THE PANAGORA INSTITUTIONAL FUNDS
SEMI-ANNUAL REPORT
NOVEMBER 30, 1995
<PAGE>
The PanAgora Institutional Funds
President's Letter
November 30, 1995
We are pleased to present the semi-annual report of The PanAgora Institutional
Funds. The PanAgora Institutional Funds were established in 1993 to serve
investors interested in specific investment strategies. The PanAgora
Institutional Funds make these strategies available to pension funds,
foundations and endowment funds, 401(k) plans and individual investors.
The PanAgora Institutional Funds are a series of three funds. The PanAgora Asset
Allocation Fund invests in a mix of U.S. stocks, bonds and cash equivalents. The
PanAgora International Equity Fund invests in stocks outside the U.S. The
PanAgora Global Fund invests in stocks, bonds and cash equivalents in the U.S.
and around the world.
The PanAgora Asset Allocation Fund's investment objective is to maximize total
return, consisting of capital appreciation and current income. The Fund attempts
to achieve its objective by actively allocating assets among U.S. stocks,
investment grade bonds and cash equivalents based on the Advisor's proprietary
asset allocation disciplines. The U.S. stock market has soared to new all-time
highs. Bonds are also up as signs of a weaker economy fueled optimism about an
interest rate cut by the Federal Reserve Board. For most of the past six months,
the Asset Allocation Fund has been near the benchmark weight on both stocks and
bonds. Recently, as long term interest rates dropped to near 6%, bonds were
reduced and cash positions increased.
The PanAgora International Equity Fund's primary investment objective is to
maximize total return, consisting primarily of capital appreciation. Current
income is a secondary objective. The Fund attempts to achieve its objective by
actively allocating assets among international equity markets based on the
Advisor's proprietary asset allocation disciplines. The International Equity
Fund has investments in major European markets and Asian equity markets. In
addition, we have invested approximately 10% in emerging markets. European
investments are benefiting from the economic recovery in Europe as well as
favorable valuations in most countries. Our Asian investments are focused in
markets generally considered out-of-favor by investors. Here, current prices
seem low relative to continuing growth prospects. We expect our emerging markets
positions to benefit from rapid growth of developing economies.
The PanAgora Global Fund's investment objective is to maximize total return,
consisting of capital appreciation and current income. The Fund attempts to
achieve its objective by actively allocating assets among global equity, fixed
income and currency markets based on the Advisor's proprietary asset allocation
disciplines. Global investment strategies are new to most American investors but
familiar to many European investors. Over the past 12 months, PanAgora Global
Fund has invested more than 70% of its assets in global equity markets based on
the Advisor's view of their superior return opportunities. The equity positions
have emphasized Europe and Asia. We have underweighted U.S. stocks due to high
<PAGE>
valuations. With the decline in interest rates around the world, our U.S. and
international bond positions have done very well.
We thank you for your interest in The PanAgora Institutional Funds and we look
forward to serving you.
Sincerely,
Richard A. Crowell
President
The PanAgora Institutional Funds
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
COMMON STOCK
AUTOMOTIVE
Chrysler Corp . . . . . . . . . . . . . . . . . . . . 300 $ 15,563
Ford Motor . . . . . . . . . . . . . . . . . . . . . . 2,400 67,800
General Motors . . . . . . . . . . . . . . . . . . . . 900 43,650
Goodyear Tire & Rubber Co. . . . . . . . . . . . . . . 700 29,663
Paccar Inc . . . . . . . . . . . . . . . . . . . . . . 1,100 48,125
The Pep Boys . . . . . . . . . . . . . . . . . . . . . 900 23,850
------------
228,651 2.6%
------------
BANKING
Bankamerica Corp . . . . . . . . . . . . . . . . . . . 400 25,450
Bankers Trust . . . . . . . . . . . . . . . . . . . . 300 19,463
Chase Manhattan Corp. . . . . . . . . . . . . . . . . 600 36,525
Citicorp . . . . . . . . . . . . . . . . . . . . . . . 600 42,450
First Chicago Corp. . . . . . . . . . . . . . . . . . . 200 13,900
First Union Corp . . . . . . . . . . . . . . . . . . . 1,500 81,938
Golden West Financial Corp. . . . . . . . . . . . . . . 600 30,675
J P Morgan & Co Inc . . . . . . . . . . . . . . . . . 900 70,650
Nationsbank Corp . . . . . . . . . . . . . . . . . . . 400 28,550
Norwest Corp . . . . . . . . . . . . . . . . . . . . . 1,400 46,200
------------
395,801 4.5%
------------
CHEMICALS
EI Dupont De Nemours & Co Inc . . . . . . . . . . . . 600 39,900
FMC Corp . . . . . . . . . . . . . . . . . . . . . . . 1,000 73,875
Lubrizol Corp . . . . . . . . . . . . . . . . . . . . 900 25,763
Nalco Chemical . . . . . . . . . . . . . . . . . . . . 700 21,438
PPG Industries . . . . . . . . . . . . . . . . . . . . 500 22,688
Thiokol Corp . . . . . . . . . . . . . . . . . . . . . 1,000 33,875
Union Carbide Corp . . . . . . . . . . . . . . . . . . 700 27,738
------------
245,277 2.8%
------------
COMMUNICATION
Airtouch Communications Inc * . . . . . . . . . . . . . 1,000 29,125
Alltel Corp . . . . . . . . . . . . . . . . . . . . . . 800 23,600
AT & T Corp . . . . . . . . . . . . . . . . . . . . . 900 59,400
Bellsouth Corp. . . . . . . . . . . . . . . . . . . . 600 23,325
Cabletron Systems(a). . . . . . . . . . . . . . . . . . 200 16,600
Comcast Corp . . . . . . . . . . . . . . . . . . . . . 900 17,775
DSC Communications * . . . . . . . . . . . . . . . . . 200 7,925
Frontier Corp . . . . . . . . . . . . . . . . . . . . 1,300 33,638
ITT Corp . . . . . . . . . . . . . . . . . . . . . . . 400 49,050
Kingworld Productions Inc . . . . . . . . . . . . . . 1,400 55,475
Motorola Inc . . . . . . . . . . . . . . . . . . . . . 500 30,625
Nynex Corp . . . . . . . . . . . . . . . . . . . . . . 2,000 99,250
Pacific Telesis Group . . . . . . . . . . . . . . . . 1,700 51,000
Scientific Atlanta Inc . . . . . . . . . . . . . . . . 1,000 15,875
Sprint Corp . . . . . . . . . . . . . . . . . . . . . 1,100 44,000
Tellabs Inc . . . . . . . . . . . . . . . . . . . . . . 500 19,625
Tribune Co . . . . . . . . . . . . . . . . . . . . . . 1,000 64,500
Viacom Inc Class B * . . . . . . . . . . . . . . . . . 1,200 57,900
------------
698,688 8.0%
------------
</TABLE>
See accompanying notes to the financial statements.
1
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
COMPUTER EQUIPMENT
Autodesk Inc . . . . . . . . . . . . . . . . . . . . . 400 $ 14,100
Computer Associates International Inc . . . . . . . . 450 29,475
Hewlett Packard Inc . . . . . . . . . . . . . . . . . 500 41,438
International Business Machines . . . . . . . . . . . 600 57,975
Oracle Corporation . . . . . . . . . . . . . . . . . . 1,050 47,644
------------
190,632 2.2%
------------
CONSTRUCTION AND BUILDING
Fleetwood Enterprises Inc. . . . . . . . . . . . . . . 1,200 28,800
Fluor Corp . . . . . . . . . . . . . . . . . . . . . . 800 52,000
Home Depot . . . . . . . . . . . . . . . . . . . . . . 2,200 97,625
Tyco Lab . . . . . . . . . . . . . . . . . . . . . . . 3,000 94,125
------------
272,550 3.1%
------------
CONSUMER GOODS
Champion International . . . . . . . . . . . . . . . . 1,200 56,550
Clorox Co . . . . . . . . . . . . . . . . . . . . . . 600 45,450
Eastman Kodak Co . . . . . . . . . . . . . . . . . . . 300 20,400
Gibson Greetings Inc(a) . . . . . . . . . . . . . . . 1,500 22,500
Gillette Co. . . . . . . . . . . . . . . . . . . . . . 1,300 67,438
Johnson & Johnson . . . . . . . . . . . . . . . . . . 600 51,975
Procter & Gamble Co . . . . . . . . . . . . . . . . . 500 43,188
Stride Rite Corp . . . . . . . . . . . . . . . . . . . 1,900 16,625
------------
324,126 3.7%
------------
CONSUMER SERVICES
H&R Block Inc. . . . . . . . . . . . . . . . . . . . . 1,100 48,950
Liberty Media Group-Class A. . . . . . . . . . . . . . 325 9,100
Tele-Communications-Class A New. . . . . . . . . . . . 1,100 20,350
------------
78,400 0.9%
------------
ELECTRONICS
Ameritech Corp . . . . . . . . . . . . . . . . . . . . 2,000 110,000
Applied Materials Inc. . . . . . . . . . . . . . . . . 600 29,175
Ceridian Corp(a) . . . . . . . . . . . . . . . . . . . 300 12,600
Cisco Systems Inc.(a) * . . . . . . . . . . . . . . . . 500 42,063
Illinova Corporation . . . . . . . . . . . . . . . . . 1,300 36,888
Intel Corp . . . . . . . . . . . . . . . . . . . . . . 900 54,788
Micron Technology . . . . . . . . . . . . . . . . . . 600 32,850
Texas Instruments . . . . . . . . . . . . . . . . . . 700 40,513
------------
358,877 4.1%
------------
ENERGY
Entergy Corporation . . . . . . . . . . . . . . . . . 2,600 72,475 0.8%
------------
EQUIPMENT
Andrew Corp. . . . . . . . . . . . . . . . . . . . . . 550 23,788
CUC International Inc.(a) . . . . . . . . . . . . . . . 700 26,600
Medtronic Inc . . . . . . . . . . . . . . . . . . . . 500 27,438
Microsoft Corp. . . . . . . . . . . . . . . . . . . . . 600 52,275
Tandem Computers Inc. . . . . . . . . . . . . . . . . . 1,300 16,250
------------
146,351 1.7%
------------
</TABLE>
See accompanying notes to the financial statements.
2
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
FINANCIAL SERVICES
American Financial Group Inc . . . . . . . . . . . . . 1,000 $ 30,000
Asarco Inc.(a) . . . . . . . . . . . . . . . . . . . . 1,200 42,450
Bear Stearns Inc . . . . . . . . . . . . . . . . . . . 1,680 36,540
Beneficial Corp . . . . . . . . . . . . . . . . . . . 800 40,600
HF Ahmanson & Co . . . . . . . . . . . . . . . . . . . 2,400 64,200
MBNA Corp . . . . . . . . . . . . . . . . . . . . . . 1,300 52,488
Morgan Stanley Group Inc . . . . . . . . . . . . . . . 300 25,875
Salomon Inc. . . . . . . . . . . . . . . . . . . . . . 1,600 58,200
------------
350,353 4.0%
------------
FOOD AND BEVERAGE
Coca-Cola Co . . . . . . . . . . . . . . . . . . . . . 1,500 113,625
Dole Food Co . . . . . . . . . . . . . . . . . . . . . 1,100 41,388
Harcourt General Inc. . . . . . . . . . . . . . . . . 800 32,200
Loral Corp . . . . . . . . . . . . . . . . . . . . . . 2,000 67,750
Pepsico Inc . . . . . . . . . . . . . . . . . . . . . 600 33,150
Philip Morris Companies Inc . . . . . . . . . . . . . 1,100 96,525
Sbarro Inc . . . . . . . . . . . . . . . . . . . . . . 500 11,188
Seagrams Co Ltd . . . . . . . . . . . . . . . . . . . 1,600 58,400
Wrigley Co . . . . . . . . . . . . . . . . . . . . . . 900 42,413
------------
496,639 5.7%
------------
HEALTH CARE
Abbott Laboratories . . . . . . . . . . . . . . . . . 1,200 48,750
Amgen Inc. . . . . . . . . . . . . . . . . . . . . . . 400 19,850
Baxter International Inc . . . . . . . . . . . . . . . 1,000 42,000
Becton Dickinson & Co . . . . . . . . . . . . . . . . 600 41,850
Columbia Healthcare Corp. . . . . . . . . . . . . . . 500 25,813
Merck & Co Inc . . . . . . . . . . . . . . . . . . . . 1,300 80,438
Nellcor Inc * . . . . . . . . . . . . . . . . . . . . . 400 23,000
Novacare Inc * . . . . . . . . . . . . . . . . . . . . 3,100 18,213
Pfizer Inc . . . . . . . . . . . . . . . . . . . . . . 800 46,400
Pharmacia & Upjohn Inc . . . . . . . . . . . . . . . . 725 26,009
Schering-Plough Corp(a) . . . . . . . . . . . . . . . 2,000 114,750
Shared Medical . . . . . . . . . . . . . . . . . . . . 1,700 73,738
United Healthcare Corp. . . . . . . . . . . . . . . . . 700 44,013
------------
604,824 6.7%
------------
INSURANCE
Cigna Corp . . . . . . . . . . . . . . . . . . . . . . 200 22,000
Torchmark Corp . . . . . . . . . . . . . . . . . . . . 700 29,750
U S F & G Corp . . . . . . . . . . . . . . . . . . . . 700 12,056
Unum Corp . . . . . . . . . . . . . . . . . . . . . . 700 37,888
------------
101,694 1.2%
------------
MACHINERY
Deere & Co. . . . . . . . . . . . . . . . . . . . . . 600 19,725
Silicon Graphics . . . . . . . . . . . . . . . . . . . 700 25,550
------------
45,275 0.5%
------------
MANUFACTURING
Allstate Corp. . . . . . . . . . . . . . . . . . . . . 370 15,170
General Electric . . . . . . . . . . . . . . . . . . . 600 40,350
Raytheon Co . . . . . . . . . . . . . . . . . . . . . 2,000 89,000
Trinova Corp . . . . . . . . . . . . . . . . . . . . . 1,100 33,825
------------
178,345 2.0%
------------
</TABLE>
See accompanying notes to the financial statements.
3
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
METALS AND MINING
Alco Standard Corp . . . . . . . . . . . . . . . . . . 600 $ 26,100
Amerada Hess Corp. . . . . . . . . . . . . . . . . . . 1,000 47,500
Crown Cork & Seal Inc.(a) * . . . . . . . . . . . . . . 600 25,125
Dover Corp . . . . . . . . . . . . . . . . . . . . . . 600 23,325
Dresser Inds Inc . . . . . . . . . . . . . . . . . . . 1,100 25,988
Engelhard Corp. . . . . . . . . . . . . . . . . . . . 1,300 30,388
Inco Ltd(a) . . . . . . . . . . . . . . . . . . . . . 400 14,250
Nucor Corp . . . . . . . . . . . . . . . . . . . . . . 700 34,913
Oneok Inc . . . . . . . . . . . . . . . . . . . . . . 1,400 32,900
Phelps Dodge Corp . . . . . . . . . . . . . . . . . . 900 61,088
Williams Companies Inc . . . . . . . . . . . . . . . . 1,300 54,600
------------
376,177 4.3%
------------
OIL AND GAS
Ashland Inc . . . . . . . . . . . . . . . . . . . . . 1,100 38,363
Chevron Corp(a) . . . . . . . . . . . . . . . . . . . 1,700 83,938
Exxon Corp . . . . . . . . . . . . . . . . . . . . . . 600 46,425
Mobil Corp . . . . . . . . . . . . . . . . . . . . . . 300 31,313
Royal Dutch Petroleum - ADR(a) . . . . . . . . . . . . 1,100 141,213
Schlumberger Ltd . . . . . . . . . . . . . . . . . . . 600 38,100
Tenneco Inc . . . . . . . . . . . . . . . . . . . . . 500 24,000
Unocal Corp. . . . . . . . . . . . . . . . . . . . . . 800 21,500
USX-Marathon Group . . . . . . . . . . . . . . . . . . 1,500 27,563
------------
452,415 5.2%
------------
PAPER AND ALLIED PRODUCTS
Boise Cascade Corp. . . . . . . . . . . . . . . . . . 1,000 37,250
Georgia-Pacific Corp. . . . . . . . . . . . . . . . . 200 15,550
International Paper Co . . . . . . . . . . . . . . . . 1,400 53,375
------------
106,175 1.2%
------------
RETAIL STORES
Circuit City Stores Inc(a) . . . . . . . . . . . . . . 700 20,300
Claire's Stores Inc. . . . . . . . . . . . . . . . . . 900 17,550
Jones Apparel Group Inc . . . . . . . . . . . . . . . . 800 28,900
J.C. Penney Company Inc.(a) . . . . . . . . . . . . . 800 37,500
Lowes Co's, Inc. . . . . . . . . . . . . . . . . . . . 1,400 44,100
Rite Aid Corp . . . . . . . . . . . . . . . . . . . . 1,200 37,500
Sears Roebuck . . . . . . . . . . . . . . . . . . . . 400 15,750
Toys R Us Inc * . . . . . . . . . . . . . . . . . . . . 1,100 25,575
------------
227,175 2.6%
------------
TOBACCO
UST Inc . . . . . . . . . . . . . . . . . . . . . . . . 1,100 35,888 0.4%
------------
TRANSPORTATION
American President Co's Ltd . . . . . . . . . . . . . 900 22,500
Conrail Inc. . . . . . . . . . . . . . . . . . . . . . 600 41,925
------------
64,425 0.7%
------------
UTILITIES
DQE . . . . . . . . . . . . . . . . . . . . . . . . . 1,200 34,650
Niagara Mohawk Corp . . . . . . . . . . . . . . . . . 3,500 34,563
Peco Energy Co . . . . . . . . . . . . . . . . . . . . 2,500 72,500
</TABLE>
See accompanying notes to the financial statements.
