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[LOGO] The Legends Fund, Inc.
Annual Report
June 30, 1996
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The Legends Fund, Inc.
Portfolio Performance
June 30, 1996
RENAISSANCE BALANCED PORTFOLIO
Comparison of change in value of $10,000 investment in
Renaissance Balanced Portfolio, the S&P 500, and a composite index
consisting of 60% of the S&P 500, 30% of Lehman Brothers
Government/Corporate Bond Index, and 10% of 90-day Treasury Bill Yield
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
60% S&P 500
30% Lehman
Renaissance Balanced 10% 90-Day Treasury S&P
Date Portfolio Bill Yield 500
- -------- -------------------- ------------------- -------
<S> <C> <C> <C>
12/14/92 $10,000 $10,000 $10,000
Dec 92 $ 9,930 $10,085 $10,088
Jun 93 $10,420 $10,629 $10,579
Dec 93 $10,985 $11,058 $11,102
Jun 94 $10,501 $10,709 $10,727
Dec 94 $10,604 $11,076 $11,248
Jun 95 $11,941 $12,832 $13,519
Dec 95 $13,135 $14,230 $15,471
Jun 96 $13,454 $15,036 $17,032
</TABLE>
. Average annual total return since inception: 8.72%.
. Total return for the fiscal year ended June 30, 1996: 12.68%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on December 14, 1992. Index performances
for the month of December 1992 have been prorated to conform to the
commencement date of the Portfolio (except for the S&P 500).
. Past performance is not predictive of future performance.
Stocks moved higher during the second quarter, as the S&P 500 posted all-time
highs during May 1996. Inflows into stock mutual funds totaled $122 billion in
the first five months of 1996 (compared to $128 billion during all of 1995) and
helped push stocks to all-time highs.
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The Legends Fund, Inc.
Portoflio Peformance (continued)
June 30, 1996
ZWEIG ASSET ALLOCATION PORTFOLIO
Comparison of change in value of $10,000 investment in
Zweig Asset Allocation Portfolio and the S&P 500
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date Zweig Asset Allocation Portfolio S&P 500
- ---- -------------------------------- -------
<S> <C> <C>
12/14/92 $10,000 $10,000
Dec 92 $10,000 $10,088
Jun 93 $10,810 $10,579
Dec 93 $11,495 $11,102
Jun 94 $11,485 $10,727
Dec 94 $11,536 $11,248
Jun 95 $13,164 $13,519
Dec 95 $14,009 $15,471
Jun 96 $14,620 $17,032
</TABLE>
. Average annual total return since inception: 11.31%.
. Total return for the fiscal year ended June 30, 1996: 11.06%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on December 14, 1992.
. Past performance is not predictive of future performance.
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
ZWEIG ASSET ALLOCATION PORTFOLIO (CONTINUED)
the market's weighting. We have also increased investment in defensive industry
groups, such as utilities, a sector which made up less than 5% of the Portfolio
a year ago.
The point of all this is the Portfolio's flexibility. It is evident in both our
asset allocation and our stock selection. Personal comfort is not an issue in
determining the asset mix or industry exposure. This is one of the benefits of a
quantitative style. If our indicators warn that risk levels are rising, we will
cut back. If our stock selection model signals that utility stocks have the best
combination of growth and value characteristics, we will invest there.
NICHOLAS-APPLEGATE BALANCED PORTFOLIO
Comparison of change in value of $10,000 investment in Nicholas-Applegate
Balanced Portfolio, the S&P 500, and a composite index consisting of
60% of the S&P 500 and 40% of Lehman Brothers Intermediate Treasury Bond Index.
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
60% S&P 500
Nicholas-Applegate 40% Lehman Intermediate
Date Balanced Portfolio Treasury Bond Index S&P 500
- ---- ------------------ ----------------------- ---------
<S> <C> <C> <C>
12/3/92 $10,000 $10,000 $10,000
Dec 92 $10,300 $10,143 $10,088
Jun 93 $11,500 $10,676 $10,579
Dec 93 $11,772 $11,089 $11,102
Jun 94 $11,301 $10,723 $10,727
Dec 94 $11,738 $11,063 $11,248
Jun 95 $13,326 $12,795 $13,519
Dec 95 $14,087 $14,151 $15,471
Jun 96 $15,129 $14,997 $17,032
</TABLE>
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
HARRIS BRETALL SULLIVAN & SMITH EQUITY GROWTH PORTFOLIO
Comparison of change in value of $10,000 investment in
Harris Bretall Sullivan & Smith Equity Growth Portfolio and the S&P 500
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
HARRIS BRETALL SULLIVAN &
DATE SMITH EQUITY GROWTH PORTFOLIO S&P 500
- ---- ----------------------------- -------
<S> <C> <C>
12/14/92 $10,000 $10,000
Dec 92 $10,050 $10,088
Jun 93 $ 9,710 $10,579
Dec 93 $10,050 $11,102
Jun 94 $ 9,360 $10,727
Dec 94 $10,460 $11,248
Jun 95 $12,850 $13,519
Dec 95 $13,771 $15,471
Jun 96 $14,597 $17,032
</TABLE>
. Average annual total return since inception: 11.21%.
