<PAGE> 1
- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
COMMON STOCKS - 96.91%
AUSTRALIA - 2.76%
166,072 National Australia Bank, Ltd. (Finance)... $ 1,481,066
206,500 News Corporation (Services)............... 1,209,972
140,000 Tabcorp Holdings, Ltd. (Capital
Equipment)............................... 568,419
----------
3,259,457
----------
AUSTRIA - 0.33%
8,835 Mayr-Melnhof Karton (Materials)........... 386,343
----------
DENMARK - 1.43%
32,500 Tele Danmark, Cl. B (Utilities)........... 1,693,837
----------
FINLAND - 4.12%
67,400 KCI Konecranes International Corp.
(Capital Equipment)...................... 1,192,689
87,000 Kymmene OY (Materials).................... 2,421,934
36,800 Nokia Corp. (Consumer Goods).............. 1,260,400
----------
4,875,023
----------
FRANCE - 10.08%
24,000 Assurances Generales de France
(Finance)................................ 667,329
7,000 Chargeurs SA (Diversified)................ 1,792,056
7,650 Christian Dior (Consumer Goods)........... 1,019,494
8,609 Club Mediterranee (Services)(a)........... 837,817
6,000 Compagnie Generale des Eaux
(Diversified)............................ 613,704
18,200 Lyonnaise des Eaux-Dumez (Diversified).... 1,702,522
29,800 SGS-Thomson Microelectronics N.V.
(Consumer Goods)(a)...................... 1,080,250
3,500 Skis Rossignol SA (Consumer Goods)........ 1,258,193
3,415 Taittinger (Consumer Goods)............... 1,149,637
26,800 Total Petroleum, Cl. B (Energy)........... 1,809,732
----------
11,930,734
----------
GERMANY - 5.75%
39,000 Adidas AG (Consumer Goods)(a)(c).......... 2,879,301
6,500 Berliner Kraft & Licht (Utilities)........ 1,794,060
6,100 Volkswagen AG (Consumer Goods)............ 2,131,942
----------
6,805,303
----------
HONG KONG - 7.13%
797,000 CDL Hotels International (Services)....... 479,251
127,000 Cheung Kong Holdings, Ltd. (Finance)...... 895,060
500,000 First Pacific Co. (Diversified)(c)........ 711,238
708,000 Founder Hong Kong (Services)(a)........... 254,067
537,000 Guangnan Holdings, Ltd. (Services)........ 288,187
770,000 Goldlion Holdings, Ltd. (Consumer Goods).. 617,354
208,000 Guoco Group (Finance)..................... 1,145,843
372,000 Hutchison Whampoa (Diversified)........... 2,347,549
133,000 Jardine Matheson Holdings (Diversified)... 1,037,400
2,524,000 Tingyi Holdings (Consumer Goods)(a)....... 660,947
----------
8,436,896
----------
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
INDIA - 0.43%
42,000 Steel Authority of India (Materials)...... $ 509,250
----------
INDONESIA - 1.15%
273,500 Bank Dagang Nasional PT (Finance)......... 236,885
217,500 Bukaka Teknik Utama PT (Capital
Equipment)(a)............................ 367,462
357,000 Citra Marga Nusaphala Persada PT (Capital
Equipment)............................... 461,901
234,000 Steady Safe PT (Transportation)........... 292,750
----------
1,358,998
----------
IRELAND - 2.32%
154,100 Bank of Ireland (Finance)................. 1,012,219
197,300 CRH PLC (Materials)....................... 1,731,083
----------
2,743,302
----------
ITALY - 4.66%
75,000 Bulgari S.P.A. (Consumer Goods)(a)........ 941,218
1,220,000 Credito Italiano (Finance)................ 1,305,665
850,000 Parmalat Finanziaria S.P.A. (Finance)..... 780,813
54,000 Safilo S.P.A. (Consumer Goods)............ 1,135,194
486,700 Societa Finanziaria Telefonica
