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Previous: INTUIT INC, S-8, 1997-01-24 |
Next: VAN KAMPEN AMERICAN CAPITAL INSURED INCOME TRUST SER 64, S-6, 1997-01-24 |
THE PANAGORA INSTITUTIONAL FUNDS
SEMI-ANNUAL REPORT
NOVEMBER 30, 1996
The PanAgora Institutional Funds
President's Letter
January 8, 1997
Dear Fellow Shareholders:
We are pleased to present the semi-annual report of The PanAgora Institutional
Funds. The PanAgora Institutional Funds were established in 1993 to provide
investors with investment vehicles in the form of mutual funds implementing
specific investment strategies. The PanAgora Institutional Funds make these
strategies available to smaller pension funds, foundations and endowments,
401(k) plans and individual investors.
The PanAgora Institutional Funds is a series of funds. The PanAgora Asset
Allocation Fund invests in a mixture of U.S. stocks, bonds and cash equivalents.
The PanAgora International Equity Fund invests in stocks outside the U.S.
PANAGORA ASSET ALLOCATION FUND
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 fixed income securities and cash equivalents based on the
Adviser's proprietary asset allocation disciplines.
The U.S. stock market turned in another stellar year. While most stocks did
well, the bigger stocks had the best performance. The best performer was the Dow
Industrials, followed by the S&P 100, the S&P 400, the S&P 500, the Russell
3000, the Russell 2000, and bringing up the rear, the Value Line Index. The end
result is that most stocks underperformed the stock indices, making stock
selection a difficult exercise.
Stock returns were driven by continued strong earnings growth, coupled with low
inflation, and low interest rates. The year began with the Federal Reserve Board
cutting the Discount Rate, a signal of easy money policy. That set the stage for
a series of new stock market highs. It was also a year of volatility. The stock
market advance has been steady with few corrections.
Bonds were another story. The bond market was characterized by a series of
rallies and busts. Bonds ended the year underperforming cash. Long term bonds
ended the year with a loss making it a dismal year for bonds.
The Fund participated strongly in the stock market rally, but with lower
volatility. Asset allocation varied from a slightly underweighted to slightly
overweighted position in stocks relative to our target of 75% in stocks. Bonds
were often underweighted from their 20% target, reducing the risk from exposure
to the fickle interest rate environment.
1
The coming year depends largely upon inflation fears and Federal Reserve Board
policy. If the economy can continue to produce moderate growth at full capacity
and full employment without inflation, stocks can continue to perform well.
However, if the Fed changes to tight monetary policy, volatility will return.
With the Dow Industrials at 6500, swings of 200 points or more could become
commonplace. Currently the Fund maintains a slight overweighting in equities,
and a minimal amount in bonds. Cash is also overweighted.
PANAGORA INTERNATIONAL EQUITY FUND
The PanAgora International Equity Fund's investment objective is to maximize
total return, consisting primarily of capital appreciation. The Fund attempts to
achieve its objective by actively allocating assets among non-U.S. stock markets
using the Adviser's proprietary asset allocation disciplines.
The country selection decision within the developed international equity markets
contributed favorably to the Fund's performance. The biggest contributions came
from overweight (i.e. above benchmark weight) positions in Spain and France and
an underweight position in Japan. Falling interest rates due to declining
inflation helped power the Spanish equity market to a top performing return of
40%. After overcoming an erratic start, French equities rose strongly in the
second half of the year ending up 21.2%. Investors were rewarded for the
increasing likelihood of EMU (European Monetary Unit) and an improving economic
and corporate profit outlook. The Japanese equity market turned in the worst
performance with a return of -15.5% as investors were concerned with an
uncertain economic recovery, political instability, unresolved banking sector
problems and fiscal retrenchment.
The PanAgora International Equity Fund invests about 10% of its assets in
emerging markets where economic growth is expected to be higher than the
developed countries. The current emerging markets investments for the Fund
includes eleven countries: Argentina, Brazil, Chile, Greece, Indonesia, Mexico,
Philippines, Portugal, South Africa, Thailand and Turkey.
Emerging markets, which began strongly in 1996, completed the year with a modest
return of 4% in US$ terms. The best performing region was Eastern Europe which
returned 35%. The region's positive performance is attributed to strong economic
growth and large foreign capital flows into these markets. Latin America was the
second best performing region with a return of approximately 16%. Brazil, Mexico
and Argentina contributed to the region's strong performance. These markets
suffered in the aftermath of the Mexican peso devaluation in December of 1994
and have experienced a sharp turnaround in 1996. The worst performing region was
Asia which had a flat performance for the year. Asian markets were plagued with
ongoing political scandals and heightened concerns about large current account
deficits.
2
Thank you for your continuing interest in the PanAgora Institutional Funds. We
look forward to serving you.
