<PAGE>
T RAK -REGISTERED TRADEMARK-
--------------
PERSONALIZED INVESTMENT ADVISORY SERVICE
CONSULTING GROUP
CAPITAL
MARKETS FUNDS
Annual Report
August 31, 1995
[LOGO]
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TABLE OF CONTENTS
<TABLE>
<S>
<C>
Shareholder
Letter...................................................................
1
Statements of Assets and
Liabilities................................................. 4
Statements of
Operations.............................................................
8
Statements of Changes in Net
Assets.................................................. 10
Financial
Highlights.................................................................
14
Portfolios of Investments:
Government Money
Investments..................................................... 23
Intermediate Fixed Income
Investments............................................ 26
Long-Term Bond
Investments....................................................... 32
Municipal Bond
Investments....................................................... 35
Mortgage Backed
Investments...................................................... 39
Balanced
Investments.............................................................
41
Large Capitalization Value Equity
Investments.................................... 45
Large Capitalization Growth
Investments.......................................... 56
Small Capitalization Value Equity
Investments.................................... 64
Small Capitalization Growth
Investments.......................................... 91
International Equity
Investments................................................. 112
International Fixed Income
Investments........................................... 118
Emerging Markets Equity
Investments.............................................. 121
Notes to Financial
Statements........................................................ 129
Independent Auditors'
Report......................................................... 138
Tax
Information...................................................................
... 139
Additional
Information...............................................................
140
Portfolio
Highlights.................................................................
142
</TABLE>
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
Dear Shareholder:
During the 12 months ended August 31, 1995 the capital markets turned
in
exceptional performance. The S&P 500 Index, which represents a broad measure
of
the U.S. stock market's performance, returned 21.42%, with dividends
reinvested.
The Lehman Brothers Government/Corporate Index, which tracks the performance
of
the U.S. bond market, returned 11.49% over the same period.
The fuel for the rise in stock and bond prices was improving U.S.
business
conditions. The stock market's performance was predominantly caused by
company
profits exceeding the expectations of securities analysts. The bond
market's
performance was attributed to declining interest rates and moderate
inflation.
After raising interest rates throughout 1994, the Federal Reserve lowered
rates
in July 1995 for the first time since 1992. Meanwhile, the Consumer Price
Index,
which is a widely accepted barometer of inflation, rose only 2.35% during the
12
months ended August 31, 1995.
The better-than-average performance of the U.S. stock and bond markets,
however,
was not matched overseas. The Morgan Stanley Capital International
Europe,
Australia, Far East Index, which measures the performance of stocks in
20
foreign countries, returned only 0.51% in the 12 months ended August 31,
1995.
In the two years prior to the close of TRAK's fiscal year, international
stocks
outperformed the U.S. stock market. International stock performance would
have
been worse had the value of the U.S. dollar not declined. The performance
of
overseas investments improves when the exchange rate on the dollar falls.
All of the Consulting Group Capital Markets Funds, with the exception of the
two
international stock funds, earned positive returns during the past fiscal
year.
On a before-fees basis, seven of the funds earned double-digit returns.
Although
we are pleased with the performance of the funds, the key element of the
TRAK
Personalized Investment Service is how the funds perform as a group in
their
shareholders' TRAK portfolios. Each of the mutual funds invest in
different
types of stock or bond investments. Based on your particular risk tolerance
and
investment return goals, the Consulting Group recommends how you
should
distribute your total TRAK investment among the separate mutual funds.
The
purpose of this allocation is to provide you with investment diversification
and
reduce risk. Consulting Group analysts develop the allocation based on
their
outlook for the U.S. and global economies, corporate profits and the
performance
of the international capital markets. When conditions warrant or
investment
opportunities emerge, the Consulting Group will revise its
recommended
allocations for all TRAK investors. The last allocation change occurred
in
September 1994.
Throughout the past fiscal year, we made several significant changes
to
Consulting Group Capital Markets Funds management. In recent months
Mellon
Capital Management Corp. became a co-manager of the Small Capitalization
Growth
Investments Portfolio, Wells Fargo Nikko Investment Advisors became a co-
manager
of the Small Capitalization Value Equity Investments Portfolio and State
Street
Advisors became co-manager of the International Equity Investments
Portfolio.
Since early 1994 we have added co-managers to all of our Consulting
Group
Capital Markets Funds investing in U.S. stocks. Our goal was to increase
the
funds' investment diversification, lower overall fund expenses, and
better
target the risk of each fund in relation to its appropriate stock
index
benchmark.
Another major development occurred in September when an exemptive order from
the
Securities and Exchange Commission was issued that allows the Consulting
Group
Capital Markets Funds to make changes involving investment advisers
without
requiring shareholder approval. Previously, as you know from the three
proxy
solicitations during the past 12 months, shareholder votes were needed
for
changes to an agreement with an investment adviser. With the new
order,
shareholders will receive information about any investment adviser changes
with
their quarterly reports and Consulting Group recommendations can be
implemented
directly, without the delay and expense associated with proxy solicitations.
On September 21, 1995 the Board of Trustees elected the Consulting Group's
new
Vice President, Tom Matthews, as executive vice president and investment
officer
of TRAK. Tom is a seasoned investment
<PAGE>
professional with more than 21 years of experience in this business. We
are
certain that Tom's keen intelligence and strong dedication to quality will
be
strong assets for the TRAK program in the months and years ahead. Under
Tom's
leadership, TRAK shareholders will continue to receive the service that
they
have come to expect.
We wish to thank you for the confidence you've shown in the Consulting Group
and
your Financial Consultant. In 1995 the number of clients investing through
TRAK
Personalized Investment Advisory Service totaled 67,000 and total
shareholder
assets exceeded $4 billion.
As always, if you should have any questions or comments about your
TRAK
investments, your Financial Consultant remains ready to assist you.
Sincerely,
Heath B. McLendon H. John Ellis Donald G. Robinson
Chairman of the Board of President of Vice President and
Trustees of the Consulting the Consulting Group Investment Officer
Group Capital Markets Funds Capital Markets of the Consulting
Funds Group Capital
Markets Funds
October 25, 1995
2
<PAGE>
(THIS PAGE INTENTIONALLY LEFT BLANK)
3
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENTS OF ASSETS AND
LIABILITIES
AUGUST 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-
TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND
BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS* INVESTMENTS INVESTMENTS
------------- ------------- --------
- ----- ------------ -------------
<S> <C> <C> <C>
<C> <C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $ 241,039,659 $268,265,560
$133,388,927 $44,691,125 $ 101,841,490
Repurchase agreements............ -- -- --
- -- 2,839,000
------------- ------------- --------
- ----- ------------ -------------
Total investments................ 241,039,659 268,265,560
133,388,927 44,691,125 104,680,490
Cash and/or foreign currency....... 63,750 183
132,566 98,345 258
Daily variation margin on open
futures contracts (Note 1)....... -- -- --
- -- --
Forward foreign exchange contracts
to buy, at value (Contract cost
of $622,988 for International
Equity Investments and
$17,100,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- -- --
- -- --
Receivable for forward foreign
exchange contracts to sell....... -- -- --
- -- --
Due from Agents (Note 2)........... 20,271 --
10,440 7,839 23,058
Dividends and/or interest
receivable....................... 421,366 2,574,524
1,601,537 700,800 742,526
Unamortized organization costs
(Note 5)......................... 18,504 19,109
19,109 15,683 19,109
Receivable for Portfolio shares
sold............................. 1,474,139 770,147
583,251 211,669 354,431
Receivable for investment
securities sold.................. -- --
2,488,348 -- 7,078,750
------------- ------------- --------
- ----- ------------ -------------
Total Assets................... 243,037,689 271,629,523
138,224,178 45,725,461 112,898,622
------------- ------------- --------
- ----- ------------ -------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 649,895 209,689
381,713 289,744 191,498
Payable for investment securities
purchased........................ -- 24,884,606
132,000 -- 7,775,938
Forward foreign exchange contracts
to sell, at value (Contract cost
of $96,976,172 for International
Equity Investments and
$34,800,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- -- --
- -- --
Payable for forward foreign
exchange contracts to buy........ -- -- --
- -- --
Due to custodian................... -- -- --
- -- --
Transfer agent fees payable (Note
2)............................... 52,373 12,717
20,182 2,368 14,999
Custodian fees payable (Note 2).... 20,440 8,065
14,122 8,239 29,292
Management fee payable (Note 2).... 11,309 81,425
26,706 6,546 25,864
Accrued legal and audit fees....... 22,022 22,022
22,022 22,022 22,022
Accrued registration and filing
fees............................. 15,902 1,688
9,961 100 100
Accrued shareholder reports
expense.......................... 31,980 31,980
31,980 31,980 31,980
Payable for dividends declared..... 624,216 -- --
- -- --
Administration fee payable (Note
2)............................... 15,077 40,712
13,353 3,273 10,343
Accrued Trustees' fees and expenses
(Note 2)......................... 1,767 1,767
1,767 1,767 1,767
Accrued expenses and other
payables......................... 2,649 12,160
24,962 3,700 5,450
------------- ------------- --------
- ----- ------------ -------------
Total Liabilities.............. 1,447,630 25,306,831
678,768 369,739 8,109,253
------------- ------------- --------
- ----- ------------ -------------
NET ASSETS......................... $ 241,590,059 $246,322,692
$137,545,410 $45,355,722 $ 104,789,369
------------- ------------- --------
- ----- ------------ -------------
------------- ------------- --------
- ----- ------------ -------------
Investments at cost................ $ 241,039,659 $266,873,012
$129,047,467 $45,637,384 $ 105,695,506
Cash and/or foreign currency at
cost............................. 63,750 183
132,566 98,345 258
</TABLE>
- ------------------------
* Formerly known as Total Return Fixed Income Investments.
See Notes to Financial Statements.
4
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ -------------- ---
- ----------- --------------
<S> <C> <C> <C>
<C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $29,886,989 $1,076,366,619 $
782,044,722 $ 332,524,903
Repurchase agreements............ -- --
2,169,000 5,565,000
------------ -------------- ---
- ----------- --------------
Total investments................ 29,886,989 1,076,366,619
784,213,722 338,089,903
Cash and/or foreign currency....... 89,669 577
52 233,094
Daily variation margin on open
futures contracts (Note 1)....... -- --
93,574 --
Forward foreign exchange contracts
to buy, at value (Contract cost
of $622,988 for International
Equity Investments and
$17,100,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- --
- -- --
Receivable for forward foreign
exchange contracts to sell....... -- --
- -- --
Due from Agents (Note 2)........... 13,821 --
- -- --
Dividends and/or interest
receivable....................... 163,732 4,408,775
794,088 651,032
Unamortized organization costs
(Note 5)......................... 46,431 19,109
19,109 19,109
Receivable for Portfolio shares
sold............................. 12,832 4,529,942
3,331,811 1,896,806
Receivable for investment
securities sold.................. 671,220 1,779,006
17,688,714 2,405,210
------------ -------------- ---
- ----------- --------------
Total Assets................... 30,884,694 1,087,104,028
806,141,070 343,295,154
------------ -------------- ---
- ----------- --------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 2,126 507,987
418,630 157,304
Payable for investment securities
purchased........................ 524,435 15,384,072
22,615,215 2,230,274
Forward foreign exchange contracts
to sell, at value (Contract cost
of $96,976,172 for International
Equity Investments and
$34,800,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- --
- -- --
Payable for forward foreign
exchange contracts to buy........ -- --
- -- --
Due to custodian................... -- --
- -- --
Transfer agent fees payable (Note
2)............................... 302 52,171
50,733 51,402
Custodian fees payable (Note 2).... 15,019 16,425
14,548 46,791
Management fee payable (Note 2).... 3,655 786,874
325,766 387,934
Accrued legal and audit fees....... 22,022 22,022
22,022 22,022
Accrued registration and filing
fees............................. 4,445 33,650
64,816 100
Accrued shareholder reports
expense.......................... 31,980 31,980
31,980 31,980
Payable for dividends declared..... -- --
- -- --
Administration fee payable (Note
2)............................... 309 177,481
130,375 56,571
Accrued Trustees' fees and expenses
(Note 2)......................... 1,767 1,767
1,767 1,767
Accrued expenses and other
payables......................... 10,228 52,234
70,954 2,750
------------ -------------- ---
- ----------- --------------
Total Liabilities.............. 616,288 17,066,663
23,746,806 2,988,895
------------ -------------- ---
- ----------- --------------
NET ASSETS......................... $30,268,406 $1,070,037,365 $
782,394,264 $ 340,306,259
------------ -------------- ---
- ----------- --------------
------------ -------------- ---
- ----------- --------------
Investments at cost................ $28,253,919 $ 951,196,877 $
650,961,340 $ 307,776,135
Cash and/or foreign currency at
cost............................. 89,669 577
52 233,094
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- ------------- ----
- --------- -------------
<S> <C> <C> <C>
<C>
ASSETS
Investments, at value (Note 1)
See accompanying schedules:
Securities....................... $ 315,241,696 $ 646,802,300 $
95,938,456 $ 54,973,262
Repurchase agreements............ -- --
- -- 3,595,000
-------------- ------------- ----
- --------- -------------
Total investments................ 315,241,696 646,802,300
95,938,456 58,568,262
Cash and/or foreign currency....... 7,702 --
6,034,510 756,904
Daily variation margin on open
futures contracts (Note 1)....... -- --
- -- --
Forward foreign exchange contracts
to buy, at value (Contract cost
of $622,988 for International
Equity Investments and
$17,100,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- 621,779
16,871,679 --
Receivable for forward foreign
exchange contracts to sell....... -- 96,976,172
34,800,000 --
Due from Agents (Note 2)........... -- --
44,153 25,331
Dividends and/or interest
receivable....................... 67,392 2,171,008
2,893,259 84,536
Unamortized organization costs
(Note 5)......................... 16,353 35,488
19,109 23,893
Receivable for Portfolio shares
sold............................. 1,713,572 3,180,750
321,627 343,606
Receivable for investment
securities sold.................. 2,325,274 10,182,394
- -- 321,345
-------------- ------------- ----
- --------- -------------
Total Assets................... 319,371,989 759,969,891
156,922,793 60,123,877
-------------- ------------- ----
- --------- -------------
LIABILITIES
Payable for Portfolio shares
redeemed......................... 159,282 435,693
203,621 34,313
Payable for investment securities
purchased........................ 3,790,945 1,371,395
- -- 572,707
Forward foreign exchange contracts
to sell, at value (Contract cost
of $96,976,172 for International
Equity Investments and
$34,800,000 for International
Fixed Income Investments,
respectively) (Note 1)........... -- 90,220,190
33,557,826 --
Payable for forward foreign
exchange contracts to buy........ -- 622,988
17,100,000 --
Due to custodian................... -- 2,790,995
- -- --
Transfer agent fees payable (Note
2)............................... 43,451 128,160
16,059 10,288
Custodian fees payable (Note 2).... 46,491 717,540
40,150 46,992
Management fee payable (Note 2).... 139,274 381,526
49,678 41,318
Accrued legal and audit fees....... 22,022 22,022
22,022 22,022
Accrued registration and filing
fees............................. 18,970 --
100 11,530
Accrued shareholder reports
expense.......................... 31,980 31,980
31,980 31,980
Payable for dividends declared..... -- --
- -- --
Administration fee payable (Note
2)............................... 52,198 109,008
12,557 9,182
Accrued Trustees' fees and expenses
(Note 2)......................... 1,767 1,767
1,767 1,767
Accrued expenses and other
payables......................... 32,196 6,252
2,950 8,690
-------------- ------------- ----
- --------- -------------
Total Liabilities.............. 4,338,576 96,839,516
51,038,710 790,789
-------------- ------------- ----
- --------- -------------
NET ASSETS......................... $ 315,033,413 $ 663,130,375
$105,884,083 $ 59,333,088
-------------- ------------- ----
- --------- -------------
-------------- ------------- ----
- --------- -------------
Investments at cost................ $ 261,064,499 $ 582,609,547 $
94,815,682 $ 59,715,930
Cash and/or foreign currency at
cost............................. 7,702 (2,790,995)
6,009,383 758,457
</TABLE>
See Notes to Financial Statements.
5
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-
TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME
BOND BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS* INVESTMENTS INVESTMENTS
------------- ------------- -------
- ------ ------------ ------------
<S> <C> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ 303 $ 551,398 $
222,615 $ -- $ --
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ (56,543) (7,313,762)
(3,111,322) (1,492,836) (1,085,669)
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... -- 1,392,548
4,341,460 (946,259) (1,015,016)
Par value.......................... 241,646 30,399
16,715 5,481 13,240
Paid-in capital in excess of par
value............................ 241,404,653 251,662,109
136,075,942 47,789,336 106,876,814
------------- ------------- -------
- ------ ------------ ------------
Total Net Assets................... $ 241,590,059 $246,322,692
$137,545,410 $45,355,722 $104,789,369
------------- ------------- -------
- ------ ------------ ------------
------------- ------------- -------
- ------ ------------ ------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $1.00 $8.10
$8.23 $8.27 $7.91
----- -----
- ----- ----- -----
----- -----
- ----- ----- -----
Number of shares outstanding....... 241,646,299 30,399,179
16,714,559 5,481,358 13,240,341
</TABLE>
- ------------------------
* Formerly known as Total Return Fixed Income Investments.
See Notes to Financial Statements.
6
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ ---------------
- -------------- --------------
<S> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ 93,066 $ 22,607,890
$ 3,147,242 $ 2,927,034
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ 534,436 7,433,409
21,773,708 (5,477,841)
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... 1,633,070 125,169,742
133,614,132 30,313,768
Par value.......................... 3,230 102,690
64,475 34,008
Paid-in capital in excess of par
value............................ 28,004,604 914,723,634
623,794,707 312,509,290
------------ ---------------
- -------------- --------------
Total Net Assets................... $30,268,406 $ 1,070,037,365
$782,394,264 $340,306,259
------------ ---------------
- -------------- --------------
------------ ---------------
- -------------- --------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $9.37 $10.42
$12.13 $10.01
----- -------
- ------- -------
----- -------
- ------- -------
Number of shares outstanding....... 3,230,004 102,690,248
64,474,930 34,008,451
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- ------------- --
- ----------- --------------
<S> <C> <C>
<C> <C>
NET ASSETS consist of:
Undistributed net investment
income/ (distributions in excess
of net investment income)........ $ -- $ (547,822) $
4,742,882 $ (179,607)
Accumulated net realized
gain/(loss) on securities,
futures contracts, forward
foreign exchange contracts and
currency transactions............ 50,309,086 17,657,600
(1,531,548) (3,065,528)
Net unrealized appreciation/
(depreciation) of securities,
futures contracts, forward
foreign exchange contracts,
currency transactions and net
other assets..................... 54,177,197 70,458,331
2,048,866 (1,155,994)
Par value.......................... 18,329 63,168
11,758 7,560
Paid-in capital in excess of par
value............................ 210,528,801 575,499,098
100,612,125 63,726,657
-------------- ------------- --
- ----------- --------------
Total Net Assets................... $315,033,413 $ 663,130,375
$105,884,083 $ 59,333,088
-------------- ------------- --
- ----------- --------------
-------------- ------------- --
- ----------- --------------
NET ASSET VALUE, offering and
redemption price per share of
beneficial interest.............. $17.19 $10.50
$9.01 $7.85
------- -------------
- ----- -----
------- -------------
- ----- -----
Number of shares outstanding....... 18,329,222 63,168,278
11,757,748 7,559,614
</TABLE>
See Notes to Financial Statements.
7
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31,
1995
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-
TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME BOND
BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------ ------------ --------
- ---- ------------ ------------
<S> <C> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $7,704, $34,220, $8,444,
$3,656,122 and $76,790 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
$6,060, $233,850 and $179 for
Intermediate Fixed Income
Investments, International Fixed
Income Investments and Emerging
Markets Equity Investments,
respectively).................... 12,725,384 15,860,225
8,669,489 2,741,005 8,053,255
------------ ------------ --------
- ---- ------------ ------------
Total investment income.......... 12,725,384 15,860,225
8,669,489 2,741,005 8,053,255
------------ ------------ --------
- ---- ------------ ------------
EXPENSES:
Management fee (Note 2)............ 332,386 881,208
525,476 189,270 526,392
Administration fee (Note 2)........ 443,181 440,604
262,738 94,635 210,557
Transfer agent fees (Note 2)....... 607,590 169,003
175,554 30,096 182,248
Custodian fees (Note 2)............ 55,643 69,215
49,231 20,775 60,000
Trustees' fees and expenses (Note
2)............................... 9,142 9,142
9,142 9,142 9,142
Legal and audit fees............... 36,700 36,700
36,700 36,700 36,700
Amortization of organization costs
(Note 5)......................... 16,378 16,378
16,378 16,378 16,378
Shareholder reports expense........ 56,199 56,199
56,199 56,199 56,199
Registration and filing fees....... 59,505 27,999
37,099 22,672 18,497
Other.............................. 15,623 58,861
59,379 17,760 32,481
Fees waived (Note 2)............... (302,812) --
(177,584) (114,970) (306,275)
------------ ------------ --------
- ---- ------------ ------------
Total expenses................... 1,329,535 1,765,309
1,050,312 378,657 842,319
------------ ------------ --------
- ---- ------------ ------------
NET INVESTMENT INCOME/(LOSS)....... 11,395,849 14,094,916
7,619,177 2,362,348 7,210,936
------------ ------------ --------
- ---- ------------ ------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... (12,842) (3,398,646)
(1,937,986) (1,310,665) (1,209,658)
Net realized gain on futures....... -- -- --
- -- --
Net realized loss on forward
foreign exchange contracts and
currency transactions............ -- -- --
- -- --
Net unrealized
appreciation/(depreciation) of
securities during the period..... -- 7,656,383
8,674,793 1,972,430 3,533,625
Net unrealized depreciation of
futures during the period........ -- -- --
- -- --
Net unrealized
appreciation/(depreciation) of
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... -- -- --
- -- --
------------ ------------ --------
- ---- ------------ ------------
Net realized and unrealized
gain/(loss) on investments....... (12,842) 4,257,737
6,736,807 661,765 2,323,967
------------ ------------ --------
- ---- ------------ ------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $11,383,007 $18,352,653
$14,355,984 $ 3,024,113 $ 9,534,903
------------ ------------ --------
- ---- ------------ ------------
------------ ------------ --------
- ---- ------------ ------------
</TABLE>
See Notes to Financial Statements.
8
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
----------- -------------- --
- ------------ --------------
<S> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $7,704, $34,220, $8,444,
$3,656,122 and $76,790 for
Balanced Investments, Large
Capitalization Value Equity
Investments, Large Capitalization
Growth Investments, International
Equity Investments and Emerging
Markets Equity Investments,
respectively).................... $ 360,712 $ 31,317,284 $
9,809,512 $ 7,212,168
Interest (net of withholding tax of
$6,060, $233,850 and $179 for
Intermediate Fixed Income
Investments, International Fixed
Income Investments and Emerging
Markets Equity Investments,
respectively).................... 457,765 1,892,572
1,747,211 522,709
----------- -------------- --
- ------------ --------------
Total investment income.......... 818,477 33,209,856
11,556,723 7,734,877
----------- -------------- --
- ------------ --------------
EXPENSES:
Management fee (Note 2)............ 114,764 5,293,946
3,720,760 1,754,756
Administration fee (Note 2)........ 38,254 1,764,649
1,240,253 584,919
Transfer agent fees (Note 2)....... 3,415 601,827
567,556 545,407
Custodian fees (Note 2)............ 16,358 162,392
130,701 162,316
Trustees' fees and expenses (Note
2)............................... 9,142 9,142
9,142 9,142
Legal and audit fees............... 24,200 36,700
36,700 36,700
Amortization of organization costs
(Note 5)......................... 18,927 16,378
16,378 16,378
Shareholder reports expense........ 56,199 151,432
97,921 141,880
Registration and filing fees....... 22,279 57,563
91,671 38,172
Other.............................. 30,487 126,083
146,425 17,467
Fees waived (Note 2)............... (143,109) (890,922)
(594,507) (63,448)
----------- -------------- --
- ------------ --------------
Total expenses................... 190,916 7,329,190
5,463,000 3,243,689
----------- -------------- --
- ------------ --------------
NET INVESTMENT INCOME/(LOSS)....... 627,561 25,880,666
6,093,723 4,491,188
----------- -------------- --
- ------------ --------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... 534,576 14,835,032
18,941,858 (343,816)
Net realized gain on futures....... -- --
3,740,476 --
Net realized loss on forward
foreign exchange contracts and
currency transactions............ -- --
- -- --
Net unrealized
appreciation/(depreciation) of
securities during the period..... 1,278,055 100,030,653
108,309,561 30,913,921
Net unrealized depreciation of
futures during the period........ -- --
(188,625) --
Net unrealized
appreciation/(depreciation) of
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... -- --
- -- --
----------- -------------- --
- ------------ --------------
Net realized and unrealized
gain/(loss) on investments....... 1,812,631 114,865,685
130,803,270 30,570,105
----------- -------------- --
- ------------ --------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $2,440,192 $140,746,351
$136,896,993 $ 35,061,293
----------- -------------- --
- ------------ --------------
----------- -------------- --
- ------------ --------------
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- ------------- --
- ----------- -------------
<S> <C> <C>
<C> <C>
INVESTMENT INCOME:
Dividends (net of withholding tax
of $7,704, $34,220, $8,444,
$3,656,122 and $76,790 for
Balanced Investments, Large
Capitalization Value Equity
Investments, Large Capitalization
Growth Investments, International
Equity Investments and Emerging
Markets Equity Investments,
respectively).................... $ 312,785 $16,315,813 $
- -- $ 893,697
Interest (net of withholding tax of
$6,060, $233,850 and $179 for
Intermediate Fixed Income
Investments, International Fixed
Income Investments and Emerging
Markets Equity Investments,
respectively).................... 1,538,307 1,459,436
7,997,941 50,970
-------------- ------------- --
- ----------- -------------
Total investment income.......... 1,851,092 17,775,249
7,997,941 944,667
-------------- ------------- --
- ----------- -------------
EXPENSES:
Management fee (Note 2)............ 1,405,674 4,163,115
536,934 445,779
Administration fee (Note 2)........ 468,558 1,189,461
214,773 99,062
Transfer agent fees (Note 2)....... 466,218 561,865
195,539 108,379
Custodian fees (Note 2)............ 104,338 764,540
164,071 173,805
Trustees' fees and expenses (Note
2)............................... 9,142 9,142
9,142 9,142
Legal and audit fees............... 36,700 36,700
36,700 22,353
Amortization of organization costs
(Note 5)......................... 16,378 16,378
16,378 6,567
Shareholder reports expense........ 88,510 142,398
56,199 56,199
Registration and filing fees....... 48,162 33,580
20,424 29,866
Other.............................. 81,773 138,584
16,718 21,551
Fees waived (Note 2)............... (62,278) --
(246,444) (104,739)
-------------- ------------- --
- ----------- -------------
Total expenses................... 2,663,175 7,055,763
1,020,434 867,964
-------------- ------------- --
- ----------- -------------
NET INVESTMENT INCOME/(LOSS)....... (812,083) 10,719,486
6,977,507 76,703
-------------- ------------- --
- ----------- -------------
NET REALIZED AND UNREALIZED
GAIN/(LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain/(loss) on
securities....................... 54,492,262 21,831,975
8,177,377 (2,386,531)
Net realized gain on futures....... -- --
- -- --
Net realized loss on forward
foreign exchange contracts and
currency transactions............ -- (8,141,738)
(1,224,843) (212,483)
Net unrealized
appreciation/(depreciation) of
securities during the period..... 26,169,089 (28,961,002)
2,367,018 (5,137,188)
Net unrealized depreciation of
futures during the period........ -- --
- -- --
Net unrealized
appreciation/(depreciation) of
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... -- 5,285,293
880,931 (9,831)
-------------- ------------- --
- ----------- -------------
Net realized and unrealized
gain/(loss) on investments....... 80,661,351 (9,985,472)
10,200,483 (7,746,033)
-------------- ------------- --
- ----------- -------------
NET INCREASE/(DECREASE) IN NET
ASSETS RESULTING FROM
OPERATIONS....................... $ 79,849,268 $ 734,014 $
17,177,990 $ (7,669,330)
-------------- ------------- --
- ----------- -------------
-------------- ------------- --
- ----------- -------------
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENTS OF CHANGES IN NET
ASSETS
FOR THE YEAR ENDED AUGUST 31,
1995
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE
LONG-TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME
BOND BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- ------
- ------- ------------- -------------
<S> <C> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 11,395,849 $ 14,094,916 $
7,619,177 $ 2,362,348 $ 7,210,936
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange
contracts and currency
transactions..................... (12,842) (3,398,646)
(1,937,986) (1,310,665) (1,209,658)
Net unrealized
appreciation/(depreciation) of
securities, futures contracts,
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... -- 7,656,383
8,674,793 1,972,430 3,533,625
------------- ------------- ------
- ------- ------------- -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 11,383,007 18,352,653
14,355,984 3,024,113 9,534,903
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (11,396,511) (13,439,233)
(7,376,803) (2,340,393) (6,763,944)
Distributions in excess of net
investment income.............. -- -- -
- - (12,537) --
Distributions from net realized
capital gains.................. -- -- -
- - -- --
Distributions in excess of net
realized capital gains......... -- -- -
- - -- --
Distributions from capital (Note
1)............................. -- -- -
- - -- (242,721)
Net increase/(decrease) in net
assets from Portfolio share
transactions (Note 4)............ 56,947,801 17,861,697
35,938,113 (11,940,468) (18,165,960)
------------- ------------- ------
- ------- ------------- -------------
Net increase/(decrease) in net
assets........................... 56,934,297 22,775,117
42,917,294 (11,269,285) (15,637,722)
NET ASSETS:
Beginning of year.................. 184,655,762 223,547,575
94,628,116 56,625,007 120,427,091
------------- ------------- ------
- ------- ------------- -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$303; $551,398; $222,615; $0; $0;
$93,066; $22,607,890; $3,147,242;
$2,927,034; $0; $(4,031,619);
$4,742,882 and $(179,607),
respectively).................... $ 241,590,059 $246,322,692 $
137,545,410 $ 45,355,722 $ 104,789,369
------------- ------------- ------
- ------- ------------- -------------
------------- ------------- ------
- ------- ------------- -------------
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ ---------------
- -------------- --------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 627,561 $ 25,880,666
$ 6,093,723 $ 4,491,188
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange
contracts and currency
transactions..................... 534,576 14,835,032
22,682,334 (343,816)
Net unrealized
appreciation/(depreciation) of
securities, futures contracts,
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... 1,278,055 100,030,653
108,120,936 30,913,921
------------ ---------------
- -------------- --------------
Net increase/(decrease) in net
assets resulting from
operations....................... 2,440,192 140,746,351
136,896,993 35,061,293
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (636,646) (21,453,227)
(4,334,639) (3,890,576)
Distributions in excess of net
investment income.............. -- --
- -- --
Distributions from net realized
capital gains.................. (70,178) (14,119,177)
(332,576) (5,170)
Distributions in excess of net
realized capital gains......... -- --
- -- --
Distributions from capital (Note
1)............................. -- --
- -- --
Net increase/(decrease) in net
assets from Portfolio share
transactions (Note 4)............ 13,594,591 132,724,981
192,576,507 (33,246,792)
------------ ---------------
- -------------- --------------
Net increase/(decrease) in net
assets........................... 15,327,959 237,898,928
324,806,285 (2,081,245)
NET ASSETS:
Beginning of year.................. 14,940,447 832,138,437
457,587,979 342,387,504
------------ ---------------
- -------------- --------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$303; $551,398; $222,615; $0; $0;
$93,066; $22,607,890; $3,147,242;
$2,927,034; $0; $(4,031,619);
$4,742,882 and $(179,607),
respectively).................... $30,268,406 $ 1,070,037,365
$782,394,264 $340,306,259
------------ ---------------
- -------------- --------------
------------ ---------------
- -------------- --------------
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
-------------- -------------- -
- ------------ -------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ (812,083) $ 10,719,486 $
6,977,507 $ 76,703
Net realized gain/(loss) on
securities, futures contracts,
forward foreign exchange
contracts and currency
transactions..................... 54,492,262 13,690,237
6,952,534 (2,599,014)
Net unrealized
appreciation/(depreciation) of
securities, futures contracts,
forward foreign exchange
contracts, currency transactions
and net other assets during the
period........................... 26,169,089 (23,675,709)
3,247,949 (5,147,019)
-------------- -------------- -
- ------------ -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 79,849,268 734,014
17,177,990 (7,669,330)
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... -- --
(6,918,169) --
Distributions in excess of net
investment income.............. -- --
- -- --
Distributions from net realized
capital gains.................. (1,133,278) (18,399,952)
- -- (1,164,897)
Distributions in excess of net
realized capital gains......... -- --
- -- --
Distributions from capital (Note
1)............................. -- --
- -- --
Net increase/(decrease) in net
assets from Portfolio share
transactions (Note 4)............ 56,142,414 85,831,325
(21,305,214) 31,802,438
-------------- -------------- -
- ------------ -------------
Net increase/(decrease) in net
assets........................... 134,858,404 68,165,387
(11,045,393) 22,968,211
NET ASSETS:
Beginning of year.................. 180,175,009 594,964,988
116,929,476 36,364,877
-------------- -------------- -
- ------------ -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$303; $551,398; $222,615; $0; $0;
$93,066; $22,607,890; $3,147,242;
$2,927,034; $0; $(4,031,619);
$4,742,882 and $(179,607),
respectively).................... $315,033,413 $ 663,130,375
$105,884,083 $ 59,333,088
-------------- -------------- -
- ------------ -------------
-------------- -------------- -
- ------------ -------------
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
CONSULTING GROUP CAPITAL MARKETS
FUNDS
STATEMENTS OF CHANGES IN NET
ASSETS
FOR THE YEAR ENDED AUGUST 31,
1994
<TABLE>
<CAPTION>
GOVERNMENT INTERMEDIATE LONG-
TERM MUNICIPAL MORTGAGE
MONEY FIXED INCOME
BOND BOND BACKED
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS INVESTMENTS
------------- ------------- ------
- ------ ------------ -------------
<S> <C> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 4,922,703 $ 11,138,569 $
4,641,769 $ 2,721,956 $ 7,149,577
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ (42,497) (3,896,417)
(752,714) 161,443 (1,713,808)
Net unrealized appreciation/
(depreciation) of securities,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. -- (10,018,042)
(7,822,282) (5,689,466) (5,511,497)
------------- ------------- ------
- ------ ------------ -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 4,880,206 (2,775,890)
(3,933,227) (2,806,067) (75,728)
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (4,922,042) (11,658,914)
(4,782,814) (2,743,126) (5,667,609)
Distributions from net realized
capital gains.................. -- (1,117,476)
(75,744) (324,664) (91,163)
Distributions in excess of net
realized capital gains......... -- (242,336)
(446,600) (182,170) --
Distributions from capital (Note
1)............................. -- (209,411)
(34,587) -- (1,390,385)
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 100,663,669 98,971,646
39,167,305 14,870,441 33,230,560
------------- ------------- ------
- ------ ------------ -------------
Net increase in net assets......... 100,621,833 82,967,619
29,894,333 8,814,414 26,005,675
NET ASSETS:
Beginning of year.................. 84,033,929 140,579,956
64,733,783 47,810,593 94,421,416
------------- ------------- ------
- ------ ------------ -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925;
$1,388,158; $2,326,425; $0;
$(3,125,570); $2,877 and
$(84,673)+, respectively)........ $ 184,655,762 $223,547,575
$94,628,116 $56,625,007 $ 120,427,091
------------- ------------- ------
- ------ ------------ -------------
------------- ------------- ------
- ------ ------------ -------------
- ------------------------
*Emerging Markets Equity Investments commenced operations on April 21, 1994.
+Amount represents net investment loss.
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
<TABLE>
<CAPTION>
LARGE
LARGE SMALL
CAPITALIZATION
CAPITALIZATION CAPITALIZATION
BALANCED VALUE EQUITY
GROWTH VALUE EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS
------------ -------------- -
- ------------- --------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ 325,992 $ 18,194,438
$ 1,388,158 $ 2,871,166
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ 87,984 15,919,114
11,525,823 (4,828,113)
Net unrealized appreciation/
(depreciation) of securities,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. 169,151 (13,291,418)
(2,413,243) (4,950,339)
------------ -------------- -
- ------------- --------------
Net increase/(decrease) in net
assets resulting from
operations....................... 583,127 20,822,134
10,500,738 (6,907,286)
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... (223,841) (11,543,060)
- -- (1,542,402)
Distributions from net realized
capital gains.................. -- (30,454)
- -- (11,474,945)
Distributions in excess of net
realized capital gains......... -- --
- -- (300,742)
Distributions from capital (Note
1)............................. -- --
- -- --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 9,323,042 260,382,359
208,831,233 179,561,447
------------ -------------- -
- ------------- --------------
Net increase in net assets......... 9,682,328 269,630,979
219,331,971 159,336,072
NET ASSETS:
Beginning of year.................. 5,258,119 562,507,458
238,256,008 183,051,432
------------ -------------- -
- ------------- --------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925;
$1,388,158; $2,326,425; $0;
$(3,125,570); $2,877 and
$(84,673)+, respectively)........ $14,940,447 $832,138,437
$457,587,979 $342,387,504
------------ -------------- -
- ------------- --------------
------------ -------------- -
- ------------- --------------
<CAPTION>
SMALL
EMERGING
CAPITALIZATION INTERNATIONAL
INTERNATIONAL MARKETS
GROWTH EQUITY
FIXED INCOME EQUITY
INVESTMENTS INVESTMENTS
INVESTMENTS INVESTMENTS*
-------------- ------------- --
- ----------- -------------
<S> <C> <C>
<C> <C>
Net investment income/(loss)....... $ (1,015,479) $ 972,773 $
6,724,712 $ (29,790)
Net realized gain/(loss) on
securities, futures, forward
foreign exchange contracts and
currency transactions............ (713,757) 13,715,345
(3,323,106) 471,863
Net unrealized appreciation/
(depreciation) of securities,
futures, forward foreign exchange
contracts, currency transactions
and net other assets during the
year............................. 14,390,891 55,859,895
(2,452,103) 3,991,025
-------------- ------------- --
- ----------- -------------
Net increase/(decrease) in net
assets resulting from
operations....................... 12,661,655 70,548,013
949,503 4,433,098
Distributions to shareholders (Note
1):
Distributions from net investment
income......................... -- (985,545)
(9,381,369) --
Distributions from net realized
capital gains.................. (343,998) (8,595,781)
(1,076,772) --
Distributions in excess of net
realized capital gains......... (904,595) --
(719,263) --
Distributions from capital (Note
1)............................. (425,517) --
(107,330) --
Net increase in net assets from
Portfolio share transactions
(Note 4)......................... 93,689,020 263,696,219
26,902,908 31,931,779
-------------- ------------- --
- ----------- -------------
Net increase in net assets......... 104,676,565 324,662,906
16,567,677 36,364,877
NET ASSETS:
Beginning of year.................. 75,498,444 270,302,082
100,361,799 --
-------------- ------------- --
- ----------- -------------
End of year (including
undistributed net investment
income/(distributions in excess
of net investment income) of
$965; $0; $0; $(21,955); $0;
$102,151; $13,631,925;
$1,388,158; $2,326,425; $0;
$(3,125,570); $2,877 and
$(84,673)+, respectively)........ $180,175,009 $ 594,964,988
$116,929,476 $ 36,364,877
-------------- ------------- --
- ----------- -------------
-------------- ------------- --
- ----------- -------------
- ------------------------
*Emerging Markets Equity Investments commenced operations on April 21, 1994.
+Amount represents net investment loss.
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
GOVERNMENT MONEY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
--------- ---------
- -------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year............ $ 1.00 $ 1.00
$ 1.00 $ 1.00
--------- ---------
- -------- --------
Net investment income#........................ 0.05 0.03
0.03 0.03
Dividends from net investment income.......... (0.05)
(0.03) (0.03) (0.03)
--------- ---------
- -------- --------
NET ASSET VALUE, end of year.................. $ 1.00 $ 1.00
$ 1.00 $ 1.00
--------- ---------
- -------- --------
--------- ---------
- -------- --------
Total return++................................ 5.24%
3.10% 2.76% 2.72%
--------- ---------
- -------- --------
--------- ---------
- -------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)............ $241,590 $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...................................... 5.14%
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 (see Note 2) for the years ended August 31,
1995,
1994 and 1993, and the period ended August 31, 1992 were 0.74%, 0.84%,
1.39%
and 2.48%, respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1995, 1994 and 1993 and the
period
ended August 31, 1992 were $0.05, $0.03, $0.02, and $0.01, respectively.
</TABLE>
INTERMEDIATE FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
-------- --------
- -------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 7.92 $ 8.58
$ 8.25 $ 8.00
-------- --------
- -------- --------
Income from investment operations:
Net investment income#................... 0.50 0.47
0.51 0.34
Net realized and unrealized gain/(loss)
on investments......................... 0.16 (0.56)
0.33 0.25
-------- --------
- -------- --------
Total from investment operations......... 0.66 (0.09)
0.84 0.59
Less Distributions:
Distributions from net investment
income................................. (0.48) (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 (Note 1)...... -- (0.01)
- -- --
-------- --------
- -------- --------
Total Distributions...................... (0.48) (0.57)
(0.51) (0.34)
-------- --------
- -------- --------
NET ASSET VALUE, end of year............. $ 8.10 $ 7.92
$ 8.58 $ 8.25
-------- --------
- -------- --------
-------- --------
- -------- --------
Total return++........................... 8.70% (1.13)%
10.59% 7.53%
-------- --------
- -------- --------
-------- --------
- -------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $246,323 $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............................. 6.40% 5.77%
5.94% 6.00%**
Portfolio turnover rate.................. 98% 86%
92% 169%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for
the
the year ended August 31, 1993 and the period ended August 31, 1992
were
0.88% and 1.30%, respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before fees waived by the Agents for the year
ended
August 31, 1993 and the period ended August 31, 1992 were $0.50 and
$0.31,
respectively.
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LONG-TERM BOND INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
--------- ---------
- --------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year............ $ 7.86 $ 8.70
$ 8.26 $ 8.00
--------- ---------
- --------- --------
Income from investment operations:
Net investment income#........................ 0.45 0.38
0.47 0.31
Net realized and unrealized gain/(loss) on
investments................................. 0.36
(0.75) 0.42 0.26
--------- ---------
- --------- --------
Total from investment operations.............. 0.81
(0.37) 0.89 0.57
Less Distributions:
Distributions from net investment income...... (0.44)
(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 (Note 1)........... --
(0.00)@ -- --
--------- ---------
- --------- --------
Total Distributions........................... (0.44)
(0.47) (0.45) (0.31)
--------- ---------
- --------- --------
NET ASSET VALUE, end of year.................. $ 8.23 $ 7.86
$ 8.70 $ 8.26
--------- ---------
- --------- --------
--------- ---------
- --------- --------
Total return++................................ 10.71%
(3.93)% 11.08% 7.37%
--------- ---------
- --------- --------
--------- ---------
- --------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)............ $137,545 $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...................................... 5.80%
5.34% 5.40% 5.69%**
Portfolio turnover rate....................... 62%
43% 35% 4 %
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995, 1994, 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 years ended August 31, 1995, 1994, 1993, and the period
ended
August 31, 1992 were $0.44, $0.37, $0.44 and $0.25, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
MUNICIPAL BOND INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
-------- --------
- -------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 8.06 $ 8.85
$ 8.25 $ 8.00
-------- --------
- -------- --------
Income from investment operations:
Net investment income#................... 0.40 0.40
0.41 0.30
Net realized and unrealized gain/(loss)
on investments......................... 0.21 (0.71)
0.62 0.25
-------- --------
- -------- --------
Total from investment operations......... 0.61 (0.31)
1.03 0.55
Less Distributions:
Distributions from net investment
income................................. (0.40) (0.40)
(0.41) (0.30)
Distributions in excess of net investment
income................................. (0.00)@ --
- -- --
Distributions from net realized capital
gains.................................. -- (0.05)
(0.02) --
Distributions in excess of net realized
capital gains.......................... -- (0.03)
- -- --
-------- --------
- -------- --------
Total Distributions...................... (0.40) (0.48)
(0.43) (0.30)
-------- --------
- -------- --------
NET ASSET VALUE, end of year............. $ 8.27 $ 8.06
$ 8.85 $ 8.25
-------- --------
- -------- --------
-------- --------
- -------- --------
Total return++........................... 7.86% (3.78)%
12.94% 7.06%
-------- --------
- -------- --------
-------- --------
- -------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $45,356 $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............................. 4.99% 4.59%
4.76% 4.71%**
Portfolio turnover rate.................. 49% 132%
15% 76%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995, 1994 and
1993
and the period ended August 31, 1992 were 1.04%, 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 years ended August 31, 1995, 1994 and 1993 and the
period
ended August 31, 1992 were $0.38, $0.39, $0.39 and $0.24, 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
MORTGAGE BACKED INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
--------- ---------
- --------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year............ $ 7.69 $ 8.21
$ 8.19 $ 8.00
--------- ---------
- --------- --------
Income from investment operations:
Net investment income#........................ 0.51 0.41
0.53 0.40
Net realized and unrealized gain/(loss) on
investments................................. 0.22
(0.41) 0.00@ 0.19
--------- ---------
- --------- --------
Total from investment operations.............. 0.73 0.00
0.53 0.59
Less Distributions:
Distributions from net investment income...... (0.49)
(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 (Note 1)........... (0.02)
(0.10) (0.05) --
--------- ---------
- --------- --------
Total Distributions........................... (0.51)
(0.52) (0.51) (0.40)
--------- ---------
- --------- --------
NET ASSET VALUE, end of year.................. $ 7.91 $ 7.69
$ 8.21 $ 8.19
--------- ---------
- --------- --------
--------- ---------
- --------- --------
Total return++................................ 9.96%
(0.20)% 6.68% 7.56%
--------- ---------
- --------- --------
--------- ---------
- --------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)............ $104,789 $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...................................... 6.85%
6.38% 6.53% 6.55%**
Portfolio turnover rate....................... 30%
53% 93% 35%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995, 1994 and
1993
and the period ended August 31, 1992 were 1.09%, 1.06%, 1.13% and
1.66%,
respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1995, 1994 and 1993 and the
period
ended August 31, 1992 were $0.49, $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 YEAR.
<TABLE>
<CAPTION>
YEAR
YEAR PERIOD
ENDED
ENDED ENDED
8/31/95
8/31/94 8/31/93*
-------- -
- ------- --------
<S> <C>
<C> <C>
NET ASSET VALUE, beginning of year..................... $ 8.63 $
8.41 $ 8.00
-------- -
- ------- --------
Income from investment operations:
Net investment income#................................. 0.26
0.21 0.09
Net realized and unrealized gain on investments........ 0.81
0.16 0.42
-------- -
- ------- --------
Total from investment operations....................... 1.07
0.37 0.51
Less Distributions:
Distributions from net investment income............... (0.29)
(0.15) (0.10)
Distributions from net realized capital gains.......... (0.04)
- -- --
Distributions from capital (Note 1).................... --
- -- (0.00)@
-------- -
- ------- --------
Total Distributions.................................... (0.33)
(0.15) (0.10)
-------- -
- ------- --------
NET ASSET VALUE, end of year........................... $ 9.37 $
8.63 $ 8.41
-------- -
- ------- --------
-------- -
- ------- --------
Total return++......................................... 12.76%
4.62% 6.35%
-------- -
- ------- --------
-------- -
- ------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $30,268
$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... 3.28%
2.66% 2.67%**
Portfolio turnover rate................................ 47%
43% 10%
<FN>
- ------------------------
* The Portfolio commenced operations on February 16, 1993.
** Annualized.
+ Annualized operating expense ratio before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995 and 1994,
and
the period ended August 31, 1993 were 1.75%, 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 years ended August 31, 1995 and 1994, and the period
ended
August 31, 1993 were $0.20, $0.13 and $(0.06), respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR
YEAR PERIOD
YEAR ENDED ENDED
ENDED ENDED
8/31/95++ 8/31/94
8/31/93++ 8/31/92*
---------- --------
- -------- --------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 9.39 $ 9.35
$ 8.77 $ 8.00
---------- --------
- -------- --------
Income from investment operations:
Net investment income#................... 0.27 0.17
0.25 0.09
Net realized and unrealized gain on
investments............................ 1.16 0.02
0.54 0.68
---------- --------
- -------- --------
Total from investment operations......... 1.43 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 year............. $ 10.42 $ 9.39
$ 9.35 $ 8.77
---------- --------
- -------- --------
---------- --------
- -------- --------
Total return+............................ 16.14% 2.09%
9.25% 9.63%
---------- --------
- -------- --------
---------- --------
- -------- --------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $1,070,037 $832,138
$562,507 $197,695
Ratio of operating expenses to average
net assets+++.......................... 0.83% 0.88%
0.95% 1.24%**
Ratio of net investment income to average
net assets............................. 2.93% 2.57%
2.88% 3.24%**
Portfolio turnover rate.................. 21% 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 net investment income method does
not
accord with results of operations.
+++ Annualized operating expense ratio before fee waivers by the Agents for
the
years ended August 31, 1995 and 1994 were 0.93% and 0.92%, respectively.
@ Amount represents less than $0.01 per Portfolio share.
# Net investment income before fees waived by the Agents for the years
ended
August 31, 1995 and 1994 were $0.26 and $0.17, respectively.
