THE PANAGORA FUNDS
ANNUAL REPORT
MAY 31,1995
The PanAgora Funds
President's Letter
July 21, 1995
We are pleased to present the second annual report of The PanAgora Funds. The
PanAgora Funds started in 1993 to provide investors with investment vehicles in
the form of mutual funds implementing specific investment strategies. The
PanAgora Funds make these strategies available to smaller pension funds,
foundations and endowment funds, 401(k) plans and individual investors.
The Funds' Board of Trustees recently approved a change to the name of the Trust
from The PanAgora Funds to The PanAgora Institutional Funds. We believe that the
word "Institutional" better reflects the types of investors for which these
Funds are primarily intended. The name change will take effect on August 1,
1995.
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
U.S. stock market has soared to new all-time highs despite evidence of a more
severe economic slow-down than previously thought. Bonds are also up as signs of
a weaker than expected economy fueled optimism about an interest rate cut by the
Federal Reserve. The Asset Allocation Fund has been neutral on bonds. Due to
high valuations and pending economic weakness, the Fund has been slightly
underweighted in equities.
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. The International Equity
Fund has investments in major European markets and Asian equity markets. In
addition, we have invested approximately 10% of the Fund's assets in emerging
markets. European investments are benefiting from the economic recovery in
Europe as well as favorable valuations in most countries. Our Asian investments
are focused in markets generally considered out-of-favor by investors. Here,
current prices seem low relative to continuing growth prospects. Our emerging
markets investments benefit from rapid growth of developing economies.
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, The PanAgora
Global Fund has invested more than 70% of its assets in global equity markets
based on the Advisor's view of their superior return opportunities. The equity
positions have emphasized Europe and Asia. We have underweighted U.S. stocks due
to high valuations. With the decline in interest rates, our U.S. and
international bond positions have done very well.
There has been alot of talk in the financial press (and the popular press as
well) this year about "derivatives", often implying that all forms of these
financial instruments are bad for your financial health. However, just as all
varieties of mushrooms aren't poisonous, certain derivatives may safely provide
benefits to investors.
The PanAgora Funds make frequent use of one of the more common types of
derivatives: financial futures. They are employed in position-taking in U.S. and
international markets, to facilitate transacting, to reduce the costs of
necessary trades, to gain needed diversification, etc. They are NEVER employed
by the Funds for speculation or for leveraging market bets.
The Funds' use of financial futures is carefully planned and monitored. This use
generates significant benefits to Fund participants and is essential for maximum
management efficiency and effectiveness. We expect to continue to use financial
futures, going forward, for the same legitimate and productive purposes as we
have employed them in the past, and in the same controlled and disciplined
manner as before.
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
PANAGORA ASSET ALLOCATION FUND
MAY 31, 1995
CUMULATIVE TOTAL RETURN (UNAUDITED)
PanAgora Asset Allocation Fund
One Year 14.13%*
Average Annual Since Inception (6/1/93) 7.70%*
* Total returns for the Fund reflect expenses waived and reimbursed, if
applicable, by the Advisor. Without such waivers and reimbursements,
total returns would be lower.
The PanAgora Asset Allocation Fund maintained a defensive position
towards equities during the last year as evidence of an economic slow-down
increased the risk of a market decline. The balance of the Fund was kept in
intermediate bonds over the period. However, since both stock and bond returns
have been strong during the period,the Fund was able to provide a return
outperforming bonds but underperforming stocks. Given its balanced nature,
this is in keeping with the Fund's objectives. The yield curve has flattened
out over the last three months, so cash has become more attractive. In
addition, the drop in bond yields has made stocks more attractive in the near
term. As of May 31,1995, the Fund was allocated 75% in stocks, 15% in bonds,
and 10% in cash.
HYPOTHETICAL ILLUSTRATION OF $10, 000 INVESTED IN
PANAGORA ASSET ALLOCATION FUND (UNAUDITED)
- - - PanAgora Asset Allocation Fund**
- - - S&P 500 Composite Stock price Index**
- - - Lehman Brothers Aggregate Bond Index**
$13,500 $12,528
$12,500 $11,600
$11,500 $11,225
$10,500
$9,500
May 1993 Aug 1993 Nov 1993 Feb 1994 May 1994 Aug 1994 Nov 1994 Feb 1995 May 1995
Note: The performance shown represents past performance and is not a guarantee
of future results. A portfolio's share price and investment return will
vary with market conditions and principal value of shares, when redeemed, may
be more or less than original cost.
S&P 500 Composite Stock Price Index is an index composed of 500 widely held
common stocks listed on the New York Stock Exchange, American Stock
Exchange and over-the-counter market.
Lehman Brothers Aggregate Bond Index is composed of the Lehman Government
Corporate Index and Mortgage Backed Securities Index and includes treasury
issues, agency issues, corporate bond issues and mortgage-backed securities.
** Assumes the reinvestment of all dividends and distributions.
PANAGORA GLOBAL FUND
MAY 31, 1995
CUMULATIVE TOTAL RETURN (UNAUDITED)
PanAgora Global Fund
One Year 9.67%*
Average Annual Since Inception (6/1/93) 9.18%*
* Total returns for the Fund reflect expenses waived and reimbursed, if
applicable, by the Advisor. Without such waivers and reimbursements, total
returns would be lower.
The PanAgora Global Fund's total return for the year ending May 31, 1995 was
9.67%, reflecting an average year for the world economy. Although U.S. equities
have prospered, some other large markets have remained in a recession. During
the first couple of months of 1995, interest rates declines in the U.S.,
combined with continuing U.S. government deficits, appear to have triggered
a substantial decline in the value of the dollar against other currencies.
The Fund lagged its benchmarks during this period because it had hedged a
considerable share of its foreign currency exposure back into the dollar. The
Fund was also underweighted in the U.S. markets, which have enjoyed a
substantial increase engendered by lower prevailing domestic interest rates. We
continue to view the dollar as undervalued and remain partly hedged in terms
of foreign currency exposure. Our fundamental valuation also indicates the
U.S. equity markets are relatively expensive, reflecting peak prosperity
within the economic cycle, with better buys to be found in some smaller
countries and in Japan. The Fund is currently overweighted in equities,
reflecting world-wide declines in bond yields.
HYPOTHETICAL ILLUSTRATION OF $10, 000 INVESTED IN
PANAGORA GLOBAL FUND (UNAUDITED)
- - - PanAgora Global Fund**
- - - Salomon Brothers World Government Bond Index**
- - - Morgan Stanley World Index Index**
$13,500 $12,395
$12,500 $12,099
$11,500 $11,919
$10,500
$9,500
May 1993 Aug 1993 Nov 1993 Feb 1994 May 1994 Aug 1994 Nov 1994 Feb 1995 May 1995
Note: The performance shown represents past performance and is not a guarantee
of future results. A portfolio's share price and investment return will vary
with market conditions and principal value of shares, when redeemed, may be more
or less than original cost.
Salomon World Government Bond Index is a weighted index of the world's major
bond markets.
Morgan Stanley Capital International World Index is an arithmetical average
weighted by market value of the performance of 1,468 securities listed on the
stock exchanges of the USA, Europe, Canada, Australia, New Zealand, and the Far
East.
** Assumes the reinvestment of all dividends and distributions.
PANAGORA INTERNATIONAL EQUITY FUND
MAY 31, 1995
CUMULATIVE TOTAL RETURN (UNAUDITED)
PanAgora International Equity Fund
One Year 5.09%*
Average Annual Since Inception (6/1/93) 7.58%*
* Total returns for the Fund reflect expenses waived and reimbursed, if
applicable, by the Advisor. Without such waivers and reimbursements, total
returns would be lower.
The PanAgora International Equity Fund's total return for the year ending May
31, 1995 was 5.09%. This modest return reflected continuing deep recession and
market declines in Japan, the largest of the world's equity markets outside
the U.S. The Fund's return slightly exceeded that of its benchmark over this
interval. Our value-oriented investment approach has particularly favored
countries with low interest rates and equity markets undervalued in relation
to assets. Consequently, we continue to favor Japan, Singapore and several
smaller European countries, while maintaining diversified positions in
other areas. About 10% of the Fund is invested in emerging markets, which are
down about 20% from their peak at the end of 1993.
HYPOTHETICAL ILLUSTRATION OF $10, 000 INVESTED IN
PANAGORA INTERNATIONAL EQUITY FUND (UNAUDITED)
- - - PanAgora International Equity Fund**
- - - MSCI EAFE-GDP Index**
- - - MSCI EAFE Index**
$13,500 $12,215
$12,500 $11,916
$11,500 $11,573
$10,500
$9,500
May 1993 Aug 1993 Nov 1993 Feb 1994 May 1994 Aug 1994 Nov 1994 Feb 1995 May 1995
Note: The performance shown represents past performance and is not a guarantee
of future results. A portfolio's share price and investment return will vary
with market conditions and principal value of shares, when redeemed, may be more
or less than original cost.
Morgan Stanley Capital International EAFE Index is a composite portfolio
consisting of equity total returns for the countries of Europe, Australia,
New Zealand and countries in the Far East, weighted based on each
country's aggregate market capitalization.
Morgan Stanley Capital International EAFE - GDP Index is a composite portfolio
consisting of equity total returns of Europe, Australia, New Zealand and
countries in the Far East, weighted based on each country's gross domestic
product.
** Assumes the reinvestment of all dividends and distributions.
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
May 31, 1995
<TABLE>
<CAPTION>
FACE/SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
AUTOMOTIVE
Ford Motor (a) . . . . . . . . . . . . . . . . . . . 2,400 $ 70,200
General Motors . . . . . . . . . . . . . . . . . . . 900 43,200
Goodyear Tire & Rubber . . . . . . . . . . . . . . . 700 29,575
Paccar Inc . . . . . . . . . . . . . . . . . . . . . 1,200 57,750
200,725 2.8%
BANKING
Amsouth Bancorp . . . . . . . . . . . . . . . . . . . 800 26,700
Bankers Trust . . . . . . . . . . . . . . . . . . . 600 37,650
Chase Manhattan Corp . . . . . . . . . . . . . . . . 600 27,750
Citicorp . . . . . . . . . . . . . . . . . . . . . . 600 32,100
First Union Corp . . . . . . . . . . . . . . . . . . 1,800 88,200
J P Morgan & Co Inc . . . . . . . . . . . . . . . . . 1,200 85,050
Norwest Corp . . . . . . . . . . . . . . . . . . . . 1,300 36,888
334,338 4.6%
CHEMICALS
Dow Chemical Co . . . . . . . . . . . . . . . . . . . 800 58,700
E I Dupont de Nemours & Co Inc . . . . . . . . . . . 600 40,725
Eastman Chemical Co . . . . . . . . . . . . . . . . . 400 24,000
FMC Corp * . . . . . . . . . . . . . . . . . . . . . . 1,200 77,250
Lubrizol Corp . . . . . . . . . . . . . . . . . . . . 900 31,388
PPG Industries . . . . . . . . . . . . . . . . . . . 1,500 62,438
Thiokol Corp . . . . . . . . . . . . . . . . . . . . 1,000 31,375
Union Carbide Corp . . . . . . . . . . . . . . . . . 1,400 40,950
366,826 5.0%
COMMUNICATION
Airtouch Communications Inc * . . . . . . . . . . . . 1,000 27,250
AT & T Corp . . . . . . . . . . . . . . . . . . . . . 900 45,675
DSC Communications * . . . . . . . . . . . . . . . . . 1,400 51,800
Frontier Corp (a) . . . . . . . . . . . . . . . . . . 1,300 29,575
ITT Corp . . . . . . . . . . . . . . . . . . . . . . 400 44,750
Kingworld Productions Inc* . . . . . . . . . . . . . 1,400 58,100
Nynex Corp . . . . . . . . . . . . . . . . . . . . . 2,000 83,500
SBC Communications . . . . . . . . . . . . . . . . . 900 40,500
Sprint Corp . . . . . . . . . . . . . . . . . . . . . 1,000 33,500
Viacom Inc Class B * . . . . . . . . . . . . . . . . . 1,600 74,588
489,238 6.7%
COMPUTER EQUIPMENT
Autodesk Inc . . . . . . . . . . . . . . . . . . . . 1,000 37,000
Computer Associates International Inc . . . . . . . . 500 32,750
Hewlett Packard Inc . . . . . . . . . . . . . . . . . 1,500 99,188
International Business Machines . . . . . . . . . . . 900 83,925
Lotus Development Corp * . . . . . . . . . . . . . . . 400 12,200
Oracle Systems Corp. . . . . . . . . . . . . . . . . . 1,650 57,338
Sun Microsystems Inc * . . . . . . . . . . . . . . . . 700 31,500
353,901 4.9%
CONSTRUCTION AND BUILDING
Fleetwood Enterprises Inc . . . . . . . . . . . . . . 1,100 22,825
Fluor Corp . . . . . . . . . . . . . . . . . . . . . 800 39,600
62,425 0.9%
CONSUMER GOODS
Champion International . . . . . . . . . . . . . . . 1,800 83,475
Gibson Greetings Inc (a). . . . . . . . . . . . . . . 1,600 17,200
Gillette Co . . . . . . . . . . . . . . . . . . . . . 700 59,063
Procter & Gamble Co . . . . . . . . . . . . . . . . . 500 35,938
Stride Rite Corp . . . . . . . . . . . . . . . . . . 1,800 20,250
215,926 3.0%
ELECTRONICS
Ameritech Corp . . . . . . . . . . . . . . . . . . . 2,200 97,625
Cisco Systems Inc * . . . . . . . . . . . . . . . . . 1,700 74,375
Intel Corp . . . . . . . . . . . . . . . . . . . . . 400 44,900
Texas Instruments . . . . . . . . . . . . . . . . . . 400 46,250
263,150 3.6%
FINANCIAL SERVICES
Asarco Inc . . . . . . . . . . . . . . . . . . . . . 1,200 34,650
Bear Stearns Inc . . . . . . . . . . . . . . . . . . 1,680 34,020
Beneficial Corp . . . . . . . . . . . . . . . . . . . 800 35,600
Federal National Mortgage Association . . . . . . . . 400 37,200
HF Ahmanson & Co . . . . . . . . . . . . . . . . . . 2,900 65,975
MBNA Corp . . . . . . . . . . . . . . . . . . . . . . 1,300 43,875
251,320 3.4%
FOOD AND BEVERAGE
Coca-Cola Co . . . . . . . . . . . . . . . . . . . . 1,400 86,625
Dole Food Co . . . . . . . . . . . . . . . . . . . . 1,100 32,450
Loral Corp . . . . . . . . . . . . . . . . . . . . . 1,000 47,875
Philip Morris Companies Inc . . . . . . . . . . . . . 500 36,438
Sbarro Inc . . . . . . . . . . . . . . . . . . . . . 2,000 46,000
Seagrams Co Ltd . . . . . . . . . . . . . . . . . . . 1,500 45,000
Wrigley Co . . . . . . . . . . . . . . . . . . . . . 900 40,725
335,113 4.6%
HEALTH CARE
Abbott Laboratories . . . . . . . . . . . . . . . . . 1,200 48,000
Baxter International Inc . . . . . . . . . . . . . . 1,000 34,875
Becton Dickinson & Co . . . . . . . . . . . . . . . . 600 34,500
Merck & Co Inc . . . . . . . . . . . . . . . . . . . 800 37,700
Nellcor Inc * (a). . . . . . . . . . . . . . . . . . . 900 39,150
Novacare Inc * . . . . . . . . . . . . . . . . . . . . 3,200 24,000
Pfizer Inc . . . . . . . . . . . . . . . . . . . . . 400 35,250
Schering-Plough Corp . . . . . . . . . . . . . . . . 1,000 78,750
Shared Medical . . . . . . . . . . . . . . . . . . . 1,700 56,738
United States Surgical Corp . . . . . . . . . . . . . 1,300 26,813
Upjohn Co . . . . . . . . . . . . . . . . . . . . . . 1,500 54,563
