<PAGE>
THE PANAGORA FUNDS
ANNUAL REPORT
MAY 31, 1994
<PAGE>
The PanAgora Funds President's Letter June 30, 1994
We are pleased to present the first annual report of The
PanAgora Funds. The PanAgora Funds were started in 1993 to
provide investors with investment vehicles in the form of mutual
funds implementing specific investment strategies. PanAgora
Asset Management, Inc., the Fund's advisor, manages pension
funds using very similar strategies. The PanAgora Funds make
these strategies available to smaller pension funds, foundations
and endowment funds, 401k plans and individual investors.
The PanAgora Funds are a series of three funds. The PanAgora
Asset Allocation Fund invests in a mix of U.S. stocks, bonds and
cash equivalents. The PanAgora International Equity Fund
invests in stocks outside the U.S. The PanAgora Global Fund
invests in stocks, bonds and cash equivalents in the U.S. and
around the world.
The PanAgora Asset Allocation Fund's investment objective is to
maximize total return, consisting of capital appreciation and
current income. The Fund attempts to achieve its objective by
actively allocating assets among U.S. equity securities,
investment grade fixed income securities and cash and cash
equivalents based on the Advisor's proprietary asset allocation
disciplines. The Fund was heavily invested in stocks throughout
most of the last year. More recently, the percentage in stocks
has been reduced to less than 70% with the balance invested
primarily in bonds. This shift is based on the high level of
the U.S. stock market, the maturing of the U.S. business cycle
and rising interest rates.
The PanAgora International Equity Fund's primary investment
objective is to maximize total return, consisting primarily of
capital appreciation. Current income is a secondary objective.
The Fund attempts to achieve its objective by actively
allocating assets among international equity markets based on
the Advisor's proprietary asset allocation disciplines. Over
the past year, the Fund has focused on European stocks.
European economies are coming out of their recessions and
beginning to grow again. Combined with declining interest rates,
this makes European stocks attractive. We have more modest
investments in the Far East because these markets appear
overpriced. In early 1994, we began to invest a portion of the
Fund (up to 10%) in emerging markets. Emerging markets offer
rapid growth and long term return potential. They are
appropriate for a portion of the Fund. Unfortunately, emerging
markets underperformed during the first few months of 1994
despite their excellent long term growth prospects.
The PanAgora Global Fund's investment objective is to maximize
total return, consisting of capital appreciation and current
income. The Fund attempts to achieve its objective by actively
allocating assets among global equity, fixed income and currency
markets based on the Advisor's proprietary asset allocation
disciplines. Global investment strategies are new to most
American investors but familiar to many European investors.
Over the past 12 months, PanAgora Global Fund has
<PAGE>
invested more than 70% of its assets in global equity markets
based on the Advisor's view of their superior return
opportunities.
We thank you for your interest in The PanAgora Funds and we look
forward to serving you.
Sincerely, Richard A. Crowell President The PanAgora Funds
<PAGE>
EDGAR DESCRIPTIONS
DESCRIPTION OF MOUNTAIN CHART 1
A line graph depicting the total growth (including reinvestment
of dividends and capital gains) of a hypothetical investment of
$10,000 in The PanAgora Asset Allocation Fund's shares on June
1, 1993 through May 31, 1994 as compared with the growth of a
$10,000 investment in S&P 500 Composite Stock Price Index and
the Lehman Brothers Aggregate Bond Index. The plot points used
to draw the line graph were as follows:
<TABLE> <CAPTION>
GROWTH OF $10,000
GROWTH OF $10,000 INVESTMENT IN THE GROWTH OF
$10,000 INVESTMENT IN THE LEHMAN BROTHERS
INVESTED IN ASSET S&P 500 COMPOSITE AGGREGATE BOND MONTH
ENDED ALLOCATION FUND STOCK PRICE INDEX INDEX
<S> <C> <C> <C>
05/31/93
-- $10,000 $10,000 06/01/93
$10,000 -- --06/93
$9,930 $10,029 $10,181 09/93
$10,130 $10,288 $10,446 12/93
$10,327 $10,526 $10,453
03/94 $9,973 $10,127
$10,153 05/94 $10,163 $10,425
$10,071
</TABLE>
DESCRIPTION OF MOUNTAIN CHART 2
A line graph depicting the total growth (including reinvestment
of dividends and capital gains) of a hypothetical investment of
$10,000 in The PanAgora Global Fund's shares on June 1, 1993
through May 31, 1994 as compared with the growth of a $10,000
investment in Salomon Brothers World Government Bond Index and
the Morgan Stanley World Index. The plot points used to draw the
line graph were as follows:
<TABLE> <CAPTION>
GROWTH OF $10,000
INVESTMENT IN THE GROWTH OF $10,000
SALOMON BROTHERS INVESTMENT IN THE
GROWTH OF $10,000 WORLD GOVERNMENT MORGAN STANLEY MONTH
ENDED INVESTED IN GLOBAL FUND BOND INDEX WORLD
INDEX <S> <C>
<C> <C> 05/31/93 --
$10,000 $10,000 06/01/93 $10,000
-- --06/93
$9,910 $9,978 $9,917 09/93
$10,460 $10,530 $10,395 12/93
$10,790 $10,425 $10,575 03/94
$10,630 $10,426 $10,653
05/94 $10,868 $10,346
$11,014
</TABLE>
<PAGE>
DESCRIPTION OF MOUNTAIN CHART 3
A line graph depicting the total growth (including reinvestment
of dividends and capital gains) of a hypothetical investment of
$10,000 in the PanAgora International Equity Fund's shares on
June 4, 1993 through MaY 31, 1994 as compared with the growth of
a $10,000 investment in MSCI EAFE Index and the MSCI EAFE-GDP
Index. The plot points used to draw the line graph were as
follows:
<TABLE> <CAPTION>
GROWTH OF $10,000 GROWTH OF
$10,000 GROWTH OF $10,000 INVESTMENT IN THE
INVESTED IN INTERNATIONAL INVESTMENT IN THE MSCI
EAFE-GDP MONTH ENDED EQUITY FUND MSCI EAFE
INDEX INDEX <S> <C>
<C> <C> 05/31/93 --
$10,000
$10,000 06/04/93 $10,000
- -- --
06/93 $9,800 $9,846
$9,830 09/93 $10,710
$10,506 $10,650 12/93 $10,602
$10,604 $10,790 03/94
$10,889 $10,982 $11,396 05/94
$11,012 $11,387 $11,704
</TABLE>
<PAGE>
<TABLE> <CAPTION>
THE PANAGORA FUNDS ASSET ALLOCATION
FUND-------------------------------------------------------------
- --------------
- - PORTFOLIO OF INVESTMENTS
MAY 31,
1994-------------------------------------------------------------
- --------------
- -
MARKET VALUE SHARES
(NOTE
1)---------------------------------------------------------------
- ------------
<S>
<C> COMMON STOCKS - 62.8% FINANCIAL SERVICES
- -10.1% 200 American International Group, Inc.
$18,675 300 American Premier Underwriters, Inc.
8,250 300 AmSouth Bancorporation
9,488 600 Bank of New
York, Inc. 17,700 200
Bankers Trust NY Corporation
14,075 840 Bear Stearns Companies, Inc.
17,115 400 Beneficial Corporation
14,750 300 Cigna Corporation
20,662 200 Citicorp
7,900 200 Federal
Home Loan Mortgage Corporation
11,600 300 Federal National Mortgage
Association 25,050 400 First Union
Corporation 18,700 400
MBNA Corporation 10,550
400 Merrill Lynch & Company, Inc.
15,600 400 Morgan (J.P.) & Company, Inc.
26,400 300 Morgan Stanley Group, Inc.
17,925 500 Norwest Corporation
13,375 500 SouthTrust Corporation
10,562 200 Travelers,
Inc.
6,550 100 UNUM Corporation
4,688------------------------------------------------------------
- ---------------
- -
289,615----------------------------------------------------------
- -----------------
- - ENERGY - 8.7% 400 Ashland Oil, Inc.
14,850 500 Chevron Corporation
43,500 700 Dresser Industries, Inc.
15,837 200 Exxon
Corporation
12,200 100 Mobil Corporation
8,100 300 Panhandle Eastern Corporation
5,963 400 Royal Dutch Petroleum
Company 42,750 500
Schlumberger Limited 28,625
300 Tenneco, Inc.
14,362 400 Texaco, Inc.
25,400 300 Unocal Corporation
8,288 600 USX-Marathon Group
10,275 100 Western
Atlas, Inc. +
4,275 500 Williams Companies, Inc.
14,063-----------------------------------------------------------
- ----------------
- -
248,488----------------------------------------------------------
- -----------------
- - UTILITIES - 8.5% 400 American
Telephone & Telegraph Company 21,800 800
Ameritech Corporation 31,300
300 DQE, Inc.
9,525 500 Entergy Corporation
14,438 400 Illinois Power Company
8,250 800 MCI Communications Corporation
19,200 1,300 Niagara Mohawk Power
Corporation 21,450 700 NYNEX
Corporation
26,425 1,000 Philadelphia Electric Company (PECO
Energy) 27,250 300 Potomac Electric Power
Company 5,887 400 Rochester
Telephone Corporation 8,950 </TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> <TABLE> <CAPTION>
THE PANAGORA FUNDS ASSET ALLOCATION
FUND-------------------------------------------------------------
- --------------
- - PORTFOLIO OF INVESTMENTS (CONTINUED)
MAY 31,
1994-------------------------------------------------------------
- --------------
- -
MARKET VALUE SHARES
(NOTE
1)---------------------------------------------------------------
- ------------
<S>
<C> COMMON STOCKS (CONTINUED) UTILITIES
(CONTINUED) 800 Southern Company
$14,800 300 Southwestern Bell Corporation
12,337 400 Sprint Corporation
15,200 200 U.S. West, Inc.
8,025------------------------------------------------------------
- ---------------
- -
244,837----------------------------------------------------------
- -----------------
- - CONSUMER NON-DURABLES - 7.2% 600
Coca-Cola 24,225
200 Crown Cork & Seal, Inc. +
7,225 300 Dole Food, Inc.
8,250 300 Gillette
20,925 200 Liz Claiborne
4,375 200 McDonald's Corporation
12,400 200 Nike, Inc.
11,800 200 PepsiCo,
Inc.
7,200 500 Philip Morris Companies, Inc.
24,625 500 Procter & Gamble
28,188 300 Reebok
International Ltd 9,450
600 Seagram Ltd
17,775 100 Unilever N.V.
10,500 400 V.F. Corporation
19,650-----------------------------------------------------------
- ----------------
- -
206,588----------------------------------------------------------
- -----------------
- - CONSUMER SERVICES - 5.5% 300
Blockbuster Entertainment Corporation 8,475
400 Circuit City Stores, Inc.
7,750 400 Fleming Companies, Inc.
9,950 600 K mart Corporation
9,000 500 King World Productions, Inc.+
20,000 400 Kroger Company+
9,550 300 Melville
Corporation 12,187 400
Penney (J.C.), Inc.
