THE PANAGORA INSTITUTIONAL FUNDS
ANNUAL REPORT
MAY 31, 1996
The PanAgora Institutional Funds
President's Letter
July 19, 1996
Dear Fellow Shareholders:
We are pleased to present the third annual report of The PanAgora Institutional
Funds. The PanAgora Institutional Funds started in 1993 to provide investors
with investment vehicles in the form of mutual funds implementing specific
investment strategies. The PanAgora Institutional Funds make these strategies
available to smaller pension funds, foundations and endowment funds, 401(k)
plans and individual investors.
The PanAgora Institutional Funds are a series of 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 invested in stocks, bonds and cash equivalents in the U. S.
and around the world. Unfortunately, due to limited asset size, the Trustees
found it necessary to close the PanAgora Global Fund in July.
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.
During the past year, the U. S. stock market once again soared to all time
highs, turning in its best calendar year performance since 1975. Bonds also
performed well. These substantial returns were achieved despite a sluggish
economy because investors focused on profitability. There was also a strong
speculative component as mutual fund contributions soared, fueling the market
advance. The Fund performed well by keeping equities close to the benchmark
weighting of 70% for much of the year with the balance in bonds.
The US stock market is showing signs of a speculative bubble. Market
participants are convinced that stocks will go up forever and that all declines
are buying opportunities. An overly confident consensus outlook inevitably leads
to disappointment. We heard this in Japan in 1989, and we heard it in the US in
1987. While we are not predicting another "crash", the stock market is showing a
number of danger signs. First, the economy is showing substantial strength at
full employment levels. Interest rates are rising as the bond market anticipates
Fed tightening to fight inflation pressures. The stock market is also becoming
more volatile on lower trading volume. Despite the stock market's recent
advances, it is not substantially higher than it was at the end of February.
Market churning with high volatility on reduced volume is a sign that "smart
money" is leaving. Consequently, the PanAgora Asset Allocation Fund has reduced
its US equity commitment.
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 PanAgora International
Equity Fund's return for the last year was below its benchmark (EAFE GDP) and
well-below the S&P500 return. This performance reflected the fact that
under-valued countries such as Spain, Italy, and Belgium performed worse than
high-priced countries such as the Japan and the United Kingdom. In addition, the
Fund's 10% position in emerging markets which proved to be substantially worse
performers than either the US or EAFE. Despite the results for this year, we
remain convinced that our basic value strategy and our emerging markets position
will provide superior long-term returns.
The PanAgora Global Fund's investment objective was to maximize total return,
consisting of capital appreciation and current income. The Fund attempted 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. The PanAgora Global Fund's performance reflected the slow growth
and low inflation environment prevalent in most of the developed countries. In
the US, low interest rates and a continued rosy outlook for corporate earnings
caused the S&P500 Stock Index to continue to outstrip most of the world's equity
markets. The US stock market appears high on value measures and was
under-weighted for most of the year. Spain, Italy, and Belgium were much more
attractive on a value basis. These value positions did not help the Fund's
performance as on a global basis value was not rewarded. Our fundamental
valuation measures continue to contribute to a substantial under-weight in the
US going forward, as well as over-weights in the smaller European countries . As
unattractive as the US appears to be relative to other international equity
markets, we continue to slightly emphasize equities as an asset class since many
of the international equity markets appear to still be undervalued relative to
bonds on the basis of their valuation measures. Finally, currency management was
not a significant contributor to the Fund's performance.
We thank you for your interest in The PanAgora Institutional Funds and we look
forward to serving you.
Sincerely,
/S/ Richard A. Crowell
Richard A. Crowell
President
The PanAgora Institutional Funds
PANAGORA ASSET ALLOCATION FUND
MAY 31, 1996
CUMULATIVE TOTAL RETURN (UNAUDITED)
- --------------------------------------------------------------------------------
PanAgora Asset Allocation Fund
One Year 21.05%*
Average Annual Since Inception (6/1/93) 11.98%*
* 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 an average neutral position
towards equities during the last year as strong positive sentiment offset
over-valuation in the stock market. The Fund shifted assets from bonds to cash
in the latter part of 1995 as the yield curve flattened out. When the yield
curve steepened in early 1996, the Fund shifted to a neutral weight in bonds.
Stocks and bonds still had strong returns over the entire period, so the Fund
was able to give a good return, outperforming bonds, while underperforming
stocks. Given its balanced nature, this is in keeping with the Fund's
objectives. As interest rates have risen in the first half of 1996, and stocks
have continued to rise, the Fund has adapted a defensive equity position. As of
5/31/96, the Fund was allocated 55% in stocks, 34% in bonds, and 11% in cash.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
PANAGORA ASSET ALLOCATION FUND (UNAUDITED)
PanAgora Asset S&P 500 Composite Lehman Brothers
Allocation Fund** Stock Price Index** Aggregate Bond Index**
----------------- ------------------- ----------------------
Date
- ----
May 1993 $10,000 $10,000 $10,000
Aug 1993 $10,210 $10,367 $10,418
Nov 1993 $10,170 $10,401 $10,396
Feb 1994 $10,388 $10,590 $10,409
May 1994 $10,163 $10,425 $10,069
Aug 1994 $10,509 $10,934 $10,260
Nov 1994 $10,224 $10,509 $10,077
Feb 1995 $10,792 $11,367 $10,594
May 1995 $11,600 $12,528 $11,226
Aug 1995 $12,496 $13,278 $11,420
Nov 1995 $13,071 $14,394 $11,855
Feb 1996 $13,583 $15,311 $11,890
May 1996 $14,041 $16,091 $11,717
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 the 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, 1996
CUMULATIVE TOTAL RETURN (UNAUDITED)
- --------------------------------------------------------------------------------
PanAgora Global Fund
One Year 9.86%*
Average Annual Since Inception (6/1/93) 9.40%*
* 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, 1996 was
9.86%, reflecting the slow growth and low inflation environment prevalent in
most of the developed countries economies. In the US in particular, low interest
rates and a continued rosy outlook for corporate earnings caused the S&P 500 to
continue to outstrip most of the world's equity markets. The Fund
under-performed its benchmark, largely reflecting its strong value orientation;
the US, with its high value measures, was under-weighted for most of the year,
while countries such as Spain, Italy, and Belgium, which were much more
attractive on a value basis, were over-weighted. These value positions were
largely responsible for the Fund's disappointing performance, as on a global
basis value was not rewarded. Our fundamental valuation measures continue to
contribute to a substantial under-weight in the US going forward, as well as
over-weights in the smaller European countries. As unattractive as the US
appears to be relative to other international equity markets, we continue to
slightly over-weight equities as an asset class since many of the international
equity markets appear to still be undervalued relative to bonds on the basis of
their valuation measures. Finally, our managed currency overlay process was not
a significant contributor to the portfolio performance.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
PANAGORA GLOBAL FUND (UNAUDITED)
PanAgora Salomon Brothers World Morgan Stanley Capital
Global Fund** Government Bond Index** International World Index**
------------- ----------------------- ---------------------------
Date
- ----
May 1993 $10,000 $10,000 $10,000
Aug 1993 $10,590 $10,308 $10,577
Nov 1993 $10,280 $10,338 $10,056
Feb 1994 $11,220 $10,442 $11,091
May 1994 $10,868 $10,348 $10,961
Aug 1994 $11,138 $10,544 $11,467
Nov 1994 $10,827 $10,641 $10,977
Feb 1995 $10,821 $11,174 $11,067
May 1995 $11,919 $12,395 $12,099
Aug 1995 $11,829 $12,068 $12,410
Nov 1995 $12,170 $12,570 $12,997
Feb 1996 $12,645 $12,481 $13,695
May 1996 $13,095 $12,417 $14,255
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 Brothers 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, 1996
CUMULATIVE TOTAL RETURN (UNAUDITED)
- --------------------------------------------------------------------------------
PanAgora International Equity Fund
One Year 7.62%*
Average Annual Since Inception (6/1/93) 7.59%*
* 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 ended May 31,
1996 was 7.62% vs. the benchmark (EAFE GDP) of 10.42%. This poor performance
reflected the fact that high valuation countries such as Spain, Italy, and
Belgium performed worse than did low valuation countries such as Japan and the
UK. The high valuation countries were favored in the portfolio, while the low
valuation countries were held in underweight. Moreover, the Fund held a large
systematic overweight in emerging markets of approximately 10%, which proved to
be a substantially worse performer than either the US or EAFE. On the basis of
our forecast models, we continue to overweight Spain, Italy, and Belgium, while
continuing to underweight Japan and the UK.
HYPOTHETICAL ILLUSTRATION OF $10,000 INVESTED IN
PANAGORA INTERNATIONAL EQUITY FUND (UNAUDITED)
PanAgora International MSCI EAFE- MSCI EAFE
Equity Fund** GDP Index** Index**
---------------------- ----------- ---------
Date
- ----
May 1993 $10,000 $10,000 $10,000
Aug 1993 $10,910 $10,864 $10,739
Nov 1993 $ 9,948 $10,056 $ 9,875
Feb 1994 $11,196 $11,520 $11,450
May 1994 $11,012 $11,656 $11,356
Aug 1994 $11,616 $12,125 $11,902
Nov 1994 $11,073 $11,517 $11,338
Feb 1995 $10,603 $11,296 $10,940
May 1995 $11,573 $12,215 $11,916
Aug 1995 $11,356 $12,331 $11,963
Nov 1995 $11,134 $12,371 $12,198
Feb 1996 $11,934 $13,104 $12,785
May 1996 $12,455 $13,488 $13,189
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 for the countries 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, 1996
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
COMMON STOCK
<S> <C> <C> <C>
AEROSPACE & DEFENSE
Boeing Co............................................... 400 $ 34,100
Trinova Corp............................................ 1,100 36,300
------------
70,400 0.7%
------------
AUTOMOTIVE
Ford Motor Co........................................... 2,400 87,600
General Motors Corp..................................... 900 49,613
Goodyear Tire & Rubber Co............................... 700 35,350
Paccar Inc.............................................. 1,100 54,175
------------
226,738 2.3%
------------
BANKING
Bankamerica Corp........................................ 400 30,100
Bankers Trust New York Corp............................. 300 22,538
Barnett Banks Inc....................................... 300 18,750
Chase Manhattan Corp.................................... 924 64,680
Citicorp................................................ 600 50,400
First Chicago NBD Corp.................................. 362 15,792
Golden West Financial Corp.............................. 600 32,925
Nationsbank Corp........................................ 400 32,450
Norwest Corp............................................ 1,400 48,825
PNC Bank Corp........................................... 1,100 33,413
------------
349,873 3.5%
------------
BEVERAGES, FOOD & TOBACCO
Archer Daniels Midland.................................. 2,000 39,000
Coca-Cola Co............................................ 1,800 82,800
Dole Food Co............................................ 1,100 41,525
Pepsico Inc............................................. 1,200 39,900
Philip Morris Co Inc.................................... 1,100 109,313
Procter & Gamble Co..................................... 500 43,938
Sbarro Inc.............................................. 500 13,313
Seagrams Co Ltd......................................... 1,600 55,400
UST Inc................................................. 1,100 36,300
Whitman Corp............................................ 700 17,588
Wrigley Wm Jr Co........................................ 900 47,138
------------
526,215 5.4%
------------
BUILDING & CONSTRUCTION
Centex Corp............................................. 2,200 66,275
Fleetwood Enterprises Inc............................... 1,200 36,150
Fluor Corp.............................................. 800 52,200
Tyco Lab................................................ 300 11,850
------------
166,475 1.7%
------------
See accompanying notes to the financial statements. 1
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
CHEMICALS
Clorox Co............................................... 600 $ 51,075
EI Dupont de Nemours & Co............................... 1,000 79,750
FMC Corp *.............................................. 500 33,625
Lubrizol Corp........................................... 900 27,338
Nalco Chemical.......................................... 1,700 53,975
PPG Inds................................................ 500 25,875
Tektronix Inc........................................... 500 19,000
Thiokol Corp............................................ 1,000 41,125
Union Carbide Corp...................................... 400 17,250
------------
349,013 3.5%
------------
COMPUTER EQUIPMENT
Autodesk Inc............................................ 400 13,900
Computer Associates International Inc................... 50 3,631
International Business Machines Corp.................... 600 64,050
Oracle Corp *........................................... 1,050 34,781
Tandem Computers Inc *.................................. 1,100 13,750
------------
130,112 1.3%
------------
COMPUTER SOFTWARE & PROCESSING
3 Com Corp *............................................ 500 24,625
Cisco Systems Inc *..................................... 700 38,325
CUC International Inc * (a)............................. 4,700 173,900
Data General Corp *..................................... 2,900 36,922
EMC Corp *.............................................. 1,000 22,125
Microsoft Corp *........................................ 800 95,000
Silicon Graphics * (a).................................. 1,700 46,750
Sun Microsystems Inc *.................................. 200 12,525
------------
450,172 4.5%
------------
ELECTRIC UTILITIES
DQE Inc................................................. 1,200 32,250
Entergy Corp............................................ 2,600 68,250
Niagara Mohawk Power Corp............................... 3,500 26,688
Peco Energy Co.......................................... 2,500 61,563
Southern Co............................................. 2,000 46,250
Texas Utilities Co...................................... 1,300 53,138
------------
288,139 2.9%
------------
ELECTRONICS
Applied Materials Inc *................................. 600 22,350
Ceridian Corp *......................................... 1,000 52,875
General Electric Co..................................... 1,600 132,238
Illinova Corp........................................... 1,300 34,125
Intel Corp.............................................. 800 60,400
Micron Technology Inc................................... 600 19,350
Raytheon Co............................................. 800 42,600
Texas Instruments....................................... 700 39,375
------------
403,313 4.1%
------------
ENTERTAINMENT
Kingworld Productions Inc *............................. 1,400 58,450 0.6%
------------
EQUIPMENT
Medtronic Inc........................................... 500 28,125 0.3%
------------
See accompanying notes to the financial statements. 2
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
FINANCIAL SERVICES
Asarco Inc.............................................. 1,200 $ 37,650
Bear Stearns Co Inc..................................... 819 19,758
Beneficial Corp......................................... 800 46,600
Dean Witter Discover & Co............................... 500 29,625