4
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
FACE/SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C> <C> <C>
UTILITIES - (CONTINUED)
Santa Fe Energy Resources Inc . . . . . . . . . . . . . 1,600 $ 14,800
Southern Co . . . . . . . . . . . . . . . . . . . . . 2,000 45,750
------------
202,263 2.3%
------------
WHOLESALE TRADE
Fleming Companies Inc. . . . . . . . . . . . . . . . . 1,800 41,625 0.5%
------------ -----
TOTAL COMMON STOCK (Cost $5,555,695) 6,295,101 71.7%
------------ -----
DEBT OBLIGATIONS
U.S GOVERNMENT OBLIGATIONS
US Treasury Note . . . . . . . . . . 7.88% 07/31/96 $ 55,000 55,858
US Treasury Note . . . . . . . . . . 5.50% 07/31/96 45,000 45,081
US Treasury Note . . . . . . . . . . 6.50% 08/15/97 75,000 76,319
US Treasury Note . . . . . . . . . . 8.87% 11/15/97 200,000 212,686
US Treasury Note . . . . . . . . . . 6.38% 01/15/99 125,000 128,195
US Treasury Note . . . . . . . . . . 8.50% 02/15/00 10,000 11,098
US Treasury Note . . . . . . . . . . 8.75% 08/15/00 100,000 113,059
US Treasury Note . . . . . . . . . . 8.00% 05/15/01 50,000 55,616
US Treasury Note . . . . . . . . . . 7.50% 05/15/02 75,000 82,539
US Treasury Note . . . . . . . . . . 5.75% 08/15/03 25,000 25,028
US Treasury Bond . . . . . . . . . .10.75% 08/15/05 90,000 122,396
US Treasury Bond . . . . . . . . . . 9.38% 02/15/06 30,000 38,124
US Treasury Bond . . . . . . . . . . 8.75% 05/15/17 35,000 45,287
US Treasury Bond . . . . . . . . . . 7.88% 02/15/21 152,000 182,584
TOTAL DEBT OBLIGATIONS (Cost $1,130,714) 1,193,870 13.6%
------------ -----
SHORT-TERM INVESTMENTS
COMMERCIAL PAPER
Bank of Ireland . . . . . . . . . . 5.82% 12/01/95 583,800 583,800 6.7%
------------
U.S GOVERNMENT OBLIGATIONS
US Treasury Bill(b) . . . . . . . . 5.15% 12/21/95 160,000 159,542 1.8%
------------
</TABLE>
See accompanying notes to the financial statements.
5
<PAGE>
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
FACE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.4%, dated
11/30/95, to be repurchased at $439,715 on 12/1/95,
collateralized by U.S. Treasury Notes with rates
ranging from 6.5% to 7.875% and maturity dates
ranging from 4/30/97 to 11/15/04, with an aggregate
market value of $450,778. $439,649 $ 439,649
Cantor Fitzgerald Repurchase Agreement 5.17%, dated
11/30/95, to be repurchased at $439,713 on 12/1/95,
collateralized by U.S. Treasury Obligations with
rates ranging from 5.21% to 7.875% and maturity dates
ranging from 05/09/96 to 05/31/00, with an aggregate
market value of $449,255. 439,649 439,649
------------
879,298 10.0%
------------ -----
TOTAL SHORT-TERM INVESTMENTS (Cost $1,622,640) 1,622,640 18.5%
------------ -----
TOTAL INVESTMENTS (Cost $8,309,049) 9,111,611 103.8%
Excess of Other Assets over Liabilities (333,889) (3.8%)
------------ -----
NET ASSETS $ 8,777,722 100.0%
============ =====
NOTES TO THE SCHEDULE OF INVESTMENTS
ADR American Depository Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
See accompanying notes to the financial statements.
6
<PAGE>
PANAGORA ASSET ALLOCATION FUND
SCHEDULE OF OPEN FUTURE CONTRACTS
NOVEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
BUYS:
7 U.S. 10 Year Treasury Future March 1996 $ 793,625 $ 32,469
11 Standard & Poor's 500 Index Future December 1995 3,339,875 264,900
--------------
$ 297,369
==============
SELLS:
6 U.S. 10 Year Treasury Future December 1995 $ 679,313 $ (27,375)
5 U.S. 10 Year Treasury Future June 1996 563,750 (8,031)
11 Standard & Poor's 500 Index Future March 1996 3,370,125 (123,400)
--------------
$ (158,806)
==============
</TABLE>
See accompanying notes to the financial statements.
7
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
COMMON STOCK (UNLESS OTHERWISE NOTED)
AUSTRIA
Austrian Airline . . . . . . . . . . . . . . . . . . . 100 $ 16,305
Bank Austria Ag . . . . . . . . . . . . . . . . . . . 1,200 93,292
Bank Austria Ag-Participating Certificate . . . . . . 200 7,548
Bank Austria Ag-Vorzug . . . . . . . . . . . . . . . . 200 9,199
Constantia Iso Holding Ag *. . . . . . . . . . . . . . 333 13,419
Constantia Verpack . . . . . . . . . . . . . . . . . . 166 9,940
Creditanstalt-Bankverein - Preferred . . . . . . . . . 400 20,050
Creditanstalt-Bankverein . . . . . . . . . . . . . . . 700 37,083
Ea-Generali Ag . . . . . . . . . . . . . . . . . . . . 200 55,040
Lenzing Ag . . . . . . . . . . . . . . . . . . . . . . 100 7,175
Oemv Ag . . . . . . . . . . . . . . . . . . . . . . . 600 49,359
Oesterreichische Brau-Beteiligungs Ag . . . . . . . . 200 8,905
Oesterreichische Elektrizitaetswirschafts Ag . . . . . 700 39,904
Radex-Heraklith Industrial Ag . . . . . . . . . . . . 200 5,602
Steyr-Daimler-Puch Ag *. . . . . . . . . . . . . . . . 200 3,184
Universale Bau Ag *. . . . . . . . . . . . . . . . . 100 4,767
Veitscher * . . . . . . . . . . . . . . . . . . . . . 200 4,148
Wienerberger Baustoffindustrie Ag . . . . . . . . . . 200 41,476
------------
426,396 0.8%
------------
BELGIUM
Bekaert Sa . . . . . . . . . . . . . . . . . . . . . . 84 64,539
Cimenteries CBR Cementbed - Preferred . . . . . . . . 36 14,163
Cimenteries CBR Cementbed - Warrants *. . . . . . . . 146 1,227
Cimenteries CBR Cementbed . . . . . . . . . . . . . . 180 70,511
Delhaize Le Ps . . . . . . . . . . . . . . . . . . . . 1,918 80,099
Electrabel- Preferred . . . . . . . . . . . . . . . . 362 82,649
Electrabel . . . . . . . . . . . . . . . . . . . . . . 1,669 379,930
Fortis Ag . . . . . . . . . . . . . . . . . . . . . . 1,353 156,955
Generale de Banque Sa . . . . . . . . . . . . . . . . 561 188,635
Gervaert Photo-Producten . . . . . . . . . . . . . . . 2,041 119,756
Glaverbel . . . . . . . . . . . . . . . . . . . . . . 254 27,928
Groupe Bruxelles Lambert Sa . . . . . . . . . . . . . 879 112,757
Kredietbank Ordinary Shares . . . . . . . . . . . . . 77 19,936
Kredietbank . . . . . . . . . . . . . . . . . . . . . 485 123,941
Petrofina Sa . . . . . . . . . . . . . . . . . . . . . 870 257,724
Reunies Electrobel & Tractebel - Preferred *. . . . . 81 30,504
Reunies Electrobel & Tractebel *. . . . . . . . . . . 433 163,067
Royal Belge . . . . . . . . . . . . . . . . . . . . . 639 117,959
Royal Belge - Preferred . . . . . . . . . . . . . . . 128 23,586
Solvay & Cie Sa . . . . . . . . . . . . . . . . . . . 312 158,675
Union Miniere Sa *. . . . . . . . . . . . . . . . . . 925 57,229
------------
2,251,770 4.4%
------------
FRANCE
Accor . . . . . . . . . . . . . . . . . . . . . . . . 300 36,428
Air Liquide French . . . . . . . . . . . . . . . . . . 700 112,629
</TABLE>
See accompanying notes to the financial statements.
8
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
FRANCE - (CONTINUED)
Alcatel Alsthom . . . . . . . . . . . . . . . . . . . 1,500 $ 124,972
Axa Company . . . . . . . . . . . . . . . . . . . . . 1,700 101,713
Banque National de Paris . . . . . . . . . . . . . . . 1,900 84,136
Bic . . . . . . . . . . . . . . . . . . . . . . . . . 200 18,731
Bouygues . . . . . . . . . . . . . . . . . . . . . . . 200 21,961
Carnaud Metalbox . . . . . . . . . . . . . . . . . . . 800 35,169
Carrefour Supermarche . . . . . . . . . . . . . . . . 300 165,548
Casino . . . . . . . . . . . . . . . . . . . . . . . . 600 16,952
Charqeurs . . . . . . . . . . . . . . . . . . . . . . 110 23,804
Cie Generale Des Eaux . . . . . . . . . . . . . . . . 1,200 116,761
Compagnie Bancaire . . . . . . . . . . . . . . . . . . 330 35,905
Compagnie de Saint Goban . . . . . . . . . . . . . . . 800 92,332
Compagnie Financiere Paribas . . . . . . . . . . . . . 1,200 66,628
Compagnie Financierede . . . . . . . . . . . . . . . . 1,600 59,984
Comptoirs Modernes . . . . . . . . . . . . . . . . . . 100 29,795
Docks De France . . . . . . . . . . . . . . . . . . . 100 14,307
Ecco Sa . . . . . . . . . . . . . . . . . . . . . . . 100 15,208
Eridania Beghin Say . . . . . . . . . . . . . . . . . 300 48,931
Essilor International . . . . . . . . . . . . . . . . 100 18,835
Fin Pour L'Expans D'Telecomm . . . . . . . . . . . . . 100 1,322
Groupe Danone . . . . . . . . . . . . . . . . . . . . 700 109,263
Havas Sa . . . . . . . . . . . . . . . . . . . . . . . 500 36,678
Imetal . . . . . . . . . . . . . . . . . . . . . . . . 100 11,622
Lafarge Coppee . . . . . . . . . . . . . . . . . . . . 880 55,896
Lagardere Groupe . . . . . . . . . . . . . . . . . . . 900 17,511
L'Oreal . . . . . . . . . . . . . . . . . . . . . . . 600 148,596
LVMH Co . . . . . . . . . . . . . . . . . . . . . . . 900 170,958
Lyonnaise Des Eaux-Dumez . . . . . . . . . . . . . . . 600 57,467
Michelin B . . . . . . . . . . . . . . . . . . . . . . 1,100 44,699
Nord *. . . . . . . . . . . . . . . . . . . . . . . . 100 2,338
Pernod-Ricard . . . . . . . . . . . . . . . . . . . . 600 35,586
Peugeot Sa *. . . . . . . . . . . . . . . . . . . . . 500 64,620
Pinault Printemps Redoute Sa * . . . . . . . . . . . . 200 37,670
Promodes . . . . . . . . . . . . . . . . . . . . . . . 200 44,202
Rhone-Polenc Sa Class A . . . . . . . . . . . . . . . 3,300 70,619
Saint Louis . . . . . . . . . . . . . . . . . . . . . 100 26,089
Schneider Sa . . . . . . . . . . . . . . . . . . . . . 1,200 44,146
Simco . . . . . . . . . . . . . . . . . . . . . . . . 200 18,234
Societe Generale . . . . . . . . . . . . . . . . . . . 900 105,136
Sodexho Sa . . . . . . . . . . . . . . . . . . . . . . 100 25,247
STE Francaise D'Investissements Immobiliers & De Gesti 200 13,826
Thomson CSF * . . . . . . . . . . . . . . . . . . . . 1,200 26,329
Total Sa . . . . . . . . . . . . . . . . . . . . . . . 2,300 141,483
------------
2,550,266 5.0%
------------
GERMANY
Viag Ag . . . . . . . . . . . . . . . . . . . . . . . 100 39,865 0.1%
------------
</TABLE>
See accompanying notes to the financial statements.
9
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
HONG KONG
Dairy Farm International Holdings. . . . . . . . . . . 20,000 $ 16,400 0.0%
------------
IRELAND
CRH Plc . . . . . . . . . . . . . . . . . . . . . . . 3,500 24,552
Fyffes Plc . . . . . . . . . . . . . . . . . . . . . . 2,800 4,611
Greencore Plc. . . . . . . . . . . . . . . . . . . . . 800 6,651
Independent Newspapers . . . . . . . . . . . . . . . . 1,200 7,240
Irish Life Plc . . . . . . . . . . . . . . . . . . . . 3,000 11,567
James Crean Plc . . . . . . . . . . . . . . . . . . . 6,000 16,898
Kerry Group Plc . . . . . . . . . . . . . . . . . . . 1,599 12,407
Smurfit (Jefferson) Group . . . . . . . . . . . . . . 10,600 26,185
Waterford Wedgewood . . . . . . . . . . . . . . . . . 7,000 6,041
Woodchester Investments Plc . . . . . . . . . . . . . 29,200 78,143
------------
194,295 0.4%
------------
ITALY
Assicurazione Generali . . . . . . . . . . . . . . . . 8,980 203,047
Banco Ambrosiano Veneto . . . . . . . . . . . . . . . 7,600 18,718
Bank Commerciale Italiana . . . . . . . . . . . . . . 24,100 45,741
Benetton . . . . . . . . . . . . . . . . . . . . . . . 2,700 30,921
Burgo (Caritere) Spa . . . . . . . . . . . . . . . . . 1,900 9,274
Credito Italiano . . . . . . . . . . . . . . . . . . . 34,100 34,949
Edison Spa . . . . . . . . . . . . . . . . . . . . . . 9,700 38,299
Fiat Spa - Non Convertible . . . . . . . . . . . . . . 10,900 18,024
Fiat Spa - Private * . . . . . . . . . . . . . . . . . 14,200 24,448
Fiat Spa . . . . . . . . . . . . . . . . . . . . . . . 36,000 108,530
Fidis Spa . . . . . . . . . . . . . . . . . . . . . . 5,700 9,358
Istituto Banc San Paolo Torina . . . . . . . . . . . . 7,800 42,087
Istituto Mobiliare Italiano *. . . . . . . . . . . . . 5,000 28,354
Istituto Nazionale Delle Assic * . . . . . . . . . . . 41,000 49,170
Italcementi Fabbriche Riunite Cemento Spa . . . . . . 2,500 13,583
Italgas . . . . . . . . . . . . . . . . . . . . . . . 10,100 25,980
Magnetti Marelli Spa . . . . . . . . . . . . . . . . . 6,600 8,125
Mediobanca Banca Di Credito . . . . . . . . . . . . . 7,300 46,150
Montedison Spa * . . . . . . . . . . . . . . . . . . . 51,300 31,611
Olivetti Spa - Non Convertible *. . . . . . . . . . . 100 49
Olivetti Spa - Rights *. . . . . . . . . . . . . . . . 19,300 1,082
Olivetti Spa * . . . . . . . . . . . . . . . . . . . . 19,200 12,743
Parmalat Finanziaria Spa *. . . . . . . . . . . . . . 17,400 12,886
Pirelli Spa . . . . . . . . . . . . . . . . . . . . . 21,900 26,524
Rinascente Per L'Esercizio Di Grandi Magazzini Spa . . 2,400 13,475
R.A.S. Spa . . . . . . . . . . . . . . . . . . . . . . 4,100 42,152
Saffa SPA Class A - Rights * . . . . . . . . . . . . . 800 0
Sai Sta Assicuratrice Industriale Spa . . . . . . . . 1,900 17,944
Saipem Spa . . . . . . . . . . . . . . . . . . . . . . 6,100 13,106
Sip - Non Convertible * . . . . . . . . . . . . . . . 23,800 26,029
</TABLE>
See accompanying notes to the financial statements.