. Total return for the fiscal year ended June 30, 1996: 13.59%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on December 14, 1992.
. Past performance is not predictive of future performance.
For the fiscal year ended June 30, 1996, the Portfolio finished up 13.59%. This
follows the fiscal year ended June 30, 1995, when the Portfolio finished up
37.29%. Double digit returns, as we have enjoyed, occur most often during
economic periods we call "The Virtuous Cycle," a period of time when interest
rates are stable or declining, earnings are rising, and price/earnings ratios
are expanding. Our long-term forecast is for the Virtuous Cycle scenario, and
hence, we remain bullish for the long-term.
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
DREMAN VALUE PORTFOLIO
Comparison of change in value of $10,000 investment in
Dreman Value Portfolio and the S&P 500
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Date DREMAN VALUE PORTFOLIO S&P 500
- ---- ----------------------- -------
<S> <C> <C>
12/14/92 $10,000 $10,000
Dec 92 $10,180 $10,088
Jun 93 $10,450 $10,579
Dec 93 $10,820 $11,102
Jun 94 $10,740 $10,727
Dec 94 $10,736 $11,248
Jun 95 $12,886 $13,519
Dec 95 $15,622 $15,471
Jun 96 $16,909 $17,032
</TABLE>
. Average annual total return since inception: 15.97%.
. Total return for the fiscal year ended June 30, 1996: 31.22%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on December 14, 1992.
. Past performance is not predictive of future performance.
The second quarter of 1996 saw the U.S. equity market repeat its solid first
quarter performance, rising 4.5% for three months and 10.0% in the first half of
the year. Our equity portfolios have trailed the S&P 500 over the past six
months as growth stocks have outpaced their value stocks counterparts.
The most significant dynamics through June have occurred not in the equity
market, but in the bond market. Since December 31, 1995, yields on 30-year U.S.
Treasury Bonds have risen from 5.95% to 7.14% at June 30, 1996. To date, we
have seen little impact on the equity market from this increase in rates.
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
ZWEIG EQUITY (SMALL CAP) PORTFOLIO
Comparison of change in value of $10,000 investment in
Zweig Equity (Small Cap) Portfolio and the Value Line Geometric Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
ZWEIG EQUITY VALUE LINE
(SMALL CAP) GEOMETRIC
Date PORTFOLIO INDEX
- ---- ------------ ----------
<S> <C> <C>
12/14/92 $10,000 $10,000
Dec 92 $10,000 $10,106
Jun 93 $10,110 $10,611
Dec 93 $10,864 $11,260
Jun 94 $10,763 $10,482
Dec 94 $10,797 $10,582
Jun 95 $11,881 $11,862
Dec 95 $13,076 $12,624
Jun 96 $14,102 $13,509
</TABLE>
. Average annual total return since inception: 10.18%.
. Total return for the fiscal year ended June 30, 1996: 18.69%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on December 14, 1992.
. Past performance is not predictive of future performance.
For the twelve months ended June 30, 1996, the Portfolio returned 18.69% versus
13.80% for the Value Line Geometric Index.
Our research has deteriorated to a low-neutral reading as our models have
indicated rising risk. Due to the strengthening U.S. economy and the increased
threat of inflation, bonds have not been performing well. This usually affects
the stock market adversely. Investor sentiment is poor as public optimism
continues to rise. There are signs of excessive speculation in everything from
the number
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
PINNACLE FIXED INCOME PORTFOLIO
Comparison of change in value of $10,000 investment in
Pinnacle Fixed Income Portfolio and the Salomon
Brothers Broad Investment-Grade Bond Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Salomon Bros.
