CAMBRIDGE SERIES TRUST
Semi-Annual Report to Shareholders
March 31, 1994
Cambridge Growth Portfolio
Cambridge Capital Growth Portfolio
Cambridge Global Portfolio
Cambridge Income and Growth Portfolio
Cambridge Government Income Portfolio
Cambridge Municipal Income Portfolio
CAMBRIDGE
Changing the Way America Invests
Cambridge Distributors, Inc., Distributor
MK 422 27 5/94
MESSAGE FROM THE CHAIRMAN AND PRESIDENT
--------------------------------------------------------------------------------
To Our Shareholders:
We are pleased to present you with the Semi-Annual Report for Cambridge Series
Trust. We hope it will be useful as you review your investment in the Cambridge
Family of Funds.
As you know, Cambridge is designed to allow investors to diversify and balance
their holdings not just among different types of mutual fund portfolios, but
among different investment managers and investment styles. We think it is very
important that you study your holdings to make sure they are well balanced and
appropriate to your unique investment goals.
Consider taking full advantage of the Cambridge Family by combining different
Cambridge portfolios to pursue your long-term investment objectives. Your
financial consultant can talk with you about how to diversify your holdings for
a proper balance between potential risk and return.
The last six months have seen two major events at Cambridge:
Cambridge Investment Advisors, Inc., performs ongoing due-diligence
examinations of all Cambridge sub-advisors. As part of this process, and
in an effort to provide more diversification to the portfolio from other
income sectors, Cambridge replaced Federated Advisers with Pacific
Investment Management Company (PIMCO) as the sub-advisor of the Cambridge
Government Income Portfolio. PIMCO took over the Portfolio at the end of
January.
To round out Cambridge's investment choices, in March we added a Cambridge
Global Portfolio sub-advised by Scudder, Stevens & Clark, Inc. Scudder has
been in business for more than 75 years, introduced the first
SEC-registered international fund in the 1950s, and has managed funds for
the American Association of Retired Persons (AARP) since the 1970s.
We are excited about the prospects for the Cambridge Family of Funds, and we
appreciate your interest and your investment.
Sincerely,
Daniel J. Ludeman
Chairman
Peter J. Quinn, Jr.
President
May 15, 1994
CAMBRIDGE GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
OR SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
SHORT-TERM INVESTMENTS--1.9%
------------------------------------------------------------------------------------------------
COMMERCIAL PAPER--1.9%
------------------------------------------------------------------------------------------------
FINANCE-- 1.9%
--------------------------------------------------------------------------------
$ 1,000,000 Houston Industries, Inc., 3.80%, 4/4/94 (at amortized cost) (Note 2A) $ 999,683
-------------------------------------------------------------------------------- ---------------
LONG-TERM INVESTMENTS--97.8%
------------------------------------------------------------------------------------------------
COMMON STOCKS--97.8%
------------------------------------------------------------------------------------------------
AUTO PARTS--0.9%
--------------------------------------------------------------------------------
16,000 Automotive Industries, Inc.--Manufacturer of auto/van
interior trim parts 480,000
-------------------------------------------------------------------------------- ---------------
BEVERAGES--1.6%
--------------------------------------------------------------------------------
40,000 Fomento Economico--Distributor of beer and soft drinks 211,091
--------------------------------------------------------------------------------
16,500 PepsiCo., Inc.--International snack food manufacturer and
soft drink company 604,313
-------------------------------------------------------------------------------- ---------------
Total 815,404
-------------------------------------------------------------------------------- ---------------
CHEMICALS--3.0%
--------------------------------------------------------------------------------
11,600 Great Lakes Chemical Corp.--Manufacturer of bromine based
chemicals 817,800
--------------------------------------------------------------------------------
27,500 Minerals Technologies, Inc.--Marketer of specialty minerals and
products 715,000
-------------------------------------------------------------------------------- ---------------
Total 1,532,800
-------------------------------------------------------------------------------- ---------------
CONSUMER PRODUCTS--3.4%
--------------------------------------------------------------------------------
10,000 Gillette Co.--Shaving, personal care, pens 632,500
--------------------------------------------------------------------------------
30,000 Perrigo Co.--Manufacturer of store brand pharmaceutical products 675,000
--------------------------------------------------------------------------------
9,000 Philip Morris Co., Inc.--Cigarettes, food production, brewing 456,750
-------------------------------------------------------------------------------- ---------------
Total 1,764,250
-------------------------------------------------------------------------------- ---------------
</TABLE>
CAMBRIDGE GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
CONSUMER SERVICES--3.4%
--------------------------------------------------------------------------------
13,000 CUC International, Inc.--Member based consumer services $ 409,500
--------------------------------------------------------------------------------
17,000 First Data Corp.--Credit card processing services 716,125
--------------------------------------------------------------------------------
19,000 Franklin Quest Co.--Provides training seminars 646,000
-------------------------------------------------------------------------------- ---------------
Total 1,771,625
-------------------------------------------------------------------------------- ---------------
DRUGS AND HEALTH CARE--7.6%
--------------------------------------------------------------------------------
22,500 Astra AB--Manufactures pharmaceuticals 439,706
--------------------------------------------------------------------------------
15,500 Cordis Corp.--Specialized medical devices 651,000
--------------------------------------------------------------------------------
20,000 Integrated Health Services Inc.--Operators of geriatric medical
facilities 660,000
--------------------------------------------------------------------------------
10,000 Pfizer, Inc.--Health care, consumer products, special chemicals 540,000
--------------------------------------------------------------------------------
12,200 Schering-Plough Corp.--Manufacturer of pharmaceutical/consumer products 686,250
--------------------------------------------------------------------------------
16,000 United Healthcare Corp.--Manages health maintenance services 684,000
--------------------------------------------------------------------------------
7,500 U.S. Healthcare Inc.--Health maintenance programs 307,500
-------------------------------------------------------------------------------- ---------------
Total 3,968,456
-------------------------------------------------------------------------------- ---------------
ELECTRONIC TECHNOLOGY--11.3%
--------------------------------------------------------------------------------
10,000 Cisco Systems, Inc.--Manufacturer of computer network products 342,500
--------------------------------------------------------------------------------
17,500 DSC Communications Corp.--Digital telecommunication switching system 879,375
--------------------------------------------------------------------------------
40,000 EMC Corp.--Manufacturer of board level computer products 795,000
--------------------------------------------------------------------------------
9,000 Microsoft Corp.--Microcomputer software designer 762,750
--------------------------------------------------------------------------------
10,200 Motorola, Inc.--Manufacturer of cellular mobile telephone systems 1,032,750
--------------------------------------------------------------------------------
12,500 Newbridge Networks Corp.--Manufacturer of digital networking
products 682,812
--------------------------------------------------------------------------------
17,500 Parametric Technology Corp--Mechanical design software producer 481,250
--------------------------------------------------------------------------------
27,000 Silicon Graphics, Inc.--Manufacturer/service computer aided
engineering workstations 644,625
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
ELECTRONIC TECHNOLOGY--CONTINUED
--------------------------------------------------------------------------------
4,000 3Com Corp.--Manufacturer of computer communication systems $ 223,500
-------------------------------------------------------------------------------- ---------------
Total 5,844,562
-------------------------------------------------------------------------------- ---------------
ENERGY--1.2%
--------------------------------------------------------------------------------
30,000 Talisman Energy, Inc.--Produces oil and natural gas 642,300
-------------------------------------------------------------------------------- ---------------
FINANCE--9.7%
--------------------------------------------------------------------------------
1,000 AXA--Insurance services 225,933
--------------------------------------------------------------------------------
10,000 Banco Frances Del Rio--Commercial and consumer lending, credit cards 313,750
--------------------------------------------------------------------------------
12,000 Federal National Mortgage Association--Provides residential
mortgage funds 933,000
--------------------------------------------------------------------------------
18,000 First USA, Inc.--Credit card issuer and processor 634,500
--------------------------------------------------------------------------------
28,500 MBNA Corp.--Issuer of service bank credit cards 602,062
--------------------------------------------------------------------------------
33,500 MGIC Investment--Provides private mortgage insurance 996,625
--------------------------------------------------------------------------------
25,500 UNUM Corp.--Marketer of long-term disability insurance 1,345,125
-------------------------------------------------------------------------------- ---------------
Total 5,050,995
-------------------------------------------------------------------------------- ---------------
GAMING--4.0%
--------------------------------------------------------------------------------
16,500 GTech Holdings Corp.--Manufacturer of microprocessor-based
products 589,875
--------------------------------------------------------------------------------
24,000 Circus Circus Enterprises, Inc.--Entertainment-oriented gaming operator 774,000
--------------------------------------------------------------------------------
18,000 Promus Cos., Inc.--Hotel and casino operations 708,750
-------------------------------------------------------------------------------- ---------------
Total 2,072,625
-------------------------------------------------------------------------------- ---------------
INSURANCE--1.6%
--------------------------------------------------------------------------------
23,000 Travelers, Inc.--Multiple-line insurance 807,875
-------------------------------------------------------------------------------- ---------------
MANUFACTURING--13.7%
--------------------------------------------------------------------------------
10,000 Cemex SA--Distributes and sells cement and concrete 235,273
--------------------------------------------------------------------------------
17,000 Emerson Electric Co.--Manufacturer of electric/electronic products 1,009,375
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
MANUFACTURING--CONTINUED
--------------------------------------------------------------------------------
16,500 General Electric Co.--Manufacturer of electrical machinery with interests in
technology, communications and financial services $ 1,643,813
--------------------------------------------------------------------------------
14,000 Goodyear Tire & Rubber Co.--Manufacturer of tire and rubber products 567,000
--------------------------------------------------------------------------------
6,000 Grupo Carso S.A. de C.V.--Diversified holding company in Mexico 306,000
--------------------------------------------------------------------------------
17,000 ITC, Ltd.--Operations in building and civil engineering 368,517
--------------------------------------------------------------------------------
28,000 Magna International, Inc. C1. A--Manufacturer of automotive parts 1,316,000
--------------------------------------------------------------------------------
53,000 Shaw Industries, Inc.--Carpet manufacturer 1,079,875
--------------------------------------------------------------------------------
80,000 Technology Resources Industries--Investment holding company
operating in property 361,734
--------------------------------------------------------------------------------
6,000 Zebra Technologies Corp. Cl. A--Manufacturer of bar-code labeling machine 237,000
-------------------------------------------------------------------------------- ---------------
Total 7,124,587
-------------------------------------------------------------------------------- ---------------
OIL & GAS--1.5%
--------------------------------------------------------------------------------
25,000 Enron Corp.--Major natural gas pipeline system 762,500
-------------------------------------------------------------------------------- ---------------
PUBLISHING/ENTERTAINMENT--4.0%
--------------------------------------------------------------------------------
5,000 Disney (Walt) Co.--Amusement parks, films, TV 209,375
--------------------------------------------------------------------------------
22,500 Time Warner, Inc.--Diversified company with interests in
publishing, entertainment and video 871,875
--------------------------------------------------------------------------------
16,800 Tribune Co.--Newspaper publishing, broadcasting, CATV 999,600
-------------------------------------------------------------------------------- ---------------
Total 2,080,850
-------------------------------------------------------------------------------- ---------------
RETAIL AND RESTAURANTS--9.1%
--------------------------------------------------------------------------------
6,600 Autobacs Seven Co.--Retailer of automobile parts 758,695
--------------------------------------------------------------------------------
31,500 Brinker International, Inc.--Operator of restaurant franchises 905,625
--------------------------------------------------------------------------------
33,000 Gap, Inc.--Apparel specialty stores 1,464,375
--------------------------------------------------------------------------------
27,000 General Nutrition Cos., Inc.--Operates chain of health
products stores 668,250
--------------------------------------------------------------------------------
19,000 Heilig-Meyers Co.--Retail furniture stores 589,000
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
RETAIL AND RESTAURANTS--CONTINUED
--------------------------------------------------------------------------------
9,000 Office Depot, Inc.--Office supply stores/rental equipment $ 313,875
-------------------------------------------------------------------------------- ---------------
Total 4,699,820
-------------------------------------------------------------------------------- ---------------
RETAIL TRADE--3.9%
--------------------------------------------------------------------------------
8,000 Bed, Bath & Beyond Inc.--Domestics/home products superstore 232,000
--------------------------------------------------------------------------------
75,000 Cifra--Mexican retailer 192,537
--------------------------------------------------------------------------------
20,000 Penney, J.C. Inc.--Department stores, discount mail order 1,057,500
--------------------------------------------------------------------------------
20,000 Wal-Mart Stores, Inc.--Operates discount stores 517,500
--------------------------------------------------------------------------------
3,862 Woolworths, Ltd.--Variety, discount, shoe store 8,465
-------------------------------------------------------------------------------- ---------------
Total 2,008,002
-------------------------------------------------------------------------------- ---------------
STEEL--2.8%
--------------------------------------------------------------------------------
24,000 Nucor Corp.--Steel producer featuring mini-mill technology 1,455,000
-------------------------------------------------------------------------------- ---------------
TECHNOLOGY--6.8%
--------------------------------------------------------------------------------
22,500 ADC Telecommunications, Inc.--Telecommunications equipment 860,625
--------------------------------------------------------------------------------
19,600 Allen Group Inc.--Conversion equipment, auto parts 294,000
--------------------------------------------------------------------------------
14,000 Applied Materials, Inc.--Reactors to manufacture thin film 623,000
--------------------------------------------------------------------------------
13,000 Linear Technology Corp.--Manufacturers linear integrated circuits 549,250
--------------------------------------------------------------------------------
28,500 Oracle Systems Corp.--Manufacturer of database management systems software 915,562
--------------------------------------------------------------------------------
5,000 Tellabs, Inc.--Voice data communication equipment 273,750
-------------------------------------------------------------------------------- ---------------
Total 3,516,187
-------------------------------------------------------------------------------- ---------------
TELECOMMUNICATION AND CABLE--2.3%
--------------------------------------------------------------------------------
10,000 American Telephone and Telegraph Co.--Telecommunications services; business
systems 512,500
--------------------------------------------------------------------------------
31,500 Comcast Corp.--CATV, sound communication system, music,
telecommunication system 562,688
--------------------------------------------------------------------------------
1,500 Compania Telefonos de Chile--Telecommunications service, Chile 133,875
-------------------------------------------------------------------------------- ---------------
Total 1,209,063
-------------------------------------------------------------------------------- ---------------
</TABLE>
CAMBRIDGE GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
TRANSPORTATION--5.6%
--------------------------------------------------------------------------------
8,000 Conrail Inc.--Freight transportation to Midwest and Northeast U.S. $ 462,000
--------------------------------------------------------------------------------
8,000 British Airways, Inc.--Major international U.K. airline 480,000
--------------------------------------------------------------------------------
39,500 Southwest Airlines Co.--Airline services to mid-southwestern United States 1,293,625
--------------------------------------------------------------------------------
8,000 Union Pacific Corp.--Holding company for western railroad system,
Overnight Trucking and Champion Oil 454,000
--------------------------------------------------------------------------------
2,800 Wisconsin Central Transportation Corp.--Operates regional railroad system 196,700
-------------------------------------------------------------------------------- ---------------
Total 2,886,325
-------------------------------------------------------------------------------- ---------------
MISCELLANEOUS--0.4%
--------------------------------------------------------------------------------
30,000 GPO Financial Banamex AC--Mexican bank 203,705
-------------------------------------------------------------------------------- ---------------
TOTAL COMMON STOCKS (IDENTIFIED COST, $48,206,172) 50,696,931
-------------------------------------------------------------------------------- ---------------
WARRANTS--0.0%
------------------------------------------------------------------------------------------------
66 ITC 594
--------------------------------------------------------------------------------
234 ITC, Ltd. 2,106
-------------------------------------------------------------------------------- ---------------
TOTAL WARRANTS (IDENTIFIED COST, $1,170) 2,700
-------------------------------------------------------------------------------- ---------------
TOTAL LONG-TERM INVESTMENTS (IDENTIFIED COST, $48,207,342) 50,699,631
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS (IDENTIFIED COST, $49,207,025) $ 51,699,314\
-------------------------------------------------------------------------------- ---------------
</TABLE>
\The cost for federal tax purposes amounts to $49,207,025. The net unrealized
appreciation of investments on a federal tax basis amounts to $2,492,289, which
is comprised of $5,363,725 appreciation and $2,871,436 depreciation at March
31, 1994.