20,450 500 Rite Aid Corporation
10,063 200 Sears Roebuck & Company
10,125 400 Toys "R" Us, Inc.+
14,200 800 Wal-Mart
Stores, Inc. 18,800 400
Woolworth Corporation
6,300------------------------------------------------------------
- ---------------
- -
156,850----------------------------------------------------------
- -----------------
- - HEALTH CARE - 5.4% 500 Abbott
Laboratories 14,937
400 Baxter International Corporation
10,300 200 Becton, Dickinson
7,625 300 Johnson & Johnson
13,275 400 Merck & Company
12,200 200 Pfizer, Inc.
12,750 600 Schering Plough
Corporation 39,150 300
SciMed Life Systems, Inc. +
8,981 900 Upjohn Company
28,912 100 Warner-Lambert Company
7,038------------------------------------------------------------
- ---------------
- -
155,168----------------------------------------------------------
- -----------------
</TABLE> SEE NOTES TO FINANCIAL
STATEMENTS. <PAGE> <TABLE> <CAPTION>
THE PANAGORA FUNDS ASSET ALLOCATION
FUND-------------------------------------------------------------
- ----
- -----------
PORTFOLIO OF INVESTMENTS (CONTINUED)
MAY 31,
1994-------------------------------------------------------------
- ----
- -----------
MARKET VALUE SHARES
(NOTE
1)---------------------------------------------------------------
- --
- -----------
<S>
<C> COMMON STOCKS (CONTINUED) CAPITAL GOODS
- -5.3% 500 Boeing Company
$23,187 200 Centex Corporation
4,875 300 Deere & Company
20,925 200 Fluor Corporation
10,200 1,000 General Electric Company
49,625 300 Lockheed
Corporation
19,162 400 Raytheon Company
24,900---------------------------------------------------------
- --------
- ----------
152,874----------------------------------------------------------
- -------
- ----------
TECHNOLOGY - 4.6% 200 Apple Computer, Inc.
5,850 100 Autodesk, Inc.
5,150 100 COMPAQ
Computer Corporation+ 11,825
500 Digital Equipment Corporation+
11,063 200 E-Systems, Inc.
7,925 200 Intel Corporation
12,500 400 International Business
Machines Corporation 25,300 200 ITT
Corporation
16,700 400 Loral Corporation
14,300 200 Pitney Bowes, Inc.
7,825 300 Sun Microsystem, Inc.+
6,263 100 Texas Instruments, Inc.
8,025------------------------------------------------------------
- -----
- ----------
132,726----------------------------------------------------------
- -------
- ----------
BASIC INDUSTRIES - 4.0% 400 Boise Cascade
Corporation 8,350 400
Champion International Corporation 13,050
300 Dow Chemical Company
20,475 400 FMC Corporation+
19,300 400 Lubrizol Corporation
13,700 500 Phelps Dodge Corporation
27,750
500 Union Carbide Corporation
13,500-----------------------------------------------------------
- ------
- ----------
116,125----------------------------------------------------------
- -------
- ----------
CONSUMER DURABLES - 1.9% 200 Chrysler Corporation
9,925 400 Fleetwood
Enterprises, Inc. 8,400
500 Ford Motor Company
28,875 200 Goodyear Tire & Rubber Company
7,750------------------------------------------------------------
- -----
- ----------
----------------------------------------------------------------
- -----------
54,950 TRANSPORTATION - 1.6%
400 American President Companies Limited
9,050 300 Conrail, Inc.
16,462 300 Delta Airlines, Inc.
13,688 100 Union Pacific Corporation
5,900------------------------------------------------------------
- -----
- ----------
45,100-----------------------------------------------------------
- ------
- ----------
TOTAL COMMON STOCKS (COST $1,886,089)
1,803,321--------------------------------------------------------
- ---------
- ----------
----------------------------------------------------------------
- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS ASSET ALLOCATION FUND <TABLE> <CAPTION>
- -----------------------------------------------------------------
- --------PORTFOLIO OF INVESTMENTS (CONTINUED)
MAY 31,
1994-------------------------------------------------------------
- --------------
FACE
MARKET VALUE VALUE
(NOTE
1)---------------------------------------------------------------
- ------------
<S>
<C> U.S. TREASURY BILLS - 1.4% (COST $39,917) $40,000 U.S.
Treasury Bills, 3.640% # due 6/23/94 ++
$39,917----------------------------------------------------------
- -----------------
COMMERCIAL PAPER - 32.7% 204,000 Ford Motor Credit
Corporation, 4.250% due 6/1/94 204,000 735,000 General
Electric Capital Corporation, 4.220% due 6/1/94
735,000----------------------------------------------------------
- -----------------
TOTAL COMMERCIAL PAPER (COST $939,000)
939,000----------------------------------------------------------
- -----------------
TOTAL INVESTMENTS (COST $2,865,006*) 96.9%
2,782,238 OTHER ASSETS AND LIABILITIES (NET) 3.1
88,595-----------------------------------------------------------
- ----------------
NET ASSETS 100.0%
2,870,833--------------------------------------------------------
- -------------------
<FN>
*Aggregate cost for Federal tax purposes.
+Non-income producing security. ++ Security pledged as
collateral for futures contracts. # Annualized yield to
maturity (unaudited).
</TABLE>
<TABLE> <CAPTION>
NUMBER OF
UNREALIZED CONTRACTS
DEPRECIATION----------------------------------------------------
- -----------------------
<S>
<C> OPEN FUTURES CONTRACTS TO BUY AT MAY 31, 1994: 9
U.S. Treasury 10 Year Note Index Future, September
1994
(6,063)----------------------------------------------------------
- -----------------
OPEN FUTURES CONTRACTS TO SELL AT MAY 31, 1994: 1
Standard & Poor's 500 Index Future, September 1994
(425)------------------------------------------------------------
- ---------------
NET UNREALIZED DEPRECIATION OF OPEN FUTURES CONTRACTS
($6,488)---------------------------------------------------------
- ------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. <PAGE>
<TABLE> <CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<S>
<C> COMMON STOCKS - 74.1% AUSTRIA - 0.7%
100 Austrian Airlines
$16,086 100 Constantia Industry Holdings
8,303 700
Creditanstalt Bank
41,712 100 EA Generali AG
30,184 100 Lenzing AG
10,984 200 Oesterreichische
11,399 900
Oesterreichische El Wirtsch
45,846 700 Omev AG
57,150 300 Steyer-Daimler Puch Ag
6,461 300 Veitscher
9,340
100 Wienerberger Baust
30,184 200 Z-Landerbank
10,465 100 Z-Landerbank Austria, Ptg
3,537------------------------------------------------------------
- ---------------
- -----------------
281,651----------------------------------------------------------
- -----------------
- ----------------- BELGIUM - 3.6% 935
ACEC Union Miniere
74,557 227 A.G. Finance
18,000 84 Bekaert SA
63,198 156 CBR
(Cimenteries)
58,166 1,769 Delhaize
70,844 1,714 Electrabel Com
289,548 360 Electrabel (AFUL)
61,134
575 Generale de Banque Ord
138,401 161 Gevaert Photo Productions
46,408
128 Group Brussels Lambert SA
16,747 522 Kredietbank
104,832 894 Petrofina SA
285,151 69 Royale Belge
10,719 303 Solvay ET Cie, Class A
140,493 435
Tractabel Cap
132,645----------------------------------------------------------
- -----------------
- -----------------
1,510,843--------------------------------------------------------
- -------------------
- ----------------- FINLAND - 2.4% 1,400
Amer Group, Class A
34,218 900 Cultor, Series 1
23,485 500 Cultor, Series 2, Free
12,956 30,500
Kansallis-Osake-Pankki
67,259 5,300 Kesko Group
48,698 400 Kone
Corporation, Class B, Free
45,207 4,800 Kymmene Oy
100,558
800 Metra AB, Class A
25,874 800 Metra AB, Class B
26,021 2,400 Nokia Oy AB I
177,299 6,500 Outokumpu Oy, Class A
109,893 1,200 Pohjola Insurance Company,
Class A 18,965 1,200
Pohjola Insurance Company, Class B Free
16,539 8,800 Repola
145,544 800 Sampo, Class A
41,899 28,500 Unitas, Class A
76,990 500
Stockman Oy AB, Class A
20,904 400 Stockman Oy AB, Class B, Free
15,804-----------------------------------------------------------
- ----------------
- -----------------
1,008,113--------------------------------------------------------
- -------------------
- -----------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS Global Fund
- -----------------------------------------------------------------
- ---------------------------
Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<C> <S>
<C> COMMON STOCKS (continued) GERMANY - 0.1%
100 Viag AG
$28,098----------------------------------------------------------
- -----------------
- ----------------- HONG KONG - 3.6%
7,500 Bank of East Asia
36,645 27,000 Cathay Pacific Airways
38,790 34,000 Cheung Kong Holdings
171,624 28,800 China
Light & Power
160,286 20,000 Dairy Farm International
Holdings 29,251
23,000 Hang Seng Bank Ltd.
165,217 95,000 Hong Kong Telecommunications
188,126 24,000 Hong
Kong & China Gas
50,633 35,000 Hutchison-Whampoa Limited
154,021 7,000
Jardine Matheson Holdings
57,078 22,000 New World Development Company
70,902 28,600 Sun Hung
Kai Properties
192,488 15,000 Swire Pacific Ltd., Series A
116,487 18,000 Wharf
Holdings
76,881-----------------------------------------------------------
- ----------------
- -----------------
1,508,429--------------------------------------------------------
- -------------------
- ----------------- ITALY - 0.1% 1,160
Mediobanca S.p.A.