10
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
ITALY - (CONTINUED)
Sirti Spa . . . . . . . . . . . . . . . . . . . . . . 3,400 $ 19,659
Smi Societe Mettalurgica - Rights * . . . . . . . . . 240 0
Snia Bpd Spa . . . . . . . . . . . . . . . . . . . . . 4,600 3,553
Telecom Italia Mobile - Preferred. . . . . . . . . . . 23,600 22,890
Telecom Italia Mobile . . . . . . . . . . . . . . . . 72,300 117,205
Telicom Italia Spa . . . . . . . . . . . . . . . . . . 71,200 96,066
------------
1,211,732 2.4%
------------
JAPAN
Alps Electronics Co . . . . . . . . . . . . . . . . . 3,000 32,424
Asahi Bank Ltd . . . . . . . . . . . . . . . . . . . . 4,000 46,377
Ashikaga Bank . . . . . . . . . . . . . . . . . . . . 3,000 17,450
Asics Corp . . . . . . . . . . . . . . . . . . . . . . 17,000 45,935
Bank of Tokyo Ltd. . . . . . . . . . . . . . . . . . . 4,000 65,242
Chiyoda Fire & Marine Insurance Co . . . . . . . . . . 10,000 55,416
Chubu Electric Power . . . . . . . . . . . . . . . . . 2,000 46,770
Dai Nippon Printing Co Ltd . . . . . . . . . . . . . . 6,000 104,937
Dai-Ichi Kangyo Bank . . . . . . . . . . . . . . . . . 10,000 186,686
Daikin Industries Ltd . . . . . . . . . . . . . . . . 7,000 63,277
Daikyo Inc . . . . . . . . . . . . . . . . . . . . . . 4,000 28,691
Daimaru Inc . . . . . . . . . . . . . . . . . . . . . 14,000 92,164
Daito Trust Construction . . . . . . . . . . . . . . . 7,000 68,023
Daiwa House Industry . . . . . . . . . . . . . . . . . 2,000 29,870
Daiwa Securities . . . . . . . . . . . . . . . . . . . 4,000 55,416
Fuji Bank . . . . . . . . . . . . . . . . . . . . . . 8,000 166,642
Fuji Photo Film . . . . . . . . . . . . . . . . . . . 2,000 49,521
Fujisawa Pharmaceutical . . . . . . . . . . . . . . . 11,000 100,948
Fujita Corp. . . . . . . . . . . . . . . . . . . . . . 18,000 81,533
Fujitsu Ltd . . . . . . . . . . . . . . . . . . . . . 5,000 58,954
Fukuyama Transporting Co . . . . . . . . . . . . . . . 7,000 60,801
Gunze Ltd . . . . . . . . . . . . . . . . . . . . . . 8,000 47,949
Hanwa Co Ltd . . . . . . . . . . . . . . . . . . . . 10,000 32,916
Haseko Corp . . . . . . . . . . . . . . . . . . . . . 15,000 50,995
Hitachi Ltd . . . . . . . . . . . . . . . . . . . . . 22,000 222,648
Hokkaido Bank . . . . . . . . . . . . . . . . . . . . 9,000 28,209
Hokkaido Takushoku Bank . . . . . . . . . . . . . . . 9,000 23,788
House Food Industry . . . . . . . . . . . . . . . . . 3,000 53,058
Industrial Bank of Japan . . . . . . . . . . . . . . . 6,000 172,144
Kansai Electric Power . . . . . . . . . . . . . . . . 4,040 95,666
Kawasaki Steel * . . . . . . . . . . . . . . . . . . . 15,000 53,206
Kobe Steel Ltd . . . . . . . . . . . . . . . . . . . . 21,000 60,044
Kokusai Kogyo . . . . . . . . . . . . . . . . . . . . 8,000 82,535
Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . 16,000 125,768
Kurabo Industries . . . . . . . . . . . . . . . . . . 8,000 28,769
Long Term Credit Bank of Japan . . . . . . . . . . . . 6,000 49,462
Marubeni Corp . . . . . . . . . . . . . . . . . . . . 9,000 47,752
Marudai Food Co Ltd . . . . . . . . . . . . . . . . . 9,000 63,847
</TABLE>
See accompanying notes to the financial statements.
11
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
JAPAN - (CONTINUED)
Marui Co . . . . . . . . . . . . . . . . . . . . . . . 3,000 $ 56,006
Matsushita Electric Industries . . . . . . . . . . . . 12,000 178,040
Mazda Motors * . . . . . . . . . . . . . . . . . . . . 24,000 87,251
Mitsubishi Electric . . . . . . . . . . . . . . . . . 18,000 133,707
Mitsubishi Heavy . . . . . . . . . . . . . . . . . . . 16,000 127,497
Mitsubishi Materials Corp . . . . . . . . . . . . . . 20,000 100,614
Mitsubishi Trust . . . . . . . . . . . . . . . . . . . 2,000 30,656
Mitsui Fudosan . . . . . . . . . . . . . . . . . . . . 4,000 49,521
Mitsui Trust & Banking . . . . . . . . . . . . . . . . 6,000 56,242
Nagase & Co . . . . . . . . . . . . . . . . . . . . . 7,000 59,150
Nagoya Railroad Co Ltd . . . . . . . . . . . . . . . . 12,000 58,954
Nichiei (Fudosan) . . . . . . . . . . . . . . . . . . 16,000 56,281
Nihon Cement Co Ltd . . . . . . . . . . . . . . . . . 2,000 13,245
Nippon Oil Co . . . . . . . . . . . . . . . . . . . . 21,000 115,549
Nippon Sheet Glass . . . . . . . . . . . . . . . . . . 8,000 35,687
Nippon Steel Corp . . . . . . . . . . . . . . . . . . 26,000 89,413
Nishi-Nippon Bank . . . . . . . . . . . . . . . . . . 7,000 46,701
Nissan Motors . . . . . . . . . . . . . . . . . . . . 12,000 88,312
Nisshinbo Industries Inc . . . . . . . . . . . . . . . 5,000 45,787
Nomura Securities Co Ltd . . . . . . . . . . . . . . . 2,000 39,302
Orient Corp . . . . . . . . . . . . . . . . . . . . . 11,000 54,581
Renown Inc * . . . . . . . . . . . . . . . . . . . . . 12,000 38,909
Sakura Bank . . . . . . . . . . . . . . . . . . . . . 12,000 129,698
Sanyo Electric Co Ltd . . . . . . . . . . . . . . . . 21,000 109,359
Sekisui House Ltd . . . . . . . . . . . . . . . . . . 11,000 128,617
Settsu Corp * . . . . . . . . . . . . . . . . . . . . 31,000 91,073
Shiseido Co . . . . . . . . . . . . . . . . . . . . . 15,000 159,175
Shokusan Jutaku Sogo . . . . . . . . . . . . . . . . . 8,000 25,782
Sumitomo Bank . . . . . . . . . . . . . . . . . . . . 9,000 173,324
Sumitomo Corp . . . . . . . . . . . . . . . . . . . . 10,000 99,239
Sumitomo Realty & Development. . . . . . . . . . . . . 16,000 107,374
Teijin Limited . . . . . . . . . . . . . . . . . . . . 11,000 57,932
Tokai Bank . . . . . . . . . . . . . . . . . . . . . . 8,000 97,470
Tokio Marine & Fire Insurance . . . . . . . . . . . . 3,000 34,193
Tokyo Electric Power Co Inc . . . . . . . . . . . . . 5,050 130,995
Tokyo Steel Manufacturing . . . . . . . . . . . . . . 4,000 73,888
Toyo Ink Manufacturing . . . . . . . . . . . . . . . . 4,000 20,280
Toyoda Automatic Loom Works . . . . . . . . . . . . . 2,000 33,997
Toyota Motor Co . . . . . . . . . . . . . . . . . . . 15,000 296,242
Victor Co Japan. . . . . . . . . . . . . . . . . . . . 3,000 33,898
Yamaichi Securities . . . . . . . . . . . . . . . . . 10,000 63,277
Yasuda Trust & Banking . . . . . . . . . . . . . . . . 9,000 43,331
------------
6,166,382 11.9%
------------
NETHERLANDS
ABN Amro Holdings . . . . . . . . . . . . . . . . . . 4,000 178,030
Akzo . . . . . . . . . . . . . . . . . . . . . . . . . 900 101,670
Elsevier . . . . . . . . . . . . . . . . . . . . . . . 17,000 231,921
</TABLE>
See accompanying notes to the financial statements.
12
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
NETHERLANDS - (CONTINUED)
Getronics N.V. . . . . . . . . . . . . . . . . . . . . 300 $ 13,463
Heineken N.V. . . . . . . . . . . . . . . . . . . . . 725 127,013
Ihc Caland N.V . . . . . . . . . . . . . . . . . . . . 300 9,037
International Nederlanden Group . . . . . . . . . . . 3,800 248,650
Klm Royal Dutch Airlines . . . . . . . . . . . . . . . 1,200 41,186
Kon Neder Hoogovens . . . . . . . . . . . . . . . . . 400 13,729
Koninklijke Ahold N.V. . . . . . . . . . . . . . . . . 1,600 63,311
Koninklijke N.V. . . . . . . . . . . . . . . . . . . . 1,300 34,266
Kon. Nedlloyd Groep . . . . . . . . . . . . . . . . . 300 5,852
Oce-Van Der Grinten . . . . . . . . . . . . . . . . . 200 12,223
Pakhoed Holding . . . . . . . . . . . . . . . . . . . 400 10,939
Philips Gloeilampenfabrieken . . . . . . . . . . . . . 4,600 180,882
Royal Dutch Petroleum - ADR (a). . . . . . . . . . . . 4,700 603,363
Royal Dutch Petroleum . . . . . . . . . . . . . . . . 7,200 925,806
Royal Nederland . . . . . . . . . . . . . . . . . . . 6,200 220,834
Stad Rotterdam . . . . . . . . . . . . . . . . . . . . 500 14,630
Stork N.V. . . . . . . . . . . . . . . . . . . . . . . 400 10,050
Unilever N. V. . . . . . . . . . . . . . . . . . . . . 2,100 277,416
Wolters Kluwer N.V. . . . . . . . . . . . . . . . . . 900 75,891
------------
3,400,162 6.6%
------------
NEW ZEALAND
Fletcher Forestry . . . . . . . . . . . . . . . . . . 25,000 35,254 0.1%
------------
NORWAY
Aker A/S -"B" . . . . . . . . . . . . . . . . . . . . 1,300 15,511
Norsk Hydro As . . . . . . . . . . . . . . . . . . . . 100 4,074
------------
19,585 0.0%
------------
SINGAPORE
Genting . . . . . . . . . . . . . . . . . . . . . . . 22,500 196,207
Jardine Matheson Holdings . . . . . . . . . . . . . . 2,000 12,100
Overseas Chinese Banking Corp . . . . . . . . . . . . 1 12
Sime Darby Berhad . . . . . . . . . . . . . . . . . . 8,000 20,532
Singapore Press Holdings . . . . . . . . . . . . . . . 400 3,602
United Overseas Bank . . . . . . . . . . . . . . . . . 300 2,701
------------
235,154 0.4%
------------
SPAIN
Acerinox Sa . . . . . . . . . . . . . . . . . . . . . 330 33,066
Alba Finance Corp * . . . . . . . . . . . . . . . . . 600 33,832
Argentaria Sa . . . . . . . . . . . . . . . . . . . . 4,000 156,586
Autopistas Concesionaria . . . . . . . . . . . . . . . 6,500 71,458
Banco Bilbao Vizcaya . . . . . . . . . . . . . . . . . 7,400 244,055
Banco Central Hispano . . . . . . . . . . . . . . . . 5,200 106,527
Banco de Santander . . . . . . . . . . . . . . . . . . 5,100 237,921
Banco Espanol de Credito *. . . . . . . . . . . . . . 3,100 20,850
Corporacion Mapfre . . . . . . . . . . . . . . . . . . 800 45,045
Dragados Y Construcciones . . . . . . . . . . . . . . 1,900 24,741
</TABLE>
See accompanying notes to the financial statements.
13
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
SPAIN - (CONTINUED)
Ebro Agricolas . . . . . . . . . . . . . . . . . . . . 1,500 $ 15,943
Empresa Nacional De Celulosa *. . . . . . . . . . . . 600 10,247
Empresa Nacional De Electricidad . . . . . . . . . . . 8,300 445,791
Fabrica Autom . . . . . . . . . . . . . . . . . . . . 700 10,166
Fomento Construction Y Contract . . . . . . . . . . . 500 37,970
Gas Natural Sa . . . . . . . . . . . . . . . . . . . . 1,200 170,378
Iberdrola I Sa . . . . . . . . . . . . . . . . . . . . 29,300 247,227
Inmobil Metro Vasco- Central . . . . . . . . . . . . . 700 22,944
Portland Valderrivas Sa . . . . . . . . . . . . . . . 200 12,527
Prosegur Compania Securidad . . . . . . . . . . . . . 400 9,703
Repsol Sa . . . . . . . . . . . . . . . . . . . . . . 9,600 302,592
Sociedad Espanola de Carburos . . . . . . . . . . . . 400 17,233
Tabacalera Sa . . . . . . . . . . . . . . . . . . . . 1,200 45,077
Telefonica De Espana Sa . . . . . . . . . . . . . . . 30,000 413,776
Union Electrica Fenosa Sa . . . . . . . . . . . . . . 9,300 50,403
Uralita Sa *. . . . . . . . . . . . . . . . . . . . . 1,700 17,241
Vallehermoso Sa . . . . . . . . . . . . . . . . . . . 1,400 24,762
Zardoya Otis . . . . . . . . . . . . . . . . . . . . . 300 31,155
------------
2,859,216 5.6%
------------
SWEDEN
Aga Ab A Free . . . . . . . . . . . . . . . . . . . . 200 2,807
Aga Ab B Free . . . . . . . . . . . . . . . . . . . . 200 2,776
Asea A Free . . . . . . . . . . . . . . . . . . . . . 100 9,702
Assa Abloy Ab B Free *. . . . . . . . . . . . . . . . 1,200 9,245
Astra Ab A Free . . . . . . . . . . . . . . . . . . . 900 33,570
Astra Ab B Free . . . . . . . . . . . . . . . . . . . 200 7,353
Atlas Copco Ab A Free . . . . . . . . . . . . . . . . 200 3,021
Atlas Copco Ab B Free . . . . . . . . . . . . . . . . 2,200 32,723
Electrolux . . . . . . . . . . . . . . . . . . . . . . 100 4,294
Ericsson Ab B Free . . . . . . . . . . . . . . . . . . 1,600 37,711
Frigoscandia Ab A Shares . . . . . . . . . . . . . . . 100 549
Frigoscandia Ab B Shares . . . . . . . . . . . . . . . 100 549
Hennes & Mauritz . . . . . . . . . . . . . . . . . . . 100 6,217
Skandia Forsakrings Ab . . . . . . . . . . . . . . . . 200 5,309
Skandinaviska Enskilda Banken . . . . . . . . . . . . 900 7,002
Skanska Ab Series B . . . . . . . . . . . . . . . . . 200 6,865
Stora Kopparbergs Bergs-A. . . . . . . . . . . . . . . 500 6,293
Svenska Cellulosa Ab . . . . . . . . . . . . . . . . . 300 5,080
Svenska Handelsbanken Series A . . . . . . . . . . . . 400 8,085
Trelleborg Ab Series B . . . . . . . . . . . . . . . . 200 2,258
Volvo Ab A Free . . . . . . . . . . . . . . . . . . . 12,900 269,609
Volvo Ab B Free . . . . . . . . . . . . . . . . . . . 500 10,374
------------
471,392 0.9%
------------
SWITZERLAND
Holderbank Financiere Glaris . . . . . . . . . . . . . 323 316
Zurich Versicherung . . . . . . . . . . . . . . . . . 505 155,081
------------
155,397 0.3%
------------
</TABLE>
See accompanying notes to the financial statements.