Note: The categories of investments are shown as a percentage of net assets
($51,856,119) as of March 31, 1994.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
SHORT-TERM INVESTMENTS--15.6%
--------------------------------------------------------------------------------------------------
*COMMERCIAL PAPER--14.5%
--------------------------------------------------------------------------------------------------
CAPITAL--3.1%
-----------------------------------------------------------------------------------
$ 650,000 Ameritech Capital Funding Corp., 3.57%, 4/4/94 $ 649,806
-----------------------------------------------------------------------------------
1,500,000 Unilever Capital Corp., 3.50%, 4/5/94 1,499,417
----------------------------------------------------------------------------------- --------------
Total 2,149,223
----------------------------------------------------------------------------------- --------------
INSURANCE--PROPERTY & CASUALTY--3.9%
-----------------------------------------------------------------------------------
2,740,000 General Re Corp., 3.48%, 4/7/94 2,738,411
----------------------------------------------------------------------------------- --------------
OIL--4.0%
-----------------------------------------------------------------------------------
2,770,000 Shell Oil Co., 3.52%, 4/20/94 2,764,854
----------------------------------------------------------------------------------- --------------
TELECOMMUNICATIONS--3.5%
-----------------------------------------------------------------------------------
2,395,000 Bellsouth Telecommunications, Inc., 3.55%, 4/13/94 2,392,166
----------------------------------------------------------------------------------- --------------
TOTAL COMMERCIAL PAPER 10,044,654
----------------------------------------------------------------------------------- --------------
U.S. GOVERNMENT AGENCIES--1.1%
--------------------------------------------------------------------------------------------------
800,000 Federal National Mortgage Association, 3.46%, 4/1/94 800,000
----------------------------------------------------------------------------------- --------------
TOTAL SHORT-TERM INVESTMENTS (AT AMORTIZED COST) (NOTE 2A) 10,844,654
----------------------------------------------------------------------------------- --------------
LONG-TERM INVESTMENTS--71.1%
--------------------------------------------------------------------------------------------------
COMMON STOCKS--69.0%
--------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--5.4%
-----------------------------------------------------------------------------------
20,000 Raytheon Co.--Diversified manufacturer: includes aerospace, appliances and
commercial building 1,292,500
-----------------------------------------------------------------------------------
30,000 Rockwell International Corp.--Manufacturer of aerospace, vehicle parts, textile
machinery, printing presses, and military electronics 1,192,500
-----------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------------------------
AEROSPACE & DEFENSE--CONTINUED
-----------------------------------------------------------------------------------
20,000 United Technologies Corp.--Manufactures products and services for the aerospace,
building and automotive industries $ 1,242,500
----------------------------------------------------------------------------------- --------------
Total 3,727,500
----------------------------------------------------------------------------------- --------------
BEVERAGES--1.6%
-----------------------------------------------------------------------------------
30,000 PepsiCo, Inc.--International snack food manufacturer and soft drink company 1,098,750
----------------------------------------------------------------------------------- --------------
BUILDING & MATERIALS--1.8%
-----------------------------------------------------------------------------------
40,000 Centex Corp.--Largest U.S. builder of single-family homes; produces building
materials 1,235,000
----------------------------------------------------------------------------------- --------------
CHEMICAL--1.7%
-----------------------------------------------------------------------------------
5,000 Akzo N.V. ORD--Producer of chemical, fiber and health care products 576,903
-----------------------------------------------------------------------------------
9,000 Dutch State Mines--Producer of chemicals 606,386
----------------------------------------------------------------------------------- --------------
Total 1,183,289
----------------------------------------------------------------------------------- --------------
COMPUTER SOFTWARE & SERVICES--3.0%
-----------------------------------------------------------------------------------
23,000 General Motors Class E--Leader in design, operation, and integration of large
computer and communications systems 787,750
-----------------------------------------------------------------------------------
15,000 Microsoft Corp.--One of the largest independent makers of personal computer
software 1,271,250
----------------------------------------------------------------------------------- --------------
Total 2,059,000
----------------------------------------------------------------------------------- --------------
CONGLOMERATES--0.7%
-----------------------------------------------------------------------------------
50,000 Grupo Carso S.A. de C.V.--Diversified holding company in Mexico 467,568
----------------------------------------------------------------------------------- --------------
COSMETICS & SOAPS--1.1%
-----------------------------------------------------------------------------------
7,000 Unilever N.V.--Diversified international enterprises 733,250
----------------------------------------------------------------------------------- --------------
DRUGS--3.6%
-----------------------------------------------------------------------------------
25,000 Astra AB Series A--Manufactures and markets pharmaceuticals 488,562
-----------------------------------------------------------------------------------
40,000 Merck & Co. Inc.--Manufacturer of pharmaceuticals and specialty chemicals 1,190,000
-----------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------------------------
DRUGS--CONTINUED
-----------------------------------------------------------------------------------
15,000 Schering-Plough Corp.--Manufacturer of pharmaceutical/consumer products $ 843,750
----------------------------------------------------------------------------------- --------------
Total 2,522,312
----------------------------------------------------------------------------------- --------------
ELECTRICAL EQUIPMENT--2.6%
-----------------------------------------------------------------------------------
1,000 Brown Boveri & Cie--Swiss-based power generation and electrical
engineering 829,734
-----------------------------------------------------------------------------------
10,000 General Electric Co.--Diversified industrial company with interests in technology,
communications and financial services 996,250
----------------------------------------------------------------------------------- --------------
Total 1,825,984
----------------------------------------------------------------------------------- --------------
ELECTRONICS--2.2%
-----------------------------------------------------------------------------------
13,000 Intel Corp.--Semi-conductor memory circuits 877,500
-----------------------------------------------------------------------------------
25,000 Philips N.V.--Worldwide manufacturer of electronic and electrical
products 675,000
----------------------------------------------------------------------------------- --------------
Total 1,552,500
----------------------------------------------------------------------------------- --------------
ENTERTAINMENT & LEISURE--2.1%
-----------------------------------------------------------------------------------
15,000 Carnival Cruise Lines, Inc.--Cruise ship, hotel and casino operations 665,625
-----------------------------------------------------------------------------------
37,400 Mirage Resorts, Inc.--Hotel and casino operations 785,400
----------------------------------------------------------------------------------- --------------
Total 1,451,025
----------------------------------------------------------------------------------- --------------
FINANCE--2.2%
-----------------------------------------------------------------------------------
20,000 Federal National Mortgage Association--Provides residential mortgage funds 1,555,000
----------------------------------------------------------------------------------- --------------
FOOD--1.4%
-----------------------------------------------------------------------------------
20,000 CPC International Inc.--Major food company with operations throughout the world 947,500
----------------------------------------------------------------------------------- --------------
HOSPITAL MANAGEMENT & SERVICE--1.8%
-----------------------------------------------------------------------------------
31,000 Columbia/HCA Healthcare Corp.--Hospital provider of acute care
medical services 1,247,750
----------------------------------------------------------------------------------- --------------
</TABLE>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------------------------
HOSPITAL SUPPLY--1.5%
-----------------------------------------------------------------------------------
40,000 Abbott Laboratories--Major health care company involved in medical/ hospital
supplies and diagnostics $ 1,065,000
----------------------------------------------------------------------------------- --------------
HOUSEHOLD FURNISHING & APPLIANCE--0.9%
-----------------------------------------------------------------------------------
10,000 Whirlpool Corp.--Manufacturer of major household appliances 607,500
----------------------------------------------------------------------------------- --------------
INSURANCE--4.8%
-----------------------------------------------------------------------------------
10,000 American International Group, Inc.--Multi-line insurance company 841,250
-----------------------------------------------------------------------------------
20,000 Assicurazioni Generali ITL 2000--Private insurance company 527,851
-----------------------------------------------------------------------------------
40,000 Humana Inc.--Health maintenance organization 745,000
-----------------------------------------------------------------------------------
30,000 U.S. Healthcare, Inc.--Health maintenance provider 1,230,000
----------------------------------------------------------------------------------- --------------
Total 3,344,101
----------------------------------------------------------------------------------- --------------
LODGING & RESTAURANTS--3.7%
-----------------------------------------------------------------------------------
25,000 Marriott International, Inc.--Hotel and food service management 703,125
-----------------------------------------------------------------------------------
20,000 McDonald's Corp.--Fast-food restaurants and franchising 1,137,500
-----------------------------------------------------------------------------------
17,500 Promus Cos., Inc.--Hotel and casino operations 689,063
----------------------------------------------------------------------------------- --------------
Total 2,529,688
----------------------------------------------------------------------------------- --------------
OFFICE & BUSINESS EQUIPMENT--3.7%
-----------------------------------------------------------------------------------
40,000 EMC Corp.--Manufacturer of computer storage products 795,000
-----------------------------------------------------------------------------------
10,000 Hewlett Packard Co.--Electronic data: manufacturer of measure and test instruments 821,250
-----------------------------------------------------------------------------------
10,000 Xerox Corp.--Manufacturer of copiers and duplicators 955,000
----------------------------------------------------------------------------------- --------------
Total 2,571,250
----------------------------------------------------------------------------------- --------------
OIL--4.5%
-----------------------------------------------------------------------------------
15,000 British Petroleum ADR--Major integrated world oil company 920,625
-----------------------------------------------------------------------------------
11,000 Royal Dutch Petroleum Co.--60% owner of the Royal Dutch/Shell Group of companies
which are involved in all aspects of the oil industry 1,093,125
-----------------------------------------------------------------------------------
17,500 Texaco Inc.--Major integrated international oil company 1,102,500
----------------------------------------------------------------------------------- --------------
Total 3,116,250
----------------------------------------------------------------------------------- --------------
</TABLE>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------------------------
OIL SERVICE & EQUIPMENT--1.2%
-----------------------------------------------------------------------------------
40,000 Dresser Industries, Inc.--Supplies products and services to energy and natural
resources markets $ 850,000
----------------------------------------------------------------------------------- --------------
PAPER & FOREST PRODUCTS--0.5%
-----------------------------------------------------------------------------------
50,000 Enso Gutzeit OY--Manufactures and markets paper and wood products 347,703
----------------------------------------------------------------------------------- --------------
POLLUTION CONTROL--0.9%
-----------------------------------------------------------------------------------
25,000 Browning Ferris Industries, Inc.--Solid and liquid waste management services 631,250
----------------------------------------------------------------------------------- --------------
PROFESSIONAL SERVICES--1.7%
-----------------------------------------------------------------------------------
17,500 Federal Express Corp.--Air and van package delivery service 1,170,312
----------------------------------------------------------------------------------- --------------
RAILS--3.0%
-----------------------------------------------------------------------------------
15,000 CSX Corp.--International transportation company 1,230,000
-----------------------------------------------------------------------------------
15,000 Union Pacific Corp.--Railroad, trucking, real estate, mining, and oil and gas 851,250
----------------------------------------------------------------------------------- --------------
Total 2,081,250
----------------------------------------------------------------------------------- --------------
RETAIL--8.4%
-----------------------------------------------------------------------------------
37,500 Federated Department Stores, Inc.--Operator of department stores 825,000
-----------------------------------------------------------------------------------
30,000 Home Depot--Operator of building materials and home improvement stores 1,222,500
-----------------------------------------------------------------------------------
25,000 May Department Stores Co.--National operator of department store chains 1,040,625
-----------------------------------------------------------------------------------
15,000 Penney, J.C. Inc.--Operator of department stores, discount mail order 793,125
-----------------------------------------------------------------------------------
50,000 Price Costco, Inc.--Largest U.S. chain of wholesale cash and carry
business 906,250
-----------------------------------------------------------------------------------
30,000 Toys "R" Us, Inc.--Retail chain focused on toys and other children's products 1,042,500
----------------------------------------------------------------------------------- --------------
Total 5,830,000
----------------------------------------------------------------------------------- --------------
RETAIL/FOOD--1.7%
-----------------------------------------------------------------------------------
50,000 Kroger Company--Operator of supermarkets and convenience stores 1,193,750
----------------------------------------------------------------------------------- --------------
</TABLE>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
------------- ----------------------------------------------------------------------------------- --------------
COMMON STOCKS--CONTINUED
--------------------------------------------------------------------------------------------------
UTILITIES/TELEPHONE--1.3%
-----------------------------------------------------------------------------------
300,000 SIP ORD--Italian telecommunications company $ 892,108
----------------------------------------------------------------------------------- --------------
TOTAL COMMON STOCKS (IDENTIFIED COST, $48,293,771) 47,836,590
----------------------------------------------------------------------------------- --------------
PREFERRED STOCKS--2.1%
--------------------------------------------------------------------------------------------------
BANKS--2.1%
-----------------------------------------------------------------------------------
75,000 Citicorp.--Largest U.S. banking company (identified cost, $1,465,488) 1,481,250
----------------------------------------------------------------------------------- --------------
TOTAL LONG-TERM INVESTMENTS (IDENTIFIED COST, $49,759,259) 49,317,840
----------------------------------------------------------------------------------- --------------
TOTAL INVESTMENTS (IDENTIFIED COST, $60,603,913) $ 60,162,494\
----------------------------------------------------------------------------------- --------------
</TABLE>
ADR--American Depositary Receipts
*Each issue shows the rate of discount at the time of purchase for discount
issues, or the coupon for interest bearing issues.
\The cost of investments for federal tax purposes amounts to $60,603,913. The
net unrealized depreciation of investments on a federal tax basis amounts to
$441,419, which is comprised of $2,099,422 appreciation and $2,540,841
depreciation at March 31, 1994.
Note: The categories of investments are shown as a percentage of net assets
($69,333,605) at March 31, 1994.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
LONG-TERM OBLIGATIONS--137.0%
------------------------------------------------------------------------------------------------
FEDERAL HOME LOAN MORTGAGE CORP.--20.0%
--------------------------------------------------------------------------------
$ 1,898,530 10.00%, 3/1/2021 $ 2,057,532
--------------------------------------------------------------------------------
944,699 9.50%, 12/1/2022 1,005,802
--------------------------------------------------------------------------------
5,000,000 8.50%, 10/15/2019 5,042,150
--------------------------------------------------------------------------------
3,000,000 6.75%, 5/15/2021 2,896,860
--------------------------------------------------------------------------------
9,661,401 6.50%, 6/15/2016 1,431,047
--------------------------------------------------------------------------------
15,236,000 6.00%, 1/1/99-1/15/2020 14,199,120
-------------------------------------------------------------------------------- ---------------
Total Federal Home Loan Mortgage Corp. 26,632,511
-------------------------------------------------------------------------------- ---------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--1.0%
--------------------------------------------------------------------------------
547,435 11.00%, 12/1/2020 614,496
--------------------------------------------------------------------------------
6,643,159 7.00%, 3/25/2014 753,583
-------------------------------------------------------------------------------- ---------------
Total Federal National Mortgage Association 1,368,079
-------------------------------------------------------------------------------- ---------------
FEDERAL NATIONAL MORTGAGE ASSOCIATION--REMIC--15.2%
--------------------------------------------------------------------------------
2,500,000 8.50%, 1990 Class 108E, 6/25/2019 2,523,425
--------------------------------------------------------------------------------
4,786,010 8.00%, 1991 Class 155ZA, 2/25/2017 4,821,905
--------------------------------------------------------------------------------
2,000,000 6.50%, 1993 Class 189PK, 3/25/2022 1,814,760
--------------------------------------------------------------------------------
2,000,000 6.15%, 1993 Class 160AG, 12/25/2020 1,767,500
--------------------------------------------------------------------------------
9,875,000 6.00%, 1991 Class 140D, 10/25/2021 9,365,746
-------------------------------------------------------------------------------- ---------------
Total Federal National Mortgage Association--REMIC 20,293,336
-------------------------------------------------------------------------------- ---------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--55.8%
--------------------------------------------------------------------------------
3,951,746 12.00%, 8/15/2013-5/15/2015 4,584,025
--------------------------------------------------------------------------------
905,124 11.50%, 11/15/2015-6/20/2019 1,029,864
--------------------------------------------------------------------------------
4,361,529 11.00%, 6/15/2019-6/15/2021 4,951,102
--------------------------------------------------------------------------------
3,681,953 10.50%, 3/20/2016-6/15/2019 4,074,280
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
LONG-TERM OBLIGATIONS--CONTINUED
------------------------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION--CONTINUED
--------------------------------------------------------------------------------
$ 4,025,089 10.00%, 7/15/2028 $ 4,375,996
--------------------------------------------------------------------------------
2,064,408 9.75%, 2/15/2029 2,238,974
--------------------------------------------------------------------------------
8,771,890 9.50%, 12/15/2018-8/20/2019 9,267,712
--------------------------------------------------------------------------------
4,095,824 9.00%, 12/15/2016-7/20/2018 4,278,592
--------------------------------------------------------------------------------
4,404,123 8.75%, 1/15/2028 4,559,633
--------------------------------------------------------------------------------
3,515,178 8.00%, 8/15/2017 3,548,115
--------------------------------------------------------------------------------
3,853,687 7.50%, 1/15/2024 3,787,442
--------------------------------------------------------------------------------
1,878,216 7.00%, 9/15/2008 1,859,434
--------------------------------------------------------------------------------
1,495,799 6.50%, 11/15/2023 1,375,656
--------------------------------------------------------------------------------
1,890,303 5.50%, 1/20/2023 1,899,169
--------------------------------------------------------------------------------
1,726,226 5.125%, 11/20/2021 1,724,069
--------------------------------------------------------------------------------
10,000,000 5.00%, 5/15/2024 9,771,875
--------------------------------------------------------------------------------
11,500,000 4.50%, 5/23/2024 11,011,250
-------------------------------------------------------------------------------- ---------------
Total Government National Mortgage Association 74,337,188
-------------------------------------------------------------------------------- ---------------
U.S. TREASURY NOTES--19.8%
--------------------------------------------------------------------------------
17,000,000 7.75%, 2/15/2001 18,081,030
--------------------------------------------------------------------------------
2,980,000 6.375%, 1/15/2000 2,974,398
--------------------------------------------------------------------------------
5,500,000 6.25%, 2/15/2003 5,306,620
-------------------------------------------------------------------------------- ---------------
Total U.S. Treasury Notes 26,362,048
-------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--13.6%
------------------------------------------------------------------------------------------------
ASSET-BACKED SECURITIES--6.9%
--------------------------------------------------------------------------------
4,004,649 FHA, 7.375%-7.43%, 12/1/2021-2/28/2032 4,069,796
--------------------------------------------------------------------------------
5,000,000 Salomon, Inc., 7.50%, 6/15/99 5,130,000
-------------------------------------------------------------------------------- ---------------
Total 9,199,796
-------------------------------------------------------------------------------- ---------------
CONSUMER NON-DURABLES--2.1%
--------------------------------------------------------------------------------
2,000,000 Rite Aid, 0.0%, 7/24/2006 882,500
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--CONTINUED
------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLES--CONTINUED
--------------------------------------------------------------------------------
$ 2,000,000 RJR Nabisco, Inc., 8.30%, 4/15/99 $ 1,920,000
-------------------------------------------------------------------------------- ---------------
Total 2,802,500
-------------------------------------------------------------------------------- ---------------
ENERGY--0.9%
--------------------------------------------------------------------------------
1,000,000 Occidental Petroleum Corp., 11.75%, 3/15/2011 1,140,560
-------------------------------------------------------------------------------- ---------------
FINANCE--0.7%
--------------------------------------------------------------------------------
1,000,000 Banesto Finance, 4.875%, 4/21/2003 1,005,000
-------------------------------------------------------------------------------- ---------------
MANUFACTURING--1.6%
--------------------------------------------------------------------------------
2,000,000 Variety Corp., 11.375%, 11/15/98 2,193,520
-------------------------------------------------------------------------------- ---------------
REAL ESTATE--1.4%
--------------------------------------------------------------------------------
1,830,000 BRW Real Estate Operating Co., 5.687%, 12/1/98 1,825,425
-------------------------------------------------------------------------------- ---------------
TOTAL CORPORATE BONDS 18,166,801
-------------------------------------------------------------------------------- ---------------
MORTGAGE-BACKED SECURITIES--0.6%
------------------------------------------------------------------------------------------------
10,511,000 Chase Mortgage Finance Corp., Series 1994-F, Class A6,
2.50%, 3/25/2025 814,603
-------------------------------------------------------------------------------- ---------------
COLLATERALIZED MORTGAGE OBLIGATIONS--5.9%
------------------------------------------------------------------------------------------------
4,000,000 Prudential Home Mortgage Securities Corp., Series 1992-46, Class A2,
7.00%, 12/1/2007 3,963,750
--------------------------------------------------------------------------------
4,451,111 Prudential Home Mortgage Securities Corp., Series 1993-63, Class A4,
6.75%, 1/25/2024 1,046,011
--------------------------------------------------------------------------------
3,000,000 Prudential Home Mortgage Securities Corp., Series 1992-34, Class A3,
6.50%, 10/25/2007 2,852,790
-------------------------------------------------------------------------------- ---------------
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS 7,862,551
-------------------------------------------------------------------------------- ---------------
MORTGAGES--4.3%
------------------------------------------------------------------------------------------------
3,639,343 Resolution Trust Corp., Series 1992-C, Class A1, 8.80%, 8/25/2023 3,862,252
--------------------------------------------------------------------------------
1,802,559 Resolution Trust Corp., Series 1992-C5, Class B, 6.90%, 5/25/2022 1,809,882
-------------------------------------------------------------------------------- ---------------
TOTAL MORTGAGES 5,672,134
-------------------------------------------------------------------------------- ---------------
</TABLE>
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
ADJUSTABLE RATE MORTGAGES--0.8%
------------------------------------------------------------------------------------------------
$ 1,022,890 Sears Mortgage Securities Corp., Series 1992-9, 5.667%, 6/25/2022 $ 1,026,023
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS (IDENTIFIED COST, $186,801,270) $ 182,535,274\
-------------------------------------------------------------------------------- ---------------
</TABLE>
The following abbreviations are used in this portfolio:
REMIC--Real Estate Mortgage Investment Conduit
FHA--Federal Housing Agency
\The cost of investments for federal tax purposes amounts to $186,801,270. The
net unrealized depreciation of investments on a federal tax basis amounts to
$4,265,996 which is comprised of $477,325 appreciation and $4,743,321
depreciation at March 31, 1994.