470,339 6.5%
INSURANCE
Aetna Life & Casualty . . . . . . . . . . . . . . . . 300 17,888
American International Group . . . . . . . . . . . . 500 56,875
Cigna Corp . . . . . . . . . . . . . . . . . . . . . 700 52,325
Unum Corp . . . . . . . . . . . . . . . . . . . . . . 700 29,925
157,013 2.2%
MACHINERY
Deere & Co . . . . . . . . . . . . . . . . . . . . . 400 34,600 0.5%
MANUFACTURING
General Electric . . . . . . . . . . . . . . . . . . 1,400 81,200
Raytheon Co . . . . . . . . . . . . . . . . . . . . . 1,000 77,500
Trinova Corp . . . . . . . . . . . . . . . . . . . . 1,200 40,800
199,500 2.7%
METALS AND MINING
Amerada Hess Corp . . . . . . . . . . . . . . . . . . 1,000 50,750
Crown Cork & Seal Inc * . . . . . . . . . . . . . . . 600 28,200
Dresser Industry Inc . . . . . . . . . . . . . . . . 1,100 25,163
Inco Ltd . . . . . . . . . . . . . . . . . . . . . . 1,300 32,500
Nucor Corp . . . . . . . . . . . . . . . . . . . . . 800 38,200
Oneok Inc . . . . . . . . . . . . . . . . . . . . . . 1,400 26,600
Phelps Dodge Corp . . . . . . . . . . . . . . . . . . 700 38,588
Williams Companies Inc . . . . . . . . . . . . . . . 1,200 40,800
280,801 3.8%
OIL AND GAS
Ashland Inc . . . . . . . . . . . . . . . . . . . . . 1,100 40,838
Chevron Corp . . . . . . . . . . . . . . . . . . . . 1,700 83,513
Exxon Corp . . . . . . . . . . . . . . . . . . . . . 600 42,825
Mobil Corp . . . . . . . . . . . . . . . . . . . . . 300 30,113
Panhandle Eastern Corp . . . . . . . . . . . . . . . 800 20,100
Royal Dutch Petroleum . . . . . . . . . . . . . . . . 1,100 139,425
Schlumberger Ltd . . . . . . . . . . . . . . . . . . 600 39,000
Tenneco Inc . . . . . . . . . . . . . . . . . . . . . 500 24,000
Unocal Corp . . . . . . . . . . . . . . . . . . . . . 800 23,700
USX-Marathon Group . . . . . . . . . . . . . . . . . 1,400 27,825
471,339 6.4%
PAPER AND ALLIED PRODUCTS
Boise Cascade Corp . . . . . . . . . . . . . . . . . 1,000 33,000
Georgia Pacific . . . . . . . . . . . . . . . . . . . 700 54,425
International Paper Co . . . . . . . . . . . . . . . 800 62,900
Potlatch Corp . . . . . . . . . . . . . . . . . . . . 600 25,725
Stone Container Corp * . . . . . . . . . . . . . . . . 1,100 19,250
195,300 2.6%
RETAIL STORES
Circuit City Stores Inc . . . . . . . . . . . . . . . 1,500 41,250
Claire's Stores Inc . . . . . . . . . . . . . . . . . 2,700 43,200
JC Penney . . . . . . . . . . . . . . . . . . . . . . 800 37,700
Jones Apparel Group Inc * . . . . . . . . . . . . . . 700 20,213
Lowe's Cos Inc . . . . . . . . . . . . . . . . . . . 2,300 62,675
Rite Aid Corp . . . . . . . . . . . . . . . . . . . . 1,200 28,500
Sears Roebuck . . . . . . . . . . . . . . . . . . . . 400 22,550
Toys R Us Inc * . . . . . . . . . . . . . . . . . . . 1,000 25,250
281,338 3.9%
TECHNOLOGY
Ceridian Corp * . . . . . . . . . . . . . . . . . . . 1,600 51,600
Entergy Corp . . . . . . . . . . . . . . . . . . . . 2,600 64,350
Silicon Graphics * (a) . . . . . . . . . . . . . . . . 700 27,213
143,163 2.0%
TELECOMMUNICATIONS
Andrew Corp . . . . . . . . . . . . . . . . . . . . . 750 36,563 0.5%
TRANSPORTATION
American President Ltd . . . . . . . . . . . . . . . 900 21,825
Conrail Inc . . . . . . . . . . . . . . . . . . . . . 900 48,600
70,425 1.0%
UTILITIES
DQE . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 29,400
Illinova Corp . . . . . . . . . . . . . . . . . . . . 1,300 32,175
Niagara Mohawk Corp . . . . . . . . . . . . . . . . . 4,100 60,475
Peco Energy Co . . . . . . . . . . . . . . . . . . . 2,400 67,500
Southern Co . . . . . . . . . . . . . . . . . . . . . 3,100 68,588
258,138 3.5%
WHOLESALE TRADE
Fleming Corp . . . . . . . . . . . . . . . . . . . . 1,700 43,988 0.6%
TOTAL COMMON STOCK (Cost $5,240,189) 5,515,469 75.7%
LONG TERM DEBT
U.S. GOVERNMENT OBLIGATIONS
US Treasury Note 7.88%, due 7/31/96 . . . . . . . $ 175,000 $ 178,883
US Treasury Note 8.75%, due 8/15/97 . . . . . . . 100,000 111,750
US Treasury Note 8.88%, due 11/15/97 . . . . . . . 200,000 213,312
US Treasury Note 6.38%, due 1/15/99 . . . . . . . 125,000 126,523
US Treasury Note 8.0%, due 5/15/01 . . . . . . . . 50,000 54,656
US Treasury Note 7.5%, due 5/15/02 . . . . . . . . 75,000 80,555
US Treasury Note 5.75%, due 8/15/03 (a) . . . . . . 25,000 24,125
US Treasury Bond 10.75%, due 8/15/05 . . . . . . . 90,000 118,997
US Treasury Bond 9.38%, due 2/15/06 . . . . . . . 30,000 36,919
US Treasury Bond 8.75%, due 5/15/17 . . . . . . . 25,000 30,578
US Treasury Bond 7.88%, due 2/15/21 . . . . . . . 125,000 141,211
TOTAL LONG TERM DEBT (Cost $1,077,762) 1,117,509 15.3%
SHORT-TERM INVESTMENTS
COMMERCIAL PAPER
Bank of Ireland, 6.17%, due 6/01/95 . . . . . . . 205,475 205,475 2.8%
U.S. GOVERNMENT OBLIGATIONS
US Treasury Bill, 5.6%, due 6/22/95 (b) . . . . . . 160,000 157,561 2.1%
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.64%,
dated 5/31/95, to be repurchased at $360,676 on
6/1/95, collateralized by a U.S. Treasury Bond
6.25% due 8/15/23, with an aggregate
market value of $368,088. $ 360,619 $ 360,619
Cantor Fitzgerald Repurchase Agreement 5.46%,
dated 5/31/95, to be repurchased at $44,133 on
6/1/95, collateralized by U.S. Treasury Obligations
with rates ranging from 5.34% to 7.25% and maturity
dates ranging from 3/07/96 to 05/15/16, with an
aggregate market value of $45,384. 44,127 44,127
404,746 5.6%
TOTAL SHORT-TERM INVESTMENTS ($767,782 ) 767,782 10.5%
TOTAL INVESTMENTS (Cost $7,085,733) 7,400,760 101.5%
Excess of Liabilities over Other Assets (111,588) -1.5%
NET ASSETS $ 7,289,172 100.0%
NOTES TO THE SCHEDULE OF INVESTMENTS
ADR American Depository Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
May 31, 1995
<TABLE>
<CAPTION>
FACE/SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
AUSTRIA
Austrian Airline . . . . . . . . . . . . . . . . . . 400 $ 70,381
Bank Austria AG . . . . . . . . . . . . . . . . . . 7,100 579,606
Bank Austria AG - Participating Certificate . . . . 1,000 35,029
Bank Austria AG - Preferred . . . . . . . . . . . . 1,000 45,901
BWT Stamm . . . . . . . . . . . . . . . . . . . . . 200 24,561
Constantia Iso Holding AG * . . . . . . . . . . . . . 333 26,313
Constantia Verpack. . . . . . . . . . . . . . . . . . 166 13,033
Creditanstalt-Bankverein . . . . . . . . . . . . . . 4,100 255,463
Creditanstalt-Bankverein - Preferred . . . . . . . . 2,200 133,756
EA-Generali AG . . . . . . . . . . . . . . . . . . . 1,000 300,971
EA-Generali AG - Preferred . . . . . . . . . . . . . 100 16,458
Lenzing AG . . . . . . . . . . . . . . . . . . . . . 500 44,542
OEMV AG . . . . . . . . . . . . . . . . . . . . . . 3,900 415,341
Oesterreichische Brau-Beteiligungs AG . . . . . . . 1,300 69,616
Oesterreichische Elektrizitaetswirschafts AG . . . . 4,400 312,245
Radex-Heraklith Industrial AG . . . . . . . . . . . 1,000 35,130
Steyr-Daimler-Puch AG * . . . . . . . . . . . . . . . 1,300 22,769
Strabag Oesterreich AG . . . . . . . . . . . . . . . 200 30,600
Universale Bau AG * . . . . . . . . . . . . . . . . . 400 16,105
Veitscher * . . . . . . . . . . . . . . . . . . . . . 1,800 44,210
Wienerberger Baustoffindustrie AG . . . . . . . . . 600 224,672
2,716,702 5.3%
BELGIUM
Bekert SA . . . . . . . . . . . . . . . . . . . . . 107 86,714
Cimenteries CBR, rights expires 2/12/96 * . . . . . . 146 1,364
Cimenteries CBR Cementbed . . . . . . . . . . . . . 180 71,385
Cimenteries CBR Cementbed - Preferred . . . . . . . . 36 14,246
Delhaize . . . . . . . . . . . . . . . . . . . . . . 2,461 114,913
Electrabel . . . . . . . . . . . . . . . . . . . . . 2,142 450,598
Electrabel- Preferred . . . . . . . . . . . . . . . 464 98,248
Fortis AG . . . . . . . . . . . . . . . . . . . . . 1,698 183,576
Generale de Banque SA . . . . . . . . . . . . . . . 717 225,504
Gervaert Photo-Product . . . . . . . . . . . . . . . 2,041 111,913
Glaverbel . . . . . . . . . . . . . . . . . . . . . 257 37,180
Groupe Bruxelles Lambert SA . . . . . . . . . . . . 1,128 151,321
Kredietbank . . . . . . . . . . . . . . . . . . . . 622 149,078
Kredietbank - NPV. . . . . . . . . . . . . . . . . . . 77 18,482
Petrofina SA . . . . . . . . . . . . . . . . . . . . 1,115 334,913
Reunies Electrobel & Tractebel - Preferred * . . . . 103 37,474
Reunies Electrobel & Tractebel * . . . . . . . . . . 554 200,604
Royal Belge . . . . . . . . . . . . . . . . . . . . 639 120,539
Royale Belg- Afv1 . . . . . . . . . . . . . . . . . . 128 24,101
Solvay & Cie SA . . . . . . . . . . . . . . . . . . 399 220,501
Union Miniere SA * . . . . . . . . . . . . . . . . . 1,324 91,090
2,743,744 5.3%
FINLAND
American Group Ltd - A Shares . . . . . . . . . . . 200 $ 4,225
Cultor OY Series 1 . . . . . . . . . . . . . . . . . 100 3,417
Cultor OY Series 2 . . . . . . . . . . . . . . . . . 100 3,394
Instrumentarium OY - A Shares . . . . . . . . . . . 100 2,078
Kansallis-Osake-Pankki . . . . . . . . . . . . . . . 25,320 26,776
Kesko OY . . . . . . . . . . . . . . . . . . . . . . 800 7,943
Kone Corp - B Shares . . . . . . . . . . . . . . . . 100 12,122
Kymmene OY . . . . . . . . . . . . . . . . . . . . . 700 19,557
Metra OY - A Shares . . . . . . . . . . . . . . . . 100 4,041
Metra OY - B Shares . . . . . . . . . . . . . . . . 100 4,018
Nokia AB . . . . . . . . . . . . . . . . . . . . . . 1,200 54,860
Nokia AB - Preferred . . . . . . . . . . . . . . . . 1,400 64,973
Outokumpo OY . . . . . . . . . . . . . . . . . . . . 1,100 17,626
Pohjola Insurance Co - A Shares . . . . . . . . . . 200 3,002
Pohjola Insurance Co - B Shares . . . . . . . . . . 200 2,725
Repola OY . . . . . . . . . . . . . . . . . . . . . 1,400 28,317
Sampo Insurance Co Ltd . . . . . . . . . . . . . . . 100 4,710
Stockmann AB - A Shares . . . . . . . . . . . . . . 100 4,918
Stockmann AB - B Shares . . . . . . . . . . . . . . 100 4,502
Unitas Bank Ltd * . . . . . . . . . . . . . . . . . . 4,300 13,404
286,608 0.6%
FRANCE
Accor SA . . . . . . . . . . . . . . . . . . . . . . 300 38,517
Air Liquide . . . . . . . . . . . . . . . . . . . . 700 109,906
Alcatel Alsthom . . . . . . . . . . . . . . . . . . 1,500 136,592
AXA SA . . . . . . . . . . . . . . . . . . . . . . . 1,700 90,045
Banque National de Paris . . . . . . . . . . . . . . 1,900 93,784
Bic . . . . . . . . . . . . . . . . . . . . . . . . 100 15,701
Bouygues . . . . . . . . . . . . . . . . . . . . . . 200 24,710
Carnaud Metalbox . . . . . . . . . . . . . . . . . . 800 35,054
Carrefour Supermarche . . . . . . . . . . . . . . . 300 148,322
Casino . . . . . . . . . . . . . . . . . . . . . . . 600 19,216
Casino - Preferred . . . . . . . . . . . . . . . . . 200 5,079
Charqeurs . . . . . . . . . . . . . . . . . . . . . 110 22,836
Cie Generale des Eaux . . . . . . . . . . . . . . . 1,200 133,024
Club Mediterrane . . . . . . . . . . . . . . . . . . 100 10,360
Compagnie Bancaire . . . . . . . . . . . . . . . . . 300 37,489
Compagnie de Saint Goban . . . . . . . . . . . . . . 800 100,131
Compagnie Financiere de Suez . . . . . . . . . . . . 1,600 81,878
Compagnie Financiere Paribas . . . . . . . . . . . . 1,200 77,033
Comptoirs Modernes . . . . . . . . . . . . . . . . . 100 31,180
CPR . . . . . . . . . . . . . . . . . . . . . . . . 100 7,014
Credit Foncier de France . . . . . . . . . . . . . . 100 $ 12,879
Credit National . . . . . . . . . . . . . . . . . . 100 8,288
Docks de France . . . . . . . . . . . . . . . . . . 100 15,902
Dollfus-Mieg & Cie . . . . . . . . . . . . . . . . . 100 5,916
Ecco SA . . . . . . . . . . . . . . . . . . . . . . 100 14,109
Eridania Beghin Say . . . . . . . . . . . . . . . . 300 45,591
Essilor International . . . . . . . . . . . . . . . 100 17,656
Financiere pour l'Expansion des Telecommunications . 100 1,538
Groupe Danone . . . . . . . . . . . . . . . . . . . 700 115,691
GTM Entrerpose SA . . . . . . . . . . . . . . . . . 100 9,070
Havas SA . . . . . . . . . . . . . . . . . . . . . . 500 40,734
Imetal . . . . . . . . . . . . . . . . . . . . . . . 100 11,428
Lafarge Coppee . . . . . . . . . . . . . . . . . . . 800 65,271
Lagardere Groupe . . . . . . . . . . . . . . . . . . 900 20,062
L'Oreal . . . . . . . . . . . . . . . . . . . . . . 600 157,936
LVMH Co . . . . . . . . . . . . . . . . . . . . . . 900 171,057
Lyonnaise des Eaux-Dumez . . . . . . . . . . . . . . 600 61,433
Michelin B French Registered . . . . . . . . . . . . 1,100 50,172
Moulinex * . . . . . . . . . . . . . . . . . . . . . 300 7,552
Nord-Est * . . . . . . . . . . . . . . . . . . . . . 100 2,902
Pernod-Ricard . . . . . . . . . . . . . . . . . . . 600 38,831
Peugeot SA * . . . . . . . . . . . . . . . . . . . . 500 75,481
Pinault Printemps Redoute SA * . . . . . . . . . . . 200 43,535
Promodes . . . . . . . . . . . . . . . . . . . . . . 200 46,357
Rhone-Polenc SA Class A . . . . . . . . . . . . . . 3,300 79,283
Saint Louis . . . . . . . . . . . . . . . . . . . . 100 30,535
Schnieder SA . . . . . . . . . . . . . . . . . . . . 600 47,163
SIMCO - Registered . . . . . . . . . . . . . . . . . 200 18,744
Societe Generale . . . . . . . . . . . . . . . . . . 900 105,754
Societe National Elf-Aquitaine . . . . . . . . . . . 6 485
Sodexho SA . . . . . . . . . . . . . . . . . . . . . 100 19,470
SOVAC SA . . . . . . . . . . . . . . . . . . . . . . 100 8,465
STE Francaise d'Investissements Immobiliers & de Gestion 200 13,762
Thomson CSF * . . . . . . . . . . . . . . . . . . . . 1,200 32,942
Total SA . . . . . . . . . . . . . . . . . . . . . . 2,300 142,594
Union du Credit Bail Immobilier . . . . . . . . . . 100 10,440
Union Immobiliere de France * . . . . . . . . . . . . 100 9,916
2,776,815 5.4%
GERMANY
Viag AG . . . . . . . . . . . . . . . . . . . . . . 100 38,009 0.1%
HONG KONG
Bank of East Asia Hong Kong . . . . . . . . . . . . 3,000 8,998
Cathay Pacific Airways Ltd . . . . . . . . . . . . . 9,000 13,090
Cheung Kong . . . . . . . . . . . . . . . . . . . . 7,000 34,479
China Light & Power Co . . . . . . . . . . . . . . . 5,800 31,717
Dairy Farm International Holdings . . . . . . . . . 20,000 $ 19,800
Hang Seng Bank . . . . . . . . . . . . . . . . . . . 6,000 46,540
Hong Kong Telecom . . . . . . . . . . . . . . . . . 34,000 71,866
Hong Kong & China Gas . . . . . . . . . . . . . . . 28,800 46,725
Hutchison Whampoa . . . . . . . . . . . . . . . . . 11,000 55,602
Jardine Matheson Holdings . . . . . . . . . . . . . 2,000 15,700
New World Development . . . . . . . . . . . . . . . 22,000 68,543
Sun Hung Kai Properties Ltd . . . . . . . . . . . . 7,600 55,020
Swire Pacific Ltd A . . . . . . . . . . . . . . . . 5,000 38,622
Wharf Holdings Ltd . . . . . . . . . . . . . . . . . 7,000 22,985
529,687 1.0%
IRELAND
Aran Energy Plc . . . . . . . . . . . . . . . . . . 2,600 1,751
Crean Plc . . . . . . . . . . . . . . . . . . . . . 6,000 21,911
CRH Plc . . . . . . . . . . . . . . . . . . . . . . 3,500 22,268
FII Fyffes Plc . . . . . . . . . . . . . . . . . . . 2,800 4,862
Greencore Plc . . . . . . . . . . . . . . . . . . . 800 5,778
Independent Newspapers . . . . . . . . . . . . . . . 1,200 5,619
Irish Life Plc . . . . . . . . . . . . . . . . . . . 3,000 9,933
Jefferson Smurfit Group Plc . . . . . . . . . . . . 5,300 30,279
Kerry Group Plc - A Shares . . . . . . . . . . . . . 1,599 10,173
Waterford Wedgewood . . . . . . . . . . . . . . . . 7,000 6,078
Woodchester Investments Plc . . . . . . . . . . . . 29,200 69,665
188,317 0.4%
ITALY
AEDES SPA . . . . . . . . . . . . . . . . . . . . . 300 1,846
Alitalia Italian . . . . . . . . . . . . . . . . . . 1,300 632
Alitalia Italian - Preferred * . . . . . . . . . . . 400 140
Andes - Non convertible . . . . . . . . . . . . . . 200 585
Assicurazione Generali Italian . . . . . . . . . . . 1,880 45,409