HF Ahmanson & Co........................................ 2,400 61,800
J P Morgan & Co Inc..................................... 900 78,188
MBNA Corp............................................... 1,950 59,719
Morgan Stanley Group Inc (a)............................ 600 29,700
Salomon Inc............................................. 1,400 58,625
------------
421,665 4.2%
------------
FOREST & PAPER PRODUCTS
Boise Cascade Corp...................................... 1,000 42,000
Champion International.................................. 1,200 52,950
Georgia-Pacific Corp.................................... 200 14,450
International Paper Co.................................. 700 27,913
------------
137,313 1.4%
------------
HEALTH CARE
Humana Inc *............................................ 900 19,800
Mallinckrodt Group Inc.................................. 600 22,575
Novacare Inc *.......................................... 3,100 20,150
Shared Medical.......................................... 400 26,750
United Healthcare Corp.................................. 1,200 65,850
------------
155,125 1.6%
------------
HEAVY MACHINERY
Cincinnati Milacron..................................... 600 14,400 0.1%
------------
HOSPITALS SUPPLIES & SERVICES
Baxter International Inc................................ 1,000 44,250
Becton Dickinson & Co................................... 600 51,000
------------
95,250 1.0%
------------
INSURANCE
Allstate Corp........................................... 870 36,758
American Financial Group Inc............................ 1,000 30,000
Cigna Corp.............................................. 200 22,950
St Paul Cos............................................ 900 47,588
Torchmark Corp.......................................... 700 29,838
Unum Corp............................................... 700 41,300
USF&G Corp.............................................. 700 11,200
------------
219,634 2.2%
------------
LODGING
Marriott International Inc.............................. 300 14,250 0.1%
------------
See accompanying notes to the financial statements. 3
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
METALS & MINING
Alco Standard Corp...................................... 600 $ 37,500
Amerada Hess Corp....................................... 1,000 57,000
Dover Corp.............................................. 600 28,500
Engelhard Corp.......................................... 3,600 88,200
Inco Ltd................................................ 400 13,050
Nucor Corp.............................................. 700 38,500
Phelps Dodge Corp....................................... 500 34,250
Williams Co Inc......................................... 1,300 65,325
------------
362,325 3.6%
------------
OIL & GAS
Ashland Inc............................................. 1,100 47,025
Chevron Corp............................................ 800 47,700
Coastal Corp............................................ 900 36,900
Dresser Industries Inc.................................. 1,100 32,175
Exxon Corp.............................................. 800 67,800
Mobil Corp.............................................. 300 33,863
Oneok Inc............................................... 1,400 38,150
Oryx Energy Co *........................................ 1,900 30,875
Royal Dutch Petroleum ADR (a)........................... 1,400 210,000
Santa Fe Energy Resources Inc *......................... 3,600 43,200
Schlumberger Ltd........................................ 300 25,013
Tenneco Inc............................................. 500 26,875
Unocal Corp............................................. 800 26,000
USX-Marathon Group...................................... 1,500 32,813
------------
698,389 7.0%
------------
PACKAGING & CONTAINERS
Ball Corp............................................... 1,700 46,963
Crown Cork & Seal Inc................................... 600 28,050
Temple Inland Inc....................................... 1,500 73,875
------------
148,888 1.5%
------------
PERSONAL CARE PRODUCTS
Ecolab Inc.............................................. 1,400 45,500
Gillette Co............................................. 800 47,300
Johnson & Johnson....................................... 100 9,738
------------
102,538 1.0%
------------
PHARMACEUTICALS
Abbott Laboratories..................................... 1,200 51,750
Alza Corp Class A *..................................... 1,600 45,600
Eli Lilly & Co.......................................... 300 19,275
Merck & Co Inc.......................................... 1,600 103,400
Pfizer Inc.............................................. 800 56,600
Pharmacia & Upjohn Inc.................................. 1,525 62,334
Schering-Plough Corp.................................... 700 41,038
------------
379,997 3.8%
------------
PRINTING & PUBLISHING
Gibson Greetings Inc *.................................. 1,700 24,438
Tribune Co.............................................. 400 29,650
------------
54,088 0.5%
------------
See accompanying notes to the financial statements. 4
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
RETAILERS
AnnTaylor * (a)......................................... 2,600 $ 53,254
Circuit City Stores Inc................................. 700 22,838
Harcourt General Inc.................................... 800 40,600
Home Depot.............................................. 1,400 71,605
JC Penney Co Inc........................................ 800 41,500
Lowes Co Inc............................................ 1,400 47,950
Rite Aid Corp........................................... 1,200 35,250
Sears Roebuck........................................... 100 5,088
Stride Rite Corp........................................ 1,900 17,100
The Pep Boys............................................ 900 29,700
Toys "R" Us Inc *....................................... 100 2,900
------------
367,785 3.7%
------------
TELECOMMUNICATION
360 Communications Co *................................. 367 8,479
Airtouch Communications Inc *........................... 1,000 31,875
Alltel Corp............................................. 3,500 110,250
Andrew Corp *........................................... 825 44,756
AT & T Corp............................................. 200 12,475
Cabletron Systems Inc *................................. 1,000 72,750
DSC Communications *.................................... 200 6,025
Frontier Corp........................................... 1,300 41,600
Motorola Inc............................................ 500 33,375
Pacific Telesis Group................................... 1,700 56,738
Sprint Corp............................................. 1,100 46,613
Worldcom Inc *.......................................... 600 29,325
------------
494,261 5.0%
------------
TELEPHONE SYSTEMS
Ameritech Corp.......................................... 800 45,200
BellSouth Corp.......................................... 700 28,438
Nynex Corp.............................................. 2,000 92,250
------------
165,888 1.7%
------------
TRANSPORTATION
Alaska Air Group Inc * (a).............................. 700 18,114
American President Co (a)............................... 900 23,738
Conrail Inc............................................. 600 42,150
------------
84,002 0.8%
------------
WHOLESALE TRADE
Fleming Co Inc.......................................... 1,800 28,125 0.3%
----------------------
TOTAL COMMON STOCK (Cost $6,102,869) 6,990,948 70.3%
----------------------
See accompanying notes to the financial statements. 5
</TABLE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
<TABLE>
<CAPTION>
FACE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
LONG TERM-DEBT
US GOVERNMENT OBLIGATIONS
US Treasury Note..................... 7.875% 07/31/96 55,000 $ 55,223
US Treasury Note..................... 5.500% 07/31/97 45,000 44,775
US Treasury Note..................... 8.875% 11/15/97 200,000 207,562
US Treasury Note..................... 7.875% 04/15/98 75,000 77,133
US Treasury Note..................... 6.375% 01/15/99 125,000 124,961
US Treasury Note..................... 6.875% 07/31/99 20,000 20,561
US Treasury Note..................... 8.500% 02/15/2000 10,000 10,622
US Treasury Note..................... 8.750% 08/15/2000 100,000 107,688
US Treasury Note..................... 8.000% 05/15/2001 50,000 52,766
US Treasury Note..................... 7.500% 05/15/2002 75,000 77,976
US Treasury Note..................... 5.750% 08/15/2003 25,000 23,539
US Treasury Bond.....................10.750% 08/15/2005 70,000 88,069
US Treasury Bond..................... 9.375% 02/15/2006 30,000 35,278
US Treasury Bond..................... 8.750% 05/15/2017 75,000 87,750
US Treasury Bond..................... 7.875% 02/15/2021 152,000 164,112
US Treasury Bond..................... 6.250% 08/15/2023 15,000 13,668
------------
1,191,683 12.0%
----------------------
TOTAL LONG-TERM DEBT (Cost $1,192,890) 1,191,683 12.0%
----------------------
SHORT-TERM INVESTMENTS
REPURCHASE AGREEMENT
IBT Repurchase Agreement 4.92%, dated 5/31/96,
to be repurchased at $1,504,505 on 6/3/96, collateralized by
U.S. Government Obligations with a rate of 6.50%
and maturity date of 1/20/24, with an aggregate
market value of $2,200,000 1,504,505 1,504,505 15.1%
------------
COMMERCIAL PAPER
Bank of Ireland...................... 5.250% 06/03/96 611,100 611,100 6.2%
------------
US GOVERNMENT OBLIGATIONS
US Treasury Bill (b)................. 4.990% 06/27/96 90,000 88,852
US Treasury Bill (b)................. 4.850% 06/27/96 15,000 14,790
US Treasury Bill (b)................. 4.820% 06/27/96 20,000 19,713
US Treasury Bill (b)................. 4.750% 06/27/96 25,000 24,631
US Treasury Bill (b)................. 4.950% 06/27/96 40,000 39,460
------------
187,446 1.9%
----------------------
TOTAL SHORT-TERM INVESTMENTS (at Amortized Cost ) 2,303,051 23.2%
----------------------
TOTAL INVESTMENTS (Cost $9,598,810) 10,485,682 105.5%
Excess of Liabilities over Other Assets (546,678) -5.5%
NET ASSETS $ 9,939,004 100.0%
======================
</TABLE>
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.
See accompanying notes to the financial statements. 6
PANAGORA ASSET ALLOCATION FUND
SCHEDULE OF OPEN FUTURES CONTRACTS
MAY 31, 1996
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BUYS:
16 U.S. Treasury Note 10 Year Index Future September 1996 $ 1,697,000 $ (14,938)
---------------
$ (14,938)
===============
SELLS:
5 Standard & Poor's 500 Index Future June 1996 1,667,375 $ (9,700)
---------------
$ (9,700)
===============
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
7
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
COMMON STOCK
<S> <C> <C> <C>
AUSTRIA
Austrian Airline *..................................... 100 18,066
Bank Austria AG *...................................... 1,200 111,747
Bank Austria AG-Participating Certificate *............ 200 6,966
Bank Austria AG-Preferred *............................ 200 8,251
Bbag Oest Brau-Beteiligungs *.......................... 200 11,529
Constantia Iso Holding AG *............................ 333 14,420
Constantia Verpack *................................... 166 10,533
Creditanstalt-Bankverein *............................. 700 49,346
Creditanstalt-Bankverein-Preferred *................... 400 21,791
EA-Generali AG *....................................... 200 65,559
Lenzing AG *........................................... 100 6,789
OEMV AG *.............................................. 600 62,020
Oest Elektrizatswirts A *.............................. 700 53,518
Radex-Heraklith Industrial AG.......................... 350 11,408
Steyr-Daimler-Puch AG *................................ 200 3,129
Universale Bau AG *.................................... 100 4,516
Wienerberger Baustoff Industrie AG..................... 200 41,496
-----------
501,084 0.9%
-----------
BELGIUM
Bekaert SA *........................................... 84 71,451
Cimentaries CBR Strips *............................... 180 40
Cimenteries CBR Cementbed.............................. 1,080 81,448
Cimenteries CBR-Warrant *.............................. 146 419
Delhaize-Le Lion SA-Preferred *........................ 1,918 97,246
Electrabel SA-Strip *.................................. 362 623
Electrabel............................................. 2,031 437,157
Fortis AG *............................................ 1,353 181,853
GBL Group *............................................ 879 116,322
Generale De Banque SA.................................. 561 194,990
Gervaert Photo-Producten NV............................ 2,041 137,976
Glaverbel *............................................ 254 29,320
Kredietbank NPV........................................ 485 141,355
Kredietbank NV......................................... 77 22,540
Petrofina SA NPV....................................... 870 258,836
Reunies Electrobel & Tractebel *....................... 514 228,235
Reunies Electrobel & Tractebel-Strip *................. 81 155
Royal Belge SA-Strip *................................. 128 78
Royal Belge *.......................................... 767 155,063
Solvay Et Cie A NPV.................................... 312 187,041
The Union Miniere Group *.............................. 925 68,726
-----------
2,410,874 4.5%
-----------
CANADA
Inco Ltd............................................... 1,200 39,150
Seagrams Co Ltd *...................................... 4,400 152,350
-----------
191,500 0.4%
-----------
See accompanying notes to the financial statements. 8
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
DENMARK
Aarhus Oliefabrik A.................................... 95 5,141
Aarhus Oliefbarik B.................................... 24 1,263
Carlsberg A *.......................................... 1,075 61,126
Carlsberg B *.......................................... 873 48,899
Danisco AS............................................. 1,704 82,720
Den Danske Bank........................................ 1,632 102,216
Det Danske Luftfartselskab............................. 258 18,217
D/S 1912 B............................................. 6 132,394
D/S Svendborg B........................................ 4 130,357
East Asiatic Co *...................................... 615 13,153
Fls Industries AS B.................................... 257 26,522
GN Store Nord.......................................... 182 15,620
ISS Intl Service System B.............................. 875 17,080
Korn-Og Foderstofkomp.................................. 373 16,778
Lauritzen B *.......................................... 82 9,061
Nordiske Kabel Traadfabri.............................. 223 10,977
Novo-Nordisk AS........................................ 1,127 154,947
Radiometer............................................. 304 19,608
Royal Copenhagen AS *.................................. 83 7,044
Sophus Berendsen AS A.................................. 179 23,886
Sophus Berendsen....................................... 543 72,351
Superfos AS............................................ 185 17,051
Tele Danmark B......................................... 4,100 201,816
Unidanmark............................................. 1,627 70,421
-----------
1,258,648 2.3%
-----------
FRANCE
Accor SA *............................................. 300 43,264
Air Liquide *.......................................... 700 121,816
Alcatel Alsthom *...................................... 1,500 136,760
AXA Co................................................. 1,700 96,452
Banque National de Paris *............................. 1,900 71,278
BIC.................................................... 200 22,842
Bouygues............................................... 200 21,758
Carrefour Supermarche-Rights *......................... 300 82,869
Carrefour Supermarche.................................. 300 164,344
Casino Etabl Econ *.................................... 600 25,203
Charqeurs French *..................................... 110 31,407
Cie Generale des Eaux.................................. 1,200 128,455
Compagnie Bancaire..................................... 330 36,156
Compagnie de Saint Goban *............................. 800 102,207
Compagnie Financiere de Suez *......................... 1,600 61,789
Compagnie Financiere Paribas........................... 1,200 72,938
Comptoirs Modernes *................................... 100 44,928
Docks de France *...................................... 100 22,764
Ecco SA................................................ 100 24,003
Eridania Beghin Say.................................... 300 47,038