Note: The categories of investments are shown as a percentage of net assets
($133,188,179) at March 31, 1994.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
SHORT-TERM MUNICIPAL SECURITIES--0.8%
---------------------------------------------------------------------------------
NORTH CAROLINA--0.8%
-----------------------------------------------------------------
$ 600,000 Person County, NC, Daily VRDNs (at amortized cost)
(Note 2A) VMIG-1 $ 600,000
----------------------------------------------------------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--97.9%
---------------------------------------------------------------------------------
CALIFORNIA--11.6%
-----------------------------------------------------------------
1,000,000 California Educational Facilities, 7.50% (College of
Osteopathic Medicine), 6/1/2018 NR 1,029,890
-----------------------------------------------------------------
750,000 Carson, CA, 7.375% Improvement Board Act of 1915
(Assessment District 92), 9/2/2022 NR 762,555
-----------------------------------------------------------------
1,750,000 Los Angeles, CA, 5.125% Convention (Series A), 8/15/ 2021 AAA 1,481,217
-----------------------------------------------------------------
4,500,000 Los Angeles County, CA, 5.00% Metropolitan, 7/1/2021 AAA 3,732,120
-----------------------------------------------------------------
300,000 Orange County, CA, 7.35% (Series A)/(Community Facilities
District), 8/15/2018 NR 310,746
-----------------------------------------------------------------
2,000,000 San Francisco, CA, 5.375% City Sewer Refunding,
10/1/2022 AAA 1,761,240
----------------------------------------------------------------- -------------------
Total 9,077,768
----------------------------------------------------------------- -------------------
COLORADO--5.1%
-----------------------------------------------------------------
655,000 Colorado HFA, 7.00% SFM (Series A-3),11/01/2024
(Subject to AMT) AA 666,796
-----------------------------------------------------------------
3,300,000 Denver, CO, 6.75%-7.25% City & County Airport Revenue (Series B
and C), 11/15/2022-11/15/2023 (Subject to AMT) BBB 3,279,018
----------------------------------------------------------------- -------------------
Total 3,945,814
----------------------------------------------------------------- -------------------
DISTRICT OF COLUMBIA--3.7%
-----------------------------------------------------------------
1,000,000 District of Columbia, 7.30% CTFs of Participation, 1/1/ 2013 BBB 1,030,580
-----------------------------------------------------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
DISTRICT OF COLUMBIA--CONTINUED
-----------------------------------------------------------------
$ 1,000,000 District of Columbia Hospital Revenue, 7.125% (Series A)/
(Washington Hospital Center), 8/15/2019 BBB $ 1,004,920
-----------------------------------------------------------------
800,000 Metropolitan Washington, D.C., 6.625% General Airport Revenue
(Series A)/(MBIA Insured), 10/1/2019 (Subject to AMT) AAA 819,136
----------------------------------------------------------------- -------------------
Total 2,854,636
----------------------------------------------------------------- -------------------
FLORIDA--1.6%
-----------------------------------------------------------------
1,200,000 Sarasota County, FL, 10.00% Health Facilities Authority
Revenue (Kobernick/Meadow), 7/01/2022 NR 1,259,088
----------------------------------------------------------------- -------------------
GEORGIA--2.7%
-----------------------------------------------------------------
1,000,000 Cobb County, GA, 8.00% Development Authority Revenue Bonds
(Franklin Forest Project)/(Series 92A), 6/1/ 2022 NR 1,051,500
-----------------------------------------------------------------
1,000,000 Monroe County, GA, 6.75% Development Authority PCR,
1/1/2010 AA- 1,042,370
----------------------------------------------------------------- -------------------
Total 2,093,870
----------------------------------------------------------------- -------------------
ILLINOIS--6.2%
-----------------------------------------------------------------
1,000,000 Cook County, IL, 8.25% Senior Lien Tax Increment Revenue Bonds
(Series 1993), 7/01/2013 NR 976,280
-----------------------------------------------------------------
3,465,000 Chicago Heights, IL, 0.01% Refunding (Series B), 6/1/ 2009 Aa 1,176,056
-----------------------------------------------------------------
1,350,000 Chicago, IL, 6.75% O'Hare International Airport Special
Facilities Revenue, 1/1/2018 (MBIA Insured) AAA 1,421,712
-----------------------------------------------------------------
1,250,000 Illinois Health Facilities Authority Revenue, 9.50% Fairview
Obligated Group Project, 10/1/2022 NR 1,292,887
----------------------------------------------------------------- -------------------
Total 4,866,935
----------------------------------------------------------------- -------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
INDIANA--6.4%
-----------------------------------------------------------------
$ 1,815,000 Indiana Health Facilities Hospital Revenue, 7.20% Fayette
Memorial Hospital Project, 10/1/2022 BBB $ 1,844,367
-----------------------------------------------------------------
2,400,000 Indianapolis, IN, 6.75%, Series D, 2/1/2020 A+ 2,419,752
-----------------------------------------------------------------
3,000,000 Indiana Transportation Financing Authority, 0.01% (Series A),
12/1/2015-6/1/2017 (AMBAC Insured) Aaa 699,860
----------------------------------------------------------------- -------------------
Total 4,963,979
----------------------------------------------------------------- -------------------
IOWA--0.9%
-----------------------------------------------------------------
625,000 Student Loan Liquidity Corp. Student Loan Revenue, 6.95% (Series
C), 3/1/2006 (Subject to AMT) Aa1 661,663
----------------------------------------------------------------- -------------------
KENTUCKY--4.5%
-----------------------------------------------------------------
500,000 Jefferson County, KY, 9.46% Hospital Revenue (MBIA
Insured), 10/1/2008 AAA 535,625
-----------------------------------------------------------------
3,000,000 Kenton County, KY, 7.50% OID (Delta Air Lines Inc.)/
(Original Issue Yield: 7.60%), 2/1/2020 (Subject to AMT) BB 2,996,130
----------------------------------------------------------------- -------------------
Total 3,531,755
----------------------------------------------------------------- -------------------
LOUISIANA--0.5%
-----------------------------------------------------------------
400,000 Louisiana PFA, 6.80% (Southern Baptist Hospital)/(FSA
Insured), 5/15/2012 AAA 420,568
----------------------------------------------------------------- -------------------
MARYLAND--2.1%
-----------------------------------------------------------------
2,000,000 Maryland State Health & Higher Educational Facilities Authority,
5.50% OID Revenue & Refunding Bond (Doctors Community
Hospital)/(Original Issue Yield: 6.173%),
7/l/2024 Baa 1,640,320
----------------------------------------------------------------- -------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
MASSACHUSETTS--CONTINUED
-----------------------------------------------------------------
MASSACHUSETTS--2.5%
-----------------------------------------------------------------
2,000,000 Massachusetts State Health and Educational Facilities Authority,
6.00% OID Revenue Bonds (Saint Memorial Medical Center)/(Series
A)/(Original Issue Yield: 6.20%), 10/1/2023 Baa 1,404,760
-----------------------------------------------------------------
$ 500,000 Plymouth County, MA, 7.00% OID, CTFs of Participation
(Series A), 4/1/2022 A- $ 518,015
----------------------------------------------------------------- -------------------
Total 1,922,775
----------------------------------------------------------------- -------------------
MICHIGAN--1.8%
-----------------------------------------------------------------
1,000,000 Michigan State Strategic Funding, 7.50%, 1/1/2021 NR 976,570
-----------------------------------------------------------------
2,385,000 Romulus, MI, Community Schools, 0.01%, Refunding (FGIC Insured),
5/1/2020 AAA 443,920
----------------------------------------------------------------- -------------------
Total 1,420,490
----------------------------------------------------------------- -------------------
MINNESOTA--1.9%
-----------------------------------------------------------------
1,500,000 Minnesota State HFA, 6.50% SFM (Series H), 1/1/2026
(Subject to AMT) Aa 1,481,925
----------------------------------------------------------------- -------------------
MONTANA--0.6%
-----------------------------------------------------------------
500,000 Montana State, 7.00% Resource Recovery Revenue Bonds (Yellowstone
Energy L.P. Project), 12/31/2019 NR 491,325
----------------------------------------------------------------- -------------------
NEBRASKA--0.5%
-----------------------------------------------------------------
400,000 Nebraska Finance Authority, 9.938% SFM (GNMA Insured), 9/15/2024
(Subject to AMT) AAA 409,500
----------------------------------------------------------------- -------------------
NEVADA--2.6%
-----------------------------------------------------------------
1,500,000 Clark County, NV, 7.20% Industrial Development Revenue, 10/l/2022 Baa 1,530,240
-----------------------------------------------------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
NEVADA--CONTINUED
-----------------------------------------------------------------
500,000 Henderson, NV, 8.50% Local Improvement District (No T4)/ (Series
A), 11/1/2012 NR 509,570
----------------------------------------------------------------- -------------------
Total 2,039,810
----------------------------------------------------------------- -------------------
NEW JERSEY--2.5%
-----------------------------------------------------------------
825,000 New Jersey Health Care Facilities Financing Authority, 6.80%
Refunding (Atlantic City Medical Center), 7/1/ 2011 A 853,174
-----------------------------------------------------------------
$ 1,000,000 New Jersey Economic Development Authority, 7.875% Electric Energy
Facilities Revenue/(Vineland Cogeneration),
6/1/2019 NR $ 1,061,250
----------------------------------------------------------------- -------------------
Total 1,914,424
----------------------------------------------------------------- -------------------
NEW YORK--9.2%
-----------------------------------------------------------------
1,000,000 Clifton Springs, NY, 8.00% Hospital Refunding & Improvement,
1/1/2020 NR 953,340
-----------------------------------------------------------------
1,000,000 Herkimer County, NY, IDA, 8.00% (Burrows Paper Corp.
Recycling), 1/1/2009 NR 1,055,900
-----------------------------------------------------------------
500,000 New York City, NY, 7.00% (Series H), 2/1/2016 A- 527,675
-----------------------------------------------------------------
300,000 New York City, NY, 7.10% OID (Series H)/(Original Issue Yield:
7.20%), 2/1/2012 A- 319,482
-----------------------------------------------------------------
600,000 New York City, NY, 7.00% OID (Series H)/(Original Issue Yield:
7.26%), 2/1/2020 A- 631,866
-----------------------------------------------------------------
600,000 New York City, NY, 6.25% OID Refunding (Series A)/
(Original Issue Yield: 6.60%), 8/1/2021 A- 572,820
-----------------------------------------------------------------
2,000,000 New York State, 5.75% Dormitory Authority Revenue,
7/1/2018 Baa1 1,843,420
-----------------------------------------------------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
NEW YORK--CONTINUED
-----------------------------------------------------------------
1,225,000 Onondaga County, NY, 7.00% Resource Recovery Agency Revenue
Project, 5/1/2015 (Subject to AMT) Baa 1,261,358
----------------------------------------------------------------- -------------------
Total 7,165,861
----------------------------------------------------------------- -------------------
NORTH CAROLINA--3.4%
-----------------------------------------------------------------
750,000 Charlotte-Mecklenburg, NC, 6.00% Hospital Health Care
System, 1/1/2022 AA 713,055
-----------------------------------------------------------------
2,000,000 North Carolina Eastern Municipal Power Agency, 6.40%,
1/1/2021 A 1,959,620
----------------------------------------------------------------- -------------------
Total 2,672,675
----------------------------------------------------------------- -------------------
OKLAHOMA--3.9%
-----------------------------------------------------------------
$ 1,000,000 Oklahoma City, OK, 6.75%, Industrial and Cultural Facilities
Trust, 9/15/2017 AA1 $ 1,021,000
-----------------------------------------------------------------
2,000,000 Tulsa, OK, 7.375% Municipal Airport Trust Revenue
(American Air Lines Inc.), 12/1/2020 (Subject to AMT) Baa2 2,006,600
----------------------------------------------------------------- -------------------
Total 3,027,600
----------------------------------------------------------------- -------------------
PENNSYLVANIA--8.2%
-----------------------------------------------------------------
2,000,000 Delaware County, PA, Health Authority, 5.125%,
11/15/2012 AAA 1,732,540
-----------------------------------------------------------------
1,000,000 Lehigh County, PA, 6.60% OID General Purpose Authority Revenue
(Series A)/(Original Issue Yield: 6.80%),
7/15/2022 Baa1 962,850
-----------------------------------------------------------------
500,000 Pennsylvania Economic Development, 6.40%, 1/1/2009 NR 478,880
-----------------------------------------------------------------
500,000 Pennsylvania HFA, 7.00% SFM (Series B-34), 4/1/2024
(Subject to AMT) AA 510,805
-----------------------------------------------------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
PENNSYLVANIA--CONTINUED
-----------------------------------------------------------------
750,000 Pennsylvania Intergovernmental Cooperative Authority, 6.80%,
Special Tax Revenue (City of Philadelphia),
6/15/2012 A- 821,693
-----------------------------------------------------------------
2,000,000 Philadelphia, PA, Hospital and Higher Education Facilities,
6.50%-6.625% (Series A)/(Temple University), 11/
15/2008-11/15/2023 Baa1 1,905,290
----------------------------------------------------------------- -------------------
Total 6,412,058
----------------------------------------------------------------- -------------------
PUERTO RICO--1.1%
-----------------------------------------------------------------
800,000 Puerto Rico, 6.50% Commonwealth Highway Transportation Authority
(Series T), 7/1/2022 AAA 879,152
----------------------------------------------------------------- -------------------
RHODE ISLAND--0.7%
-----------------------------------------------------------------
510,000 West Warwick, RI, 6.80%-7.30% (Series A), 7/15/98-
7/15/2008 Ba 511,749
----------------------------------------------------------------- -------------------
TENNESSEE--2.1%
-----------------------------------------------------------------
$ 1,500,000 Memphis-Shelby County, TN, 7.875% Airport Authority
Special Facilities Revenue Refunding (Federal Express),
9/1/2009 Baa3 $ 1,632,000
----------------------------------------------------------------- -------------------
TEXAS--8.1%
-----------------------------------------------------------------
1,000,000 Brazos, TX, 7.10%, Higher Education Authority Student Loan
Revenue, 11/01/2004 A 1,009,530
-----------------------------------------------------------------
2,000,000 Coastal Bend Health Facilities Development Corp., TX, 6.00%
(Series A), 11/15/2022 AAA 1,918,160
-----------------------------------------------------------------
625,000 Dallas-Fort Worth, TX, 7.625%, International Airport Facility
Corp. (Delta Air Lines Inc.), 11/1/2021 (Subject to AMT) BBB 629,787
-----------------------------------------------------------------
1,000,000 Dallas-Fort Worth, TX, 7.25%, International Airport Facilities
Revenue Bonds, 11/1/2030 Baa2 988,520
-----------------------------------------------------------------
</TABLE>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CREDIT
RATINGS:
PRINCIPAL MOODY'S
AMOUNT OR S&P* VALUE
<C> <S> <C> <C>
-------------- ----------------------------------------------------------------- -------------- -------------------
LONG-TERM MUNICIPAL SECURITIES--CONTINUED
---------------------------------------------------------------------------------
TEXAS--CONTINUED
-----------------------------------------------------------------
3,995,000 Leander, TX, Independent School District Capital Appreciation
Refunding, 0.01%, 8/15/2015 AAA 986,965
-----------------------------------------------------------------
750,000 Texas State, 11.235%, Department of Housing and Community Affairs
Refunding (Series C), 7/2/2024 (Subject to AMT) AAA 774,375
----------------------------------------------------------------- -------------------
Total 6,307,337
----------------------------------------------------------------- -------------------
UTAH--0.3%
-----------------------------------------------------------------
250,000 Bountiful, UT, 9.50% Hospital Revenue (South Davis
Community Hospital), 12/15/2018 NR 258,485
----------------------------------------------------------------- -------------------
WASHINGTON--0.6%
-----------------------------------------------------------------
425,000 Washington State, 7.10% Housing Finance Commission SFM (GNMA/FNMA
Insured), 7/1/2022 (Subject to AMT) AAA 435,276
----------------------------------------------------------------- -------------------
WEST VIRGINIA--2.5%
-----------------------------------------------------------------
500,000 Marshall County, WV, 6.85% OID PCR (Ohio Power Co.)/(Series C)
(Original Issue Yield: 6.89%), 6/1/2022 BBB+ 496,865
-----------------------------------------------------------------
$ 1,500,000 West Virginia State Hospital Finance Authority Revenue, 9.70%
(MBIA Insured) 1/1/2018 Aaa $ 1,429,635
----------------------------------------------------------------- -------------------
Total 1,926,500
----------------------------------------------------------------- -------------------
OTHER--0.1%
-----------------------------------------------------------------
100,000 Virgin Islands, 7.25% Public Finance Authority Revenue
Refunding (Series A), 10/1/2018 NR 107,446
----------------------------------------------------------------- -------------------
TOTAL LONG-TERM MUNICIPAL SECURITIES (IDENTIFIED COST,
$77,089,670) 76,332,784
----------------------------------------------------------------- -------------------
TOTAL INVESTMENTS (IDENTIFIED COST, $77,689,670) $ 76,932,784\
----------------------------------------------------------------- -------------------
</TABLE>
*Please refer to the Appendix of the Statement of Additional Information for an
explanation of the credit ratings.