(Services)............................... 1,350,243
----------
5,513,133
----------
JAPAN - 19.07%
92,600 AJL Peps Trust (Consumer Goods)........... 2,060,350
68,000 Canon Inc. (Capital Equipment)............ 1,298,876
101,000 Daimaru Inc. (Services)................... 719,672
280 East Japan Railway Co. (Transportation)... 1,441,948
163,000 Hitachi (Capital Equipment)............... 1,587,266
58,000 Jusco Co. (Services)...................... 1,515,169
9,900 Kurita Water Industries (Capital
Equipment)............................... 229,888
204,000 Mitsubishi Electric Corp. (Capital
Equipment)............................... 1,520,449
53,000 Mitsubishi Esate Co. (Finance)(a)......... 729,494
237,000 Mitsubishi Heavy Industrial (Capital
Equipment)............................... 2,050,450
200,000 Obayashi Corp. (Capital Equipment)........ 1,719,101
75,000 Sankyo Co. (Health & Personal)............ 1,720,506
30,000 Sony Corporation (Consumer Goods)......... 1,794,944
53,000 Sumitomo Realty & Development (Finance)... 407,425
253,000 Toshiba Corp. (Capital Equipment)......... 1,923,558
83,000 Toyota Motor Co. (Consumer Goods)......... 1,834,082
----------
22,553,178
----------
MALAYSIA - 2.51%
100,000 Commerce Asset Holdings (Finance)......... 573,463
76,000 Edaran Otomobil Nasional (Consumer
Goods)................................... 682,302
97,000 Jaya Tiasa Holdings (Materials)........... 621,475
188,000 Leader Universal Holdings (Diversified)... 535,337
127,000 Sungei Way Holdings (Diversified)......... 552,501
----------
2,965,078
----------
</TABLE>
See Notes to Financial Statements on Pages 14 - 15
9
<PAGE> 2
- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
NETHERLANDS - 6.73%
14,000 Hunter Douglas N.V. (Materials)........... $ 948,865
38,900 Internationale Nederlanden Group
(Finance)................................ 2,824,811
57,200 KLM Royal Dutch Airlines
(Transportation)......................... 1,990,318
60,300 Philips Electronics (Consumer Goods)...... 2,193,059
----------
7,957,053
----------
NORWAY - 2.00%
275,000 Christiania Bank OG Kreditkasse
(Finance)................................ 638,926
39,600 Norsk Hydro (Energy)...................... 1,725,874
----------
2,364,800
----------
PHILIPPINES - 1.77%
164,000 Fil-Estate Land, Inc. (Finance)(a)........ 136,249
1,536,000 Fortune Cement (Materials)(a)............. 718,716
1,194,000 Mondragon International Philippines
(Consumer Goods)(a)...................... 684,110
1,128,000 Universal Robina Corp. (Consumer Goods)... 549,351
----------
2,088,426
----------
SINGAPORE - 0.86%
86,000 Far East Levingston Shipbuilding Ltd.
(Capital Equipment)...................... 479,645
73,000 Singapore Land (Finance).................. 534,209
----------
1,013,854
----------
SOUTH AFRICA - 2.52%
80,000 Fedsure Holdings Limited (Finance)(c)..... 608,300
14,440 Libery Life Association of Africa
(Services)(a)............................ 453,711
32,100 Metro Cash and Carry Limited
(Services)(c)............................ 549,713
86,600 Nampak Limited (Consumer Goods)........... 424,478
9,000 Pretoria Portland Cement Co.
(Materials).............................. 199,080
38,000 Reunert Limited (Electrical Equipment).... 214,916
16,000 South African Breweries (Diversified)..... 530,880
----------
2,981,078
----------
SPAIN - 4.81%
88,990 Autopistas Concesionaria Espanola S.A.
