markets Equity Investments commenced operations on April 21, 1994.
+ Amount represents net investment loss.
10
<PAGE>
<TABLE>
<CAPTION>
LARGE LARGE SMALL SMALL
CAPITALIZATION CAPITALIZATION CAPITALIZATION CAPITALIZATION INTERNATIONAL INTERNATIOAL
VALUE EQUITY GROWTH VALUE EQUITY GROWTH EQUITY FIXED INCOME
INVESTMENTS INVESTMENTS INVESTMENTS INVESTMENTS INVESMENTS INVESTMENTS
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C> <C>
Net investment
income/(loss).............. $ 18,194,438 $ 1,388,158 $ 2,871,166 $ (1,015,479) $ 972,773 $ 6,724,712
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... 15,919,114 11,525,823 (4,828,113) (713,757) 13,715,345 (3,323,106)
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the year..... (13,291,418) (2,413,243) (4,950,339) 14,390,891 55,859,895 (2,452,103)
------------- ------------- ------------- ------------- ------------- -------------
Net increase/(decrease) in
net assets resulting from
operations................. 20,822,134 10,500,738 (6,907,286) 12,661,655 70,548,013 949,503
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... (11,543,060) -- (1,542,402) -- (985,545) (9,381,369)
Distributions from net
realized capital gains.... (30,454) -- (11,474,945) (343,998) (8,595,781) (1,076,772)
Distributions in excess of
net realized capital
gains..................... -- -- (300,742) (904,595) -- (719,263)
Distributions from
capital................... -- -- -- (425,517) -- (107,330)
Net increase in net assets
from Portfolio share
transactions (Note 4)...... 260,382,359 208,831,233 179,561,447 93,689,020 263,696,219 26,902,908
------------- ------------- ------------- ------------- ------------- -------------
Net increase in net assets... 269,630,979 219,331,971 159,336,072 104,676,565 324,662,906 16,567,677
NET ASSETS:
Beginning of year............ 562,507,458 238,256,008 183,051,432 75,498,444 270,302,082 100,361,799
------------- ------------- ------------- ------------- ------------- -------------
End of year (including
undistributed net
investment
income/(distributions in
excess of net investment
income) of $965; $0; $0;
$(21,955); $0; $102,151;
$13,631,925; $1,388,158;
$2,326,425; $0;
$(3,125,570); $2,877, and
$(84,673)+,
respectively).............. $832,138,437 $457,587,979 $342,387,504 $180,175,009 $ 594,964,988 $116,929,476
------------- ------------- ------------- ------------- ------------- -------------
------------- ------------- ------------- ------------- ------------- -------------
<CAPTION>
EMERGING
MARKETS
EQUITY
INVESTMENTS*
------------
<S> <C>
Net investment
income/(loss).............. $ (29,790)
Net realized gain/(loss) on
securities, futures,
forward foreign exchange
contracts and currency
transactions............... 471,863
Net unrealized appreciation/
(depreciation) of
investments, futures,
forward foreign exchange
contracts, currency
transactions and net other
assets during the year..... 3,991,025
------------
Net increase/(decrease) in
net assets resulting from
operations................. 4,433,098
Distributions to shareholders
(Note 1):
Distributions from net
investment income......... --
Distributions from net
realized capital gains.... --
Distributions in excess of
net realized capital
gains..................... --
Distributions from
capital................... --
Net increase in net assets
from Portfolio share
transactions (Note 4)...... 31,931,779
------------
Net increase in net assets... 36,364,877
NET ASSETS:
Beginning of year............ --
------------
End of year (including
undistributed net
investment
income/(distributions in
excess of net investment
income) of $965; $0; $0;
$(21,955); $0; $102,151;
$13,631,925; $1,388,158;
$2,326,425; $0;
$(3,125,570); $2,877, and
$(84,673)+,
respectively).............. $36,364,877
------------
------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
GOVERNMENT MONEY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- -------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- -------- ---------- ----------
Net investment income #............................ 0.02 0.03 0.03 0.03
Dividends from net investment income............... (0.02) (0.03) (0.03) (0.03)
----------- -------- ---------- ----------
NET ASSET VALUE, end of period..................... $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------- -------- ---------- ----------
----------- -------- ---------- ----------
Total return++..................................... 2.40% 3.10% 2.76% 2.72%
----------- -------- ---------- ----------
----------- -------- ---------- ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $211,709 $184,656 $84,034 $30,353
Ratio of operating expenses to average net
assets+........................................... 0.60%** 0.55% 0.50% 0.49%**
Ratio of net investment income to average net
assets............................................ 4.73%** 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 six months ended February 28, 1995, the
years ended August 31, 1994 and 1993, and the period ended August 31, 1992
were 0.76%, 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 six months ended February 28, 1995, the years ended August 31,
1994 and 1993, and the period ended August 31, 1992 were $0.02, $0.03, $0.02,
and $0.01, respectively.
</TABLE>
INTERMEDIATE FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95*** ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- --------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 7.92 $ 8.58 $ 8.25 $ 8.00
----------- --------- ---------- ----------
Income from investment operations:
Net investment income #............................ 0.25 0.47 0.51 0.34
Net realized and unrealized gain/(loss) on
investments....................................... (0.06) (0.56) 0.33 0.25
----------- --------- ---------- ----------
Total from investment operations................... 0.19 (0.09) 0.84 0.59
Less Distributions:
Distributions from net investment income........... (0.24) (0.50) (0.48) (0.34)
Distributions from net realized capital gains...... -- (0.05) (0.03) --
Distributions in excess of net realized gains...... -- (0.01) -- --
Distributions from capital......................... -- (0.01) -- --
----------- --------- ---------- ----------
Total Distributions................................ (0.24) (0.57) (0.51) (0.34)
----------- --------- ---------- ----------
NET ASSET VALUE, end of period..................... $ 7.87 $ 7.92 $ 8.58 $ 8.25
----------- --------- ---------- ----------
----------- --------- ---------- ----------
Total return++..................................... 2.51% (1.13)% 10.59% 7.53%
----------- --------- ---------- ----------
----------- --------- ---------- ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $218,117 $223,548 $140,580 $58,545
Ratio of operating expenses to average net
assets+........................................... 0.80%** 0.80% 0.80% 0.79%**
Ratio of net investment income to average net
assets............................................ 6.43%** 5.77% 5.94% 6.00%**
Portfolio turnover rate............................ 39% 86% 92% 169%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
*** 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 undistributed method does not accord with results of operations.
+ Annualized operating expense ratios before fees waived by the Agents for the
six months ended February 28, 1995, the year ended August 31, 1993 and the
period ended August 31, 1992 were 0.81%, 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 six months
ended February 28, 1995, year ended August 31, 1993 and the period ended
August 31, 1992 were $0.25, $0.50 and $0.31, respectively.
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LONG-TERM BOND INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THOUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- -------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 7.86 $ 8.70 $ 8.26 $ 8.00
----------- -------- ---------- ----------
Income from investment operations:
Net investment income #............................ 0.22 0.38 0.47 0.31
Net realized and unrealized gain/(loss) on
investments....................................... 0.00 (0.75) 0.42 0.26
----------- -------- ---------- ----------
Total from investment operations................... 0.22 (0.37) 0.89 0.57
Less Distributions:
Distributions from net investment income........... (0.22) (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................................ (0.22) (0.47) (0.45) (0.31)
----------- -------- ---------- ----------
NET ASSET VALUE, end of period..................... $ 7.86 $ 7.86 $ 8.70 $ 8.26
----------- -------- ---------- ----------
----------- -------- ---------- ----------
Total return++..................................... 2.87% (3.93)% 11.08% 7.37%
----------- -------- ---------- ----------
----------- -------- ---------- ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $135,061 $94,628 $64,734 $34,986
Ratio of operating expenses to average net
assets+........................................... 0.80%** 0.80% 0.80% 0.79%**
Ratio of net investment income to average net
assets............................................ 5.84%** 5.34% 5.40% 5.69%**
Portfolio turnover rate............................ 33% 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 six months ended February 28, 1995, the
years ended August 31, 1994 and 1993, and the period ended August 31, 1992
were 0.93%, 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 six months ended February 28, 1995, the years ended August 31,
1994 and 1993, and the period ended August 31, 1992 were $0.21, $0.37, $0.44
and $0.25, respectively.
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
MUNICIPAL BOND INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THOUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- --------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 8.06 $ 8.85 $ 8.25 $ 8.00
----------- --------- ---------- ----------
Income from investment operations:
Net investment income #............................ 0.20 0.40 0.41 0.30
Net realized and unrealized gain/(loss) on
investments....................................... 0.04*** (0.71 ) 0.62 0.25
----------- --------- ---------- ----------
Total from investment operations................... 0.24 (0.31 ) 1.03 0.55
Less Distributions:
Distributions from net investment income........... (0.20) (0.40 ) (0.41) (0.30)
Distributions from net realized capital gains...... -- (0.05 ) (0.02) --
Distributions in excess of net realized gains...... -- (0.03 ) -- --
----------- --------- ---------- ----------
Total Distributions................................ (0.20) (0.48 ) (0.43) (0.30)
----------- --------- ---------- ----------
NET ASSET VALUE, end of period..................... $ 8.10 $ 8.06 $ 8.85 $ 8.25
----------- --------- ---------- ----------
----------- --------- ---------- ----------
Total return++..................................... 3.12% (3.78 )% 12.94% 7.06%
----------- --------- ---------- ----------
----------- --------- ---------- ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $ 46,769 $56,625 $47,811 $21,795
Ratio of operating expenses to average net
assets+........................................... 0.80%** 0.80 % 0.80% 0.79%**
Ratio of net investment income to average net
assets............................................ 5.17%** 4.59 % 4.76% 4.71%**
Portfolio turnover rate............................ 28% 132 % 15% 76%
<FN>
- ---------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
*** The amount shown may not accord with the change in aggregate gains and
losses of portfolio securities due to the timing of sales and redemptions of
Portfolio shares.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the six months ended February 28, 1995, the
years ended August 31, 1994 and 1993, and the period ended August 31, 1992
were 1.07%, 0.93%, 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 six months ended February 28, 1995, the years ended August 31,
1994 and 1993, and the period ended August 31, 1992 were $0.19, $0.39, $0.39
and $0.24, respectively.
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
MORTGAGE BACKED INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- -------- ---------- --------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 7.69 $ 8.21 $ 8.19 $ 8.00
----------- -------- ---------- --------
Income from investment operations:
Net investment income #............................ 0.26 0.41 0.53 0.40
Net realized and unrealized gain/(loss) on
investments....................................... (0.01) (0.41) 0.00@ 0.19
----------- -------- ---------- --------
Total from investment operations................... 0.25 0.00 0.53 0.59
Less Distributions:
Distributions from net investment income........... (0.26) (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) --
----------- -------- ---------- --------
Total Distributions................................ (0.26) (0.52) (0.51) (0.40)
----------- -------- ---------- --------
NET ASSET VALUE, end of period..................... $ 7.68 $ 7.69 $ 8.21 $ 8.19
----------- -------- ---------- --------
----------- -------- ---------- --------
Total return++..................................... 3.35% (0.20)% 6.68% 7.56%
----------- -------- ---------- --------
----------- -------- ---------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $103,783 $120,427 $94,421 $35,694
Ratio of operating expenses to average net
assets+........................................... 0.80%** 0.80% 0.80% 0.79%**
Ratio of net investment income to average net
assets............................................ 7.03%** 6.38% 6.53% 6.55%**
Portfolio turnover rate............................ 0% 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 six months ended February 28, 1995, the
years ended August 31, 1994 and 1993, and the period ended August 31, 1992
were 1.10%, 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 six months ended February 28, 1995, the years ended August 31,
1994 and 1993, and the period ended August 31, 1992 were $0.25, $0.39, $0.49
and $0.35, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
BALANCED INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR PERIOD
2/28/95 ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93*
---------- --------- ---------
<S> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 8.63 $ 8.41 $ 8.00
---------- --------- ---------
Income from investment operations:
Net investment income #............................ 0.12 0.21 0.09
Net realized and unrealized gain/(loss) on
investments....................................... (0.09) 0.16 0.42
---------- --------- ---------
Total from investment operations................... 0.03 0.37 0.51
Less Distributions:
Distributions from net investment income........... (0.17) (0.15) (0.10)
Distributions from net realized capital gains...... (0.04) -- --
Distributions from capital......................... -- -- (0.00)@
---------- --------- ---------
Total Distributions................................ (0.21) (0.15) (0.10)
---------- --------- ---------
NET ASSET VALUE, end of period..................... $ 8.45 $ 8.63 $ 8.41
---------- --------- ---------
---------- --------- ---------
Total return++..................................... 0.32% 4.62% 6.35%
---------- --------- ---------
---------- --------- ---------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $16,948 $14,940 $5,258
Ratio of operating expenses to average net
assets+........................................... 1.00%** 1.00% 1.00%**
Ratio of net investment income to average net
assets............................................ 3.19%** 2.66% 2.67%**
Portfolio turnover rate............................ 13% 43% 10%
<FN>
- ---------------------------
* The Portfolio commenced operations on February 16, 1993.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or expenses
reimbursed by the Agents for the six months ended February 28, 1995, the year
ended August 31, 1994, and the period ended August 31, 1993 were 1.77%, 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 six months ended February 28, 1995, the year ended August
31, 1994, and the period ended August 31, 1993 were $0.09, $0.13 and $(0.06),
respectively.
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUND
FINANCIAL HIGHLIGHTS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93++ 8/31/92*
----------- ----------- --------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............................... $ 9.39 $ 9.35 $ 8.77 $ 8.00
----------- ----------- --------- -----------
Income from investment operations:
Net investment income #............................................ 0.13 0.17 0.25 0.09
Net realized and unrealized gain/(loss) on investments............. (0.10) 0.02 0.54 0.68
----------- ----------- --------- -----------
Total from investment operations................................... 0.03 0.19 0.79 0.77
Less Distributions:
Distributions from net investment income........................... (0.24) (0.15) (0.14) --
Distributions from net realized capital gains...................... (0.16) 0.00@ (0.07) --
----------- ----------- --------- -----------
Total Distributions................................................ (0.40) (0.15) (0.21) 0.00
----------- ----------- --------- -----------
NET ASSET VALUE, end of period..................................... $ 9.02 $ 9.39 $ 9.35 $ 8.77
----------- ----------- --------- -----------
----------- ----------- --------- -----------
Total return+...................................................... 0.54% 2.09% 9.25% 9.63%
----------- ----------- --------- -----------
----------- ----------- --------- -----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............................... $856,133 $ 832,138 $562,507 $197,695
Ratio of operating expenses to average net assets+++............... 0.82%** 0.88% 0.95% 1.24%**
Ratio of net investment income to average net assets............... 3.10%** 2.57% 2.88% 3.24%**
Portfolio turnover rate............................................ 8% 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 ratios before fee waivers by the Agents for the
six months ended February 28, 1995 and the year ended August 31, 1994 were
0.92% and 0.92%, respectively.
@ Amount represents less than $0.01 per portfolio share.
# Net investment income before fees waived by the Agents for the six months
ended February 28, 1995 and the year ended August 31, 1994 was $0.13 and
$0.17, respectively.
</TABLE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93+++ 8/31/92*
----------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 10.00 $ 9.76 $ 8.88 $ 8.00
----------- ---------- ---------- ----------
Income from investment operations:
Net investment income #............................ 0.06 0.03 0.00@ 0.01
Net realized and unrealized gain on investments.... 0.31 0.21 0.89 0.87
----------- ---------- ---------- ----------
Total from investment operations................... 0.37 0.24 0.89 0.88
Less Distributions:
Distributions from net investment income........... (0.08) -- (0.00)@ --
Distributions in excess of net investment income... -- -- (0.01) --
Distributions from capital......................... -- -- (0.00)@ --
----------- ---------- ---------- ----------
Total Distributions................................ (0.08) -- (0.01) --
----------- ---------- ---------- ----------
NET ASSET VALUE, end of period..................... $ 10.29 $ 10.00 $ 9.76 $ 8.88
----------- ---------- ---------- ----------
----------- ---------- ---------- ----------
Total return++..................................... 3.70% 2.46% 10.00% 11.00%
----------- ---------- ---------- ----------
----------- ---------- ---------- ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $607,913 $ 457,588 $238,256 $85,401
Ratio of operating expenses to average net
assets+........................................... 0.87%** 0.98% 1.12% 1.24%**
Ratio of net investment income/(loss) to average
net assets........................................ 1.31%** 0.39% (0.04)% 0.31%**
Portfolio turnover rate............................ 16% 104% 47% 19%
<FN>
- ---------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for the
six months ended February 28, 1995, the year ended August 31, 1994 and the
period ended August 31, 1992 were 0.96%, 1.02% and 1.42%, 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 income before fees waived by the Agents for the six months
ended February 28,1995, the year ended August 31, 1994 and the period ended
August 31, 1992 were $0.05, $0.03 and $0.00, respectively.
@ Amount represents less than $0.01 per portfolio share.
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- -------- -------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 9.03 $ 9.94 $ 8.68 $ 8.00
----------- -------- -------- ----------
Income from investment operations:
Net investment income #............................ 0.08 0.08 0.06 0.03
Net realized and unrealized gain/((loss) on
investments....................................... (0.36) (0.40) 1.31 0.65
----------- -------- -------- ----------
Total from investment operations................... (0.28) (0.32) 1.37 0.68
Less Distributions:
Distributions from net investment income........... (0.12) (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................................ (0.12) (0.59) (0.11) --
----------- -------- -------- ----------
NET ASSET VALUE, end of period..................... $ 8.63 $ 9.03 $ 9.94 $ 8.68
----------- -------- -------- ----------
----------- -------- -------- ----------
Total return++..................................... (3.01)% (3.30)% 15.74% 8.50%
----------- -------- -------- ----------
----------- -------- -------- ----------
Ratios to average net assets/Supplemental data:
NET ASSETS, end of period (in 000's)............... $282,285 $342,388 $183,051 $93,458
Ratio of operating expenses to average net
assets+........................................... 1.12%** 1.06% 1.11% 1.24%**
Ratio of net investment income to average net
assets............................................ 1.61%** 1.12% 0.82% 0.99%**
Portfolio turnover rate............................ 67% 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 per share 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 PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94+++ 8/31/93+++ 8/31/92*
----------- ------------ ------------ ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period............... $ 12.50 $ 11.21 $ 7.99 $ 8.00
----------- ------------ ------------ ----------
Income from investment operations:
Net investment loss #.............................. (0.03) (0.07) (0.07) (0.01)
Net realized and unrealized gain on investments.... 1.38 1.54 3.29 --
----------- ------------ ------------ ----------
Total from investment operations................... 1.35 1.47 3.22 (0.01)
----------- ------------ ------------ ----------
Less Distributions:
Distributions from realized capital gains.......... (0.07) (0.04) -- --
Distributions in excess of net realized capital
gains............................................. -- (0.10) -- --
Distributions from capital......................... -- (0.04) -- --
----------- ------------ ------------ ----------
Total Distributions................................ (0.07) (0.18) 0.00 0.00
----------- ------------ ------------ ----------
NET ASSET VALUE, end of period..................... $ 13.78 $ 12.50 $ 11.21 $ 7.99
----------- ------------ ------------ ----------
----------- ------------ ------------ ----------
Total return++..................................... 10.83% 13.18% 40.30% (0.13)%
----------- ------------ ------------ ----------
----------- ------------ ------------ ----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of period (in 000's)............... $229,966 $180,175 $ 75,498 $22,145
Ratio of operating expenses to average net
assets+........................................... 1.12%** 1.20% 1.25% 1.24%**
Ratio of net investment loss to average net
assets............................................ (0.55)%** (0.78)% (0.72)% (0.25)%**
Portfolio turnover rate............................ 59% 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 year 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 year ended August 31, 1993, and the period ended August 31,
1992 were $(0.09) and $(0.05), respectively.
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
INTERNATIONAL EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94+++ 8/31/93 8/31/92*
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period......... $ 10.86 $ 9.57 $ 7.76 $ 8.00
----------- ----------- ----------- -----------
Income from investment operations:
Net investment income/(loss) #............... (0.01) 0.02 0.05 0.03
Net realized and unrealized gain/(loss) on
investments................................. (1.26) 1.54 1.79 (0.27)
----------- ----------- ----------- -----------
Total from investment operations............. (1.27) 1.56 1.84 (0.24)
Less Distributions:
Distributions from net investment income..... -- (0.03) (0.03) --
Distributions from net realized capital
gains....................................... (0.29) (0.24) -- --
----------- ----------- ----------- -----------
Total Distributions.......................... (0.29) (0.27) (0.03) --
----------- ----------- ----------- -----------
NET ASSET VALUE, end of period............... $ 9.30 $ 10.86 $ 9.57 $ 7.76
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Total return++............................... (11.80)% 16.74% 23.73% (3.00)%
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Ratios to average net assets/Supplemental
data:
NET ASSETS, end of period (in 000's)......... $551,873 $594,965 $270,302 $115,779
Ratio of operating expenses to average net
assets+..................................... 1.17%** 1.19% 1.32% 1.50%**
Ratio of net investment income/(loss) to
average net assets.......................... (0.22)%** 0.23% 0.61% 1.08%**
Portfolio turnover rate...................... 11% 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>
INTERNATIONAL FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR YEAR PERIOD
2/28/95 ENDED ENDED ENDED
(UNAUDITED) 8/31/94 8/31/93 8/31/92*
----------- ----------- ----------- ----------
<S> <C> <C> <C> <C>
NET ASSET VALUE, beginning of period........ $ 8.17 $ 8.86 $ 8.71 $ 8.00
----------- ----------- ----------- ----------
Income from investment operations:
Net investment income #..................... 0.29 0.40 0.51 0.39
Net realized and unrealized gain/(loss) on
investments................................ 0.22 (0.32) 0.20 0.69
----------- ----------- ----------- ----------
Total from investment operations............ 0.51 0.08 0.71 1.08
Less Distributions:
Distributions from net investment income.... (0.32) (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......................... (0.32) (0.77) (0.56) (0.37)
----------- ----------- ----------- ----------
NET ASSET VALUE, end of period.............. $ 8.36 $ 8.17 $ 8.86 $ 8.71
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
Total return++.............................. 6.34% 1.00% 8.67% 13.93%
----------- ----------- ----------- ----------
----------- ----------- ----------- ----------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of period (in 000's)........ $101,930 $116,929 $100,362 $39,182
Ratio of operating expenses to average net
assets+.................................... 0.95%** 0.95% 0.95% 0.95%**
Ratio of net investment income to average
net assets................................. 6.95%** 5.54% 6.03% 6.34%**
Portfolio turnover rate..................... 112% 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 six months ended February 28, 1995, and the
years ended August 31, 1994 and 1993, and the period ended August 31, 1992
were 1.17%, 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 six months ended February 28, 1995, and the years ended August
31, 1994 and 1993, and the period ended August 31, 1992 were $0.28, $0.39,
$0.49 and $0.33, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
EMERGING MARKETS EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THOUGHOUT
EACH PERIOD.
<TABLE>
<CAPTION>
SIX MONTHS
ENDED PERIOD
2/28/95 ENDED
(UNAUDITED) 8/31/94*
----------- -----------
<S> <C> <C>
NET ASSET VALUE, beginning of period............... $ 9.49 $ 8.00
----------- -----------
Income from investment operations:
Net investment income/(loss) #..................... 0.00@ (0.02)
Net realized and unrealized gain/(loss) on
investments....................................... (2.22) 1.51
----------- -----------
Total from investment operations................... (2.22) 1.49
Less Distributions:
Distributions from net realized capital gains...... (0.20) --
----------- -----------
Total Distributions................................ (0.20) --
----------- -----------
NET ASSET VALUE, end of period..................... $ 7.07 $ 9.49
----------- -----------
----------- -----------
Total return++..................................... (23.56)% 18.63%
----------- -----------
----------- -----------
Ratios to average net assets/Supplemental data:
NET ASSETS, end of period (in 000's)............... $46,177 $36,365
Ratio of operating expenses to average net
assets+........................................... 1.75%** 1.72%**
Ratio of net investment loss to average net
assets............................................ (0.21)%** (0.42)%**
Portfolio turnover rate............................ 46% 16%
<FN>
- ---------------------------
* The Portfolio commenced operations on April 21, 1994.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for the
six months ended February 28, 1995 and the period ended August 31, 1994 were
2.00% and 2.56%, respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment loss per share before fees waived by the Agents for the six
months ended February 28, 1995 and the period ended August 31, 1994 were
$0.00 and $(0.04), respectively.
@ Amount represents less than $0.01.
