<PAGE> 1
CAPITAL APPRECIATION PORTFOLIO 10
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF ASSETS AND LIABILITIES
=======================================================================================================================
September 30, 1995
- -----------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Investments, at Value (Cost $112,010,157) $144,756,143
- -----------------------------------------------------------------------------------------------------------------------
Cash 1,547,832
- -----------------------------------------------------------------------------------------------------------------------
Receivable for Securities Sold 5,548,565
- -----------------------------------------------------------------------------------------------------------------------
Dividends Receivable 14,960
- -----------------------------------------------------------------------------------------------------------------------
Prepaid Expenses 175
- -----------------------------------------------------------------------------------------------------------------------
Total Assets 151,867,675
- -----------------------------------------------------------------------------------------------------------------------
LIABILITIES
- -----------------------------------------------------------------------------------------------------------------------
Due to Bankers Trust 57,336
- -----------------------------------------------------------------------------------------------------------------------
Payable for Securities Purchased 1,901,125
- -----------------------------------------------------------------------------------------------------------------------
Accrued Expenses and Accounts Payable 21,325
- -----------------------------------------------------------------------------------------------------------------------
Total Liabilities 1,979,786
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS $149,887,889
=======================================================================================================================
COMPOSITION OF NET ASSETS
- -----------------------------------------------------------------------------------------------------------------------
Paid-in Capital $117,141,903
- -----------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 32,745,986
- -----------------------------------------------------------------------------------------------------------------------
NET ASSETS, SEPTEMBER 30, 1995 $149,887,889
=======================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 2
CAPITAL APPRECIATION PORTFOLIO 11
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
===============================================================================================================================
For the period January 1, 1995 to September 30, 1995
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
- -------------------------------------------------------------------------------------------------------------------------------
Dividends $ 108,821
- -------------------------------------------------------------------------------------------------------------------------------
Interest 347,025
- -------------------------------------------------------------------------------------------------------------------------------
Total Investment Income $ 455,846
- -------------------------------------------------------------------------------------------------------------------------------
EXPENSES
- -------------------------------------------------------------------------------------------------------------------------------
Advisory Fee 482,453
- -------------------------------------------------------------------------------------------------------------------------------
Administration and Services Fee 74,224
- -------------------------------------------------------------------------------------------------------------------------------
Professional Fees 16,299
- -------------------------------------------------------------------------------------------------------------------------------
Insurance 2,000
- -------------------------------------------------------------------------------------------------------------------------------
Trustees Fees 1,107
- -------------------------------------------------------------------------------------------------------------------------------
Miscellaneous 965
- -------------------------------------------------------------------------------------------------------------------------------
Total Expenses 577,048
- -------------------------------------------------------------------------------------------------------------------------------
Less: Expenses Absorbed by Bankers Trust (131,702) 445,346
- -------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME 10,500
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
- -------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain from Securities Transactions 11,774,764
- -------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 23,909,639
- -------------------------------------------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN ON SECURITIES 35,684,403
- -------------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $35,694,903
===============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 3
CAPITAL APPRECIATION PORTFOLIO 12
--------------------------------------------------------
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
===============================================================================================================================
For the
For the period year ended
January 1, 1995 to December
September 30, 1995 31, 1994
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------------
FROM OPERATIONS
- -------------------------------------------------------------------------------------------------------------------------------
Net Investment Income $ 10,500 $ 39,472
- -------------------------------------------------------------------------------------------------------------------------------
Net Realized Gain (Loss) from Securities Transactions 11,774,764 (3,134,504)
- -------------------------------------------------------------------------------------------------------------------------------
Net Unrealized Appreciation on Securities 23,909,639 5,994,992
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Operations 35,694,903 2,899,960
- -------------------------------------------------------------------------------------------------------------------------------
FROM CAPITAL TRANSACTIONS
- -------------------------------------------------------------------------------------------------------------------------------
Proceeds from Capital Invested 63,887,608 48,149,120
- -------------------------------------------------------------------------------------------------------------------------------
Value of Capital Withdrawn (23,328,952) (14,490,487)
- -------------------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets from Capital Transactions 40,558,656 33,658,633
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE IN NET ASSETS 76,253,559 36,558,593
===============================================================================================================================
NET ASSETS
- -------------------------------------------------------------------------------------------------------------------------------
Beginning of Period 73,634,330 37,075,737
- -------------------------------------------------------------------------------------------------------------------------------
End of Period $149,887,889 $ 73,634,330
===============================================================================================================================
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 4
CAPITAL APPRECIATION PORTFOLIO 13
--------------------------------------------------------
FINANCIAL HIGHLIGHTS
================================================================================
Contained below are selected ratios and supplemental data for each of the
periods indicated for the Capital Appreciation Portfolio.
