<PAGE>
THE LEGENDS FUND, INC.
[LOGO]
SEMI-ANNUAL REPORT
December 31, 1995
<PAGE>
The Legends Fund, Inc.
Semi-Annual Report (Unaudited)
December 31, 1995
CONTENTS
<TABLE>
<CAPTION>
<S> <C>
President's Letter............................................ 1
Financial Statements, Financial Highlights, and Schedules of
Investments (Unaudited):
Renaissance Balanced Portfolio.............................. 2
Zweig Asset Allocation Portfolio............................ 10
Nicholas-Applegate Balanced Portfolio....................... 24
Harris Bretall Sullivan & Smith Equity Growth Portfolio..... 35
Dreman Value Portfolio...................................... 42
Zweig Equity (Small Cap) Portfolio.......................... 50
Mitchell Hutchins Fixed Income Portfolio.................... 77
Mitchell Hutchins Money Market Portfolio.................... 84
Morgan Stanley Asian Growth Portfolio....................... 91
Morgan Stanley Worldwide High Income Portfolio.............. 100
Notes to Financial Statements (Unaudited)..................... 107
</TABLE>
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Fund. This report is not
authorized for distribution to prospective investors in the Fund unless preceded
or accompanied by an effective prospectus. Neither the Fund nor SBM Financial
Services, Inc., the principal underwriter for Fund shares, is a bank and Fund
shares are not backed or guaranteed by any bank or insured by the Federal
Depository Insurance Corporation.
<PAGE>
THE LEGENDS FUND, INC.
- --------------------------------------------------------------------------------
This 1995 Semi-Annual Report highlights a fine year for The Legends Fund, Inc.
(the "Fund"). We thank all of our current investors and wish to extend a special
welcome to all new investors who have joined us during the year.
The Fund's portfolios and their related total returns for the six month period
and the year ended December 31, 1995, respectively, are listed below:
<TABLE>
<CAPTION>
SIX MONTHS ENDED YEAR ENDED
PORTFOLIO DECEMBER 31, 1995* DECEMBER 31, 1995
----------------------------------------------------------------------------------
<S> <C> <C>
Renaissance Balanced 10.01% 23.88%
Zweig Asset Allocation 6.42% 21.43%
Nicholas-Applegate Balanced 5.71% 20.01%
Harris Bretall Sullivan & Smith Equity Growth 7.17% 31.65%
Dreman Value 21.24% 45.51%
Zweig Equity (Small Cap) 10.06% 21.11%
Mitchell Hutchins Fixed Income 5.91% 17.10%
Mitchell Hutchins Money Market 2.34% 4.76%
Morgan Stanley Asian Growth 0.96% 10.75%
Morgan Stanley Worldwide High Income 10.20% 20.64%
</TABLE>
* Total returns are not annualized.
You will also find detailed information of the holdings of each Portfolio as of
December 31, 1995, as well as other important financial information in this
Semi-Annual Report.
In general, 1995 was a very good year in the stock and bond markets. As you have
seen already, the returns in the various portfolios have been noteworthy. The
investment disciplines available within the Fund span a broad spectrum,
providing you with the choices and flexibility to plan for the long-term. Be
assured that the Fund is committed to assisting you in achieving your individual
investment goals.
We appreciate your continued confidence. Additional contributions can be
directed through your broker. Should you desire any additional information,
please feel free to let us know.
Sincerely,
/s/ Edward J. Haines
Edward J. Haines
President
The Legends Fund, Inc.
<PAGE>
Renaissance Balanced Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $25,702,181)
(Note 1)--See accompanying schedule $28,378,301
Cash 16,691
Dividends and interest receivable 234,086
-----------
TOTAL ASSETS 28,629,078
LIABILITIES
Accounts payable and accrued expenses 22,710
-----------
TOTAL LIABILITIES 22,710
-----------
NET ASSETS $28,606,368
===========
Net Assets consist of:
Paid-in capital $24,556,911
Undistributed net investment income 388,812
Undistributed net realized gain on investments 984,525
Net unrealized appreciation on investment securities 2,676,120
-----------
NET ASSETS, for 2,312,364 shares outstanding $28,606,368
===========
NET ASSET VALUE, offering and redemption price per share $ 12.37
===========
</TABLE>
See accompanying notes.
2
<PAGE>
Renaissance Balanced Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
INVESTMENT INCOME
Dividends $ 112,091
Interest 414,660
----------
Total investment income 526,751
EXPENSES (Note 2)
Investment advisory and management fees 92,362
Custody and accounting fees 31,972
Professional fees 7,558
Directors' fees and expenses 2,640
Other expenses 3,407
----------
Total expenses 137,939
----------
Net investment income 388,812
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (Note 1)
Net realized gain on investments 1,283,676
Change in unrealized appreciation on investment securities 984,195
----------
Net realized and unrealized gain on investments 2,267,871
----------
Net increase in net assets resulting from operations $2,656,683
==========
See accompanying notes.
3
<PAGE>
Renaissance Balanced Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30
(UNAUDITED) 1995
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 388,812 $ 915,608
Net realized gain (loss) on investments 1,283,676 (299,151)
Change in net unrealized appreciation 984,195 2,638,834
--------------------------
Net increase in net assets resulting from
operations 2,656,683 3,255,291
Distributions to shareholders from:
Net investment income (914,654) (423,397)
Net realized gain -- (82,603)
--------------------------
Total distributions to shareholders (914,654) (506,000)
Capital share transactions:
Proceeds from sales of shares 1,266,146 6,487,456
Proceeds from reinvested distributions 914,654 506,000
Cost of shares redeemed (2,348,656) (7,756,946)
--------------------------
Net decrease in net assets resulting from
share transactions (167,856) (763,490)
--------------------------
Total increase in net assets 1,574,173 1,985,801
NET ASSETS
Beginning of period 27,032,195 25,046,394
--------------------------
End of period (including undistributed net
investment income of $388,812 and
$914,654, respectively) $28,606,368 $27,032,195
==========================
OTHER INFORMATION
Shares:
Sold 103,974 603,427
Issued through reinvestment of distributions 74,582 47,019
Redeemed (193,803) (731,529)
--------------------------
Net decrease (15,247) (81,083)
==========================
</TABLE>
See accompanying notes.
4
<PAGE>
Renaissance Balanced Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14,
SIX MONTHS 1992
ENDED YEAR YEAR (COMMENCEMENT OF
DECEMBER 31, ENDED ENDED OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
--------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 11.61 $ 10.40 $ 10.42 $ 10.00
Income from investment operations:
Net investment income .18 0.42 0.20 0.13
Net realized and unrealized gain (loss)
on investments .98 .99 (0.11) 0.29
--------------------------------------------------------------
Total from investment operations 1.16 1.41 0.09 0.42
Less distributions:
From net investment income (.40) (.17) (0.11) --
From net realized gain -- (.03) -- --
--------------------------------------------------------------
Total distributions (.40) (.20) (0.11) --
--------------------------------------------------------------
Net asset value, end of period $ 12.37 $ 11.61 $ 10.40 $ 10.42
==============================================================
TOTAL RETURN (A) 10.01% 13.71% 0.73% 7.70%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $28,606,368 $27,032,195 $25,046,394 $7,798,672
Ratio of expenses to average net
assets (C) 0.97% 0.96% 1.06% 1.24%
Ratio of net investment income to
average net assets (C) 2.76% 3.53% 2.72% 2.36%
Portfolio turnover rate 33% 71% 85% 29%
</TABLE>
(A) Total returns are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 2.95% and 0.65%, respectively,
for the period December 14, 1992 (commencement of operations) through
June 30, 1993. (Note 2)
5
<PAGE>
Renaissance Balanced Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (51.2%)
APPAREL AND OTHER TEXTILE PRODUCTS (2.4%)
Nike, Inc. 9,600 $ 668,400
BUSINESS SERVICES (4.4%)
Manpower, Inc. 20,200 568,125
Medtronic, Inc. 12,200 681,675
----------
1,249,800
CHEMICAL AND ALLIED PRODUCTS (4.0%)
Eastman Chemical Company 9,000 563,625
Schering-Plough 10,200 558,450
----------
1,122,075
DEPOSITORY INSTITUTIONS (2.1%)
First Chicago NBD Bancorp, Inc. 15,385 607,708
ELECTRONIC, GAS AND SANITARY SERVICES (2.4%)
Williams Companies, Inc. 15,700 688,837
FOOD AND KINDRED PRODUCTS (4.4%)
Conagra, Inc. 15,900 655,875
IBP, Inc. 12,000 606,000
----------
1,261,875
FURNITURE AND FIXTURES (2.1%)
Leggett & Platt, Inc. 24,600 596,550
FURNITURE AND HOME FURNISHINGS STORES (1.5%)
Circuit City Stores, Inc. 15,800 436,475
INDUSTRIAL MACHINERY AND EQUIPMENT (5.1%)
Applied Materials, Inc.* 12,200 479,612
Dell Computer Corporation* 13,400 466,488
Eaton Corporation 9,200 493,350
----------
1,439,450
</TABLE>
6
<PAGE>
Renaissance Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE CARRIERS (6.2%)
All State Corporation 12,500 $ 514,062
Loews Corporation 7,700 603,487
Travelers Group, Inc. 9,000 622,462
-----------
1,740,011
OIL AND GAS EXTRACTION (4.6%)
Exxon Corporation 7,700 616,963
Halliburton Company 13,700 693,563
-----------
1,310,526
PAPER AND ALLIED PRODUCTS (1.9%)
Williamette Industries 9,600 540,000
PRINTING AND PUBLISHING (1.9%)
Tribune Company 9,000 550,125
RAILROAD TRANSPORTATION (2.1%)
Illinois Central Corporation 15,500 594,813
RUBBER AND MISCELLANEOUS PLASTICS PRODUCTS (1.9%)
Illinois Tool Works, Inc. 9,300 548,700
WHOLESALE TRADE-DURABLE GOODS (1.6%)
Arrow Electronics, Inc.* 10,200 439,875
WHOLESALE TRADE-NONDURABLE GOODS (2.6%)
Safeway, Inc.* 14,200 731,300
-----------
TOTAL COMMON STOCKS (Cost $12,542,992) 14,526,520
</TABLE>
7
<PAGE>
Renaissance Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------
<S> <C> <C>
LONG-TERM DEBT SECURITIES (45.9%)
U.S. GOVERNMENT OBLIGATIONS (33.9%)
U.S. Treasury Notes, 6.25%, due 2/15/2003 $1,785,000 $ 1,862,255
U.S. Treasury Notes, 5.75%, due 8/15/2003 735,000 743,842
U.S. Treasury Notes, 5.875%, due 2/15/2004 1,035,000 1,056,828
U.S. Treasury Notes, 7.25%, due 5/15/2004 1,835,000 2,036,850
U.S. Treasury Notes, 7.25%, due 8/15/2004 2,475,000 2,752,274
U.S. Treasury Notes, 7.875%, due 11/15/2004 745,000 862,338
U.S. Treasury Notes, 6.5%, due 5/15/2005 300,000 319,173
-----------
9,633,560
U.S. GOVERNMENT AGENCY--COLLATERALIZED
MORTGAGE OBLIGATIONS (0.1%)
Fed. Home Loan Mort. Corp., Var. Rate 4.38%
(effective 6/30/95), due 10/4/96 3,400,000 3,393,880
-----------
TOTAL LONG-TERM DEBT SECURITIES (Cost
$12,334,848) 13,027,440
SHORT-TERM SECURITIES (2.9%)
REPURCHASE AGREEMENT (0.1%)
State Street Bank, 4.25%, due 1/2/96 (Dated
12/29/95 Collateralized by U.S. Treasury
Bond 8.75% due 5/15/2017, value $29,172) 29,093 29,093
U.S. GOVERNMENT OBLIGATIONS (1.0%)
U.S. Treasury Bill, 5.085%, due 3/14/96 300,000 296,787
U.S. GOVERNMENT AGENCY-COLLATERALIZED
MORTGAGE OBLIGATIONS (1.8%)
Fed. Home Loan Mort. Corp., due 1/19/96 500,000 498,461
-----------
TOTAL SHORT-TERM SECURITIES
(Cost $824,341) 824,341
-----------
TOTAL INVESTMENTS (100.0%)
(Cost $25,702,181) $28,378,301
===========
</TABLE>
* Non-income producing
8
<PAGE>
Renaissance Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995, aggregated $10,364,101 and $9,000,762,
respectively. Net unrealized appreciation for tax purposes aggregated
$2,676,120, of which $3,174,284 related to appreciated investment securities
and $498,164 related to depreciated investment securities. The aggregate cost
of securities is the same for book and tax purposes.
See accompanying notes.
9
<PAGE>
Zweig Asset Allocation Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investment in securities, at value (cost $34,046,302)
(Note 1)--See accompanying schedule $39,516,207
Dividends, interest and other receivables 57,827
-----------
TOTAL ASSETS 39,574,034
LIABILITIES
Cash overdraft 3,553
Accounts payable and accrued expenses 38,312
-----------
TOTAL LIABILITIES 41,865
-----------
NET ASSETS $39,532,169
===========
Net Assets consist of:
Paid-in capital $33,274,394
Undistributed net investment income 327,940
Undistributed net realized gain on investment securities
and futures contracts 466,200
Net unrealized appreciation on investment securities
and futures contracts 5,463,635
-----------
NET ASSETS, for 2,924,281 shares outstanding $39,532,169
===========
NET ASSET VALUE, offering and redemption price per share $ 13.52
===========
</TABLE>
See accompanying notes.
10
<PAGE>
Zweig Asset Allocation Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Dividends $ 275,353
Interest 287,066
----------
Total investment income 562,419
EXPENSES (Note 2)
Investment advisory and management fees 176,311
Custody and accounting fees 44,078
Professional fees 7,558
Directors' fees and expenses 2,640
Other expenses 3,892
----------
Total expenses 234,479
----------
Net investment income 327,940
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (Note 1)
Net realized gain on:
Investment securities 647,700
Futures contracts 62,606
----------
Net realized gain 710,306
Change in unrealized appreciation (depreciation) on:
Investment securities 1,293,379
Futures contracts (10,550)
----------
Change in unrealized appreciation 1,282,829
----------
Net realized and unrealized gain on investments 1,993,135
----------
Net increase in net assets resulting from operations $2,321,075
==========
</TABLE>
See accompanying notes.
11
<PAGE>
Zweig Asset Allocation Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 327,940 $ 947,151
Net realized gain (loss) on investments 710,306 (80,477)
Change in net unrealized appreciation 1,282,829 3,944,541
--------------------------
Net increase in net assets resulting
from operations 2,321,075 4,811,215
Distributions to shareholders from:
Net investment income (946,985) (248,100)
Capital share transactions:
Proceeds from sales of shares 3,288,887 7,443,090
Proceeds from reinvested dividends 946,985 248,100
Cost of shares redeemed (2,813,954) (7,081,317)
--------------------------
Net increase in net assets resulting
from share transactions 1,421,918 609,873
--------------------------
Total increase in net assets 2,796,008 5,172,988
NET ASSETS
Beginning of period 36,736,161 31,563,173
--------------------------
End of period (including undistributed
net investment income of $327,940 and
$946,985, respectively) $39,532,169 $36,736,161
==========================
OTHER INFORMATION
Shares:
Sold 239,633 640,047
Issued through reinvestment of dividends 71,107 21,399
Redeemed (206,902) (598,871)
--------------------------
103,838 62,575
==========================
</TABLE>
See accompanying notes.