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE DISCOUNTED MATURITY VALUE
VALUE YIELD DATE (NOTE 1)
----------- ---------- ------------------------------------------------------------------------------- ------------
<C> <C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 96.7%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 50.2%
$ 4,565,000 5.240% 03/01/95....................................................................... $ 4,565,001
650,000 5.060 03/13/95....................................................................... 648,903
2,000,000 5.220 03/20/95....................................................................... 1,994,490
5,000,000 5.380 03/22/95....................................................................... 4,984,308
80,000 5.900 03/31/95....................................................................... 79,607
1,150,000 6.200 04/05/95....................................................................... 1,143,068
850,000 5.600 04/06/95....................................................................... 845,240
1,000,000 6.020 04/13/95....................................................................... 992,809
18,400,000 6.170 04/18/95....................................................................... 18,248,650
11,800,000 5.990 04/20/95....................................................................... 11,701,831
3,500,000 6.030 04/24/95....................................................................... 3,468,342
5,500,000 5.830 04/27/95....................................................................... 5,449,214
3,700,000 6.040 04/28/95....................................................................... 3,663,995
5,700,000 5.960 05/17/95....................................................................... 5,627,338
4,700,000 5.930 05/25/95....................................................................... 4,634,193
1,100,000 6.200 06/08/95....................................................................... 1,081,245
580,000 6.230 06/13/95....................................................................... 569,561
11,300,000 6.130 06/16/95....................................................................... 11,094,285
11,550,000 6.420 06/19/95....................................................................... 11,323,572
2,400,000 6.410 06/22/95....................................................................... 2,351,746
170,000 6.550 06/29/95....................................................................... 166,288
6,700,000 6.500 06/30/95....................................................................... 6,553,661
385,000 6.500 07/05/95....................................................................... 376,241
1,900,000 6.140 08/10/95....................................................................... 1,847,503
130,000 6.180 08/14/95....................................................................... 126,292
230,000 5.990 08/17/95....................................................................... 223,532
2,640,000 6.150 08/28/95....................................................................... 2,558,828
------------
106,319,743
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 21.3%
3,500,000 5.950 03/01/95....................................................................... 3,500,000
2,500,000 6.120 03/29/95....................................................................... 2,488,100
5,450,000 5.920 04/03/95....................................................................... 5,420,404
5,500,000 5.660 04/04/95....................................................................... 5,470,586
2,450,000 5.980 04/06/95....................................................................... 2,435,355
1,950,000 5.850 04/18/95....................................................................... 1,934,790
15,636,000 5.740 04/28/95....................................................................... 15,491,459
1,000,000 6.070 05/03/95....................................................................... 989,377
500,000 7.240+ 02/05/96....................................................................... 500,000
6,750,000 6.840+ 02/28/96....................................................................... 6,763,566
------------
44,993,637
------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE DISCOUNTED MATURITY VALUE
VALUE YIELD DATE (NOTE 1)
----------- ---------- ------------------------------------------------------------------------------- ------------
<C> <C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
FEDERAL HOME LOAN BANK (FHLB) -- 21.0%
$ 1,500,000 6.230%+ 03/17/95....................................................................... $ 1,500,284
3,000,000 5.980 04/04/95....................................................................... 2,983,057
2,300,000 5.960 04/05/95....................................................................... 2,286,673
2,460,000 5.920 04/10/95....................................................................... 2,443,819
6,500,000 5.960 04/18/95....................................................................... 6,448,347
3,900,000 6.020 04/19/95....................................................................... 3,868,044
6,625,000 5.960 04/24/95....................................................................... 6,565,816
170,000 5.600 04/25/95....................................................................... 168,545
2,000,000 6.090 05/01/95....................................................................... 1,979,362
8,115,000 5.870 05/15/95....................................................................... 8,015,768
1,500,000 5.980 05/24/95....................................................................... 1,479,070
1,830,000 6.370 06/05/95....................................................................... 1,798,890
440,000 6.420 06/14/95....................................................................... 431,761
1,500,000 6.090 06/14/95....................................................................... 1,457,878
700,000 6.200 08/15/95....................................................................... 679,867
385,000 5.990 08/21/95....................................................................... 373,918
2,000,000 6.850+ 02/28/96....................................................................... 2,001,316
------------
44,482,415
------------
FEDERAL FARM CREDIT BANK (FFCB) -- 4.1%
1,400,000 5.470 03/22/95....................................................................... 1,395,533
165,000 6.000 04/17/95....................................................................... 163,708
1,900,000 6.020 04/20/95....................................................................... 1,884,114
345,000 6.000 05/02/95....................................................................... 341,435
80,000 5.750 05/03/95....................................................................... 79,195
1,400,000 5.920 05/22/95....................................................................... 1,381,122
345,000 6.400 06/02/95....................................................................... 339,296
940,000 6.470 06/07/95....................................................................... 923,444
1,000,000 6.380 07/13/95....................................................................... 976,252
375,000 6.150 08/09/95....................................................................... 364,686
800,000 6.140 08/15/95....................................................................... 777,177
------------
8,625,962
------------
TENNESSEE VALLEY AUTHORITY (TVA) -- 0.1%
200,000 4.125+ 08/15/95....................................................................... 197,877
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $204,619,634).................................................................. 204,619,634
------------
U.S. TREASURY BILLS -- 6.3%
250,000 4.940 03/02/95....................................................................... 249,966
3,200,000 4.950 03/09/95....................................................................... 3,196,480
2,500,000 4.430 04/06/95....................................................................... 2,488,918
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE DISCOUNTED MATURITY VALUE
VALUE YIELD DATE (NOTE 1)
----------- ---------- ------------------------------------------------------------------------------- ------------
<C> <C> <S> <C>
U.S. TREASURY BILLS (CONTINUED)
$ 3,100,000 4.790% 05/04/95....................................................................... $ 3,073,626
3,600,000 5.750 05/11/95....................................................................... 3,559,210
185,000 6.250 06/29/95....................................................................... 181,146
660,000 6.120 08/10/95....................................................................... 641,824
------------
TOTAL U.S. TREASURY BILLS (Cost $13,391,170)......................................... 13,391,170
------------
TOTAL INVESTMENTS (Cost $218,010,804*).............................................................103.0% 218,010,804
OTHER ASSETS AND LIABILITIES (NET)..................................................................(3.0) (6,302,214)
------- ------------
NET ASSETS.........................................................................................100.0% $211,708,590
------- ------------
------- ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Coupon rate
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Government Money Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
U.S. Government and
Agency Obligations 96.7%
U.S Treasury Bills and Net Other
Assets and Liabilities 3.3%
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES -- 45.9%
BANKING -- 13.6%
$1,425,000 Capital One Bank, Medium Term Note,
8.625% due 1/15/97............................................................ $ 1,442,813
1,500,000 Centura Bank, Medium Term Note,
7.950% due 7/25/96............................................................ 1,509,375
Chase Manhattan Corporation:
Senior Medium Term Notes:
750,000 7.160% due 5/15/95.............................................................. 750,938
250,000 7.750% due 11/1/99.............................................................. 248,750
Subordinated Notes:
1,500,000 8.000% due 6/15/99.............................................................. 1,513,125
2,000,000 5.250% due 5/12/09.............................................................. 1,915,000
Citicorp, Subordinated Capital Notes:
1,000,000 8.750% due 11/1/96.............................................................. 1,022,500
50,000 9.000% due 4/15/99.............................................................. 52,125
1,500,000 9.750% due 8/1/99............................................................... 1,608,750
425,000 Continental Bank, Subordinated Note,
9.875% due 6/15/96............................................................ 439,875
1,000,000 First Chicago Corporation, Subordinated Capital Note,
9.875% due 7/1/99............................................................. 1,075,000
1,500,000 First Interstate Bancorp, Subordinated Capital Note,
8.625% due 4/1/99............................................................. 1,539,375
1,500,000 First Union Corporation, Subordinated Note,
8.125% due 12/15/96........................................................... 1,516,875
General Motors Acceptance Corporation, Notes:
500,000 8.625% due 7/15/96.............................................................. 508,125
975,000 7.750% due 4/15/97.............................................................. 979,875
Medium Term Notes:
500,000 8.700% due 4/11/96.............................................................. 508,125
100,000 7.375% due 1/15/97.............................................................. 100,000
International Leasing Finance Corporation, Notes:
800,000 7.900% due 10/1/96.............................................................. 810,000
600,000 5.500% due 4/1/97............................................................... 582,000
1,075,000 5.750% due 3/15/98.............................................................. 1,029,313
1,325,000 Markel Corporation, Note,
7.250% due 11/1/03............................................................ 1,166,000
Morgan Stanley Group Inc., Notes:
250,000 7.320% due 1/15/97.............................................................. 251,250
3,000,000 8.100% due 6/24/02.............................................................. 3,007,500
1,000,000 NationsBank Corporation, Note,
6.625% due 1/15/98............................................................ 978,750
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
BANKING (CONTINUED)
$1,500,000 Orion Capital Corporation, Senior Note,
9.125% due 9/1/02............................................................. $ 1,545,000
1,500,000 Shawmut National Corporation, Subordinated Note,
8.625% due 12/15/99........................................................... 1,537,500
2,000,000 St. George Bank, Note,
6.875% due 4/1/99+............................................................ 1,932,380
------------
29,570,319
------------
FINANCIAL SERVICES -- 10.3%
1,400,000 Dean Witter, Note,
6.000% due 3/1/98............................................................. 1,349,250
2,100,000 First U.S.A. Bank Wilmington, Delaware,
8.200% due 2/15/98............................................................ 2,123,625
Fleet Financial Group Inc.:
1,500,000 Note,
5.625% due 7/1/95............................................................. 1,496,250
2,100,000 Senior Note,
7.250% due 10/15/97........................................................... 2,100,000
5,425,000 Goldman Sachs Group, Note,
6.375% due 6/15/00+........................................................... 5,018,125
1,000,000 Hartford National Corporation, Senior Note,
9.850% due 6/1/99............................................................. 1,073,750
1,500,000 Integra Financial Corporation, Subordinated Note,
6.500% due 4/15/00............................................................ 1,425,000
2,050,000 Merrill Lynch Corporation, Note,
8.980% due 10/25/15........................................................... 2,076,650
Salomon Inc., Medium Term Notes:
1,000,000 8.875% due 4/1/97............................................................... 1,020,000
525,000 6.360% due 4/1/98............................................................... 502,688
700,000 6.125% due 5/15/98.............................................................. 663,250
1,550,000 Notes,
5.790% due 11/26/97........................................................... 1,470,563
2,100,000 United States Fidelity & Guarantee Corporation, Note,
8.375% due 6/15/01............................................................ 2,097,375
------------
22,416,526
------------
COMMUNICATIONS -- 6.6%
4,050,000 News America Holdings, Inc., Senior Note,
8.450% due 8/1/34............................................................. 4,085,438
Telecommunications, Inc., Senior Notes:
400,000 7.375% due 2/15/00.............................................................. 384,000
3,000,000 9.250% due 4/15/02.............................................................. 3,183,750
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
COMMUNICATIONS (CONTINUED)
Time Warner, Inc., Notes:
$4,700,000 7.450% due 2/1/98............................................................... $ 4,647,125
1,500,000 7.950% due 2/1/00............................................................... 1,479,375
600,000 9.625% due 5/1/02............................................................... 629,250
------------
14,408,938
------------
REAL ESTATE -- 2.8%
4,000,000 SKW Real Estate, Class C,
7.050% due 4/15/02+........................................................... 4,000,000
2,100,000 Taubman Realty Group Ltd.,
8.000% due 6/15/99............................................................ 2,060,625
------------
6,060,625
------------
OIL -- 2.6%
Occidental Petroleum Corporation, Notes:
700,000 9.500% due 8/15/97.............................................................. 731,500
400,000 5.850% due 11/9/98.............................................................. 378,000
2,100,000 5.900% due 11/9/98.............................................................. 1,997,625
1,600,000 5.950% due 11/9/98.............................................................. 1,516,000
1,000,000 Union Oil Company, California, Note,
9.625% due 5/15/95............................................................ 1,007,500
------------
5,630,625
------------
HEALTH CARE -- 2.4%
Columbia Healthcare Corporation:
1,675,000 6.125% due 12/15/00............................................................. 1,561,938
1,750,000 7.250% due 2/23/04.............................................................. 1,465,625
2,150,000 Health & Retirement Properties,
Zero Coupon due 7/13/99....................................................... 2,150,000
------------
5,177,563
------------
POWER & LIGHTING -- 1.8%
2,000,000 FPL Group Capital Inc., Debenture,
6.500% due 7/1/97............................................................. 1,965,000
System Energy Resources, First Mortgage Bonds:
1,000,000 6.000% due 4/1/98............................................................... 962,500
1,100,000 7.625% due 4/1/99............................................................... 1,080,750
------------
4,008,250
------------
INDUSTRIAL -- 1.6%
3,625,000 Twin Pak Inc., Guaranteed Note,
6.375% due 6/15/00............................................................ 3,470,939
------------
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
CORPORATE BONDS AND NOTES (CONTINUED)
PAPER -- 0.9%
$1,950,000 Georgia-Pacific Corporation, Debenture,
Credit Sensitive Note,
9.850% due 6/15/97............................................................ $ 2,023,125
------------
RETAIL -- 0.9%
2,000,000 Sears Roebuck & Company, Medium Term Note,
7.040% due 4/3/95............................................................. 2,002,500
------------
GAS -- 0.6%
1,400,000 Valero Energy Corporation, Medium Term Note,
6.830% due 4/14/95............................................................ 1,400,000
------------
OTHER -- 1.8%
2,100,000 ERP Operation Ltd.,
8.500% due 5/15/99............................................................ 2,109,808
2,000,000 Scherer R.P. International Corporation,
6.750% due 2/1/04............................................................. 1,750,000
------------
3,859,808
------------
TOTAL CORPORATE BONDS AND NOTES (Cost $103,453,500)............................. 100,029,218
------------
MORTGAGE BACKED SECURITIES -- 39.2%
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 48 POOLS -- 23.0%
2,327,811 7.500% due 7/15/23-8/15/24...................................................... 2,253,600
5,963,578 8.000% due 4/15/22-8/15/24...................................................... 5,930,002
12,291,550 9.000% due 4/15/19-11/15/25..................................................... 12,763,940
5,901,146 9.500% due 6/15/13-7/15/22...................................................... 6,244,127
725,000 Commitment to purchase, 6.500% due 3/15/25...................................... 725,227
6,200,000 Commitment to purchase, 7.500% due 4/15/25...................................... 5,979,125
GNMA II:
1,496,784 4.000% due 1/20/24.............................................................. 1,373,300
2,026,739 4.500% due 1/20/24.............................................................. 1,905,135
5,838,258 5.000% due 1/20/24-6/20/24...................................................... 5,625,762
1,923,621 5.500% due 5/20/24.............................................................. 1,877,935
4,171,967 6.000% due 8/20/24-10/20/24..................................................... 4,106,074
1,334,945 6.500% due 10/20/23-12/20/23.................................................... 1,328,271
------------
50,112,498
------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 18 POOLS -- 12.1%
2,225,000 7.000% due 3/1/25............................................................... 2,096,020
11,194,930 7.500% due 10/1/22-3/1/25....................................................... 10,868,906
8,293,121 8.000% due 8/1/24-10/1/24....................................................... 8,243,863
1,500,000 Non-interest bearing until 11/22/96, 7.940 due 11/22/01......................... 1,288,665
650,000 Principal Only, FNMA Strips, Zero Coupon due 12/20/01........................... 574,672
1,400,000 Principal Only, FNMA Strips, Zero Coupon due 3/9/02............................. 1,201,844
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
MORTGAGE BACKED SECURITIES (CONTINUED)
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) (CONTINUED)
$2,450,000 Zero Coupon due 10/10/01........................................................ $ 2,184,126
------------
26,458,096
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 4 POOLS -- 2.6%
300,000 5.500% due 8/15/03.............................................................. 284,400
71,474 1.430% due 4/15/22.............................................................. 60,150
3,949,536 9.000% due 6/1/22-10/1/24....................................................... 4,080,345
1,253,213 9.500% due 7/25/22.............................................................. 1,309,608
------------
5,734,503
------------
COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 1.5%
2,000,000 Federal Deposit Insurance Company REMIC Trust,
7.850% due 9/25/25............................................................ 1,985,320
U.S. Department of Veteran Affairs:
850,000 6.500% due 2/15/07.............................................................. 825,350
500,000 7.750% due 9/15/10.............................................................. 498,595
------------
3,309,265
------------
TOTAL MORTGAGE BACKED SECURITIES (Cost $85,997,427)............................. 85,614,362
------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 15.1%
U.S. TREASURY BILLS -- 2.5%
300,000 4.920%# due 5/4/95.............................................................. 285,950
5,535,000 6.790%# due 1/11/96............................................................. 5,166,030
------------
5,451,980
------------
U.S. TREASURY NOTES -- 11.6%
375,000 4.375% due 11/15/96............................................................. 361,205
2,375,000 6.500% due 11/30/96............................................................. 2,366,995
4,500,000 7.500% due 12/31/96............................................................. 4,559,896
1,925,000 7.500% due 1/31/97.............................................................. 1,950,143
325,000 5.500% due 7/31/97.............................................................. 315,550
3,805,000 6.000% due 11/30/97............................................................. 3,723,308
100,000 6.000% due 12/31/97............................................................. 97,794
10,550,000 5.625% due 1/31/98.............................................................. 10,200,900
515,000 5.125% due 2/28/98.............................................................. 490,636
1,215,000 5.250% due 7/31/98.............................................................. 1,152,939
------------
25,219,366
------------
U.S. GOVERNMENT AGENCIES -- 1.0%
Government Trust Certificate,
Resolution Trust Corporation:
41,045 8.465% due 3/25/20.............................................................. 43,864
22,729 7.100% due 12/25/20............................................................. 22,700
660,313 6.780% due 3/25/22.............................................................. 652,884
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
U.S. GOVERNMENT AGENCIES (CONTINUED)
$ 355,260 7.500% due 8/25/23.............................................................. $ 349,265
147,676 8.800% due 8/25/23.............................................................. 161,800
875,000 7.250% due 10/25/23............................................................. 827,969
68,196 9.000% due 9/25/28.............................................................. 75,870
58,650 7.750% due 7/25/30.............................................................. 59,355
55,108 8.625% due 7/25/30.............................................................. 61,050
------------
2,254,757
------------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $33,449,757).......................................................... 32,926,103
------------
COMMERCIAL PAPER -- 0.8% (Cost $1,808,000)
1,808,000 General Electric Capital Corporation,
6.000% due 3/1/95............................................................. 1,808,000
------------
TOTAL INVESTMENTS (Cost $224,708,684*)................................................101.0% 220,377,683
OTHER ASSETS AND LIABILITIES (NET).................................................... (1.0) (2,260,784)
------ ------------
NET ASSETS............................................................................100.0% $218,116,899
------ ------------
------ ------------
<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 institutional buyers.
# Represents annualized yield to maturity.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Intermdiate Fixed Income Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Corporate Bonds and Notes 45.9%
Mortgage Backed
Securities 39.2%
U.S. Government and Agency Obligations,
Commercial Paper and
Net Other Assets and Liabilities 14.9%
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MORTGAGE BACKED SECURITIES -- 36.5%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 20 POOLS -- 13.1%
$4,597,083 Gold 6.000% due 8/1/08 - 9/1/08................................................. $ 4,273,816
1,638,259 Gold 7.000% due 4/1/07 - 12/1/07................................................ 1,591,667
419,806 Gold 8.000% due 7/1/02 - 12/1/06................................................ 422,383
2,000,000 6.000% due 9/27/96.............................................................. 1,996,680
1,800,000 3.909% due 2/10/97.............................................................. 1,696,500
2,500,000 6.620% due 8/8/97............................................................... 2,473,375
1,500,000 5.740% due 12/23/98............................................................. 1,414,140
1,500,000 6.350% due 3/7/01............................................................... 1,411,425
1,600,000 6.615% due 3/3/04............................................................... 1,486,720
1,000,000 6.630% due 1/12/09.............................................................. 881,010
-----------
17,647,716
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 25 POOLS -- 9.4%
3,756,269 6.000% due 12/1/08 - 11/1/13.................................................... 3,401,911
6,911,851 7.000% due 2/1/07 - 11/1/07..................................................... 6,708,781
1,899,595 7.500% due 12/1/07 - 7/1/09..................................................... 1,880,599
655,466 8.000% due 11/1/06 - 8/1/07..................................................... 661,202
-----------
12,652,493
-----------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 24 POOLS -- 5.5%
7,930,465 7.000% due 12/15/23 - 6/15/24................................................... 7,401,594
-----------
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) NOTES -- 4.2%
2,000,000 4.550% due 4/8/96............................................................... 1,951,360
1,500,000 7.000% due 4/10/97.............................................................. 1,494,045
1,000,000 6.400% due 1/13/04.............................................................. 917,450
1,225,000 8.625% due 11/10/04............................................................. 1,271,512
-----------
5,634,367
-----------
STUDENT LOAN MARKETING ASSOCIATION (SLMA) NOTES -- 3.3%
2,550,000 6.000% due 10/4/96.............................................................. 2,545,103
1,000,000 6.050% due 7/21/97.............................................................. 985,937
1,000,000 7.875% due 2/3/97............................................................... 1,016,100
-----------
4,547,140
-----------
FEDERAL FARM CREDIT BANK (FFCB) NOTES -- 1.0%
1,400,000 4.440% due 4/28/98.............................................................. 1,346,506
-----------
TOTAL MORTGAGE BACKED SECURITIES (Cost $50,701,908)............................. 49,229,816
-----------
U.S. TREASURY OBLIGATIONS -- 29.5%
U.S. TREASURY NOTES -- 17.5%
1,500,000 5.125% due 3/31/98.............................................................. 1,426,635
1,000,000 4.750% due 9/30/98.............................................................. 930,640
1,000,000 7.125% due 10/15/98............................................................. 1,008,230
1,000,000 5.125% due 11/30/98............................................................. 939,550
1,000,000 7.000% due 4/15/99.............................................................. 1,000,600
4,000,000 7.125% due 9/30/99.............................................................. 4,012,760
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
U.S. TREASURY OBLIGATIONS (CONTINUED)
<C> <S> <C>
U.S. TREASURY NOTES (CONTINUED)
$4,400,000 5.500% due 4/15/00.............................................................. $ 4,116,728
10,000,000 7.500% due 11/15/01............................................................. 10,187,100
-----------
23,622,243
-----------
U.S. TREASURY BONDS -- 10.1%
3,500,000 9.375% due 2/15/06.............................................................. 4,049,045
1,250,000 10.375% due 11/15/12............................................................ 1,542,963
9,525,000 6.250% due 8/15/23.............................................................. 8,112,824
-----------
13,704,832
-----------
OTHER U.S. TREASURY OBLIGATIONS -- 1.9%
3,000,000 Treasury Synthetic-Linked Coupon Securities,
6.000% due 8/15/09+........................................................... 2,553,750
-----------
TOTAL U.S. TREASURY OBLIGATIONS (Cost $39,840,845).............................. 39,880,825
-----------
CORPORATE BONDS AND NOTES -- 28.0%
BANKING & FINANCE -- 23.8%
2,000,000 American General Corporation, Senior Note,
7.700% due 10/15/99........................................................... 2,015,000
1,500,000 Aon Corporation, Note,
6.300% due 1/15/04............................................................ 1,376,250
Associates Corporation N.A.:
3,000,000 6.750% due 7/15/97.............................................................. 2,966,250
1,000,000 7.750% due 11/1/97.............................................................. 1,011,250
1,500,000 7.250% due 9/1/99............................................................... 1,485,000
2,000,000 Bank America Corporation, Subordinated Note,
7.625% due 6/15/04............................................................ 1,945,000
3,000,000 Cit Group Holdings, Inc., Medium Term Note,
7.000% due 9/30/97............................................................ 2,985,000
3,000,000 Finland Republic, Note,
6.750% due 11/24/97........................................................... 2,970,000
1,500,000 International Lease Finance Corporation,
5.625% due 3/1/98............................................................. 1,430,625
1,500,000 Massachusetts Mutual Life Insurance Company, Note,
7.625% due 11/15/23........................................................... 1,306,875
1,750,000 Morgan (J.P.) & Company Inc., Subordinated Note,
7.625% due 9/15/04............................................................ 1,730,313
1,500,000 NBD Bank N.A., Subordinated Note,
6.250% due 8/15/03............................................................ 1,365,000
1,850,000 Republic New York Corporation, Subordinated Note,
5.875% due 10/15/08........................................................... 1,530,875
2,500,000 Society Bank N.A.,
6.500% due 4/25/97............................................................ 2,459,375
2,000,000 Toronto Dominion Bank, Subordinated Note,
6.500% due 8/15/08............................................................ 1,745,000
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
BANKING & FINANCE (CONTINUED)
$1,520,378 USAA Auto Loan Grantor,
5.000% due 11/15/99........................................................... $ 1,491,337
2,500,000 Westdeutsche LB Bank, Debenture,
6.750% due 6/15/05............................................................ 2,343,750
-----------
32,156,900
-----------
UTILITY -- 3.2%
2,000,000 Citizens Utilities Company,
7.600% due 6/1/06............................................................. 1,965,000
2,000,000 Consolidated Edison Company,
6.250% due 4/1/98............................................................. 1,932,500
400,000 Louisville Gas and Electric, 1st Mortgage,
5.625% due 6/1/96............................................................. 395,000
-----------
4,292,500
-----------
RETAIL -- 1.0%
1,500,000 Wal Mart Stores Inc.,
5.875% due 10/15/05........................................................... 1,293,750
-----------
TOTAL CORPORATE BONDS AND NOTES (Cost $38,446,661).............................. 37,743,150
-----------
REPURCHASE AGREEMENT -- 9.4% (Cost $12,812,000)
12,812,000 Agreement with Union Bank of Switzerland, 5.970% dated 2/28/95 to be repurchased
at $12,814,125 on 3/1/95, collateralized by $13,035,000 U.S. Treasury Notes
6.750% due 5/31/99............................................................ 12,812,000
-----------
TOTAL INVESTMENTS (Cost $141,801,414*)................................................103.4% 139,665,791
OTHER ASSETS AND LIABILITIES (NET).................................................... (3.4) (4,604,634)
------ -----------
NET ASSETS............................................................................100.0% $135,061,157
------ -----------
------ -----------
<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 payments on the bonds. The market value of these holdings will
fluctuate with the value of the underlying STRIPS.