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
LARGE CAPITALIZATION GROWTH INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR
YEAR YEAR PERIOD
ENDED
ENDED ENDED ENDED
8/31/95
8/31/94 8/31/93+++ 8/31/92*
-------- -
- ------- -------- --------
<S> <C>
<C> <C> <C>
NET ASSET VALUE, beginning of year..................... $ 10.00 $
9.76 $ 8.88 $ 8.00
-------- -
- ------- -------- --------
Income from investment operations:
Net investment income#................................. 0.09
0.03 0.00@ 0.01
Net realized and unrealized gain on investments........ 2.13
0.21 0.89 0.87
-------- -
- ------- -------- --------
Total from investment operations....................... 2.22
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 net realized capital gains.......... (0.01)
- -- -- --
Distributions from capital (Note 1).................... --
- -- (0.00)@ --
-------- -
- ------- -------- --------
Total Distributions.................................... (0.09)
- -- (0.01) --
-------- -
- ------- -------- --------
NET ASSET VALUE, end of year........................... $ 12.13 $
10.00 $ 9.76 $ 8.88
-------- -
- ------- -------- --------
-------- -
- ------- -------- --------
Total return++......................................... 22.30%
2.46% 10.00% 11.00%
-------- -
- ------- -------- --------
-------- -
- ------- -------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $782,394
$457,588 $238,256 $85,401
Ratio of operating expenses to average net assets+..... 0.88%
0.98% 1.12% 1.24%**
Ratio of net investment income/(loss) to average net
assets............................................... 0.98%
0.39% (0.04)% 0.31%**
Portfolio turnover rate................................ 38%
104% 47% 19%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratio before fees waived by the Agents for
the
years ended August 31, 1995 and 1994 and the period ended August 31,
1992
were 0.98%, 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 net investment income method does
not
accord with results of operations.
# Net investment income before fees waived by the Agents for the years
ended
August 31, 1995 and 1994 and the period ended August 31, 1992 were
$0.09,
$0.03 and $0.00, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
PERIOD
YEAR ENDED YEAR ENDED
YEAR ENDED ENDED
8/31/95 8/31/94
8/31/93 8/31/92*
----------- -----------
- ----------- ---------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 9.03 $ 9.94
$ 8.68 $ 8.00
----------- -----------
- ----------- ---------
Income from investment operations:
Net investment income#................... 0.15 0.08
0.06 0.03
Net realized and unrealized gain/(loss)
on investments......................... 0.95 (0.40)
1.31 0.65
----------- -----------
- ----------- ---------
Total from investment operations......... 1.10 (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.................................. (0.00)@ (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 year............. $ 10.01 $ 9.03
$ 9.94 $ 8.68
----------- -----------
- ----------- ---------
----------- -----------
- ----------- ---------
Total return++........................... 12.50% (3.30)%
15.74% 8.50%
----------- -----------
- ----------- ---------
----------- -----------
- ----------- ---------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $340,306 $342,388
$183,051 $ 93,458
Ratio of operating expenses to average
net assets+............................ 1.11% 1.06%
1.11% 1.24%**
Ratio of net investment income to average
net assets............................. 1.54% 1.12%
0.82% 0.99%**
Portfolio turnover rate.................. 115% 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
year ended August 31,1995 and the period ended August 31, 1992 were 1.13%
and
1.40%, respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment income per share before fees waived by the Agents for the
year
ended August 31, 1995 and the period ended August 31, 1992 were $0.15
and
$0.02, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
YEAR ENDED PERIOD ENDED
8/31/95+++ 8/31/94+++
8/31/93+++ 8/31/92*
----------- ------------
- ------------ -------------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 12.50 $ 11.21
$ 7.99 $ 8.00
----------- ------------
- ------------ -------------
Income from investment operations:
Net investment loss#..................... (0.05) (0.09)
(0.07) (0.01)
Net realized and unrealized gain on
investments............................ 4.81 1.56
3.29 --
----------- ------------
- ------------ -------------
Total from investment operations......... 4.76 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 (Note 1)...... -- (0.04)
- -- --
----------- ------------
- ------------ -------------
Total Distributions...................... (0.07) (0.18)
0.00 0.00
----------- ------------
- ------------ -------------
NET ASSET VALUE, end of year............. $ 17.19 $ 12.50
$ 11.21 $ 7.99
----------- ------------
- ------------ -------------
----------- ------------
- ------------ -------------
Total return++........................... 38.25% 13.18%
40.30% (0.13)%
----------- ------------
- ------------ -------------
----------- ------------
- ------------ -------------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $315,033 $180,175
$75,498 $22,145
Ratio of operating expenses to average
net assets+............................ 1.14% 1.20%
1.25% 1.24%**
Ratio of net investment loss to average
net assets............................. (0.35)% (0.78)%
(0.72)% (0.25)%**
Portfolio turnover rate.................. 174% 94%
97% 35%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995 and 1993,
and
the period ended August 31, 1992 were 1.16%, 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 net investment income method does
not
accord with results of operations.
# Net investment loss before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1995 and 1993, and the period
ended
August 31, 1992 were $0.05, $0.09 and $0.05, respectively.
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
INTERNATIONAL EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
YEAR YEAR
YEAR PERIOD
ENDED ENDED
ENDED ENDED
8/31/95 8/31/94+++
8/31/93 8/31/92*
-------- --------
- -------- ---------
<S> <C> <C>
<C> <C>
NET ASSET VALUE, beginning of year....... $ 10.86 $ 9.57
$ 7.76 $ 8.00
-------- --------
- -------- ---------
Income from investment operations:
Net investment income#................... 0.05 0.02
0.05 0.03
Net realized and unrealized gain/(loss)
on investments......................... (0.09) 1.54
1.79 (0.27)
-------- --------
- -------- ---------
Total from investment operations......... (0.04) 1.56
1.84 (0.24)
Less Distributions:
Distributions from net investment
income................................. -- (0.03)
(0.03) --
Distributions from net realized capital
gains.................................. (0.32) (0.24)
- -- --
-------- --------
- -------- ---------
Total Distributions...................... (0.32) (0.27)
(0.03) --
-------- --------
- -------- ---------
NET ASSET VALUE, end of year............. $ 10.50 $ 10.86
$ 9.57 $ 7.76
-------- --------
- -------- ---------
-------- --------
- -------- ---------
Total return++........................... (0.18)% 16.74%
23.73% (3.00)%
-------- --------
- -------- ---------
-------- --------
- -------- ---------
Ratios to average net assets/Supplemental
Data:
NET ASSETS, end of year (in 000's)....... $663,130 $594,965
$270,302 $ 115,779
Ratio of operating expenses to average
net assets+............................ 1.19% 1.19%
1.32% 1.50%**
Ratio of net investment income to average
net assets............................. 0.43% 0.23%
0.61% 1.08%**
Portfolio turnover rate.................. 28% 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 net investment income method does not
accord
with results of operations.
# Net investment income before fees waived by the Agents for the period
ended
August 31, 1992 was $0.03.
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
INTERNATIONAL FIXED INCOME INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
EACH YEAR.
<TABLE>
<CAPTION>
PERIOD
YEAR ENDED
YEAR ENDED YEAR ENDED ENDED
8/31/95
8/31/94 8/31/93 8/31/92*
-----------
- ----------- ----------- --------
<S> <C>
<C> <C> <C>
NET ASSET VALUE, beginning of year..................... $ 8.17
$ 8.86 $ 8.71 $ 8.00
-----------
- ----------- ----------- --------
Income from investment operations:
Net investment income#................................. 0.56
0.40 0.51 0.39
Net realized and unrealized gain/(loss) on
investments.......................................... 0.84
(0.32) 0.20 0.69
-----------
- ----------- ----------- --------
Total from investment operations....................... 1.40
0.08 0.71 1.08
Less Distributions:
Distributions from net investment income............... (0.56)
(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 (Note 1).................... --
(0.00)@ -- --
-----------
- ----------- ----------- --------
Total Distributions.................................... (0.56)
(0.77) (0.56) (0.37)
-----------
- ----------- ----------- --------
NET ASSET VALUE, end of year........................... $ 9.01
$ 8.17 $ 8.86 $ 8.71
-----------
- ----------- ----------- --------
-----------
- ----------- ----------- --------
Total return++......................................... 17.66%
1.00% 8.67% 13.93%
-----------
- ----------- ----------- --------
-----------
- ----------- ----------- --------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $ 105,884
$ 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... 6.50%
5.54% 6.03% 6.34%**
Portfolio turnover rate................................ 307%
358% 251% 106%
<FN>
- ------------------------
* The Portfolio commenced operations on November 18, 1991.
** Annualized.
+ Annualized operating expense ratios before fees waived and/or
expenses
reimbursed by the Agents for the years ended August 31, 1995, 1994 and
1993
and the period ended August 31, 1992 were 1.18%, 1.08%, 1.22% and
1.87%,
respectively.
++ Total return represents aggregate total return for the period indicated.
# Net investment income before fees waived and/or expenses reimbursed by
the
Agents for the years ended August 31, 1995, 1994 and 1993 and the
period
ended August 31, 1992 were $0.54, $0.39, $0.49 and $0.33, respectively.
@ Amount represents less than $0.01 per Portfolio share.
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
FINANCIAL HIGHLIGHTS
EMERGING MARKETS EQUITY INVESTMENTS
FOR A PORTFOLIO SHARE OUTSTANDING THROUGHOUT
THE YEAR.
<TABLE>
<CAPTION>
PERIOD
YEAR ENDED
ENDED
8/31/95+++
8/31/94*
-----------
- -----------
<S> <C>
<C>
NET ASSET VALUE, beginning of year..................... $ 9.49
$ 8.00
-----------
- -----------
Income from investment operations:
Net investment income/(loss)#.......................... 0.01
(0.02)
Net realized and unrealized gain/(loss) on
investments.......................................... (1.45)
1.51
-----------
- -----------
Total from investment operations....................... (1.44)
1.49
Less Distributions:
Distributions from net realized capital gains.......... (0.20)
- --
-----------
- -----------
Total Distributions.................................... (0.20)
- --
-----------
- -----------
NET ASSET VALUE, end of year........................... $ 7.85
$ 9.49
-----------
- -----------
-----------
- -----------
Total return++......................................... (15.13)%
18.63%
-----------
- -----------
-----------
- -----------
Ratios to average net assets/Supplemental Data:
NET ASSETS, end of year (in 000's)..................... $ 59,333
$ 36,365
Ratio of operating expenses to average net assets+..... 1.75%
1.72%**
Ratio of net investment income/(loss) to average net
assets............................................... 0.15%
(0.42)%**
Portfolio turnover rate................................ 89%
16%
<FN>
- ------------------------
* The Portfolio commenced operations on April 21, 1994.
** Annualized.
+ Annualized operating expense ratios before fees waived by the Agents for
the
year ended August 31, 1995 and the period ended August 31, 1994 were
1.96%
and 2.56%, 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 use of the undistributed net investment income method does not
accord
with results of operations.
# Net investment loss per share before fees waived by the Agents for the
year
ended August 31, 1995 and the period ended August 31, 1994 were $0.01
and
$0.04, respectively.
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE (NOTE
1)
- ----------- ----------- -------
- -----
<C> <C> <S> <C>
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 83.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) -- 44.5%
$19,300,000 5.630% 09/05/95......................... $
19,284,780
2,680,000 5.630 09/07/95.........................
2,677,014
4,715,000 5.630 09/08/95.........................
4,708,997
3,500,000 5.630 09/15/95.........................
3,491,658
1,500,000 5.630 09/20/95.........................
1,495,183
5,700,000 5.630 09/22/95.........................
5,680,633
5,000,000 5.610 10/02/95.........................
4,974,667
8,235,000 5.610 10/03/95.........................
8,192,783
1,000,000 5.610 10/05/95.........................
994,565
920,000 5.610 10/06/95.........................
914,839
1,250,000 5.610 10/12/95.........................
1,241,892
305,000 5.600 10/16/95.........................
302,837
10,700,000 5.600 10/20/95.........................
10,617,075
250,000 5.600 10/23/95.........................
247,943
1,750,000 5.590 10/31/95.........................
1,733,424
2,560,000 5.590 11/01/95.........................
2,535,354
290,000 5.580 11/20/95.........................
286,333
3,000,000 5.550 12/29/95.........................
2,940,200
400,000 5.530 04/01/96.........................
386,233
23,800,000 5.630 09/01/95.........................
23,796,243
500,000 7.240 02/05/96.........................
500,000
565,000 6.790 02/20/96.........................
565,174
9,750,000 6.840 02/28/96.........................
9,761,145
-------
- -----
107,328,972
-------
- -----
FEDERAL HOME LOAN BANK (FHLB) -- 20.2%
410,000 5.630 09/05/95.........................
409,661
9,940,000 5.630 09/14/95.........................
9,917,613
180,000 5.630 09/15/95.........................
179,568
150,000 5.630 09/22/95.........................
149,448
225,000 5.630 09/29/95.........................
223,920
1,100,000 5.610 10/06/95.........................
1,093,862
3,800,000 5.590 11/08/95.........................
3,758,776
4,900,000 5.590 11/09/95.........................
4,846,549
125,000 5.580 11/22/95.........................
123,386
3,500,000 5.550 12/22/95.........................
3,434,743
1,000,000 5.550 01/19/96.........................
976,422
900,000 5.550 01/22/96.........................
879,984
7,400,000 5.550 01/24/96.........................
7,233,138
2,210,000 5.530 03/25/96.........................
2,236,247
2,000,000 5.630 09/26/95.........................
2,000,000
11,400,000 5.540 02/28/96.........................
11,411,508
-------
- -----
48,874,825
-------
- -----
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE (NOTE
1)
- ----------- ----------- -------
- -----
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
<C> <C> <S> <C>
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) -- 16.5%
$ 1,860,000 5.630% 09/06/95......................... $
1,858,214
7,640,000 5.630 09/07/95.........................
7,631,413
3,600,000 5.630 09/15/95.........................
3,590,985
2,450,000 5.630 09/21/95.........................
2,441,429
6,900,000 5.630 09/25/95.........................
6,871,104
485,000 5.630 09/26/95.........................
482,919
9,200,000 5.610 10/11/95.........................
9,140,277
1,640,000 5.610 10/13/95.........................
1,629,069
2,700,000 5.590 11/02/95.........................
2,673,588
2,000,000 5.590 11/03/95.........................
1,980,124
215,000 5.580 11/27/95.........................
212,057
300,000 5.560 12/08/95.........................
295,496
160,000 5.550 01/19/96.........................
156,227
1,000,000 5.530 03/27/96.........................
999,556
-------
- -----
39,962,458
-------
- -----
FEDERAL FARM CREDIT BANK (FFCB) -- 1.8%
1,200,000 5.630 09/08/95.........................
1,198,400
220,000 5.630 09/20/95.........................
219,267
500,000 5.630 09/27/95.........................
497,731
1,360,000 5.610 10/06/95.........................
1,351,785
770,000 5.580 11/20/95.........................
760,881
250,000 5.550 01/16/96.........................
243,663
-------
- -----
4,271,727
-------
- -----
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(Cost $200,437,982)........................
200,437,982
-------
- -----
U.S. TREASURY OBLIGATIONS -- 16.8%
U.S. TREASURY NOTES -- 11.3%
3,000,000 5.125+ 11/15/95.........................
2,994,626
3,700,000 7.875+ 02/15/96.........................
3,731,941
3,125,000 4.250+ 05/15/96.........................
3,094,058
2,925,000 6.125+ 07/31/96.........................
2,934,498
12,475,000 4.375+ 08/15/96.........................
12,322,136
2,300,000 6.500+ 09/30/96.........................
2,318,640
-------
- -----
27,395,899
-------
- -----
U.S. TREASURY BILLS -- 5.5%
300,000 5.260 10/05/95.........................
298,410
6,100,000 5.340 11/16/95.........................
6,025,885
3,350,000 5.360 04/04/96.........................
3,229,852
650,000 5.340 05/02/96.........................
625,626
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
DISCOUNTED
FACE YIELD MATURITY
VALUE
VALUE (UNAUDITED) DATE (NOTE
1)
- ----------- ----------- -------
- -----
U.S. TREASURY OBLIGATIONS (CONTINUED)
<C> <C> <S> <C>
U.S. TREASURY BILLS (CONTINUED)
$ 380,000 5.340 05/30/96......................... $
365,382
2,800,000 5.370% 07/25/96.........................
2,660,623
-------
- -----
13,205,778
-------
- -----
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$40,601,677)...............................
40,601,677
-------
- -----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $241,039,659*)................ 99.8 %
241,039,659
OTHER ASSETS AND LIABILITIES (NET).................... 0.2
550,400
-------- -----
- -------
NET ASSETS............................................ 100.0%
$241,590,059
-------- -----
- -------
-------- -----
- -------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Coupon rate.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Government Money Investments securities held at August 31, 1995 by
investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
U.S. Treasury Obligations 16.8%
U.S. Government Agency Obligations 83.0%
Net Other Assets and Liabilities 0.2%
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 45.7%
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 62 POOLS -- 30.6%
$28,695,225 7.000% due 5/1/24 - 8/1/25...................... $
28,219,745
15,143,842 7.500% due 2/1/23 - 5/1/25......................
15,224,255
9,999,743 8.000% due 4/1/02 - 9/1/24......................
10,231,577
15,400,000 Commitment to purchase, 7.000% due 10/1/00........
15,166,325
1,500,000 Non-interest bearing until 11/22/96, 7.940% due
11/22/01........................................
1,384,785
2,450,000 Principal Only, FNMA Strips, Zero Coupon due
10/10/01........................................
2,289,648
1,165,000 Principal Only, FNMA Strips, Zero Coupon due
11/1/01.........................................
1,080,736
650,000 Principal Only, FNMA Strips, Zero Coupon due
12/20/01........................................
600,438
1,400,000 Principal Only, FNMA Strips, Zero Coupon due
3/9/02..........................................
1,266,720
-------
- -----
75,464,229
-------
- -----
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 48 POOLS -- 10.1%
2,128,891 7.000% due 1/15/23 - 9/15/24....................
2,096,958
10,518,179 7.500% due 1/15/23 - 8/15/25....................
10,597,065
2,053,205 8.000% due 4/15/22 - 8/15/24....................
2,107,738
186,907 9.000% due 11/15/24.............................
197,187
GNMA II:
1,470,276 5.000% due 1/20/24..............................
1,439,032
1,972,270 5.500% due 1/20/24..............................
1,950,082
5,694,944 6.000% due 1/20/24 - 6/20/24....................
5,702,846
699,387 6.500% due 1/20/25..............................
709,437
-------
- -----
24,800,345
-------
- -----
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 4 POOLS -- 3.7%
4,000,000 5.690% due 9/13/95..............................
3,964,104
300,000 5.500% due 8/15/03..............................
294,435
1,252,886 7.500% due 8/1/99 - 6/1/00......................
1,275,977
1,148,590 9.500% due 7/25/22..............................
1,199,200
2,300,000 Commitment to purchase, 7.500% due 10/1/00........
2,337,375
-------
- -----
9,071,091
-------
- -----
COLLATERALIZED MORTGAGE OBLIGATION (CMO) -- 1.3%
2,000,000 Federal Deposit Insurance Company REMIC Trust,
7.850% due 9/25/25**............................
2,046,250
U.S. Department of Veteran Affairs:
717,852 6.500% due 2/15/07**............................
713,308
500,000 7.750% due 9/15/10**............................
506,155
-------
- -----
3,265,713
-------
- -----
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$113,530,203)...................................
112,601,378
-------
- -----
</TABLE>
See Notes to Financial Statements.
26
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
CORPORATE BONDS AND NOTES -- 42.3%
<C> <S> <C>
BANKING -- 13.6%
$ 1,425,000 Capital One Bank, Medium Term Note,
8.625% due 1/15/97.............................. $
1,469,531
1,500,000 Centura Bank, Medium Term Note,
7.950% due 7/25/96..............................
1,522,500
2,000,000 Chase Manhattan Corporation,
Subordinated Notes,
5.250% due 12/5/09..............................
1,935,000
Citicorp, Subordinated Capital Notes:
1,000,000 8.750% due 11/1/96..............................
1,028,750
50,000 9.000% due 4/15/99..............................
53,875
1,500,000 9.750% due 8/1/99...............................
1,661,250
1,425,000 Continental Bank, Subordinated Note,
9.875% due 6/15/96..............................
1,465,969
1,500,000 First Interstate Bancorp, Subordinated Capital
Notes,
8.625% due 4/1/99...............................
1,586,250
2,050,000 First National Bank of Boston, Notes,
8.375% due 12/15/02.............................
2,221,688
2,325,000 First Security Corporation, Notes,
7.000% due 7/15/05..............................
2,290,125
1,500,000 First Union Corporation, Subordinated Note,
8.125% due 12/15/96.............................
1,535,625
General Motors Acceptance Corporation:
Notes:
500,000 8.625% due 7/15/96..............................
510,485
975,000 7.750% due 4/15/97..............................
999,375
Medium Term Notes:
500,000 8.700% due 4/11/96..............................
507,825
100,000 7.375% due 1/15/97..............................
101,625
International Leasing Finance Corporation, Notes:
800,000 7.900% due 10/1/96..............................
814,872
600,000 5.500% due 4/1/97...............................
594,000
1,075,000 5.750% due 3/15/98..............................
1,060,219
1,325,000 Markel Corporation, Notes,
7.250% due 11/1/03..............................
1,290,219
Morgan Stanley Group Inc., Notes:
250,000 7.320% due 1/15/97..............................
253,125
1,100,000 9.250% due 3/1/98...............................
1,170,125
3,000,000 8.100% due 6/24/02..............................
3,191,250
1,000,000 NationsBank Corporation, Notes,
6.625% due 1/15/98..............................
1,008,750
</TABLE>
See Notes to Financial Statements.
27
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
$ 1,500,000 Orion Capital Corporation, Senior Notes,
9.125% due 9/1/02............................... $
1,648,125
1,500,000 Shawmut National Corporation, Subordinated Note,
8.625% due 12/15/99.............................
1,595,625
2,000,000 St. George Bank, Note,
6.875% due 4/1/99+..............................
2,007,040
-------
- -----
33,523,223
-------
- -----
FINANCIAL SERVICES -- 13.0%
1,675,000 Bear Stearns Companies, Inc., Notes,
6.750% due 8/15/00..............................
1,681,281
2,800,000 Equitable Companies, Inc., Sr. Notes,
9.000% due 12/15/04.............................
3,129,000
2,175,000 Finova Capital Corporation, Notes,
6.000% due 6/1/00...............................
2,155,969
2,100,000 First U.S.A. Bank Wilmington, Delaware,
8.200% due 2/15/98..............................
2,176,125
2,100,000 Fleet Financial Group Inc., Senior Note,
7.250% due 10/15/97.............................
2,139,375
5,425,000 Goldman Sachs Group, Notes,
6.375% due 6/15/00+.............................
5,282,594
1,000,000 Hartford National Corporation, Senior Notes,
9.850% due 6/1/99...............................
1,103,750
1,500,000 Integra Financial Corporation, Subordinated Notes,
6.500% due 4/15/00..............................
1,481,250
2,050,000 Merrill Lynch Corporation, Note,
8.980% due 10/25/15.............................
2,199,999
Salomon Inc.:
Medium Term Notes:
1,000,000 8.875% due 4/1/97...............................
1,028,750
525,000 6.360% due 4/1/98...............................
515,156
700,000 6.125% due 5/15/98..............................
681,625
1,550,000 Notes,
5.790% due 11/26/97.............................
1,511,250
2,500,000 United Financial Corporation, Notes,
7.000% due 7/15/98..............................
2,493,750
United States Fidelity and Guarantee Corporation,
Notes:
2,125,000 7.000% due 5/15/98..............................
2,148,906
2,100,000 8.375% due 6/15/01..............................
2,241,750
-------
- -----
31,970,530
-------
- -----
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
REAL ESTATE -- 3.4%
SKW Real Estate, Class C:
$ 4,000,000 7.050% due 4/15/02+............................. $
4,002,400
2,325,000 7.450% due 4/15/03+.............................
2,329,418
2,100,000 Taubman Realty Group Ltd.,
8.000% due 6/15/99..............................
2,157,750
-------
- -----
8,489,568
-------
- -----
HEALTH CARE -- 3.2%
1,675,000 Columbia Healthcare Corporation,
6.125% due 12/15/00.............................
1,639,406
2,150,000 Health & Retirement Properties,
7.056% due 7/13/99..............................
2,106,355
2,325,000 Meditrust Corporation, Notes,
7.375% due 7/15/00..............................
2,330,813
2,000,000 Scherer (R.P.) International Corporation,
6.750% due 2/1/04...............................
1,920,000
-------
- -----
7,996,574
-------
- -----
COMMUNICATIONS -- 2.9%
Time Warner, Inc., Notes:
600,000 9.625% due 5/1/02...............................
672,000
6,445,000 7.750% due 6/15/05..............................
6,436,944
-------
- -----
7,108,944
-------
- -----
OIL -- 1.8%
Occidental Petroleum Corporation, Notes:
700,000 9.500% due 8/15/97..............................
737,625
125,000 5.850% due 11/9/98..............................
122,031
2,100,000 5.900% due 11/9/98..............................
2,063,250
1,600,000 5.950% due 11/9/98..............................
1,566,000
-------
- -----
4,488,906
-------
- -----
POWER & LIGHTING -- 1.7%
2,000,000 FPL Group Capital Inc., Debenture,
6.500% due 7/1/97...............................
2,005,000
System Energy Resources, First Mortgage Bonds:
1,000,000 6.000% due 4/1/98...............................
982,500
1,100,000 7.625% due 4/1/99...............................
1,115,125
-------
- -----
4,102,625
-------
- -----
PAPER -- 0.8%
1,950,000 Georgia-Pacific Corporation, Debentures, Credit
Sensitive Note,
9.850% due 6/15/97..............................
2,052,375
-------
- -----
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
OTHER -- 1.9%
$ 2,100,000 ERP Operation Ltd.,
8.500% due 5/15/99+............................. $
2,181,837
2,455,000 Hertz Corporation, Notes,
6.700% due 6/15/02..............................
2,439,656
-------
- -----
4,621,493
-------
- -----
TOTAL CORPORATE BONDS AND NOTES
(Cost $102,973,696).............................
104,354,238
-------
- -----
U.S. GOVERNMENT AND AGENCY OBLIGATIONS -- 13.8%
U.S. TREASURY NOTES -- 6.6%
400,000 7.500% due 12/31/96.............................
409,016
425,000 7.500% due 1/31/97..............................
435,000
325,000 5.500% due 7/31/97..............................
323,232
1,505,000 6.000% due 11/30/97.............................
1,509,831
100,000 6.000% due 12/31/97.............................
100,334
3,950,000 5.375% due 5/31/98..............................
3,895,688
5,500,000 6.875% due 7/31/99..............................
5,657,630
4,000,000 5.750% due 8/15/03..............................
3,868,680
-------
- -----
16,199,411
-------
- -----
U.S. TREASURY BILLS -- 4.2%
3,800,000 5.370%# due 10/12/95............................
3,752,031
960,000 5.340%# due 1/11/96.............................
896,597
2,125,000 5.350%# due 4/4/96..............................
2,016,384
4,000,000 5.300%# due 6/27/96.............................
3,798,640
-------
- -----
10,463,652
-------
- -----
OTHER U.S. TREASURY OBLIGATIONS -- 1.0%
2,875,000 Treasury Synthetic-Linked Coupon Securities,
5.920%# due 11/15/98++..........................
2,378,919
-------
- -----
U.S. GOVERNMENT AGENCIES -- 2.0%
Government Trust Certificate,
Resolution Trust Corporation:
16,617 8.465% due 3/25/20..............................
17,905
586,148 6.780% due 3/25/22..............................
576,074
311,589 7.500% due 8/25/23..............................
311,736
875,000 7.250% due 10/25/23.............................
839,180
61,598 9.000% due 9/25/28..............................
69,143
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
<C> <S> <C>
U.S. GOVERNMENT AGENCIES (CONTINUED)
$ 3,100,000 7.500% due 10/25/28............................. $
3,107,266
51,049 7.750% due 7/25/30..............................
51,559
42,927 8.625% due 7/25/30..............................
49,849
-------
- -----
5,022,712
-------
- -----
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(Cost $33,978,638)..............................
34,064,694
-------
- -----
FOREIGN GOVERNMENT OBLIGATION -- 0.7% (Cost $746,475)
1,750,000 Republic of Columbia,
7.250% due 2/23/04..............................
1,601,250
-------
- -----
COMMERCIAL PAPER -- 6.4% (Cost $15,644,000)
10,000,000 General Electric Capital Corporation,
5.820% due 9/1/95...............................
10,000,000
5,644,000 Prudential Funding Capital Corporation,
5.820%, due 9/1/95..............................
5,644,000
-------
- -----
15,644,000
-------
- -----
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $266,873,012*)............. 108.9%
268,265,560
OTHER ASSETS AND LIABILITIES (NET)................. (8.9)
(21,942,868)
-------- --------
- ----
NET ASSETS......................................... 100.0%
$246,322,692
-------- --------
- ----
-------- --------
- ----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
** Real estate mortgage investment conduit.
+ Security exempt from registration under Rule 144A of the Securities Act
of
1933. These securities may be resold in transactions exempt from
registration
to qualified institutional buyers.
++ These instruments represent ownership interest in a series of U.S.
Treasury
Bond STRIPS. STRIPS are zero coupon securities isssued 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.
# Represents annualized yield to maturity (unaudited).
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Intermediate Fixed Income Investments securities held at August 31, 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 45.7%
Corporate Bonds and Notes 42.3%
U.S. Government and Agency Obligations,
Foreign Government Obligation, Commercial
Paper and Net Other Assets and Liabilities 12.0%
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE
1)
- ----------- --------
- ----
<C> <S> <C>
MORTGAGE-BACKED AND GOVERNMENT AGENCY SECURITIES -- 40.0%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 27 POOLS -- 13.4%
$ 4,375,164 Gold 6.000% due 8/1/08 - 11/1/08................. $
4,240,293
11,421,981 Gold 6.500% due 4/1/09 - 8/1/10..................
11,286,288
2,459,600 Gold 7.000% due 4/1/07 - 3/1/25..................
2,453,879
372,514 Gold 8.000% due 7/1/02 - 12/1/06.................
381,228
--------
- ----
18,361,688
--------
- ----
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 29 POOLS -- 9.0%
2,016,161 6.500% due 1/15/24 - 3/15/24.....................
1,934,869
10,659,405 7.000% due 12/15/23 - 6/15/24....................
10,499,514
--------
- ----
12,434,383
--------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 24 POOLS -- 8.7%
3,652,297 6.000% due 12/1/08 - 11/1/13.....................
3,480,803
6,213,467 7.000% due 2/1/07 - 7/1/24.......................
6,110,510
1,703,321 7.500% due 10/1/07 - 7/1/09......................
1,735,786
622,493 8.000% due 11/1/06 - 8/1/07......................
640,583
--------
- ----
11,967,682
--------
- ----
FEDERAL HOME LOAN BANK (FHLB) NOTES -- 3.8%
2,000,000 6.000% due 9/27/96...............................
2,000,340
1,800,000 5.209% due 2/10/97...............................
1,768,500
1,500,000 5.740% due 12/23/98..............................
1,476,375
--------
- ----
5,245,215
--------
- ----
STUDENT LOAN MARKETING ASSOCIATION (SLMA) NOTES -- 2.6%
2,550,000 6.000% due 10/4/96...............................
2,550,587
1,000,000 7.875% due 2/3/97................................
1,028,680
--------
- ----
3,579,267
--------
- ----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) NOTES -- 1.5%
2,000,000 4.550% due 4/8/96................................
1,983,280
--------
- ----
FEDERAL FARM CREDIT BANK (FFCB) NOTES -- 1.0%
1,400,000 4.440% due 4/28/98...............................
1,407,658
--------
- ----
TOTAL MORTGAGE-BACKED AND GOVERNMENT AGENCY
SECURITIES (Cost $54,533,438)..................
54,979,173
--------
- ----
U.S. TREASURY OBLIGATIONS -- 34.0%
U.S. TREASURY BONDS -- 18.6%
3,500,000 9.375% due 2/15/06...............................
4,293,730
1,250,000 10.375% due 11/15/12.............................
1,642,288
3,500,000 7.125% due 2/15/23...............................
3,662,855
17,025,000 6.250% due 8/15/23...............................
15,980,346
--------
- ----
25,579,219
--------
- ----
</TABLE>
See Notes to Financial Statements.
32
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE
1)
- ----------- --------
- ----
U.S. TREASURY OBLIGATIONS (CONTINUED)
<C> <S> <C>
U.S. TREASURY NOTES -- 15.4%
$ 1,000,000 7.125% due 10/15/98.............................. $
1,033,790
1,000,000 7.000% due 4/15/99...............................
1,032,020
4,000,000 7.125% due 9/30/99...............................
4,153,080
4,400,000 5.500% due 4/15/00...............................
4,306,764
10,000,000 7.500% due 11/15/01..............................
10,681,000
--------
- ----
21,206,654
--------
- ----
TOTAL U.S. TREASURY OBLIGATIONS (Cost
$43,771,840)...................................
46,785,873
--------
- ----
CORPORATE BONDS AND NOTES -- 22.9%
BANKING & FINANCE -- 19.3%
2,000,000 American General Corporation, Senior Notes,
7.700% due 10/15/99............................
2,082,500
1,500,000 Aon Corporation, Note, 6.300% due 1/15/04........
1,443,750
Associates Corporation N.A.:
3,000,000 6.750% due 7/15/97...............................
3,033,750
1,000,000 7.750% due 11/1/97...............................
1,032,500
1,500,000 7.250% due 9/1/99................................
1,541,250
2,000,000 Bank America Corporation, Subordinated Notes,
7.625% due 6/15/04.............................
2,085,000
3,000,000 Cit Group Holdings, Inc., Medium Term Note,
7.000% due 9/30/97.............................
3,041,250
2,000,000 Commercial Credit Group Inc., Senior Notes,
6.875% due 5/1/02..............................
2,015,000
1,500,000 International Lease Finance Corporation, 5.625%
due 3/1/98.....................................
1,475,625
1,850,000 Lincoln National Corporation, Subordinated Notes,
7.250% due 5/15/05.............................
1,880,063
1,500,000 NBD Bank N.A., Subordinated Notes, 6.250% due
8/15/03........................................
1,443,750
2,000,000 Toronto Dominion Bank, Subordinated Note, 6.500%
due 8/15/08....................................
1,902,500
1,107,035 USAA Auto Loan Grantor, 5.000% due 11/15/99......
1,098,068
2,500,000 Westdeutsche LB Bank, Debenture, 6.750% due
6/15/05........................................
2,500,000
--------
- ----
26,575,006
--------
- ----
UTILITY -- 1.9%
2,000,000 Citizens Utilities Company, 7.600% due 6/1/06....
2,127,500
400,000 Louisville Gas and Electric, 1st Mortgage, 5.625%
due 6/1/96.....................................
400,000
--------
- ----
2,527,500
--------
- ----
RETAIL -- 1.0%
1,500,000 Wal Mart Stores Inc., 5.875% due 10/15/05........
1,415,625
--------
- ----
AUTOMOTIVE -- 0.7%
1,000,000 Ford Motor Credit Company, Notes, 5.625% due
1/15/99........................................
973,750
--------
- ----
TOTAL CORPORATE BONDS AND NOTES (Cost
$30,610,189)...................................
31,491,881
--------
- ----
</TABLE>
See Notes to Financial Statements.
33
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LONG-TERM BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE
1)
- ----------- --------
- ----
COMMERCIAL PAPER -- 0.1% (Cost $132,000)
<C> <S> <C>
$ 132,000 Prudential Funding Capital Corporation, 5.820%
due 9/1/95..................................... $
132,000
--------
- ----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $129,047,467*)............ 97.0%
133,388,927
OTHER ASSETS AND LIABILITIES (NET)................ 3.0
4,156,483
-------- ---------
- ---
NET ASSETS........................................ 100.0%
$137,545,410
-------- ---------
- ---
-------- ---------
- ---
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Long-Term Bond Investments securities held at August 31, 1995 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Commercial Paper and Net Other Assets
and Liabilities 3.1%
Corporate Bonds and Notes 22.9%
Mortgage-Backed and Government
Agency Securities 40.0%
U.S. Treasury Obligations 34.0%
</TABLE>
See Notes to Financial Statements.
34
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- ---------
- --
<C> <S> <C>
MUNICIPAL BONDS AND NOTES -- 95.2%
ALABAMA -- 2.1%
$1,000,000 Birmingham, Alabama, Resource Recovery
Improvement Revenue, Public Improvement
Revenue, Series B,
5.625% due 4/1/18.............................. $
960,000
---------
- --
ARIZONA -- 2.5%
1,200,000 Salt River Project, Arizona, Agriculture
Improvement and Power District, Series B,
5.250% due 1/1/13..............................
1,135,500
---------
- --
COLORADO -- 4.0%
2,000,000 Colorado Springs, Colorado, Utilities Revenue
Bonds, Series A,
5.125% due 11/15/18............................
1,805,000
---------
- --
CONNECTICUT -- 4.4%
1,000,000 Connecticut State, Clean Water Fund, Sewer
Improvement Revenue,
5.750% due 12/1/13.............................
1,006,250
1,000,000 Connecticut State, Special Tax Obligation, Series
A,
5.400% due 9/1/10..............................
988,750
---------
- --
1,995,000
---------
- --
FLORIDA -- 8.7%
1,200,000 Florida State Board of Education, Series E,
5.700% due 6/1/14..............................
1,183,500
2,000,000 Orlando, Florida, Utilities Commission, Water and
Electricity Revenue,
5.000% due 10/1/14.............................
1,802,500
1,000,000 St. Petersburg, Florida, Public Utilities
Revenue, Water and Sewer Revenue,
5.600% due 10/1/15.............................
967,500
---------
- --
3,953,500
---------
- --
ILLINOIS -- 8.7%
1,000,000 Du Page County, Illinois, Jail Revenue Refunding,
5.500% due 1/1/13..............................
965,000
1,950,000 Illinois Regional Transportation Authority,
6.300% due 6/1/12..............................
2,008,500
1,000,000 Illinois State, Public Improvement Revenue,
5.875% due 8/1/13..............................
991,250
---------
- --
3,964,750
---------
- --
INDIANA -- 2.4%
1,200,000 Indiana State Office Commission, Health, Hospital
and Nursing Home Revenue, Series C,
5.250% due 7/1/15..............................
1,098,000
---------
- --
</TABLE>
See Notes to Financial Statements.
35
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- ---------
- --
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
IOWA -- 5.9%
$1,650,000 Cedar Rapids, Iowa, Revenue Bonds, Series A,
5.125%, due 6/1/13............................. $
1,563,375
1,100,000 Des Moines, Iowa, General Obligation Bonds,
Series A,
6.000%, due 6/1/12.............................
1,111,000
---------
- --
2,674,375
---------
- --
MARYLAND -- 3.0%
1,500,000 Harford County, Maryland, Public Improvement
Revenue,
4.900% due 12/1/11.............................
1,380,000
---------
- --
MASSACHUSETTS -- 2.2%
1,000,000 Commonwealth of Massachusetts, Consolidated Loan,
6.000% due 6/1/13..............................
1,006,250
---------
- --
MICHIGAN -- 10.3%
Michigan Municipal Bond Authority, Sewer Revenue:
1,000,000 5.000% due 11/1/09.............................
937,500
750,000 Series A,
6.550% due 10/1/13.............................
796,875
1,500,000 Michigan State Building Authority, Revenue Bonds,
Series I,
5.300% due 10/1/16.............................
1,389,375
1,700,000 Michigan State Public Power Agency, Revenue
Bonds, Series A,
5.250% due 1/1/18..............................
1,536,375
---------
- --
4,660,125
---------
- --
NEBRASKA -- 3.1%
1,500,000 Omaha, Nebraska, Power District Revenue, Series
D,
5.300% due 2/1/16..............................
1,387,500
---------
- --
NEVADA -- 2.1%
1,000,000 Washoe County, Nevada, Recreational Revenue,
Series A, (Reno Bowling),
5.700% due 7/1/17..............................
957,500
---------
- --
NEW YORK -- 8.8%
2,000,000 New York State Environmental Facilities
Corporation, Series D,
5.875% due 6/15/14.............................
1,987,500
1,000,000 New York State, Local Government, Series A,
5.900% due 4/1/13..............................
998,750
1,000,000 Onondaga County, New York, General Obligation
Bond,
5.850% due 5/1/14..............................
1,010,000
---------
- --
3,996,250
---------
- --
</TABLE>
See Notes to Financial Statements.
36
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- ---------
- --
MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
OKLAHOMA -- 2.2%
$1,000,000 Oklahoma State Municipal Power Authority, Revenue
Bonds,
5.150% due 1/1/14.............................. $
932,500
---------
- --
TEXAS -- 13.9%
1,500,000 Harris County, Texas, Municipal Utilities
District Revenue,
5.250% due 3/1/10..............................
1,453,125
2,000,000 Houston, Texas, Public Improvement Revenue
Refunding,
5.000% due 3/1/12..............................
1,847,500
1,000,000 San Antonio, Texas, Certificates of Obligation,
5.750% due 8/1/13..............................
992,500
500,000 San Antonio, Texas, Water Revenue, Series B,
6.500% due 5/15/10.............................
527,500
1,600,000 Texas State, Water Development Board Revenue,
5.250% due 7/15/15.............................
1,488,000
---------
- --
6,308,625
---------
- --
WASHINGTON -- 6.6%
1,000,000 Snohomish County, Washington, Public Utilities
Revenue,
6.000% due 1/1/13..............................
1,011,250
1,000,000 Tacoma, Washington, Water Revenue Refunding,
5.500% due 12/1/13.............................
1,002,500
1,000,000 Washington State, Series B,
5.750% due 5/1/13..............................
996,250
---------
- --
3,010,000
---------
- --
WISCONSIN -- 4.3%
1,000,000 Green Bay, Wisconsin, General Obligation Bonds,
Series B,
5.900% due 4/1/10..............................
1,016,250
1,000,000 Wisconsin State, Clean Water Revenue, Series 1,
5.300% due 6/1/12..............................
950,000
---------
- --
1,966,250
---------
- --
TOTAL MUNICIPAL BONDS AND NOTES
(Cost $44,137,384).............................
43,191,125
---------
- --
SHORT-TERM MUNICIPAL BONDS AND NOTES -- 3.3%
ALASKA -- 0.2%
100,000 Anchorage, Alaska, Higher Education Agency,
3.600% due 6/1/12+.............................
100,000
---------
- --
DELAWARE -- 0.2%
100,000 Wilmington, Delaware, Hospital Revenue Bond,
3.500% due 7/1/11+.............................
100,000
---------
- --
</TABLE>
See Notes to Financial Statements.
37
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MUNICIPAL BOND INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ---------- ---------
- --
SHORT-TERM MUNICIPAL BONDS AND NOTES (CONTINUED)
<C> <S> <C>
ILLINOIS -- 0.2%
$ 100,000 Illinois Health Facilities Authority, Revenue
Bond,
3.600% due 11/1/15+............................ $
100,000
---------
- --
INDIANA -- 0.2%
100,000 Fort Wayne, Indiana, Hospital Revenue, (Parkview
Hospital),
3.850% due 1/1/16++............................
100,000
---------
- --
LOUISIANA -- 0.9%
400,000 West Feliciana Parish, Louisiana, Pollution
Control Revenue,
3.450% due 12/1/15+............................
400,000
---------
- --
NORTH CAROLINA -- 0.7%
300,000 North Carolina, Educational Revenue, (Bowman
School),
3.800% due 9/1/20+.............................
300,000
---------
- --
TEXAS -- 0.7%
300,000 Grapevine, Texas, Industrial Development
Corporation,
3.500% due 1/1/24+.............................
300,000
---------
- --
WYOMING -- 0.2%
100,000 Green River, Wyoming, Pollution Control,
3.550% due 6/1/99+.............................
100,000
---------
- --
TOTAL SHORT-TERM MUNICIPAL BONDS AND NOTES
(Cost $1,500,000)..............................
1,500,000
---------
- --
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $45,637,384*)............. 98.5 %
44,691,125
OTHER ASSETS AND LIABILITIES (NET)................ 1.5
664,597
-------- ---------
- --
NET ASSETS........................................ 100.0%
$45,355,722
-------- ---------
- --
-------- ---------
- --
<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>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Municipal Bond Investments securities held at August 31, 1995 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Connecticut 4.4%
Wisconsin 4.3%
Iowa 5.9%
Washington 6.6%
Florida 8.7%
New York 8.8%
Illinois 8.9%
Michigan 10.3%
Texas 14.6%
Other States and Net Other Assets and Liabilities 27.5%
</TABLE>
See Notes to Financial Statements.
38
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
<C> <S> <C>
MORTGAGE-BACKED SECURITIES -- 97.2%
FEDERAL HOME LOAN MORTGAGE CORPORATION (FHLMC) 75 POOLS -- 36.2%
$ 2,304,600 5.500% due 10/1/97 - 7/1/98..................... $
2,258,508
1,772,981 6.500% due 7/1/23...............................
1,705,927
806,707 7.000% due 11/1/22..............................
795,357
4,502,765 7.500% due 12/1/12 - 8/1/23.....................
4,487,882
6,332,860 8.000% due 5/1/06 - 2/1/22......................
6,469,433
7,725,273 8.500% due 12/1/06 - 2/1/18.....................
7,953,009
1,976,232 9.000% due 12/1/04 - 7/1/11.....................
2,053,954
1,674,901 9.500% due 10/1/08 - 8/1/16.....................
1,753,897
595,592 10.000% due 4/1/09 - 10/1/09....................
642,677
342,803 10.250% due 11/1/03 - 6/1/16....................
371,726
811,050 11.000% due 4/1/00 - 10/1/00....................
860,216
108,502 11.500% due 10/1/15.............................
120,200
562,443 Collateralized Mortgage Obligation, Multiclass
Mortgage,
7.000% due 11/15/19.............................
565,167
Commitments to Purchase:
1,000,000 7.000% due 8/15/25..............................
985,930
7,000,000 7.000% due 8/15/25..............................
6,901,510
-------
- -----
37,925,393
-------
- -----
FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 61 POOLS -- 41.7%
3,638,380 5.500% due 11/1/08..............................
3,455,296
5,253,626 6.000% due 9/1/08 - 12/1/23.....................
4,985,692
7,252,134 6.500% due 3/1/09 - 8/1/23......................
7,045,530
4,316,985 7.000% due 1/1/24...............................
4,245,452
8,303,369 7.500% due 12/1/06 - 9/1/23.....................
8,358,471
6,275,905 8.000% due 9/1/02 - 12/1/22.....................
6,413,736
2,279,575 8.500% due 6/1/06 - 6/1/17......................
2,356,881
4,506,080 9.000% due 9/1/97 - 3/1/18......................
4,711,080
1,120,062 9.500% due 4/1/01 - 11/1/21.....................
1,178,972
142,178 10.000% due 1/1/21..............................
155,018
454,955 10.750% due 10/1/12.............................
502,298
247,341 12.500% due 6/1/15..............................
279,881
-------
- -----
43,688,307
-------
- -----
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 29 POOLS -- 19.3%
GNMA -- I - 5.7%
1,684,878 7.000% due 4/15/23 - 8/15/23....................
1,659,604
1,227,186 8.000% due 1/15/14 - 9/15/22....................
1,259,780
449,149 8.500% due 5/15/17..............................
467,254
812,796 9.000% due 10/15/16 - 10/15/21..................
854,453
</TABLE>
See Notes to Financial Statements.
39
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
MORTGAGE BACKED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
VALUE (NOTE
1)
- ----------- -------
- -----
MORTGAGE-BACKED SECURITIES (CONTINUED)
<C> <S> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 29 POOLS (CONTINUED)
GNMA -- I (CONTINUED)
$ 1,324,809 9.500% due 12/15/16 - 6/15/20................... $
1,407,186
310,844 11.000% due 7/15/10 - 9/15/10...................
346,203
-------
- -----
5,994,480
-------
- -----
GNMA -- II - 13.6%
9,025,913 6.500% due 12/20/23 - 5/20/24...................
8,594,294
1,399,393 7.000% due 11/20/16.............................
1,367,907
2,384,674 8.500% due 6/20/16 - 1/20/17....................
2,459,933
1,739,424 9.000% due 4/20/17 - 11/20/21...................
1,811,176
-------
- -----
14,233,310
-------
- -----
TOTAL MORTGAGE-BACKED SECURITIES (Cost
$102,856,506)...................................
101,841,490
-------
- -----
REPURCHASE AGREEMENT -- 2.7% (Cost $2,839,000)
2,839,000 Agreement with Union Bank of Switzerland, 5.750%
dated 8/31/95, to be repurchased at $2,839,453
on 9/1/95 collateralized by $3,020,000 U.S.
Treasury Note, 5.540% due 5/30/96...............
2,839,000
-------
- -----
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $105,695,506*)............. 99.9%
104,680,490
OTHER ASSETS AND LIABILITIES (NET)................. 0.1
108,879
-------- --------
- ----
NET ASSETS......................................... 100.0%
$104,789,369
-------- --------
- ----
-------- --------
- ----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Mortgaged Backed Investments securities held at August 31, 1995 by
investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
GNMA 19.3%
FHLMC 36.2%
FNMA 41.7%
Repurchase Agreement and Net Other
Assets and Liabilities 2.8%
</TABLE>
See Notes to Financial Statements.
40
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
<C> <S> <C>
COMMON STOCKS -- 72.4%
CONSUMER PRODUCTS -- 15.2%
22,700 American Greetings Corporation, Class A........ $
698,025
15,000 Brunswick Corporation..........................
301,875
9,400 Eastman Kodak Company..........................
541,675
8,500 PepsiCo Inc....................................
384,625
8,900 Philip Morris Companies, Inc...................
664,163
9,100 Pitney Bowes Inc...............................
369,687
9,500 Proctor & Gamble Company.......................
659,063
17,660 RJR Nabisco Holdings Corporation...............
503,310
4,000 Xerox Corporation..............................
483,000
----------
- --
4,605,423
----------
- --
OIL & GAS -- 9.1%
7,011 Elf Aquitaine, Sponsored ADR...................
256,778
15,800 Repsol S.A., Sponsored ADR.....................
499,675
2,200 Royal Dutch Petroleum Company..................