12
<PAGE>
Zweig Asset Allocation Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14,
SIX MONTHS 1992
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED YEAR ENDED OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
-----------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 13.02 $ 11.44 $ 10.81 $ 10.00
Income from investment operations:
Net investment income 0.11 0.33 0.10 0.08
Net realized and unrealized
gain on investments 0.72 1.33 0.58 0.73
-----------------------------------------------------------
Total from investment operations 0.83 1.66 0.68 0.81
Less distributions:
From net investment income (0.33) (0.08) (0.05) --
----------------------------------------------------------
Net asset value, end of period $ 13.52 $ 13.02 $ 11.44 $ 10.81
============================================================
TOTAL RETURN (A) 6.42% 14.57% 6.27% 14.86%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $39,532,169 $36,736,161 $31,563,173 $3,855,544
Ratio of expenses to average
net assets (C) 1.20% 1.20% 1.39% 1.51%
Ratio of net investment income to
average net assets (C) 1.67% 2.73% 1.67% 1.40%
Portfolio turnover rate 32% 45% 101% 12%
</TABLE>
(A) Total returns for periods of less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 4.87% and (1.17%), respectively,
for the period December 14, 1992 (commencement of operations) through June
30, 1993. (Note 2)
13
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
NUMBER
OF SHARES VALUE
------------------------
COMMON STOCKS (78.7%)
AMUSEMENT AND RECREATION SERVICES (0.5%)
Grand Casinos, Inc.* 7,800 $181,350
APPAREL AND ACCESSORY STORES (0.4%)
Ross Stores, Inc. 8,500 164,156
APPAREL AND OTHER FINISHED PRODUCTS (0.5%)
Westpoint Stevens, Inc.* 9,800 195,388
AUTO REPAIR, SERVICES, AND PARKING (0.3%)
Ryder System, Inc. 4,700 116,325
BUSINESS SERVICES (1.1%)
Computervision Corporation 12,500 192,188
Sun Microsystems, Inc.* 2,800 127,925
Teradyne, Inc.* 4,200 105,000
--------
425,113
CHEMICAL AND ALLIED PRODUCTS (6.7%)
Cabot Corporation 4,100 220,888
Cytec Industries, Inc.* 2,200 137,225
Eastman Chemical Company 3,100 194,138
First Mississippi Corporation 3,900 103,350
Georgia Gulf Corporation 2,800 86,100
IMC Global, Inc. 8,200 335,175
Imperial Chemical Industries - ADR 2,700 126,225
Lyondell Petrochemical 600 13,725
Mississippi Chemical Corporation 7,100 166,406
Monsanto Company 900 110,250
Norsk Hydro - ADR 5,100 213,563
Occidental Petroleum Corporation 12,000 256,500
Olin Corporation 3,100 230,175
14
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
<S> <C> <C>
COMMON STOCKS (continued)
CHEMICAL AND ALLIED PRODUCTS (6.7%) (continued)
Terra Industries, Inc. 13,800 $ 194,925
Union Carbide Corporation 6,600 247,500
-----------
2,636,145
COMMUNICATIONS (0.2%)
Telefonica de Espana -ADR 1,700 71,188
DEPOSITORY INSTITUTIONS (13.5%)
Astoria Financial Corporation 4,400 201,300
Bank of Boston Corporation 8,000 369,500
Bank of New York Company, Inc. 9,000 438,750
Bay Ridge Bancorp, Inc.* 7,200 158,400
Baybanks, Inc. 2,600 254,800
Chemical Banking Corporation 4,704 276,360
Citicorp 8,500 571,625
Comerica, Inc. 4,500 180,563
Crestar Financial Corporation 1,800 106,425
Dime Bancorp, Inc.* 1,500 17,438
First American Corporation, Tennessee * 3,800 180,500
First Bank System, Inc. 4,300 213,388
First Chicago NBD Corporation 9,011 355,935
First Interstate Bancorp 2,400 327,600
First Tennessee National Corporation 700 42,263
Glendale Federal Bank FSB* 14,400 252,000
Greenpoint Financial Corporation 4,000 106,500
Hibernia Corporation 14,200 152,650
Long Island Bancorp, Inc. 6,800 179,775
Midatlantic Corporation, Inc. 6,300 413,831
Republic New York Corporation 2,600 161,525
Southtrust Corporation 2,000 51,500
UJB Financial Corporation 1,700 60,775
</TABLE>
15
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------
COMMON STOCKS (CONTINUED)
<S> <C> <C>
DEPOSITORY INSTITUTIONS (13.5%) (CONTINUED)
Union Bank San Francisco 4,600 $ 248,400
US Bancorp 588 19,735
-----------
5,341,538
ELECTRIC GAS AND SANITARY SERVICES (7.7%)
American Electric Power 2,700 109,350
Baltimore Gas & Electric 5,700 162,450
Centerior Energy Corporation 11,100 98,513
Columbia Gas System* 9,200 403,650
Entergy Corporation 5,900 172,575
Illinova Corporation 7,700 231,000
New England Electric System 1,900 75,288
New York State Electric & Gas 5,400 139,725
Northeast Utilities 9,400 229,125
Northern States Power 3,300 162,113
Pacific Enterprises 5,300 149,725
Pacific Gas & Electric 6,300 178,763
Pinnacle West Corporation 15,000 431,250
Portland General Corporation 3,100 90,288
Scecorp 9,500 168,625
Unicom Corporation 7,200 235,800
-----------
3,038,240
ELECTRIC AND OTHER ELECTRONIC EQUIPMENT (7.6%)
Advanced Semiconductor Materials* 3,100 153,450
Black & Decker Corporation 3,800 133,950
Burr-Brown Corporation* 5,600 140,700
Cypress Semiconductor Corporation* 5,000 63,750
Electro Scientific Industries, Inc.* 4,100 118,388
Hadco Corporation* 8,200 232,163
Hutchinson Tech* 2,900 121,438
Integrated Device Tech, Inc.* 7,700 99,619
Micron Technology, Inc. 11,400 451,725
</TABLE>
16
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRICAL AND OTHER ELECTRONIC EQUIPMENT (7.6%)
(CONTINUED)
Microsemi Corporation* 22,400 $ 194,600
National Semiconductor Corporation* 13,300 295,925
Philips Electronics 13,500 484,313
Read-Rite Corporation* 6,900 159,994
Texas Instruments, Inc. 5,300 274,275
Trinova Corporation 2,400 68,700
-----------
2,992,990
FOOD AND KINDRED PRODUCTS (1.7%)
Archer Daniels Midland 7,792 140,256
IBP, Inc. 10,300 520,150
-----------
660,406
FOOD STORES (0.1%)
Kroger Company* 800 30,000
FORESTRY (0.7%)
Georgia-Pacific Corporation 1,500 102,938
Weyerhauser Company 4,300 185,975
-----------
288,913
FURNITURE AND FIXTURES (0.1%)
Johnson Controls, Inc. 700 48,125
GENERAL MERCHANDISE STORES (0.4%)
Waban, Inc.* 7,600 142,500
HEALTH SERVICES (1.1%)
Community Psychiatric Centers* 1,800 22,050
Maxicare Health Plans, Inc.* 7,600 205,675
Ornda Healthcorp* 9,700 225,525
-----------
453,250
</TABLE>
17
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HOLDING COMPANIES AND OTHER INVESTMENT OFFICES (2.3%)
Bankamerica Corporation 2,100 $ 135,975
Chase Manhattan Corporation 2,300 139,438
First Union Corporation 4,600 255,875
Fleet Financial Group, Inc. 5,300 215,975
Nationsbank Corporation 1,000 69,625
Wells Fargo & Company 500 108,000
----------
924,888
INDUSTRIAL MACHINERY AND EQUIPMENT (7.1%)
AGCO Corporation 5,050 257,550
Case Corporation 5,300 242,475
Compaq Computer Corporation* 3,700 177,600
Dana Corporation 1,700 49,725
Deere & Company 3,000 105,750
Dell Computer Corporation* 3,400 118,363
Digital Equipment* 2,500 160,313
Harris Corporation 4,100 223,963
Innovex, Inc. 12,200 188,338
International Business Machines Corporation 4,000 367,000
Kennametal, Inc. 4,900 155,575
Kulicke & Soffa Industries* 1,900 43,938
Seagate Technology, Inc.* 7,400 351,500
Smith International, Inc.* 3,600 84,600
Tecumseh Products Company 800 41,700
Timken Company 2,800 107,100
Western Digital Corporation* 7,200 128,700
----------
2,804,190
INSTRUMENTS AND RELATED PRODUCTS (1.0%)
Loral Corporation 6,600 233,475
Sci Systems, Inc.* 5,400 166,725
----------
400,200
</TABLE>
18
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSURANCE CARRIERS (4.1%)
AMBAC, Inc. 2,500 $ 117,188
Exel Limited 2,400 146,400
Loews Corporation 3,500 274,313
Old Republic International Corporation 400 14,200
Partnerre Holdings 6,800 185,725
Reliastar Financial Corporation 700 31,063
St. Paul Companies 2,700 150,188
Sunamerica, Inc. 1,500 71,250
Tig Holdings, Inc. 5,500 156,750
Transamerica Corporation 2,000 145,750
Travelers Group, Inc. 1,600 100,600
United Companies Financial Corporation 1,980 52,470
USF&G Corporation 6,500 109,688
USLife Corporation 2,850 85,144
--------------
1,640,729
METAL MINING (0.6%)
Asarco, Inc. 3,600 115,200
Phelps Dodge 2,300 143,175
--------------
258,375
NONDEPOSITORY INSTITUTIONS (0.9%)
Finova Group 300 14,475
Household International, Inc. 4,200 248,325
Textron, Inc. 1,500 101,250
-------------
364,050
PAPER AND ALLIED PRODUCTS (5.4%)
Boise Cascade Corporation 4,900 169,663
Bowater, Inc. 4,500 159,750
Champion International Corporation 3,500 147,000
Chesapeake Corporation 3,300 97,763
Federal Paper Board Company 5,000 259,375
</TABLE>
19
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PAPER AND ALLIED PRODUCTS (5.4%) (CONTINUED)
James River Corp of Virginia 3,700 $ 89,263
Mead Corporation 5,100 266,475
Mercer Internationals* 9,500 194,156
Temple - Inland, Inc. 4,500 198,563
Union Camp Corporation 3,500 166,688
Westvaco Corporation 6,400 177,600
Willamette Industries 3,600 202,500
----------
2,128,796
PETROLEUM AND COAL PRODUCTS (2.0%)
BJ Services Company - Warrants* 340 2,593
British Petroleum - ADR 1,200 122,550
Coastal Corporation 7,300 271,925
Mobil Corporation 1,700 190,400
Repsol SA 6,500 213,688
----------
801,156
PRIMARY METAL INDUSTRIES (3.2%)
AK Steel Holding Corporation 1,800 61,650
Alcan Aluminium Ltd. 5,400 168,075
Alumax, Inc.* 6,700 205,188
Aluminum Company of America 800 42,300
British Steel PLC - ADR 4,600 117,875
Kaiser Aluminum Corporation 18,500 240,500
LTV Corporation* 11,400 156,750
Reynolds Metals Company 3,800 215,175
WHX Corporation* 6,200 67,425
----------
1,274,938
RAILROAD TRANSPORTATION (0.4%)
Conrail, Inc. 2,000 140,000
</TABLE>
20
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS (1.0%)
Dow Chemical 2,500 $ 175,938
Goodyear Tire & Rubber Company 2,802 127,141
Premark International, Inc. 2,000 101,250
----------
404,329
SECURITY AND COMMODITY BROKERS (0.4%)
Lehman Brothers Holdings 7,300 155,125
STONE, CLAY AND GLASS PRODUCTS (1.0%)
Owens-Corning Fiberglass Corporation* 3,800 170,525
USG Corporation* 7,100 213,000
----------
383,525
TRANSPORTATION BY AIR (2.7%)
British Airways - ADR 1,000 72,750
Delta Air Lines, Inc. 2,800 206,850
Federal Express Corporation* 4,300 317,663
Northwest Airlines Corporation* 4,200 213,938
UAL Corporation* 1,400 249,900
----------
1,061,101
TRANSPORTATION EQUIPMENT (3.2%)
Burlington Northern Santa Fe 2,146 167,371
Chrysler Corporation 1,901 105,268
Magna International, Inc. 1,300 56,225
McDonnell Douglas Corporation 6,200 570,400
Northrop Grumman Corporation 3,800 243,200
Teledyne, Inc. 5,000 128,125
----------
1,270,589
WHOLESALE TRADE, DURABLE GOODS (0.4%)
General Motors Corporation 2,700 142,763
</TABLE>
21
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
WHOLESALE TRADE, NONDURABLE GOODS (0.4%)
Gaylord Container Corporation* 5,100 $ 41,113
Safeway, Inc.* 2,200 113,300
-----------
154,413
-----------
TOTAL COMMON STOCKS (Cost $25,624,889) 31,094,794
PRINCIPAL
AMOUNT VALUE
-------------------------
SHORT-TERM SECURITIES (21.3%)
U.S. GOVERNMENT AGENCY DISCOUNT NOTES (20.0%)
Federal National Mortgage Association, 5.48%, $ 1,415,000 1,409,587
due 01/2/96
Federal National Mortgage Association, 5.67%, 3,350,000 3,348,374
due 01/4/96
Federal National Mortgage Association, 5.64%, 1,440,000 1,438,397
due 01/8/96
Federal National Mortgage Association, 5.65%, 1,720,000 1,715,921
due 01/16/96 -----------
7,912,279
U.S. GOVERNMENT OBLIGATIONS (0.3%)
U.S. Treasury Bills, 4.93%, due 03/14/96 100,000 99,003
REPURCHASE AGREEMENT (1.0%)
State Street Bank, 4.25%, due 1/2/96 (Dated 12/29/95 410,131 410,131
Collateralized by U.S. Treasury Bond 8.75% -----------
due 5/15/2017, value $419,016)
TOTAL SHORT-TERM SECURITIES (Cost $8,421,413) 8,421,413
-----------
TOTAL INVESTMENTS (100.0%)(Cost $34,046,302) $39,516,207
===========
</TABLE>
22
<PAGE>
Zweig Asset Allocation Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
FUTURES CONTRACTS
CONTRACT
COLLATERAL EXPIRATION AMOUNT AT UNREALIZED
(PAR VALUE) DATE VALUE LOSS
---------------------------------------------------
<S> <C> <C> <C> <C>
2 S&P 500 Futures U.S. Treasury
Contracts-Long Bill: $100,000
due 3/14/96 3/15/96 $618,450 $(6,270)
=====================
</TABLE>
*Non-income producing
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995, aggregated $13,215,391 and $9,107,500,
respectively. Net unrealized appreciation for tax purposes aggregated
$5,469,905, of which $6,071,366 related to appreciated investment securities
and $601,461 related to depreciated investment securities. Aggregate cost of
securities is $34,026,330 for tax purposes.
See accompanying notes.
23
<PAGE>
Nicholas-Applegate Balanced Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investment in securities, at value (cost $42,631,104)
(Note 1)--See accompanying schedule $47,601,544
Receivable for investment securities sold 583,156
Dividends, interest and other receivables 221,817
-----------
TOTAL ASSETS 48,406,517
LIABILITIES
Payable for investment securities purchased 320,195
Cash overdraft 12,061
Accounts payable and accrued expenses 34,544
-----------
TOTAL LIABILITIES 366,800
-----------
NET ASSETS $48,039,717
===========
Net Assets consist of:
Paid-in capital $41,077,881
Undistributed net investment income 513,172
Undistributed net realized gain on investments 1,478,224
Net unrealized appreciation on investment securities 4,970,440
-----------
NET ASSETS, for 3,518,817 shares outstanding $48,039,717
===========
NET ASSET VALUE, offering and redemption price per share $ 13.65
===========
</TABLE>
See accompanying notes.
24
<PAGE>
Nicholas-Applegate Balanced Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Dividends $ 167,556
Interest 572,238
-----------
Total investment income 739,794
EXPENSES (Note 2)
Investment advisory and management fees 155,398
Custody and accounting fees 53,792
Professional fees 7,558
Directors' fees and expenses 2,640
Other expenses 7,234
-----------
Total expenses 226,622
-----------
Net investment income 513,172
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (Note 1)
Net realized gain on investments 3,097,479
Change in unrealized appreciation on investment securities (1,028,996)
-----------
Net realized and unrealized gain on investments 2,068,483
-----------
Net increase in net assets resulting from operations $ 2,581,655
===========
</TABLE>
See accompanying notes.
25
<PAGE>
Nicholas-Applegate Balanced Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
----------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 513,172 $ 936,566
Net realized gain (loss) on investments 3,097,479 (283,310)
Change in net unrealized appreciation
(depreciation) (1,028,996) 6,479,460
----------------------------
Net increase in net assets resulting
from operations 2,581,655 7,132,716
Distributions to shareholders from:
Net investment income (935,896) (386,000)
Capital share transactions:
Proceeds from sales of shares 3,608,365 7,522,637
Proceeds from reinvested dividends 935,896 386,000
Cost of shares redeemed (3,930,914) (8,232,738)
----------------------------
Net increase (decrease) in net assets
resulting from share transactions 613,347 (324,101)
----------------------------
Total increase in net assets
NET ASSETS 2,259,106 6,422,615
Beginning of period 45,780,611 39,357,996
----------------------------
End of period (including undistributed
net investment income of $513,172 and
$935,896, respectively) $48,039,717 $45,780,611
============================
OTHER INFORMATION
Shares:
Sold 259,596 641,113
Issued through reinvestment of
dividends 68,284 32,590
Redeemed (284,754) (689,568)
----------------------------
Net increase (decrease) 43,126 (15,865)
============================
</TABLE>
See accompanying notes.