11,615 12,500 SME (Meridionale Finanziaria)
30,133-----------------------------------------------------------
- ----------------
- -----------------
41,748-----------------------------------------------------------
- ----------------
- ----------------- JAPAN - 15.5% 13,000
Asahi Bank Limited
143,989 7,000 Asahi Glass Company
82,211 12,000 Bank of Tokyo
191,349 19,000 Dai Ichi
Kangyo Bank
362,838 8,000 Daiwa Securities
137,497 19,000 Fuji
Bank
439,034 4,000 Fuji Photo Film Limited
86,699
10,000 Fujitsu Limited
105,032 19,000 Hitachi Limited
195,932 5,000 Honda Motor Company
89,755 16,000 Industrial Bank of Japan
498,043 1,000 Ito-Yokado Company
51,370 5,000
Kansai Electric Power
126,516 7,000 Kirin Brewery
82,880 1,000
Kyocera Corporation
64,547 12,000 Matsushita Electric Industrial
209,682
8,000 Mitsubishi Corporation
94,720 8,000 Mitsubishi Estate Company
94,720 21,000
Mitsubishi Heavy Industries
153,795 8,000 Mitsubishi Trust & Banking
129,094 7,000 Mitsui Trust & Banking
88,227 10,000 NEC
Corporation
113,625 5,000 Nippon Denso Company Limited
95,484 47,000 Nippon
Steel
168,739 16,000 Nissan Motor Company
133,983
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- -------<C> <S>
<C> COMMON STOCKS (continued) JAPAN -
(CONTINUED) 12,000 Nomura Securities Company
$277,284 16,000 Osaka Gas Company
74,554 21,000
Sakura Bank
294,758 1,100 Seven-Eleven Japan
81,190 7,000
Sharp Corporation
120,309 1,000 Sony Corporation
59,391 21,000
Sumitomo Bank
451,160 4,000 Tohoku Electric Power
101,976 13,000 Tokai
Bank
168,815 10,000 Tokio Marine & Fire Insurance
Company 130,812 8,000
Tokyo Electric Power Company
246,730 17,000 Tokyo Gas Company Limited
86,680 22,000
Toyota Motor Company
443,235----------------------------------------------------------
- -----------------
- -----------------
6,476,655--------------------------------------------------------
- -------------------
- ----------------- NETHERLANDS - 5.2%
8,200 ABN Amro Holdings
268,539 3,500 Ahold Koninklijke NV
90,140 800 Akzo Nobel NV
90,221 2,100 Elsevier
NV CVA
190,945 500 Heineken NV
61,133 8,000
International Nederlanden Groep CVA
329,222 2,200 KLM Royal Dutch Airlines
61,192 1,100
Koninklijke KNP BT NV
28,568 3,700 Philips Electronics NV
102,914 6,000 Royal
Dutch Petroleum
633,719 1,700 Unilever NV CVA
177,895
2,200 Wolters Kluwer CVA
135,386----------------------------------------------------------
- -----------------
- -----------------
2,169,874--------------------------------------------------------
- -------------------
- ----------------- NEW ZEALAND - 0.1%
25,000 Fletcher Challange
36,131-----------------------------------------------------------
- ----------------
- ----------------- SINGAPORE - 1.6%
1,200 City Developments
6,141 2,500 Development Bank of Singapore
26,402 4,000 Fraser &
Neave
47,979 17,000 Genting Berhad Myro
203,911 1,000 Keppel Corporation
7,040 30,000
Malayan Banking
173,077 4,666 Overseas-Chinese Banking
Corporation 40,759 40,000
Sime Darby BHD
100,652 3,000 Singapore International
Airlines 26,010
700 Singapore Press Holdings
6,982 3,375 United Overseas Bank
27,502-----------------------------------------------------------
- ----------------
- -----------------
666,455----------------------------------------------------------
- -----------------
- -----------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<C> <S>
<C> COMMON STOCKS (continued) SPAIN - 6.0%
12,300 Banco Bilbao Vizcaya
$289,705 8,700 Banco Central Hispano
Americano 189,200
5,100 Banco de Santander
223,325 3,100 Banco Espanol de Credito
24,795 3,300
Dragados & Constructoras SA
55,710 9,400 Empresa Nacional De Electrica
(Endesa) 453,889 1,200
Gas Natural S.D.G. SA L.C.
100,671 42,300 Iberdrola SA
310,896 11,200
Repsol SA
353,380 37,700 Telefonica Nacional de Espana
511,375----------------------------------------------------------
- -----------------
- -----------------
2,512,946--------------------------------------------------------
- -------------------
- ----------------- SWEDEN - 0.4% 100
AGA AB, Class A
4,894 100 AGA AB, Class B, Free
4,792 200 Atlas Copco AB, Class A, Free
12,376 400 Esselte
AB, Class B, Free
6,098 500 Esselte AF
7,623
200 Euroc Industriab, Class A, Free
3,254 300 Hennes & Mauritz, Series 5
15,604 100 Securitas
AB, Class B, Free
3,113 1,700 Skandia Forsakrings AB Free
25,482 3,600
Skandinaviska Enskil Banken
23,291 400 SKF AB, Class B, Free
6,713 300 SKF, Class A, Free
5,035 500 Svenska
Handelsbanken, Class A, Free
6,726 700 Trelleborg AB, Class B, Free
9,954 100 Volvo AB,
Class A, Free
9,288------------------------------------------------------------
- ---------------
- -----------------
144,243----------------------------------------------------------
- -----------------
- ----------------- SWITZERLAND - 3.7%
49 Adia I
9,426 15 Alisuisse-Lonza Holdings AG, BR
7,032 30
Alisuisse-Lonza Holdings AG, Reg
14,108 57 Brown Boveri & Cie AG, Class A
51,172 40 Brown Boveri & Cie AG, Class B
6,698 28 Ciba
Geigy AG, BR
17,556 193 Ciba Geigy AG, Reg
116,886
161 Credit Suisse Holdings
71,122 319 C.S. Holdings
27,957 3 Fischer (George)
3,164 1 Forbo Holdings AG
1,974 76 Holderbank Financier Glaris
10,289 28
Holderbank Financier Glaris AG
19,252 27 Merkur Holdings
6,945 291 Nestle SA
237,818 12 Roche Holdings AG, BR
109,697 51 Roche
Holdings AG, Genuscheine
243,826
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<C> <S>
<C> COMMON STOCKS (continued) SWITZERLAND -
(continued) 16 Sandoz AG, BR
$8,003 255 Sandoz AG, Reg
125,184 3 Schindler Holdings AG, Ptg
3,815 5 Schindler
Holdings AG, Reg
6,234 7 Schweiz Ruckversic
3,167 180 Schweiz Ruckversicherungs
(Renaissance) 74,898 173
Schweizercher Bankverein, BR
49,798 198 Schweizercher Bankverein, Reg
28,497 154
Schweizerische Bankgelsellschaft
131,122 12 Sika Finanz AG
3,403 26
SMH AG Neuenburg, BR
15,042 116 SMH AG Neuenburg, Reg
14,547 8 Societe
Generale de Surveillance
12,084 16 Sulzer AG
10,488
7 Sulzer AG, Ptg
4,514 15 Swissair AG
8,443 164 Union Bank of Switzerland
35,055 28 Zurich Versicherungs, BR
26,893 40 Zurich Versicherungs, Reg
38,475-----------------------------------------------------------
- ----------------
- -----------------
1,554,584--------------------------------------------------------
- -------------------
- ----------------- UNITED STATES - 31.1%
7,400 Abbott Laboratories
221,075 3,700 Airtouch Communications +
90,188 2,700 American Home Products Corporation
156,600 2,800 American
International Group, Inc.
261,450 11,900 American Telephone & Telegraph
Company 648,550 4,800
Ameritech Corporation
187,800 4,400 Amoco Corporation
259,050 1,400
Atlantic Richfield
141,225 3,100 BankAmerica Corporation
150,350
3,800 Bell Atlantic Corporation
202,825 4,400 BellSouth Corporation
261,800 4,600
Bristol-Myers Squibb
251,275 2,900 Cheveron Corporation
252,300 3,100
Chrysler Corporation
153,837 11,500 Coca Cola Company
464,313 4,700
Disney (Walt) Company
203,275 2,400 Dow Chemical Company
163,800 6,000
duPont (EI) deNemours & Company
372,000 725 Eastman Chemical
34,891 2,900
Eastman Kodak Company
135,937 11,000 Exxon Corporation
671,000 2,400
Federal National Mortgage Association
200,400 4,400 Ford Motor Company
254,100
8,400 GTE Corporation
259,350 15,200 General Electric Company
754,300----------------------------------------------------------
- -----------------
- -----------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<C> <S>
<C> COMMON STOCKS (continued) UNITED STATES -
(continued) 6,300 General Motors Corporation
$338,625 2,200 Hewlett
Packard Company
172,700 4,000 Home Depot, Inc.
180,500 3,700
Intel Corporation
231,250 5,100 International Business Machines
Corporation 322,575 5,800
Johnson & Johnson
256,650 3,100 McDonald's Corporation
192,200 10,000
Merck & Company, Inc.
305,000 3,800 Minnesota Mining &
Manufacturing Company 193,800
3,500 Mobil Corporation
283,500 4,800 Motorola, Inc.
224,400 3,700
NYNEX Corporation
139,675 3,800 Pacific Gas & Electric Company
97,375 3,700
Pacific Telesis Group
112,388 7,000 PepsiCo Inc.
252,000 2,800 Pfizer, Inc.
178,500 7,800 Philip Morris Companies, Inc.
384,150 6,000 Procter &
Gamble Company
338,250 4,700 Royal Dutch Petroleum Company ADR
502,313 2,100
Schlumberger, Ltd.
120,225 3,100 Sears Roebuck & Company
156,937 5,300 Southwestern Bell Corporation
217,963 2,300
Texaco, Inc.
146,050 3,300 Time Warner Inc.
127,875 1,400
Unilever N.V. ADR
147,000 3,700 US West, Inc.
148,462 20,300
Wal-Mart Stores, Inc.
477,050----------------------------------------------------------
- -----------------
- -----------------
12,999,104-------------------------------------------------------
- --------------------
- ----------------- TOTAL COMMON STOCKS (Cost
$30,029,609)
30,938,874-------------------------------------------------------
- --------------------
- ---------------PREFERRED STOCK - 0.3% 400
Creditanstalt Bank
23,248 1,300 Nokia Oy AB I
96,276-----------------------------------------------------------
- ----------------
- ----------------- TOTAL PREFERRED STOCK (Cost
$135,547)
119,524----------------------------------------------------------
- -----------------
- -----------------
RIGHTS AND WARRANTS - 0.0% 146 CBR (Cimenteries)
Warrants, expire 12/20/96 + 780
338 United Overseas Bank, Rights, expire 6/17/94 +
1,844------------------------------------------------------------
- ---------------
- ----------------- TOTAL RIGHTS AND WARRANTS
(Cost $2,448)
2,624------------------------------------------------------------
- ---------------
- -----------------
<CAPTION>
FACE
VALUE------------------------------------------------------------
- ---------------
- ---------------<C> <S>
<C> COMMERCIAL PAPER - 9.8% $3,556,000 Ford Motor
Credit Corporation, 4.250% due 6/1/94
3,556,000 537,000 General Electric Capital
Corporation, 4.220% due 6/1/94
537,000----------------------------------------------------------
- -----------------
- ----------------- TOTAL COMMERCIAL PAPER (Cost
$4,093,000)
4,093,000--------------------------------------------------------
- -------------------
- -----------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
<CAPTION>
FACE
MARKET VALUE VALUE
(Note
1)---------------------------------------------------------------
- ------------
- ---------------<C> <S>
<C> U.S. TREASURY BILL - 2.6% (Cost $1,097,357)
1,100,000 U.S. Treasury Bill, 3.940% # due 6/23/94
$1,097,357-------------------------------------------------------
- --------------------
- -----------------
REPURCHASE AGREEMENT - 8.5% (Cost $3,556,000) 3,556,000
Agreement with Union Bank of Switzerland dated
5/31/94 bearing 4.000% to be repurchased at
$3,556,395 on 6/1/94, collateralized by
$3,810,000 U.S. Treasury Bills due 5/4/95
3,556,000--------------------------------------------------------
- -------------------
- ---------------TOTAL INVESTMENTS (Cost $38,913,961*)
95.3% 39,807,379 OTHER ASSETS AND LIABILITIES (Net)
4.7
1,950,193--------------------------------------------------------
- -------------------
- ---------------NET ASSETS
100.0%
$41,757,572------------------------------------------------------
- ---------------------
- -----------------
<FN>
* Aggregate cost for federal tax purposes. + Non-income
producing security. # Annualized yield to maturity (unaudited).