(Diversified)............................ 903,379
9,635 Banco Popular Espanol (Finance)........... 1,664,312
16,324 Fomento de Construcciones y Contratas
(Capital Equipment)...................... 1,459,849
180,100 Iberdrola S.A. (Utilities)................ 1,661,412
----------
5,688,952
----------
<CAPTION>
SHARES DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
SWEDEN - 4.25%
54,100 Astra AB, Series A (Health & Personal).... $ 2,505,192
79,000 Nordbanken AB (Finance)................... 1,306,088
37,400 Svedala Industries (Capital Equipment).... 1,219,863
----------
5,031,143
----------
SWITZERLAND - 2.67%
1,791 BBC Brown Boveri & Cie, Cl. A (Capital
Equipment)............................... 2,177,064
794 Ciba-Geigy AG, Cl. B (Consumer Goods)..... 983,829
----------
3,160,893
----------
THAILAND - 1.24%
44,300 Central Pattana Public Co.
(Materials)(a)........................... 166,805
59,000 PTT Exploration & Production (Energy)(a).. 748,316
116,500 Thai Military Bank (Finance).............. 549,485
----------
1,464,606
----------
UNITED KINGDOM - 6.75%
692,500 Iceland Group (Services).................. 1,606,794
560,700 Lonrho (Diversified)...................... 1,835,924
61,000 National Power (Partially Paid)
(Utilities).............................. 312,871
25,500 Orange PLC, ADR (Services)(a)............. 436,688
350,000 Orange PLC (Services)(a).................. 1,183,419
65,000 Powergen (Installment Shares)
(Utilities).............................. 390,937
427,100 Storehouse (Services)..................... 2,223,211
----------
7,989,844
----------
VENEZUELA - 0.80%
822,688 Electricidad de Caracas (Utilities)....... 553,954
103,935 Mavesa SA, ADR (Consumer Goods)(c)........ 389,756
----------
943,710
----------
OTHER - 0.77%
63,500 Latin American Equity Fund
(Diversified)............................ 912,813
----------
TOTAL COMMON STOCKS
(Cost $99,427,680)...................................... $ 114,627,704
----------
<CAPTION>
PRINCIPAL
AMOUNT
- -----------
<C> <S> <C>
CORPORATE DEBT CONVERTIBLE - 0.46%
SOUTH AFRICA - 0.46%
$ 500,000 Investec O/S Finance BVI, 6.375%, 11/30/02
(Finance) (Cost $577,493)................ 539,375
----------
</TABLE>
See Notes to Financial Statements on Pages 14 - 15
10
<PAGE> 3
- --------------------------------------------------------------------------------
International Equity Portfolio
SCHEDULE OF PORTFOLIO INVESTMENTS March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
- ----------- ------------------------------------------ -------------
<C> <S> <C>
CORPORATE DEBT NON-CONVERTIBLE - 1.70%
SOUTH AFRICA - 1.70%
$ 1,500,000 Liberty Life International, 6.50%, 9/30/04
(Finance) (Cost $1,783,228).............. $ 2,016,562
----------
SHORT-TERM INVESTMENTS - 3.51%
$ 4,200,000 U.S. Treasury Bills
5.15%, 6/20/96 (cost $4,153,690)......... 4,153,800
----------
TOTAL INVESTMENTS
(Cost $105,942,091) - 102.58%........................... 121,337,441
Liabilities in Excess of Other Assets - (2.58%).......... (3,056,305)
----------
NET ASSETS - 100.00%..................................... $ 118,281,136
----------
</TABLE>
- ------------------
(a) Non-Income Producing Security
(b) Industry Diversification (as a percentage of Total Value of Investments):
<TABLE>
<S> <C>
Capital Equipment............................. 15.05%
Consumer Goods................................ 21.20%
Diversified................................... 11.11%
Electrical Equipment.......................... 0.18%
Energy........................................ 3.53%
Finance....................................... 16.53%
Health & Personal............................. 3.48%
Materials..................................... 6.35%
Services...................................... 10.80%
Transportation................................ 3.07%
Utilities..................................... 5.28%
U.S. Treasury Bills........................... 3.42%
-----
100.00%
-----
</TABLE>
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These Securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. At the period end,
the value of these securities amounted to $5,138,308 or 4.34% of net assets.