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
For the period
For the March 9, 1993
For the period year ended (Commencement
January 1, 1995 to December of Operations) to
September 30, 1995 31, 1994 December 31, 1993
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RATIOS AND SUPPLEMENTAL DATA
Ratio of Net Investment Income to Average Net Assets 0.01%* 0.08% 0.38%*
Ratio of Expenses to Average Net Assets 0.60%* 0.60% 0.60%*
Decrease Reflected in Above Ratio of Expenses to Average
Net Assets Due to Absorption of Expenses by Bankers Trust 0.18%* 0.23% 0.41%*
Portfolio Turnover Rate 125% 157% 137%
Net Assets, End of Period (000's omitted) $149,888 $73,634 $37,076
</TABLE>
* Annualized
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 5
CAPITAL APPRECIATION PORTFOLIO 14
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
COMMON STOCKS - 86.69%
- ----------------------------------------------------------------------------------------------------------------------------------
AMERICA'S CHANGING LEISURETIME - 5.55%
- ----------------------------------------------------------------------------------------------------------------------------------
16,800 Broderbund Software (a) $ 1,278,900
- ----------------------------------------------------------------------------------------------------------------------------------
132,500 Darden Restaurants (a) 1,523,750
- ----------------------------------------------------------------------------------------------------------------------------------
24,400 Davidson and Associates (a) 847,900
- ----------------------------------------------------------------------------------------------------------------------------------
27,500 La Quinta Inns 770,000
- ----------------------------------------------------------------------------------------------------------------------------------
33,700 Lone Star Steakhouse& Saloon (a) 1,381,700
- ----------------------------------------------------------------------------------------------------------------------------------
15,000 New World Communications Group (a) 309,375
- ----------------------------------------------------------------------------------------------------------------------------------
64,600 Renaissance Hotel Group N.V. (a) 1,146,650
- ----------------------------------------------------------------------------------------------------------------------------------
37,100 Sinclair Broadcast Group (a) 1,066,625
- ----------------------------------------------------------------------------------------------------------------------------------
8,324,900
==================================================================================================================================
AMERICA'S INDUSTRIAL RENAISSANCE - 5.30%
- ----------------------------------------------------------------------------------------------------------------------------------
49,200 American Standard (a) 1,451,400
- ----------------------------------------------------------------------------------------------------------------------------------
35,700 Atlantic Southeast Airlines 834,487
- ----------------------------------------------------------------------------------------------------------------------------------
51,450 Comair Holdings 1,363,425
- ----------------------------------------------------------------------------------------------------------------------------------
49,700 Pall 1,155,525
- ----------------------------------------------------------------------------------------------------------------------------------
9,900 Sealed Air (a) 545,737
- ----------------------------------------------------------------------------------------------------------------------------------
25,700 Ultratech Stepper (a) 1,085,825
- ----------------------------------------------------------------------------------------------------------------------------------
23,800 Vicor (a) 575,663
- ----------------------------------------------------------------------------------------------------------------------------------
65,300 Westinghouse Air Brake (a) 938,688
- ----------------------------------------------------------------------------------------------------------------------------------
7,950,750
==================================================================================================================================
LIFE SCIENCES REVOLUTION - 3.04%
- ----------------------------------------------------------------------------------------------------------------------------------
45,700 BioChem Pharma (a) 1,456,687
- ----------------------------------------------------------------------------------------------------------------------------------
41,700 Idexx Laboratories (a) 1,553,325
- ----------------------------------------------------------------------------------------------------------------------------------
28,400 Millipore 1,065,000
- ----------------------------------------------------------------------------------------------------------------------------------
9,900 Sigma-Aldrich 480,150
- ----------------------------------------------------------------------------------------------------------------------------------
4,555,162
==================================================================================================================================
MANAGING THE INFORMATION AGE - 9.96%
- ----------------------------------------------------------------------------------------------------------------------------------
24,600 3Com (a) 1,119,300
- ----------------------------------------------------------------------------------------------------------------------------------
32,900 Adobe Systems 1,702,575
- ----------------------------------------------------------------------------------------------------------------------------------
10,800 Ascend Communications (a) 864,000
- ----------------------------------------------------------------------------------------------------------------------------------
23,700 Bay Networks (a) 1,264,987
- ----------------------------------------------------------------------------------------------------------------------------------
24,200 Cascade Communications (a) 1,191,850
- ----------------------------------------------------------------------------------------------------------------------------------
31,800 Ceridian (a) 1,411,125