ADR - American Depository Receipt BR - Bearer Ptg
Participating Reg - Registered
</TABLE>
<TABLE> <CAPTION>
UNREALIZED NUMBER OF
APPRECIATION/ CONTRACTS
(DEPRECIATION)---------------------------------------------------
- ------------------------
- ---------------<S>
<C> OPEN FUTURES CONTRACTS TO BUY AT MAY 31, 1994:
21 All Ordinary Index Future, June 1994
(57,314) 46 CAC 40 Index Future, June
1994 (105,140) 44
Canadian 10 Year Bond Index Future, September 1994
(62,588) 29 Financial Times Stock Exchange
Index Future, June 1994 (144,210) 1
Japan 10 Year Bond Index Future, June 1994
630 10 Toronto 35 Index Future, June 1994
(9,235) 8 U.S.
Treasury Note 10 Year Index Future, September 1994
(2,500)----------------------------------------------------------
- -----------------
- -----------------
(380,357)--------------------------------------------------------
- -------------------
- -----------------
OPEN FUTURES CONTRACTS TO SELL AT MAY 31, 1994: (5)
Standard & Poor's 500 Index Future, June 1994
(16,750) (7) Topix Index Future, June 1994
(68,663)---------------------------------------------------------
- ------------------
- -----------------
(85,413)---------------------------------------------------------
- ------------------
- ---------------Net Unrealized Depreciation of Open Futures
Contracts
($465,770)-------------------------------------------------------
- --------------------
- -----------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<TABLE> <CAPTION>
THE PANAGORA FUNDS Global
Fund-------------------------------------------------------------
- --------------
- ---------------Portfolio of Investments
May 31,
1994-------------------------------------------------------------
- --------------
- -----------------
PERCENTAGE OF MARKET VALUE Sector Diversification
(unaudited) NET ASSETS
(NOTE
1)---------------------------------------------------------------
- ------------
- ---------------<S>
<C> <C> COMMON STOCKS:
Financial Services
15.6 % $6,521,590 Utility
13.9 5,810,185 Oil & Gas
7.5
3,153,158 Basic Industries
5.5 2,310,952 Consumer Services
4.6
1,938,693 Technology
4.6 1,914,855 Transportation
3.6 1,485,296 Food & Kindred Products
3.2 1,346,899 Health Care Services
3.2 1,338,237 Non-Durable Goods
2.7 1,134,920 Durable Goods
2.4 982,781 Holding Companies
1.6 663,670 Construction & Building
1.5 616,623 Forestry Products & Paper
1.2 504,601 Real Estate
0.7 287,208 Manufacturing
0.6 235,447 Minerals & Mining
0.5 204,715 Other
1.2 489,044
----------- -----------
TOTAL COMMON STOCKS
74.1 30,938,874
PREFERRED STOCKS
0.3 119,524 RIGHTS AND WARRANTS
0.0 2,624 COMMERCIAL PAPER
9.8 4,093,000
U.S. TREASURY BILL
2.6 1,097,357 REPURCHASE AGREEMENT
8.5 3,556,000
----------- -----------
TOTAL INVESTMENTS
95.3 39,807,379
OTHER ASSETS AND LIABILITIES (NET)
4.7 1,950,193
----------- -----------
NET ASSETS
100.0 % $41,757,572
----------- -----------
----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS Global Fund
<TABLE> <CAPTION>
- -----------------------------------------------------------------
- ---------------------------
Schedule of Forward Foreign Exchange Contracts
MAY 31,
1994-------------------------------------------------------------
- --------------
- ---------------<S>
<C> <C>
CONTRACT MARKET VALUE
VALUE DATE (Note
1)---------------------------------------------------------------
- ------------
- ---------------FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
19,848,850 French Francs
6/6/94 $3,530,290 2,481,900 German Deutsche Marks
6/6/94 1,507,753 2,072,643 Great Britain
Pound Sterling 6/6/94
3,133,310 354,494,200 Japanese Yen
6/6/94
3,385,295--------------------------------------------------------
- -------------------
- ---------------TOTAL FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
(Contract Amount $11,500,000)
$11,556,648------------------------------------------------------
- ---------------------
- -----------------
FORWARD FOREIGN EXCHANGE CONTRACTS TO SELL (Contract Amount
$4,200,000) 7,027,440 German Deutsche Marks
6/6/94
($4,269,166)-----------------------------------------------------
- ----------------------
- -----------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS International Equity Fund Portfolio of
Investments
<TABLE>
<CAPTION>--------------------------------------------------------
- -------------------
- ----------------------------
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<S> COMMON STOCKS - 89.8% ARGENTINA -
1.5% 2,000 Banco Frances del Rio de la Plata
$20,899 600 Cladea S.A.
8,896 1,300 Galicia y Buenos Aires
12,282 1,000 Molinos Rio de la Plata
13,225
5,300 Perez Companc
28,779 9,000 Telefonica de Argentina S.A.
64,920 3,000 YPF Sociedad Anonima
78,896-----------------------------------------------------------
- ----------------
- ----------------------------
227,897----------------------------------------------------------
- -----------------
- ---------------------------- AUSTRIA - 4.4%
100 Austrian Airlines
16,086 100 BWT Benchiser Wassertechnik
13,968 100 Constantina Industry Holdings
8,303 1,021 Creditanstalt Bank
60,840 200 EA Generali AG
60,368 100 Lenzing AG
10,984 300 Oesterreichische
17,098 1,700 Oesterreichische El Wirtsch
86,599
1,400 Omev AG
114,300 200 Radex Heraklith
7,957 400 Steyer-Daimler Puch AG
8,614 400 Veitscher
12,454 100 Wienerberger Baust
30,184 2,260
Z-Landerbank Austria AG
192,527 300 Z-Landerbank Austria, Ptg
10,612-----------------------------------------------------------
- ----------------
- ----------------------------
650,894----------------------------------------------------------
- -----------------
- ---------------------------- BELGIUM - 3.3%
261 ACEC Union Miniere
20,812 358 A.G. Finance
28,388 23 Bekaert SA
17,304 40 CBR Cimenteries, NVP
14,914 9 CBR Cimenteries, AFVI
3,216
540 Delhaize
21,626 100 Electrabel, AFVI
16,982 334 Electrabel Common, NVP
56,423 150 Generale de Banque
36,105 46 Gevaert Photo Prod
13,259 55
Glaverbal de Banque
7,846 245 Group Brussels Lambert SA
32,054 135 Kredietbank, NVP
27,112 19 Kredietbank, AFVI
3,849 240 Pertofina SA
76,550 140 Royal Belge
21,748 31 Royal Belge, AFVI
4,752 86 Solvay Et Cie, Class A
39,876 23
Tractabel Cap, AFVI
6,895 120 Tractabel Cap, NVP
36,592-----------------------------------------------------------
- ----------------
- ----------------------------
486,303----------------------------------------------------------
- -----------------
- ----------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) FRANCE -
5.2% 222 Alcatel Alsthom Cie Generale D'Electic
$24,127 300 Axa Company
68,943 89 BSN
13,329 430 Carrefour
142,798 200 Compagnie Bancaire SA
19,246 495 Compagnie de Saint Gobain
58,111 500 Compagnie Financiere de Suez
27,054 256
Cie Generale des Eaux
113,793 200 Elf Sanofi
31,661 600 Euro Disney SCA
3,319
303 Gulibert SA
28,565 200 Lafarge Coppee SA
14,621
100 L'Oreal
20,455 655 LVMH Moet Hennessey
101,011 100 Lyonnaise des Eaux DuMez
10,157
400 Michelin Group
15,639 551 Pechiney International
16,162 80 Pernod - Ricard
5,350 400 Rhone - Poulenc SA, Class A
10,018 73 Societe Generale
7,934 220
Societe National Elf Aquitaine
16,052 400 Thompson - CSF
12,060 435 Union des Assurances de Paris
11,776-----------------------------------------------------------
- ----------------
- ----------------------------
772,181----------------------------------------------------------
- -----------------
- ---------------------------- GERMANY - 6.2%
189 Allianz AG
277,070 280 BASF AG
53,074 330 Bayer AG
72,797 115 Beiersdorf AG
66,513 150 Daimler Benz AG
73,588
100 Deutsche Bank AG
44,775 25 Douglas Holdings AG
8,673
200 Dresdner Bank AG
45,504 100 Karstadt AG
36,695 23 Linde AG
12,548 300 Mannesmann AG
79,465 120 M.A.N. Group AG
30,292 23 Pittler Maschinenfabrik AG
2,033
120 Siemens AG
50,814 100 Thyssen AG
16,798 190 VEBA Group AG
58,408-----------------------------------------------------------
- ----------------
- ----------------------------
929,047----------------------------------------------------------
- -----------------
- ----------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) GREAT
BRITAIN - 6.1% 4,433 Arjo Wiggins Appleton
$18,329 23,960 Chubb Security
133,934 6,566 General Electric
29,928 18,408 Glaxo Holdings
149,165 51,250 Hanson Trust PLC
196,799 3,600 Imperial Chemical Industries
43,921 60 Racal Electronics
208 5,250 RTZ Corporation
66,789 9,278 SmithKline Beecham, Class A
53,862 19,449 Vodafone
155,836 6,900 Zeneca Group
70,881-----------------------------------------------------------
- ----------------
- ----------------------------
919,652----------------------------------------------------------
- -----------------
- ---------------------------- GREECE - 1.5%
1,667 Credit Bank
68,652 500 Delta Dairy
14,630 900 Ergo Bank
33,270 300 Hellas Can
4,698 1,600 Hellenic Bottling Company SA
45,761 700
Intracom SA
32,166 200 Michaniki
7,954 500 Titan Cement Company
14,630-----------------------------------------------------------
- ----------------
- ----------------------------
221,761----------------------------------------------------------
- -----------------
- ---------------------------- HONG KONG - 2.5%
4,800 Cheung Kong Holdings
24,229 4,560 China Light & Power
25,379 3,300 Hang Seng Bank Limited
23,705 13,500 Hong Kong Telecommunications
26,734 16,700 Hong Kong & Shanghia Banking
Corporation Holdings 192,371
10,800 Hutchison-Whampoa Limited
47,527 5,280 Sun Hung Kia Properties
35,536-----------------------------------------------------------
- ----------------
- ----------------------------
375,481----------------------------------------------------------
- -----------------
- ---------------------------- INDONESIA - 0.8%
1,000 Astra International
8,825 10,000 Bank International Indonesia
24,489 10,000 Barito Pacific Timber
46,205 5,000 Indocement Tunggal Prakar
41,585-----------------------------------------------------------
- ----------------
- ----------------------------
121,104----------------------------------------------------------
- -----------------
- ----------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS
(continued)------------------------------------------------------
- ---------------------
- ---------------------------- ITALY - 7.6%
253 Allanza Assicurazioni Di Risp
$2,494 1,500 Assicurazioni Generali
42,657 49,800 Banca Comerciale Italiana
159,909 20,900 Banco Ambrosianno Veneto
61,075 88,000 Credito Italiano S.p.A.
124,298 3,000
Falck Acc Ferr Lamb
10,735 49,600 Fiat S.p.A., Ord
211,733 29,300 Fiat S.p.A., Priv
76,333
2,700 Instituto Banca San Paolo Torino
17,119 16,750 Mediobanca S.p.A.