See Notes to Financial Statements on Pages 14 - 15
11
<PAGE> 4
- --------------------------------------------------------------------------------
International Equity Portfolio
STATEMENT OF ASSETS AND LIABILITIES March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments, at Value (Cost $105,942,091).................................................................... $ 121,337,441
Foreign Cash (Cost $74,005).................................................................................. 35,462
Cash......................................................................................................... 3,685
Receivable for Securities Sold............................................................................... 1,058,112
Dividends and Interest Receivable............................................................................ 348,797
Receivable for Foreign Taxes Withheld........................................................................ 100,262
Net Unrealized Appreciation on Forward Currency Contracts.................................................... 24,156
Prepaid Expenses............................................................................................. 409
------------
Total Assets.................................................................................................... 122,908,324
------------
LIABILITIES
Due to Bankers Trust......................................................................................... 53,414
Payable for Securities Purchased............................................................................. 4,558,261
Accrued Expenses and Other................................................................................... 15,513
------------
Total Liabilities............................................................................................... 4,627,188
------------
NET ASSETS...................................................................................................... $ 118,281,136
============
COMPOSITION OF NET ASSETS
Paid-in Capital.............................................................................................. $ 102,905,836
Net Unrealized Appreciation on Investments................................................................... 15,395,350
Net Unrealized Depreciation on Foreign Currencies and Forward Currency Contracts............................. (20,050)
------------
NET ASSETS, MARCH 31, 1996...................................................................................... $ 118,281,136
============
</TABLE>
STATEMENT OF OPERATIONS For the six months ended March 31, 1996 (unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $78,541).......................................................... $ 689,466
Interest....................................................................................................... 141,259
---------
TOTAL INVESTMENT INCOME........................................................................................... 830,725
---------
EXPENSES
Advisory....................................................................................................... 302,602
Administration and Services.................................................................................... 69,831
Professional................................................................................................... 13,709
Transfer Tax................................................................................................... 2,322
Trustees....................................................................................................... 1,560
Shareholders Reports........................................................................................... 650
Miscellaneous.................................................................................................. 726
---------
Total Expenses................................................................................................. 391,400
Less: Expenses Absorbed by Bankers Trust....................................................................... (88,798)
---------
Net Expenses............................................................................................... 302,602
---------
NET INVESTMENT INCOME............................................................................................. 528,123
---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY TRANSACTIONS
Net Realized Gain from:
Investment Transactions...................................................................................... 1,390,252
Foreign Currency Transactions................................................................................ 690,674
Net Change in Unrealized Appreciation (Depreciation) of:
Investments.................................................................................................. 3,530,486
Foreign Currencies and Forward Currency Contracts............................................................ 77,506
---------
NET GAIN ON INVESTMENTS, FOREIGN CURRENCIES AND FORWARD CURRENCY CONTRACTS........................................ 5,688,918
---------
NET INCREASE IN NET ASSETS FROM OPERATIONS........................................................................ $ 6,217,041
=========
</TABLE>
See Notes to Financial Statements on Pages 14 - 15
12
<PAGE> 5
- --------------------------------------------------------------------------------
International Equity Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE PERIOD
MARCH 31, 1996 JANUARY 1, 1995 TO
(UNAUDITED) SEPTEMBER 30, 1995
-------------- ------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS:
Net Investment Income................................................................ $ 528,123 $ 1,188,602
Net Realized Gain from Investments and Foreign Currency Transactions................. 2,080,926 1,956,124
Net Unrealized Appreciation on Investments, Foreign Currencies and
Forward Currency Contracts......................................................... 3,607,992 6,955,471
-------------- ------------------
Net Increase in Net Assets from Operations.............................................. 6,217,041 10,100,197
-------------- ------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested....................................................... 52,306,802 35,819,720
Value of Capital Withdrawn........................................................... (23,556,138) (18,648,629)
-------------- ------------------
Net Increase in Net Assets from Capital Transactions.................................... 28,750,664 17,171,091
-------------- ------------------
TOTAL INCREASE IN NET ASSETS............................................................ 34,967,705 27,271,288
NET ASSETS
Beginning of Period..................................................................... 83,313,431 56,042,143
-------------- ------------------
End of Period........................................................................... $118,281,136 $ 83,313,431
=============== ===================
</TABLE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Contained below are selected supplemental data and ratios for each of the
periods indicated for the International Equity Portfolio.