14
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
UNITED KINGDOM
Abbey National . . . . . . . . . . . . . . . . . . . . 3,935 $ 38,544
Anglian Water Plc . . . . . . . . . . . . . . . . . . 1,248 11,212
Associated British Foods . . . . . . . . . . . . . . . 1,586 17,137
Barclay's Plc . . . . . . . . . . . . . . . . . . . . 3,197 38,459
Bet Public Limited Co. . . . . . . . . . . . . . . . . 8,830 17,028
Boc Group . . . . . . . . . . . . . . . . . . . . . . 2,503 33,692
British Aerospace Plc. . . . . . . . . . . . . . . . . 1,177 14,826
British Airways Plc . . . . . . . . . . . . . . . . . 1,566 11,049
British Gas Corp . . . . . . . . . . . . . . . . . . . 8,437 31,766
British Land Company Plc - Rights *. . . . . . . . . . 1,678 26
British Land Company Plc . . . . . . . . . . . . . . . 1,678 9,682
British Petroleum Co Plc . . . . . . . . . . . . . . . 9,135 70,465
British Steel . . . . . . . . . . . . . . . . . . . . 11,387 29,279
British Telecommunications Plc . . . . . . . . . . . . 10,014 57,704
BTR Limited . . . . . . . . . . . . . . . . . . . . . 6,464 33,043
Bunzl Plc. . . . . . . . . . . . . . . . . . . . . . . 6,696 18,242
Burmah Castrol Plc . . . . . . . . . . . . . . . . . . 1,026 15,200
B.A.T. Industries. . . . . . . . . . . . . . . . . . . 3,581 30,144
Cable & Wireless. . . . . . . . . . . . . . . . . . . 2,584 17,876
Cadbury Schweppes Plc . . . . . . . . . . . . . . . . 2,800 23,870
Carlton Communications . . . . . . . . . . . . . . . . 1,526 22,842
Dawson International Plc . . . . . . . . . . . . . . . 12,169 20,860
Dixons Group Plc. . . . . . . . . . . . . . . . . . . 4,832 30,358
East Midlands Electricity Plc . . . . . . . . . . . . 1,446 19,785
Fisons Plc . . . . . . . . . . . . . . . . . . . . . . 3,432 13,815
General Electric Plc . . . . . . . . . . . . . . . . . 3,758 18,233
GKN Plc . . . . . . . . . . . . . . . . . . . . . . . 1,168 14,395
Glaxo Holdings Plc . . . . . . . . . . . . . . . . . . 5,950 79,226
Great Universal Stores . . . . . . . . . . . . . . . . 2,099 19,821
GT Portland Estates. . . . . . . . . . . . . . . . . . 4,927 12,744
Guinness Plc . . . . . . . . . . . . . . . . . . . . . 4,256 30,029
Hambros Plc . . . . . . . . . . . . . . . . . . . . . 4,010 12,459
Hammerson Property Investment & Development . . . . . 2,862 15,024
Hanson Trust Plc . . . . . . . . . . . . . . . . . . . 8,159 24,350
Imperial Chemical Industries . . . . . . . . . . . . . 2,323 26,843
Ladbroke Group. . . . . . . . . . . . . . . . . . . . 9,621 21,204
Land Securities Plc. . . . . . . . . . . . . . . . . . 2,314 21,037
Lloyds Abbey Life Group . . . . . . . . . . . . . . . 1,934 13,586
Lloyds Bank Plc . . . . . . . . . . . . . . . . . . . 2,338 31,060
London International Group Plc . . . . . . . . . . . . 11,527 23,111
Marks & Spencer Plc . . . . . . . . . . . . . . . . . 2,694 18,348
MEPC . . . . . . . . . . . . . . . . . . . . . . . . . 3,033 18,011
MFI Furniture Plc . . . . . . . . . . . . . . . . . . 9,059 21,768
National Power Plc. . . . . . . . . . . . . . . . . . 1,719 12,129
Northumbrian Water Group Plc . . . . . . . . . . . . . 1,120 20,004
Prudential Corp . . . . . . . . . . . . . . . . . . . 4,290 28,233
Reed International Ltd . . . . . . . . . . . . . . . . 1,141 18,109
</TABLE>
See accompanying notes to the financial statements.
15
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
UNITED KINGDOM - (CONTINUED)
Reuters Holdings Plc . . . . . . . . . . . . . . . . . 1,695 $ 15,838
Sainsbury Plc. . . . . . . . . . . . . . . . . . . . . 4,098 24,053
Sears Plc . . . . . . . . . . . . . . . . . . . . . . 8,351 12,781
Securicor Group-A . . . . . . . . . . . . . . . . . . 1,018 14,490
Sedgwick Group Plc . . . . . . . . . . . . . . . . . . 6,428 11,707
Smithkline Beecham Plc . . . . . . . . . . . . . . . . 3,136 33,166
Smiths Industries . . . . . . . . . . . . . . . . . . 1,769 16,461
South Wales Electricity Plc . . . . . . . . . . . . . 864 14,480
South West Water Plc . . . . . . . . . . . . . . . . . 2,370 17,955
Tarmac Plc . . . . . . . . . . . . . . . . . . . . . . 14,659 21,650
Thorn Emi Plc . . . . . . . . . . . . . . . . . . . . 1,734 41,215
Unigate Plc . . . . . . . . . . . . . . . . . . . . . 1,698 10,850
Unilever Limited . . . . . . . . . . . . . . . . . . . 504 9,750
------------
1,371,024 2.7%
------------
UNITED STATES
Abbott Laboratories . . . . . . . . . . . . . . . . . 7,400 300,625
Allstate Corp. . . . . . . . . . . . . . . . . . . . . 2,873 117,793
American International Group . . . . . . . . . . . . . 1,400 125,650
Ameritech Corp . . . . . . . . . . . . . . . . . . . . 4,800 264,000
Amgen Inc . . . . . . . . . . . . . . . . . . . . . . 2,700 133,988
Applied Materials Inc . . . . . . . . . . . . . . . . 4,000 194,500
Asarco Inc (a). . . . . . . . . . . . . . . . . . . . 14,700 520,013
AT & T Corp . . . . . . . . . . . . . . . . . . . . . 4,800 316,800
Atlantic Richfield . . . . . . . . . . . . . . . . . . 1,400 151,725
Autodesk Inc . . . . . . . . . . . . . . . . . . . . . 2,400 84,600
Bankamerica Corp . . . . . . . . . . . . . . . . . . . 3,100 197,238
Bankers Trust . . . . . . . . . . . . . . . . . . . . 4,300 278,963
Bell Atlantic Corp . . . . . . . . . . . . . . . . . . 3,800 239,400
Boise Cascade Corp. . . . . . . . . . . . . . . . . . 4,900 182,525
Cabletron Systems . . . . . . . . . . . . . . . . . . 2,900 240,700
Ceridian Corp (a). . . . . . . . . . . . . . . . . . . 3,000 126,000
Chrysler Corp . . . . . . . . . . . . . . . . . . . . 200 10,375
Cisco Systems Inc (a) *. . . . . . . . . . . . . . . . 4,700 395,388
Citicorp . . . . . . . . . . . . . . . . . . . . . . . 1,400 99,050
Coca-Cola Co . . . . . . . . . . . . . . . . . . . . . 4,700 356,025
Dow Chemical Co . . . . . . . . . . . . . . . . . . . 1,100 77,963
DSC Communications *. . . . . . . . . . . . . . . . . 2,000 79,250
Eastman Chemical Co . . . . . . . . . . . . . . . . . 725 47,578
Eastman Kodak Co . . . . . . . . . . . . . . . . . . . 2,900 197,200
EI Dupont De Nemours & Co Inc . . . . . . . . . . . . 4,400 292,600
Engelhard Corp. . . . . . . . . . . . . . . . . . . . 9,400 219,725
Enron Oil & Gas. . . . . . . . . . . . . . . . . . . . 900 18,900
Entergy Corp . . . . . . . . . . . . . . . . . . . . . 28,200 786,075
Exxon Corp . . . . . . . . . . . . . . . . . . . . . . 5,000 386,875
Federal National Mortgage Association . . . . . . . . 2,400 262,800
First Chicago Corp . . . . . . . . . . . . . . . . . . 3,700 257,150
Fluor Corp . . . . . . . . . . . . . . . . . . . . . . 3,100 201,500
</TABLE>
See accompanying notes to the financial statements.
16
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
UNITED STATES - (CONTINUED)
FMC Corp . . . . . . . . . . . . . . . . . . . . . . . 3,100 $ 229,013
Ford Motor . . . . . . . . . . . . . . . . . . . . . . 8,800 248,600
General Electric . . . . . . . . . . . . . . . . . . . 5,000 336,250
General Motors . . . . . . . . . . . . . . . . . . . . 6,300 305,550
GTE Corp . . . . . . . . . . . . . . . . . . . . . . . 8,400 358,050
Heinz, H J Co . . . . . . . . . . . . . . . . . . . . 9,600 306,000
HF Ahmanson & Co . . . . . . . . . . . . . . . . . . . 7,500 200,625
Home Depot . . . . . . . . . . . . . . . . . . . . . . 17,600 781,000
H&R Block Inc. . . . . . . . . . . . . . . . . . . . . 10,700 476,150
Intel Corp . . . . . . . . . . . . . . . . . . . . . . 3,000 182,625
International Business Machines . . . . . . . . . . . 2,200 212,575
Lowes Co's, Inc. . . . . . . . . . . . . . . . . . . . 10,700 337,050
MBNA Corp . . . . . . . . . . . . . . . . . . . . . . 11,500 464,313
McDonalds Corp . . . . . . . . . . . . . . . . . . . . 2,200 98,175
Micron Technology . . . . . . . . . . . . . . . . . . 1,900 104,025
Minnesota Mining & Manufacturing . . . . . . . . . . . 3,800 248,900
Mobil Corp . . . . . . . . . . . . . . . . . . . . . . 3,500 365,313
Niagara Mohawk Corp . . . . . . . . . . . . . . . . . 16,800 165,900
Novacare Inc . . . . . . . . . . . . . . . . . . . . . 6,100 35,838
Oracle Corporation *. . . . . . . . . . . . . . . . . 4,500 204,188
Pacific Gas & Electric . . . . . . . . . . . . . . . . 3,800 104,500
Pacific Telesis Group . . . . . . . . . . . . . . . . 3,700 111,000
Pfizer Inc . . . . . . . . . . . . . . . . . . . . . . 5,600 324,800
Philip Morris Companies Inc . . . . . . . . . . . . . 2,400 210,600
Procter & Gamble Co . . . . . . . . . . . . . . . . . 3,700 319,588
Salomon Inc. . . . . . . . . . . . . . . . . . . . . . 7,200 261,900
SBC Communications . . . . . . . . . . . . . . . . . . 2,600 140,400
Schlumberger Ltd . . . . . . . . . . . . . . . . . . . 2,100 133,350
Scientific Atlanta Inc . . . . . . . . . . . . . . . . 14,500 230,188
Sears Roebuck . . . . . . . . . . . . . . . . . . . . 3,100 122,063
Shared Medical . . . . . . . . . . . . . . . . . . . . 3,600 156,150
Silicon Graphics . . . . . . . . . . . . . . . . . . . 3,800 138,700
Tellabs Inc . . . . . . . . . . . . . . . . . . . . . 2,700 105,975
Texaco Inc . . . . . . . . . . . . . . . . . . . . . . 2,300 170,200
Texas Instruments . . . . . . . . . . . . . . . . . . 3,300 190,988
Tribune Co . . . . . . . . . . . . . . . . . . . . . . 4,800 309,600
Trinova Corp . . . . . . . . . . . . . . . . . . . . . 3,700 113,775
Tyco Lab . . . . . . . . . . . . . . . . . . . . . . . 5,600 175,700
U S F & G Corp . . . . . . . . . . . . . . . . . . . . 6,200 106,950
United Healthcare Corp. . . . . . . . . . . . . . . . 2,300 144,613
Unum Corp . . . . . . . . . . . . . . . . . . . . . . 1,300 70,363
UST Inc . . . . . . . . . . . . . . . . . . . . . . . 3,400 110,925
Viacom Inc Class B *. . . . . . . . . . . . . . . . . 4,100 197,825
Walt Disney Co . . . . . . . . . . . . . . . . . . . . 1,700 102,213
Williams Companies Inc . . . . . . . . . . . . . . . . 5,200 218,400
------------
17,093,880 33.2%
------------ -----
TOTAL COMMON STOCK (Cost $35,677,341) 38,498,170 74.8%
------------ -----
</TABLE>
See accompanying notes to the financial statements.
17
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
FACE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS
COMMERCIAL PAPER
Bank of Ireland . . . . . . . . . . . 5.82% 12/01/95 $1,412,600 $ 1,412,600 2.8%
-----------
U.S GOVERNMENT OBLIGATION
US Treasury Bill (b) . . . . . . . . 5.19% 12/21/95 1,400,000 1,395,964 2.7%
-----------
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.4%, dated
11/30/95, to be repurchased at $2,582,926 on 12/1/95,
collateralized by U.S. Treasury Notes with rates
ranging from 6.5% to 7.875% and maturity dates
ranging from 4/30/97 to 11/15/04, with an aggregate
market value of $2,647,906. 2,582,539 2,582,539
Cantor Fitzgerald Repurchase Agreement 5.17%, dated
11/30/95, to be repurchased at $2,582,909 on 12/1/95,
collateralized by U.S. Treasury Obligations with
rates ranging from 5.21% to 7.875% and maturity dates
ranging from 05/09/96 to 05/31/00, with an aggregate
market value of $2,638,960. 2,582,539 2,582,539
-----------
5,165,078 10.0%
----------- -----
TOTAL SHORT-TERM INVESTMENTS (Cost $7,973,642 ) 7,973,642 15.5%
----------- -----
TOTAL INVESTMENTS (Cost $43,650,983) 46,471,812 90.3%
Excess of Other Assets over Liabilities 5,009,795 9.7%
----------- -----
NET ASSETS $51,481,607 100.0%
=========== =====
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depository Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
</TABLE>
See accompanying notes to the financial statements.
18
<PAGE>
PANAGORA GLOBAL FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
At November 30, 1995, industry sector diversification of the PanAgora Global
Fund's investments as a percentage of net assets was as follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 8.4%
Communication 7.4
Electronics 6.3
Oil and Gas 5.9
Financial Services 4.6
Manufacturing 3.7
Construction and Building 3.7
Food and Beverage 3.4
Automotive 3.2
Utilities 3.2
Consumer Goods 3.2
Health Care 2.7
Metals and Mining 2.5
Insurance 2.4
Chemicals 2.3
Consumer Services 2.2
Retail Stores 2.0
Energy 1.6
Computer Equipment 1.0
Machinery 0.8
Equipment 0.8
Real Estate 0.7
Transportation 0.5
Paper and Allied Products 0.5
Tobacco 0.4
Engineering 0.4
Diversified 0.3
Wholesale Trade 0.3
Railroads 0.2
Nondurable Goods 0.2
Short-Term Investments 15.5
-----
TOTAL INVESTMENTS 90.3
Net other assets 9.7
NET ASSETS 100.0%
=====
See accompanying notes to the financial statements.
19
<PAGE>
PANAGORA GLOBAL FUND
SCHEDULE OF OPEN FUTURE CONTRACTS
NOVEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
<S> <C> <C> <C> <C>
BUYS:
39 U.S. 10 Year Treasury Future March 1996 $ 4,421,625 $ 32,906
1 Australian 10 Year Bond Index Future December 1995 93,219 4,104
18 Australian All Ordinary Index Future December 1995 724,335 8,249
1 Financial Times Stock Exchange Index Future December 1995 140,347 5,641
9 United Kingdom Gilt Future December 1995 758,245 23,611
3 Germany Bond Future December 1995 512,027 19,478
1 Canadian 10 Year Bond Future December 1995 82,195 4,921
30 TSE Index Future December 1995 2,720,948 89,797
9 CAC 40 Index Future December 1995 661,110 5,367
2 French 10 Year Bond Future December 1995 239,205 6,026
1 Nikkei 300 Index Future December 1995 27,335 1,532
2 Japan 10 Year Bond Future December 1995 2,416,114 99,765
11 Topix Index Future December 1995 1,605,011 60,284
1 Italian 10 Year Bond Future December 1995 131,300 3,269
1 MIB Index Future December 1995 83,073 1,177
--------------
$ 366,127
==============
SELLS:
361 IBX 35 Index Future December 1995 $ 1,034,922 $ 5,664
8 Standard & Poor's 500 Index Future December 1995 2,429,000 (113,550)
--------------
$ (107,886)
==============
</TABLE>
See accompanying notes to the financial statements.
20
<PAGE>
PANAGORA GLOBAL FUND
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
NOVEMBER 30, 1995 (UNAUDITED)
<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:
12/14/95 Australian Dollar 1,165,000 $ 891,319 $ (26,919)
12/14/95 Canadian Dollar 3,678,000 2,755,562 (47,819)
12/14/95 Deutsche Mark 2,298,600 1,571,771 18,190
12/14/95 Spanish Peseta 202,300,000 1,619,436 19,534
12/14/95 French Franc 8,295,000 1,674,844 (12,970)
12/14/95 British Pound 924,000 1,458,857 (45,094)
12/14/95 Italian Lira 372,000,000 227,203 4,849
12/14/95 Japanese Yen 492,065,000 5,015,530 (169,910)
01/19/96 Deutsche Mark 2,153,597 1,529,000 (36,484)
01/19/96 British Pound 1,772,276 2,796,652 (86,883)
01/19/96 Japanese Yen 209,401,848 2,113,036 (39,157)
--------------
$ (422,663)
==============
CONTRACTS TO SELL CURRENCY:
12/14/95 Deutsche Mark 1,155,000 818,917 19,993
12/14/95 Spanish Peseta 331,475,000 2,600,263 (85,242)
12/14/95 French Franc 3,986,500 785,070 (13,611)
12/14/95 British Pound 194,000 301,301 4,472
12/14/95 Japanese Yen 79,990,000 815,201 27,498
01/19/96 British Pound 796,651 1,256,000 37,939
01/19/96 Deutsche Mark 6,246,113 4,400,412 71,641
--------------
$ 62,690
==============
</TABLE>
See accompanying notes to the financial statements.