\The cost of investments for federal tax purposes amounts to $77,689,670. The
net unrealized depreciation on a federal tax basis amounts to $756,886, which
is comprised of $1,378,500 appreciation and $2,135,386 depreciation at March
31, 1994.
Note: The categories of investments are shown as a percentage of net assets
($77,940,546) at March 31, 1994.
The following abbreviations are used throughout this portfolio:
AMT -- Alternative Minimum Tax
CTFs -- Certificates
FGIC -- Financial Guaranty Insurance Co.
FNMA -- Federal National Mortgage
Association
FSA -- Financial Security Assurance
GNMA -- Government National Mortgage
Association
HFA -- Housing Finance Authority
IDA -- Industrial Development Authority
MBIA -- Municipal Bond Investors
Assurance Corp.
OID -- Original Issue Discount
PCR -- Pollution Control Revenue
PFA -- Public Facilities Authority
SFM -- Single Family Mortgage
VRDNs -- Variable Rate Demand Notes
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
PORTFOLIO OF INVESTMENTS
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--11.8%
------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE--0.2%
--------------------------------------------------------------------------------
$ 100,000 Lockheed Corp., 6.75%, 3/15/2003 $ 94,457
-------------------------------------------------------------------------------- ---------------
BANKING--1.8%
--------------------------------------------------------------------------------
100,000 BankAmerica Corp., 7.875%, 12/1/2002 102,414
--------------------------------------------------------------------------------
250,000 Bank of Boston Corp., 6.625%, 2/l/2004 238,008
--------------------------------------------------------------------------------
50,000 Bank of Hawaii, Honolulu, 6.875%, 6/1/2003 47,872
--------------------------------------------------------------------------------
250,000 Chase Manhattan Corp., 7.75%, 11/1/99 257,795
--------------------------------------------------------------------------------
150,000 Norwest Corp., 6.00%, 3/15/2000 144,099
--------------------------------------------------------------------------------
250,000 Toronto Dominion Bank, Ontario, Canada, 6.125%, 11/1/2008 221,210
-------------------------------------------------------------------------------- ---------------
Total 1,011,398
-------------------------------------------------------------------------------- ---------------
CONSUMER--NON-DURABLES--1.7%
--------------------------------------------------------------------------------
250,000 Aluminum Co. of America, 5.75%, 2/1/2001 232,850
--------------------------------------------------------------------------------
250,000 Circus Circus Enterprises, 7.625%, 7/15/2013 234,828
--------------------------------------------------------------------------------
250,000 Gillette Co., 5.75%, 10/15/2005 221,365
--------------------------------------------------------------------------------
250,000 Time Warner Entertainment Co., 8.875%, 10/1/2012 254,102
-------------------------------------------------------------------------------- ---------------
Tota1 943,145
-------------------------------------------------------------------------------- ---------------
FINANCE--3.2%
--------------------------------------------------------------------------------
250,000 American General Finance Corp., 5.875%, 7/1/2000 237,610
--------------------------------------------------------------------------------
250,000 Associates Corp. of North America, 5.25%, 3/30/2000 229,410
--------------------------------------------------------------------------------
250,000 Chrysler Financial Corp., 6.625%, 8/15/2000 238,720
--------------------------------------------------------------------------------
250,000 Comerica, Inc., 7.125%, 12/1/2013 230,487
--------------------------------------------------------------------------------
100,000 Dean Witter, Discover & Co., 6.25%, 3/15/2000 96,084
--------------------------------------------------------------------------------
100,000 Ford Motor Credit Co., 8.875%, 6/15/99 108,611
--------------------------------------------------------------------------------
100,000 General Motors Acceptance Corp., 8.50%, 1/1/2003 102,289
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
CORPORATE BONDS--CONTINUED
------------------------------------------------------------------------------------------------
FINANCE--CONTINUED
--------------------------------------------------------------------------------
$ 250,000 Great Western Financial Corp., 6.375%, 7/1/2000 $ 237,548
--------------------------------------------------------------------------------
250,000 Home Savings of America, Irwindale, CA, 6.00%, 11/1/2000 232,627
-------------------------------------------------------------------------------- ---------------
Total 1,713,386
-------------------------------------------------------------------------------- ---------------
INSURANCE--0.5%
--------------------------------------------------------------------------------
100,000 Allstate Corp., 6.75%, 6/15/2003 95,486
--------------------------------------------------------------------------------
150,000 Continental Corp., 8.375%, 8/15/2012 151,359
-------------------------------------------------------------------------------- ---------------
Total 246,845
-------------------------------------------------------------------------------- ---------------
RETAIL STORES--0.7%
--------------------------------------------------------------------------------
175,000 Sears, Roebuck & Co., 9.25%, 4/15/98 189,983
--------------------------------------------------------------------------------
150,000 Wal-Mart Stores, 8.625%, 4/1/2001 163,898
-------------------------------------------------------------------------------- ---------------
Total 353,881
-------------------------------------------------------------------------------- ---------------
TELECOMMUNICATIONS--0.5%
--------------------------------------------------------------------------------
250,000 Times Mirror Co., 8.55%, 6/1/2000 270,410
-------------------------------------------------------------------------------- ---------------
UTILITIES--3.2%
--------------------------------------------------------------------------------
250,000 Coastal Corp., 8.125%, 9/15/2002 251,655
--------------------------------------------------------------------------------
200,000 Consolidated Edison Co., NY, 6.625%, 2/1/2002 193,946
--------------------------------------------------------------------------------
100,000 Duke Power Co., 7.00%, 6/1/2000 101,483
--------------------------------------------------------------------------------
250,000 Florida Power & Light Co., 5.375%, 4/1/2000 233,125
--------------------------------------------------------------------------------
100,000 Long Island Lighting Co., 7.05%, 3/15/2003 90,681
--------------------------------------------------------------------------------
250,000 Pacific Gas & Electric Co., 5.93%, 10/8/2003 227,208
--------------------------------------------------------------------------------
100,000 Philadelphia Electric Co., 7.50%, 1/15/99 102,959
--------------------------------------------------------------------------------
250,000 Southwestern Public Service Co., 6.875%, 12/1/99 252,800
--------------------------------------------------------------------------------
250,000 Union Electric Co., 6.75%, 10/15/99 249,135
-------------------------------------------------------------------------------- ---------------
Total 1,702,992
-------------------------------------------------------------------------------- ---------------
TOTAL CORPORATE BONDS (IDENTIFIED COST, $6,808,486) 6,336,514
-------------------------------------------------------------------------------- ---------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--64.5%
------------------------------------------------------------------------------------------------
AEROSPACE/DEFENSE--1.2%
--------------------------------------------------------------------------------
8,800 BE Aerospace, Inc.--Airline audio/video control system $ 83,600
--------------------------------------------------------------------------------
17,100 Sequa Corp.--Manufacturer of jet engine components 570,712
-------------------------------------------------------------------------------- ---------------
Total 654,312
-------------------------------------------------------------------------------- ---------------
BANKING--9.0%
--------------------------------------------------------------------------------
9,150 Bancorp Hawaii Inc.--Commercial Banking, Hawaii 274,500
--------------------------------------------------------------------------------
15,500 Bank of Boston Corp.--Commercial Banking, Massachusetts 368,125
--------------------------------------------------------------------------------
1,000 Bank of New Hampshire Corp.--Commercial Banking,
New Hampshire 17,500
--------------------------------------------------------------------------------
30,300 BankAmerica Corp.--Commercial Banking, California 1,193,063
--------------------------------------------------------------------------------
17,556 California Federal Bank--Savings & Loan, California 166,782
--------------------------------------------------------------------------------
1,700 Cenfed Financial Corp.--Savings & Loan, California 29,750
--------------------------------------------------------------------------------
9,300 Chase Manhattan Corp.--Commercial Banking, New York 301,087
--------------------------------------------------------------------------------
8,800 Coastal Savings Financial, Inc.--Savings & Loan, California 122,100
--------------------------------------------------------------------------------
5,500 Comerica, Inc.--Commercial Banking, Detroit, Michigan 139,562
--------------------------------------------------------------------------------
1,800 Continental Bank Corp.--Commercial Banking, Illinois 58,725
--------------------------------------------------------------------------------
11,700 CoreStates Financial Corp.--Commercial Banking,
Philadelphia, PA, NJ 304,200
--------------------------------------------------------------------------------
5,200 Deposit Guaranty Corp.--Commercial Banking, Mississippi 135,200
--------------------------------------------------------------------------------
8,800 First Security Corp.--Commercial Banking, UT, ID, OR 246,400
--------------------------------------------------------------------------------
2,000 First Union Corp.--Commercial Banking, NC, Southwest 83,250
--------------------------------------------------------------------------------
2,900 Firstfed Financial Corp.--Savings & Loan, California 39,513
--------------------------------------------------------------------------------
12,198 Glendale Federal Bank--Savings & Loan 67,089
--------------------------------------------------------------------------------
900 Golden West Financial Corp.--Savings & Loan, CA, CO, KS, TX 34,538
--------------------------------------------------------------------------------
5,100 KeyCorp.--Commercial Banking in 8 states 153,000
--------------------------------------------------------------------------------
3,300 Mellon Bank Corp.--Pittsburgh--based bank holding company 185,212
--------------------------------------------------------------------------------
4,300 Michigan National Corp.--Commercial Banking, Michigan 264,450
--------------------------------------------------------------------------------
2,500 PNC Bank Corp.--Commercial Banking, Pennsylvania, mid-Atlantic 66,563
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
BANKING--CONTINUED
--------------------------------------------------------------------------------
15,200 Union Bank of San Francisco, California--Commercial Banking,
California $ 414,200
--------------------------------------------------------------------------------
5,900 U.S. Bancorp--Commercial Banking, Oregon, Washington 148,975
-------------------------------------------------------------------------------- ---------------
Total 4,813,784
-------------------------------------------------------------------------------- ---------------
CHEMICAL--1.4%
--------------------------------------------------------------------------------
17,600 Georgia Gulf Corp.--Integrated chemical producer 446,600
--------------------------------------------------------------------------------
11,600 International Specialty Products--Manufacturer of special derivative chemicals 71,050
--------------------------------------------------------------------------------
800 Sterling Chemicals, Inc.--Manufacturer of petrochemicals 4,500
--------------------------------------------------------------------------------
9,600 WMX Technologies, Inc.--Solid/chemical waste management service 228,000
-------------------------------------------------------------------------------- ---------------
Total 750,150
-------------------------------------------------------------------------------- ---------------
CONSUMER--DURABLES--3.8%
--------------------------------------------------------------------------------
1,300 Ameron, Inc.--Manufacturer of concrete & steel pipes 51,025
--------------------------------------------------------------------------------
30,500 Black & Decker Corp.--Manufacturer of power tools/home products 625,250
--------------------------------------------------------------------------------
4,600 Eastman Kodak Co.--Photograph apparatus and chemicals 204,125
--------------------------------------------------------------------------------
4,800 Elsag Bailey Process Auto--Digital process control systems 114,600
--------------------------------------------------------------------------------
16,000 General Motors Corp.--Largest manufacturer of automotive parts 864,000
--------------------------------------------------------------------------------
9,300 Magnetek, Inc.--Manufacturer of diverse group electric products 133,687
--------------------------------------------------------------------------------
3,100 Owens-Illinois, Inc.--Manufacturer of glass/plastic packaging
products 34,488
--------------------------------------------------------------------------------
1,700 Salant Corp.--Manufacturer of slacks, jeans, outerwear 13,600
-------------------------------------------------------------------------------- ---------------
Total 2,040,775
-------------------------------------------------------------------------------- ---------------
CONSUMER --NON-DURABLES--3.2%
--------------------------------------------------------------------------------
7,900 Actava Group, Inc.--Consumer product, photo finishing 47,400
--------------------------------------------------------------------------------
800 Deluxe Corp.--Imprinted bank checks: forms 24,700
--------------------------------------------------------------------------------
7,600 Fleming Cos, Inc.--Wholesale food to affiliated stores 187,150
--------------------------------------------------------------------------------
12,400 Host Marriott Corp.--Owns, operates & franchises hotels 124,000
--------------------------------------------------------------------------------
10,500 Monk Austin Inc.--Leaf tobacco, purchase/process 175,875
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
CONSUMER --NON-DURABLES--CONTINUED
--------------------------------------------------------------------------------
19,000 Standard Commercial Corp.--Leaf tobacco, world market $ 296,875
--------------------------------------------------------------------------------
47,000 Universal Corp.--Leaf tobacco/building products 881,250
-------------------------------------------------------------------------------- ---------------
Total 1,737,250
-------------------------------------------------------------------------------- ---------------
DIVERSIFIED--1.5%
--------------------------------------------------------------------------------
19,200 Brascan Limited, Cl. A--Canadian investment management company 235,200
--------------------------------------------------------------------------------
2,600 CRSS, Inc.--Diversified design & construction company 28,600
--------------------------------------------------------------------------------
1,200 Loews Corp.--Insurance, tobacco, hotels 107,700
--------------------------------------------------------------------------------
6,700 NACCO Industries, Inc.--Forklifts, small appliances, coal mining 338,350
--------------------------------------------------------------------------------
5,700 Tredegar Industries Inc.--Plastics, aluminum & energy 82,650
-------------------------------------------------------------------------------- ---------------
Total 792,500
-------------------------------------------------------------------------------- ---------------
FINANCE--2.5%
--------------------------------------------------------------------------------
6,700 Alexander & Alexander Services--Insurance brokerage & agency 118,088
--------------------------------------------------------------------------------
7,800 American Express Co.--Travel & investment savings, insurance, banking 215,475
--------------------------------------------------------------------------------
5,300 Astoria Financial Corp.--Mortgage banking services 149,063
--------------------------------------------------------------------------------
8,300 Citizens Corp.--Insurance: personal property, casualty 141,100
--------------------------------------------------------------------------------
500 Federal National Mortgage Association--Provides residential
mortgage funds 38,875
--------------------------------------------------------------------------------
6,000 Green Point Financial Corp.--Mortgage banking services 111,000
--------------------------------------------------------------------------------
18,500 Margaretten Financial Corp.--Mortgage banking services 242,813
--------------------------------------------------------------------------------
2,100 J.P. Morgan & Co., Inc.--Wholesales banking services 131,512
--------------------------------------------------------------------------------
1,500 Student Loan Marketing Association--Student loan financing program 64,688
--------------------------------------------------------------------------------
7,800 Triad Guaranty, Inc.--Provides mortgage insurance 124,800
-------------------------------------------------------------------------------- ---------------
Total 1,337,414
-------------------------------------------------------------------------------- ---------------
FOOD & BEVERAGE--0.9%
--------------------------------------------------------------------------------
15,900 Interstate Bakeries Corp.--Largest independent U.S. baker 218,625
--------------------------------------------------------------------------------
15,200 Morningstar Group, Inc.--Manufacturer of refrigerated special food products 104,500
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
FOOD & BEVERAGE--CONTINUED
--------------------------------------------------------------------------------
3,100 Seagrams Ltd.--Large distiller $ 86,025
--------------------------------------------------------------------------------
5,000 Vicorp Restaurants, Inc.--Family style restaurants: franchise 83,750
-------------------------------------------------------------------------------- ---------------
Total 492,900
-------------------------------------------------------------------------------- ---------------
HEALTH TECHNOLOGY--1.3%
--------------------------------------------------------------------------------
2,700 Baxter International, Inc.--Manufacturer/distributor of hospital
& laboratory products 61,088
--------------------------------------------------------------------------------
900 Dedalb Genetics Corp.--Agricultural genetic R & D 29,700
--------------------------------------------------------------------------------
2,900 Dynatech Corp.--Communications & medical products, science
instruments 53,650
--------------------------------------------------------------------------------
22,000 Playtex Products, Inc.--Manufactures personal care products 222,750
--------------------------------------------------------------------------------
9,900 *Rhone Poulnec--Health care products 243,787
--------------------------------------------------------------------------------
4,800 Unilab Corp.--Operates clinical testing labs 24,600
--------------------------------------------------------------------------------
1,300 *Zeneca Group PLC--R & D pharmaceuticals 41,600
-------------------------------------------------------------------------------- ---------------
Total 677,175
-------------------------------------------------------------------------------- ---------------
INSURANCE--7.7%
--------------------------------------------------------------------------------
29,400 ACE Limited--Provides liability insurance 757,050
--------------------------------------------------------------------------------
900 Aetna Life & Casualty Co.--Provides insurance & financial services 47,812
--------------------------------------------------------------------------------
6,100 Allstate Corp.-Property liability and life insurance 146,400
--------------------------------------------------------------------------------
20,800 Capital Guaranty Corp.--Insurance holdings/ordinary/individual life 332,800
--------------------------------------------------------------------------------
4,500 CCP Insurance Inc.--Insurance: life/employee benefit 97,875
--------------------------------------------------------------------------------
6,700 Chubb Corp.--Property--casualty insurance 489,937
--------------------------------------------------------------------------------
8,900 CIGNA Corp.--Multi-line insurance holding corp. 528,438
--------------------------------------------------------------------------------
1,300 CNA Financial Corp.--Insurance holding company 83,850
--------------------------------------------------------------------------------
9,500 Enhance Financial Services Group--Muni/asset backed debt reinsurer 172,188
--------------------------------------------------------------------------------
8,900 EXEL Ltd.--Provides excess liability insurance 357,113
--------------------------------------------------------------------------------
2,100 Guaranty National Corp.--Property & casualty insurance 30,975
--------------------------------------------------------------------------------
2,700 Integon Corp.--Nonstandard auto insurance 52,313
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
INSURANCE--CONTINUED
--------------------------------------------------------------------------------
16,000 Old Republic International Corp.--Insurance: life, disability,
property, casualty $ 364,000
--------------------------------------------------------------------------------
1,900 Reinsurance Group of America, Inc.--Markets life reinsurance 44,888
--------------------------------------------------------------------------------
1,500 SAFECO Corp.--Holdings Co., fire & casualty insurance 79,313
--------------------------------------------------------------------------------
2,900 Security Connecticut Corp.--Insurance holding company 55,825
--------------------------------------------------------------------------------