Banca Nazionale dell'Agricoltura SPA . . . . . . . . 600 559
Banca Nazionale dell'Agricoltura SPA - Non convertible 300 109
Banca Nazionale dell'Agricoltura SPA - Preferred * . 300 150
Banco Ambrosiano Veneto . . . . . . . . . . . . . . 800 2,791
Banco Ambrosiano Veneto- Non convertible . . . . . . 400 557
Bank Commerciale Italiana . . . . . . . . . . . . . 2,500 5,772
Benetton . . . . . . . . . . . . . . . . . . . . . . 300 2,908
Burgo SPA . . . . . . . . . . . . . . . . . . . . . 200 1,362
Cementir Cementerie del Tirreno SPA . . . . . . . . 400 328
Credito Italiano . . . . . . . . . . . . . . . . . . 3,600 4,099
Dalmine SPA * . . . . . . . . . . . . . . . . . . . . 1,900 434
Danieli & Co . . . . . . . . . . . . . . . . . . . . 100 685
Danieli & Co - Non convertible . . . . . . . . . . . 100 312
Edison SPA . . . . . . . . . . . . . . . . . . . . . 1,000 4,351
Falck, Acciaierie Ferriere * . . . . . . . . . . . . 100 158
Fiat SPA . . . . . . . . . . . . . . . . . . . . . . 5,300 20,884
Fiat SPA - Non convertible . . . . . . . . . . . . . 1,200 $ 2,850
Fiat SPA - Private Placement * . . . . . . . . . . . 1,500 3,668
FIDIS SPA . . . . . . . . . . . . . . . . . . . . . 600 1,434
Impreglio . . . . . . . . . . . . . . . . . . . . . 800 604
Istituto Banc San Paolo Torina . . . . . . . . . . . 1,200 6,770
Italcementi Fabbriche Riunite Cemento SPA . . . . . 300 1,972
Italcementi Fabbriche Riunite Cemento SPA-Non convertible 200 615
Italgas . . . . . . . . . . . . . . . . . . . . . . 1,100 2,934
Magnetti Marelli SPA . . . . . . . . . . . . . . . . 700 1,698
Marzotto & Figi SPA . . . . . . . . . . . . . . . . 100 666
Mediobanca Banca di Credito . . . . . . . . . . . . 800 6,038
Montedison SPA - Non Convertible * . . . . . . . . . 1,200 727
Montedison SPA * . . . . . . . . . . . . . . . . . . 8,700 6,196
Olivetti SPA - Non convertible * . . . . . . . . . . 100 74
Olivetti SPA * . . . . . . . . . . . . . . . . . . . 2,100 2,087
Parmalat Finanziaria SPA * . . . . . . . . . . . . . 1,900 1,815
Pirelli SPA . . . . . . . . . . . . . . . . . . . . 2,300 3,284
Pirelli SPA - Non Convertible * . . . . . . . . . . . 100 108
Previdente Italiana . . . . . . . . . . . . . . . . 100 733
Rinascente per l'Esercizio di Grandi Magazzini SPA . 300 1,693
Rinascente per l'Esercizio di Grandi Magazzini SPA -
Non convertible. . . . . . . . . . . . . . . . . . . . 100 280
Rinascente per l'Esercizio di Grandi Magazzini SPA -
Private Placement. . . . . . . . . . . . . . . . . . . 100 251
R.A.S. SPA . . . . . . . . . . . . . . . . . . . . . 400 4,366
R.A.S. SPA - Non convertible . . . . . . . . . . . . 200 1,301
Saffa SPA Class A * . . . . . . . . . . . . . . . . . 100 337
SAI Sta Assicuratrice Industriale SPA . . . . . . . 200 2,233
SAI Sta Assicuratrice Industriale SPA - Non-Convertible 100 485
Saipem SPA . . . . . . . . . . . . . . . . . . . . . 600 1,215
Sasib SPA . . . . . . . . . . . . . . . . . . . . . 100 448
Sasib SPA - Non convertible . . . . . . . . . . . . 100 250
SIP - Non convertible * . . . . . . . . . . . . . . . 2,600 5,295
Sirti SPA . . . . . . . . . . . . . . . . . . . . . 400 3,060
SME Meridonale Finanziacia SPA . . . . . . . . . . . 13,200 31,555
Snia BPD - Non convertible . . . . . . . . . . . . . 100 68
Snia BPD SPA . . . . . . . . . . . . . . . . . . . . 1,100 1,303
Snia BPD SPA - convertible . . . . . . . . . . . . . 200 236
Societa Metallurgica * . . . . . . . . . . . . . . . 400 141
Telicom Italia SPA . . . . . . . . . . . . . . . . . 10,900 28,513
221,374 0.4%
JAPAN
Amada Co Ltd . . . . . . . . . . . . . . . . . . . . 1,000 9,926
Aoki Corp . . . . . . . . . . . . . . . . . . . . . 19,000 81,501
Asahi Breweries Ltd . . . . . . . . . . . . . . . . 2,000 24,106
Asahi Chemical Industry Co Ltd . . . . . . . . . . . 7,000 49,134
Ashikaga Bank . . . . . . . . . . . . . . . . . . . 3,000 22,688
Asics Corp . . . . . . . . . . . . . . . . . . . . . 27,000 87,739
Bridgestone Corp . . . . . . . . . . . . . . . . . . 4,000 $ 58,612
Canon Inc . . . . . . . . . . . . . . . . . . . . . 4,000 62,393
Canon Sales Co Inc . . . . . . . . . . . . . . . . . 4,000 104,461
Chiba Bank . . . . . . . . . . . . . . . . . . . . . 4,000 40,177
Chichibu Onoda Cement Corp . . . . . . . . . . . . . 3,000 14,996
Chiyoda Corp . . . . . . . . . . . . . . . . . . . . 1,000 9,229
Chugai Pharmaceutical Co Ltd . . . . . . . . . . . . 1,000 9,773
Citizen Watch Co Ltd . . . . . . . . . . . . . . . . 1,000 6,747
Credit Saison . . . . . . . . . . . . . . . . . . . 1,000 21,507
Dai Nippon Printing Co Ltd . . . . . . . . . . . . . 4,000 61,448
Dai Nippon Screen . . . . . . . . . . . . . . . . . 1,000 5,968
Daido Steel Co . . . . . . . . . . . . . . . . . . . 2,000 10,139
Daifuku . . . . . . . . . . . . . . . . . . . . . . 1,000 12,408
Daiichi Kangyo Bank Ltd . . . . . . . . . . . . . . 15,000 283,604
Daikin Industries Ltd . . . . . . . . . . . . . . . 1,000 7,976
Daikyo Inc . . . . . . . . . . . . . . . . . . . . . 1,000 6,795
Dainippon Ink & Chemical Inc . . . . . . . . . . . . 4,000 19,096
Daito Trust Construction . . . . . . . . . . . . . . 1,000 9,335
Daiwa House Industry . . . . . . . . . . . . . . . . 2,000 31,196
Daiwa Kosho Lease Co Ltd . . . . . . . . . . . . . . 1,000 9,335
Daiwa Securities . . . . . . . . . . . . . . . . . . 6,000 66,505
Denki Kagaku Kog * . . . . . . . . . . . . . . . . . 2,000 7,775
Ezaki Glico . . . . . . . . . . . . . . . . . . . . 1,000 9,536
Fanuc Co . . . . . . . . . . . . . . . . . . . . . . 1,000 43,368
Fuji Bank . . . . . . . . . . . . . . . . . . . . . 7,000 160,473
Fuji Photo Film . . . . . . . . . . . . . . . . . . 4,000 95,953
Fujikura Ltd . . . . . . . . . . . . . . . . . . . . 2,000 12,242
Fujita Corp . . . . . . . . . . . . . . . . . . . . 28,000 137,312
Fujitsu Ltd . . . . . . . . . . . . . . . . . . . . 14,000 134,002
Furkukawa Electric . . . . . . . . . . . . . . . . . 3,000 15,208
Gunze Ltd . . . . . . . . . . . . . . . . . . . . . 1,000 6,440
Haseko Corp . . . . . . . . . . . . . . . . . . . . 2,000 11,226
Hazama-Gumi . . . . . . . . . . . . . . . . . . . . 2,000 8,981
Higo Bank . . . . . . . . . . . . . . . . . . . . . 1,000 9,749
Hitachi Ltd . . . . . . . . . . . . . . . . . . . . 33,000 318,595
Hokkaido Bank . . . . . . . . . . . . . . . . . . . 42,000 167,257
Hokkaido Takushoku Bank . . . . . . . . . . . . . . 44,000 138,305
Hokuriku Bank . . . . . . . . . . . . . . . . . . . 3,000 21,979
Honda Motor Co Ltd . . . . . . . . . . . . . . . . . 5,000 73,855
House Food Industry . . . . . . . . . . . . . . . . 1,000 20,443
Hoya Corp . . . . . . . . . . . . . . . . . . . . . 1,000 28,479
Hyogo Bank * . . . . . . . . . . . . . . . . . . . . 59,000 131,771
Inax . . . . . . . . . . . . . . . . . . . . . . . . 1,000 10,411
Industrial Bank of Japan . . . . . . . . . . . . . . 6,000 174,416
Ishihara Sangyo Kaisha * . . . . . . . . . . . . . . 2,000 6,641
Itochu Corp . . . . . . . . . . . . . . . . . . . . 7,000 42,930
Iwatani International Corp . . . . . . . . . . . . . 1,040 $ 5,530
Jaccs . . . . . . . . . . . . . . . . . . . . . . . 1,000 10,340
Japan Steel Works * . . . . . . . . . . . . . . . . . 2,000 5,081
JGC Engineering & Construction . . . . . . . . . . . 100 1,146
Joyo Bank . . . . . . . . . . . . . . . . . . . . . 4,000 35,450
Kandenko . . . . . . . . . . . . . . . . . . . . . . 1,100 16,378
Kaneka Corp . . . . . . . . . . . . . . . . . . . . 2,000 14,086
Kansai Electric Power . . . . . . . . . . . . . . . 5,000 131,758
Kansai Paint . . . . . . . . . . . . . . . . . . . . 1,000 5,259
Kao Corp . . . . . . . . . . . . . . . . . . . . . . 3,000 36,160
Kawasaki Steel * . . . . . . . . . . . . . . . . . . 15,000 56,544
Kikkoman Corp . . . . . . . . . . . . . . . . . . . 1,000 7,563
Kirin Brewery Co Ltd . . . . . . . . . . . . . . . . 5,000 57,607
Kobe Steel Ltd . . . . . . . . . . . . . . . . . . . 13,000 36,408
Kokuyo Co Ltd . . . . . . . . . . . . . . . . . . . 1,000 24,461
Komatsu Ltd . . . . . . . . . . . . . . . . . . . . 24,000 186,895
Konica Corp . . . . . . . . . . . . . . . . . . . . 2,000 15,551
Koyo Seiko Co Ltd . . . . . . . . . . . . . . . . . 1,000 8,827
Kumagai Gumi Co . . . . . . . . . . . . . . . . . . 3,000 14,180
Kurabo Industries . . . . . . . . . . . . . . . . . 1,000 3,805
Kuraray Co . . . . . . . . . . . . . . . . . . . . . 1,000 11,072
Kureha Chemical Industry . . . . . . . . . . . . . . 1,000 4,384
Lion Corp . . . . . . . . . . . . . . . . . . . . . 1,050 6,402
Long Term Credit Bank of Japan . . . . . . . . . . . 10,000 91,344
Makita Corp . . . . . . . . . . . . . . . . . . . . 1,000 15,480
Marubeni Corp . . . . . . . . . . . . . . . . . . . 7,000 37,306
Marudai Food Co Ltd . . . . . . . . . . . . . . . . 6,000 42,399
Marui Co . . . . . . . . . . . . . . . . . . . . . . 3,000 44,668
Matsushita Electric Industries . . . . . . . . . . . 10,000 154,801
Mazda Motors * . . . . . . . . . . . . . . . . . . . 11,000 39,515
Meiji Seika . . . . . . . . . . . . . . . . . . . . 2,000 12,668
Minebea Co Ltd . . . . . . . . . . . . . . . . . . . 2,000 12,999
Misawa Homes . . . . . . . . . . . . . . . . . . . . 1,000 9,217
Mitsubishi Corp . . . . . . . . . . . . . . . . . . 7,000 80,071
Mitsubishi Electric . . . . . . . . . . . . . . . . 29,000 200,474
Mitsubishi Estate Co Ltd . . . . . . . . . . . . . . 6,000 67,285
Mitsubishi Gas Chemical Co . . . . . . . . . . . . . 2,000 8,650
Mitsubishi Heavy Industries . . . . . . . . . . . . 16,000 109,850
Mitsubishi Materials Corp . . . . . . . . . . . . . 18,000 87,208
Mitsubishi Oil Co . . . . . . . . . . . . . . . . . 2,000 19,474
Mitsubishi Paper . . . . . . . . . . . . . . . . . . 2,000 11,864
Mitsubishi Steel Manufacturing * . . . . . . . . . . 1,000 5,164
Mitsubishi Trust & Banking Corp . . . . . . . . . . 6,000 97,135
Mitsubishi Warehouse Transportation . . . . . . . . 1,000 15,716
Mitsui Engineering & Shipbuilding Co * . . . . . . . 4,000 9,548
Mitsui Fudosan . . . . . . . . . . . . . . . . . . . 4,000 44,857
Mitsui Marine & Fire Insurance . . . . . . . . . . . 3,000 20,951
Mitsui Trust & Banking . . . . . . . . . . . . . . . 6,000 $ 58,919
Mitsui Warehouse . . . . . . . . . . . . . . . . . . 1,000 7,386
Mitsukoshi . . . . . . . . . . . . . . . . . . . . . 2,000 16,591
Mochida Pharmaceutical . . . . . . . . . . . . . . . 200 3,143
Nagase & Co . . . . . . . . . . . . . . . . . . . . 1,000 9,513
Nagoya Railroad Co Ltd . . . . . . . . . . . . . . . 4,000 21,176
NEC Corp . . . . . . . . . . . . . . . . . . . . . . 7,000 74,446
NGK Insulators Ltd . . . . . . . . . . . . . . . . . 2,000 18,600
Nichido Fire & Marine Insurance . . . . . . . . . . 2,000 16,260
Nichii Co . . . . . . . . . . . . . . . . . . . . . 12,000 136,838
Nichirei Corp . . . . . . . . . . . . . . . . . . . 1,000 6,665
Nihon Cement Co Ltd . . . . . . . . . . . . . . . . 2,000 14,653
Nippon Beet Sugar Manufacturing . . . . . . . . . . 1,000 4,219
Nippon Credit Bank Ltd . . . . . . . . . . . . . . . 18,000 99,333
Nippon Fire & Marine Insurance . . . . . . . . . . . 3,000 18,966
Nippon Light Metal Co . . . . . . . . . . . . . . . 3,000 16,484
Nippon Meat Packers Inc . . . . . . . . . . . . . . 1,000 14,653
Nippon Oil Co . . . . . . . . . . . . . . . . . . . 13,000 84,491
Nippon Paper Industries Co . . . . . . . . . . . . . 5,000 37,223
Nippon Sharyo Ltd . . . . . . . . . . . . . . . . . 1,000 8,745
Nippon Sheet Glass . . . . . . . . . . . . . . . . . 8,000 39,894
Nippon Shinpan Co . . . . . . . . . . . . . . . . . 1,000 6,617
Nippon Shokubai Co . . . . . . . . . . . . . . . . . 1,000 9,217
Nippon Steel Corp . . . . . . . . . . . . . . . . . 33,000 118,546
Nippon Suisan * . . . . . . . . . . . . . . . . . . . 1,000 4,762
Nippon Yusen Kabushiki Kaish . . . . . . . . . . . . 6,000 35,734
Nippon Denso . . . . . . . . . . . . . . . . . . . . 4,000 72,319
Nissan Motors . . . . . . . . . . . . . . . . . . . 12,000 77,566
Nisshinbo Industries Inc . . . . . . . . . . . . . . 1,000 9,016
Nissin Food Products . . . . . . . . . . . . . . . . 1,000 24,461
Nitto Denko Corp . . . . . . . . . . . . . . . . . . 1,000 15,480
NKK Corp * . . . . . . . . . . . . . . . . . . . . . 17,000 42,789
NOF Co . . . . . . . . . . . . . . . . . . . . . . . 1,000 5,838
Nomura Securities Co Ltd . . . . . . . . . . . . . . 9,000 161,654
Noritake Co Ltd . . . . . . . . . . . . . . . . . . 1,000 7,256
NSK Ltd . . . . . . . . . . . . . . . . . . . . . . 3,000 17,725
Ohbayashi-Gumi Corp . . . . . . . . . . . . . . . . 4,000 30,488
Okamoto Industries Inc . . . . . . . . . . . . . . . 1,000 5,908
Okumura . . . . . . . . . . . . . . . . . . . . . . 1,000 8,874
Olympus Optical . . . . . . . . . . . . . . . . . . 1,000 8,863
Orient Corp . . . . . . . . . . . . . . . . . . . . 2,000 10,871
Osaka Gas Co Ltd . . . . . . . . . . . . . . . . . . 12,000 44,668
Pioneer Electric Corp . . . . . . . . . . . . . . . 1,000 17,371
Renown Inc * . . . . . . . . . . . . . . . . . . . . 1,000 3,604
Ricoh Corp Ltd . . . . . . . . . . . . . . . . . . . 3,000 24,107
Royal Co Ltd . . . . . . . . . . . . . . . . . . . . 10,000 151,256
Sagami Railway . . . . . . . . . . . . . . . . . . . 2,000 $ 9,666
Sakura Bank . . . . . . . . . . . . . . . . . . . . 16,000 190,960
Sanden . . . . . . . . . . . . . . . . . . . . . . . 1,000 5,719
Sankyo Aluminum Industry Co . . . . . . . . . . . . 1,000 5,022
Sanyo Electric Co Ltd . . . . . . . . . . . . . . . 9,000 46,157
Secom Co Ltd . . . . . . . . . . . . . . . . . . . . 1,000 63,102
Seino Transportation Co Ltd . . . . . . . . . . . . 1,000 18,080
Sekisui House Ltd . . . . . . . . . . . . . . . . . 10,000 126,440
Settsu Corp * . . . . . . . . . . . . . . . . . . . . 23,000 90,505
Seven-Eleven Japan Ltd . . . . . . . . . . . . . . . 110 8,124
Sharp Corp . . . . . . . . . . . . . . . . . . . . . 5,000 70,901
Shimano Industrial . . . . . . . . . . . . . . . . . 1,000 18,434
Shin-Etsu Chemical Co . . . . . . . . . . . . . . . 2,000 35,923
Shionogi & Co Ltd . . . . . . . . . . . . . . . . . 2,000 18,789
Shiseido Co . . . . . . . . . . . . . . . . . . . . 15,000 182,570
Shizuoka Bank . . . . . . . . . . . . . . . . . . . 4,000 56,248
Shokusan Jutaku Sogo * . . . . . . . . . . . . . . . 1,000 3,770
Snow Brand Milk Product Co Ltd . . . . . . . . . . . 2,000 15,126
Sony Corp . . . . . . . . . . . . . . . . . . . . . 2,000 96,425
Sumitomo Bank . . . . . . . . . . . . . . . . . . . 15,000 311,964
Sumitomo Corp . . . . . . . . . . . . . . . . . . . 16,000 145,205
Sumitomo Heavy Industries * . . . . . . . . . . . . . 3,000 9,962
Sumitomo Metal Industries * . . . . . . . . . . . . . 15,000 44,490
Sumitomo Metal Mining . . . . . . . . . . . . . . . 3,000 23,681
Sumitomo Osaka Cement Co Ltd . . . . . . . . . . . . 2,000 8,319
Taisho Pharmaceutical Co Ltd . . . . . . . . . . . . 2,000 37,578
Taiyo Yuden Co Ltd . . . . . . . . . . . . . . . . . 1,000 9,914
Takara Standard Co Ltd . . . . . . . . . . . . . . . 1,000 11,663
Takeda Chemical Industries Ltd . . . . . . . . . . . 4,000 53,412
Teijin Limited . . . . . . . . . . . . . . . . . . . 5,000 25,347
Teikoku Oil Co . . . . . . . . . . . . . . . . . . . 1,000 6,724
Toa Corp . . . . . . . . . . . . . . . . . . . . . . 1,000 6,889
Tobu Railway Co Ltd . . . . . . . . . . . . . . . . 4,000 25,052
Tokai Bank . . . . . . . . . . . . . . . . . . . . . 14,000 175,361
Tokio Marine & Fire Insurance . . . . . . . . . . . 7,000 80,236
Tokyo Dome Corp . . . . . . . . . . . . . . . . . . 1,000 17,134
Tokyo Electric Power Co Inc . . . . . . . . . . . . 6,000 190,015
Tokyo Tatemono Co Ltd . . . . . . . . . . . . . . . 1,000 5,058
Tokyotokeiba . . . . . . . . . . . . . . . . . . . . 1,000 4,443