21
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED)
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
COMMON STOCK (Unless otherwise noted)
ARGENTINA
Astra Cia Argentina Depetro . . . . . . . . . . . . . 1,000 $ 1,701
Banco Frances del Rio Plata . . . . . . . . . . . . . 400 3,482
Banco Galicia y Buenos Aires . . . . . . . . . . . . . 3,947 19,547
Cia Interamericana de Auto . . . . . . . . . . . . . . 798 3,433
Cia Naviera Perez Companc B . . . . . . . . . . . . . 10,664 51,744
Molinos Rio de La Plata . . . . . . . . . . . . . . . 145 1,124
Siderca Sa . . . . . . . . . . . . . . . . . . . . . . 9,000 7,581
Telefonica de Argentina B . . . . . . . . . . . . . . 37,600 93,666
YPF Sociedade Anonima . . . . . . . . . . . . . . . . 5,000 97,294
------------
279,572 1.5%
------------
AUSTRIA
Austrian Airline . . . . . . . . . . . . . . . . . . . 100 16,305
Bank Austria Ag . . . . . . . . . . . . . . . . . . . 1,260 97,957
Bank Austria Ag-Participating Certificate . . . . . . 200 7,548
Bank Austria Ag-Vorzug . . . . . . . . . . . . . . . . 200 9,199
Constantia Iso Holding Ag *. . . . . . . . . . . . . . 133 5,359
Constantia Verpack . . . . . . . . . . . . . . . . . . 67 3,984
Creditanstalt-Bankverein - Preferred . . . . . . . . . 400 20,050
Creditanstalt-Bankverein . . . . . . . . . . . . . . . 721 38,195
Ea-Generali Ag . . . . . . . . . . . . . . . . . . . . 200 55,040
Lenzing Ag . . . . . . . . . . . . . . . . . . . . . . 100 7,175
Oemv Ag . . . . . . . . . . . . . . . . . . . . . . . 750 61,698
Oesterreichische Brau-Beteiligungs Ag . . . . . . . . 200 8,905
Oesterreichische Elektrizitaetswirschafts Ag . . . . . 840 47,884
Radex-Heraklith Industrial Ag . . . . . . . . . . . . 200 5,602
Universale Bau Ag *. . . . . . . . . . . . . . . . . . 100 4,767
Veitscher *. . . . . . . . . . . . . . . . . . . . . . 300 6,221
Wienerberger Baustoffindustrie Ag . . . . . . . . . . 200 41,476
------------
437,365 2.3%
------------
BELGIUM
Bekaert Sa . . . . . . . . . . . . . . . . . . . . . . 13 9,988
Cimenteries CBR Cementbed - Preferred . . . . . . . . 4 1,574
Cimenteries CBR Cementbed . . . . . . . . . . . . . . 22 8,618
Delhaize Le Ps . . . . . . . . . . . . . . . . . . . . 299 12,487
Electrabel- Preferred . . . . . . . . . . . . . . . . 58 13,242
Electrabel . . . . . . . . . . . . . . . . . . . . . . 265 60,324
Fortis Ag . . . . . . . . . . . . . . . . . . . . . . 215 24,941
Generale de Banque Sa . . . . . . . . . . . . . . . . 88 29,590
Gervaert Photo-Producten . . . . . . . . . . . . . . . 151 8,860
Glaverbel . . . . . . . . . . . . . . . . . . . . . . 40 4,398
Groupe Bruxelles Lambert Sa . . . . . . . . . . . . . 139 17,831
Kredietbank Ordinary Shares . . . . . . . . . . . . . 10 2,589
Kredietbank . . . . . . . . . . . . . . . . . . . . . 77 19,677
Petrofina Sa . . . . . . . . . . . . . . . . . . . . . 139 41,177
Reunies Electrobel & Tractebel - Preferred *. . . . . 13 4,896
</TABLE>
See accompanying notes to the financial statements.
22
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
BELGIUM - (CONTINUED)
Reunies Electrobel & Tractebel *. . . . . . . . . 68 $ 25,609
Royale Belge - Preferred . . . . . . . . . . . . 96 17,689
Solvay & Cie Sa . . . . . . . . . . . . . . . . 50 25,429
Union Miniere Sa * . . . . . . . . . . . . . . . 149 9,219
------------
338,138 1.8%
------------
BRAZIL
Aracruz Celulose - Preferred . . . . . . . . . . 7,000 12,608
Banco Bradesco - Preferred . . . . . . . . . . . 4,100,000 35,438
Cia Energetica de Minas Gerais - Preferred . . . 1,595,000 35,333
Cia Souza Cruz Industry e Commerce . . . . . . . 3,000 17,856
Electrobras - Preferred *. . . . . . . . . . . . 200,000 56,312
Patroleo Brasile . . . . . . . . . . . . . . . . 200,000 16,976
Telebras Brc - Preferred . . . . . . . . . . . . 1,000,000 49,273
Usiminas . . . . . . . . . . . . . . . . . . . . 11,000,000 9,792
Vale do Rio Doce - Preferred . . . . . . . . . . 200,000 32,503
White Martin Sa . . . . . . . . . . . . . . . . 13,000,000 12,649
------------
278,740 1.5%
------------
CHILE
Chilgener S.A. - ADR . . . . . . . . . . . . . . . . . 270 6,345
Compania De Telecomunicaciones - ADR . . . . . . . . . 340 24,523
Empresa Nacional de Electricity - ADR . . . . . . . . 3,200 64,000
Enersis S.A. - ADR . . . . . . . . . . . . . . . . . . 2,790 71,494
Maderas Y Sinteticos Sociedad - ADR *. . . . . . . . . 500 8,313
------------
174,675 1.0%
------------
DENMARK
Aarhus Oliefabrik A Shares . . . . . . . . . . . . . 16 913
Aarhus Oliefabrik B Shares . . . . . . . . . . . . . 4 221
Carlsberg A Shares . . . . . . . . . . . . . . . . . 184 9,715
Carlsberg B Shares . . . . . . . . . . . . . . . . . 149 7,867
CN Investeringsselskab. . . . . . . . . . . . . . . . 39 3,144
Den Danske Bank . . . . . . . . . . . . . . . . . . . 276 18,659
Den Danske Luftfartselskab . . . . . . . . . . . . . . 32 2,540
D/S 1912 B Shares . . . . . . . . . . . . . . . . . . 100 19,175
East Asiatic Co *. . . . . . . . . . . . . . . . . . . 111 2,257
FLS Industries As B Shares . . . . . . . . . . . . . . 48 4,144
Great Nordic Ltd . . . . . . . . . . . . . . . . . . . 31 2,311
International Service System B Shares . . . . . . . . 151 3,232
Korn-Og Foderstofkomp . . . . . . . . . . . . . . . . 60 2,676
Lauritzen Holdings - B Shares *. . . . . . . . . . . . 14 1,873
Nordiske Kabel Traadfabri . . . . . . . . . . . . . . 39 2,157
Novo-Nordisk As . . . . . . . . . . . . . . . . . . . 196 24,648
Royal Copenhagen As . . . . . . . . . . . . . . . . . 15 1,338
Sophus Berendsen - A Shares . . . . . . . . . . . . . 31 3,312
Sophus Berendsen - B Shares . . . . . . . . . . . . . 93 10,036
Superfos As . . . . . . . . . . . . . . . . . . . . . 32 2,797
Teledanmark - B Shares . . . . . . . . . . . . . . . . 684 37,212
Unidanmark As . . . . . . . . . . . . . . . . . . . . 242 11,828
------------
172,055 0.9%
------------
</TABLE>
See accompanying notes to the financial statements.
23
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
FRANCE
Accor . . . . . . . . . . . . . . . . . . . . . . . . 100 $ 12,143
Air Liquide French . . . . . . . . . . . . . . . . . . 300 48,270
Alcatel Alsthom . . . . . . . . . . . . . . . . . . . 622 51,822
Axa Company . . . . . . . . . . . . . . . . . . . . . 1,000 59,831
Banque National de Paris . . . . . . . . . . . . . . . 800 35,426
Bouygues . . . . . . . . . . . . . . . . . . . . . . . 100 10,980
Carnaud Metalbox . . . . . . . . . . . . . . . . . . . 300 13,189
Carrefour Supermarche . . . . . . . . . . . . . . . . 130 71,737
Cie Generale Des Eaux . . . . . . . . . . . . . . . . 1,224 119,096
Compagnie Bancaire . . . . . . . . . . . . . . . . . . 110 11,968
Compagnie de Saint Goban . . . . . . . . . . . . . . . 295 34,047
Compagnie Financiere Paribas . . . . . . . . . . . . . 500 27,762
Compagnie Financierede . . . . . . . . . . . . . . . . 600 22,494
Docks De France . . . . . . . . . . . . . . . . . . . 100 14,307
Eridania Beghin Say . . . . . . . . . . . . . . . . . 100 16,310
Euro Disneyland Sca - Warrants *. . . . . . . . . . . 600 183
Euro Disneyland Sca . . . . . . . . . . . . . . . . . 100 262
Groupe Danone . . . . . . . . . . . . . . . . . . . . 300 46,827
Havas Sa . . . . . . . . . . . . . . . . . . . . . . . 200 14,671
Imetal . . . . . . . . . . . . . . . . . . . . . . . . 100 11,622
Lafarge Coppee . . . . . . . . . . . . . . . . . . . . 330 20,961
L'Oreal . . . . . . . . . . . . . . . . . . . . . . . 300 74,298
Lvmh Co . . . . . . . . . . . . . . . . . . . . . . . 420 79,780
Lyonnaise Des Eaux-Dumez . . . . . . . . . . . . . . . 200 19,156
Michelin B French Registered . . . . . . . . . . . . . 400 16,254
Pernod-Ricard . . . . . . . . . . . . . . . . . . . . 200 11,862
Peugeot Sa *. . . . . . . . . . . . . . . . . . . . . 200 25,848
Pinault Printemps Redoute Sa *. . . . . . . . . . . . 100 18,835
Promodes . . . . . . . . . . . . . . . . . . . . . . . 100 22,101
Rhone-Polenc Sa Class A . . . . . . . . . . . . . . . 1,300 27,820
Schneider Sa . . . . . . . . . . . . . . . . . . . . . 600 22,073
Societe Generale . . . . . . . . . . . . . . . . . . . 300 35,045
Societe National Elf-Aquitaine . . . . . . . . . . . . 1,120 78,456
STE Guilbert Sa . . . . . . . . . . . . . . . . . . . 114 12,975
Thomson CSF *. . . . . . . . . . . . . . . . . . . . . 500 10,970
Total Sa . . . . . . . . . . . . . . . . . . . . . . . 900 55,363
------------
1,154,744 6.1%
------------
GERMANY
Allianz Ag Holdings . . . . . . . . . . . . . . . . . 100 193,053
Basf Ag . . . . . . . . . . . . . . . . . . . . . . . 400 87,645
Bayer Ag . . . . . . . . . . . . . . . . . . . . . . . 500 130,050
Bayerische Hypothekenbank . . . . . . . . . . . . . . 2,000 49,490
Bayerische Vereinsbank . . . . . . . . . . . . . . . . 2,000 57,716
Beiersdorf . . . . . . . . . . . . . . . . . . . . . . 25 17,453
Continental Ag . . . . . . . . . . . . . . . . . . . . 1,000 14,654
Daimler-Benz Ag . . . . . . . . . . . . . . . . . . . 400 196,717
Degussa Ag . . . . . . . . . . . . . . . . . . . . . . 100 31,865
</TABLE>
See accompanying notes to the financial statements.
24
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
GERMANY - (CONTINUED)
Deutsche Bank Ag . . . . . . . . . . . . . . . . . . . 3,000 $ 140,695
Dresdner Bank Ag. . . . . . . . . . . . . . . . . . . 3,000 80,353
Karstadt Ag . . . . . . . . . . . . . . . . . . . . . 20 7,894
Kaufhof Ag . . . . . . . . . . . . . . . . . . . . . . 100 30,275
Lufthansa *. . . . . . . . . . . . . . . . . . . . . . 300 39,813
Man Ag . . . . . . . . . . . . . . . . . . . . . . . . 120 33,883
Mannesmann Ag . . . . . . . . . . . . . . . . . . . . 300 96,568
Muenchener Rueckversicherungs - Rights *. . . . . . . 100 11,474
Muenchener Rueckversicherungs . . . . . . . . . . . . 100 184,068
Preussag Ag . . . . . . . . . . . . . . . . . . . . . 100 28,768
Rwe Ag - Preferred . . . . . . . . . . . . . . . . . . 100 28,581
Rwe Ag . . . . . . . . . . . . . . . . . . . . . . . . 300 108,968
Schering Ag . . . . . . . . . . . . . . . . . . . . . 1,000 67,911
Siemens Ag . . . . . . . . . . . . . . . . . . . . . . 400 208,882
Thyssen Ag * . . . . . . . . . . . . . . . . . . . . . 220 40,662
Veba Ag . . . . . . . . . . . . . . . . . . . . . . . 3,000 122,343
Viag Ag . . . . . . . . . . . . . . . . . . . . . . . 200 79,730
Volkswagen Ag . . . . . . . . . . . . . . . . . . . . 200 64,835
------------
2,154,346 11.4%
------------
GREECE
Commercial Bank Of Greece . . . . . . . . . . . . . . 800 27,674
Credit Bank of Greece . . . . . . . . . . . . . . . . 1,066 61,273
Ergo Bank Sa . . . . . . . . . . . . . . . . . . . . . 600 23,278
Hellas Can Sa . . . . . . . . . . . . . . . . . . . . 100 1,984
Hellenic Bottling Co . . . . . . . . . . . . . . . . . 1,900 55,504
Hellenic Sugar *. . . . . . . . . . . . . . . . . . . 1,100 14,495
Intracom Sa . . . . . . . . . . . . . . . . . . . . . 520 11,191
Michaniki Sa . . . . . . . . . . . . . . . . . . . . . 1,000 12,442
Titan Cement Co . . . . . . . . . . . . . . . . . . . 600 22,445
------------
230,286 1.2%
------------
HONG KONG
Cheung Kong . . . . . . . . . . . . . . . . . . . . . 1,800 10,239
China Light & Power Co. . . . . . . . . . . . . . . . 1,560 7,341
Hang Seng Bank . . . . . . . . . . . . . . . . . . . . 1,300 11,345
Hong Kong Telecom . . . . . . . . . . . . . . . . . . 4,500 7,650
HSBC Holdings Plc . . . . . . . . . . . . . . . . . . 5,700 84,009
Hutchison Whampoa . . . . . . . . . . . . . . . . . . 3,800 21,469
Sun Hung Kai Properties Ltd . . . . . . . . . . . . . 1,280 10,301
------------
152,354 0.8%
------------
INDONESIA
Bank International Indonesia - Foreign . . . . . . . . 6,500 14,802
Barito Pacific Timber . . . . . . . . . . . . . . . . 9,500 6,968
Pt Astra International . . . . . . . . . . . . . . . . 7,000 13,948
Pt Gudang Garam . . . . . . . . . . . . . . . . . . . 2,500 24,086
Pt Indah Kiat Pulp & Paper . . . . . . . . . . . . . . 10,230 15,568
Pt Indocement Tunggal Prakarsa . . . . . . . . . . . . 9,000 30,545
Pt Indostat-Foreign . . . . . . . . . . . . . . . . . 6,000 20,300
Unilever . . . . . . . . . . . . . . . . . . . . . . . 500 6,405
------------
132,622 0.7%
------------
</TABLE>
See accompanying notes to the financial statements.