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Total Return Fixed Income Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Mortgage-Backed Securities 36.5%
U.S. Treasury Obligations 29.5%
Repurchase Agreement and Net Other
Assets and Liabilities 6.0%
Corporate Bonds and Notes 28.0%
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 93.9%
ALABAMA -- 2.0%
$1,000,000 Birmingham, Alabama, Resource Recovery Improvement Revenue, Public Improvement
Revenue, Series B,
5.625% due 4/1/18............................................................. $ 940,000
-----------
ARIZONA -- 2.3%
1,200,000 Salt River Project, Arizona, Agriculture Improvement and Power District, Series
B,
5.250% due 1/1/13............................................................. 1,093,500
-----------
COLORADO -- 3.8%
2,000,000 Colorado Springs, Colorado, Utilities Revenue Bond, Series A,
5.125% due 11/15/18........................................................... 1,757,500
-----------
CONNECTICUT -- 4.1%
1,000,000 Connecticut State, Clean Water Fund, Sewer Improvement Revenue,
5.750% due 12/1/13............................................................ 976,250
1,000,000 Connecticut State, Special Tax Obligation, Series A,
5.400% due 9/1/10............................................................. 937,500
-----------
1,913,750
-----------
FLORIDA -- 10.3%
1,200,000 Florida State Board of Education, Series E,
5.700% due 6/1/14............................................................. 1,168,500
1,000,000 Jacksonville, Florida, Electric Authority Revenue, Series 8,
5.500% due 10/1/13............................................................ 945,000
2,000,000 Orlando, Florida, Utilities Commission, Water and Electricity Revenue,
5.000% due 10/1/14............................................................ 1,745,000
1,000,000 St. Petersburg, Florida, Public Utilities Revenue, Water and Sewer Revenue,
5.600% due 10/1/15............................................................ 951,250
-----------
4,809,750
-----------
ILLINOIS -- 12.1%
1,000,000 Du Page County, Illinois, Jail Revenue Refunding,
5.500% due 1/1/13............................................................. 940,000
1,950,000 Illinois Regional Transportation Authority,
6.300% due 6/1/12............................................................. 1,979,250
1,000,000 Illinois State, Public Improvement Revenue,
5.875% due 8/1/13............................................................. 981,250
1,000,000 Illinois State, Sales Tax Revenue, Series Q,
6.000% due 6/15/09............................................................ 1,021,250
700,000 Illinois State, Toll Highway Authority, Series A,
6.300% due 1/1/12............................................................. 729,750
-----------
5,651,500
-----------
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
INDIANA -- 2.3%
$1,200,000 Indiana State Office Commission, Health, Hospital and Nursing Home
Revenue, Series C,
5.250% due 7/1/15............................................................. $ 1,069,500
-----------
IOWA -- 5.5%
1,650,000 Cedar Rapids, Iowa, Revenue Bonds, Series A,
5.125%, due 6/1/13............................................................ 1,497,375
1,100,000 Des Moines, Iowa, General Obligation Bonds, Series A,
6.000%, due 6/1/12............................................................ 1,093,125
-----------
2,590,500
-----------
MARYLAND -- 2.9%
1,500,000 Harford County, Maryland, Public Improvement Revenue,
4.900% due 12/1/11............................................................ 1,342,500
-----------
MASSACHUSETTS -- 2.1%
1,000,000 Commonwealth of Massachusetts, Consolidated Loan,
6.000% due 6/1/13............................................................. 996,250
-----------
MICHIGAN -- 9.7%
Michigan Municipal Bond Authority, Sewer Revenue:
1,000,000 5.000% due 11/1/09............................................................ 916,250
750,000 Series A,
6.550% due 10/1/13............................................................ 775,313
1,500,000 Michigan State Building Authority, Revenue Bonds, Series I,
5.300% due 10/1/16............................................................ 1,351,875
1,700,000 Michigan State Public Power Agency, Revenue Bonds, Series A,
5.250% due 1/1/18............................................................. 1,508,750
-----------
4,552,188
-----------
NEBRASKA -- 2.9%
1,500,000 Omaha, Nebraska, Power District Revenue, Series D,
5.300% due 2/1/16............................................................. 1,346,250
-----------
NEVADA -- 2.0%
1,000,000 Washoe County, Nevada, Recreational Revenue, Series A,
(Reno Bowling),
5.700% due 7/1/17............................................................. 938,750
-----------
NEW YORK -- 6.3%
2,000,000 New York State Environmental Facilities Corporation, Series D,
5.875% due 6/15/14............................................................ 1,972,500
1,000,000 Onondaga County, New York, General Obligation Bond,
5.850% due 5/1/14............................................................. 991,250
-----------
2,963,750
-----------
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
MUNICIPAL BONDS AND NOTES (CONTINUED)
OKLAHOMA -- 2.0%
$1,000,000 Oklahoma State Municipal Power Authority, Revenue Bonds,
5.150% due 1/1/14............................................................. $ 907,500
-----------
TEXAS -- 14.3%
1,500,000 Harris County, Texas, Municipal Utilities District Revenue,
5.250% due 3/1/10............................................................. 1,411,875
500,000 Harris County, Texas, Revenue Reference Toll Tax, Series B,
6.500% due 8/15/15............................................................ 516,250
2,000,000 Houston, Texas, Public Improvement Revenue Refunding,
5.000% due 3/1/12............................................................. 1,792,500
1,000,000 San Antonio, Texas, Certificates of Obligation,
5.750% due 8/1/13............................................................. 980,000
500,000 San Antonio, Texas, Water Revenue, Series B,
6.500% due 5/15/10............................................................ 521,250
1,600,000 Texas State, Water Development Board Revenue,
5.250% due 7/15/15............................................................ 1,460,000
-----------
6,681,875
-----------
WASHINGTON -- 5.2%
500,000 Seattle, Washington, Municipal Light and Power Revenue,
5.750% due 8/1/17............................................................. 467,500
1,000,000 Snohomish County, Washington, Public Utilities Revenue,
6.000% due 1/1/13............................................................. 991,250
1,000,000 Tocoma, Washington, Water Revenue Refunding,
5.500% due 12/1/13............................................................ 967,500
-----------
2,426,250
-----------
WISCONSIN -- 4.1%
1,000,000 Green Bay, Wisconsin, General Obligation Bonds, Series B,
5.900% due 4/1/10............................................................. 996,250
1,000,000 Wisconsin State, Clean Water Revenue, Series 1,
5.300% due 6/1/12............................................................. 922,500
-----------
1,918,750
-----------
TOTAL MUNICIPAL BONDS AND NOTES
(Cost $45,805,689)............................................................ 43,900,063
-----------
SHORT-TERM MUNICIPAL BONDS AND NOTES -- 6.4%
ILLINOIS -- 0.9%
400,000 Illinois Health Facilities Authority, Revenue Bond,
3.800% due 1/1/20+............................................................ 400,000
-----------
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- -----------
<C> <S> <C>
SHORT-TERM MUNICIPAL BONDS AND NOTES (CONTINUED)
INDIANA -- 0.2%
$ 100,000 Fort Wayne, Indiana, Hospital Revenue, (Parkview Hospital),
4.150% due 1/1/16++........................................................... $ 100,000
-----------
LOUISIANA -- 0.9%
East Baton Rouge Parish, Louisiana, Pollution Control Revenue:
100,000 3.950% due 6/1/98+............................................................ 100,000
300,000 3.950% due 12/1/11+........................................................... 300,000
-----------
400,000
-----------
NEW YORK -- 0.4%
200,000 New York City, New York, Housing Development,
3.900% due 1/1/23+............................................................ 200,000
-----------
NORTH CAROLINA -- 0.8%
400,000 North Carolina, Educational Revenue, (Bowman School),
4.000% due 9/1/20++........................................................... 400,000
-----------
TEXAS -- 3.2%
1,500,000 North Central Texas, Health Facilities,
3.800% due 12/1/15+........................................................... 1,500,000
-----------
TOTAL SHORT-TERM MUNICIPAL BONDS AND NOTES
(Cost $3,000,000)............................................................. 3,000,000
-----------
TOTAL INVESTMENTS (Cost $48,805,689*).................................................100.3% 46,900,063
OTHER ASSETS AND LIABILITIES (NET).................................................... (0.3) (131,415)
------ ----------
NET ASSETS............................................................................100.0% $46,768,648
------ ----------
------ ----------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Variable rate daily demand notes are payable upon not more than one business
day's notice.
++ Variable rate demand notes are payable upon not more than one week's notice.
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Municipal Bond Investments securities held at February 28, 1995 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Michigan 9.7%
Florida 10.3%
Illinois 13.0%
Texas 17.5%
Other States and Net Other Assets and
Liabilities 23.9%
Connecticut 4.1%
Wisconsin 4.1%
Washington 5.2%
Iowa 5.5%
New York 6.7%
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- ------------
<C> <S> <C>
MORTGAGE BACKED SECURITIES -- 94.9%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 60 POOLS -- 39.4%
$ 3,780,348 5.500% due 11/1/08.............................................................. $ 3,428,285
5,355,290 6.000% due 9/1/08 - 12/1/23..................................................... 4,818,805
7,503,386 6.500% due 3/1/09 - 8/1/23...................................................... 6,971,026
4,426,018 7.000% due 1/1/24............................................................... 4,185,332
8,596,349 7.500% due 12/1/06 - 9/1/23..................................................... 8,368,260
3,029,462 8.000% due 9/1/02 - 8/1/17...................................................... 3,017,057
2,479,912 8.500% due 6/1/06 - 6/1/17...................................................... 2,516,408
4,949,737 9.000% due 9/1/97- 4/1/09....................................................... 5,124,478
1,220,708 9.500% due 4/1/01 - 11/1/21..................................................... 1,284,743
157,722 10.000% due 1/1/21.............................................................. 168,565
489,655 10.750% due 10/1/12............................................................. 530,355
384,630 12.500% due 6/1/15.............................................................. 427,297
------------
40,840,611
------------
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 76 POOLS -- 36.3%
2,484,902 5.500% due 10/1/97- 7/1/98...................................................... 2,374,622
2,532,433 6.500% due 1/1/97 - 7/1/23...................................................... 2,367,770
826,768 7.000% due 11/15/19 - 11/1/22................................................... 782,842
4,685,041 7.500% due 12/1/12 - 8/1/23..................................................... 4,537,759
12,450,141 8.000% due 5/1/06 - 2/1/22...................................................... 12,371,877
8,153,259 8.500% due 12/1/06 - 2/1/18..................................................... 8,231,185
2,169,156 9.000% due 12/1/04 - 7/1/11..................................................... 2,217,391
1,782,530 9.500% due 10/1/08 - 8/1/16..................................................... 1,864,757
647,285 10.000% due 4/1/09 - 10/1/09.................................................... 685,105
373,085 10.250% due 11/1/03 - 6/1/16.................................................... 397,101
916,605 11.000% due 4/1/00 - 10/1/00.................................................... 981,052
109,127 11.500% due 10/1/15............................................................. 118,812
715,657 Collateralizd Mortgage Obligation, Multiclass Mortgage,
7.000% due 11/15/19............................................................ 713,365
------------
37,643,638
------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 28 POOLS -- 19.2%
GNMA I - 5.7%
1,714,068 7.000% due 4/23/23 - 8/15/23.................................................... 1,607,470
716,108 8.000% due 9/15/22.............................................................. 712,077
490,352 8.500% due 5/15/17.............................................................. 498,933
1,096,623 9.000% due 10/15/16 - 10/15/21.................................................. 1,138,086
1,497,291 9.500% due 10/15/16 - 6/15/20................................................... 1,584,314
331,530 11.000% due 7/15/10 - 9/15/10................................................... 365,200
------------
5,906,080
------------
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- ------------
<C> <S> <C>
MORTGAGE BACKED SECURITIES (CONTINUED)
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) (CONTINUED)
GNMA II - 13.5%
$ 9,128,246 6.500% due 12/20/23 - 5/20/24................................................... $ 8,184,020
1,463,599 7.000% due 11/20/16............................................................. 1,361,602
2,579,864 8.500% due 6/20/16 - 1/20/17.................................................... 2,602,438
1,857,857 9.000% due 4/20/17 - 11/20/21................................................... 1,909,524
------------
14,057,584
------------
TOTAL MORTGAGE BACKED SECURITIES (Cost $102,776,443)............................ 98,447,913
------------
REPURCHASE AGREEMENT -- 4.1% (Cost $4,313,000)
$ 4,313,000 Agreement with Union Bank of Switzerland, 5.970% dated 2/28/95, to be
repurchased at $4,313,715 on 3/1/95 $3,815,000, collateralized by $4,520,000
U.S. Treasury Note, 4.375% due 11/15/96........................................ 4,313,000
------------
TOTAL INVESTMENTS (Cost $107,089,443*)................................................. 99.0% 102,760,913
OTHER ASSETS AND LIABILITIES (NET)...................................................... 1.0 1,022,062
------ ------------
NET ASSETS.............................................................................100.0% $103,782,975
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Mortgage Backed Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
FHLMC 36.3%
FNMA 39.4%
Repurchase Agreement and Net Other
Assets and Liabilities 5.1%
GNMA 19.2%
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------- ----------
<C> <S> <C>
COMMON STOCKS -- 61.9%
CONSUMER PRODUCTS -- 9.9%
5,400 Eastman Kodak Company........................................................... $ 275,400
8,500 PepsiCo Inc..................................................................... 332,563
4,900 Philip Morris Companies, Inc.................................................... 297,675
7,100 Pitney Bowes Inc................................................................ 252,050
4,000 Procter & Gamble Company........................................................ 266,000
45,800 RJR Nabisco Holdings Corporation................................................ 257,625
----------
1,681,313
----------
OIL & GAS -- 8.8%
7,205 Elf Aquitaine, Sponsored ADR.................................................... 258,479
8,300 Repsol S.A., Sponsored ADR...................................................... 237,587
2,200 Royal Dutch Petroleum Company................................................... 246,675
7,500 Tenneco Inc..................................................................... 341,250
18,100 USX-Marathon Group New.......................................................... 294,125
5,900 YPF S.A., Sponsored ADR, Class D................................................ 112,100
----------
1,490,216
----------
FINANCIAL SERVICES -- 8.0%
9,000 Ahmanson H F & Company.......................................................... 165,375
6,000 American General Corporation.................................................... 189,750
6,000 Bank of New York Inc............................................................ 201,000
3,000 Barnett Banks Inc............................................................... 133,500
5,400 CoreStates Financial Corporation................................................ 162,675
11,700 Pinnacle West Capital Corporation............................................... 251,550
7,000 Providian Corporation........................................................... 247,625
----------
1,351,475
----------
CAPITAL GOODS -- 6.6%
3,200 General Electric Company........................................................ 175,600
2,900 Hewlett Packard Company......................................................... 333,500
4,100 International Business Machines Corporation..................................... 308,525
5,400 Minnesota Mining & Manufacturing Company........................................ 295,650
----------
1,113,275
----------
CONSUMER DURABLES -- 4.9%
6,500 General Motors Corporation...................................................... 277,063
6,900 Goodyear Tire & Rubber Company.................................................. 254,437
12,000 Masco Corporation............................................................... 301,500
----------
833,000
----------
CONSUMER SERVICES -- 3.2%
5,000 Browning Ferris Industries Inc.................................................. 155,625
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------- ----------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSUMER SERVICES (CONTINUED)
4,100 Foster Wheeler Corporation...................................................... $ 134,275
11,000 Ryder Systems Inc............................................................... 255,750
----------
545,650
----------
RETAIL -- 3.1%
6,900 May Department Stores Company................................................... 251,850
5,175 V F Corporation................................................................. 266,513
----------
518,363
----------
HEALTH CARE -- 2.9%
6,000 Ciba Geigy AG, Sponsered ADR.................................................... 189,000
7,800 SmithKline Beecham PLC, ADR..................................................... 303,225
----------
492,225
----------
AEROSPACE -- 2.5%
2,500 Boeing Company.................................................................. 115,312
4,300 Raytheon Company................................................................ 303,150
----------
418,462
----------
INSURANCE -- 2.3%
6,600 Aon Corporation................................................................. 229,350
2,000 Chubb Corporation............................................................... 157,250
----------
386,600
----------
PUBLISHING -- 2.1%
6,500 Gannett Inc..................................................................... 357,500
----------
TRANSPORTATION -- 1.6%
5,000 Burlington Northern Inc......................................................... 280,000
----------
DIVERSIFIED CONGLOMERATES -- 1.5%
13,800 Hanson Plc, ADR................................................................. 258,750
----------
ELECTRONICS -- 1.5%
6,100 Loral Corporation............................................................... 249,338
----------
COMMUNICATIONS -- 1.5%
4,800 American Telephone & Telegraph Corporation...................................... 248,400
----------
BASIC INDUSTRIES -- 0.8%
1,700 International Paper Company..................................................... 129,837
----------
CHEMICAL -- 0.7%
1,600 Monsanto Company................................................................ 126,800
----------
TOTAL COMMON STOCK (Cost $10,045,596)........................................... 10,481,204
----------
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
-------- -----------
<C> <S> <C>
U.S. TREASURY NOTES -- 22.2%
U.S. Treasury Notes:
$200,000 9.500% due 11/15/95............................................................. $ 204,306
1,225,000 5.500% due 4/30/96.............................................................. 1,211,010
300,000 6.250% due 8/31/96.............................................................. 298,239
300,000 6.500% due 9/30/96.............................................................. 299,190
300,000 6.500% due 8/15/97.............................................................. 297,858
200,000 7.125% due 10/15/98............................................................. 201,646
100,000 6.375% due 1/15/99.............................................................. 97,940
300,000 7.000% due 4/15/99.............................................................. 300,180
100,000 6.375% due 7/15/99.............................................................. 97,566
50,000 6.375% due 1/15/00.............................................................. 48,626
785,000 5.750% due 8/15/03.............................................................. 712,961
-----------
TOTAL U.S. TREASURY NOTES (Cost $3,826,784)..................................... 3,769,522
-----------
CORPORATE BONDS AND NOTES -- 8.1%
100,000 Associates Corporation North America, Note, 5.250% due 9/1/98................... 93,500
100,000 Dean Witter Discover & Company, Note, 6.000% due 3/1/98......................... 96,375
100,000 Florida Power & Light Company, First Mortgage, 5.375% due 4/1/00................ 92,000
Ford Motor Credit Company, Notes:
150,000 5.625% due 12/15/98............................................................. 140,250
200,000 7.250% due 5/15/99.............................................................. 197,000
100,000 NationsBank Corporation, Sr. Note, 5.375% due 4/15/00........................... 89,875
100,000 Norwest Corporation, Bond, 5.750% due 3/15/98................................... 96,250
200,000 Ontario Province, CDA, 5.700% due 10/1/97....................................... 193,000
100,000 Philip Morris Companies, Inc., Note, 7.375% due 2/15/99......................... 99,250
200,000 Salomon Brothers, Series C, Medium Term Note, 6.750% due 2/15/00................ 187,000
100,000 Wal Mart Stores Inc., Sr. Note, 5.500% due 3/1/98............................... 95,375
-----------
TOTAL CORPORATE BONDS AND NOTES (Cost $1,467,209)............................... 1,379,875
-----------
U.S. GOVERNMENT AND AGENCIES -- 5.7%
Federal Home Loan Banks, Consolidation Bonds:
100,000 5.250% due 5/26/98.............................................................. 94,364
100,000 5.010% due 7/29/98.............................................................. 93,300
Federal Home Loan Mortgage Corporation:
100,000 Corporate Debenture, 5.900% due 4/21/00......................................... 93,672
300,000 Multiclass Mortgage PC, 7.000% due 8/15/06...................................... 289,431
350,000 Multiclass Mortgage PC, 7.500% due 7/15/22...................................... 342,580
50,000 Federal National Mortgage Association, Debenture, 5.300% due 3/11/98............ 47,300
-----------
TOTAL U.S. GOVERNMENT AND AGENCIES (Cost $994,696).............................. 960,647
-----------
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
-------- -----------
<C> <S> <C>
U.S. TREASURY BILL -- 0.4% (Cost $70,949)
$ 75,000 U.S. Treasury Bill, 5.340%# due 8/24/95......................................... $ 70,949
-----------
COMMERCIAL PAPER -- 0.9% (Cost $145,000)
145,000 General Electric Capital Corporation, 6.000% due 3/1/95......................... 145,000
-----------
TOTAL INVESTMENTS (Cost $16,550,234*)............................................... 99.2% 16,807,197
OTHER ASSETS AND LIABILITIES (NET)................................................... 0.8
141,135
------ ----------
NET ASSETS..........................................................................100.0% $16,948,332
------ ----------
------ ----------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
# Represents annualized yield to maturity.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Balanced Investments securities held at February 28, 1995 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Other Common Stocks 20.5%
Consumer Services 3.2%
Consumer Durables 4.9%
Capital Goods 6.6%
Financial Services 8.0%
Oil & Gas 8.8%
Consumer Products 9.9%
Commercial Paper and Net Other Assets
and Liabilities 1.7%
Corporate Bonds and Notes 8.1%
U.S. Government and Agencies 5.7%
U.S. Treasury Bills and Notes 22.6%
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS -- 96.3%
FINANCIAL SERVICES -- 15.4%
57,700 American Express Company........................................................ $ 1,947,375
85,500 American General Corporation.................................................... 2,703,937
46,900 AmSouth Bancorp................................................................. 1,365,962
131,500 Banc One Corporation............................................................ 3,862,812
11,900 Bancorp Hawaii, Inc............................................................. 333,200
62,300 Bank of New York, Inc........................................................... 2,087,050
203,300 BankAmerica Corporation......................................................... 9,783,813
28,300 Bankers Trust New York Corporation.............................................. 1,786,437
45,800 BanPonce Corporation............................................................ 1,385,450
29,200 Barnett Banks, Inc.............................................................. 1,299,400
98,385 Bear Stearns Companies, Inc..................................................... 1,844,719
33,200 Beneficial Corporation.......................................................... 1,232,550
59,600 Boatmen's Bancshares, Inc....................................................... 1,847,600
57,100 Central Fidelity Banks, Inc..................................................... 1,555,975
141,100 Chase Manhattan Corporation..................................................... 5,061,962
64,200 Chemical Banking Corporation.................................................... 2,576,025
103,200 Citicorp........................................................................ 4,644,000
39,700 Comerica, Inc................................................................... 1,116,562
54,000 Compass Bancshares, Inc......................................................... 1,485,000
34,400 Crestar Financial Corporation................................................... 1,483,500
45,200 First American Bank Corporation................................................. 1,531,150
31,800 First Bank System, Inc.......................................................... 1,236,225
24,633 First Chicago Corporation....................................................... 1,247,046
80,100 First Commercial Corporation.................................................... 2,122,650
37,500 First Fidelity Bancorporation................................................... 1,893,750
21,300 First Interstate Bancorp........................................................ 1,733,288
63,100 First Security Corporation...................................................... 1,593,275
37,100 First Tennessee National Corporation............................................ 1,539,650
50,100 First Union Corporation......................................................... 2,235,712
29,900 First Virginia Banks, Inc....................................................... 1,053,975
55,400 Firstar Corporation............................................................. 1,662,000
46,600 Fleet Financial Group, Inc...................................................... 1,450,426
34,200 Golden West Financial Corporation............................................... 1,308,150
125,750 Huntington Bancshares, Inc...................................................... 2,326,375
35,200 Integra Financial Corporation................................................... 1,504,800
74,400 KeyCorp......................................................................... 2,157,600
78,200 Marshall & Ilsley Corporation................................................... 1,622,650
73,300 Mellon Bank Corporation......................................................... 2,794,563
59,200 Mercantile Bancorporation, Inc.................................................. 2,183,000
34,800 Meridian Bancorp, Inc........................................................... 1,065,750
72,600 Merrill Lynch & Company, Inc.................................................... 2,976,600
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES (CONTINUED)
44,700 Morgan (J.P.) & Company, Inc.................................................... $ 2,883,150
14,100 Morgan Stanley Group, Inc....................................................... 949,987
60,500 National City Corporation....................................................... 1,678,875
93,600 NationsBank Corporation......................................................... 4,668,300
41,000 NBD Bancorp Inc................................................................. 1,276,125
29,700 New Plan Realty Trust SBI....................................................... 619,987
175,300 Norwest Corporation............................................................. 4,513,975
38,900 Old Kent Financial Corporation.................................................. 1,230,213
13,335 Old National Bancorp............................................................ 466,725
44,600 Paine Webber Group, Inc......................................................... 774,925
51,100 PNC Bank Corporation............................................................ 1,303,050
43,800 Regions Financial Corporation................................................... 1,445,400
21,800 Republic New York Corporation................................................... 1,087,275
69,000 Salomon, Inc.................................................................... 2,484,000
24,800 Shawmut National Corporation.................................................... 635,500
83,000 Signet Banking Corporation...................................................... 3,019,125
69,800 SouthTrust Corporation.......................................................... 1,439,625
40,300 Standard Federal Bank, Troy, Michigan........................................... 1,198,925
16,300 Star Banc Corporation........................................................... 694,787
8,900 State Street Corporation........................................................ 283,687
62,000 SunTrust Banks, Inc............................................................. 3,340,250
86,200 U S Bancorp..................................................................... 2,165,775
52,000 Wachovia Corporation............................................................ 1,807,000
54,300 Washington Federal Savings Inc.................................................. 1,086,000
23,900 Wells Fargo & Company........................................................... 3,838,937
------------
131,533,562
------------
UTILITIES -- 14.1%
46,700 Allegheny Power System, Inc..................................................... 1,097,450
61,400 American Electric Power, Inc.................................................... 2,079,925
137,900 Ameritech Corporation........................................................... 5,912,462
41,300 Atlanta Gas Light Company....................................................... 1,393,875
25,300 Atlantic Energy, Inc............................................................ 480,700
108,300 Boston Edison Company........................................................... 2,653,350
78,100 Brooklyn Union Gas Company...................................................... 1,913,450
82,900 Carolina Power & Light Company.................................................. 2,279,750
144,557 CINergy Corporation............................................................. 3,577,786
34,300 CIPSCO, Inc..................................................................... 1,011,850
66,500 Comsat Corporation, Series 1.................................................... 1,180,375
51,000 Consolidated Edison Company, New York Inc....................................... 1,408,875
22,300 Consolidated Natural Gas Company................................................ 825,100
29,500 Delmarva Power & Light Company.................................................. 586,313
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
105,300 Detroit Edison Company.......................................................... $ 3,014,212
61,700 Dominion Resources, Inc......................................................... 2,344,600
158,600 DPL Inc......................................................................... 3,310,775
66,500 DQE Inc......................................................................... 2,236,063
104,800 Duke Power Company.............................................................. 4,113,400
266,900 Entergy Corporation............................................................. 5,971,887
83,800 Equitable Iowa Companies........................................................ 2,786,350
17,100 Equitable Resources, Inc........................................................ 474,525
40,500 Florida Progress Corporation.................................................... 1,270,687
58,800 FPL Group, Inc.................................................................. 2,109,450
198,500 General Public Utilities Corporation............................................ 6,004,625
50,000 Houston Industries, Inc......................................................... 1,912,500
6,300 Idaho Power Company............................................................. 158,288
27,300 IES Industries, Inc............................................................. 747,337
32,800 IPALCO Enterprises, Inc. ....................................................... 1,078,300
66,800 Kansas City Power & Light Company............................................... 1,578,150
45,000 KU Energy Corporation........................................................... 1,254,375
71,200 LG&E Energy Corporation......................................................... 2,767,900
30,200 Montana Power Company........................................................... 717,250
32,200 National Fuel Gas Company....................................................... 877,450
44,300 New England Electric System..................................................... 1,461,900
26,100 New York State Electric & Gas Corporation....................................... 561,150
43,900 Niagara Mohawk Power Corporation................................................ 653,013
65,600 NICOR, Inc...................................................................... 1,623,600
77,700 NIPSCO Industries, Inc.......................................................... 2,457,262
37,900 Northeast Utilities............................................................. 862,225
21,100 Northern States Power Company, Minnesota........................................ 954,775
22,400 Ohio Edison Company............................................................. 470,400