262,350
6,400 Shell Transportation and Trading, ADR..........
444,000
13,500 Tenneco Inc....................................
654,750
30,700 USX-Marathon Group.............................
633,188
----------
- --
2,750,741
----------
- --
FINANCIAL SERVICES -- 8.6%
18,100 Ahmanson H F & Company.........................
429,875
11,000 American General Corporation...................
387,750
9,800 Bank of New York Inc...........................
426,300
11,900 CoreStates Financial Corporation...............
440,300
11,700 Pinnacle West Capital Corporation..............
291,037
9,000 Providian Corporation..........................
345,375
9,000 Shawmut National Corporation...................
291,375
----------
- --
2,612,012
----------
- --
RETAIL -- 5.6%
27,000 American Stores Company........................
793,125
10,900 May Department Stores Company..................
461,887
8,175 V F Corporation................................
447,581
----------
- --
1,702,593
----------
- --
CONSUMER SERVICES -- 4.6%
14,500 Browning Ferris Industries Inc.................
487,563
17,300 Foster Wheeler Corporation.....................
637,938
11,000 Ryder Systems Inc..............................
266,750
----------
- --
1,392,251
----------
- --
</TABLE>
See Notes to Financial Statements.
41
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE -- 4.5%
14,000 Ciba Geigy AG, Sponsored ADR................... $
495,040
7,800 SmithKline Beecham PLC, ADR....................
349,050
12,300 Upjohn Company.................................
521,213
----------
- --
1,365,303
----------
- --
CAPITAL GOODS -- 4.4%
4,900 International Business Machines Corporation....
506,538
14,900 Minnesota Mining & Manufacturing Company.......
813,912
----------
- --
1,320,450
----------
- --
ELECTRONICS -- 3.3%
6,100 Loral Corporation..............................
333,975
14,900 Philips Electronics, N.V.......................
670,500
----------
- --
1,004,475
----------
- --
CONSUMER DURABLES -- 3.3%
16,400 Goodyear Tire & Rubber Company.................
656,000
12,000 Masco Corporation..............................
336,000
----------
- --
992,000
----------
- --
BASIC INDUSTRIES -- 2.7%
10,000 International Paper Company....................
818,750
----------
- --
TRANSPORTATION -- 2.5%
5,000 Burlington Northern Inc........................
346,250
6,500 Union Pacific Corporation......................
425,750
----------
- --
772,000
----------
- --
COMMUNICATIONS -- 2.1%
11,100 American Telephone & Telegraph Corporation.....
627,150
----------
- --
INSURANCE -- 2.0%
6,600 Aon Corporation................................
257,400
3,700 Chubb Corporation..............................
337,625
----------
- --
595,025
----------
- --
PUBLISHING -- 1.9%
10,700 Gannett Inc....................................
572,450
----------
- --
AEROSPACE -- 1.5%
5,800 Raytheon Company...............................
469,075
----------
- --
CHEMICAL -- 1.1%
3,600 Monsanto Company...............................
341,550
----------
- --
TOTAL COMMON STOCK (Cost $20,295,306)..........
21,941,248
----------
- --
</TABLE>
See Notes to Financial Statements.
42
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ----------- ----------
- --
<C> <S> <C>
U.S. TREASURY NOTES -- 12.5%
U.S. Treasury Notes:
$ 425,000 5.500% due 4/30/96........................... $
424,520
300,000 6.250% due 8/31/96...........................
301,578
300,000 6.500% due 9/30/96...........................
302,520
600,000 6.500% due 8/15/97...........................
607,524
200,000 7.125% due 10/15/98..........................
206,758
400,000 6.375% due 1/15/99...........................
404,600
300,000 7.000% due 4/15/99...........................
309,606
100,000 6.375% due 7/15/99...........................
101,303
350,000 6.375% due 1/15/00...........................
354,277
785,000 5.750% due 8/15/03...........................
759,228
----------
- --
TOTAL U.S. TREASURY NOTES (Cost $3,760,425)....
3,771,914
----------
- --
U.S. GOVERNMENT AGENCY SECURITIES -- 9.1%
Federal Home Loan Banks, Consolidation Bonds:
250,000 6.700% due 4/28/98...........................
248,945
100,000 5.250% due 5/26/98...........................
98,049
100,000 5.010% due 7/29/98...........................
97,256
Federal Home Loan Mortgage Corporation:
100,000 Corporate Debenture,
5.900% due 4/21/00...........................
97,737
290,867 Group #E6-0341,
7.500% due 4/1/10............................
296,501
300,000 Multiclass Mortgage PC,
7.000% due 8/15/06...........................
298,617
350,000 Multiclass Mortgage PC,
7.500% due 7/15/22...........................
360,472
50,000 Federal National Mortgage Association,
Debenture,
5.300% due 3/11/98...........................
48,960
Government National Mortgage Association:
937,737 9.000% due 6/15/20...........................
985,796
199,757 9.000% due 6/15/25...........................
209,994
----------
- --
TOTAL U.S. GOVERNMENT AGENCY SECURITIES
(Cost $2,730,979)............................
2,742,327
----------
- --
CORPORATE BONDS AND NOTES -- 4.7%
100,000 Associates Corporation North America, Note,
5.250% due 9/1/98............................
97,250
100,000 Dean Witter Discover & Company, Note,
6.000% due 3/1/98............................
99,375
100,000 Florida Power & Light Company, First Mortgage,
5.375% due 4/1/00............................
96,375
</TABLE>
See Notes to Financial Statements.
43
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
BALANCED INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ----------- ----------
- --
CORPORATE BONDS AND NOTES (CONTINUED)
<C> <S> <C>
Ford Motor Credit Company, Notes:
$ 150,000 5.625% due 12/15/98.......................... $
146,250
200,000 7.250% due 5/15/99...........................
204,500
100,000 NationsBank Corporation, Sr. Note,
5.375% due 4/15/00...........................
95,625
100,000 Norwest Corporation, Bond,
5.750% due 3/15/98...........................
98,875
200,000 Ontario Province, CDA,
5.700% due 10/1/97...........................
199,000
100,000 Philip Morris Companies, Inc., Note,
7.375% due 2/15/99...........................
102,500
200,000 Salomon Brothers, Series C, Medium Term Note,
6.750% due 2/15/00...........................
193,500
100,000 Wal Mart Stores Inc., Sr. Note,
5.500% due 3/1/98............................
98,250
----------
- --
TOTAL CORPORATE BONDS AND NOTES (Cost
$1,467,209)..................................
1,431,500
----------
- --
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $28,253,919*)............ 98.7%
29,886,989
OTHER ASSETS AND LIABILITIES (NET)............... 1.3
381,417
------- -----------
- -
NET ASSETS....................................... 100.0% $
30,268,406
------- -----------
- -
------- -----------
- -
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Balanced Investments securities held at August 31, 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 4.7%
U.S. Government Agency Securities 9.1%
U.S. Treasury Notes 12.5%
Other Common Stocks 20.4%
Capital Goods 4.4%
Health Care 4.5%
Consumer Services 4.6%
Retail 5.6%
Financial Services 8.6%
Oil & Gas 9.1%
Consumer Products 15.2%
Net Other Assets and Liabilities 1.3%
</TABLE>
See Notes to Financial Statements.
44
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
<C> <S> <C>
COMMON STOCKS -- 98.0%
FINANCIAL SERVICES -- 15.9%
94,000 American General Corporation..................... $
3,313,500
52,500 AmSouth Bancorp..................................
1,962,187
157,400 Banc One Corporation.............................
5,292,574
12,900 Bank of Boston Corporation.......................
567,600
76,000 Bank of New York, Inc............................
3,306,000
105,600 BankAmerica Corporation..........................
5,966,400
81,800 Bankers Trust New York Corporation...............
5,633,975
42,400 BanPonce Corporation, New........................
1,574,100
28,400 Barnett Banks, Inc...............................
1,622,350
7,300 BayBanks, Inc....................................
585,825
111,104 Bear Stearns Companies, Inc......................
2,291,520
32,700 Beneficial Corporation...........................
1,606,387
61,700 Boatmen's Bancshares, Inc........................
2,282,900
61,600 Central Fidelity Banks, Inc......................
2,017,400
37,800 Chase Manhattan Corporation......................
2,173,500
73,400 Chemical Banking Corporation.....................
4,275,550
117,400 Citicorp.........................................
7,792,425
40,400 Comerica, Inc....................................
1,439,250
63,000 Compass Bancshares, Inc..........................
1,890,000
75,900 Countrywide Credit Industries, Inc...............
1,669,800
35,500 Crestar Financial Corporation....................
2,001,312
44,300 First American Bank Corporation..................
1,960,275
37,000 First Bank System, Inc...........................
1,688,125
25,633 First Chicago Corporation........................
1,624,490
92,300 First Commercial Corporation.....................
2,976,675
45,800 First Fidelity Bancorporation, New...............
2,994,175
24,200 First Interstate Bancorp.........................
2,311,100
63,100 First Security Corporation.......................
1,987,650
44,800 First Tennessee National Corporation.............
2,374,400
55,900 First Union Corporation..........................
2,801,987
29,900 First Virginia Banks, Inc........................
1,229,637
55,400 Firstar Corporation..............................
2,056,725
135,300 Fleet Financial Group, Inc., New.................
5,006,100
32,700 Golden West Financial Corporation................
1,561,425
145,267 Huntington Bancshares, Inc.......................
3,195,873
39,700 Integra Financial Corporation....................
2,228,162
26,500 Kansas City Southern Industries, Inc.............
1,166,000
80,200 KeyCorp, New.....................................
2,486,200
80,700 Marshall & Ilsley Corporation....................
2,037,675
78,200 Mellon Bank Corporation..........................
3,704,725
66,600 Mercantile Bancorporation, Inc...................
3,013,650
</TABLE>
See Notes to Financial Statements.
45
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
42,800 Meridian Bancorp, Inc............................ $
1,717,350
88,800 Merrill Lynch & Company, Inc.....................
5,117,100
45,300 Morgan (J.P.) & Company, Inc.....................
3,301,237
14,100 Morgan Stanley Group, Inc........................
1,224,937
60,500 National City Corporation........................
1,799,875
94,000 NationsBank Corporation..........................
5,769,250
39,100 NBD Bancorp Inc..................................
1,397,825
22,800 New Plan Realty Trust SBI........................
507,300
159,100 Norwest Corporation..............................
4,792,887
42,735 Old Kent Financial Corporation...................
1,629,272
17,235 Old National Bancorp.............................
590,299
47,600 Paine Webber Group, Inc..........................
916,300
100,000 PNC Bank Corporation.............................
2,625,000
48,600 Regions Financial Corporation....................
1,956,150
22,700 Republic New York Corporation....................
1,276,875
67,500 Salomon, Inc.....................................
2,590,312
67,000 SCEcorp..........................................
1,113,875
24,800 Shawmut National Corporation.....................
802,900
116,200 Signet Banking Corporation.......................
3,035,725
80,300 SouthTrust Corporation...........................
2,077,762
46,900 Standard Federal Bank, Troy, Michigan............
1,829,100
27,500 Star Banc Corporation............................
1,457,500
67,400 SunTrust Banks, Inc..............................
4,136,675
85,200 U S Bancorp......................................
2,438,850
52,000 Wachovia Corporation, New........................
2,067,000
50,800 Washington Federal Savings Inc...................
1,181,100
25,800 Wells Fargo & Company............................
4,808,475
----------
- ----
169,830,535
----------
- ----
UTILITIES -- 12.6%
47,900 Allegheny Power System, Inc.+....................
1,167,561
62,200 American Electric Power, Inc.....................
2,122,575
144,100 Ameritech Corporation, New.......................
7,385,125
41,300 Atlanta Gas & Light Company......................
1,522,937
22,500 Atlantic Energy, Inc.............................
427,500
44,200 Baltimore Gas & Electric Company.................
1,160,250
112,500 Boston Edison Company............................
2,882,811
78,100 Brooklyn Union Gas Company.......................
1,962,261
85,100 Carolina Power & Light Company...................
2,606,186
147,057 Cinergy Corporation..............................
3,768,335
36,000 CIPSCO, Inc......................................
1,183,500
62,200 Comsat Corporation, Series 1.....................
1,446,150
</TABLE>
See Notes to Financial Statements.
46
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
52,600 Consolidated Edison Company, New York Inc........ $
1,485,950
20,900 Consolidated Natural Gas Company.................
807,262
28,700 Delmarva Power & Light Company...................
624,225
107,600 Detroit Edison Company...........................
3,295,250
63,400 Dominion Resources, Inc..........................
2,290,325
155,500 DPL Inc..........................................
3,459,875
109,950 DQE Inc..........................................
2,625,055
112,700 Duke Power Company...............................
4,578,437
284,800 Entergy Corporation, New.........................
6,835,200
77,300 Equitable Iowa Companies, New....................
2,879,425
15,900 Equitable Resources, Inc.........................
443,212
41,800 Florida Progress Corporation.....................
1,269,675
151,700 FPL Group, Inc...................................
5,897,338
219,300 General Public Utilities Corporation.............
6,277,463
118,500 Houston Industries, Inc..........................
5,021,437
32,800 IPALCO Enterprises, Inc..........................
1,135,700
71,400 Kansas City Power & Light Company................
1,597,575
45,900 KU Energy Corporation............................
1,250,775
75,500 LG&E Energy Corporation..........................
2,925,625
30,200 Montana Power Company............................
664,400
31,200 National Fuel Gas Company........................
877,500
45,400 New England Electric System......................
1,589,000
23,100 New York State Electric & Gas Corporation........
557,287
41,100 Niagara Mohawk Power Corporation.................
493,200
66,800 NICOR, Inc.......................................
1,711,750
84,300 NIPSCO Industries, Inc...........................
2,760,825
37,900 Northeast Utilities..............................
866,962
21,100 Northern States Power Company, Minnesota.........
899,387
18,100 Ohio Edison Company..............................
391,412
18,000 Oklahoma Gas & Electric Company..................
636,750
137,300 Pacific Gas & Electric Company...................
3,947,375
64,700 PacifiCorp.......................................
1,172,687
42,000 PP&L Resources, Inc..............................
918,750
56,300 Peoples Energy Corporation.......................
1,534,175
138,300 Pinnacle West Capital Corporation................
3,440,212
41,500 Public Service Company Colorado..................
1,343,562
60,600 Public Service Enterprise Group..................
1,666,500
42,200 Puget Sound Power & Light Company................
912,575
91,300 Questar Corporation..............................
2,784,650
18,800 Rochester Gas & Electric Corporation.............
418,300
26,100 San Diego Gas & Electric Company.................
567,675
</TABLE>
See Notes to Financial Statements.
47
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
97,400 SCANA Corporation................................ $
2,264,550
310,300 Southern Company.................................
6,555,088
15,200 Southwestern Public Service Company..............
456,000
84,800 Texas Utilities Company..........................
2,946,800
91,400 Unicom Corporation...............................
2,570,626
47,100 Union Electric Company...........................
1,677,937
64,800 UtiliCorp United, Inc............................
1,757,700
54,800 Washington Gas & Light Company...................
1,048,050
28,800 Washington Water Power Company...................
446,400
33,500 Western Resources, Inc...........................
1,013,375
62,200 Wisconsin Energy Corporation.....................
1,671,625
13,400 WPS Resources Corporation........................
386,925
----------
- ----
135,285,005
----------
- ----
ENERGY -- 12.4%
59,500 Amerada Hess Corporation.........................
2,818,812
170,600 Amoco Corporation................................
10,875,750
19,700 Ashland Oil Inc..................................
645,175
109,600 Atlantic Richfield Company.......................
11,960,101
40,500 Cabot Corporation................................
1,949,063
332,600 Chevron Corporation..............................
16,089,525
63,600 Coastal Corporation..............................
2,082,900
397,400 Exxon Corporation................................
27,321,250
33,800 Georgia Gulf Corporation.........................
1,119,625
77,700 Halliburton Company..............................
3,292,538
45,500 Kerr McGee Corporation...........................
2,502,500
152,066 MCN Corporation..................................
2,832,229
131,300 Mobil Corporation................................
12,506,325
22,800 Murphy Oil Corporation...........................
923,400
91,800 Occidental Petroleum Corporation.................
1,996,650
223,400 Panhandle Eastern Corporation....................
5,585,000
102,900 Peco Energy Company..............................
2,739,713
7,300 Pennzoil Company.................................
321,200
66,600 Schlumberger Ltd.................................
4,295,700
112,400 Sonat, Inc.......................................
3,568,700
19,300 Sun, Inc.........................................
513,863
82,000 Texaco Inc.......................................
5,309,500
263,100 TransCanada Pipeline Ltd.........................
3,584,738
198,400 USX-Marathon Group...............................
4,092,001
89,800 Williams Companies, Inc..........................
3,288,925
----------
- ----
132,215,183
----------
- ----
</TABLE>
See Notes to Financial Statements.
48
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS -- 8.2%
37,300 Armstrong World Industries, Inc.................. $
2,140,088
29,400 Avnet, Inc.......................................
1,514,100
185,900 Boeing Company...................................
11,851,125
58,100 CBI Industries, Inc..............................
1,423,450
62,100 Cooper Industries, Inc...........................
2,359,800
9,300 Crane Company....................................
334,800
99,100 Dana Corporation.................................
2,960,613
41,400 Deere & Company..................................
3,539,700
65,900 Eaton Corporation................................
3,566,838
24,500 Echlin, Inc......................................
845,250
67,900 General Dynamics Corporation.....................
3,573,238
67,000 Ingersoll Rand Company...........................
2,537,625
22,300 Johnson Controls, Inc............................
1,357,513
101,703 Lockheed Corporation.............................
6,191,170
67,100 McDonnell Douglas Corporation....................
5,384,775
62,300 Northrop Grumman Corporation.....................
3,792,513
21,100 PACCAR, Inc......................................
1,044,450
79,500 Parker Hannifin Corporation......................
3,150,188
65,200 Raytheon Company.................................
5,273,050
69,300 Rockwell International Corporation...............
3,101,175
40,200 Sundstrand Corporation...........................
2,738,625
61,900 Textron, Inc.....................................
4,240,150
45,100 TRW, Inc.........................................
3,512,163
132,400 United Technologies Corporation..................
11,038,851
12,800 Vulcan Materials Company.........................
673,600
----------
- ----
88,144,850
----------
- ----
TELECOMMUNICATIONS -- 8.1%
225,300 AT & T Corporation...............................
12,729,450
145,600 Bell Atlantic Corporation........................
8,699,600
124,200 BellSouth Corporation............................
8,538,750
310,000 GTE Corporation..................................
11,353,750
232,900 MCI Communications Corporation...................
5,604,157
283,500 NYNEX Corporation................................
12,757,500
124,800 Pacific Telesis Group............................
3,541,200
180,000 SBC Communications, Inc..........................
9,112,500
245,500 Sprint Corporation...............................
8,715,250
127,000 U S West Inc.....................................
5,524,500
----------
- ----
86,576,657
----------
- ----
BASIC INDUSTRIES -- 5.7%
57,700 Air Products & Chemicals, Inc....................
3,094,163
</TABLE>
See Notes to Financial Statements.
49
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
124,870 Aluminum Company of America...................... $
7,133,199
46,200 Cyprus Amax Minerals Company.....................
1,293,600
130,000 Dow Chemical Company.............................
9,620,000
155,400 Du Pont (E.I.) de Nemours & Company..............
10,159,275
56,300 Georgia Pacific Corporation......................
5,067,000
25,400 Grace (W.R.) & Company...........................
1,692,275
139,670 Mark IV Industries, Inc..........................
3,107,658
60,200 Phelps Dodge Corporation.........................
3,815,175
104,100 Rhone Poulenc S.A., ADR..........................
2,160,075
57,900 Rohm & Haas Company..............................
3,459,525
5,000 Service Corporation International................
175,000
96,500 Terra Industries, Inc............................
1,290,688
121,100 Union Carbide Corporation........................
4,299,050
56,500 Weyerhaeuser Company.............................
2,599,000
43,700 Witco Corporation................................
1,453,025
----------
- ----
60,418,708
----------
- ----
INSURANCE -- 5.1%
58,500 Aetna Life & Casulty Company.....................
3,992,625
5,518 Alleghany Corporation............................
933,922
78,705 Allstate Corporation.............................
2,666,132
55,550 Aon Corporation..................................
2,166,450
87,100 Chubb Corporation................................
7,947,875
26,900 CIGNA Corporation................................
2,602,575
52,960 Cincinnati Financial Corporation.................
2,753,920
34,700 Conseco, Inc.....................................
1,743,675
44,100 Jefferson Pilot Corporation......................
2,772,788
17,100 Leucadia National Corporation....................
910,575
32,100 Lincoln National Corporation.....................
1,380,300
46,400 MBIA Inc.........................................
3,155,200
37,300 Mercury General Corporation, New.................
1,408,075
39,000 Old Republic International Corporation...........
1,077,375
125,050 Providian Corporation............................
4,798,794
30,300 SAFECO Corporation...............................
1,958,138
83,400 St Paul Companies, Inc...........................
4,524,450
38,200 Transamerica Corporation.........................
2,597,600
77,400 UNUM Corporation.................................
3,715,200
55,700 Washington Mutual, Inc...........................
1,441,238
----------
- ----
54,546,907
----------
- ----
HEALTH CARE -- 4.7%
40,500 American Home Products Corporation...............
3,118,500
</TABLE>
See Notes to Financial Statements.
50
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
234,400 Baxter International, Inc........................ $
9,141,600
26,900 Becton Dickinson & Company.......................
1,516,488
156,600 Bristol Myers Squibb.............................
10,746,675
39,100 FHP International Corporation+...................
967,725
72,000 Lilly (Eli) & Company............................
5,895,000
31,400 McKesson Corporation.............................
1,365,900
89,200 Meditrust, SBI...................................
2,932,450
144,600 Tenet Healthcare Corporation+....................
2,295,525
31,700 United Healthcare Corporation....................
1,339,325
79,100 U.S. HealthCare Inc..............................
2,531,200
86,000 Warner-Lambert Company...........................
7,772,250
----------
- ----
49,622,638
----------
- ----
CONSUMER PRODUCTS -- 4.5%
56,900 American Brands, Inc.............................
2,389,800
107,800 American Greetings Corporation, Class A..........
3,314,850
39,300 Anheuser Busch Companies, Inc....................
2,245,013
387,941 Archer Daniels Midland Company...................
6,449,517
44,100 Black & Decker Corporation.......................
1,427,737
15,600 Bob Evans Farms, Inc.............................
278,850
41,700 Briggs & Stratton Corporation....................
1,579,387
20,000 Brown Forman Corporation, Class B................
740,000
65,400 Brunswick Corporation............................
1,316,175
20,000 Campbell Soup Company............................
915,000
40,000 ConAgra, Inc.....................................
1,515,000
7,550 Crown Vantage, Inc.+.............................
183,087
48,600 Dean Foods Company...............................
1,287,900
53,700 Eastman Kodak Company............................
3,094,462
12,900 Fruit of the Loom, Inc., Class A+................
303,150
63,900 Genuine Parts Company............................
2,516,062
42,700 Hasbro, Inc......................................
1,382,412
41,900 Hershey Foods Corporation........................
2,508,762
78,100 IBP, Inc.........................................
3,846,425
4,800 Kellogg Company..................................
324,000
56,400 Liz Claiborne, Inc...............................
1,283,100
195,480 RJR Nabisco Holdings Corporation.................
5,571,180
48,100 Union Planters Corporation.......................
1,424,962
56,000 Universal Foods Corporation......................
1,778,000
25,000 Wendy's International, Inc.......................
490,625
----------
- ----
48,165,456
----------
- ----
</TABLE>
See Notes to Financial Statements.
51
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES -- 4.2%
35,197 Chrysler Corporation............................. $
1,896,238
34,600 Cummins Engine, Inc..............................
1,358,050
412,200 Ford Motor Company...............................
12,623,625
264,900 General Motors Corporation.......................
12,450,300
62,200 General Motors Corporation, Class H..............
2,480,225
190,400 Goodyear Tire & Rubber Company...................
7,616,000
130,500 Masco Corporation................................
3,654,000
12,300 Snap On, Inc.....................................
504,300
47,900 Whirlpool Corporation............................
2,610,550
----------
- ----
45,193,288
----------
- ----
RETAIL -- 4.1%
223,400 American Stores Company, New.....................
6,562,375
44,300 Dayton Hudson Corporation........................
3,239,438
74,900 Dillard Dept Stores, Inc., Class A...............
2,312,538
28,900 Giant Food, Inc., Class A........................
899,513
27,400 Heilig Meyers Company............................
602,800
358,300 K Mart Corporation...............................
4,881,838
306,800 Limited Inc......................................
5,675,800
49,400 May Department Stores Company....................
2,093,325
17,900 Nordstrom, Inc...................................
738,375
98,700 Penney (J.C.), Inc...............................
4,466,175
143,700 Price/Costco, Inc.+..............................
2,424,938
37,100 Reebok International, Ltd........................
1,317,050
134,900 Sears Roebuck & Company..........................
4,367,388
28,900 Spiegel Inc., Class A, Non-Voting................
343,188
37,900 Supervalu Inc....................................
1,122,788
45,000 Tandy Corporation................................
2,795,625
5,900 VF Corporation...................................
323,025
----------
- ----
44,166,179
----------
- ----
TECHNOLOGY -- 3.9%
37,700 Advanced Micro Devices, Inc......................
1,272,375
9,000 Arrow Electronics, Inc.+.........................
488,250
47,800 Frontier Corporation.............................
1,332,425
173,500 International Business Machines Corporation......
17,935,563
37,100 Litton Industries, Inc.+.........................
1,437,625
80,800 Loral Corporation................................
4,423,800
45,200 National Semiconductor Corporation+..............
1,276,900
59,100 Pitney Bowes, Inc................................
2,400,938
77,200 Seagate Technology+..............................
3,416,100
91,600 Storage Technology Corporation+..................
2,507,550
</TABLE>
See Notes to Financial Statements.
52
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
28,300 Tektronix, Inc................................... $
1,291,188
98,200 Unisys Corporation+..............................
785,600
27,600 Xerox Corporation................................
3,332,700
----------
- ----
41,901,014
----------
- ----
PAPER & PAPER PRODUCTS -- 2.9%
54,200 Bowater, Inc.....................................
2,588,050
33,400 Consolidated Papers, Inc.........................
2,020,700
48,300 Federal Paper Board, Inc.........................
1,913,888
95,500 International Paper Company......................
7,819,063
75,500 James River Corporation..........................
2,623,625
61,033 Mead Corporation.................................
3,745,900
38,700 Scott Paper Company..............................
1,794,713
51,700 Temple Inland, Inc...............................
2,675,475
19,500 Union Camp Corporation...........................
1,109,063
13,900 Westvaco Corporation.............................
613,338
60,700 Willamette Industries, Inc.......................
4,173,125
----------
- ----
31,076,940
----------
- ----
DIVERSIFIED -- 1.8%
29,100 AFLAC, Inc.......................................
1,189,462
41,900 General Electric Company.........................
2,466,863
209,200 Hanson Plc, ADR..................................
3,582,550
41,900 Honeywell, Inc...................................
1,833,125
48,600 ITT Corporation..................................
5,813,776
96,400 Tenneco, Inc.....................................
4,675,400
----------
- ----
19,561,176
----------
- ----
TRANSPORTATION -- 1.8%
77,000 Conrail, Inc.....................................
5,178,250
56,500 Consolidated Freightways, Inc....................
1,461,938
55,600 CSX Corporation..................................
4,587,000
38,800 Norfolk Southern Corporation.....................
2,745,100
37,100 Roadway Services, Inc............................
2,040,500
74,200 Southwest Airlines Company.......................
1,919,925
29,600 XTRA Corporation.................................
1,309,800
----------
- ----
19,242,513
----------
- ----
CONSUMER SERVICES -- 0.9%
91,500 Beverly Enterprises, Inc.+.......................
1,212,375
42,600 Donnelley (R.R.) & Sons Company..................
1,618,800
80,300 Dun & Bradstreet Corporation.....................
4,647,363
22,000 Hillhaven Corporation+...........................
613,250
</TABLE>
See Notes to Financial Statements.
53
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE
1)
- --------- ----------
- ----
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
38,400 Host Marriott Corporation+....................... $
441,600
22,600 National Services Industries, Inc................
655,400
52,100 Spelling Entertainment Group, Inc.+..............
683,813
----------
- ----
9,872,601
----------
- ----
POLLUTION CONTROL -- 0.4%
151,200 WMX Technologies, Inc............................
4,441,500
----------
- ----
PUBLISHING -- 0.4%
20,300 Knight Ridder, Inc...............................
1,141,875
94,500 New York Times Company, Class A..................
2,350,687
27,028 Times Mirror Company, Class A....................
827,732
----------
- ----
4,320,294
----------
- ----
OTHER -- 0.4%
183,800 Health & Retirement Properties Trust.............
2,825,925
25,000 Kimco Realty Corporation.........................
1,015,625
----------
- ----
3,841,550
----------
- ----
TOTAL COMMON STOCKS (Cost $923,184,052)..........
1,048,422,994
----------
- ----
CONVERTIBLE PREFERRED STOCK -- 0.1% (Cost $1,140,305)
174,800 RJR Nabisco Holdings Corporation, Depositary
Shares Representing 1/10 Preferred C Percs
9.250%.........................................
1,048,800
----------
- ----
PREFERRED STOCK -- 0.0% (Cost $266,520)
11,972 Times Mirror Company Preferred...................
288,825
----------
- ----
<CAPTION>
FACE
VALUE
- ---------
<C> <S> <C>
COMMERCIAL PAPER -- 2.5% (Cost $26,606,000)
$24,258,000 General Electric Capital Corporation, 5.820% due
9/1/95.........................................
24,258,000
2,348,000 Prudential Funding Capital Corporation, 5.820%
due 9/1/95.....................................
2,348,000
----------
- ----
26,606,000
----------
- ----
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $951,196,877*)........... 100.6 %
1,076,366,619
OTHER ASSETS AND LIABILITIES (NET)............... (0.6)
(6,329,254)
------- -----------
- ---
NET ASSETS....................................... 100.0%
$1,070,037,365
------- -----------
- ---
------- -----------
- ---
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
</TABLE>
See Notes to Financial Statements.
54
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Large Capitalization Value Equity Investments securities held at August 31,
1995 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Convertible Preferred Stock, Preferred Stock,
Commercial Paper and Net Other Assets and Liabilities 2.0%
Other Common Stocks 25.3%
Insurance 5.1%
Health Care 4.7%
Telecommunications 8.1%
Basic Industries 5.7%
Capital Goods 8.2%
Energy 12.4%
Utilities 12.6%
Financial Services 15.9%
</TABLE>
See Notes to Financial Statements.
55
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
<C> <S> <C>
COMMON STOCKS -- 95.9%
TECHNOLOGY -- 20.7%
54,800 3Com Corporation+................................ $
2,137,200
29,200 Advanced Micro Devices, Inc.+....................
985,500
42,800 AMP, Inc.........................................
1,738,750
54,900 Analog Devices, Inc.+............................
1,900,913
83,850 Andrew Corporation+..............................
4,884,263
61,100 Applied Materials, Inc.+.........................
6,354,400
94,600 Autodesk, Inc....................................
4,363,425
156,750 Cabletron Systems, Inc.+.........................
8,288,155
30,000 Cheyenne Software, Inc.+.........................
618,750
244,900 Cisco Systems, Inc.+.............................
16,071,563
26,600 Compaq Computer Corporation+.....................
1,270,150
106,100 Computer Association International, Inc..........
7,373,950
80,000 Computer Sciences Corporation+...................
4,820,000
64,200 Conner Peripherals, Inc.+........................
858,675
49,300 CUC International, Inc.+.........................
1,682,362
37,500 Danka Business Systems, ADR+.....................
1,134,375
87,700 Hewlett-Packard Company..........................
7,016,000
93,600 Informix Corporation+............................
2,620,800
259,500 Intel Corporation................................
15,926,813
34,000 LSI Logic Corporation+...........................
1,674,500
42,000 Micron Technology, Inc...........................
3,228,750
141,000 Microsoft Corporation+...........................
13,042,500
56,800 Minnesota Mining & Manufacturing Company.........
3,102,700
254,600 Motorola, Inc....................................
19,031,350
70,200 Novell, Inc.+....................................
1,263,600
278,050 Oracle Systems Corporation+......................
11,156,757
35,700 Santa Fe Pacific Gold Corporation+...............
432,863
91,200 Scientific-Atlanta, Inc..........................
1,824,000
120,400 Silicon Graphics, Inc.+..........................
5,086,900
136,200 Texas Instruments, Inc...........................
10,197,975
12,000 U.S. Robotics Corporation+.......................
1,683,000
----------
- --
161,770,939
----------
- --
CONSUMER PRODUCTS -- 13.5%
36,500 Anheuser Busch Companies, Inc....................
2,085,063
31,300 Avon Products, Inc...............................
2,210,563
47,600 Campbell Soup Company............................
2,177,700
95,200 Clorox Company...................................
6,437,900
286,300 Coca Cola Company................................
18,394,775
23,600 Colgate-Palmolive Company........................
1,604,800
50,500 ConAgra, Inc.....................................
1,912,688
</TABLE>
See Notes to Financial Statements.
56
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER PRODUCTS (CONTINUED)
72,000 Cooper Tire & Rubber Company..................... $
1,872,000
30,700 CPC International, Inc...........................
1,930,263
39,700 Crown Cork & Seal, Inc.+.........................
1,786,500
28,600 General Mills, Inc...............................
1,476,475
136,400 Gillette Company.................................
5,694,700
199,000 Heinz (H. J.) Company............................
8,432,625
43,400 International Flavors & Fragrances, Inc..........
2,077,775
11,800 Kellogg Company..................................
796,500
65,875 Mattel, Inc......................................
1,910,375
24,900 McKesson Corporation.............................
1,083,150
153,500 PepsiCo, Inc.....................................
6,945,875
200,000 Philip Morris Companies, Inc.....................
14,925,000
37,300 Pioneer Hi Bred International....................
1,603,900
125,000 Procter & Gamble Company.........................
8,671,875
48,200 Quaker Oats Company..............................
1,674,950
56,400 Rubbermaid, Inc..................................
1,677,900
74,800 Sara Lee Corporation.............................
2,075,700
49,900 Sherwin-Williams Company.........................
1,790,163
92,700 UST, Inc.........................................
2,526,075
44,700 Wrigley, (Wm. Jr.) Company.......................
2,017,088
----------
- --
105,792,378
----------
- --
HEALTH CARE -- 10.0%
136,600 Abbott Laboratories..............................
5,293,250
47,200 American Home Products Corporation...............
3,634,400
58,300 Amgen, Inc.+.....................................
2,791,113
41,900 Bausch & Lomb, Inc...............................
1,665,525
26,000 Cardinal Health, Inc.............................
1,391,000
64,200 Columbia/HCA Healthcare Corporation..............
3,017,400
50,000 Health Care & Retirement Corporation+............
1,575,000
33,000 Health Management Associates, Inc., Class A+.....
1,105,500
114,700 Johnson & Johnson................................
7,914,300
75,000 Mallinckrodt Group, Inc..........................
2,821,875
56,300 Medtronic, Inc...................................
5,313,313
260,000 Merck & Company, Inc.............................
12,967,500
39,800 OrNda Healthcorp+................................
805,950
19,000 Oxford Health Plans, Inc.+.......................
931,000
228,400 Pfizer, Inc......................................
11,277,250
75,000 Schering-Plough Corporation......................
3,496,875
34,000 St. Jude Medical Inc.+...........................
2,027,250
149,400 United Healthcare Corporation....................
6,312,150
50,300 U.S. HealthCare, Inc.............................
1,609,600
</TABLE>
See Notes to Financial Statements.
57
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
22,300 Warner-Lambert Company........................... $
2,015,362
----------
- --
77,965,613
----------
- --
FINANCIAL SERVICES -- 8.9%
33,900 AFLAC, Inc.......................................
1,385,662
34,500 Alden (John) Financial Corporation...............
724,500
111,400 Alexander & Alexander Services, Inc..............
2,576,125
49,050 American International Group, Inc................
3,954,655
176,300 Block (H & R), Inc...............................
6,875,700
130,600 Countrywide Credit Industries, Inc...............
2,873,200
51,900 Dean Witter, Discover & Company..................
2,646,900
62,100 Federal Home Loan Mortgage Corporation...........
3,989,925
106,100 Federal National Mortgage Association............
10,119,288
78,400 First Data Corporation...........................
4,576,600
35,700 First Financial Management Corporation...........
3,217,462
59,200 First USA, Inc...................................
2,723,200
22,900 Marsh & McLennan Companies, Inc..................
1,886,388
281,350 MBNA Corporation.................................
9,987,925
85,400 MGIC Investment Corporation......................
4,782,400
70,500 Paychex, Inc.....................................
2,890,500
17,000 PMI Group, Inc...................................
756,500
36,300 Torchmark Corporation............................
1,452,000
83,300 Wilmington Trust Corporation.....................
2,540,650
----------
- --
69,959,580
----------
- --
RETAIL -- 6.9%
54,000 Albertson's, Inc.................................
1,721,250
59,800 AutoZone, Inc.+..................................
1,607,125
118,200 Circuit City Stores, Inc.+.......................
4,077,900
105,200 CML Group, Inc.+.................................
907,350
186,000 Fruit of the Loom, Inc., Class A+................
4,371,000
58,200 Gap, Inc.........................................
1,869,675
255,900 Home Depot, Inc..................................
10,204,013
86,200 Kroger Company+..................................
2,812,275
70,000 Limited Inc......................................
1,295,000
79,400 Lowe's Companies, Inc............................
2,640,050
69,600 May Department Stores Company....................
2,949,300
147,500 Pep Boys Manny Moe & Jack........................
4,056,250
22,900 Reebok International Ltd.........................
812,950
60,800 Toys R Us, Inc.+.................................
1,580,800
124,500 Tyco International Ltd...........................
7,361,063
176,300 Wal-Mart Stores, Inc.............................
4,341,388
</TABLE>
See Notes to Financial Statements.
58
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
RETAIL (CONTINUED)
66,000 Walgreen Company................................. $
1,617,000
----------
- --
54,224,389
----------
- --
CAPITAL GOODS -- 5.8%
63,600 Caterpillar Inc..................................
4,269,150
48,200 Dover Corporation................................
3,843,950
34,000 Emerson Electric Company.........................
2,426,750
32,500 Fluor Corporation................................
1,901,250
325,000 General Electric Company.........................
19,134,375
50,900 General Instruments Corporation+.................
1,857,850
30,200 Grainger (W.W.), Inc.............................
1,796,900
42,500 Illinois Tool Works, Inc.........................
2,603,125
20,800 Newmont Mining Corporation.......................
904,800
40,600 Owens-Corning Fiberglass Corporation.............
1,593,550
44,000 Pall Corporation.................................
962,500
98,700 Thermo Electron Corporation+.....................
4,256,438
----------
- --
45,550,638
----------
- --
BASIC INDUSTRIES -- 4.6%
101,100 AlliedSignal, Inc................................
4,486,313
67,400 Bemis, Inc.......................................
1,954,600
40,000 Franklin Quest Company+..........................
925,000
31,100 Great Lakes Chemical Corporation.................
2,056,488
27,500 Kimberly-Clark Corporation.......................
1,756,563
40,200 Louisiana Pacific Corporation....................
954,750
64,900 Morton International, Inc........................
2,109,250
146,200 Nalco Chemical Company...........................
5,117,000
70,200 Nucor Corporation................................
3,439,800
147,100 PPG Industries, Inc..............................
6,288,525
30,000 Premark International Inc........................
1,571,250
112,800 WMX Technologies, Inc............................
3,313,500
83,700 Worthington Industries, Inc......................
1,674,000
----------
- --
35,647,039
----------
- --
CONSUMER SERVICES -- 3.7%
68,000 Alco Standard Corporation........................
5,474,000
100,400 Browning-Ferris Industries, Inc..................
3,375,950
15,000 Cablevision Systems Corporation, Class A+........
982,500
98,000 Callaway Golf Company............................
1,519,000
62,400 Ecolab, Inc......................................
1,708,200
146,000 Harland (John H.) Company........................
3,230,250
15,300 Hospitality Franchise Systems, Inc.+.............
717,187
</TABLE>
See Notes to Financial Statements.
59
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
61,600 Loewen Group, Inc................................ $
2,356,200
118,000 Office Depot, Inc.+..............................
3,672,750
53,000 Pitney Bowes, Inc................................
2,153,125
85,300 Sysco Corporation................................
2,452,375
41,600 Vanguard Cellular Systems, Inc., Class A+........
1,128,400
----------
- --
28,769,937
----------
- --
ENERGY -- 3.5%
10,000 Air Products & Chemicals Inc.....................
536,250
50,400 Burlington Resources, Inc........................
2,047,500
9,400 Dresser Industries, Inc..........................
225,600
127,650 Engelhard Corporation............................
3,606,112
240,500 Enron Corporation................................
8,086,812
108,200 Enron Oil & Gas Company..........................
2,515,650
102,600 Phillips Petroleum Company.......................
3,372,975
71,800 Praxair, Inc.....................................
1,866,800
61,000 Seagull Energy Corporation+......................
1,227,625
51,300 Tenneco, Inc.....................................
2,488,050
58,800 Unocal Corporation...............................
1,712,550
----------
- --
27,685,924
----------
- --
UTILITIES -- 3.4%
374,500 AT & T Corporation...............................
21,159,250
120,700 MCI Communications Corporation...................
2,904,343
84,000 Sprint Corporation...............................
2,982,000
----------
- --
27,045,593
----------
- --
ENTERTAINMENT -- 3.1%
21,000 Circus Circus Enterprises, Inc.+.................
687,750
108,800 Disney (Walt) Company............................
6,106,400
58,900 Harrahs Entertainment, Inc.+.....................
1,877,437
25,000 Marriot International, Inc.......................
887,500
29,450 Promus Companies, Inc.+..........................
607,405
105,500 Time Warner, Inc.................................
4,444,187
191,500 Viacom, Inc., Class B+...........................
9,311,687
----------
- --
23,922,366
----------
- --
TELECOMMUNICATIONS -- 2.8%
20,000 ADC Telecommunications Inc.+.....................
775,000
123,000 AirTouch Communications, Inc.+...................
3,997,500
96,800 DSC Communications Corporation+..................
5,082,000
292,000 Ericsson (LM) Tel B, ADR.........................
6,241,500
100,400 Frontier Corporation.............................
2,798,650
</TABLE>
See Notes to Financial Statements.
60
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TELECOMMUNICATIONS (CONTINUED)
72,300 Tellabs, Inc.+................................... $
3,380,025
----------
- --
22,274,675
----------
- --
BROADCASTING -- 2.3%
79,600 British Sky Broadcasting Group, ADR..............
2,527,300
44,300 Capital Cities ABC, Inc..........................
5,094,500
28,000 CBS, Inc.........................................
2,233,000
155,300 Comcast Corporation, Class A, Special............
3,319,537
45,525 Liberty Media Group, Class A+....................
1,209,257
182,100 Tele-Communications, Inc., Class A+..............
3,368,850
----------
- --
17,752,444
----------
- --
TRANSPORTATION -- 1.5%
76,500 Atlantic Southeast Airlines Inc..................
1,912,500
30,000 Boeing Company...................................
1,912,500
22,900 Burlington Northern, Inc.........................
1,585,825
12,700 Fritz Companies, Inc.+...........................
904,875
102,700 Southwest Airlines Company.......................
2,657,362
36,700 Union Pacific Corporation........................
2,403,850
14,700 Xtra Corporation.................................
650,475
----------
- --
12,027,387
----------
- --
RESTAURANTS -- 1.2%
28,600 Darden Restaurants, Inc..........................
293,150
73,400 Luby's Cafeterias, Inc...........................
1,458,825
177,800 McDonald's Corporation...........................
6,489,700
107,400 Shoney's, Inc.+..................................
1,248,525
----------
- --
9,490,200
----------
- --
COMPUTER SERVICES -- 1.1%
59,000 Automatic Data Processing, Inc...................
3,835,000
83,200 Ceridian Corporation+............................
3,640,000
40,000 GTECH Holdings Corporation+......................
1,160,000
----------
- --
8,635,000
----------
- --
PUBLISHING -- 1.0%
25,700 Dun & Bradstreet Corporation.....................
1,487,387
44,000 Gannett, Inc.....................................
2,354,000
25,200 McGraw-Hill, Inc.................................
1,984,500
30,200 Tribune Company, New.............................
2,023,400
----------
- --
7,849,287
----------
- --
</TABLE>
See Notes to Financial Statements.
61
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- --------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES -- 0.9%
141,100 Corning, Inc..................................... $
4,603,388
59,300 Masco Corporation................................
1,660,400
----------
- --
6,263,788
----------
- --
OTHER -- 1.0%
110,400 Nokia Corporation, ADR...........................
7,659,000
----------
- --
TOTAL COMMON STOCKS (Cost $617,033,795)..........
750,286,177
----------
- --
<CAPTION>
FACE
VALUE
- ---------
<C> <S> <C>
COMMERCIAL PAPER -- 3.8% (Cost $30,263,000)
$15,000,000 General Electric Capital Corporation, 5.820% due
9/1/95.........................................
15,000,000
15,263,000 Prudential Funding Capital Corporation, 5.820%
due 9/1/95.....................................
15,263,000
----------
- --
30,263,000
----------
- --
U.S. TREASURY BILL -- 0.2% (Cost $1,495,545)
1,500,000 U.S. Treasury Bill, 5.690%# due 9/21/95++........
1,495,545
----------
- --
REPURCHASE AGREEMENT -- 0.3% (Cost $2,169,000)
2,169,000 Agreement with Union Bank of Switzerland, 5.750%
dated 8/31/95 to be repurchased at $2,169,346
on 9/1/95, collateralized by $2,310,000 U.S.
Treasury Note, 5.540% due 5/30/96..............
2,169,000
----------
- --
</TABLE>
<TABLE>
<C> <S> <C>
<C>
TOTAL INVESTMENTS (Cost $650,961,340*)......................... 100.2 %
784,213,722
OTHER ASSETS AND LIABILITIES (NET)............................. (0.2)
(1,819,458)
----------
- ------------
NET ASSETS..................................................... 100.0 %
$782,394,264
----------
----------
- ------------
- ------------
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
# Represents annualized yield to maturity (unaudited).
ADR -- American Depository Receipt.
++At August 31, 1995, United States Treasury Bills, par value $1,500,000, were
pledged to cover margin requirements for open futures contracts. (See Note
1).
</TABLE>
FUTURES CONTRACTS -- LONG POSITION
<TABLE>
<CAPTION>
AGGREGATE
NUMBER OF FACE VALUE
OF EXPIRATION UNREALIZED
CONTRACTS CONTRACTS
DATE OF CONTRACTS APPRECIATION
--------------- -----------
- --- ------------------- -------------
<S> <C> <C>
<C> <C>
S&P 500 Index Futures........................... 72 $
20,141,200 September 1995 $ 121,400
S&P 500 Midcap Futures.......................... 99
10,209,000 September 1995 240,350
-----------
- --- -------------
$
30,350,200 $ 361,750
-----------
- --- -------------
-----------
- --- -------------
</TABLE>
See Notes to Financial Statements.
62
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Large Capitalization Growth Investments securities held at August 31, 1995
by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Basic Industries 4.6%
Consumer Services 3.7%
Capital Goods 5.8%
Retail 6.9%
Financial Services 8.9%
Health Care 10.0%
Technology 20.7%
Consumer Products 13.5%
U.S. Treasury Bill, Commercial Paper,
Repurchase Agreement, Futures Contracts and
Net Other Assets and Liabilities 4.1%
Other Common Stock 21.8%
</TABLE>
See Notes to Financial Statements.
63
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
<C> <S> <C>
COMMON STOCKS -- 97.4%
FINANCIAL SERVICES -- 19.2%
300 1st Source Corporation.......................... $
6,825
78,000 Aames Financial Corporation.....................
2,125,500
8,000 Albank Financial Corporation....................
244,000
9,100 Alex Brown Inc..................................
546,000
7,300 Alfa Corporation................................
80,300
6,400 Allied Group Inc................................
203,200
2,900 Amcore Financial Inc............................
59,450
65,900 American Bankers Insurance Group Inc............
2,290,025
600 American Financial Enterprises..................
13,950
5,700 American Travelers Corporation+.................
105,450
19,400 Americredit Corporation+........................
206,125
3,000 American Heritage Life Corporation..............
60,375
2,400 Amfed Financial Inc.............................
73,500
17,300 Ampal American Israel Corporation, Class A+.....
115,694
7,700 AMRESCO Inc.....................................
90,475
5,400 Amvestors Financial Corporation.................
63,450
7,800 Astoria Financial Corporation...................
335,400
3,800 Avatar Holdings Inc.+...........................
136,800
10,100 Baldwin & Lyons Inc., Class B...................
151,815
4,100 Bay View Capital Corporation....................
114,287
6,700 Berkley (W.R.) Corporation......................
287,262
1,300 BHC Financial Inc...............................
22,587
1,400 BOK Financial Corporation+......................
30,800
12,100 Capital Guaranty Corporation....................
270,737
7,600 Capital Re Corporation..........................
216,600
2,100 Capitol American Financial Corporation..........
47,775
1,200 Capitol Transamerica Corporation................
23,100
50,000 Capstead Manufacturing Corporation..............
1,550,000
11,700 Cash America International Inc..................
80,437
500 Cabot Corporation...............................
11,500
8,300 CCB Financial Corporation.......................
400,475
9,500 Center Financial Corporation....................
161,500
81,600 Charter One Financial Inc.......................
2,458,200
1,700 Chemical Financial Corporation..................
63,750
27,500 City National Corporation.......................
360,937
7,000 CMAC Investment Corporation.....................
353,500
13,100 Coast Savings Financial Inc.+...................
365,162
20,500 Commerce Group Inc..............................
379,250
9,200 Commercial Federal Corporation+.................
324,300
3,200 CPB Inc.........................................