25
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
IRELAND
Allied Irish Banks Plc . . . . . . . . . . . . . . . . 300 $ 1,644
CRH Plc . . . . . . . . . . . . . . . . . . . . . . . 100 701
Fyffes Plc . . . . . . . . . . . . . . . . . . . . . . 100 165
Irish Life Plc . . . . . . . . . . . . . . . . . . . . 100 386
James Crean Plc . . . . . . . . . . . . . . . . . . . 2,500 7,047
Kerry Group Plc . . . . . . . . . . . . . . . . . . . 55 427
Smurfit (Jefferson) Group . . . . . . . . . . . . . . 400 988
Woodchester Investments Plc . . . . . . . . . . . . . 12,300 32,916
------------
44,274 0.2%
------------
ITALY
Alleanza Assicuraz . . . . . . . . . . . . . . . . . . 253 1,620
Assicurazione Generali . . . . . . . . . . . . . . . 7,650 172,974
Banco Ambrosiano Veneto . . . . . . . . . . . . . . . 6,400 15,763
Bank Commerciale Italiana . . . . . . . . . . . . . . 20,400 38,718
Benetton . . . . . . . . . . . . . . . . . . . . . . . 2,300 26,340
Burgo (Caritere) Spa . . . . . . . . . . . . . . . . . 1,700 8,297
Credito Italiano . . . . . . . . . . . . . . . . . . . 29,000 29,722
Edison Spa . . . . . . . . . . . . . . . . . . . . . . 8,200 32,377
Fiat Spa - Non Convertible . . . . . . . . . . . . . . 9,300 15,378
Fiat Spa - Private *. . . . . . . . . . . . . . . . . 12,000 20,661
Fiat Spa . . . . . . . . . . . . . . . . . . . . . . . 31,500 94,964
Istituto Banc San Paolo Torina . . . . . . . . . . . . 6,600 35,612
Istituto Mobiliare Italiano . . . . . . . . . . . . . 5,400 30,622
Istituto Nazionale Delle Assic . . . . . . . . . . . . 37,000 44,373
Italcementi Fabbriche Riunite Cemento Spa . . . . . . 2,100 11,410
Italgas . . . . . . . . . . . . . . . . . . . . . . . 8,600 22,121
Magnetti Marelli Spa . . . . . . . . . . . . . . . . . 5,600 6,894
Marzotto & Figi Spa . . . . . . . . . . . . . . . . . 700 3,981
Mediobanca Banca Di Credito . . . . . . . . . . . . . 6,170 39,006
Montedison Spa *. . . . . . . . . . . . . . . . . . . 69,000 42,517
Olivetti Spa - Private Placement *. . . . . . . . . . 400 312
Olivetti Spa - Rights *. . . . . . . . . . . . . . . . 16,700 936
Olivetti Spa (a) *. . . . . . . . . . . . . . . . . . 16,300 10,818
Parmalat Finanziaria Spa *. . . . . . . . . . . . . . 14,700 10,886
Pirelli Spa . . . . . . . . . . . . . . . . . . . . . 18,600 22,527
Rinascente Per L'Esercizio Di Grandi Magazzini Spa . . 2,000 11,229
R.A.S. Spa . . . . . . . . . . . . . . . . . . . . . . 3,500 35,983
Saffa Spa Class A - Rights *. . . . . . . . . . . . . 700 0
Sai Sta Assicuratrice Industriale Spa . . . . . . . . 1,600 15,111
Saipem Spa . . . . . . . . . . . . . . . . . . . . . . 5,200 11,172
Sip - Non Convertible *. . . . . . . . . . . . . . . . 20,200 22,092
Sirti Spa . . . . . . . . . . . . . . . . . . . . . . 2,800 16,189
Smi Societe Mettalurgica - Rights *. . . . . . . . . . 600 0
Snia Bpd Spa . . . . . . . . . . . . . . . . . . . . . 2,600 2,008
Telecom Italia Mobile - Drnc . . . . . . . . . . . . . 18,300 17,749
Telecom Italia Mobile . . . . . . . . . . . . . . . . 60,600 98,239
Telicom Italia Spa . . . . . . . . . . . . . . . . . . 61,900 83,518
------------
1,052,119 5.6%
------------
</TABLE>
See accompanying notes to the financial statements.
26
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
JAPAN
Alps Electronics Co . . . . . . . . . . . . . . . . . 2,000 $ 21,616
Amada Co Ltd . . . . . . . . . . . . . . . . . . . . . 1,000 10,120
Asahi Bank Ltd . . . . . . . . . . . . . . . . . . . . 2,000 23,188
Asahi Chemical Industry Co Ltd . . . . . . . . . . . . 100 747
Ashikaga Bank . . . . . . . . . . . . . . . . . . . . 1,000 5,817
Asics Corp . . . . . . . . . . . . . . . . . . . . . . 14,000 37,829
Bank of Tokyo Ltd . . . . . . . . . . . . . . . . . . 3,000 48,931
Chichibu Onoda Cement Corp . . . . . . . . . . . . . . 1,000 5,404
Chiyoda Fire & Marine Insurance Co . . . . . . . . . . 4,000 22,167
Chubu Electric Power . . . . . . . . . . . . . . . . . 1,000 23,385
Citizen Watch Co Ltd . . . . . . . . . . . . . . . . . 1,000 7,350
Dai Nippon Printing Co Ltd . . . . . . . . . . . . . . 4,200 73,456
Daido Steel Co . . . . . . . . . . . . . . . . . . . . 1,800 9,055
Dai-Ichi Kangyo Bank . . . . . . . . . . . . . . . . . 7,790 145,429
Daikin Industries Ltd . . . . . . . . . . . . . . . . 5,000 45,198
Daikyo Inc . . . . . . . . . . . . . . . . . . . . . . 3,000 21,518
Daimaru Inc . . . . . . . . . . . . . . . . . . . . . 11,000 72,415
Daito Trust Construction . . . . . . . . . . . . . . . 5,000 48,588
Daiwa House Industry . . . . . . . . . . . . . . . . . 1,600 23,896
Daiwa Securities . . . . . . . . . . . . . . . . . . . 3,000 41,562
Fuji Bank . . . . . . . . . . . . . . . . . . . . . . 6,100 127,065
Fuji Photo Film . . . . . . . . . . . . . . . . . . . 2,800 69,329
Fujikura Ltd . . . . . . . . . . . . . . . . . . . . . 1,000 6,190
Fujisawa Pharmaceutical . . . . . . . . . . . . . . . 8,000 73,417
Fujita Corp. . . . . . . . . . . . . . . . . . . . . . 9,000 40,766
Fujitsu Ltd . . . . . . . . . . . . . . . . . . . . . 4,200 49,521
Fukuyama Transporting Co . . . . . . . . . . . . . . . 3,000 26,057
Furkukawa Electric . . . . . . . . . . . . . . . . . . 2,000 9,452
Gunze Ltd . . . . . . . . . . . . . . . . . . . . . . 4,000 23,974
Hanwa Co Ltd . . . . . . . . . . . . . . . . . . . . . 8,000 26,333
Haseko Corp . . . . . . . . . . . . . . . . . . . . . 12,000 40,796
Higo Bank . . . . . . . . . . . . . . . . . . . . . . 1,000 7,507
Hitachi Ltd . . . . . . . . . . . . . . . . . . . . . 17,100 173,058
Hokkaido Bank . . . . . . . . . . . . . . . . . . . . 7,000 21,941
Hokkaido Takushoku Bank . . . . . . . . . . . . . . . 7,000 18,502
House Food Industry . . . . . . . . . . . . . . . . . 2,000 35,372
Inax . . . . . . . . . . . . . . . . . . . . . . . . . 1,000 9,531
Industrial Bank of Japan . . . . . . . . . . . . . . . 4,800 137,716
Iwatani International Corp . . . . . . . . . . . . . . 1,040 5,314
Joyo Bank . . . . . . . . . . . . . . . . . . . . . . 1,680 12,760
Kaneka Corporation . . . . . . . . . . . . . . . . . . 1,000 6,632
Kansai Electric Power . . . . . . . . . . . . . . . . 2,586 61,226
Kawasaki Steel * . . . . . . . . . . . . . . . . . . . 7,400 26,248
Kobe Steel Ltd . . . . . . . . . . . . . . . . . . . . 15,000 42,889
Kokusai Kogyo . . . . . . . . . . . . . . . . . . . . 6,000 61,901
Komatsu Ltd . . . . . . . . . . . . . . . . . . . . . 13,400 105,330
Kumagai Gumi Co . . . . . . . . . . . . . . . . . . . 2,000 7,900
Kurabo Industries . . . . . . . . . . . . . . . . . . 6,000 21,577
</TABLE>
See accompanying notes to the financial statements.
27
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
JAPAN - (CONTINUED)
Lion Corporation . . . . . . . . . . . . . . . . . . . 1,000 $ 5,797
Long Term Credit Bank of Japan . . . . . . . . . . . . 5,000 41,218
Marubeni Corp . . . . . . . . . . . . . . . . . . . . 6,000 31,835
Marudai Food Co Ltd . . . . . . . . . . . . . . . . . 5,800 41,146
Marui Co . . . . . . . . . . . . . . . . . . . . . . . 2,000 37,337
Matsushita Electric Industries . . . . . . . . . . . . 9,600 142,432
Mazda Motors *. . . . . . . . . . . . . . . . . . . . 18,000 65,438
Meiji Seika . . . . . . . . . . . . . . . . . . . . . 1,000 5,876
Minebea Co Ltd . . . . . . . . . . . . . . . . . . . . 1,000 8,312
Mitsubishi Electric . . . . . . . . . . . . . . . . . 14,000 103,994
Mitsubishi Heavy . . . . . . . . . . . . . . . . . . . 8,300 66,139
Mitsubishi Materials Corp . . . . . . . . . . . . . . 15,000 75,461
Mitsubishi Oil Co . . . . . . . . . . . . . . . . . . 1,000 8,588
Mitsubishi Paper . . . . . . . . . . . . . . . . . . . 1,000 6,161
Mitsui Fudosan . . . . . . . . . . . . . . . . . . . . 2,000 24,761
Mitsui Marine & Fire Insurance . . . . . . . . . . . . 1,400 9,423
Mitsui Trust & Banking . . . . . . . . . . . . . . . . 2,400 22,497
Nagase & Co . . . . . . . . . . . . . . . . . . . . . 4,000 33,800
Nagoya Railroad Co Ltd . . . . . . . . . . . . . . . . 6,000 29,477
Nichido Fire & Marine Insurance . . . . . . . . . . . 1,000 7,743
Nichiei (Fudosan) . . . . . . . . . . . . . . . . . . 8,000 28,141
Nichirei Corp . . . . . . . . . . . . . . . . . . . . 1,000 6,229
Nihon Cement Co Ltd . . . . . . . . . . . . . . . . . 1,000 6,622
Nippon Fire & Marine Insurance . . . . . . . . . . . . 1,000 5,709
Nippon Light Metal Co . . . . . . . . . . . . . . . . 1,600 9,275
Nippon Oil Co . . . . . . . . . . . . . . . . . . . . 15,200 83,635
Nippon Oil & Fats Co Ltd . . . . . . . . . . . . . . . 1,000 5,335
Nippon Sheet Glass . . . . . . . . . . . . . . . . . . 4,000 17,843
Nippon Shinpan Co . . . . . . . . . . . . . . . . . . 1,000 6,573
Nippon Steel Corp . . . . . . . . . . . . . . . . . . 16,900 58,118
Nishi-Nippon Bank . . . . . . . . . . . . . . . . . . 3,000 20,015
Nissan Motors . . . . . . . . . . . . . . . . . . . . 6,000 44,156
Nisshinbo Industries Inc . . . . . . . . . . . . . . . 4,000 36,630
Nomura Securities Co Ltd . . . . . . . . . . . . . . . 1,000 19,651
Okumura . . . . . . . . . . . . . . . . . . . . . . . 1,000 9,089
Olympus Optical . . . . . . . . . . . . . . . . . . . 1,000 9,531
Orient Corp . . . . . . . . . . . . . . . . . . . . . 6,000 29,772
Osaka Gas Co Ltd . . . . . . . . . . . . . . . . . . . 6,000 20,398
Renown Inc *. . . . . . . . . . . . . . . . . . . . . 9,000 29,182
Sagami Railway . . . . . . . . . . . . . . . . . . . . 1,000 4,235
Sakura Bank . . . . . . . . . . . . . . . . . . . . . 8,400 90,789
Sankyo Aluminum Industry Co . . . . . . . . . . . . . 1,000 4,991
Sanyo Electric Co Ltd . . . . . . . . . . . . . . . . 13,000 67,698
Sekisui House Ltd . . . . . . . . . . . . . . . . . . 8,000 93,540
Settsu Corp *. . . . . . . . . . . . . . . . . . . . . 24,000 70,508
Shionogi & Co Ltd . . . . . . . . . . . . . . . . . . 1,000 8,617
Shiseido Co . . . . . . . . . . . . . . . . . . . . . 10,000 106,116
Shokusan Jutaku Sogo. . . . . . . . . . . . . . . . . 8,000 25,782
Sumitomo Bank . . . . . . . . . . . . . . . . . . . . 7,693 148,153
</TABLE>
See accompanying notes to the financial statements.
28
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
JAPAN - (CONTINUED)
Sumitomo Corp . . . . . . . . . . . . . . . . . . . . 8,000 $ 79,391
Sumitomo Metal Mining . . . . . . . . . . . . . . . . 1,000 8,735
Sumitomo Realty & Development . . . . . . . . . . . . 5,000 33,554
Teijin Limited . . . . . . . . . . . . . . . . . . . . 5,000 26,333
Tokai Bank . . . . . . . . . . . . . . . . . . . . . . 6,200 75,539
Tokyo Electric Power Co Inc . . . . . . . . . . . . . 4,080 105,844
Tokyo Steel Manufacturing . . . . . . . . . . . . . . 2,000 36,944
Toyo Ink Manufacturing . . . . . . . . . . . . . . . . 3,000 15,210
Toyobo Co Ltd . . . . . . . . . . . . . . . . . . . . 1,800 6,013
Toyoda Automatic Loom Works . . . . . . . . . . . . . 2,000 33,997
Toyota Motor Co . . . . . . . . . . . . . . . . . . . 10,986 216,967
Ube Industries Ltd *. . . . . . . . . . . . . . . . . 2,400 9,102
Victor Co Japan . . . . . . . . . . . . . . . . . . . 3,000 33,898
Yamaichi Securities . . . . . . . . . . . . . . . . . 9,000 56,949
Yasuda Trust & Banking . . . . . . . . . . . . . . . . 3,000 14,444
------------
4,522,663 23.9%
------------
MEXICO
Cementos De Mexico . . . . . . . . . . . . . . . . . . 2,575 8,202
Cifra Sa - B Shares . . . . . . . . . . . . . . . . . 8,600 9,587
Empressa La Moderna - A Shares . . . . . . . . . . . . 1,700 6,204
Fomento Economico Mexicano . . . . . . . . . . . . . . 2,700 6,228
Grupo Financiero Banamex - Series B . . . . . . . . . 300 460
Grupo Financiero Banamex - Series L . . . . . . . . . 15 21
Grupo Financiero Bancomer - B Shares *. . . . . . . . 7,800 2,153
Grupo Financiero Bancomer *. . . . . . . . . . . . . . 289 70
Grupo Industrial Alfa Sa Series A . . . . . . . . . . 200 2,362
Grupo Industrial Bimbo Series A . . . . . . . . . . . 1,000 3,371
Grupo Mexico Sa Series B . . . . . . . . . . . . . . . 1,600 7,188
Grupo Televisa Sa Series A . . . . . . . . . . . . . . 500 5,408
Telefonos de Mexico - Series L . . . . . . . . . . . . 20,400 33,788
------------
85,042 0.4%
------------
NETHERLANDS
ABN Amro Holdings . . . . . . . . . . . . . . . . . . 800 35,606
Akzo . . . . . . . . . . . . . . . . . . . . . . . . . 138 15,589
Elsevier . . . . . . . . . . . . . . . . . . . . . . . 1,700 23,192
Getronics N.V. . . . . . . . . . . . . . . . . . . . . 100 4,488
Heineken N.V. . . . . . . . . . . . . . . . . . . . . 125 21,899
Ihc Caland N.V. . . . . . . . . . . . . . . . . . . . 100 3,012
International Nederlanden Group . . . . . . . . . . . 787 51,497
Klm Royal Dutch Airlines . . . . . . . . . . . . . . . 200 6,864
Kon Neder Hoogovens . . . . . . . . . . . . . . . . . 100 3,432
Koninklijke Ahold N.V. . . . . . . . . . . . . . . . . 300 11,871
Koninklijke N.V. . . . . . . . . . . . . . . . . . . . 300 7,908
Kon. Nedlloyd Groep . . . . . . . . . . . . . . . . . 100 1,951
Pakhoed Holding . . . . . . . . . . . . . . . . . . . 100 2,735
Philips Gloeilampenfabrieken . . . . . . . . . . . . . 900 35,390
Royal Dutch Petroleum . . . . . . . . . . . . . . . . 1,400 180,018
Royal Nederland . . . . . . . . . . . . . . . . . . . 1,200 42,742
</TABLE>
See accompanying notes to the financial statements.