26
<PAGE>
Nicholas-Applegate Balanced Portfolio
Financial Highlights
<TABLE>
<CAPTION>
SIX MONTHS DECEMBER 3, 1992
ENDED (COMMENCEMENT OF
DECEMBER 31, YEAR ENDED YEAR ENDED OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH
(UNAUDITED) 1995 1994 JUNE 30, 1993
------------ ----------- ----------- ----------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 13.17 $ 11.27 $ 11.50 $ 10.00
Income from investment operations:
Net investment income 0.15 0.27 0.09 0.11
Net realized and unrealized gain (loss) on investments 0.60 1.74 (0.29) 1.39
----------- ----------- ----------- ----------
Total from investment operations 0.75 2.01 (0.20) 1.50
Less distributions:
From net investment income (0.27) (0.11) (0.03) --
----------- ----------- ----------- ----------
Net asset value, end of period $ 13.65 $ 13.17 $ 11.27 $ 11.50
=========== =========== =========== ==========
TOTAL RETURN (A) 5.71% 17.92% (1.70%) 26.07%
RATIOS AND SUPPLEMENTAL DATA (B)
Net Assets, end of period $48,039,717 $45,780,611 $39,357,996 $5,567,264
Ratio of expenses to average net assets (C) 0.95% 0.94% 1.03% 1.25%
Ratio of net investment income to average net assets (C) 2.15% 2.20% 1.69% 1.70%
Portfolio turnover rate 63% 108% 56% 21%
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 3.87% and (0.72%),
respectively, for the period December 3, 1992 (commencement of operations)
through June 30, 1993. (Note 2)
27
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
NUMBER
OF SHARES VALUE
------------------------
COMMON STOCKS (61.9%)
AGRICULTURAL PRODUCTION, CROPS (0.6%)
Castle & Cooke, Inc. 2,267 $ 37,967
Dole Food Company 6,800 238,000
----------
275,967
AMUSEMENT AND RECREATION SERVICES (1.1%)
Grand Casinos, Inc.* 12,150 282,488
King World Productions* 5,600 217,700
----------
500,188
BUSINESS SERVICES (7.1%)
Adaptec, Inc.* 7,200 295,200
Altera Corporation* 6,600 327,938
Cisco Systems, Inc.* 4,500 336,093
Cognex Corporation* 12,200 427,000
Computer Associates International 5,760 327,600
McAfee Associates, Inc.* 6,200 265,825
S3 Incorporated* 15,400 270,463
Structural Dynamics Research* 11,400 333,450
Sun Microsystems, Inc.* 12,400 566,525
Teradyne, Inc.* 9,800 245,000
----------
3,395,094
CHEMICALS AND ALLIED PRODUCTS (3.2%)
Albemarle Corporation 16,400 317,750
Amgen, Inc.* 6,100 361,806
Eastman Chemical Company 7,200 450,900
Watson Pharmaceuticals* 7,700 377,300
----------
1,507,756
COMMUNICATIONS (1.0%)
Infinity Broadcasting* 7,400 275,650
Mobile Telecommunication Corporation* 9,400 200,925
----------
476,575
28
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited)(continued)
NUMBER
OF SHARES VALUE
----------------------
COMMON STOCKS (CONTINUED)
DEPOSITORY INSTITUTIONS (2.7%)
Nationsbank Corporation 4,500 $ 313,312
Standard Federal Bancorporation 8,400 330,750
Union Bank of San Francisco 6,200 334,800
Zions Bancorporation 4,100 330,050
-----------
1,308,912
ELECTRIC, GAS AND SANITARY SERVICE (1.4%)
Noram Energy Corporation 38,000 337,250
Williams Companies 7,800 342,225
-----------
679,475
ELECTRONICS, AND OTHER ELECTRICAL EQUIPMENT (6.8%)
Ascend Communications, Inc.* 7,700 625,144
Black & Decker Corporation 8,700 306,675
Cypress Semiconductor Corporation* 20,100 256,275
Integrated Device Technology* 13,900 179,831
Linear Technology Corporation 7,900 311,063
Maxim Integrated Products* 8,800 338,800
Micron Technology, Inc. 9,700 384,363
Tencor Instruments* 5,700 138,938
Texas Instruments, Inc. 9,200 476,100
Xilinx, Inc.* 7,500 227,813
-----------
3,245,002
FOOD AND KINDRED PRODUCTS (1.3%)
Coca Cola Enterprises, Inc. 11,200 299,600
IBP, Inc. 6,000 303,000
-----------
602,600
FOOD STORES (0.7%)
Vons Companies, Inc.* 11,700 330,525
FORESTRY (0.6%)
Rayonier, Inc. 7,900 263,663
29
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INDUSTRIAL MACHINERY AND EQUIPMENT (6.0%)
Applied Materials, Inc. 6,000 $ 235,875
Bay Networks* 8,850 363,403
Cirrus Logic, Inc.* 2,400 47,550
Conner Peripherals* 16,900 354,900
Dell Computer Corporation* 10,400 362,050
Iomega Corporation* 6,300 306,731
Komag, Inc.* 5,300 243,138
Lam Research Corporation* 5,200 237,250
Seagate Technology, Inc.* 6,600 313,500
U.S. Robotics Corporation* 4,400 386,650
----------
2,851,047
INSTRUMENTS AND RELATED PRODUCTS (4.6%)
Boston Scientific Corporation* 17,100 837,900
Credence Systems Corporation* 8,700 197,925
KLA Instruments Corporation* 21,000 548,625
Nellcor, Inc.* 5,700 332,738
Sci Systems, Inc.* 9,400 290,225
----------
2,207,413
INSURANCE CARRIERS (3.0%)
Ace Limited 3,000 119,250
American Financial Group 11,800 361,375
Conseco, Inc. 5,300 331,913
Foundation Health Corporation* 7,100 305,300
Loews Corporation 4,000 313,500
----------
1,431,338
METAL MINING (2.4%)
Asarco, Inc. 14,300 457,600
Cyprus Amax Minerals Company 11,300 295,213
Phelps Dodge 6,200 385,950
----------
1,138,763
</TABLE>
30
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------
COMMON STOCKS (CONTINUED)
<S> <C> <C>
MISCELLANEOUS RETAIL (0.7%)
Longs Drug Stores, Inc. 7,400 $ 354,275
OIL AND GAS EXTRACTION (2.3%)
Louisiana Land & Exploration 300 12,863
Reading & Bates Corporation* 24,700 370,500
Shell Transport & Trading 4,400 358,050
Sonat Offshore Drilling 8,100 362,475
----------
1,103,888
PAPER AND ALLIED PRODUCTS (5.0%)
Bowater, Inc. 8,000 284,000
Champion International Corporation 6,100 256,200
Chesapeake Corporation 6,000 177,750
Consolidated Papers, Inc. 5,300 297,463
Kimberly-Clark, Inc. 9,360 774,540
Temple-Inland, Inc. 6,500 286,812
Willamette Industries 5,000 281,250
---------
2,358,015
PETROLEUM AND COAL INDUSTRIES (0.7%)
Valero Energy Corporation 12,800 313,600
PRIMARY METAL INDUSTRIES (0.8%)
Reynolds Metals Company 6,800 385,050
RAILROAD TRANSPORTATION (0.7%)
Norfolk Southern Corporation 4,300 341,313
SECURITY AND COMMODITY BROKERS (3.5%)
Bear Stearns Companies 11,500 228,562
Lehman Brothers Holdings 1,000 233,750
Merrill Lynch and Company 5,600 285,600
Morgan Stanley Group, Inc. 3,500 282,183
PaineWebber Group, Inc. 14,100 282,000
Salomon, Inc. Companies 8,500 301,750
-----------
1,613,845
31
</TABLE>
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
COMMON STOCKS (CONTINUED)
<S> <C> <C>
TRANSPORTATION BY AIR (2.1%)
Comair Holdings, Inc. 11,500 $ 307,625
Continental Airlines* 7,900 343,650
UAL Corporation* 2,000 357,000
----------
1,008,275
TRANSPORTATION EQUIPMENT (1.8%)
FMC Corporation* 3,700 250,213
Harsco Corporation 4,600 267,375
McDonnell Douglas Corporation 3,900 358,800
----------
876,388
WATER TRANSPORTATION (0.6%)
Tidewater, Inc. 9,700 305,550
WHOLESALE TRADE, DURABLE GOODS (0.6%)
Avnet, Inc. 6,000 268,500
WHOLESALE TRADE, NONDURABLE GOODS (0.6%)
Philip Morris Companies, Inc. 3,400 307,700
----------
TOTAL COMMON STOCKS (Cost $25,650,852) 29,450,717
</TABLE>
32
<PAGE>
Nicholas-Applegate Balance Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
LONG-TERM DEBT SECURITIES (34.1%) ------------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (34.1%)
U.S. Treasury Notes, 8.25%, due 7/15/1998 1,520,000 1,626,871
U.S. Treasury Notes, 7.50%, due 5/15/2002 2,210,000 2,450,337
U.S. Treasury Notes, 6.25%, due 2/15/2003 2,090,000 2,180,455
U.S. Treasury Notes, 7.25%, due 5/15/2004 3,800,000 4,218,000
U.S. Treasury Notes, 7.875%, due 11/15/2004 3,200,000 3,704,000
U.S. Treasury Notes, 0%, due 8/15/2005 3,570,000 2,074,205
------------
16,253,868
------------
TOTAL LONG-TERM DEBT SECURITIES (Cost $15,083,293) 16,253,868
SHORT-TERM SECURITIES (4.0%)
REPURCHASE AGREEMENT (4.0%)
State Street Bank, 4.25%, due 1/2/96 (Dated 12/29/95
Collateralized by U.S. Treasury Bond 8.75%
due 5/15/2017, value $1,935,960) 1,896,959 1,896,959
-----------
TOTAL SHORT-TERM SECURITIES (Cost $1,896,959) 1,896,959
------------
TOTAL INVESTMENTS (100.0%)(Cost $42,631,104) $ 47,601,544
============
</TABLE>
*Non-income producing
33
<PAGE>
Nicholas-Applegate Balanced Portfolio
Schedule of Investments (Unaudited) (continued)
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995, aggregated $28,573,800 and $29,113,046,
respectively. Net unrealized appreciation for tax purposes aggregated
$4,970,440, of which $6,264,335 related to appreciated investment securities
and $1,293,895 related to depreciated investment securities. Aggregate cost of
securities is the same for book and tax purposes.
See accompanying notes.
34
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
ASSETS
Investment in securities, at value (cost $17,650,643) $22,631,373
(Note 1)--See accompanying schedule
Cash 14,826
Dividends and interest receivable 21,879
-----------
TOTAL ASSETS 22,668,078
LIABILITIES
Accounts payable and accrued expenses 20,845
-----------
TOTAL LIABILITIES 20,845
-----------
NET ASSETS $22,647,233
===========
Net Assets consist of:
Paid-in capital $17,830,462
Undistributed net realized loss on investments (163,959)
Net unrealized appreciation on investment securities 4,980,730
-----------
NET ASSETS, for 1,656,643 shares outstanding $22,647,233
===========
NET ASSET VALUE, offering and redemption price per share $ 13.67
===========
See accompanying notes.
35
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME
Dividends $ 82,569
Interest 23,792
----------
Total investment income 106,361
EXPENSES (Note 2)
Investment advisory and management fees 67,972
Custody and accounting fees 23,529
Professional fees 7,558
Directors' fees and expenses 2,640
Regulatory fees 2,033
Other expenses 3,208
----------
Total expenses 106,940
----------
Net investment loss (579)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (Note 1)
Net realized loss on investments (163,959)
Change in unrealized appreciation on investment securities 1,310,039
----------
Net realized and unrealized gain on investments 1,146,080
----------
Net increase in net assets resulting from operations $1,145,501
==========
</TABLE>
See accompanying notes.
36
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
-------------------------
<S> <C> <C>
INCREASE IN NET ASSETS
Operations:
Net investment income (loss) $ (579) $ 17,603
Net realized gain (loss) on investments (163,959) 311,876
Change in net unrealized appreciation 1,310,039 3,972,691
-------------------------
Net increase in net assets resulting from
operations 1,145,501 4,302,170
Distributions to shareholders from:
Net investment income (17,603) --
Net realized gain (152,435) --
-------------------------
Total distributions to shareholders (170,038) --
Capital share transactions:
Proceeds from sales of shares 8,189,112 5,228,036
Proceeds from reinvested distributions 170,038 --
Cost of shares redeemed (3,080,656) (3,829,957)
-------------------------
Net increase in net assets resulting from
share transactions 5,278,494 1,398,079
-------------------------
Total increase in net assets 6,253,957 5,700,249
NET ASSETS
Beginning of period 16,393,276 10,693,027
-------------------------
End of period (including undistributed net
investment income of $17,603 at June 30, 1995) $22,647,233 $16,393,276
=========================
OTHER INFORMATION
Shares:
Sold 591,765 485,092
Issued through reinvestment of distributions 12,192 --
Redeemed (222,580) (352,447)
-------------------------
Net increase 381,377 132,645
=========================
</TABLE>
See accompanying notes.
37
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 8,
SIX MONTHS 1992
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED YEAR ENDED OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 12.85 $ 9.36 $ 9.71 $ 10.00
Income from investment operations:
Net investment income (loss) (0.00) (E) 0.01 (0.02)(C) --
Net realized and unrealized
gain (loss) on investments 0.92 3.48 (0.33) (0.29)
-----------------------------------------------------------------------------------
Total from investment operations 0.92 3.49 (0.35) (0.29)
Less distributions:
From net investment income (0.01) -- -- --
From net realized gain (0.09) -- -- --
-----------------------------------------------------------------------------------
Total distributions (0.10) -- -- --
-----------------------------------------------------------------------------------
Net asset value, end of period $ 13.67 $ 12.85 $ 9.36 $ 9.71
===================================================================================
TOTAL RETURN (A) 7.17% 37.29% (3.60)% (5.16%)
RATIOS AND SUPPLEMENTAL DATA (B)
Net Assets, end of period $22,647,233 $16,393,276 $10,693,027 $5,143,365
Ratio of expenses to average
net assets (D) 1.02% 1.05% 1.29% 1.34%
Ratio of net investment income (loss)
to average net assets (D) (0.01)% 0.13% (0.17)% (0.06)%
Portfolio turnover rate 18% 31% 38% 6%
</TABLE>
(A) Total returns for periods of less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) Net investment income (loss) per share has been calculated using the
weighted monthly average number of shares outstanding.
(D) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 3.52% and (1.94%),
respectively, for the period ended December 8, 1992 (commencement of
operations) through June 30, 1993. (Note 2)
(E) Less than $0.01 per share.
38
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (97.8%)
BUILDING MATERIAL AND GARDEN SUPPLIES
(2.8%)
Home Depot, Inc. 13,333 $ 638,316
BUSINESS SERVICES (25.0%)
Adobe Systems, Inc. 9,700 602,613
Autodesk, Inc. 14,900 510,325
Automatic Data Processing 6,900 512,325
Cabletron Systems* 8,700 704,700
Cisco Systems, Inc.* 8,300 619,906
Electronic Arts, Inc.* 13,800 361,388
First Data Corporation 7,770 519,619
Microsoft Corporation* 5,600 491,750
Oracle Corporation 9,900 419,513
Silicon Graphics, Inc.* 14,900 409,750
Sybase, Inc.* 14,300 513,013
------------
5,664,902
CHEMICALS AND ALLIED PRODUCTS (13.2%)
Amgen, Inc.* 10,900 646,506
Great Lakes Chemical Corporation 7,600 547,200
Merck & Company, Inc. 9,100 598,325
Morton International, Inc. 16,700 599,112
Mylan Laboratories 25,500 599,250
------------
2,990,393
COMMUNICATIONS (10.9%)
AT&T Corporation 8,000 518,000
Capital Cities/ABC, Inc. 4,250 524,344
General Instrument Corp. 18,400 430,100
Qualcomm, Inc. 12,600 541,013
Tellabs, Inc. 12,000 445,500
------------
2,458,957
DEPOSITORY INSTITUTIONS (6.9%)
Bankamerica Corporation 8,400 543,900
First Interstate Bancorp 3,500 477,750
Nationsbank Corporation 7,600 529,150
------------
1,550,800
</TABLE>
39
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONIC AND OTHER ELECTRICAL
EQUIPMENT (5.4%)
Intel Corporation 8,300 $ 471,543
Motorola, Inc. 7,600 433,200
Sensormatic Electronics Corporation 17,800 309,275
------------
1,214,018
FURNITURE AND HOME FURNISHINGS STORES
(1.8%)
Circuit City Stores, Inc. 14,600 403,325
GENERAL MERCHANDISE STORES (1.9%)
Walmart Stores, Inc. 19,600 438,550
HOLDING COMPANIES AND OTHER INVESTMENT
OFFICES (2.5%)
Norwest Corporation 17,200 567,600
INDUSTRIAL MACHINERY AND
COMPUTER EQUIPMENT (6.8%)
Applied Materials, Inc.* 10,500 412,781
Hewlett-Packard Company 6,200 519,250
Tyco International Limited 16,900 602,063
------------
1,534,094
INSURANCE CARRIERS (8.0%)
American International Group 5,950 550,375
Chubb Corporation 5,700 551,475
United Healthcare Corporation 10,800 707,400
------------
1,809,250
MISCELLANEOUS RETAIL (3.7%)
Office Depot, Inc.* 17,700 349,575
Staples, Inc.* 20,250 496,125
------------
845,700
MOTION PICTURES (2.3%)
Walt Disney Company 8,900 525,100
NONDEPOSITORY INSTITUTION (2.1%)
Dean Witter Discover & Company 9,900 465,300
</TABLE>
40
<PAGE>
Harris Bretall Sullivan & Smith Equity Growth Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES
OR PRINCIPAL
AMOUNT VALUE
----------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SECURITY AND COMMODITY BROKERS (2.0%)
Charles Schwab Corporation 22,000 $ 442,750
TRANSPORTATION EQUIPMENT (2.5%)
General Electric Company 8,000 576,000
--------------
TOTAL COMMON STOCKS (Cost $17,144,325) 22,125,055
SHORT-TERM SECURITIES (2.2%)
REPURCHASE AGREEMENT (2.2%)
State Street Bank, 4.25%, due 1/2/96
(Dated 12/29/95 Collateralized by
U.S. Treasury Bond 8.75% due
5/15/2017, value $517,140) $506,318 506,318
--------------
TOTAL SHORT-TERM SECURITIES (Cost
$506,318) 506,318
--------------
TOTAL INVESTMENTS (100.0%) (Cost
$17,650,643) $22,631,373
==============
</TABLE>
* Non-income producing
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the
six months ended December 31, 1995, aggregated $8,608,608 and $3,654,396,
respectively. Net unrealized appreciation for tax purposes aggregated
$4,980,730, of which $5,398,356 related to appreciated investment securities
and $417,626 related to depreciated investment securities. The aggregate cost
of securities is the same for book and tax purposes.
See accompanying notes.
41
<PAGE>
Dreman Value Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $12,074,740) $15,591,581
(Note 1)--See accompanying schedule
Cash 26,109
Dividends, interest and other receivables 31,676
-----------
TOTAL ASSETS 15,649,366
LIABILITIES
Accounts payable and accrued expenses 10,464
-----------
TOTAL LIABILITIES 10,464
-----------
NET ASSETS $15,638,902
===========
Net Assets consist of:
Paid-in capital $11,662,016
Undistributed net investment income 136,027
Undistributed net realized gain on investments 324,018
Net unrealized appreciation on investment securities 3,516,841
-----------
NET ASSETS, for 1,046,489 shares outstanding $15,638,902
===========
NET ASSET VALUE, offering and redemption price per share $ 14.94
===========
</TABLE>
See accompanying notes.
42
<PAGE>
Dreman Value Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends $ 181,255
Interest 13,102
----------
Total investment income 194,357
EXPENSES (Note 2)
Investment advisory and management fees 28,662
Custody and accounting fees 14,831
Professional fees 7,558
Directors' fees and expenses 2,640
SEC registration fees 626
Foreign tax expense 614
Taxes and filing fees 484
Other expenses 2,915
----------
Total expenses 58,330
----------
Net investment income 136,027
REALIZED AND UNREALIZED GAIN ON INVESTMENTS (Note 1)
Net realized gain on investments 324,018
Change in unrealized appreciation on investment securities 2,115,912
----------
Net realized and unrealized gain on investments 2,439,930
----------
Net increase in net assets resulting from operations $2,575,957
==========
</TABLE>
See accompanying notes.
43
<PAGE>
Dreman Value Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS ENDED
DECEMBER 31, 1995 YEAR ENDED
(UNAUDITED) JUNE 30, 1995
----------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 136,027 $ 190,518
Net realized gain on investments 324,018 110,922
Change in net unrealized appreciation 2,115,912 1,497,538
----------- -----------
Net increase in net assets resulting from operations 2,575,957 1,798,978
Distributions to shareholders from:
Net investment income (190,236) (115,316)
Net realized gain (110,864) (33,184)
----------- -----------
Total distributions to shareholders (301,100) (148,500)
Capital share transactions:
Proceeds from sales of shares 3,463,021 2,443,372
Proceeds from reinvested distributions 301,100 148,500
Cost of shares redeemed (1,276,986) (2,317,614)
----------- -----------
Net increase in net assets resulting from share transactions 2,487,135 274,258
----------- -----------
Total increase in net assets 4,761,992 1,924,736
NET ASSETS
Beginning of period 10,876,910 8,952,174
----------- -----------
End of period (including undistributed net investment income
$136,027 and $190,236, respectively) $15,638,902 $10,876,910
=========== ===========
OTHER INFORMATION
Shares:
Sold 251,849 218,818
Issued through reinvestment of distributions 21,840 13,171
Redeemed (90,932) (208,122)
----------- -----------
Net increase 182,757 23,867
=========== ===========
</TABLE>
See accompanying notes.
44
<PAGE>
Dreman Value Portfolio
Financial Highlights
<TABLE>
<CAPTION>
DECEMBER 14,
SIX MONTHS 1992
ENDED YEAR YEAR (COMMENCEMENT
DECEMBER 31, ENDED ENDED OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
-------------------------------------------------------
SELECTED PER-SHARE DATA
<S> <C> <C> <C> <C>
Net asset value, beginning of
period $ 12.59 $ 10.66 $ 10.45 $ 10.00
Income from investment operations:
Net investment income 0.10 0.26 0.12 0.11
Net realized and unrealized gain on
investments 2.55 1.85 0.17 0.34
-------------------------------------------------------
Total from investment operations 2.65 2.11 0.29 0.45
Less distributions:
From net investment income (0.19) (.14) (0.08) --
From net realized gain (0.11) (.04) -- --
-------------------------------------------------------
Total distributions (0.30) (0.18) (0.08) --
-------------------------------------------------------
Net asset value, end of period $ 14.94 $ 12.59 $ 10.66 $ 10.45
======================================================
TOTAL RETURN (A) 21.24% 19.98% 2.80% 8.25%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $15,638,902 $10,876,910 $8,952,174 $1,671,220
Ratio of expenses to average
net assets (C) 0.89% 1.13% 1.40% 1.24%
Ratio of net investment income to
average net assets (C) 2.07% 1.98% 1.98% 2.00%
Portfolio turnover rate 8% 29% 9% 5%
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 1.61% and 1.76%, respectively,
for the year ended June 30, 1994 and were 8.43% and (1.49%), respectively,
for the period December 14, 1992 (commencement of operations) through June
30, 1993. (Note 2)
45
<PAGE>
Dreman Value Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
COMMON STOCKS (95.2%)
APPAREL AND OTHER FINISHED PRODUCTS (4.8%)
<S> <C> <C>
Liz Claiborne, Inc. 11,400 $ 316,350
VF Corporation 8,200 432,550
----------
748,900
BASIC CHEMIC PLASTICS AND SYNTHETICS (8.7%)
Bristol-Myers Squibb Company 2,200 188,925
Eli Lilly & Company 7,600 427,500
Glaxo Holdings PLC-ADR 5,200 146,900
Merck & Company Inc. 4,100 269,575
Upjohn Company 8,265 320,269
----------
1,353,169
DEPOSITORY INSTITUTIONS (13.2%)
Ahmanson (H.F.) & Company 10,000 265,000
Bankers Trust New York 5,300 352,450
Barnett Banks, Inc. 4,800 283,200
Fleet Financial Group, Inc. 1,700 69,275
Great Western Financial 11,000 280,500
J.P. Morgan & Company 1,500 120,375
Keycorp 6,000 217,500
Midatlantic Corporation, Inc. 4,200 275,888
Wells Fargo & Company 900 194,400
----------
2,058,588
ELECTRIC, GAS AND SANITARY SERVICE (5.1%)
Columbia Gas System* 18,100 794,137
ELECTRICAL & ELECTRONIC MACHINERY, EQUIP.