105,600
5,650 CSF Holdings Inc., Class B+.....................
218,937
</TABLE>
See Notes to Financial Statements.
64
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
5,200 Danielson Holding Corporation+.................. $
37,050
1,100 Delphi Financial Group Inc., Class A+...........
19,800
24,000 Deposit Guaranty Corporation....................
948,000
3,200 Downey Financial Corporation....................
70,000
49,700 Eaton Vance Corporation.........................
1,901,025
55,100 Emphesys Financial Group Inc....................
2,018,037
6,400 Enhance Financial Services Group Inc............
129,600
3,900 Executive Risk Inc..............................
86,287
15,545 F N B Corporation...............................
295,355
6,000 F & M National Corporation......................
105,000
8,100 Factory Stores America Inc......................
159,975
5,000 Fidelity National Financial Corporation.........
65,000
9,200 Financial Security Assurance Holdings Ltd.......
244,950
2,400 Financial Trust Corporation.....................
67,200
3,500 Finova Group Inc................................
142,625
15,600 First American Financial Corporation............
374,400
60,000 First Commerce Corporation......................
1,935,000
10,000 First Commercial Corporation....................
282,500
4,500 First Commonwealth Financial Corporation........
68,062
12,600 First Federal Capital Corporation...............
229,950
815 First Financial Corporation, Indiana............
24,450
116,300 First Financial Corporation, Wisconsin..........
2,296,925
4,800 First Financial Holdings Inc....................
91,200
15,000 First Indiana Corporation.......................
367,500
700 First Merchants Corporation.....................
27,825
786 First Union Corporation.........................
39,398
2,000 Firstier Financial Inc..........................
77,500
22,600 Firstmerit Corporation..........................
604,550
11,400 Foothill Group Inc., Class A....................
310,650
6,400 Foremost Corporation............................
257,600
8,000 Fort Wayne National Corporation, Indiana........
254,000
73,000 Fremont General Corporation.....................
1,989,250
2,800 Frontier Insurance Group Inc....................
81,200
9,100 Fulton Financial Corporation....................
175,175
3,499 Fund American Enterprises Holdings Inc.+........
253,677
6,800 Gallagher (Arthur J.) & Company.................
249,900
1,700 Great American Management & Investment
Company.......................................
62,050
9,600 Great Financial Corporation.....................
200,400
3,300 Guaranty National Corporation...................
58,162
13,500 Hancock Holding Company.........................
452,250
3,900 Harleysville Group Inc..........................
99,450
6,470 Harleysville National Corporation,
Pennsylvania..................................
171,758
</TABLE>
See Notes to Financial Statements.
65
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
2,800 HCC Insurance Holdings Inc.+.................... $
86,800
300 Heritage Financial Services Inc.................
5,850
20,600 Home Beneficial Corporation, Class B............
478,950
10,300 Horace Mann Educators Corporation...............
292,262
3,100 HUBCO Inc.......................................
61,225
5,400 IBS Financial Corporation.......................
81,000
3,900 Imperial Credit Industries+.....................
78,975
2,600 Independent Insurance Group.....................
65,650
6,800 Integon Corporation.............................
115,600
64,900 Inter-Regional Financial Group Inc..............
2,076,800
1,200 Irwin Financial Corporation.....................
42,600
800 ISB Financial Corporation.......................
12,400
6,500 JDN Realty Corporation..........................
140,562
47,700 Jefferies Group Inc.............................
1,884,150
8,700 Jefferson Bankshares Inc........................
195,750
15,900 John Alden Financial Corporation................
333,900
6,400 JSB Financial Inc...............................
198,400
5,000 Kansas City Life Insurance Company..............
247,500
16,700 Keystone Financial Inc..........................
534,400
7,300 Lawyers Title Corporation.......................
107,675
5,500 Leader Financial Corporation....................
187,000
14,300 Legg Mason Inc..................................
421,850
10,800 Liberty Corporation.............................
356,400
9,072 Liberty Financial Companies.....................
243,810
5,500 Life Partners Group Inc.........................
98,312
8,400 Life Re Corporation.............................
169,050
10,200 Life USA Holding Inc.+..........................
90,525
5,800 Loyola Capital Corporation......................
203,000
12,400 Magna Group Inc.................................
285,200
7,700 Markel Corporation+.............................
523,600
1,600 McDonald & Company Investments Inc..............
27,000
60,500 McGrath Rent Corporation........................
1,028,500
7,300 Mercer International Inc.+......................
176,112
9,170 Mid Am Inc......................................
142,708
11,800 Midland Company.................................
528,050
4,700 MMI Companies Inc...............................
109,275
128,700 Morgan Keegan Inc...............................
1,480,050
7,815 Mutual Assurance Inc............................
234,938
4,200 National Auto Center Inc.+......................
60,900
9,200 National Re Corporation.........................
292,100
2,800 Navigators Group Inc.+..........................
37,800
7,900 North American Manufacturing Company............
176,762
</TABLE>
See Notes to Financial Statements.
66
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
600 NYMAGIC Inc..................................... $
9,825
9,800 Oasis Residential Inc...........................
221,725
3,900 Omega Financial Corporation.....................
109,200
58,100 Orion Capital Corporation.......................
2,440,200
3,700 PEC Israel Economic Corporation+................
94,812
11,800 Penncorp Financial Group Inc....................
268,450
1,900 Peoples First Corporation.......................
43,225
11,500 Peoples Heritage Financial Group Inc............
234,312
45,700 PHH Corporation.................................
1,993,662
1,600 Pikeville Noat Corporation......................
32,000
118,300 Pioneer Financial Services Inc..................
1,611,838
7,400 Piper Jaffray Inc...............................
107,300
15,200 Presidential Life Corporation...................
133,000
9,600 Price Enterprises Inc...........................
139,200
7,900 Primark Corporation+............................
199,475
11,600 Protective Life Corporation.....................
330,600
4,800 PXRE Corporation................................
120,600
93,900 Raymond James Financial Inc.....................
2,065,800
1,400 Reinsurance Group of America....................
47,250
33,300 Reliance Group Holdings Inc.....................
266,400
4,043 Resource Bankshares Manufacturing Group Inc.+...
66,196
15,200 Riggs National Corporation+.....................
201,400
1,700 Rightchoice Managed Care Inc., Class A+.........
25,075
1,125 RLI Corporation.................................
25,312
24,500 Roosevelt Financial Group Inc...................
444,062
300 RS Financial Corporation........................
11,587
9,100 St. Frances Capital Corporation+................
204,750
500 SCOR U.S. Corporation...........................
5,500
80,000 Scotsman Industries Inc.........................
1,500,000
2,900 Seafield Capital Corporation....................
101,500
5,800 Security Capital Corporation, Wisconsin+........
310,300
3,300 Security-Connecticut Corporation................
87,862
8,000 Selective Insurance Group Inc...................
274,000
5,500 SFFed Corporation...............................
165,000
300 Shoreline Financial Corporation.................
5,662
5,100 Shurgard Storage Centers Inc., Class A..........
123,675
8,500 Standard Financial Inc.+........................
123,250
11,100 Stewart Information Services Corporation........
208,125
500 Student Loan Corporation........................
14,875
5,500 TR Financial Corporation........................
124,437
2,600 The Money Store Inc.............................
170,625
6,200 Trans Financial Inc.............................
106,950
</TABLE>
See Notes to Financial Statements.
67
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
3,600 Transnational Re Corporation, Class A+.......... $
86,850
4,200 Trenwick Group Inc..............................
198,450
2,200 Trust Company...................................
30,800
17,900 Trustmark Corporation...........................
313,250
6,700 UMB Financial Corporation.......................
257,950
24,000 United Insurance Companies Inc.+................
354,000
700 United Wisconsin Services Inc...................
15,050
100,000 US Facilities Corporation.......................
1,818,750
11,000 UST Corporation+................................
152,625
5,700 Vallicorp Holdings Inc..........................
101,175
700 Vermont Financial Services Corporation..........
21,175
5,600 Vesta Insurance Group Inc.......................
210,000
5,300 Washington National Corporation.................
120,575
9,100 Webster Financial Corporation...................
241,150
11,300 Wellsford Residential Property Trust............
244,362
3,700 Western National Corporation....................
46,250
1,500 White River Corporation+........................
54,750
3,700 Whitney Holding Company.........................
123,025
2,900 York Financial Corporation......................
55,100
7,800 Zenith National Insurance Corporation...........
178,425
----------
- --
65,385,836
----------
- --
BASIC INDUSTRIES -- 12.1%
700 20th Century Industries+........................
11,025
4,600 Acme Metals Inc.+...............................
78,200
4,000 Addington Resources Inc.+.......................
54,750
9,500 AK Steel Holding Corporation+...................
302,812
12,900 Allied Waste Industries Inc.+...................
120,937
5,300 Amax Gold Inc.+.................................
34,450
104,900 Amcast Industrial Corporation...................
1,993,100
3,500 AMCOL International Corporation.................
55,125
65,400 Armco Inc.+.....................................
408,750
41,500 Barnes Group Inc................................
1,711,875
16,500 Birmingham Steel Corporation....................
334,125
8,200 Brush Wellman Inc...............................
168,100
65,000 Butler Manufacturing Company....................
1,763,125
15,200 Calgon Carbon Corporation.......................
172,900
8,200 Calmat Company..................................
149,650
2,200 Cambrex Corporation.............................
88,000
5,400 Carpenter Technology Corporation................
411,750
6,200 CasTech Aluminum Group Inc.+....................
113,925
1,600 Castle (A M) & Company..........................
34,800
</TABLE>
See Notes to Financial Statements.
68
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
2,100 Chaparral Steel Company......................... $
24,150
69,800 Chesapeake Corporation..........................
2,538,975
5,800 Chic By H.I.S. Inc.+............................
52,200
52,600 Cleveland Cliffs Inc............................
2,380,150
8,600 Coeur d'Alene Mines Corporation.................
164,475
44,000 Collins & Aikman Corporation+...................
379,500
85,600 Commercial Metals Company.......................
2,418,200
13,700 Cone Metals Corporation+........................
195,225
6,200 Converse Inc.+..................................
37,200
27,300 CSS Industries Inc.+............................
508,462
2,500 Cytec Industries Inc.+..........................
151,250
7,700 Dames & Moore Inc...............................
107,800
9,300 Delta Woodside Industries Inc...................
77,887
8,900 Dexter Corporation..............................
220,275
400 Donnkenny Inc.+.................................
11,450
900 Fab Industries Inc..............................
27,787
4,000 Fibreboard Corporation+.........................
95,000
60,000 First Mississippi Corporation...................
1,987,500
6,100 Florida Rock Industries Inc.....................
169,275
2,000 Foamex International Inc.+......................
19,000
8,600 Fuller (H.B.) Company...........................
294,550
5,000 Furon Company...................................
102,500
7,800 Galey & Lord Inc.+..............................
99,450
17,700 Gaylord Container Corp, Class A+................
207,975
7,800 General Binding Corporation.....................
159,900
8,500 Geneva Steel Company, Class A+..................
72,250
13,400 Geon Company....................................
356,775
1,900 Goody's Family Clothing Inc.....................
26,600
13,800 Greif Brothers Corporation, Class A.............
300,150
75,000 Guilford Metals Inc.............................
1,875,000
7,900 Handy & Harman..................................
116,525
32,000 Hecla Manufacturing Company+....................
368,000
2,600 Huntco Inc, Class A.............................
44,850
15,000 Interco Inc.+...................................
118,125
22,400 International Technology Corporation+...........
72,800
1,100 Interpool Inc.+.................................
19,112
7,800 J & L Specialty Steel Inc.......................
199,875
45,300 JLG Industries Inc..............................
1,676,100
2,600 Johnston Industries Inc.........................
23,400
800 Johnstown American Industries Inc.+.............
6,400
5,000 Kaiser Aluminum Corporation+....................
86,875
5,100 LADD Furniture Inc..............................
66,300
</TABLE>
See Notes to Financial Statements.
69
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
7,600 Lawter International Inc........................ $
89,300
1,500 LeaRonal Inc....................................
34,125
6,500 Lilly Industries Inc., Class A..................
78,812
1,100 Lone Star Industries Inc........................
25,713
3,800 Lufkin Industries Inc...........................
81,700
10,100 Lukens Inc......................................
303,000
26,700 Magma Copper Company+...........................
487,275
5,300 McClatchy Newspapers Inc., Class A..............
118,587
3,600 Medusa Corporation..............................
99,000
15,200 Miller (Herman) Inc.............................
399,000
2,000 Mine Safety Appliances Company..................
106,000
11,100 Mississippi Chemical Corporation................
246,975
2,800 MK Gold Company+................................
10,500
4,800 MK Rail Corporation.............................
33,600
6,100 Mohawk Industries Inc.+.........................
109,800
1,300 Mosinee Paper Corporation.......................
30,225
5,700 Mueller Industries Inc.+........................
314,925
8,300 NAC Re Corporation..............................
302,950
1,100 NACCO Industries Inc., Class A..................
63,250
11,900 National Steel Corporation, Class B+............
199,325
3,400 NCH Corporation.................................
194,650
5,800 Nortek Inc.+....................................
53,650
7,500 Northwestern Steel & Wire Company+..............
73,125
5,600 O M Group Inc...................................
168,000
2,600 Oil Dri Corporation.............................
40,950
11,600 Oregon Steel Metals Inc.........................
194,300
78,500 Oxford Industries Inc...........................
1,413,000
900 Petrolite Corporation...........................
23,175
7,900 Ply Gem Industries Inc..........................
148,125
10,700 Pope & Talbot Inc...............................
167,187
12,700 Precision Castparts Corporation.................
430,212
18,000 Presley Companies, Class A+.....................
33,750
23,100 Quaker Chemical Corporation.....................
352,275
1,800 Quanex Corporation..............................
42,975
16,300 Rock-Tenn Company, Class A......................
287,287
6,500 Rouge Steel Company, Class A....................
163,312
3,300 Sanderson Farms Inc.............................
38,775
900 Schnitzer Steel Industries Inc., Class A........
24,075
12,600 Sealright Company...............................
163,800
1,200 Shiloh Industries Inc.+.........................
14,850
2,700 Simpson Manufacturing Inc.+.....................
31,725
9,000 Spartech Corporation............................
65,250
</TABLE>
See Notes to Financial Statements.
70
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
14,600 Steel Technologies Inc.......................... $
152,387
10,600 Stepan Chemical Company.........................
178,875
41,500 Texas Industries Inc............................
2,049,062
61,800 Thiokol Corporation.............................
2,155,275
5,500 Timberland Company, Class A+....................
160,187
5,600 TJ International Inc............................
113,400
10,400 Tredegar Industries Inc.........................
318,500
1,100 Tuscarora Inc...................................
24,475
3,300 Univar Corporation..............................
51,150
3,700 Universal First Products Inc....................
32,375
8,800 Universal Industries Inc........................
69,300
45,000 Vigoro Corporation..............................
1,980,000
25,300 Weirton Steel Corporation+......................
142,312
8,900 Westpoint Stevens Inc., Class A+................
199,137
2,900 Whittaker Corporation+..........................
56,550
12,700 WHX Corporation+................................
160,337
2,100 Wolverine Tube Inc.+............................
81,900
----------
- --
41,050,404
----------
- --
CONSUMER SERVICES -- 11.2%
3,500 Aaron Rents Inc., Class A.......................
62,562
7,600 ABM Industries Inc..............................
195,700
800 Ackerley Communications Inc.....................
11,800
8,000 Actava Group Inc.+..............................
127,000
1,900 Adelphia Communications Corp, Class A+..........
18,525
900 Alexanders Inc.+................................
53,775
18,300 Allwaste Inc.+..................................
98,362
2,900 American Classic Voyages Company................
30,812
23,300 American Media Inc., Class A....................
139,800
5,300 AnnTaylor Stores Corporation+...................
102,687
4,500 Arbor Drugs Inc.................................
84,375
7,900 Autotote Corporation, Class A+..................
28,637
10,700 Aviall Inc......................................
82,925
25,000 Aztar Corporation+..............................
246,875
8,600 Baker (J.) Inc..................................
76,325
33,200 Bally Entertainment Corporation+................
402,550
7,800 Banta Corporation...............................
306,150
200 Berlitz International Inc.+.....................
2,950
18,300 Best Products Inc.+.............................
157,837
1,200 Big B Inc.......................................
19,200
16,088 BJ Services Company+............................
402,200
54,800 Blair Corporation...............................
1,828,950
</TABLE>
See Notes to Financial Statements.
71
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
8,100 Bon-Ton Stores Inc.+............................ $
68,850
72,200 Borg Warner Automotive Inc......................
2,147,950
106,600 Bowne & Company Inc.............................
1,932,125
34,200 Broadway Stores Inc.+...........................
235,125
11,300 C-Tec Corporation+..............................
263,431
11,700 Caldor Corporation+.............................
90,675
6,200 Carmike Cinemas Inc., Class A+..................
127,100
11,400 Carson Pirie Scott & Company+...................
205,200
1,200 Casino Magic Corporation+.......................
6,675
7,500 Cato Corporation, Class A.......................
54,375
1,300 Central Tractor Farm & Country Inc.+............
14,625
3,200 Century Communications Corporation, Class A+....
31,600
64,300 Charming Shoppes Inc............................
337,575
7,600 Citicasters Inc., Class A+......................
290,700
8,600 CKE Restaurants Inc.............................
118,250
7,300 CPI Corporation.................................
146,912
900 Dart Group Corporation, Class A.................
74,812
1,900 Delchamps Inc...................................
36,100
5,300 Dial Page Inc.+.................................
99,375
23,400 Discovery Zone Inc.+............................
176,962
500 Dollar Tree Stores Inc.+........................
14,875
10,800 Dress Barn Inc.+................................
102,600
4,900 Dual Drilling Company+..........................
51,450
2,100 E Town Corporation..............................
56,437
9,500 Eagle Hardware & Garden Inc.+...................
72,437
11,100 Egghead Inc.+...................................
133,200
200 Equity Corporation International+...............
4,400
6,900 Equity Inns Inc.................................
81,937
4,300 Exabyte Corporation+............................
65,038
26,400 Executone Information Systems Inc.+.............
66,000
3,100 Fabric Centers of America Inc., Class A+........
42,237
3,100 Fabric Centers of America Inc., Class B+........
35,262
24,700 Family Dollar Stores Inc........................
450,775
127,400 Fays Inc........................................
1,019,200
29,100 Fingerhut Companies Inc.........................
454,687
2,100 GC Companies Inc.+..............................
70,350
14,200 General Host Corporation+.......................
88,750
2,700 Genovese Drug Stores Inc, Class A...............
28,012
10,000 Gibson Greetings Inc............................
143,750
5,200 Good Guys Inc.+.................................
65,650
400 Grey Advertising Inc............................
74,000
84,300 Haggar Corporation..............................
1,633,312
</TABLE>
See Notes to Financial Statements.
72
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
14,100 Hancock Fabric Inc.............................. $
148,050
146,800 Handleman Company...............................
1,394,600
2,800 Harland John H Company..........................
61,950
1,000 Harveys Casino Resorts..........................
18,750
5,200 Haverty Furniture Companies Inc.................
63,700
5,600 Hayes Wheels International Inc..................
119,000
20,100 Hechinger Company, Class A......................
108,037
6,029 Hills Stores Company+...........................
81,391
1,200 Hollywood Casino Corporation, Class A+..........
10,200
10,400 Hollywood Park Inc..............................
143,000
1,200 Hornbeck Offshore Services Inc.+................
18,075
9,300 Huffy Corporation...............................
110,437
9,500 IDEON Group Inc.................................
100,937
3,200 Interim Services Inc.+..........................
83,200
12,700 Johnson Worldwide Association Inc.+.............
307,975
6,000 Kinder Care Learning Centers Inc.+..............
80,250
8,200 Lechters Inc.+..................................
86,100
3,400 Libbey Inc......................................
77,350
3,400 Lillian Vernon Corporation......................
54,825
8,400 Longs Drug Stores Corporation...................
310,800
9,000 Luby's Cafeterias Inc...........................
178,875
14,800 MacFrugal's Bargains Close Out Inc.+............
247,900
17,500 Marcus Corporation..............................
551,250
18,800 Marine Drilling Companies Inc.+.................
91,650
45,000 Marsh Supermarkets Inc., Class B................
540,000
400 Medicine Shoppe International Inc...............
17,150
77,100 Merrill Corporation.............................
1,426,350
17,400 Meyer Fred Inc.+................................
417,600
5,400 Michaels Stores Inc.+...........................
87,750
4,800 MicroAge Inc.+..................................
56,400
20,500 Musicland Stores Corporation+...................
194,750
74,700 Nash Finch Company..............................
1,512,675
20,800 National Ed Corporation+........................
158,600
1,900 New England Business Service Inc................
37,050
13,000 Omega Environmental Inc.+.......................
47,938
15,100 Orion Pictures Corporation+.....................
138,731
30,200 Payless Cashways Inc.+..........................
188,750
1,200 Penn Traffic Company+...........................
20,100
13,100 Petrie Stores Corporation.......................
50,762
7,400 Pharmaceutical Marketing Services Inc.+.........
75,850
23,070 Pier 1 Imports Inc..............................
213,397
3,500 Pinkertons Inc.+................................
61,031
</TABLE>
See Notes to Financial Statements.
73
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
10,100 Pool Energy Services Company+................... $
95,319
17,300 President Casinos Inc.+.........................
65,956
17,600 Prime Hospitality Corporation+..................
189,200
500 Proffits Inc.+..................................
13,187
110,000 Quixote Corporation.............................
1,430,000
39,600 Reading & Bates Corporation+....................
480,150
200 Rex Stores Corporation+.........................
3,450
42,900 Rollins Environmental Services Inc.+............
198,412
17,100 Ross Stores Inc.................................
273,600
2,400 Roto-Rooter Inc.................................
74,400
6,800 Ruddick Corporation.............................
181,900
28,100 Ryans Family Steak Houses Inc.+.................
210,750
6,700 Rykoff (S.E.) & Company.........................
152,425
18,900 Savoy Pictures Entertainment Inc.+..............
170,100
4,800 Scotts Company, Class A+........................
108,000
67,200 Service Merchandise Inc.+.......................
478,800
20,100 Shoney's Inc.+..................................
233,662
129,300 Shopko Stores Inc...............................
1,632,412
4,400 Showbiz Pizza Time Inc.+........................
55,894
8,100 Showboat Inc....................................
186,300
1,000 Sodak Gaming Inc.+..............................
18,000
3,800 Sonat Offshore Drilling Inc.....................
130,150
3,300 Sportmart Inc.+.................................
32,175
3,100 Sports Authority Inc.+..........................
84,863
2,500 Sports & Recreation Inc.+.......................
29,687
8,900 Storage USA Inc.................................
261,437
75,400 Strawbridge & Clothier Company, Series A........
1,376,050
9,100 Sun Television & Appliances Inc.................
59,719
143,000 Super Food Services Inc.........................
1,894,750
8,200 TCBY Enterprises Inc............................
45,100
4,400 Tanger Factory Outlet Center....................
114,400
200 Thompson PBE Inc.+..............................
3,600
500 Tiffany & Company...............................
21,375
1,310 Toys 'R' Us Inc.+...............................
34,060
13,800 True North Communications Inc...................
296,700
8,400 Tuboscope Vetco International Corporation+......
54,600
9,300 Unifirst Corporation............................
129,037
9,291 USA Waste Services Inc.+........................
181,175
13,300 Valassis Communications Inc.+...................
197,837
8,300 Value City Department Stores Inc.+..............
63,288
12,400 Valuevision International Inc., Class A+........
84,475
12,900 Venture Stores Inc..............................
75,787
</TABLE>
See Notes to Financial Statements.
74
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
3,800 VICORP Restaurants Inc.+........................ $
47,500
22,300 Waban Inc.+.....................................
420,912
9,400 Webb (Del) Corporation..........................
175,075
11,900 Western Publishing Group Inc.+..................
130,900
1,200 Wolohan Lumber Company..........................
14,100
17,100 Younkers Inc.+..................................
294,975
17,400 Zale Corporation+...............................
252,300
----------
- --
38,143,903
----------
- --
CAPITAL GOODS -- 10.3%
10,800 AAR Corporation.................................
179,550
40,000 Agco Corporation................................
1,945,000
7,600 Air & Water Technologies Corporation, Class
A+............................................
45,125
12,100 Albany International Corporation, Class A.......
293,425
4,900 American Annuity Group Inc......................
52,062
8,500 American Mobile Satellite Corporation+..........
229,500
500 American Telecasting Inc.+......................
5,375
1,800 Ameron Inc......................................
65,025
9,400 Apogee Enterprises Inc..........................
148,050
2,300 Aptargroup Inc..................................
73,025
4,800 Argonaut Group Inc..............................
146,400
19,500 Arvin Industries Inc............................
426,562
2,300 Astec Industries Inc.+..........................
25,875
4,300 Avondale Industries Inc.+.......................
59,125
6,600 Baldor Electric Company.........................
230,175
17,700 Bassett Furniture Industries Inc................
438,075
4,700 Bearings Inc....................................
159,212
2,600 Beazer Homes USA Inc.+..........................
41,275
12,500 Blount Inc., Class A............................
625,000
6,100 BMC West Corporation+...........................
89,975
50,300 Brenco Inc......................................
591,025
3,300 Business Records Corporation Holdings
Company+......................................
136,950
4,500 Centex Construction Products Inc.+..............
58,500
2,800 Chittenden Corporation..........................
76,300
6,400 Commercial Intertech Corporation................
128,800
1,800 Computer Language Research Inc..................
18,900
90,500 Continental Homes Holding Corporation...........
1,900,500
5,700 Cubic Corporation...............................
137,512
800 Curtiss Wright Corporation......................
35,200
6,500 Daniel Industries Inc...........................
99,937
35,000 Douglas & Lomason Company.......................
472,500
1,700 DT Industries Inc...............................
22,100
</TABLE>
See Notes to Financial Statements.
75
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
12,600 Duriron Company................................. $
321,300
12,900 Duty Free International Inc.....................
146,737
1,500 Elcor Corporation+..............................
33,000
222,200 Fedders Corporation.............................
1,499,850
18,400 Giddings & Lewis Inc............................
301,300
15,800 Gorman Rupp Company.............................
235,025
13,100 Goulds Pumps Inc................................
281,650
4,200 Granite Construction Inc........................
109,200
420 Harman International Industries Inc.............
18,690
2,500 Hughes Supply Inc...............................
65,937
5,900 Imo Industries Inc.+............................
55,312
1,500 Intelligent Electronics Inc.....................
13,875
5,700 International Aluminum Corporation..............
178,125
18,133 International Cabletel Inc.+....................
489,591
4,700 Ionics Inc.+....................................
185,062
4,100 Joslyn Corporation..............................
138,887
1,000 Juno Lighting Inc...............................
17,562
12,300 Justin Industries Inc...........................
133,762
141,800 Kaman Corporation, Class A......................
1,701,600
6,000 Kasler Holding Company+.........................
36,750
21,000 Kaufman & Broad Home Corporation................
280,875
90,700 Kysor Industrial Corporation....................
1,950,050
1,200 Lawson Products Inc.............................
33,900
71,700 Lennar Corporation..............................
1,389,187
300 Lindsay Manufacturing Company+..................
10,350
2,100 Manitowac Inc...................................
57,488
18,700 MascoTech Inc...................................
245,438
1,000 Matthews International Corporation, Class A.....
20,125
5,200 Measurex Corporation............................
153,400
15,900 Mesa Airlines Inc.+.............................
168,938
1,000 Metricom Inc.+..................................
20,750
3,200 Mikasa Inc.+....................................
44,800
21,900 Morrison Knudsen Corporation....................
169,725
2,300 National Presto Industries Inc..................
97,750
6,500 NVR Inc.+.......................................
63,781
4,400 Oakwood Homes Corporation.......................
140,800
7,200 Pacific Scientific Company......................
180,900
2,500 Park Ohio Industries & Inc.+....................
35,625
5,900 Pittway Corporation, Class A....................
315,650
1,700 Plantronics Inc.+...............................
61,200
3,200 Raymond Corporation+............................
62,400
104,700 Regal Beloit Corporation........................
1,963,125
</TABLE>
See Notes to Financial Statements.
76
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
3,400 Rexel Inc.+..................................... $
32,725
1,500 Robbins & Myers Inc.............................
41,156
12,200 Rohr Inc.+......................................
189,100
4,100 Skywest Inc.....................................
92,763
83,200 Smith (A.O.) Corporation........................
2,069,600
3,100 Specialty Equipment Companies Inc.+.............
39,525
9,000 SPS Technologies Inc.+..........................
351,000
7,100 SPX Corporation.................................
107,388
18,500 Standard Pacific Corporation....................
129,500
7,700 Starrett (L.S.) Company, Class A................
177,100
3,800 Stone & Webster Inc.............................
140,600
51,000 Sturm Ruger & Company Inc.......................
1,721,250
40,000 Tecumseh Products Company, Class A..............
1,940,000
1,800 Teleflex Inc....................................
72,675
1,300 Toll Bros Inc.+.................................
23,238
1,375 US Data Corporation+............................
23,031
8,500 US Home Corporation+............................
204,000
12,400 Valmont Industries Inc..........................
275,900
75,100 Varlen Corporation..............................
1,952,600
5,400 Western Waste Industries+.......................
122,175
900 Woodhead Daniel Inc.............................
12,713
68,000 Wyle Electronics Company........................
2,592,500
11,800 Wyman Gordon Company+...........................
151,925
8,500 Zurn Industries Inc.............................
185,938
----------
- --
35,033,909
----------
- --
UTILITIES -- 7.5%
3,200 Aquarion Company................................
74,000
10,600 Atmos Energy Corporation........................
210,675
3,900 Bay State Gas Company...........................
91,650
4,400 Black Hills Corporation.........................
106,700
2,000 California Water Service Company................
62,000
6,000 Cascade Natural Gas Corporation.................
84,750
54,800 Central Hudson Gas & Electric Corporation.......
1,520,700
16,900 Central Louisiana Electric Inc..................
414,050
22,800 Central Maine Power Company.....................
262,200
6,000 Central Vermont Public Service Corporation......
82,500
8,500 CILCORP Inc.....................................
303,875
32,309 Citizens Utilities Company, Series B+...........
355,397
13,500 Colonial Gas Company............................
263,250
40,700 Commonwealth Energy Systems.....................
1,653,438
1,400 Connecticut Energy Corporation..................
27,125
</TABLE>
See Notes to Financial Statements.
77
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
5,400 Connecticut Natural Gas Corporation............. $
118,800
3,500 Consumers Water Company.........................
57,750
57,400 Eastern Utilities Association...................
1,341,725
26,000 El Paso Electric Company+.......................
17,875
5,200 Empire District Electric Company................
92,300
92,600 Energen Corporation.............................
2,025,625
1,800 Green Mountain Power Corporation................
47,250
69,000 IES Industries Inc..............................
1,742,250
9,900 Indiana Energy Inc..............................
205,425
7,500 Interstate Power Company........................
183,750
2,400 IWC Resource Corporation........................
45,600
18,000 KN Energy Inc...................................
470,250
6,100 Laclede Gas Company.............................
121,238
4,600 Madison Gas & Electric Company..................
151,800
13,000 MDU Resources Group Inc.........................
393,250
92,904 Midamerican Energy Company......................
1,323,881
7,000 New Jersey Resource Corporation.................
168,000
7,200 Northwest Natural Gas Company...................
223,200
9,700 Northwestern Public Service Company.............
243,713
20,000 ONEOK Inc.......................................
437,500
37,800 Orange & Rockland Utilities Inc.................
1,242,675
11,000 Otter Tail Power Company........................
365,750
3,900 Penn Enterprises Inc............................
123,825
2,700 Philadelphia Suburban Corporation...............
48,600
12,700 Piedmont Natural Gas Inc........................
258,763
27,900 Public Service Company of New Mexico+...........
425,475
4,700 Public Service Company of North Carolina Inc....
71,675
1,500 South Jersey Industries.........................
29,813
77,500 Southern California Water Company...............
1,395,000
42,900 Southern Indiana Gas & Electric Company.........
1,356,713
16,200 Southwest Gas Corporation.......................
267,300
5,800 Southwestern Energy Company.....................
73,225
8,900 St Joseph Light & Power Company.................
263,663
70,000 Swift Energy Company+...........................
630,000
7,500 TNP Enterprises Inc.............................
127,500
103,700 Tucson Electric Power Company+..................
311,100
15,200 UGI Corporation.................................
324,900
8,300 United Cities Gas Company.......................
128,650
41,800 United Illuminating Company.....................
1,400,300
12,800 United Water Resources..........................
166,400
19,600 Washington Energy Company.......................
325,850
12,200 WICOR Inc.......................................
358,375
</TABLE>
See Notes to Financial Statements.
78
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
UTILITIES (CONTINUED)
9,600 WPS Resource Corporation........................ $
277,200
26,600 Yankee Energy Systems Inc.......................
555,275
----------
- --
25,451,519
----------
- --
BANKING -- 7.4%
6,400 American Federal Bank, Greenville, South
Carolina......................................
97,600
1,300 Anchor Bancorp Wisconsin Inc....................
49,319
21,250 Associated Banc Corporation.....................
755,703
14,500 BancorpSouth Inc................................
580,000
3,000 Bank of New Hampshire Corporation...............
89,250
5,700 Bankers Corporation.............................
101,175
7,000 Banker's First Corporation......................
209,125
4,400 Banknorth Group Inc.............................
138,600
4,500 Bell Bancorp Inc................................
144,000
14,200 Boston Bancorp..................................
575,100
1,400 Brenton Banks Inc...............................
28,175
7,700 Brooklyn Bancorp Inc.+..........................
287,788
3,400 BSB Bancorp Inc.................................
106,250
3,300 California Bancshares Inc.+.....................
73,838
34,100 California Federal Bank+........................
503,750
11,900 Centura Banks Inc...............................
370,388
1,400 Citfed Bancorp Inc..............................
52,500
7,600 Citizens Bancorp, Maryland......................
232,750
9,000 Citizens Bancshares Inc.........................
324,000
16,100 Citizens Banking Corporation, Michigan..........
491,050
800 Citizens Corporation............................
15,300
600 Citizens Inc., Class A+.........................
5,550
2,800 CNB Bancshares Inc..............................
80,500
91,600 Collective Bancorp Inc..........................
2,290,000
24,200 Colonial Bancgroup Inc..........................
695,750
3,200 Columbia First Bank+............................
188,400
7,200 Commerce Bancorp Inc............................
161,100
3,100 Community First Bankshares Inc..................
55,800
8,200 Cullen Frost Bankers Inc........................
377,200
6,100 F & M Bancorp...................................
164,700
600 Farmers Capital Bank Corporation................
23,400
8,800 First Citizens Bancshares Inc...................
462,000
2,500 First Federal Savings Bank......................
75,938
2,700 First Financial Bancorp.........................
91,463
1,700 First Financial Bankshares Inc..................
53,550
10,070 First Michigan Bank Corporation.................
253,009
4,000 First Midwest Bancorp Inc.......................
112,500
5,200 First National Bancorp..........................
127,400
</TABLE>
See Notes to Financial Statements.
79
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
2,000 First Western Bancorp Inc....................... $
65,000
1,600 Firstbank Illinois Company......................
45,200
5,250 Firstbank Puerto Rico San Juan+.................
126,000
4,100 Firstfed Financial Corporation+.................
67,650
10,800 Firstfed Michigan Corporation...................
382,050
29,200 Glendale Federal Savings Bank+..................
459,900
9,400 Greater New York Savings Bank+..................
111,625
800 Harris Savings Bank.............................
14,600
8,800 Hawkeye Bancorporation..........................
220,550
180,000 Hibernia Corporation............................
1,800,000
2,800 Homeland Bankshares Corporation.................
79,800
6,000 Imperial Bancorp+...............................
122,250
1,300 Intercontinental Bank...........................
37,863
5,700 Liberty Bancorp Inc.............................
209,475
5,700 Life Bancorp Inc................................
90,488
7,700 Long Island Bancorp Inc.........................
195,388
1,760 MAF Bancorp Inc.................................
42,240
12,100 Magna Bancorp Inc...............................
344,850
5,000 Mark Twain Bancshares Inc.......................
175,000
1,800 Maryland Federal Bancorp Inc....................
59,400
600 Mid America Bancorp.............................
11,250
3,100 MLF Bancorp Inc.................................
73,625
4,400 NS Bancorp Inc..................................
151,800
600 National Bancorp Alaska Inc.....................
34,800
200 National City Bancshares Inc....................
8,250
13,700 National Commerce Bancorporation................
335,650
15,076 NBD Bancorp Inc.................................
538,967
2,500 NBT Bancorp Inc.................................
40,000
6,400 New York Bancorp Inc............................
130,400
10,750 North Side Savings Bank.........................
311,750
17,400 Northfork Bancorporation........................
337,125
10,200 Onbancorp Inc...................................
291,975
9,200 One Valley Bancorp West Virginia Inc............
282,900
5,500 Peoples Bank....................................
109,313
200 Pinnacle Banc Group Inc.........................
5,600
23,600 Premier Bancorp.................................
469,050
5,700 Provident Bancorp Inc...........................
238,688
5,075 Provident Bankshares Corporation................
150,981
2,900 Queens County Bancorp Inc.......................
105,850
5,400 Reliance Bancorp Inc............................
76,275
8,800 Republic Bancorp Inc............................
117,700
13,300 River Forest Bancorp............................
598,500
9,700 Rochester Community Savings Bank................
236,438
</TABLE>
See Notes to Financial Statements.
80
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BANKING (CONTINUED)
6,000 S & T Bancorp Inc............................... $
147,000
28,300 Sovereign Bancorp Inc...........................
283,000
13,000 St Paul Bancorp Inc.............................
328,250
1,600 Sumitomo Bank...................................
37,600
24,500 Summit Bancorporation...........................
612,500
22,400 Susquehanna Bancshares Inc......................
632,800
100 Tompkins County Trust Company...................
3,200
6,840 Trustco Bank Corporation........................
136,800
1,400 United Bankshares Inc...........................
41,650
9,700 United Carolina Bancshares Corporation..........
339,500
900 United Countys Bancorporation...................
174,600
700 US Bancorp......................................
20,125
3,400 Victoria Bankshares Inc.........................
98,600
3,700 Wesbanco Inc....................................
105,913
5,600 Westamerica Bancorporation......................
208,600
42,100 Zions Bancorp...................................
2,326,025
----------
- --
25,246,300
----------
- --
TECHNOLOGY -- 6.0%
26,700 American Business Products Inc..................
503,963
8,400 Amtrol Inc......................................
140,700
4,300 Analogic Corporation............................
81,700
16,300 Applied Magnetics Corporation+..................
187,450
9,800 Artisoft Inc.+..................................
121,275
11,100 Augat Inc.......................................
244,200
5,100 BancTec Inc.+...................................
87,975
3,700 Bell Industries Inc.+...........................
78,163
16,000 Borland International Inc.+.....................
224,000
4,900 Brooktree Corporation+..........................
97,388
5,100 Caere Corporation+..............................
61,200
300 Circon Corporation+.............................
5,588
1,800 Comdata Holdings Corporation+...................
42,975
50,000 Comdisco Inc....................................
1,525,000
9,700 Compression Labs Inc.+..........................
80,025
25,700 Computervision Corporation+.....................
298,763
16,700 Conner Peripherals Inc.+........................
223,363
4,400 Control Data Systems Inc.+......................
44,275
18,400 Cray Research Inc.+.............................
427,800
6,600 Crosscomm Corporation+..........................
76,725
25,400 Data General Corporation+.......................
247,650
3,600 Designs Inc.+...................................
31,050
7,100 Ekco Group Inc..................................
47,038
19,950 Electro Rent Corporation+.......................
339,150
</TABLE>
See Notes to Financial Statements.
81
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
120,000 Ennis Business Forms Inc........................ $
1,560,000
3,200 Evans & Sutherland Computer+....................
60,000
3,800 Fluke Corporation...............................
146,300
4,500 GenRad, Inc.+...................................
37,125
14,800 Gerber Scientific Inc...........................
253,450
400 Hutchinson Technology Inc.+.....................
31,300
3,400 InaCom Corporation+.............................
42,500
16,100 Information Resorces Inc.+......................
207,288
32,700 Intergraph Corporation+.........................
404,663
8,600 Intermet Corporation+...........................
95,675
3,300 Logicon Inc.....................................
181,500
120,000 MacNeal Schwendler Corporation..................
1,890,000
4,000 Marshall Industries+............................
127,000
39,400 Maxtor Corporation+.............................
214,238
1,600 McWhorter Technologies Inc.+....................
23,800
12,700 Merisel Inc.+...................................
80,963
9,000 Minerals Technologies Inc.......................
326,250
59,100 MTS Systems Corporation.........................
1,691,738
9,900 Mycogen Corporation+............................
101,475
4,700 Nashua Corporation..............................
84,600
4,300 Network Computing Devices Inc.+.................
31,175
6,138 NEXTEL Communications Inc., Class A+............
109,717
11,400 Orbital Sciences Corporation+...................
195,225
72,800 Park Electrochemical Corporation................
2,074,800
5,125 Price Cellular Corporation+.....................
64,703
75,000 Pioneer Standard Electronics Inc................
1,931,250
11,400 Recognition International Inc.+.................
114,000
16,200 Sci Systems Inc.+...............................
502,200
8,600 Sequent Computer Systems Inc.+..................
203,175
6,100 Southern Union Company+.........................
106,750
9,100 Standard Microsystems Corporation+..............
151,288
12,900 Standard Register Company.......................
274,125
3,800 StarSight Telecast Inc.+........................
17,100
14,400 Stratus Computer Inc.+..........................
403,200
7,100 SyQuest Technology Inc.+........................
117,150
2,900 Syratech Corporation+...........................
53,650
5,700 Tech Data Corporation+..........................
67,688
3,200 Tech System Corporation+........................
93,200
3,900 Telxon Corporation..............................
81,900
2,800 TETRA Technologies Inc.+........................
38,850
200 TGV Software Inc.+..............................
3,000
5,000 Tracor Inc.+....................................
85,000
</TABLE>
See Notes to Financial Statements.
82
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
1,800 Wall Data Inc.+................................. $
32,850
20,900 Wang Labs Inc.+.................................
365,750
4,900 Watkins Johnson Company.........................
246,225
8,000 Winthrop Resources Corporation..................
138,000
2,600 Xircom+.........................................
30,875
3,800 Zeigler Coal Holding Company....................
47,975
10,900 Zero Corporation................................
171,675
----------
- --
20,529,777
----------
- --
CONSUMER NON-DURABLES -- 5.9%
5,500 Acceptance Insurance Companies Inc.+............
90,750
16,800 Alico Inc.......................................
302,400
63,900 American Maize Products Company, Class A........
2,484,112
7,200 Angelica Corporation............................
180,000
2,000 Au Bon Pain Inc., Class A+......................
18,000
4,600 Bombay Company+.................................
38,525
10,900 Brown Group Inc.................................
198,925
10,600 Burlington Coat Factory Wholesale
Corporation+..................................
127,200
22,900 Burlington Industries Inc.+.....................
283,388
15,200 Carter Wallace Inc..............................
195,700
12,600 Cephalon Inc.+..................................
305,550
38,100 Checkers Drive-In Restaurants Inc.+.............
77,391
19,700 Chiquita Brands International Inc...............
310,275
6,200 Church & Dwight Inc.............................
141,825
7,200 Circle K Corporation+...........................
155,700
4,400 Coca Cola Bottling Company......................
146,300
20,200 Coors Adolph Company, Class B...................
343,400
3,300 Dekalb Genetics Corporation, Class B............
131,588
100,000 Dimon Inc.......................................
1,750,000
11,900 Edison Brothers Stores Inc......................
38,675
600 Falcon Products Inc.............................
7,800
4,200 Felcor Suite Hotels Inc.........................
115,500
14,500 Fieldcrest Cannon Inc.+.........................
346,188
19,500 Flagstar Companies Inc.+........................
97,500
18,700 Flowers Industries Inc..........................
385,688
7,500 Foodbrands America Inc.+........................
109,688
27,600 Foodmaker Inc.+.................................
179,400
26,400 Garan Inc.......................................
458,700
18,800 Griffon Corporation+............................
150,400
15,800 Hartmarx Corporation+...........................
102,700
4,000 Helene Curtis Industries Inc....................
118,000
5,500 Hometown Buffet Inc.+...........................
65,313
</TABLE>
See Notes to Financial Statements.
83
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER NON-DURABLES (CONTINUED)
13,100 Hudson Foods Inc................................ $
193,225
5,700 Ingles Markets Inc., Class A....................
59,138
84,800 International Multifoods Corporation............
1,908,000
12,200 Interstate Bakeries Corporation.................
237,900
5,200 J & J Snack Foods Corporation+..................
63,700
400 JP Foodservice Inc.+............................
5,700
12,100 Kellwood Company................................
254,100
18,100 Kimball International Inc., Class B.............
466,075
1,000 Lands End Inc.+.................................
17,375
11,700 Levitz Furniture Inc.+..........................
78,975
3,000 Maybelline Inc..................................
75,750
6,600 Michaels Foods Inc..............................
85,800
2,400 Midwest Grain Products Inc......................
42,000
1,100 Monvadi Robert Corporation, Class A+............
20,625
6,000 Morningstar Group Inc.+.........................
51,750
4,000 O'Sullivan Corporation..........................
44,000
13,000 O'Sullivan Industries Holdings+.................
104,000
1,600 Penwest Ltd.....................................
40,800
15,700 Phillips Van Heusen Corporation.................
231,575
6,700 Pilgrims Pride Corporation......................
52,763
1,500 Pratt & Lambert United Inc......................
33,375
12,400 Ralcorp Holdings Inc.+..........................
280,550
16,900 Savannah Foods & Industries Inc.................
181,675
100 Seaboard Corporation............................
25,000
2,700 Sholodge Inc.+..................................
41,175
14,800 Sizzler International Inc.......................
88,800
9,500 Smucker (J.M.) Company, Class A.................
199,500
2,626 Standard Commercial Corporation.................
31,184
18,900 Stride Rite Corporation.........................
212,625
72,600 Thorn Apple Valley Inc..........................
1,352,175
66,400 Toro Company....................................
1,983,700
14,200 Tultex Corporation+.............................
86,975
26,500 Tyco Toys Inc.+.................................
175,563
219,900 Windmere Corporation............................
1,704,225
9,700 WLR Foods Inc...................................
128,525
----------
- --
20,014,879
----------
- --
CONSUMER DURABLES -- 5.0%
3,200 Anthony Industries Inc..........................
64,400
10,900 BE Aerospace Inc.+..............................
81,750
4,800 BWIP Inc........................................
85,800
4,600 Chromcraft Revington Inc.+......................
105,800
</TABLE>
See Notes to Financial Statements.
84
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES (CONTINUED)
12,100 CML Group Inc................................... $
104,363
105,000 Coachmen Industries Inc.........................
1,693,125
2,300 Cross AT Company, Class A.......................
36,513
2,900 Detroit Diesel Corporation+.....................
54,013
5,400 Donaldson Inc...................................
137,025
1,300 Donnelly Corporation............................
20,800
9,400 Ethan Allen Interiors Inc.+.....................
198,575
2,900 Excel Industries Inc............................
38,425
22,300 Federal Mogul Corporation.......................
496,175
12,500 Figgie International Holdings Inc., Class A+....
160,938
152,300 GenCorp Inc.....................................
1,808,563
50,000 General Housewares Corporation..................
606,250
13,800 Hovnanian Enterprises Inc., Class A+............
84,525
2,700 Hunt Manufacturing Company......................
36,788
15,600 Indresco Inc.+..................................
261,300
8,000 Interface Inc., Class A.........................
120,000
5,300 Knape & Vogt Manufacturing Company..............
91,425
6,200 La Z Boy Chair Company..........................
175,925
7,800 MDC Holdings Inc................................
60,450
13,800 Mid-American Waste Systems Inc.+................
74,175
24,310 Myers Industries Inc............................
352,495
4,100 Oneida Ltd......................................
64,063
7,200 Oshkosh B Gosh Inc., Class A....................
127,800
96,200 Outboard Marine Corporation.....................
2,056,275
9,200 Pillowtex Corporation+..........................
116,150
14,000 Pulte Corporation...............................
378,000
4,000 Rival Company...................................
79,000
20,400 Roadmaster Industries Inc.+.....................
58,650
6,600 Russ Berrie & Company Inc.......................
95,700
20,700 Ryland Group Inc................................
326,025
6,700 Schuler Homes Inc.+.............................
79,563
2,600 Sequa Corporation, Class A+.....................
69,225
6,900 Simpson Industries Inc..........................
81,075
5,800 Skyline Corporation.............................
102,225
12,600 Southdown Inc.+.................................
239,400
6,500 Springs Industries Inc..........................
280,313
99,800 Standard Motor Products Inc.....................
1,983,525
74,000 Standard Products Company.......................
1,443,000
7,500 Stant Corporation...............................
82,500
4,000 TBC Corporation+................................
38,000
6,200 Thomas Industries Inc...........................
106,175
700 Thor Industries Inc.............................
12,688
</TABLE>
See Notes to Financial Statements.
85
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES (CONTINUED)
850 Uno Restaurant Corporation+..................... $
6,694
3,200 Walbro Corporation..............................
73,200
200,000 Winnebago Industries Inc........................
1,675,000
2,500 Wynns International Inc.........................
67,500
30,100 Zenith Electronics Corporation+.................
255,850
----------
- --
16,847,194
----------
- --
ENERGY -- 4.8%
4,000 ACX Technologies Inc.+..........................
234,000
12,300 Ameridata Technologies Inc.+....................
127,613
1,100 Aquila Gas Pipeline Corporation.................
10,588
6,600 Ashland Coal Inc................................
190,575
1,300 Belden & Blake Corporation+.....................
21,125
700 Brown Tom Inc.+.................................
9,625
10,500 Cabot Oil & Gas Corporation, Class A............