29
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
NETHERLANDS - (CONTINUED)
Stad Rotterdam . . . . . . . . . . . . . . . . . . . . 100 $ 2,926
Stork N.V. . . . . . . . . . . . . . . . . . . . . . 100 2,512
Unilever N.V. . . . . . . . . . . . . . . . . . . . . 375 49,539
Wolters Kluwer N.V. . . . . . . . . . . . . . . . . . 200 16,865
------------
520,036 2.7%
------------
NEW ZEALAND
Fletcher Forestry . . . . . . . . . . . . . . . . . . 3,900 5,500 0.0%
------------
PHILIPPINES
Ayala Land Inc Class B . . . . . . . . . . . . . . . . 1,000 1,146
Manila Electirc . . . . . . . . . . . . . . . . . . . 1,500 11,572
Petron Corp. . . . . . . . . . . . . . . . . . . . . . 63,700 29,192
Philippine Long Distance Telephone Co . . . . . . . . 400 22,532
Philippine National Bank . . . . . . . . . . . . . . . 3,100 27,466
San Miquel Corp Class B . . . . . . . . . . . . . . . 3,860 12,383
------------
104,291 0.6%
------------
PORTUGAL
Banco Comercial Portugues . . . . . . . . . . . . . . 3,300 43,212
Banco Espirito Santo . . . . . . . . . . . . . . . . . 2,400 34,356
Banco Portuguese de Investment Sa - Rights *. . . . . 1,200 2,058
Banco Portuguese de Investment Sa . . . . . . . . . . 1,200 13,378
Banco Totta & Acores . . . . . . . . . . . . . . . . . 1,745 28,145
Corticeira Amorim . . . . . . . . . . . . . . . . . . 200 2,114
Jeronimo Martins . . . . . . . . . . . . . . . . . . . 700 37,865
Lusotur * . . . . . . . . . . . . . . . . . . . . . . 100 2,190
Mague-Gestao Participacoes . . . . . . . . . . . . . . 100 1,847
Portugal Telecom. . . . . . . . . . . . . . . . . . . 1,392 25,445
Soares de Costa . . . . . . . . . . . . . . . . . . . 120 1,479
Sonae Industria Investimento . . . . . . . . . . . . . 1,400 29,553
Unicer- Uniao Cervejeira . . . . . . . . . . . . . . . 100 1,547
------------
223,189 1.2%
------------
SINGAPORE
United Overseas Bank . . . . . . . . . . . . . . . . . 1 9 0.0%
------------
SPAIN
Banco Espanol de Credito *. . . . . . . . . . . . . . 1,200 8,071
Sociedad Espanola de Carburos . . . . . . . . . . . . 300 12,924
------------
20,995 0.1%
------------
SWEDEN
Aga Ab A Free . . . . . . . . . . . . . . . . . . . . 900 12,631
Aga Ab B Free . . . . . . . . . . . . . . . . . . . . 800 11,106
Asea Ab A Free . . . . . . . . . . . . . . . . . . . . 500 48,512
Asea Ab B Free . . . . . . . . . . . . . . . . . . . . 200 19,313
Assa Abloy Ab B Shares . . . . . . . . . . . . . . . . 600 4,622
Astra Ab A Free . . . . . . . . . . . . . . . . . . . 3,600 134,278
Astra Ab B Free . . . . . . . . . . . . . . . . . . . 800 29,412
Atlas Copco Ab A Free . . . . . . . . . . . . . . . . 900 13,593
Atlas Copco Ab B Free . . . . . . . . . . . . . . . . 400 5,950
</TABLE>
See accompanying notes to the financial statements.
30
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C>
SWEDEN - (CONTINUED)
Autoliv Ab . . . . . . . . . . . . . . . . . . . . . . 200 $ 11,838
Electrolux . . . . . . . . . . . . . . . . . . . . . . 500 21,472
Ericsson Ab B Free . . . . . . . . . . . . . . . . . . 6,900 162,630
Esselte Ab A Free . . . . . . . . . . . . . . . . . . 100 1,495
Esselte Ab B Free . . . . . . . . . . . . . . . . . . 100 1,495
Euroc Industriab - Series A. . . . . . . . . . . . . . 300 7,918
Hennes & Mauritz . . . . . . . . . . . . . . . . . . . 300 18,650
Securitas Ab B Free . . . . . . . . . . . . . . . . . 200 8,055
Skandia Forsakrings Ab . . . . . . . . . . . . . . . . 700 18,581
Skandinaviska Enskilda Banken . . . . . . . . . . . . 3,800 29,565
Skanska Ab Series B . . . . . . . . . . . . . . . . . 900 30,892
SKF Ab B Free *. . . . . . . . . . . . . . . . . . . . 500 10,297
Stora Kopparbergs A Shares . . . . . . . . . . . . . . 1,900 23,913
Stora Kopparbergs B Shares . . . . . . . . . . . . . . 400 5,095
Svenska Cellulosa Ab . . . . . . . . . . . . . . . . . 1,400 23,707
Svenska Handelsbanken A Shares . . . . . . . . . . . . 1,400 28,299
Svenska Handelsbanken B Shares . . . . . . . . . . . . 100 1,953
S.K.F. Ab - Series A . . . . . . . . . . . . . . . . . 400 8,085
Trelleborg Ab Series B . . . . . . . . . . . . . . . . 800 9,031
Volvo Ab Class A . . . . . . . . . . . . . . . . . . . 1,000 20,900
Volvo Aktiebolag B Free . . . . . . . . . . . . . . . 2,300 47,719
------------
771,007 4.1%
------------
THAILAND
Bangkok Bank Co Ltd-Foreign . . . . . . . . . . . . . 2,500 26,630
Charoen Pokphand Feedmill - Foreign . . . . . . . . . 100 481
Land & House Plc - Foreign . . . . . . . . . . . . . 600 8,824
Shinawatra Computer Co - Foreign . . . . . . . . . . . 300 7,130
Siam Cement Co Ltd - Foreign . . . . . . . . . . . . . 300 14,428
Siam Commercial Bank Public Co Ltd . . . . . . . . . . 1,000 9,380
Thai Farmers Bank Public Co . . . . . . . . . . . . . 2,100 13,772
United Communication Industry Public Co . . . . . . . 1,300 14,984
------------
95,629 0.5%
------------
TURKEY
Aksa Akrilik Kimya Sanayii . . . . . . . . . . . . . . 81,936 22,362
Arcelik As . . . . . . . . . . . . . . . . . . . . . . 138,722 13,630
Cimsa . . . . . . . . . . . . . . . . . . . . . . . . 35,000 17,513
Cukurova Elektrik . . . . . . . . . . . . . . . . . . 4,200 2,675
Ege Biracilik Ve Malt Sanay . . . . . . . . . . . . . 56,768 15,752
Eregli Demir Ve Celik Fabrik . . . . . . . . . . . . . 178,325 16,061
Migros . . . . . . . . . . . . . . . . . . . . . . . . 10,000 10,189
Netas Telekomunik . . . . . . . . . . . . . . . . . . 31,000 8,179
Otosan Otomobil . . . . . . . . . . . . . . . . . . . 45,400 8,508
Tofas Otomobil Fabrik *. . . . . . . . . . . . . . . . 144,000 16,245
Trakya Cam Sanayii As . . . . . . . . . . . . . . . . 96,544 9,486
Turkiye Garanti Bankasi As * . . . . . . . . . . . . . 312,000 22,707
Turkiye Is Bankasi As B . . . . . . . . . . . . . . . 381,200 31,212
------------
194,519 1.0%
------------
</TABLE>
See accompanying notes to the financial statements.
31
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
<TABLE>
<CAPTION>
FACE/SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
<S> <C> <C> <C> <C> <C>
UNITED KINGDOM
Arjo Wiggins Appleton Plc . . . . . . . . . . . . . . 1,433 $ 3,750
Chubb Security Plc . . . . . . . . . . . . . . . . . . 7,960 39,229
General Electric Plc . . . . . . . . . . . . . . . . . 2,166 10,509
Glaxo Holdings Plc . . . . . . . . . . . . . . . . . . 6,108 81,330
Hanson Trust Plc . . . . . . . . . . . . . . . . . . . 17,050 50,885
Imperial Chemical Industries . . . . . . . . . . . . . 1,200 13,866
RTZ Corp . . . . . . . . . . . . . . . . . . . . . . . 1,750 25,123
Smithkline Beecham Plc . . . . . . . . . . . . . . . . 3,078 32,552
Vodafone Group Plc . . . . . . . . . . . . . . . . . . 19,347 70,325
------------
327,569 1.7%
------------
UNITED STATES
U.S. Industries Inc (c). . . . . . . . . . . . . . . . 171 2,779 0.0%
------------ -----
TOTAL COMMON STOCK (Cost $13,533,389) 13,474,518 71.2%
------------ -----
SHORT-TERM INVESTMENTS
COMMERCIAL PAPER
Bank of Ireland . . . . . . . . . . . 5.82% 12/01/95 $ 14,040 14,040 0.1%
------------
U.S GOVERNMENT OBLIGATION
US Treasury Bill (b) . . . . . . . . 5.19% 12/21/95 700,000 697,881 3.7%
------------
REPURCHASE AGREEMENTS
Salomon Brothers Repurchase Agreement 5.4%, dated
11/30/95, to be repurchased at $947,608 on 12/1/95,
collateralized by U.S. Treasury Notes with rates
ranging from 6.5% to 7.875% and maturity dates
ranging from 4/30/97 to 11/15/04, with an aggregate
market value of $971,448. $ 947,466 $ 947,466
Cantor Fitzgerald Repurchase Agreement 5.17%, dated
11/30/95, to be repurchased at $947,602 on 12/1/95,
collateralized by U.S. Treasury Obligations with
rates ranging from 5.21% to 7.875% and maturity dates
ranging from 05/09/96 to 05/31/00, with an aggregate
market value of $968,166. $ 947,466 947,466
------------
1,894,932 10.0%
------------
TOTAL SHORT-TERM INVESTMENTS (Cost $2,606,853 ) 2,606,853 13.8%
------------ -----
TOTAL INVESTMENTS (Cost $16,140,242) 16,081,371 85.0%
Excess of Other Assets over Liabilities 2,837,209 15.0%
------------ -----
NET ASSETS $ 18,918,580 100.0%
============ =====
NOTES TO THE SCHEDULE OF INVESTMENTS:
ADR American Depository Receipt
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
(c) Shares received in spinoff from Hanson Plc.
* Non-income producing security.
</TABLE>
See accompanying notes to the financial statements.
32
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1995 (UNAUDITED) - CONTINUED
At November 30, 1995, industry sector diversification of the PanAgora
International Equity Fund's investments as a percentage of net assets was as
follows:
PERCENTAGE OF
INDUSTRY SECTOR NET ASSETS
Banking 13.2%
Electronics 6.2
Automotive 5.6
Communication 4.5
Utilities 4.3
Insurance 3.7
Consumer Goods 3.5
Metals and Mining 3.2
Construction and Building 2.7
Health Care 2.6
Oil and Gas 2.6
Chemicals 2.5
Manufacturing 2.3
Food and Beverage 2.1
Financial Services 2.0
Retail Stores 2.0
Consumer Services 1.5
Machinery 1.2
Equipment 0.9
Transportation 0.7
Real Estate 0.6
Engineering 0.6
Diversified 0.5
Wholesale Trade 0.5
Paper and Allied Products 0.5
Tobacco 0.3
Areospace 0.2
Nondurable Goods 0.2
Railroads 0.3
Computer Equipment 0.2
Short-Term Investments 13.8
----
TOTAL INVESTMENTS 85.0
Net other assets 15.0
NET ASSETS 100 %
=====
See accompanying notes to the financial statements.
33
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF OPEN FUTURE CONTRACTS
NOVEMBER 30, 1995 (UNAUDITED)
<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 Future December 1995 $ 140,347 $ 3,253
1 DAX Index Future December 1995 156,074 (2,576)
23 CAC 40 Index Future December 1995 1,689,502 (10,360)
24 Nikkei 300 Index Future December 1995 656,035 36,790
12 Topix Index Future December 1995 1,750,921 80,435
3 MIB Index Future December 1995 249,220 (15,285)
278 IBX 35 Index Future December 1995 796,976 (3,870)
--------------
$ 88,387
==============
</TABLE>
See accompanying notes to the financial statements.
34
<PAGE>
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF FORWARD FOREIGN EXCHANGE CONTRACTS
NOVEMBER 30, 1995 (UNAUDITED)
<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:
12/14/95 Deutsche Mark 120,000 $ 81,688 $ 1,317
12/14/95 Spanish Peseta 96,820,000 759,507 24,898
12/14/95 French Franc 7,968,000 1,590,230 6,131
12/14/95 British Pound 438,000 679,842 (9,679)
12/14/95 Italian Lira 295,000,000 180,843 3,176
12/14/95 Japanese Yen 229,565,000 2,260,645 (95,840)
--------------
$ (69,997)
==============
CONTRACTS TO SELL CURRENCY:
12/14/95 British Pound 357,000 564,239 18,009
--------------
$ 18,009
==============
</TABLE>
See accompanying notes to the financial statements.
35
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PANAGORA PANAGORA
ASSET PANAGORA INTERNATIONAL
ALLOCATION GLOBAL EQUITY
FUND FUND FUND
<S> <C> <C> <C>
ASSETS:
Investments, at value * (Note 1) - See accompanying portfolios $9,111,611 $46,471,812 $16,081,371
Cash 203,001 5,434,135 1,812,505
Foreign currency, at value ** - 1,173,541 991,385
Receivable from:
Securities sold - 462,289 285,375
Dividends and interest 38,291 153,652 49,759
Advisor (Note 2) 42,242 - 29,121
Fund shares sold 316 - -
Variation margin on open futures contracts (Note 6) - 20,072 7,296
Unamortized organization costs (Note 5) 10,478 10,529 10,529
---------- ----------- -----------
Total assets 9,405,939 53,726,030 19,267,341
---------- ----------- -----------
LIABILITIES:
Payable for:
Securities purchased 11,348 319,933 239,382
Variation margin on open futures contracts (Note 6) 2,769 - -
Investment Advisory fees (Note 2) - 99,685 -
Unrealized loss on forward foreign
currency contracts (Note 6) - 359,973 51,988
Payable upon return of securities loaned (Note 1) 583,800 1,412,600 14,040
Accrued expenses and other liabilities 30,300 52,232 43,351
---------- ----------- -----------
Total Liabilities 628,217 2,244,423 348,761
---------- ----------- -----------
NET ASSETS $8,777,722 $51,481,607 $18,918,580
========== =========== ===========
NET ASSETS CONSIST OF:
Paid-in capital $7,522,915 $47,787,559 $19,865,059
Undistributed net investment income (distributions in
excess of net investment income) 97,113 (226,689) (40,101)
Accumulated net realized gain (loss) on investments,
closed futures contracts and foreign currency transactions 216,569 1,211,732 (845,760)
Net unrealized appreciation (depreciation) on investments,
forward currency contracts, open futures contracts,
and net other assets 941,125 2,709,005 (60,618)
---------- ----------- -----------
NET ASSETS $8,777,722 $51,481,607 $18,918,580
========== =========== ===========
NUMBER OF FUND SHARES ISSUED AND OUTSTANDING 727,740 4,502,480 1,885,974
========== =========== ===========
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE OF
BENEFICIAL INTEREST OUTSTANDING $12.06 $11.43 $10.03
========== =========== ===========
* Cost of investments $8,309,049 $43,650,983 $16,140,242
* * Cost of foreign currency - $1,181,550 $1,028,244
</TABLE>
See accompanying notes to the financial statements.
36
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED NOVEMBER 30, 1995 (UNAUDITED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PANAGORA PANAGORA
ASSET PANAGORA INTERNATIONAL
ALLOCATION GLOBAL EQUITY
FUND FUND FUND
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes *) $70,409 $490,118 $117,679
Interest 62,807 131,081 65,660
-------- ---------- ---------
Total investment income 133,216 621,199 183,339
-------- ---------- ---------
EXPENSES:
Investment Advisory fees (Note 2) 24,067 179,177 76,686
Custody, transfer agent and administration fees (Note 2) 36,255 102,997 96,330
Audit and legal fees 25,359 27,319 20,288
Registration and filing fees 9,567 12,846 9,339
Trustees' fees and expenses (Note 2) 4,019 4,783 4,378
Amortization of organization costs (Note 5) 2,090 2,081 2,081
Other 1,051 6,257 2,149
-------- ---------- ---------
Total expenses 102,408 335,460 211,251
Less expenses waived and/or reimbursed by the Advisor (Note 2) (66,308) (79,493) (105,807)
Less earnings credit (Note 2) - (12,272) (17,746)
-------- ---------- ---------
Net expenses 36,100 243,695 87,698
-------- ---------- ---------
NET INVESTMENT INCOME 97,116 377,504 95,641
-------- ---------- ---------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTES 1 AND 3):
Net realized gain (loss) on:
Security transactions 348,751 1,373,489 (176,767)
Closed futures contracts (155,392) 354,076 246,082
Foreign currency related transactions - 365,788 (274,785)
-------- ---------- ---------
Net realized gain (loss) 193,359 2,093,353 (205,470)
-------- ---------- ---------
Net change in unrealized appreciation (depreciation) of:
Securities 487,535 (298,426) (524,423)
Open futures contracts 161,788 (103,771) 129,745
Foreign currency and net other assets - (967,456) (248,679)
-------- ---------- ---------
Net unrealized appreciation (depreciation) during the period 649,323 (1,369,653) (643,357)
-------- ---------- ---------
NET REALIZED AND UNREALIZED GAIN (LOSS) 842,682 723,700 (848,827)
-------- ---------- ---------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $939,798 $1,101,204 ($753,186)
======== ========== =========
* Net of foreign taxes withheld of: - $49,642 $18,759
</TABLE>
See accompanying notes to the financial statements.