Toppan Printing Co . . . . . . . . . . . . . . . . . 3,000 40,768
Toray Industries Inc . . . . . . . . . . . . . . . . 7,000 45,329
Toyo Engineering . . . . . . . . . . . . . . . . . . 1,000 5,897
Toyo Kanetsu . . . . . . . . . . . . . . . . . . . . 1,000 5,223
Toyo Seikan . . . . . . . . . . . . . . . . . . . . 1,000 33,087
Toyobo Co Ltd . . . . . . . . . . . . . . . . . . . 3,000 11,096
Toyoda Automatic Loom Works . . . . . . . . . . . . 1,000 17,607
Toyota Motor Co . . . . . . . . . . . . . . . . . . 18,000 348,833
Ube Industries Ltd * . . . . . . . . . . . . . . . . 4,000 15,126
Yamaguchi Bank . . . . . . . . . . . . . . . . . . . 1,000 20,089
Yamaichi Securities . . . . . . . . . . . . . . . . 6,000 $ 36,230
Yamato Transport Co Ltd . . . . . . . . . . . . . . 1,200 13,414
Yamazaki Baking Co . . . . . . . . . . . . . . . . . 1,000 19,971
Yasuda Trust & Banking . . . . . . . . . . . . . . . 5,000 37,046
Yokogawa Electric . . . . . . . . . . . . . . . . . 1,000 8,343
Yokohama Bank . . . . . . . . . . . . . . . . . . . 5,000 46,381
9,429,708 18.4%
NETHERLANDS
ABN Amro Holdings . . . . . . . . . . . . . . . . . 500 18,903
Akzo . . . . . . . . . . . . . . . . . . . . . . . . 100 12,170
Elsevier . . . . . . . . . . . . . . . . . . . . . . 8,100 93,710
Heineken NV . . . . . . . . . . . . . . . . . . . . 125 17,780
International Nederlanden Group . . . . . . . . . . 500 27,089
KLM Royal Dutch . . . . . . . . . . . . . . . . . . 100 3,129
Koninklijke . . . . . . . . . . . . . . . . . . . . 200 6,259
Koninklijke Ahold NV . . . . . . . . . . . . . . . . 200 6,891
Koninklijke Nederlandsche . . . . . . . . . . . . . 100 4,046
Philips Gloeilampenfabrieken . . . . . . . . . . . . 600 23,897
Royal Dutch Petroleum . . . . . . . . . . . . . . . 4,700 595,725
Royal Dutch Petroleum ADR . . . . . . . . . . . . . 900 112,543
Royal Nederland . . . . . . . . . . . . . . . . . . 800 28,929
Stad Rotterdam . . . . . . . . . . . . . . . . . . . 500 12,707
Unilever NV . . . . . . . . . . . . . . . . . . . . 300 37,742
Wolters Kluwer NV . . . . . . . . . . . . . . . . . 100 8,377
1,009,897 2.0%
NEW ZEALAND
Fletcher Forestry Shares . . . . . . . . . . . . . . 25,000 34,063 0.1%
NORWAY
Aker - A Shares . . . . . . . . . . . . . . . . . . 1,900 25,878
Aker - B Shares . . . . . . . . . . . . . . . . . . 1,300 16,567
Bergesen - A Shares . . . . . . . . . . . . . . . . 800 16,185
Bergesen - B Shares . . . . . . . . . . . . . . . . 400 8,029
Dyno Industrier AS . . . . . . . . . . . . . . . . . 500 12,425
Elkem AS Series A . . . . . . . . . . . . . . . . . 300 3,752
Hafslund Nycomed Series A . . . . . . . . . . . . . 400 8,538
Hafslund Nycomed Series B . . . . . . . . . . . . . 800 16,695
Kvaerner . . . . . . . . . . . . . . . . . . . . . . 200 8,761
Kvaerner - B Shares . . . . . . . . . . . . . . . . 200 8,379
Leif Hoegh & Co AS . . . . . . . . . . . . . . . . . 600 7,981
Norsk Hydro AS . . . . . . . . . . . . . . . . . . . 4,800 196,894
Orkla AS A Aksjer . . . . . . . . . . . . . . . . . 300 12,617
Orkla AS B Aksjer . . . . . . . . . . . . . . . . . 200 7,901
Skogindustrier AS, Norske - A Shares . . . . . . . . 200 6,691
Skogindustrier AS, Norske - B Shares . . . . . . . . 100 3,186
Unitor AS . . . . . . . . . . . . . . . . . . . . . 400 5,894
366,373 0.7%
SINGAPORE
Amcol Holdings. . . . . . . . . . . . . . . . . . . . 11,000 $ 23,532
Chuan Hup Holdings . . . . . . . . . . . . . . . . . 9,000 7,689
City Developments . . . . . . . . . . . . . . . . . 30,000 200,286
Cycle & Carriage Ltd . . . . . . . . . . . . . . . . 9,000 89,807
DBS Land . . . . . . . . . . . . . . . . . . . . . . 31,000 103,704
Development Bank of Singapore . . . . . . . . . . . 26,000 304,236
First Capital Corp . . . . . . . . . . . . . . . . . 8,000 24,465
Fraser & Neave Ltd . . . . . . . . . . . . . . . . . 9,000 107,897
Genting Berhad . . . . . . . . . . . . . . . . . . . 22,500 236,630
Hai Sun Hup . . . . . . . . . . . . . . . . . . . . 8,000 4,537
Hai Sun Hup - Preferred . . . . . . . . . . . . . . 8,000 1,666
Haw Par Brothers International . . . . . . . . . . . 7,000 14,724
Hotel Properties . . . . . . . . . . . . . . . . . . 15,000 28,859
Inchcape Berhad . . . . . . . . . . . . . . . . . . 6,000 20,072
Jurong Shipyard . . . . . . . . . . . . . . . . . . 4,000 33,022
Keppel Corp Ltd . . . . . . . . . . . . . . . . . . 19,000 173,223
Lum Chang Holdings Ltd . . . . . . . . . . . . . . . 13,000 11,292
Metro Holdings . . . . . . . . . . . . . . . . . . . 3,000 13,137
National Iron & Steel Mills . . . . . . . . . . . . 13,000 27,717
Neptune Orient Lines . . . . . . . . . . . . . . . . 27,000 32,951
Overseas Chinese Banking Corp . . . . . . . . . . . 34,501 423,524
Overseas Union Enterprises . . . . . . . . . . . . . 5,000 30,330
Parkway Holdings . . . . . . . . . . . . . . . . . . 11,000 27,954
Prima . . . . . . . . . . . . . . . . . . . . . . . 1,000 3,661
Robinson & Co . . . . . . . . . . . . . . . . . . . 2,000 9,332
Shangri-La Hotel . . . . . . . . . . . . . . . . . . 6,000 23,690
Sime Darby Berhad . . . . . . . . . . . . . . . . . 8,000 22,857
Singapore Airlines Ltd - Foreign . . . . . . . . . . 51,000 486,933
Singapore Press Holdings . . . . . . . . . . . . . . 700 7,839
Singapore Press Holdings Ltd . . . . . . . . . . . . 10,700 199,713
Straits Steamship Land . . . . . . . . . . . . . . . 20,000 69,778
Straits Trading Co Ltd . . . . . . . . . . . . . . . 12,000 30,667
United Industrial Corp . . . . . . . . . . . . . . . 53,000 55,168
United Overseas Bank . . . . . . . . . . . . . . . . 300 2,994
United Overseas Land Ltd . . . . . . . . . . . . . . 20,000 42,642
2,896,528 5.5%
SPAIN
Acerinox SA . . . . . . . . . . . . . . . . . . . . 300 36,292
Alba Corp Finance * . . . . . . . . . . . . . . . . . 600 30,386
Argentaria SA . . . . . . . . . . . . . . . . . . . 4,000 140,658
Autopistas Concesionaria . . . . . . . . . . . . . . 6,500 61,058
Banco Bilbao Vizcaya . . . . . . . . . . . . . . . . 7,400 214,278
Banco Central Hispano . . . . . . . . . . . . . . . 5,200 118,930
Banco de Santander . . . . . . . . . . . . . . . . . 5,100 192,877
Banco Espanol de Credito * . . . . . . . . . . . . . 3,100 21,473
Corporacion Mapfre . . . . . . . . . . . . . . . . . 800 37,835
Cros SA . . . . . . . . . . . . . . . . . . . . . . 2,700 3,264
Dragados y Construcciones . . . . . . . . . . . . . 1,900 29,177
Ebro Agricolas . . . . . . . . . . . . . . . . . . . 1,500 $ 15,928
El Aguila . . . . . . . . . . . . . . . . . . . . . 800 6,391
Empresa Nacional de Celulosa * . . . . . . . . . . . 600 15,732
Empresa Nacional de Electricidad . . . . . . . . . . 8,300 397,288
Fabricacion de Automoviles Renault de Espana . . . . 700 20,927
Fomento Const y Contra . . . . . . . . . . . . . . . 500 50,031
Gas Natural SDG SA . . . . . . . . . . . . . . . . . 1,200 132,228
Iberdrola SA . . . . . . . . . . . . . . . . . . . . 29,300 205,346
Inmobiliaria Metropolitana Vasco Central . . . . . . 700 21,213
Portland Valderrivas SA . . . . . . . . . . . . . . 200 15,993
Prosegur Compania Securidad . . . . . . . . . . . . 400 9,573
Repsol SA . . . . . . . . . . . . . . . . . . . . . 9,600 310,524
Sarrio SA * . . . . . . . . . . . . . . . . . . . . . 1,700 8,748
Sociedad Espanola de Carburos . . . . . . . . . . . 400 16,042
Tabacalera SA . . . . . . . . . . . . . . . . . . . 1,200 40,923
Telefonica de Espana SA . . . . . . . . . . . . . . 30,000 394,527
Union Electrica Fenosa SA . . . . . . . . . . . . . 9,300 41,552
Uralita SA * . . . . . . . . . . . . . . . . . . . . 1,700 20,413
Vallehermoso SA . . . . . . . . . . . . . . . . . . 1,400 24,472
Viscofan Envolturas . . . . . . . . . . . . . . . . 700 10,664
Zardoya Otis . . . . . . . . . . . . . . . . . . . . 300 34,062
2,678,805 5.2%
SWEDEN
AGA AB Class A . . . . . . . . . . . . . . . . . . . 200 2,372
AGA AB Class B . . . . . . . . . . . . . . . . . . . 200 2,344
Asea A Free . . . . . . . . . . . . . . . . . . . . 100 8,450
Assa Abloy AB B * . . . . . . . . . . . . . . . . . . 1,200 5,495
Astra AB A . . . . . . . . . . . . . . . . . . . . . 900 26,373
Astra AB B . . . . . . . . . . . . . . . . . . . . . 200 5,738
Atlas Copco AB A . . . . . . . . . . . . . . . . . . 200 2,917
Atlas Copco AB B . . . . . . . . . . . . . . . . . . 2,200 32,084
Electrolux . . . . . . . . . . . . . . . . . . . . . 100 4,620
Ericsson AB B . . . . . . . . . . . . . . . . . . . 400 28,622
Frigoscandia AB A . . . . . . . . . . . . . . . . . 100 382
Frigoscandia AB B . . . . . . . . . . . . . . . . . 100 383
Hennes & Mauritz . . . . . . . . . . . . . . . . . . 100 5,793
Skandia Forsakrings AB . . . . . . . . . . . . . . . 200 3,844
Skandinaviska Enskilda Banken . . . . . . . . . . . 900 4,992
Skanska AB Series B . . . . . . . . . . . . . . . . 200 4,525
Skanska AB Series B - Rights * . . . . . . . . . . . 200 0
Stora Kopparbergs Bergslags AB . . . . . . . . . . . 100 6,270
Svenska Cellulosa AB . . . . . . . . . . . . . . . . 300 5,438
Svenska Handelsbanken Series A . . . . . . . . . . . 400 5,861
Trelleborg AB Series B . . . . . . . . . . . . . . . 200 2,344
Volvo AB Class A . . . . . . . . . . . . . . . . . . 12,900 227,689
Volvo AB Class B . . . . . . . . . . . . . . . . . . 500 8,791
395,327 0.8%
SWITZERLAND
Adia New - Bearer * . . . . . . . . . . . . . . . . . 54 $ 10,499
Alusuisse-Lonza Holdings . . . . . . . . . . . . . . 32 18,857
Alusuisse-Lonza Holdings - Preferred . . . . . . . . 16 9,415
BBC Brown Boveri & Cie - Bearer . . . . . . . . . . 61 62,228
BBC Brown Boveri & Cie - Registered . . . . . . . . 42 8,418
Ciba-Geigy AG - Registered . . . . . . . . . . . . . 190 134,749
Ciba-Geigy AG- Class B . . . . . . . . . . . . . . . 29 20,617
CS Holdings . . . . . . . . . . . . . . . . . . . . 188 87,760
CS Holdings - Registered . . . . . . . . . . . . . . 387 36,297
Danzas Holding . . . . . . . . . . . . . . . . . . . 3 547
Danzas Holding AG - Registered . . . . . . . . . . . 3 2,724
Fischer - Registered . . . . . . . . . . . . . . . 3 719
Fischer . . . . . . . . . . . . . . . . . . . . . . 3 3,713
Forbo Registered . . . . . . . . . . . . . . . . . . 8 4,077
Gebruder Sulzer AG . . . . . . . . . . . . . . . . . 17 10,921
Grands Magasins Jelmoli . . . . . . . . . . . . . . 12 1,254
Grands Magasins Jelmoli - Bearer . . . . . . . . . . 3 1,567
Holderbank Financiere Glarus - Bearer . . . . . . . 29 23,051
Holderbank Financiere Glarus - Registered . . . . . 78 12,961
Interdiscount Holding SA - Class B . . . . . . . . . 1 1,011
Interdiscount Holding SA - Participating Certificate 2 197
Kuoni Reisen Hldg - Registered . . . . . . . . . . . 2 3,203
Merkur Holding AG . . . . . . . . . . . . . . . . . 32 9,018
Moevenpick Holding - Bearer . . . . . . . . . . . . 4 1,919
Moevenpick Holding - Participating Certificate . . . 2 976
Nestle * . . . . . . . . . . . . . . . . . . . . . . 302 304,716
Roche Holdings AG . . . . . . . . . . . . . . . . . 12 129,507
Roche Holdings AG - Genusschein . . . . . . . . . . 53 326,171
Sandoz AG . . . . . . . . . . . . . . . . . . . . . 278 186,206
Sandoz AG - B . . . . . . . . . . . . . . . . . . . 22 15,037
Schindler Holding AG - Participating Certificate . . 3 2,891
Schindler Holding AG - Registered . . . . . . . . . 5 5,310
Schweizerischer Bankverein . . . . . . . . . . . . . 188 67,149
Schweizerisher Bankgesellschaft - Bearer . . . . . . 165 166,908
Schweizerisher Bankgesellschaft - Registered . . . . 174 37,259
Schweizerisher Rueckversicherungs - Bearer . . . . . 7 5,312
SGS Societe Generale de Surveillance - Bearer . . . 9 16,188
SGS Societe Generale de Surveillance - Registered . 24 7,668
Sika Finance AG - Bearer * . . . . . . . . . . . . . 18 5,704
SMH AG - Bearer . . . . . . . . . . . . . . . . . . 28 15,949
SMH AG - Registered . . . . . . . . . . . . . . . . 117 14,731
Sulzer AG - Participating Certificate . . . . . . . 8 5,002
Swiss Bank Corp . . . . . . . . . . . . . . . . . . 216 38,575
Swiss Reinsurance Co, Zurich . . . . . . . . . . . . 100 75,974
Swissair - Registered * . . . . . . . . . . . . . . . 17 10,921
Zurich Versicherungs . . . . . . . . . . . . . . . . 29 33,881
Zurich Versicherungs - Registered . . . . . . . . . 42 49,069
1,986,826 3.9%
UNITED STATES
Abbott Laboratories . . . . . . . . . . . . . . . . 7,400 $ 296,000
Airtouch Communications Inc * . . . . . . . . . . . . 3,700 100,825
American Home Products . . . . . . . . . . . . . . . 2,700 198,788
American International Group . . . . . . . . . . . . 2,800 318,500
Ameritech Corp . . . . . . . . . . . . . . . . . . . 4,800 213,000
Amoco Corp . . . . . . . . . . . . . . . . . . . . . 4,400 300,850
AT & T Corp . . . . . . . . . . . . . . . . . . . . 11,900 603,925
Atlantic Richfield . . . . . . . . . . . . . . . . . 1,400 162,575
BankAmerica Corp . . . . . . . . . . . . . . . . . . 3,100 161,975
Bell Atlantic Corp . . . . . . . . . . . . . . . . . 3,800 211,850
Bellsouth Corp . . . . . . . . . . . . . . . . . . . 4,400 270,050
Bristol-Myers Squibb Co . . . . . . . . . . . . . . 4,600 305,325
Chevron Corp . . . . . . . . . . . . . . . . . . . . 5,800 284,925
Chrysler Corp . . . . . . . . . . . . . . . . . . . 3,100 135,238
Coca-Cola Co . . . . . . . . . . . . . . . . . . . . 11,500 711,563
Dow Chemical Co . . . . . . . . . . . . . . . . . . 2,400 176,100
E I Dupont de Nemours & Co Inc . . . . . . . . . . . 6,000 407,250
Eastman Chemical Co . . . . . . . . . . . . . . . . 725 43,500
Eastman Kodak Co . . . . . . . . . . . . . . . . . . 2,900 175,088
Exxon Corp . . . . . . . . . . . . . . . . . . . . . 11,000 785,125
Federal National Mortgage Association (a) . . . . . . 2,400 223,200
Ford Motor (a) . . . . . . . . . . . . . . . . . . . 8,800 257,400
General Electric . . . . . . . . . . . . . . . . . . 15,200 881,600
General Motors . . . . . . . . . . . . . . . . . . . 6,300 302,400
GTE Corp . . . . . . . . . . . . . . . . . . . . . . 8,400 280,350
Hewlett Packard Inc . . . . . . . . . . . . . . . . 4,400 290,950
Home Depot . . . . . . . . . . . . . . . . . . . . . 4,000 166,500
Intel Corp . . . . . . . . . . . . . . . . . . . . . 3,700 415,325
International Business Machines . . . . . . . . . . 5,100 475,575
Johnson & Johnson . . . . . . . . . . . . . . . . . 5,800 384,250
McDonalds Corp . . . . . . . . . . . . . . . . . . . 6,200 234,825
Merck & Co Inc . . . . . . . . . . . . . . . . . . . 10,000 471,250
Minnesota Mining & Manufacturing . . . . . . . . . . 3,800 227,525
Mobil Corp . . . . . . . . . . . . . . . . . . . . . 3,500 351,313
Motorola Inc . . . . . . . . . . . . . . . . . . . . 4,800 287,400
Nynex Corp . . . . . . . . . . . . . . . . . . . . . 3,700 154,475
Pacific Gas & Electric . . . . . . . . . . . . . . . 3,800 110,200
Pacific Telesis Group . . . . . . . . . . . . . . . 3,700 98,975
Pepsico Inc . . . . . . . . . . . . . . . . . . . . 7,000 343,000
Pfizer Inc . . . . . . . . . . . . . . . . . . . . . 2,800 246,750
Philip Morris Companies Inc . . . . . . . . . . . . 7,800 568,425
Procter & Gamble Co . . . . . . . . . . . . . . . . 6,000 431,250
SBC Communications . . . . . . . . . . . . . . . . . 5,300 238,500
Schlumberger Ltd . . . . . . . . . . . . . . . . . . 2,100 136,500
Sears Roebuck . . . . . . . . . . . . . . . . . . . 3,100 174,763
Texaco Inc . . . . . . . . . . . . . . . . . . . . . 2,300 157,550
Time Warner Inc . . . . . . . . . . . . . . . . . . 3,300 130,763
US West Inc . . . . . . . . . . . . . . . . . . . . 3,700 $ 152,625
Wal-Mart Stores Inc . . . . . . . . . . . . . . . . 20,300 507,487
Walt Disney Co . . . . . . . . . . . . . . . . . . . 4,700 261,438
14,825,016 28.9%
TOTAL COMMON STOCKS (Cost $40,004,544) 43,123,799 84.0%