Essilor International Say.............................. 100 24,584
Financiere pour l'Expansion des Telecommunications *... 100 1,548
Groupe Danone.......................................... 700 102,439
See accompanying notes to the financial statements. 9
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
FRANCE - (CONTINUED)
Groupe Saint Louis ................................... 100 $ 27,100
Havas SA............................................... 500 42,780
Imetal................................................. 100 15,505
Lafarge Coppee......................................... 880 57,985
Lagardere Groupe....................................... 900 24,443
L'Oreal *.............................................. 600 182,695
LVMH Co................................................ 900 218,467
Lyonnaise des Eaux-Dumez *............................. 600 58,188
Michelin B French Registered........................... 1,100 55,468
Nord-Est *............................................. 100 2,710
Pernod-Ricard.......................................... 600 39,466
Peugeot SA............................................. 500 69,686
Printemps.............................................. 200 61,943
Promodes *............................................. 200 52,304
Rhone Polenc........................................... 3,300 82,276
Schneider SA........................................... 1,200 55,563
SEFIMEG................................................ 200 13,318
Simco *................................................ 200 18,157
Societe Generale....................................... 900 95,819
Sodexho................................................ 100 38,734
Thomson CSF............................................ 1,200 31,382
Total Cie Francaise Petroles *......................... 2,300 166,378
-----------
2,897,209 5.4%
-----------
GERMANY
Viag AG................................................ 100 38,919 0.1%
-----------
GREAT BRITAIN
Abbey National......................................... 3,935 33,650
Anglian Water PLC...................................... 1,248 11,639
Associated British Foods............................... 3,172 18,575
Barclay's PLC.......................................... 3,197 37,245
BOC Group.............................................. 2,503 35,985
British Aerospace PLC.................................. 1,177 16,192
British Airways PLC.................................... 1,566 13,610
British Gas Corp....................................... 8,437 24,834
British Land Co PLC.................................... 1,678 10,632
British Petroleum Co PLC............................... 9,135 78,543
British Sky Broadcasting PLC *......................... 2,000 13,912
British Steel.......................................... 11,387 29,813
British Telecommunications PLC......................... 10,014 55,694
BTR Limited............................................ 6,464 28,240
Bunzl PLC.............................................. 6,696 24,378
Burmah Castrol PLC..................................... 1,026 16,610
B.A.T. Industries...................................... 3,581 28,792
Cable & Wireless....................................... 2,584 17,814
Cadbury Schweppes PLC.................................. 2,800 20,995
Carlton Communications................................. 3,815 28,605
See accompanying notes to the financial statements. 10
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
Great Britain - (continued)
Dawson International PLC............................... 12,169 $ 16,590
Dixons Group PLC....................................... 3,000 23,284
East Midlands Electricity PLC.......................... 1,446 13,217
General Electric Co PLC................................ 3,758 21,657
GKN PLC................................................ 1,168 17,896
Glaxo Wellcome PLC..................................... 6,950 91,573
Great Portland Estates PLC............................ 4,927 13,052
Great Universal Stores................................. 2,099 22,047
Guinness PLC........................................... 4,256 30,644
Hambros PLC............................................ 4,010 14,630
Hammerson Prop Inv & Dev PLC........................... 2,862 16,538
Hanson Trust PLC....................................... 8,159 23,637
HSBC Holdings PLC *.................................... 2,000 30,442
Hyder PLC.............................................. 2,000 23,269
Imperial Chemical Industries........................... 2,323 30,662
Ladbroke Group......................................... 9,621 28,170
Land Securities PLC.................................... 2,314 22,979
Lloyds Abbey Life Group................................ 1,934 15,520
Lloyds Tsb Group PLC................................... 6,322 30,655
London International Group PLC......................... 11,527 26,786
Marks & Spencer PLC.................................... 2,694 19,303
MEPC British Registered................................ 3,033 19,688
MFI Furniture PLC...................................... 3,000 8,598
National Grid Holdings................................. 1,818 5,126
National Power PLC..................................... 1,719 13,861
Prudential Corp........................................ 4,290 28,545
Reed International Ltd................................. 1,141 19,727
Reuters Holdings PLC................................... 1,695 19,707
Sainsbury PLC.......................................... 4,098 25,172
Sears PLC.............................................. 8,351 12,226
Securicor Group A...................................... 1,018 19,477
Sedgwick Group PLC..................................... 6,428 14,838
Severn Trent *......................................... 1,600 14,959
Smithkline Beecham PLC................................. 3,196 32,501
Smiths Industries...................................... 1,769 19,156
South West Water PLC................................... 1,200 12,511
Tarmac PLC............................................. 14,659 27,025
Thorn EMI PLC.......................................... 1,734 48,192
Unigate PLC............................................ 1,698 10,601
Unilever Limited....................................... 504 9,370
-----------
1,439,589 2.7%
-----------
HONG KONG
Dairy Farm International Holdings...................... 20,000 17,000 0.0%
-----------
See accompanying notes to the financial statements. 11
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
IRELAND
CRH PLC................................................ 3,500 33,335
FII Fyffes............................................. 2,800 4,667
Greencore PLC.......................................... 1,600 7,620
Independent Newspapers................................. 1,200 9,524
Irish Life PLC......................................... 3,000 12,001
James Crean PLC........................................ 6,000 23,621
Kerry Group PLC........................................ 1,599 16,321
Smurfit Jefferson Group................................ 10,600 27,848
Waterford Wedgewood ................................... 7,000 8,834
Woodchester Investments PLC............................ 29,200 90,850
-----------
234,621 0.4%
-----------
ITALY
Assicurazione Generali................................. 8,980 214,285
Banco Ambrosiano Veneto................................ 7,600 21,365
Bank Commerciale Italiana.............................. 24,100 50,749
Benetton............................................... 2,700 33,197
Burgo (Caritere) SPA *................................. 1,900 11,672
Credito Italiano....................................... 34,100 42,408
Edison SPA............................................. 9,700 57,075
Fiat Italian-Private Placement......................... 14,200 26,582
Fiat Risp-Non Convertable.............................. 10,900 20,051
Fiat SPA............................................... 36,000 126,525
FIDIS Italian *........................................ 5,700 16,245
Istituto Banc San Paolo Torina......................... 7,800 47,441
Istituto Mobiliare Italiano............................ 5,000 40,904
Istituto Nazionale Delle Assic *....................... 41,000 61,931
Italcenenti Fabbriche Riunit........................... 2,500 20,606
Italgas................................................ 10,100 36,282
Magnetti Marelli SPA *................................. 6,600 9,525
Mediobanca Banca Di Credito............................ 7,300 50,079
Montedison SPA *....................................... 51,300 31,188
Olivetti D Risp Port - Non Convertable *............... 100 50
Olivetti *............................................. 19,200 12,031
Parmalat Finanziaria SPA *............................. 17,400 21,854
Pirelli SPA *.......................................... 21,900 36,102
RAS SPA................................................ 4,510 47,494
Rinascente - Warrants.................................. 120 90
Rinascente *........................................... 2,400 16,105
Saipan Italian......................................... 6,100 24,975
SAI.................................................... 1,900 19,317
Sirti SPA.............................................. 3,400 21,785
Snia BPD............................................... 4,600 5,819
Telecom Italia -Di Risp................................ 23,800 40,035
Telecom Italia Mobile - DRNC........................... 21,000 28,660
Telecom Italia Mobile.................................. 74,900 161,022
Telecom Italia SPA (a)................................. 71,200 143,382
-----------
1,496,831 2.8%
-----------
See accompanying notes to the financial statements. 12
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
JAPAN
Alps Electronics Co.................................... 3,000 34,225
Aoki International Co Ltd.............................. 1,000 21,426
Asahi Bank Ltd......................................... 4,000 48,231
ASICS Corp *........................................... 17,000 60,075
Chiyoda Fire & Marine Insurance Co..................... 10,000 62,422
Chubu Electric Power................................... 2,000 46,561
Dai Nippon Printing Co Ltd............................. 6,000 111,302
Dai-Ichi Kangyo Bank................................... 7,000 126,606
Daikyo Inc............................................. 15,000 118,676
Daito Trust Construction............................... 6,000 88,485
Daiwa House Industry................................... 2,000 30,608
Daiwa Kosho Lease Co Ltd *............................. 7,000 73,366
Daiwa Securities....................................... 4,000 53,796
Fuji Bank.............................................. 8,000 174,373
Fuji Photo Film........................................ 2,000 62,329
Fujisawa Pharmaceutical................................ 11,000 117,331
Fujita Corp............................................ 18,000 94,829
Fujitsu Ltd............................................ 5,000 45,448
Fukuyama Transporting Co............................... 7,000 68,172
Gakken 9470............................................ 11,000 77,744
Green Cross............................................ 11,000 61,420
Gunze Ltd.............................................. 8,000 51,570
Haseko Corp *.......................................... 23,000 103,038
Hazama-Gumi............................................ 12,000 55,094
Hitachi Seisakusho Ltd................................. 22,000 204,053
Hokkaido Bank.......................................... 9,000 28,132
Hokkaido Takushoku Bank................................ 9,000 24,375
Hokuriku Bank.......................................... 5,000 31,072
House Food Industry.................................... 3,000 58,712
Industrial Bank of Japan............................... 7,000 180,494
Kansai Electric Power.................................. 4,040 93,304
Kawasaki Steel......................................... 15,000 55,651
Kobe Steel Ltd *....................................... 21,000 58,044
Kokusai Den *.......................................... 1,300 121,783
Komatsu Ltd............................................ 16,000 152,854
Kumagai Gumi Co *...................................... 18,000 75,963
Kurabo Industries...................................... 8,000 31,684
Long Term Credit Bank of Japan......................... 6,000 48,639
Marubeni Corp.......................................... 9,000 49,168
Marudai Food Co Ltd.................................... 18,000 125,214
Matsushita Electric Industries......................... 12,000 207,021
Mazda Motors *......................................... 24,000 114,641
Mitsubishi Electric.................................... 18,000 123,545
Mitsubishi Heavy....................................... 16,000 137,866
Mitsubishi Trust....................................... 2,000 33,391
Mitsui Fudosan......................................... 4,000 50,828
Mitsui Trust & Banking................................. 6,000 66,225
See accompanying notes to the financial statements. 13
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
JAPAN - (CONTINUED)
Nagase & Co............................................ 7,000 $ 69,471
Nagoya Railroad Co Ltd................................. 12,000 62,218
Nichiei Fudosan........................................ 16,000 77,466
Nihon Cement Co Ltd.................................... 2,000 14,636
Nippon Oil Co.......................................... 21,000 139,266
Nippon Shinpan Co *.................................... 5,000 37,101
Nippon Steel Corp...................................... 26,000 88,503
Nishi-Nippon Bank...................................... 7,000 56,161
Nissan Motors.......................................... 12,000 98,947
Nisshinbo Industries Inc............................... 5,000 49,622
Nomura Securities Co Ltd............................... 2,000 37,843
Orient Corp............................................ 7,000 46,617
Renown Inc *........................................... 30,000 123,545
Sakura Bank Ltd........................................ 12,000 131,336
Sanyo Electric Co Ltd.................................. 21,000 125,242
Seino Transportation Co Ltd............................ 2,000 33,762
Sekisui House Ltd...................................... 11,000 129,574
Shiseido Co............................................ 12,000 149,144
Sumitomo Bank.......................................... 9,000 177,805
Sumitomo Corp.......................................... 10,000 111,302
Teijin Limited......................................... 11,000 57,033
The Bank of Tokyo Mitsubishi........................... 7,200 170,960
Toho Rayon Co Ltd *.................................... 16,000 84,589
Tokai Bank............................................. 8,000 100,172
Tokio Marine & Fire Insurance.......................... 3,000 38,956
Tokyo Electric Power Co Inc............................ 5,050 129,745
Tokyo Electron Ltd *................................... 3,000 92,659
Tokyotokeiba........................................... 16,000 79,840
Toyo Trust & Banking................................... 3,000 28,660
Toyoda Automatic Loom Works............................ 2,000 40,440
Toyota Motor Co........................................ 15,000 343,644
Victor Co.............................................. 3,000 42,851
Yamaichi Securities.................................... 10,000 72,346
Yasuda Trust & Banking................................. 9,000 54,594
-----------
6,955,836 12.9%
-----------
MALAYSIA
Genting Berhad......................................... 22,500 190,991
Sime Darby Berhad...................................... 8,000 21,356
-----------
212,347 0.4%
-----------
NETHERLANDS
Royal Dutch Petroleum ADR (a).......................... 3,800 570,000 1.1%
-----------
NEW ZEALAND
Fletcher Forestry Shares............................... 25,000 32,113 0.1%
-----------
NORWAY
Aker AS B.............................................. 1,300 23,114
Norsk Hydro............................................ 100 4,744
-----------
27,858 0.1%
-----------
See accompanying notes to the financial statements. 14
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
SINGAPORE
Jardine Matheson Holdings.............................. 2,000 15,400
Overseas Chinese Banking Corp.......................... 1 13
Singapore Press Holdings *............................. 400 4,203
United Overseas Bank................................... 300 2,726
-----------
22,342 0.0%
-----------
SPAIN
Acerinox SA............................................ 330 36,424
Alba Corp France....................................... 600 51,535