19,100 Oklahoma Gas & Electric Company................................................. 675,663
132,700 Pacific Gas & Electric Company.................................................. 3,400,437
160,800 PacifiCorp...................................................................... 3,075,300
45,300 Pennsylvania Power & Light Company ............................................. 939,975
56,300 Peoples Energy Corporation...................................................... 1,477,875
141,600 Pinnacle West Capital Corporation............................................... 3,044,400
41,500 Public Service Company Colorado................................................. 1,270,938
59,400 Public Service Enterprise Group................................................. 1,730,025
42,200 Puget Sound Power & Light Company .............................................. 912,575
84,400 Questar Corporation ............................................................ 2,437,050
20,400 Rochester Gas & Electric Corporation............................................ 446,250
29,000 San Diego Gas & Electric Company................................................ 627,125
46,600 SCANA Corporation............................................................... 2,056,225
280,000 Southern Company................................................................ 5,775,000
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
UTILITIES (CONTINUED)
16,700 Southwestern Public Service Company............................................. $ 486,387
84,200 Texas Utilities Company......................................................... 2,768,075
11,700 Unicom Corporation.............................................................. 298,350
44,900 Union Electric Company.......................................................... 1,700,587
63,300 UtiliCorp United, Inc........................................................... 1,827,788
27,400 Washington Gas Light Company.................................................... 1,044,625
30,800 Washington Water Power Company.................................................. 462,000
31,700 Western Resources, Inc.......................................................... 1,006,475
59,300 Wisconsin Energy Corporation.................................................... 1,645,575
32,500 WPS Resources Corporation....................................................... 954,687
------------
120,237,097
------------
ENERGY -- 10.8%
60,300 Amerada Hess Corporation........................................................ 2,954,700
117,500 Amoco Corporation............................................................... 6,961,875
19,700 Ashland Oil Inc................................................................. 637,787
98,400 Atlantic Richfield Company...................................................... 10,787,101
256,400 Chevron Corporation............................................................. 12,198,000
64,300 Coastal Corporation............................................................. 1,840,587
317,400 Exxon Corporation............................................................... 20,313,600
77,700 Halliburton Company............................................................. 2,894,325
44,800 Kerr McGee Corporation.......................................................... 2,256,800
146,066 MCN Corporation................................................................. 2,683,963
98,600 Mobil Corporation............................................................... 8,578,200
21,500 Murphy Oil Corporation.......................................................... 940,625
91,100 Occidental Petroleum Corporation................................................ 1,810,612
59,600 Panhandle Eastern Corporation................................................... 1,341,000
69,200 Schlumberger Ltd................................................................ 3,935,750
108,100 Sonat, Inc...................................................................... 3,134,900
19,300 Sun, Inc........................................................................ 562,113
64,000 Texaco Inc...................................................................... 4,080,000
151,900 TransCanada Pipeline Ltd........................................................ 2,012,675
75,600 Williams Companies, Inc......................................................... 2,173,500
------------
92,098,113
------------
CAPITAL GOODS -- 8.9%
38,500 Armstrong World Industries, Inc................................................. 1,761,375
26,600 Avnet, Inc...................................................................... 1,030,750
186,600 Boeing Company.................................................................. 8,606,925
58,100 CBI Industries, Inc............................................................. 1,408,925
15,000 Clark Equipment Company......................................................... 802,500
57,000 Cooper Industries, Inc.......................................................... 2,237,250
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CAPITAL GOODS (CONTINUED)
45,700 Crane Company................................................................... $ 1,376,712
90,800 Dana Corporation................................................................ 2,235,950
37,300 Deere & Company................................................................. 2,858,113
61,300 Eaton Corporation............................................................... 3,072,662
91,900 Echlin, Inc..................................................................... 3,182,038
60,000 General Dynamics Corporation.................................................... 2,827,500
64,800 Ingersoll Rand Company.......................................................... 2,065,500
15,100 Johnson Controls, Inc........................................................... 751,225
28,100 Lockheed Corporation............................................................ 2,181,263
52,500 Martin Marietta Corporation..................................................... 2,506,875
123,000 Mascotech, Inc.................................................................. 1,506,750
75,900 McDonnell Douglas Corporation................................................... 4,250,400
68,500 Northrop Grumman Corporation.................................................... 3,039,688
21,100 PACCAR, Inc..................................................................... 928,400
69,600 Parker Hannifin Corporation..................................................... 3,253,800
61,700 Raytheon Company................................................................ 4,349,850
69,300 Rockwell International Corporation.............................................. 2,668,050
36,700 Sundstrand Corporation.......................................................... 1,679,025
55,200 Textron, Inc.................................................................... 3,022,200
41,500 TRW, Inc........................................................................ 2,728,625
144,600 United Technologies Corporation................................................. 9,597,825
9,000 Vulcan Materials Company........................................................ 479,250
------------
76,409,426
------------
BASIC INDUSTRIES -- 7.1%
79,400 Air Products & Chemicals, Inc................................................... 3,910,450
125,200 Allegheny Ludlum Corporation.................................................... 2,644,850
9,700 AlliedSignal, Inc............................................................... 368,600
133,070 Aluminum Company of America..................................................... 5,189,730
31,900 Avery Dennison Corporation...................................................... 1,196,250
50,200 Cyprus Amax Minerals Company.................................................... 1,355,400
181,100 Dow Chemical Company............................................................ 12,133,700
147,200 Du Pont (E.I.) de Nemours & Company............................................. 8,261,600
38,700 Ethyl Corporation............................................................... 396,675
55,000 Georgia Pacific Corporation..................................................... 4,118,125
24,000 Grace (W.R.) & Company.......................................................... 1,080,000
139,600 Magma Copper Company............................................................ 2,198,700
137,400 Mark IV Industries, Inc......................................................... 2,748,000
17,100 Newmont Gold Company............................................................ 598,500
56,400 Phelps Dodge Corporation........................................................ 3,073,800
4,800 Reynolds Metals Company......................................................... 240,000
80,600 Rhone Poulenc S.A., ADR......................................................... 1,924,325
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
BASIC INDUSTRIES (CONTINUED)
53,500 Rohm & Haas Company............................................................. $ 3,002,688
106,400 Union Carbide Corporation....................................................... 3,045,700
56,100 Weyerhaeuser Company............................................................ 2,286,075
43,700 Witco Corporation............................................................... 1,250,912
------------
61,024,080
------------
TELECOMMUNICATIONS -- 6.4%
140,100 Bell Atlantic Corporation....................................................... 7,512,863
168,500 BellSouth Corporation........................................................... 9,941,500
226,600 GTE Corporation................................................................. 7,562,775
31,400 MCI Communications Corporation.................................................. 631,925
252,500 NYNEX Corporation............................................................... 9,910,625
123,000 Pacific Telesis Group........................................................... 3,690,000
168,800 Southwestern Bell Corporation................................................... 7,026,300
136,000 Sprint Corporation.............................................................. 3,978,000
123,500 U S West Inc.................................................................... 4,785,625
------------
55,039,613
------------
CONSUMER DURABLES -- 5.8%
71,300 Chrysler Corporation............................................................ 3,101,550
89,000 Federal Mogul Corporation....................................................... 1,735,500
516,600 Ford Motor Company.............................................................. 13,496,175
319,200 General Motors Corporation...................................................... 13,605,900
58,800 General Motors Corporation, Class H............................................. 2,212,350
252,300 Goodyear Tire & Rubber Company.................................................. 9,303,563
123,300 Masco Corporation............................................................... 3,097,912
14,300 Snap On Tools, Inc.............................................................. 486,200
43,300 Whirlpool Corporation........................................................... 2,354,438
------------
49,393,588
------------
INSURANCE -- 4.7%
26,100 Ace Limited..................................................................... 645,975
98,900 Aetna Life & Casulty Company.................................................... 5,315,875
5,900 Alleghany Corporation........................................................... 930,725
44,550 Aon Corporation................................................................. 1,548,113
78,300 Chubb Corporation............................................................... 6,156,338
27,300 CIGNA Corporation............................................................... 2,067,975
49,200 Cincinnati Financial Corporation................................................ 2,767,500
8,300 EXEL Limited.................................................................... 353,787
44,100 Jefferson Pilot Corporation..................................................... 2,513,700
32,900 Lincoln National Corporation.................................................... 1,328,338
45,900 MBIA Inc........................................................................ 2,845,800
25,000 Mercury General Corporation..................................................... 781,250
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INSURANCE (CONTINUED)
40,100 Old Republic International Corporation.......................................... $ 992,475
107,950 Providian Corporation........................................................... 3,818,731
31,200 SAFECO Corporation.............................................................. 1,716,000
35,000 St. Paul Companies, Inc......................................................... 1,701,875
33,100 Transamerica Corporation........................................................ 1,808,088
77,400 UNUM Corporation................................................................ 3,289,500
------------
40,582,045
------------
RETAIL -- 4.4%
167,200 American Stores Company......................................................... 4,096,400
25,500 Dayton Hudson Corporation....................................................... 1,797,750
64,200 Dillard Department Stores, Inc., Class A........................................ 1,765,500
24,800 Giant Food, Inc., Class A....................................................... 589,000
358,300 K Mart Corporation.............................................................. 4,568,325
220,100 Limited Inc..................................................................... 3,851,750
84,200 May Department Stores Company................................................... 3,073,300
25,600 Meyer Fred, Inc. ............................................................... 816,000
134,000 Penney (J.C.), Inc.............................................................. 5,745,250
12,300 Petrie Stores Corporation....................................................... 255,225
141,500 Price/Costco, Inc. ............................................................. 1,927,938
114,100 Sears Roebuck & Company......................................................... 5,619,425
58,400 Spiegel Inc., Class A, Non-Voting............................................... 598,600
28,500 Supervalue Inc.................................................................. 733,875
39,800 Tandy Corporation............................................................... 1,781,050
------------
37,219,388
------------
HEALTH CARE -- 3.5%
269,700 Baxter International, Inc....................................................... 8,394,413
20,700 Becton Dickinson & Company...................................................... 1,086,750
74,200 Bristol Myers Squibb............................................................ 4,600,400
70,000 Lilly Eli & Company............................................................. 4,690,000
50,800 Marion Merrell Dow, Inc......................................................... 1,263,650
88,600 Meditrust, SBI.................................................................. 2,835,200
136,900 National Medical Enterprises, Inc............................................... 2,121,950
45,300 Upjohn Company.................................................................. 1,596,825
43,200 Warner-Lambert Company.......................................................... 3,299,400
------------
29,888,588
------------
TECHNOLOGY -- 3.5%
12,800 E-System, Inc................................................................... 560,000
26,100 Frontier Corporation............................................................ 597,038
151,100 International Business Machines Corporation..................................... 11,370,275
34,200 Litton Industries, Inc.......................................................... 1,248,300
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TECHNOLOGY (CONTINUED)
88,700 Loral Corporation............................................................... $ 3,625,612
59,100 Pitney Bowes, Inc............................................................... 2,098,050
122,700 Seagate Technology.............................................................. 2,944,800
92,300 Storage Technology Corporation.................................................. 2,007,525
63,500 Stratus Computer, Inc........................................................... 1,674,813
78,000 Unisys Corporation.............................................................. 692,250
25,500 Xerox Corporation............................................................... 2,827,312
------------
29,645,975
------------
CONSUMER PRODUCTS -- 3.2%
56,900 American Brands, Inc............................................................ 2,126,638
107,800 American Greetings Corporation, Class A......................................... 3,166,625
181,177 Archer Daniels Midland Company.................................................. 3,442,363
35,000 Brown Forman Corporation, Class B............................................... 1,133,125
77,500 Coors Adolph Company, Class B................................................... 1,259,375
40,900 Dean Foods Company.............................................................. 1,267,900
12,300 Dole Food, Inc.................................................................. 319,800
39,000 Eastman Kodak Company........................................................... 1,989,000
39,000 Hershey Foods Corporation....................................................... 1,911,000
88,800 IBP, Inc. ...................................................................... 2,830,500
56,400 Liz Claiborne, Inc.............................................................. 909,450
9,300 Loews Corporation............................................................... 903,263
567,900 RJR Nabisco Holdings Corporation................................................ 3,194,437
114,500 Stride Rite Corporation......................................................... 1,474,187
55,600 Universal Foods Corporation..................................................... 1,744,450
------------
27,672,113
------------
PAPER AND PAPER PRODUCTS -- 3.0%
54,200 Bowater, Inc.................................................................... 1,802,150
34,800 Consolidated Papers, Inc........................................................ 1,683,450
10,300 Federal Paper Board, Inc........................................................ 306,425
116,900 International Paper Company..................................................... 8,928,237
25,000 James River Corporation......................................................... 615,625
62,133 Mead Corporation................................................................ 3,401,782
16,500 Scott Paper Company............................................................. 1,307,625
52,900 Temple Inland, Inc. ............................................................ 2,585,487
21,300 Union Camp Corporation.......................................................... 1,096,950
16,300 Westvaco Corporation............................................................ 643,850
59,800 Willamette Industries, Inc...................................................... 3,214,250
------------
25,585,831
------------
DIVERSIFIED -- 2.0%
38,600 General Electric Company........................................................ 2,118,175
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
----------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
DIVERSIFIED (CONTINUED)
195,700 Hanson Plc, ADR................................................................. $ 3,669,375
42,400 Honeywell, Inc.................................................................. 1,542,300
46,500 ITT Corporation................................................................. 4,533,750
112,900 Tenneco, Inc. .................................................................. 5,136,950
------------
17,000,550
------------
TRANSPORTATION -- 1.4%
71,900 Conrail, Inc. .................................................................. 3,972,475
49,700 CSX Corporation................................................................. 3,864,175
36,800 Norfolk Southern Corporation.................................................... 2,433,400
37,100 Roadway Services, Inc. ......................................................... 2,012,675
------------
12,282,725
------------
CONSUMER SERVICES -- 0.5%
21,877 Cox Communications, Inc., Class A+.............................................. 374,644
38,900 Donnelley (R.R.) & Sons Company................................................. 1,332,325
39,400 Dun & Bradstreet Corporation.................................................... 2,034,025
23,500 National Services Industries, Inc. ............................................. 631,562
------------
4,372,556
------------
POLLUTION CONTROL -- 0.5%
151,200 WMX Technologies, Inc........................................................... 3,987,900
------------
PUBLISHING -- 0.4%
17,400 Knight Ridder, Inc.............................................................. 954,825
92,400 New York Times Company, Class A................................................. 1,986,600
40,000 Times Mirror Company, Class A................................................... 740,000
------------
3,681,425
------------
OTHER -- 0.7%
184,900 Health & Retirement Properties Trust............................................ 2,681,050
25,000 Kimco Reality Corporation....................................................... 951,250
76,600 Nationwide Health Properties, Inc............................................... 2,757,600
------------
6,389,900
------------
TOTAL COMMON STOCKS (Cost $809,401,666)......................................... 824,044,475
------------
CONVERTIBLE PREFERRED STOCK -- 0.2% (Cost $2,242,440)
336,200 RJR Nabisco Holdings Corporation, Depositary Shares Representing 1/10 Conv. Pfd.
9.250%......................................................................... 1,975,175
------------
PREFERRED STOCK -- 0.2% (Cost $1,522,988)
54,700 Peco Energy Company Pfd......................................................... 1,463,225
------------
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
----------- ------------
COMMERCIAL PAPER -- 3.2% (Cost $27,951,000)
<C> <S> <C>
$20,216,000 General Electric Capital Corporation,
6.000% due 3/1/95.............................................................. $ 20,216,000
7,735,000 Prudential Funding Capital Corporation,
6.020% due 3/1/95.............................................................. 7,735,000
------------
27,951,000
------------
TOTAL INVESTMENTS (Cost $841,118,094*)................................................. 99.9%
855,433,875
OTHER ASSETS AND LIABILITIES (NET)...................................................... 0.1
698,731
------ ------------
NET ASSETS.............................................................................100.0%
$856,132,606
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Large Capitalization Value Equity Investments securities held at February 28,
1995 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Financial Services 15.4%
Utilities 14.1%
Energy 10.8%
Capital Goods 8.9%
Basic Industries 7.1%
Telecommunications 6.4%
Consumer Durables 5.8%
Insurance 4.7%
Other Common Stock 23.1%
Convertible Preferred Stock, Preferred Stock,
Commercial Paper and Net Other Assets
and Liabilities 3.7%
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS -- 94.4%
TECHNOLOGY -- 15.8%
25,000 3Com Corporation................................................................ $ 1,303,125
21,400 AMP, Inc........................................................................ 1,605,000
45,000 Analog Devices, Inc.+........................................................... 1,130,625
15,000 Andrew Corporation+............................................................. 870,000
49,300 Applied Materials, Inc.+........................................................ 2,273,963
49,600 Autodesk, Inc................................................................... 1,946,800
33,750 Cabletron Systems, Inc.+........................................................ 1,337,344
91,200 cisco Systems, Inc.+............................................................ 3,078,000
67,000 Compaq Computer Corporation+.................................................... 2,311,500
33,000 Computer Association International, Inc. ....................................... 1,881,000
70,000 Computer Sciences Corporation+.................................................. 3,438,750
17,000 Compuware Corporation+.......................................................... 624,750
99,400 EG & G, Inc..................................................................... 1,428,875
88,700 Hewlett-Packard Company......................................................... 10,200,500
149,300 Intel Corporation............................................................... 11,906,675
35,000 Lam Research Corporation+....................................................... 1,400,000
46,700 Lotus Development Corporation+.................................................. 1,949,725
161,400 Microsoft Corporation+.......................................................... 10,168,200
60,800 Minnesota Mining & Manufacturing Company........................................ 3,328,800
259,000 Motorola, Inc. ................................................................. 14,892,500
70,200 Novell, Inc.+................................................................... 1,427,034
242,850 Oracle Systems Corporation+..................................................... 7,649,775
35,700 Santa Fe Pacific Gold Corporation............................................... 388,237
91,200 Scientific-Atlanta, Inc......................................................... 2,131,800
46,000 Sensormatic Electronics Corporation............................................. 1,305,250
42,000 Silicon Graphics, Inc.+......................................................... 1,454,250
43,000 Teradyne, Inc.+................................................................. 1,564,125
41,300 Texas Instruments, Inc.......................................................... 3,252,375
----------------
96,248,978
----------------
CONSUMER PRODUCTS -- 15.0%
52,900 Anheuser Busch Companies, Inc................................................... 2,982,237
31,300 Avon Products, Inc.............................................................. 1,760,625
47,600 Campbell Soup Company........................................................... 2,159,850
95,200 Clorox Company.................................................................. 5,747,700
282,300 Coca Cola Company............................................................... 15,526,500
23,600 Colgate-Palmolive Company....................................................... 1,522,200
50,500 ConAgra, Inc.................................................................... 1,653,875
30,700 CPC International, Inc.......................................................... 1,642,450
39,700 Crown Cork & Seal, Inc.+........................................................ 1,692,212
28,600 General Mills, Inc. ............................................................ 1,733,875
72,200 Gillette Company................................................................ 5,712,824
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSUMER PRODUCTS (CONTINUED)
49,000 Heinz, (H. J.) Company.......................................................... $ 1,929,375
43,400 International Flavors & Fragrances, Inc......................................... 2,088,625
30,100 Kellogg Company ................................................................ 1,629,162
65,875 Mattel, Inc. ................................................................... 1,473,953
24,900 McKesson Corporation............................................................ 918,188
60,000 Outback Steakhouse, Inc.+....................................................... 1,567,500
153,500 PepsiCo, Inc.................................................................... 6,005,688
200,000 Philip Morris Companies, Inc.................................................... 12,150,000
37,300 Pioneer Hi Bred International .................................................. 1,258,875
125,000 Procter & Gamble Company........................................................ 8,312,500
48,200 Quaker Oats Company............................................................. 1,572,525
56,400 Rubbermaid, Inc................................................................. 1,783,650
74,800 Sara Lee Corporation............................................................ 1,963,500
49,900 Sherwin-Williams Company........................................................ 1,677,888
20,000 Sunbeam-Oster, Inc. ............................................................ 487,500
68,700 UST, Inc........................................................................ 2,043,825
44,700 Wrigley, Wm. Jr. Company........................................................ 2,017,088
----------------
91,014,190
----------------
HEALTH CARE -- 13.3%
136,600 Abbott Laboratories............................................................. 4,849,300
47,200 American Home Products Corporation.............................................. 3,374,800
45,400 Amgen, Inc.+.................................................................... 3,132,600
41,900 Bausch & Lomb, Inc.............................................................. 1,393,175
26,000 Cardinal Health, Inc............................................................ 1,287,000
15,470 Chiron Corporation+............................................................. 939,803
59,200 Columbia/HCA Healthcare Corporation............................................. 2,449,400
50,000 Health Care & Retirement Corporation+........................................... 1,550,000
33,000 Health Management Associates, Inc., Class A+.................................... 878,625
40,000 HealthCare COMPARE Corporation+................................................. 1,270,000
40,000 HEALTHSOUTH Corporation+........................................................ 1,610,000
110,600 Humana, Inc.+................................................................... 2,626,750
70,000 IVAX Corporation................................................................ 1,513,750
120,000 Johnson & Johnson............................................................... 6,810,000
75,000 Mallinckrodt Group, Inc......................................................... 2,456,250
61,800 Medtronic, Inc. ................................................................ 3,708,000
260,000 Merck & Company, Inc............................................................ 11,017,500
97,800 OrNda Healthcorp+............................................................... 1,485,337
14,000 Oxford Health Plans, Inc.+...................................................... 1,274,000
75,000 Pfizer, Inc..................................................................... 6,206,250
25,700 Scherer, (R.P.) Corporation+.................................................... 1,178,987
37,500 Schering-Plough Corporation..................................................... 2,939,063
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
34,500 Sun Healthcare Group, Inc.+..................................................... $ 884,062
161,700 United Healthcare Corporation................................................... 6,953,100
171,950 U.S. HealthCare, Inc............................................................ 7,393,850
22,300 Warner-Lambert Company.......................................................... 1,703,162
----------------
80,884,764
----------------
FINANCIAL SERVICES -- 8.6%
61,800 AFLAC, Inc. .................................................................... 2,332,950
111,400 Alexander & Alexander Services, Inc. ........................................... 2,422,950
66,700 American Inernational Group, Inc................................................ 6,920,125
36,300 Block, (H & R) Inc.............................................................. 1,365,787
51,900 Dean Witter, Discover & Company................................................. 2,095,463
68,600 Federal Home Loan Mortgage Corporation ......................................... 3,978,800
105,500 Federal National Mortgage Association........................................... 8,136,687
21,800 Finova Group Inc. .............................................................. 730,300
69,000 First Data Corporation.......................................................... 3,708,750
30,700 First Financial Management Corporation.......................................... 2,122,138
53,200 First USA, Inc.................................................................. 1,961,750
45,000 Green Tree Financial Corporation................................................ 1,721,250
22,900 Marsh & McLennan Companies, Inc. ............................................... 1,877,800
170,450 MBNA Corporation................................................................ 4,495,619
32,800 Mercury Financial Company....................................................... 524,800
85,400 MGIC Investment Corporation..................................................... 3,255,875
32,000 Paychex, Inc. .................................................................. 1,312,000
36,300 Torchmark Corporation........................................................... 1,520,062
83,300 Wilmington Trust Corporation.................................................... 2,061,675
----------------
52,544,781
----------------
CAPITAL GOODS -- 7.2%
50,600 Caterpillar Inc. ............................................................... 2,612,225
48,200 Dover Corporation............................................................... 2,867,900
38,800 Emerson Electric Company........................................................ 2,565,650
32,500 Fluor Corporation............................................................... 1,584,375
425,000 General Electric Company........................................................ 23,321,875
50,000 General Instruments Corporation................................................. 1,587,500
30,200 Grainger, (W.W.), Inc........................................................... 1,845,975
42,500 Illinois Tool Works, Inc........................................................ 1,907,188
40,600 Owens-Corning Fiberglass Corporation............................................ 1,365,175
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CAPITAL GOODS (CONTINUED)
65,800 Thermo Electron Corporation+.................................................... $ 3,117,275
23,400 Tyco International Ltd.......................................................... 1,219,725
----------------
43,994,863
----------------
RETAIL -- 6.7%
54,000 Albertson's, Inc. .............................................................. 1,660,500
112,500 AutoZone, Inc.+................................................................. 2,981,250
15,000 Barnes & Noble, Inc.+........................................................... 442,500