11,700 Sphere Drake Holdings Ltd.--Property & casualty insurance 175,500
--------------------------------------------------------------------------------
1,875 Statesman Group--Insurance holdings corp. 20,625
--------------------------------------------------------------------------------
6,100 The Paul Revere Corp.--Disability insurance 140,300
--------------------------------------------------------------------------------
4,100 Unitrin, Inc.--Insurance holdings: life accident & health, property 165,025
-------------------------------------------------------------------------------- ---------------
Total 4,142,227
-------------------------------------------------------------------------------- ---------------
NON-ENERGY MINERALS--3.4%
--------------------------------------------------------------------------------
1,800 Alcan Aluminum Ltd.--Aluminum manufacturing/finished products 39,600
--------------------------------------------------------------------------------
23,000 Aluminum Co. of America--Leading U.S. producer of aluminum 1,647,375
--------------------------------------------------------------------------------
14,900 Kaiser Aluminum Corp.--Aluminum manufacturer of fabricated
products 135,963
-------------------------------------------------------------------------------- ---------------
Total 1,822,938
-------------------------------------------------------------------------------- ---------------
OIL & OIL FINANCE--6.6%
--------------------------------------------------------------------------------
2,600 Amerada Hess Corp.--Oil exploration, production, refining
& marketing 116,350
--------------------------------------------------------------------------------
900 Amoco Corp.--International oil company 47,813
--------------------------------------------------------------------------------
900 Atlantic Richfield Co.--Integrated oil enterprise 85,500
--------------------------------------------------------------------------------
2,900 Cabot Oil & Gas Corp.--Oil & gas explorer, development, production 56,550
--------------------------------------------------------------------------------
21,700 Gerrity Oil & Gas Corp.--Oil & gas development & production 203,437
--------------------------------------------------------------------------------
26,300 Gulf Canadian Resources Ltd.--Oil & gas explorer, development,
production 75,612
--------------------------------------------------------------------------------
13,200 Home Oil Ltd.--Oil & gas explorer, development, production 163,350
--------------------------------------------------------------------------------
2,200 Indresco, Inc.--Mining/refraction product equipment 29,700
--------------------------------------------------------------------------------
22,100 Lone Star Technologies, Inc.--Oil & gas product, savings bank 165,750
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
OIL & OIL FINANCE--CONTINUED
--------------------------------------------------------------------------------
51,000 Maxus Energy Corp.--Oil & gas exploration, development, production $ 223,125
--------------------------------------------------------------------------------
20,000 Mesa, Inc.--Oil & gas exploration, development, production 115,000
--------------------------------------------------------------------------------
15,000 Nabors Industries, Inc.--Contract drilling & services 99,375
--------------------------------------------------------------------------------
33,100 Noble Drilling--Contract drilling oil/gas wells 223,425
--------------------------------------------------------------------------------
27,500 *Norsk Hydro A.S.--Fertilizers: oil, gas, metals 855,937
--------------------------------------------------------------------------------
1,700 Nowsco Well Service Ltd.--Oil & gas drilling, production equipment 26,775
--------------------------------------------------------------------------------
2,600 Phillips Petroleum Co.--Domestic integrated oil 69,225
--------------------------------------------------------------------------------
41,900 Ranchmens Resources, Ltd.--Oil & gas exploration & development 155,191
--------------------------------------------------------------------------------
9,700 Santa Fe Energy Resources, Inc.--Oil & gas exploration, development, production 82,450
--------------------------------------------------------------------------------
17,400 Sonat Offshore Drilling Inc.--Offshore oil & gas drilling service 293,625
--------------------------------------------------------------------------------
6,100 Unocal Corp.--Holding: integrated domestic oil 154,025
--------------------------------------------------------------------------------
18,000 USX Marathon Group--Oil & gas exploration, development,
production 297,000
-------------------------------------------------------------------------------- ---------------
Total 3,539,215
-------------------------------------------------------------------------------- ---------------
PROCESS INDUSTRIES--7.3%
--------------------------------------------------------------------------------
3,800 AK Steel Holding Corp.--Integrated steel producer 89,300
--------------------------------------------------------------------------------
4,450 Alumax, Inc.--Produces & sells aluminum 107,356
--------------------------------------------------------------------------------
1,800 Beazer Homes USA, Inc.--Designs, builds & sells homes 27,450
--------------------------------------------------------------------------------
4,100 Boise Cascade Corp.--Leading manufacturer of forest products 93,275
--------------------------------------------------------------------------------
1,900 Companhia Vale Do Rio Doce--Mineral sales 55,649
--------------------------------------------------------------------------------
5,000 DSM NV--Manufacturer & marketer of plastics 84,322
--------------------------------------------------------------------------------
3,675 Eastman Chemical Co.--Produces plastic, chemicals & fiber products 147,919
--------------------------------------------------------------------------------
5,600 Georgia-Pacific Corp.--Plywood, lumber, paper 358,400
--------------------------------------------------------------------------------
1,000 Harnischfeger Industries, Inc.--Manufacturer of paper machine/mining equipment 21,000
--------------------------------------------------------------------------------
14,200 International Paper Co.--Manufacturer of paper, pulp & wood
products 967,375
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
PROCESS INDUSTRIES--CONTINUED
--------------------------------------------------------------------------------
2,700 Kimberly-Clark Corp.--Consumer paper products, newsprint $ 142,762
--------------------------------------------------------------------------------
3,300 Longview Fibre Co.--Logs, board, paper products 59,400
--------------------------------------------------------------------------------
4,000 Pechiney--Trade department of engineering products 291,685
--------------------------------------------------------------------------------
1,700 Penn Virginia Corp.--Natural Resources: Oil & gas investment 53,550
--------------------------------------------------------------------------------
2,400 Potlatch Corp.--Lumber, plywood, papers 100,500
--------------------------------------------------------------------------------
11,500 Raychem Corp.--Plastic & Elastomeric insulation 429,812
--------------------------------------------------------------------------------
900 Rouge Steel Co.--Manufactures sheet steel 19,350
--------------------------------------------------------------------------------
12,600 Temple Inland Inc.--Containers, paper, financial services 576,450
--------------------------------------------------------------------------------
6,300 Willamette Industries, Inc.--Manufacturer of wood & paper products 299,250
-------------------------------------------------------------------------------- ---------------
Total 3,924,805
-------------------------------------------------------------------------------- ---------------
PRODUCER MANUFACTURING--1.5%
--------------------------------------------------------------------------------
6,800 Cooper Industries, Inc.--Petroleum, industrial equipment/electric products 251,600
--------------------------------------------------------------------------------
27,700 Figgie International Holdings, Inc.--Manufactures industrial,
consumer & technical products 266,612
--------------------------------------------------------------------------------
2,000 Navistar International Corp., Inc.--Heavy & medium duty trucks 44,500
--------------------------------------------------------------------------------
2,500 Philips N.V.--World-wide manufacturer 67,500
--------------------------------------------------------------------------------
9,700 Welbilt Corp.--Manufactures commercial equipment 166,112
-------------------------------------------------------------------------------- ---------------
Total 796,324
-------------------------------------------------------------------------------- ---------------
REAL ESTATE--4.8%
--------------------------------------------------------------------------------
5,900 Catellus Development Corp.--Real estate development 37,612
--------------------------------------------------------------------------------
4,100 Chelsea GCA Realty Inc.--Real estate investment trust 114,288
--------------------------------------------------------------------------------
14,900 Colonial Properties Trust--Real estate investment trust 337,112
--------------------------------------------------------------------------------
10,400 Crown American Realty--Real estate 143,000
--------------------------------------------------------------------------------
16,600 Duke Realty Investments, Inc.--Real estate investment trust 398,400
--------------------------------------------------------------------------------
13,800 Gables Residential Trust--Real estate investment trust 326,025
--------------------------------------------------------------------------------
16,900 Holly Residential Properties Inc.--Real estate investment trust 291,525
--------------------------------------------------------------------------------
15,600 Koger Equity, Inc.--Development & construction of office buildings 103,350
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
REAL ESTATE--CONTINUED
--------------------------------------------------------------------------------
200 Shurgood Storage Centers--Self-storage industry; real estate
investment trust $ 4,400
--------------------------------------------------------------------------------
20,300 Storage Equities, Inc.--Real estate investment trust: mini-warehouse 291,812
--------------------------------------------------------------------------------
1,200 Storage USA, Inc.--Self-storage facilities 29,100
--------------------------------------------------------------------------------
1,400 Summit Properties Inc.--Real estate investment trust 28,000
--------------------------------------------------------------------------------
7,100 Sun Communities, Inc.--Operator of housing communities 159,750
--------------------------------------------------------------------------------
900 Tanger Factory Outlet Centers--Real estate investment trust 28,687
--------------------------------------------------------------------------------
13,900 Tucker Properties Corp.--Real estate investment trust 246,725
--------------------------------------------------------------------------------
5,000 United Mobile Homes, Inc.--Owns/operates mobile home parks 36,250
-------------------------------------------------------------------------------- ---------------
Total 2,576,036
-------------------------------------------------------------------------------- ---------------
RETAIL--1.1%
--------------------------------------------------------------------------------
950 Dart Group Corp.--Discount book & autoport 78,850
--------------------------------------------------------------------------------
1,600 Dillard Department Store, Inc.--Dept. stores in southwest U.S. 53,600
--------------------------------------------------------------------------------
7,900 National Convenience Store--Specialty convenience store 130,350
--------------------------------------------------------------------------------
3,400 Petroleum Heat & Power, Inc.--Retail distributor of heating & oil 29,325
--------------------------------------------------------------------------------
4,800 Phillips & Jacobs, Inc.--Distributor of printing equipment & supplies 58,200
--------------------------------------------------------------------------------
11,300 Prime Retail, Inc.--Develops & leases factory outlet centers 216,112
-------------------------------------------------------------------------------- ---------------
Total 566,437
-------------------------------------------------------------------------------- ---------------
TECHNOLOGY--2.9%
--------------------------------------------------------------------------------
60,812 *Automated Securities Holdings PLC--Sell & service electronic
security systems 205,241
--------------------------------------------------------------------------------
7,400 Borg-Warner Security Corp.--Provides protective services 124,875
--------------------------------------------------------------------------------
35,200 Concurrent Computer Corp.--Computer software 52,800
--------------------------------------------------------------------------------
16,900 Digital Equipment Corp.--Manufacturer of data processing equipment 498,550
--------------------------------------------------------------------------------
900 Honeywell Inc.--Computer/industrial control system 30,262
--------------------------------------------------------------------------------
4,600 Pinkertons, Inc.--Security/investigation services 92,575
--------------------------------------------------------------------------------
6,900 Policy Management Systems Corp.--Computer software for insurance companies 214,763
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
TECHNOLOGY--CONTINUED
--------------------------------------------------------------------------------
4,000 Tektronix Inc.--Manufacturer of electronic equipment $ 122,000
--------------------------------------------------------------------------------
5,800 York International Corp.--Manufacturer of climate control systems 210,250
-------------------------------------------------------------------------------- ---------------
Total 1,551,316
-------------------------------------------------------------------------------- ---------------
TELECOMMUNICATIONS--1.0%
--------------------------------------------------------------------------------
14,400 BCE, Inc.--Telecommunications services & equipment in Canada 520,200
--------------------------------------------------------------------------------
1,000 Comsat Comp.--Global telecommunications 26,125
-------------------------------------------------------------------------------- ---------------
Total 546,325
-------------------------------------------------------------------------------- ---------------
TRANSPORTATION--2.1%
--------------------------------------------------------------------------------
8,900 Alexander & Baldwin Inc.--Shipping, sugar, trucking 224,725
--------------------------------------------------------------------------------
45,600 BT Shipping Ltd.--Owns & operates tanker vessels 142,500
--------------------------------------------------------------------------------
8,200 Bergesen DYAS--Transportation/Marine 176,104
--------------------------------------------------------------------------------
6,900 Canadian Pacific Ltd.--Transportation/Natural Resources 108,644
--------------------------------------------------------------------------------
400 Conrail Inc.--Major freight railroad system 23,100
--------------------------------------------------------------------------------
30,300 Greyhound Lines Inc.--Nationwide bus transportation 314,362
--------------------------------------------------------------------------------
2,100 Motor Coach Industries Inc.--Designs & manufactures inter-city coaches 25,200
--------------------------------------------------------------------------------
16,800 OMI Corp.--Operates fleet of cargo ships 111,300
-------------------------------------------------------------------------------- ---------------
Total 1,125,935
-------------------------------------------------------------------------------- ---------------
UTILITIES--1.1%
--------------------------------------------------------------------------------
2,500 CMS Energy Corp.--Holdings: electric & gas in Michigan 56,250
--------------------------------------------------------------------------------
11,500 Central Maine Power Co.--Utility supplies, electricity 146,625
--------------------------------------------------------------------------------
5,800 Commonwealth Edison Co.--Utility--electric services for Chicago 145,725
--------------------------------------------------------------------------------
1,700 Pennsylvania Enterprises Inc.--Natural gas & water distributor 49,725
--------------------------------------------------------------------------------
11,000 SIP--Provides telephone service throughout Italy 32,711
--------------------------------------------------------------------------------
8,600 Washington Energy Co.--Natural gas distributor 139,750
-------------------------------------------------------------------------------- ---------------
Tota1 570,786
-------------------------------------------------------------------------------- ---------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
COMMON STOCKS--CONTINUED
------------------------------------------------------------------------------------------------
MISCELLANEOUS--0.2%
--------------------------------------------------------------------------------
2,400 Unidanmark--Commercial banking, Denmark $ 80,100
-------------------------------------------------------------------------------- ---------------
TOTAL COMMON STOCKS (IDENTIFIED COST, $35,415,011) 34,538,704
-------------------------------------------------------------------------------- ---------------
WARRANTS--0.0%
------------------------------------------------------------------------------------------------
BANKING--0.0%
--------------------------------------------------------------------------------
5,178 Glendale Federal Bank--Savings & Loan 7,767
-------------------------------------------------------------------------------- ---------------
PREFERRED STOCKS--2.0%
------------------------------------------------------------------------------------------------
BANKING--0.7%
--------------------------------------------------------------------------------
18,700 Glendale Federal Bank--Savings & Loan 395,038
-------------------------------------------------------------------------------- ---------------
HOLDING CO.--0.0%
--------------------------------------------------------------------------------
500 AMR Corp.--Holdings Corp.--American Airlines 21,644
-------------------------------------------------------------------------------- ---------------
PRODUCER MANUFACTURING--0.6%
--------------------------------------------------------------------------------
8,000 Boise Cascade Corp.--Leading manufacturer of forest products 182,000
--------------------------------------------------------------------------------
20,000 Gulf Canada Resources--Explores/produces oil & gas 39,748
--------------------------------------------------------------------------------
1,500 Reynolds Metals--Worldwide manufacturer of aluminum 73,500
-------------------------------------------------------------------------------- ---------------
Total 295,248
-------------------------------------------------------------------------------- ---------------
TRANSPORTATION--0.7%
--------------------------------------------------------------------------------
4,200 UAL Corp.--Holdings--United Airlines 371,700
-------------------------------------------------------------------------------- ---------------
TOTAL PREFERRED STOCKS (IDENTIFIED COST, $1,215,242) 1,083,630
-------------------------------------------------------------------------------- ---------------
U.S. GOVERNMENT AGENCY--5.3%
------------------------------------------------------------------------------------------------
$ 487,611 Government National Mortgage Association, 6.50%, 10/15/2023 448,602
--------------------------------------------------------------------------------
2,494,488 Government National Mortgage Association, 7.00%, 1/1/2099 2,379,118
-------------------------------------------------------------------------------- ---------------
TOTAL U.S. GOVERNMENT AGENCY (IDENTIFIED COST, $3,140,168) 2,827,720
-------------------------------------------------------------------------------- ---------------
U.S. TREASURY OBLIGATIONS--14.2%
------------------------------------------------------------------------------------------------
3,000,000 U.S. Treasury Notes, 4.75%, 9/30/98 2,840,385
--------------------------------------------------------------------------------
3,000,000 U.S. Treasury Notes, 5.75%, 8/15/2003 2,785,980
--------------------------------------------------------------------------------
</TABLE>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<C> <S> <C>
-------------- -------------------------------------------------------------------------------- ---------------
U.S. TREASURY OBLIGATIONS--CONTINUED
------------------------------------------------------------------------------------------------
$ 2,000,000 U.S. Treasury Bonds, 7.25%, 5/15/2016 $ 1,998,380
-------------------------------------------------------------------------------- ---------------
TOTAL U.S. TREASURY OBLIGATIONS (IDENTIFIED COST, $8,105,000) 7,624,745
-------------------------------------------------------------------------------- ---------------
**REPURCHASE AGREEMENTS--3.2%
------------------------------------------------------------------------------------------------
378,000 State Street Bank & Trust Co., 2.75%, dated 3/31/94, due 4/4/94 378,000
--------------------------------------------------------------------------------
1,326,000 UBS, 3.45%, dated 3/31/94, due 4/4/94 1,326,000
-------------------------------------------------------------------------------- ---------------
TOTAL REPURCHASE AGREEMENTS (AT AMORTIZED COST) (NOTE 2B) 1,704,000
-------------------------------------------------------------------------------- ---------------
TOTAL INVESTMENTS (IDENTIFIED COST, $56,387,907) $ 54,123,080\
-------------------------------------------------------------------------------- ---------------
</TABLE>
*ADR--American Depositary Receipts
**The repurchase agreements are fully collateralized by U.S. government and/or
agency obligations based on market prices at the date of the portfolio.
\The cost of investments for federal tax purposes amounts to $56,387,907. The
net unrealized depreciation of investments on a federal tax basis amounts to
$2,264,827, which is comprised of $1,372,357 appreciation and $3,637,184
depreciation at March 31, 1994.
Note: The categories of investments are shown as a percentage of net assets of
($53,513,726) at March 31, 1994.