165,913 1,000 Montedison S.p.A.
868 100 Olivetti Group S.p.A.
170 12,600 Rinascente
84,635 17,900 SIP
48,319 1,000 SNIA BPD, Ord
1,507 100 SNIA BPD Risp
148 53,700 SME (Meridionale Finanziaria)
129,450----------------------------------------------------------
- -----------------
- ----------------------------
1,137,363--------------------------------------------------------
- -------------------
- ---------------------------- JAPAN - 24.9%
3,200 Ajinomoto Company, Inc.
39,110 7,100 Asahi Chemical Industry
54,167 3,200 Asahi Glass Company
37,582 4,000 Bank of Tokyo
63,783 1,600 Bridgestone Company
24,291
1,900 Canon, Inc.
31,566 1,600 Chugai Pharmaceutical
17,875 6,790 Dai Ichi Kangyo Bank
129,667 3,200 Dai Nippon Printing Company
58,054 800 Daido Steel Company
3,919
8,000 Daikyo Kanko
86,317 1,600 Daishowa Paper Manufacturing
16,194 1,600 Daiwa House Industry Company
24,138
2,400 Denki Kagaku Kogyo
9,464 5,100 Fuji Bank
117,846 800 Fuji Photo Film Limited
17,340 3,200 Fujitsu Limited
33,610 7,100 Hitachi Limited
73,217 1,600 Honda Motor Company
28,721 880 House Food Industrial Company
17,645 4,800 Industrial Bank of Japan
149,413 6,500 Itochu Corporation
45,059 1,000 Ito-Yokado Company
51,370
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) JAPAN -
(continued) 2,400 Japan Airlines
$17,050 1,680 Joyo Bank
14,437 5,200 Kajima Corporation
47,318 1,600 Kamigumi Company
19,250 1,122 Kandenko Company
22,605 2,560 Kansai Electric Power
64,776 8,400 Kawasaki Steel Corporation
34,168 7,274
Kinki Nippon Railway Company
56,397 4,000 Kirin Brewery Company
47,360 2,400 Konatsu
22,137 800 Kyocera Corporation
51,638 800 Kyushu Electric Power
Company, Inc.
20,090 800 Maeda Road Construction
15,277 800 Marudai Food Company Limited
6,302 5,600 Matsushita Electric Industrial
97,852 8,790
Mitsubishi Bank
235,004 4,000 Mitsubishi Estate Company
47,360 14,300 Mitsubishi Heavy Industry
104,727 7,100
Mitsubishi Kasei Company
35,998 4,800 Mitsubishi Trust & Banking
77,456 1,600 Mitsui & Company
12,604 2,400 Mitsui Marine & Fire
20,052 4,000 Mitsui Toatsu Chemicals Inc.
16,843 6,400
Mitsui Trust & Banking
80,665 3,200 NEC Corporation
36,360 2,400 Nikko Kyodo Company Limited
10,289
2,400 Nikon
24,062 300 Nintendo Company
18,419 1,600 Nippon Light Metal Company
10,480
3,200 Nippon Oil Company
23,222 19,900 Nippon Steel
71,445 3,200 Nippon Yusen Kaisha
19,677 2,400 Oji Paper
23,833 6,400 Sakura Bank
89,831 800 Sanwa Shutter Corporation
7,173 1,111 Seven-Eleven, Japan
82,002 1,600 Shizuoka Bank
21,236 1,800 Snow Brand Milk Products
Company Limited
13,612 1,060 Sony Corporation
62,954 5,693 Sumitomo Bank
122,307 3,200 Sumitomo Electric Industry
48,582 8,150 Sumitomo Trust & Banking
129,180
1,600 Taiyo Fishery Company
6,310 4,000 Takeda Chemical Industries
46,214 3,200 Tokai Bank
41,554 3,200 Tokio Marine & Fire Insurance
41,860 3,040 Tokyo Electric Power Company
93,757
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) JAPAN -
(continued) 5,180 Tokyu Corporation
$39,074 4,800 Toyobo Company
21,908 5,986 Toyota Motor Company
120,600 2,400 Ube Industries Limited
8,914 800 Yakult Honsha
12,757 2,000 Yamanouchi Pharmaceutical
Company
37,620 4,000 Yasuda Trust & Banking
35,902 11,100
Yokogawa Electric Corporation
105,987----------------------------------------------------------
- -----------------
- ----------------------------
3,724,835--------------------------------------------------------
- -------------------
- ---------------------------- MEXICO - 1.3%
3,375 Cementos Mexicanos SA, Class B
24,904 10,000 Cifra SA de CV, Class B
27,533
2,500 Fomento Economico Mexicana, Class B
12,248 1,000 Grupo Financiero Banamex Accivl,
Class C
7,484 6,000 Grupo Financiero Bancomer, Class C
9,017 1,000
Grupo Televisa Cpo
29,005 28,000 Telefonos de Mexico, Class L
86,853-----------------------------------------------------------
- ----------------
- ----------------------------
197,044----------------------------------------------------------
- -----------------
- ---------------------------- NETHERLANDS -6.3%
3,200 ABN Amro Holding
104,796 1,200 Ahold Koninklijke
30,905 363 Akzo Nobel NV
40,938 1,030 Elsevier NV CVA
93,654 175 Heineken NV
21,396 2,187 International Nederlanden Groep
CVA
90,001 1,500 Philips Electronics NV
41,722 2,500 Royal Dutch Petroleum
264,050 1,975 Unilever NV CVA
206,672 700 Wolters Kluwer CVA
43,077-----------------------------------------------------------
- ----------------
- ----------------------------
937,211----------------------------------------------------------
- -----------------
- ---------------------------- NEW ZEALAND -0.1%
11,600 Fletcher Challenge
16,765-----------------------------------------------------------
- ----------------
- ---------------------------- NORWAY - 0.1%
300 Norsk Hydro AS
9,949 1,700 Vard A
10,012-----------------------------------------------------------
- ----------------
- ----------------------------
19,961-----------------------------------------------------------
- ----------------
- ---------------------------- PHILLIPINES -0.6%
4,000 Ayala Land, Inc., Class B
4,238 900 Manila Electric Company, Class
B
12,797 400 Philippine Long Distance
Telephone 28,848
1,200 Philippine National Bank
23,197 3,200 San Miguel Corporation, Class B
16,773-----------------------------------------------------------
- ----------------
- ----------------------------
85,853-----------------------------------------------------------
- ----------------
- ----------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity Fund
- -----------------------------------------------------------------
- --------------------------------------
Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) PORTUGAL -
1.5% 3,600 Banco Commercial Portugese
$49,862 1,000 Banco Portugese de Investimento
SA 17,043
2,000 BTA
35,608 600 Corticeira Amorim-Sociedad
8,433 200 Inapa-Investments
4,802 300 Jeronimo Martins
22,192 200 Lusotur
4,041 300 Mague-Gestao e Participacoes
10,849 500 Radio Marconi
15,227 600 Soares Da Costa
11,385 1,300 Sonae Investmentos
22,384 600 Tranquilidade
6,325 400 Unicer
12,065-----------------------------------------------------------
- ----------------
- ----------------------------
220,216----------------------------------------------------------
- -----------------
- ---------------------------- SINGAPORE - 1.3%
5,600 Singapore Press Holdings
98,566 12,487 United Overseas Bank
101,752----------------------------------------------------------
- -----------------
- ----------------------------
200,318----------------------------------------------------------
- -----------------
- ---------------------------- SPAIN - 8.0%
7,200 Autopista Cesa
66,878 6,000 Banco Bilbao Vizcaya
141,320
4,400 Banco Central Hispano Americano
95,687 5,940 Banco de Santander
105,094 3,700 Banco Espanol de Credito
29,595 4,100 Empresa Nacional de
Electricite (Endesa)
197,973 11,380 Gas Natural S.D.G.
75,503 15,600
Iberdrola
114,657 5,100 Repsol
160,914 15,600 Telefonica Nacional de Espana
211,603----------------------------------------------------------
- -----------------
- ----------------------------
1,199,224--------------------------------------------------------
- -------------------
- ---------------------------- SWEDEN - 1.1%
200 Aga AB, Class B Free
9,583 300 Astra AB, Class A Free
6,380
100 Astra AB, Class B Free
2,076 100 Atlas Copco AB, Class B Free
6,098 100 Electrolux AB, Class B Free
5,163
200 Ericsson (L.M.) Telephone, Class B Free
9,788 200 Esselte AB, Class B Free
3,049
200 Esselte AF
3,049 500 Euroc Industries AB, Class A
Free
8,135 300 Securitas AB, Class B Free
9,340
900 Skandia Forsakrings AB, Free
13,490 6,000 Skandinaviska
38,818 100 Skanska AB, Class B Free
2,396
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> COMMON STOCKS (continued) SWEDEN -
(continued) 100 SKF AB, Class B Free
$1,678 100 Stora Kopparbergs, Class A Free
5,483 100 Stora Kopparbergs, Class B Free
5,381 200 Svenska Cellulosa, Class B Free
2,998 2,300 Svenska Handelsbanken, Class A
Free 32,707
200 Svenska Handelsbanken, Class B Free
2,690 100 Trelleborg AB,
Class B Free
1,422------------------------------------------------------------
- ---------------
- ----------------------------
169,724----------------------------------------------------------
- -----------------
- ---------------------------- SWITZERLAND -3.2%
18 Brown Boveri & Cie AG, Class A
16,160 105 Ciba Geigy AG
63,591 87 Credit Suisse Holdings
38,432 158 Nestle SA
129,124 3 Roche Holdings AG
27,424 28 Roche Holdings AG Genuscheine
133,865 110 Sandoz AG
54,001 3 Schweizerishe Bankgesellschaft
2,554
3 Schweizerisher Bankverein
864 4 SMH AG Neuenburg
502 15 Zurich Versicherung
14,428-----------------------------------------------------------
- ----------------
- ----------------------------
480,945----------------------------------------------------------
- -----------------
- ---------------------------- THAILAND - 1.2%
9,000 Bangkok Bank
75,714 600 Charoen Pokphand Feedmill
4,190
2,000 Land & House
46,191 700 Shinawatra Computer
16,556 800 Siam Cement
38,222-----------------------------------------------------------
- ----------------
- ----------------------------
180,873----------------------------------------------------------
- -----------------
- ---------------------------- TURKEY - 1.1%
16,000 Akso
14,035 40,000 Arcelik
15,630 5,000 Cimsa
9,569 14,000 Cukurova Elektrik
2,590 8,000 Ege Biracilik Ve
12,759 73,000 Eregli Demir Ve Celik
9,198 3,000 Migros
8,708 3,000 Otosan
4,785 138,000 T. Garanti Bankas
17,608 30,000 Tofas Otomobil Fab
44,976 28,000 Trakya Cam
6,877 25,000 Turkiye Guaranti
3,190
85,000 Turkiye Is Bankasi
8,676------------------------------------------------------------
- ---------------
- ----------------------------
158,601----------------------------------------------------------
- -----------------
- ----------------------------
TOTAL COMMON STOCK (Cost $12,823,808)
13,433,253-------------------------------------------------------
- --------------------
- -----------------------------------------------------------------
- --------------------------------------
- ----------------------------
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Portfolio of Investments (continued)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
MARKET VALUE SHARES
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<C> <S>
<C> PREFERRED STOCK - 0.3% 400 Credit Anstalt
Bank
$23,248 300 Z-Landerbank Austria Preferred
15,697-----------------------------------------------------------
- ----------------
- ---------------------------- TOTAL PREFERRED
STOCK (Cost $41,063)
38,945-----------------------------------------------------------
- ----------------
- -----------------------------------------------------------------
- --------------------------------------
- ----------------------------
RIGHTS - 0.1% 32,000 Arcelik Rights, expire 6/3/94 +
11,483 1,000 Migros Rights, expire 6/8/94
+
2,871 300 Nork Hydro As Rights, expire 6/16/94 +
171 1,249
United Overseas Bank Rights, expire 6/18/94 +
6,821------------------------------------------------------------
- ---------------
- ---------------------------- TOTAL RIGHTS
(Cost $16,885)
21,346-----------------------------------------------------------
- ----------------
- --------------------------<CAPTION>
FACE
VALUE------------------------------------------------------------
- ---------------
- --------------------------<S>
<C> <C> U.S. TREASURY BILL - 0.6%
(Cost $89,842) $90,000 U.S. Treasury Bill, 3.812% #
due 6/23/94
89,784----------------------------------------------------------
- -----------------
- ----------------------------
COMMERCIAL PAPER - 4.2% (Cost $622,000) 622,000 Ford
Motor Corporation, 4.250% due 6/1/94
622,000----------------------------------------------------------
- -----------------
- ----------------------------
TOTAL INVESTMENTS (Cost $13,593,598*)
95.0% 14,205,328 OTHER ASSETS AND
LIABILITIES (Net) 5.0
749,239----------------------------------------------------------
- -----------------
- -----------------------------------------------------------------
- --------------------------------------
- ---------------------------NET ASSETS
100.0%
$14,954,567------------------------------------------------------
- ---------------------
- -----------------------------------------------------------------
- --------------------------------------
- ---------------------------<FN>
* Aggregate cost for Federal tax purposes.