Argentaria SA.......................................... 4,000 167,586
Autopistas Concesionaria Espanola Accion............... 6,500 69,977
Banco Bilbao Vizcaya................................... 7,400 279,837
Banco Central Hispano.................................. 5,200 104,485
Banco de Santander..................................... 5,100 232,701
Banco Espanol de Credito *............................. 3,100 19,639
Corporacion Mapfre..................................... 800 39,425
Dragados y Construcciones.............................. 1,900 25,476
Ebro Agricolas......................................... 1,500 16,731
Empresa Nacional de Celulosa........................... 600 8,442
Empresa Nacional de Electricidad....................... 8,300 512,903
Fabrica Autom *........................................ 700 14,691
Fomento Construction y Contra.......................... 500 40,031
Gas Natural Sdg SA..................................... 1,200 211,737
Iberdrola SA........................................... 29,300 297,213
Inmobil Metro Vasco - Central.......................... 700 22,689
Portland Valderr....................................... 200 12,157
Prosegur Compania Securidad............................ 400 14,302
Repsol SA.............................................. 9,600 328,333
Sociedad Espanola de Carburos.......................... 400 17,318
Tabacalera Spani....................................... 1,200 54,753
Telefonica de Espana................................... 30,000 538,671
Union Electrica Fenosa SA.............................. 9,300 56,458
Uralita SA............................................. 1,700 14,998
Vallehermoso SA........................................ 1,400 24,648
Zardoya Otis........................................... 300 29,825
-----------
3,242,985 6.0%
-----------
SWEDEN
ABBB AB A.............................................. 100 10,334
AGA AB Class B Free.................................... 200 3,420
AGA AB Free Shares..................................... 200 3,301
Assa Abloy AB B........................................ 1,200 14,096
Astra AB A............................................. 900 41,149
Astra AB B............................................. 200 9,025
Atlas Copco AB A ...................................... 200 3,717
Atlas Copco AB B....................................... 2,200 41,052
Electrolux............................................. 100 5,100
Ericsson AB B.......................................... 1,600 35,804
Hennes & Mauritz....................................... 100 7,360
Nackebro Fastighets AB *............................... 400 556
Skandia Forsakrings AB................................. 200 5,100
See accompanying notes to the financial statements. 15
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
SWEDEN - (CONTINUED)
Skandinaviska Enskilda Bankn A......................... 900 $ 7,092
Skanska B.............................................. 200 6,512
Stora Kopparbergs A.................................... 500 6,654
Svenska Cellulosa AB B................................. 300 5,866
Svenska Handelsbanken.................................. 400 8,237
Swedish Match AB *..................................... 13,400 44,630
Trelleborg B........................................... 200 2,557
Volvo Aktiebolag A..................................... 12,900 274,282
Volvo Aktiebolag B..................................... 500 10,594
-----------
546,438 1.0%
-----------
SWITZERLAND
Zurich Versicherungs................................... 505 133,267 0.2%
-----------
UNITED STATES
3 Com Corp *........................................... 1,400 68,950
360 Communications Co *................................ 1,000 23,125
Abbott Laboratories.................................... 3,500 150,938
Airtouch Communications Inc *.......................... 2,800 89,250
Alaska Air Group Inc * (a)............................. 1,900 49,400
Alco Standard Corp..................................... 1,800 112,500
Allstate Corp.......................................... 2,473 104,484
Alltel Corp *.......................................... 9,600 302,400
Alza Corp Class A *.................................... 4,300 122,550
Amerada Hess Corp...................................... 2,800 159,600
American Financial Group Inc........................... 2,800 84,000
American President Co (a).............................. 2,500 65,938
Ameritech Corp......................................... 2,300 129,950
Andrew Corp *.......................................... 2,200 119,350
AnnTaylor * (a)........................................ 7,600 156,750
Applied Materials Inc *................................ 1,400 52,150
Archer Daniels Midland................................. 5,400 105,300
Asarco Inc............................................. 3,300 103,538
Ashland Inc............................................ 3,100 132,525
AT & T Corp............................................ 600 37,425
Autodesk Inc........................................... 1,200 41,700
Ball Corp.............................................. 4,600 127,075
Bankamerica Corp....................................... 1,000 75,250
Bankers Trust New York Corp............................ 500 37,563
Barnett Banks Inc...................................... 800 50,000
Baxter International Inc *............................. 2,700 119,475
Bear Stearns Co Inc.................................... 2,205 53,196
Becton Dickinson & Co *................................ 1,200 102,000
BellSouth Corp *....................................... 1,900 77,188
Beneficial Corp........................................ 2,200 128,150
Boeing Co.............................................. 600 51,150
Boise Cascade Corp..................................... 3,200 134,400
Cabletron Systems Inc *................................ 2,700 196,425
Centex Corp............................................ 6,100 183,763
See accompanying notes to the financial statements. 16
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
UNITED STATES - (CONTINUED)
Ceridian Corp *........................................ 3,000 $ 158,625
Champion International *............................... 3,600 158,850
Chase Manhattan Corp................................... 2,400 168,000
Chevron Corp........................................... 2,300 137,138
Cigna Corp *........................................... 600 68,850
Cincinnati Milacron.................................... 1,600 38,400
Circuit City Stores Inc *.............................. 2,000 65,250
Cisco Systems Inc *.................................... 2,600 142,350
Citicorp............................................... 1,700 142,800
Clorox Co.............................................. 1,500 127,688
Coastal Corp........................................... 2,600 106,600
Coca-Cola Co........................................... 5,000 230,000
Conrail Inc............................................ 1,400 98,350
Crown Cork & Seal Inc.................................. 1,700 79,475
CUC International Inc * (a)............................ 12,900 477,300
Data General Corp *.................................... 8,000 102,000
Dean Witter Discover & Co.............................. 1,400 82,950
Dole Food Co........................................... 3,000 113,250
Dover Corp............................................. 1,700 80,750
DQE Inc *.............................................. 3,300 88,688
Dresser Industries Inc................................. 3,200 93,600
Eastman Chemical Co.................................... 25 1,675
Ecolab Inc............................................. 3,900 126,750
EI Dupont de Nemours & Co.............................. 2,700 215,325
Eli Lilly & Co......................................... 700 44,975
EMC Corp *............................................. 2,800 61,950
Engelhard Corp......................................... 9,800 240,100
Entergy Corp........................................... 7,200 189,000
Exxon Corp............................................. 2,200 186,450
First Chicago NBD Corp................................. 1,097 47,857
First Data Corp........................................ 600 47,850
Fleetwood Enterprises Inc *............................ 3,300 99,413
Fleming Co Inc......................................... 5,200 81,250
Fluor Corp............................................. 2,100 137,025
FMC Corp *............................................. 1,400 94,150
Ford Motor Co.......................................... 6,700 244,550
Frontier Corp.......................................... 3,700 118,400
General Electric Co.................................... 4,300 355,825
General Motors Corp.................................... 2,400 132,300
Georgia-Pacific Corp................................... 500 36,125
Gibson Greetings Inc *................................. 4,700 67,563
Gillette Co............................................ 1,900 112,338
Golden West Financial Corp............................. 1,300 71,338
Goodyear Tire & Rubber Co.............................. 2,000 101,000
Harcourt General Inc................................... 2,200 111,650
Hewlett-Packard Co *................................... 400 42,700
HF Ahmanson & Co....................................... 6,700 172,525
See accompanying notes to the financial statements. 17
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
UNITED STATES - (CONTINUED)
Home Depot............................................. 3,800 194,275
Humana Inc *........................................... 2,300 50,600
Illinova Corp.......................................... 3,700 97,125
Intel Corp............................................. 2,200 166,100
International Business Machines Corp................... 1,800 192,150
International Paper Co................................. 1,800 71,775
J P Morgan & Co Inc *.................................. 2,500 217,188
JC Penney Co Inc....................................... 2,400 124,500
Kingworld Productions Inc *............................ 3,900 162,825
Lockheed Martin Corp................................... 500 41,938
Lowes Co Inc........................................... 3,800 130,150
Lubrizol Corp.......................................... 2,600 78,975
Mallinckrodt Group Inc................................. 1,500 56,438
Marriott International Inc............................. 800 38,000
MBNA Corp.............................................. 5,400 165,375
Medtronic Inc *........................................ 1,400 78,750
Merck & Co Inc *....................................... 4,300 277,888
Micron Technology Inc.................................. 1,900 61,275
Microsoft Corp *....................................... 2,200 261,250
Mobil Corp............................................. 900 101,588
Morgan Stanley Group Inc............................... 1,900 94,050
Motorola Inc........................................... 1,200 80,100
Nalco Chemical......................................... 4,800 152,400
Nationsbank Corp *..................................... 1,200 97,350
Niagara Mohawk Power Corp.............................. 9,600 73,200
Norwest Corp........................................... 3,800 132,525
Novacare Inc *......................................... 8,600 55,900
Nucor Corp *........................................... 2,000 110,000
Nynex Corp............................................. 5,500 253,688
Oneok Inc.............................................. 4,000 109,000
Oracle Corp *.......................................... 2,850 94,406
Oryx Energy Co *....................................... 5,300 86,125
Paccar Inc............................................. 3,100 152,675
Pacific Telesis Group.................................. 4,900 163,538
Peco Energy Co......................................... 6,900 169,913
Pepsico Inc............................................ 3,200 106,400
Pfizer Inc............................................. 2,100 148,575
Pharmacia & Upjohn Inc................................. 4,100 167,588
Phelps Dodge Corp...................................... 1,400 95,900
Philip Morris Co Inc................................... 3,000 298,125
PNC Bank Corp.......................................... 3,000 91,125
PPG Inds............................................... 1,300 67,275
Procter & Gamble Co.................................... 800 70,300
Raytheon Co............................................ 2,300 122,475
Rite Aid Corp.......................................... 3,300 96,938
Salomon Inc............................................ 3,900 163,313
Santa Fe Energy Resources Inc *........................ 10,000 120,000
Sbarro Inc *........................................... 1,400 37,275
Schering-Plough Corp................................... 1,900 111,388
Schlumberger Ltd....................................... 800 66,700
See accompanying notes to the financial statements. 18
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- --------------------------------------------------------------------------------------------
UNITED STATES - (CONTINUED)
Sears Roebuck.......................................... 200 10,175
Shared Medical......................................... 1,100 73,563
Silicon Graphics *..................................... 4,600 126,500
Southern Co............................................ 5,400 124,875
Sprint Corp *.......................................... 3,000 127,125
St Paul Cos........................................... 2,400 126,900
Stride Rite Corp....................................... 5,200 46,800
Sun Microsystems Inc *................................. 400 25,050
Tandem Computers Inc *................................. 3,100 38,750
Tektronix Inc.......................................... 1,300 49,400
Temple Inland Inc...................................... 4,100 201,925
Tenneco Inc............................................ 1,400 75,250
Texas Instruments...................................... 1,600 90,000
Texas Utilities Co..................................... 3,400 138,975
The Pep Boys........................................... 2,600 85,800
Thiokol Corp........................................... 2,800 115,150
Torchmark Corp *....................................... 1,700 72,463
Tribune Co............................................. 1,000 74,125
Trinova Corp........................................... 3,100 102,300
Tyco Lab............................................... 800 31,600
Union Carbide Corp..................................... 1,200 51,750
United Healthcare Corp................................. 3,200 175,600
Unocal Corp............................................ 2,200 71,500
Unum Corp.............................................. 1,800 106,200
USF&G Corp............................................. 2,000 32,000
UST Inc................................................ 3,400 112,200
USX-Marathon Group..................................... 4,100 89,688
Whitman Corp........................................... 1,800 45,225
Williams Co Inc........................................ 3,500 175,875
Worldcom Inc *......................................... 1,700 83,088
Wrigley Wm Jr Co....................................... 2,500 130,938
-----------
18,415,658 34.3%
---------------------
TOTAL COMMON STOCK (Cost $36,730,623) 40,645,119 75.6%
---------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS
<S> <C> <C> <C> <C> <C>
FACE
REPURCHASE AGREEMENT AMOUNT
IBT Repurchase Agreement 4.92%, dated 5/31/96, ------
to be repurchased at $11,365,006 on 6/3/96, collateralized by
U.S. Government Obligations with rates ranging from 7.50%
to 7.606% and maturity dates ranging from 4/1/07 to 11/1/22
with an aggregate market value of $12,100,000. 11,365,006 11,365,006 21.2%
-----------
COMMERCIAL PAPER
Bank of Ireland...................... 5.250% 06/03/96 1,627,300 1,627,300 3.0%
-----------
See accompanying notes to the financial statements. 19
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
FACE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------
US GOVERNMENT OBLIGATIONS
US Treasury Bill (b)................. 4.940% 06/27/96 650,000 641,259
US Treasury Bill (b)................. 4.940% 06/27/96 1,000,000 986,552
-----------
1,627,811 3.0%
---------------------
TOTAL SHORT-TERM INVESTMENTS (at Amortized Cost) 14,620,117 27.2%
---------------------
TOTAL INVESTMENTS (Cost $51,350,740) 55,265,236 102.8%
Excess of Liabilities over Other Assets (1,505,856) -2.8%
---------------------
NET ASSETS $ 53,759,380 100.0%
=====================
</TABLE>
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.