152,250
11,800 Camco International Inc.........................
268,450
5,100 Capsure Holdings Corporation+...................
70,125
4,200 Cascade Corporation.............................
65,100
2,200 Cherry Corporation, Class B+....................
33,000
14,600 Coda Energy Inc.+...............................
109,500
1,900 Cross Timbers Oil Company.......................
27,788
1,400 Crown Cent Pete Corporation, Class A+...........
22,400
8,900 Destec Energy Inc.+.............................
141,288
75,000 Diamond Shamrock Inc............................
1,996,875
1,300 Dovatron International Inc.+....................
42,250
3,900 Dravo Corporation+..............................
55,088
15,700 Eastern Enterprises.............................
480,813
1,100 Energy Conversion Devices Inc.+.................
18,425
7,300 Energy Ventures Inc.+...........................
146,000
20,300 Enterra Corporation+............................
444,063
3,600 Getty Pete Corporation+.........................
45,000
18,100 Helmerich & Payne Inc...........................
518,113
1,100 Hondo Oil & Gas Company+........................
22,000
5,100 HS Resources Inc.+..............................
75,225
110,000 KCS Energy Inc..................................
1,595,000
12,400 Lone Star Technologies Inc.+....................
116,250
2,300 Louis Dreyfus Natural Gas Corporation+..........
31,338
12,900 Magnetek Inc.+..................................
162,863
21,200 Mesa Inc.+......................................
98,050
41,100 Nabors Industries Inc.+.........................
380,175
36,100 Noble Drilling Corporation+.....................
288,800
1,800 North Carolina Natural Gas Corporation..........
39,375
</TABLE>
See Notes to Financial Statements.
86
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
ENERGY (CONTINUED)
6,200 Nuevo Energy Company+........................... $
153,450
4,000 NUI Corporation.................................
60,500
800 Oceaneering International Inc.+.................
9,400
142,400 Offshore Logistics Inc.+........................
1,958,000
43,500 Parker Drilling Company+........................
244,688
20,900 Parker & Parsley Pete Company...................
446,738
4,300 Petroleum Heat & Power Inc., Class A............
35,475
4,800 Phoenix Resource Companies Inc..................
175,800
17,100 Quaker State Corporation........................
256,500
63,900 Rowan Companies Inc.+...........................
519,188
19,600 Seagull Energy Corporation+.....................
394,450
20,100 Sierra Pacific Resources........................
432,150
8,500 Smith International Inc.+.......................
148,750
12,800 Snyder Oil Corporation..........................
168,000
2,200 Southeastern Michigan Gas Enterprises Inc.......
42,350
13,000 St. Mary Land & Exploratory Company.............
169,000
2,970 Tejas Gas Corporation+..........................
147,758
1,600 Tejas Power Corporation+........................
14,400
13,700 Tesoro Pete Corporation+........................
131,863
5,100 Tide West Oil Inc.+.............................
52,275
55,000 Tosco Corporation...............................
1,766,875
15,700 Triarc Companiess Inc., Class A+................
227,650
7,500 USX-Delhi Group.................................
79,688
19,700 Varco International Inc.+.......................
216,700
3,200 Weatherford International Inc.+.................
42,000
7,460 Westcorp, Inc...................................
154,795
9,000 Western Gas Resource Inc........................
154,125
1,400 Wiser Oil Company...............................
19,600
----------
- --
16,261,298
----------
- --
HEALTH CARE -- 4.6%
7,900 A L Pharma Inc..................................
165,900
13,600 Acuson+.........................................
178,500
140,000 ADAC Labs.......................................
1,610,000
8,900 Advanced Technology Labs Inc.+..................
151,300
108,000 Allied Healthcare Products Inc..................
1,728,000
2,900 Amerisource Health Corporation, Class A+........
65,975
18,100 AMSCO International Inc.+.......................
323,538
700 Apogee Inc.+....................................
13,125
13,200 Applied Bioscience International Inc.+..........
97,350
90,000 Bergen Brunswig Corporation, Class A............
1,878,750
119,300 Bindley Western Industries Inc..................
1,834,237
</TABLE>
See Notes to Financial Statements.
87
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
4,100 Bio Rad Labs Inc., Class A+..................... $
156,825
11,800 Block Drug Inc., Class A........................
463,150
9,000 CellPro Inc.+...................................
144,000
2,300 Chemed Corporation..............................
81,075
1,700 Coastal Physician Group Inc.+...................
25,713
7,100 Coherent Inc.+..................................
252,050
1,600 Columbia Labs Inc.+.............................
13,900
32,100 Community Psychiatric Centers...................
377,175
900 Coram Healthcare Corporation+...................
4,388
6,000 Datascope Corporation+..........................
126,000
5,700 Employee Benefit Plans Inc.+....................
101,175
11,300 FoxMeyer Health Corporation+....................
290,975
2,400 GranCare Inc.+..................................
45,300
105,000 Herbalife International Inc.....................
1,338,750
16,857 Horizon Healthcare Corporation+.................
368,747
2,900 IGEN Inc.+......................................
19,575
9,200 Immulogic Pharmaceutical Corporation+...........
98,900
3,200 Integrated Health Services Inc..................
95,600
3,500 Kinetic Concepts Inc............................
31,500
400 Living Centers America Inc.+....................
12,200
13,700 Mariner Health Group Inc.+......................
188,375
3,100 Maxxim Med Inc.+................................
48,050
45,000 Medex Inc.......................................
461,250
10,700 NBTY Inc.+......................................
63,531
12,600 NeXstar Pharmaceuticals+........................
185,850
33,500 NovaCare Inc.+..................................
276,375
5,800 NPC International Inc...........................
36,975
10,100 Omega Healthcare Investors Inc..................
260,075
7,600 Paragon Trade Brands Inc.+......................
117,800
16,500 Playtex Products Inc.+..........................
162,938
10,800 Regeneron Pharmaceuticals Inc.+.................
166,050
2,600 Roberts Pharmaceutical Corporation+.............
47,450
9,600 SciClone Pharmaceuticals Inc.+..................
84,000
25,600 Scios-Nova Inc.+................................
105,600
12,500 Smiths Food & Drug Centers Inc, Class B.........
235,938
5,500 Sola International Inc.+........................
125,813
5,400 Spacelabs Med Inc.+.............................
141,075
10,500 Sun Healthcare Group Inc.+......................
153,563
7,800 Superior Surgical Manufacturing Inc.............
82,875
800 Systemix Inc.+..................................
10,400
11,500 Unilab Corporation+.............................
54,625
9,700 Universal Health Services Inc., Class B+........
333,438
</TABLE>
See Notes to Financial Statements.
88
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
300 Vallen Corporation+............................. $
5,550
10,700 West Inc........................................
319,663
----------
- --
15,760,932
----------
- --
TRANSPORTATION -- 2.5%
12,800 Airborne Freight Corporation....................
260,800
38,900 Alaska Air Group Inc.+..........................
758,550
18,300 America West Airlines Inc., Class B+............
240,188
83,600 American President Companies Ltd................
2,455,750
2,400 Arnold Industries Inc...........................
42,900
4,300 Careline Inc.+..................................
39,036
8,100 Champion Enterprises Inc.+......................
137,700
700 Florida East Coast Industries Inc...............
49,263
4,500 Fruehauf Trailer Corporation+...................
13,500
34,600 Greyhound Lines Inc.+...........................
155,700
5,300 Harper Group Inc................................
95,400
9,900 Hunt (J.B.) Transportation Services Inc.........
158,400
17,700 International Shipholding Corporation...........
435,863
17,600 Kirby Corporation+..............................
272,800
1,800 M S Carriers Inc.+..............................
33,750
20,000 Omi Corporation+................................
155,000
58,400 Oshkosh Truck Corporation, Class B..............
788,400
4,700 Overseas Shipholding Group Inc..................
98,113
15,600 Rollins Truck Leasing Corporation...............
169,650
100,000 Sea Containers Ltd., Class A....................
1,750,000
800 SEACOR Holdings Inc.+...........................
18,800
800 Spartan Motors Inc..............................
7,250
6,900 TNT Freightways Corporation.....................
143,175
6,700 Tower Air Inc...................................
53,600
23,600 US Air Group Inc.+..............................
191,750
1,900 Werner Enterprises Inc..........................
38,475
16,000 Yellow Corporation..............................
226,000
----------
- --
8,789,813
----------
- --
REAL ESTATE -- 0.9%
70,000 American Health Properties Inc..................
1,522,500
2,900 Amli Residential Properties Trust...............
54,738
7,700 Bay Apartment Community Inc.....................
160,738
7,200 Commercial Net Lease Realty Inc.................
91,800
19,500 Debartolo Realty Corporation....................
275,438
6,800 HGI Realty Inc..................................
170,850
6,800 National Golf Properties Inc....................
148,750
4,400 Prime Residential Inc...........................
68,750
</TABLE>
See Notes to Financial Statements.
89
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ---------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
REAL ESTATE (CONTINUED)
7,400 Roc Communities Inc............................. $
163,725
4,800 Storage Trust Realty............................
100,800
4,500 Urban Shopping Centers Inc......................
95,625
9,400 Walden Residential Properties Inc...............
177,425
----------
- --
3,031,139
----------
- --
TOTAL COMMON STOCKS (Cost $301,233,135).......
331,546,903
----------
- --
<CAPTION>
FACE
VALUE
- ----------
<C> <S> <C>
COMMERCIAL PAPER -- 0.3% (Cost $978,000)
$ 978,000 General Electric Capital Corporation 5.820% due
9/1/95........................................
978,000
----------
- --
REPURCHASE AGREEMENT -- 1.6% (Cost $5,565,000)
5,565,000 Agreement with Union Bank of Switzerland
Securities Inc., 5.750% dated 8/31/95 to be
repurchased at $5,565,889 on 9/1/95,
collateralized by $5,920,000 U.S. Treasury
Note, Zero Coupon due 5/30/96.................
5,565,000
----------
- --
TOTAL INVESTMENTS (Cost $307,776,135*).............. 99.3 %
338,089,903
OTHER ASSETS AND LIABILITIES (NET).................. 0.7
2,216,356
--------- ------
- ------
NET ASSETS.......................................... 100.0 %
$340,306,259
--------- ------
- ------
--------- ------
- ------
<FN>
- -------------------
* Aggregate cost for Federal tax puposes.
+ Non-income producing security.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Small Capitalization Value Equity Investments securities held at August 31,
1995 by investment classification. The pie is broken in pieces representing
investments in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Commercial Paper, Repurchase Agreement
and Net Other Assets and Liabilities 2.6%
Other Common Stocks 12.8%
Consumer Durables 5.0%
Consumer Non-Durables 5.9%
Technology 6.0%
Utilities 7.5%
Banking 7.4%
Capital Goods 10.3%
Consumer Services 11.2%
Basic Industries 12.1%
Financial Services 19.2%
</TABLE>
See Notes to Financial Statements.
90
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
<C> <S> <C>
COMMON STOCKS --97.0%
TECHNOLOGY -- 24.0%
9,100 3Do Company+................................... $
117,162
3,700 Access Health Inc.+............................
86,487
17,400 Advanced Tissue Sciences Inc., Class A+........
215,325
54,600 Alantec Corporation+...........................
2,184,000
7,600 Alliant Techsystems Inc.+......................
357,200
4,900 Altron Inc.+...................................
133,525
6,900 American Business Information, Inc.+...........
131,100
14,400 American Management Systems Inc.+..............
367,200
5,300 AMTROL Inc.....................................
88,775
5,000 Analysts International Corporation.............
156,250
8,200 ANTEC Corporation+.............................
146,575
7,000 Applied Digital Access Inc.+...................
82,250
2,400 Applied Innovation Inc.+.......................
117,000
7,100 Applied Power Inc..............................
235,187
3,200 Atria Software Inc.+...........................
163,200
25,900 Aura Systems Inc.+.............................
123,025
12,900 Auspex Systems Inc.+...........................
203,175
7,000 Autofinance Group Inc.+........................
115,500
10,200 Banyan Systems Inc.+...........................
121,125
17,600 Biocontrol Technology Inc.+....................
58,850
9,700 BISYS Group Inc.+..............................
237,650
10,700 Black Box Corporation+.........................
176,550
7,000 BMC Industries Inc.............................
259,000
9,900 Bolt, Beranek & Newman Inc.+...................
329,175
4,800 Boole Babbage Inc.+............................
144,600
12,700 Borland International Inc.+....................
177,800
10,300 Boston Technology Inc.+........................
144,200
7,100 BroadBand Technologies Inc.+...................
173,950
5,100 Broadway & Seymour Inc.+.......................
144,713
7,200 Brooktree Corporation+.........................
143,100
7,700 Burr-Brown Corporation+........................
254,100
5,100 C-COR Electronics Inc.+........................
163,200
7,200 California Microwave Inc.+.....................
189,000
6,600 CDI Corporation+...............................
132,825
32,500 CDW Computer Certified Inc.+...................
1,755,000
6,200 Cellular Communications Inc.+..................
190,650
3,400 Cellular Technical Services Inc.+..............
89,250
7,800 Checkpoint Systems Inc.+.......................
187,200
20,800 Cheyenne Software Inc.+........................
429,000
9,400 Chipcom Corporation+...........................
377,175
10,100 Chips & Technologies Inc.+.....................
138,875
</TABLE>
See Notes to Financial Statements.
91
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
79,000 Cognex Corporation+............................ $
3,940,125
58,100 Coherent Communications Systems+...............
1,321,775
5,200 Cohu Inc.......................................
154,700
7,100 Colonial Data Tech Corporation+................
128,687
8,200 Comdata Holdings Corporation+..................
195,775
6,900 Commnet Cellular Inc.+.........................
194,925
5,800 Computer Horizons Corporation+.................
110,200
14,700 Computer Network Technology Company+...........
124,950
15,300 Computer Products Inc.+........................
118,575
10,800 Comverse Technology Inc.+......................
216,000
14,400 Conner Peripherals Inc.+.......................
192,600
10,200 Continuum Inc.+................................
369,750
13,600 Copytele Inc.+.................................
130,900
10,100 Cyrix Corporation+.............................
347,188
40,800 David & Associates Inc.+.......................
2,101,200
3,800 Devon Group Inc.+..............................
152,475
3,400 DH Technology Inc.+............................
97,750
3,600 Dialogic Corporation+..........................
88,650
7,000 Digi International Inc.+.......................
197,750
2,700 Digital Link Corporation+......................
63,450
7,800 Digital Microwave Corporation+.................
83,850
4,400 Dionex Corporation+............................
223,300
10,000 Dynatech Corporation+..........................
200,000
2,850 Edmark Corporation+............................
114,000
5,700 Eis International Inc.+........................
107,587
4,600 Electro Scientific Industries Inc.+............
155,250
63,900 Electronics For Imaging Inc.+..................
3,610,350
4,500 Emmis Broadcasting Corporation+................
137,250
5,200 EMPI Inc.+.....................................
90,350
3,200 Encad Inc.+....................................
54,000
14,700 Ennis Business Forms Inc.......................
191,100
17,400 Epic Design Technology Inc.+...................
750,375
5,300 Exar Corporation+..............................
197,425
6,100 Filenet Corporation+...........................
279,075
4,200 Fore Systems Inc.+.............................
141,750
6,900 Frame Technology Corporation+..................
181,988
4,000 Franklin Electronic Publishers Inc.+...........
120,500
96,500 FSI International Inc.+........................
3,401,625
9,700 FTP Software Inc.+.............................
225,525
11,900 Gen Datacomm Industries Inc.+..................
139,825
9,000 Genrad Inc.+...................................
74,250
</TABLE>
See Notes to Financial Statements.
92
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
22,900 Geotek Communications Inc.+.................... $
178,906
106,400 Global Village Communication+..................
1,662,501
4,500 Hadco Corporation+.............................
126,563
42,400 Helix Technology Corporation...................
2,158,425
2,000 Hickory Technology Corporation.................
68,000
8,200 Hogan Systems Inc.+............................
76,875
2,800 Hutchinson Technology Inc.+....................
219,100
50,900 Hyperion Software Corporation+.................
2,366,850
6,900 ICC Technologies Inc.+.........................
93,150
4,000 In Focus Systems Inc.+.........................
124,500
4,300 Integrated Systems Inc.+.......................
125,775
22,800 Interdigital Communications Corporation+.......
200,925
7,004 Intermagnetics Gen Corporation+................
118,192
11,100 Intermet Corporation+..........................
123,488
12,100 International Rectifier Corporation+...........
490,050
8,800 Intersolv Inc.+................................
173,800
8,200 Irvine Sensors Corporation+....................
72,775
5,700 ITI Technologies Inc.+.........................
159,600
12,400 Jacobs Engineering Group Inc.+.................
314,650
10,000 Keane Inc.+....................................
262,500
15,200 Kenetech Corporation+..........................
96,900
9,400 Kulicke & Soffa Industries Inc.+...............
365,425
8,300 Landauer Inc...................................
151,475
8,100 Landmark Graphics Corporation+.................
206,550
10,000 Lattice Semiconductor Corporation+.............
328,750
3,700 Learning Company+..............................
216,450
15,600 LTX Corporation+...............................
177,450
9,200 Macneal Schwendler Corporation.................
144,900
6,100 Marcam Corporation+............................
68,625
5,700 Marshall Industries+...........................
180,975
72,700 Mcafee Associates Inc.+........................
3,189,713
8,100 McWhorter Technologies Inc.+...................
120,487
50,400 Medic Computer Systems Inc.+...................
2,217,600
6,100 Mercury Interactive Corporation+...............
138,013
11,300 Methode Electronics Inc., Class A..............
265,550
6,000 Metrocall Inc.+................................
138,000
43,500 Micro Warehouse Inc.+..........................
2,077,125
6,500 Microcom Inc.+.................................
130,000
4,100 Micron Electronics Inc.+.......................
73,800
4,800 Microtouch Systems Inc.+.......................
97,200
7,000 Minerals Technologies Inc.+....................
253,750
</TABLE>
See Notes to Financial Statements.
93
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
4,950 Minnesota Educational Computing Corporation+... $
143,550
7,800 Mylex Corporation+.............................
124,800
8,400 National Computer Systems Inc..................
172,200
57,100 National Data Corporation......................
1,470,325
4,400 Nationwide Cellular Service Inc.+..............
121,000
14,696 Nellcor Puritan Bennett Inc.+..................
764,192
4,600 Netcom On-Line Communication Services Inc.+....
171,925
15,500 Netmanage Inc.+................................
298,375
8,900 Network Equipment Technologies+................
333,750
10,000 Network Gen Corporation+.......................
351,875
7,200 Network Peripherals Inc.+......................
101,700
12,800 Nu-Kote Holdings Inc., Class A+................
251,200
11,900 Octel Communications Corporation+..............
406,087
29,100 OIS Optical Imaging Systems Inc.+..............
134,588
4,000 Opti Inc.+.....................................
80,500
6,100 Organogenesis Inc.+............................
121,238
6,400 Park Electrochemical Corporation...............
182,400
7,900 Paxar Corporation+.............................
145,162
4,500 Peak Technologies Group Inc.+..................
127,125
8,200 Phoenix Technology Ltd.+.......................
89,175
8,100 Picturetel Corporation+........................
455,625
8,600 Pioneer Standard Electronics Inc...............
221,450
4,200 Planar Systems Inc.+...........................
84,000
7,100 Platinum Software Corporation+.................
83,425
15,296 Platinum Technology Inc.+......................
361,368
3,100 Progress Software Corporation+.................
180,575
3,600 Proxima Corporation+...........................
67,050
10,000 Quarterdeck Corporation+.......................
174,375
8,500 Radius Inc.+...................................
62,688
71,800 S3 Inc.+.......................................
2,818,150
10,900 Sci Systems Inc.+..............................
337,900
2,900 Security Dyamics Technologies Inc.+............
116,362
8,500 SEI Corporation................................
188,063
10,200 Sequent Computer Systems Inc.+.................
240,975
4,600 Shiva Corporation+.............................
218,500
8,000 Sierra On-Line Inc.+...........................
312,000
31,700 Sierra Semiconductor Corporation+..............
1,565,188
53,900 Silicon Valley Group+..........................
2,317,700
4,500 Siliconix Inc.+................................
137,250
9,400 Softkey International Inc.+....................
374,825
35,800 Spectrian Corporation+.........................
1,655,750
</TABLE>
See Notes to Financial Statements.
94
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
TECHNOLOGY (CONTINUED)
9,600 Spectrum Holobyte Inc.+........................ $
165,600
11,600 Stac Electronics+..............................
104,400
15,100 Structural Dynamics Research Corporation+......
273,687
3,600 Summa Four Inc.+...............................
83,700
9,400 System Software Associates Inc.................
296,688
33,800 Systems & Computer Technology+.................
899,925
13,300 Tech Data Corporation+.........................
157,937
3,500 Tekelec+.......................................
81,375
8,700 Telular Corporation+...........................
122,480
7,900 Telxon Corporation.............................
165,900
6,300 Tivoli Systems Inc.+...........................
191,362
5,800 Trident Microsystems Inc.+.....................
126,875
6,400 Unitrode Corporation+..........................
192,000
12,400 Verifone Inc.+.................................
351,850
3,500 Veritas Software Company+......................
89,250
11,100 Viewlogic Systems Inc.+........................
144,300
3,300 Xylogics Inc.+.................................
114,675
47,800 Zebra Technologies Corporation, Class A+.......
2,784,350
10,100 Zilog Inc.+....................................
449,450
----------
- --
75,882,277
----------
- --
CONSUMER SERVICES -- 21.1%
5,800 ACS Enterprises Inc.+..........................
105,125
140,600 Acxiom Corporation+............................
3,778,625
11,600 ADVO Inc.......................................
216,050
5,200 Affiliated Computer Services Inc., Class A+....
155,350
1,300 Alexanders Inc.+...............................
77,675
39,300 Alternative Resources Corporation+.............
1,169,175
9,900 American Classic Voyages Company...............
105,187
10,700 American Safety Razor Company+.................
107,000
9,100 Ann Taylor Stores Corporation+.................
176,312
15,100 Applebee's International Inc...................
453,000
7,200 APS Holding Corporation, Class A+..............
187,200
8,600 Arbor Drugs Inc................................
161,250
6,500 Arch Communications Group Inc.+................
177,531
18,100 Arctco Inc.....................................
246,612
7,600 Argosy Gaming Corporation+.....................
108,300
2,000 Associated Group Inc., Class A+................
41,500
5,000 Baby Superstore Inc.+..........................
234,375
10,900 Barefoot Inc...................................
129,438
7,100 BET Holdings Inc., Class A+....................
130,462
11,000 BJ Services Company+...........................
275,000
</TABLE>
See Notes to Financial Statements.
95
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
7,800 Books A Million+............................... $
129,675
6,900 Borders Group Inc.+............................
139,725
11,700 Borg Warner Security Corporation+..............
99,450
15,900 Buffets Inc.+..................................
208,688
72,700 Cambridge Technology Partners, Inc.+...........
2,853,475
13,500 Casey's General Stores Inc.....................
271,687
7,100 Casino America Inc.+...........................
102,950
12,100 Casino Magic Corporation+......................
67,306
5,900 Catalina Marketing Corporation+................
318,600
9,000 Cato Corporation, Class A......................
65,250
45,600 Cellstar Corporation+..........................
1,453,500
19,400 Century Communications Corporation, Class A+...
191,575
2,200 Churchill Downs Inc............................
80,300
4,700 Citicasters Inc., Class A+.....................
179,775
6,800 Claires Stores Inc.............................
147,050
35,500 Clear Channel Communications Inc.+.............
2,649,187
5,900 Cobra Golf Inc.+...............................
202,813
9,800 CompUSA Inc.+..................................
362,600
67,100 Corrections Corporation America+...............
3,019,500
8,600 Devry Inc.+....................................
190,275
80,500 Discount Auto Parts Inc.+......................
2,626,313
67,700 Doubletree Corporation+........................
1,303,225
12,900 Eagle Hardware & Garden Inc.+..................
98,362
5,600 EmCare Holdings Inc.+..........................
109,200
5,100 Evergreen Media Corporation, Class A+..........
172,125
8,000 Exabyte Corporation+...........................
121,000
5,400 EZ Communications Inc., Class A+...............
109,350
4,400 Fair, Issac & Company Inc......................
114,400
3,300 First Team Sports Inc.+........................
69,300
11,100 Franklin Quest Company+........................
256,688
9,300 Friedmans Inc., Class A+.......................
216,225
4,200 Fusion Systems Corporation+....................
119,700
63,400 Gartner Group Inc., Class A+...................
1,798,975
14,500 General Communication Inc., Class A+...........
52,562
83,500 General Nutrition Companies Inc.+..............
3,486,125
9,200 Grand Casinos Inc.+............................
336,950
59,700 Gymboree Corporation+..........................
1,776,075
33,000 Hanover Direct Inc.+...........................
72,188
10,800 Harland (John H.) Company......................
238,950
7,100 Harte-Hanks Communications Inc.................
195,250
7,000 Heftel Broadcasting Corporation, Class A+......
131,250
</TABLE>
See Notes to Financial Statements.
96
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
9,300 Heritage Media Corporation, Class A+........... $
262,725
9,600 Hollywood Entertainment Corporation+...........
273,600
30,300 Home Shopping Network Inc.+....................
318,150
6,900 Hornbeck Offshore Services Inc.+...............
103,931
7,500 Houghton Mifflin Company.......................
366,563
10,700 Idex Corporation...............................
430,675
6,600 IHOP Corporation+..............................
169,125
6,900 IMCO Recycling Inc.............................
139,725
3,900 Insilco Corporation+...........................
142,350
9,000 Insituform Technologies Inc., Class A+.........
148,500
6,800 Insurance Auto Auctions Inc.+..................
86,700
10,500 International Dairy Queen Inc., Class A+.......
221,812
11,900 International Family Entertainment Inc., Class
B+...........................................
215,688
4,400 International Imaging Materials+...............
103,400
11,900 Jones Intercable Inc.+.........................
175,525
3,650 Just For Feet Inc.+............................
106,306
14,700 Kelley Oil & Gas Corporation+..................
44,100
57,500 LCI International Inc.+........................
2,292,813
6,300 Libbey Inc.....................................
143,325
3,700 Marcus Corporation.............................
116,550
7,500 Medco Research Inc.+...........................
94,688
4,000 Medicine Shoppe International Inc..............
171,500
3,900 Men's Wearhouse Inc.+..........................
122,362
15,000 Meredith Corporation...........................
588,750
6,100 Michaels Stores Inc.+..........................
99,125
6,200 Molten Metal Technology Inc.+..................
137,950
16,200 Morrison Restaurants Inc.......................
317,925
12,000 Neiman Marcus Group Inc........................
180,000
8,700 Nelson Thomas Inc..............................
221,850
9,200 Oak Industries+................................
272,550
7,100 Omega Environmental Inc.+......................
26,181
44,300 Optical Data Systems Inc.+.....................
1,450,825
6,200 Penn Traffic Company+..........................
103,850
3,800 Peoples Choice TV Corporation+.................
73,150
14,900 Photronics Inc.+...............................
521,267
11,700 Playboy Enterprises Inc., Class B+.............
103,837
14,900 Players International Inc.+....................
314,763
4,400 Primadonna Resorts Inc.+.......................
89,100
14,200 Prime Hospitality Corporation+.................
152,650
4,200 Proffits Inc.+.................................
110,775
4,100 Pronet Inc.+...................................
115,825
</TABLE>
See Notes to Financial Statements.
97
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
69,400 Regal Cinemas Inc.+............................ $
2,359,600
11,000 Renaissance Communications Corporation+........
407,000
9,500 Rio Hotel & Casino Inc.+.......................
123,500
12,400 Robert Half International Inc.+................
351,850
4,200 Rotech Medical Corporation+....................
108,150
7,200 Sbarro Inc.....................................
164,700
7,200 Scientific Games Holdings Corporation+.........
273,600
11,200 Scotts Company, Class A+.......................
252,000
5,200 Seitel Inc.+...................................
135,850
4,500 Shuffle Master Inc.+...........................
66,375
5,400 Silver King Communication Inc.+................
196,087
9,800 Smart & Final Inc..............................
170,275
8,550 Sonic Corporation+.............................
175,275
22,200 Sothebys Holdings Inc., Class A................
308,025
6,000 Sports Authority Inc.+.........................
164,250
10,200 Sports & Recreation Inc.+......................
121,125
63,800 Station Casinos Inc.+..........................
1,236,125
5,800 Stone Energy Corporation+......................
70,325
67,000 Sunglass Hut International Inc.+...............
2,847,500
54,000 Sylvan Learning Systems Inc.+..................
1,539,000
9,000 TCA Cable TV Inc...............................
284,625
140,076 TETRA Technologies Inc.+.......................
2,848,827
7,600 Tiffany & Company..............................
324,900
4,600 Titan Wheel International Inc..................
123,050
4,200 Toy Biz Inc.+..................................
105,000
7,200 U S Long Distance Corporation+.................
106,200
17,500 United International Holdings Inc., Class A+...
312,812
13,800 United Meridian Corporation+...................
246,675
2,900 United Television Inc..........................
245,050
3,800 United Video Satellite Group I, Class A+.......
113,288
4,700 Unitog Company.................................
113,975
3,400 Urban Outfitters Inc.+.........................
72,250
7,100 USA Mobile Communications+.....................
154,425
18,000 USA Waste Services Inc.+.......................
351,000
8,500 Valassis Communications Inc.+..................
126,437
2,800 Value City Department Stores Inc.+.............
21,350
11,700 Vivra Inc.+....................................
387,563
10,700 Wabash National Corporation....................
390,550
3,000 Wackenhut Corporation, Series A................
43,125
9,400 Westcott Communications Inc.+..................
139,825
11,700 Westwood One Inc.+.............................
216,450
</TABLE>
See Notes to Financial Statements.
98
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER SERVICES (CONTINUED)
4,000 Wiley John & Sons Inc., Class A................ $
226,500
10,600 Williams Sonoma Inc.+..........................
206,700
10,200 WMS Industries Inc.+...........................
232,050
69,700 Wonderware Corporation+........................
2,404,650
4,400 Young Broadcasting Inc., Class A+..............
151,800
----------
- --
66,322,936
----------
- --
CAPITAL GOODS -- 14.1%
3,800 Acme Cleveland Corporation.....................
94,050
9,300 Actel Corporation+.............................
154,613
12,900 Air & Water Technologies Corporation, Class
A+...........................................
76,594
5,300 Alamo Group Inc................................
94,737
7,000 Albany International Corporation, Class A......
169,750
5,300 American Superconductor Corporation+...........
70,225
10,000 American Telecasting Inc.+.....................
107,500
19,700 AMETEK Inc.....................................
344,750
7,200 AptarGroup Inc.................................
228,600
28,000 Ascend Communications Inc.+....................
1,806,000
2,600 Asyst Technologies Inc.+.......................
117,650
5,100 Baldor Electric Company........................
177,862
13,200 Belden Inc.....................................
366,300
3,200 Blount Inc., Class A...........................
160,000
47,800 Blyth Industries Inc.+.........................
2,318,300
8,700 Carlisle Companies Inc.........................
355,613
8,800 C-Cube Microsystems Inc.+......................
378,400
7,400 Centennial Cellular Corporation, Class A+......
136,900
3,200 Central Sprinkler Corporation+.................
97,600
11,900 CMI Corporation, Class A+......................
84,787
45,800 Credence Systems Corporation+..................
1,614,450
12,100 Dallas Semiconductor Corporation...............
287,375
4,600 DSP Group Inc.+................................
89,700
5,700 Duriron Company................................
145,350
4,100 Elcor Corporation+.............................
90,200
48,000 Electroglas Inc.+..............................
3,624,000
7,400 Expeditors International Washington, Inc.......
172,050
27,700 Fedders Corporation............................
186,975
4,750 Fedders Corporation, Class A...................
22,563
13,100 First Alert Inc.+..............................
209,600
8,500 Fisher Scientific International Inc............
277,312
9,700 Flow International Inc.+.......................
116,400
3,600 Franklin Electric Inc..........................
113,175
63,600 Gasonics International Corporation+............
2,210,100
</TABLE>
See Notes to Financial Statements.
99
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
8,900 Gentex Corporation+............................ $
218,050
8,100 Genus Inc.+....................................
111,375
6,500 Gorman Rupp Company............................
96,688
5,500 Graco Inc......................................
168,437
9,100 Greenfield Industries Inc......................
307,125
6,615 Harman International Industries Inc............
294,368
49,300 Input/Output Inc.+.............................
1,836,425
65,800 Integrated Silicon Solution Inc.+..............
3,273,550
14,200 Intelligent Electronics Inc....................
131,350
57,700 Intergrated Process Equipment Corporation+.....
2,084,413
8,500 InterVoice Inc.+...............................
188,062
9,900 Iomega Corporation+............................
235,125
6,300 Ionics Inc.+...................................
248,063
5,800 Itron Inc.+....................................
145,000
3,900 JLG Industries Inc.............................
144,300
11,200 Juno Lighting Inc..............................
196,700
9,700 Kaydon Corporation.............................
295,850
42,700 Kemet Corporation+.............................
2,433,900
6,300 Kent Electronics Corporation+..................
255,150
5,900 Lawson Products Inc............................
166,675
7,700 Level One Communications Inc.+.................
190,575
3,400 Lindsay Manufacturing Company+.................
117,300
11,000 Lo Jack Corporation+...........................
143,000
69,600 Lydall Inc.+...................................
1,661,700
46,700 Macromedia Inc.+...............................
2,323,325
3,900 Manitowac Inc..................................
106,762
7,200 Metricom Inc.+.................................
149,400
4,600 Norand Corporation+............................
177,100
10,300 Oakwood Homes Corporation......................
329,600
9,600 OEA Inc........................................
288,000
9,400 Ohm Corporation+...............................
103,400
5,900 Pacific Scientific Company.....................
148,238
5,100 Pairgain Technologies Inc.+....................
146,625
1,600 Pittway Corporation, Class A...................
85,600
4,400 Plantronics Inc.+..............................
158,400
8,900 Quickturn Design Systems Inc.+.................
104,575
5,300 Redman Industries Inc.+........................
135,150
7,100 Regal Beloit Corporation.......................
133,125
6,700 Robotic Vision Systems Inc.+...................
124,787
5,400 Rogers Corporation+............................
153,900
8,100 Roper Industries Inc...........................
275,400
</TABLE>
See Notes to Financial Statements.
100
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CAPITAL GOODS (CONTINUED)
47,200 Sanmina Corporation+........................... $
2,147,600
8,300 Specialty Equipment Companies Inc.+............
105,825
8,100 Standex International Corporation..............
275,400
1,600 Stimsonite Corporation+........................
18,000
7,100 Sturm Ruger & Company Inc......................
239,625
7,700 Symmetricom Inc.+..............................
171,325
8,800 Teleflex Inc...................................
355,300
5,300 Tennant Company................................
141,775
5,400 Thermotrex Corporation+........................
171,450
3,800 Three-Five Systems Inc.+.......................
113,525
10,300 Toll Bros Inc.+................................
184,113
9,000 Trimble Navigation Ltd.+.......................
289,125
85,400 Ultratech Stepper Inc.+........................
3,373,300
8,800 Vitesse Semiconductor Corporation+.............
88,000
5,100 Wyle Electronics...............................
194,437
7,300 X-Rite Inc.....................................
144,175
----------
- --
44,399,024
----------
- --
HEALTH CARE -- 13.1%
7,300 A.L. Pharmaceutical Inc........................
153,300
10,200 Adac Labs......................................
117,300
4,300 Agouron Pharmaceuticals Inc.+..................
142,438
15,200 Alliance Pharmaceutical Corporation+...........
129,200
6,800 American Medical Response Inc.+................
193,800
4,700 Amerisource Health Corporation, Class A+.......
106,925
14,100 Amylin Pharmaceuticals Inc.+...................
107,513
52,200 Apps Dental Inc.+..............................
1,422,450
21,920 Apria Healthcare Group Inc.+...................
613,760
4,200 Arbor Health Care Company+.....................
90,300
14,300 Athena Neurosciences Inc.+.....................
148,363
15,800 Ballard Medical Products.......................
227,125
9,600 Benson Eyecare Corporation+....................
88,800
25,000 Bio-Technology General Corporation+............
75,781
17,500 Calgene Inc.+..................................
122,500
15,700 Charter Medical Corporation+...................
315,962
7,800 Chronimed Inc.+................................
101,400
7,000 CNS Inc.+......................................
103,250
7,400 Coastal Physician Group Inc.+..................
111,925
6,000 Collagen Corporation...........................
108,000
12,500 Columbia Laboratories Inc.+....................
108,594
78,400 Community Health Systems Inc.+.................
3,018,400
4,400 Conmed Corporation+............................
129,800
</TABLE>
See Notes to Financial Statements.
101
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
4,800 Copley Pharmaceutical Inc.+.................... $
86,400
11,100 Cor Therapeutics Inc.+.........................
129,038
20,400 Coram Healthcare Corporation+..................
99,450
10,500 Cygnus Therapeutic Systems+....................
191,625
12,400 Cytel Corporation+.............................
110,050
17,200 Cytogen Corporation+...........................
91,375
7,700 Daig Corporation+..............................
184,800
5,600 Diagnostic Products Corporation................
215,600
7,900 Dura Pharmaceuticals Inc.+.....................
193,550
4,700 Duramed Pharmaceutical+........................
78,725
11,445 Enzo Biochem Inc.+.............................
207,441
4,300 EP Technologies Inc.+..........................
57,512
7,300 Epitope Inc.+..................................
112,237
39,100 Express Scripts Inc., Class A+.................
1,446,700
2,000 Forum Group Inc.+..............................
17,000
8,100 Genesis Health Ventures Inc.+..................
256,163
10,600 Gilead Sciences Inc.+..........................
230,550
5,300 GMIS Inc.+.....................................
94,075
6,200 GranCare Inc.+.................................
117,025
5,500 GRC International Inc.+........................
134,750
45,000 Gulf South Medical Supply Inc.+................
1,271,250
12,200 Haemonetics Corporation+.......................
262,300
5,700 Health Management Inc.+........................
77,306
3,400 Healthwise America Inc.+.......................
91,800
7,000 Heart Technology Inc.+.........................
190,750
7,200 Herbalife International Inc....................
91,800
12,800 Hilb, Rogal & Hamilton Company.................
169,600
14,200 Horizon/CMS Healthcare Corporation+............
310,625
6,600 Human Genome Sciences Inc.+....................
145,200
16,084 ICN Pharmaceuticals Inc........................
325,695
17,700 ICOS Corporation+..............................
121,688
84,100 IDEXX Laboratories Inc.+.......................
2,848,887
11,300 Immunex Corporation+...........................
175,150
5,700 Inphynet Medical Management Inc.+..............
125,400
7,400 Integrated Health Services Inc.................
221,075
14,500 Interneuron Pharmaceuticals Inc.+..............
203,000
6,700 Invacare Corporation...........................
289,775
11,400 Isis Pharmaceuticals+..........................
138,225
5,900 Isolyser Inc.+.................................
233,050
4,500 I-Stat Corporation+............................
162,000
8,000 Ligand Pharmaceutical Inc., Class B+...........
74,000
</TABLE>
See Notes to Financial Statements.
102
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
14,400 Lincare Holdings Inc.+......................... $
430,200
14,800 Liposome Inc.+.................................
220,150
7,500 Living Centers America Inc.+...................
228,750
4,700 Marsam Pharmaceuticals Inc.+...................
98,186
10,100 Maxicare Health Plans Inc.+....................
174,225
7,200 MediSense Inc.+................................
171,000
5,600 Mentor Corporation.............................
214,200
6,100 Multicare Companies Inc.+......................
130,387
8,800 North American Biologicals Institute+..........
80,300
12,100 NovaCare Inc.+.................................
99,825
9,000 Noven Pharmaceuticals Inc.+....................
72,000
95,500 Omnicare Inc...................................
3,175,375
21,900 OrNda Healthcorp+..............................
443,475
7,200 Osmonics Inc.+.................................
118,800
5,900 Ostex International Inc.+......................
100,300
16,800 Owens & Minor Inc..............................
243,600
5,700 Pacific Physician Services Inc.+...............
99,750
6,700 Patterson Dental Company+......................
174,200
10,000 Pharmaceutical Resources Inc.+.................
96,250
79,750 PhyCor Inc.+...................................
3,329,562
5,900 Physician Reliance Network Inc.+...............
174,050
42,000 Physician Sales & Service Inc.+................
1,911,000
4,200 Physicians Health Services Inc., Class A+......
118,125
7,300 Protein Design Labs Inc.+......................
132,313
8,900 Quantum Health Resources Inc.+.................
113,475
3,300 Quintiles Transnational Corporation+...........
192,225
6,900 Regency Health Services Inc.+..................
79,350
5,900 REN Corporation USA+...........................
114,312
5,700 Renal Treatment Centers Inc.+..................
185,250
5,800 Research Industries Corporation+...............
154,425
9,700 Resound Corporation+...........................
80,025
7,700 Respironics Inc.+..............................
136,675
4,200 Roberts Pharmaceutical Corporation+............
76,650
8,900 Sepracor Inc.+.................................
166,875
10,200 Sequus Pharmaceuticals Inc.+...................
133,875
5,900 Sierra Health Services Inc.+...................
157,825
9,600 Sofamor/Danek Group Inc.+......................
237,600
9,600 Somatogen Inc.+................................
205,200
7,800 STAAR Surgical Company+........................
81,900
9,400 STERIS Corporation+............................
276,125
9,000 Summit Technology Inc.+........................
389,250
</TABLE>
See Notes to Financial Statements.
103
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
HEALTH CARE (CONTINUED)
8,700 Sun Healthcare Group Inc.+..................... $
127,238
8,900 Sunrise Medical Inc.+..........................
230,287
13,800 SysteMed Inc.+.................................
87,975
2,900 Target Therapeutics Inc.+......................
141,375
6,000 Techne Corporation+............................
117,000
8,900 Tecnol Medical Products Inc.+..................
161,313
3,100 TheraTech Inc.+................................
46,500
64,900 TheraTx Inc.+..................................
859,925
9,300 Thermedics Inc.+...............................
179,025
5,600 Transmedia Network Inc.........................
55,300
19,900 U.S. Bioscience Inc.+..........................
93,281
12,200 Unilab Corporation+............................
57,950
4,400 United American Healthcare Corporation+........
48,950
9,900 UroMed Corporation+............................
94,050
11,700 Ventritex Inc.+................................
236,925
9,000 Vertex Pharmaceuticals Inc.+...................
186,750
7,800 Vivus Inc.+....................................
187,200
99,696 Watson Pharmaceuticals Inc.+...................
4,124,922
----------
- --
41,172,554
----------
- --
CONSUMER NON-DURABLES -- 5.4%
69,850 Apple South Inc................................
1,711,325
7,100 Armor All Products Corporation.................
115,375
19,100 Bombay Company+................................
159,963
70,600 Boston Chicken Inc.+...........................
1,694,400
3,000 Bush Boake Allen Inc.+.........................
92,250
6,700 Canandaigua Wine Inc., Class B+................
319,925
4,200 Carrington Laboratories Inc.+..................
154,350
5,700 Cheesecake Factory (The)+......................
163,162
2,200 Consolidated Products Inc.+....................
30,800
82,950 Corporate Express Inc.+........................
1,938,956
4,500 DavCo Restaurants Inc.+........................
57,375
6,000 Delta & Pine Land Company......................
198,000
43,100 Department 56 Inc.+............................
1,907,175
3,700 DF & R Restaurants Inc.+.......................
129,500
6,600 Dreyers Grand Ice Cream Inc....................
255,750
6,400 Hometown Buffet Inc.+..........................
76,000
10,400 Lance Inc......................................
187,200
5,000 Landry's Seafood Restaurants+..................
88,125
10,200 Lands End Inc.+................................
177,225
7,000 Maybelline Inc.................................
176,750
5,800 Natures Sunshine Products Inc..................
136,300
</TABLE>
See Notes to Financial Statements.
104
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER NON-DURABLES (CONTINUED)
44,500 Papa Johns International Inc.+................. $
1,780,000
11,000 Pride Pete Services Inc.+......................
97,625
10,600 Ralcorp Holdings Inc.+.........................
239,825
5,100 Regis Corporation+.............................
102,956
11,800 Richfood Holdings Inc..........................
285,412
7,000 Smithfield Foods Inc.+.........................
155,750
12,400 Stride Rite Corporation........................
139,500
7,200 Tejon Ranch Company............................
101,700
116,800 Tommy Hilfiger Corporation+....................
3,912,800
10,400 Tootsie Roll Industries Inc....................
414,700
24,400 Topps Inc.+....................................
146,400
9,200 Whole Foods Market Inc.+.......................
112,125
----------
- --
17,258,699
----------
- --
BASIC INDUSTRIES -- 5.2%
19,500 20th Century Industries+.......................
307,125
5,400 ABC Rail Products Corporation+.................
126,900
5,000 Allied Products Corporation....................
108,125
6,300 Alltrista Corporation+.........................
126,000
10,900 Authentic Fitness Corporation..................
241,163
14,300 Berry Pete Company, Class A....................
139,425
3,400 Brady W H Company..............................
248,200
4,350 Butler Manufacturing Company...................
117,994
9,100 Caraustar Industries Inc.......................
197,356
7,200 Castle A M & Company...........................
156,600
6,200 Chase Brass Industries Inc.+...................
86,800
9,000 Chesapeake Corporation.........................
327,375
9,500 CLARCOR Inc....................................
218,500
3,400 Dames & Moore Inc..............................
47,600
11,600 First Miss Corporation.........................
384,250
12,600 G & K Services Inc.............................
263,025
11,100 Gaylord Container Corporation, Class A+........
130,425
11,400 Handy & Harman.................................
168,150
8,400 Hecla Mining Company+..........................
96,600
5,600 Insituform Mid-American, Class A...............
102,550
9,900 J & L Specialty Steel Inc......................
253,687
13,800 Lawter International Inc.......................
162,150
7,100 Littelfuse Inc.+...............................
236,075
4,600 Liqui Box Corporation..........................
136,850
9,400 Material Sciences Corporation+.................
180,950
6,500 Medusa Corporation.............................
178,750
5,400 Mohawk Industries Inc.+........................
97,200
</TABLE>
See Notes to Financial Statements.
105
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
BASIC INDUSTRIES (CONTINUED)
3,200 Mosinee Paper Corporation...................... $
74,400
2,000 NACCO Industries Inc., Class A.................
115,000
61,750 Nautica Enterprises Inc.+......................
1,952,844
6,200 Newpark Research Inc.+.........................
114,700
4,300 Precision Castparts Corporation................
145,663
7,800 Quanex Corporation.............................
186,225
3,500 Quiksilver Inc.+...............................
104,125
11,100 Rexene Corporation+............................
138,750
9,100 Sanifill Inc.+.................................
290,062
9,300 Shorewood Packaging Corporation+...............
167,400
38,500 St John Knits Inc..............................
1,703,625
7,500 Stein Mart Inc.+...............................
103,125
22,200 Sterling Chemicals Inc.+.......................
230,325
8,800 Stillwater Mining Company+.....................
192,500
105,500 Sunshine Mining & Refining Company+............
184,625
5,000 Sybron Chemical Inc.+..........................
72,500
4,800 Synetic Inc.+..................................
107,400
10,600 Triangle Pacific Corporation+..................
188,150
5,000 Ultralife Batteries Inc.+......................
93,750
105,000 United Waste Systems+..........................
4,068,750
6,700 US Can Corporation+............................
85,425
7,900 VWR Corporation................................
92,825
11,500 Wausau Paper Mills Company.....................
267,375
5,000 WD 40 Company..................................
215,000
1,500 Weeks Corporation..............................
38,250
6,900 Wolverine Tube Inc.+...........................
269,100
9,600 Wolverine World Wide Inc.......................
234,000
----------
- --
16,275,719
----------
- --
FINANCIAL SERVICES -- 3.4%
7,700 Acordia Inc....................................
215,600
15,100 AmeriCredit Corporation+.......................
160,438
5,100 Bank Granite Corporation.......................
133,875
5,700 Capitol American Financial Corporation.........
129,675
9,200 Cash America International Inc.................
63,250
44,200 Catellus Development Corporation+..............
281,775
4,300 Citizens Bancshares Inc........................
154,800
6,550 Concord EFS Inc.+..............................
186,675
13,800 Coventry Corporation+..........................
274,275
12,200 Crawford & Company, Class B....................
189,100
12,300 Duff & Phelps Corporation......................
129,150
7,600 E.W. Blanch Holdings Inc.......................
137,750
</TABLE>
See Notes to Financial Statements.
106
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
FINANCIAL SERVICES (CONTINUED)
7,800 Financial Trust Corporation.................... $
218,400
8,100 Foothill Group Inc., Class A...................
220,725
4,200 Foremost Corporation...........................
169,050
2,300 Frontier Insurance Group Inc...................
66,700
13,000 Gainsco Inc....................................
122,688
7,800 Gallagher (Arthur J.) & Company................
286,650
2,000 Harleysville National Corporation..............
53,094
5,700 Health Management Systems Inc.+................
175,275
43,500 Healthsource Inc.+.............................
1,740,000
16,400 Home Financial Corporation.....................
252,150
6,900 Insignia Financial Group Inc., Class A+........
206,137
8,600 Irvine Apartment Communites Inc................
155,875
9,600 Mills Corporation..............................
176,400
35,900 National Auto Credit Inc.+.....................
520,550
7,300 National Commerce Bancorporation...............
178,850
4,800 National Penn Banchares Inc....................
120,000
8,600 Olympic Financial Ltd.+........................
196,725
3,900 Park National Corporation......................
177,938
12,300 Pioneer Group Inc..............................
350,550
8,000 Protective Life Corporation....................
228,000
2,000 Putnam Trust Company...........................
113,500
5,400 Quick & Reilly Group Inc.......................
201,825
4,800 Reinsurance Group Of America...................
162,000
21,800 Reliance Group Holdings Inc....................