- ----------------------------------------------------------------------------------------------------------------------------------
55,600 Cheyenne Software (a) 1,112,000
- ----------------------------------------------------------------------------------------------------------------------------------
16,200 FORE Systems (a) 599,400
- ----------------------------------------------------------------------------------------------------------------------------------
33,400 Glenayre Technologies (a) 2,404,800
- ----------------------------------------------------------------------------------------------------------------------------------
27,100 Madge Networks N.V. (a) 867,200
- ----------------------------------------------------------------------------------------------------------------------------------
13,600 Policy Management Systems (a) 697,000
- ----------------------------------------------------------------------------------------------------------------------------------
25,800 Symantec (a) 774,000
- ----------------------------------------------------------------------------------------------------------------------------------
21,900 Tellabs (a) 922,538
- ----------------------------------------------------------------------------------------------------------------------------------
14,930,775
==================================================================================================================================
MOVE TO OUTSOURCING - 4.85%
- ----------------------------------------------------------------------------------------------------------------------------------
27,600 Avnet 1,424,850
- ----------------------------------------------------------------------------------------------------------------------------------
50,700 Lear Seating (a) 1,489,313
- ----------------------------------------------------------------------------------------------------------------------------------
42,000 Paychex 1,942,500
- ----------------------------------------------------------------------------------------------------------------------------------
28,100 Solectron (a) 1,109,950
- ----------------------------------------------------------------------------------------------------------------------------------
66,500 USA Waste Services (a) 1,296,750
- ----------------------------------------------------------------------------------------------------------------------------------
7,263,363
==================================================================================================================================
NEW HEALTH CARE PARADIGM - 10.52%
- ----------------------------------------------------------------------------------------------------------------------------------
38,700 American Oncology Resources (a) 1,664,100
- ----------------------------------------------------------------------------------------------------------------------------------
25,000 Biogen (a) 1,500,000
- ----------------------------------------------------------------------------------------------------------------------------------
14,000 CareLine (a) 131,250
- ----------------------------------------------------------------------------------------------------------------------------------
21,000 Caremark International 451,500
- ----------------------------------------------------------------------------------------------------------------------------------
35,200 Cerner (a) 1,205,600
- ----------------------------------------------------------------------------------------------------------------------------------
22,900 HBO & Co 1,431,250
- ----------------------------------------------------------------------------------------------------------------------------------
32,000 Healthsource (a) 1,540,000
- ----------------------------------------------------------------------------------------------------------------------------------
23,800 Medtronic 1,279,250
- ----------------------------------------------------------------------------------------------------------------------------------
26,100 Nellcor Puritan Bennett (a) 1,298,475
- ----------------------------------------------------------------------------------------------------------------------------------
23,100 Oxford Health Plans (a) 1,680,525
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 6
CAPITAL APPRECIATION PORTFOLIO 15
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
39,900 PhyCor (a) $ 1,366,575
- ----------------------------------------------------------------------------------------------------------------------------------
34,800 Sola International (a) 769,950
- ----------------------------------------------------------------------------------------------------------------------------------
35,200 Watson Pharmaceuticals (a) 1,443,200
- ----------------------------------------------------------------------------------------------------------------------------------
15,761,675
==================================================================================================================================
PRODUCTIVITY ENHANCEMENT - 8.86%
- ----------------------------------------------------------------------------------------------------------------------------------
28,250 Credence Systems (a) 1,024,062
- ----------------------------------------------------------------------------------------------------------------------------------
36,000 Danka Business Systems - ADR 1,296,000
- ----------------------------------------------------------------------------------------------------------------------------------
23,900 Diamond Multimedia Systems (a) 770,775
- ----------------------------------------------------------------------------------------------------------------------------------
17,100 KLA Instruments (a) 1,372,275
- ----------------------------------------------------------------------------------------------------------------------------------
18,400 Lam Research (a) 1,099,400
- ----------------------------------------------------------------------------------------------------------------------------------
77,300 Mentor Graphics (a) 1,613,638
- ----------------------------------------------------------------------------------------------------------------------------------
14,000 Novellus Systems (a) 980,000
- ----------------------------------------------------------------------------------------------------------------------------------