See accompanying notes to the financial statements. 20
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
SCHEDULE OF INVESTMENTS
At May 31, 1996, industry sector diversification of the Pan Agora Global Fund's
investments as a percentage of net assets was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 8.68%
Electric Utilities 5.72
Oil & Gas 5.33
Electronics 4.96
Beverages, Food & Tobacco 4.66
Telecommunication 4.55
Financial Services 4.01
Automotive 3.38
Retailers 3.26
Building & Construction 2.95
Pharmaceuticals 2.95
Insurance 2.93
Chemicals 2.89
Metals and Mining 2.60
Computer Software & Processing 2.41
Personal Care Products 1.06
Forest & Paper Products 0.94
Telephone Systems 0.90
Textiles & Apparel 0.86
Packaging & Containers 0.83
Diversified 0.80
Health Care 0.80
Computer Equipment 0.73
Building Materials & Components 0.71
Entertainment 0.71
Aerospace & Defense 0.70
Printing & Publishing 0.68
Heavy Machinery 0.66
Transportation 0.66
Real Estate 0.65
Miscellaneous 2.64
Short Term Investments 24.39
--------
100.00%
========
21
PANAGORA GLOBAL FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
MAY 31, 1996
<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:
06/14/96 Australian Dollar 5,051,000 $ 3,877,002 $ 151,611
06/14/96 Canadian Dollar 5,943,400 4,352,351 (14,375)
06/14/96 Deutsche Mark 1,143,600 775,322 (25,184)
07/03/96 Deutsche Mark 1,178,904 801,000 (26,856)
06/14/96 French Franc 4,308,500 851,482 (16,965)
06/14/96 British Pound 1,335,278 2,029,461 38,641
06/14/96 Italian Lira 2,682,864,000 1,703,139 32,027
06/14/96 Japanese Yen 268,280,000 2,568,502 (75,217)
07/03/96 Japanese Yen 459,498,350 4,374,953 (93,000)
-------------
$ (29,318)
=============
CONTRACTS TO SELL CURRENCY:
07/03/96 Deutsche Mark 1,511,474 $ 988,068 $ (4,463)
06/14/96 Spanish Peseta 107,785,000 859,975 22,915
06/14/96 French Franc 3,561,000 706,730 16,996
07/03/96 British Pound 1,342,938 2,036,554 (42,737)
06/14/96 Italian Lira 859,800,000 542,803 (13,280)
06/14/96 Japanese Yen 36,162,000 339,581 3,506
07/03/96 Japanese Yen 75,856,480 712,000 5,112
------------
$ (11,951)
============
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
22
PANAGORA GLOBAL FUND
SCHEDULE OF OPEN FUTURES CONTRACTS
MAY 31, 1996
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BUYS:
41 U.S. Treasury Note 10 Year Index Future June 1996 $ 4,366,500 $ (178,781)
7 Australian 10 Year Bond Index Future June 1996 274,595 (6,859)
62 Australian All Ordinary Index Future June 1996 2,732,116 (17,409)
1 Financial Times Stock Exchange Index Future June 1996 142,877 (1,532)
18 United Kingdom Gilt Index Future June 1996 1,452,966 (13,294)
3 Germany Bond Index Future June 1996 489,174 (4,714)
15 Canadian 10 Year Bond Index Future June 1996 1,183,805 (11,495)
30 Toronto 35 Stock Index Future June 1996 2,979,850 182,542
2 French 10 Year Bond Index Future June 1996 243,638 2,777
2 Japan 10 Year Bond Index Future June 1996 2,285,399 31,792
1 Italian 10 Year Bond Index Future June 1996 149,019 6,153
9 MIB 30 Index Future June 1996 918,218 61,838
-----------
$ 51,018
===========
SELLS:
17 Standard & Poor's 500 Index Future June 1996 5,669,075 $ (242,125)
2 CAC 40 Index Future June 1996 165,383 (4,469)
2 TOPIX Index Future June 1996 311,606 (4,128)
277 IBX 35 Index Future June 1996 912,071 (52,375)
----------
$ (303,097)
===========
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
23
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
COMMON STOCK
<S> <C> <C> <C>
ARGENTINA
Astra Cia Argentina Depetro......................... 1,000 $ 2,251
Banco Frances Del Rio Plata......................... 460 4,349
Banco Galicia Y Buenos Aires........................ 948 5,643
Ciadea *............................................ 798 5,788
Molinos Rio de La Plata............................. 145 1,654
Perez Companc SA.................................... 12,050 76,911
Siderca SA.......................................... 9,000 10,894
Telefonica de Argentina B........................... 10,600 30,965
YPF Sociedade Anonima............................... 2,000 43,918
-----------
182,373 0.9%
-----------
AUSTRALIA
Amatil Ltd Coca Cola................................ 2,000 21,792
Amcor Ltd........................................... 2,600 17,745
Broken Hill Proprietary Co Ltd..................... 5,250 79,206
Coles Myer Ltd...................................... 4,700 17,183
CRA Ltd............................................. 1,300 21,076
CSR Ltd............................................. 4,500 16,416
Fosters Brewing Group Ltd........................... 9,000 16,380
Lend Lease Corp Ltd................................. 1,100 17,210
National Australia Bank Ltd......................... 4,350 40,801
News Corp Ltd - Preferred........................... 3,900 19,021
News Corp Ltd....................................... 6,000 33,670
Western Mining Corp Holding Ltd..................... 3,800 28,786
Westpac Banking Corp................................ 6,200 28,953
-----------
358,239 1.7%
-----------
AUSTRIA
Austrian Airline *.................................. 100 18,066
Bank Austria AG - Participating Certificate *....... 200 6,966
Bank Austria AG *................................... 1,260 117,335
Bank Austria AG-Preferred *......................... 200 8,251
Bbag Oest Brau-Beteiligungs *....................... 200 11,529
Constantia Iso Holding AG *......................... 133 5,759
Constantia Verpack *................................ 67 4,222
Creditanstalt-Bankverein *.......................... 721 50,826
Creditanstalt-Bankverein-Preferred *................ 400 21,791
Ea-Generali AG *.................................... 200 65,559
Lenzing AG *........................................ 100 6,789
OEMV AG *........................................... 750 77,525
Oest Elektrizatswirts A *........................... 840 64,221
Radex-Heraklith Industrial AG....................... 430 14,015
Universale Bau AG *................................. 100 4,516
Wienerberger Baustoff Industrie AG.................. 200 41,496
-----------
518,866 2.3%
-----------
The accompanying notes are an integral part of the financial statements. 24
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
BELGIUM
Bekaert SA *........................................ 13 $ 11,058
Cimentaries CBR Strips *............................ 20 4
Cimenteries CBR Cementbed........................... 130 9,804
Delhaize-Le Lion SA-Preferred *..................... 299 15,160
Electrabel SA-Strip *............................... 58 100
Electrabel.......................................... 323 69,523
Fortis AG *......................................... 215 28,897
GBL Group *......................................... 139 18,394
Generale De Banque SA............................... 88 30,587
Gervaert Photo-Producten............................ 151 10,208
Glaverbel *......................................... 40 4,617
Kredietbank NPV..................................... 77 22,442
Kredietbank NV...................................... 10 2,927
Petrofina SA NPV.................................... 139 41,354
Reunies Electrobel & Tractebel *.................... 81 35,967
Reunies Electrobel & Tractebel-Strip *.............. 13 25
Royal Belge SA-Strip *.............................. 96 58
Royal Belge *....................................... 96 19,408
Solvay Et Cie A NPV................................. 50 29,974
The Union Miniere Group *........................... 149 11,070
-----------
361,577 1.6%
-----------
BRAZIL
Aracruz Celulose.................................... 7,000 12,552
Banco Bradesco SA................................... 2,900,000 33,699
Cia Energetica De Minas Gerais...................... 595,000 15,765
Cia Souza Cruz Industry e Commerce.................. 3,000 21,488
Electrobras *....................................... 30,000 7,754
Patroleo Brasile.................................... 110,000 13,278
Sdad White Martins.................................. 13,000,000 17,060
Telebras-Preferred ................................. 700,000 45,264
Telecom Brasileiras SA *............................ 26,139 0
Usiminas............................................ 11,000,000 12,011
Vale Do Rio Doce-Preferred.......................... 800 16,789
-----------
195,660 0.9%
-----------
CHILE
Chilgener SA ADR.................................... 270 6,379
Compania de Telecomunicaciones ADR.................. 340 31,025
Empresa Nacional de Electricidad ADR................ 3,200 61,600
Enersis SA ADR (a)................................. 2,790 81,956
Maderas y Sinteticos Sociedad ADR (a).............. 500 8,125
-----------
189,085 0.9%
-----------
The accompanying notes are an integral part of the financial statements. 25
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
DENMARK
Aarhus Oliefabrik A................................. 16 $ 869
Aarhus Oliefbarik B................................. 4 210
Carlsberg A......................................... 184 10,463
Carlsberg B......................................... 149 8,346
Den Danske Bank..................................... 276 17,287
Det Danske Luftfartselskab.......................... 32 2,260
D/S 1912 B.......................................... 1 22,066
East Asiatic Co *................................... 111 2,374
Fls Industries AS B................................. 48 4,954
GN Store Nord....................................... 31 2,661
Investeringsselskab AF *............................ 39 2,846
Iss Intl Service System B........................... 151 2,947
Korn-Og Foderstofkomp............................... 60 2,699
Lauritzen B *....................................... 14 1,547
Nordiske Kabel Traadfabri........................... 39 1,920
Novo-Nordisk AS..................................... 196 26,947
Royal Copenhagen AS................................. 15 1,273
Sophus Berendsen AS A............................... 31 4,137
Sophus Berendsen.................................... 93 12,392
Superfos AS......................................... 32 2,949
Tele Danmark B...................................... 684 33,669
Unidanmark.......................................... 242 10,474
-----------
175,290 0.8%
-----------
FRANCE
Accor *............................................. 100 14,421
Air Liquide *....................................... 300 52,207
Alcatel Alsthom *................................... 622 56,710
AXA Co.............................................. 1,000 56,736
Banque National de Paris *.......................... 800 30,012
Bouygues............................................ 100 10,879
Carrefour Supermarche-Rights *...................... 130 35,910
Carrefour Supermarche............................... 130 71,216
Cie Generale des Eaux............................... 1,224 131,024
Compagnie Bancaire.................................. 110 12,052
Compagnie de Saint Goban *.......................... 295 37,689
Compagnie Financiere de Suez *...................... 600 23,171
Compagnie Financiere Paribas........................ 500 30,391
Docks de France *................................... 100 22,764
Eridania Beghin..................................... 100 15,679
Euro Disneyland Sca *............................... 100 265
Euro Disneyland Sca-Warrants *...................... 600 207
Groupe Danone....................................... 300 43,902
Havas SA............................................ 200 17,112
Imetal.............................................. 100 15,505
Lafarge Coppee...................................... 330 21,744
L'Oreal *........................................... 300 91,347
LVMH Co............................................. 420 101,951
Lyonnaise des Eaux-Dumez *.......................... 200 19,396
Michelin B French Registered........................ 400 20,170
Pernod-Ricard....................................... 200 13,155
Peugeot SA.......................................... 200 27,875
The accompanying notes are an integral part of the financial statements. 26
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Printemps........................................... 100 $ 30,972
Promodes *.......................................... 100 26,152
Rhone Polenc........................................ 1,300 32,412
Schneider SA........................................ 600 27,782
Societe Generale.................................... 300 31,940
Societe National Elf-Aquitaine *.................... 1,120 81,127
Ste. Guilbert SA.................................... 114 17,014
Thomson CSF......................................... 500 13,076
Total Cie Francaise Petroles *...................... 900 65,105
-----------
1,299,070 5.9%
-----------
GERMANY
Allianz AG Holdings................................. 100 165,951
BASF AG............................................. 400 111,158
Bayer AG *.......................................... 500 167,131
Bayerische Hypothekenbank........................... 2,000 50,375
Bayerische Vereins Bank............................. 2,000 56,366
Beiersdorf *........................................ 25 23,103
Continental AG...................................... 1,000 17,237
Daimler-Benz AG *................................... 400 218,647
Degussa AG.......................................... 100 34,377
Deutsche Bank AG (a)............................... 3,000 140,882
Dresdner Bank AG.................................... 3,000 75,209
Karstadt AG......................................... 20 7,878
Kaufhof AG.......................................... 100 35,229
Lufthansa German.................................... 300 46,502
MAN AG.............................................. 120 30,988
Mannesmann AG....................................... 300 104,073
Muenchener Rueckversicherungs....................... 109 192,889
Preussag AG......................................... 100 25,528
RWE AG *............................................ 1,000 31,034
RWE AG.............................................. 3,000 118,466
Schering AG......................................... 1,000 75,438
Siemens AG German................................... 4,000 224,362
Thyssen AG.......................................... 220 40,705
Veba AG (a)........................................ 3,000 157,005
Viag AG............................................. 200 77,837
Volkswagen AG *..................................... 200 70,575
-----------
2,298,945 10.4%
-----------
GREAT BRITAIN
Arjo Wiggins Appleton PLC........................... 1,433 3,918
Chubb Security PLC.................................. 7,960 42,667
General Electric Co PLC............................. 2,166 12,483
Glaxo Wellcome PLC.................................. 6,108 80,479
Hanson Trust PLC.................................... 17,050 49,394
Imperial Chemical Industries........................ 1,200 15,839
RTZ Corp............................................ 1,750 27,260
Smithkline Beecham PLC.............................. 3,136 31,900
Vodafone Group PLC.................................. 19,347 76,579
-----------
340,519 1.5%
-----------
The accompanying notes are an integral part of the financial statements. 27
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
GREECE
Commercial Bank Of Greece *......................... 800 $ 26,226
Credit Bank Greece.................................. 1,421 70,744
Ergo Bank SA *...................................... 600 32,848
Hellas Can SA....................................... 100 2,114
Hellenic Bottling Co................................ 1,900 65,711
Hellenic Sugar...................................... 1,100 10,257
Intracom SA......................................... 520 13,070
Michaniki SA........................................ 1,000 11,765
Titan Cement Co *................................... 600 28,969
-----------
261,704 1.2%
-----------
HONG KONG
Cheung Kong......................................... 1,800 13,319
China Light & Power Co.............................. 1,560 7,420
Hang Seng Bank...................................... 1,300 13,567
Hong Kong Telecom................................... 4,500 8,346
HSBC Holdings PLC................................... 5,700 86,193
Hutchison Whampoa Ltd............................... 3,800 24,409
Sun Hung Kai Properties Ltd......................... 1,280 13,069
-----------
166,323 0.8%
-----------
INDONESIA
Bank International Indonesia........................ 6,500 14,491
Barito Pacific Timber............................... 9,500 8,146
Pt Astra International *............................ 7,000 10,504
Pt Gudang Garam..................................... 10,000 40,729
Pt Indah Kiat Pulp & Paper.......................... 10,230 9,759
Pt Indocement Tunggal Prakarsa...................... 9,000 32,026
Pt Indostat......................................... 6,000 20,643
Unilever............................................ 500 7,503
-----------
143,801 0.6%
-----------
IRELAND
Allied Irish Banks PLC.............................. 300 1,619