SHORT-TERM INVESTMENTS
COMMERCIAL PAPER
Bank of Ireland, 6.17%, due 6/01/95 . . . . . . . . 481,535 481,535
U.S. GOVERMENT OBLIGATIONS
US Treasury Bill, due 6/15/95 (b) . . . . . . . . . . 2,100,000 2,072,525
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.64%,
dated 5/31/95, to be repurchased at $2,577,318
on 6/1/95, collateralized by a U.S. Treasury Bond
6.25% due 8/15/23, with an aggregate
market value of $2,630,290. 2,576,920 2,576,920
Cantor Fitzgerald Repurchase Agreement 5.46%,
dated 5/31/95, to be repurchased at $2,038,808 on
6/1/95, collateralized by U.S. Treasury
Obligations with rates ranging from 5.34% to 7.25%
and maturity dates ranging from 3/07/96 to
05/15/16, with an aggregate market value of
$2,096,587. 2,038,499 2,038,499
4,615,419 9.0%
TOTAL SHORT-TERM INVESTMENTS ($7,169,479 ) 7,169,479 14.0%
TOTAL INVESTMENTS (Cost $47,174,023) 50,293,278 98.0%
Excess of Other Assets over Liabilities 1,025,873 2.0%
NET ASSETS $ 51,319,151 100.0%
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depository Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
At May 31, 1995, industry sector diversification of the PanAgora Global Fund's
investments as a percentage of net assets was as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
<S> <C>
Banking 13.0 %
Communication 7.3
Utilities 6.2
Food and Beverage 6.2
Manufacturing 5.1
Health Care 4.4
Oil and Gas 4.4
Consumer Goods 4.2
Metals and Mining 4.0
Electronics 4.0
Automotive 3.3
Insurance 2.7
Retail Stores 2.6
Construction and Building 2.6
Chemicals 2.5
Equipment 2.3
Transportation 2.3
Consumer Services 2.0
Financial Services 1.4
Real Estate 1.1
Technology 0.7
Machinery 0.7
Diversified 0.5
Paper and Allied Products 0.2
Nondurable Goods 0.1
Textiles 0.1
Tobacco 0.1
Net other assets 2.0
Short-term Investments 14.0
100.0 %
</TABLE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
May 31, 1995
<TABLE>
<CAPTION>
FACE/SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
ARGENTINA
Astra Cia Argentina Depetro . . . . . . . . . . . . 1,000 $ 1,570
Banco Frances del Rio Plata . . . . . . . . . . . . 400 2,640
Banco Galicia y Buenos Aires . . . . . . . . . . . . 3,345 13,782
Cia Interamericana de Auto . . . . . . . . . . . . . 600 3,104
Cia Naviera Perez Companc B . . . . . . . . . . . . 10,664 45,751
Molinos Rio de La Plata . . . . . . . . . . . . . . 145 812
Siderca SA . . . . . . . . . . . . . . . . . . . . . 9,000 6,480
Telefonica de Argentina B . . . . . . . . . . . . . 37,600 101,524
YPF Sociedade Anonima . . . . . . . . . . . . . . . 4,200 84,004
259,667 1.5%
AUSTRIA
Austrian Airline . . . . . . . . . . . . . . . . . . 100 17,595
Bank Austria AG . . . . . . . . . . . . . . . . . . 2,060 168,167
Bank Austria AG - Participating Certificate . . . . 300 10,509
Bank Austria AG - Preferred . . . . . . . . . . . . 300 13,770
Constantia Iso Holding AG * . . . . . . . . . . . . . 133 10,509
Constantia Verpack. . . . . . . . . . . . . . . . . . 66 5,182
Creditanstalt-Bankverein . . . . . . . . . . . . . . 1,221 76,078
Creditanstalt-Bankverein - Preferred . . . . . . . . 700 42,559
EA-Generali AG . . . . . . . . . . . . . . . . . . . 300 90,291
Lenzing AG . . . . . . . . . . . . . . . . . . . . . 200 17,817
OEMV AG . . . . . . . . . . . . . . . . . . . . . . 1,150 122,472
Oesterreichische Brau-Beteiligungs AG . . . . . . . 400 21,420
Oesterreichische Elektrizitaetswirschafts AG . . . . 1,340 95,093
Radex-Heraklith Industrial AG . . . . . . . . . . . 300 10,539
Strabag Oesterreich AG . . . . . . . . . . . . . . . 100 15,300
Universale Bau AG * . . . . . . . . . . . . . . . . . 100 4,026
Veitscher * . . . . . . . . . . . . . . . . . . . . . 500 12,280
Wienerberger Baustoffindustrie AG . . . . . . . . . 200 74,891
808,498 4.5%
BELGIUM
Bekaert SA . . . . . . . . . . . . . . . . . . . . . 43 34,848
Cimenteries CBR Cementbed . . . . . . . . . . . . . 72 28,554
Cimenteries CBR Cementbed - AFV . . . . . . . . . . 17 6,727
Delhaize le Ps . . . . . . . . . . . . . . . . . . . 966 45,106
Electrabel . . . . . . . . . . . . . . . . . . . . . 842 177,126
Electrabel- Preferred . . . . . . . . . . . . . . . 183 38,749
Fortis AG . . . . . . . . . . . . . . . . . . . . . 660 71,354
Generale de Banque SA . . . . . . . . . . . . . . . 283 89,006
Gervaert Photo-Producten . . . . . . . . . . . . . . 598 32,790
Glaverbel . . . . . . . . . . . . . . . . . . . . . 124 17,939
Groupe Bruxelles Lambert SA . . . . . . . . . . . . 443 59,428
Kredietbank . . . . . . . . . . . . . . . . . . . . 37 8,881
Kredietbank NPV . . . . . . . . . . . . . . . . . . 243 58,241
Petrofina SA . . . . . . . . . . . . . . . . . . . . 434 130,361
Reunies Electrobel & Tractebel - Preferred * . . . . 50 18,191
Reunies Electrobel & Tractebel * . . . . . . . . . . 218 78,938
Royal Belge . . . . . . . . . . . . . . . . . . . . 253 47,725
Royale Belg-Afv1 . . . . . . . . . . . . . . . . . . 62 11,674
Solvay & Cie SA . . . . . . . . . . . . . . . . . . 153 84,553
Union Miniere SA * . . . . . . . . . . . . . . . . . 527 36,257
1,076,448 6.0%
BRAZIL
Banco Bradesco . . . . . . . . . . . . . . . . . . . 4,100,000 35,260
Cia Energetica de Minas - Preferred. . . . . . . . . . 1,595,000 36,685
Cia Souza Cruz Industry e Commerce . . . . . . . . . 2,000 13,113
Electrobras * . . . . . . . . . . . . . . . . . . . . 200,000 55,320
Patroleo Brasile . . . . . . . . . . . . . . . . . . 200,000 18,740
Sdad White Martin . . . . . . . . . . . . . . . . . 5,500,000 4,950
Telebras - Preferred . . . . . . . . . . . . . . . . . 1,000,000 34,800
Usiminas . . . . . . . . . . . . . . . . . . . . . . 5,000,000 5,500
Vale do Rio Doce - Preferred . . . . . . . . . . . . . 200,000 30,200
234,568 1.3%
CHILE
Chilgener SA ADR . . . . . . . . . . . . . . . . . . 270 8,303
Enersis SA ADR . . . . . . . . . . . . . . . . . . . 590 17,036
Telefonos de Chile SA ADR . . . . . . . . . . . . . . 210 18,585
43,924 0.2%
DENMARK
Aarhus Oliefabrik A . . . . . . . . . . . . . . . . 16 986
Aarhus Oliefbarik B . . . . . . . . . . . . . . . . 4 239
Carlsberg A . . . . . . . . . . . . . . . . . . . . 184 8,767
Carlsberg B . . . . . . . . . . . . . . . . . . . . 149 7,181
Dampskibsselskabet - B Shares . . . . . . . . . . . 1 20,111
Danske Luftfart. . . . . . . . . . . . . . . . . . . . 32 2,412
Den Danske Bank . . . . . . . . . . . . . . . . . . 276 17,652
East Asiatic Co * . . . . . . . . . . . . . . . . . . 111 3,077
FLS Industries AS - B Shares . . . . . . . . . . . . 48 4,783
Great Nordic Ltd . . . . . . . . . . . . . . . . . . 31 2,387
International Service System B . . . . . . . . . . . 151 4,514
Korn Og Foders . . . . . . . . . . . . . . . . . . . 60 2,446
Lauritzen Holdings - B Shares * . . . . . . . . . . . 14 2,739
Nordiske Kabel Traadfabri . . . . . . . . . . . . . 39 2,466
Novo-Nordisk AS . . . . . . . . . . . . . . . . . . 196 20,809
Radiometer AS . . . . . . . . . . . . . . . . . . . 52 2,942
Royal Copenhagen AS . . . . . . . . . . . . . . . . 15 1,277
Sophus Berendsen - A Shares . . . . . . . . . . . . 31 2,836
Sophus Berendsen - B Shares . . . . . . . . . . . . 93 8,509
Superfos AS . . . . . . . . . . . . . . . . . . . . 32 2,574
Teledanmark - B Shares . . . . . . . . . . . . . . . 684 38,788
Unidanmark AS . . . . . . . . . . . . . . . . . . . 242 11,750
169,245 0.9%
FRANCE
Accor SA . . . . . . . . . . . . . . . . . . . . . . 100 12,839
Air Liquide . . . . . . . . . . . . . . . . . . . . 300 47,103
Alcatel Alsthom . . . . . . . . . . . . . . . . . . 622 56,640
AXA SA . . . . . . . . . . . . . . . . . . . . . . . 1,000 52,968
Banque National de Paris . . . . . . . . . . . . . . 800 39,488
Bic . . . . . . . . . . . . . . . . . . . . . . . . 100 15,701
Bouygues . . . . . . . . . . . . . . . . . . . . . . 100 12,355
Carnaud Metalbox . . . . . . . . . . . . . . . . . . 300 13,145
Carrefour Supermarche . . . . . . . . . . . . . . . 130 64,273
Casino . . . . . . . . . . . . . . . . . . . . . . . 200 6,405
Casino - Preferred . . . . . . . . . . . . . . . . . 100 2,540
Cie Generale des Eaux . . . . . . . . . . . . . . . 1,224 135,685
Compagnie Bancaire . . . . . . . . . . . . . . . . . 100 12,496
Compagnie de Saint Goban . . . . . . . . . . . . . . 295 36,923
Compagnie Financiere de Suez . . . . . . . . . . . . 600 30,704
Compagnie Financiere Paribas . . . . . . . . . . . . 500 32,097
Credit Foncier de France . . . . . . . . . . . . . . 100 12,879
Docks de France . . . . . . . . . . . . . . . . . . 100 15,902
Eridania Beghin Say . . . . . . . . . . . . . . . . 100 15,197
Euro Disneyland Sca . . . . . . . . . . . . . . . . 100 330
Euro Disneyland Sca, rights expires 11/7/04 * . . . . 600 331
Groupe Danone . . . . . . . . . . . . . . . . . . . 300 49,582
Havas SA . . . . . . . . . . . . . . . . . . . . . . 200 16,293
Imetal . . . . . . . . . . . . . . . . . . . . . . . 100 11,428
Lafarge Coppee . . . . . . . . . . . . . . . . . . . 300 24,476
Lagardere Groupe . . . . . . . . . . . . . . . . . . 400 8,917
L'Oreal . . . . . . . . . . . . . . . . . . . . . . 300 78,968
LVMH Co . . . . . . . . . . . . . . . . . . . . . . 420 79,827
Lyonnaise des Eaux-Dumez . . . . . . . . . . . . . . 200 20,478
Michelin B French Registered . . . . . . . . . . . . 400 18,244
Moulinex * . . . . . . . . . . . . . . . . . . . . . 100 2,517
Nord-Est * . . . . . . . . . . . . . . . . . . . . . 100 2,902
Pechiney International . . . . . . . . . . . . . . . 151 3,850
Pernod-Ricard . . . . . . . . . . . . . . . . . . . 200 12,944
Peugeot SA * . . . . . . . . . . . . . . . . . . . . 200 30,192
Pinault Printemps Redoute SA * . . . . . . . . . . . 100 21,768
Promodes . . . . . . . . . . . . . . . . . . . . . . 100 23,178
Rhone-Polenc SA Class A . . . . . . . . . . . . . . 1,300 31,233
Schnieder SA . . . . . . . . . . . . . . . . . . . . 300 23,582
SIMCO - Registered . . . . . . . . . . . . . . . . . 100 9,372
Societe Generale . . . . . . . . . . . . . . . . . . 300 35,251
Societe National Elf-Aquitaine . . . . . . . . . . . 1,120 90,521
SOVAC SA . . . . . . . . . . . . . . . . . . . . . . 100 8,465
STE Centrale Union des Assurance . . . . . . . . . . 435 12,222
STE Francaise d'Investissements Immobiliers & de Gestion 100 6,881
STE Guilbert SA . . . . . . . . . . . . . . . . . . 114 11,321
Thomson CSF * . . . . . . . . . . . . . . . . . . . . 500 13,726
Total SA . . . . . . . . . . . . . . . . . . . . . . 900 55,798
1,319,937 7.4%
GERMANY
Allianz AG Holdings . . . . . . . . . . . . . . . . 100 181,130
BASF AG . . . . . . . . . . . . . . . . . . . . . . 400 85,612
Bayer AG . . . . . . . . . . . . . . . . . . . . . . 500 120,742
Bayerische Hypothekenbank . . . . . . . . . . . . . 200 53,377
Bayerische Vereins . . . . . . . . . . . . . . . . . 200 58,089
Beiersdorf . . . . . . . . . . . . . . . . . . . . . 25 18,785
Bremer Vulkan * . . . . . . . . . . . . . . . . . . . 100 5,674
Continental AG . . . . . . . . . . . . . . . . . . . 100 15,304
Daimler-Benz AG . . . . . . . . . . . . . . . . . . 400 193,724
Degussa AG . . . . . . . . . . . . . . . . . . . . . 100 31,344
Deutsche Bank AG . . . . . . . . . . . . . . . . . . 300 146,885
Douglas Holding AG . . . . . . . . . . . . . . . . . 5 1,755
Dresdner Bank AG . . . . . . . . . . . . . . . . . . 300 83,631
Karstadt AG . . . . . . . . . . . . . . . . . . . . 20 8,137
Kaufhof AG . . . . . . . . . . . . . . . . . . . . . 100 33,254
Kloeckner Humbol . . . . . . . . . . . . . . . . . . 100 3,099
Linde AG . . . . . . . . . . . . . . . . . . . . . . 3 1,762
Lufthansa * . . . . . . . . . . . . . . . . . . . . . 300 40,330
MAN AG . . . . . . . . . . . . . . . . . . . . . . . 120 31,950
Mannesmann AG . . . . . . . . . . . . . . . . . . . 300 87,834
Muenchener Rueckversicherungs . . . . . . . . . . . 100 198,818
Pittler Maschinen * . . . . . . . . . . . . . . . . . 3 138
Preussag AG . . . . . . . . . . . . . . . . . . . . 100 29,717
RWE AG . . . . . . . . . . . . . . . . . . . . . . . 300 101,355
RWE AG - Preferred . . . . . . . . . . . . . . . . . 100 26,738
Schering AG . . . . . . . . . . . . . . . . . . . . 100 69,516
Siemens AG . . . . . . . . . . . . . . . . . . . . . 400 190,186
Thyssen AG * . . . . . . . . . . . . . . . . . . . . 220 41,530
Veba AG . . . . . . . . . . . . . . . . . . . . . . 300 114,048
Viag AG . . . . . . . . . . . . . . . . . . . . . . 200 76,018
Volkswagen AG . . . . . . . . . . . . . . . . . . . 200 56,249
2,106,731 11.7%
GREECE
Commercial Bank of Greece . . . . . . . . . . . . . 800 34,195
Credit Bank Greece . . . . . . . . . . . . . . . . . 1,466 76,921
Ergo Bank SA . . . . . . . . . . . . . . . . . . . . 600 27,896
Hellas Can SA . . . . . . . . . . . . . . . . . . . 100 1,845
Hellenic Bottling Co . . . . . . . . . . . . . . . . 2,300 64,526
Hellenic Sugar * . . . . . . . . . . . . . . . . . . 1,100 16,643
Intracom SA . . . . . . . . . . . . . . . . . . . . 520 14,760
Michaniki SA . . . . . . . . . . . . . . . . . . . . 1,000 14,932
Titan Cement Co . . . . . . . . . . . . . . . . . . 600 23,304
275,022 1.5%
HONG KONG
Cheung Kong . . . . . . . . . . . . . . . . . . . . 1,800 8,866
China Light & Power Co . . . . . . . . . . . . . . . 1,560 8,531
Hang Seng Bank . . . . . . . . . . . . . . . . . . . 1,300 10,084
Hong Kong Telecom . . . . . . . . . . . . . . . . . 4,500 9,512
HSBC Holdings Plc . . . . . . . . . . . . . . . . . 5,700 74,057
Hutchison Whampoa . . . . . . . . . . . . . . . . . 3,800 19,208
Sun Hung Kai Properties Ltd . . . . . . . . . . . . 1,280 9,267
139,525 0.8%
INDONESIA
Astra International . . . . . . . . . . . . . . . . 7,000 12,576
Bank International Indonesia Foreign - Registered . 6,500 15,181
Barito Pacific Timber . . . . . . . . . . . . . . . 6,000 7,276
Barito Pacific Timber - Foreign . . . . . . . . . . 3,500 4,244
Gudang Garam . . . . . . . . . . . . . . . . . . . . 2,500 18,639
PT Indah Kiat Pulp & Paper . . . . . . . . . . . . . 9,000 12,531
PT Indocement Tunggal Parkarsa . . . . . . . . . . . 5,000 18,415
PT Indocement Tunggal Prakarsa - Foreign . . . . . . 4,000 14,732
PT Indosat . . . . . . . . . . . . . . . . . . . . . 6,000 23,512
Unilever . . . . . . . . . . . . . . . . . . . . . . 500 6,962
134,068 0.7%
IRELAND
Anglo Irish Bank Corp Plc . . . . . . . . . . . . . 300 1,412
Crean Plc . . . . . . . . . . . . . . . . . . . . . 2,500 9,130
CRH Plc . . . . . . . . . . . . . . . . . . . . . . 100 636
FII Fyffes Plc . . . . . . . . . . . . . . . . . . . 100 174
Irish Life Plc . . . . . . . . . . . . . . . . . . . 100 331
Jefferson Smurfit Group Plc . . . . . . . . . . . . 200 1,143
Kerry Group Plc - A Shares . . . . . . . . . . . . . 55 350
Woodchester Investments Plc . . . . . . . . . . . . 12,300 29,345
42,521 0.2%
ITALY
AEDES SPA . . . . . . . . . . . . . . . . . . . . . 300 1,846
Alitalia Italian . . . . . . . . . . . . . . . . . . 3,000 1,458
Alitalia Italian - Preferred * . . . . . . . . . . . 3,600 1,261
Alleanza Assicurazioni SPA . . . . . . . . . . . . . 253 2,232
Andes - Non convertible . . . . . . . . . . . . . . 100 292
Assicurazione Generali Italian . . . . . . . . . . . 3,250 78,499
Banca Nazionale dell'Agricoltura SPA . . . . . . . . 1,400 1,303
Banca Nazionale dell'Agricoltura SPA - Non convertible* 2,600 943
Banca Nazionale dell'Agricoltura SPA - Preferred * . 700 350
Banco Ambrosiano Veneto . . . . . . . . . . . . . . 2,000 6,977
Banco Ambrosiano Veneto- Non convertible . . . . . . 900 1,253
Bank Commerciale Italiana . . . . . . . . . . . . . 6,300 14,546
Benetton . . . . . . . . . . . . . . . . . . . . . . 700 6,786
Burgo SPA . . . . . . . . . . . . . . . . . . . . . 500 3,406