(See Notes which are integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST
STATEMENT OF ASSETS AND LIABILITIES
MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE CAMBRIDGE CAMBRIDGE CAMBRIDGE
CAMBRIDGE CAPITAL GOVERNMENT MUNICIPAL INCOME AND CAMBRIDGE
GROWTH GROWTH INCOME INCOME GROWTH GLOBAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
----------- ----------- ------------ ----------- ----------- -----------
ASSETS:
-----------------------------------------
Investments, at amortized cost and value
(Notes 2A and 2B)\ $51,699,314 $60,162,494 $182,535,274 $76,932,784 $54,123,080 $ --
-----------------------------------------
Cash 87,354 693,384 -- 72,316 263 462,515
-----------------------------------------
Receivable for investments sold 703,680 9,627,001 47,922,608 -- 321,920 --
-----------------------------------------
Receivable for Portfolio shares sold 185,646 192,902 81,933 105,735 526,825 4,094,408
-----------------------------------------
Dividends and interest receivable 42,112 85,297 1,311,391 1,406,609 303,416 --
-----------------------------------------
Receivable from Administrator (Note 5) -- -- 1,678 -- 10,510 --
-----------------------------------------
Deferred expenses (Note 2H) 10,135 31,831 35,681 16,936 340 --
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Total assets 52,728,241 70,792,909 231,888,565 78,534,380 55,286,354 4,556,923
-----------------------------------------
LIABILITIES:
-----------------------------------------
Payable for investments purchased 309,202 839,737 96,971,586 -- 1,396,427 --
-----------------------------------------
Payable for Portfolio shares
repurchased 509,432 616,646 1,339,178 307,490 318,208 --
-----------------------------------------
Dividends payable -- -- 335,207 213,885 -- --
-----------------------------------------
Payable to Administrator (Note 5) -- 2,921 -- -- -- --
-----------------------------------------
Accrued expenses and other liabilities 53,488 -- 54,415 72,459 57,993 --
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Total liabilities 872,122 1,459,304 98,700,386 593,834 1,772,628 --
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS CONSIST OF:
-----------------------------------------
Paid in capital $50,077,110 $68,127,102 $145,710,778 $78,982,021 $54,249,678 $4,556,923
-----------------------------------------
Unrealized appreciation (depreciation) of
investments 2,492,289 (441,419) (4,265,996) (756,886) (2,264,827) --
-----------------------------------------
Accumulated net realized gain (loss) on
investments (394,089) 1,808,515 (8,138,281) (138,091) 1,509,659 --
-----------------------------------------
Undistributed net investment income -- -- -- -- 19,216 --
-----------------------------------------
Accumulated distributions in excess of
net
investment income -- (160,593) (118,322) (146,498) -- --
-----------------------------------------
Net investment loss (319,191) -- -- -- -- --
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
NET ASSETS $51,856,119 $69,333,605 $133,188,179 $77,940,546 $53,513,726 $4,556,923
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
NET ASSET VALUE PER SHARE
(NET ASSETS/SHARES OUTSTANDING):
Class A Shares $15.21 $14.51 $13.21 $14.64 $14.68 $14.17
-----------------------------------------
Class B Shares $15.12 $14.47 $13.22 $14.66 $14.70 $14.17
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
OFFERING PRICE PER SHARE:
Class A Shares $16.10* $15.35* $13.87** $15.37** $15.53 * $14.99 *
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
REDEMPTION PROCEEDS PER SHARE:***
Class A Shares $15.06 $14.36 $13.08 $14.49 $14.53 $14.03
-----------------------------------------
Class B Shares $14.97 $14.33 $13.09 $14.51 $14.55 $14.03
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
SHARES OUTSTANDING:
Class A Shares 1,139,103 1,665,884 2,674,136 1,811,721 1,040,884 211,880
-----------------------------------------
Class B Shares 2,283,900 3,121,811 7,400,902 3,507,445 2,600,497 109,601
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Total shares outstanding 3,423,003 4,787,695 10,075,038 5,319,166 3,641,381 321,481
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
\ Investments, at cost $49,207,025 $60,603,913 $186,801,270 $77,689,670 $56,387,907 --
----------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
</TABLE>
* Computation of offering price: 100/94.5 of net asset value.
** Computation of offering price: 100/95.25 of net asset value.
*** Computation of redemption proceeds: 99/100 of net asset value.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST
STATEMENT OF OPERATIONS
SIX MONTHS ENDED MARCH 31, 1994
(UNAUDITED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE CAMBRIDGE CAMBRIDGE CAMBRIDGE
CAMBRIDGE CAPITAL GOVERNMENT MUNICIPAL INCOME AND CAMBRIDGE
GROWTH GROWTH INCOME INCOME GROWTH GLOBAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO**
<S> <C> <C> <C> <C> <C> <C>
----------- ----------- ------------ ----------- ----------- -----------
INVESTMENT INCOME:
--------------------------------------
Interest income $ 48,400 $ 216,060 $ 6,186,525* $ 2,601,916 $ 439,980 $ --
--------------------------------------
Dividend income 238,530 522,780 -- -- 321,724 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Total income (Note 2C) 286,930 738,840 6,186,525 2,601,916 761,704 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
EXPENSES:
--------------------------------------
Investment advisory fee (Note 5) 220,627 324,280 478,494 244,122 156,447 282
--------------------------------------
Trustees' fees 1,990 3,646 6,884 3,040 -- --
--------------------------------------
Administrative personnel and services
fees (Note 5) 38,722 69,854 99,681 66,751 26,074 --
--------------------------------------
Custodian 39,864 29,489 51,728 39,058 60,199 --
--------------------------------------
Transfer and dividend disbursing agent
fees (Note 5) 70,647 91,597 114,240 40,737 36,032 --
--------------------------------------
Legal fees 3,631 2,693 7,952 5,432 638 --
--------------------------------------
Auditing fees 4,073 1,748 6,260 5,370 2,712 --
--------------------------------------
Printing and postage 12,104 11,598 34,255 14,124 5,423 --
--------------------------------------
Shareholder services fees (Note 5) 68,946 101,281 199,372 101,717 52,149 --
--------------------------------------
Distribution services fees (Note 5) 135,315 196,816 292,968 131,420 109,244 --
--------------------------------------
Portfolio share registration costs 16,825 18,452 18,448 19,731 15,856 --
--------------------------------------
Insurance premiums 1,695 1,223 1,668 1,901 1,460 --
--------------------------------------
Miscellaneous 5,471 7,384 6,652 5,700 1,031 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Total expenses 619,910 860,061 1,318,602 679,103 467,265 282
--------------------------------------
Deduct--
--------------------------------------
Waiver of investment advisory fee
(Note 5) -- -- -- 61,117 -- 282
--------------------------------------
Waiver of administrative personnel and
services fees (Note 5) 13,789 19,790 15,949 20,343 10,430 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Net expenses 606,121 840,271 1,302,653 597,643 456,835 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Net investment income (loss) (319,191) (101,431) 4,883,872 2,004,273 304,869 --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
REALIZED AND UNREALIZED GAIN/(LOSS) ON
INVESTMENTS:
--------------------------------------
Net realized gain/(loss) on
investments 1,793,836 1,758,842 (4,537,888) (34,858) 1,925,558 --
--------------------------------------
Change in unrealized appreciation
(depreciation) on investments (6,364,987) (4,532,316) (4,913,885) (6,856,282) (2,770,071) --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Net realized and unrealized
gain/(loss) on investments (4,571,151) (2,773,474) (9,451,773) (6,891,140) (844,513) --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
Change in net assets from
operations $(4,890,342) $(2,874,905) $(4,567,901) $(4,886,867) $ (539,644) $ --
-------------------------------------- ----------- ----------- ------------ ----------- ----------- -----------
</TABLE>
* Net of interest expense ($77,581).
** Reflects operations from March 30, 1994 (date of initial public investment)
to March 31, 1994 (unaudited).
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE CAMBRIDGE
CAMBRIDGE CAPITAL GROWTH GOVERNMENT INCOME
GROWTH PORTFOLIO PORTFOLIO PORTFOLIO
YEAR ENDED SEPTEMBER 30, 1994* 1993 1994* 1993 1994* 1993
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET
ASSETS:
--------------------------------
Operations--
--------------------------------
Net investment income (loss) $ (319,191) $ (370,213) $ (101,431) $ 362,476 $ 4,883,872 $ 10,265,188
--------------------------------
Net realized gain (loss) on
investments 1,793,836 (1,548,366) 1,758,842 1,367,380 (4,537,888) (3,077,078)
--------------------------------
Change in unrealized
appreciation (depreciation) on
investments (6,364,987) 8,221,415 (4,532,316) 3,040,826 (4,913,885) (60,842)
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
Change in net assets from
operations (4,890,342) 6,302,836 (2,874,905) 4,770,682 (4,567,901) 7,127,268
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS
(NOTE 3):
--------------------------------
Distributions to shareholders
from net investment income:
--------------------------------
Class A -- -- (87,466)** (204,040) (1,298,462) (3,306,334)
--------------------------------
Class B -- -- -- (94,762) (3,266,176) (6,958,854)
--------------------------------
Distributions in excess of net
investment income:
--------------------------------
Class A -- (22,462) -- -- -- (146,203)
--------------------------------
Class B -- -- -- (35,370) -- (301,354)
--------------------------------
Distributions to shareholders
from net realized gain on
investment transactions:
--------------------------------
Class A -- -- (241,102) -- -- --
--------------------------------
Class B -- -- (445,582) -- -- --
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
Change in net assets from
distributions to shareholders -- (22,462) (774,150) (334,172) (4,564,638) (10,712,745)
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
PORTFOLIO SHARE (PRINCIPAL)
TRANSACTIONS (NOTE 4):
--------------------------------
Net proceeds from sale of shares 11,624,487 30,595,316 6,369,897 47,948,857 10,458,209 103,828,094
--------------------------------
Net asset value of shares issued
to shareholders electing to
receive
payment of dividends in
Portfolio shares -- 22,029 755,452 324,735 2,981,955 6,788,193
--------------------------------
Cost of shares redeemed (9,655,370) (7,411,912) (22,532,713) (10,651,945) (46,245,686) (34,305,532)
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
Change in net assets from
Portfolio share transactions 1,969,117 23,205,433 (15,407,364) 37,621,647 (32,805,522) 76,310,755
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
Change in net assets (2,921,225) 29,485,807 (19,056,419) 42,058,157 (41,938,061) 72,725,278
--------------------------------
NET ASSETS:
--------------------------------
Beginning of period 54,777,344 25,291,537 88,390,024 46,331,867 175,126,240 102,400,962
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
End of period $51,856,119 $54,777,344 $ 69,333,605 $ 88,390,024 $133,188,179 $175,126,240
-------------------------------- ----------- ----------- ------------ ------------ ------------ ------------
</TABLE>
* For the six months ended March 31, 1994 (unaudited).
** Distributions paid to Class A shareholders were comprised of prior year Class
A undistributed net investment income, in addition to current period Class A
net investment income. Class B shares of Cambridge Capital Growth Portfolio
were in a net investment loss position for the six months ended March 31,
1994.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE CAMBRIDGE CAMBRIDGE
MUNICIPAL INCOME INCOME AND GLOBAL
PORTFOLIO GROWTH PORTFOLIO PORTFOLIO
YEAR ENDED SEPTEMBER 30, 1994* 1993 1994* 1993*** 1994**
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
-------------------------------------------------
Operations--
-------------------------------------------------
Net investment income (loss) $ 2,004,273 $ 3,527,864 $ 304,869 $ 114,097 $ --
-------------------------------------------------
Net realized gain (loss) on investment
transactions (34,858) 435,238 1,925,558 258,659 --
-------------------------------------------------
Change in unrealized appreciation (depreciation)
of investments (6,856,282) 5,587,476 (2,770,071) 505,244 --
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Change in net assets resulting from
operations (4,886,867) 9,550,578 (539,644) 878,000
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS (NOTE 3):
-------------------------------------------------
Distributions to shareholders from net investment
income:
-------------------------------------------------
Class A (757,634) (1,450,546) (122,647) (50,722) --
-------------------------------------------------
Class B (1,245,386) (2,077,318) (170,538) (55,843) --
-------------------------------------------------
Distributions in excess of net investment income:
-------------------------------------------------
Class A (38) (57,691) -- -- --
-------------------------------------------------
Class B -- (90,022) -- -- --
-------------------------------------------------
Distributions to shareholders from net realized
gain on investment transactions:
-------------------------------------------------
Class A (189,110) (3,927) (204,420) -- --
-------------------------------------------------
Class B (339,629) (5,805) (470,138) -- --
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Change in net assets from distributions to
shareholders (2,531,797) (3,685,309) (967,743) (106,565) --
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
PORTFOLIO SHARE (PRINCIPAL) TRANSACTIONS (NOTE 4):
-------------------------------------------------
Net proceeds from sale of shares 11,132,592 39,212,917 28,459,548 27,786,270 4,556,923
-------------------------------------------------
Net asset value of shares issued to shareholders
electing to receive payment of dividends in
Portfolio shares 1,681,030 1,918,307 927,323 98,283 --
-------------------------------------------------
Cost of shares redeemed (7,675,499) (9,841,523) (2,342,051) (679,695) --
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Change in net assets from Portfolio share
transactions 5,138,123 31,289,701 27,044,820 27,204,858 4,556,923
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
Change in net assets (2,280,541) 37,154,970 25,537,433 27,976,293 4,556,923
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
NET ASSETS:
-------------------------------------------------
Beginning of period 80,221,087 43,066,117 27,976,293 -- --
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
End of period $77,940,546 $80,221,087 $53,513,726 $27,976,293 $4,556,923
------------------------------------------------- ----------- ----------- ----------- ----------- -----------
</TABLE>
* For the six months ended March 31, 1994 (unaudited).
** For the period from March 30, 1994 (date of initial public investment), to
March 31, 1994.
*** For the period from May 24, 1993 (date of initial public investment) to
September 30, 1993.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST--
FINANCIAL HIGHLIGHTS
CLASS A SHARES
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CAMBRIDGE
CAMBRIDGE CAMBRIDGE CAPITAL GOVERNMENT
GROWTH PORTFOLIO GROWTH PORTFOLIO INCOME PORTFOLIO
--------------------------------- --------------------------------- ----------------------
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1994** 1993 1992* 1994** 1993 1992* 1994** 1993
------------------------------------ ------- -------- -------- ---------- ---------- ---------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD $ 16.69 $ 14.14 $ 14.18 $ 15.26 $ 14.21 $ 14.18 $ 14.04 $ 14.39
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS
-----------------------------------
Net investment income (loss) (0.06) (0.07) 0.03 0.02 0.14 0.08 0.42 1.06
-----------------------------------
Net realized and unrealized gain
(loss) on investments (1.42) 2.65 (0.07) (0.59) 1.02 0.03 (0.83) (0.31)
----------------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
Total from investment operations (1.48) 2.58 (0.04) (0.57) 1.16 0.11 (0.41) 0.75
----------------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
LESS DISTRIBUTIONS
-----------------------------------
Dividends from income -- -- -- (0.05)(d) (0.11) (0.08) (0.42) (1.06)
-----------------------------------
Distributions from capital gains -- -- -- (0.13) -- -- -- --
-----------------------------------
Distributions in excess of net
investment income -- (0.03)(c) -- -- -- -- -- (0.04)(c)
----------------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
NET ASSET VALUE PER SHARE, END OF
PERIOD $ 15.21 $ 16.69 $ 14.14 $ 14.51 $ 15.26 $ 14.21 $ 13.21 $ 14.04
----------------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
TOTAL RETURN\ (8.87)% 18.23% (0.28)% (3.82)% 8.21% 0.78% (2.94)% 5.41%
-----------------------------------
RATIOS TO AVERAGE NET ASSETS
-----------------------------------
Expenses 1.71%(a) 1.66% 1.33%(a) 1.59%(a) 1.49% 1.14%(a) 1.27%(a) 1.04%
-----------------------------------
Net investment income (loss) (0.66)%(a) (0.49)% 0.59%(a) 0.23%(a) 0.96% 1.54%(a) 6.50%(a) 7.31%
-----------------------------------
Expense adjustment (b) 0.05%(a) 0.12% 0.39%(a) 0.05%(a) 0.10% 0.29%(a) 0.02%(a) 0.18%
-----------------------------------
SUPPLEMENTAL DATA
-----------------------------------
Net assets, end of period (000
omitted) $17,326 $19,708 $11,464 $24,166 $31,360 $20,864 $35,318 $47,780
-----------------------------------
Portfolio turnover rate 107% 137% 26% 86 % 192% 61% 247% 102%
-----------------------------------
<CAPTION>
<S> <C>
1992*
-----------------------------------
<S> <C>
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD $ 14.30
-----------------------------------
INCOME FROM INVESTMENT OPERATIONS
-----------------------------------
Net investment income (loss) 0.44
-----------------------------------
Net realized and unrealized gain
(loss) on investments 0.09
----------------------------------- ---------
Total from investment operations 0.53
----------------------------------- ---------
LESS DISTRIBUTIONS
-----------------------------------
Dividends from income (0.44)
-----------------------------------
Distributions from capital gains --
-----------------------------------
Distributions in excess of net
investment income --
----------------------------------- ---------
NET ASSET VALUE PER SHARE, END OF
PERIOD $ 14.39
----------------------------------- ---------
TOTAL RETURN\ 3.37%
-----------------------------------
RATIOS TO AVERAGE NET ASSETS
-----------------------------------
Expenses 0.36%(a)
-----------------------------------
Net investment income (loss) 8.00%(a)
-----------------------------------
Expense adjustment (b) 0.85%(a)
-----------------------------------
SUPPLEMENTAL DATA
-----------------------------------
Net assets, end of period (000
omitted) $36,740
-----------------------------------
Portfolio turnover rate 9%
-----------------------------------
</TABLE>
* Reflects operations for the period from April 29, 1992 (date of initial
public investment) to September 30, 1992.
** For the six months ended March 31, 1994 (unaudited).
\ Based on net asset value which does not include the sales load or contingent
deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 5).
(c) These distributions did not represent a return of capital for federal
income tax purposes for the year ended September 30, 1993.