174,400
3,200 The Money Store Inc............................
210,000
4,300 U S Trust Corporation..........................
342,925
6,000 United Companies Financial Corporation.........
373,500
14,400 United Insurance Companies Inc.+...............
212,400
18,800 Valley National Bancorp........................
439,450
3,800 Waterhouse Investment Services Inc.............
108,775
3,400 WellCare Management Group Inc.+................
72,250
6,100 Western Bank Companies.........................
80,825
12,700 Western National Corporation...................
158,750
2,800 White River Corporation+.......................
102,200
3,800 World Acceptance Corporation+..................
154,850
----------
- --
10,579,770
----------
- --
CONSUMER DURABLES -- 3.3%
3,700 3D Systems Corporation+........................
60,588
72,900 Allen Group Inc................................
2,378,363
7,600 Breed Technologies Inc.........................
145,350
8,400 BWIP Inc.......................................
150,150
</TABLE>
See Notes to Financial Statements.
107
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
CONSUMER DURABLES (CONTINUED)
19,900 CML Group Inc.................................. $
171,637
6,400 Copart Inc.+...................................
140,800
8,800 Cross (A.T.) Company, Class A..................
139,700
9,400 Donaldson Inc..................................
238,525
8,900 Exide Corporation..............................
463,913
8,100 Figgie International Holdings Inc., Class A+...
104,287
5,300 General Magic Inc.+............................
86,788
18,700 Inso Corporation+..............................
1,171,088
6,500 Integrated Circuit Systems Inc.+...............
107,250
2,500 Kronos Inc.+...................................
115,625
8,800 Masland Corporation............................
127,600
5,900 Numerex Corporation+...........................
50,887
4,600 PSC Inc.+......................................
59,800
6,700 Rational Software Corporation+.................
103,013
5,200 Recoton Corporation+...........................
102,700
4,700 Safeguard Scientifics Inc.+....................
235,587
10,200 Stanhome Inc...................................
316,200
44,400 Stormedia Inc., Class A+.......................
1,842,600
4,000 Thor Industries Inc............................
72,500
16,200 Top Source Technologies Inc.+..................
133,650
10,300 United States Filter Corporation+..............
226,600
32,100 Vicor Corporation+.............................
1,508,700
12,000 Winnebago Industries Inc.......................
100,500
----------
- --
10,354,401
----------
- --
ENERGY -- 3.0%
4,300 ADflex Solutions Inc.+.........................
116,638
32,100 Avid Technology Inc.+..........................
1,275,975
14,260 Barrett Resource Corporation+..................
306,590
13,900 Benton Oil & Gas Company+......................
144,212
12,300 Box Energy Corporation, Class B+...............
129,727
8,000 Brown (Tom) Inc.+..............................
110,000
6,300 Cable Design Technologies Corporation+.........
162,225
45,600 CIDCO Inc.+....................................
1,596,000
5,400 Cree Research Inc.+............................
147,150
8,900 Cross Timbers Oil Company......................
130,162
11,100 Devon Energy Corporation.......................
234,488
5,000 DOVatron International Inc.+...................
162,500
3,500 Dravo Corporation+.............................
49,437
16,200 Global National Resources Inc.+................
176,175
3,500 Holly Corporation..............................
79,188
6,100 KCS Energy Inc.................................
88,450
</TABLE>
See Notes to Financial Statements.
108
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
ENERGY (CONTINUED)
11,600 MagneTek Inc.+................................. $
146,450
35,500 Mattson Technology Inc.+.......................
1,819,375
2,700 MAXXAM Inc.+...................................
158,625
8,700 Micro Linear Corporation+......................
137,025
15,000 Nabors Industries Inc.+........................
138,750
9,700 Newfield Exploration Company+..................
282,513
14,700 Oceaneering International Inc.+................
172,725
11,500 Petroleum Heat & Power Inc., Class A...........
94,875
3,500 Phoenix Resource Companies Inc.................
128,187
9,400 Plains Resources Inc.+.........................
101,050
5,400 Production Operators Corporation...............
153,900
8,500 Republic Waste Industries Inc.+................
180,625
15,500 Smith International Inc.+......................
271,250
3,200 Southeastern Michigan Gas Enterprises Inc......
61,600
4,950 Tejas Gas Corporation+.........................
246,263
8,700 Texas Meridian Resources Corporation+..........
95,700
5,500 Vintage Petroleum Inc..........................
110,000
12,300 Wainoco Oil Corporation+.......................
46,125
27,700 Weatherford International Inc.+................
363,562
----------
- --
9,617,517
----------
- --
TRANSPORTATION -- 2.2%
8,400 Air Express International Corporation..........
191,100
12,000 American Freightways Corporation+..............
232,500
11,100 Arnold Industries Inc..........................
198,412
12,150 Comair Holdings Inc............................
306,788
9,100 Continental Airlines Inc., Class B+............
269,588
38,800 Fritz Companies Inc.+..........................
2,764,500
5,300 Harmon Industries Inc..........................
105,337
4,800 Heartland Express Inc.+........................
141,600
7,900 Landstar Systems Inc.+.........................
221,200
5,145 Monro Muffler Brake Inc.+......................
78,461
4,700 Railtex Inc.+..................................
101,050
7,200 Spartan Motors Inc.+...........................
65,250
6,700 Swift Transportation Inc.+.....................
132,325
11,200 TNT Freightways Corporation....................
232,400
9,900 USAIR Group Inc.+..............................
80,438
6,400 Werner Enterprises Inc.........................
129,600
27,400 Wisconsin Central Transportation
Corporation+.................................
1,630,300
----------
- --
6,880,849
----------
- --
</TABLE>
See Notes to Financial Statements.
109
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
REAL ESTATE -- 1.2%
7,500 Associated Estates Realty Corporation.......... $
154,687
9,700 Beacon Properties Corporation..................
208,550
8,900 Carr Realty Corporation........................
171,325
6,300 Centerpoint Properties Corporation.............
129,938
4,000 Crescent Real Estate Equities Inc..............
123,500
9,000 Developers Divers Realty Corporation...........
285,750
9,400 Federal Realty Investment Trust................
205,625
14,600 General Growth Properties Inc..................
293,825
4,864 HGI Realty Inc.................................
122,208
6,500 JP Realty Inc..................................
130,812
10,000 Mego Financial Corporation+....................
87,500
7,400 Nationwide Health Properties Inc...............
289,525
6,000 Pennsylvania Real Estate Investment Trust......
126,750
9,600 Post Properties Inc............................
302,400
4,500 Smith (Charles E.) Residential Realty Inc......
102,937
14,500 Spieker Properties Inc.........................
311,750
8,200 Town & Country Trust...........................
112,750
17,100 United Dominion Realty Trust Inc...............
241,538
8,700 Urban Shopping Centers Inc.....................
184,875
18,000 Washington Real Estate Investment Trust........
267,750
----------
- --
3,853,995
----------
- --
UTILITIES -- 0.9%
45,000 Aspect Telecommunications Corporation+.........
2,148,750
5,400 Cellular Communications International Inc.+....
205,200
2,000 CFW Communications Company.....................
38,000
16,900 Lincoln Telecommunications Company.............
312,650
----------
- --
2,704,600
----------
- --
BUSINESS EQUIPMENT & SERVICES -- 0.1%
11,500 Alliance Entertainment Corporation+............
96,312
6,700 Thermolase Corporation+........................
133,162
19,900 Work Recovery Inc.+............................
63,431
----------
- --
292,905
----------
- --
OTHER -- 0.0%
3,600 Incomnet Inc.+.................................
54,450
----------
- --
TOTAL COMMON STOCKS (Cost $251,472,499)........
305,649,696
----------
- --
</TABLE>
See Notes to Financial Statements.
110
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE
VALUE
- ----------- VALUE
(NOTE 1)
----------
- --
COMMERCIAL PAPER -- 3.1%
<C> <S> <C>
$ 4,592,000 General Electric Capital Corporation, 5.820%
due 9/1/95................................... $
4,592,000
5,000,000 Prudential Funding Capital Corporation, 5.820%
due 9/1/95...................................
5,000,000
----------
- --
TOTAL COMMERCIAL PAPER (Cost $9,592,000).......
9,592,000
----------
- --
</TABLE>
<TABLE>
<S> <C> <C>
TOTAL INVESTMENTS (Cost $261,064,499*)........... 100.1 %
315,241,696
OTHER ASSETS AND LIABILITIES (NET)............... (0.1)
(208,283)
------- -----------
- -
NET ASSETS....................................... 100.0%
$315,033,413
------- -----------
- -
------- -----------
- -
<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 August 31, 1995
by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Commerical Paper and Net Other Assets and Liabilities 3.0%
Other Common Stocks 10.7%
Financial Services 3.4%
Basic Industries 5.2%
Consumer Non-Durables 5.4%
Health Care 13.1%
Capital Goods 14.1%
Consumer Services 21.1%
Technology 24.0%
</TABLE>
See Notes to Financial Statements.
111
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
<C> <S> <C>
COMMON STOCKS -- 88.4%
JAPAN -- 39.3%
959,000 Daiei Inc...................................... $
12,238,387
725 Daito Trust Construction.......................
9,030
1,192,000 Daiwa Securities Ltd...........................
14,968,453
2,295 DDI Corporation................................
19,353,446
461,000 Hokuetsu Bank Ltd..............................
2,569,740
113,000 Ito-Yokado Company Ltd.........................
6,010,516
1,274,000 Kawasaki Heavy Industries Ltd..................
5,163,634
476,000 Keiyo Bank Ltd.................................
2,716,529
341,000 Komori Corporation.............................
8,250,842
89,000 Kyocera Corporation............................
7,850,536
308,300 Matsuzakaya Ltd................................
3,336,376
354,000 Mitsubishi Trust & Banking Corporation.........
5,890,965
76,000 Murata Manufacturing Company Ltd...............
3,026,034
1,408,000 NEC Corporation................................
18,399,592
1,245,000 Nichido Fire & Marine Industries Ltd...........
9,850,689
927,000 Nikon Corporation..............................
12,681,776
3,288,000 Nippon Steel Corporation.......................
11,144,625
1,202 Nippon Telegraph & Telephone Corporation.......
10,848,065
2,117,000 Nissan Motor Company Ltd.......................
16,209,801
4,080 NTT Data Communications Systems Corporation....
8,913,936
802,000 Ohbayash Corporation...........................
6,296,457
399,000 Pioneer Electric Corporation...................
7,617,458
1,521,000 Sharp Corporation..............................
21,584,380
286,400 Sony Corporation...............................
15,613,844
488,000 Sumitomo Bank Ltd..............................
9,017,662
1,722,000 Sumitomo Realty and Development Company Ltd....
12,622,726
266,800 Tokyo Ohka Kogyo Company Ltd...................
8,552,853
----------
- --
260,738,352
----------
- --
UNITED KINGDOM -- 9.5%
11,298,860 ASDA Group Plc.................................
19,034,468
1,588,200 BPB Industries Plc.............................
8,020,467
1,723,700 British Telecommunications Plc.................
10,800,828
15,700 Cable and Wireless Plc.........................
101,904
281,200 Huntingdon International Holding Ltd., ADR.....
1,687,200
3,373,000 Sears Plc......................................
5,852,093
2,379,100 Tarmac Ltd.....................................
3,759,150
2,176,800 Vodafone Group Plc.............................
8,935,961
838,100 W.H. Smith Group Plc., Class A.................
5,011,411
----------
- --
63,203,482
----------
- --
</TABLE>
See Notes to Financial Statements.
112
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
GERMANY -- 7.3%
40,372 Daimler Benz AG................................ $
19,945,609
8,446 Kaufhof Holding AG.............................
3,031,824
49,310 Mannesmann AG..................................
15,526,190
45,340 Schering AG....................................
3,301,381
21,210 Volkswagen AG..................................
6,480,633
----------
- --
48,285,637
----------
- --
FRANCE -- 6.6%
126,399 Compagnie Bancaire.............................
13,174,744
60,518 Compagnie Generale Des Eaux....................
6,403,767
88,748 Lafarge S.A....................................
6,629,941
107,966 Michelin, Class B..............................
4,685,337
144,024 Rhone Poulenc S.A., Class A....................
2,953,826
134,714 Societe National Elf Aquitaine.................
9,863,633
----------
- --
43,711,248
----------
- --
ITALY -- 4.3%
1,290,900 Banca Commerciale Italiana S.p.A...............
3,047,240
5,548,999 Fiat S.p.A.....................................
20,400,480
3,626,200 Pirelli S.p.A..................................
5,028,629
----------
- --
28,476,349
----------
- --
CANADA -- 3.7%
100 Canadian Pacific Ltd...........................
1,687
1,000,900 Echo Bay Mines Ltd.............................
10,384,337
185,700 MacMillan Bloedel Ltd..........................
2,506,950
453,600 Placer Dome Ltd., ADR..........................
11,850,300
----------
- --
24,743,274
----------
- --
SWEDEN -- 3.7%
375,220 Astra AB (Free), Series A......................
12,439,311
157,290 Astra AB (Free), Series B......................
5,106,748
1,304,420 Skandinaviska Enskilda Banken (Free), Series
A............................................
6,754,672
----------
- --
24,300,731
----------
- --
HONG KONG -- 3.5%
406,000 Hang Sang Bank Ltd.............................
3,304,224
13,800 Hong Kong Telecommunications Ltd., ADR.........
246,675
2,481,000 Hutchison Whampoa Ltd..........................
11,954,696
722,000 Sun Hung Kai Properties........................
5,246,415
36,500 Swire Pacific, Ltd., Class A...................
273,479
756,000 Wharf Holdings.................................
2,172,975
----------
- --
23,198,464
----------
- --
</TABLE>
See Notes to Financial Statements.
113
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- --
COMMON STOCKS (CONTINUED)
<C> <S> <C>
AUSTRALIA -- 3.0%
1,673,883 Australia & New Zealand Bank Group............. $
6,805,427
389,223 The News Corporation Ltd.......................
2,238,867
25 Pioneer International Ltd......................
65
1,628,700 Western Mining Corporation Holdings............
10,962,640
----------
- --
20,006,999
----------
- --
SPAIN -- 2.2%
156,370 Banco Santander S.A. Registered................
6,396,954
355,600 Iberdrola S.A..................................
2,730,804
407,650 Telefonica De Espana...........................
5,526,356
----------
- --
14,654,114
----------
- --
NETHERLANDS -- 2.0%
147,070 Wolters Kluwer.................................
12,965,982
----------
- --
SINGAPORE -- 1.8%
254,000 City Developments Ltd..........................
1,528,828
373,000 Fraser & Neave.................................
4,227,596
5,800 Genting International Ltd. Registered, ADR.....
9,512
28,400 Jardine Matheson Holdings Registered, ADR......
204,480
706,000 Keppel Corporation Ltd. Registered.............
5,665,892
----------
- --
11,636,308
----------
- --
MALAYSIA -- 1.3%
251,000 Genting Berhad.................................
2,223,465
45,500 Magnum Corporation Berhad......................
92,102
600 Malaysian Helicopter Services Berhad...........
1,000
180,000 Petronas Gas Berhad............................
577,201
2,364,000 Renong Berhad..................................
4,567,292
215,000 Resorts World Berhad...........................
1,120,330
----------
- --
8,581,390
----------
- --
DENMARK -- 0.2%
14,430 Novo Nordisk AS, Series B......................
1,652,686
----------
- --
TOTAL COMMON STOCKS (Cost $522,342,482)........
586,155,016
----------
- --
PREFERRED STOCK -- 0.1% (Cost $681,864)
192,662 The News Corporation Ltd.......................
997,978
----------
- --
WARRANTS -- 0.0% (Cost $0)
2,225 Michelin, Warrants, Expire 12/31/95+...........
1,230
----------
- --
</TABLE>
See Notes to Financial Statements.
114
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ----------- ----------
- --
<C> <S> <C>
CONVERTIBLE NOTE -- 0.1% (Cost $287,170)
FRF 670,400 Michelin Convertible Note, 2.500% due 1/1/01... $
350,045
----------
- --
COMMERCIAL PAPER -- 8.9% (Cost $59,298,031)
$59,298,031 Barclays Bank, 5.813% due 9/1/95...............
59,298,031
----------
- --
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $582,609,547*)........... 97.5%
646,802,300
OTHER ASSETS AND LIABILITIES (NET)............... 2.5
16,328,075
-------- ----------
- --
NET ASSETS....................................... 100.0%
$663,130,375
--------
-------- ----------
- --
----------
- --
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
+ Non-income producing security.
ADR -- American Depository Receipt.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- International Equity Investments securities held at August 31, 1994 by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Preferred Stock, Warrants,
Convertible Note,
Commercial Paper and Net Other
Assets and
Liabilities 11.6%
Other Countries 5.3%
Spain 2.2%
Australia 3.0%
Hong Kong 3.5%
Sweden 3.7%
Canada 3.7%
Italy 4.3%
France 6.6%
Germany 7.3%
United Kingdom 9.5%
Japan 39.3%
</TABLE>
See Notes to Financial Statements.
115
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
At August 31,1995, sector diversification of the Portfolio was as
follows
(Unaudited):
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS
VALUE
- ---------------------------------------------------- -------- -------
- ------
<S> <C> <C>
COMMON STOCKS:
Technology........................................ 14.0% $
92,661,522
Durable Goods..................................... 11.0
72,750,489
Banking and Finance............................... 9.0
59,924,832
Retail............................................ 8.2
54,515,075
Communications.................................... 7.7
51,181,567
Drugs and Chemicals............................... 5.1
34,006,805
Mining and Metals................................. 5.0
33,197,277
Utilities......................................... 4.9
32,525,084
Real Estate and Development....................... 4.8
31,635,646
Holding Companies & Financial Servies............. 4.7
31,308,473
Basic Industries.................................. 3.9
25,795,033
Machinery......................................... 3.6
23,715,858
Consumer Services................................. 2.0
12,965,982
Insurance......................................... 1.5
9,850,689
Non-Durable Goods................................. 0.6
4,227,596
Leisure, Sporting and Recreation.................. 0.5
3,446,409
Paper and Forest Products......................... 0.4
2,506,950
Transportation.................................... 0.0
1,687
Other............................................. 1.5
9,938,042
-------- -------
- ------
Total Common Stocks................................. 88.4
586,155,016
Preferred Stock..................................... 0.1
997,978
Warrants............................................ 0.0
1,230
Convertible Note.................................... 0.1
350,045
Commercial Paper.................................... 8.9
59,298,031
-------- -------
- ------
Total Investments................................... 97.5
646,802,300
Other Assets and Liabilities (Net).................. 2.5
16,328,075
-------- -------
- ------
Net Assets.......................................... 100.0% $
663,130,375
-------- -------
- ------
-------- -------
- ------
</TABLE>
See Notes to Financial Statements.
116
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL EQUITY INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
CONTRACT VALUE
VALUE DATE (NOTE 1)
- ----------- -----------
<S> <C>
<C> <C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
67,872 Singapore Dollars
9/1/95 $ 47,780
234,625 Singapore Dollars
9/5/95 165,171
287,373 Singapore Dollars
9/6/95 202,304
293,368 Singapore Dollars
9/7/95 206,524
- -----------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
(Contract amount $622,988)
$ 621,779
- -----------
- -----------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
145,733 New Zealand Dollars
9/1/95 $ (94,711)
479,305,350 Japanese Yen
9/5/95 (4,893,368)
41,425,000 German Deutsche Marks
9/21/95 (28,189,861)
147,210,000 French Francs
9/21/95 (29,170,712)
2,661,000,000 Japanese Yen
9/21/95 (27,166,922)
3,555,845 French Francs
9/29/95 (704,616)
- -----------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
(Contract amount $96,976,172)
$(90,220,190)
- -----------
- -----------
</TABLE>
See Notes to Financial Statements.
117
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ------------------ ----------
- --
<C> <S> <C>
FIXED INCOME INVESTMENTS -- 88.8%
ITALY -- 16.1%
ITL 9,255,000,000 BTP, 8.500% due 8/1/99.................. $
5,207,121
20,400,000,000 Republic of Italy, 9.500% due 12/1/99...
11,833,058
----------
- --
17,040,179
----------
- --
UNITED KINGDOM -- 15.8%
GBP 3,000,000 Barclays, 6.500% due 2/15/04............
4,072,535
3,000,000 KFW International Finance, 6.625% due
11/26/04..............................
4,120,559
3,000,000 Royal Bank of Scotland, 6.625% due
3/2/04................................
4,103,332
2,611,000 United Kingdom Conversion, 9.500% due
4/18/05...............................
4,414,443
----------
- --
16,710,869
----------
- --
FRANCE -- 14.5%
FRF 19,000,000 Caisse National D'Autoroute, 6.750% due
7/8/99................................
3,797,403
Government of France:
6,500,000 8.500% due 11/25/02.....................
1,390,526
26,200,000 6.750% due 10/25/03.....................
5,052,703
24,750,000 Republic of France, 8.000% due
5/12/98...............................
5,123,107
----------
- --
15,363,739
----------
- --
NETHERLANDS -- 13.7%
NLG 8,000,000 Eurofima, 6.125% due 10/1/03............
4,718,760
15,889,000 Government of Netherlands, 7.000% due
6/15/05...............................
9,840,648
----------
- --
14,559,408
----------
- --
SPAIN -- 6.0%
Government of Spain:
ESP 500,000,000 8.300% due 12/15/98.....................
3,745,415
298,700,000 12.250% due 3/25/00.....................
2,494,724
----------
- --
6,240,139
----------
- --
GERMANY -- 5.9%
DEM 3,000,000 Depfa Finance, 6.375% due 9/30/03.......
1,970,229
1,784,000 Federal Republic of Germany, 6.250% due
1/4/24................................
1,052,765
5,315,000 Government of Austria, 6.500% due
1/10/24...............................
3,182,808
----------
- --
6,205,802
----------
- --
CANADA -- 4.9%
CAD 7,000,000 Canadian T-Bill, Zero Coupon due
10/26/95..............................
5,161,976
----------
- --
DENMARK -- 4.6%
DKK 11,300,000 Government of Denmark, 7.000% due
12/15/04..............................
1,856,404
17,680,000 Kingdom of Denmark, 8.000% due
3/15/06...............................
3,066,551
----------
- --
4,922,955
----------
- --
</TABLE>
See Notes to Financial Statements.
118
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ------------------ ----------
- --
FIXED INCOME INVESTMENTS (CONTINUED)
<C> <S> <C>
JAPAN -- 4.2%
JPY 403,000,000 Bank of Japan, 4.375% due 10/01/03...... $
4,437,329
----------
- --
SWEDEN -- 1.8%
SEK 12,500,000 Kingdom of Sweden, 13.000% due
6/15/01...............................
1,927,411
----------
- --
NEW ZEALAND -- 1.3%
NZD 2,200,000 Government of New Zealand, 9.000% due
11/15/96..............................
1,438,649
----------
- --
TOTAL FIXED INCOME INVESTMENTS
(Cost $92,885,682)....................
94,008,456
----------
- --
COMMERCIAL PAPER -- 1.8% (Cost $1,930,000)
$1,930,000 General Electric Capital Corporation,
5.820% due 9/1/95.....................
1,930,000
----------
- --
TOTAL INVESTMENTS (Cost $94,815,682*)............... 90.6%
95,938,456
OTHER ASSETS AND LIABILITIES (NET).................. 9.4
9,945,627
-------- -------
- -----
NET ASSETS.......................................... 100.0%
$105,884,083
-------- -------
- -----
-------- -------
- -----
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
</TABLE>
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- International Fixed Income Investments securities held at August 31, 1995
by
investment classification. The pie is broken in pieces representing
investments
in the following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
Commercial Paper and Net Other Assets
and Liabilities 11.2%
New Zealand 1.3%
Sweden 1.8%
Japan 4.2%
Denmark 4.6%
Canada 4.9%
Germany 5.9%
Spain 6.0%
Netherlands 13.7%
France 14.5%
Italy 16.1%
United Kingdom 15.8%
</TABLE>
See Notes to Financial Statements.
119
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
INTERNATIONAL FIXED INCOME INVESTMENTS
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
CONTRACT VALUE
VALUE DATE (NOTE 1)
- ----------- ------------
<S> <C>
<C> <C>
FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
8,293,040 German Deutsche Marks
9/5/95 $ 5,650,118
576,860,700 Japanese Yen
9/5/95 5,902,565
7,801,653 German Deutsche Marks
9/18/95 5,318,996
- ------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
(Contract amount $17,100,000)
$ 16,871,679
- ------------
- ------------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
8,173,713 German Deutsche Marks
9/5/95 $ (5,568,819)
534,023,750 Japanese Yen
9/5/95 (5,464,248)
9,379,820 Netherland Guilders
9/14/95 (5,707,525)
7,605,500 German Deutsche Marks
9/18/95 (5,185,263)
9,545,610 Netherland Guilders
9/18/95 (5,809,901)
567,108,000 Japanese Yen
9/18/95 (5,822,070)
- ------------
TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL
(Contract amount $34,800,000)
$(33,557,826)
- ------------
- ------------
</TABLE>
See Notes to Financial Statements.
120
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- -
<C> <S> <C>
COMMON STOCKS -- 85.3%
HONG KONG -- 11.9%
140,000 Cathay Pacific Airways......................... $
210,696
141,000 Cheung Kong Holdings...........................
699,445
220,000 Citic Pacific Limited..........................
626,663
820,000 Continental Mariner Investment.................
88,981
1,000,000 Guangdong Investment...........................
574,861
140,000 Guoco Group....................................
665,548
200,000 Hong Kong Electric Holdings....................
693,709
60,000 HSBC Holdings..................................
806,097
200,000 Hutchinson Whampoa.............................
963,700
190,000 New World Development Company Limited..........
692,159
477,000 Shangri-La Asia................................
520,689
1,850,000 Yizheng Chem Fibre Company Limited.............
549,670
----------
- -
7,092,218
----------
- -
MEXICO -- 9.4%
100,000 Cementos Mexicanos S.A., Class A...............
434,263
10,000 Empresas La Moderna S.A., ADR..................
171,250
80,000 Empresas La Moderna S.A., Class A..............
339,124
11,500 Empress ICA, ADR...............................
138,000
30,200 Empress ICA Sociedad Control...................
360,956
12,000 Grupo Carso S.A. de CV, ADR....................
153,000
50,000 Grupo Carso S.A. de CV, Series A1..............
321,116
11,111 Grupo Financiero, Class L......................
3,896
300,000 Grupo Financiero Bancomer, Class B.............
119,522
47,000 Grupo Financiero Bancomer, GDS.................
346,860
24,000 Grupo Televisa S.A.............................
279,586
14,500 Hylsamex, ADR**................................
297,250
32,000 Jugos Del Valle S.A. de CV.....................
70,374
30,000 Kimberly Clark De Mexico, Class A..............
416,892
45,000 Sears Roebuck Mexico, ADS......................
286,650
80,000 Sociedad De Fomento Industrial, Class B........
326,374
642,500 Telefonos De Mexico, Series L..................
1,048,478
80,000 Tolmex S.A., Series B2.........................
457,689
----------
- -
5,571,280
----------
- -
MALAYSIA -- 9.3%
82,250 Buildcon Berhad................................
191,202
75,000 Commerce Asset Holdings Berhad.................
414,830
90,000 Hong Leong Industries Berhad...................
483,367
143,000 Malaysian Pacific Industries...................
372,545
160,000 Meta-Corp Berhad...............................
484,168
385,000 Multi Purpose Holdings.........................
611,062
160,000 Tan Jong.......................................
458,517
</TABLE>
See Notes to Financial Statements.
121
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- -
COMMON STOCKS (CONTINUED)
<C> <S> <C>
MALAYSIA (CONTINUED)
80,000 Telekom Malaysia............................... $
561,122
86,000 Tenaga Nasional................................
318,838
150,000 Time Engineering...............................
517,034
174,533 UMW Holdings Berhad............................
573,615
120,000 Westmont Berhad................................
509,820
----------
- -
5,496,120
----------
- -
BRAZIL -- 7.4%
2,250,000 Brasmotor S.A..................................
578,047
9,000,000 Cia Paulista De Forca Luz......................
506,976
27,876 Companhia Energetica De Minas Gerais, ADR......
620,246
38,842 Telebras, ADR..................................
1,631,364
40,000 Usminas, ADR...................................
400,000
10,000 Usminas Siderurg Minas.........................
100,000
15,000 Vale Rio Doce Cia, ADR.........................
576,437
----------
- -
4,413,070
----------
- -
SINGAPORE -- 6.9%
580,000 China North, Class A+..........................
522,000
16,000 Creative Technology+...........................
163,265
210,000 First Capital Corporation......................
602,956
140,000 Hotel Properties...............................
225,616
69,600 Jardine Matheson...............................
501,120
173,812 Jardine Strategic..............................
545,770
90,000 Keppel Corporation.............................
722,027
120,000 Malayan Credit.................................
229,697
244,000 PCI Limited....................................
233,526
60,000 Singapore Land.................................
337,790
----------
- -
4,083,767
----------
- -
KOREA -- 5.9%
31,000 Cho Hung Bank..................................
404,940
6,100 Hyundai Engine & Construction..................
303,738
10,000 Hyundai Motor Company, GDR.....................
165,000
17,700 Korea Electric Power Corporation, ADR..........
404,888
15,000 LG Information & Communications................
894,335
43,450 Sammi Steel Company............................
456,866
2 Samsung Electric, GDR+.........................
200
16 Samsung Electronic Company Limited.............
3,320
12,020 Samsung Electronic Company Limited, GDR........
87,145
77 Samsung Electronics............................
13,942
11,642 Samsung Electronics, GDS**.....................
739,267
----------
- -
3,473,641
----------
- -
</TABLE>
See Notes to Financial Statements.
122
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- -
COMMON STOCKS (CONTINUED)
<C> <S> <C>
SOUTH AFRICA -- 5.7%
10,000 Anglo American Corporation..................... $
534,701
10,000 AMIC S.A. Rand.................................
454,017
53,800 Free State Consolidated Gold...................
630,518
9,750 Polifin Limited................................
19,867
98,200 Safmarine & Rennies............................
282,010
65,000 Sasol, NPV.....................................
555,555
90,000 Smith (CG).....................................
541,538
12,800 South African Breweries........................
388,595
----------
- -
3,406,801
----------
- -
THAILAND -- 4.7%
24,400 Advanced Information Services..................
360,255
42,800 International Engineering Company..............
244,230
30,000 Kang Yong Electric Public Company..............
187,949
16,100 Loxley Public Company Limited..................
327,654
32,000 Siam City Cement...............................
523,543
150,000 Thai Military Bank.............................
520,750
150,000 Thai Airways International.....................
284,318
300,000 Thai Modern Plastics Industries................
326,217
----------
- -
2,774,916
----------
- -
ISRAEL -- 3.8%
300,000 Bank Hapoalim, Limited.........................
510,908
23,000 ECI Telecom, Limited...........................
474,375
6,100 Koor Industries................................
561,170
39,800 Osem Investments...............................
319,134
16,000 Tadiran, Limited...............................
364,000
----------
- -
2,229,587
----------
- -
INDIA -- 3.7%
43,000 Arvind Mills, GDS..............................
165,550
32,000 Ashok Leyland, GDR.............................
400,000
16,000 East India Hotels, GDR+**......................
280,000
42,000 Indal, GDR.....................................
291,900
19,000 Indian Hotels, Series S**......................
322,620
15,000 Indian Rayon, GDR**............................
221,250
25,000 Raymond Woolen Mills, GDR+.....................
425,000
20,000 Tube Invest, GDR**.............................
110,000
----------
- -
2,216,320
----------
- -
ARGENTINA -- 3.4%
260,000 Astra Cia Argentina De Petroleo+...............
451,348
25,000 Massalin Particulares S.A., Class B............
250,137
100,000 Cia Naviera Perez Companc, Class B.............
490,270
</TABLE>
See Notes to Financial Statements.
123
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- -
COMMON STOCKS (CONTINUED)
<C> <S> <C>
ARGENTINA (CONTINUED)
10,000 Telecom De Argentina, ADR**.................... $
435,000
201,379 Transportadora Del Gas Del Sur, Class B........
417,084
----------
- -
2,043,839
----------
- -
INDONESIA -- 2.5%
93,500 Panca Wiratama Sakti...........................
92,819
437,500 Panin Bank.....................................
579,087
191,200 Semen Cibinong.................................
518,809
60,000 Tempo Scan Pacific.............................
309,729
----------
- -
1,500,444
----------
- -
CHILE -- 2.3%
60,000 Antofagasta Holdings...........................
293,328
12,500 Banco Osorno Y La Union, ADR...................
185,937
12,379 Chilquinta S.A., ADR**.........................
210,443
3,200 Compania De Telef De Chile, ADR................
233,600
4,500 Embotelladora Andina S.A., ADR.................
155,812
10,000 Enersis S.A., ADR..............................
253,750
----------
- -
1,332,870
----------
- -
GREECE -- 2.0%
39,000 Aegek, GDR.....................................
459,368
9,100 Ergo Bank......................................
418,333
17,500 Silver & Baryte Ores Mining Company............
300,292
----------
- -
1,177,993
----------
- -
SRI LANKA -- 1.7%
796,100 Asian Hotel Corporation+.......................
219,640
56,667 Development Finance Corporation................
334,624
1,235,000 Distilleries Company...........................
179,332
75,300 Hayleys........................................
278,457
----------
- -
1,012,053
----------
- -
COLOMBIA -- 1.5%
35,400 Cemento Argos..................................
266,321
19,500 Gran Cadena Almacenes, ADS.....................
297,375
17,300 Suramericana...................................
333,626
----------
- -
897,322
----------
- -
PERU -- 1.2%
195,000 Banco De Credito...............................
379,746
110,665 CPT Telefonica Del Peru, Class B...............
216,497
99,563 Indeco Peruana S.A. Trabajo+...................
115,359
----------
- -
711,602
----------
- -
</TABLE>
See Notes to Financial Statements.
124
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ----------- ----------
- -
COMMON STOCKS (CONTINUED)
<C> <S> <C>
PHILLIPINES -- 1.0%
42,000 Bacnotan Construction, Inc..................... $
293,287
313,000 Philipino Telephone+...........................
301,890
----------
- -
595,177
----------
- -
TAIWAN -- 1.0%
16,610 Asia Cement, GDS...............................
323,895
4,542 Taiwan Fund, Inc...............................
98,221
18,080 Tung Ho Steel, GDR**...........................
171,760
----------
- -
593,876
----------
- -
TOTAL COMMON STOCKS (Cost $51,932,425).........
50,622,896
----------
- -
PREFERRED STOCKS -- 3.8%
60,680,000 Acesita........................................
456,817
1,500,000 Banco Itau, S.A................................
472,230
16,081 Brahma.........................................
6,011
1,000,000 Cia Cervejaria Brahma..........................
373,782
200,000,000 Refrigeracao Parana, S.A.......................
486,444
13,000,000 Votorantim Celulose Papel......................
438,010
----------
- -
TOTAL PREFERRED STOCKS (Cost $2,265,941).......
2,233,294
----------
- -
RIGHTS AND WARRANTS -- 0.4%
19,500 Aegek Ordinary, Rights, Expire 9/29/95+........
18,589
19,500 Aegek Preferred, Rights, Expire 9/29/95+.......
19,003
41,125 Buildcon Berhad, Warrants, Expire 1/1/99+......
38,570
32 Daewoo Corporation, Warrants, Expire
11/8/96+.....................................
8,000
19,312 Jardine Strategic Holdings, Warrants, Expire
5/2/98+......................................
8,788
90,000 Semen Gresik, Rights, Expire 9/7/95+...........
131,832
24,533 UMW Holdings Berhad, Warrants, Expire
1/26/00+.....................................
28,810
----------
- -
TOTAL RIGHTS AND WARRANTS (Cost $198,059)......
253,592
----------
- -
</TABLE>
<TABLE>
<CAPTION>
FACE
VALUE
- -----------
<C> <S> <C>
CONVERTIBLE BONDS -- 3.1%
$ 90,000 Acer Inc., 4.000% due 6/10/01...................
272,700
390,000 Essar Gujarat, 5.500% due 8/5/98................
388,050
310,000 President Enterprise Corporation, Zero Coupon
due 7/22/01...................................
372,000
170,000 United Microelectronics, 1.250% due 6/8/04......
280,500
650,000 Yukong, 1.000% due 12/31/98.....................
550,230
---------
- --
TOTAL CONVERTIBLE BONDS (Cost $1,724,505).......
1,863,480
---------
- --
</TABLE>
See Notes to Financial Statements.
125
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
FACE VALUE
VALUE (NOTE 1)
- ----------- ---------
- --
REPURCHASE AGREEMENT -- 6.1% (Cost $3,595,000)
<C> <S> <C>
$ 3,595,000 Agreement with Union Bank of Switzerland, 5.750%
dated 8/31/95 to be repurchased at $3,595,574
on 9/1/95 collateralized by $3,825,000 U.S.
Treasury Bill, Zero Coupon due 5/30/96 $
3,595,000
---------
- --
</TABLE>
<TABLE>
<C> <S> <C> <C>
TOTAL INVESTMENTS (Cost $59,715,930*)............ 98.7%
58,568,262
OTHER ASSETS AND LIABILITIES (NET)............... 1.3
764,826
-------- ----------
- --
NET ASSETS....................................... 100.0% $
59,333,088
--------
-------- ----------
- --
----------
- --
<FN>
- -------------------
* Aggregate cost for Federal tax purposes.
** 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.
+ Non-income producing security.
ADR -- American Depository Receipt
ADS -- American Depository Shares
GDR -- Global Depository Receipt
GDS -- Global Depository Shares
</TABLE>
See Notes to Financial Statements.
126
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
At August 31, 1995, sector diversification of the Portfolio was as
follows
(Unaudited):
<TABLE>
<CAPTION>
% OF NET
SECTOR DIVERSIFICATION ASSETS VALUE
- -------------------------------------------------------- -------- ---------
- --
<S> <C> <C>
COMMON STOCKS:
Banking & Finance..................................... 15.0% $
8,888,710
Transportation........................................ 9.9
5,871,778
Construction & Building Materials..................... 9.4
5,559,838
Communications........................................ 8.7
5,136,537
Holding Companies..................................... 7.2
4,261,478
Mining & Metals....................................... 6.8
4,005,937
Utilities............................................. 5.6
3,302,549
Electronics........................................... 3.4
2,008,893
Drugs & Chemicals..................................... 3.0
1,811,404
Hotels & Lodging...................................... 2.6
1,568,565
Textiles.............................................. 2.2
1,321,620
Non-Durable Goods..................................... 1.9
1,133,057
Technology............................................ 1.5
920,395
Industrial............................................ 1.3
780,392
Food and Beverage..................................... 1.2
723,740
Consumer Services..................................... 0.9
535,701
Basic Industries...................................... 0.8
506,976
Manufacturing......................................... 0.7
416,892
Retail................................................ 0.5
286,650
Other................................................. 2.7
1,581,784
-------- ---------
- --
Total Common Stocks..................................... 85.3
50,622,896
Preferred Stocks........................................ 3.8
2,233,294
Rights and Warrants..................................... 0.4
253,592
Convertible Bonds....................................... 3.1
1,863,480
Repurchase Agreement.................................... 6.1
3,595,000
-------- ---------
- --
Total Investments....................................... 98.7
58,568,262
Other Assets and Liabilities (Net)...................... 1.3
764,826
-------- ---------
- --
Net Assets.............................................. 100.0%
$59,333,088
-------- ---------
- --
-------- ---------
- --
</TABLE>
See Notes to Financial Statements.
127
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
Investment Breakdown
Pie chart depicting the allocation of the Consulting Group Capital Markets
Funds
- -- Emerging Markets securities held at August 31, 1995 by investment
classification. The pie is broken in pieces representing investments in the
following percentages:
<TABLE>
<CAPTION>
INVESTMENTS PERCENTAGE
<S> <C>
India 3.7%
Israel 3.8%
Thailand 4.7%
South Africa 5.7%
Korea 5.9%
Singapore 6.9%
Brazil 7.4%
Malaysia 9.3%
Mexico 9.4%
Hong Kong 11.9%
Preferred Stocks, Rights and Warrants,
Convertible Bonds, Repurchase
Agreement, and Net Other Assets and
Liabilities 14.7%
Other Common Stocks 16.6%
</TABLE>
See Notes to Financial Statements.
128
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS
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. Investments maturing within 60 days of the valuation date 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
the
underlying security (collateral) subject to an obligation of the seller
to
repurchase, and the Portfolio to resell, the security at an agreed-upon
price
and time, thereby determining the yield during the Portfolio's holding
period.
This arrangement results in a fixed rate of return that is not subject to
market
fluctuations during the Portfolio's holding period. The value of the
collateral
is at least equal, at all times, to the total amount of the
repurchase
obligations, including interest. In the event of counterparty default,
the
Portfolio has the right to use the collateral to offset losses incurred.
There
is potential loss to the Portfolio in the event the Portfolio is delayed
or
prevented from exercising its rights to dispose of the collateral
securities,
including the risk of a possible decline in the value of the
underlying
securities during the period while the Portfolio seeks to assert its rights.
The
Portfolio's investment advisers, acting under the supervision of the Board
of
Trustees, reviews the value of the collateral and the creditworthiness of
those
banks and dealers with which the Portfolio enters into repurchase agreements
to
evaluate potential risks.
FORWARD FOREIGN CURRENCY TRANSACTIONS:
International Equity Investments, International Fixed Income Investments
and
Emerging Markets Equity Investments may engage in forward foreign
currency
contracts. Forward foreign currency contracts are valued at the forward rate
and
are marked-to-market daily. The change in market value
is
129
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (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. The daily changes in the contract
are
recorded as unrealized gains or losses. The Portfolio recognizes a realized
gain
or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as
a
hedging device. The change in value of futures contracts primarily
corresponds
with the value of their underlying instruments or index, which may not
correlate
with the change in value of the hedged investments. In addition, there is
the
risk that the Portfolio may not be able to enter into a closing
transaction
because of an illiquid secondary market.
INDEXED SECURITIES:
Indexed securities held by the Portfolio are investments whose value
is
indexed to another financial instrument, index, currency, or commodity
(the
"reference instrument"). For principal indexed securities, the principal
amount
payable at maturity may be more or less than the amounts shown depending
on
fluctuations in the value of the reference instruments. The price sensitivity
of
these securities may be greater than that of non-indexed securities with
similar
maturities.
130
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
SECURITIES TRANSACTIONS AND INVESTMENT INCOME:
Securities transactions are recorded as of 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
are
declared daily and paid monthly. Dividends from net investment income
of
Intermediate Fixed Income Investments, Long-Term Bond Investments,
Municipal
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, for all Portfolios, 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 4.00%
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 Portfolio. Any permanent book and tax basis differences at
fiscal
year end have been reclassified to reflect the tax characterization.
FEDERAL TAXES:
It is each Portfolio's policy to qualify as a regulated investment company,
if
such qualification is in the best interest of its shareholders, by
complying
with the requirements of the Internal Revenue Code applicable to
regulated
investment companies and by distributing all of its taxable income to
its
shareholders. Therefore, no Federal income tax provision is required.
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") (formerly known as "Smith, Barney
Advisors,
Inc."). SBMFM is a wholly owned subsidiary of
131
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Smith Barney Holdings Inc., which is in turn a wholly owned subsidiary
of
Travelers Group 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%
<FN>
- -------------------
* The Manager has agreed to waive a portion of the fees otherwise payable to
it
by Large Capitalization Value Equity Investments, Large Capitalization
Growth
Investments, Small Capitalization Value Equity Investments and
Small
Capitalization Growth Investments. The Manager will retain as its annual
fee
(net of amounts paid to advisors) an amount equal to no more than 0.30% of
the
value of each such Portfolio's average daily net assets.
</TABLE>
The Manager has in turn entered into an investment advisory agreement
(the
"Advisory Agreement") with each adviser selected for the
Portfolios
(collectively, the "Advisers"). The Trust's current Advisers are as
follows:
Standish, Ayer & Wood, Inc., Intermediate Fixed Income Investments
and
Government Money Investments; Wolf, Webb, Burk & Campbell, Inc., 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.
and Wells Fargo Nikko Investment Advisors, Small Capitalization Value
Equity
Investments; Pilgrim Baxter & Associates, Ltd. and Mellon Capital
Management
Corporation, Small Capitalization Growth Investments; Oechsle
International
Advisors, L.P. and State Street Global Advisors, 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.
From the period of November 17, 1994 to March 10, 1995, NFJ Investments
Group
Inc. and Parametric Portfolio Associates Inc. served without compensation due
to
the "assignment" of their previously existing Advisory Agreements.
After
shareholder approval was received on March 10, 1995, NFJ Investments Group
Inc.
and Parametric Portfolio Associates received payment in an amount equal to
their
cost of providing services during this period. Beginning July 1, 1995.
Wolf,
Webb, Burk & Campbell, Inc. served without compensation due to the
"assignment"
of its previously existing Advisory Agreement. A new Advisory Agreement
was
approved by the Board of Trustees with Wolf, Webb, Burk & Campbell, Inc.
The Trust is also party to an administration agreement (the
"Administration
Agreement") with SBMFM. 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.
132
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
The Trust and SBMFM have also entered into a sub-administration agreement
(the
"Sub-Administration Agreement") with The Boston 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.
Boston Safe Deposit and Trust Company ("Boston Safe"), an indirect
wholly
owned subsidiary of Mellon, serves as each Portfolio's custodian, except
for
International Equity Investments which is served by J.P. Morgan & Company,
Inc.
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 year ended August 31, 1995, the Agents waived fees pursuant to
the
above agreements as follows:
<TABLE>
<CAPTION>
TOTAL FEE
WAIVERS MANAGER
ADMINISTRATOR CUSTODIAN
--------- -------- --------
- -------
<S> <C> <C> <C>
<C>
Government Money Investments....... $302,812 $121,089 $161,452
$20,271
Long-Term Bond Investments......... 177,584 111,430 55,714
10,440
Municipal Bond Investments......... 114,970 71,421 35,710
7,839
Mortgage Backed Investments........ 306,275 202,297 80,919
23,059
Balanced Investments............... 143,109 96,966 32,322
13,821
Large Capitalization Value Equity
Investments....................... 890,922 890,922 --
- --
Large Capitalization Growth
Investments....................... 594,507 594,507 --
- --
Small Capitalization Value Equity
Investments....................... 63,448 63,448 --
- --
Small Capitalization Growth
Investments....................... 62,278 62,278 --
- --
International Fixed Income
Investments....................... 246,444 144,494 57,797
44,153
Emerging Markets Equity
Investments....................... 104,739 64,970 14,438
25,331
</TABLE>
For the year ended August 31, 1995, the Trust incurred total
brokerage
commissions of $4,507,170 of which $37,582 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 $1,000 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.
133
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
3. SECURITIES TRANSACTIONS
Cost of purchases and proceeds from sales of securities, excluding
U.S.
Government securities and short-term investments, for the year ended August
31,
1995 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ----------
- --
<S> <C> <C>
Intermediate Fixed Income Investments......... $ 51,308,999 $
37,790,997
Long-Term Bond Investments.................... 31,520,392
23,847,947
Municipal Bond Investments.................... 22,765,030
34,398,060
Balanced Investments.......................... 16,312,615
5,703,918
Large Capitalization Value Equity
Investments.................................. 327,750,225
174,593,219
Large Capitalization Growth Investments....... 425,153,408
223,732,881
Small Capitalization Value Equity
Investments.................................. 326,938,361
358,531,994
Small Capitalization Growth Investments....... 419,302,437
359,177,984
International Equity Investments.............. 185,051,185
156,148,168
International Fixed Income Investments........ 298,927,201
332,768,589
Emerging Markets Equity Investments........... 68,264,162
39,088,812
</TABLE>
Cost of purchases and proceeds from sales of U.S. Government
securities,
excluding short-term investments, for the year ended August 31, 1995 were
as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ----------
- --
<S> <C> <C>
Intermediate Fixed Income Investments......... $191,140,162
$172,181,340
Long-Term Bond Investments.................... 87,050,830
51,842,900
Mortgage Backed Investments................... 30,612,323
44,898,521
Balanced Investments.......................... 6,418,096
2,907,197
</TABLE>
At August 31, 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......... $ 3,152,051 $
1,759,503
Long-Term Bond Investments.................... 5,134,689
793,229
Municipal Bond Investments.................... 392,800
1,339,059
Mortgage Backed Investments................... 797,192
1,812,208
Balanced Investments.......................... 1,833,779
200,709
Large Capitalization Value Equity
Investments.................................. 140,593,201
15,423,459
Large Capitalization Growth Investments....... 141,174,315
7,921,933
Small Capitalization Value Equity
Investments.................................. 42,774,817
12,461,049
Small Capitalization Growth Investments....... 58,486,139
4,308,942
International Equity Investments.............. 78,691,100
14,498,347
International Fixed Income Investments........ 1,939,616
816,842
Emerging Markets Equity Investments........... 3,567,098
4,714,766
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
The Trust may issue an unlimited number of shares of beneficial interest
of
separate Portfolios 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,
134
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
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>
YEAR ENDED
YEAR ENDED
AUGUST 31, 1995
AUGUST 31, 1994
------------------------------- ------
- ------------------------
SHARES AMOUNT
SHARES AMOUNT
------------ ------------- ------
- ----- -------------
<S> <C> <C> <C>
<C>
GOVERNMENT MONEY INVESTMENTS:
Sold.......................... $ 307,350,449
$ 345,194,367
Issued as reinvestment of
dividends.................... 10,833,392
4,540,400
Redeemed...................... (261,236,040)
(249,071,098)
-------------
- -------------
Net increase.................. $ 56,947,801
$ 100,663,669
-------------
- -------------
-------------
- -------------
INTERMEDIATE FIXED INCOME
INVESTMENTS:
Sold.......................... 14,257,926 $ 112,872,502
22,381,600 $ 185,007,845
Issued as reinvestment of
dividends.................... 1,644,966 12,965,781
1,568,507 12,839,876
Redeemed...................... (13,738,827) (107,976,586)
(12,108,834) (98,876,075)
------------ ------------- ------
- ----- -------------
Net increase.................. 2,164,065 $ 17,861,697
11,841,273 $ 98,971,646
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
LONG-TERM BOND INVESTMENTS:...