+ Non-income producing security. # Annualized
yield to maturity (unaudited). Ptg-
Participating
</TABLE>
<TABLE> <CAPTION>
NUMBER OF
UNREALIZED CONTRACTS
DEPRECIATION-----------------------------------------------------
- ----------------------
- ---------------------------- <C> <S>
<C> OPEN FUTURES CONTRACTS TO BUY AT MAY 31, 1994:
14 CAC 40 Index Future, June 1994
($24,612) 5 Financial Times Stock Exchange Index
Future, June 1994 (32,522)
1 Toronto 35 Index Future, June 1994
(1,526)----------------------------------------------------------
- -----------------
- ----------------------------
(58,660)---------------------------------------------------------
- ------------------
- ----------------------------
OPEN FUTURES CONTRACTS TO SELL AT MAY 31, 1994: (3)
Topix Index Future, June 1994
(25,342)---------------------------------------------------------
- ------------------
- ----------------------------
NET UNREALIZED DEPRECIATION OF OPEN FUTURES CONTRACTS
($84,002)--------------------------------------------------------
- -------------------
- ----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS International Equity Fund
<TABLE> <CAPTION>
- -----------------------------------------------------------------
- --------------------------------------
Portfolio of Investments (unaudited)
May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
Percentage of Market Value Sector Diversification
Net Assets
(Note
1)---------------------------------------------------------------
- ------------
- --------------------------<S>
<C> <C> COMMON STOCKS: Energy & Utility
16.5 % $2,466,649 Banking & Finance
14.8
2,218,436 Financial Services
12.8 1,917,427 Non-Durable Goods
8.1 1,217,070 Durable Goods
7.5
1,116,979 Consumer Services
5.1 765,790 Basic Industries
4.7
696,210 Construction & Building
3.9 588,580 Health Care &
Personal Services
3.8 572,849 Manufacturing
2.5
379,900 Transportation
1.5 229,266 Holding Companies
1.1 161,628 Minerals & Mining
1.1
157,902 Technology
1.0 143,229 Forestry Products &
Paper
0.6 93,174 Real Estate
0.6
89,530 Other
4.1 618,633
---------- -------------
TOTAL COMMON STOCKS
89.8 13,433,253
COMMERCIAL PAPER
4.2 622,000 U.S. TREASURY BILL
0.6
89,784 PREFERRED STOCK
0.3 38,945 RIGHTS
0.1
21,346
---------- -------------
TOTAL INVESTMENTS
95.0 14,205,328
OTHER ASSETS AND LIABILITIES (NET)
5.0 749,239
---------- -------------
NET ASSETS
100.0 % $14,954,567
---------- -------------
---------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
<TABLE> <CAPTION>
THE PANAGORA FUNDS International Equity
Fund-------------------------------------------------------------
- --------------
- --------------------------Schedule of Forward Foreign Exchange
Contracts May 31,
1994-------------------------------------------------------------
- --------------
- ----------------------------
CONTRACT
VALUE Market Value
DATE (Note
1)---------------------------------------------------------------
- ------------
- --------------------------<S>
<C> <C> FORWARD FOREIGN EXCHANGE CONTRACTS TO BUY
5,671,100 French Francs
6/6/94 $1,008,654 400,053 Great Britain
Pound Sterling
6/6/94 604,779 40,702,800 Japanese Yen
6/6/94
388,698----------------------------------------------------------
- -----------------
- --------------------------TOTAL FORWARD FOREIGN EXCHANGE
CONTRACTS TO BUY (Contract Amount $2,000,000)
$2,002,131-------------------------------------------------------
- --------------------
- -----------------------------------------------------------------
- --------------------------------------
- ---------------------------</TABLE> <PAGE>
THE PANAGORA FUNDS Statements of Assets and Liabilities May 31,
1994
<TABLE> <CAPTION>
PanAgora PanAgora
Asset PanAgora International
Allocation Global Equity
Fund Fund
Fund ASSETS
-------------- ------------ -----------<S>
<C> <C> <C> Investments, at value
(Cost $2,865,006, $38,913,961 and $13,593,598, respectively)
(Note 1) See accompanying schedules......................
$ 2,782,238 $ 39,807,379 $ 14,205,328
Cash and foreign currency.........................
3,018 402,642 151,628
Segregated cash and foreign currency as collateral for
futures.....................................
- 1,997,870 576,352 Receivable for forward
foreign exchange contracts to
sell.........................................
- 4,200,000 Forward foreign exchange
contracts to buy, at value (Contract Cost $0, $11,500,000 and
$2,000,000, respectively) See accompanying schedules........
- 11,556,648
2,002,131 Receivable from investment adviser (Note 2).......
103,500 - 49,675
Receivable from administrator (Note 2)............
- 25,153
7,323 Unamortized organization costs (Note 5)...........
16,737 16,760
16,760 Dividends and interest receivable.................
7,629 151,490 86,701
Receivable for investment securities sold.........
-
- - 8,646
-------------- ------------ ------------ Total
Assets....................................
2,913,122 58,157,942 17,104,544
-------------- ------------ ------------
-------------- ------------ ------------
LIABILITIES
Forward foreign exchange contracts to sell, at value
(Contract cost $0, $4,200,000 and $0, respectively) (Note 1)
See accompanying schedule..............
- 4,269,166 Payable for forward foreign
exchange contracts to buy -
11,500,000 2,000,000 Investment advisory fees payable
(Note 2)......... -
86,395 Transfer agent fees payable (Note
2).............. 6,040
6,882 6,324 Custodian fees payable (Note
2)................... 3,065
22,500 20,400 Administration fees payable (Note
2).............. 5,000
10,000 10,000 Accrued legal and audit
fees...................... 19,000
22,000 22,000 Payable for Fund shares
redeemed.................. -
622 - Net unrealized depreciation of futures
contracts (Note 1)........................................
6,488 465,770 84,002
Accrued expenses and other payables...............
2,696 17,035 7,251
------------ ------------ ------------- Total
Liabilities ..............................
42,289 16,400,370 2,149,977
------------ ------------ ------------NET
ASSETS........................................
$ 2,870,833 $ 41,757,572 $ 14,954,567
------------ ------------ -------------
------------ ------------ -------------
NET ASSETS CONSIST OF: Undistributed net investment
income/(Distributions in excess of net investment
income)............. $ 11,000 $
(1,118,599) $ (2,131) Accumulated net realized gain on
securities sold, forward foreign exchange contracts, foreign
currency, futures contracts and net other
assets............................
13,837 74,161 391,111 Net unrealized
appreciation/(depreciation) on securities, forward foreign
exchange contracts, foreign currency, futures contracts and net
other assets....................................
(89,256) 421,283 577,506 Paid-in capital
..................................
2,935,252 42,380,727 13,988,081
-------------- ------------ -------------
$ 2,870,833 $ 41,757,572 $ 14,954,567
-------------- ------------ -------------
-------------- ------------ -------------
Net Asset Value and redemption price per share of beneficial
interest outstanding................ $
10.01 $ 10.48 $ 10.75
-------------- ------------ -------------
-------------- ------------ -------------
Number of Fund shares outstanding.................
286,748 3,985,823 1,390,597
-------------- ------------ -------------
-------------- ------------ -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS Statements of Operations For the Year Ended
May 31, 1994*
<TABLE> <CAPTION>
PanAgora PanAgora
Asset PanAgora International
Allocation Global Equity
Fund Fund Fund
---------------
- -------------- -------------<S>
<C> <C> <C> INVESTMENT
INCOME: Dividends (Net of foreign withholding taxes of $256,
$41,094 and $45,573, respectively).............. $
30,460 $ 524,751 $ 252,436
Interest..........................................
22,642 162,977 33,187
--------------- -------------- -------------- Total
investment income.........................
53,102 687,728 285,623
--------------- -------------- --------------
EXPENSES: Transfer agent fees (Note 2)......................
32,703 39,117 33,781 Trustees' fees and
expenses (Note 2)..............
7,912 7,245 7,912 Investment advisory
fees (Note 2)................. 10,719
218,254 110,440 Custodian fees (Note
2)........................... 10,112
68,539 71,183 Administration fees (Note
2)...................... 60,684
75,992 68,442 Amortization of organization costs (Note
5) ...... 4,170 4,147
4,147 Legal and audit fees..............................
25,028 28,028 28,028
Other.............................................
8,714 26,205 17,153 Fees waived and
expenses reimbursed by investment adviser and administrator
(Note 2).............. (144,044)
(160,977) (186,509)
--------------- -------------- -------------- Total
expenses.................................
15,998 306,550 154,577
--------------- -------------- -------------NET
INVESTMENT INCOME.............................
37,104 381,178 131,046
--------------- -------------- --------------
NET REALIZED AND UNREALIZED GAIN\(LOSS) ON INVESTMENTS
(Notes 1 and 3): Realized gain/(loss) from: Security
transactions...........................
49,644 1,217,507 593,446 Futures
contracts...............................
(24,060) (770,693) 90,557 Forward foreign
exchange contracts.............. -
(334,040) (46,583) Foreign currency
transactions................... -
(38,613) (51,075)
--------------- -------------- -------------Net
realized gain during the year.................