(3.3%)
General Electric Company 7,200 518,400
FOOD AND KINDRED PRODUCTS (1.7%)
Nestle SA-ADR 4,700 259,087
</TABLE>
46
<PAGE>
Dreman Value Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
COMMON STOCKS (CONTINUED)
GENERAL MERCHANDISE STORES (5.0%)
<S> <C> <C>
Dayton-Hudson Corporation 5,000 $ 375,000
May Department Stores Company 3,500 147,875
TJX Companies, Inc. 13,300 251,038
----------
773,912
HEALTH SERVICES (1.3%)
Tenet Health Care* 9,500 197,125
HOLDING COMPANIES AND OTHER INVESTMENT
OFFICES (9.9%)
Bankamerica Corporation 4,000 259,000
First Chicago Corporation 8,326 328,877
First Union Corporation 3,800 211,375
Nationsbank Corporation 2,500 174,062
PNC Bank Corporation 17,900 577,275
----------
1,550,589
INDUSTRIAL MACHINERY AND COMPUTER
EQUIPMENT (1.1%)
Apple Computer 5,300 168,606
INSTRUMENTS AND RELATED PRODUCTS (2.0%)
Baxter International, Inc. 3,000 125,625
Becton Dickinson & Company 2,500 187,500
----------
313,125
INSURANCE AGENTS, BROKERS AND SERVICE (2.4%)
Humana, Inc.* 13,500 369,563
INSURANCE CARRIERS (6.4%)
American General Corporation 6,800 237,150
American International Group 2,250 208,125
Ohio Casualty Corporation 3,000 115,500
Travelers Group, Inc. 1,200 75,450
U.S. Healthcare, Inc. 7,800 362,213
----------
998,438
</TABLE>
47
<PAGE>
Dreman Value Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
LUMBER AND WOOD PRODUCTS (2.5%)
Louisiana-Pacific Corporation 15,800 $ 383,150
NONDEPOSITORY INSTITUTION (10.7%)
Federal National Mortgage Association 6,700 831,637
Federal Home Loan Mortgage Corporation 10,100 843,350
Transport Holdings, Inc.* 6 250
-----------
1,675,237
OIL & GAS EXTRACTION (1.1%)
Atlantic Richfield Company 1,500 166,125
PETROLEUM AND COAL PRODUCTS (1.6%)
Amoco Corporation 3,500 251,563
RETAIL FOOD STORES (1.2%)
Giant Food, Inc. 6,000 189,000
STONE, CLAY, GLASS, AND CONCRETE
PRODUCTS (0.9%)
Hanson PLC-ADR 9,000 137,250
U.S. Industries, Inc.* 450 8,269
-----------
145,519
TEXTILE MILL PRODUCTS (3.0%)
Fruit of the Loom, Inc.* 19,000 463,125
TOBACCO MANUFACTURERS OF CIGARETTES (0.9%)
UST, Inc. 4,400 146,850
TRANSPORTATION EQUIPMENT (3.7%)
Ford Motor Company 19,900 577,100
WHOLESALE TRADE-NONDURABLE GOODS (4.7%)
Burlington Coat Factory* 8,500 87,125
Phillip Morris 7,200 651,600
-----------
738,725
-----------
TOTAL COMMON STOCKS (Cost $11,323,766) 14,840,033
</TABLE>
48
<PAGE>
Dreman Value Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES
OR PRINCIPAL
AMOUNT VALUE
----------------------------
<S> <C> <C>
PREFERRED STOCKS (0.0%)
INSURANCE CARRIERS (0.0%)
Everen Capital Corporation 132 $ 3,234
-----------
TOTAL PREFERRED STOCKS (COST $2,660) 3,234
SHORT-TERM SECURITIES (4.8%)
REPURCHASE AGREEMENT (4.8%)
State Street Bank, 4.25%, due 1/2/96
(Dated 12/29/95 Collateralized by U.S.
Treasury Bond due 5/15/2017,
value $762,450) $748,314 748,314
-----------
TOTAL SHORT-TERM SECURITIES (Cost $748,314) 748,314
-----------
TOTAL INVESTMENTS (100.0%) (Cost $12,074,740) $15,591,581
===========
</TABLE>
* Non-income producing
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995, aggregated $2,588,831 and $972,512,
respectively. Net unrealized appreciation for tax purposes aggregated
$3,516,841, of which $3,657,888 related to appreciated investment securities
and $141,047 related to depreciated investment securities. The aggregate cost
of securities is the same for book and tax purposes.
See accompanying notes.
49
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<S> <C>
ASSETS
Investment in securities, at value (cost $8,359,003)
(Note 1)--See accompanying schedule $10,006,880
Cash 330,966
Dividends, interest and other receivables 14,232
-----------
TOTAL ASSETS 10,352,078
LIABILITIES
Accounts payable and accrued expenses 7,466
-----------
TOTAL LIABILITIES 7,466
-----------
NET ASSETS $10,344,612
===========
Net Assets consist of:
Paid-in capital $ 8,838,876
Undistributed net investment income 33,714
Undistributed net realized loss on investment securities
and futures contracts (175,855)
Net unrealized appreciation on investment securities
and futures contracts 1,647,877
-----------
NET ASSETS, for 819,555 shares outstanding $10,344,612
===========
NET ASSET VALUE, offering and redemption price per share $ 12.62
===========
</TABLE>
See accompanying notes.
50
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<S> <C>
INVESTMENT INCOME
Dividends $ 66,195
Interest 36,587
-----------
Total investment income 102,782
EXPENSES (Note 2)
Investment advisory and management fees 47,111
Custody and accounting fees 10,095
Professional fees 7,558
Directors' fees and expenses 2,640
Other expenses 1,764
-----------
Total expenses 69,168
-----------
Net investment income 33,614
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (Note 1)
Net realized gain (loss) on:
Investment securities 431,254
Futures contracts (146,107)
-----------
Net realized gain 285,147
Change in unrealized appreciation (depreciation) on:
Investment securities 513,234
Futures contracts 15,829
-----------
Change in unrealized appreciation 529,063
-----------
Net realized and unrealized gain on investments 814,210
-----------
Net increase in net assets resulting from operations $ 847,824
===========
</TABLE>
See accompanying notes.
51
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Statements of Changes in Net Assets
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
----------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 33,614 $ 119,424
Net realized gain (loss) on investments 285,147 (389,775)
Change in net unrealized appreciation 529,063 1,043,789
---------------------------------
Net increase in net assets resulting from operations 847,824 773,438
Distributions to shareholders from:
Net investment income (119,225) (40,100)
Net realized gains -- (50,400)
---------------------------------
Total distributions to shareholders (119,225) (90,500)
Capital share transactions:
Proceeds from sales of shares 2,407,069 1,913,641
Proceeds from reinvested distributions 119,225 90,500
Cost of shares redeemed (944,073) (2,244,234)
---------------------------------
Net increase (decrease) in net assets resulting from
share transactions 1,582,221 (240,093)
---------------------------------
Total increase in net assets 2,310,820 442,845
NET ASSETS
Beginning of period 8,033,792 7,590,947
---------------------------------
End of period (including undistributed net investment
income of $33,714 and $119,325, respectively) $10,344,612 $ 8,033,792
=================================
OTHER INFORMATION
Shares:
Sold 193,831 178,821
Issued through reinvestment of distributions 9,732 8,378
Redeemed (75,392) (208,320)
---------------------------------
Net increase (decrease) 128,171 (21,121)
=================================
</TABLE>
See accompanying notes.
52
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Financial Highlights
DECEMBER 14,
SIX MONTHS 1992
ENDED YEAR YEAR (COMMENCEMENT
DECEMBER 31, ENDED ENDED OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
--------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 11.62 $ 10.65 $ 10.11 $ 10.00
Income from investment operations:
Net investment income 0.03 0.17 0.15 0.05
Net realized and unrealized gain on investments 1.13 0.93 0.50 0.06
-------------------------------------------------------------
Total from investment operations 1.16 1.10 0.65 0.11
Less distributions:
From net investment income (0.16) (0.06) (0.11) --
From net realized gain -- (0.07) -- --
-------------------------------------------------------------
Total distributions (0.16) (0.13) (0.11) --
-------------------------------------------------------------
Net asset value, end of period $ 12.62 $ 11.62 $ 10.65 $ 10.11
=============================================================
TOTAL RETURN (A) 10.06% 10.39% 6.53% 2.02%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $10,344,612 $8,033,792 $7,590,947 $2,115,634
Ratio of expenses to average net assets 1.54% 1.55% 1.72% 1.61%
Ratio of net investment income to average net assets .75% 1.54% 1.75% 0.84%
Ratio of expenses to average net assets before
voluntary expense reimbursement (Note 2) 1.54% 1.59% 2.14% 7.29%
Ratio of net investment income (loss) to average net
assets before voluntary expense reimbursement (Note 2) .75% 1.50% 1.32% (1.80%)
Portfolio turnover rate 29% 67% 249% 15%
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
53
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
NUMBER
OF SHARES VALUE
--------------------------
COMMON STOCKS (80.5%)
AGRICULTURAL PRODUCTION - CROPS (0.1%)
Chiquita Brands International 700 $ 9,625
AGRICULTURAL PRODUCTION - LIVESTOCK (0.2%)
Hudson Foods, Inc. 1,200 20,700
AMUSEMENT AND RECREATION SERVICES (0.1%)
Grand Casinos, Inc.* 450 10,463
APPAREL AND ACCESSORY STORES (0.2%)
Claire's Stores, Inc. 500 8,813
Ross Stores, Inc. 500 9,656
--------
18,469
APPAREL AND OTHER FINISHED PRODUCTS (0.3%)
Quiksilver, Inc.* 600 20,513
Westpoint Stevens, Inc.* 500 9,969
--------
30,482
AUTO REPAIR, SERVICES, AND PARKING (0.05%)
PHH Corporation 100 4,675
AUTOMOTIVE DEALERS AND SERVICE STATIONS (0.01%)
Getty Petroleum Corporation 900 12,150
BUILDING MATERIALS AND GARDEN SUPPLIES (0.3%)
General Host Corporation* 1,400 5,600
Shelter Components Corporation 1,450 23,744
--------
29,344
BUSINESS SERVICES (3.1%)
Aaron Rents, Inc. 700 12,688
ADT, Limited* 1,400 21,000
American List Corporation 560 14,280
54
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
BUSINESS SERVICES (3.1%) (CONTINUED)
Amplicon, Inc. 500 $ 7,563
Comdisco, Inc. 450 10,181
Computer Task Group, Inc. 200 3,950
Computervision Corporation 1,500 23,063
Electro Rent Corporation* 1,800 38,250
Heritage Media Corporation* 100 2,563
Hogan Systems, Inc.* 900 12,263
Microcom, Inc.* 700 18,244
Norstan, Inc.* 1,000 25,375
Orbotech Ltd.* 800 9,400
PCI Services, Inc.* 700 6,956
Proteon, Inc.* 1,200 7,800
Sequoia Systems, Inc.* 1,800 9,675
Software Spectrum, Inc.* 300 6,375
Sun Microsystems, Inc.* 1,200 54,825
Teradyne, Inc.* 400 10,000
Volt Info Sciences, Inc.* 700 18,638
--------
313,089
CHEMICAL AND OTHER ALLIED PRODUCTS (4.6%)
Akzo Nobel Nv - ADR 400 23,150
Albemarle Corporation 500 9,688
Arco Chemical Company 700 34,038
Cabot Corporation 200 10,775
Cambrex Corporation 300 12,413
Cytec Industries, Inc.* 200 12,475
Eastman Chemical Company 300 18,788
Electrochemical Industries Frutar* 600 1,744
First Mississippi Corporation 800 21,200
Georgia Gulf Corporation 400 12,300
Icn Pharmaceuticals, Inc. 500 9,625
IMC Global, Inc. 500 20,438
Imperial Chemical Ind. - ADR 300 14,025
Incstar Corporation* 800 3,300
</TABLE>
55
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
CHEMICAL AND OTHER ALLIED PRODUCTS (4.6%) (CONTINUED)
Jean Philippe Fragrances* 1,000 $ 8,313
Lyondell Petrochemical 400 9,150
MacDermaid, Inc. 300 17,850
Mississippi Chemical Corporation 400 9,375
Monsanto Company 100 12,250
NL Industries* 600 7,425
Norsk Hydro - ADR 1,200 50,250
Nova Corporation 3,400 27,200
Occidental Petroleum Corporation 700 14,963
Olin Corporation 200 14,850
Rexene Corporation* 700 7,525
Terra Industries, Inc. 1,600 22,600
Union Carbide Corporation 1,100 41,250
Wellman, Inc. 400 9,100
--------
456,060
COAL MINING (0.1%)
Addington Resources, Inc.* 500 7,219
Ashland Coal 300 6,413
--------
13,632
COMMUNICATIONS (0.4%)
Telefonica de Espana - ADR 500 20,938
Vtel Corporation* 800 14,900
--------
35,838
DEPOSITORY INSTITUTIONS (12.7%)
Astoria Financial Corporation 300 13,725
Banco Latinoamericano - ADR 200 9,300
Bank of Boston Corporation 1,100 50,806
Bank of New York Company, Inc. 900 43,875
Bankamerica Corporation 600 38,850
Banponce Corporation 500 19,469
Barnett Banks, Inc. 700 41,300
</TABLE>
56
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------
COMMON STOCKS (CONTINUED)
<S> <C> <C>
DEPOSITORY INSTITUTIONS (12.7%)(CONTINUED)
Baybanks, Inc. 200 $ 19,600
Brooklyn Bancorp, Inc.* 300 12,188
California Federal Bank* 800 12,650
Centura Banks, Inc. 300 10,538
Charter One Financial, Inc. 300 9,150
Chase Manhattan Corporation 600 36,375
Chemical Banking Corporation 700 41,125
Citicorp 700 47,075
City National Corporation 900 12,600
Comerica, Inc. 1,200 48,150
Commerce Bancshares, Inc. 630 24,019
Commercial Federal Corporation 400 15,100
Cullen/Frost Bankers, Inc. 100 5,013
CVB Financial Corporation 21 318
Deposit Guaranty Corporation 300 13,463
Dime Bancorp, Inc.* 500 5,813
Eagle Financial Corporation 210 5,460
First American Corporation- Tennessee* 300 14,250
First Bank System, Inc. 400 19,850
First Chicago NBD Corporation 2,367 93,497
First Empire State Corporation 100 21,800
First Interstate Bancorp 300 40,950
First Union Corporation 300 16,688
Fleet Financial Group, Inc. 500 20,375
Glendale Federal Bank* 700 12,250
Greenpoint Financial Corporation 300 7,988
Hibernia Corporation 1,200 12,900
Hubco, Inc. 450 9,956
Investors Financial Services* 167 3,444
Long Island Bancorp, Inc. 400 10,575
Mercantile Bancorp 300 13,800
Metrobank 400 12,500
Midatlantic Corporation, Inc. 600 39,413
National Australia Bank - ADR 100 4,525
</TABLE>
57
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
DEPOSITORY INSTITUTIONS (12.7%) (CONTINUED)
National City Corporation 500 $ 16,563
National Westminster Bank PLC - ADR 700 42,525
North Fork Bancorporation 946 23,887
Norwest Corporation 1,520 50,160
Republic New York Corporation 700 43,488
Riggs National Corporation Washington DC* 1,300 16,900
Santa Monica Bank* 700 9,625
Standard Federal Bancorporation 400 15,750
Star Banc Corporation 200 11,900
Sterling Bancorp 1,100 13,750
TCF Financial Corporation 600 19,875
UJB Financial Corporation 600 21,450
Union Bank San Francisco 300 16,200
Westamerica Bancorporation 100 4,300
Westcorp 635 11,748
Westpac Banking - ADR 2,200 49,500
Zions Bancorporation 100 8,050
----------
1,266,394
ELECTRIC, GAS AND SANITARY SERVICES (4.6%)
American Electric Power 400 16,200
American Water Works, Inc. 200 7,775
Baltimore Gas & Electric 600 17,100
Boston Edison Company 200 5,900
Centerior Energy Corporation 1,200 10,650
Central Vermont Public Services 800 10,700
Cilcorp, Inc. 300 12,713
CMS Energy Corporation 400 11,950
Columbia Gas System* 300 13,163
DQE, Inc. 200 6,150
Entergy Corporation 600 17,550
Illinova Corporation 400 12,000
Interstate Power Company 400 13,300
New England Electric System 200 7,925
</TABLE>
58
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRIC, GAS AND SANITARY SERVICES (4.6%) (CONTINUED)
New York State Electric & Gas 400 $ 10,350
Northeast Utilities 800 19,500
Northern States Power 400 19,650
Pacific Enterprises 1 28
Pacific Gas & Electric 1,400 39,725
Pacificorp 800 17,000
Pinnacle West Corporation 400 11,500
Portland General Corporation 300 8,738
Public Service Company of New Mexico* 600 10,575
Rochester Gas & Electric 400 9,050
Scecorp 1,900 33,725
Sierra Pacific Resources 600 14,025
Southern Union Company* 105 2,651
St Joseph Light & Power 300 10,650
TNP Enterprises, Inc. 700 13,125
Unicom Corporation 1,500 49,125
Westcoast Energy, Inc. 500 7,313
Western Waste Industries* 800 21,900
--------
461,706
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT (5.7%)+A192
Advanced Semiconductor Materials* 200 9,900
Altron Corporation* 1,500 44,813
Bel Fuse, Inc.* 600 6,375
Black & Decker Corporation 300 10,575
BMC Industries, Inc.-Minnesota 1,200 27,900
Burr-Brown Corporation* 550 13,819
Charter Power Systems 700 19,863
Computer Products, Inc.* 2,400 27,450
CTS Corporation 200 7,550
Cypress Semiconductor Corporation* 600 7,650
Electro Scientific Industries, Inc.* 300 8,663
Electrolux - ADR 200 8,250
Evans & Sutherland CMP Corporation* 400 9,050
</TABLE>
59
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
ELECTRONIC AND OTHER ELECTRIC EQUIPMENT (5.7%)
(CONTINUED)
Exide Electrs Group, Inc.* 600 $ 8,700
Genlyte Group, Inc.* 1,800 12,150
Hadco Corporation* 800 22,650
Harmon International 315 12,639
Helen of Troy Ltd.* 700 14,481
Hutchinson Tech.* 200 8,375
Integrated Device Tech, Inc.* 1,000 12,938
Interdigital Communication Corporation* 1,200 8,850
International Rectifier Corporation* 1,400 35,000
Kollmorgen Corporation 900 9,900
Lamson & Sessions Company* 1,100 8,525
Micron Technology, Inc. 700 27,738
Microsemi Corporation* 1,000 8,688
Moog, Inc.* 300 5,175
National Semiconductor Corporation* 1,300 28,925
Park Electrochemical Corporation 600 19,800
Phillips Electronics 1,100 39,463
Read-Rite Corporation* 300 6,956
Technitrol, Inc. 500 11,375
Texas Instruments, Inc. 700 36,225
Thomas Industries, Inc. 400 9,400
Trinova Corporation 300 8,588
Watkins-Johnson Company 300 13,125
--------
571,524
ENGINEERING AND MANAGEMENT SERVICES (0.1%)
Bet PLC - ADR 1,000 7,625
Innerdyne* 1,900 5,225
--------
12,850
</TABLE>
60