CRH PLC............................................. 100 952
Fii Fyffes.......................................... 100 167
Irish Life PLC...................................... 100 400
James Crean PLC..................................... 2,500 9,842
Kerry Group PLC..................................... 55 561
Smurfit Jefferson Group............................. 400 1,051
Woodchester Investments PLC......................... 12,300 38,269
-----------
52,861 0.2%
-----------
ITALY
Alleanza Assicuraz.................................. 253 1,670
Assicurazione Generali.............................. 7,650 182,548
Banco Ambrosiano Veneto............................. 6,400 17,991
Bank Commerciale Italiana........................... 20,400 42,958
Benetton............................................ 2,300 28,279
Burgo (Caritere) SPA *.............................. 1,700 10,443
Credito Italiano.................................... 29,000 36,066
Edison SPA.......................................... 8,200 48,249
Fiat Italian-Private Placement...................... 12,000 22,463
Fiat Risp-Non Convertable........................... 9,300 17,108
Fiat SPA............................................ 31,500 110,710
The accompanying notes are an integral part of the financial statements. 28
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Istituto Banc San Paolo Torina...................... 6,600 $ 40,143
Istituto Mobiliare Italiano......................... 5,400 44,177
Istituto Nazionale Delle Assic *.................... 37,000 55,889
Italcenenti Fabbriche Riunit........................ 2,100 17,309
Italgas............................................. 8,600 30,894
Magnetti Marelli SPA *.............................. 5,600 8,082
Marzotto & Figi SPA *............................... 700 4,715
Mediobanca Banca Di Credito......................... 6,170 42,327
Montedison SPA *.................................... 69,000 41,949
Olivetti *.......................................... 16,300 10,214
Olivetti-Private Placement *........................ 400 333
Parmalat Finanziaria SPA *.......................... 14,700 18,462
Pirelli SPA *....................................... 18,600 30,662
RAS SPA............................................. 3,850 40,544
Rinascente - Warrants............................... 100 75
Rinascente *........................................ 2,000 13,421
Saipan Italian...................................... 5,200 21,290
SAI................................................. 1,600 16,267
Sirti SPA........................................... 2,800 17,941
Snia BPD............................................ 2,600 3,289
Telecom Italia -Di Risp............................. 20,200 33,980
Telecom Italia Mobile - DRNC........................ 12,000 16,377
Telecom Italia Mobile............................... 66,900 143,823
Telecom Italia SPA (a)............................. 61,900 124,654
-----------
1,295,302 5.8%
-----------
JAPAN
Alps Electronics Co................................. 2,000 22,817
Amada Co Ltd........................................ 1,000 10,388
Aoki International Co Ltd........................... 1,000 21,426
Asahi Bank Ltd...................................... 2,000 24,115
Asahi Chemical Industry Co Ltd...................... 100 727
ASICS Corp *........................................ 14,000 49,474
Chichibu Onoda Cement Corp.......................... 1,000 6,020
Chiyoda Fire & Marine Insurance Co.................. 4,000 24,969
Chubu Electric Power................................ 1,000 23,281
Citizen Watch Co Ltd................................ 1,000 8,153
Dai Nippon Printing Co Ltd.......................... 4,200 77,911
Daido Steel Co...................................... 1,800 9,450
Dai-Ichi Kangyo Bank................................ 5,790 104,721
Daikyo Inc.......................................... 11,000 87,029
Daito Trust Construction............................ 5,000 73,737
Daiwa House Industry................................ 1,600 24,486
Daiwa Kosho Lease Co Ltd............................ 5,000 52,405
Daiwa Securities.................................... 3,000 40,347
Fuji Bank........................................... 6,100 132,959
Fuji Photo Film..................................... 2,800 87,261
Fujikura Ltd........................................ 1,000 8,069
Fujisawa Pharmaceutical............................. 8,000 85,331
Fujita Corp......................................... 9,000 47,415
Fujitsu Ltd......................................... 4,200 38,177
Fukuyama Transporting Co............................ 3,000 29,217
Furkukawa Electric.................................. 2,000 11,798
The accompanying notes are an integral part of the financial statements. 29
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Gakken 9470......................................... 9,000 63,609
Green Cross......................................... 8,000 44,669
Gunze Ltd........................................... 4,000 25,785
Haseko Corp *....................................... 17,000 76,158
Hazama-Gumi......................................... 9,000 41,321
Higo Bank........................................... 1,000 8,255
Hitachi Seisakusho Ltd.............................. 17,100 158,605
Hokkaido Bank....................................... 7,000 21,880
Hokkaido Takushoku Bank............................. 7,000 18,958
Hokuriku Bank....................................... 4,000 24,857
Honda Motor Co Ltd.................................. 2,000 48,231
House Food Industry................................. 2,000 39,141
Inax................................................ 1,000 10,203
Industrial Bank of Japan............................ 4,800 123,768
Ito Yokado Co....................................... 1,000 56,857
Iwatani International Corp.......................... 1,040 5,952
Joyo Bank........................................... 1,680 13,214
Kaneka Corp......................................... 1,000 6,493
Kansai Electric Power............................... 2,585 59,701
Kawasaki Steel...................................... 7,400 27,454
Kobe Steel Ltd *.................................... 15,000 41,460
Kokusai Den......................................... 1,000 93,679
Komatsu Ltd......................................... 13,400 128,016
Kumagai Gumi Co..................................... 15,000 63,303
Kurabo Industries................................... 6,000 23,763
Long Term Credit Bank of Japan...................... 5,000 40,532
Marubeni Corp....................................... 6,000 32,778
Marudai Food Co Ltd................................. 13,800 95,998
Matsushita Electric Industries...................... 9,600 165,617
Mazda Motors *...................................... 18,000 85,975
Meiji Seika......................................... 1,000 6,335
Minebea Co Ltd...................................... 1,000 8,338
Mitsubishi Electric................................. 14,000 96,091
Mitsubishi Heavy.................................... 8,300 71,518
Mitsubishi Oil Co................................... 1,000 8,728
Mitsubishi Paper.................................... 1,000 6,335
Mitsubishi Trust.................................... 3,000 50,086
Mitsui Fudosan...................................... 2,000 25,414
Mitsui Marine & Fire Insurance...................... 1,400 10,843
Mitsui Trust & Banking.............................. 2,400 26,490
Nagase & Co......................................... 4,000 39,698
Nagoya Railroad Co Ltd.............................. 6,000 31,109
Nichido Fire & Marine Insurance..................... 1,050 8,560
Nichiei Fudosan..................................... 8,000 38,733
Nichirei Corp....................................... 1,000 7,114
Nihon Cement Co Ltd................................. 1,000 7,318
Nippon Fire & Marine Insurance...................... 1,000 6,622
Nippon Light Metal Co............................... 1,600 9,275
Nippon Oil Co....................................... 15,200 100,802
Nippon Oil & Fats Co Ltd............................ 1,000 6,168
Nippon Shinpan Co................................... 4,000 29,680
Nippon Steel Corp................................... 16,900 57,527
The accompanying notes are an integral part of the financial statements. 30
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Nishi-Nippon Bank................................... 3,000 24,069
Nissan Motors....................................... 6,000 49,474
Nisshinbo Industries Inc............................ 4,000 39,698
Nomura Securities Co Ltd............................ 5,000 94,607
Okumura............................................. 1,000 8,821
Olympus Optical..................................... 1,000 10,295
Orient Corp......................................... 6,000 39,957
Osaka Gas Co Ltd.................................... 6,000 23,429
Renown Inc *........................................ 23,000 94,718
Sagami Railway...................................... 1,000 4,638
Sakura Bank Ltd..................................... 8,400 91,935
Sankyo Aluminum Industry Co......................... 1,000 5,945
Sanyo Electric Co Ltd............................... 13,000 77,531
Seino Transportation Co Ltd......................... 2,000 33,762
Sekisui House Ltd................................... 8,000 94,235
Seven Eleven Japan Ltd.............................. 1,100 67,236
Shionogi & Co Ltd................................... 1,000 8,709
Shiseido Co......................................... 8,000 99,430
Sony Corp........................................... 900 57,348
Sumitomo Bank....................................... 7,693 151,983
Sumitomo Corp....................................... 8,000 89,041
Sumitomo Metal...................................... 1,000 9,368
Teijin Limited...................................... 5,000 25,924
The Bank of Tokyo Mitsubishi........................ 5,400 128,220
Toho Rayon Co Ltd *................................. 13,000 68,729
Tokai Bank.......................................... 6,200 77,633
Tokyo Electric Power Co Inc......................... 4,080 104,824
Tokyo Electron Ltd.................................. 2,000 61,772
Tokyotokeiba........................................ 13,000 64,870
Toyo Trust & Banking................................ 3,000 28,660
Toyobo Co Ltd....................................... 1,800 6,611
Toyoda Automatic Loom Works......................... 2,000 40,440
Toyota Motor Co..................................... 10,986 251,685
Ube Industries Ltd.................................. 2,400 9,082
Victor Co........................................... 3,000 42,851
Yamaichi Securities................................. 9,000 65,112
Yasuda Trust & Banking.............................. 3,000 18,198
-----------
5,571,539 25.1%
-----------
MEXICO
Alfa SA A........................................... 200 3,206
Cemex SA B.......................................... 2,575 10,335
Cifra SA De Cv B *.................................. 16,600 24,773
Empressa La Moderna................................. 1,700 8,014
Fomento Economico Mexicano.......................... 2,700 7,855
Grupo Financiero Banamex B *........................ 300 683
Grupo Financiero Banamex L *........................ 24 50
Grupo Financiero Bancomer B *...................... 7,800 3,393
Grupo Financiero Bancomer L *...................... 289 101
Grupo Industrial Bimbo A............................ 1,000 4,714
Grupo Mexico SA Series B *.......................... 4,600 16,047
Grupo Modelo SA..................................... 4,000 19,099
Grupo Televisa SA *................................. 500 7,751
The accompanying notes are an integral part of the financial statements. 31
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Kimberly Clark...................................... 1,000 18,452
Telefonos de Mexico................................. 36,400 60,205
-----------
184,678 0.8%
-----------
NETHERLANDS
Koninklijke Hoogovens............................... 100 3,769 0.0%
-----------
NEW ZEALAND
Fletcher Forestry Shares............................ 3,900 5,010 0.0%
-----------
PHILIPPINES
Ayala Land Inc ..................................... 13,000 22,345
Manila Electirc..................................... 1,500 15,327
Petron Corp......................................... 79,625 31,175
Philippine Long Distance............................ 400 23,071
Philippine National Bank *.......................... 3,100 54,765
San Miquel Corp..................................... 4,246 14,678
Sm Prime Holdings................................... 92,400 22,588
-----------
183,949 0.8%
-----------
PORTUGAL
Banco Comercial Portugues........................... 1,400 17,258
Banco de Fomento.................................... 1,500 19,609
Banco Espirito Santo................................ 1,600 25,472
Banco Portuguese de Invest SA....................... 1,858 24,206
Banco Totta & Acores................................ 1,745 34,251
Cimentos De Portugal SA............................. 1,600 29,448
Jeronimo Martins.................................... 200 15,927
Portugal Telecom.................................... 3,592 86,934
Sonae Industria E Investimento...................... 700 17,744
-----------
270,849 1.2%
-----------
SINGAPORE
United Overseas Bank................................ 1 9 0.0%
-----------
SOUTH AFRICA
De Beers Centenary AG............................... 1,000 32,530
Driefontein......................................... 300 4,406
South African Breweries Ltd......................... 1,000 30,465
Vaal Reefs Exploration & Mining..................... 200 20,516
-----------
87,917 0.4%
-----------
SPAIN
Acerinox SA *....................................... 100 11,038
Alba Corp France *.................................. 100 8,589
Argentaria SA....................................... 1,100 46,086
Autopistas Concesionaria Espanola Accion *.......... 2,000 21,531
Banco Bilbao Vizcaya................................ 2,100 79,413
Banco Central Hispano............................... 1,500 30,140
Banco de Santander.................................. 1,500 68,442
Banco Espanol de Credito *.......................... 1,200 7,602
Corporacion Mapfre *................................ 200 9,856
Cros SA *........................................... 1,600 1,045
Dragados y Construcciones........................... 500 6,704
Ebro Agricolas...................................... 400 4,462
El Aguila *......................................... 200 1,172
The accompanying notes are an integral part of the financial statements. 32
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Empresa Nacional de Celulosa........................ 200 2,814
Empresa Nacional de Electricidad *.................. 2,400 148,309
Fomento Construction................................ 100 8,006
Gas Natural Sdg SA *................................ 300 52,934
General De Aguas D'Barcelona........................ 400 13,929
Iberdrola SA *...................................... 8,300 84,194
Inmobil Metro Vasco - Central *..................... 200 6,483
Inmobiliaria Urbis SA Accion *...................... 400 1,586
Portland Valderr.................................... 100 6,079
Prosegur Compania Securidad......................... 100 3,576
Repsol SA........................................... 2,700 92,344
Sarrio SA........................................... 500 1,761
Sociedad Espanola de Carburos....................... 300 12,989
Tabacalera Spani.................................... 300 13,688
Telefonica de Espana................................ 8,400 150,828
Union Electrica Fenosa SA *......................... 2,700 16,391
Uralita SA *........................................ 500 4,411
Vallehermoso SA *................................... 400 7,042
Viscofan Envolturas *............................... 200 3,272
Zardoya Otis........................................ 100 9,942
-----------
936,658 4.2%
-----------
SWEDEN
ABB AB A............................................ 500 51,669
ABB AB B............................................ 200 20,340
AGA AB B............................................ 800 13,679
AGA Ab.............................................. 900 14,854
Assa Abloy AB B..................................... 600 7,048
Astra AB A.......................................... 3,600 164,596
Astra AB B.......................................... 800 36,101
Atlas Copco AB A.................................... 900 16,727
Atlas Copco AB B.................................... 400 7,464
Autoliv Ab.......................................... 400 11,598
Electrolux.......................................... 500 25,500
Ericsson AB B....................................... 6,900 154,404
Esselte A........................................... 100 1,888
Esselte B........................................... 100 1,903
Euroc Industria..................................... 300 8,654