25,584 74,161 586,345
--------------- -------------- -------------Net
change in unrealized appreciation/(depreciation) of:
Securities.....................................
(82,768) 893,418 611,730 Futures
contracts..............................
(6,488) (465,770) (84,002) Forward foreign
exchange contracts............. -
(12,518) 2,131 Foreign currency and net other
assets.......... - 6,153
47,647
--------------- -------------- ------------Net
unrealized appreciation/(depreciation) during the
year........................................
(89,256) 421,283 577,506
--------------- -------------- --------------
Net realized and unrealized gain/(loss) on
investments.....................................
(63,672) 495,444 1,163,851
--------------- -------------- -------------NET
INCREASE/(DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS
...................... $ (26,568) $
876,622 $ 1,294,897
--------------- -------------- --------------
--------------- --------------
- ------------<FN>----------------------------------
* The Funds commenced operations on June 1, 1993.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE>
THE PANAGORA FUNDS
Statements of Changes in Net Assets Year Ended May 31, 1994*
<TABLE> <CAPTION>
PanAgora PanAgora
Asset PanAgora International
Allocation Global Equity
Fund Fund Fund
--------------- ------------ ------------<S>
<C> <C> <C> Net investment
income............................. $
37,104 $ 381,178 $ 131,046 Net realized gain on
securities sold, forward foreign exchange contracts, foreign
currency transactions and futures contracts during the
year.......... 25,584 74,161
586,345 Net unrealized appreciation/(depreciation) of
securities, forward foreign exchange contracts, foreign
currency, futures contracts and net other assets during the
year.......................... (89,256)
421,283 577,506
------------- ------------ -------------
Net increase/(decrease) in net assets resulting from
operations.....................................
(26,568) 876,622 1,294,897 Distributions to
shareholders: Net investment
income........................... (26,104)
(381,178) (35,519) In excess of net investment
income.............. -
(1,118,599) (292,892) Net realized capital
gains...................... (11,747)
- - - Net increase in net assets from Fund share
transactions (Note 4)....................
2,901,252 42,347,727 13,955,081
------------- ------------ ------------Net increase
in net assets........................
2,836,833 41,724,572 14,921,567 NET ASSETS: Beginning
of year.................................
34,000 33,000 33,000
------------- ------------ ------------End of year
(including undistributed net investment income of $11,000, and
distributions in excess of net investment income of $1,118,599
and $197,365, respectively).........................
$ 2,870,833 $41,757,572 $ 14,954,567
------------- ------------ -------------
------------- ------------
- -----------<FN>----------------------------------
* The Funds commenced operations on June 1, 1993.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. <PAGE>
THE PANAGORA FUNDS Asset Allocation Fund Financial Highlights
For a Fund share outstanding throughout the year.
<TABLE> <CAPTION>
Year
Ended
5/31/94*
-------------
<S>
<C> Operating performance: Net asset value, beginning of
year.......................... $10.00
-------------
Income from investment operations: Net
investment income+......................................
0.14 Net realized and unrealized gain on investments
++.......... 0.02
-------------
Total from investment operations.........................
0.16
-------------
Distributions: Distributions from net investment
income.................... (0.10) Distributions
from net realized capital gains...............
(0.05)
-------------
Total from investment operations.........................
(0.15)
-------------
Net asset value, end of year................................
$10.01
-------------
-------------
Total return+++.............................................
1.63%
-------------
-------------
Ratios to average net assets/supplemental data: Net assets, end
of year (in 000's).......................... $2,871
Ratio of operating expenses to average net assets++++.......
0.90% Ratio of net investment income to average net
assets........ 2.08% Portfolio turnover
rate..................................... 50%
<FN>
- -------------------------------------- * The Fund commenced
operations on June 1, 1993. + Net investment loss per share
before waiver of fees and reimbursement of expenses by
investment adviser and administrator was $0.39 for the year
ended May 31, 1994. ++ The amount shown at this caption for
each share outstanding throughout the period may not
accord with the change in the aggregate gains and losses
in the portfolio securities for the period because of the
timing of purchases and withdrawals of shares in relation
to the fluctuating market values of the portfolio. +++
Total return represents aggregate total return for the period
indicated. ++++ Annualized expense ratio before waiver of fees
and reimbursement of expenses by investment adviser and
administrator was 8.96% for the year ended May 31, 1994.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. <PAGE>
THE PANAGORA FUNDS Global Fund Financial Highlights
For a Fund share outstanding throughout the year.
<TABLE> <CAPTION>
Year
Ended
5/31/94*
---------<S>
<C> Operating performance: Net asset value, beginning of
year................ $10.00
--------Income from investment operations:
Net investment income+............................
0.11 Net realized and unrealized gain on investments...
0.76
---------- Total from investment operations...............
0.87
--------Distributions: Distributions from net investment
income.......... (0.10) Distributions in excess
of net investment income.. (0.29) Distributions
from net realized capital gains..... ---
---------- Total from investment
operations...............
(0.39)
----------
Net asset value, end of year......................
$10.48
----------
----------
Total return+++...................................
8.68%
----------
---------Ratios to average net assets/supplemental data:
Net assets, end of year (in 000's)................
$41,758 Ratio of operating expenses to average net
assets++++......................................
1.00% Ratio of net investment income to average net
assets..........................................
1.23% Portfolio turnover rate...........................
187%
<FN>
- -------------------- * The Fund commenced operations on June
1, 1993. + Net investment income per share before waiver of
fees by investment adviser and administrator was $0.07
for the year ended May 31, 1994. +++ Total return represents
aggregate total return for the period indicated. ++++
Annualized expense ratio before waiver of fees by investment
adviser and administrator was 1.53% for the year ended
May 31, 1994.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. <PAGE>
THE PANAGORA FUNDS International Equity Fund Financial
Highlights
For a Fund share outstanding throughout the year.
<TABLE> <CAPTION>
Year
Ended
5/31/94*
----------
<S>
<C> Operating performance: Net asset value, beginning of
year............................ $10.00
----------
Income from investment operations:
Net investment income+........................................
0.11 Net realized and unrealized gain on
investments............... 0.89
----------
Total from investment operations...........................
1.00
----------
Distributions: Distributions from net investment
income...................... (0.03) Distributions
in excess of net investment income..............
(0.22) Distributions from net realized capital
gains................. ---
----------
Total from investment operations...........................
(0.25)
----------
Net asset value, end of year..................................
$10.75
----------
----------
Total return+++...............................................
10.12%
----------
----------
Ratios to average net assets/supplemental data: Net assets, end
of year (in 000's)............................
$14,955 Ratio of operating expenses to average net
assets++++......... 1.10% Ratio of net
investment income to average net assets..........
0.93% Portfolio turnover
rate....................................... 160%
<FN>---------------------
* The Fund commenced operations on June 1, 1993. + Net
investment loss per share before waiver of fees and
reimbursement of expenses by investment adviser and
administrator was $0.05 for the year ended May 31, 1994. +++
Total return represents aggregate total return for the period
indicated. ++++ Annualized expense ratio before waiver of fees
and reimbursement of expenses by investment adviser and
administrator was 2.42% for the year ended May 31, 1994.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS. <PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS
1. SIGNIFICANT ACCOUNTING POLICIES
The PanAgora Funds (the "Trust") was organized under the laws
of the Commonwealth of Massachusetts on January 27, 1993 as a
Massachusetts business trust and began operations on June 1,
1993. The Trust is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as an open-end management
investment company, consisting of three investment series:
PanAgora Asset Allocation Fund, PanAgora Global Fund and
PanAgora International Equity Fund (the "Funds"). The following
is a summary of significant accounting policies consistently
followed by the Funds in the preparation of their financial
statements.
PORTFOLIO VALUATION:
Securities traded on a recognized U.S. or foreign securities
exchange or the National Association of Securities Dealers
Automated Quotation System (NASDAQ) are valued at their last
sale price on the principal exchange on which they are traded or
NASDAQ (if NASDAQ is the principal market for such securities).
If no sale occurs, securities are valued at the mean between the
closing bid and asked price. Unlisted equity securities for
which market quotations are readily available are valued at the
mean between the most recent bid and asked price. Debt
securities and other fixed-income investments of the Funds will
be valued at prices supplied by independent pricing agents
selected by the Board of Trustees. Short-term obligations
maturing in sixty days or less are valued at amortized cost.
Amortized cost valuation involves initially valuing a security
at its cost, and thereafter, assuming a constant amortization to
maturity of any discount or premium, regardless of the impact of
fluctuating interest rates on the market value of the security.
Securities whose market value does not, in the Adviser's
opinion, reflect fair value are valued at fair value using
methods determined in good faith by the Board of Trustees.
Repurchase Agreements: Each Fund may engage in repurchase
agreement transactions. Under the terms of a typical repurchase
agreement, the Fund takes possession of an underlying debt
obligation subject to an obligation of the seller to repurchase,
and the Fund to resell, the obligation at an agreed-upon price
and time, thereby determining the yield during the Fund's
holding period. This arrangement results in a fixed rate of
return that is not subject to market fluctuations during the
Fund's holding period. The value of the collateral is at least
equal at all times to the total amount of the repurchase
obligations, including interest. In the event of counterparty
default, the Fund has the right to use the collateral to offset
losses incurred. There is potential loss to the Fund in the
event the Fund is delayed or prevented from exercising its
rights to dispose of the collateral securities, including the
risk of a possible decline in the value of the underlying
securities during the period while the Fund seeks to assert its
rights. The Fund's investment adviser, acting under the
supervision of the Board of Trustees, reviews the value of the
collateral and the creditworthiness of those banks and dealers
with which the Fund enters into repurchase agreements to
evaluate potential risks.
Futures Contracts: Upon entering into a futures contract,
each Fund is required to deposit with the broker an amount of
cash or cash equivalents equal to a certain percentage of the
contract amount. This is known as the "initial margin."
Subsequent payments ("variation margin") are made or received by
the Asset Allocation Fund each day, depending on the daily
fluctuation of the value of the contract; and by the Global Fund
and International Equity Fund when the futures contract is
closed.
-1<PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Futures contracts are marked-to-market daily and the daily
changes in the value of the contract are recorded as unrealized
gains or losses. The Fund recognizes a realized gain or loss
when the contract is closed.
There are several risks in connection with the use of futures
contracts as a hedging device. The change in value of futures
contracts primarily corresponds with the value of their
underlying instruments or index, which may not correlate with
the change in value of the hedged investments. In addition,
there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid secondary market.
Foreign Currency: The books and records of the PanAgora
Global Fund and the PanAgora International Equity Fund are
maintained in United States (U.S.) dollars. Foreign currencies,
investments and other assets and liabilities are translated into
U.S. dollars at the exchange rates prevailing at the end of the
period, and purchases and sales of investment securities, income
and expenses are translated on the respective dates of such
transactions.