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FABRICATED METAL PRODUCTS (0.4%)
Ameron Inc 400 $ 15,050
Butler Manufacturing Company 150 5,906
Commercial Intertech Corporation 300 5,438
Great American Management and Investment* 200 9,400
International Aluminum Company 100 2,875
United Dominion Industries 100 2,163
--------
40,832
FOOD AND KINDRED PRODUCTS (1.5%)
Alpine Lace Brands, Inc.* 900 8,663
Archer Daniels Midland Group, Inc. 2,905 52,290
Coca Cola Enterprises, Inc. 1,600 42,800
IBP, Inc. 500 25,250
Montedison SPA 900 5,850
Morningstar Group, Inc.* 600 4,875
Orange-Co, Inc. 500 3,875
Seneca Foods Corporation* 400 7,525
--------
151,128
FOOD STORES (0.6%)
Great Atlantic & Pacific Tea Company 300 6,900
Kroger Company* 600 22,500
Riser Foods Inc 1,100 17,738
Schultz Sav O Stores, Inc. 700 10,588
--------
57,726
FORESTRY (0.4%)
Georgia-Pacific Corporation 400 27,450
Rayonier, Inc. 300 10,013
--------
37,463
</TABLE>
61
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
FURNITURE AND FIXTURES (0.5%)
Chromcraft Revington, Inc.* 500 $ 13,313
Falcon Products, Inc. 660 8,663
Kinetic Concepts 1,100 13,269
Lear Seating Corporation* 400 11,600
--------
46,845
FURNITURE AND HOME FURNISHING STORES (0.2%)
Inacom Corporation* 700 9,800
Pier 1 Imports, Inc. 900 10,238
--------
20,038
GENERAL BUILDING CONTRACTORS (0.6%)
Continental Homes Holding Corporation 600 14,775
MDC Holdings, Inc. 1,800 12,825
Toll Brothers, Inc.* 700 16,100
US Home Corporation* 400 11,650
Webb Corporation 400 8,050
--------
63,400
GENERAL MERCHANDISE STORES (0.1%)
Gottschalks, Inc.* 800 4,200
Waban, Inc.* 500 9,375
--------
13,575
HEAVY CONSTRUCTION (0.2%)
Granite Construction, Inc. 500 15,813
HEALTH SERVICES (0.5%)
Community Psychiatric Centers* 800 9,800
Maxicare Health Plans, Inc.* 500 13,531
Ornda Healthcorp* 400 9,300
Universal Health Services* 500 22,188
--------
54,819
</TABLE>
62
<PAGE>
<TABLE>
<CAPTION>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
NUMBER
OF SHARES VALUE
------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
HOLDING AND OTHER INVESTMENT OFFICES (1.4%)
Asset Investors Corporation 2,600 $ 7,150
Brascan Ltd. 600 10,500
Centerpoint Properties Corporation 400 9,250
Crestar Financial Corporation 300 17,738
CV Reit, Inc. 400 4,500
CWM Mortgage Holdings, Inc. 1,100 18,700
HRE Properties 200 2,650
Nationsbank Corporation 400 27,850
Property Capital Trust 1,000 8,625
Public Storage, Inc. 500 9,500
Wells Fargo & Company 100 21,600
--------
138,063
HOTELS AND OTHER LODGING PLACES (0.1%)
Prime Hospitality Corporation* 600 6,000
INDUSTRIAL MACHINERY AND EQUIPMENT (6.6%)
Acme-Clevland Corporation 600 11,250
Advanced Logic Research, Inc.* 1,100 6,600
AGCO Corporation 600 30,600
Albany International Corporation 400 7,250
Amdahl Corporation 1,500 12,750
Ampco - Pittsburgh 600 6,450
Applied Power, Inc. 200 6,000
BHA Group, Inc. 600 8,175
Brenco, Inc. 700 7,263
Cascade Corporation 700 9,625
Case Corporation 200 9,150
Central Sprinkler Corporation* 500 17,375
Compaq Computer Corporation* 400 19,200
Dana Corporation 500 14,625
Deere & Company 600 21,150
Digital Equipment* 400 25,650
Gardner Denver Machinery, Inc.* 700 13,081
</TABLE>
63
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INDUSTRIAL MACHINERY AND EQUIPMENT (6.6%) (CONTINUED)
Gleason Corporation 400 $ 13,000
Global Industrial Tech, Inc.* 1,300 24,538
Graco, Inc. 400 12,200
Harris Corporation 100 5,463
Innovex, Inc. 600 9,263
International Business Machines Corporation 500 45,875
Katy Industries 400 3,700
Kaydon Corporation 200 6,075
Kennametal, Inc. 300 9,525
Key Tronic Corporation* 700 5,775
Komag, Inc.* 300 13,763
Kulicke & Soffa Industries* 1,000 23,125
Kysor Industrial Corporation 500 12,125
Lufkin Industries, Inc. 500 11,094
Mestek, Inc.* 600 7,050
Met-Pro Corporation 100 1,463
Nam Tai Electronics, Inc. 900 10,800
Outboard Marine Corporation 1,000 20,375
Parker-Hannifin Corporation 300 10,275
Printronix, Inc.* 500 7,000
Robbins & Meyers, Inc. 100 2,925
Seagate Technology, Inc.* 800 38,000
Smith International, Inc.* 1,100 25,850
SPS Technologies, Inc.* 400 21,350
Tecumseh Products Company 400 20,850
Timken Company 300 11,475
Toro Company 500 16,438
Twin Disc, Inc. 100 2,275
United Technologies Corporation 200 18,975
Valmont Industries 300 7,350
Western Digital Corporation* 1,000 17,875
------------
662,041
</TABLE>
64
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
INSTRUMENTS AND RELATED PRODUCTS (2.3%)
Allied Healthcare Products 600 $ 9,600
Amcast Industrial Corporation 700 12,775
Bio-Rad Laboratories* 300 12,750
Block Drug Company 106 3,697
Coherent, Inc.* 400 16,350
Cooper Companies, Inc.* 1,100 8,250
Core Industries, Inc. 400 5,150
Esterline Technologies Corporation* 1,100 25,988
Fluke Corporation 200 7,550
Galileo Electro-Optics Corporation* 1,000 10,250
Genrad, Inc.* 900 8,663
Imo Industries, Inc.* 100 688
Integrated Circuit Systems* 200 2,488
Laser Industries, Ltd.* 1,000 10,875
Loral Corporation 1,000 35,375
LTX Corporation* 300 2,738
Optical Coating Laboratory 2,700 30,375
Sci Systems, Inc.* 300 9,263
Starrett Company 200 5,175
Tech-Sym Corporation* 300 9,563
------------
227,563
INSURANCE AGENTS, BROKERS, AND SERVICE (0.1%)
Poe & Brown, Inc. 600 14,775
INSURANCE CARRIERS (5.1%)
Ace Ltd. 300 11,925
Aegon N.V. 757 33,308
AMBAC, Inc. 200 9,375
American Financial Group, Inc. 300 9,188
American National Insurance 100 6,625
CNA Financial Corporation 300 34,050
Equitable Companies, Inc. 700 16,800
Exel Limited 200 12,200
</TABLE>
65
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
---------------------------
<S> <C> <C>
COMMON STOCKS (continued)
INSURANCE CARRIERS (5.1%) (continued)
Independent Insurance Group 500 $ 13,625
Loews Corporation 600 47,025
Markel Corporation* 100 7,400
MBIA, Inc. 200 15,000
Meridian Ins Group, Inc. 100 1,488
NAC Re Corporation 100 3,600
National Re Corporation 300 11,400
Old Republic International Corporation 400 14,200
Orion Capital Corporation 200 8,675
Partnerre Holdings 300 8,194
Pioneer Financial Services, Inc. 1,000 18,500
Protective Life Corporation 200 6,250
Pxre Corporation 300 7,988
Reliastar Financial Corporation 414 18,371
RLI Corporation 575 14,375
Selective Insurance Group 400 14,250
St. Paul Companies 800 44,474
Tig Holdings, Inc. 200 5,700
Transamerica Corporation 500 36,411
Transatlantic Holdings, Inc. 100 7,338
Travelers Group, Inc. 400 25,150
United Companies Financial Corporation 330 8,745
USF&G Corporation 1,100 18,563
USLife Corporation 300 8,963
Western National Corporation 600 9,675
------------
508,831
LEATHER AND LEATHER PRODUCTS (0.1%)
Fuqua Enterprises, Inc.* 200 3,725
Weyco Group, Inc. 200 7,850
------------
11,575
</TABLE>
66
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------
<S> <C> <C>
COMMON STOCKS (continued)
LUMBER AND WOOD (0.5%)
Champion Enterprises, Inc.* 400 $ 12,350
Macmillan Bloedel Ltd 800 9,800
Weyerhaeuser Company 700 30,275
------------
52,425
METAL MINING (0.9%)
Asarco, Inc. 400 12,800
Brush Wellman, Inc. 800 13,800
Cleavland-Cliffs, Inc. 300 12,300
Cypress Amax Minerals Company 1,200 31,350
Phelps Dodge 300 18,675
------------
88,925
MISCELLANEOUS MANUFACTURING INDUSTRIES (0.6%)
First Team Sports 500 7,563
Mine Safety Appliances Company 100 4,913
Nacco Industries 300 16,650
Oneida Limited 900 15,863
Penn Engineering & Manufacturing Corporation 100 9,700
Repap Enterprises* 1,100 4,813
------------
59,502
MISCELLANEOUS RETAIL (0.04%)
Fabri-Centers of America* 300 3,975
NON-DEPOSITORY INSTITUTIONS (0.7%)
Aames Financial Corporation 300 8,363
American Annuity Group, Inc. 620 7,363
Dean Witter Discover & Company 400 18,800
Finova Group 200 9,650
First Financial Caribbean 700 12,994
Textron, Inc. 200 13,500
------------
70,670
</TABLE>
67
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------------------
<S> <C> <C>
COMMON STOCKS (continued)
NONMETALLIC MINERALS (0.1%)
Florida Rock Industries 200 $ 5,850
OIL AND GAS EXTRACTION (0.3%)
American Exploration Company* 600 6,750
Atwood Oceanics* 1,500 38,156
Crystal Oil Company* 300 9,038
Digicon, Inc. 1,700 13,600
International Petroleum Corporation* 4,700 13,806
Pride Petroleum Services, Inc.* 1,200 12,600
RPC Energy Services, Inc.* 500 4,563
Tetra Technologies, Inc.* 500 8,750
USX-Marathon Group 700 13,650
Williams Companies, Inc. 206 9,038
-----------
129,951
PAPER AND ALLIED PRODUCTS (3.5%)
Abitibi Price, Inc. 600 8,700
ACX Technologies, Inc.* 200 3,025
American Israeli Paper Mills 300 12,825
Boise Cascade Corporation 400 13,850
Bowater, Inc. 500 17,750
Champion International Corporation 900 37,800
Chesapeake Corporation 400 11,850
Consolidated Papers, Inc. 100 5,613
Domtar, Inc.* 1,100 8,388
Federal Paper Board Company 400 20,750
International Paper Company 800 30,300
James River Corporation of Virginia 300 7,238
Mead Corporation 600 31,350
Mercer International, Inc.-SBI* 800 16,350
Mosinee Paper Corporation 100 2,613
Potlatch Corporation 300 12,000
Republic Gypsum Company 600 8,400
Temple - Inland, Inc. 500 22,063
</TABLE>
68
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
------------------------------
<S> <C> <C>
COMMON STOCKS (continued)
PAPER AND ALLIED PRODUCTS (3.5%) (continued)
Union Camp Corporation 500 $ 23,813
Westvaco Corporation 250 6,938
Willamette Industries 800 45,000
-------------
346,616
PETROLEUM AND COAL PRODUCTS (1.6%)
BJ Services Company 120 915
British Petroleum - ADR 500 51,063
Coastal Corporation 1,400 52,150
Fina, Inc. 300 15,150
Repsol SA 700 23,013
Tesoro Petroleum Corporation 1,500 12,938
-------------
155,229
PRIMARY METAL INDUSTRIES (4.0%)
AK Steel Holding Corporation 200 6,850
Alcan Aluminium Ltd. 1,200 37,350
Alumax, Inc.* 400 12,250
Aluminum Company of America 700 37,013
Bayou Steel Corporation* 800 3,100
British Steel PLC - ADR 1,000 25,625
Carpenter Technology 600 24,675
Chaparral Steel Company 500 8,375
Lone Star Technologies* 1,200 13,350
LTV Corporation* 1,200 16,500
Magma Copper Company* 1,000 27,875
Maxxam, Inc.* 200 7,050
Mueller Industries, Inc.* 500 14,625
National Steel Corporation* 700 9,013
Pitt-Des Moines, Inc. 100 3,875
Quanex Corporation 400 7,750
Reynolds Metals Company 600 33,975
RMI Titanium Company 900 7,200
Roanoke Electric Steel Corporation 1,200 20,475
</TABLE>
69
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
PRIMARY METAL INDUSTRIES (4.0%) (CONTINUED)
Steel of West Virginia, Inc.* 400 $ 3,650
Synalloy Corporation 550 11,481
Texas Industries, Inc. 400 21,200
Tredegar Industries, Inc. 500 16,250
Tubos De Acero De Mexico - ADR* 2,100 14,700
USX - U.S. Steel Company 400 12,300
WHX Corporation* 700 7,613
-------------
404,120
PRINTING AND PUBLISHING (0.4%)
Devon Group, Inc.* 200 5,875
Graphic Industries 1,700 20,400
Plenum Publishing Corporation 200 7,925
Quebecor, Inc. 500 7,625
-------------
41,825
RAILROAD TRANSPORTATION (0.4%)
Burlington Northern Santa Fe 125 9,750
Conrail, Inc. 500 35,000
-------------
44,750
REAL ESTATE (0.1%)
Patten Corporation* 2,292 10,887
RUBBER AND MISCELLANEOUS PLASTIC PRODUCTS (1.2%)
AEP Industries, Inc. 480 10,920
American Filtrona Corporation 300 10,350
Dow Chemical 200 14,075
Furon Company 900 18,000
Goodyear Tire & Rubber Company 800 36,300
Gundle/SLT Environmental, Inc.* 500 2,781
Premark International, Inc. 300 15,188
Tuscarora, Inc. 400 9,800
-------------
117,414
</TABLE>
70
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
------------------------------
<S> <C> <C>
COMMON STOCKS (continued)
SECURITY AND COMMODITY BROKERS (1.2%)
Alex Brown, Inc. 200 $ 8,400
Atalanta Sosnoff Capital* 400 5,800
Fahnestock Viner Hldgs, Inc. 1,100 10,175
Inter-Regional Financial* 300 7,575
Investors Financial Services* 32 666
Jefferies Group, Inc. 300 13,988
Lehman Brothers Holdings 400 8,500
McDonald & Company Investments 600 10,800
Quick & Reilly Group, Inc. 572 11,726
Sherwood Group, Inc.* 900 7,763
Value Line, Inc. 400 15,050
Waterhouse Investor Services* 400 9,900
White River Corporation* 300 11,250
------------
121,593
SPECIAL TRADE CONTRACTORS (0.1%)
Dycom Industries, Inc.* 1,200 6,750
Layne, Inc.* 400 4,250
------------
11,000
STONE, CLAY, AND GLASS PRODUCTS (0.9%)
Intermet Corporation* 800 8,200
Lafarge Corporation 500 9,375
Lone Star Industries* 500 12,500
Medusa Corporation 800 21,200
Puerto Rican Cement Company, Inc. 400 13,250
Southdown, Inc.* 400 7,800
Standex International Corporation 300 9,825
USG Corporation* 300 9,000
------------
91,150
</TABLE>
71
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-------------------------------
<S> <C> <C>
COMMON STOCKS (continued)
TEXTILE MILL PRODUCTS (0.9%)
Culp, Inc. 1,187 $ 13,057
Guilford Mills, Inc. 400 8,150
Siliconix* 1,500 54,000
Springs Industries, Inc. 300 12,413
------------
87,620
TRANSPORTATION BY AIR (2.0%)
AMR Corporation* 600 44,550
British Airways 600 43,650
Delta Air Lines, Inc. 600 44,325
Federal Express Corporation* 500 36,938
KLM Royal Dutch Air 710 25,028
Worldcorp, Inc.* 800 8,000
-------------
202,491
TRANSPORTATION EQUIPMENT (3.1%)
Coachmen Industries, Inc. 600 13,050
Ford Motor Company 1,200 34,800
JLG Industries 2,000 59,000
Magna International, Inc. 100 4,325
McDonnell Douglas Corporation 500 46,000
Navistar International* 300 3,150
Northrop Grumman Corporation 200 12,800
Oshkosh Truck Corp 1,200 18,225
Paccar, Inc. 200 8,425
Regal Beloit 1,000 21,750
Simpson Industries 2,100 18,638
Smith (A.O.) Corporation 100 2,075
Teledyne, Inc. 400 10,250
Transtechnology Corporation 400 5,400
Trinity Industries 100 3,150
Varity Corporation* 200 7,425
</TABLE>
72
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------------
<S> <C> <C>
COMMON STOCKS (continued)
TRANSPORTATION EQUIPMENT (3.1%) (continued)
Varlen Corporation 485 $ 10,488
Volvo AB Sweden - ADR 1,600 32,900
-------------
311,851
TRANSPORTATION SERVICES (0.6%)
CSX Corporation 400 18,250
Gatx Corporation 300 14,588
PS Group, Inc. 500 5,375
Ryder System, Inc. 700 17,325
-------------
55,538
WATER TRANSPORTATION (0.4%)
International Shipholding Corporation 375 7,781
Oglebay Norton Company 500 19,000
Stolt-Nielsen S.A. 400 11,500
-------------
38,281
WHOLESALE TRADE - DURABLE GOODS (1.6%)
Aviall, Inc. 1,500 14,063
Barnes Group, Inc. 200 7,200
Bearings, Inc. - Ohio 400 11,700
Bell Industries, Inc.* 553 12,443
Castle (A.M.) & Company 700 19,688
Commercial Metals Company 33 817
General Motors Corporation 400 21,150
Hughes Supply, Inc. 600 16,950
Noland Company 400 7,400
Pioneer Standard Electronics 75 989
Rexel, Inc.* 1,700 22,950
Wyle Electronics 300 10,538
Wynn's International, Inc. 450 13,331
-------------
159,219
</TABLE>
73
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited)(continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
----------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
WHOLESALE TRADE - NONDURABLE GOODS (1.0%)
Bindley Western Industries 500 $ 8,500
Chock Full-O-Nuts Corporation* 1,236 6,489
Culbro Corporation* 200 9,825
Foxmeyer Health Corporation* 400 10,700
Gaylord Container Corporation* 900 7,256
Richfood Holdings, Inc. 24 648
Safeway, Ind.* 1,000 51,500
World Fuel Services Corporation 7,144
-------------
102,062
-------------
TOTAL COMMON STOCKS (Cost $6,402,550) 8,050,432
PREFERRED STOCKS (0.0%)
PRINTING AND PUBLISHING (0.0%)
News Corporation Limited 200 3,850
-------------
TOTAL PREFERRED STOCKS (Cost $3,855) 3,850
</TABLE>
74
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
PRINCIPAL VALUE
AMOUNT
------------------------
SHORT-TERM SECURITIES (19.5%)
U.S. GOVERNMENT AGENCY (17.3%)
Federal Farm Credit Bank Discount Note, 5.48%,
due 1/31/1996 $ 350,000 $ 348,392
Federal Home Loan Bank Discount Note, 5.48%,
due 1/12/1996 70,000 698,810
Federal Home Loan Bank Discount Note, 5.48%,
due 1/23/1996 685,000 682,687
-----------
1,729,889
U.S. GOVERNMENT OBLIGATIONS (0.5%)
U.S. Treasury Bills, 4.93%, due 3/14/1996 34,652 34,652
U.S. Treasury Bills, 5.27%, due 4/25/1996 19,662 19,662
-----------
54,314
REPURCHASE AGREEMENT (1.7%)
State Street Bank, 4.25%, due 1/2/1996
(Dated 12/29/95, Collateralized by U.S. Treasury
Bond 8.75%, due 5/15/2017, value $172,380) 168,395 168,395
-----------
TOTAL SHORT-TERM SECURITIES
(Cost $1,952,598) 1,952,598
-----------
TOTAL INVESTMENTS (100.0%) (Cost 8,359,003) $10,006,880
===========
*Non-income producing
75
<PAGE>
Zweig Equity (Small Cap) Portfolio
Schedule of Investments (Unaudited) (continued)
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995 aggregated $2,344,267 and $2,229,361,
respectively. Net unrealized appreciation for tax purposes aggregated
$1,647,877, of which $1,784,766 related to appreciated investment securities
and $146,889 related to depreciated investment securities. The aggregate cost
of securities is the same for book and tax purposes.