Hennes & Mauritz.................................... 300 22,080
Nackebro Fastighets AB *............................ 1,500 2,085
Securitas AB B...................................... 200 12,638
Skandia Forsakrings Ab.............................. 700 17,850
Skandinaviska Enskilda Bankn A...................... 3,800 29,946
Skanska B........................................... 900 29,306
SKF AB A ........................................... 400 8,743
SKF AB B ........................................... 500 11,226
Stora Kopparbergs A................................. 1,900 25,284
Stora Kopparbergs B................................. 400 5,264
Svenska Cellulosa AB B.............................. 1,400 27,373
Svenska Handelsbanken B............................. 100 1,955
Svenska Handelsbanken............................... 1,400 28,830
Swedish Match AB *.................................. 3,300 10,991
Trelleborg B........................................ 800 10,230
The accompanying notes are an integral part of the financial statements. 33
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ---------------------------------------------------------------------------------------------
Volvo Aktiebolag A.................................. 1,000 21,262
Volvo Aktiebolag B.................................. 2,300 48,732
-----------
850,220 3.8%
-----------
THAILAND
Bangkok Bank Co Ltd................................. 2,500 36,349
Charoen Pokphand Feedmill........................... 100 608
Land & House PLC.................................... 600 9,482
Shinawatra Computer Co.............................. 300 7,207
Siam Bank Co Ltd *.................................. 1,000 11,774
Siam Cement Co Ltd.................................. 300 16,191
Thai Farmers Bank Public Co......................... 2,100 15,930
United Communication................................ 1,300 18,080
-----------
115,621 0.5%
-----------
TURKEY
Aksa Akrilik Kimya Sanayii - Rights................. 81,936 7,559
Aksa Akrilik Kimya Sanayii.......................... 114,710 22,625
Arcelik AS.......................................... 208,083 16,682
Cimsa............................................... 35,000 16,924
Cukurova Elektrik................................... 4,200 2,779
Ege Biracilik Ve Malt Sanay......................... 56,768 23,838
Eregli Demir Ve Celik Fabrik *...................... 178,325 19,288
Migros.............................................. 18,000 13,514
Netas Telekomunik................................... 31,000 6,213
Otosan Otomobil..................................... 45,400 14,587
Tofas Otomobil Fabrik............................... 252,000 13,468
Trakya Cam SA *..................................... 96,544 12,162
Turkiye Garanti Bankasi AS.......................... 468,000 24,119
Turkiye Is Bankasi AS C............................. 381,200 32,016
-----------
225,774 1.1%
---------------------
TOTAL COMMON STOCK (Cost $15,240,791) 16,275,608 73.4%
---------------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS
<S> <C> <C> <C> <C> <C>
FACE
REPURCHASE AGREEMENT AMOUNT
IBT Repurchase Agreement 4.92%, dated 5/31/96, ------
to be repurchased at $5,007,186.75 on 6/3/96, collateralized
by U.S. Government Obligations with rates ranging from
6.75% to 8.50% and maturity dates from 2/28/97 to 10/01/09,
with an aggregate market value of $5,580,000. 5,007,187 5,007,187 22.6%
------------
COMMERCIAL PAPER
Bank of Ireland...................... 5.250% 06/30/96 589,900 589,900 2.6%
------------
US GOVERNMENT OBLIGATIONS
US Treasury Bill (b)................ 4.940% 06/27/96 800,000 789,242 3.6%
----------------------
TOTAL SHORT-TERM INVESTMENTS (at Amortized Cost ) 6,386,329 28.8%
----------------------
TOTAL INVESTMENTS (Cost $21,627,120) 22,661,937 102.2%
Excess of Liabilities over Other Assets (494,060) -2.2%
----------------------
NET ASSETS $ 22,167,877 100.0%
======================
</TABLE>
The accompanying notes are an integral part of the financial statements. 34
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996
- --------------------------------------------------------------------------------
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.
The accompanying notes are an integral part of the financial statements. 35
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
MAY 31, 1996 (UNAUDITED)
SCHEDULE OF INVESTMENTS
At May 31, 1996, industry sector diversification of the Pan Agora International
Equity Fund's investments as a percentage of net assets was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 13.41%
Electric Utilities 5.90
Electronics 5.71
Automotive 5.23
Telecommunication 4.47
Beverages, Food & Tobacco 3.59
Metals and Mining 3.39
Financial Services 3.33
Insurance 3.26
Building & Construction 3.19
Chemicals 2.61
Pharmaceuticals 2.56
Oil & Gas 2.55
Retailers 1.87
Heavy Machinery 1.25
Textiles & Apparel 1.21
Personal Care Products 0.96
Diversified 0.95
Building Materials & Components 0.88
Printing & Publishing 0.88
Real Estate 0.81
Forest & Paper Products 0.79
Business Services 0.72
Equipment 0.62
Transportation 0.61
Miscellaneous 2.61
Short Term Investments 26.64
--------
100.00%
========
36
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
MAY 31, 1996
<TABLE>
<CAPTION>
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:
06/14/96 Spanish Peseta 116,010,000 $ 921,707 $ (20,772)
06/14/96 French Franc 9,774,000 1,929,584 (36,448)
06/14/96 British Pound 81,000 122,796 2,658
06/14/96 Italian Lira 2,708,971,000 1,719,568 32,482
06/14/96 Japanese Yen 131,811,000 1,261,953 (36,956)
---------
$ (59,036)
==========
CONTRACTS TO SELL CURRENCY:
06/14/96 Hong Kong Dollar 1,059,000 $ 136,928 $ 49
---------
$ 49
==========
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
37
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF OPEN FUTURES CONTRACTS
MAY 31, 1996
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
BUYS:
1 Financial Times Stock
Exchange Index June 1996 $ 142,878 $ (1,531)
23 CAC 40 Index Future September 1996 1,905,736 111,907
8 TOPIX Index Future June 1996 1,273,818 83,780
17 MLN Index Future June 1996 1,734,412 116,806
278 IBX 35 Index Future June 1996 918,250 61,415
---------------
$ 372,377
===============
SELLS:
2 Hang Seng September 1996 $ 147,962 $ (6,463)
----------------
$ (6,463)
================
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
38
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
MAY 31, 1996
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET INTERNATIONAL
ALLOCATION GLOBAL EQUITY
FUND FUND FUND
------------- ------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, at value * (Note 1) - See accompanying portfolios $ 10,485,682 $ 55,265,236 $ 22,661,937
Cash -- -- 310
Foreign currency, at value ** -- 103,882 68,561
Receivable from:
Securities sold 440,693 1,248,847 92,822
Dividends and interest 44,909 245,909 95,760
Advisor (Note 2) 62,297 -- 53,853
Variation margin on open futures contracts (Note 6) 7,125 47,861 --
Unamortized organization costs (Note 5) 8,388 8,448 8,448
------------ ------------ ------------
Total assets 11,049,094 56,920,183 22,981,691
------------ ------------ ------------
LIABILITIES:
Payable for:
Securities purchased 458,622 1,192,628 92,943
Variation margin on open futures contracts (Note 6) -- -- 8,049
Unrealized loss on forward foreign currency contracts (Note 6) -- 41,269 58,987
Investment Advisory fees (Note 2) -- 230,984 --
Payable upon return of securities loaned (Note 1) 611,100 1,627,300 589,900
Accrued expenses and other liabilities 40,368 68,622 63,935
------------ ------------ ------------
Total Liabilities 1,110,090 3,160,803 813,814
------------ ------------ ------------
NET ASSETS $ 9,939,004 $ 53,759,380 $ 22,167,877
============ ============ ============
NET ASSETS CONSIST OF:
Paid-in capital $ 8,497,402 $ 47,580,806 $ 20,812,453
Undistributed net investment income (distributions in
excess of net investment income) 93,185 96,105 (165,344)
Accumulated net realized gain (loss) on investments,
closed futures contracts and foreign currency transactions 486,182 2,463,150 217,117
Net unrealized appreciation on investments,
forward currency contracts, open futures contracts,
and net other assets 862,235 3,619,319 1,303,651
------------ ------------ ------------
NET ASSETS $ 9,939,004 $ 53,759,380 $ 22,167,877
============ ============ ============
NUMBER OF FUND SHARES ISSUED AND OUTSTANDING (NOTE 4) 812,150 4,487,540 1,975,371
============ ============ ============
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE OF
BENEFICIAL INTEREST OUTSTANDING $ 12.24 $ 11.98 $ 11.22
============ ============ ============
* Cost of investments $ 9,598,810 $ 51,350,740 $ 21,627,120
* * Cost of foreign currency -- $ 103,709 $ 105,910
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
39
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED MAY 31, 1996
<TABLE>
<CAPTION>
====================================================================================================================================
ASSET INTERNATIONAL
ALLOCATION GLOBAL EQUITY
FUND FUND FUND
------------ ----------- ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes *) $ 144,512 $ 926,457 $ 268,805
Interest 136,088 317,203 145,308
----------- ----------- -----------
Total investment income 280,600 1,243,660 414,113
EXPENSES:
Investment Advisory fees (Note 2) 52,084 364,312 160,017
Custody, transfer agent and administration fees (Note 2) 70,966 204,581 204,349
Audit and legal fees 43,406 46,858 41,055
Registration and filing fees 13,773 16,807 13,732
Trustees' fees and expenses (Note 2) 6,639 7,051 7,079
Amortization of organization costs (Note 5) 4,180 4,161 4,161
Other 1,459 10,004 3,500
----------- ----------- -----------
Total expenses 192,507 653,774 433,893
Less expenses waived or reimbursed by the Advisor (Note 2) 114,381 133,329 213,870
Less earnings credit (Note 2) 6,980 112,619 54,460
----------- ----------- -----------
Net expenses 71,146 407,826 165,563
----------- ----------- -----------
NET INVESTMENT INCOME 209,454 835,834 248,550
----------- ----------- -----------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTES 1 AND 3):
Net realized gain (loss) on:
Security transactions 866,442 4,007,970 351,521
Closed futures contracts (31,418) 725,638 627,966
Foreign currency related transactions -- (157,927) (400,231)
----------- ----------- -----------
Net realized gain 835,024 4,575,681 579,256
----------- ----------- -----------
Net change in unrealized appreciation (depreciation) of:
Securities 571,846 795,240 569,264
Open futures contracts (1,413) (614,091) 407,271
Foreign currency and net other assets -- (640,488) (255,624)
----------- ----------- -----------
----------- -----------
Net unrealized appreciation (depreciation) during the period 570,433 (459,339) 720,911
----------- ----------- -----------
NET REALIZED AND UNREALIZED GAIN 1,405,457 4,116,342 1,300,167
----------- ----------- -----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 1,614,911 $ 4,952,176 $ 1,548,717
=========== =========== ===========
* Net of foreign taxes withheld of: $ 95 $ 91,095 $ 38,253
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
40
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
----------- ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 209,454 $ 143,948
Net realized gain on investments and closed futures contracts 835,024 333,529
Net change in unrealized appreciation (depreciation) on
investments and open futures contracts 570,433 381,058
----------- -----------
Net increase (decrease) in net assets resulting from operations 1,614,911 858,535
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (185,985) (91,258)
Net realized gains (688,774) (471)
----------- -----------
Total distributions to shareholders (874,759) (91,729)
----------- -----------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 1,840,215 4,202,376
Net asset value of shares issued to shareholders
in payment of distributions declared 874,759 91,257
Cost of shares repurchased (805,294) (642,100)
----------- -----------
Net increase in net assets resulting from
Fund share transactions 1,909,680 3,651,533
----------- -----------
TOTAL INCREASE IN NET ASSETS 2,649,832 4,418,339
NET ASSETS:
Beginning of year $ 7,289,172 2,870,833
----------- -----------
End of year * $ 9,939,004 $ 7,289,172
=========== ===========
* Including undistributed net
investment income of: $ 93,185 $ 69,716
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
41
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA GLOBAL FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------- -------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 835,834 $ 720,846
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 4,575,681 100,572
Net change in unrealized appreciation on investments, open
futures contracts, forward currency contracts, and
net other assets (459,339) 3,657,374
------------ ------------
Net increase in net assets resulting from operations 4,952,176 4,478,792
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (696,730) --
Net realized gains (1,558,946) (388,372)
------------ ------------
Total distributions to shareholders (2,255,676) (388,372)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 1,063,980 7,133,664
Net asset value of shares issued to shareholders
in payment of distributions declared 2,252,722 388,372
Cost of shares repurchased (3,572,973) (2,050,877)
------------ ------------
Net increase in net assets resulting from
Fund share transactions (256,271) 5,471,159
------------ ------------
TOTAL INCREASE IN NET ASSETS 2,440,229 9,561,579
NET ASSETS:
Beginning of year $ 51,319,151 41,757,572
------------ ------------
End of year * $ 53,759,380 $ 51,319,151
============ ============
* Including undistributed (distributions in excess of) net investment income of: $ 96,105 ($ 308,828)
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
42
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------ ------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $ 248,550 $ 209,641
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 579,256 24,937
Net change in unrealized appreciation on investments, open
futures contracts, forward currency contracts, and
net other assets 720,911 5,233
------------ ------------
Net increase in net assets resulting from operations 1,548,717 239,811
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (248,550) (209,641)
In excess of net investment income (111,102) (99,939)
Net realized gains -- (440,398)
In excess of net realized gains -- (303,508)
------------ ------------
Total distributions to shareholders (359,652) (1,053,486)
------------ ------------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 3,365,610 13,849,561
Net asset value of shares issued to shareholders
in payment of distributions declared 356,498 1,046,888
Cost of shares repurchased (703,407) (11,077,230)
------------ ------------
Net increase in net assets resulting from
Fund share transactions 3,018,701 3,819,219
------------ ------------
TOTAL INCREASE IN NET ASSETS 4,207,766 3,005,544
NET ASSETS:
Beginning of year 17,960,111 14,954,567
------------ ------------
End of year * $ 22,167,877 $ 17,960,111
============ ============
* Including undistributed (distributions in excess of) net investment income of: ($ 165,344) $ 223,909
</TABLE>
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
43
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1994*
------------ ------------- ------------
<S> <C> <C> <C>
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
NET ASSET VALUE, BEGINNING OF PERIOD $11.26 $10.01 $10.00
======= ====== ======
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.28 0.22 0.14
Net realized and unrealized gain on investments 1.97 1.18 0.02
------- ------ ------
Total from investment operations 2.25 1.40 0.16
------- ------ ------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.27) (0.15) (0.10)
From net realized gains (1.00) - (0.05)
------- ------ ------
Total distributions (1.27) (0.15) (0.15)
NET ASSET VALUE, END OF PERIOD $12.24 $11.26 $10.01
======= ====== ======
TOTAL RETURN 21.05% 14.13% 1.63%
======= ====== ======
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $9,939 $7,289 $2,871
Net expenses to average daily net assets 0.90%(1) 0.90% 0.90%
Net investment income (loss) to average daily net assets 2.41% 2.46% 2.08%
Portfolio turnover rate 59% 77% 50%
Average commission rate paid $0.04(2) - -
Effect of voluntary expense limitation during the period:
Per share benefit to net investment income $0.15 $0.19 $0.53
Ratios before expense limitation:
Expenses to average daily net assets 2.21% 3.07% 8.96%
Net investment income (loss) to average daily net assets 1.10% 0.28% (5.98%)
</TABLE>
(1) Ratio of net expenses to average daily net assets for the year ended May 31,
1996 excludes earnings credits. Including earnings credits the expense ratio
would have been 0.82% for the year ended May 31, 1996.