Unrealized gains and losses which result from changes in
foreign currency exchange rates have been included in the
unrealized appreciation/(depreciation) of foreign currency and
net other assets. Net realized foreign currency gains and losses
resulting from changes in exchange rates include foreign
currency gains and losses between trade date and settlement date
on investment securities transactions, foreign currency
transactions and the difference between the amounts of interest
and dividends recorded on the books of the Funds and the amount
actually received. The portion of foreign currency gains and
losses related to fluctuation in exchange rates between the
initial trade date and subsequent sale trade date is included in
realized gains and losses on investment securities sold.
Forward Foreign Currency Contracts: The PanAgora Global Fund
and the PanAgora International Equity Fund may enter into
forward foreign currency contracts. Forward foreign currency
contracts are valued at the forward rate and are
marked-to-market daily. The change in market value is recorded
by the Fund as an unrealized gain or loss. When the contract is
closed or delivery is taken, the Fund records a realized 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 use of forward foreign currency contracts does not
eliminate fluctuations in the underlying prices of the Fund's
securities, but it does establish a rate of exchange that can be
achieved in the future. Although forward foreign currency
contracts limit the risk of loss due to a decline in the value
of the hedged currency, they also limit any potential gain that
might result should the value of the currency increase. In
addition, the Fund could be exposed to risks if the
counterparties to the contracts are unable to meet the terms of
their contracts.
Securities Transactions and Investment Income: Securities
transactions are recorded as of the trade date. Realized gains
and losses from securities sold are recorded on the identified
cost basis. Interest income is recorded on the accrual basis and
consists of interest accrued and, if applicable, discount earned
less premiums amortized. Dividend income is recorded on the
ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the Fund is informed of the
ex-dividend date.
-2-
<PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS (CONTINUED)
Dividends and Distributions to Shareholders: Each Fund
declares and pays dividends from net investment income, if any,
and distributes net short-term capital gains, if any, on a
quarterly basis. Each Fund also distributes at least annually
substantially all of the long-term capital gains in excess of
available capital losses, if any, which it realizes for each
taxable year. Income distributions and capital gain
distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting
principles. These differences are primarily due to differing
treatments of income and gains on various investment securities
held by each Fund, timing differences and differing
characterization of distributions made by each Fund. Permanent
differences incurred during the year ended May 31, 1994 on the
PanAgora International Equity Fund, resulting from a tax basis
currency transaction, have been reclassified to accumulated net
realized gains at year end.
Federal Income Taxes: It is the policy of the Funds to
qualify as a regulated investment company, which distributes
exempt-interest dividends, by complying with the requirements of
the Internal Revenue Code of 1986, as amended, applicable to
regulated investment companies and by distributing substantially
all of its earnings to its shareholders. Therefore, no Federal
income tax provision is required.
2. INVESTMENT ADVISORY FEE, ADMINISTRATION FEE AND OTHER RELATED
PARTY TRANSACTIONS
The Trust has entered into an investment advisory agreement
(the "Advisory Agreement") with PanAgora Asset Management, Inc.
("PanAgora"). Fifty percent of PanAgora's outstanding voting
stock is owned by Lehman Brothers Inc. ("Lehman Brothers"), a
national investment banking firm and fifty percent of such stock
is owned by Nippon Life Insurance Company ("Nippon Life").
Lehman Brothers is a wholly owned subsidiary of Lehman Brothers
Holdings Inc. ("Holdings"). Prior to May 31, 1994, American
Express Company ("American Express") owned 100% of Holdings'
issued and outstanding common stock, which represented
approximately 92% of Holdings' issued and outstanding voting
stock. On May 31, 1994, American Express distributed to holders
of common stock of American Express all outstanding shares of
common stock of Holdings. As of May 31, 1994, Nippon Life
Insurance Company owned 11.2% of the outstanding voting
securities of Holdings. Under the Advisory Agreement, the
Trust, on behalf of each Fund, pays a monthly fee at an annual
rate of the value of each Fund's average daily net assets as
follows:
<TABLE>
<S> <C> PanAgora Asset
Allocation Fund 0.60% PanAgora Global Fund
0.70% PanAgora International Equity Fund 0.80%
</TABLE>
PanAgora has agreed to pay to Funds Distributor, Inc., the
Trust' distributor, as compensation for certain distribution
services rendered to the Trust, a monthly fee at the annual rate
of 0.03% of the value of the average daily net assets of each
Fund. The minimum fee, with respect to all three funds, is
$15,000 per year.
The Trust has also entered into an administration agreement
(the "Administration Agreement") with The Boston Company
Advisors, Inc. ("Boston Advisors"), an indirect wholly owned
subsidiary of Mellon Bank Corporation ("Mellon"). Under the
Administration Agreement, each Fund pays a monthly fee at the
annual rate of 0.15% of the value of the average daily net
assets of each Fund. The minimum fee, with respect to each
Fund, is $60,000 per year.
-3-
<PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS (CONTINUED)
No officer, director or employee of PanAgora, Boston
Advisors or any parent or subsidiary of those corporations
receives any compensation from the Trust for serving as a
Trustee or officer of the Trust. The Trust pays each Trustee
who is not an officer, director, or employee of PanAgora, Boston
Advisors or any of their affiliates $5,000 per annum plus $1,000
per meeting attended and reimburses each such Trustee for travel
and out-of-pocket expenses.
From time to time PanAgora and Boston Advisors may
voluntarily waive and reimburse a portion or all of their
respective fees and expenses otherwise payable to them. For the
year ended May 31, 1994, PanAgora and Boston Advisors
voluntarily waived fees and reimbursed expenses as follows:
<TABLE> <CAPTION>
PanAgora Boston Advisors
--------------------- ---------------
FEES EXPENSES FEES
WAIVED REIMBURSED WAIVED
------- ---------- -----<S>
<C> <C> <C>
PanAgora Asset Allocation Fund $ 10,719 $ 103,325
$ 30,000 PanAgora Global Fund 130,977 -
30,000 PanAgora International Equity Fund 110,440
46,069 30,000
</TABLE>
Boston Safe Deposit and Trust Company, an indirect wholly
owned subsidiary of Mellon, serves as the Trust's custodian.
The Shareholder Services Group, Inc., a subsidiary of First Data
Corporation, which is in turn a partially owned subsidiary of
American Express, serves as the Trust's transfer agent.
3. PURCHASES AND SALES OF SECURITIES
Cost of purchases and proceeds from sales of investment
securities, excluding short-term investments, during the year
ended May 31, 1994 were as follows:
<TABLE> <CAPTION>
PURCHASES SALES
------------- ----------<S>
<C> <C> PanAgora Asset Allocation Fund $
2,326,373 $ 490,375 PanAgora Global Fund
69,930,216 40,873,135 PanAgora International Equity
Fund 30,460,220 18,108,707
</TABLE>
-4-
<PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS (CONTINUED)
At May 31, 1994, aggregate gross unrealized appreciation for
all securities in which there is an excess of value over tax
cost and aggregate gross unrealized depreciation for all
securities in which there is an excess of tax cost over value
were as follows:
<TABLE> <CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED
APPRECIATION DEPRECIATION
------------- -----------<S>
<C> <C> PanAgora Asset Allocation
Fund $ 45,384 $ 128,152 PanAgora Global Fund
2,077,195 1,183,777 PanAgora
International Equity Fund 1,244,070
632,340
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
At May 31, 1994, an unlimited number of shares of beneficial
interest without par value were authorized. Changes in shares
of beneficial interest were as follows:
<TABLE> <CAPTION>
YEAR ENDED
MAY 31, 1994* PanAgora Asset Allocation Fund:
SHARES AMOUNT
<S> <C> <C>
Sold . . . . . . . . . . . . . . . 281,095 $
2,878,610 Issued as reinvestment of dividends. . . . . . . .
. . . . 3,736 37,851 Redeemed . . . .
. . . . . . (1,483) (15,209)
--------- ------------- Net increase . . . . . . . .
. 283,348 $ 2,901,252
--------- -------------
--------- -------------
</TABLE>
<TABLE> <CAPTION>
YEAR ENDED
MAY 31, 1994* PANAGORA GLOBAL FUND:
SHARES AMOUNT <S>
<C> <C> Sold . . . . . . . . . . . . . . .
4,031,219 $42,897,445 Issued as reinvestment of dividends
141,622 1,499,777 Redeemed . . . . . . . . . . .
(190,318) (2,049,495) Net increase . . . . . . . .
. . 3,982,523 $42,347,727
</TABLE>
-5-
<PAGE>
The PanAgora Funds NOTES TO FINANCIAL STATEMENTS (CONTINUED)
<TABLE> <CAPTION>
YEAR ENDED
MAY 31, 1994* PANAGORA INTERNATIONAL EQUITY FUND:
SHARES AMOUNT <S>
<C> <C> Sold . . . . . . . . . . . . . . .
1,362,693 $ 13,701,754 Issued as reinvestment of
dividends. . . . . . . . . . . . 31,417 326,091
Redeemed . . . . . . . . . (6,813)
(72,764) Net increase . . . . . . . . . . 1,387,297 $
13,955,081
<FN> _________________ *The Funds commenced operations on June
1, 1993.
</TABLE>
5. ORGANIZATION COSTS
Each Fund bears all costs in connection with its organization
including the fees and expenses of registering and qualifying
its shares for distribution under Federal and state securities
regulations. All such costs are being amortized on the
straight-line method over a period of five years from the
commencement of operations for each Fund. In the event that any
of the initial shares of the Funds are redeemed during such
amortization period, the Funds will be reimbursed for any
unamortized organization costs in the same proportion as the
number of shares redeemed bears to the number of initial shares
held at the time of redemption.
6. FOREIGN SECURITIES
The PanAgora Global and International Equity Funds may
purchase securities of foreign issuers. Investing in securities
of foreign companies and foreign governments involves special
risks and considerations not typically associated with investing
in U.S. companies and the U.S. government. These risks include
revaluation of currencies and future adverse political and
economic developments. Moreover, securities of many foreign
companies and foreign governments and their markets may be less
liquid and their prices more volatile than those of securities
of comparable U.S. companies and the U.S. government.
7. SUBSEQUENT EVENT
On or about August 22, 1994, Investors Bank & Trust Company
will be the Trust's Administrator, Custodian, and Transfer Agent.
-6-
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Directors of The PanAgora Funds:
We have audited the accompanying statement of assets and
liabilities of PanAgora Asset Allocation Fund, PanAgora Global
Fund and PanAgora International Equity Fund including the
schedule of portfolio investments, the related statement of
operations, the statement of changes in net assets and the
financial highlights for the year ended May 31, 1994. These
financial highlights are the responsibility of the Fund'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 May 31, 1994 by correspondence with the
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 PanAgora Asset Allocation
Fund, PanAgora Global Fund, and PanAgora International Equity
Fund as of May 31, 1994, the results of its operations for the
year then ended, the changes in its net assets and the financial
highlights for the year then ended, in conformity with generally
accepted accounting principles.
COOPERS & LYBRAND
Boston, Massachusetts August 10, 1994
-7-
<PAGE>
The PanAgora Funds TAX INFORMATION (UNAUDITED) Year Ended May
31, 1994
For the Asset Allocation Fund, the capital gains dividend
distribution paid to shareholders for fiscal 1994, whether taken
in shares or in cash is as follows:
Long-term capital gains. . . . . . . . . . . . . .
$11,509
-8- <PAGE>