See accompanying notes.
76
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<S> <C>
ASSETS
Investment in securities, at value (cost $5,432,579)
(Note 1)--See accompanying schedule $5,595,379
Receivable for investment securities sold 1,922,246
Interest and other receivables 59,978
----------
TOTAL ASSETS 7,577,603
LIABILITIES
Payable for investment securities purchased 2,551,183
Cash overdraft 2,768
----------
TOTAL LIABILITIES 2,553,951
----------
NET ASSETS $5,023,652
==========
Net Assets consist of:
Paid-in capital $4,746,021
Undistributed net investment income 137,339
Undistributed net realized loss on investments (22,508)
Net unrealized appreciation on investment securities 162,800
----------
NET ASSETS, for 459,570 shares outstanding $5,023,652
==========
NET ASSET VALUE, offering and redemption price per share $ 10.93
==========
</TABLE>
See accompanying notes.
77
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
INVESTMENT INCOME
<S> <C>
Interest $175,473
EXPENSES (Note 2)
Investment advisory and management fees 24,568
Custody and accounting fees 6,142
Professional fees 7,558
Directors' fees and expenses 2,640
Other expenses 3,209
--------
Total expenses before reimbursement 44,117
Less: expense reimbursement (Note 2) 5,983
--------
Net expenses 38,134
--------
Net investment income 137,339
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS (Note 1)
Net realized gain on investments 119,573
Change in unrealized appreciation on
investment securities 50,788
--------
Net realized and unrealized gain on
investments 170,361
--------
Net increase in net assets resulting
from operations $307,700
========
</TABLE>
See accompanying notes.
78
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Statements of Changes in Net Assets
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
-------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 137,339 $ 272,169
Net realized gain on investments 119,573 32,319
Change in net unrealized appreciation 50,788 253,467
-------------------------
Net increase in net assets resulting from
operations 307,700 557,955
Distributions to shareholders from:
Net investment income (268,795) (98,000)
Capital share transactions:
Proceeds from sales of shares 365,939 2,673,991
Proceeds from reinvested dividends 268,795 98,000
Cost of shares redeemed (1,065,484) (2,676,948)
-------------------------
Net increase (decrease) in net assets
resulting from share transactions (430,750) 95,043
-------------------------
Total increase (decrease) in net assets (391,845) 554,998
NET ASSETS
Beginning of period 5,415,497 4,860,499
-------------------------
End of period (including undistributed net
investment income of $137,339 and $268,795,
respectively) $ 5,023,652 $ 5,415,497
=========================
OTHER INFORMATION
Shares:
Sold 33,483 263,300
Issued through reinvestment of dividends 25,172 9,744
Redeemed (96,629) (261,523)
-------------------------
Net increase (decrease) (37,974) 11,521
=========================
See accompanying notes.
79
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Financial Highlights
<TABLE>
<CAPTION>
January 5,
SIX MONTHS 1993
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED YEAR ENDED OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
-------------------------------------------------------------
<S> <C> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 10.88 $ 10.00 $ 10.43 $ 10.00
Income from investment operations:
Net investment income 0.34 0.56 0.20 0.19
Net realized and unrealized
gain (loss) on investments 0.29 0.53 (0.52) 0.24
-------------------------------------------------------------
Total from investment operations 0.63 1.09 (0.32) 0.43
Less distributions:
From net investment income (0.58) (0.21) (0.11) --
-------------------------------------------------------------
Net asset value, end of period $ 10.93 $ 10.88 $ 10.00 $ 10.43
=============================================================
TOTAL RETURN (A) 5.91% 11.08% (3.06%) 8.67%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $5,023,652 $5,415,497 $4,860,499 $905,836
Ratio of expenses to average net
assets 1.40% 1.40% 1.56% 1.56%
Ratio of net investment income to
average net assets 5.03% 5.41% 3.62% 3.86%
Ratio of expenses to average net
assets before voluntary expense
reimbursement (Note 2) 1.62% 1.59% 2.49% 15.72%
Ratio of net investment income
(loss) to average net assets
before voluntary expense
reimbursement (Note 2) 4.81% 5.22% 2.68% (1.64%)
Portfolio turnover rate 167% 432% 527% 103%
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
80
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------
<S> <C> <C>
CORPORATE BONDS (16.4%)
COMMUNICATIONS (0.8%)
Alltel Corporation, 6.75%, due 9/15/2005 $ 20,000 $ 20,858
Consolidated Edison Company, 6.625%, due 7/1/2005 25,000 25,525
--------
46,383
DEPOSITORY INSTITUTIONS (5.0%)
Bankamerica Corporation, 7.50%, due 10/15/2002 45,000 48,443
Citicorp, 8.00%, due 02/01/2003 35,000 38,683
CS First Boston, 6.452%, due 12/1/2027 55,000 55,000
Mellon Financial Bank, 6.875%, due 03/01/2003 40,000 41,485
Midland Bank PLC, 7.65%, due 5/01/2025 40,000 44,339
National Westminster Bank, 9.375%, due 11/15/2003 45,000 53,860
--------
281,810
ELECTRIC, GAS AND SANITARY SERVICE (2.0%)
Citizen Utility Company, 7.60%, due 6/1/2006 100,000 111,479
ELECTRONIC AND OTHER ELECTRICAL EQUIPMENT (2.5%)
News Corp Notes, 7.75%, due 2/1/2024 55,000 56,480
Phillips Electric Nv, 7.125%, due 5/15/2025 75,000 83,502
--------
139,982
FOOD AND KINDRED PRODUCTS (0.9%)
Hershey Foods, 6.70%, due 10/1/2005 50,000 52,269
NONDEPOSITORY INSTITUTION (5.0%)
American General Finance, 7.25%, due 4/15/2000 125,000 131,384
Ford Motor Credit, 8.00%, due 12/1/97 140,000 145,813
--------
277,197
TRANSPORTATION BY AIR (0.2%)
Southwest Air, 9.40%, due 7/1/2001 10,000 11,571
--------
TOTAL CORPORATE BONDS (Cost $811,303) 920,691
</TABLE>
81
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------
<S> <C> <C>
GOVERNMENT DEBT SECURITIES (71.7%)
U.S. GOVERNMENT AGENCY--COLLATERALIZED
MORTGAGE OBLIGATIONS (9.8%)
FDIC Series 94 Class, 7.85%, due
9/25/2025 $ 51,000 $ 52,442
Fed. Home Loan Mort. Corp.,
7.83%, due 8/11/2004 100,000 103,344
Fed. Home Loan Mort. Corp.,
8.00%, due 5/1/2014 70,969 73,690
Fed. Home Loan Mort, Corp.,
7.939%, due 2/1/2022 228,055 235,716
Resolution Trust Corp. Series
95-C1, Class A-2B, 6.55%,
due 2/25/2027 50,000 50,234
Resolution Trust Corp. Series 95-C1,
Class A-4B, 6.65%, due 2/25/2027 30,000 30,084
----------
545,510
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (21.0%)
Federal National Mortgage Assoc.,
8.40%, due 2/25/2009 40,000 44,200
Federal National Mortgage
Assoc., 8.50%, due 5/01/2009 143,594 150,774
Federal National Mortgage
Assoc., 7.00%, due 12/1/2025* 485,000 489,396
Federal National Mortgage
Assoc., 8.00%, due 12/1/2025* 140,000 145,119
Gov't. National Mortgage
Assoc., 8.00%, due 7/15/2005 22,958 24,158
Gov't. National Mortgage
Assoc., 8.00%, due 11/15/2006 32,708 34,460
Gov't. National Mortgage
Assoc., 8.00%, due 4/15/2022 276,186 287,963
----------
1,176,070
U.S. GOVERNMENT OBLIGATIONS (40.9%)
U.S. Treasury Notes, 5.75,
due 9/30/1997 220,000 221,993
U.S. Treasury Notes, 5.625%,
due 1/31/1998 10,000 10,083
U.S. Treasury Notes, 5.375%,
due 5/31/1998 220,000 220,721
U.S. Treasury Notes, 6.75%,
due 5/31/1999 585,000 611,050
U.S. Treasury Notes, 7.25%,
due 5/15/2004 100,000 111,000
U.S. Treasury Notes, 6.50%,
due 5/15/2005 215,000 228,741
U.S. Treasury Notes, 6.50%,
due 8/15/2005 325,000 346,226
U.S. Treasury Notes, 7.125%,
due 2/15/2023 305,000 348,749
U.S. Treasury Notes, 6.25%,
due 8/15/2023 130,000 133,758
</TABLE>
82
<PAGE>
Mitchell Hutchins Fixed Income Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (71.7%) (CONTINUED)
U.S. Treasury Notes, 7.625%, due 2/15/2025 $ 45,000 $ 55,026
----------
2,287,347
----------
TOTAL GOVERNMENT DEBT SECURITIES
(Cost $3,955,515) 4,008,927
SHORT-TERM SECURITIES (11.9%)
U.S. GOVERNMENT OBLIGATIONS (10.7%)
U.S. Treasury Bills, 4.85%, due 1/18/96 150,000 149,616
U.S. Treasury Bills, 5.19%, due 1/18/96 450,000 448,767
----------
598,383
REPURCHASE AGREEMENT (1.2%)
State Street Bank, 4.25%, due 1/2/96 (Dated 12/29/95
Collateralized by U.S. Treasury Bond 8.75% due
5/15/2017, value $68,952) 67,378 67,378
----------
TOTAL SHORT-TERM SECURITIES
(Cost $665,761) 665,761
----------
TOTAL INVESTMENTS (100.0%) (Cost $5,432,579) $5,595,379
==========
</TABLE>
* Security purchased on a delayed delivery basis. (Note 1)
OTHER INFORMATION:
Purchases and sales of securities, excluding short-term securities, for the six
months ended December 31, 1995, aggregated $9,224,174 and $9,699,028,
respectively. Net unrealized appreciation for tax purposes aggregated $162,800,
of which $163,367 related to appreciated investment securities and $567 related
to depreciated investment securities. The aggregate cost of securities for tax
purposes is $5,434,260.
See accompanying notes.
83
<PAGE>
<TABLE>
<CAPTION>
Mitchell Hutchins Money Market Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<S> <C>
ASSETS
Investment in securities, at amortized cost
(Note 1)--See accompanying schedule $ 9,433,957
Interest and other receivables 11,302
-----------
TOTAL ASSETS 9,445,259
LIABILITIES
Cash overdraft 318,790
Accounts payable and accrued expenses 3,513
-----------
TOTAL LIABILITIES 322,303
-----------
NET ASSETS, for 9,122,956 shares outstanding $ 9,122,956
===========
NET ASSET VALUE, offering and redemption price per share $ 1.00
===========
</TABLE>
See accompanying notes.
84
<PAGE>
<TABLE>
<CAPTION>
Mitchell Hutchins Money Market Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<S> <C>
INVESTMENT INCOME
Interest $ 267,568
EXPENSES (Note 2)
Investment advisory and management fees 29,708
Custody and accounting fees 10,284
Professional fees 7,558
Directors' fees and expenses 2,640
Regulatory fees 977
Other expenses 1,463
-----------
Total expenses 52,630
-----------
Net investment income 214,938
-----------
Net increase in net assets resulting from operations $ 214,938
===========
</TABLE>
See accompanying notes.
85
<PAGE>
Mitchell Hutchins Money Market Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
------------------------------------
INCREASE (DECREASE) IN NET ASSETS
Operations:
<S> <C> <C>
Net investment income $ 214,938 $ 267,641
Distributions to shareholders from:
Net investment income (214,938) (267,641)
Capital share transactions:
Proceeds from sales of shares 14,061,408 11,346,439
Proceeds from reinvested dividends 214,938 267,641
Cost of shares redeemed (11,906,485) (10,313,402)
----------------------------------
Net increase in net assets resulting
from share transactions 2,369,861 1,300,678
----------------------------------
Total increase in net assets 2,369,861 1,300,678
NET ASSETS
Beginning of period 6,753,095 5,452,417
----------------------------------
End of period $ 9,122,956 $ 6,753,095
==================================
OTHER INFORMATION
Shares:
Sold 14,061,408 11,346,439
Issued through reinvestment of
dividends 214,938 267,641
Redeemed (11,906,485) (10,313,402)
----------------------------------
Net increase 2,369,861 1,300,678
==================================
</TABLE>
See accompanying notes.
86
<PAGE>
Mitchell Hutchins Money Market Portfolio
Financial Highlights
<TABLE>
<CAPTION>
SIX MONTHS ENDED JANUARY 12, 1993
DECEMBER 31, YEAR ENDED YEAR ENDED (COMMENCEMENT OF OPERATIONS)
1995 JUNE 30, JUNE 30, THROUGH JUNE 30,
(UNAUDITED) 1995 1994 1993
-----------------------------------------------------------------------------------
SELECTED PER-SHARE DATA
<S> <C> <C> <C> <C>
Net asset value, beginning of
period $ 1.00 $ 1.00 $ 1.00 $ 1.00
Income from investment
operations:
Net investment income 0.02 0.04 0.02 0.01
Less distributions:
From net investment income (0.02) (0.04) (0.02) (0.01)
-----------------------------------------------------------------------------------
Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00
===================================================================================
TOTAL RETURN (A) 2.34% 4.30% 2.04% 1.66%
RATIOS AND SUPPLEMENTAL
DATA (B)
Net Assets, end of period $9,122,956 $6,753,095 $5,452,417 $753,585
Ratio of expenses to average
net assets 1.15% 1.15% 1.29% 1.34%
Ratio of net investment
income to average net assets 4.70% 4.31% 2.19% 1.67%
Ratio of expenses to average
net assets before voluntary
expense reimbursement (Note 2) 1.15% 1.27% 2.08% 22.41%
Ratio of net investment
income (loss) to average
net assets before voluntary
expense reimbursement (Note 2) 4.70% 4.20% 1.40% (2.05%)
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
87
<PAGE>
Mitchell Hutchins Money Market Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAl
AMOUNT VALUE
-----------------------
<S> <C> <C>
SHORT-TERM SECURITIES (100%)
CORPORATE BONDS (93.1%)
AGRICULTURAL PRODUCTION-CROPS (3.2%)
Cargill, Inc., 5.70%, due 1/8/96 $300,000 $ 299,667
AUTO REPAIR, SERVICES AND PARKING (2.1%)
PHH Corporation, 5.48%, due 9/16/96 200,000 199,932
CHEMICALS AND ALLIED PRODUCTS (3.7%)
Abbott Laboratories, 5.65%, due 1/16/96 350,000 349,176
COMMUNICATIONS (5.3%)
Bell Atlantic, 5.80%, due 1/18/96 250,000 249,719
Bellsouth Telecommunications, 5.75%, 250,000 249,321
due 1/18/96
----------
499,040
DEPOSITORY INSTITUTIONS (11.0%)
Commerzbank, U.S. Finance, 300,000 297,599
5.50%, due 2/21/96
First Chicago NBD 200,000 199,999
Corporation, 5.50%, due
6/5/96
Nationsbank Corporation, 100,000 99,383
4.75%, due 8/15/96
Seattle First National Bank, 200,000 200,000
5.50%, due 6/7/96
Svenska Handelsbank, Inc., 245,000 244,408
5.80%, due 1/16/96
----------
1,041,389
DURABLE GOODS, WHOLESALE (3.2%)
Daimler Benz N.A. 300,000 297,874
Corporation, 5.67%, due 2/15/96
ELECTRIC, GAS, AND SANITARY SERVICES (8.0%)
Consolidated Natural Gas, 5.67%, due 1/26/96 215,000 214,154
Southern Company, 5.70%, due 2/9/96 300,000 298,148
WMX Technologies, 5.37%, due 8/12/96 250,000 241,647
----------
753,949
</TABLE>
88
<PAGE>
Mitchell Hutchins Money Market Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-----------------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
HOLDING AND OTHER INVESTMENT OFFICES (6.9%)
BTR Dunlop, 5.64%, due 2/22/96 $300,000 $ 297,553
Preferred Receivables, 5.75%, due 1/10/96 355,000 354,489
----------
652,042
INSURANCE CARRIERS (5.2%)
Metlife Funding, Inc., 5.80%, due 1/23/96 195,000 194,309
USAA Capital Corporation, 5.72%, due 1/23/96 300,000 298,951
----------
493,260
METAL MINING (3.2%)
RTZ America, 5.70%, due 1/19/96 300,000 299,145
NONDEPOSITORY INSTITUTION (31.7%)
Asset Securitization Cooperative Corporation, 300,000 298,898
5.75%, due 1/24/96
AT&T Capital Corporation, 5.70%, due 1/12/96 300,000 299,478
CIT Group Holdings, 7.125%, due 11/15/96 200,000 202,662
Delaware Funding Corporation, 5.73%, 300,000 299,475
due 1/12/96
Ford Motor Credit Company, 5.76%, due 1/12/96 295,000 294,480
John Hancock Capital Corporation, 5.70%, 300,000 299,525
due 1/11/96
Merrill Lynch, 5.72%, due 1/26/96 300,000 298,808
Motorola Credit Corporation, 5.72%, due 1/26/96 300,000 298,808
New Center Asset Trust, 6.03%, due 1/2/96 400,000 399,920
Pitney Bowes Credit Corporation, 5.70%, 300,000 298,813
due 1/26/96 ----------
2,990,867
OIL AND GAS EXTRACTION (3.7%)
Koch Industries, 5.67%, due 1/18/96 350,000 349,062
PAPER AND ALLIED PRODUCTS(2.7%)
Kimberly Clark Corporation, 5.70%, due 1/26/96 255,000 253,991
SECURITY AND COMMODITY BROKERS (3.2%)
Goldman Sachs Group, 5.70%, due 1/12/96 300,000 299,478
----------
</TABLE>
89
<PAGE>
Mitchell Hutchins Money Market Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
TOTAL CORPORATE BONDS (Cost $8,778,872) $8,778,872
GOVERNMENT DEBT SECURITIES (6.9%)
U.S. GOVERNMENT AND GOVERNMENT AGENCIES (6.9%)
Federal National Mortgage Assoc., Discount Note,
5.68%, due 10/7/96 $200,000 200,214
Student Loan Mortgage Association, 5.65%, due 1/2/96 455,000 454,871
----------
TOTAL GOVERNMENT DEBT SECURITIES
(Cost $655,085) 655,085
----------
TOTAL SHORT-TERM SECURITIES
(Cost $9,433,957) 9,433,957
----------
TOTAL INVESTMENTS (100.0%) (Cost $9,433,957) $9,433,957
==========
</TABLE>
See accompanying notes.