(2) Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the period by the total number of shares
purchased and sold during the period for which commissions were charged.
* The Fund commenced operations on June 1, 1993.
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
44
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA GLOBAL FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1994*
------------ ------------- --------------
<S> <C> <C> <C>
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
NET ASSET VALUE, BEGINNING OF PERIOD $11.39 $10.48 $10.00
======== ======== ========
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.24 0.21 0.11
Net realized and unrealized gain on investments 0.85 0.79 0.76
-------- -------- --------
Total from investment operations 1.09 1.00 0.87
-------- -------- --------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.15) - (0.10)
In excess of net investment income - - (0.29)
From net realized gains (0.35) (0.09) -
-------- -------- --------
Total distributions (0.50) (0.09) (0.39)
NET ASSET VALUE, END OF PERIOD $11.98 $11.39 $10.48
======== ======== ========
TOTAL RETURN 9.86% 9.67% 8.68%
======== ======== ========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of year (000's) $53,759 $51,319 $41,758
Net expenses to average daily net assets 1.00(1) 1.00% 1.00%
Net investment income (loss) to average daily net assets 1.61% 1.61% 1.23%
Portfolio turnover rate 107% 160% 187%
Average commission rate paid $0.02(2) - -
Effect of voluntary expense limitation during the period:
Per share benefit to net investment income $0.03 $0.05 $0.04
Ratios before expense limitation:
Expenses to average daily net assets 1.26% 1.41% 1.53%
Net investment income (loss) to average daily net assets 1.35% 1.19% 0.70%
</TABLE>
(1) Ratio of net expenses to average daily net assets for the year ended May 31,
1996 excludes earnings credits. Including earnings credits the expense ratio
would have been 0.78% for the year ended May 31, 1996.
(2) Average commission rate paid is computed by dividing the total dollar amount
of commissions paid during the period by the total number of shares
purchased and sold during the period for which commissions were charged.
* The Fund commenced operations on June 1, 1993.
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
45
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
====================================================================================================================================
YEAR ENDED YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995 MAY 31, 1994*
------------ ------------- --------------
<S> <C> <C> <C>
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH YEAR
NET ASSET VALUE, BEGINNING OF PERIOD $10.62 $10.75 $10.00
========== ========= =========
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) (0.01) 0.33 0.11
Net realized and unrealized gain on investments 0.81 0.19 0.89
---------- --------- ---------
Total from investment operations 0.80 0.52 1.00
---------- --------- ---------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income - (0.13) (0.03)
In excess of net investment income (0.20) (0.06) (0.22)
From net realized gains - (0.27) -
In excess of net realized gain - (0.19) -
----------
--------- ---------
Total distributions (0.20) (0.65) (0.25)
NET ASSET VALUE, END OF PERIOD $11.22 $10.62 $10.75
========== ========= =========
TOTAL RETURN 7.62% 5.09% 10.12%
========== ========= =========
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000's) $22,168 $17,960 $14,955
Net expenses to average daily net assets 1.10%(1) 1.10% 1.10%
Net investment income (loss) to average daily net assets 1.24% 1.39% 0.93%
Portfolio turnover rate 67% 218% 160%
Average commission rate paid $0.002(2) - -
Effect of voluntary expense limitation during the period:
Per share benefit to net investment income $0.10 $0.41 $0.16
Ratios before expense limitation:
Expenses to average daily net assets 2.17% 2.85% 2.42%
Net investment income (loss) to average daily net assets 0.17% (0.36%) (0.39%)
</TABLE>
(1) Ratio of net expenses to average daily net assets for the year ended May
31, 1996 excludes earnings credits. Including earnings credits the expense
ratio would have been 0.83% for the year ended May 31, 1996.
(2) Average commission rate paid is computed by dividing the total dollar
amount of commissions paid during the period by the total number of shares
purchased and sold during the period for which commissions were charged.
* The Fund commenced operations on June 1, 1993.
SEE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS.
46
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
The PanAgora Institutional Funds (the "Trust"), formerly the PanAgora
Funds, was organized under the laws of the Commonwealth of Massachusetts on
January 27, 1996 as a Massachusetts business trust and is registered under
the Investment Company Act of 1940, as amended (the "1940 Act"), as an
open-end management investment company. The Trust consists of three
separately managed investment series: PanAgora Asset Allocation Fund,
PanAgora Global Fund and PanAgora International Equity Fund, (the "Funds").
All of the Funds commenced operations on June 1, 1993.
The Funds investment objective is to maximize total return, consisting of
capital appreciation and current income. In order to achieve it's
investment objective, the PanAgora Asset Allocation Fund actively allocates
its assets among U.S. equity securities, fixed income securities, cash and
cash equivalents, PanAgora Global Fund actively allocates its assets among
global equity, fixed income and currency markets, and PanAgora
International Equity Fund actively allocate its assets among international
equity markets.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
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
Equity securities and other similar investments 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 Advisor'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
47
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
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
advisor, acting under the supervision of the Board of Directors, 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 instrument 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.
48
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
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 can 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 broker, dealers and other financial
organizations. The loans are collateralized at all times with cash, cash
equivalents or U.S. Government 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. For the year ended May 31, 1996, the PanAgora Asset Allocation
Fund, the PanAgora Global Fund, and the PanAgora International Equity Fund
loaned securities having a market value of $555,456, $1,462,770, and
$512,622, respectively, collateralized by cash in the amount of $611,100,
$1,627,300, and $589,900, 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 an annual 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.
49
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
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
its 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.
The Trust has entered into Administration, Custodian and Transfer Agency
and Service Agreements with Investors Bank & Trust Company ("Investors
Bank") under which fees for services are subject to reduction by credits
earned by each Fund, based on the cash balances of the Funds held by
Investors Bank as custodian. For the year ended May 31, 1996, the Asset
Allocation Fund, the Global Fund and the International Equity Fund received
$6,980, $112,619 and $54,460, respectively, in earnings credits resulting
in a total expense of $70,966, $204,581 and $204,349, respectively.
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.
50
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of investment securities,
excluding short-term investments, during the year ended May 31, 1996 were
as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------------- -----------------
<S> <C> <C>
PanAgora Asset Allocation Fund $ 4,523,983 $ 4,413,431
PanAgora Global Fund 44,985,122 52,267,012
PanAgora International Equity Fund 10,575,527 10,130,732
</TABLE>
For the year ended May 31, 1996, 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
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
------------------- ------------------ -----------------------
<S> <C> <C> <C>
PanAgora Asset Allocation Fund $ 1,071,361 $ 186,228 $ 885,133
PanAgora Global Fund 4,923,315 1,180,912 3,742,403
PanAgora International Equity Fund 1,573,845 569,022 1,004,823
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
For the year ended May 31, 1996 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, 1996 MAY 31, 1995
------------ -------------
<S> <C> <C>
PANAGORA ASSET ALLOCATION FUND:
Shares sold 156,639 412,762
Shares issued to shareholders in reinvestment of
distributions 76,272 9,010
Shares repurchased (68,247) (61,034)
------------ ------------
Net increase 164,664 360,738
Fund shares:
Beginning of year 647,486 286,748
------------ ------------
End of year 812,150 647,486
============ ============
</TABLE>
51
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------ -------------
<S> <C> <C>
PANAGORA GLOBAL FUND:
Shares sold 92,935 675,793
Shares issued to shareholders in reinvestment of
distributions 197,879 37,633
Shares repurchased (310,565) (191,958)
------------ ------------
Net increase (19,751) 521,468
Fund shares:
Beginning of year 4,507,291 3,985,823
------------ ------------
End of year 4,487,540 4,507,291
============ ============
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
MAY 31, 1996 MAY 31, 1995
------------ -------------
<S> <C> <C>
PanAgora International Equity Fund:
Shares sold 319,471 1,228,449
Shares issued to shareholders in reinvestment of
distributions 33,194 102,208
Shares repurchased (67,770) (1,030,778)
---------- ------------
Net increase 284,895 299,879
Fund shares:
Beginning of year 1,690,476 1,390,597
---------- ------------
End of year 1,975,371 1,690,476
========== ============
</TABLE>
5. ORGANIZATION COSTS
Each Fund has borne all costs in connection with its organization. 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
52
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS
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 is included with each Fund's portfolio of
investments.
7. CONCENTRATION
For the year ended May 31, 1996, 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, more limited capitalization and liquidity, and higher rates of
inflation than securities of companies based in the United States.
8. BENEFICIAL INTEREST
At May 31, 1996, PanAgora Asset Management, Inc. was record owner of 13.00%
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.
UNAFFILIATED COMPANIES
----------------------
# of Shareholders % of Ownership
--------------------------------------
PanAgora Asset Allocation Fund 2 82.45%
PanAgora Global Fund 1 90.25%
PanAgora International Equity Fund 3 95.56%
9. subsequent event
On June 18, 1996, the Trustees voted to liquidate the PanAgora Global Fund.
The net assets of the Fund were liquidated and distributed to shareholders
on July 8, 1996. At that time the Fund ceased operations.
53
THE PANAGORA INSTITUTIONAL FUNDS
FEDERAL INCOME TAX INFORMATION ON DISTRIBUTIONS - (UNAUDITED)
- --------------------------------------------------------------------------------
1. For distributions made during the fiscal year ended May 31, 1996, the Asset
Allocation Fund and the Global Fund designated $183,967 and $1,370,485,
respectively as long term capital gains.
2. Taxes on foreign source interest and dividend income have been withheld in
accordance with the applicable country's tax treaty with the United States.
At the close of the PanAgora International Equity Fund's fiscal year the
total foreign source income was $311,203 and the withholding tax associated
with that income was $38,253. Dividends received by shareholders of the fund
which are derived from foreign source income and foreign taxes paid by the
Fund are to be treated, to the extent allowable under the Internal Revenue
code, as if paid and received by the shareholders of the fund.
54
REPORT OF INDEPENDENT ACCOUNTANTS
To the Shareholders and Board of Trustees of the PanAgora Institutional Funds:
We have audited the accompanying statements of assets and liabilities of
the PanAgora Institutional Funds (consisting of the PanAgora Asset
Allocation Fund, PanAgora International Equity Fund and PanAgora Global
Fund), including the schedules of portfolio of investments, as of May 31,
1996, 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 periods presented. 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 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 and brokers as of May 31, 1996. 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 Institutional Funds as of May 31, 1996, the results of
their operations for the year then ended and the changes in net assets and
their financial highlights for each of the periods presented, in conformity
with generally accepted accounting principles.
COOPERS & LYBRAND L.L.P.
Boston, Massachusetts
July 19, 1996
55