Sold.......................... 11,749,472 $ 91,845,047
8,683,417 $ 72,680,596
Issued as reinvestment of
dividends.................... 893,508 7,052,493
624,452 5,139,012
Redeemed...................... (7,964,868) (62,959,427)
(4,713,343) (38,652,303)
------------ ------------- ------
- ----- -------------
Net increase.................. 4,678,112 $ 35,938,113
4,594,526 $ 39,167,305
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
MUNICIPAL BOND INVESTMENTS:
Sold.......................... 1,867,148 $ 14,838,689
4,962,612 $ 42,778,188
Issued as reinvestment of
dividends.................... 274,716 2,175,381
352,791 2,992,923
Redeemed...................... (3,684,749) (28,954,538)
(3,695,644) (30,900,670)
------------ ------------- ------
- ----- -------------
Net increase/(decrease)....... (1,542,885) $ (11,940,468)
1,619,759 $ 14,870,441
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
MORTGAGE BACKED INVESTMENTS:
Sold.......................... 4,269,136 $ 32,672,111
10,000,128 $ 79,873,717
Issued as reinvestment of
dividends.................... 874,423 6,696,916
874,769 6,914,524
Redeemed...................... (7,555,641) (57,534,987)
(6,727,653) (53,557,681)
------------ ------------- ------
- ----- -------------
Net increase/(decrease)....... (2,412,082) $ (18,165,960)
4,147,244 $ 33,230,560
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
BALANCED INVESTMENTS:
Sold.......................... 3,206,487 $ 28,901,315
1,714,853 $ 14,427,658
Issued as reinvestment of
dividends.................... 82,632 703,833
26,504 222,987
Redeemed...................... (1,789,639) (16,010,557)
(636,219) (5,327,603)
------------ ------------- ------
- ----- -------------
Net increase.................. 1,499,480 $ 13,594,591
1,105,138 $ 9,323,042
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
LARGE CAPITALIZATION VALUE
EQUITY INVESTMENTS:
Sold.......................... 40,567,406 $ 380,422,455
57,067,774 $ 524,060,959
Issued as reinvestment of
dividends.................... 4,143,981 35,140,953
1,243,086 11,448,832
Redeemed...................... (30,602,117) (282,838,427)
(29,902,432) (275,127,432)
------------ ------------- ------
- ----- -------------
Net increase.................. 14,109,270 $ 132,724,981
28,408,428 $ 260,382,359
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
LARGE CAPITALIZATION GROWTH
INVESTMENTS:
Sold.......................... 34,793,582 $ 362,502,760
37,994,847 $ 368,606,148
Issued as reinvestment of
dividends.................... 466,363 4,611,574 --
- --
Redeemed...................... (16,532,262) (174,537,827)
(16,647,531) (159,774,915)
------------ ------------- ------
- ----- -------------
Net increase.................. 18,727,683 $ 192,576,507
21,347,316 $ 208,831,233
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
</TABLE>
135
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE>
<CAPTION>
YEAR ENDED
YEAR ENDED
AUGUST 31, 1995
AUGUST 31, 1994
------------------------------- ------
- ------------------------
SHARES AMOUNT
SHARES AMOUNT
------------ ------------- ------
- ----- -------------
<S> <C> <C> <C>
<C>
SMALL CAPITALIZATION VALUE
EQUITY INVESTMENTS:
Sold.......................... 14,946,504 $ 132,442,395
24,961,805 $ 229,169,814
Issued as reinvestment of
dividends.................... 472,906 3,858,908
1,439,020 13,253,371
Redeemed...................... (19,338,022) (169,548,095)
(6,884,450) (62,861,738)
------------ ------------- ------
- ----- -------------
Net increase/(decrease)....... (3,918,612) $ (33,246,792)
19,516,375 $ 179,561,447
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
SMALL CAPITALIZATION GROWTH
INVESTMENTS:
Sold.......................... 11,435,282 $ 162,081,212
13,655,513 $ 166,661,153
Issued as reinvestment of
dividends.................... 83,420 1,128,666
136,380 1,667,927
Redeemed...................... (7,607,305) (107,067,464)
(6,106,555) (74,640,060)
------------ ------------- ------
- ----- -------------
Net increase.................. 3,911,397 $ 56,142,414
7,685,338 $ 93,689,020
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
INTERNATIONAL EQUITY
INVESTMENTS:
Sold.......................... 27,699,298 $ 280,767,233
36,546,773 $ 364,735,786
Issued as reinvestment of
dividends.................... 1,843,836 18,256,451
1,020,865 9,534,883
Redeemed...................... (21,167,881) (213,192,359)
(11,016,786) (110,574,450)
------------ ------------- ------
- ----- -------------
Net increase.................. 8,375,253 $ 85,831,325
26,550,852 $ 263,696,219
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
INTERNATIONAL FIXED INCOME
INVESTMENTS:
Sold.......................... 3,564,496 $ 30,711,397
9,382,953 $ 80,752,952
Issued as reinvestment of
dividends.................... 771,628 6,591,458
1,305,302 10,993,448
Redeemed...................... (6,898,451) (58,608,069)
(7,699,173) (64,843,492)
------------ ------------- ------
- ----- -------------
Net increase/(decrease)....... (2,562,327) $ (21,305,214)
2,989,082 $ 26,902,908
------------ ------------- ------
- ----- -------------
------------ ------------- ------
- ----- -------------
PERIOD ENDED
AUGUST 31, 1994*
------
- ------------------------
SHARES AMOUNT
------
- ----- -------------
EMERGING MARKETS EQUITY
INVESTMENTS:
Sold.......................... 6,214,297 $ 51,754,032
3,950,355 $ 32,960,776
Issued as reinvestment of
dividends.................... 148,020 1,160,479 --
- --
Redeemed...................... (2,632,648) (21,112,073)
(120,410) (1,028,997)
------------ ------------- ------
- ----- -------------
Net increase.................. 3,729,669 $ 31,802,438
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 Balanced Investments, 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.
136
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
7. CAPITAL LOSS CARRYFORWARD
At August 31, 1995, the following Portfolios had available for federal
income
tax purposes unused capital losses as follows:
<TABLE>
<CAPTION>
EXPIRING EXPIRING EXPIRING
PORTFOLIO IN 2001 IN 2002 IN 2003
- -------------------------------------------- -------- -------- -----------
<S> <C> <C> <C>
Government Money Investments................ $ 197 $525 $ 45,381
Intermediate Fixed Income Investments....... -- -- 5,085,822
Long-Term Bond Investments.................. -- -- 1,929,476
Municipal Bond Investments.................. -- -- 237,845
Mortgage Backed Investments................. -- -- 557,378
Small Capitalization Value Equity
Investments................................ -- -- 3,013,032
International Fixed Income Investments...... -- -- 1,132,206
</TABLE>
137
<PAGE>
INDEPENDENT AUDITORS' REPORT
The Board of Trustees
Consulting Group Capital Markets Funds
We have audited the accompanying statements of assets and liabilities
of
Government Money Investments, Intermediate Fixed Income Investments, Long-
Term
Bond Investments, Municipal Bond Investments, Mortgage Backed
Investments,
Balanced Investments, Large Capitalization Value Equity Investments,
Large
Capitalization Growth Investments, Small Capitalization Value
Equity
Investments, Small Capitalization Growth Investments, International
Equity
Investments, International Fixed Income Investments, and Emerging Markets
Equity
Investments (the "Portfolios") of Consulting Group Capital Markets Funds
(the
"Trust"), including the schedules of investments, as of August 31, 1995, and
the
related statements of operations, changes in net assets, and
financial
highlights for the year then ended. These financial statements and
financial
highlights are the responsibility of the Trust's management. Our
responsibility
is to express an opinion on these financial statements and financial
highlights
based on our audit. The statements of changes in net assets for the year
ended
August 31, 1994 and the financial highlights for each of the years or periods
in
the three-year period then ended were audited by other auditors whose
report
thereon, dated October 19, 1994, expressed an unqualified opinion on
these
financial statements and financial highlights.
We conducted our audit in accordance with generally accepted
auditing
standards. Those standards require that we plan and perform the audit to
obtain
reasonable assurance about whether the financial statements and
financial
highlights are free of material misstatement. An audit includes examining, on
a
test basis, evidence supporting the amounts and disclosures in the
financial
statements. Our procedures included confirmation of securities owned as
of
August 31, 1995 by correspondence with the custodian and brokers. An audit
also
includes assessing the accounting principles used and significant estimates
made
by management, as well as evaluating the overall financial
statement
presentation. We believe that our audit provides a reasonable basis for
our
opinion.
In our opinion, the financial statements and financial highlights referred
to
above present fairly, in all material respects, the financial position of
the
Portfolios of the Trust as of August 31, 1995, and the results of
their
operations, changes in their net assets, and their financial highlights for
the
year then ended in conformity with generally accepted accounting principles.
KPMG Peat Marwick LLP
Boston, Massachusetts
October 24, 1995
138
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
TAX INFORMATION
FOR THE YEAR ENDED AUGUST 31, 1995 (UNAUDITED)
The following tax information represents fiscal year end disclosures
of
various tax benefits passed through to shareholders at calendar year end.
Of the distributions made from investment income the following
percentages
have been derived from investments in U.S. Government and Agency
Obligations.
All of a portion of the distributions from this income may be exempt
from
taxation at the state level. Consult your tax advisor for the state
specific
information.
<TABLE>
<S> <C>
Government Money Investments 37.64 %
Intermediate Fixed Income Investments 13.64 %
Long-Term Bond Investments 43.64 %
Balanced Investments 27.79 %
</TABLE>
Of the distributions made by the following Portfolios the
corresponding
percentage represents the amount of each distribution which will qualify for
the
dividend received deduction available to corporate shareholders.
<TABLE>
<S> <C>
Balanced Investments 35.41 %
Large Capitalization Value Equity Investments 83.07 %
Large Capitalization Growth Investments 75.56 %
Small Capitalization Value Equity Investments 67.84 %
Small Capitalization Growth Investments 1.12 %
</TABLE>
The capital gains dividend distribution paid to shareholders for fiscal
year
ended August 31, 1995, whether taken in shares or in cash, from long
term
capital gains is as follows:
<TABLE>
<S> <C>
Balanced Investments $ 70,178
Large Capitalization Value Equity Investments 14,119,177
Large Capitalization Growth Investments 332,576
Small Capitalization Growth Investments 1,133,278
International Equity Investments 16,786,396
</TABLE>
139
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
ADDITIONAL INFORMATION
SHAREHOLDERS MEETINGS
On March 10, 1995 a meeting of shareholders of certain Portfolios of the
Trust
was held for the purpose of voting on the following matters:
PROPOSAL 1: To approve or disapprove for shareholders of Large
Capitalization
Growth Investments an investment advisory agreement with Provident
Investment
Counsel
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.817% 1.884% 9.299%
</TABLE>
PROPOSAL 2: To approve or disapprove for shareholders of Large
Capitalization
Value Equity Investments an investment advisory agreement with
Parametric
Portfolio Associates
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.036% 2.005% 9.959%
</TABLE>
PROPOSAL 3: To approve or disapprove for shareholders of Small
Capitalization
Value Equity Investments an investment advisory agreement with NFJ
Investment
Group
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.234% 2.228% 9.538%
</TABLE>
PROPOSAL 4: To approve or disapprove for shareholders of Small
Capitalization
Value Equity Investments an investment advisory agreement with Wells Fargo
Nikko
Investment Advisors
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.714% 2.077% 9.211%
</TABLE>
PROPOSAL 5: To approve or disapprove for shareholders of Small
Capitalization
Growth Investments an investment advisory agreement with Mellon
Capital
Management Corporation
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
85.210% 4.482% 10.308%
</TABLE>
PROPOSAL 6: To approve or disapprove for shareholders of Small
Capitalization
Growth Investments an investment advisory agreement with Pilgrim Baxter
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
87.783% 2.092% 10.125%
</TABLE>
PROPOSAL 7: To approve or disapprove for shareholders of International
Equity
Investments an investment advisory agreement with State Street Global Advisors
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.640% 2.528% 8.832%
</TABLE>
PROPOSAL 8: To approve or disapprove for shareholders of International
Equity
Investments an investment advisory agreement with Oechsle International
Advisors
L.P.
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
88.998% 2.287% 8.715%
</TABLE>
140
<PAGE>
CONSULTING GROUP CAPITAL MARKETS FUNDS
ADDITIONAL INFORMATION (CONTINUED)
SHAREHOLDER MEETINGS (CONTINUED)
The May 19, 1995 shareholder meeting which had been adjourned was
reconvened
on May 23, 1995. The first adjourned meeting of shareholders of
Small
Capitalization Growth Investments, a portfolio of the Consulting Group
Capital
Markets Funds, was held for the following purpose:
PROPOSAL 1: To approve or disapprove for shareholders of Small
Capitalization
Growth Investments an investment advisory agreement with Pilgrim Baxter.
<TABLE>
<CAPTION>
% VOTING FOR THE PROPOSAL % VOTING AGAINST THE PROPOSAL % ABSTAINING
- ------------------------- ------------------------------ -------------
<S> <C> <C>
82.641% 2.011% 15.348%
</TABLE>
OTHER DEVELOPMENTS
On September 21, 1995, based upon the recommendation of the Audit Committee
of
the Trust, the Board of Trustees determined not to retain Coopers &
Lybrand
L.L.P. ("Coopers & Lybrand") as the Trust's independent auditor and voted
to
appoint KPMG Peat Marwick LLP. During the Trust's three most recent
fiscal
years, Coopers & Lybrand's audit reports contained no adverse opinion
or
disclaimer of opinion; nor were the reports qualified or modified as
to
uncertainty, audit scope, or accounting principles. Further, during this
same
period there were no disagreements with Coopers & Lybrand on any matter
of
accounting principles or practices, financial statement disclosure, or
auditing
scope or procedure, which disagreements, if not resolved to the satisfaction
of
Coopers & Lybrand, would have caused it to make reference to the subject
matter
of such disagreements in connection with its audit reports. The Trust
has
requested Coopers & Lybrand to provide a letter to the Securities and
Exchange
Commission stating whether Coopers & Lybrand agrees with the
foregoing
statements, and to provide the Trust with a copy of such letter.
141
<PAGE>
GOVERNMENT MONEY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+ WITH
TRAK FEE+
--------------------------- -------------
- --------------
GOVERNMENT MONEY INVESTMENTS ACTUAL WITHOUT WAIVERS* ACTUAL
WITHOUT WAIVERS*
---------------------------- ------ ------------------ ------ ----
- --------------
<S> <C> <C> <C> <C>
Year Ended 8/31/95 5.24% 5.10% 3.67%
3.53%
Inception (11/18/91) through
8/31/95 3.65% 2.70% 2.11%
1.17%
</TABLE>
The Portfolio had an aggregate total return of 3.70% for the period
from
January 1, 1995 through August 31, 1995. The Portfolio's benchmark,
Donoghue
Money Market Funds Average, had an aggregate total return for the same period
of
3.86% and average annual total returns of 5.43% and 3.69% for the fiscal
year
ended August 31, 1995 and for the period from inception through August 31,
1995,
respectively.
*See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
142
<PAGE>
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 8.70% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, Lehman
Brothers
Intermediate Government/Corporate Bond Index, had an aggregate total return
of
9.47% for the same period.
The U.S. bond markets rallied in 1995 in the face of lower interest
rates
and weaker than expected economic reports. Indicators such as new home sales
and
the purchasing managers' index signaled a slowdown. In 1995, the bond
market
posted double digit positive returns in all maturity sectors (except the
1-3
year issues), and Treasury issues longer than 15 years posted returns
nearly
commensurate with stocks (23.48% versus 24.54%). The Federal Reserve Board
has
apparently realized its objective of a "soft landing" for the economy.
Real
growth rates are near 1.3%, and are expected to inch toward 2.5%, the
Federal
Reserve Board's "neutral target", 12 months from now. Inflation is
under
control, with annualized inflation rate near 2.5% and little upward
pressure
from wage increases even at a time of full employment. Average hourly
earnings
have been trending lower and unit labor costs have remained unchanged year
over
year (lowest in 30 years). A record inflow of capital into Treasuries has
also
boosted returns in the bond market as inter-country bond yield
differentials
favor the U.S.
The mortgage sector posted lower returns during the last twelve months
as
lower interest rates prompted a pick-up in refinancing of existing mortgages.
In
1995 mortgage backed securities continue to lag Treasuries but are
posting
double digit positive returns.
Corporate bonds have performed better than Treasuries as lower
interest
rates (and lower financing costs) and strong corporate earnings boosted
the
returns of corporate issuers.
Bonds have continued their rally since the peak in yields back in October
of
1994. Federal Reserve Board easing earlier this year also gave the bond
market
another upward thrust. With 30 year Treasury bond yields near 6.45%, it
would
appear that unless the U.S. economy falls back into recession, we have
probably
seen the peak in bond prices. The bond market has already absorbed the
"soft
landing" and low inflation rates. If capacity pressures continue
and
manufacturers begin to pass commodity price increases on to retail
consumers,
inflation could creep up near the 3.5%-4.0% level. Potential constraints
on
consumer spending such as higher debt levels and job security should
keep
consumer prices in check near the 2.5%-3.0% level.
The Portfolio's return slightly underperformed its benchmark index for
the
fiscal year ended August 31, 1995 due to its exposure to the mortgage
backed
sector of the market. During the fiscal year, the Portfolio maintained
a
diversified portfolio of intermediate term fixed income securities with
exposure
to the mortgage sector. The benchmark index has no exposure to these
securities.
As noted above, the mortgage sector underperformed the government and
corporate
sectors during the previous fiscal year.
143
<PAGE>
INTERMEDIATE FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL
RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
--------------------------------
- -------- ----------------------------------------
INTERMEDIATE FIXED INCOME INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
---------------------------------------- ------ ----------
- -------- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 8.70%
8.70% 7.08% 7.08%
Inception (11/18/91) through 8/31/95 6.70%
6.56% 5.10% 4.96%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERMEDIATE FIXED INCOME INVESTMENTS
VS.
LEHMAN BROTHERS INTERMEDIATE GOVERNMENT/CORPORATE BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Intermediate Fixed
Income
Investments on December 1, 1991 through August 31, 1995 as compared with
the
growth of a $10,000 investment in Lehman Brothers
Intermediate
Government/Corporate Bond Index. The plot points used to draw the line
graph
were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
INTERMEDIATE INTERMEDIATE LEHMAN BROTHERS
FIXED INCOME FIXED INCOME INTERMEDIATE
MONTH INVESTMENTS INVESTMENTS GOVERNMENT/
ENDING (EXCLUDING FEE) (INCLUDING FEE) CORPORATE BOND INDEX
<S> <C> <C> <C>
12/01/91 $10,000 $10,000 $10,000
12/91 $10,210 $10,197 $10,244
03/92 $10,084 $10,034 $10,151
06/92 $10,443 $10,352 $10,553
09/92 $10,909 $10,774 $11,018
12/92 $10,809 $10,635 $10,979
03/93 $11,357 $11,133 $11,415
06/93 $11,643 $11,370 $11,661
09/93 $11,919 $11,595 $11,925
12/93 $11,943 $11,573 $11,945
03/94 $11,668 $11,264 $11,703
06/94 $11,552 $11,110 $11,632
09/94 $11,625 $11,137 $11,727
12/94 $11,613 $11,083 $11,714
03/95 $12,099 $11,505 $12,228
06/95 $12,671 $12,003 $12,838
08/95 $12,765 $12,062 $12,956
</TABLE>
- ------------------------------------------------------------------------------
- --
The Lehman Brothers Intermediate Government/Corporate Bond Index is a
weighted
composite of (i) Lehman Brothers Intermediate Government Bond Index, which
is
comprised of all publicly issued, non-convertible debt of the U.S. government
or
any agency thereof, quasi-federal corporations, and corporate debt guaranteed
by
the U.S. government with a maturity between one and ten years and (ii)
Lehman
Brothers Corporate Bond Index, which is comprised of all public fixed-
rate,
non-convertible investment-grade domestic corporate debt with a maturity
of
between one and ten years, excluding collateralized mortgage
obligations.
Because the index is not a managed portfolio, there are no advisory fees
or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
144
<PAGE>
LONG-TERM BOND INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 10.71% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, Lehman
Brothers
Government/Corporate Bond Index, had an aggregate total return of 11.49% for
the
same period.
The U.S. bond markets rallied in 1995 in the face of lower interest
rates
and weaker than expected economic reports. Indicators such as new home sales
and
the purchasing managers' index signaled a slowdown. In 1995, the bond
market
posted double digit positive returns in all maturity sectors (except the
1-3
year issues), and Treasury issues longer than 15 years posted returns
nearly
commensurate with stocks (23.48% versus 24.54%). The Federal Reserve Board
has
apparently realized its objective of a "soft landing" for the economy.
Real
growth rates are near 1.3%, and are expected to inch toward 2.5%, the
Federal
Reserve Board's "neutral target", 12 months from now. Inflation is
under
control, with annualized inflation rate near 2.5% and little upward
pressure
from wage increases even at a time of full employment. Average hourly
earnings
have been trending lower and unit labor costs have remained unchanged year
over
year (lowest in 30 years). A record inflow of capital into Treasuries has
also
boosted returns in the bond market as inter-country bond yield
differentials
favor the U.S.
The mortgage sector posted lower returns during the last twelve months
as
lower interest rates prompted a pick-up in refinancing of existing mortgages.
In
1995 mortgage backed securities continue to lag Treasuries but are
posting
double digit positive returns.
Corporate bonds have performed better than Treasuries as lower
interest
rates (and lower financing costs) and strong corporate earnings boosted
the
returns of corporate issuers.
Bonds have continued their rally since the peak in yields back in October
of
1994. Federal Reserve Board easing earlier this year also gave the bond
market
another upward thrust. With 30 year Treasury bond yields near 6.45%, it
would
appear that unless the U.S. economy falls back into recession, we have
probably
seen the peak in bond prices. The bond market has already absorbed the
"soft
landing" and low inflation rates. If capacity pressures continue
and
manufacturers begin to pass commodity price increases on to retail
consumers,
inflation could creep up near the 3.5%-4.0% level. Potential constraints
on
consumer spending such as higher debt levels and job security should
keep
consumer prices in check near the 2.5%-3.0% level.
The Portfolio's return slightly underperformed its benchmark index for
the
fiscal year ended August 31, 1995 due to its exposure to the mortgage
backed
sector of the market. During the fiscal year, the Portfolio maintained
a
diversified portfolio of long term (greater than 10 year average
maturity
securities) with exposure to the mortgage sector. The benchmark index has
no
exposure to these securities. During the previous fiscal year, the
mortgage
sector underperformed the government and corporate sectors as noted above.
145
<PAGE>
LONG-TERM BOND INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
--------------------------------------
- - ---------------------------------------
LONG-TERM BOND INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
----------------------------------- ------- -----------------
- - ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 10.71% 10.57%
9.07% 8.93%
Inception (11/18/91) through
8/31/95 6.49% 6.10%
4.90% 4.53%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LONG-TERM BOND INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Lomg-Term Bond Investments
on
December 1, 1991 through August 31, 1995 as compared with the growth of
a
$10,000 investment in Lehman Brothers Government/Corporate Bond Index. The
plot
points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
LONG-TERM BOND LONG-TERM BOND LEHMAN BROTHERS
MONTH INVESTMENTS INVESTMENTS GOVERNMENT/
ENDING (EXCLUDING FEE) (INCLUDING FEE) CORPORATE BOND INDEX
<S> <C> <C> <C>
12/01/91 $10,000 $10,000 $10,000
12/91 $10,249 $10,236 $10,337
03/92 $ 9,950 $ 9,901 $10,182
06/92 $10,356 $10,266 $10,594
09/92 $10,876 $10,742 $11,112
12/92 $10,857 $10,683 $11,120
03/93 $11,362 $11,138 $11,638
06/93 $11,648 $11,375 $11,988
09/93 $11,990 $11,666 $12,386
12/93 $11,945 $11,578 $12,350
03/94 $11,535 $11,139 $11,962
06/94 $11,293 $10,864 $11,814
09/94 $11,293 $10,823 $11,873
12/94 $11,333 $10,822 $11,917
03/95 $11,857 $11,281 $12,510
06/95 $12,555 $11,900 $13,323
08/95 $12,684 $11,992 $13,441
</TABLE>
- ------------------------------------------------------------------------------
- --
The Lehman Brothers Government/Corporate Bond Index is a weighted composite
of
(i) Lehman Brothers Government Bond Index, which is comprised of all
publicly
issued, non-convertible debt of the U.S. government or any agency
thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government
and (ii) Lehman Brothers Corporate Bond Index, which is comprised of all
public
fixed-rate, non-convertible investment-grade domestic corporate debt,
excluding
collateralized mortgage obligations. Because the index is not a
managed
portfolio, there are no advisory fees or internal management expenses
reflected
in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
146
<PAGE>
MUNICIPAL BOND INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 7.86% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, Lehman
Brothers
Municipal Bond Index, had an aggregate total return of 8.86% for the
same
period.
Throughout the year the municipal bond market has been affected by
the
various tax proposals coming out of Washington particularly the flat
tax
proposals. These events have caused many individual investors to focus on
the
short and intermediate term municipal issues believing that focus on these
areas
will minimize the risks associated with tax reform. While it is still too
early
to fully assess the impact of new tax laws on the municipal bond market
the
municipal bond market reacted to many of the same macro-economic factors as
the
taxable bond market.
The Portfolio's return underperformed its benchmark index for the
fiscal
year ended August 31, 1995 due to rising interest rates at the end of
1994,
which caused a decline in the value of long term bonds. The Portfolio's
return
for the calendar year to date has outperformed the index as a result of
falling
interest rates and the Portfolio's longer term maturity positioning.
147
<PAGE>
MUNICIPAL BOND INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
----------------------------------------
- ----------------------------------------
MUNICIPAL BOND INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
---------------------------- ------ ------------------
- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 7.86% 7.63%
6.25% 6.02%
Inception (11/18/91) through
8/31/95 6.18% 5.81%
4.60% 4.23%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MUNICIPAL BOND INVESTMENTS
VS.
LEHMAN BROTHERS MUNICIPAL BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Municipal Bond Investments
on
December 1, 1991 through August 31, 1995 as compared with the growth of
a
$10,000 investment in the Lehman Brothers Municipal Bond Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
MUNICIPAL BOND MUNICIPAL BOND INVESTMENT IN THE
MONTH INVESTMENTS INVESTMENTS LEHMAN BROTHERS
ENDING (EXCLUDING FEE) (INCLUDING FEE) MUNICIPAL BOND INDEX
<S> <C> <C> <C>
12/01/91 $10,000 $10,000 $10,000
12/91 $10,262 $10,249 $10,215
03/92 $10,247 $10,195 $10,246
06/92 $10,632 $10,539 $10,635
09/92 $10,831 $10,696 $10,918
12/92 $11,096 $10,916 $11,117
03/93 $11,525 $11,296 $11,529
06/93 $11,923 $11,642 $11,906
09/93 $12,325 $11,990 $12,309
12/93 $12,493 $12,107 $12,481
03/94 $11,474 $11,077 $11,796
06/94 $11,483 $11,045 $11,927
09/94 $11,479 $11,000 $12,008
12/94 $11,219 $10,710 $11,836
03/95 $12,228 $11,629 $12,673
06/95 $12,422 $11,770 $12,979
08/95 $12,659 $11,965 $13,269
</TABLE>
- ------------------------------------------------------------------------------
- --
The Lehman Brothers Municipal Bond Index is a weighted composite which
is
comprised of more than 15,000 bonds issued within the last 5 years, having
a
minimum credit rating of at least Baa and a maturity of at least 2
years,
excluding all bonds subject to the Alternative Minimum Tax and bonds
with
floating or zero coupons. Because the index is not a managed portfolio,
there
are no advisory fees or internal management expenses reflected in the
index's
performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
148
<PAGE>
MORTGAGE BACKED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 9.96% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, Lehman
Brothers
Mortgage-Backed Securities Index, had an aggregate total return of 10.94%
for
the same period. The Lipper U.S. Mortgage Fund Average had an aggregate
return
of 9.12% for this period.
The U.S. bond markets rallied in 1995 in the face of lower interest
rates
and weaker than expected economic reports. Indicators such as new home sales
and
the purchasing managers' index signaled a slowdown. In 1995, the bond
market
posted double digit positive returns in all maturity sectors (except the
1-3
year issues), and Treasury issues longer than 15 years posted returns
nearly
commensurate with stocks (23.48% versus 24.54%). The Federal Reserve Board
has
apparently realized its objective of a "soft landing" for the economy.
Real
growth rates are near 1.3%, and are expected to inch toward 2.5%, the
Federal
Reserve Board's "neutral target", 12 months from now. Inflation is
under
control, with annualized inflation rate near 2.5% and little upward
pressure
from wage increases even at a time of full employment. Average hourly
earnings
have been trending lower and unit labor costs have remained unchanged year
over
year (lowest in 30 years). A record inflow of capital into Treasuries has
also
boosted returns in the bond market as inter-country bond yield
differentials
favor the U.S.
The mortgage sector posted lower returns during the last twelve months
as
lower interest rates prompted a pick-up in refinancing of existing mortgages.
In
1995, mortgage backed securities continue to lag Treasuries but are
posting
double digit positive returns.
Corporate bonds have performed better than Treasuries as lower
interest
rates (and lower financing costs) and strong corporate earnings boosted
the
returns of corporate issuers.
Bonds have continued their rally since the peak in yields back in October
of
1994. Federal Reserve Board easing earlier this year also gave the bond
market
another upward thrust. With 30 year Treasury bond yields near 6.45%, it
would
appear that unless the U.S. economy falls back into recession, we have
probably
seen the peak in bond prices. The bond market has already absorbed the
"soft
landing" and low inflation rates. If capacity pressures continue
and
manufacturers begin to pass commodity price increases on to retail
consumers,
inflation could creep up near the 3.5%-4.0% level. Potential constraints
on
consumer spending such as higher debt levels and job security should
keep
consumer prices in check near the 2.5%-3.0% level.
149
<PAGE>
MORTGAGE BACKED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
----------------------------------------
- ----------------------------------------
MORTGAGE BACKED INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
---------------------------- ------ ------------------
- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 9.96% 9.65%
8.33% 8.02%
Inception (11/18/91) through
8/31/95 6.28% 5.88%
4.69% 4.30%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
MORTGAGE BACKED INVESTMENTS
VS.
LEHMAN BROTHERS MORTGAGE-BACKED SECURITIES INDEX AND LIPPER U.S. MORTGAGE
FUND
AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Mortgage Backed Investments
on
December 1, 1991 through August 31, 1995 as compared with the growth of
a
$10,000 investment in the Lehman Brothers Mortgage-Backed Securities Index
and
Lipper U.S. Mortgage Fund Average. The plot points used to draw the line
graph
were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000 GROWTH
OF $10,000
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
INVESTMENT IN THE
MORTGAGE BACKED MORTGAGE BACKED LEHMAN BROTHERS
LIPPER U.S.
MONTH INVESTMENTS INVESTMENTS MORTGAGE-BACKED
MORTGAGE FUND
ENDING (EXCLUDING FEE) (INCLUDING FEE) SECURITIES INDEX
AVERAGE
<S> <C> <C> <C> <C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $10,220 $10,207 $10,201
$10,249
03/92 $10,132 $10,081 $10,113
$10,121
06/92 $10,525 $10,433 $10,519
$10,510
09/92 $10,812 $10,677 $10,833
$10,868
12/92 $10,889 $10,713 $10,911
$10,889
03/93 $11,168 $10,947 $11,233
$11,247
06/93 $11,384 $11,116 $11,444
$11,489
09/93 $11,463 $11,151 $11,554
$11,665
12/93 $11,564 $11,207 $11,658
$11,703
03/94 $11,315 $10,924 $11,387
$11,387
06/94 $11,224 $10,795 $11,323
$11,182
09/94 $11,292 $10,820 $11,422
$11,221
12/94 $11,324 $10,811 $11,470
$11,200
03/95 $11,855 $11,275 $12,071
$11,719
06/95 $12,442 $11,789 $12,700
$12,291
08/95 $12,577 $11,887 $12,854
$12,406
</TABLE>
- ------------------------------------------------------------------------------
- --
The Lehman Brothers Mortgage-Backed Securities Index includes all fixed-
rate
securities backed by mortgage pools of the Government National
Mortgage
Association (GNMA), Federal Home Loan Mortgage Corporation (FHLMC) and
Federal
National Mortgage Association (FNMA). The Lipper U.S. Mortgage Fund Average
is
an average of funds invested at least 65% in mortgage securities issued
or
guaranteed as to principal and interest by the U.S. Government and
certain
federal agencies. Because the index is not a managed portfolio, there are
no
advisory fees or internal management expenses reflected in the
index's
performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
150
<PAGE>
BALANCED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 12.76% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark indices, the Lehman
Brothers
Government/Corporate Index and the Standard & Poor's 500 Composite Stock
Price
Index ("S&P 500") had aggregate total returns of 11.49% and
21.42%,
respectively, for the same period.
The Portfolio holds a mix of stocks and bonds making comparisons to a
blend
of 60% S&P 500 and 40% Lehman Brothers Government/Corporate Index more
relevant
than either stock or bond index individually. The 60/40 blended index was
up
17.43% for the fiscal year ended August 31, 1995. The Portfolio
underperformed
the benchmark index for two main reasons: (1) the Portfolio manager
Palley
Needelman tends to focus on large company value oriented stocks
which
underperformed their growth oriented counterparts for the fiscal year, and
(2)
the Portfolio manager tends to focus on the short and intermediate term
high
quality fixed income securities and therefore the fixed income component of
the
Portfolio underperformed the Lehman Brothers Government/Corporate Index
which
has a significantly longer average maturity.
The Portfolio benefited from a strong stock market as lower interest
rates
and stronger than generally expected corporate earnings drove the U.S.
equity
market higher. Growth oriented stocks outperformed value oriented stocks
as
investors bid up stocks that maintained earnings growth in excess of
the
market's growth rate while economic growth declined from a high of 5.5% in
the
fourth quarter of 1994 to a present level of 1.3% real GDP annual growth.
The best performing sectors of the market were technology,
financial
services and health care. Of these noted sectors financial services had
the
greatest impact on the Portfolio. In financial services, most of the
money
center banks, regional banks, insurance companies and brokerage firms
posted
strong double digit gains for the first nine months of 1995. Many
financial
services companies benefited from strong earnings in an environment of
lower
interest rates, increased fee based revenue and continued consumer credit
card
purchases.
The worst performing sectors of the market were consumer durables,
retail,
and energy. The retail sector continued to suffer due to weak demand in the
area
due to weak consumer demand in the area of specialty and general
department
store retailers. Lower energy prices, specifically oil prices, contributed
to
the small gains in the energy sector.
The U.S. bond markets rallied in 1995 in the face of lower interest
rates
and weaker than expected economic reports. Indicators such as new home sales
and
the purchasing managers' index signaled a slowdown. In 1995, the bond
market
posted double digit positive returns in all maturity sectors (except the
1-3
year issues), and Treasury issues longer than 15 years posted returns
nearly
commensurate with stocks (23.48% versus 24.54%). The Federal Reserve Board
has
apparently realized its objective of a "soft landing" for the economy.
Real
growth rates are near 1.3%, and are expected to inch toward 2.5%, the
Federal
Reserve Board's "neutral target", 12 months from now. Inflation is
under
control, with annualized inflation rate near 2.5% and little upward
pressure
from wage increases even at a time of full employment. Average hourly
earnings
have been trending lower and unit labor costs have remained unchanged year
over
year (lowest in 30 years). A record inflow of capital into Treasuries has
also
boosted returns in the bond market as inter-country bond yield
differentials
favor the U.S.
The mortgage sector posted lower returns during the last twelve months
as
lower interest rates prompted a pick-up in refinancing of existing mortgages.
In
1995, mortgage backed securities continue to lag Treasuries but are
posting
double digit positive returns.
Corporate bonds have performed better than Treasuries as lower
interest
rates (and lower financing costs) and strong corporate earnings boosted
the
returns of corporate issuers.
Bonds have continued their rally since the peak in yields back in October
of
1994. Federal Reserve Board easing earlier this year also gave the bond
market
another upward thrust. With 30 year Treasury bond yields near 6.45%, it
would
appear that unless the U.S. economy falls back into recession, we have
probably
seen the peak in bond prices. The bond market has already absorbed the
"soft
landing" and low inflation rates. If capacity pressures continue
and
manufacturers begin to pass commodity price
151
<PAGE>
increases on to retail consumers, inflation could creep up near the 3.5%-
4.0%
level. Potential constraints on consumer spending such as higher debt levels
and
job security should keep consumer prices in check near the 2.5%-3.0% level.
Looking forward, the Consulting Group believes that higher than
normal
valuation levels, slower corporate earnings growth, record inflows of first
time
money into aggressive equity mutual funds, low levels of cash as a percentage
of
total mutual fund values and fading consumer confidence are all factors
which
should weigh heavily on any further acceleration of U.S. equity prices.
Given
the consensus outlook for stable economic growth and subdued inflation, once
an
adjustment is made in the stock market and valuations come down to levels
more
comparable with future earnings growth potential, equities should
perform
slightly below their historical average return of 10% per year.
152
<PAGE>
BALANCED INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+ WITH
TRAK FEE+
--------------------------- -------------
- --------------
BALANCED INVESTMENTS ACTUAL WITHOUT WAIVERS** ACTUAL
WITHOUT WAIVERS**
---------------------------- ------ ------------------ ------ ----
- --------------
<S> <C> <C> <C> <C>
Year Ended 8/31/95 12.76% 12.06% 11.09%
10.40%
Inception (2/16/93) through
8/31/95 9.31% 7.97% 7.69%
6.36%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
BALANCED INVESTMENTS
VS.
LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX AND S&P 500 STOCK INDEX
MARCH 1, 1993 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Balanced Investments on March
1,
1993 through August 31, 1995 as compared with the growth of a $10,000
investment
in the Lehman Brothers Government/Corporate Bond Index and S&P 500 Stock
Index.
The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK LEHMAN BROTHERS GROWTH
OF $10,000
BALANCED BALANCED GOVERNMENT/
INVESTMENT IN THE
MONTH INVESTMENTS INVESTMENTS CORPORATE
S&P 500
ENDING (INCLUDING FEE) (EXCLUDING FEE) BOND INDEX
STOCK INDEX
<S> <C> <C> <C> <C>
03/01/93 $10,000 $10,000 $10,000
$10,000
03/93 $10,212 $10,225 $10,034
$10,211
06/93 $10,315 $10,366 $10,336
$10,260
09/93 $10,430 $10,521 $10,678
$10,524
12/93 $10,746 $10,880 $10,648
$10,769
03/94 $10,369 $10,539 $10,313
$10,362
06/94 $10,276 $10,484 $10,185
$10,404
09/94 $10,548 $10,801 $10,236
$10,912
12/94 $10,302 $10,588 $10,274
$10,910
03/95 $11,060 $11,409 $10,786
$11,970
06/95 $11,793 $12,212 $11,486
$13,111
08/95 $12,072 $12,532 $11,588
$13,579
</TABLE>
- ------------------------------------------------------------------------------
- --
The Lehman Brothers Government/Corporate Bond Index is a weighted composite
of
(i) Lehman Brothers Government Bond Index, which is comprised of all
publicly
issued, non-convertible debt of the U.S. government or any agency
thereof,
quasi-federal corporations, and corporate debt guaranteed by the U.S.
government
and (ii) Lehman Brothers Corporate Bond Index, which is comprised of all
public
fixed-rate, non-convertible investment-grade domestic corporate debt,
excluding
collateralized mortgage obligations. The S&P 500 Stock Index is an
index
composed of 500 widely held common stocks listed on the New York Stock
Exchange,
American Stock Exchange and over-the-counter market. Because the index is not
a
managed portfolio, there are no advisory fees or internal management
expenses
reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
153
<PAGE>
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 16.14% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Russell 1000
Value
Index, had an aggregate total return of 19.14% for the same period. The
Lipper
Growth and Income Fund Average had an aggregate return of 16.92% for
this
period.
The Portfolio benefited from a strong stock market as lower interest
rates
and stronger than generally expected corporate earnings drove the U.S.
equity
market higher. Growth oriented stocks outperformed value oriented stocks
as
investors bid up stocks that maintained earnings growth in excess of
the
market's growth rate while economic growth declined from a high of 5.5% in
the
fourth quarter of 1994 to a present level of 1.3% real GDP annual growth.
The best performing sectors of the market were technology,
financial
services and health care. Of these noted sectors financial services had
the
greatest impact on the Large Capitalization Value Fund. In financial
services,
most of the money center banks, regional banks, insurance companies
and
brokerage firms posted strong double digit gains for the first nine months
of
1995. Many financial services companies benefited from strong earnings in
an
environment of lower interest rates, increased fee based revenue and
continued
consumer credit card purchases.
The worst performing sectors of the market were consumer durables,
retail,
and energy. The retail sector continued to suffer due to weak demand in the
area
due to weak consumer demand in the area of specialty and general
department
store retailers. Lower energy prices, specifically oil prices, contributed
to
the small gains in the energy sector.
The Portfolio for the last 12 months has been co-managed 80%
Parametric
Portfolio Associates and 20% Newbold's Asset Management in a fully
invested
large capitalization value oriented portfolio. The Parametric portion of
the
Portfolio is managed through a quantitative investment process with
risk
characteristics similar to that of the Russell 1000 Value Index. The
Newbold's
Asset Management portfolio of the Portfolio is managed with a focus on
high
quality companies selling at attractive valuation levels.
Looking forward, the Consulting Group believes that higher than
normal
valuation levels, slower corporate earnings growth, record inflows of first
time
money into aggressive equity mutual funds, low levels of cash as a percentage
of
total mutual fund values and fading consumer confidence are all factors
which
should weigh heavily on any further acceleration of U.S. equity prices.
Given
the consensus outlook for stable economic growth and subdued inflation, once
an
adjustment is made in the stock market and valuations come down to levels
more
comparable with future earnings growth potential, equities should
perform
slightly below their historical average return of 10% per year.
154
<PAGE>
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
---------------------------
- ---------------------------
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ------------------
- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 16.14% 16.04%
14.41% 14.31%
Inception (11/18/91) through 8/31/95 9.71% 9.68%
8.07% 8.04%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 1000 VALUE INDEX AND LIPPER GROWTH AND INCOME FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Large Capitalization Value
Equity
Investments on December 1, 1991 through August 31, 1995 as compared with
the
growth of a $10,000 investment in Russell 1000 Value Index and Lipper Growth
and
Income Fund Average. The plot points used to draw the line graph were
as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK
GROWTH OF $10,000
LARGE CAPITALIZATION LARGE CAPITALIZATION GROWTH OF $10,000
INVESTMENT IN THE
VALUE EQUITY VALUE EQUITY INVESTMENT IN THE
LIPPER GROWTH
MONTH INVESTMENTS INVESTMENTS RUSSELL 1000
AND INCOME
ENDING (EXCLUDING FEE) (INCLUDING FEE) VALUE INDEX
FUND AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $10,677 $10,664 $10,838
$10,986
03/92 $10,485 $10,433 $10,960
$10,985
06/92 $11,034 $10,937 $11,418
$11,006
09/92 $11,239 $11,098 $11,655
$11,292
12/92 $11,150 $10,969 $12,335
$11,960
03/93 $11,582 $11,351 $13,527
$12,505
06/93 $11,674 $11,397 $13,923
$12,610
09/93 $12,080 $11,750 $14,611
$13,056
12/93 $12,252 $11,873 $14,571
$13,350
03/94 $11,720 $11,316 $14,062
$12,939
06/94 $11,800 $11,351 $14,149
$12,888
09/94 $12,079 $11,576 $14,509
$13,444
12/94 $11,807 $11,273 $14,279
$13,225
03/95 $12,837 $12,212 $15,635
$14,279
06/95 $13,868 $13,141 $17,037
$15,438
08/95 $14,508 $13,713 $17,878
$16,073
</TABLE>
- ------------------------------------------------------------------------------
- --
The Russell 1000 Value Index is a capitalization weighted total return
index
which is comprised of 1000 of the largest capitalized U.S. domiciled
companies
with greater-than-average value orientation whose common stock is traded in
the
United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Growth and Income Fund Average is composed of the Portfolio's peer group
of
mutual funds investing in growth and income oriented funds.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
155
<PAGE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 22.30% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Russell 1000
Growth
Index, had an aggregate total return of 24.64% for the same period. The
Lipper
Growth Fund Average had an aggregate return of 20.01% for this period.
The Portfolio benefited from the excellent environment for equity
investment
for the last 12 months as the U.S. stock market was driven by falling
interest
rates and stronger than expected corporate earnings. Growth stocks
outperformed
value stocks as investors bid up prices of stocks that maintained
earnings
growth in excess of the market's growth rate while economic growth declined
from
a high of 5.5% in the fourth quarter of 1994 to a present level of 1.3% real
GDP
annual growth.
The best performing sectors were technology, financial services and
health
care. Of these sectors technology and health care had the largest impact on
the
Portfolio. The technology sector garnished most of the financial press over
the
last twelve months as Microsoft rolled out the long-awaited and much
anticipated
Windows 95 operating software. In addition, strong demand for
personal
computers, semiconductors, and peripheral hardware and software drove
the
technology sector to a 52% gain over the last twelve months. In the health
care
sector, multi-national drug companies posted strong advances on stronger
than
expected earnings.
The worst performing sectors of the market were consumer durables,
retail,
and energy. The retail sector continued to suffer due to weak demand in the
area
due to weak consumer demand in specialty and general department store
retailers.
Lower energy prices, specifically oil prices, contributed to the small gains
in
the energy sector.
The Portfolio for the last 12 months has been co-managed 80%
Boston
Structured Advisors and 20% Provident Investment Counsel in a fully
invested
large capitalization growth oriented portfolio. The Boston Structured portion
of
the portfolio is managed in quantitative investment process with
risk
characteristics similar to that of the Russell 1000 Growth Index. The
Provident
Investment Counsel portfolio of the portfolio is managed with a focus on
high
quality companies selling at attractive valuation levels.
Looking forward, the Consulting Group believes with slower
corporate
earnings growth investors are usually willing to pay a premium for growth.
When
growth is plentiful investors are usually more selective, and look for the
best
price when shopping for growth. With the economy showing few signs of
regaining
significant strength, only a nominal increase in industrial production and
real
GDP expected to move near the Federal Reserve Board target of 2.5%,
growth
stocks are poised to benefit from investor re-focus as corporate earnings
growth
slows.
156
<PAGE>
LARGE CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
---------------------------
- ---------------------------
LARGE CAPITALIZATION GROWTH INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ------------------
- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 22.30% 22.21%
20.48% 20.38%
Inception (11/18/91) through 8/31/95 11.90% 11.84%
10.22% 10.17%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
LARGE CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 1000 GROWTH INDEX AND LIPPER GROWTH FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Large Capitalization
Growth
Investments on December 1, 1991 through August 31, 1995 as compared with
the
growth of a $10,000 investment in Russell 1000 Growth Index and Lipper
Growth
Fund Average. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
GROWTH OF $10,000
LARGE CAPITALIZATION LARGE CAPITALIZATION INVESTMENT IN THE
INVESTMENT IN THE
MONTH GROWTH INVESTMENTS GROWTH INVESTMENTS RUSSELL 1000
LIPPER GROWTH
ENDING (EXCLUDING FEE) (INCLUDING FEE) GROWTH INDEX
FUND AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $11,448 $11,434 $11,413
$11,123
03/92 $10,699 $10,646 $10,849
$11,004
06/92 $10,587 $10,493 $10,731
$10,715
09/92 $11,511 $11,367 $11,203
$11,032
12/92 $12,195 $11,997 $11,984
$12,015
03/93 $11,957 $11,720 $11,884
$12,324
06/93 $11,832 $11,555 $11,700
$12,411
09/93 $12,495 $12,155 $11,873
$13,012
12/93 $12,220 $11,843 $12,332
$13,313
03/94 $11,745 $11,339 $11,789
$12,866
06/94 $11,533 $11,092 $11,670
$12,531
09/94 $12,245 $11,732 $12,567
$13,209
12/94 $12,252 $11,695 $12,661
$13,035
03/95 $13,310 $12,657 $13,866
$13,997
06/95 $14,695 $13,922 $15,230
$15,312
08/95 $15,281 $14,441 $15,881
$16,149
</TABLE>
- ------------------------------------------------------------------------------
- --
The Russell 1000 Growth Index is a capitalization weighted total return
index
which is comprised of 1000 of the largest capitalized U.S. domiciled
companies
with a greater-than-average growth orientation whose common stock is traded
in
the United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Growth Fund Average is composed of the Portfolio's peer group of mutual
funds
investing in companies where long term earnings are expected to
grow
significantly faster than the earnings of the stocks represented in the
major
unmanaged stock indices.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
157
<PAGE>
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 12.50% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Russell 2000
Value
Index, had an aggregate total return of 15.58% for the same period. In
addition,
the Lipper Small Company Fund Average had an aggregate return of 25.98% for
this
period.
Small company stocks slightly underperformed large company stocks for the
12
months ended August 31, 1995. During that time period growth oriented
stocks
outperformed valued oriented stocks by a significant margin. The Russell
2000
Growth Index, a proxy for small company growth stocks was up 26.12%, while
the
Russell 2000 Value Index was up 15.58%, a proxy for small company value
stocks.
Small company value stocks were beneficiaries of the generally
positive
environment for equity investing in the U.S. over the last twelve months.