36,000 Parametric Technology (a) 2,214,000
- ----------------------------------------------------------------------------------------------------------------------------------
24,200 Tencor Instruments (a) 1,070,850
- ----------------------------------------------------------------------------------------------------------------------------------
51,000 Teradyne (a) 1,836,000
- ----------------------------------------------------------------------------------------------------------------------------------
13,277,000
==================================================================================================================================
REDISTRIBUTION OF DEBT - 3.21%
- ----------------------------------------------------------------------------------------------------------------------------------
23,900 Countrywide Credit Industries 561,650
- ----------------------------------------------------------------------------------------------------------------------------------
24,400 Green Tree Financial 1,488,400
- ----------------------------------------------------------------------------------------------------------------------------------
35,700 The Money Store 1,691,288
- ----------------------------------------------------------------------------------------------------------------------------------
22,600 The PMI Group 1,070,675
- ----------------------------------------------------------------------------------------------------------------------------------
4,812,013
==================================================================================================================================
SPECIAL SITUATIONS - 2.85%
- ----------------------------------------------------------------------------------------------------------------------------------
42,600 AVX (a) 1,427,100
- ----------------------------------------------------------------------------------------------------------------------------------
30,500 Katz Media Group (a) 621,437
- ----------------------------------------------------------------------------------------------------------------------------------
34,700 Softkey International (a) 1,535,475
- ----------------------------------------------------------------------------------------------------------------------------------
21,400 Sybase (a) 687,475
- ----------------------------------------------------------------------------------------------------------------------------------
4,271,487
==================================================================================================================================
STORES OF VALUE - 9.67%
- ----------------------------------------------------------------------------------------------------------------------------------
31,400 Barnes &Noble (a) 1,201,050
- ----------------------------------------------------------------------------------------------------------------------------------
63,900 Borders Group (a) 1,094,287
- ----------------------------------------------------------------------------------------------------------------------------------
40,500 Corporate Express (a) 987,187
- ----------------------------------------------------------------------------------------------------------------------------------
29,000 General Nutrition (a) 1,319,500
- ----------------------------------------------------------------------------------------------------------------------------------
37,200 Heilig-Myers 864,900
- ----------------------------------------------------------------------------------------------------------------------------------
30,900 Nine West Group (a) 1,405,950
- ----------------------------------------------------------------------------------------------------------------------------------
24,400 Oakley (a) 722,850
- ----------------------------------------------------------------------------------------------------------------------------------
90,975 Staples (a) 2,570,044
- ----------------------------------------------------------------------------------------------------------------------------------
30,100 Sunglass Hut International (a) 1,505,000
- ----------------------------------------------------------------------------------------------------------------------------------
40,200 The Men's Wearhouse (a) 1,447,200
- ----------------------------------------------------------------------------------------------------------------------------------
32,900 Tiffany & Co 1,377,688
- ----------------------------------------------------------------------------------------------------------------------------------
14,495,656
==================================================================================================================================
TELECOMMUNICATIONS - 5.06%
- ----------------------------------------------------------------------------------------------------------------------------------
38,000 ADC Telecommunications (a) 1,729,000
- ----------------------------------------------------------------------------------------------------------------------------------
30,000 Adtran (a) 1,042,500
- ----------------------------------------------------------------------------------------------------------------------------------
19,100 Andrew (a) 1,167,487
- ----------------------------------------------------------------------------------------------------------------------------------
25,400 DSC Communications (a) 1,504,950
- ----------------------------------------------------------------------------------------------------------------------------------
16,900 LCI International (a) 663,325
- ----------------------------------------------------------------------------------------------------------------------------------
34,000 National Data 913,750
- ----------------------------------------------------------------------------------------------------------------------------------
16,300 Nera AS - ADS (a) 560,313
- ----------------------------------------------------------------------------------------------------------------------------------
7,581,325
==================================================================================================================================
THE GREYING OF AMERICA - 4.63%
- ----------------------------------------------------------------------------------------------------------------------------------
54,200 Boston Scientific (a) 2,310,275