58,200 Gap, Inc. ...................................................................... 1,891,500
236,600 Home Depot, Inc. ............................................................... 10,617,425
19,400 Kohl's Corporation+............................................................. 795,400
70,000 Limited Inc..................................................................... 1,225,000
102,400 Lowe's Companies, Inc........................................................... 3,443,200
69,600 May Department Stores Company................................................... 2,540,400
44,900 Pep Boys, Manny Moe & Jack...................................................... 1,470,475
23,300 Talbots, Inc.................................................................... 736,863
60,800 Toys R Us, Inc.+................................................................ 1,694,800
404,400 Wal-Mart Stores, Inc............................................................ 9,604,500
33,000 Walgreen Company................................................................ 1,559,250
15,000 Williams-Sonoma, Inc.+.......................................................... 318,750
----------------
40,981,813
----------------
UTILITIES -- 4.4%
20,200 ALC Communications Corporation+................................................. 595,900
374,500 AT & T Corporation.............................................................. 19,380,375
77,600 Cincinnati Bell, Inc. .......................................................... 1,629,600
120,700 MCI Communications Corporation.................................................. 2,429,088
84,000 Sprint Corporation.............................................................. 2,457,000
----------------
26,491,963
----------------
CONSUMER SERVICES -- 3.9%
26,400 Alco Standard Corporation....................................................... 1,795,200
100,400 Browning-Ferris Industries, Inc................................................. 3,124,950
49,000 Callaway Golf Company........................................................... 1,653,750
62,400 Ecolab, Inc..................................................................... 1,443,000
146,000 Harland (John H.) Company....................................................... 3,303,250
34,000 Hospitality Franchise Systems, Inc.+............................................ 964,750
30,000 Loewen Group, Inc............................................................... 836,250
38,500 Manpower, Inc. ................................................................. 1,126,125
3,400 National Gaming Corporation..................................................... 32,300
93,000 Office Depot, Inc.+............................................................. 2,173,875
53,000 Pitney Bowes, Inc............................................................... 1,881,500
50,000 Safeway, Inc.+.................................................................. 1,793,750
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CONSUMER SERVICES (CONTINUED)
85,300 Sysco Corporation............................................................... $ 2,420,388
41,600 Vanguard Cellular Systems, Inc. Class A+........................................ 1,081,600
----------------
23,630,688
----------------
BASIC INDUSTRIES -- 3.8%
101,100 AlliedSignal, Inc. ............................................................. 3,841,800
67,400 Bemis, Inc...................................................................... 1,828,225
31,100 Great Lakes Chemical Corporation................................................ 1,869,888
35,800 Kimberly-Clark Corporation...................................................... 1,861,600
40,200 Louisiana Pacific Corporation................................................... 1,135,650
64,900 Morton International, Inc....................................................... 1,898,325
57,000 Nalco Chemical Company.......................................................... 1,959,375
27,200 Nucor Corporation............................................................... 1,526,600
70,100 PPG Industries, Inc............................................................. 2,576,175
112,800 WMX Technologies, Inc........................................................... 2,975,100
83,700 Worthington Industries, Inc. ................................................... 1,684,462
----------------
23,157,200
----------------
ENTERTAINMENT -- 3.3%
129,700 Disney, (Walt) Company.......................................................... 6,922,738
77,000 Mirage Resorts, Inc.+........................................................... 1,838,375
58,900 Promus Companies, Inc.+......................................................... 2,105,675
105,500 Time Warner, Inc. .............................................................. 4,074,937
110,000 Viacom, Inc. Class B+........................................................... 4,922,500
----------------
19,864,225
----------------
ENERGY -- 2.5%
50,400 Burlington Resources, Inc....................................................... 1,940,400
118,900 Enron Corporation............................................................... 3,923,700
41,000 Enron Oil & Gas Company......................................................... 855,875
102,600 Phillips Petroleum Company...................................................... 3,424,275
37,000 Pittston Services Group......................................................... 925,000
51,300 Tenneco, Inc. .................................................................. 2,334,150
58,800 Unocal Corporation.............................................................. 1,668,450
----------------
15,071,850
----------------
TELECOMMUNICATIONS -- 1.9%
179,500 AirTouch Communications, Inc.+.................................................. 4,891,375
96,800 DSC Communications Corporation+................................................. 3,484,800
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
TELECOMMUNICATIONS (CONTINUED)
60,200 Ericsson (LM) Tel B, ADR........................................................ $ 3,423,875
----------------
11,800,050
----------------
BROADCASTING -- 1.8%
57,500 British Sky Broadcasting Group.................................................. 1,387,188
50,000 Capital Cities ABC, Inc. ....................................................... 4,425,000
23,000 CBS, Inc. ...................................................................... 1,483,500
77,600 Comcast Corporation, Class A Special............................................ 1,222,200
114,100 Tele-Communications, Inc. Class A+.............................................. 2,595,775
----------------
11,113,663
----------------
COMPUTER SERVICES -- 1.5%
107,500 Automatic Data Processing, Inc.................................................. 6,611,250
45,000 Bay Networks, Inc.+............................................................. 1,411,875
60,000 EMC Corporation+................................................................ 1,027,500
----------------
9,050,625
----------------
RESTAURANTS -- 1.4%
73,400 Luby's Cafeterias, Inc.......................................................... 1,669,850
174,800 McDonald's Corporation.......................................................... 5,812,100
107,400 Shoneys, Inc.+.................................................................. 1,181,400
----------------
8,663,350
----------------
PUBLISHING -- 1.3%
44,900 Dun & Bradstreet Corporation.................................................... 2,317,963
44,000 Gannett, Inc.................................................................... 2,420,000
25,200 McGraw-Hill, Inc................................................................ 1,776,600
30,200 Tribune Company................................................................. 1,687,425
----------------
8,201,988
----------------
TRANSPORTATION -- 0.9%
22,900 Burlington Northern, Inc. ...................................................... 1,282,400
27,383 Santa Fe Pacific Corporation.................................................... 581,889
102,700 Southwest Airlines Company...................................................... 1,810,087
36,700 Union Pacific Corporation....................................................... 1,917,575
----------------
5,591,951
----------------
CONSUMER DURABLES -- 0.5%
38,100 Corning, Inc.................................................................... 1,223,963
59,300 Masco Corporation............................................................... 1,489,912
----------------
2,713,875
----------------
OTHER -- 0.6%
32,000 Equity Residential.............................................................. 864,000
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- -------------- ----------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
OTHER (CONTINUED)
28,600 Nokia Corporation, ADR.......................................................... $ 2,152,150
----------------
3,016,150
----------------
TOTAL COMMON STOCKS (Cost $529,324,659)......................................... 574,036,967
----------------
<CAPTION>
FACE
VALUE
- --------------
<C> <S> <C>
COMMERCIAL PAPER -- 3.9% (Cost $23,458,000)
$ 23,458,000 General Electric Capital Corporation, 6.000% due 3/1/95......................... 23,458,000
----------------
U.S. TREASURY BILL -- 0.3% (Cost $1,495,058)
1,500,000 U.S. Treasury Bill, 5.460%# due 3/23/95 ++...................................... 1,495,058
----------------
REPURCHASE AGREEMENT -- 0.3% (Cost $2,000,000)
2,000,000 Agreement with Morgan Stanley and Company, 6.020% dated 2/28/95 to be
repurchased at $2,000,334 on 3/1/95, collateralized by $1,570,000 U.S. Treasury
Note, 11.750% due 2/15/00...................................................... 2,000,000
----------------
TOTAL INVESTMENTS (Cost $556,277,717*).................................................... 98.9%
600,990,025
----------------
<CAPTION>
CONTRACTS
- --------------
<C> <S> <C>
FUTURES CONTRACTS -- LONG POSITION -- 4.2% (Contract Amount $24,081,525)
62 S&P 500 Index Futures, March 1995............................................... 15,145,050
97 S&P MidCap Futures, March 1995.................................................. 8,703,325
7 S&P 500 Index Futures, June 1995................................................ 1,723,925
----------------
4.2 25,572,300
----------------
OTHER ASSETS AND LIABILITIES (NET)........................................................ (3.1)
(18,649,766)
------ ------------
NET ASSETS................................................................................100.0% $ 607,912,559
------ ------------
------ ------------
<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>
See Notes to Financial Statements.
59
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Large Capitalization Growth Investments securities held at February 28, 1995
by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Retail 6.7%
Financial Services 8.6%
Health Care 13.3%
Technology 15.8%
Consumer Products 15.0%
Commercial Paper, U.S. Treasury
Bill, Repurchase Agreement, Future
Contracts, and Net Other Assets
and Liabilities 5.6%
Other Common Stocks 19.5%
Consumer Services 3.9%
Utilities 4.4%
Capital Goods 7.2%
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS -- 97.6%
FINANCIAL SERVICES -- 18.2%
3,000 Albank Financial Corporation.................................................... $ 76,125
86,600 Alex Brown Inc.................................................................. 3,290,800
5,000 Alfa Corporation................................................................ 60,000
10,900 Allied Group Inc................................................................ 302,475
5,100 American Annuity Group Inc...................................................... 52,913
61,000 American Bankers Insurance Group Inc............................................ 1,654,625
10,000 Amfed Financial Inc............................................................. 245,000
10,000 AMRESCO Inc..................................................................... 68,750
4,000 Astoria Financial Corporation+.................................................. 125,000
1,300 AVEMCO Corporation.............................................................. 19,988
8,100 Baldwin & Lyons Inc., Class B................................................... 139,725
1,000 BHC Financial Inc............................................................... 13,625
21,500 Capital Guaranty Corporation.................................................... 360,125
2,000 Capital Re Corporation.......................................................... 46,750
1,300 Capitol American Financial Corporation.......................................... 30,875
57,000 Capstead Mortgage Corporation................................................... 1,389,375
20,000 Cash America International Inc.................................................. 150,000
13,900 CCB Financial Corporation....................................................... 524,725
2,000 CCP Insurance Inc............................................................... 42,500
70,000 Charter One Financial Inc....................................................... 1,443,750
1,500 Chemical Financial Corporation.................................................. 42,375
22,000 City National Corporation....................................................... 258,500
8,400 CMAC Investment Corporation..................................................... 286,650
14,100 Colonial Group Inc., Class A.................................................... 472,350
4,400 Coral Gables Fedcorp Inc........................................................ 112,200
13,197 Corestates Financial Corporation................................................ 397,560
4,000 CPB Inc......................................................................... 102,000
5,000 CSF Holdings Inc., Class B...................................................... 142,500
1,000 Danielson Holding Corporation+.................................................. 6,875
50,000 Eaton Vance Corporation......................................................... 1,512,500
21,000 Emphesys Financial Group Inc.................................................... 795,375
3,500 Enhance Financial Services Group Inc............................................ 62,125
12,500 Fidelity National Financial Corporation......................................... 132,813
4,000 Financial Trust Corporation..................................................... 112,000
20,300 Finova Group Inc................................................................ 680,050
94,000 First American Financial Corporation, California................................ 1,903,500
65,000 First Commerce Corporation...................................................... 1,722,500
10,500 First Commercial Corporation.................................................... 254,625
20,000 First Federal Capital Corporation............................................... 305,000
100,000 First Financial Corporation, Wisconsin.......................................... 1,575,000
9,000 First Financial Holdings Inc.................................................... 155,250
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
16,700 First Indiana Corporation....................................................... $ 275,550
12,300 Foremost Corporation America.................................................... 473,550
9,600 Fort Wayne National Corporation, Indiana........................................ 259,200
86,000 Fremont General Corporation..................................................... 1,763,000
6,000 Fulton Financial Corporation, Pennsylvania...................................... 118,500
8,000 Gainsco Inc..................................................................... 74,000
7,800 Gallagher (Arthur J.) & Company................................................. 273,000
10,000 Great Financial Corporation..................................................... 170,000
15,000 Hancock Holding Company......................................................... 446,250
3,000 Harleysville Group Inc.......................................................... 75,000
7,370 Harleysville National Corporation, Pennsylvania................................. 206,360
23,500 Home Beneficial Corporation, Class B............................................ 475,875
1,000 Independent Insurance Group..................................................... 13,000
70,000 Inter-Regional Financial Group Inc.............................................. 1,741,250
2,600 Irwin Financial Corporation..................................................... 76,050
57,000 Jefferies Group Inc............................................................. 1,731,375
13,200 JSB Financial Inc............................................................... 354,750
3,900 Kansas City Life Insurance Company.............................................. 173,550
10,000 Keystone Financial Inc.......................................................... 280,000
12,200 Lawyers Title Corporation....................................................... 158,600
5,000 Legg Mason Inc.................................................................. 113,125
14,000 Liberty Corporation............................................................. 376,250
10,000 Life USA Holding Inc.+.......................................................... 107,500
10,000 Markel Corporation+............................................................. 452,500
43,000 McGrath Rent Corporation........................................................ 720,250
10,600 Mercer International Inc........................................................ 149,725
9,700 Mid Am Inc. .................................................................... 143,075
12,500 Midland Company................................................................. 628,125
5,300 MMI Companies Inc............................................................... 88,113
50,000 Morgan Keegan Inc. ............................................................. 750,000
8,715 Mutual Assurance Inc............................................................ 230,947
20,500 NAC Re Corporation.............................................................. 644,250
4,200 Omega Financial Corporation..................................................... 113,400
63,900 Orion Capital Corporation....................................................... 2,268,450
8,000 Payco American Corporation...................................................... 62,000
1,100 PEC Israel Economic Corporation+................................................ 23,513
4,300 Penncorp Financial Group Inc.................................................... 68,800
7,700 Peoples Heritage Financial Group Inc. .......................................... 102,025
30,400 PHH Corporation................................................................. 1,140,000
10,000 Presidential Life Corporation................................................... 58,750
5,000 Protective Life Corporation..................................................... 237,500
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
13,000 PXRE Corporation................................................................ $ 305,500
11,900 Quick & Reilly Group Inc........................................................ 416,500
105,100 Raymond James Financial Inc..................................................... 1,865,525
690 Reliastar Financial Corporation................................................. 23,546
223,100 Rockefeller Center Properties Inc............................................... 1,394,375
3,800 Security Capital Corporation, Wisconsin+........................................ 178,600
4,100 Selective Insurance Group Inc................................................... 115,825
119,000 Stewart Information Services Corporation........................................ 2,023,000
15,000 St. Frances Capital Corporation................................................. 262,500
44,044 TCF Financial Corporation....................................................... 1,805,804
94,300 The Money Store Inc............................................................. 2,357,500
1,500 Trenwick Group Inc.............................................................. 66,000
21,000 Trustmark Corporation........................................................... 320,250
2,500 UMB Financial Corporation....................................................... 76,875
21,795 Union Planters Corporation...................................................... 523,080
8,300 United Insurance Companies Inc.+................................................ 323,700
7,500 ValliCorp Holdings Inc.......................................................... 118,125
14,500 Webster Financial Corporation, Waterbury, Connecticut........................... 315,375
5,000 York Financial Corporation...................................................... 81,250
5,900 Zenith National Insurance Corporation........................................... 123,900
------------
51,383,262
------------
CAPITAL GOODS -- 11.1%
5,500 AAR Corporation................................................................. 75,625
10,000 Abex Inc.+...................................................................... 77,500
66,450 AGCO Corporation................................................................ 1,719,394
10,000 Albany International Corporation, Class A....................................... 180,000
15,000 Apogee Enterprises Inc.......................................................... 256,875
3,400 AptarGroup Inc.................................................................. 96,900
29,300 Arvin Industries Inc............................................................ 666,575
1,500 Astec Industries Inc.+.......................................................... 19,875
60,800 Aydin Corporation............................................................... 737,200
9,700 Baldor Electric Company......................................................... 276,450
21,000 Bassett Furniture Industries Inc................................................ 582,750
3,000 Bearings Inc.................................................................... 85,125
14,800 BMC West Corporation+........................................................... 199,800
9,500 Carlisle Companies Inc.......................................................... 338,438
5,000 Centex Construction Products Inc.+.............................................. 61,875
12,000 Commercial Intertech Corporation................................................ 252,000
90,700 Continental Homes Holding Corporation........................................... 1,179,100
20,000 Core Industries Inc............................................................. 242,500
9,600 Cubic Corporation............................................................... 186,000
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
17,000 Douglas & Lomason Company....................................................... $ 303,875
5,000 Duriron Company................................................................. 93,750
32,943 Exide Electronics Group Inc.+................................................... 560,031
15,000 Gilbert Assoc Inc., Class A..................................................... 198,750
16,900 Gorman-Rupp Company............................................................. 278,850
10,000 Goulds Pumps Inc................................................................ 215,000
2,500 Granite Construction Inc........................................................ 49,219
5,600 Hughes Supply Inc............................................................... 106,400
10,100 International Aluminum Corporation.............................................. 321,937
2,800 Ionics Inc.+.................................................................... 80,500
42,000 JLG Industries Inc.............................................................. 1,701,000
27,000 Joslyn Corporation.............................................................. 675,000
158,900 Kaman Corporation, Class A...................................................... 1,807,487
44,500 Kaufman & Broad Home Corporation................................................ 650,813
65,400 Kysor Industrial Corporation.................................................... 1,438,800
90,000 Lennar Corporation.............................................................. 1,530,000
4,000 Lindsay Manufacturing Company+.................................................. 119,000
8,100 Morrison Knudsen Corporation.................................................... 62,775
15,600 Pacific Scientific Company...................................................... 306,150
7,200 Pittway Corporation, Class A.................................................... 324,000
4,000 Raymond Corporation............................................................. 70,000
6,900 Redman Industries Inc.+......................................................... 136,275
9,500 Regal Beloit Corporation........................................................ 148,437
15,000 Roanoke Electric Steel Corporation.............................................. 262,500
10,600 Rohr Inc........................................................................ 119,250
1,000 Shelby Williams Industries Inc.................................................. 9,000
75,000 Smith (A.O.) Corporation........................................................ 1,640,625
9,500 SPS Technologies Inc............................................................ 285,000
5,000 Starrett (L.S.) Company, Class A................................................ 112,500
57,000 Sturm Ruger & Company Inc....................................................... 1,738,500
40,000 Tecumseh Products Company, Class A.............................................. 1,870,000
155,000 United Stationers Inc........................................................... 2,363,750
13,000 U.S. Home Corporation+.......................................................... 237,250
17,100 Valmont Industries Inc.......................................................... 329,175
70,000 Varlen Corporation.............................................................. 1,610,000
85,000 Wyle Electronics................................................................ 1,742,500
24,900 Zurn Industries Inc............................................................. 448,200
------------
31,180,281
------------
CONSUMER SERVICES -- 10.5%
3,500 Aaron Rents Inc., Class A....................................................... 51,625
8,300 ABM Industries Inc.............................................................. 190,900
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
16,000 Aztar Corporation+.............................................................. $ 114,000
19,800 Baker, (J.) Inc................................................................. 285,862
1,000 Ben & Jerrys Homemade Inc., Class A+............................................ 10,750
21,000 BJ Services Company+............................................................ 391,125
55,000 Blair Corporation............................................................... 1,863,125
10,000 Bon-Ton Stores Inc.+............................................................ 112,500
103,600 Bowne & Company Inc............................................................. 1,774,150
145,000 Bradlees, Inc................................................................... 1,649,375
11,700 Caldor Corporation+............................................................. 267,637
1,900 Carmike Cinemas Inc., Class A+.................................................. 43,700
8,000 Caseys General Stores Inc. ..................................................... 126,000
28,000 Club Med, Inc. ................................................................. 633,500
22,200 Damark International Inc.+...................................................... 174,825
2,000 Dart Group Corporation, Class A................................................. 164,000
1,000 Dibrell Brothers Inc............................................................ 18,750
3,600 Dress Barn Inc.+................................................................ 36,900
1,100 Duty Free International Inc..................................................... 9,212
5,500 Egghead Inc.+................................................................... 57,750
13,700 Expeditors International Inc.................................................... 301,400
107,000 Fays Inc........................................................................ 722,250
5,000 Forschner Group Inc.+........................................................... 53,750
10,000 Freds Inc., Class A............................................................. 100,000
1,300 Genovese Drug Stores Inc., Class A.............................................. 13,650
8,200 Good Guys Inc.+................................................................. 97,375
90,000 Haggar Corporation.............................................................. 2,306,250
130,000 Handleman Company............................................................... 1,381,250
14,900 Haverty Furniture Companies Inc................................................. 197,425
20,000 Hechinger Company, Class A...................................................... 231,250
6,000 Hills Stores Company+........................................................... 122,250
19,300 Hi-Lo Automotive Inc............................................................ 202,650
15,300 Hornbeck Offshore Services Inc.+................................................ 153,000
10,000 International Cabletel Inc.+.................................................... 320,000
6,600 Jackpot Enterprises Inc......................................................... 65,175
13,900 Johnson Worldwide Association Inc.+............................................. 278,000
7,100 Lechters Inc.+.................................................................. 133,125
14,100 Lillian Vernon Corporation...................................................... 259,088
6,600 Luby's Cafeterias Inc........................................................... 150,150
7,700 MacFrugal's Bargains Close Out Inc. ............................................ 130,900
18,200 Marcus Corporation.............................................................. 491,400
35,000 Marsh Supermarkets Inc., Class B................................................ 336,875
5,000 Medicine Shoppe International Inc............................................... 143,750
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
85,000 Merrill Corporation............................................................. $ 1,423,750
51,500 Nash Finch Company.............................................................. 785,375
7,000 New England Business Services Inc............................................... 135,625
13,400 Pier 1 Imports Inc.............................................................. 132,325
122,000 Quixote Corporation............................................................. 1,311,500
16,800 Ross Stores Inc................................................................. 196,350
2,500 Roto-Rooter Inc. ............................................................... 62,500
7,300 Ruddick Corporation............................................................. 148,737
34,200 Ryans Family Steak Houses Inc................................................... 265,050
1,000 Rykoff (S.E.) & Company......................................................... 15,375
2,100 Sbarro Inc...................................................................... 51,450
194,800 Shopko Stores Inc............................................................... 1,801,900
10,100 Stewart Enterprises Inc., Class A............................................... 270,175
46,700 Strawbridge & Clothier, Series A................................................ 1,004,050
140,600 Super Food Services Inc......................................................... 1,529,025
23,200 Tractor Supply Company.......................................................... 539,400
17,000 True North Communications Inc. ................................................. 269,875
1,000 Unifirst Corporation............................................................ 12,000
5,300 United Television Inc........................................................... 310,050
1,000 Value City Department Stores Inc. .............................................. 7,625
110,000 Venture Stores Inc.............................................................. 1,526,250
20,100 Waban Inc....................................................................... 396,975
10,500 Wackenhut Corporation, Class A.................................................. 157,500
875 Wackenhut Corporation, Class B.................................................. 12,141
18,300 Webb Del Corporation............................................................ 361,425
14,500 Wolohan Lumber Company.......................................................... 217,500
11,000 Xpedite Systems Inc............................................................. 209,000
17,100 Younkers Inc. .................................................................. 307,800
------------
29,627,377
------------
BASIC INDUSTRIES -- 9.9%
3,200 ABC Rail Products Corporation+.................................................. 71,000
3,500 AEP Industries Inc. ............................................................ 66,500
4,800 Alaska Steel Holding Corporation................................................ 124,800
105,000 Amcast Industrial Corporation................................................... 1,981,875
6,000 American Pacific Corporation.................................................... 39,000
1,000 Barnes Group Inc................................................................ 41,375
10,600 Brady (W.H.) Company............................................................ 524,700
6,000 Butler Manufacturing Company.................................................... 217,500
3,000 Cambrex Corporation............................................................. 85,500
11,700 Carpenter Technology Corporation................................................ 634,725
1,300 Chaparral Steel Company......................................................... 11,050
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
13,900 Chesapeake Corporation.......................................................... $ 458,700
54,100 Cleveland Cliffs Inc............................................................ 2,123,425
28,400 Commercial Metals Company....................................................... 731,300
31,800 CSS Industries Inc.+............................................................ 524,700
156,000 Delta Woodside Industries Inc................................................... 1,696,500
1,000 Dexter Corporation.............................................................. 21,375
8,000 Dixie Yarns Inc................................................................. 51,000
101,000 First Mississippi Corporation................................................... 2,449,250
7,800 Florida Rock Industries Inc. ................................................... 226,200
7,000 Fuller (H.B.) Company........................................................... 232,750