37
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED
(UNAUDITED) MAY 31, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $97,116 $143,948
Net realized gain on investments and closed futures contracts 193,359 333,529
Net change in unrealized appreciation on investments
and open futures contracts 649,323 381,058
---------- ----------
Net increase in net assets resulting from operations 939,798 858,535
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (69,719) (91,258)
Net realized gains (316,721) (471)
---------- ----------
Total distributions to shareholders (386,440) (91,729)
---------- ----------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 879,560 4,202,376
Net asset value of shares issued to shareholders
in payment of distributions declared 386,440 91,257
Cost of shares repurchased (330,808) (642,100)
---------- ----------
Net increase in net assets resulting from
Fund share transactions 935,192 3,651,533
---------- ----------
TOTAL INCREASE IN NET ASSETS 1,488,550 4,418,339
NET ASSETS:
Beginning of year 7,289,172 2,870,833
---------- ----------
End of year * $8,777,722 $7,289,172
========== ==========
* Including undistributed net
investment income of: $97,113 $69,716
</TABLE>
See accompanying notes to the financial statements.
38
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA GLOBAL FUND
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED
(UNAUDITED) MAY 31, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $377,504 $720,846
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 2,093,353 100,572
Net change in unrealized appreciation on investments, open
futures contracts, forward currency contracts, and
net other assets (1,369,653) 3,657,374
----------- -----------
Net increase in net assets resulting from operations 1,101,204 4,478,792
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (295,365) -
Net realized gains (593,867) (388,372)
----------- -----------
Total distributions to shareholders (889,232) (388,372)
----------- -----------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 53,458 7,133,664
Net asset value of shares issued to shareholders
in payment of distributions declared 888,063 388,372
Cost of shares repurchased (991,037) (2,050,877)
----------- -----------
Net increase (decrease) in net assets resulting from
Fund share transactions (49,516) 5,471,159
----------- -----------
TOTAL INCREASE IN NET ASSETS 162,456 9,561,579
NET ASSETS:
Beginning of year 51,319,151 41,757,572
----------- -----------
End of year * $51,481,607 $51,319,151
=========== ===========
* Including distributions in excess
of net investment income of: $226,689 $308,828
</TABLE>
See accompanying notes to the financial statements.
39
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED
(UNAUDITED) MAY 31, 1995
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $95,641 $209,641
Net realized gain (loss) on investments, closed futures
contracts, and foreign currency transactions (205,470) 24,937
Net change in unrealized appreciation (depreciation) on
investments, open futures contracts, forward currency contracts,
and net other assets (643,357) 5,233
----------- -----------
Net increase (decrease) in net assets resulting from operations (753,186) 239,811
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (95,641) (209,641)
In excess of net investment income (264,010) (99,939)
From net realized gains - (440,398)
In excess of net realized gains - (303,508)
----------- -----------
Total distributions to shareholders (359,651) (1,053,486)
----------- -----------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 2,121,300 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 (406,492) (11,077,230)
----------- -----------
Net increase in net assets resulting from
Fund share transactions 2,071,306 3,819,219
----------- -----------
TOTAL INCREASE IN NET ASSETS 958,469 3,005,544
NET ASSETS:
Beginning of year 17,960,111 14,954,567
----------- -----------
End of year * $18,918,580 $17,960,111
=========== ===========
* Including undistributed net investment income (distributions
in excess of net investment income) of: ($40,101) $223,909
</TABLE>
See accompanying notes to the financial statements.
40
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA ASSET ALLOCATION FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED YEAR ENDED
(UNAUDITED) MAY 31, 1995 MAY 31, 1994 (A)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $11.26 $10.01 $10.00
------ ------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.13 0.22 0.14
Net realized and unrealized gain on investments 1.27 1.18 0.02
------ ------ ------
Total from investment operations 1.40 1.40 0.16
------ ------ ------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (0.11) (0.15) (0.10)
Net realized gains (0.49) - (0.05)
------ ------ ------
Total distributions (0.60) (0.15) (0.15)
------ ------ ------
NET ASSET VALUE, END OF YEAR $12.06 $11.26 $10.01
====== ====== ======
TOTAL RETURN 12.68%(b) 14.13% 1.63%
====== ====== ======
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $8,778 $7,289 $2,871
Ratio of net expenses to average daily net assets 0.90%(c) 0.90% 0.90%
Ratio of net investment income to average daily net assets 2.42%(c) 2.46% 2.08%
Portfolio turnover rate 26% 77% 50%
Effect of voluntary expense limitation during the year:
Per share benefit to net investment income $0.09 $0.19 $0.53
Ratios before expense limitation:
Expenses to average daily net assets 2.55%(c) 3.07% 8.96%
Net investment income (loss) to average daily net assets 0.77%(c) 0.28% (5.98%)
(a) The Fund commenced operations on June 1, 1993.
(b) Not annualized
(c) Annualized
</TABLE>
See accompanying notes to the financial statements.
41
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA GLOBAL FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED YEAR ENDED
(UNAUDITED) MAY 31, 1995 MAY 31, 1994 (A)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $11.39 $10.48 $10.00
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.08 0.21 0.11
Net realized and unrealized gain on investments 0.16 0.79 0.76
------- ------- -------
Total from investment operations 0.24 1.00 0.87
------- ------- -------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.07) - (0.10)
In excess of net investment income - - (0.29)
From net realized gains (0.13) (0.09) -
------- ------- -------
Total distributions (0.20) (0.09) (0.39)
------- ------- -------
NET ASSET VALUE, END OF YEAR $11.43 $11.39 $10.48
======= ======= =======
TOTAL RETURN 2.11%(b) 9.67% 8.68%
======= ======= =======
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of year (000's) $51,482 $51,319 $41,758
Ratio of net expenses to average daily net assets 1.00%(c),(d) 1.00% 1.00%
Ratio of net investment income to average daily net assets 1.47%(c) 1.61% 1.23%
Portfolio turnover rate 58% 160% 187%
Effect of voluntary expense limitation during the year:
Per share benefit to net investment income $0.01 $0.05 $0.04
Ratios before expense limitation:
Expenses to average daily net assets 1.31%(c) 1.41% 1.53%
Net investment income to average daily net assets 1.16%(c) 1.19% 0.70%
(a) The Fund commenced operations on June 1, 1993.
(b) Not annualized
(c) Annualized
(d) "Ratio of net expenses to average daily net assets" for the six
months ended November 30, 1995 excludes earnings credits Including
earnings credits the expense ratio would have been 0.95% for the six
months ended November 30, 1995.
</TABLE>
See accompanying notes to the financial statements.
42
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA INTERNATIONAL EQUITY FUND
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS ENDED
NOVEMBER 30, 1995 YEAR ENDED YEAR ENDED
(UNAUDITED) MAY 31, 1995 MAY 31, 1994 (A)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.62 $10.75 $10.00
------- ------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.05 0.33 0.11
Net realized and unrealized gain on investments (0.44) 0.19 0.89
------- ------- -------
Total from investment operations (0.39) 0.52 1.00
------- ------- -------
LESS DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (0.05) (0.13) (0.03)
In excess of net investment income (0.15) (0.06) (0.22)
From net realized gains - (0.27) -
In excess of net realized gains - (0.19) -
------- ------- -------
Total distributions (0.20) (0.65) (0.25)
------- ------- -------
NET ASSET VALUE, END OF PERIOD $10.03 $10.62 $10.75
======= ======= =======
TOTAL RETURN (3.80%)(b) 5.09% 10.12%
======= ======= =======
RATIOS / SUPPLEMENTAL DATA:
Net assets, end of period (000's) $18,919 $17,960 $14,955
Ratio of net expenses to average daily net assets 1.10%(c), 1.10% 1.10%
Ratio of net investment income to average daily
net assets 1.00%(c) 1.39% 0.93%
Portfolio turnover rate 43% 218% 160%
Effect of voluntary expense limitation during the
period:
Per share benefit to net investment
income $0.05 $0.41 $0.16
Ratios before expense limitation:
Expenses to average daily net assets 2.20%(c) 2.85% 2.42%
Net investment loss to average daily net
assets (0.10%)(c) (0.36%) (0.39%)
(a) The Fund commenced operations on June 1, 1993.
(b) Not annualized
(c) Annualized
(d) "Ratio of net expenses to average daily net assets" for the six
months ended November 30, 1995 excludes earnings credits Including
earnings credits the expense ratio would have been 0.91% for the six
months ended November 30, 1995.
</TABLE>
See accompanying notes to the financial statements.
43
<PAGE>
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, 1993 as a Massachusetts business trust and began operations on June 1,
1993. The Trust is registered under the Investment Company Act of 1940, as
amended (the "1940 Act"), as an open-end management investment company,
consisting of three investment series: PanAgora Asset Allocation Fund,
PanAgora Global Fund and PanAgora International Equity Fund (the "Funds").
1. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies for the Funds.
Such policies are in conformity with generally accepted accounting principles
for investment companies and are consistently followed by the Funds in the
preparation of the financial statements.
PORTFOLIO VALUATION
Securities traded on a recognized U.S. or foreign securities exchange or the
National Association of Securities Dealers Automated Quotation System
(NASDAQ) are valued at their last sale price on the principal exchange on
which they are traded or NASDAQ (if NASDAQ is the principal market for such
securities). If no sale occurs, securities are valued at the mean between the
closing bid and asked price. Unlisted equity securities for which market
quotations are readily available are valued at the mean between the most
recent bid and asked price. Debt securities and other fixed-income
investments of the Funds will be valued at prices supplied by independent
pricing agents selected by the Board of Trustees. Short-term obligations
maturing in sixty days or less are valued at amortized cost. Amortized cost
valuation involves initially valuing a security at its cost, and thereafter,
assuming a constant amortization to maturity of any discount or premium,
regardless of the impact of fluctuating interest rates on the market value of
the security. Securities whose market value does not, in the 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 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 Trustees, reviews the value of the collateral and the
creditworthiness of those banks and dealers with which the Fund enters into
repurchase agreements to evaluate potential risks.
44
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
FUTURES CONTRACTS
The Funds will engage in futures transactions only for bona fide hedging and
non-hedging purposes as defined in regulations of the Commodity Futures
Trading Commission. Upon entering into a futures contract, each Fund is
required to deposit with the broker an amount of cash or cash equivalents
equal to a certain percentage of the contract amount. This is known as the
"initial margin." Subsequent payments ("variation margin") are made or
received by the Funds each day, depending on the daily fluctuation of the
value of the contract.
Futures contracts are marked-to-market daily and the daily changes in the
value of the contract are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as a
hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instruments or index, which
may not correlate with the change in value of the hedged investments. In
addition, there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid secondary market.
FOREIGN CURRENCY
The books and records of the Funds are maintained in United States (U.S.)
dollars. Foreign currencies, investments and other assets and liabilities are
translated into U.S. dollars at the exchange rates prevailing at the end of
the period, and purchases and sales of investment securities, income and
expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of the results of changes in foreign
currency exchange rates from the fluctuations arising from changes in the
market prices of securities held at period end. Net realized foreign currency
gains and losses result from changes in exchange rates, including foreign
currency gains and losses between trade date and settlement date on
investment securities transactions, foreign currency transactions and the
difference between the amounts of interest and dividends recorded on the
books of the Funds and the amount actually received. The portion of foreign
currency gains and losses related to fluctuation in exchange rates between
the initial trade date and subsequent sale trade date is included in realized
gains and losses on investment securities sold.
FORWARD FOREIGN CURRENCY CONTRACTS
The PanAgora Global Fund and the PanAgora International Equity Fund may enter
into forward foreign currency contracts. Forward foreign currency contracts
are valued at the forward rate and are marked-to-market daily. The change in
market value is recorded by the Fund as an unrealized gain or loss. When the
contract is closed or delivery is taken, the Fund records a realized gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate fluctuations
in the underlying prices of the Fund's securities, but it does establish a
rate of exchange that can be achieved in the future. Although forward foreign
currency contracts can limit the risk of loss due to a decline in the value
of
45
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
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. At
November 30, 1995, the PanAgora Asset Allocation Fund, the PanAgora Global
Fund, and the PanAgora International Equity Fund loaned securities having a
market value of $522,876, $1,362,342, and $9,317, respectively,
collateralized by cash in the amount of $583,800, $1,412,600, and $14,040,
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.
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.
46
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
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 six months ended November 30, 1995 the Global Fund and the
International Equity Fund received $12,272 and $17,746, respectively, in
earnings credits resulting in a total expense of $102,997 and $96,330,
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.
47
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of investment securities,
excluding U.S. Government Securities and short-term investments, during the
six months ended November 30, 1995 were as follows:
Purchases Sales
----------- -----------
PanAgora Asset Allocation Fund $ 1,880,047 $ 1,913,015
PanAgora Global Fund 25,303,276 31,025,982
PanAgora International Equity Fund 6,333,392 7,067,712
At November 30, 1995, aggregated gross unrealized appreciation for all
securities in which there is an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there is an excess
of tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
<S> <C> <C> <C>
PanAgora Asset Allocation Fund $ 944,253 $ (141,691) $ 802,562
PanAgora Global Fund 4,297,410 (1,476,581) 2,820,829
PanAgora International Equity Fund 825,789 (884,660) (58,871)
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
At November 30, 1995 an unlimited number of shares of beneficial interest
without par value were authorized. Changes in shares of beneficial interest
were as follows:
<TABLE>
<CAPTION>
Six Months Ended
November 30, 1995 Year Ended
(Unaudited) May 31, 1995
----------------- ------------
<S> <C> <C>
PANAGORA ASSET ALLOCATION FUND:
Shares sold 75,005 412,762
Shares issued to shareholders in reinvestment of distributions 33,809 9,010
Shares repurchased (28,560) (61,034)
------- -------
Net increase 80,254 360,738
Fund shares:
Beginning of year 647,486 286,748
------- -------
End of year 727,740 647,486
======= =======
</TABLE>
48
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Six Months Ended
November 30, 1995 Year Ended
(Unaudited) May 31, 1995
----------------- ------------
<S> <C> <C>
PANAGORA GLOBAL FUND:
Shares sold 4,753 675,793
Shares issued to shareholders in reinvestment of distributions 78,382 37,633
Shares repurchased (87,946) (191,958)
--------- ---------
Net increase (4,811) 521,468
Fund shares:
Beginning of year 4,507,291 3,985,823
--------- ---------
End of year 4,502,480 4,507,291
========= =========
</TABLE>
<TABLE>
<CAPTION>
Six Months Ended
November 30, 1995 Year Ended
(Unaudited) May 31, 1995
----------------- ------------
<S> <C> <C>
PANAGORA INTERNATIONAL EQUITY FUND:
Shares sold 202,870 1,228,449
Shares issued to shareholders in reinvestment of distributions 33,194 102,208
Shares repurchased (40,566) (1,030,778)
--------- ----------
Net increase 195,498 299,879
Fund shares:
Beginning of year 1,690,476 1,390,597
--------- ----------
End of year 1,885,974 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.
49
<PAGE>
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS - CONTINUED
- --------------------------------------------------------------------------------
6. CONCENTRATION
At November 30, 1995, a substantial portion of the PanAgora Global Fund's and
the PanAgora International Equity Fund's net assets consist of securities
denominated in foreign currencies. Changes in currency exchange rates will
affect the value of and investment income from such securities. Foreign
securities are subject to greater price volatility, more limited
capitalization and liquidity, and higher rates of inflation than securities
of companies based in the United States.
7. BENEFICIAL INTEREST
At November 30, 1995, PanAgora Asset Management, Inc. was record owner of
13.71% 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
----------------------
Number of Shareholders % of ownership
---------------------- --------------
PanAgora Asset Allocation Fund 2 81.11%
PanAgora Global Fund 2 87.96%
PanAgora International Equity Fund 2 95.94%
50