90
<PAGE>
Morgan Stanley Asian Growth Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
ASSETS
Investment in securities, at value (cost $11,320,413)
(Note 1)--See accompanying schedule $11,676,460
Cash 133,585
Receivable for investment securities sold 87,807
Dividends, interest and other receivables 52,801
Deferred organization costs (Note 1) 7,881
-----------
TOTAL ASSETS 11,958,534
LIABILITIES
Payable for investment securities purchased 14,278
Accounts payable and accrued expenses 11,938
-----------
TOTAL LIABILITIES 26,216
-----------
NET ASSETS $11,932,318
===========
Net Assets consist of:
Paid-in capital $11,678,905
Undistributed net realized loss on investments and
foreign currency transactions (102,672)
Net unrealized appreciation on investments and assets and
liabilities in foreign currencies 356,085
-----------
NET ASSETS, for 1,167,335 shares outstanding $11,932,318
===========
NET ASSET VALUE, offering and redemption price per share $ 10.22
===========
See accompanying notes.
91
<PAGE>
Morgan Stanley Asian Growth Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
INVESTMENT INCOME
Dividends (net of foreign taxes withheld of $3,317) $ 84,014
Interest 12,062
--------
Total investment income 96,076
EXPENSES (Note 2)
Investment advisory and management fees 61,559
Custody and accounting fees 22,335
Professional fees 8,688
Directors' fees and expenses 2,640
Amortization of deferred costs 1,150
Other expenses 2,918
--------
Total expenses 99,290
--------
Net investment loss (3,214)
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN
CURRENCY (Note 1)
Net realized loss on:
Investment securities (42,979)
Foreign currency transactions (2,859)
--------
Net realized loss (45,838)
Change in unrealized appreciation (depreciation) on:
Investment securities 138,117
Translation of assets and liabilities in foreign currencies (311)
--------
Change in unrealized appreciation (depreciation) 137,806
--------
Net realized and unrealized gain on investments 91,968
--------
Net increase in net assets resulting from operations $ 88,754
========
See accompanying notes.
92
<PAGE>
Morgan Stanley Asian Growth Portfolio
Statement of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
--------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income (loss) $ (3,214) $ 72,537
Net realized loss on investments and
foreign currency transactions (45,838) (100,052)
Change in net unrealized appreciation
on investments and translation of
assets and liabilities in foreign
currency 137,806 218,279
--------------------------
Net increase in net assets resulting
from operations 88,754 190,764
Distributions to shareholders from:
Net investment income (46,376) (500)
Net realized gain on investments (14,536) --
--------------------------
Total distributions (60,912) (500)
Capital share transactions:
Proceeds from sales of shares 1,851,922 12,547,902
Proceeds from reinvested dividends 60,912 500
Cost of shares redeemed (2,833,021) (1,819,360)
--------------------------
Net increase (decrease) in net assets
resulting from share transactions (920,187) 10,729,042
--------------------------
Total increase (decrease) in net assets (892,345) 10,919,306
NET ASSETS
Beginning of period 12,824,663 1,905,357
--------------------------
End of period (including undistributed net
investment income of $14,748 at June 30, 1995) $11,932,318 $12,824,663
==========================
OTHER INFORMATION
Shares:
Sold 183,865 1,262,727
Issued through reinvestment of dividends 6,543 49
Redeemed (282,502) (193,842)
--------------------------
Net increase (decrease) (92,094) 1,068,934
==========================
</TABLE>
See accompanying notes.
93
<PAGE>
Morgan Stanley Asian Growth Portfolio
Financial Highlights
<TABLE>
<CAPTION>
SIX MONTHS JUNE 15, 1994
ENDED (COMMENCEMENT
DECEMBER 31, YEAR ENDED OF OPERATIONS)
1995 JUNE 30, THROUGH
(UNAUDITED) 1995 JUNE 30, 1994
----------------------------------------------
<S> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period $ 10.18 $ 10.00 $ 10.00
Income from investment operations:
Net investment income 0.03 0.01 0.00(C)
Net realized and unrealized gain on
investments 0.06 0.17 --
----------------------------------------------
Total from investment operations 0.09 0.18 0.00
Less distributions:
From net investment income (0.04) 0.00(C) --
From net realized gain (0.01) -- --
----------------------------------------------
Total distributions (0.05) -- --
----------------------------------------------
Net asset value, end of period $ 10.22 $ 10.18 $ 10.00
==============================================
TOTAL RETURN (A) 0.96% 1.80% 0.52%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $11,932,318 $12,824,663 $1,905,357
Ratio of expenses to average
net assets (D) 1.61% 1.92% 0.75%
Ratio of net investment income to
average net assets (D) (0.05)% .76% 0.59%
Portfolio turnover rate 8% 30% --
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) Less than $0.01 per share.
(D) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 9.79% and (8.44%), respectively,
for the period June 15, 1994 (commencement of operations) through June 30,
1994. (Note 2)
94
<PAGE>
Morgan Stanley Asian Growth Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (91.1%)
CHINA (0.5%)
Shenzhen North Jianshe Motors* 68,600 $ 28,389
Yizheng Chemical Fibre Company 150,000 33,754
----------
62,143
HONG KONG (28.7%)
Cheung Kong Holdings, Ltd. 92,000 560,388
Citic Pacific Limited 57,000 194,976
CP Pokphand Company 175,000 70,158
Guangdong Investments 430,000 258,584
Harbin Power Equipment Company 205,000 30,223
Hong Kong Telecom 197,000 351,581
Hopewell Holdings 200,000 115,099
HSBC Holdings 27,355 413,907
Hutchison Whampoa 80,000 487,294
Maanshan Iron & Steel 102,000 14,246
New World Development Company 68,000 296,359
New World Infrastructure 138 264
Sun Hung Kai Properties 25,000 204,494
Swire Pacific Limited 45,000 349,176
----------
3,346,749
INDONESIA (6.2%)
Asiana Imi Industry 10,000 5,248
Barito Pacific Timber 31,000 22,709
Bimantara Citra* 31,000 25,760
Keramika Indonesia Association 32,500 15,635
Ometraco Corporation--Warrants* 12,000 656
Ometraco Corporation* 112,000 52,657
Private Bank Bali 20,000 39,361
Private Charoen Pokphand Indo 30,000 61,010
Private Indocement Tunggal Prakarsa 20,000 67,133
Private Indosat 25,000 90,750
Private Kalbe Farma 16,500 55,926
Private Sorini Corp 20,000 97,092
Private Telekomunikasi* 45,500 59,698
Private Semen Gresik 20,000 55,981
Private Suba Indah 10,000 6,670
Private United Tractors 35,000 65,821
----------
722,107
</TABLE>
95
<PAGE>
Morgan Stanley Asian Growth Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
MALAYSIA (20.4%)
Ammb Holdings Berhad 2,000 $ 22,844
Bandar Raya Developments 32,000 45,624
Genting Berhad 44,000 367,389
Land & General Berhad 23,500 50,906
Magnum Corporation Berhad 32,000 60,496
Malayan Banking Berhad 47,000 396,140
Malaysian International Shipping 42,000 110,004
Petronas Gas Berhad 23,000 78,358
Renong Berhad 100,000 148,090
Resorts World Berhad 55,000 294,604
Sime Darby Berhad 24,000 63,805
Tan & Tan Development 60,000 51,280
Technology Resources* 24,000 70,894
Telekom Malaysia Berhad 30,000 233,950
Tenaga Nasional Berhad 53,000 208,744
Time Engineering Berhad 13,000 30,209
United Engineers, Ltd 24,000 153,131
----------
2,386,468
PHILIPPINES (6.1%)
Ayala Corp. Class B 36,000 43,919
Ayala Land, Inc. Class B 53,000 64,659
Benpres Holding Corporation* 5,500 27,500
C&P Homes Inc. 60,000 44,034
DCMI Holdings 70,000 25,086
JG Summit Holdings 395,000 108,425
Manila Electric Company-Berhad 15,000 122,379
Petron Corporation 197,500 101,649
Philippine Long Distance 1,200 65,193
San Miguel Corporation 15,600 53,229
SM Prime Holdings, Inc.* 201,800 57,701
----------
713,774
</TABLE>
96
<PAGE>
Morgan Stanley Asian Growth Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
-----------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
SINGAPORE (13.0%)
City Developments, Ltd 23,000 $ 167,503
DBS Land, Ltd. 35,000 118,292
Development of Bank Singapore 14,000 174,220
Fraser & Neave, Ltd. 6,000 76,363
Keppel Corporation, Ltd. 27,000 240,543
Marco Polo Developments, Ltd. 39,000 59,839
Overseas Chinese Banking 16,000 200,240
Sembawamg Corporation, Ltd. 11,000 61,055
Singapore Press Holdings 3,200 56,565
Singapore Technologies 57,000 128,968
Straits Steamship Land, Ltd. 17,000 57,456
Straits Trading Company 20,000 46,949
United Overseas Bank 13,000 125,009
----------
1,513,002
SOUTH KOREA (2.5%)
Jilin Chemical Industrial Co.* 1,200 25,800
Pohang Iron & Steel, Ltd.-ADR 2,500 54,688
Samsung Electronics* 39 3,744
Samsung Electronics New* 2,028 196,565
Shandong Huaneng Power 2,000 13,500
----------
294,297
THAILAND (13.7%)
Advanced Information Service 3,200 75,713
Bangkok Bank Company, Ltd. 22,300 270,893
Finance One Company, Ltd. 29,600 205,637
National Finance & Security 8,400 45,018
National Finance & Security Warrants 7,800 --
Phatra Thanakit Company, Ltd. 11,000 94,323
</TABLE>
97
<PAGE>
Morgan Stanley Asian Growth Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
NUMBER OF
SHARES OR
PRINCIPAL
AMOUNT VALUE
-------------------------
<S> <C> <C>
COMMON STOCKS (CONTINUED)
THAILAND (13.7%) (CONTINUED)
Shinawatra Computer Co 3,500 $ 96,705
Siam Cement Company 1,020 56,527
Siam Commercial Bank Public Company, Ltd. 12,900 170,020
Telecomasia Corporation* 55,600 168,853
Thai Farmers Bank, Ltd. 26,600 268,218
Thai Telephone & Telecom* 17,000 92,457
United Communication 4,000 51,131
-----------
1,595,495
-----------
TOTAL COMMON STOCKS (Cost $10,277,988) 10,634,035
SHORT-TERM SECURITIES (8.9%)
REPURCHASE AGREEMENT (8.9%)
State Street Bank, 4.25%, due 1/2/96 (Dated
12/29/95 Collateralized by U.S. Treasury Bond
8.75% due 5/15/2017, value $1,064,778) $1,042,425 1,042,425
-----------
TOTAL SHORT-TERM SECURITIES (Cost
$1,042,425) 1,042,425
-----------
TOTAL INVESTMENTS (100.0%) (Cost
$11,320,413) $11,676,460
===========
</TABLE>
* Non-income producing
OTHER INFORMATION:
Purchases and sales of securities excluding short-term securities, for the six
months ended December 31, 1995, aggregated $946,858 and $2,736,958,
respectively. Net unrealized appreciation for tax purposes aggregated $356,047,
of which $1,195,448 related to appreciated investment securities and $839,401
related to depreciated investment securities. The aggregate cost of securities
is $11,320,588 for tax purposes.
See accompanying notes.
98
<PAGE>
Morgan Stanley Asian Growth Portfolio
Schedule of Investments (Unaudited) (continued)
As of December 31, 1995, the Portfolio had investments in the following
industries. The allocation is based on the percentage of total Portfolio
investments.
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-------------
<S> <C>
INDUSTRY
Amusement and Recreation Services 6.19%
Chemicals and Allied Products 0.99
Communications 9.90
Depository Institutions 19.58
Electric, Gas and Sanitary Services 3.82
Electronic and Other Electric Equipment 2.49
Food and Kindred Products 3.12
Forestry 0.63
Government 8.93
Holding and Other Investment Offices 23.51
Industrial Machinery and Equipment 1.39
Miscellaneous Holdings 0.05
Nondepository Institutions 1.26
Petroleum and Coal Products 0.67
Primary Metal Industries 0.99
Printing and Publishing 0.48
Real Estate 7.18
Securities Brokers and Dealers 0.39
Stone, Clay and Glass Products 1.67
Transportation by Air 2.99
Transportation Equipment 2.83
Water Transportation 0.94
------
100.00%
======
</TABLE>
See accompanying notes.
99
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Statement of Assets and Liabilities
December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
ASSETS
<S> <C>
Investment in securities, at value (cost $6,325,946)
(Note 1)--See accompanying schedule $6,338,004
Cash 9,111
Receivable for investment securities sold 984,001
Interest and other receivables 149,769
Deferred organization costs (Note 1) 7,888
----------
TOTAL ASSETS 7,488,773
LIABILITIES
Payable for investment securities purchased 1,249,449
Accounts payable and accrued expenses 2,581
----------
TOTAL LIABILITIES 1,252,030
----------
NET ASSETS $6,236,743
==========
Net Assets consist of:
Paid-in capital $5,986,146
Undistributed net investment income 336,221
Overdistributed net realized
gain on investments (97,682)
Net unrealized appreciation
on investment securities 12,058
----------
NET ASSETS, for 596,084 shares
outstanding $6,236,743
==========
NET ASSET VALUE, offering and
redemption price per share $ 10.46
==========
</TABLE>
See accompanying notes.
100
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Statement of Operations
Six Months Ended December 31, 1995 (Unaudited)
<TABLE>
<CAPTION>
INVESTMENT INCOME
<S> <C>
Interest $386,037
EXPENSES (Note 2)
Investment advisory and management fees 26,963
Custody and accounting fees 7,137
Professional fees 8,688
Directors' fees and expenses 2,640
Amortization of deferred costs 1,237
Other expenses 3,151
--------
Total expenses 49,816
--------
Net investment income 336,221
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS (Note 1)
Net realized loss on investments (7,615)
Change in unrealized depreciation on
investment securities 279,433
--------
Net realized and unrealized gain on investments 271,818
--------
Net increase in net assets resulting
from operations $608,039
========
</TABLE>
See accompanying notes.
101
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
SIX MONTHS
ENDED
DECEMBER 31, YEAR ENDED
1995 JUNE 30,
(UNAUDITED) 1995
-------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Operations:
Net investment income $ 336,221 $ 533,032
Net realized loss on investments (7,615) (83,442)
Change in net unrealized depreciation 279,433 (267,375)
-------------------------
Net increase in net assets resulting
from operations 608,039 182,215
Distributions to shareholders from:
Net investment income (532,957) (300)
Net realized gain on investments (6,625) --
-------------------------
Total distributions (539,582) (300)
Capital share transactions:
Proceeds from sales of shares 263,260 9,617,478
Proceeds from reinvested dividends 539,582 300
Cost of shares redeemed (876,453) (4,245,280)
-------------------------
Net increase (decrease) in net assets from
share transactions (73,611) 5,372,498
-------------------------
Total increase (decrease) in net assets (5,154) 5,554,413
NET ASSETS
Beginning of period 6,241,897 687,484
-------------------------
End of period (including undistributed net
investment income of $336,221 and $532,957,
respectively) $6,236,743 $ 6,241,897
=========================
OTHER INFORMATION
Shares:
Sold 24,539 966,462
Issued through reinvestment of dividends 54,452 30
Redeemed (83,072) (435,053)
-------------------------
Net increase (decrease) (4,081) 531,439
=========================
</TABLE>
See accompanying notes.