(d) Distributions paid to Class A shareholders were comprised of prior year
Class A undistributed net investment income, in addition to current period
Class A net investment income.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST--
FINANCIAL HIGHLIGHTS
CLASS A SHARES
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CAMBRIDGE
CAMBRIDGE INCOME AND CAMBRIDGE
MUNICIPAL INCOME GROWTH PORTFOLIO GLOBAL
PORTFOLIO PORTFOLIO
------------------------------- ---------------------- ---------------
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1994**** 1993 1992* 1994**** 1993** 1994***
----------------------------------------------------- -------- ------ -------- ---------- --------- ----------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD $ 16.05 $ 14.76 $ 14.29 $ 14.88 $ 14.14 $ 14.18
-----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
-----------------------------------------------------
Net investment income (loss) 0.41 0.92 0.32 0.14 0.09 --
-----------------------------------------------------
Net realized and unrealized gain (loss) on
investments (1.31) 1.32 0.47 0.07 0.73 (0.01)
----------------------------------------------------- --------- --------- --------- --------- ----------- ---------------
Total from investment operations (0.90) 2.24 0.79 0.21 0.82 (0.01)
----------------------------------------------------- --------- --------- --------- --------- ----------- ---------------
LESS DISTRIBUTIONS
-----------------------------------------------------
Dividends from income (0.41) (0.92) (0.32) (0.14) (0.08) --
-----------------------------------------------------
Distributions from capital gains (0.10) -- -- (0.27) -- --
-----------------------------------------------------
Distributions in excess of net investment income -- (0.03)(c) -- -- -- --
----------------------------------------------------- --------- --------- --------- --------- ----------- ---------------
NET ASSET VALUE PER SHARE, END OF PERIOD $ 14.64 $ 16.05 $ 14.76 $ 14.68 $ 14.88 $ 14.17
----------------------------------------------------- --------- --------- --------- --------- ----------- ---------------
TOTAL RETURN\ (5.75)% 16.00% 5.34% 1.31% 5.54% (0.07)%
-----------------------------------------------------
RATIOS TO AVERAGE NET ASSETS
-----------------------------------------------------
Expenses 1.14%(a) 0.71% 0.00%(a) 1.64%(a) 1.56%(a) 0.00%
-----------------------------------------------------
Net investment income (loss) 5.26%(a) 5.92% 6.21%(a) 1.98%(a) 2.35%(a) 0.00%
-----------------------------------------------------
Expense adjustment (b) 0.20%(a) 0.68% 1.26%(a) 0.05%(a) 0.38%(a) 1.10%
-----------------------------------------------------
SUPPLEMENTAL DATA
-----------------------------------------------------
Net assets, end of period (000 omitted) $26,529 $29,245 $18,801 $15,285 $9,849 $3,003
-----------------------------------------------------
Portfolio turnover rate 58% 88% 0% 43% 13% 0%
-----------------------------------------------------
</TABLE>
* Reflects operations for the period from April 29, 1992 (date of initial
public investment), to September 30, 1992.
** Reflects operations for the period from May 24, 1993 (date of initial public
investment), to September 30, 1993.
*** Reflects operations for the period from March 30, 1994 (date of initial
public investment), to March 31, 1994 (unaudited).
**** For the six months ended March 31, 1994 (unaudited).
\ Based on net asset value which does not include the sales load or contingent
deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above
(Note 5).
(c) These distributions did not represent a return of capital for federal
income tax purposes for the year ended September 30, 1993.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST--
FINANCIAL HIGHLIGHTS
CLASS B SHARES
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CAMBRIDGE CAMBRIDGE CAPITAL CAMBRIDGE GOVERNMENT
GROWTH PORTFOLIO GROWTH PORTFOLIO INCOME PORTFOLIO
<S> <C> <C> <C> <C> <C> <C> <C> <C>
--------------------------------- --------------------------------- ----------------------
<CAPTION>
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1994** 1993 1992* 1994** 1993 1992* 1994** 1993
---------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD $16.59 $14.14 $14.18 $15.23 $14.22 $14.18 $14.06 $14.40
---------------------------
INCOME FROM INVESTMENT
OPERATIONS
---------------------------
Net investment income
(loss) (0.10) (0.14) (0.01) (0.04) 0.05 0.46 0.42 0.99
---------------------------
Net realized and
unrealized gain (loss) on
investments (1.37) 2.59 (0.03) (0.59) 1.02 0.04 (0.88) (0.31)
--------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
Total from investment
operations (1.47) 2.45 (0.04) (0.63) 1.07 0.50 (0.46) 0.68
--------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
LESS DISTRIBUTIONS
---------------------------
Dividends from income -- -- -- -- (0.05) (0.46) (0.38) (0.99)
---------------------------
Distributions from
capital gains -- -- -- (0.13) -- -- -- --
---------------------------
Distributions in excess
of net investment income -- -- -- -- (0.01)(c) -- -- (0.03)(c)
--------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
NET ASSET VALUE PER SHARE,
END OF PERIOD $15.12 $16.59 $14.14 $14.47 $15.23 $14.22 $13.22 $14.06
--------------------------- ----------- --------- --------- ----------- --------- --------- ----------- ---------
TOTAL RETURN\ (8.92)% 17.33% (0.28)% (4.19)% 7.52% 0.61% (3.19)% 4.86%
---------------------------
RATIOS TO AVERAGE NET
ASSETS
---------------------------
Expenses 2.46%(a) 2.41% 2.07%(a) 2.34%(a) 2.24% 1.86%(a) 1.77%(a) 1.54%
---------------------------
Net investment income
(loss) (1.41)%(a) (1.24)% (0.17)%(a) (0.52)%(a) 0.21% 0.83%(a) 6.00%(a) 6.81%
---------------------------
Expense adjustment (b) 0.05%(a) 0.12% 0.40%(a) 0.05%(a) 0.10% 0.30%(a) 0.02%(a) 0.18%
---------------------------
SUPPLEMENTAL DATA
---------------------------
Net assets, end of period
(000 omitted) $34,530 $35,069 $13,828 $45,168 $57,030 $25,468 $97,870 $127,346
---------------------------
Portfolio turnover rate 107% 137% 26% 86% 192% 61% 247% 102%
---------------------------
<CAPTION>
<S> <C>
1992*
---------------------------
<S> <C>
NET ASSET VALUE PER SHARE,
BEGINNING OF PERIOD $ 14.30
---------------------------
INCOME FROM INVESTMENT
OPERATIONS
---------------------------
Net investment income
(loss) 0.41
---------------------------
Net realized and
unrealized gain (loss) on
investments 0.10
--------------------------- -----------
Total from investment
operations 0.51
--------------------------- -----------
LESS DISTRIBUTIONS
---------------------------
Dividends from income (0.41)
---------------------------
Distributions from
capital gains --
---------------------------
Distributions in excess
of net investment income
--------------------------- -----------
NET ASSET VALUE PER SHARE,
END OF PERIOD $ 14.40
--------------------------- -----------
TOTAL RETURN\ 3.24%
---------------------------
RATIOS TO AVERAGE NET
ASSETS
---------------------------
Expenses 0.83%(a)
---------------------------
Net investment income
(loss) 7.53%(a)
---------------------------
Expense adjustment (b) 0.84%(a)
---------------------------
SUPPLEMENTAL DATA
---------------------------
Net assets, end of period
(000 omitted) $65,661
---------------------------
Portfolio turnover rate 9%
---------------------------
</TABLE>
* Reflects operations for the period from April 29, 1992 (date of initial
public investment), to September 30, 1992.
** For the six months ended March 31, 1994 (unaudited).
\ Based on net asset value which does not include the sales load or contingent
deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 5).
(c) These distributions did not represent a return of capital for federal
income tax purposes for the year ended September 30, 1993.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST--
FINANCIAL HIGHLIGHTS
CLASS B SHARES
--------------------------------------------------------------------------------
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CAMBRIDGE
CAMBRIDGE INCOME AND CAMBRIDGE
MUNICIPAL GROWTH GLOBAL
INCOME PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
------------------------------- -------------------- --------------
<CAPTION>
SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30,
1994*** 1993 1992* 1994*** 1993** 1994****
----------------------------------------------
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD $16.06 $14.78 $14.29 $14.91 $14.14 $14.18
----------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
----------------------------------------------
Net investment income (loss) 0.37 0.82 0.29 0.08 0.05 --
----------------------------------------------
Net realized and unrealized gain (loss) on
investments (1.30) 1.32 0.49 0.06 0.77 (0.01)
---------------------------------------------- --------- --------- --------- --------- --------- --------------
Total from investment operations (0.93) 2.14 0.78 0.14 0.82 (0.01)
---------------------------------------------- --------- --------- --------- --------- --------- --------------
LESS DISTRIBUTIONS
----------------------------------------------
Dividends from income (0.37) (0.82) (0.29) (0.08) (0.05) --
----------------------------------------------
Distributions from capital gains (0.10) -- -- (0.27) -- --
----------------------------------------------
Distributions in excess of net investment
income -- (0.04)(c) -- -- -- --
---------------------------------------------- --------- --------- --------- --------- --------- --------------
NET ASSET VALUE PER SHARE, END OF PERIOD $14.66 $16.06 $14.78 $14.70 $14.91 $14.17
---------------------------------------------- --------- --------- --------- --------- --------- --------------
TOTAL RETURN\ (5.94)% 15.27% 5.28% 0.86% 5.54% (0.07)%
----------------------------------------------
RATIOS TO AVERAGE NET ASSETS
----------------------------------------------
Expenses 1.64%(a) 1.21% 0.50%(a) 2.39%(a) 2.31%(a) 0.00%
----------------------------------------------
Net investment income (loss) 4.76%(a) 5.42% 5.80%(a) 1.23%(a) 1.60%(a) 0.00%
----------------------------------------------
Expense adjustment (b) 0.20%(a) 0.68% 1.26%(a) 0.05%(a) 0.38%(a) 1.10%
----------------------------------------------
SUPPLEMENTAL DATA
----------------------------------------------
Net assets, end of period (000 omitted) $51,412 $50,976 $24,265 $38,229 $18,127 $1,554
----------------------------------------------
Portfolio turnover rate 58% 88% 0% 43% 13% 0%
----------------------------------------------
</TABLE>
* Reflects operations for the period from April 29, 1992 (date of initial
public investment), to September 30, 1992.
** Reflects operations for the period from May 24, 1993 (date of initial public
investment), to September 30, 1993.
*** For the six months ended March 31, 1994 (unaudited).
**** Reflects operations for the period from March 30, 1994 (date of initial
public investment), to March 31, 1994 (unaudited).
\ Based on net asset value which does not reflect the sales load or contingent
deferred sales charge, if applicable.
(a) Computed on an annualized basis.
(b) This voluntary expense decrease is reflected in both the expense and net
investment income ratios shown above (Note 5).
(c) These distributions did not represent a return of capital for federal
income tax purposes for the year ended September 30, 1993.
(See Notes which are an integral part of the Financial Statements)
CAMBRIDGE SERIES TRUST
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
--------------------------------------------------------------------------------
(1) ORGANIZATION
Cambridge Series Trust ("Trust") is registered under the Investment Company Act
of 1940, as amended, as an open-end management investment company. The Trust
consists of six separate diversified portfolios (hereinafter each individually
referred to as a "Portfolio" or collectively as the "Portfolios") at March 31,
1994, as follows:
Cambridge Growth Portfolio ("Growth Portfolio")
Cambridge Capital Growth Portfolio ("Capital Growth Portfolio")
Cambridge Government Income Portfolio ("Government Income Portfolio")
Cambridge Municipal Income Portfolio ("Municipal Income Portfolio")
Cambridge Income and Growth Portfolio ("Income and Growth Portfolio")
Cambridge Global Portfolio ("Global Portfolio")
The assets of each Portfolio of the Trust are segregated and a shareholder's
interest is limited to the Portfolio in which shares are held.
Each Portfolio provides two classes of shares ("Class A" and "Class B"). Class B
shares are identical in all respects to Class A shares except that Class B
shares are sold pursuant to a distribution plan ("Plan") adopted in accordance
with Investment Company Act Rule 12b-1 and are not subject to a sales load.
(2) SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently
followed by the Portfolios in the preparation of their financial statements. The
policies are in conformity with generally accepted accounting principles.
A. INVESTMENT VALUATIONS--Listed equity securities held by the Growth
Portfolio, Capital Growth Portfolio, the Income and Growth Portfolio and
the Global Portfolio are valued at last sale prices reported on national
securities exchanges. Listed equity securities in which there were no sales
are valued at the mean between the bid and asked prices. Unlisted equity
securities are valued at the latest mean price. Bonds and other
fixed-income securities are valued at the last sale price on a national
securities exchange, if available. Otherwise, they are valued on the basis
of prices furnished by an independent pricing service. Short-term
obligations are ordinarily valued at the mean between the bid and asked
prices as furnished by an independent pricing service. However, short-term
obligations with maturities of 60 days or less are valued at amortized
cost, which approximates value.
U.S. government obligations held by the Government Income Portfolio and the
Income and Growth Portfolio are valued at the mean between the
over-the-counter bid and asked prices as furnished by an independent
pricing service.
Listed corporate bonds (and other fixed income securities/asset backed
securities) held by the Income and Growth Portfolio are valued at the last
sale price reported on national securities exchanges. Unlisted
bonds/securities and short-term obligations are valued at the prices
provided by an independent pricing service.
Municipal bonds, held by the Municipal Income Portfolio, are valued at fair
value. An independent pricing service values the Portfolio's municipal
bonds taking into consideration yield, stability, risk, quality, coupon,
maturity, type of issue, trading characteristics, special circumstances of
a security or trading market, and any other factors or market data it deems
relevant in determining valuations for normal institutional size trading
units of debt securities and does not rely exclusively on quoted prices.
B. REPURCHASE AGREEMENTS--It is the policy of the Trust to require the
custodian bank to take possession, to have legally segregated in the
Federal Reserve Book Entry System, or to have segregated within the
custodian bank's vault all securities held as collateral in support of
repurchase agreement investments. Additionally, procedures have been
established by the Trust to monitor, on a daily basis, the market value of
each repurchase agreement's underlying securities to ensure the existence
of a proper level of collateral.
The Trust will only enter into repurchase agreements with banks and other
recognized financial institutions such as broker/dealers which are deemed
by the Trust's adviser to be creditworthy pursuant to guidelines
established by the Trustees. Risks may arise from the potential inability
of counterparties to honor the terms of the repurchase agreement.
Accordingly, the Trust could receive less than the repurchase price on the
sale of collateral securities.
C. INCOME--The Growth Portfolio, Capital Growth Portfolio, Income and Growth
Portfolio, and the Global Portfolio record dividend income on the
ex-dividend date. Interest income is recorded on the accrual basis.
Interest income includes interest, and discount earned (net of premium) on
short-term obligations, and interest earned on all other debt securities
including original issue discount as required by the Internal Revenue Code.
Dividends to shareholders and capital gain distributions, if any, are
recorded on the ex-dividend date.
Interest income for the Government Income Portfolio is recorded on the
accrual basis. Interest income includes interest and discount earned (net
of premium) on short-term obligations, and interest earned on all other
debt securities including original issue discount as required by the
Internal Revenue Code.
Interest income for the Municipal Income Portfolio is recorded on the
accrual basis. Interest income includes interest earned net of premium, and
original issue discount as required by the Internal Revenue Code.
D. FEDERAL TAXES--It is the policy of the Portfolios to comply with the
provisions of the Internal Revenue Code applicable to investment companies
and to distribute to shareholders each year all of their taxable income,
including any net realized gain on investments.
Accordingly, no provision for federal tax is necessary.
Dividends paid by the Municipal Income Portfolio representing net interest
received on tax-exempt municipal securities are not includable by
shareholders as gross income for federal income tax purposes because the
Portfolio intends to meet certain requirements of the Internal Revenue Code
applicable to regulated investment companies which will enable the
Portfolio to pay tax-exempt interest dividends. The portion of such
interest, if any, earned on private purpose municipal bonds issued after
August 7, 1986, may be considered a tax preference item to shareholders.
At September 30, 1993, Growth Portfolio for federal tax purposes, had a
capital loss carryforward of $1,065,258 which will reduce the Portfolio's
taxable income arising from a future net realized gain on investments, if
any, to the extent permitted by the Internal Revenue Code, and thus will
reduce the amount of the distributions to shareholders which would
otherwise relieve the Portfolio of any liability for federal tax. Pursuant
to the Internal Revenue Code, such capital loss carryforward will expire in
2001. Additionally, net capital losses of $1,122,883 attributable to
security transactions incurred after October 31, 1992, are treated as
arising on October 1, 1993, the first day of the Portfolio's next taxable
year.
At September 30, 1993, Government Income Portfolio for federal tax
purposes, had a capital loss carryforward of $820,853 which will reduce the
Portfolio's taxable income arising from future net realized gain on
investments, if any, to the extent permitted by the Internal Revenue Code,
and thus will reduce the amount of the distributions to shareholders which
would otherwise relieve the Portfolio of any liability for federal tax.
Pursuant to the Internal Revenue Code, such capital loss carryforward will
expire in 2001. Additionally, net capital losses of $2,779,540 attributable
to security transactions incurred after October 31, 1992, are treated as
arising on October 1, 1993, the first day of the Portfolio's next taxable
year.
E. WHEN-ISSUED AND DELAYED DELIVERY TRANSACTIONS--The Portfolios may engage in
when-issued or delayed delivery transactions. To the extent the Portfolios
engage in such transactions, they will do so for the purpose of acquiring
portfolio securities consistent with their investment objectives and
policies and not for the purpose of investment leverage. The Portfolios
will record a when-issued security and the related liability on the trade
date. Until the securities are received and paid for, the Portfolios will
maintain security positions such that sufficient liquid assets will be
available to make payment for the securities purchased. Securities
purchased on a when-issued or delayed delivery basis are marked to market
daily and begin earning interest on the settlement date.
F. FUTURES CONTRACTS--Upon entering into a stock index futures contract with a
broker, the Growth Portfolio and the Capital Growth Portfolio are required
to deposit in a segregated account an amount ("initial margin") of cash or
U.S. government securities equal to a percentage of the contract value.
When entering into the contract the Portfolios agree to receive from or pay
the broker an amount of cash equal to a specific dollar amount times the
difference between the closing value of the stock index and the price at
which
the contract was made. On a daily basis, the value of a stock index futures
contract is determined and any difference between such value and the
original
futures contract value is reflected in the "daily variation margin"
account.
Daily variation margin adjustments, arising from this "marking to market"
process, are recorded as unrealized gains or losses.
These Portfolios may decide to close their position on a contract at any
time prior to the contract's expiration. When a contract is closed, a
realized gain or loss is recognized. Risks of entering into futures
contracts include the possibility that there may be an illiquid market and
that a change in the value of the contract may not correlate with changes
in the value of the underlying securities. For the year ended September 30,
1993, the Capital Growth Portfolio had a realized gain of $27,770 and the
Growth Portfolio had a realized loss of $37,552 on futures.
G. OPTION CONTRACTS--The Growth Portfolio may write or purchase stock index
option contracts. A written stock index option obligates the Growth
Portfolio to deliver (a call), or to receive (a put), the contract amount
of foreign currency upon exercise by the holder of the option. The value of
the option contract is recorded as a liability and unrealized gain or loss
is measured by the difference between the current value and the premium
received. For the year ended September 30, 1993, the Growth Portfolio had a
net realized loss of $364,480 on options.