Cementir Cementerie del Tirreno SPA . . . . . . . . 1,000 821
Credito Italiano . . . . . . . . . . . . . . . . . . 8,900 10,134
Dalmine SPA * . . . . . . . . . . . . . . . . . . . . 4,700 1,073
Danieli & Co . . . . . . . . . . . . . . . . . . . . 100 685
Danieli & Co - Non convertible . . . . . . . . . . . 100 312
Edison SPA . . . . . . . . . . . . . . . . . . . . . 2,500 10,877
Falck, Acciaierie Ferriere * . . . . . . . . . . . . 300 475
Fiat SPA . . . . . . . . . . . . . . . . . . . . . . 13,200 52,012
Fiat SPA - Non convertible . . . . . . . . . . . . . 2,900 6,887
Fiat SPA - Private Placement * . . . . . . . . . . . 3,700 9,048
FIDIS SPA . . . . . . . . . . . . . . . . . . . . . 1,500 3,586
Franco Tosi SPA . . . . . . . . . . . . . . . . . . 100 993
Impreglio . . . . . . . . . . . . . . . . . . . . . 2,000 1,511
Istituto Banc San Paolo Torina . . . . . . . . . . . 3,000 16,925
Italcementi Fabbriche Riunite Cemento SPA . . . . . 600 3,945
Italcementi Fabbriche Riunite Cemento SPA -
Non convertible . . . . . . . . . . . . . . . . . . . 400 1,230
Italgas . . . . . . . . . . . . . . . . . . . . . . 2,700 7,201
Magnetti Marelli SPA . . . . . . . . . . . . . . . . 1,800 4,366
Marzotto & Figi SPA . . . . . . . . . . . . . . . . 200 1,332
Mediobanca Banca di Credito . . . . . . . . . . . . 1,870 14,114
Montedison SPA - Non convertible * . . . . . . . . . 2,800 1,695
Montedison SPA * . . . . . . . . . . . . . . . . . . 21,000 14,956
Olivetti SPA - Private Placement * . . . . . . . . . 400 512
Olivetti SPA * . . . . . . . . . . . . . . . . . . . 4,900 4,869
Parmalat Finanziaria SPA * . . . . . . . . . . . . . 4,400 4,203
Pirelli SPA . . . . . . . . . . . . . . . . . . . . 5,700 8,140
Pirelli SPA - Non convertible * . . . . . . . . . . . 1,000 1,083
Previdente Italiana . . . . . . . . . . . . . . . . 200 1,466
Rinascente per l'Esercizio di Grandi Magazzini SPA . 600 3,387
Rinascente per l'Esercizio di Grandi Magazzini SPA - NC 200 559
Rinascente per l'Esercizio di Grandi Magazzini SPA - PP 100 251
Risanamento Napo . . . . . . . . . . . . . . . . . . 200 3,046
R.A.S. SPA . . . . . . . . . . . . . . . . . . . . . 1,100 12,007
R.A.S. SPA - Non convertible . . . . . . . . . . . . 400 2,602
Saffa SPA Class A * . . . . . . . . . . . . . . . . . 200 673
SAI Sta Assicuratrice Industriale SPA . . . . . . . 500 5,583
SAI Sta Assicuratrice Industriale SPA - Non convertible 200 970
Saipem SPA . . . . . . . . . . . . . . . . . . . . . 1,600 3,241
Sasib SPA . . . . . . . . . . . . . . . . . . . . . 300 1,345
Sasib SPA - Non convertible . . . . . . . . . . . . 300 749
SIP - Non convertible * . . . . . . . . . . . . . . . 6,300 12,831
Sirti SPA . . . . . . . . . . . . . . . . . . . . . 900 6,884
SME Sta Meridonale Finanziacia SPA . . . . . . . . . 1,800 4,303
Snia BPD SPA . . . . . . . . . . . . . . . . . . . . 2,700 3,199
Societa Metallurgica * . . . . . . . . . . . . . . . 1,000 353
Telicom Italia SPA . . . . . . . . . . . . . . . . . 26,900 70,368
437,954 2.4%
JAPAN
Ajinomoto Co Inc . . . . . . . . . . . . . . . . . . 200 2,269
Amada Co Ltd . . . . . . . . . . . . . . . . . . . . 1,000 9,926
Aoki Corp . . . . . . . . . . . . . . . . . . . . . 10,000 42,895
Asahi Breweries Ltd . . . . . . . . . . . . . . . . 1,000 12,053
Asahi Chemical Industry Co Ltd . . . . . . . . . . . 3,100 21,760
Asahi Glass Co Ltd . . . . . . . . . . . . . . . . . 200 2,482
Ashikaga Bank . . . . . . . . . . . . . . . . . . . 1,000 7,563
Asics Corp . . . . . . . . . . . . . . . . . . . . . 14,000 45,494
Bridgestone Corp . . . . . . . . . . . . . . . . . . 600 8,792
Canon Inc . . . . . . . . . . . . . . . . . . . . . 2,000 31,196
Canon Sales Co Inc . . . . . . . . . . . . . . . . . 3,000 78,346
Chiba Bank . . . . . . . . . . . . . . . . . . . . . 2,000 20,089
Chichibu Onoda Cement Corp . . . . . . . . . . . . . 1,000 4,999
Chugai Pharmaceutical Co Ltd . . . . . . . . . . . . 600 5,864
Citizen Watch Co Ltd . . . . . . . . . . . . . . . . 1,000 6,747
Dai Nippon Printing Co Ltd . . . . . . . . . . . . . 2,200 33,796
Daido Steel Co . . . . . . . . . . . . . . . . . . . 1,800 9,125
Daiichi Kangyo Bank Ltd . . . . . . . . . . . . . . 7,790 147,285
Daikin Industries Ltd . . . . . . . . . . . . . . . 1,000 7,976
Daikyo Inc . . . . . . . . . . . . . . . . . . . . . 2,000 13,589
Dainippon Ink & Chemical Inc . . . . . . . . . . . . 2,000 9,548
Daishowa Paper Manufacturing Co Ltd . . . . . . . . 600 3,261
Daiwa House Industry . . . . . . . . . . . . . . . . 1,600 24,957
Daiwa Securities . . . . . . . . . . . . . . . . . . 3,000 33,253
Denki Kagaku Kog * . . . . . . . . . . . . . . . . . 1,400 5,443
Fanuc Co . . . . . . . . . . . . . . . . . . . . . . 1,000 43,368
Fuji Bank . . . . . . . . . . . . . . . . . . . . . 5,100 116,916
Fuji Photo Film . . . . . . . . . . . . . . . . . . 2,800 67,167
Fujikura Ltd . . . . . . . . . . . . . . . . . . . . 1,000 6,121
Fujita Corp . . . . . . . . . . . . . . . . . . . . 9,000 44,136
Fujitsu Ltd . . . . . . . . . . . . . . . . . . . . 6,200 59,344
Furkukawa Electric . . . . . . . . . . . . . . . . . 2,000 10,139
Gunze Ltd . . . . . . . . . . . . . . . . . . . . . 1,000 6,440
Haseko Corp . . . . . . . . . . . . . . . . . . . . 1,000 5,613
Hazama-Gumi . . . . . . . . . . . . . . . . . . . . 1,000 4,490
Higo Bank . . . . . . . . . . . . . . . . . . . . . 1,000 9,749
Hitachi Ltd . . . . . . . . . . . . . . . . . . . . 17,100 165,090
Hokkaido Bank . . . . . . . . . . . . . . . . . . . 22,000 87,611
Hokkaido Takushoku Bank . . . . . . . . . . . . . . 23,000 72,296
Hokuriku Bank . . . . . . . . . . . . . . . . . . . 2,000 14,653
Honda Motor Co Ltd . . . . . . . . . . . . . . . . . 2,600 38,405
House Food Industry . . . . . . . . . . . . . . . . 880 17,990
Hyogo Bank * . . . . . . . . . . . . . . . . . . . . 30,000 67,002
Inax . . . . . . . . . . . . . . . . . . . . . . . . 1,000 10,411
Industrial Bank of Japan . . . . . . . . . . . . . . 3,800 110,464
Ishihara Sangyo Kaisha * . . . . . . . . . . . . . . 1,000 3,321
Itochu Corp . . . . . . . . . . . . . . . . . . . . 3,500 21,465
Iwatani International Corp . . . . . . . . . . . . . 1,040 5,530
Japan Airlines * . . . . . . . . . . . . . . . . . . 400 2,779
Japan Energy Corp . . . . . . . . . . . . . . . . . 400 1,437
Japan Steel Works * . . . . . . . . . . . . . . . . . 1,000 2,541
Joyo Bank . . . . . . . . . . . . . . . . . . . . . 1,680 14,889
Kajima Corp . . . . . . . . . . . . . . . . . . . . 200 1,966
Kamigumi Co Ltd . . . . . . . . . . . . . . . . . . 600 5,665
Kandenko . . . . . . . . . . . . . . . . . . . . . . 134 1,998
Kaneka Corp . . . . . . . . . . . . . . . . . . . . 1,000 7,043
Kansai Electric Power . . . . . . . . . . . . . . . 2,560 67,460
Kansai Paint . . . . . . . . . . . . . . . . . . . . 1,000 5,259
Kawasaki Steel * . . . . . . . . . . . . . . . . . . 7,400 27,895
Kinki Nippon Railway . . . . . . . . . . . . . . . . 274 2,380
Kirin Brewery Co Ltd . . . . . . . . . . . . . . . . 3,000 34,564
Kobe Steel Ltd . . . . . . . . . . . . . . . . . . . 7,000 19,604
Komatsu Ltd . . . . . . . . . . . . . . . . . . . . 13,400 104,350
Konica Corp . . . . . . . . . . . . . . . . . . . . 1,000 7,776
Kumagai Gumi Co . . . . . . . . . . . . . . . . . . 2,000 9,453
Kuraray Co . . . . . . . . . . . . . . . . . . . . . 1,000 11,072
Kureha Chemical Industry . . . . . . . . . . . . . . 1,000 4,384
Kyocera Corp . . . . . . . . . . . . . . . . . . . . 800 60,786
Lion Corp . . . . . . . . . . . . . . . . . . . . . 1,000 6,098
Long Term Credit Bank of Japan . . . . . . . . . . . 5,000 45,672
Maeda Road Construction Co . . . . . . . . . . . . . 800 15,787
Marubeni Corp . . . . . . . . . . . . . . . . . . . 4,000 21,318
Marudai Food Co Ltd . . . . . . . . . . . . . . . . 2,800 19,786
Maruha Corp * . . . . . . . . . . . . . . . . . . . . 600 2,170
Marui Co . . . . . . . . . . . . . . . . . . . . . . 1,000 14,889
Matsushita Electric Industries . . . . . . . . . . . 4,600 71,208
Mazda Motors * . . . . . . . . . . . . . . . . . . . 5,000 17,962
Meiji Seika . . . . . . . . . . . . . . . . . . . . 1,000 6,334
Minebea Co Ltd . . . . . . . . . . . . . . . . . . . 1,000 6,499
Mitsubishi Bank . . . . . . . . . . . . . . . . . . 790 18,857
Mitsubishi Chemical Corp . . . . . . . . . . . . . . 100 480
Mitsubishi Corp . . . . . . . . . . . . . . . . . . 4,000 45,755
Mitsubishi Electric . . . . . . . . . . . . . . . . 23,000 158,997
Mitsubishi Estate Co Ltd . . . . . . . . . . . . . . 3,000 33,643
Mitsubishi Gas Chemical Co . . . . . . . . . . . . . 1,000 4,325
Mitsubishi Heavy Industries . . . . . . . . . . . . 8,300 56,984
Mitsubishi Materials Corp . . . . . . . . . . . . . 9,000 43,604
Mitsubishi Oil Co . . . . . . . . . . . . . . . . . 1,000 9,737
Mitsubishi Paper . . . . . . . . . . . . . . . . . . 1,000 5,932
Mitsubishi Trust & Banking Corp . . . . . . . . . . 2,800 45,329
Mitsui Engineering & Shipbuilding Co * . . . . . . . 2,000 4,774
Mitsui Fudosan . . . . . . . . . . . . . . . . . . . 2,000 22,428
Mitsui Marine & Fire Insurance . . . . . . . . . . . 1,400 9,777
Mitsui Trust & Banking . . . . . . . . . . . . . . . 2,400 23,568
Mitsui & Co . . . . . . . . . . . . . . . . . . . . 600 4,722
Nagoya Railroad Co Ltd . . . . . . . . . . . . . . . 2,000 10,588
NEC Corp . . . . . . . . . . . . . . . . . . . . . . 4,200 44,668
Nichido Fire & Marine Insurance . . . . . . . . . . 1,000 8,130
Nichii Co . . . . . . . . . . . . . . . . . . . . . 6,000 68,419
Nichirei Corp . . . . . . . . . . . . . . . . . . . 1,000 6,665
Nihon Cement Co Ltd . . . . . . . . . . . . . . . . 1,000 7,326
Nikon Corp . . . . . . . . . . . . . . . . . . . . . 400 3,692
Nippon Credit Bank Ltd . . . . . . . . . . . . . . . 9,000 49,667
Nippon Fire & Marine Insurance . . . . . . . . . . . 1,000 6,322
Nippon Light Metal Co . . . . . . . . . . . . . . . 1,600 8,792
Nippon Meat Packers Inc . . . . . . . . . . . . . . 1,000 14,653
Nippon Oil Co . . . . . . . . . . . . . . . . . . . 7,200 46,795
Nippon Oil & Fats Co Ltd . . . . . . . . . . . . . . 1,000 5,838
Nippon Paper Industries Co . . . . . . . . . . . . . 2,000 14,889
Nippon Sheet Glass . . . . . . . . . . . . . . . . . 4,000 19,947
Nippon Shinpan Co . . . . . . . . . . . . . . . . . 1,000 6,617
Nippon Steel Corp . . . . . . . . . . . . . . . . . 16,900 60,710
Nippon Suisan * . . . . . . . . . . . . . . . . . . . 1,000 4,762
Nippon Yusen Kabushiki Kaish . . . . . . . . . . . . 3,200 19,058
Nippon Denso . . . . . . . . . . . . . . . . . . . . . 2,000 36,160
Nissan Motors . . . . . . . . . . . . . . . . . . . 6,000 38,783
Nisshinbo Industries Inc . . . . . . . . . . . . . . 1,000 9,016
NKK Corp * . . . . . . . . . . . . . . . . . . . . . 8,000 20,136
Nomura Securities Co Ltd . . . . . . . . . . . . . . 5,000 89,808
NSK Ltd . . . . . . . . . . . . . . . . . . . . . . 1,000 5,908
Ohbayashi-Gumi Corp . . . . . . . . . . . . . . . . 1,000 7,622
Oji Paper Co Ltd . . . . . . . . . . . . . . . . . . 400 4,164
Okumura . . . . . . . . . . . . . . . . . . . . . . 1,000 8,874
Olympus Optical . . . . . . . . . . . . . . . . . . 1,000 8,863
Omron Corp . . . . . . . . . . . . . . . . . . . . . 1,000 18,434
Orient Corp . . . . . . . . . . . . . . . . . . . . 2,000 10,871
Osaka Gas Co Ltd . . . . . . . . . . . . . . . . . . 6,000 22,334
Pioneer Electric Corp . . . . . . . . . . . . . . . 1,000 17,371
Renown Inc * . . . . . . . . . . . . . . . . . . . . 1,000 3,604
Ricoh Corp Ltd . . . . . . . . . . . . . . . . . . . 2,000 16,071
Royal Co Ltd . . . . . . . . . . . . . . . . . . . . 5,000 75,628
Sagami Railway . . . . . . . . . . . . . . . . . . . 1,000 4,833
Sakura Bank . . . . . . . . . . . . . . . . . . . . 8,400 100,254
Sankyo Aluminum Industry Co . . . . . . . . . . . . 1,000 5,022
Sanwa Shutter . . . . . . . . . . . . . . . . . . . 800 6,731
Sanyo Electric Co Ltd . . . . . . . . . . . . . . . 7,000 35,900
Sekisui House Ltd . . . . . . . . . . . . . . . . . 6,000 75,864
Settsu Corp * . . . . . . . . . . . . . . . . . . . . 12,000 47,220
Seven-Eleven Japan Ltd . . . . . . . . . . . . . . . 122 9,010
Sharp Corp . . . . . . . . . . . . . . . . . . . . . 3,000 42,541
Shin-Etsu Chemical Co . . . . . . . . . . . . . . . 1,000 17,962
Shionogi & Co Ltd . . . . . . . . . . . . . . . . . 1,000 9,394
Shiseido Co . . . . . . . . . . . . . . . . . . . . 8,000 97,370
Shizuoka Bank . . . . . . . . . . . . . . . . . . . 1,600 22,499
Snow Brand Milk Product Co Ltd . . . . . . . . . . . 800 6,050
Sony Corp . . . . . . . . . . . . . . . . . . . . . 1,060 51,105
Sumitomo Bank . . . . . . . . . . . . . . . . . . . 7,693 159,996
Sumitomo Corp . . . . . . . . . . . . . . . . . . . 8,000 72,602
Sumitomo Electric Industries . . . . . . . . . . . . 200 2,333
Sumitomo Heavy Industries * . . . . . . . . . . . . . 1,000 3,321
Sumitomo Metal Industries * . . . . . . . . . . . . . 8,000 23,728
Sumitomo Metal Mining . . . . . . . . . . . . . . . 1,000 7,894
Sumitomo Osaka Cement Co Ltd . . . . . . . . . . . . 1,000 4,160
Sumitomo Trust & Banking . . . . . . . . . . . . . . 150 2,056
Taisho Pharmaceutical Co Ltd . . . . . . . . . . . . 1,000 18,789
Takeda Chemical Industries Ltd . . . . . . . . . . . 2,000 26,706
Teijin Limited . . . . . . . . . . . . . . . . . . . 2,000 10,139
Teikoku Oil Co . . . . . . . . . . . . . . . . . . . 1,000 6,724
Tobu Railway Co Ltd . . . . . . . . . . . . . . . . 2,000 12,526
Tokai Bank . . . . . . . . . . . . . . . . . . . . . 7,200 90,186
Tokio Marine & Fire Insurance . . . . . . . . . . . 4,200 48,142
Tokyo Electric Power Co Inc . . . . . . . . . . . . 3,040 96,274
Tokyo Steel Manufacturing . . . . . . . . . . . . . 1,000 17,489
Tokyo Tatemono Co Ltd . . . . . . . . . . . . . . . 1,000 5,058
Tokyotokeiba . . . . . . . . . . . . . . . . . . . . 1,000 4,443
Tokyu Corp . . . . . . . . . . . . . . . . . . . . . 180 1,166
Toppan Printing Co . . . . . . . . . . . . . . . . . 2,000 27,179
Toray Industries Inc . . . . . . . . . . . . . . . . 3,000 19,427
Toyobo Co Ltd . . . . . . . . . . . . . . . . . . . 1,800 6,658
Toyoda Automatic Loom Works . . . . . . . . . . . . 1,000 17,607
Toyota Motor Co . . . . . . . . . . . . . . . . . . 8,986 174,145
Ube Industries Ltd * . . . . . . . . . . . . . . . . 2,400 9,075
Yakult Honsha . . . . . . . . . . . . . . . . . . . 800 12,573
Yamaichi Securities . . . . . . . . . . . . . . . . 3,000 18,115
Yamato Transport Co Ltd . . . . . . . . . . . . . . 1,100 12,297
Yamazaki Baking Co . . . . . . . . . . . . . . . . . 1,000 19,971
Yasuda Trust & Banking . . . . . . . . . . . . . . . 3,000 22,228
Yokogawa Electric . . . . . . . . . . . . . . . . . 2,100 17,520
Yokohama Bank . . . . . . . . . . . . . . . . . . . 3,000 27,829
5,017,661 27.9%
MEXICO
Cementos de Mexico . . . . . . . . . . . . . . . . . 5,575 18,040
Cifra SA - B Shares . . . . . . . . . . . . . . . . 16,600 20,783
Empressa la Moderna - A Shares . . . . . . . . . . . 4,700 14,673
Fomento Economico Mexicano . . . . . . . . . . . . . 2,700 6,305
Grupo Financiero Banamex . . . . . . . . . . . . . . 300 447
Grupo Financiero Bancomer - B Shares * . . . . . . . 7,800 1,687
Grupo Industrial Alfa SA Series A . . . . . . . . . 1,200 13,639
Grupo Industrial Bimbo Series A . . . . . . . . . . 2,000 7,024
Grupo Mexico SA Series B . . . . . . . . . . . . . . 4,600 20,083
Grupo Televisa SA Series A . . . . . . . . . . . . . 1,500 12,000
Telefonos de Mexico . . . . . . . . . . . . . . . . 45,400 63,782
178,463 1.0%
NETHERLANDS
ABN Amro Holdings . . . . . . . . . . . . . . . . . 100 3,781
Akzo . . . . . . . . . . . . . . . . . . . . . . . . 38 4,624
Elsevier . . . . . . . . . . . . . . . . . . . . . . 200 2,314