<TABLE>
<CAPTION>
FOR THE
FOR THE SIX YEAR ENDED
MONTHS ENDED FOR THE PERIOD DECEMBER 31,
MARCH 31, 1996 JANUARY 1, 1995 TO ------------------
(UNAUDITED) SEPTEMBER 30, 1995 1994
-------------- ------------------ ------------------
<S> <C> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............. $118,281 $ 83,313 $ 56,042
Ratios to Average Net Assets
Net Investment Income............................... 1.13%* 2.39%* 1.69%
Expenses............................................ 0.65%* 0.65%* 0.65%
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.19%* 0.22%* 0.24%
Portfolio Turnover Rate................................ 30% 21% 15%
<CAPTION>
FOR THE PERIOD
AUGUST 4, 1992
(COMMENCEMENT
OF OPERATIONS) TO
1993 DECEMBER 31, 1992
------------------ -----------------
<S> <C> <C>
SUPPLEMENTAL DATA AND RATIOS
Net Assets, End of Period (000's omitted).............. $ 33,907 $ 8,225
Ratios to Average Net Assets
Net Investment Income............................... 1.64% 1.87%*
Expenses............................................ 0.65% 0.60%*
Decrease Reflected in Above Expense Ratio Due to
Absorption of Expenses by Bankers Trust........... 0.39% 0.93%*
Portfolio Turnover Rate................................ 17% 7%
</TABLE>
- ------------------
* Annualized
See Notes to Financial Statements on Pages 14 - 15
13
<PAGE> 6
- --------------------------------------------------------------------------------
International Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The International Equity Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991,
as an unincorporated trust under the laws of New York and commenced operations
on August 4, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
In fiscal 1995, the Portfolio changed its year end to September 30th.
B. Security Valuation
The Portfolio's investments listed or traded on the National Stock Exchanges or
other domestic or foreign exchanges are valued based on the closing price of a
security traded on that exchange prior to the time when the Portfolio assets are
valued. In cases where securities are traded on more than one exchange, the
securities valued on the exchange designated as the primary market by the
Trustees. All other portfolio securities for which over-the-counter market
quotations are readily available including circumstances under which it is
determined by the Investment Manager that sale or bid prices are not reflective
of a security's market value, portfolio securities are valued at their fair
value as determined in good faith under procedures established by and under the
general supervision of the Trustees. Short-term obligations with remaining
maturities of 60 days or less are valued at amortized cost. Other short-term
debt securities are valued on a mark-to-market basis until such time as they
reach a remaining maturity of 60 days, whereupon they will be valued at
amortized cost using their value on the 61st day. All other securities and other
assets are valued at their fair value as determined in good faith under
procedures established by and under the general supervision of the Trustees.
C. Foreign Currency Transactions
The books and records of the Portfolio are maintained in U.S. dollars. All
assets and liabilities initially expressed in foreign currencies are converted
into U.S. dollars at prevailing exchange rates. Purchases and sales of
investment securities, dividend and interest income, and certain expenses are
translated at the rates of exchange prevailing on the respective dates of such
transactions. The Portfolio does not isolate that portion of the results of
operations resulting from changes in foreign exchange rates on investments from
the fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss from
securities.