Broad Investment-
Date Pinnacle Fixed Income Grade Bond Index
- ---- --------------------- -----------------
<S> <C> <C>
1/5/93 $ 10,000 $ 10,000
Jun 93 $ 10,430 $ 10,695
Dec 93 $ 10,564 $ 10,979
Jun 94 $ 10,109 $ 10,568
Dec 94 $ 10,156 $ 10,667
Jun 95 $ 11,229 $ 11,894
Dec 95 $ 11,893 $ 12,571
Jun 96 $ 11,599 $ 12,413
</TABLE>
. Average annual total return since inception: 4.34%.
. Total return for the fiscal year ended June 30, 1996: 3.29%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on January 5, 1993. Index performance has
been prorated to conform to the commencement date of the Portfolio.
. Past performance is not predictive of future performance.
Interest rates continued upward during the quarter as economic strength
generated uncertainty regarding Federal Reserve action. The March and May 1996
employment numbers showed that the economy added 140,000 and 348,000 new
positions, respectively--significantly more than expected in each instance. The
first quarter GDP report offered that the economy grew at a 2.8% pace during the
first three months of the year, although 1.7% was expected. Inflation data
remained benign throughout the period.
J.P. Morgan Investment Management assumed management of the Portfolio on April
1, 1996. Duration had a neutral effect on performance. In the beginning of the
quarter, the duration was
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
PINNACLE FIXED INCOME PORTFOLIO (CONTINUED)
longer than the benchmark. However, we scaled back to a neutral position in May
1996 and eventually ended the quarter slightly longer than the index. Emphasis
on yield-advantaged sectors of the market contributed to the portfolio's
performance.
We will maintain the Portfolio's overweight in mortgage-backed and asset-backed
securities based on expectations of stable spreads relative to U.S. Treasuries.
We expect a Federal Reserve interest rate increase over the next few months, and
we anticipate a flattening of the yield curve caused by rising short-term
interest rates. Thus, we plan to lengthen duration on further weakness and will
consider shortening duration if the market strengthens.
MORGAN STANLEY ASIAN GROWTH PORTFOLIO
Comparison of change in value of $10,000 investment in
Morgan Stanley Asian Growth Portfolio and the MSCI Combined
Far East Free Ex-Japan Index
[GRAPH APPEARS HERE]
<TABLE>
<CAPTION>
Morgan Stanley MSCI Combined
Asian Growth Far East Free
Portfolio Ex-Japan Index
-------------- --------------
<S> <C> <C>
6/15/94 $10,000 $10,000
Jun 94 $10,000 $ 9,754
Dec 94 $ 9,280 $ 9,772
Jun 95 $10,180 $10,456
Dec 95 $10,279 $10,437
Jun 96 $10,912 $11,310
</TABLE>
152
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The Legends Fund, Inc.
Portfolio Performance (continued)
June 30, 1996
MORGAN STANLEY WORLDWIDE HIGH INCOME PORTFOLIO
Comparison of change in value of $10,000 investment in
Morgan Stanley Worldwide High Income Portfolio, the J.P. Morgan Emerging Market
Bond Index, and a composite index consisting of 50% of the J.P. Morgan
Emerging Market Bond Index and 50% of Lehman Brothers Aggregate Bond Index
[GRAPH APPEARS HERE]
50% JP Morgan
Emerging Mkt. Bond
JP Morgan 50% Lehman Bros.
Date Morgan Stanley Emerging Market Aggregate Bond
- ---- Worldwide High Income Bond Index Index
--------------------- --------------- ------------------
6/15/94 $10,000 $10,000 $10,000
Jun 94 $10,000 $ 9,580 $ 9,784
Dec 94 $ 9,500 $ 9,731 $ 9,909
Jun 95 $10,400 $10,628 $10,935
Dec 95 $11,461 $12,319 $12,143
Jun 96 $12,315 $14,225 $12,987
. Average annual total return since inception: 10.73%.
. Total return for the fiscal year ended June 30, 1996: 18.41%.
. Performance relates to the Portfolio and does not reflect separate account
charges applicable to variable annuity certificates.
. Portfolio commenced operations on June 15, 1994. Index performances for the
month of June 1994 have been prorated to conform to the commencement date
of the Portfolio.
. Past performance is not predictive of future performance.
The last twelve months in the emerging markets debt have been gratifying.
Following a period when default probabilities in emerging markets rose
considerably, bond markets were becalmed by U.S. Treasury, International
Monetary Fund ("IMF") and World Bank support for Mexico and Argentina.
Multilateral support not withstanding, governments irrespective of their
political complexions deepened their commitments to reform and deregulation
across the emerging market universe.
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