6,000 Furon Company................................................................... 118,500
13,000 G & K Services Inc.............................................................. 204,750
8,000 General Binding Corporation..................................................... 120,000
5,100 Greif Bros Corporation, Class A................................................. 260,738
75,000 Guilford Mills Inc. ............................................................ 1,668,750
12,100 Handy & Harman.................................................................. 187,550
11,800 Harnischfeger Industries Inc. .................................................. 328,925
20,000 Hemlo Gold Mines Inc. .......................................................... 172,500
27,000 Johnston Industries Inc......................................................... 300,375
5,000 Kennametal Inc. ................................................................ 135,000
2,400 LeaRonal Inc.................................................................... 48,000
2,400 Lone Star Industries Inc. ...................................................... 47,700
5,900 Lufkin Industries Inc........................................................... 102,513
9,900 Lukens Inc...................................................................... 283,387
9,600 Miller (Herman) Inc............................................................. 210,000
1,000 Mohawk Industries Inc.+......................................................... 13,500
2,000 Mosinee Paper Corporation....................................................... 56,000
2,000 Mueller Industries Inc.+........................................................ 64,000
5,200 NCH Corporation................................................................. 318,500
16,700 NS Group Inc.+.................................................................. 75,150
4,000 OM Group Inc. .................................................................. 96,000
23,700 Oregon Steel Mills Inc.......................................................... 394,013
75,000 Oxford Industries Inc........................................................... 1,612,500
9,400 Pentair Inc.+................................................................... 403,612
3,400 Petrolite Corporation........................................................... 85,850
4,500 Ply Gem Industries Inc.......................................................... 88,312
97,000 Pope & Talbot Inc............................................................... 1,600,500
25,700 Quaker Chemical Corporation..................................................... 449,750
7,900 Rock-Tenn Company, Class A...................................................... 144,175
3,000 Rouge Steel Company, Class A.................................................... 73,875
52,000 Royal Oak Mines Facilities+..................................................... 159,250
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
8,300 Sanderson Farms Inc............................................................. $ 114,125
13,000 Sealright Company............................................................... 237,250
22,300 Steel Technologies Inc.......................................................... 267,600
88,000 Thiokol Corporation............................................................. 2,277,000
7,000 Timberland Company, Class A+.................................................... 170,625
2,000 TJ International Inc............................................................ 34,750
11,000 Tredegar Industries Inc......................................................... 214,500
2,500 Tuscarora Inc................................................................... 51,875
12,600 United Waste Systems............................................................ 330,750
55,000 Vigoro Corporation.............................................................. 1,938,750
------------
27,774,125
------------
TECHNOLOGY -- 8.4%
26,200 American Business Products Inc.................................................. 609,150
15,000 Amtrol Inc...................................................................... 243,750
48,300 Augat Inc....................................................................... 790,912
10,000 BancTec Inc.+................................................................... 165,000
10,000 BMC Industries Inc.............................................................. 166,250
1,000 Burr-Brown Corporation+......................................................... 13,375
10,000 Business Records Corporation, Holdings Company+................................. 340,000
3,200 Cadence Design Systems Inc...................................................... 82,000
6,800 California Microwave Inc........................................................ 198,900
5,000 Cellular Communications Inc..................................................... 172,500
80,000 Comdisco Inc.................................................................... 2,040,000
102,000 Computer Data Systems Inc....................................................... 930,750
3,200 Comverse Technology Inc......................................................... 35,200
9,600 Cray Research Inc............................................................... 162,000
6,000 Digital Microwave Corporation................................................... 75,750
18,400 Dynatech Corporation............................................................ 667,000
5,000 Ekco Group Inc.................................................................. 31,875
9,900 Electro Rent Corporation+....................................................... 190,575
120,000 Ennis Business Forms Inc........................................................ 1,650,000
3,000 Exar Corporation................................................................ 69,000
10,000 Fluke Corporation............................................................... 305,000
20,900 Gerber Scientific Inc........................................................... 300,437
15,000 Groundwater Technology Inc...................................................... 202,500
4,600 Inacom Corporation.............................................................. 41,400
10,500 International Rectifier Corporation............................................. 254,625
2,300 Komag Inc....................................................................... 58,075
9,800 Kulicke & Soffa Industries Inc.................................................. 238,875
60,000 Logicon Inc..................................................................... 1,957,500
134,200 Macneal Schwendler Corporation.................................................. 1,727,825
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
11,000 Merisel Inc..................................................................... $ 57,750
8,000 Minerais Technologies Inc....................................................... 235,000
51,900 MTS Systems Corporation......................................................... 1,271,550
6,400 Nashua Corporation.............................................................. 126,400
15,200 Netframe Systems Inc............................................................ 100,700
14,800 Network Equipment Technologies.................................................. 375,550
10,000 Octel Communications Corporation................................................ 232,500
13,000 Opti Inc........................................................................ 198,250
60,000 Park Electrochemical Corporation................................................ 2,077,500
95,000 Pioneer Standard Electronics Inc................................................ 1,662,500
14,200 SCI Systems Inc................................................................. 257,375
10,000 Sequent Computer Systems Inc.................................................... 171,250
900 Shared Medical Systems Corporation.............................................. 30,994
20,500 Silicon Valley Group............................................................ 480,469
14,600 Standard Microsystems Corporation............................................... 386,900
14,100 Standard Register Company....................................................... 245,869
7,100 Stanford Telecommunications..................................................... 102,950
19,000 Sungard Data Systems Inc. ...................................................... 783,750
9,100 Symbol Technologies Inc. ....................................................... 237,738
5,000 Syquest Technology Inc. ........................................................ 73,750
2,000 Syratech Corporation............................................................ 31,000
5,000 Telxon Corporation.............................................................. 69,375
13,000 VeriFone Inc.+.................................................................. 331,500
6,800 Vertex Communications Corporation............................................... 95,200
2,500 Watkins Johnson Company......................................................... 91,250
5,200 Western Digital Corporation..................................................... 78,000
10,000 Winthrop Resources Corporation.................................................. 115,000
3,500 Zero Corporation................................................................ 50,312
------------
23,690,606
------------
BANKING -- 8.1%
4,000 American Federal Bank, Greenville, South Carolina............................... 52,000
17,700 Associated Banc Corporation..................................................... 659,325
17,000 Bancfirst Corporation........................................................... 267,750
14,500 Bancorpsouth Inc................................................................ 507,500
4,000 Bank of New Hampshire Corporation............................................... 103,000
4,000 Banker's First Corporation...................................................... 100,000
13,500 Banknorth Group Inc. ........................................................... 340,875
63,500 Boston Bancorp.................................................................. 2,095,500
3,000 BSB Bancorp Inc................................................................. 81,375
20,000 Centerbank, Waterbury, Connecticut.............................................. 240,000
5,900 Centura Banks Inc. ............................................................. 145,288
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
7,000 Citizens Bancorp, Maryland...................................................... $ 183,750
8,200 Citizens Bancshares Inc. ....................................................... 287,000
18,500 Citizens Banking Corporation, Michigan.......................................... 471,750
80,000 Collective Bancorp Inc. ........................................................ 1,560,000
26,800 Colonial Bancgroup Inc.......................................................... 629,800
4,000 Columbia First Bank, A Federal Savings Bank, Washington, D.C. .................. 166,000
9,000 Commerce Bancorp Inc., New Jersey............................................... 159,750
3,500 Community First Bankshares Inc.................................................. 55,125
12,000 Deerbank Corporation............................................................ 514,500
25,700 Deposit Guaranty Corporation.................................................... 828,825
56,600 Dime Bancorp Inc................................................................ 502,325
4,000 F & M Bancorp................................................................... 120,000
19,200 First Banc Of Ohio.............................................................. 451,200
7,300 First Citizens Bancshares Inc., North Carolina, Class A......................... 328,500
1,000 First Financial Bancorp......................................................... 33,500
7,400 First Michigan Bank Corporation................................................. 177,600
1,400 First Midwest Bancorp Inc....................................................... 35,350
3,000 First National Bancorp, Georgia................................................. 62,250
13,200 First Palm Beach Bancorp Inc.................................................... 245,850
18,000 First Republic Bancorp Inc. .................................................... 186,750
2,000 First Western Bancorp Inc....................................................... 55,000
19,100 Firstfed Financial Corporation.................................................. 279,337
19,000 Firstfed Michigan Corporation................................................... 460,750
16,900 FNB Corporation, Pennsylvania................................................... 278,850
10,000 GBC Bancorp, California......................................................... 142,500
15,000 Greater New York Savings Bank................................................... 136,875
14,600 Hawkeye Bancorporation.......................................................... 315,725
200,000 Hibernia Corporation............................................................ 1,550,000
4,400 Liberty Bancorp Inc., Oklahoma.................................................. 138,600
8,000 Magna Bancorp Inc. ............................................................. 146,000
10,000 NS Bancorp Inc.................................................................. 293,750
1,100 NBB Bancorp Inc................................................................. 52,937
2,000 NBT Bancorp Inc................................................................. 33,500
17,850 North Side Savings Bank, Bronx, New York........................................ 383,775
15,000 Northfork Bancorporation, New York.............................................. 236,250
60,100 ONBANcorp Inc................................................................... 1,359,763
12,600 One Valley Bancorp Inc., West Virginia.......................................... 362,250
15,000 Premier Bancorp................................................................. 240,000
4,700 Provident Bankshares Corporation................................................ 112,800
10,000 Republic Bancorp Inc............................................................ 111,250
14,000 River Forest Bancorp............................................................ 483,000
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
13,900 Rochester Community Savings Bank, New York...................................... $ 243,250
5,600 S & T Bancorp Inc............................................................... 109,900
1,800 Security Capital Bancorp........................................................ 31,950
3,600 Sumitomo Bank, San Francisco, California........................................ 86,400
24,900 Susquehanna Bancshares Inc., Pennsylvania....................................... 578,925
1,000 Trustco Bank Corporation, New York.............................................. 19,750
6,700 U.S. Trust Corporation.......................................................... 445,968
16,800 United Carolina Bancshares Corporation.......................................... 453,600
3,000 United Countys Bancorporation................................................... 372,000
4,000 Victoria Bankshares Inc. ....................................................... 104,000
1,000 Westamerica Bancorporation ..................................................... 31,250
43,000 Zions Bancorp................................................................... 1,720,000
------------
22,962,343
------------
UTILITIES -- 7.4%
6,200 Atlantic Telephone Network Inc. ................................................ 55,800
4,500 Atmos Energy Corporation........................................................ 81,000
9,700 Bangor Hydro-Electric Company................................................... 120,038
2,800 Black Hills Corporation......................................................... 65,800
60,500 Central Hudson Gas & Electric Corporation....................................... 1,671,312
28,600 Central Louisiana Electric Inc.................................................. 672,100
17,000 Central Maine Power Company..................................................... 238,000
10,400 Central Vermont Public Service Corporation...................................... 144,300
8,100 CILCORP Inc..................................................................... 286,538
15,000 Colonial Gas Company ........................................................... 307,500
47,800 Commonwealth Energy Systems..................................................... 2,001,625
100 Connecticut Natural Gas Corporation............................................. 2,337
6,600 Consumers Water Company......................................................... 110,550
55,000 Eastern Utilities Association................................................... 1,299,375
105,000 Energen Corporation............................................................. 2,310,000
5,200 Green Mountain Power Corporation................................................ 144,950
34,000 IES Industries Inc.............................................................. 930,750
4,900 Indiana Energy Inc.............................................................. 91,875
10,000 Interstate Power Company........................................................ 245,000
50,000 Iowa-Illinois Gas & Electric.................................................... 1,087,500
7,600 IWC Resource Corporation........................................................ 148,200
1,000 KN Energy Inc................................................................... 21,500
12,500 Lincoln Telecommunications Company.............................................. 203,125
1,400 Madison Gas & Electric Company.................................................. 45,325
13,000 MDU Resources Group Inc......................................................... 349,375
11,000 Northwestern Public Service Company............................................. 287,375
31,000 ONEOK Inc. ..................................................................... 534,750
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
35,000 Orange & Rockland Utilities Inc................................................. $ 1,115,625
14,000 Otter Tail Power Company........................................................ 465,500
1,000 Piedmont Natural Gas Inc........................................................ 19,750
35,400 Southern California Water Company............................................... 615,075
45,000 Southern Indiana Gas & Electric Company......................................... 1,310,625
7,400 Southwest Gas Corporation....................................................... 112,850
10,000 St. Joseph Light & Power Company................................................ 337,500
54,000 Swift Energy Company............................................................ 472,500
16,000 TNP Enterprises Inc. ........................................................... 240,000
5,000 United Cities Gas Company....................................................... 78,438
48,200 United Illuminating Company..................................................... 1,602,650
19,000 Washington Energy Company....................................................... 261,250
9,800 WICOR Inc....................................................................... 284,200
27,800 Yankee Energy Systems Inc. ..................................................... 604,650
------------
20,976,613
------------
CONSUMER NON-DURABLES -- 5.8%
12,100 Alberto Culver Company, Class B................................................. 344,850
20,000 Alico Inc. ..................................................................... 335,000
1,000 American Filtrona Corporation................................................... 28,500
62,000 American Maize Products Company, Class A........................................ 2,449,000
10,000 Angelica Corporation............................................................ 255,000
6,000 Coca Cola Bottling Company...................................................... 168,000
12,500 Edison Brothers Stores Inc...................................................... 196,875
11,500 Falcon Products Inc............................................................. 135,125
51,200 Fieldcrest Cannon Inc........................................................... 1,081,600
8,500 Flowers Industries Inc.......................................................... 156,187
27,000 Garan Inc. ..................................................................... 438,750
3,000 Helene Curtis Industries Inc.................................................... 87,000
5,000 Hudson Foods Inc. .............................................................. 143,750
11,000 Ingles Markets Inc., Class A.................................................... 107,250
10,000 Instrument Systems Corporation.................................................. 90,000
120,000 International Multifoods Corporation............................................ 2,235,000
5,000 Interstate Bakeries Corporation................................................. 76,250
10,000 J & J Snack Foods Corporation................................................... 115,625
23,300 Kimball International Inc., Class B............................................. 629,100
9,000 Michaels Foods Inc.............................................................. 108,000
105,000 Monk Austin Inc................................................................. 1,286,250
10,000 Monvadi Robert Corporation, Class A............................................. 138,750
20,000 Morningstar Group Inc. ......................................................... 143,750
1,000 Penwest Ltd..................................................................... 22,750
10,000 Pilgrims Pride Corporation...................................................... 81,250
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER NON-DURABLES (CONTINUED)
13,500 Ralcorp Holdings Inc............................................................ $ 340,875
40,000 Ralston-Continental Baking Group................................................ 160,000
14,900 Raven Industries Inc............................................................ 279,375
23,600 Regis Corporation............................................................... 424,800
9,000 Smucker (J.M.) Company, Class A................................................. 211,500
68,000 Thorn Apple Valley Inc. ........................................................ 1,704,250
156,700 Topps Inc....................................................................... 959,788
15,000 Universal Corporation........................................................... 298,125
138,300 Windmere Corporation............................................................ 1,192,837
------------
16,425,162
------------
HEALTH CARE -- 5.6%
180,000 ADAC Labs....................................................................... 1,440,000
58,000 Allied Healthcare Products Inc.................................................. 913,500
15,000 Amsco International Inc......................................................... 206,250
108,885 Bergen Brunswig Corporation, Class A............................................ 2,967,116
135,000 Bindley Western Industries Inc.................................................. 2,008,125
12,000 Block Drug Inc., Class A........................................................ 408,000
17,076 Boston Scientific Corporation................................................... 369,269
5,300 Diagnostic Products Corporation................................................. 143,100
10,700 Gulf South Medical Supply Inc. ................................................. 422,650
105,000 Herbalife International Inc..................................................... 1,194,375
1,800 Hillhaven Corporation........................................................... 43,425
4,600 Isomedix Inc.................................................................... 60,950
4,300 Life Technologies Inc. ......................................................... 77,400
2,300 Living Centers America Inc...................................................... 83,662
22,000 Maxicare Health Plans Inc....................................................... 357,500
80,000 Medex Inc....................................................................... 840,000
12,200 Omega Healthcare Investments Inc................................................ 294,325
75,000 Ornda Healthcorp................................................................ 1,139,063
10,000 Paragon Trade Brands Inc. ...................................................... 138,750
9,500 Roberts Pharmaceutical Corporation.............................................. 385,937
7,700 Sierra Health Services.......................................................... 233,888
42,500 Smiths Food & Drug Centers Inc., Class B........................................ 1,142,187
6,600 Sunrise Medical Inc. ........................................................... 227,700
20,900 Superior Surgical Manufacturing Inc. ........................................... 250,800
9,000 Universal Health Services Inc., Class B......................................... 225,000
10,800 West Inc. ...................................................................... 280,800
------------
15,853,772
------------
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
ENERGY -- 5.1%
5,900 ACX Technologies Inc............................................................ $ 230,100
8,500 Ashland Coal Inc. .............................................................. 232,688
31,000 Benton Oil & Gas Company........................................................ 286,750
5,000 Camco International Inc. ....................................................... 92,500
1,000 Capsure Holdings Corporation.................................................... 13,125
3,100 Cascade Corporation............................................................. 78,275
10,400 Dekalb Energy Company, Class B.................................................. 223,600
5,000 Destec Energy Inc. ............................................................. 50,000
123,700 Diamond Shamrock Inc. .......................................................... 3,092,500
21,000 Eastern Enterprises............................................................. 553,875
16,000 Edisto Resources Corporation.................................................... 100,000
10,000 Energy Ventures Inc............................................................. 141,250
43,000 Enterra Corporation............................................................. 774,000
25,900 Helmerich & Payne Inc........................................................... 673,400
2,500 Nuevo Energy Company............................................................ 45,000
120,000 Offshore Logistics Inc.......................................................... 1,545,000
7,900 Penn Virginia Corporation....................................................... 258,725
4,800 Plains Petrol Company........................................................... 108,000
22,700 Sierra Pacific Resources........................................................ 459,675
18,000 Smith International Inc. ....................................................... 240,750
7,500 Snyder Oil Corporation.......................................................... 105,000
15,000 St. Mary Land & Exploration Company............................................. 202,500
8,000 Tejas Gas Corporation........................................................... 344,000
63,000 Tosco Corporation............................................................... 1,819,125
150,300 Total Petroleum North America Ltd............................................... 1,559,362
18,107 Transco Energy Company.......................................................... 321,399
30,000 USX-Delhi Group................................................................. 247,500
12,800 Varco International Inc. ....................................................... 81,600
13,860 Westcorp, Inc................................................................... 136,868
11,900 Western Company, North America.................................................. 224,612
------------
14,241,179
------------
CONSUMER DURABLES -- 4.8%
23,700 Anthony Industries Inc. ........................................................ 373,275
60,000 Borg Warner Automotive Inc...................................................... 1,507,500
7,000 Chromcraft Revington Inc........................................................ 150,500
105,000 Coachmen Industries Inc. ....................................................... 1,890,000
4,200 Detroit Diesel Corporation...................................................... 100,800
1,000 Donaldson Inc................................................................... 25,125
25,000 Figgie International Holdings Inc., Class A..................................... 209,375
140,000 Gencorp Inc. ................................................................... 1,890,000
12,500 General Housewares Corporation.................................................. 187,500
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES (CONTINUED)
26,200 Hovnanian Enterprises Inc., Class A............................................. $ 157,200
4,500 Indresco Inc.................................................................... 55,688
10,000 Kaiser Resources Inc. .......................................................... 73,281
5,000 Knape & Vogt Manufacturing Company.............................................. 83,750
26,800 Myers Industries Inc............................................................ 425,450
97,000 Outboard Marine Corporation..................................................... 2,037,000
14,200 Pillowtex Corporation+.......................................................... 142,000
19,700 Pultte Corporation.............................................................. 453,100
89,300 Ryland Group Inc................................................................ 1,283,687
46,500 Scotsman Industries Inc......................................................... 831,188
7,000 Skyline Corporation............................................................. 127,750
65,000 Standard Products Company....................................................... 1,405,625
3,000 Thomas Industries Inc. ......................................................... 51,000
3,200 United States Filter Corporation................................................ 51,600
5,000 Uno Restaurant Corporation...................................................... 76,663
3,000 Wynns International Inc......................................................... 66,750
------------
13,655,807
------------
TRANSPORTATION -- 2.1%
45,500 Alaska Air Group Inc............................................................ 699,562
99,200 American President Companies Ltd................................................ 2,256,800
11,600 Arnold Industries Inc........................................................... 223,300
24,600 International Shipholding Corporation........................................... 498,150
55,000 Oshkosh Truck Corporation, Class B.............................................. 742,500
100,000 Sea Containers Ltd, Class A..................................................... 1,425,000
4,200 TNT Freightways Corporation..................................................... 115,500
------------
5,960,812
------------
REAL ESTATE INVESTMENT TRUSTS -- 0.6%
80,000 American Health Properties Inc.................................................. 1,740,000
2,300 Tanger Factory Outlet Center.................................................... 58,363
------------
1,798,363
------------
TOTAL COMMON STOCKS (Cost $278,180,242)......................................... 275,529,702
------------
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
---------- ------------
<C> <S> <C>
COMMERCIAL PAPER -- 2.9%
$3,162,000 General Electric Capital Corporation
6.000% due 3/1/95............................................................. $ 3,162,000
4,929,000 Prudential Funding Corporation
6.020% due 3/1/95............................................................. 4,929,000
------------
TOTAL COMMERCIAL PAPER (Cost $8,091,000)........................................ 8,091,000
------------
TOTAL INVESTMENTS (Cost $286,271,242)*................................................100.5%
283,620,702
OTHER ASSETS AND LIABILITIES (NET).................................................... (0.5)
(1,335,864)
------ ------------
NET ASSETS............................................................................100.0%
$282,284,838
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Small Capitalization Value Equity Investments securities held at February 28,
1995 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Basic Industries 9.9%
Consumer Services 10.5%
Capital Goods 11.1%
Financial Services 18.2%
Commercial Paper and Net Other
Assets and Liabilities 2.4%
Other Common Stocks 12.6%
Health Care 5.6%
Consumer Non-Durables 5.8%
Utilities 7.4%
Banking 8.1%
Technology 8.4%
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS -- 89.2%
TECHNOLOGY -- 23.8%
33,700 Alantec Corporation+............................................................ $ 1,171,075
57,300 Altera Corporation+............................................................. 3,258,938
76,700 Atmel Corporation+.............................................................. 2,617,388
7,200 Avid Technology Inc.+........................................................... 241,200
161,100 Cambridge Technology Partners................................................... 4,470,525
86,500 CIDCO Inc.+..................................................................... 2,681,500
89,400 Electronics For Imaging Inc..................................................... 3,508,950
103,500 FTP Software+................................................................... 2,846,250
85,550 Glenayre Technologies Inc.+..................................................... 3,443,388
76,500 Idexx Laboratories Inc.+........................................................ 2,907,000
49,200 Integrated Device Technology Inc................................................ 1,875,750
63,700 KLA Instruments Corporation+.................................................... 3,694,600
65,200 NetManage Inc.+................................................................. 2,363,500
71,300 Network General Corporation..................................................... 1,898,363
81,100 Network Peripherals Inc......................................................... 1,885,575
69,900 Pairgain Technologies Inc....................................................... 1,572,750
74,000 Platinum Technology Inc......................................................... 1,757,500
34,200 Tencor Instruments.............................................................. 1,624,500
90,800 Ultratech Stepper Inc.+......................................................... 4,097,350
42,400 U.S. Robotics Corporation....................................................... 2,289,600