D. Forward Foreign Currency Contracts
The Portfolio may enter into forward foreign currency contracts for the purpose
of settling specific purchases or sales of securities denominated in a foreign
currency or with respect to the Portfolio's investments generally. The net U.S.
dollar value of foreign currency underlying all contractual commitments held by
the Portfolio and the resulting unrealized appreciation or depreciation are
determined using prevailing exchange rates. With respect to forward foreign
currency contracts, losses in excess of amounts recognized in the Statement of
Assets and Liabilities may arise due to changes in the value of the foreign
currency or if the counterparty does not perform under the contract.
E. Option Contracts
Upon the purchase of a put option or a call option by the Portfolio, the premium
paid is recorded as an investment, the value of which is marked-to-market daily
to reflect the current market value. When a purchased option expires, the
Portfolio will realize a loss in the amount of the cost of the option. When the
Portfolio enters into a closing sale transaction, the Portfolio will realize a
gain or loss depending on whether the sale proceeds from the closing sale
transaction are greater or less than the cost of the option. When the Portfolio
exercises a put option, it realizes a gain or loss from the sale of the
underlying security and the proceeds from such sale will be decreased by the
premium originally paid. When the Portfolio exercises a call option, the cost of
the security which the Portfolio purchases upon exercise will be increased by
the premium originally paid.
F. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis. Dividend income,
less foreign taxes withheld (if any), is recorded on the ex-dividend date or
upon receipt of ex-dividend notification in the case of certain foreign
securities. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from security transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from security and foreign currency transactions of the Portfolio are allocated
pro rata among the investors of the Portfolio at the time of such determination.
G. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
H. Other
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts in the financial statements.
NOTE 2 -- FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.15 of 1% of the Portfolio's average daily
net assets. For the six months ended March 31, 1996, this fee aggregated
$69,831.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the six months ended March 31, 1996,
this fee aggregated $302,602.
14
<PAGE> 7
- --------------------------------------------------------------------------------
International Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
- --------------------------------------------------------------------------------
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.65 of 1% of the
average daily net assets of the Portfolio. For the six months ended March 31,
1996, expenses of the Portfolio have been reduced by $88,798.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 -- PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended March 31, 1996, were
$58,380,801 and $27,069,480, respectively. Tax basis of investments held at
March 31, 1996, were substantially the same as the basis used for the financial
statement reporting purposes. The aggregate gross unrealized appreciation for
all investments was $18,110,513 and the aggregate gross unrealized depreciation
for all investments was $2,715,163.
NOTE 4 -- OPEN FORWARD FOREIGN CURRENCY CONTRACTS
As of March 31, 1996, the Portfolio had entered into the following open forward
foreign currency contract:
<TABLE>
<CAPTION>
CONTRACTS TO NET UNREALIZED
DELIVER IN EXCHANGE FOR SETTLEMENT DATE VALUE (US$) APPRECIATION (US$)
<S> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------
SALES
- ------------------------------------------------------------------------------------------------------
ATS 1,203,706 USD $ 115,908 4/1/96 $ 115,939 $ (31)
DEM 8,863,200 USD 6,010,375 4/10/96 6,002,914 7,461
DEM 14,800,000 USD 10,016,582 4/12/96 10,025,769 (9,187)
JPY 639,840,000 USD 6,001,013 4/9/96 5,976,195 24,818
NLG 1,432,868 USD 868,457 4/1/96 867,091 1,366
- ------------------------------------------------------------------------------------------------------
$23,012,335 22,987,908 24,427
- ------------------------------------------------------------------------------------------------------
PURCHASES
- ------------------------------------------------------------------------------------------------------
USD $ 1,093,424 GBP 716,060 4/2/96 1,093,066 (358)
USD 712,196 MYR 1,802,569 4/2/96 712,588 392
USD 209,563 ZAR 832,490 4/2/96 209,258 (305)
- ------------------------------------------------------------------------------------------------------
$ 2,015,183 $ 2,014,912 (271)
- ------------------------------------------------------------------------------------------------------
$ 24,156
===================
</TABLE>
15