- ----------------------------------------------------------------------------------------------------------------------------------
12,200 Cordis (a) 1,033,950
- ----------------------------------------------------------------------------------------------------------------------------------
48,100 Guidant 1,406,925
- ----------------------------------------------------------------------------------------------------------------------------------
15,400 Loewen Group 635,250
- ----------------------------------------------------------------------------------------------------------------------------------
24,500 St. Jude Medical (a) 1,549,625
- ----------------------------------------------------------------------------------------------------------------------------------
6,936,025
==================================================================================================================================
THE UBIQUITOUS SEMICONDUCTOR - 13.19%
- ----------------------------------------------------------------------------------------------------------------------------------
37,050 Alliance Semiconductor (a) 1,472,737
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 7
CAPITAL APPRECIATION PORTFOLIO 16
--------------------------------------------------------
<TABLE>
<CAPTION>
SCHEDULE OF PORTFOLIO INVESTMENTS
==================================================================================================================================
September 30, 1995
SHARES DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
34,300 Altera (a) $ 2,139,462
- ----------------------------------------------------------------------------------------------------------------------------------
32,200 Analog Devices (a) 1,114,925
- ----------------------------------------------------------------------------------------------------------------------------------
20,200 Atmel (a) 681,750
- ----------------------------------------------------------------------------------------------------------------------------------
27,600 Cirrus Logic (a) 1,580,100
- ----------------------------------------------------------------------------------------------------------------------------------
15,500 Cypress Semiconductor (a) 598,688
- ----------------------------------------------------------------------------------------------------------------------------------
35,200 Linear Technology 1,460,800
- ----------------------------------------------------------------------------------------------------------------------------------
52,200 LSI Logic (a) 3,014,550
- ----------------------------------------------------------------------------------------------------------------------------------
30,600 Maxim Integrated Products (a) 2,264,400
- ----------------------------------------------------------------------------------------------------------------------------------
35,600 Microchip Technology (a) 1,348,350
- ----------------------------------------------------------------------------------------------------------------------------------
14,100 National Semiconductor (a) 389,513
- ----------------------------------------------------------------------------------------------------------------------------------
29,400 Oak Technology (a) 1,234,800
- ----------------------------------------------------------------------------------------------------------------------------------
51,300 Xilinx (a) 2,468,813
- ----------------------------------------------------------------------------------------------------------------------------------
19,768,888
==================================================================================================================================
TOTAL COMMON STOCKS
(Cost $97,184,102) $129,929,019
==================================================================================================================================
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT DESCRIPTION VALUE
==================================================================================================================================
<S> <C> <C>
U.S. Treasury Bills - 9.89%
- ----------------------------------------------------------------------------------------------------------------------------------
$ 224,000 5.65%, 11/09/95 $ 222,719
- ----------------------------------------------------------------------------------------------------------------------------------
205,000 5.69%, 11/16/95 203,609
- ----------------------------------------------------------------------------------------------------------------------------------
1,154,000 5.35%, 12/07/95 1,142,872
- ----------------------------------------------------------------------------------------------------------------------------------
8,768,000 5.28%, 12/14/95 8,673,235
- ----------------------------------------------------------------------------------------------------------------------------------
2,404,000 5.33%, 1/18/96 2,367,075
- ----------------------------------------------------------------------------------------------------------------------------------
2,255,000 5.46%, 1/25/96 2,217,614
- ----------------------------------------------------------------------------------------------------------------------------------
TOTAL U.S. TREASURY BILLS
(Cost $14,826,055) $ 14,827,124
==================================================================================================================================
TOTAL INVESTMENTS
(Cost $112,010,157) 96.58% $144,756,143
- ----------------------------------------------------------------------------------------------------------------------------------
Other Assets in Excess of Liabilities 3.42% 5,131,746
- ----------------------------------------------------------------------------------------------------------------------------------
NET ASSET 100.00% $149,887,889
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Non-Income Producing Security
See Notes to Financial Statements on Pages 20 and 21
<PAGE> 8
CAPITAL APPRECIATION PORTFOLIO 20
--------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
A. Organization
The Capital Appreciation Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on October 28, 1992
as an unincorporated trust under the laws of New York and commenced operations
on March 9, 1993. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
In fiscal year 1995, the Portfolio changed it's year end to September 30th.