92,300 United Waste Systems............................................................ 2,422,875
58,500 Zebra Technologies Corporation, Class A......................................... 2,127,938
------------
54,756,515
------------
HEALTH CARE -- 21.5%
58,600 American Medical Response Inc.+................................................. 1,604,175
153,900 Coventry Corporation+........................................................... 4,155,300
116,300 General Nutrition Companies Inc................................................. 2,791,200
53,800 Genesis Health Ventures Inc.+................................................... 1,627,450
33,100 HealthCare COMPARE Corporation.................................................. 1,050,925
177,100 Health Management Association Inc., Class A+.................................... 4,715,288
102,300 Healthsource Inc.+.............................................................. 4,450,050
38,400 Healthsouth Corporation......................................................... 1,545,600
59,400 Integrated Health Services Inc.+................................................ 2,272,050
129,150 Lam Research Corporation+....................................................... 5,166,000
109,600 Mariner Health Group Inc.+...................................................... 1,890,600
47,700 Omnicare Inc.................................................................... 2,319,413
89,950 PhyCor Inc.+.................................................................... 2,765,963
37,300 Quantum Health Resources Inc.+.................................................. 820,600
65,500 Sun Healthcare Group Inc........................................................ 1,678,438
59,500 Theratx Inc..................................................................... 1,182,563
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
HEALTH CARE (CONTINUED)
90,246 Value Health Inc.+.............................................................. $ 3,361,664
187,550 Vencor Inc.+.................................................................... 5,954,713
------------
49,351,992
------------
COMPUTERS -- 17.2%
231,800 Acxiom Corporation+............................................................. 3,592,900
84,900 Applied Digital Access Inc...................................................... 2,334,750
12,100 Atria Software Inc.............................................................. 487,025
53,600 Catalina Marketing+............................................................. 2,773,800
109,700 Chipcom Corporation+............................................................ 4,881,650
40,800 Gen Datacomm Industries Inc..................................................... 856,800
122,500 IMRS Inc.+...................................................................... 5,359,375
68,300 In Focus Systems Inc............................................................ 1,297,700
74,000 Macromedia Inc.................................................................. 2,173,750
58,400 Medic Computer Systems Inc...................................................... 2,460,100
52,200 Micros Systems Inc.............................................................. 1,552,950
35,200 Microtouch Systems Inc.......................................................... 985,600
95,600 Micro Warehouse Inc.+........................................................... 2,748,500
115,300 StrataCom Inc.+................................................................. 4,266,100
28,800 Synopys Inc.+................................................................... 1,360,800
91,500 Wonderware Corporation+......................................................... 2,556,280
------------
39,688,080
------------
CONSUMER SERVICES -- 7.8%
17,400 ALC Communications Corporation+................................................. 513,300
44,500 Aspect Telecommunications Corporation+.......................................... 1,557,500
54,900 Blyth Industries Inc............................................................ 1,557,787
34,000 Clear Channel Communicatons Inc................................................. 1,933,750
174,200 Cognex Corporation+............................................................. 4,572,750
78,600 Doubletree Corporation.......................................................... 1,414,800
152,281 Tetra Technologies+............................................................. 2,893,337
119,300 Viking Office Products Inc.+.................................................... 3,579,000
------------
18,022,224
------------
RETAIL -- 5.8%
74,000 Ann Taylor Stores Corporation................................................... 2,442,000
71,300 Bed Bath & Beyond Inc.+......................................................... 1,729,025
67,700 Department 56................................................................... 2,623,375
76,200 Nautica Enterprises Inc......................................................... 2,371,725
69,800 Sunglass Hut International Inc.+................................................ 1,910,775
117,700 Tommy Hilfiger Corporation Inc.+................................................ 2,354,000
------------
13,430,900
------------
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FINANCIAL SERVICES -- 2.5%
158,200 Credit Acceptance Corporation, Michigan+........................................ $ 3,045,350
73,100 Fair Issac & Company, Inc....................................................... 2,595,050
------------
5,640,400
------------
LEISURE -- 2.3%
101,800 Callaway Golf Company........................................................... 3,435,750
83,700 Sports & Recreational Inc.+..................................................... 1,705,386
------------
5,141,136
------------
ENERGY SERVICES -- 2.2%
66,200 Sanifill Inc.................................................................... 1,563,975
132,400 Input/Output Inc.+.............................................................. 3,475,500
------------
5,039,475
------------
TRANSPORTATION -- 1.9%
52,150 Wabash National Corporation..................................................... 1,851,325
53,300 Wisconsin Central Transportation Corporation+................................... 2,425,150
------------
4,276,475
------------
RESTAURANTS -- 1.7%
148,950 Apple South Inc................................................................. 1,961,950
93,033 ShoLodge Inc.+.................................................................. 1,930,435
------------
3,892,385
------------
PHARMACEUTICALS -- 1.3%
141,000 Dura Pharmaceuticals Inc. ...................................................... 1,974,000
25,300 Roberts Pharmaceutical Corporation.............................................. 1,027,813
------------
3,001,813
------------
OTHER -- 1.2%
52,400 Cyrk Inc.+...................................................................... 1,257,600
57,300 Proxima Corporation............................................................. 1,511,287
------------
2,768,887
------------
TOTAL COMMON STOCKS (Cost $161,876,220)......................................... 205,010,282
------------
<CAPTION>
FACE
VALUE
----------
<C> <S> <C>
COMMERCIAL PAPER -- 9.2%
$9,715,000 General Electric Capital Corporation, 6.000% due 3/1/95......................... 9,715,000
11,500,000 Prudential Funding Capital Corporation, 6.020% due 3/1/95....................... 11,500,000
------------
TOTAL COMMERCIAL PAPER (Cost $21,215,000)....................................... 21,215,000
------------
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
------------
<C> <S> <C>
TOTAL INVESTMENTS (Cost $192,368,220*)................................................ 98.4% $226,225,282
OTHER ASSETS AND LIABILITIES (NET)..................................................... 1.6 3,740,755
------ ------------
NET ASSETS............................................................................100.0% $229,966,037
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Small Capitalization Growth Investments securities held at February 28, 1995
by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Computers 17.2%
Technology 23.8%
Health Care 21.5%
Commercial Paper, and Net Other
Assets and Liabilities 10.8%
Other Common Stocks 10.6%
Financial Services 2.5%
Retail 5.8%
Consumer Services 7.8%
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS -- 95.3%
JAPAN -- 36.6%
872,000 Daiei Inc....................................................................... $ 9,654,302
725 Daito Trust Construction Company................................................ 6,301
1,082,000 Daiwa Securities................................................................ 12,091,262
1,823 DDI Corporation................................................................. 13,524,662
432,000 Hokuetsu Bank................................................................... 2,458,482
106,000 Ito-Yokado Company.............................................................. 4,825,909
642,000 Kawasaki Heavy Industries....................................................... 2,437,933
450,000 Keiyo Bank Ltd.................................................................. 2,714,574
304,000 Komori Corporation.............................................................. 6,511,253
141,000 Kyocera Corporation............................................................. 9,089,244
247,300 Matsuzakaya Company............................................................. 2,840,323
1,284,000 NEC Corporation................................................................. 12,183,020
1,176,000 Nichido Fire & Marine........................................................... 8,456,930
876,000 Nikon Corporation............................................................... 6,888,716
3,026,000 Nippon Steel.................................................................... 10,582,938
995 Nippon Telephone & Telegraph Corporation........................................ 7,103,834
1,822,000 Nissan Motor Company............................................................ 12,461,503
734,000 Ohbayashi - Gumi................................................................ 5,544,208
1,008,000 Oji Paper Company............................................................... 9,637,250
360,000 Pioneer Electric Corporation.................................................... 7,673,444
1,027,000 Sasebo Heavy Industries Company................................................. 3,262,342
1,423,000 Sharp Corporation............................................................... 20,319,106
255,200 Sony Corporation................................................................ 11,090,486
363,000 Sumitomo Bank................................................................... 6,610,585
1,427,000 Sumitomo Realty and Development................................................. 7,766,589
246,000 Tokyo Ohka Kogyo................................................................ 6,516,219
------------
202,251,415
------------
GERMANY -- 8.7%
27,573 Daimler Benz AG................................................................. 13,401,376
8,446 Kaufhof AG...................................................................... 2,837,046
59,995 Mannesmann AG................................................................... 17,438,135
8,096 Schering AG..................................................................... 6,193,752
30,210 Volkswagen AG................................................................... 8,190,612
------------
48,060,921
------------
FRANCE -- 8.6%
19,937 Canal Plus...................................................................... 2,951,616
114,909 Compagnie Bancaire S.A.......................................................... 10,901,078
29,288 Eaux (Cie Generale Des)......................................................... 2,710,003
197,766 Michelin, Class B............................................................... 7,901,394
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
FRANCE (CONTINUED)
40,249 Peugeot S.A..................................................................... $ 5,488,322
328,847 Rhone - Poulenc S.A., Class A................................................... 7,847,230
134,714 Societe National Elf Aquitaine.................................................. 9,664,978
------------
47,464,621
------------
UNITED KINGDOM -- 8.2%
11,298,860 ASDA Group Plc.................................................................. 12,118,212
1,588,200 BPB Industries.................................................................. 7,391,748
1,723,700 British Telecommunications...................................................... 10,300,855
15,700 Cable and Wireless.............................................................. 92,954
281,200 Huntingdon International Holding Company ADR.................................... 1,019,350
3,373,000 Sears Holdings.................................................................. 5,312,929
2,176,800 Vodafone Group.................................................................. 6,478,448
384,800 W. H. Smith Group, Class A...................................................... 2,515,821
------------
45,230,317
------------
ITALY -- 6.5%
5,548,999 Fiat S.p.A...................................................................... 21,353,826
3,626,200 Pirelli S.p.A................................................................... 4,785,627
55,355 Rinascente...................................................................... 275,945
3,856,367 Telecom Italia S.p.A............................................................ 9,299,697
------------
35,715,095
------------
SWEDEN -- 5.4%
375,220 Astra AB (Free), Series A+...................................................... 9,462,917
157,290 Astra AB (Free), Series B+...................................................... 3,891,751
433,550 SKF Group AB (Free), Series B................................................... 8,008,401
1,534,530 Skandinaviska Enskilda Banken, Series A+........................................ 8,388,553
------------
29,751,622
------------
HONG KONG -- 4.3%
1,586,000 Cheung Kong Holdings............................................................ 6,913,044
865,000 Hong Kong and China Gas Company................................................. 1,510,380
13,800 Hong Kong Telecom Ltd., ADR..................................................... 251,850
1,213,000 Hutchison Whampoa............................................................... 5,146,013
722,000 Sun Hung Kai Properties......................................................... 4,855,979
36,500 Swire Pacific, Series A......................................................... 256,111
1,410,000 Wharf Holdings.................................................................. 4,851,064
------------
23,784,441
------------
CANADA -- 3.8%
100 Canadian Pacific Ltd., ADR...................................................... 1,400
1,000,900 Echo Bay Mines Ltd., ADR........................................................ 9,133,213
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
CANADA (CONTINUED)
185,700 Macmillan Bloedel Ltd., ADR..................................................... $ 2,437,312
453,600 Placer Dome Ltd., ADR........................................................... 9,242,100
------------
20,814,025
------------
AUSTRALIA -- 3.0%
1,673,883 Australia & New Zealand Bank Group.............................................. 5,882,141
25 Pioneer International Ltd....................................................... 60
389,223 The News Corporation............................................................ 1,735,556
1,628,700 Western Mining Corporation Holdings............................................. 8,741,357
------------
16,359,114
------------
SPAIN -- 2.7%
156,370 Banco de Santander.............................................................. 5,599,489
673,900 Iberdrola S.A................................................................... 4,215,168
407,650 Telefonica de Espana............................................................ 5,083,673
------------
14,898,330
------------
MALAYSIA -- 2.1%
543,000 Genting Berhad.................................................................. 4,701,391
45,500 Magnum Corporation Berhad....................................................... 81,998
600 Malaysian Helicopter............................................................ 1,091
669,000 Renong Berhad+.................................................................. 912,094
215,000 Resorts World Berhad............................................................ 1,162,390
1,365,000 Technology Resources Ltd.+...................................................... 4,652,497
26,000 Telekom Malaysia................................................................ 182,331
------------
11,693,792
------------
NEW ZEALAND -- 1.9%
2,589,921 Carter Holt Harvey.............................................................. 5,711,942
1,904,100 Fletcher Challenge.............................................................. 4,742,424
------------
10,454,366
------------
SINGAPORE -- 1.8%
373,000 Fraser & Neave.................................................................. 3,938,509
5,800 Genting International Plc....................................................... 6,925
28,400 Jardine Matheson Holdings....................................................... 261,370
706,000 Keppel Corporation.............................................................. 5,651,898
------------
9,858,702
------------
NETHERLANDS -- 1.7%
121,370 Wolters Kluwer.................................................................. 9,131,867
------------
TOTAL COMMON STOCKS (Cost $515,071,246)......................................... 525,468,628
------------
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
PERFERRED STOCK -- 0.1% (Cost $681,864)
192,662 The News Corporation............................................................ $ 765,212
------------
WARRANTS -- 0.0% (Cost $1,400)
2,225 Michelin, Warrants,
Expire 12/31/95+.............................................................. 1,365
------------
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- -----------------
<C> <S> <C>
CONVERTIBLE NOTE -- 0.1% (Cost $681,257)
FRF 4,055,520 Michelin, Note,
2.500% due 1/1/01......................................................... 748,806
----------------
REPURCHASE AGREEMENT -- 3.4% (Cost $18,872,000)
$ 18,872,000 Agreement with Salomon Brothers, 6.050% dated 2/28/95 to be repurchased at
$18,875,172 on 3/1/95, collateralized by $22,760,000 U.S. Treasury Bonds
6.250% due 8/15/23........................................................ 18,872,000
----------------
TOTAL INVESTMENTS (Cost $535,307,767*)................................................... 98.9% 545,856,011
OTHER ASSETS AND LIABILITIES (NET)........................................................ 1.1 6,016,799
------ ------------
NET ASSETS...............................................................................100.0% $ 551,872,810
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- International Equity Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
United Kingdom 8.2%
France 8.6%
Germany 8.7%
Japan 36.6%
Preferred Stock, Warrants, Convertible
Note, Repurchase Agreement and
Net Other Assets and Liabilities 4.7%
Other Countries 7.5%
Spain 2.7%
Australia 3.0%
Canada 3.8%
Hong Kong 4.3%
Sweden 5.4%
Italy 6.5%
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
At February 28,1995, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS VALUE
-------------------------------------------------------------------------------- -------- ------------
<S> <C> <C>
COMMON STOCKS:
Durable Goods................................................................. 13.9% $ 76,575,134
Holding Companies and Financial Services...................................... 12.9 71,446,846
Communications................................................................ 9.1 50,193,170
Mining and Metals............................................................. 6.7 36,966,651
Drugs and Chemicals........................................................... 6.1 33,911,869
Basic Industries.............................................................. 5.7 31,650,066
Machinery..................................................................... 5.2 28,528,621
Banking and Finance........................................................... 4.5 25,043,239
Technology.................................................................... 4.1 22,327,486
Transportation................................................................ 3.9 21,428,947
Retail........................................................................ 3.7 20,644,600
Utilities..................................................................... 3.7 20,474,199
Paper and Forest Products..................................................... 3.2 17,786,505
Non-Durable Goods............................................................. 3.0 16,332,666
Real Estate and Development................................................... 2.3 12,628,869
Printing and Publishing....................................................... 1.7 9,131,867
Insurance..................................................................... 1.5 8,456,930
Leisure, Sporting and Recreation.............................................. 1.1 5,863,781
Automobiles and Trucks........................................................ 1.0 5,488,322
Food and Beverage............................................................. 0.9 4,907,907
Consumer Services............................................................. 0.4 1,991,668
Other......................................................................... 0.7 3,689,285
-------- ------------
Total Common Stocks............................................................. 95.3 525,468,628
Preferred Stock................................................................. 0.1 765,212
Warrants........................................................................ 0.0 1,365
Convertible Note................................................................ 0.1 748,806
Repurchase Agreement............................................................ 3.4 18,872,000
-------- ------------
Total Investments............................................................... 98.9 545,856,011
Other Assets and Liabilities (Net).............................................. 1.1 6,016,799
-------- ------------
Net Assets...................................................................... 100.0% $551,872,810
-------- ------------
-------- ------------
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FEBRUARY 28, 1995 (UNAUDITED)
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>
3/22/95 DEM 5,336,000 3,660,446 3,487,537 $ 172,909
</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>
3/22/95 DEM 5,336,000 3,660,446 3,476,109 $(184,337)
---------------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts................................................. $ (11,428)
---------------
</TABLE>
<TABLE>
<S> <C>
KEY TO CURRENCY ABBREVIATIONS
DEM German Deutschemark
FRF French Franc
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------------------ ------------
<C> <S> <C>
FIXED INCOME INVESTMENTS -- 90.4%
GERMANY -- 16.9%
DEM 5,000,000 Depfa Finance, 6.375% due 9/30/03................................ $ 3,168,809
4,050,000 Federal Republic of Germany, 7.375% due 1/3/05................... 2,785,789
5,315,000 Government of Austria, 6.500% due 1/10/24........................ 3,055,100
5,000,000 L-Bank Global Bond, 6.000% due 5/10/99........................... 3,307,969
7,175,000 Treuhandanstalt, 7.125% due 1/29/03.............................. 4,854,653
------------
17,172,320
------------
FRANCE -- 11.8%
FRF 15,000,000 Caisse Autonome Refinancement, 7.750% due 12/6/99................ 2,910,295
19,000,000 Caisse National D'Autoroute, 6.750% due 7/8/99................... 3,560,534
Government of France:
20,300,000 7.750% due 4/12/00............................................... 3,960,545
8,250,000 8.500% due 4/25/23............................................... 1,626,054
------------
12,057,428
------------
DENMARK -- 11.1%
Kingdom of Denmark:
DKK 5,900,000 8.000% due 3/15/00............................................... 952,908
59,200,000 9.000% due 11/15/00.............................................. 10,367,088
------------
11,319,996
------------
ITALY -- 11.0%
BTP:
ITL 4,345,000,000 8.500% due 1/1/99................................................ 2,306,734
17,235,000,000 8.500% due 8/1/99................................................ 8,951,447
------------
11,258,181
------------
UNITED KINGDOM -- 9.1%
GBP 1,000,000 Barclays, 6.500% due 2/15/04..................................... 1,318,932
3,000,000 KFW International Finance, 6.625% due 11/26/04................... 3,989,286
3,000,000 Royal Bank of Scotland, 6.625% due 3/2/04........................ 3,953,667
------------
9,261,885
------------
JAPAN -- 8.6%
JPY 390,000,000 Government of Japan, 6.000% due 12/20/21......................... 4,452,646
400,000,000 International Bank of Reconstruction and Development, 4.500% due
12/22/97....................................................... 4,281,650
------------
8,734,296
------------
NETHERLANDS -- 8.2%
NLG 3,835,000 Dutch State Loan, 7.250% due 10/1/04............................. 2,304,610
8,000,000 Eurofima, 6.125% due 10/1/03..................................... 4,449,606
2,675,000 Government of Netherlands, 6.750% due 2/15/99.................... 1,622,232
------------
8,376,448
------------
</TABLE>
87
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
------------------ ------------
<C> <S> <C>
FIXED INCOME INVESTMENTS (CONTINUED)
AUSTRALIA -- 4.9%
Commonwealth of Australia:
AUD 2,400,000 6.750% due 11/15/06.............................................. $ 1,386,433
5,700,000 7.500% due 7/15/05............................................... 3,566,301
------------
4,952,734
------------
CANADA -- 4.6%
CAD 7,420,000 Government of Canada, 6.500% due 6/1/04.......................... 4,639,331
------------
SPAIN -- 4.2%
Government of Spain:
ESP 500,000,000 8.300% due 12/15/98.............................................. 3,520,328
130,000,000 8.000% due 5/30/04............................................... 802,463
------------
4,322,791
------------
TOTAL FIXED INCOME INVESTMENTS (Cost $90,028,098)................ 92,095,410
------------
COMMERCIAL PAPER -- 3.2% (Cost $3,278,000)
$ 3,278,000 General Electric Capital Corporation, 6.000% due 3/1/95.......... 3,278,000
------------
TOTAL INVESTMENTS (Cost $93,306,098*)......................................... 93.6% 95,373,410
OTHER ASSETS AND LIABILITIES (NET)............................................. 6.4 6,556,812
------ ------------
NET ASSETS....................................................................100.0% $101,930,222
------ ------------
------ ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- International Fixed Income Investments securities held at February 28, 1995
by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
United Kingdom 9.1%
Italy 11.0%
Denmark 11.1%
France 11.8%
Germany 16.9%
Commercial Paper and Net Other
Assets and Other Liabilities 9.6%
Spain 4.2%
Canada 4.6%
Australia 4.9%
Netherlands 8.2%
Japan 8.6%
</TABLE>
88
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FEBRUARY 28, 1995 (UNAUDITED)
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>
3/1/95 DEM 7,454,670 5,110,314 5,100,000 $ 10,314
4/7/95 DEM 17,837,292 12,242,235 11,860,000 382,235
---------------
$392,549
---------------
---------------
</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>
3/1/95 DEM 7,497,000 5,139,332 5,100,000 $ (39,332)
4/3/95 AUD 6,900,000 5,085,746 5,098,203 12,457
4/7/95 DEM 18,058,333 12,393,942 11,860,000 (533,942)
-------------
$(560,817)
-------------
-------------
</TABLE>
CROSS CURRENCY FORWARD FOREIGN EXCHANGE CONTRACTS
<TABLE>
<CAPTION>
CONTRACTS TO DELIVER IN EXCHANGE FOR
------------------------------------ -------------------------------------
CONTRACT LOCAL VALUE IN LOCAL VALUE IN
VALUE DATE CURRENCY U.S. $ CURRENCY U.S. $
---------- -------- ---------- -------- -----------
<C> <S> <C> <C> <C> <C> <C> <C>
3/2/95 DEM 785,415 538,417 ESP 68,959,452 539,167 $ 750
3/2/95 DKK 7,355,059 1,267,109 DEM 1,851,121 1,268,978 1,869
3/3/95 GBP 700,000 1,108,133 DEM 1,636,600 1,121,934 13,801
-------------
$ 16,420
-------------
-------------
Net Unrealized Depreciation of Forward Foreign Exchange Contracts.................... $(151,848)
-------------
-------------
</TABLE>
<TABLE>
<S> <C> <C> <C>
KEY TO CURRENCY ABBREVIATIONS
AUD Australian Dollar FRF French Franc
CAD Canadian Dollar GBP Great Britain Pound Sterling
DEM German Deutschemark ITL Italian Lire
DKK Danish Kroner JPY Japanese Yen
ESP Spanish Peseta NLG Netherland Guilder
</TABLE>
89
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS -- 76.0%
HONG KONG -- 11.9%
514,000 Amoy Properties................................................................. $ 468,693
140,000 Cathay Pacific Airways.......................................................... 226,347
220,000 Citic Pacific Ltd............................................................... 547,759
820,000 Continental Mariner Investment.................................................. 110,302
1,000,000 Guangdong Investment............................................................ 459,161
110,000 Guoco Group..................................................................... 426,114
200,000 Hong Kong Electric Holdings..................................................... 598,849
60,000 HSBC Holdings................................................................... 630,537
111,000 Hutchinson Whampoa.............................................................. 470,905
76,500 Jardine Strategic............................................................... 284,580
100,000 Jardine Strategic Holdings...................................................... 372,000
190,000 New World Development........................................................... 518,528
56,800 Swire Pacific, Class A.......................................................... 398,551
------------
5,512,326
------------
SINGAPORE -- 7.0%
20,000 Creative Technology............................................................. 238,785
39,000 Development Bank of Singapore................................................... 376,812
120,000 First Capital Corporation....................................................... 326,294
225,000 Hitachi Zosen Singapore......................................................... 192,547
140,000 Hotel Properties................................................................ 244,444
69,600 Jardine Matheson................................................................ 640,541
48,000 Keppel Corporation.............................................................. 384,265
120,000 Malayan Credit.................................................................. 219,462
350,000 PCI Limited..................................................................... 130,435
40,000 Singapore Land.................................................................. 226,363
89,000 Van Der Horst................................................................... 257,971
------------
3,237,919
------------
BRAZIL -- 6.6%
1,000,000 Brasmotor S.A................................................................... 276,308
6,000,000 Cia Paulista De Forca Luz....................................................... 299,824
35,000 Companhia Energetica De Minas Gerais............................................ 732,923
1,500,000 Itaubanco....................................................................... 405,644
29,138 Telebras, ADR................................................................... 815,864
40,000 Usminas, ADR.................................................................... 500,000
------------
3,030,563
------------
MALAYSIA -- 6.4%
82,250 Buildcon Berhad................................................................. 185,284
75,000 Commerce Asset Holdings......................................................... 299,706
46,000 Hong Leong Industries Berhad.................................................... 223,467
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (CONTINUED)
120,000 Meta-Corp Berhad................................................................ $ 338,492
50,000 Tan Jong........................................................................ 144,956
80,000 Telekom Malaysia................................................................ 561,019
35,000 Tenaga Nasional................................................................. 139,863
184,000 UMW Holdings Berhad............................................................. 454,142
120,000 Westmont Berhad................................................................. 592,360
------------
2,939,289
------------
SOUTH AFRICA -- 5.5%
13,900 Anglo American Corporation...................................................... 687,022
81,500 Barlow Limited.................................................................. 753,667
65,000 Sasol NPV....................................................................... 485,013
26,500 South African Breweries......................................................... 630,389
------------
2,556,091
------------
THAILAND -- 4.3%
32,400 Advanced Information Services................................................... 433,905
200,000 First Pacific Land.............................................................. 104,250
15,100 International Cosmetics Public Company, Ltd..................................... 199,800
30,000 Kang Yong Public................................................................ 228,549
16,100 Loxley Public Company, Ltd...................................................... 287,915
13,000 Thai Airways International...................................................... 360,866
100,000 Thai Modern Plastics Industries................................................. 352,847
------------
1,968,132
------------
ARGENTINA -- 3.9%
160,000 Astra Cia Argentina De Petroleo................................................. 187,191
50,000 Banco Frances Del Rio De La Plata............................................... 192,490
10,000 Buenos Aires Embotelladora S.A., ADR............................................ 262,500
35,000 Fiplasto SA..................................................................... 111,994
70,000 Juan Minetti.................................................................... 213,489
25,000 Massalin Particul, Class B...................................................... 189,991
60,000 Molinos Rio De La Plata......................................................... 230,988
90,000 Perez Companc (Naviera), Class A................................................ 287,986
61,379 Transportadora Del Gas Del, Class B............................................. 103,112
------------
1,779,741
------------
INDONESIA -- 3.8%
104,000 Astra International............................................................. 175,953
224,000 Indah Kiat Paper & Pulp......................................................... 328,446
97,475 Indofood Sukses Makmur.......................................................... 362,810
93,500 Panco Wiratama Sakti............................................................ 232,010
110,000 Panin Bank...................................................................... 141,439
</TABLE>
See Notes to Financial Statements.