102
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Financial Highlights
<TABLE>
<CAPTION>
JUNE 15, 1994
(COMMENCEMENT
SIX MONTHS ENDED YEAR ENDED OF OPERATIONS
DECEMBER 31, 1995 JUNE 30, THROUGH
(UNAUDITED) 1995 JUNE 30, 1994
----------------------------------------------------------
<S> <C> <C> <C>
SELECTED PER-SHARE DATA
Net asset value, beginning of period
$ 10.40 $ 10.00 $ 10.00
Income from investment operations:
Net investment income 0.57 0.89 0.00(C)
Net realized and unrealized gain (loss)
on investments 0.39 (0.49) --
----------------------------------------------------------
Total from investment operations 0.96 0.40 0.00
Less distributions:
From net investment income (0.89) 0.00(C) --
From net realized gain on
investments (0.01) -- --
----------------------------------------------------------
Total distributions (0.90) -- --
----------------------------------------------------------
Net asset value, end of period $ 10.46 $ 10.40 $ 10.00
==========================================================
TOTAL RETURN (A) 10.20% 4.00% 0.79%
RATIOS AND SUPPLEMENTAL DATA (B)
Net assets, end of period $6,236,743 $6,241,897 $687,484
Ratio of expenses to average
net assets (D) 1.57% 1.61% 0.85%
Ratio of net investment income to
average net assets (D) 10.60% 9.28% 0.80%
Portfolio turnover rate 36% 142% --
</TABLE>
(A) Total returns for periods less than one year are not annualized.
(B) Data expressed as a percentage are annualized as appropriate.
(C) Less than $0.01 per share.
(D) The ratios of expenses and net investment income to average net assets
before voluntary expense reimbursement were 24.78% and (23.13%),
respectively, for the period June 15, 1994 (commencement of operations)
through June 30, 1994. (Note 2)
103
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Schedule of Investments (Unaudited)
December 31, 1995
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
CORPORATE BONDS (65.8%)
<S> <C> <C>
ARGENTINA (13.1%)
Banco de Galicia, 9%, due 11/1/2003 $300,000 $ 262,898
Metrogas SA, 12%, due 8/15/2000 350,000 356,119
Telecom Argentina, 12% due 11/15/2002 (a) 200,000 213,000
----------
832,017
BRAZIL (10.1%)
Iochpe-Maxion 12.375%, due 11/8/2002 500,000 427,553
Iochpe-Maxion S.A., 12.375%, due 11/8/2002 (a) 250,000 213,750
----------
641,303
CANADA (7.9%)
Algoma Steel, Inc., 12.375%, due 7/15/2005 250,000 225,007
Sherritt, Inc., 10.5%, due 3/31/2014 250,000 273,750
----------
498,757
MEXICO (8.7%)
Banco Nacional, 7.25%, due 2/2/2004 350,000 274,345
Cemex SA de C.V., 9.5%, due 9/20/2001 300,000 278,254
----------
552,599
NIGERIA (2.0%)
Central Bank of Nigeria, 6.25%, due 11/15/2020 250,000 123,128
Central Bank of Nigeria--Warrants 250 --
----------
123,128
UNITED STATES (24.0%)
AES Corporation, 9.75%, due 6/15/2000 250,000 257,190
Owens-Illinois, Inc. 9.75%, due 8/15/2004 250,000 263,125
Petro Mexicanos, 8.625%, due 12/1/2023 (a) 350,000 262,065
Six Flags Theme Parks, 12.25%,
due 6/15/1998 (a), (b) 300,000 236,010
Stone Container, 10.75%, due 10/1/2002 100,000 103,247
Viacom International, 8%, due 7/7/2006 150,000 152,630
Westpoint Stevens, 9.375%, due 12/15/2005 250,000 246,882
----------
1,521,149
----------
TOTAL CORPORATE BONDS (Cost $4,139,102) $4,168,953
</TABLE>
104
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Schedule of Investments (Unaudited) (continued)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------- ----------
<S> <C> <C>
GOVERNMENT BONDS (27.7%)
ARGENTINA (4.7%)
Republic of Argentina, 8.375%, due 12/20/2003 $350,000 $ 296,648
BRAZIL (4.8%)
Minas Gerais XWB, 8.25%, due 2/10/2000 370,000 307,168
BULGARIA (1.7%)
Bulgaria Federated Republic, 7.56%, due
7/28/2011 (c) 240,000 111,643
ECUADOR (4.0%)
Ecuador--Discount, 6.812%, due 2/28/2025 (c) 500,000 253,172
MEXICO (7.8%)
Mexico Government Par, 6.25%, due 12/31/2019 750,000 492,240
Mexico Bond Warrants 750,000 --
----------
492,240
PANAMA (4.7%)
Republic of Panama, 6.75%, due 5/10/2002 (c) 350,000 298,857
----------
TOTAL GOVERNMENT BONDS (Cost $1,777,521) 1,759,728
SHORT-TERM SECURITIES (6.5%)
REPURCHASE AGREEMENT (6.5%)
State Street Bank, 4.25%, due 1/2/96 (Dated
12/29/95 Collateralized by U.S. Treasury
Bond 8.75% due 5/15/2017, value $417,690) 409,323 409,323
----------
TOTAL SHORT-TERM SECURITIES (Cost $409,323) 409,323
----------
TOTAL INVESTMENTS (100.0%) (Cost $6,325,946) $6,338,004
==========
</TABLE>
105
<PAGE>
Morgan Stanley Worldwide High Income Portfolio
Schedule of Investments (Unaudited) (continued)
OTHER INFORMATION:
Purchases and sales of securities excluding short-term securities, for the six
months ended December 31, 1995, aggregated $2,134,757 and $2,878,438,
respectively. Net unrealized appreciation for tax purposes aggregated $12,058,
of which $145,584 related to appreciated investment securities and $133,526
related to depreciated investment securities. The aggregate cost of securities
is the same for book and tax purposes.
As of December 31, 1995, the Portfolio had investments in the following
industries. The allocation is based on the percentage of total Portfolio
investments.
<TABLE>
<CAPTION>
PERCENT OF
TOTAL
INVESTMENTS
-----------
<S> <C>
INDUSTRY
Amusement and Recreation Services 3.72%
Apparel and Other Finished Products 3.90
Chemicals and Allied Products 4.32
Communications 3.36
Depository Institutions 16.88
Electric, Gas and Sanitary Services 9.68
Governments 27.76
Industrial Machinery and Equipment 10.12
Paper and Allied Products 1.63
Petroleum and Coal Products 4.13
Primary Metal Industries 3.55
Printing and Publishing 2.41
Stone, Clay and Glass Products 8.54
-------
100.00%
=======
</TABLE>
(a) 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.
(b) Deferred interest obligation; currently zero coupon under terms of the
initial offering.
(c) Variable rate note or floating rate note, rate shown effective at 12/31/95.
See accompanying notes.
106
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements
December 31, 1995 (Unaudited)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION
The Legends Fund, Inc. (the "Fund") was formed as a Maryland corporation on July
22, 1992. The Fund is registered under the Investment Company Act of 1940, as
amended, as an open-end management investment company. The Fund has ten
investment portfolios (the "Portfolios")--Renaissance Balanced, Zweig Asset
Allocation, Nicholas-Applegate Balanced, Harris Bretall Sullivan & Smith Equity
Growth, Dreman Value, Zweig Equity (Small Cap), Mitchell Hutchins Fixed Income,
Mitchell Hutchins Money Market, Morgan Stanley Asian Growth and Morgan Stanley
Worldwide High Income. SBM Financial Services, Inc. ("SBM Financial Services"),
a registered broker-dealer with the Securities Exchange Act of 1934 and a member
of the National Association of Securities Dealers, Inc., distributes shares of
the Fund to the separate accounts of Integrity Life Insurance Company
("Integrity") and its wholly owned subsidiary, National Integrity Life Insurance
Company ("National Integrity").
ARM Financial Group, Inc. ("ARM") is the ultimate parent of Integrity, National
Integrity, and SBM Financial Services. ARM is a financial services company
providing retail and institutional products and services to the long-term
savings and retirement market. At December 31, 1995, ARM had approximately $5.3
billion of policyholder deposits and funds under management.
On June 14, 1995, ARM completed the acquisition of substantially all of the
assets and business operations of SBM Company ("SBM"), including all of the
issued and outstanding capital stock of SBM's subsidiaries, State Bond and
Mortgage Life Insurance Company ("SBM Life") and SBM Financial Services, and
SBM's management contracts with the State Bond Group of mutual funds.
BASIS OF PRESENTATION
The accompanying financial statements have been prepared in accordance with
generally accepted accounting principles for investment companies.
107
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
SECURITY VALUATION
Stocks that are traded on a national exchange are valued at the last sale price
on the exchange on which they are primarily traded, or, if there is no sale, at
the mean between the current bid and asked prices. Over-the-counter securities
for which market quotations are readily available are valued at the mean of the
current bid and asked prices.
Short-term debt securities with remaining maturities of 61 days or more for
which reliable quotations are readily available are valued at current market
quotations. Short-term investments with remaining maturities of 60 days or less
are valued using the amortized cost method of valuation, which approximates
market value. For the Mitchell Hutchins Money Market Portfolio, portfolio
securities are valued using the amortized cost method of valuation. Bonds and
other fixed-income securities (other than short-term securities described above)
are valued using market quotations provided by a pricing service under
procedures approved by the Fund's Board of Directors.
Futures contracts and options thereon and option contracts traded on a
commodities exchange or board of trade are valued at the closing settlement
price. Futures and option positions or any other securities or assets for which
reliable market quotations are not readily available or for which valuation
cannot be provided by a pricing service approved by the Board of Directors of
the Fund are valued at "fair value" as determined in good faith by the Valuation
Committee of the Board of Directors.
SECURITY TRANSACTIONS
Securities transactions are recorded on the trade date net of brokerage fees,
commissions, and transfer fees. Interest income is accrued daily. Dividend
income is recorded on the ex-dividend date. Premiums and discounts on securities
purchased are amortized using the effective interest method. Realized gains and
losses on the sale of investments are determined on the basis of nearest
average.
Securities purchased on a when-issued or delayed-delivery basis may be settled a
month or more after the trade date. Securities purchased on a when-issued basis
are included in the portfolio and are subject to market value fluctuations
during the period. At December 31, 1995, the Mitchell Hutchins Fixed Income
Portfolio had segregated specific assets to be utilized to settle its
outstanding commitments related to delayed-delivery.
108
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
INCOME TAX STATUS
The Fund complied with the requirements of the Internal Revenue Code applicable
to regulated investment companies and distributed its taxable net investment
income and net realized gains. Therefore, no provision for federal or state
income tax is required.
DIVIDEND DISTRIBUTIONS
Dividends from net investment income and distributions from net realized gains
are declared and distributed annually, except that the Mitchell Hutchins Money
Market Portfolio declares dividends from net investment income each business day
and distributes them monthly. Dividends and distributions are recorded on the
ex-dividend date. All dividends are reinvested in additional full and fractional
shares of the related Portfolios.
Income and capital gain distributions are determined in accordance with income
tax regulations which may differ from generally accepted accounting principles.
These differences, which may result in distribution reclassifications, are
primarily due to differing treatments for foreign currency transactions, futures
transactions, passive foreign investment companies, capital losses, and losses
deferred due to wash sales.
FUTURES CONTRACTS
Certain Portfolios may enter into futures contracts to provide against adverse
movement in the price of securities in the Portfolio or to enhance investment
performance. When entering into a futures contract, changes in the market price
of the contracts are recognized as unrealized gains or losses by marking each
contract to market at the end of each trading day through a variation margin
account. When a futures contract is closed, the Portfolios record a gain or loss
equal to the difference between the value of the contract at the time it was
opened and the value at the time it was closed. The face amount of the futures
contracts shown in the Schedule of Investments reflects each contract's value at
December 31, 1995.
The use of futures contracts involves, to varying degrees, elements of market
risk in excess of the amount recognized in the statement of assets and
liabilities. The contract amounts of the futures contracts reflect the extent of
the Portfolios' exposure to off-
109
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
balance sheet risk. The Portfolios bear the market risk which arises from any
changes in contract values.
FOREIGN CURRENCY TRANSLATION
Investment securities and other assets and liabilities denominated in a foreign
currency are translated into U.S. dollars based upon current exchange rates at
year end. Purchases and sales of securities, income receipts, and expense
payments are translated into U.S. dollars at the prevailing rate on the
respective dates of the transactions. The effects of changes in foreign currency
exchange rates on investments in securities are included in net realized and
unrealized gain or loss on investments in the Statement of Operations.
The Morgan Stanley Asian Growth, the Morgan Stanley Worldwide High Income, and
the Mitchell Hutchins Fixed Income Portfolios may engage in foreign currency
exchange transactions in connection with the purchase and sale of portfolio
securities, and to protect the value of specific portfolio positions. Forward
foreign currency exchange contracts involve elements of market risk in excess of
the amount reflected in the Statement of Assets and Liabilities. The Portfolios
bear the risk of an unfavorable change in the foreign exchange rate underlying
the forward contract. Additionally, losses may arise if the counterparties do
not perform under the contracts' terms.
The Morgan Stanley Asian Growth and Morgan Stanley Worldwide High Income
Portfolios have relatively large investments in countries with limited or
developing capital markets that may involve greater risk than investments in
more developed markets and as a result the prices of such investments may be
volatile. The consequences of political, social, or economic changes in these
markets may have disruptive effects on the market prices of the Portfolios'
investments and the income they generate.
OTHER
Organization costs of $11,416 were deferred and are being amortized over five
years by both the Morgan Stanley Asian Growth and Morgan Stanley Worldwide High
Income Portfolios.
On August 25, 1994, Integrity purchased for its own account approximately
450,000 shares of the Morgan Stanley Worldwide High Income Portfolio, at the net
asset value on such date, for an aggregate purchase price of $4.5 million. As of
December 31, 1995,
110
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
approximately 138,511 shares, having a fair value of $1.6 million and
constituting 16.1% of the outstanding shares of the Portfolio, were held by
Integrity for its own account.
2. INVESTMENT ADVISORY AGREEMENTS AND PAYMENTS TO RELATED PARTIES
Integrity is the investment manager for the Fund pursuant to a Management
Agreement (the "Management Agreement") between the Fund and Integrity. Integrity
has entered into a sub-advisory agreement with a registered investment adviser
("Sub-Adviser") for each of the Portfolios. Integrity, not the Fund, pays the
sub-advisory fee to each of the Sub-Advisers. The fees payable to Integrity
under the Management Agreement, and by Integrity to each Sub-Adviser, as a
percentage of average net assets are as follows:
<TABLE>
<CAPTION>
MANAGEMENT SUB-ADVISORY
PORTFOLIO FEE FEE
- ---------------------------------------------------------------------------
<S> <C> <C>
Renaissance Balanced 0.65% 0.50%
Zweig Asset Allocation 0.90 0.75
Nicholas-Applegate Balanced 0.65 0.50
Harris Bretall Sullivan & Smith Equity Growth 0.65 0.50
Dreman Value 0.65 0.50
Zweig Equity (Small Cap) 1.05 0.90
Mitchell Hutchins Fixed Income 0.90 0.75
Mitchell Hutchins Money Market 0.65 0.50
Morgan Stanley Asian Growth 1.00 0.85
Morgan Stanley Worldwide High Income 0.85 0.70
</TABLE>
Under the Management Agreement, Integrity provides certain management services
to the Fund, and the Fund is responsible for certain of its direct operating
expenses. Integrity has voluntarily agreed to reimburse each of the Portfolios
for operating expenses (excluding management fees) above an annual rate of 0.5%
of average net assets, with the exception of the two Morgan Stanley Portfolios,
for which the annual voluntary expense limitation (excluding management fees) is
1.0% of average net assets. Integrity has reserved the right to withdraw or
modify its policy of expense reimbursement for the Portfolios.
On February 1, 1996 ARM Capital Advisors, Inc. ("ARM Capital Advisors") became
the investment manager for the Fund replacing Integrity. ARM Capital Advisors
assumes all
111
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
2. INVESTMENT ADVISORY AGREEMENTS AND PAYMENTS TO RELATED PARTIES (CONTINUED)
of Integrity's responsibility pursuant to the Management Agreement and the sub-
advisory agreements for each of the Portfolios. ARM Capital Advisors is a wholly
owned subsidiary of ARM.
The Renaissance Balanced, Zweig Asset Allocation, Nicholas-Applegate Balanced,
Harris Bretall Sullivan & Smith Equity Growth, Dreman Value, Morgan Stanley
Asian Growth and Zweig Equity (Small Cap) Portfolios placed a portion of their
transactions with brokerage firms which may be considered affiliates of the Fund
under the Investment Company Act of 1940. The commissions paid to these firms
were approximately $43,000 in the aggregate during the six months ended December
31, 1995.
Certain officers and directors of the Fund are also officers of ARM, SBM
Financial Services, ARM Capital Advisors, Integrity and National Integrity. The
Fund does not pay any amounts to compensate these individuals.
3. CAPITAL SHARES
At December 31, 1995, the Fund had authority to issue one billion
(1,000,000,000) shares of common stock, $.001 par value each, in any class or
classes as determined by the Board of Directors. At such date, the Board of
Directors had authorized ten classes of shares, as follows: 55,000,000 shares
each for the Renaissance Balanced, Zweig Asset Allocation, Nicholas-Applegate
Balanced, Harris Bretall Sullivan & Smith Equity Growth, Dreman Value, Zweig
Equity (Small Cap), Mitchell Hutchins Fixed Income, Morgan Stanley Asian Growth,
and Morgan Stanley Worldwide High Income Portfolios and 100,000,000 shares for
the Mitchell Hutchins Money Market Portfolio.
At December 31, 1995, Integrity, through its Separate Account II, and National
Integrity, through its Separate Account II, were the record owners of all the
outstanding shares of the Fund.
4. SUBSEQUENT EVENT
On February 16, 1996, the Board of Directors of the Fund voted to terminate the
sub-advisory agreements with the Sub-Advisers of the Mitchell Hutchins Fixed
Income Portfolio ("Fixed Income Portfolio") and the Mitchell Hutchins Money
Market Portfolio ("Money Market Portfolio"). The two sub-advisory agreements
will terminate effective February 29, 1996. On March 1, 1996, J.P. Morgan
Investment Management, Inc. ("J.P.
112
<PAGE>
The Legends Fund, Inc.
Notes to Financial Statements (continued)
4. SUBSEQUENT EVENT (CONTINUED)
Morgan") will become the Sub-Adviser for the Fixed Income Portfolio. The new
name of the Fixed Income Portfolio will be the Pinnacle Fixed Income Portfolio.
The Fund's Board of Directors also voted to amend the Management Agreement
between the Fixed Income Portfolio and ARM Capital Advisors to reduce the annual
advisory fee relating to the Fixed Income Portfolio from .90% to .70% of average
net assets. ARM Capital Advisors will compensate J.P. Morgan for its services as
Sub-Adviser at the annual rate of .50% of average net assets. On March 1, 1996,
ARM Capital Advisors will manage the Money Market Portfolio directly without any
Sub-Adviser. The new name of the Money Market Portfolio will be ARM Capital
Advisors Money Market Portfolio. The Fund's Board of Directors also voted to
amend the fees payable under the Management Agreement for the Money Market
Portfolio from .65% to .50% of average net assets.
113
<PAGE>
This Annual Report is not to be construed as an offering for sale directly or
indirectly of any interest in the Fund. No offering is made except in
conjunction with a prospectus which must precede or accompany this report.
Principal offices located at
200 East Wilson Bridge Road
Worthington, Ohio 43085
Catalog # 001728 (2/16)