Falling interest rates and the positive environment for the
financial
services sector aided the performance of the portfolio over the last
fiscal
year. In addition, the high level merger and acquisition activity in the
banking
and savings and loan industry served as an additional stimulus to returns in
the
small company value sector. Unfortunately positive earnings surprises did
not
affect the small cap value sector of the market as much as other sectors
as
disappointing earnings in retail and some cyclical stocks caused lagging
returns
in comparison to the rest of the U.S. stock market. Retail companies continue
to
be affected by weak consumer demand and consumer price sensitivity. In
apparel
manufacturing some companies were affected by rising commodity prices and
their
inability to pass on the price increases at the retail level.
Continuing
industry competition also has not helped the poor pricing environment.
A
slowdown in housing starts has negatively impacted stocks in the shelter
sector.
Lower energy prices, specifically oil prices, contributed to the small gains
in
the energy sector.
During the fiscal year the Portfolio terminated sub-advisor Thorsell,
Parker
Partners and hired co-manager Wells Fargo/Nikko. The Portfolio is
currently
managed 50% by Wells Fargo/Nikko and 50% by NFJ Investment Group in a
fully
invested small capitalization value oriented portfolios. The Wells Fargo/
Nikko
portion of the portfolio is managed in quantitative investment process with
risk
characteristics similar to that of the Russell 2000 Value Index. The
NFJ
Investment Group portfolio is managed with a focus on high quality
companies
selling at attractive valuation levels.
The Consulting Group believes that higher than normal valuation
levels,
slower corporate earnings growth, record inflows of first time money
into
aggressive equity mutual funds, low levels of cash as a percentage of
total
mutual fund values and fading consumer confidence are all factors which
should
weigh heavily on any further acceleration of U.S. equity prices. Given
the
consensus outlook for stable economic growth and subdued inflation, once
an
adjustment is made in the stock market and valuations come down to levels
more
comparable with future earnings growth potential, equities should
perform
slightly below their historical average return of 10% per year, while
investors
should expect somewhat higher returns from small company stocks.
158
<PAGE>
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
-------------------------------
- ---- -----------------------------------
SMALL CAPITALIZATION VALUE EQUITY WITHOUT
WITHOUT
INVESTMENTS ACTUAL WAIVERS**
ACTUAL WAIVERS**
------------------------------------------ ------- ------------
- ---- ------- ----------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 12.50% 12.48%
10.83% 10.81%
Inception (11/18/91) through 8/31/95 8.60% 8.56%
6.98% 6.95%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
SMALL CAPITALIZATION VALUE EQUITY INVESTMENTS
VS.
RUSSELL 2000 VALUE INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- Small Capitalization
Value
Equity Investments on December 1, 1991 through August 31, 1995 as compared
with
the growth of a $10,000 investment in the Russell 2000 Index and Lipper
Small
Company Fund Average. The plot points used to draw the line graph were
as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK
GROWTH OF $10,000
SMALL CAPITALIZATION SMALL CAPITALIZATION GROWTH OF $10,000
INVESTMENT IN THE
VALUE EQUITY VALUE EQUITY INVESTMENT IN THE
LIPPER SMALL
MONTH INVESTMENTS INVESTMENTS RUSSELL 2000
COMPANY FUND
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $10,717 $10,704 $10,648
$11,113
03/92 $11,383 $11,326 $11,957
$11,472
06/92 $11,204 $11,107 $11,720
$10,520
09/92 $11,255 $11,116 $12,150
$10,871
12/92 $13,251 $13,039 $13,751
$12,638
03/93 $13,057 $12,800 $15,090
$12,958
06/93 $12,591 $12,297 $15,333
$13,303
09/93 $12,928 $12,579 $16,595
$14,435
12/93 $12,686 $12,298 $17,031
$14,803
03/94 $12,218 $11,800 $16,800
$14,382
06/94 $11,749 $11,305 $16,546
$13,570
09/94 $12,121 $11,618 $17,329
$14,724
12/94 $11,603 $11,080 $16,815
$14,686
03/95 $12,134 $11,544 $17,438
$15,501
06/95 $13,071 $12,389 $18,967
$16,896
08/95 $13,993 $13,230 $20,244
$18,446
</TABLE>
- ------------------------------------------------------------------------------
- --
The Russell 2000 Value Index is a capitalization weighted total return
index
which is comprised of 2000 of the smallest capitalized U.S. domiciled
companies
with less-than-average growth orientation whose common stock is traded in
the
United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Small Company Fund Average is composed of the Portfolio's peer group of
mutual
funds which limit their investments to companies on the basis of the size of
the
company.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
159
<PAGE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 38.25% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Russell 2000
Growth
Index, had an aggregate total return of 26.12% for the same period. The
Lipper
Small Company Fund Average had an aggregate return of 25.98% for this period.
Small company growth stocks were the best performing domestic
equity
investment style for the fiscal year. Small company growth stocks
were
beneficiaries of the generally positive environment for equities created
by
falling interest rates and stronger than expected corporate earnings.
In
addition, the heavily technology oriented small company growth sector
benefited
from investor excitement regarding these rapidly growing and volatile
companies.
The best performing sectors were technology, financial services and
health
care. Of these sectors, technology and health care had the largest impact on
the
Portfolio. The technology sector garnished most of the financial press over
the
last twelve months as Microsoft rolled out the long-awaited and much
anticipated
Windows 95 operating software. In addition, strong demand for
personal
computers, semiconductors, and peripheral hardware and software drove
the
technology sector to a 52% gain over the last twelve months. In the health
care
sector, multi-national drug companies posted strong advances on stronger
than
expected earnings.
The worst performing sectors of the market were consumer durables,
retail,
and energy. The retail sector continued to suffer due to weak demand in the
area
due to weak consumer demand in specialty and general department store
retailers.
Lower energy prices, specifically oil prices, contributed to the small gains
in
the energy sector.
During the fiscal year the Portfolio employed a co-manager structure.
The
Portfolio is currently managed 50% by Mellon Capital and 50% by Pilgrim,
Baxter
in fully invested small capitalization growth oriented portfolios. The
Mellon
Capital portion of the portfolio is managed through a quantitative
investment
process with risk characteristics similar to that of the Russell 2000
Growth
Index. The Pilgrim, Baxter portfolio is managed with a focus on rapidly
growing
companies which have the potential to realize earnings in excess of
the
consensus earnings expectation.
The Consulting Group believes that higher than normal valuation
levels,
slower corporate earnings growth, record inflows of first time money
into
aggressive equity mutual funds, low levels of cash as a percentage of
total
mutual fund values and fading consumer confidence are all factors which
should
weigh heavily on any further acceleration of U.S. equity prices. Given
the
consensus outlook for stable economic growth and subdued inflation, once
an
adjustment is made in the stock market and valuations come down to levels
more
comparable with future earnings growth potential, equities should
perform
slightly below their historical average return of 10% per year, while
investors
should expect somewhat higher returns from small company stocks.
160
<PAGE>
SMALL CAPITALIZATION GROWTH INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
---------------------------
- ---------------------------
SMALL CAPITALIZATION GROWTH INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ------------------
- ------ ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 38.25% 38.22%
36.19% 36.16%
Inception (11/18/91) through 8/31/95 23.06% 22.94%
21.22% 21.10%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTMENT IN
SMALL CAPITALIZATION GROWTH INVESTMENTS
VS.
RUSSELL 2000 GROWTH INDEX AND LIPPER SMALL COMPANY FUND AVERAGE
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Small Capitalization
Growth
Investments on December 1, 1991 through August 31, 1995 as compared with
the
growth of a $10,000 investment in the Russell 2000 Index and Lipper
Small
Company Fund Average. The plot points used to draw the line graph were
as
follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
INVESTMENT IN THE
SMALL CAPITALIZATION SMALL CAPITALIZATION INVESTMENT IN THE
LIPPER SMALL
MONTH GROWTH INVESTMENTS GROWTH INVESTMENTS RUSSELL 2000
COMPANY FUND
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
AVERAGE
<S> <C> <C> <C>
<C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $11,191 $11,177 $10,958
$11,113
03/92 $10,844 $10,789 $11,258
$11,472
06/92 $10,112 $10,023 $ 9,905
$10,520
09/92 $10,397 $10,268 $10,097
$10,871
12/92 $12,469 $12,268 $11,808
$12,638
03/93 $12,060 $11,820 $11,597
$12,958
06/93 $13,412 $13,096 $11,932
$13,303
09/93 $15,025 $14,617 $13,045
$14,435
12/93 $15,402 $14,927 $13,388
$14,803
03/94 $15,490 $14,955 $12,844
$14,382
06/94 $13,840 $13,312 $12,038
$13,570
09/94 $16,346 $15,663 $13,160
$14,724
12/94 $17,420 $16,631 $13,062
$14,686
03/95 $18,193 $17,303 $13,778
$15,501
06/95 $19,763 $18,725 $15,144
$16,896
08/95 $21,763 $20,569 $16,524
$18,446
</TABLE>
- ------------------------------------------------------------------------------
- --
The Russell 2000 Growth Index is a capitalization weighted total return
index
which is comprised of 2000 of the smallest capitalized U.S. domiciled
companies
with greater-than-average growth orientation whose common stock is traded in
the
United States on the New York Stock Exchange, American Stock Exchange
and
NASDAQ. Because the index is not a managed portfolio, there are no advisory
fees
or internal management expenses reflected in the index's performance. The
Lipper
Small Company Fund Average is composed of the Portfolio's peer group of
mutual
funds which limit their investments to companies on the basis of the size of
the
company.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
161
<PAGE>
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of (0.18%) for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Morgan
Stanley
EAFE-Capitalization Weighted Index had an aggregate total return of 0.51%
for
the same period.
The fiscal year has seen dramatic movements in the currency markets with
the
US Dollar moving to post World War II lows versus the Yen only to see it
rebound
substantially. The Japanese stock market was down 8.41% on US dollar basis
while
most of the other markets in the Morgan Stanley EAFE index posted gains in
US
Dollar terms. In Europe, the United Kingdom was up 14%, Germany was up
10%,
France was up 2%, and Spain was up 10%. The largest gains from Finland which
was
up 50% in US dollar terms (30% in local currency terms).
The Consulting Group has scaled back its expectations in the overseas
equity
markets, as a number of factors indicate weakness in Europe, Japan and the
U.K.
Europe, dominated primarily by Germany, France, Spain, and Italy in terms
of
market capitalization, has been buffeted by high valuations, slower
than
expected export growth caused by a stronger D-Mark, high levels of
unemployment
and still high real interest rates. In addition, the recent row over
the
scheduled convergence requirements for a unified European Monetary Union,
has
created uncertainty in those markets, such as Italy and Belgium, that
appear
unlikely to meet the debt reduction requirements by 1998. Market valuations
are
mixed throughout much of Europe as many of the high return markets of 1995
such
as Finland and Sweden are trading at high price earnings ratios, price to
book
and price to cash flow multiples relative to other major developed non-
US
markets. Germany and the UK are also trading at fairly expensive levels
relative
to expected earnings growth. Selected markets such as France, Italy and
Spain,
however, seem to be relatively cheap on a book value or cash flow basis. Many
of
the export drive markets of Europe have been adversely affected by the
strong
currency of Europe, the D-Mark, as it continues to gain strength relative to
the
dollar.
The Japanese stock market has begun to show some signs of fair valuation
in
select sectors, as prices have declined from their post 1980's highs
and
earnings of export driven companies begin to improve slightly with the advent
of
a weaker Yen. These faint rays of hope for Japan are overshadowed by
a
deflationary environment, continued weak demand and the banking crisis. Add
to
this the government's inability to attack the banking problem. Consumer
demand
has continued to remain weak, with virtually all stock purchases coming
from
capital inflows. Five banks have failed in Japan over the last year with
more
than 50,000 billion Yen still outstanding in bad loans. Unfortunately, the
banks
aggressively lent capital during the 1980s using inflated property and
land
prices as collateral. The dramatic reduction in property and land values
over
the last 5-10 years has placed enormous financial burden on most major
Japanese
banks. Overall earnings growth potential looks weak in Japan and the
recession
may continue into its fourth and fifth straight years.
162
<PAGE>
INTERNATIONAL EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
-------------------------------------
- --- ----------------------------------------
INTERNATIONAL EQUITY INVESTMENTS ACTUAL WITHOUT
WAIVERS** ACTUAL WITHOUT WAIVERS**
----------------------------------- ------- ---------------
- --- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 (0.18)% (0.18)%
(1.66)% (1.66)%
Inception (11/18/91) through
8/31/95 9.27% 9.27%
7.64% 7.64%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL EQUITY INVESTMENTS
VS.
MORGAN STANLEY EAFE-GDP WEIGHTED INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- International Equity Investments
on
December 1, 1991 through August 31, 1995 as compared with the growth of
a
$10,000 investment in the Morgan Stanley EAFE-GDP Weighted Index and
Morgan
Stanley EAFE - Capitalization Weighted. The plot points used to draw the
line
graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 GROWTH OF $10,000
INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK INVESTMENT IN THE
MORGAN STANLEY
INTERNATIONAL EQUITY INTERNATIONAL EQUITY MORGAN STANLEY
EAFE-
MONTH INVESTMENTS INVESTMENTS EAFE-GDP
CAPITALIZATION
ENDING (EXCLUDING FEE) (INCLUDING FEE) WEIGHTED INDEX
WEIGHTED
<S> <C> <C> <C>
<C>
12/01/91 $10,000 $10,000 $10,000
$10,000
12/91 $10,025 $10,165 $10,575
$10,517
03/92 $ 9,474 $ 9,571 $ 9,833
$ 9,269
06/92 $ 9,737 $ 9,799 $10,161
$ 9,465
09/92 $ 9,312 $ 9,336 $ 9,912
$ 9,608
12/92 $ 9,355 $ 9,344 $ 9,554
$ 9,237
03/93 $10,058 $10,009 $10,686
$10,345
06/93 $10,912 $10,818 $11,648
$11,386
09/93 $11,653 $11,509 $12,607
$12,141
12/93 $12,066 $11,873 $12,760
$12,246
03/94 $13,073 $12,816 $13,463
$12,673
06/94 $13,435 $13,121 $13,814
$13,320
09/94 $13,577 $13,210 $13,867
$13,333
12/94 $13,212 $12,807 $13,755
$13,197
03/95 $12,958 $12,515 $13,995
$13,443
06/95 $13,052 $12,557 $14,317
$13,541
08/95 $14,004 $13,440 $14,615
$13,837
</TABLE>
- ------------------------------------------------------------------------------
- --
The Morgan Stanley EAFE-GDP Weighted Index is a composite portfolio
consisting
of equity total returns for the countries of Australia and New Zealand
and
countries in Europe and the Far East, weighted based on each country's
gross
domestic product. The Morgan Stanley EAFE-Capitalization Weighted Index is
a
composite portfolio consisting of equity total returns for the countries
of
Australia, New Zealand and countries in Europe and the Far East, weighted
based
on each country's market capitalization. Because the indices are not
managed
portfolios, there are no advisory fees or internal management expenses
reflected
in the indices' performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
163
<PAGE>
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of 17.66% for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Salomon
Brothers
Non-U.S. Government Bond Index had an aggregate total return of 16.69% for
the
same period.
International bonds rallied as yields fell. Yields on long dated issues
have
fallen an average of 1.57% from their levels at the beginning of 1995.
Strong
returns in the non-US bond markets have been bolstered by strong gains
in
markets such as Denmark, Belgium and Netherlands. All major bond markets
posted
strong gains for the last twelve months. Global central bank easing has
occurred
throughout the G-7 countries as Japan, Germany and the U.K. moved rates
lower.
Foreign economies are expected to stay weak well into mid-1996 with
possibly
some growth toward the late 1996 or early 1997. It appears that rates
have
bottomed in markets such as Germany and Japan.
During the last several months the dollar reversed its long decline
relative
to the Japanese Yen and the German D-Mark as both the Bank of Japan and
the
Bundesbank lowered local market interest rates. In the case of Japan where
the
economy has been virtually stagnant, the central bank has attempted to
jump
start the economy and stem the negative effect of a strong Yen relative to
the
dollar. Strong dollar gains were posted relative to both the Yen and D-
Mark
during the quarter. This has been a continuation of a trend that began
in
mid-April, when the Yen peaked relative to the dollar.
Growth and inflation has been revised downward for the G-7 economies
with
the interest rate bias remaining downward. The Japanese bond market, a
large
component of the G-7 bond market, has witnessed slightly higher growth as
the
Yen has appreciated from record high levels relative to the US dollar.
With
growth moving slightly higher and interest rates already at record lows,
it
would suggest that there is very little room for any further appreciation in
the
bond market. The weakness in the banking sector should also act as a drag on
any
significant increase in activity in the Japanese economy. In Europe, with
growth
subdued due to restrictive fiscal policies and weak consumer demand, it
would
appear that there is greater probability for a further decline in interest
rates
relative to the US market. This scenario suggests that there are still some
good
values in the European bond market.
The trend towards a stronger dollar appears to be in place as
Japan
continues its symbolic measure of supporting a stronger US dollar. The
large
interest rate differentials between the U.S. and Japan would also support
an
increase in foreign purchases of US denominated securities. The Japanese
have
targeted a level of 108 yen/Dollar. The one unknown variable for the
direction
of the Yen is the still high trade imbalance between the US and Japan.
Aside
from this, the overall gap for Japan has shrunk to low levels, this
signaling
further depreciation for the Yen. A stronger dollar relative to the Yen
will
dampen local market gains as US investors convert their local market
currency
denominated investments back into US dollars.
164
<PAGE>
INTERNATIONAL FIXED INCOME INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
---------------------------
- ----------------------------------------
INTERNATIONAL FIXED INCOME INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
--------------------------------------------- ------ ------------------
- ------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 17.66% 17.40%
15.92% 15.66%
Inception (11/18/91) through 8/31/95 10.75% 10.39%
9.09% 8.74%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
INTERNATIONAL FIXED INCOME INVESTMENTS
VS.
SALOMON BROTHERS NON-U.S. GOVERNMENT BOND INDEX
DECEMBER 1, 1991 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in the Consulting Group Capital Markets Funds -- International Fixed
Income
Investments on December 1, 1991 through August 31, 1995 as compared with
the
growth of a $10,000 investment in the Salomon Brothers Non-U.S. Government
Bond
Index. The plot points used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000 GROWTH OF $10,000
INVESTED IN TRAK INVESTED IN TRAK GROWTH OF $10,000
INTERNATIONAL INTERNATIONAL INVESTMENT IN THE
FIXED INCOME FIXED INCOME SALOMON BROTHERS
MONTH INVESTMENTS INVESTMENTS NON-U.S. GOVERNMENT
ENDING (EXCLUDING FEE) (INCLUDING FEE) BOND INDEX
<S> <C> <C> <C>
12/01/91 $10,000 $10,000 $10,000
12/91 $10,709 $10,696 $10,686
03/92 $10,223 $10,173 $10,170
06/92 $10,949 $10,854 $11,125
09/92 $11,496 $11,353 $11,946
12/92 $11,055 $10,877 $11,195
03/93 $11,589 $11,360 $11,861
06/93 $12,140 $11,856 $12,207
09/93 $12,605 $12,262 $12,864
12/93 $12,583 $12,196 $12,887
03/94 $12,568 $12,135 $13,137
06/94 $12,539 $12,061 $13,361
09/94 $12,785 $12,251 $13,582
12/94 $12,873 $12,290 $13,659
03/95 $14,347 $13,646 $15,631
06/95 $14,977 $14,192 $16,395
08/95 $14,861 $14,048 $15,539
</TABLE>
- ------------------------------------------------------------------------------
- --
The Salomon Brothers Non-U.S. Government Bond Index is an index subset of
the
Salomon Brothers World Bond Index that excludes corporate bonds and
bonds
denominated in U.S. dollars. It contains foreign government and
supranational
bonds denominated in Australian, Austrian, Belgian, British, Canadian,
Danish,
Dutch, French, German, Italian, Japanese, Spanish, and Swedish
currencies.
Because the index is not a managed portfolio, there are no advisory fees
or
internal management expenses reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
165
<PAGE>
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
The Portfolio had an aggregate total return of (15.13%) for the fiscal
year
ended August 31, 1995. The Portfolio's benchmark index, the Morgan
Stanley
Emerging Markets Free Index, had an aggregate total return of (16.40%) for
the
same period.
The currency devaluation and accompanying stock market collapse in
Mexico
late last year and in early 1995 had a far reaching influence on many
emerging
stock markets over the last twelve months. Most of the markets of Latin
America
posted poor returns over the fiscal year, with Mexico down 45%, Colombia,
Brazil
and Argentina all down over 20%, while only Chile and Peru were able to
post
positive gains, 11% and 47% respectively. Among the Asian markets, returns
were
also disappointing, with Taiwan, Sri Lanka, India and Pakistan all posting
large
negative double digit returns. Only Indonesia and Malaysia managed
positive
returns of approximately 6%.
The emerging markets continue to exhibit their high quarter-to-quarter
stock
market volatility. Select Latin American markets have recently shown signs
of
rebounding while Asia's growth markets have continued to disappoint
investors.
Most of the developing markets performance is heavily dependent on
foreign
capital flows from major markets such as the U.S. As the higher returns
recently
achieved in the U.S. markets begin to fade, many of these high growth
markets
will begin to see higher capital inflows from U.S. investors seeking
higher
potential returns. Also, lower interest rates and a lower Yen will
force
investors to re-visit investing in neighboring developing markets such
as
Malaysia, Singapore, the Philippines and Indonesia. Fresh injections
of
international capital to these markets should provide some cause for
optimism
near term. Longer term, the growth potential of these markets is still in
place
and the reasonable investor would be well advised to diversify his or
her
emerging markets exposure into as many markets as possible, lessening the
risk
of overweighting any one of these extremely volatile local stock markets.
166
<PAGE>
EMERGING MARKETS EQUITY INVESTMENTS
PORTFOLIO HIGHLIGHTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN
WITHOUT TRAK FEE+
WITH TRAK FEE+
--------------------------------------
- - ---------------------------------------
EMERGING MARKETS EQUITY INVESTMENTS ACTUAL WITHOUT WAIVERS**
ACTUAL WITHOUT WAIVERS**
----------------------------------- -------- -----------------
- - -------- ------------------
<S> <C> <C>
<C> <C>
Year Ended 8/31/95 (15.13)% (15.44)%
(16.39)% (16.70)%
Inception (4/21/94) through 8/31/95 0.50% 0.04%
(1.00)% (1.45)%
</TABLE>
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
EMERGING MARKETS EQUITY INVESTMENTS
VS.
MORGAN STANLEY EMERGING MARKETS FREE INDEX
MAY 1, 1994 THROUGH AUGUST 31, 1995
A line graph depicting the total growth of a hypothetical investment of
$10,000
in Consulting Group Capital Markets Funds -- Emerging Markets Equity
Investments
on May 1, 1994 through August 31, 1995 as compared with the growth of a
$10,000
investment in the Morgan Stanley Emerging Markets Free Index. The plot
points
used to draw the line graph were as follows:
<TABLE>
<CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 GROWTH OF $10,000 INVESTMENT IN THE
INVESTED IN TRAK INVESTED IN TRAK MORGAN STANLEY
EMERGING MARKETS EMERGING MARKETS EMERGING
MONTH EQUITY INVESTMENTS EQUITY INVESTMENTS MARKETS FREE
ENDING (EXCLUDING FEE) (INCLUDING FEE) INDEX
<S> <C> <C> <C>
05/01/94 $10,000 $10,000 $10,000
05/94 $10,249 $10,236 $10,342
06/94 $ 9,826 $ 9,801 $10,057
09/94 $12,015 $11,940 $12,145
12/94 $10,120 $10,019 $10,398
03/95 $ 9,188 $ 9,063 $ 9,111
06/95 $ 9,916 $ 9,744 $10,056
08/95 $10,018 $ 9,820 $10,039
</TABLE>
- ------------------------------------------------------------------------------
- --
The Morgan Stanley Emerging Markets Free Index is an index comprised of
thirteen
emerging markets open to direct foreign participation. Because the index is
not
a managed portfolio, there are no advisory fees or internal management
expenses
reflected in the index's performance.
NOTE: The performance shown represents past performance and is not a
guarantee
of future results. A Portfolio's share price and investment return
will
vary with market conditions, and the principal value of shares,
when
redeemed, may be more or less than original cost.
*Assumes the reinvestment of all distributions.
**See Note 2 to Financial Statements.
+ The maximum annual TRAK fee is 1.50% of the value of TRAK assets.
167
<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, 10/95 CONSULTING GROUP CAPITAL MARKETS FUNDS - 222 DELAWARE AVENUE
- -
WILMINGTON, DELAWARE - 19801
[ARTICLE] 6
[SERIES]
[NUMBER] 6
[NAME] CGCM BALANCED
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 28,253,919
[INVESTMENTS-AT-VALUE] 29,886,989
[RECEIVABLES] 861,605
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 136,100
[TOTAL-ASSETS] 30,884,694
[PAYABLE-FOR-SECURITIES] 524,435
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 91,853
[TOTAL-LIABILITIES] 616,288
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 28,007,834
[SHARES-COMMON-STOCK] 3,230,004
[SHARES-COMMON-PRIOR] 1,730,524
[ACCUMULATED-NII-CURRENT] 93,066
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 534,436
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 1,633,070
[NET-ASSETS] 30,268,406
[DIVIDEND-INCOME] 360,712
[INTEREST-INCOME] 457,765
[OTHER-INCOME] 0
[EXPENSES-NET] 190,916
[NET-INVESTMENT-INCOME] 627,561
[REALIZED-GAINS-CURRENT] 534,576
[APPREC-INCREASE-CURRENT] 1,278,055
[NET-CHANGE-FROM-OPS] 2,440,192
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 636,646
[DISTRIBUTIONS-OF-GAINS] 70,178
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 3,206,487
[NUMBER-OF-SHARES-REDEEMED] 1,789,639
[SHARES-REINVESTED] 82,632
[NET-CHANGE-IN-ASSETS] 15,327,959
[ACCUMULATED-NII-PRIOR] 102,151
[ACCUMULATED-GAINS-PRIOR] 70,038
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 0
[GROSS-ADVISORY-FEES] 114,764
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 334,025
[AVERAGE-NET-ASSETS] 19,127,049
[PER-SHARE-NAV-BEGIN] 8.63
[PER-SHARE-NII] 0.26
[PER-SHARE-GAIN-APPREC] 0.81
[PER-SHARE-DIVIDEND] 0.29
[PER-SHARE-DISTRIBUTIONS] 0.04
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 9.37
[EXPENSE-RATIO] 1.00
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 3
[NAME] CGCM LONG TERM BOND FUND
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 129,047,467
[INVESTMENTS-AT-VALUE] 133,388,927
[RECEIVABLES] 4,673,136
[ASSETS-OTHER] 162,115
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 138,224,178
[PAYABLE-FOR-SECURITIES] 132,000
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 546,768
[TOTAL-LIABILITIES] 678,768
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 136,092,657
[SHARES-COMMON-STOCK] 16,714,559
[SHARES-COMMON-PRIOR] 12,039,447
[ACCUMULATED-NII-CURRENT] 222,615
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] (3,111,322)
[ACCUM-APPREC-OR-DEPREC] 4,341,460
[NET-ASSETS] 137,545,410
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 8,669,489
[OTHER-INCOME] 0
[EXPENSES-NET] 1,050,312
[NET-INVESTMENT-INCOME] 7,619,177
[REALIZED-GAINS-CURRENT] (1,937,986)
[APPREC-INCREASE-CURRENT] 8,674,793
[NET-CHANGE-FROM-OPS] 14,355,984
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 7,376,803
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 11,749,472
[NUMBER-OF-SHARES-REDEEMED] 7,964,868
[SHARES-REINVESTED] 893,508
[NET-CHANGE-IN-ASSETS] 42,917,294
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] (1,193,095)
[GROSS-ADVISORY-FEES] 525,476
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 1,227,896
[AVERAGE-NET-ASSETS] 131,368,819
[PER-SHARE-NAV-BEGIN] 7.86
[PER-SHARE-NII] 0.45
[PER-SHARE-GAIN-APPREC] 0.36
[PER-SHARE-DIVIDEND] 0.44
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 8.23
[EXPENSE-RATIO] 0.80
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 5
[NAME] CGCM MORTGAGE BACKED
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 105,695,506
[INVESTMENTS-AT-VALUE] 104,680,490
[RECEIVABLES] 8,198,765
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 19,367
[TOTAL-ASSETS] 112,898,622
[PAYABLE-FOR-SECURITIES] 7,775,938
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 333,315
[TOTAL-LIABILITIES] 8,109,253
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 106,890,054
[SHARES-COMMON-STOCK] 13,240,341
[SHARES-COMMON-PRIOR] 15,652,423
[ACCUMULATED-NII-CURRENT] 0
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] (1,085,669)
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] (1,015,016)
[NET-ASSETS] 104,789,369
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 8,053,255
[OTHER-INCOME] 0
[EXPENSES-NET] 842,319
[NET-INVESTMENT-INCOME] 7,210,936
[REALIZED-GAINS-CURRENT] (1,209,658)
[APPREC-INCREASE-CURRENT] 3,533,625
[NET-CHANGE-FROM-OPS] 9,534,903
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 6,763,944
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 242,721
[NUMBER-OF-SHARES-SOLD] 4,269,136
[NUMBER-OF-SHARES-REDEEMED] 7,555,641
[SHARES-REINVESTED] 874,423
[NET-CHANGE-IN-ASSETS] (15,637,722)
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 323,003
[GROSS-ADVISORY-FEES] 526,392
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 1,148,594
[AVERAGE-NET-ASSETS] 105,278,303
[PER-SHARE-NAV-BEGIN] 7.69
[PER-SHARE-NII] 0.51
[PER-SHARE-GAIN-APPREC] 0.22
[PER-SHARE-DIVIDEND] 0.49
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.02
[PER-SHARE-NAV-END] 7.91
[EXPENSE-RATIO] 0.80
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 4
[NAME] CGCM MUNICIPAL BOND
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 45,637,384
[INVESTMENTS-AT-VALUE] 44,691,125
[RECEIVABLES] 912,469
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 121,867
[TOTAL-ASSETS] 45,725,461
[PAYABLE-FOR-SECURITIES] 0
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 369,739
[TOTAL-LIABILITIES] 369,739
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 47,794,817
[SHARES-COMMON-STOCK] 5,481,358
[SHARES-COMMON-PRIOR] 7,024,243
[ACCUMULATED-NII-CURRENT] 0
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] 1,492,836
[ACCUM-APPREC-OR-DEPREC] (946,259)
[NET-ASSETS] 45,355,722
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 2,741,005
[OTHER-INCOME] 0
[EXPENSES-NET] 378,657
[NET-INVESTMENT-INCOME] 2,362,348
[REALIZED-GAINS-CURRENT] (1,310,665)
[APPREC-INCREASE-CURRENT] 1,972,430
[NET-CHANGE-FROM-OPS] 3,024,113
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 2,352,930
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 1,867,148
[NUMBER-OF-SHARES-REDEEMED] 3,684,749
[SHARES-REINVESTED] 274,716
[NET-CHANGE-IN-ASSETS] (11,269,285)
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 21,955
[OVERDIST-NET-GAINS-PRIOR] 182,171
[GROSS-ADVISORY-FEES] 189,270
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 493,627
[AVERAGE-NET-ASSETS] 46,584,510
[PER-SHARE-NAV-BEGIN] 8.06
[PER-SHARE-NII] 0.40
[PER-SHARE-GAIN-APPREC] 0.21
[PER-SHARE-DIVIDEND] 0.40
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 8.27
[EXPENSE-RATIO] 0.80
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 10
[NAME] CGCM SMALL CAPITALZATION GROWTH
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 261,064,499
[INVESTMENTS-AT-VALUE] 315,241,696
[RECEIVABLES] 4,106,238
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 24,055
[TOTAL-ASSETS] 319,371,989
[PAYABLE-FOR-SECURITIES] 3,790,945
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 547,631
[TOTAL-LIABILITIES] 4,338,576
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 210,547,130
[SHARES-COMMON-STOCK] 18,329,222
[SHARES-COMMON-PRIOR] 14,417,825
[ACCUMULATED-NII-CURRENT] 0
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 50,309,086
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 54,177,197
[NET-ASSETS] 315,033,413
[DIVIDEND-INCOME] 312,785
[INTEREST-INCOME] 1,538,307
[OTHER-INCOME] 0
[EXPENSES-NET] 2,663,175
[NET-INVESTMENT-INCOME] (812,083)
[REALIZED-GAINS-CURRENT] 54,492,262
[APPREC-INCREASE-CURRENT] 26,169,089
[NET-CHANGE-FROM-OPS] 79,849,268
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 0
[DISTRIBUTIONS-OF-GAINS] 1,133,278
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 11,435,282
[NUMBER-OF-SHARES-REDEEMED] 7,607,305
[SHARES-REINVESTED] 83,420
[NET-CHANGE-IN-ASSETS] 134,858,404
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 2,311,086
[GROSS-ADVISORY-FEES] 1,405,674
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 2,725,453
[AVERAGE-NET-ASSETS] 234,279,177
[PER-SHARE-NAV-BEGIN] 12.50
[PER-SHARE-NII] (0.05)
[PER-SHARE-GAIN-APPREC] 4.81
[PER-SHARE-DIVIDEND] 0.00
[PER-SHARE-DISTRIBUTIONS] 0.07
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 17.19
[EXPENSE-RATIO] 1.14
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 9
[NAME] CGCM SMALL CAP VALUE EQUITY
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 307,776,135
[INVESTMENTS-AT-VALUE] 338,089,903
[RECEIVABLES] 4,953,048
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 252,203
[TOTAL-ASSETS] 343,295,154
[PAYABLE-FOR-SECURITIES] 2,230,274
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 758,621
[TOTAL-LIABILITIES] 2,988,895
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 312,543,298
[SHARES-COMMON-STOCK] 34,008,451
[SHARES-COMMON-PRIOR] 37,927,063
[ACCUMULATED-NII-CURRENT] 2,927,034
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] 5,477,841
[ACCUM-APPREC-OR-DEPREC] 30,313,768
[NET-ASSETS] 340,306,259
[DIVIDEND-INCOME] 7,212,168
[INTEREST-INCOME] 522,709
[OTHER-INCOME] 0
[EXPENSES-NET] 3,243,689
[NET-INVESTMENT-INCOME] 4,491,188
[REALIZED-GAINS-CURRENT] (343,816)
[APPREC-INCREASE-CURRENT] 30,913,921
[NET-CHANGE-FROM-OPS] 35,061,293
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 3,890,576
[DISTRIBUTIONS-OF-GAINS] 5,170
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 14,946,504
[NUMBER-OF-SHARES-REDEEMED] 19,338,022
[SHARES-REINVESTED] 472,906
[NET-CHANGE-IN-ASSETS] (2,081,245)
[ACCUMULATED-NII-PRIOR] 2,326,425
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 5,128,858
[GROSS-ADVISORY-FEES] 1,754,756
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 3,307,137
[AVERAGE-NET-ASSETS] 292,459,488
[PER-SHARE-NAV-BEGIN] 9.03
[PER-SHARE-NII] 0.15
[PER-SHARE-GAIN-APPREC] 0.95
[PER-SHARE-DIVIDEND] 0.12
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 10.01
[EXPENSE-RATIO] 1.11
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 13
[NAME] CGCM EMERGING MARKETS EQUITY
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 59,715,930
[INVESTMENTS-AT-VALUE] 58,568,262
[RECEIVABLES] 774,818
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 780,797
[TOTAL-ASSETS] 60,123,877
[PAYABLE-FOR-SECURITIES] 572,707
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 218,082
[TOTAL-LIABILITIES] 790,789
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 63,734,217
[SHARES-COMMON-STOCK] 7,559,614
[SHARES-COMMON-PRIOR] 3,829,945
[ACCUMULATED-NII-CURRENT] (179,606)
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] 3,065,529
[ACCUM-APPREC-OR-DEPREC] (1,155,994)
[NET-ASSETS] 59,333,088
[DIVIDEND-INCOME] 893,697
[INTEREST-INCOME] 50,970
[OTHER-INCOME] 0
[EXPENSES-NET] 867,964
[NET-INVESTMENT-INCOME] 76,703
[REALIZED-GAINS-CURRENT] (2,599,014)
[APPREC-INCREASE-CURRENT] (5,147,019)
[NET-CHANGE-FROM-OPS] (7,669,330)
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 0
[DISTRIBUTIONS-OF-GAINS] 1,164,897
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 6,214,297
[NUMBER-OF-SHARES-REDEEMED] 2,632,648
[SHARES-REINVESTED] 148,020
[NET-CHANGE-IN-ASSETS] 31,802,438
[ACCUMULATED-NII-PRIOR] (84,673)
[ACCUMULATED-GAINS-PRIOR] 526,746
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 0
[GROSS-ADVISORY-FEES] 445,779
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 972,703
[AVERAGE-NET-ASSETS] 49,531,071
[PER-SHARE-NAV-BEGIN] 9.49
[PER-SHARE-NII] 0.01
[PER-SHARE-GAIN-APPREC] (1.45)
[PER-SHARE-DIVIDEND] 0.00
[PER-SHARE-DISTRIBUTIONS] 0.20
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 7.85
[EXPENSE-RATIO] 1.75
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 1
[NAME] CGCM GOVERNMENT MONEY
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 241,039,659
[INVESTMENTS-AT-VALUE] 241,039,659
[RECEIVABLES] 1,895,505
[ASSETS-OTHER] 102,525
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 243,037,689
[PAYABLE-FOR-SECURITIES] 0
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 1,447,630
[TOTAL-LIABILITIES] 1,447,630
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 241,646,299
[SHARES-COMMON-STOCK] 241,646,299
[SHARES-COMMON-PRIOR] 184,698,498
[ACCUMULATED-NII-CURRENT] 303
[OVERDISTRIBUTION-NII]
[ACCUMULATED-NET-GAINS] (56,543)
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 0
[NET-ASSETS] 241,590,059
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 12,725,384
[OTHER-INCOME] 0
[EXPENSES-NET] 1,329,535
[NET-INVESTMENT-INCOME] 11,395,849
[REALIZED-GAINS-CURRENT] (12,842)
[APPREC-INCREASE-CURRENT] 0
[NET-CHANGE-FROM-OPS] 11,383,007
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 11,396,511
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 307,350,449
[NUMBER-OF-SHARES-REDEEMED] 261,236,040
[SHARES-REINVESTED] 10,833,392
[NET-CHANGE-IN-ASSETS] 56,934,297
[ACCUMULATED-NII-PRIOR] 965
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 43,701
[GROSS-ADVISORY-FEES] 332,386
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 1,632,347
[AVERAGE-NET-ASSETS] 221,590,693
[PER-SHARE-NAV-BEGIN] 1.00
[PER-SHARE-NII] 0.05
[PER-SHARE-GAIN-APPREC] 0.00
[PER-SHARE-DIVIDEND] 0.05
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 1.00
[EXPENSE-RATIO] 0.60
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 2
[NAME] CGCM INTERMEDIATE FIXED INCOME
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 266,873,012
[INVESTMENTS-AT-VALUE] 268,265,560
[RECEIVABLES] 3,344,671
[ASSETS-OTHER] 19,292
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 271,629,523
[PAYABLE-FOR-SECURITIES] 24,884,606
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 422,225
[TOTAL-LIABILITIES] 25,306,831
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 251,692,508
[SHARES-COMMON-STOCK] 30,399,179
[SHARES-COMMON-PRIOR] 28,235,114
[ACCUMULATED-NII-CURRENT] 551,398
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] (7,313,762)
[ACCUM-APPREC-OR-DEPREC] 1,392,548
[NET-ASSETS] 246,322,692
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 15,860,225
[OTHER-INCOME] 0
[EXPENSES-NET] 1,765,309
[NET-INVESTMENT-INCOME] 14,094,916
[REALIZED-GAINS-CURRENT] (3,398,646)
[APPREC-INCREASE-CURRENT] 7,656,383
[NET-CHANGE-FROM-OPS] 18,352,653
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 13,439,233
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 14,257,926
[NUMBER-OF-SHARES-REDEEMED] 13,738,827
[SHARES-REINVESTED] 1,644,966
[NET-CHANGE-IN-ASSETS] 22,775,117
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] (4,019,401)
[GROSS-ADVISORY-FEES] 881,208
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 1,765,309
[AVERAGE-NET-ASSETS] 220,301,451
[PER-SHARE-NAV-BEGIN] 7.92
[PER-SHARE-NII] 0.50
[PER-SHARE-GAIN-APPREC] 0.16
[PER-SHARE-DIVIDEND] 0.48
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 8.10
[EXPENSE-RATIO] 0.80
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 11
[NAME] CGCM INTERNATIONAL EQUITY
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 582,609,547
[INVESTMENTS-AT-VALUE] 646,802,300
[RECEIVABLES] 112,510,324
[ASSETS-OTHER] 657,267
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 759,969,891
[PAYABLE-FOR-SECURITIES] 1,371,395
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 95,468,121
[TOTAL-LIABILITIES] 96,839,516
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 575,562,266
[SHARES-COMMON-STOCK] 63,168,278
[SHARES-COMMON-PRIOR] 54,793,025
[ACCUMULATED-NII-CURRENT] 0
[OVERDISTRIBUTION-NII] 547,822
[ACCUMULATED-NET-GAINS] 17,657,600
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 70,458,331
[NET-ASSETS] 663,130,375
[DIVIDEND-INCOME] 16,315,813
[INTEREST-INCOME] 1,459,436
[OTHER-INCOME] 0
[EXPENSES-NET] 7,055,763
[NET-INVESTMENT-INCOME] 10,719,486
[REALIZED-GAINS-CURRENT] 13,690,237
[APPREC-INCREASE-CURRENT] (23,675,709)
[NET-CHANGE-FROM-OPS] 734,014
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 0
[DISTRIBUTIONS-OF-GAINS] 18,399,952
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 27,699,298
[NUMBER-OF-SHARES-REDEEMED] 21,167,881
[SHARES-REINVESTED] 1,843,836
[NET-CHANGE-IN-ASSETS] 68,165,387
[ACCUMULATED-NII-PRIOR] 0
[ACCUMULATED-GAINS-PRIOR] 14,225,577
[OVERDISTRIB-NII-PRIOR] 3,125,570
[OVERDIST-NET-GAINS-PRIOR] 0
[GROSS-ADVISORY-FEES] 4,163,115
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 7,055,763
[AVERAGE-NET-ASSETS] 594,730,666
[PER-SHARE-NAV-BEGIN] 10.86
[PER-SHARE-NII] 0.05
[PER-SHARE-GAIN-APPREC] (0.03)
[PER-SHARE-DIVIDEND] 0.00
[PER-SHARE-DISTRIBUTIONS] 0.32
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 10.50
[EXPENSE-RATIO] 1.19
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 12
[NAME] CGCM INTERNATIONAL FIXED INCOME
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 94,815,682
[INVESTMENTS-AT-VALUE] 95,938,456
[RECEIVABLES] 38,014,886
[ASSETS-OTHER] 0
[OTHER-ITEMS-ASSETS] 22,969,451
[TOTAL-ASSETS] 156,922,793
[PAYABLE-FOR-SECURITIES] 17,100,000
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 33,938,710
[TOTAL-LIABILITIES] 51,038,710
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 100,623,883
[SHARES-COMMON-STOCK] 11,757,748
[SHARES-COMMON-PRIOR] 14,320,075
[ACCUMULATED-NII-CURRENT] 4,742,882
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 0
[OVERDISTRIBUTION-GAINS] 1,531,548
[ACCUM-APPREC-OR-DEPREC] 2,048,866
[NET-ASSETS] 105,884,083
[DIVIDEND-INCOME] 0
[INTEREST-INCOME] 7,997,941
[OTHER-INCOME] 0
[EXPENSES-NET] 1,020,434
[NET-INVESTMENT-INCOME] 6,977,507
[REALIZED-GAINS-CURRENT] 6,952,534
[APPREC-INCREASE-CURRENT] 3,247,949
[NET-CHANGE-FROM-OPS] 17,177,990
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 6,918,169
[DISTRIBUTIONS-OF-GAINS] 0
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 3,564,496
[NUMBER-OF-SHARES-REDEEMED] 6,898,451
[SHARES-REINVESTED] 771,628
[NET-CHANGE-IN-ASSETS] (11,045,393)
[ACCUMULATED-NII-PRIOR] 2,877
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 3,866,582
[GROSS-ADVISORY-FEES] 536,934
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 1,266,878
[AVERAGE-NET-ASSETS] 107,378,506
[PER-SHARE-NAV-BEGIN] 8.17
[PER-SHARE-NII] 0.56
[PER-SHARE-GAIN-APPREC] 0.84
[PER-SHARE-DIVIDEND] 0.56
[PER-SHARE-DISTRIBUTIONS] 0.00
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 9.01
[EXPENSE-RATIO] 0.95
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0.00
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 7
[NAME] CGCM LARGE CAP VALUE
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 951,196,877
[INVESTMENTS-AT-VALUE] 1,076,366,619
[RECEIVABLES] 10,717,723
[ASSETS-OTHER] 19,686
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 1,087,104,028
[PAYABLE-FOR-SECURITIES] 15,384,072
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 1,682,591
[TOTAL-LIABILITIES] 17,066,663
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 914,826,324
[SHARES-COMMON-STOCK] 102,690,248
[SHARES-COMMON-PRIOR] 88,580,978
[ACCUMULATED-NII-CURRENT] 22,607,890
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 7,433,409
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 125,169,742
[NET-ASSETS] 1,070,037,365
[DIVIDEND-INCOME] 31,317,284
[INTEREST-INCOME] 1,892,572
[OTHER-INCOME] 0
[EXPENSES-NET] 7,329,190
[NET-INVESTMENT-INCOME] 25,880,666
[REALIZED-GAINS-CURRENT] 14,835,032
[APPREC-INCREASE-CURRENT] 100,030,653
[NET-CHANGE-FROM-OPS] 140,746,351
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 21,453,227
[DISTRIBUTIONS-OF-GAINS] 14,119,177
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 40,567,406
[NUMBER-OF-SHARES-REDEEMED] 30,602,117
[SHARES-REINVESTED] 4,143,981
[NET-CHANGE-IN-ASSETS] 237,898,928
[ACCUMULATED-NII-PRIOR] 13,631,925
[ACCUMULATED-GAINS-PRIOR] 11,266,079
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] 0
[GROSS-ADVISORY-FEES] 5,293,946
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 8,220,112
[AVERAGE-NET-ASSETS] 882,324,327
[PER-SHARE-NAV-BEGIN] 9.39
[PER-SHARE-NII] 0.27
[PER-SHARE-GAIN-APPREC] 1.16
[PER-SHARE-DIVIDEND] 0.24
[PER-SHARE-DISTRIBUTIONS] 0.16
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 10.42
[EXPENSE-RATIO] 0.83
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
[ARTICLE] 6
[SERIES]
[NUMBER] 8
[NAME] CGCM LARGE CAP GROWTH
<TABLE>
<S> <C>
[PERIOD-TYPE] 12-MOS
[FISCAL-YEAR-END] AUG-31-1995
[PERIOD-END] AUG-31-1995
[INVESTMENTS-AT-COST] 650,961,340
[INVESTMENTS-AT-VALUE] 784,213,722
[RECEIVABLES] 21,814,613
[ASSETS-OTHER] 112,735
[OTHER-ITEMS-ASSETS] 0
[TOTAL-ASSETS] 806,141,070
[PAYABLE-FOR-SECURITIES] 22,615,215
[SENIOR-LONG-TERM-DEBT] 0
[OTHER-ITEMS-LIABILITIES] 1,131,591
[TOTAL-LIABILITIES] 23,746,806
[SENIOR-EQUITY] 0
[PAID-IN-CAPITAL-COMMON] 623,859,182
[SHARES-COMMON-STOCK] 64,474,930
[SHARES-COMMON-PRIOR] 45,747,247
[ACCUMULATED-NII-CURRENT] 3,147,242
[OVERDISTRIBUTION-NII] 0
[ACCUMULATED-NET-GAINS] 21,773,708
[OVERDISTRIBUTION-GAINS] 0
[ACCUM-APPREC-OR-DEPREC] 133,614,132
[NET-ASSETS] 782,394,264
[DIVIDEND-INCOME] 9,809,512
[INTEREST-INCOME] 1,747,211
[OTHER-INCOME] 0
[EXPENSES-NET] 5,463,000
[NET-INVESTMENT-INCOME] 6,093,723
[REALIZED-GAINS-CURRENT] 22,682,334
[APPREC-INCREASE-CURRENT] 108,120,936
[NET-CHANGE-FROM-OPS] 136,896,993
[EQUALIZATION] 0
[DISTRIBUTIONS-OF-INCOME] 4,334,639
[DISTRIBUTIONS-OF-GAINS] 332,576
[DISTRIBUTIONS-OTHER] 0
[NUMBER-OF-SHARES-SOLD] 34,793,582
[NUMBER-OF-SHARES-REDEEMED] 16,532,262
[SHARES-REINVESTED] 466,363
[NET-CHANGE-IN-ASSETS] 324,806,285
[ACCUMULATED-NII-PRIOR] 1,388,158
[ACCUMULATED-GAINS-PRIOR] 0
[OVERDISTRIB-NII-PRIOR] 0
[OVERDIST-NET-GAINS-PRIOR] (576,050)
[GROSS-ADVISORY-FEES] 3,720,760
[INTEREST-EXPENSE] 0
[GROSS-EXPENSE] 6,057,507
[AVERAGE-NET-ASSETS] 620,126,563
[PER-SHARE-NAV-BEGIN] 10.00
[PER-SHARE-NII] 0.09
[PER-SHARE-GAIN-APPREC] 2.13
[PER-SHARE-DIVIDEND] 0.08
[PER-SHARE-DISTRIBUTIONS] 0.01
[RETURNS-OF-CAPITAL] 0.00
[PER-SHARE-NAV-END] 12.13
[EXPENSE-RATIO] 0.88
[AVG-DEBT-OUTSTANDING] 0
[AVG-DEBT-PER-SHARE] 0
</TABLE>