H. DEFERRED EXPENSES--Costs incurred by the Portfolios in connection with
their initial share registration, other than organization expenses, were
deferred and are being amortized on a straight-line basis through April
1997.
I. EXPENSES--Expenses of the Portfolios (other than distribution services
fees) and waivers and reimbursements, if any, are allocated to each class
of shares based on their relative daily average net assets for the period.
Expenses incurred by the Portfolios which do not specifically relate to an
individual Portfolio are allocated among all Portfolios based on a
Portfolio's relative net asset value size or as deemed appropriate by the
administrator.
J. DOLLAR ROLL TRANSACTIONS--The Government Income Portfolio enters into
dollar roll transactions, with respect to mortgage securities issued by
GNMA, FNMA, and FHLMC, in which the Portfolio sells mortgage securities to
financial institutions and simultaneously agrees to repurchase
substantially similar (same type, coupon and maturity) securities at a
later date at an agreed upon price. During the period between the sale and
repurchase, the Portfolio foregoes principal and interest paid on the
mortgage security sold. The Portfolio is compensated by the interest earned
on the cash proceeds of the initial sale and any additional fee income
received on the sale.
K. CURRENCY TRANSLATION--Foreign currency amounts are converted into U.S.
dollars at the current rate of such currencies against U.S. dollars as
follows: assets and liabilities at the rate of exchange at the end of the
respective period; purchases and sales of securities and income and
expenses at the rate of exchange prevailing on the dates of such
transactions. It is not practicable to isolate that portion of the results
of
operations arising from changes in the exchange rates from the portion
arising from
changes in the market prices of investment securities.
L. OTHER--Investment transactions are accounted for on the trade date.
M. RECLASSIFICATION--During the period ended March 31, 1994, the Growth
Portfolio adopted Statement of Position 93-2 Determination, Disclosure, and
Financial Statement Presentation of Income, Capital Gain, and Return of
Capital Distributions by Investment Companies. Accordingly, permanent book
and tax differences have been reclassified to paid-in-capital. The Growth
Portfolio reclassified $375,691 from undistributed net investment income to
paid-in capital in accordance with Statement of Position 93-2. Net
investment income, net realized gains, and net assets were not affected by
this change.
(3) DIVIDENDS
Dividends will be declared daily and paid monthly to all shareholders invested
in the Government Income Portfolio and the Municipal Income Portfolio on the
record date. Dividends are declared and paid semi-annually to all shareholders
invested in the Capital Growth Portfolio on the record date, dividends are
declared and paid annually to all shareholders invested in the Growth Portfolio
and the Global Portfolio on the record date, and dividends are declared and paid
quarterly to all shareholders invested in the Income and Growth Portfolio on the
record date. Dividends will be reinvested in additional shares of the same class
and Portfolio on payment dates at the ex-dividend date net asset value without a
sales charge unless cash payments are requested by shareholders in writing to
the Trust.
Capital gains realized by each Portfolio, if any, will be distributed at least
once every 12 months.
(4) SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the Trustees to issue an unlimited number of
full and fractional shares of beneficial interest (without par value) for each
class of shares. Transactions in Portfolio shares were as follows:
<TABLE>
<CAPTION>
CAMBRIDGE GROWTH PORTFOLIO
<S> <C> <C> <C> <C>
YEAR ENDED SEPTEMBER 30,
<CAPTION>
1994* 1993
CLASS A: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 1,180,695 $ 17,187,308 810,934 $ 11,500,191
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 164,997 2,682,477 557,050 8,601,094
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares -- -- 1,460 22,029
------------------------------------------------------
Shares redeemed (206,589) (3,353,619) (188,749) (2,936,006)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 1,139,103 $ 16,516,166 1,180,695 $ 17,187,308
------------------------------------------------------ ----------- -------------- ----------- --------------
<CAPTION>
CLASS B: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 2,113,910 $ 31,296,376 978,243 $ 13,778,060
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 559,030 8,942,010 1,426,861 21,994,222
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares -- -- -- --
------------------------------------------------------
Shares redeemed (389,040) (6,301,751) (291,194) (4,475,906)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 2,283,900 $ 33,936,635 2,113,910 $ 31,296,376
------------------------------------------------------ ----------- -------------- ----------- --------------
</TABLE>
* Six months ended March 31, 1994.
CAMBRIDGE SERIES TRUST
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE CAPITAL GROWTH PORTFOLIO
YEAR ENDED SEPTEMBER 30,
<CAPTION>
1994* 1993
CLASS A: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 2,055,500 $ 29,379,736 1,467,971 $ 20,673,912
----------------------------------------------------- ----------- --------------- ----------- --------------
Shares sold 106,939 1,639,333 866,833 12,868,150
-----------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 21,385 320,355 13,495 198,314
-----------------------------------------------------
Shares redeemed (517,940) (7,896,338) (292,799) (4,360,640)
----------------------------------------------------- ----------- --------------- ----------- --------------
Shares outstanding, end of period 1,665,884 $ 23,443,086 2,055,500 $ 29,379,736
----------------------------------------------------- ----------- --------------- ----------- --------------
<CAPTION>
CLASS B: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 3,744,511 $ 54,154,730 1,790,373 $ 25,238,907
----------------------------------------------------- ----------- --------------- ----------- --------------
Shares sold 311,629 4,730,564 2,369,048 35,080,707
-----------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 29,045 435,097 8,583 126,421
-----------------------------------------------------
Shares redeemed (963,374) (14,636,375) (423,493) (6,291,305)
----------------------------------------------------- ----------- --------------- ----------- --------------
Shares outstanding, end of period 3,121,811 $ 44,684,016 3,744,511 $ 54,154,730
----------------------------------------------------- ----------- --------------- ----------- --------------
<CAPTION>
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
YEAR ENDED SEPTEMBER 30,
1994* 1993
CLASS A: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 3,403,828 $ 48,807,954 2,552,475 $ 36,680,594
----------------------------------------------------- ------------ --------------- ------------ ---------------
Shares sold 54,890 759,430 1,223,573 17,167,884
-----------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 56,025 773,224 141,599 2,252,607
-----------------------------------------------------
Shares redeemed (840,607) (11,593,935) (513,819) (7,293,131)
----------------------------------------------------- ------------ --------------- ------------ ---------------
Shares outstanding, end of period 2,674,136 $ 38,746,673 3,403,828 $ 48,807,954
----------------------------------------------------- ------------ --------------- ------------ ---------------
</TABLE>
* Six months ended March 31, 1994.
CAMBRIDGE SERIES TRUST
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE GOVERNMENT INCOME PORTFOLIO
YEAR ENDED SEPTEMBER 30,
<CAPTION>
1994* 1993
CLASS B: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 9,059,536 $ 129,708,345 4,558,855 $ 65,524,950
----------------------------------------------------- ------------ --------------- ------------ ---------------
Shares sold 699,080 9,698,779 6,067,033 86,660,210
-----------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 159,860 2,208,731 336,653 4,535,586
-----------------------------------------------------
Shares redeemed (2,517,574) (34,651,751) (1,903,005) (27,012,401)
----------------------------------------------------- ------------ --------------- ------------ ---------------
Shares outstanding, end of period 7,400,902 $ 106,964,104 9,059,536 $ 129,708,345
----------------------------------------------------- ------------ --------------- ------------ ---------------
<CAPTION>
CAMBRIDGE MUNICIPAL INCOME PORTFOLIO
YEAR ENDED SEPTEMBER 30,
1994* 1993
CLASS A: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 1,822,030 $ 26,713,229 1,273,427 $ 18,482,871
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 105,833 1,676,191 699,910 10,541,396
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 34,166 540,864 44,317 672,587
------------------------------------------------------
Shares redeemed (150,308) (2,371,179) (195,624) (2,983,625)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 1,811,721 $ 26,559,105 1,822,030 $ 26,713,229
------------------------------------------------------ ----------- -------------- ----------- --------------
<CAPTION>
CLASS B: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 3,173,809 $ 47,130,669 1,642,240 $ 24,071,326
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 599,204 9,456,401 1,890,537 28,671,521
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 71,999 1,140,166 81,888 1,245,720
------------------------------------------------------
Shares redeemed (337,567) (5,304,320) (440,856) (6,857,898)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 3,507,445 $ 52,422,916 3,173,809 $ 47,130,669
------------------------------------------------------ ----------- -------------- ----------- --------------
* Six months ended March 31, 1994.
</TABLE>
CAMBRIDGE SERIES TRUST
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE INCOME AND GROWTH PORTFOLIO
YEAR ENDED SEPTEMBER 30,
1994* 1993**
CLASS A: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 661,893 $ 9,518,102 -- $ --
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 414,366 6,384,122 692,725 9,965,467
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 20,818 312,855 3,200 47,907
------------------------------------------------------
Shares redeemed (56,193) (858,139) (34,032) (495,272)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 1,040,884 $ 15,356,940 661,893 $ 9,518,102
------------------------------------------------------ ----------- -------------- ----------- --------------
<CAPTION>
CLASS B: SHARES DOLLARS SHARES DOLLARS
<S> <C> <C> <C> <C>
Shares outstanding, beginning of period 1,216,165 $ 17,686,756 -- $ --
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares sold 1,440,208 22,075,426 1,225,260 17,820,803
------------------------------------------------------
Shares issued to shareholders electing to receive
payment of dividends in Portfolio shares 40,874 614,468 3,359 50,376
------------------------------------------------------
Shares redeemed (96,750) (1,483,912) (12,454) (184,423)
------------------------------------------------------ ----------- -------------- ----------- --------------
Shares outstanding, end of period 2,600,497 $ 38,892,738 1,216,165 $ 17,686,756
------------------------------------------------------ ----------- -------------- ----------- --------------
</TABLE>
* Six months ended March 31, 1994.
** For the period from May 24, 1993 (date of initial public investment) to
September 30, 1993.
CAMBRIDGE SERIES TRUST
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CAMBRIDGE
GLOBAL PORTFOLIO
YEAR ENDED
SEPTEMBER 30,
<CAPTION>
1994*
CLASS A: SHARES DOLLARS
<S> <C> <C>
Shares outstanding, beginning of period -- $ --
---------------------------------------------------------------------------------------- --------- -------------
Shares sold 211,880 3,003,377
----------------------------------------------------------------------------------------
Shares issued to shareholders electing to receive payment of
dividends in Portfolio shares -- --
----------------------------------------------------------------------------------------
Shares redeemed -- --
---------------------------------------------------------------------------------------- --------- -------------
Shares outstanding, end of period 211,880 $ 3,003,377
---------------------------------------------------------------------------------------- --------- -------------
<CAPTION>
CLASS B: SHARES DOLLARS
<S> <C> <C>
Shares outstanding, beginning of period -- $ --
---------------------------------------------------------------------------------------- --------- -------------
Shares sold 109,601 1,553,546
----------------------------------------------------------------------------------------
Shares issued to shareholders electing to receive payment of
dividends in Portfolio shares -- --
----------------------------------------------------------------------------------------
Shares redeemed -- --
---------------------------------------------------------------------------------------- --------- -------------
Shares outstanding, end of period 109,601 $ 1,553,546
---------------------------------------------------------------------------------------- --------- -------------
</TABLE>
* For the period from March 30, 1994 (date of initial public investment) to
March 31, 1994.
(5) INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Cambridge Investment Advisors, Inc., the Portfolios' investment adviser
("Investment Adviser"), receives for its services an annual investment advisory
fee not to exceed the following percentages of the average daily net assets of
the particular Portfolio: Growth Portfolio, 0.80%; Capital Growth Portfolio,
0.80%; Government Income Portfolio, 0.60%; Municipal Income Portfolio, 0.60%;
Income and Growth Portfolio, 0.75%; and Global Portfolio, 1.10% of the average
daily net assets of the Portfolio up to and including $75 million and 1.00% of
average daily net assets of the portfolio in excess of $75 million. The
Investment Adviser may, from time to time, voluntarily waive some or all of its
investment advisory fee and may terminate any such voluntary waiver at any time
at its sole discretion.
The Investment Adviser pays each sub-adviser an annual fee not to exceed the
following percentage of Portfolio assets: Growth Portfolio, 0.40%; Capital
Growth Portfolio, 0.40%; Government Income Portfolio, 0.30%; and Municipal
Income Portfolio, 0.30%. The sub-adviser to the Income and Growth Portfolio
receives from the Investment Adviser an annual fee
expressed as a percentage of that Portfolio's assets as follows: 0.325% on the
first $50 million in Portfolio assets, 0.275% on the next $150 million in
assets, 0.225% on the next $300 million in assets, and 0.200% on assets over
$500 million. The sub-Adviser to the Global Portfolio receives from the
Investment Adviser an annual fee expressed as a percentage of that Portfolio's
assets as follows: 0.55% on the first $75 million in Portfolio assets, and 0.50%
on assets over $75 million. No performance or incentive fees are paid to the
sub-advisers. Under certain Sub-Advisory Agreements, the particular sub-adviser
may, from time to time, voluntarily waive some or all of its sub-advisory fee
charged to the Investment Adviser and may terminate any such voluntary waiver at
any time in its sole discretion.
For the six months ended March 31, 1994, the sub-advisers earned and voluntarily
waived the following advisory fees:
<TABLE>
<CAPTION>
SUB-ADVISER SUB-ADVISER FEE
FEE VOLUNTARILY
PORTFOLIO EARNED WAIVED
<S> <C> <C>
Growth $ 110,314 $ 0
--------------------------------------------------------------------------
Capital Growth 162,050 0
--------------------------------------------------------------------------
Government Income 239,247 0
--------------------------------------------------------------------------
Municipal Income 81,204 10,130
--------------------------------------------------------------------------
Income and Growth 78,223 0
--------------------------------------------------------------------------
Global 0 0
--------------------------------------------------------------------------
</TABLE>
Administrative personnel and services are provided by Cambridge Administrative
Services ("CAS") at an annual rate of .125 of 1% on the first $1.5 billion of
average aggregate daily net assets of the Trust and .120 of 1% on average
aggregate daily net assets in excess of $1.5 billion. The administrative fee
received during any fiscal year shall aggregate at least 0.05% of average
aggregate daily net assets plus $100,000 per Portfolio. CAS may voluntarily
waive some or all of its fee.
The Portfolios have adopted a Distribution Plan (the "Plan") pursuant to Rule
12b-1 under the Investment Company Act of 1940. Each Portfolio will reimburse
Cambridge Distributors, Inc. (the "Distributor"), from the assets of the Class B
shares of each Portfolio, for fees it paid which relate to the distribution and
administration of each Portfolio's Class B shares. The Plan provides that the
Portfolio may incur distribution expenses up to 0.75 of 1% of the average daily
net assets of the Class B shares for the Growth Portfolio, Capital Growth
Portfolio, Income and Growth Portfolio and Global Portfolio and 0.50 of 1% of
the average daily net assets of the Class B shares for the Government Income
Portfolio and Municipal Income Portfolio.
The Shareholder Services Group, Inc. ("TSSG"), the Trust's transfer and dividend
disbursing agent, earns a fee based on the number of shareholder accounts of
each Portfolio or a minimum fixed monthly rate for each class of shares of each
Portfolio.
The Trust has adopted a Shareholder Servicing Plan (the "Service Plan") with
respect to Class A and Class B shares of each Portfolio. Under the Service Plan,
financial institutions will enter into shareholder service agreements with the
Portfolios to provide administrative support services to their customers who
from time to time may be owners of record or beneficial owners of Class A or
Class B shares of one or more Portfolios. In return for providing these support
services, a financial institution may receive payments from one or more
Portfolios at a rate not exceeding .25 of 1% of the average daily net assets of
the Class A or Class B shares of the particular Portfolio or Portfolios
beneficially owned by the financial institution's customers for whom it is
holder of record or with whom it has a servicing relationship.
Organization expenses of the Growth Portfolio ($55,060), Capital Growth
Portfolio ($51,200), Government Income Portfolio ($51,301), Municipal Income
Portfolio ($49,701), Income and Growth Portfolio ($29,179) and Global Portfolio
($25,000) were borne initially by CAS. Each Portfolio has agreed to reimburse
CAS for the organization expenses initially borne by CAS during the five-year
period following the date the Trust's Portfolios' registration became effective.
The amounts reimbursed to CAS for the six months ended March 31, 1994, were as
follows: Growth Portfolio ($5,220), Capital Growth Portfolio ($5,244),
Government Income Portfolio ($5,202), Municipal Income Portfolio ($4,370),
Income and Growth Portfolio ($1,150), and Global Portfolio ($0), respectively.
(6) INVESTMENT TRANSACTIONS
Purchases, and sales of investments (excluding short-term investments), for the
six months ended March 31, 1994, were as follows:
<TABLE>
<CAPTION>
INCOME
CAPITAL GOVERNMENT MUNICIPAL AND
GROWTH GROWTH INCOME INCOME GROWTH GLOBAL
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
<S> <C> <C> <C> <C> <C> <C>
PURCHASES-- $ 34,377,294 $ 56,038,705 $ 487,411,465 $ 51,322,566 $ 43,641,319 $ --
----------------- -------------- -------------- --------------- -------------- -------------- ---------------
SALES-- $ 30,028,562 $ 71,898,409 $ 451,107,401 $ 46,700,872 $ 17,126,912 $ --
----------------- -------------- -------------- --------------- -------------- -------------- ---------------
</TABLE>
(7) FORWARD CONTRACTS
In connection with portfolio purchases and sales of securities denominated in a
foreign currency, the Growth Portfolio may enter into forward foreign currency
exchange contracts ("contracts"). Additionally, from time to time the Growth
Portfolio may enter into contracts to hedge certain foreign currency assets.
Contracts are recorded at market value.
Realized gains and losses arising from such transactions are included in net
realized gain (loss) on investments and forward foreign currency exchange
contracts. The Growth Portfolio is subject to the credit risk that the other
party will not complete the obligations of the contract.
TRUSTEES OFFICERS
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
Arnold H. Dreyfuss Daniel J. Ludeman
Thomas F. Keller Chairman
Daniel J. Ludeman Peter J. Quinn, Jr.
Louis W. Moelchert, Jr. President
Stanley F. Pauley Paul F. Costello
Troy A. Peery, Jr. Senior Vice President, Treasurer
Peter J. Quinn, Jr. and Secretary
</TABLE>
Mutual funds are not obligations of or insured by any bank nor are they insured
by the federal government or any of its agencies. Investment in these shares
involves risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only when
preceded
or accompanied by the Trust's prospectus which contains facts concerning its
objective and policies, management fees, expenses and other information.