Heineken NV . . . . . . . . . . . . . . . . . . . . 125 17,780
International Nederlanden Group . . . . . . . . . . 87 4,714
Philips Gloeilampenfabrieken . . . . . . . . . . . . 100 3,983
Royal Dutch Petroleum ADR . . . . . . . . . . . . . 100 12,505
Royal Nederland . . . . . . . . . . . . . . . . . . 100 3,616
Unilever NV . . . . . . . . . . . . . . . . . . . . 75 9,435
62,752 0.4%
NEW ZEALAND
Fletcher Forestry Shares . . . . . . . . . . . . . . 3,900 5,315 0.1%
NORWAY
Norsk Hydro AS . . . . . . . . . . . . . . . . . . . 100 4,102
Vard AS * . . . . . . . . . . . . . . . . . . . . . . 600 1,042
5,144 0.1%
PHILIPPINES
Ayala Land Inc B . . . . . . . . . . . . . . . . . . 1,000 1,085
Manila Electric . . . . . . . . . . . . . . . . . . . 1,500 13,023
Philippine Long Distance Telephone Co . . . . . . . 700 49,922
Philippine National Bank . . . . . . . . . . . . . . 1,000 11,822
San Miquel Corp Class B . . . . . . . . . . . . . . 9,360 38,456
114,308 0.6%
PORTUGAL
Banco Comercial Portugues - Registered . . . . . . . 3,300 43,682
Banco Espirito Santo - Registered . . . . . . . . . 2,000 32,454
Banco Portuguese de Investimentos SA . . . . . . . . 1,200 21,972
Banco Totta & Acores . . . . . . . . . . . . . . . . 1,600 35,102
Cia Portuguesa Radio Marconi . . . . . . . . . . . . 600 24,996
Corticeira Amorim . . . . . . . . . . . . . . . . . . 200 3,158
Jeronimo Martins . . . . . . . . . . . . . . . . . . 700 35,276
Lusotur * . . . . . . . . . . . . . . . . . . . . . . 100 2,083
Mague-Gestao e Participacoes . . . . . . . . . . . . 100 2,748
Soares de Costa . . . . . . . . . . . . . . . . . . 120 2,376
Sonae Industria e Investimento . . . . . . . . . . . 1,400 34,195
Unicer- Uniao Cervejeira . . . . . . . . . . . . . . 100 1,707
239,749 1.3%
SINGAPORE
Amcol Holdings . . . . . . . . . . . . . . . . . . . 4,000 8,557
Chuan Hup Holdings . . . . . . . . . . . . . . . . . 3,000 2,563
City Developments . . . . . . . . . . . . . . . . . 11,000 73,438
Cycle & Carriage Ltd . . . . . . . . . . . . . . . . 3,000 29,936
DBS Land . . . . . . . . . . . . . . . . . . . . . . 12,000 40,144
Development Bank of Singapore . . . . . . . . . . . 10,000 117,014
First Capital Corp . . . . . . . . . . . . . . . . . 3,000 9,174
Fraser & Neave Ltd . . . . . . . . . . . . . . . . . 3,000 35,966
Hai Sun Hup . . . . . . . . . . . . . . . . . . . . 3,000 1,701
Hai Sun Hup - Preferred . . . . . . . . . . . . . . 3,000 625
Haw Par Brothers International . . . . . . . . . . . 3,000 6,310
Hotel Properties . . . . . . . . . . . . . . . . . . 5,000 9,620
Inchcape Berhad . . . . . . . . . . . . . . . . . . 2,000 6,691
Jurong Shipyard . . . . . . . . . . . . . . . . . . 2,000 16,511
Keppel Corp Ltd . . . . . . . . . . . . . . . . . . 7,000 63,819
Low Keng Huat (Singapore) Ltd . . . . . . . . . . . 2,000 969
Lum Chang Holdings Ltd . . . . . . . . . . . . . . . 5,000 4,343
Metro Holdings . . . . . . . . . . . . . . . . . . . 1,000 4,379
National Iron & Steel Mills . . . . . . . . . . . . 5,000 10,661
Neptune Orient Lines . . . . . . . . . . . . . . . . 9,000 10,984
Overseas Chinese Banking Corp . . . . . . . . . . . 12,000 147,308
Overseas Union Enterprises . . . . . . . . . . . . . 2,000 12,132
Parkway Holdings . . . . . . . . . . . . . . . . . . 4,000 10,165
Prima . . . . . . . . . . . . . . . . . . . . . . . 1,000 3,661
Robinson & Co . . . . . . . . . . . . . . . . . . . 1,000 4,666
Shangri-La Hotel . . . . . . . . . . . . . . . . . . 2,000 7,897
Singapore Airlines Ltd - Foreign . . . . . . . . . . 18,000 171,859
Singapore Press Holdings Ltd . . . . . . . . . . . . 3,600 67,193
Straits Steamship Land . . . . . . . . . . . . . . . 9,000 31,400
Straits Trading Co Ltd . . . . . . . . . . . . . . . 4,000 10,222
United Industrial Corp . . . . . . . . . . . . . . . 19,000 19,777
United Overseas Bank . . . . . . . . . . . . . . . . 5,384 53,728
United Overseas Land Ltd . . . . . . . . . . . . . . 7,000 14,925
1,008,338 5.6%
SPAIN
Banco Espanol de Credito * . . . . . . . . . . . . . 1,200 8,312
Sociedad Espanola de Carburos . . . . . . . . . . . 300 12,032
20,344 0.1%
SWEDEN
Assa Abloy AB B * . . . . . . . . . . . . . . . . . . 600 2,748 0.1%
SWITZERLAND
Adia New - Bearer * . . . . . . . . . . . . . . . . . 4 778
Alusuisse-Lonza Holdings . . . . . . . . . . . . . . 3 1,768
Alusuisse-Lonza Holdings - Preferred . . . . . . . . 3 1,765
BBC Brown Boveri & Cie - Bearer . . . . . . . . . . 15 15,302
BBC Brown Boveri & Cie - Registered . . . . . . . . 4 802
Ciba-Geigy AG - Registered . . . . . . . . . . . . . 47 33,333
Ciba-Geigy AG- Class B . . . . . . . . . . . . . . . 7 4,976
CS Holdings - Bearer . . . . . . . . . . . . . . . . 46 21,473
CS Holdings - Registered . . . . . . . . . . . . . . 96 9,004
Danzas Holding AG - Bearer . . . . . . . . . . . . . 1 182
Danzas Holding AG - Registered . . . . . . . . . . . 1 908
Fischer - Bearer . . . . . . . . . . . . . . . . . 1 1,238
Fischer - Registered . . . . . . . . . . . . . . . 1 240
Forbo Registered . . . . . . . . . . . . . . . . . . 6 3,058
Gebruder Sulzer AG . . . . . . . . . . . . . . . . . 2 1,285
Grands Magasins Jelmoli - Bearer . . . . . . . . . . 1 522
Grands Magasins Jelmoli - Registered . . . . . . . . 2 209
Holderbank Financiere Glarus - Bearer . . . . . . . 7 5,564
Holderbank Financiere Glarus - Registered . . . . . 6 997
Interdiscount Holding SA - Class B . . . . . . . . . 1 1,011
Interdiscount Holding SA - Participating Certificate 1 99
Merkur Holding AG . . . . . . . . . . . . . . . . . 3 845
Moevenpick Holding - Bearer . . . . . . . . . . . . 1 480
Moevenpick Holding - Participating Certificate . . . 1 488
Nestle * . . . . . . . . . . . . . . . . . . . . . . 74 74,666
Roche Holdings AG . . . . . . . . . . . . . . . . . 1 10,792
Roche Holdings AG - Genusschein . . . . . . . . . . 13 80,004
Sandoz AG . . . . . . . . . . . . . . . . . . . . . 69 46,217
Sandoz AG - B . . . . . . . . . . . . . . . . . . . 2 1,367
Schindler Holding AG - Participating Certificate . . 1 964
Schindler Holding AG - Registered . . . . . . . . . 1 1,062
Schweizerischer Bankverein . . . . . . . . . . . . . 46 16,430
Schweizerisher Bankgesellschaft - Bearer . . . . . . 41 41,474
Schweizerisher Bankgesellschaft - Registered . . . . 43 9,208
Schweizerisher Rueckversicherungs - Bearer . . . . . 1 759
SGS Societe Generale de Surveillance - Bearer . . . 1 1,799
SGS Societe Generale de Surveillance - Registered . 2 639
Sika Finance AG - Bearer * . . . . . . . . . . . . . 2 634
SMH AG - Bearer . . . . . . . . . . . . . . . . . . 3 1,709
SMH AG - Registered . . . . . . . . . . . . . . . . 9 1,133
Sulzer AG - Participating Certificate . . . . . . . 1 625
Swiss Bank Corp . . . . . . . . . . . . . . . . . . 53 9,465
Swiss Reinsurance Co, Zurich . . . . . . . . . . . . 24 18,234
Swissair - Registered * . . . . . . . . . . . . . . . 2 1,285
Zurich Versicherungs - Bearer . . . . . . . . . . . 7 8,178
Zurich Versicherungs - Registered . . . . . . . . . 10 11,683
444,654 2.5%
THAILAND
Bangkok Bank Public Co - Foreign . . . . . . . . . . 5,000 54,700
Chareon Pokphand Feedmill Public Co- Foreign . . . . 100 709
Land & House Public Co - Foreign . . . . . . . . . . 1,100 22,107
Shinawatra Computer Co - Foreign . . . . . . . . . . 300 8,023
Siam Cement Co Ltd Foreign - Registered . . . . . . 500 32,050
Siam Commercial Bank Public Co Ltd . . . . . . . . . 2,000 17,342
Thai Farmers Bank Public Co . . . . . . . . . . . . 3,600 26,256
United Communication Industry Public . . . . . . . . 1,800 25,818
187,005 1.0%
TURKEY
Aksa Akrilik Kimya Sanayii . . . . . . . . . . . . . 18,280 18,673
Arcelik AS . . . . . . . . . . . . . . . . . . . . . 77,600 22,970
Cimsa . . . . . . . . . . . . . . . . . . . . . . . 7,000 35,752
Cukurova Elektrik . . . . . . . . . . . . . . . . . 4,200 1,438
Ege Biracilik Ve Malt Sanay . . . . . . . . . . . . 18,160 22,765
Eregli Demir Ve Celik Fabrik . . . . . . . . . . . . 178,325 25,661
Migros . . . . . . . . . . . . . . . . . . . . . . . 2,000 6,732
Netas Telekomunik . . . . . . . . . . . . . . . . . 31,000 10,974
Otosan Otomobil . . . . . . . . . . . . . . . . . . 3,600 1,086
Tofas Otomobil Fabrik * . . . . . . . . . . . . . . . 26,000 19,919
Trakya Cam Sanayii AS . . . . . . . . . . . . . . . 26,544 4,560
Turkiye Garanti Bankasi AS * . . . . . . . . . . . . 121,000 30,903
Turkiye Is Bankasi AS C . . . . . . . . . . . . . . . 105,700 20,125
221,558 1.2%
UNITED KINGDOM
Arjo Wiggins Appleton Plc . . . . . . . . . . . . . 1,433 6,042
Chubb Security Plc . . . . . . . . . . . . . . . . . 7,960 41,652
General Electric Plc . . . . . . . . . . . . . . . . 2,166 11,007
Glaxo Holdings Plc . . . . . . . . . . . . . . . . . 6,108 70,518
Hanson Trust Plc . . . . . . . . . . . . . . . . . . 17,050 64,780
Imperial Chemical Industries . . . . . . . . . . . . 1,200 15,160
Racal Electronics . . . . . . . . . . . . . . . . . 60 257
RTZ Corp . . . . . . . . . . . . . . . . . . . . . . 1,750 22,330
Smithkline Beecham Plc - A . . . . . . . . . . . . . . 3,078 24,856
Vodafone Group Plc . . . . . . . . . . . . . . . . . 19,347 63,599
Zeneca Group Plc . . . . . . . . . . . . . . . . . . 2,300 34,225
354,426 2.0%
TOTAL COMMON STOCKS (Cost $14,445,021) 14,910,573 83.0%
SHORT-TERM INVESTMENTS
UNITED STATES
US Treasury Bill, 5.7%, due 6/15/95 (a) . . . . . . $591,356 $ 591,356 3.3%
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.64%, dated
5/31/95, to be repurchased at $910,485 on 6/1/95,
collateralized by a U.S. Treasury Bond 6.25% due
8/15/23, with an aggregate market value of
$929,197. 910,342 910,342
Cantor Fitzgerald Repurchase Agreement 5.46%,
dated 5/31/95, to be repurchased at $863,443 on
6/1/95, collateralized by U.S. Treasury
Obligations with rates ranging from 5.34% to 7.25%
and maturity dates ranging from 3/07/96 to
05/15/16, with an aggregate market value of
$887,912. 863,312 863,312
1,773,654 9.9%
TOTAL SHORT-TERM INVESTMENTS ($2,365,010 ) 2,365,010 13.2%
TOTAL INVESTMENTS (Cost $16,810,031) 17,275,583 96.2%
Excess of Other Assets over Liabilities 684,528 3.8%
NET ASSETS $ 17,960,111 100.0%
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depository Receipt
(a) This security is held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
At May 31, 1995, industry sector diversification of the PanAgora International
Equity Fund's investments as a percentage of net assets was as follows:
<TABLE>
<CAPTION>
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
<S> <C>
Banking 18.0 %
Utilities 7.9
Electronics 6.2
Insurance 4.4
Automotive 4.4
Metals and Mining 3.8
Food and Beverage 3.7
Consumer Goods 3.6
Construction and Building 3.6
Communication 3.5
Chemicals 3.2
Transportation 2.9
Manufacturing 2.5
Health Care 2.3
Retail Stores 2.1
Consumer Services 2.0
Financial Services 1.7
Machinery 1.3
Real Estate 1.1
Diversified 0.9
Technology 0.9
Equipment 0.8
Oil and Gas 0.7
Paper and Allied Products 0.4
Tobacco 0.4
Nondurable Goods 0.3
Telecommunications 0.2
Textiles 0.2
Net other assets 3.8
Short-term Investments 13.2
</TABLE>
100.0 %
THE PANAGORA FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1995
<TABLE>
<CAPTION>
PANAGORA PANAGORA
ASSET PANAGORA INTERNATIONAL
ALLOCATION GLOBAL EQUITY
FUND FUND FUND
<S> <C> <C> <C>
ASSETS:
Investments, at value * (Note 1) - See
accompanying portfolios $7,400,760 $50,293,278 $17,275,583
Foreign currency, at value ** - 982,949 456,587
Receivable from:
Securities sold 176,209 37,987 -
Dividends and interest 40,350 205,686 109,206
Advisor (Note 2) 88,763 - 140,433
Unrealized gain on forward foreign
currency contracts (Note 6) - 559,982 143,972
Unamortized organization costs (Note 5) 12,568 12,610 12,610
Total assets 7,718,650 52,092,492 18,138,391
LIABILITIES:
Payable for:
Securities purchased 174,726 61,540 74,911
Variation margin on open futures contracts
(Note6) 9,538 109,012 8,386
Investment Advisory fees (Note 2) - 26,414 -
Payable upon return of securities loaned(Note1) 205,307 480,922 -
Accrued expenses and other liabilities 39,907 95,453 94,983
Total Liabilities 429,478 773,341 178,280
NET ASSETS $7,289,172 $51,319,151 $17,960,111
NET ASSETS CONSIST OF:
Paid-in capital $6,587,723 $47,837,075 $17,793,753
Undistributed net investment income (distrib
utions in excess of net investment income) 69,716 (308,828) 223,909
Accumulated net realized gain (loss) on
investments,closed futures contracts and
foreign currancy transactions. 339,931 (287,754) (640,290)
Net unrealized appreciation on investments,
forward currency contracts, open futures
contracts, and net other assets 291,802 4,078,658 582,739
NET ASSETS $7,289,172 $51,319,151 $17,960,111
NUMBER OF FUND SHARES ISSUED AND OUTSTANDING 647,486 4,507,291 1,690,476
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE
PER SHARE OF BENEFICIAL INTEREST OUTSTANDING $11.26 $11.39 $10.62
* Cost of investments $7,085,733 $47,174,023 $16,810,031
* * Cost of foreign currency - $950,586 $447,433
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
STATEMENTS OF OPERATIONS
MAY 31,
1995
<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 *) $116,491 $753,171 $212,146
Interest 80,174 416,204 163,598
Total investment income 196,665 1,169,375 375,744
EXPENSES:
Investment Advisory fees (Note 2) 35,173 313,880 120,808
Custody, transfer agent and administration fees 71,800 239,233 228,348
Audit and legal fees 50,919 54,287 55,037
Registration and filing fees 6,652 5,253 8,064
Trustees' fees and expenses (Note 2) 9,704 11,553 9,759
Amortization of organization costs (Note 5) 4,169 4,150 4,150
Other 1,569 5,687 4,509
Total expenses 179,986 634,043 430,675
Less expenses waived or reimbursed by the (127,269) (185,514) (264,572)
the Advisor (Note 2)
Net expenses 52,717 448,529 166,103
NET INVESTMENT INCOME 143,948 720,846 209,641
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
(NOTES 1 AND 3):
Net realized gain (loss) on:
Security transactions 266,863 1,233,260 310,538
Closed futures contracts 66,666 (728,875) (563,048)
Foreign currency related transactions - (403,813) 277,447
Net realized gain 333,529 100,572 24,937
Net change in unrealized appreciation
(depreciation) of:
Securities 397,795 2,225,837 (146,178)
Open futures contracts (16,737) 827,781 42,644
Foreign currency and net other assets - 603,756 108,767
Net unrealized appreciation during the period 381,058 3,657,374 5,233
NET REALIZED AND UNREALIZED GAIN 714,587 3,757,946 30,170
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $858,535 $4,478,792 $239,811
* Net of foreign taxes withheld of: $898 $62,410 $29,896
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
MAY 31, 1995 MAY 31, 1994*
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $143,948 $37,104
Net realized gain on investments and closed
future contracts 333,529 25,584
Net change in unrealized appreciation
(depreciation) on investments and open
futures contracts 381,058 (89,256)
Net increase (decrease) in net assets resulting
from operations 858,535 (26,568)
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (91,258) (26,104)
Net realized gains (471) (11,747)
Total distributions to shareholders (91,729) (37,851)
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 4,202,376 2,878,610
Net asset value of shares issued to shareholders
in payment of distributions declared 91,257 37,851
Cost of shares repurchased (642,100) (15,209)
Net increase in net assets resulting from
Fund share transactions 3,651,533 2,901,252
TOTAL INCREASE IN NET ASSETS 4,418,339 2,836,833
NET ASSETS:
Beginning of year 2,870,833 34,000
End of year ** $7,289,172 $2,870,833
* The Fund commenced operations on June 1, 1993.