B. Security Valuation
The Portfolio's investments are valued each business day by an independent
pricing service (the "Service") approved by the Board of Trustees. Securities
traded on national exchanges or traded in the NASDAQ National Market System are
valued at the last sales prices reported at the close of business.
Over-the-counter securities not included in the NASDAQ National Market System
and listed securities for which no sale was reported are valued at the mean of
the bid and asked prices. Short-term obligations with remaining maturities of
60 days or less are valued at amortized cost which with accrued interest
approximates value. Securities for which quotations are not available are
stated at fair value as determined by the Board of Trustees.
C. Security Transactions and Investment Income
Security transactions are accounted for on a trade date basis (date the order
to buy or sell is executed). Dividend income is recorded on the ex-dividend
date. Interest income is recorded on the accrual basis and includes
amortization of premium and discount on investments. Realized gains and losses
from securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and
losses from the security transactions of the Portfolio are allocated pro rata
among the investors in the Portfolio at the time of such determination.
D. Federal Income Taxes
It is the Portfolio's policy to comply with the requirements of the Internal
Revenue Code applicable to it. Therefore, no federal income tax provision is
required.
<PAGE> 9
CAPITAL APPRECIATION PORTFOLIO 21
--------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
================================================================================
NOTE 2 - FEES AND TRANSACTIONS WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"). Under this Administration and Services
Agreement, Bankers Trust provides administrative, custody, transfer agency and
shareholder services to the Portfolio in return for a fee computed daily and
paid monthly at an annual rate of 0.10 of 1% of the Portfolio's average daily
net assets. For the period January 1, 1995 to September 30, 1995, this fee
aggregated $74,224.
The Portfolio has entered into an Advisory Agreement with Bankers Trust. Under
this Advisory Agreement, the Portfolio pays Bankers Trust an advisory fee
computed daily and paid monthly at an annual rate of 0.65 of 1% of the
Portfolio's average daily net assets. For the period January 1, 1995 to
September 30, 1995, this fee aggregated $482,453.
Bankers Trust has voluntarily undertaken to waive and reimburse expenses of the
Portfolio, to the extent necessary, to limit all expenses to 0.60 of 1% of the
average daily net assets of the Portfolio. For the period January 1, 1995 to
September 30, 1995, expenses of the Portfolio have been reduced $131,702.
Certain trustees and officers of the Portfolio are also directors, officers
and/or employees of Signature. None of the trustees so affiliated received
compensation for services as trustee of the Portfolio. Similarly, none of the
Portfolio's officers received compensation from the Portfolio.
NOTE 3 - PURCHASES AND SALES OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the period January 1, 1995 to September 30,
1995, were $136,801,394 and $114,800,140, respectively. For federal income tax
purposes, the tax basis of investments held at September 30, 1995 was
$112,043,941. The aggregate gross unrealized appreciation for all investments
was $33,445,086 and the aggregate gross unrealized depreciation for all
investments was $732,884.
<PAGE> 10
CAPITAL APPRECIATION PORTFOLIO 22
--------------------------------------------------------
REPORT OF INDEPENDENT ACCOUNTANTS
================================================================================
To the Trustees and Holders of Beneficial Interest of the Capital Appreciation
Portfolio:
We have audited the accompanying statement of assets and liabilities of the
Capital Appreciation Portfolio, including the schedule of portfolio
investments, as of September 30, 1995, and the related statement of operations
for the nine months then ended, the statements of changes in net assets for the
nine months ended September 30, 1995 and the year ended December 31, 1994, and
the financial highlights for the nine months ended September 30, 1995, for the
year ended December 31, 1994 and for the period March 9, 1993 (commencement of
operations) to December 31, 1993. These financial statements and financial
highlights are the responsibility of the Portfolio's management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
September 30, 1995 by correspondence withthe custodian and brokers. An audit
also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audits provide a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the financial
position of the Capital Appreciation Portfolio as of September 30, 1995, the
result of its operations, the changes in its net assets and the financial
highlights for the periods referred to above, in conformity with generally
accepted accounting principles.
/s/ COOPERS & LYBRAND L.L.P.
- ----------------------------
Kansas City, Missouri
November 14, 1995