91
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
INDONESIA (CONTINUED)
91,200 Semen Cibinong.................................................................. $ 252,019
60,000 Tempo Scan Pacific.............................................................. 265,283
------------
1,757,960
------------
TURKEY -- 3.7%
361,640 Aksa............................................................................ 257,193
167,680 Migros.......................................................................... 379,988
1,357,250 Netas........................................................................... 368,107
792,000 Petrol.......................................................................... 262,536
1,200,000 Raks Elektronik................................................................. 433,944
------------
1,701,768
------------
PORTUGAL -- 2.9%
25,160 Corticeira Amorim-Sociedad...................................................... 415,622
15,000 Espirito Sanyo Financial Holdings, ADR.......................................... 174,375
7,500 Jeronimo Martins................................................................ 314,069
19,798 Sonae Industries................................................................ 215,764
9,250 Sonae Investmentos.............................................................. 210,355
------------
1,330,185
------------
MEXICO -- 2.8%
81,000 Cifra SA de CV, Class C......................................................... 71,036
35,000 Empresas La Modern S.A., Class A................................................ 89,038
30,000 Grupo Carso S.A. de CV, Series A1............................................... 110,460
50,000 Grupo Financiero Banamex Accival, Class C....................................... 42,678
100,000 Grupo Financiero Bancomer, Class C.............................................. 17,908
12,000 Grupo Televisa S.A.............................................................. 97,406
14,500 Hylsamex........................................................................ 145,000
50,000 Jugos Del Valle S.A. de CV...................................................... 150,962
11,000 Kimberly Clark De Mexico, Class A............................................... 85,054
44,000 Sociadad De Femente Industrial, Class B......................................... 80,268
207,500 Telefonos De Mexico, Series L................................................... 289,632
30,000 Tolmex SA, Series B2............................................................ 95,398
------------
1,274,840
------------
KOREA -- 2.5%
13,000 Goldstar Electronics............................................................ 117,000
7,000 Pohang Iron & Steel, ADR........................................................ 178,500
42,020 Samsung Electric, GDR+.......................................................... 315,150
155 Samsung Electronics Company..................................................... 9,300
14,000 Kia Motors Group, ADS........................................................... 210,000
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
KOREA (CONTINUED)
17,700 Korea Electric Power Corporation, ADR........................................... $ 331,875
------------
1,161,825
------------
INDIA -- 2.4%
24,000 East India Hotel................................................................ 312,000
22,000 Indian Aluminium................................................................ 214,500
11,000 Indian Rayon, GDR............................................................... 154,000
25,000 Raymond Woolen Mills, GDR....................................................... 331,250
20,000 Tube Invest, GDR................................................................ 115,000
------------
1,126,750
------------
CHILE -- 2.3%
20,000 Banco Osorno Y La Union, ADR.................................................... 207,500
15,000 Chiliquinta S.A., ADR++......................................................... 240,000
2,500 Compania De Telef De Chile, ADR................................................. 157,175
10,000 Embotelladora Andina S.A., ADR.................................................. 240,000
10,000 Enersis S.A., ADR............................................................... 232,500
------------
1,077,175
------------
TAIWAN -- 2.0%
15,100 Asia Cement..................................................................... 335,975
18,170 Taiwan Fund, Inc................................................................ 431,538
80,000 Tung Ho Steel, GDR.............................................................. 158,000
------------
925,513
------------
PERU -- 1.9%
150,000 Banco De Credito................................................................ 272,056
8,180 Cementos Lima, Class C.......................................................... 133,342
211,000 Cerveceria Backus............................................................... 388,361
99,563 Indeco Pervana.................................................................. 77,136
------------
870,895
------------
CHINA -- 1.7%
580,000 China North, Class A............................................................ 435,000
1,021,000 Yizheng Chemical................................................................ 359,856
------------
794,856
------------
SRI LANKA -- 1.7%
535,000 Asian Hotel Corporation......................................................... 198,327
22,000 Development Finance Corporation................................................. 187,356
1,235,000 Distilleries.................................................................... 173,229
60,600 Hayleys......................................................................... 235,576
------------
794,488
------------
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
---------- ------------
<C> <S> <C>
COMMON STOCKS (CONTINUED)
COLOMBIA -- 1.6%
19,500 Cadanalco, ADR++................................................................ $ 316,875
17,300 Suramericana.................................................................... 443,331
------------
760,206
------------
VENEZUELA -- 1.1%
27,260 Ceramica Carabobo............................................................... 20,445
12,020 Mavesa SA, ADR.................................................................. 39,065
15,000 Sider Nacional, ADR............................................................. 388,005
10,000 Venprecar Venezuela, GDS........................................................ 52,500
------------
500,015
------------
TOTAL COMMON STOCKS (Cost $42,079,335).......................................... 35,100,537
------------
PREFERRED STOCKS -- 6.3%
6,000,000 Acesita......................................................................... 402,116
440,000 Brahma.......................................................................... 133,474
200,000 Datuk Keramat................................................................... 485,798
5,000,000 Petroleo Brasileira............................................................. 508,582
17,500,000 Petroleo Ipiranga............................................................... 271,811
120,000,000 Refrigeracao Parana SA.......................................................... 266,666
4,000,000 Telesp.......................................................................... 491,475
10,000 Vale Rio Doce CIA, ADR.......................................................... 364,492
------------
TOTAL PREFERRED STOCKS (Cost $3,080,985)........................................ 2,924,414
------------
RIGHTS AND WARRANTS -- 0.3%
41,125 Buildcon Berhad,
Expire 1/1/99+................................................................ 43,500
62 Daewoo Corporation, Warrants,
Expire 11/8/96+............................................................... 23,250
24,533 UMW Holdings Berhad, Warrants,
Expire 3/15/95+............................................................... 14,609
24,533 UMW Holdings Berhad, Rights,
Expire 3/15/95+............................................................... 16,340
3,400 Warburg, OTC Call Warrants,
Expire 3/30/95+............................................................... 23,747
10 Yukong, Warrants,
Expire 3/16/96+............................................................... 9,500
2 Yukong, Warrants,
Expire 6/25/96+............................................................... 3,100
------------
TOTAL RIGHTS AND WARRANTS (Cost $260,149)....................................... 134,046
------------
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
FACE
VALUE
----------
CONVERTIBLE BONDS -- 5.2%
<C> <S> <C>
$ 110,000 Acer Inc., 4.000% due 6/10/01................................................... $ 244,640
260,000 Cheil Food & Chemical, 3.000% due 12/31/06...................................... 289,900
500,000 Daewood Corporation, 3.250% due 12/31/97........................................ 428,975
240,000 Essar Gujarat, 5.500% due 8/5/98................................................ 304,800
550,000 U-Ming Marine, 1.500% due 2/7/01................................................ 577,500
400,000 United Microelectronics, 1.250% due 6/8/04...................................... 550,000
------------
TOTAL CONVERTIBLE BONDS (Cost $2,380,610)....................................... 2,395,815
------------
REPURCHASE AGREEMENT -- 9.7% (Cost $4,460,000)
$4,460,000 Agreement with Union Bank of Switzerland, 5.970% dated 2/28/95 to be repurchased
at $4,460,740 on 3/1/95 collateralized by $4,675,000 U.S. Treasury Note 4.375%
due 11/15/96.................................................................. 4,460,000
------------
TOTAL INVESTMENTS (Cost $52,261,079*)................................................. 97.5% 45,014,812
OTHER ASSETS AND LIABILITIES (NET)..................................................... 2.5 1,162,519
------ ----------
NET ASSETS............................................................................100.0% $ 46,177,331
------ ----------
------ ----------
<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 Depository Receipt
GDR - Global Depository Receipt
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets Funds
- -- Emerging Markets Equity Investments securities held at February 28, 1995 by
investment classification. The pie is broken in pieces representing investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Thailand 4.3%
Indonesia 3.8%
Taiwan 2.0%
Singapore 7.0%
Hong Kong 11.9%
Malaysia 6.4%
Brazil 6.6%
Argentina 3.9%
Mexico 2.8%
Preferred Stocks, Rights and Warrants,
Convertible Bonds, Paper, Repurchase Agreement,
and Net Other Assets and Liabilities 32.0%
Other Common Stocks 8.0%
South Africa 5.5%
Korea 2.5%
Chile 2.3%
India 2.4%
Portugal 2.9%
Turkey 3.7%
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 28, 1995 (UNAUDITED)
At February 28, 1995, sector diversification of the Portfolio was as follows:
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS VALUE
-------------------------------------------------------------------------------- -------- ------------
<S> <C> <C>
COMMON STOCKS:
Holding Companies & Financial Services........................................ 11.6% $ 5,341,939
Banking & Finance............................................................. 6.3 2,902,954
Utilities..................................................................... 5.2 2,404,675
Food and Beverage............................................................. 5.0 2,327,306
Transportation................................................................ 4.9 2,292,992
Construction.................................................................. 4.5 2,104,619
Communications................................................................ 4.4 2,017,922
Drugs & Chemicals............................................................. 4.2 1,923,820
Automobiles and Trucks........................................................ 3.3 1,520,407
Oil & Gas..................................................................... 3.0 1,405,405
Industrial.................................................................... 2.9 1,353,478
Textiles...................................................................... 2.6 1,180,804
Consumer Services............................................................. 2.4 1,085,573
Retail........................................................................ 2.3 1,081,969
Mining & Metals............................................................... 2.3 1,051,000
Electronics................................................................... 2.2 1,006,829
Lodging....................................................................... 1.9 859,022
Basic Industries.............................................................. 1.6 755,301
Energy........................................................................ 1.6 732,923
Durable Goods................................................................. 0.8 352,847
Paper & Forest Products....................................................... 0.7 328,445
Non-Durable Goods............................................................. 0.4 199,800
Manufacturing................................................................. 0.2 85,052
Machinery..................................................................... 0.2 77,133
Other......................................................................... 1.5 708,322
-------- ------------
Total Common Stocks............................................................. 76.0 35,100,537
Preferred Stocks................................................................ 6.3 2,924,414
Rights and Warrants............................................................. 0.3 134,046
Convertible Bonds............................................................... 5.2 2,395,815
Repurchase Agreement............................................................ 9.7 4,460,000
-------- ------------
Total Investments............................................................... 97.5 45,014,812
Other Assets and Liabilities (Net).............................................. 2.5 1,162,519
-------- ------------
Net Assets...................................................................... 100.0% $ 46,177,331
-------- ------------
-------- ------------
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
CONSULTING GROUP CAPITAL MARKET FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
FEBRUARY 28, 1995 (UNAUDITED)
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
<TABLE>
<CAPTION>
CONTRACTS TO RECEIVE
------------------------------------ NET UNREALIZED
CONTRACT LOCAL VALUE IN IN EXCHANGE APPRECIATION
VALUE DATE CURRENCY U.S. $ FOR U.S. $ OF CONTRACT
---------- -------- ----------- --------------------------
<C> <S> <C> <C> <C> <C>
3/1/95 ARS 104,457 104,451 104,613 $ (162)
3/1/95 ARS 201,440 201,430 201,743 (313)
3/3/95 BRL 32,165 37,819 38,065 (246)
----------- ----------- -------
540,177 542,956
----------- -----------
----------- -----------
Net Unrealized Depreciation of Forward Foreign Exchange
Contracts................................................. $ (721)
-------
-------
</TABLE>
<TABLE>
<S> <C>
KEY TO CURRENCY ABBREVIATIONS
ARS Argentine Peso
BRL Brazillian Real
TRL Turkish Lira
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES
Consulting Group Capital Markets Funds, formerly known as The Trust for TRAK
Investments (the "Trust") 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,
Long-Term Bond Investments (formerly 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 Trust's
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
98
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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.
The use of forward foreign currency contracts does not eliminate fluctuations
in the underlying prices of the Portfolio's investment securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Portfolio
could be exposed to risks if the counterparties to the contracts are unable to
meet the terms of their contracts.
FOREIGN CURRENCY:
The books and records of the Portfolios are maintained in United States (U.S.)
dollars. Foreign currencies, investments and other assets and liabilities are
translated into U.S. dollars at the exchange rates prevailing at the end of the
period, and purchases and sales of investment securities, income and expenses
are translated on the respective dates of such transactions. Unrealized gains
and losses which result from changes in foreign currency exchange rates have
been included in the unrealized appreciation/(depreciation) of investments. Net
realized foreign currency gains and losses resulting from changes in exchange
rates include foreign currency gains and losses between trade date and
settlement date on investment securities transactions, foreign currency
transactions and the difference between the amounts of interest and dividends
recorded on the books of the Portfolio and the amount actually received. The
portion of foreign currency gains and losses related to fluctuation in exchange
rates between the initial purchase trade date and subsequent sale trade date is
included in realized gains and losses on investment securities sold.
FUTURES CONTRACTS:
Each Portfolio except Government Money Investments, Balanced Investments and
Municipal Bond Investments may enter into futures contracts. Upon entering into
a futures contract, the Portfolio is required to deposit with the broker an
amount of cash or cash equivalents equal to a certain percentage of the contract
amount. This is known as the "initial margin." Subsequent payments ("variation
margin") are made or received by the Portfolio each day, depending on the daily
fluctuation of the value of the contract.
For financial statement purposes, an amount equal to the settlement amount of
the contract is included in the Portfolio's Statement of Assets and Liabilities
as an asset and as an equivalent liability. For long futures positions, the
asset is marked-to-market daily. For short futures positions, the liability is
marked-to-market daily. The daily changes in the contract are recorded as
unrealized gains or losses. The Portfolio recognizes a realized gain or loss
when the contract is closed.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in value of futures contracts primarily corresponds
with the value of their underlying instruments or index, which may not correlate
with the change in value of the hedged investments. In addition, there is the
risk that the Portfolio may not be able to enter into a closing transaction
because of an illiquid secondary market.
INDEXED SECURITIES:
Indexed securities held by Long-Term Bond Investments are investments whose
value is indexed to another financial instrument, index, currency or commodity
(the "Reference Instruments"). 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 Instruments. The price sensitivity
of these securities may be greater than that of non-indexed securities with
similar maturities.
99
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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 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, Long-Term Bond
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 of 1986, as amended,
applicable to regulated investment companies and by distributing all of its
taxable income to its shareholders. Therefore, no Federal income tax provision
is required.
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 Mutual
Funds Management Inc. ("SBMFM"). SBMFM is a wholly owned subsidiary of Smith
Barney Holdings Inc., which in turn is a
100
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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%
Long-Term Bond 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%
</TABLE>
- -------------------
*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 Portfolios' average daily net
assets.
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., Long-Term Bond
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 Parametric Portfolio Associates, Inc., Large
Capitalization Value Equity Investments; Provident Investment Counsel, and
Boston Structured Advisors, Large Capitalization Growth Investments; NFJ
Investments Group Inc., Small Capitalization Value Equity Investments; Pilgrim
Baxter Greig & 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.
The Trust is also party to an administration agreement (the "Administration
Agreement") with SBMFM (formerly known as "Smith, Barney Advisors, Inc."). Under
the Administration Agreement, each Portfolio pays a monthly fee at the annual
rate of .20% of the value of its average daily net assets.
The Trust and SBMFM have also entered into a sub-administration agreement (the
"Sub-Administration Agreement") with The Boston Company Advisors, Inc. ("Boston
Advisors"), an indirect wholly-owned subsidiary of Mellon Bank Corporation
("Mellon"). Under the Sub-Administration Agreement, SBMFM pays Boston Advisors a
portion of its fee at a rate agreed upon from time to time between SBMFM and
Boston Advisors.
101
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
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, SBMFM, Boston Advisors and Boston Safe
(collectively known as the "Agents") may voluntarily waive a portion or all of
their respective fees otherwise payable to them and/or reimburse expenses.
For the six months ended February 28, 1995, the Agents waived fees pursuant to
the above agreements as follows:
<TABLE>
<CAPTION>
TOTAL FEE BOSTON
WAIVERS MANAGER ADMINISTRATOR SAFE
----------- -------- ------------- -------
<S> <C> <C> <C> <C>
Government Money Investments................ $168,610 $ 66,995 $ 89,327 $12,228
Intermediate Fixed Income Investments....... 11,424 7,243 3,621 560
Long-Term Bond Investments.................. 80,987 50,830 25,415 4,742
Municipal Bond Investments.................. 65,233 40,539 20,270 4,424
Mortgage Backed Investments................. 159,322 105,738 42,295 11,289
Balanced Investments........................ 61,401 45,757 15,252 392
Large Capitalization Value Equity
Investments................................ 401,433 401,433 -- --
Large Capitalization Growth Investments..... 249,501 249,501 -- --
International Fixed Income Investments...... 117,519 70,845 28,338 18,336
Emerging Markets Equity Investments......... 57,146 36,894 8,199 12,053
</TABLE>
For the six months ended February 28, 1995, the Trust incurred total brokerage
commissions of $2,315,679, of which $27,066 was paid to Smith Barney, Inc.
("Smith Barney").
No officer, director or employee of Smith Barney, the Agents, or any of their
affiliates receives any compensation from the Portfolios for serving as a
Trustee or officer of the Trust. The Trust pays each Trustee who is not an
officer, director or employee of Smith Barney, the Agents or any of their
affiliates $22,000 per annum plus $500 per meeting attended and reimburses each
such Trustee for travel and out-of- pocket expenses. Prior to January 1, 1995,
the annual fee paid to such Trustees was $10,000.
3. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales of securities, excluding U.S.
Government securities and short-term investments, for the six months ended
February 28, 1995 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------- ------------
<S> <C> <C>
Intermediate Fixed Income Investments.......... $ 15,403,582 $ 14,637,596
Long-Term Bond Investments..................... 26,706,731 8,337,774
Municipal Bond Investments..................... 13,597,500 21,995,220
Balanced Investments........................... 2,863,727 1,752,291
Large Capitalization Value Equity
Investments................................... 117,737,406 64,073,037
Large Capitalization Growth Investments........ 213,674,520 81,002,825
Small Capitalization Value Equity
Investments................................... 181,307,917 225,705,373
Small Capitalization Growth Investments........ 128,418,044 109,787,105
International Equity Investments............... 91,315,228 58,469,609
International Fixed Income Investments......... 109,331,031 129,229,914
Emerging Markets Equity Investments............ 38,952,138 17,905,630
</TABLE>
102
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
Cost of purchases and proceeds from sales of U.S. Government securities,
excluding short-term investments, for the six months ended February 28, 1995
were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
---------------- ------------
<S> <C> <C>
Intermediate Fixed Income Investments.......... $ 71,802,857 $ 65,808,830
Long-Term Bond Investments..................... 53,625,554 29,342,974
Mortgage Backed Investments.................... -- 14,631,793
Balanced Investments........................... 1,676,938 210,908
</TABLE>
At February 28, 1995, 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....................... $ 1,080,163 $ 5,411,164
Long-Term Bond Investments.................................. 1,328,728 3,464,351
Municipal Bond Investments.................................. 274,961 2,180,587
Mortgage Backed Investments................................. 1,717 4,330,247
Balanced Investments........................................ 761,690 504,727
Large Capitalization Value Equity Investments............... 46,855,738 32,539,957
Large Capitalization Growth Investments..................... 58,420,304 13,707,996
Small Capitalization Value Equity Investments............... 17,329,761 19,980,301
Small Capitalization Growth Investments..................... 39,335,050 5,477,988
International Equity Investments............................ 42,843,799 32,295,555
International Fixed Income Investments...................... 3,036,766 969,454
Emerging Markets Equity Investments......................... 1,472,944 8,719,211
</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
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>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 1995 AUGUST 31, 1994
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
GOVERNMENT MONEY INVESTMENTS:
Sold..................................................... $152,165,760 $345,194,367
Issued as reinvestment of dividends...................... 4,664,742 4,540,400
Redeemed................................................. (129,764,025) (249,071,098)
------------ ------------
Net increase............................................. $ 27,066,477 $100,663,669
------------ ------------
------------ ------------
INTERMEDIATE FIXED INCOME INVESTMENTS:
Sold..................................................... 7,002,319 $ 54,419,577 22,381,600 $185,007,845
Issued as reinvestment of dividends...................... 834,022 6,460,220 1,568,507 12,839,876
Redeemed................................................. (8,346,675) (64,766,476) (12,108,834) (98,876,075)
----------- ------------ ----------- ------------
Net increase/(decrease).................................. (510,334) $ (3,886,679) 11,841,273 $ 98,971,646
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
103
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 1995 AUGUST 31, 1994
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
LONG-TERM BOND INVESTMENTS:
<S> <C> <C> <C> <C>
Sold..................................................... 8,575,305 $ 66,142,536 8,683,417 $ 72,680,596
Issued as reinvestment of dividends...................... 446,063 3,433,795 624,452 5,139,012
Redeemed................................................. (3,869,378) (29,716,349) (4,713,343) (38,652,303)
----------- ------------ ----------- ------------
Net increase............................................. 5,151,990 $ 39,859,982 4,594,526 $ 39,167,305
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
MUNICIPAL BOND INVESTMENTS:
Sold..................................................... 1,017,750 $ 7,869,739 4,962,612 $ 42,778,188
Issued as reinvestment of dividends...................... 147,648 1,136,254 352,791 2,992,923
Redeemed................................................. (2,412,491) (18,497,744) (3,695,644) (30,900,670)
----------- ------------ ----------- ------------
Net increase/(decrease).................................. (1,247,093) $ (9,491,751) 1,619,759 $ 14,870,441
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
MORTGAGE BACKED INVESTMENTS:
Sold..................................................... 2,523,450 $ 18,990,223 10,000,128 $ 79,873,717
Issued as reinvestment of dividends...................... 461,167 3,465,866 874,769 6,914,524
Redeemed................................................. (5,118,509) (38,458,817) (6,727,653) (53,557,681)
----------- ------------ ----------- ------------
Net increase/(decrease).................................. (2,133,892) $(16,002,728) 4,147,244 $ 33,230,560
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
BALANCED INVESTMENTS:
Sold..................................................... 686,765 $ 5,714,546 1,714,853 $ 14,427,658
Issued as reinvestment of dividends...................... 50,621 412,633 26,504 222,987
Redeemed................................................. (462,104) (3,819,212) (636,219) (5,327,603)
----------- ------------ ----------- ------------
Net increase............................................. 275,282 $ 2,307,967 1,105,138 $ 9,323,042
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS:
Sold..................................................... 19,467,854 $173,879,303 57,067,774 $524,060,959
Issued as reinvestment of dividends...................... 4,143,981 35,140,953 1,243,086 11,448,832
Redeemed................................................. (17,318,488) (154,053,780) (29,902,432) (275,127,432)
----------- ------------ ----------- ------------
Net increase............................................. 6,293,347 $ 54,966,476 28,408,428 $260,382,359
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
LARGE CAPITALIZATION GROWTH INVESTMENTS:
Sold..................................................... 21,074,216 $207,636,283 37,994,847 $368,606,148
Issued as reinvestment of dividends...................... 439,134 4,281,558 -- --
Redeemed................................................. (8,158,133) (80,465,472) (16,647,531) (159,774,915)
----------- ------------ ----------- ------------
Net increase............................................. 13,355,217 $131,452,369 21,347,316 $208,831,233
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS:
Sold..................................................... 7,320,023 $ 62,347,125 24,961,805 $229,169,814
Issued as reinvestment of dividends...................... 472,906 3,858,908 1,439,020 13,253,371
Redeemed................................................. (13,003,651) (111,829,460) (6,884,450) (62,861,738)
----------- ------------ ----------- ------------
Net increase/(decrease).................................. (5,210,722) $(45,623,427) 19,516,375 $179,561,447
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
SMALL CAPITALIZATION GROWTH INVESTMENTS:
Sold..................................................... 6,378,554 $ 84,205,830 13,655,513 $166,661,153
Issued as reinvestment of dividends...................... 83,420 1,128,666 136,380 1,667,927
Redeemed................................................. (4,195,705) (55,367,858) (6,106,555) (74,640,060)
----------- ------------ ----------- ------------
Net increase............................................. 2,266,269 $ 29,966,638 7,685,338 $ 93,689,020
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
INTERNATIONAL EQUITY INVESTMENTS:
Sold..................................................... 13,441,518 $137,132,752 36,546,773 $364,735,786
Issued as reinvestment of dividends...................... 1,691,152 16,657,845 1,020,865 9,534,883
Redeemed................................................. (10,597,522) (107,542,135) (11,016,786) (110,574,450)
----------- ------------ ----------- ------------
Net increase............................................. 4,535,148 $ 46,248,462 26,550,852 $263,696,219
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
</TABLE>
104
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
FEBRUARY 28, 1995 AUGUST 31, 1994
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
INTERNATIONAL FIXED INCOME INVESTMENTS:
<S> <C> <C> <C> <C>
Sold..................................................... 2,035,070 $ 16,859,324 9,382,953 $ 80,752,952
Issued as reinvestment of dividends...................... 474,742 3,886,419 1,305,302 10,993,448
Redeemed................................................. (4,640,576) (38,256,897) (7,699,173) (64,843,492)
----------- ------------ ----------- ------------
Net increase/(decrease).................................. (2,130,764) $(17,511,154) 2,989,082 $ 26,902,908
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
<CAPTION>
SIX MONTHS ENDED PERIOD ENDED
FEBRUARY 28, 1995 AUGUST 31, 1994*
------------------------- -------------------------
SHARES AMOUNT SHARES AMOUNT
----------- ------------ ----------- ------------
<S> <C> <C> <C> <C>
EMERGING MARKETS EQUITY INVESTMENTS:
Sold..................................................... 3,675,180 $ 32,255,099 3,950,355 $ 32,960,776
Issued as reinvestment of dividends...................... 148,020 1,160,479 -- --
Redeemed................................................. (1,118,826) (9,572,660) (120,410) (1,028,997)
----------- ------------ ----------- ------------
Net increase............................................. 2,704,374 $ 23,842,918 3,829,945 $ 31,931,779
----------- ------------ ----------- ------------
----------- ------------ ----------- ------------
<FN>
- ------------------------
* 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
The International Equity Investments, International Fixed Income Investments
and Emerging Markets Equity Investments invest in foreign securities. Investing
in securities of foreign companies and foreign 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>
PORTFOLIO EXPIRING IN 2001 EXPIRING IN 2002
---------------------------------------------------------------------- ---------------- ----------------
<S> <C> <C>
Government Money Investments.......................................... $ 197 $202
Large Capitalization Growth Investments............................... 25,678 --
</TABLE>
8. SUBSEQUENT EVENTS
Effective March 10, 1995, the Manager entered into investment advisory
agreements with Wells Fargo Nikko Investment Advisors, Mellon Capital Management
Corporation and State Street Global Advisors. Small Capitalization Value Equity
Investments is now advised by NFJ Investment Group and Wells Fargo Nikko
Investment Advisors. Small Capitalization Growth Investments is now advised by
Pilgrim Baxter & Associates, Ltd. and Mellon Capital Management Corporation.
International Equity Investments is now advised by Oechsle International
Advisors, L.P. and State Street Global Advisors.
105
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)(CONTINUED)
On May 19, 1995, there will be a special shareholder meeting for shareholders
of Small Capitalization Growth Investments. The purpose of the meeting is to
consider and vote upon a proposal to approve a new investment advisory agreement
between the Trust, on behalf of Small Capitalization Growth Investments, and
Pilgrim Baxter & Associates, Inc. ("Pilgrim Baxter"). The special shareholder
vote became necessary due to Pilgrim Baxter's change in ownership. It has been
announced that United Asset Management Corporation expects to complete the
acquisition of Pilgrim Baxter during the second quarter of 1995.
106
<PAGE>
THIS REPORT IS SUBMITTED FOR THE GENERAL INFORMATION OF THE SHAREHOLDERS
OF CONSULTING GROUP CAPITAL MARKETS FUNDS. IT IS NOT AUTHORIZED FOR
DISTRIBUTION TO PROSPECTIVE INVESTORS UNLESS ACCOMPANIED OR PRECEDED BY AN
EFFECTIVE PROSPECTUS FOR THE TRUST WHICH CONTAINS INFORMATION CONCERNING
THE TRUST'S INVESTMENT POLICIES, CHARGES AND EXPENSES AS WELL AS OTHER
PERTINENT INFORMATION.
TK2120 D5 CONSULTING GROUP CAPITAL MARKETS FUNDS - 222 DELAWARE AVENUE -
WILMINGTON, DELAWARE - 19801 D4