** Including undistributed net
investment income of: $69,716 $11,000
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA GLOBAL FUND
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
MAY 31, 1995 MAY 31, 1994*
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $720,846 $381,178
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 100,572 74,161
Net change in unrealized appreciation on
investments, open futures contracts, forward
currency contracts, and net other assets 3,657,374 421,283
Net increase in net assets resulting from
operations 4,478,792 876,622
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (381,178)
In excess of net investment income - (1,118,599)
Net realized gains (388,372) -
Total distributions to shareholders (388,372) (1,499,777)
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 7,133,664 42,897,445
Net asset value of shares issued to shareholders
in payment of distributions declared 388,372 1,499,777
Cost of shares repurchased (2,050,877) (2,049,495)
Net increase in net assets resulting from
Fund share transactions 5,471,159 42,347,727
TOTAL INCREASE IN NET ASSETS 9,561,579 41,724,572
NET ASSETS:
Beginning of year 41,757,572 33,000
End of year ** $51,319,151 $41,757,572
* The Fund commenced operations on June 1, 1993.
** Including distributions in excess
of net investment income of: $308,828 $1,118,599
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
INCREASE (DECREASE) IN NET ASSETS FROM: MAY 31, 1995 MAY 31, 1994*
<S> <C> <C>
OPERATIONS:
Net investment income $209,641 $131,046
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 24,937 586,345
Net change in unrealized appreciation on
investments, open futures contracts,
forward currency contracts, and net other
assets 5,233 577,506
Net increase in net assets resulting from
operations 239,811 1,294,897
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (209,641) (35,519)
In excess of net investment income (99,939) (292,892)
Net realized gains (440,398) -
In excess of net realized gains (303,508) -
Total distributions to shareholders (1,053,486) (328,411)
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 13,849,561 13,701,754
Net asset value of shares issued to share-
holders in payment of distributions declared 1,046,888 326,091
Cost of shares repurchased (11,077,230) (72,764)
Net increase in net assets resulting from
Fund share transactions 3,819,219 13,955,081
TOTAL INCREASE IN NET ASSETS 3,005,544 14,921,567
NET ASSETS:
Beginning of year 14,954,567 33,000
End of year ** $17,960,111 $14,954,567
* The Fund commenced operations on June 1, 1993.
** Including undistributed net investment income
(distributions in excess of net investment
income) of: $223,909 ($2,131)
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA ASSET ALLOCATION FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
Year Ended Year Ended
May 31, 1995 May 31, 1994 *
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $10.01 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.22 0.14
Net realized and unrealized gain on investments 1.18 0.02
Total from investment operations 1.40 0.16
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (0.15) (0.10)
Net realized gains - (0.05)
Total distributions (0.15) (0.15)
NET ASSET VALUE, END OF YEAR $11.26 $10.01
TOTAL RETURN 14.13% 1.63%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $7,289 $2,871
Ratio of net expenses to average daily
net assets 0.90% 0.90%
Ratio of net investment income to
average daily net assets 2.46% 2.08%
Portfolio turnover rate 77% 50%
Effect of voluntary expense limitation
during the year:
Per share benefit to net investment
income $0.19 $0.53
Ratios before expense limitation:
Expenses to average daily net assets 3.07% 8.96%
Net investment income (loss) to
average daily net assets 0.28% (5.98%)
* The Fund commenced operations on June 1, 1993.
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA GLOBAL FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
Year Ended Year Ended
May 31, 1995 May 31, 1994 *
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $10.48 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.21 0.11
Net realized and unrealized gain on
investments 0.79 0.76
Total from investment operations 1.00 0.87
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (0.10)
In excess of net investment income - (0.29)
Net realized gains (0.09) -
Total distributions (0.09) (0.39)
NET ASSET VALUE, END OF YEAR $11.39 $10.48
TOTAL RETURN 9.67% 8.68%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $51,319 $41,758
Ratio of net expenses to average daily
net assets 1.00% 1.00%
Ratio of net investment income to average\
daily net 1.61% 1.23%
Portfolio turnover rate 160% 187%
Effect of voluntary expense limitation
during the year:
Per share benefit to net investment income $0.05 $0.04
Ratios before expense limitation:
Expenses to average daily net assets 1.41% 1.53%
Net investment income to average
daily net assets 1.19% 0.70%
* The Fund commenced operations on June 1, 1993.
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA INTERNATIONAL EQUITY FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
<TABLE>
<CAPTION>
Year Ended Year Ended
May 31, 1995 May 31, 1994 *
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.75 $10.00
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.33 0.11
Net realized and unrealized gain on investments 0.19 0.89
Total from investment operations 0.52 1.00
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (0.13) (0.03)
In excess of net investment income (0.06) (0.22)
Net realized gains (0.27) -
In excess of net realized gains (0.19) -
Total distributions (0.65) (0.25)
NET ASSET VALUE, END OF PERIOD $10.62 $10.75
TOTAL RETURN 5.09% 10.12%
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $17,960 $14,955
Ratio of net expenses to average daily net
assets 1.10% 1.10%
Ratio of net investment income to average
daily net assets 1.39% 0.93%
Portfolio turnover rate 218% 160%
Effect of voluntary expense limitation
during the period:
Per share benefit to net investment
income $0.41 $0.16
Ratios before expense limitation:
Expenses to average daily net assets 2.85% 2.42%
Net investment income (loss) to
average daily net assets (0.36%) (0.39%)
* The Fund commenced operations on June 1, 1993.
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
THE PANAGORA FUNDS
NOTES TO FINANCIAL STATEMENTS
The PanAgora Funds (the "Trust") were 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").
1. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies for The Funds.
Such policies are in conformity with generally accepted accounting principles
for investment companies and are consistently followed by The Funds in the
preparation of the 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 (i.e. collateral) 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
The Funds will engage in futures transactions only for bona fide hedging and
non-hedging purposes as defined in regulations of the Commodity Futures Trading
Commission. 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 Funds each
day, depending on the daily fluctuation of the value of the contract.
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 Funds recognize
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 Funds 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.
The Funds do not isolate that portion of the results of changes in foreign
currency exchange rates from the fluctuations arising from changes in the market
prices of securities held at period end. Net realized foreign currency gains and
losses result from changes in exchange rates, including 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.
SECURITY LENDING
The Funds may lend its securities to certain member firms of the New York Stock
Exchange. The loans are collateralized at all times with cash or securities with
a market value at least equal to the market value of the securities on loan. As
with other extensions of credit, the Funds may bear the risk of delay in
recovery or even loss of rights in the collateral should the borrower of the
securities fail financially. The Funds receive compensation for lending its
securities. At May 31, 1995, the PanAgora Asset Allocation Fund and the PanAgora
Global Fund loaned securities having a market value of $202,638, and $480,600,
respectively, collateralized by cash in the amount of $205,475, and $481,535,
respectively, which was invested in short-term investments.
SECURITIES TRANSACTIONS AND INVESTMENT INCOME
Securities transactions are recorded as of the trade date. Realized gains or
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.
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 relating to shareholder distributions
will result in reclassifications to paid-in capital.
FEDERAL INCOME TAXES
It is the policy of the Funds to qualify as a regulated investment company, by
complying with the requirements under Subchapter M 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 provision for federal income or excise tax is necessary.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into an investment advisory agreement (the "Advisory
Agreement") with PanAgora Asset Management, Inc. ("PanAgora"). 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:
PanAgora Asset Allocation Fund 0.60%
PanAgora Global Fund 0.70%
PanAgora International Equity Fund 0.80%
PanAgora has agreed to voluntarily waive and reimburse a portion or all of their
respective fees and expenses of the Asset Allocation Fund, Global Fund and
International Equity Fund to the extent that the Funds' total annual expenses
exceed 0.90%, 1.00% or 1.10% of their average daily net assets, respectively.
Effective August 22, 1994, the Trust entered into Administration, Custodian and
Transfer Agency and Service Agreements with Investors Bank & Trust Company
("Investors Bank"). Prior to August 22, 1994, Boston Company Advisors served as
administrator, Boston Safe Deposit and Trust Company served as custodian and The
Shareholder Services Group, Inc. served as the transfer agent.
PanAgora has agreed to pay to Funds Distributor, Inc., the Trust's 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 Funds do not pay any fees to Funds Distributor, Inc.
No officer, director or employee of PanAgora, Investors Bank 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 any officer, director, or employee of PanAgora and their affiliates or
Investors Bank $5,000 per annum plus $1,000 per meeting attended and reimburses
each such Trustee for travel and out-of-pocket expenses.
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of investment securities, excluding
U.S. Government Securities and short-term investments, during the year ended May
31, 1995 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
<S> <C> <C>
PanAgora Asset Allocation Fund $ 6,355,899 $ 3,277,618
PanAgora Global Fund $63,525,875 $54,922,510
PanAgora International Equity Fund $26,395,816 $25,153,364
</TABLE>
At May 31, 1995, aggregated 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 NET UNREALIZED
TAX UNREALIZED UNREALIZED APPRECIATION
COST APPRECIATION DEPRECIATION (DEPRECIATION)
<S> <C> <C> <C> <C>
PanAgora Asset Allocation Fund $ 7,085,733 $ 445,456 $ (130,429) $ 315,027
PanAgora Global Fund 47,560,731 3,914,600 (1,182,053) 2,732,547
PanAgora International Equity Fund 16,844,374 1,020,458 (589,249) 431,209
</TABLE>
At May 31, 1995, The PanAgora Global Fund had a capital loss carryforward for
U.S. federal income tax purposes of approximately $683,000 available to offset
future capital gains which will expire on May 31, 2003.
4. SHARES OF BENEFICIAL INTEREST
At May 31, 1995 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 Year Ended
May 31, 1995 May 31, 1994
<S> <C> <C>
PANAGORA ASSET ALLOCATION FUND:
Shares sold 412,762 281,095
Shares issued to shareholders in reinvestment of
distributions 9,010 3,736
Shares repurchased (61,034) (1,483)
Net increase 360,738 283,348
Fund shares:
Beginning of year 286,748 3,400
End of year 647,486 286,748
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended
May 31, 1995 May 31, 1994
<S> <C> <C>
PANAGORA GLOBAL FUND:
Shares sold 675,793 4,031,219
Shares issued to shareholders in reinvestment of
distributions 37,633 141,622
Shares repurchased (191,958) (190,318)
Net increase 521,468 3,982,523
Fund shares:
Beginning of year 3,985,823 3,300
End of year 4,507,291 3,985,823
</TABLE>
<TABLE>
<CAPTION>
Year Ended Year Ended
May 31, 1995 May 31, 1994
<S> <C> <C>
PANAGORA INTERNATIONAL EQUITY FUND:
Shares sold 1,228,449 1,362,693
Shares issued to shareholders in reinvestment of
distributions 102,208 31,417
Shares repurchased (1,030,778) (6,813)
Net increase 299,879 1,387,297
Fund shares:
Beginning of year 1,390,597 3,300
End of year 1,690,476 1,390,597
</TABLE>
5. ORGANIZATION COSTS
Each Fund has borne 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 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. FINANCIAL INSTRUMENTS
The Funds may purchase financial instruments with off-balance sheet risk in the
normal course of its investment activities. The Asset Allocation Fund may invest
in futures contracts and the Global Fund and the International Equity Fund may
invest in forward currency contracts and futures contracts. The notional or
contractual amounts of these instruments represent the investment the Funds have
in particular classes of financial instruments and do not represent the amounts
potentially subject to risk. The measurement of the risks associated with these
instruments is meaningful only when all related and offsetting transactions are
considered. A summary of obligations under these financial instruments at May
31, 1995 is as follows:
FORWARD CURRENCY CONTRACTS
GLOBAL FUND
<TABLE>
<CAPTION>
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
<S> <C> <C> <C> <C>
Contracts to buy currency:
6/15/95 Australian Dollar 4,500,000 $ 3,308,850 $(76,387)
6/15/95 Canadian Dollar 1,600,000 1,136,687 30,771
6/15/95 Deutsche Mark 1,800,000 1,310,282 (35,883)
6/15/95 French Franc 5,160,000 1,021,014 18,266
6/15/95 British Pound 1,678,000 2,712,440 (47,927)
6/15/95 Italian Lira 1,372,000,000 794,902 39,300
6/15/95 Japanese Yen 606,020,000 6,765,602 410,478
7/10/95 British Pound 858,994 1,363,000 692
$18,412,777 $339,310
Contracts to sell currency:
6/05/95 British Pound 97,199 $ 152,194 $ (2,158)
6/15/95 Australian Dollar 1,353,000 1,724,194 33,975
6/15/95 Canadian Dollar 1,600,000 1,144,001 (23,456)
6/15/95 French Franc 5,160,000 1,070,828 31,548
6/15/95 British Pound 320,000 515,264 7,133
6/15/95 Japanese Yen 160,000,000 1,927,479 32,866
7/10/95 Deutsche Mark 8,291,201 5,994,000 117,536
7/10/95 Japanese Yen 254,238,364 3,044,000 23,228
$15,571,960 $220,672
</TABLE>
INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
Net Unrealized
Settlement Units of In Exchange for Appreciation
Date Deliver/Receive Currency (in U.S. Dollars) (Depreciation)
<S> <C> <C> <C> <C>
Contracts to buy currency:
6/15/95 Australian Dollar 665,000 $ 488,975 $(11,288)
6/15/95 Spanish Peseta 127,450,000 997,769 41,801
6/15/95 French Franc 6,400,000 1,266,374 22,656
6/15/95 Japanese Yen 112,780,000 1,289,117 46,348
$4,042,235 $ 99,517
Contracts to sell currency:
6/05/95 British Pound 19,959 $ 31,252 $ (443)
6/15/95 Australian Dollar 665,000 483,455 5,769
6/15/95 French Franc 6,400,000 1,328,159 39,129
$1,842,866 $ 44,455
</TABLE>
FUTURES CONTRACTS
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
Buys:
5 U.S. Treasury Note 10 Year Index September 1995 $548,750 $ 33,125
Sells:
2 Standard & Poor's 500 Index June 1995 $533,350 $(56,350)
</TABLE>
GLOBAL FUND
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
Buys:
28 U.S. Treasury Note 10 Year Index June 1995 $ 3,087,000 $ 185,500
38 SFE Index June 1995 1,407,381 68,994
11 U.K. Gilt Index June 1995 949,605 33,281
8 Financial Times Stock Exchange Index June 1995 1,054,832 96,747
5 LF Bund Index June 1995 862,866 21,071
1 Canadian 10 Year Bond Index June 1995 76,549 3,239
2 France 10 Year Bond Index June 1995 226,140 8,462
2 Japan 10 Year Bond Index June 1995 2,544,406 264,319
20 Topix Index June 1995 2,913,599 (34,160)
4 Italian Government Bond Index June 1995 467,992 29,762
1 Australian 10 Year Bond Index June 1995 88,609 5,821
$13,678,979 $ 683,036
Sells:
17 Standard & Poor's 500 Index June 1995 $ 4,533,475 $(326,825)
31 Nikkei 300 Index June 1995 745,634 37,851
14 CAC 40 Index June 1995 1,118,451 (36,721)
341 IBX 35 Index June 1995 880,715 4,671
$ 7,278,275 $(321,024)
</TABLE>
INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
Buys:
2 Financial Times 100 Stock Exchange Index June 1995 $ 263,708 $ 24,187
29 Nikkei 300 Index June 1995 745,344 (54,906)
3 Topix Index June 1995 437,040 (3,733)
395 IBX 35 Index June 1995 1,020,183 (4,505)
$2,466,275 $(38,957)
Sells:
1 CAC 40 Index June 1995 $ 79,889 $ (2,401)
</TABLE>
7. CONCENTRATION
At May 31, 1995, a substantial portion of the PanAgora Global Fund's and the
PanAgora International Equity Fund's net assets consist of securities
denominated in foreign currencies. Changes in currency exchange rates will
affect the value of and investment income from such securities. Foreign
securities are subject to greater price volatility, limited capitalization and
liquidity, and higher rates of inflation than securities of companies based in
the United States.
8. BENEFICIAL INTEREST
At the end of the period, PanAgora Asset Management, Inc. was record owner of
14.64% of the outstanding shares of the PanAgora Asset Allocation Fund and
certain other unaffiliated companies were record owners of more than 10% of the
outstanding shares of The Funds.
<TABLE>
<CAPTION>
UNAFFILIATED COMPANIES
# of Shareholders % of ownership
<S> <C> <C>
PanAgora Asset Allocation Fund 2 79.81%
PanAgora Global Fund 3 96.65%
PanAgora International Equity Fund 2 95.66%
</TABLE>
9. SUBSEQUENT EVENT
On July 21, 1995, The Board of Trustees approved the name change of the Trust to
The PanAgora Institutional Funds. For distributions made during the fiscal year
ended May 31, 1995, The Panagora International Equity Fund has designated
$556,960 as long term capital gains.
THE PANAGORA FUNDS
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS -- (UNAUDITED)
For distributions made during the fiscal year ended May 31, 1995, The Panagora
International Equity Fund has designated $556,960 as long term capital gains.
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of The
PanAgora Funds:
We have audited the accompanying statement of assets and liabilities of The
PanAgora Funds (consisting of the PanAgora Asset Allocation Fund, PanAgora
International Equity Fund and PanAgora Global Fund), including the schedule of
portfolio investments, as of May 31, 1995, and the related statements of
operations for the year then ended and the statements of changes in net assets
and the financial highlights for each of the two years in the period then ended.
These financial statements and 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 and cash
held by the custodians as of May 31, 1995. An audit also includes assessing the
accounting principles used and significant estimates made by management, as well
as evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred
to above present fairly, in all material respects, the financial position of The
PanAgora Funds as of May 31, 1995, the results of their operations for the year
then ended and the changes in net assets and their financial highlights for each
of the two years in the period then ended, in conformity with generally accepted
accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
July 21, 1995