Sincerely,
Richard A. Crowell
President
The PanAgora Institutional Funds
3
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCK
AEROSPACE & DEFENSE
Boeing Co 200 $ 19,875
Lockheed Martin Corp 200 18,125
Trinova Corp 1,100 40,150
---------------------
78,150 0.7%
---------------------
AUTOMOTIVE
Ford Motor Co 2,400 78,600
General Motors Corp 900 51,863
Goodyear Tire & Rubber Co 700 33,950
Paccar Inc 1,100 73,150
---------------------
237,563 2.1%
---------------------
BANKING
BankAmerica Corp 400 41,200
Bankers Trust New York Corp 300 26,100
Barnett Banks Inc 600 26,400
Chase Manhattan Corp 724 68,418
Citicorp 600 65,550
First Chicago NBD Corp 762 44,768
Golden West Financial Corp 600 40,500
Nationsbank Corp 400 41,450
Norwest Corp 1,100 51,425
PNC Bank Corp 1,100 43,450
---------------------
449,261 3.9%
---------------------
BEVERAGES, FOOD & TOBACCO
Archer Daniels Midland 600 13,200
Coca-Cola Co 2,700 138,038
ConAgra Inc 2,900 154,063
CPC International Inc 1,500 124,875
Pepsico Inc 1,200 35,850
Philip Morris Co Inc 1,300 134,063
Sbarro Inc 500 13,063
Seagrams Co Ltd 1,600 65,400
UST Inc 1,100 35,888
Whitman Corp 700 16,100
Wrigley Wm Jr Co 900 52,538
---------------------
783,078 6.8%
---------------------
BUILDING & CONSTRUCTION
Centex Corp 2,200 79,200
Fleetwood Enterprises Inc 100 3,050
Fluor Corp 800 54,400
Tyco Lab 300 16,425
---------------------
153,075 1.3%
---------------------
BUSINESS SERVICES
First Data Corp 1,600 63,800
H & R Block, Inc 700 20,475
---------------------
84,275 0.7%
---------------------
CHEMICALS
EI Dupont de Nemours & Co 100 9,425
Hercules Inc 800 38,800
Lubrizol Corp 900 27,675
Monsanto Co 800 31,800
PPG Industries 500 30,625
Praxair, Inc 700 34,038
Thiokol Corp 1,000 46,000
Union Carbide Corp 400 18,450
---------------------
236,813 2.1%
---------------------
COMPUTER EQUIPMENT
Autodesk Inc 400 11,200
Computer Associates International Inc 475 31,231
International Business Machines Corp 600 95,625
Oracle Corp* 1,050 51,450
Tandem Computers Inc* 1,100 14,988
---------------------
204,494 1.8%
---------------------
See accompanying notes to the financial statements. 4
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
COMPUTER SOFTWARE & PROCESSING
3 Com Corp* 500 $ 37,563
Cisco Systems Inc* 900 61,088
CUC International Inc* 5,550 146,381
EMC Corp* 1,800 58,050
Hewlett-Packard Co 1,500 80,813
Microsoft Corp* 800 125,500
Seagate Technology, Inc 2,000 79,000
Sun Microsystems Inc* 500 29,125
---------------------
617,520 5.3%
---------------------
DIVERSIFIED
Corning Inc 300 12,150
Pall Corp 1,200 31,350
---------------------
43,500 0.4%
---------------------
ELECTRIC UTILITIES
DQE Inc 1,200 35,400
Entergy Corp 3,000 81,375
Niagara Mohawk Power Corp 1,300 11,375
Pacific Gas & Electric Co 700 16,888
Peco Energy Co 2,500 63,750
Southern Co 2,000 44,500
Texas Utilities Co 1,300 51,350
Unicom Corp 800 21,300
---------------------
325,938 2.8%
---------------------
ELECTRONICS
Ceridian Corp* 1,000 48,125
General Electric Co 2,100 218,400
Illinova Corp 1,300 34,450
Intel Corp 1,200 152,250
---------------------
453,225 3.9%
---------------------
ENTERTAINMENT
Bally Entertainment Corp 600 17,475
Harrah's Entertainment Inc* 1,800 31,950
Kingworld Productions Inc* 1,400 53,375
---------------------
102,800 0.9%
---------------------
EQUIPMENT
Medtronic Inc 500 33,063 0.3%
---------------------
FINANCIAL SERVICES
Asarco Inc 1,200 32,700
Beneficial Corp 800 49,700
Dean Witter Discover & Co 500 34,188
Green Tree Financial Corp 1,100 46,063
J P Morgan & Co Inc 900 84,938
MBNA Corp 2,350 94,881
MGIC Investment Corp 800 59,900
Morgan Stanley Group Inc 600 36,075
Salomon Inc 1,400 63,860
---------------------
502,305 4.3%
---------------------
FOREST & PAPER PRODUCTS
Boise Cascade Corp 1,000 31,000
Champion International 1,000 43,000
International Paper Co 700 29,750
---------------------
103,750 0.9%
---------------------
HEALTH CARE
Shared Medical 400 19,900 0.2%
---------------------
HEAVY MACHINERY
Cincinnati Milacron 600 12,450 0.1%
---------------------
HOSPITAL SUPPLIES & SERVICES
Baxter International Inc 400 17,000
Becton Dickinson & Co 900 37,800
Boston Scientific Corp* 900 52,538
---------------------
107,338 0.9%
---------------------
See accompanying notes to the financial statements. 5
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
INSURANCE
Allstate Corp 870 $ 52,418
American International Group 200 23,000
Cigna Corp 200 28,275
St Paul Cos 900 52,988
Torchmark Corp 700 36,400
Unum Corp 200 14,225
USF&G Corp 700 14,000
---------------------
221,306 1.9%
---------------------
LODGING
HFS Inc 200 12,950
Hilton Hotels 1,600 46,800
ITT Corp* 1,800 83,025
Marriott International Inc 300 16,725
---------------------
159,500 1.4%
---------------------
MANUFACTURING
Westinghouse Electric Corp (a) 1,700 31,875 0.3%
---------------------
METALS & MINING
Alco Standard Corp 600 31,050
Amerada Hess Corp 1,000 58,875
Engelhard Corp 3,600 70,200
Inco Ltd 200 6,975
Newmont Mining Corp 1,000 47,875
Williams Co Inc 1,300 72,963
---------------------
287,938 2.5%
---------------------
OFFICE EQUIPMENT
Xerox Corp 500 24,563 0.2%
---------------------
OIL & GAS
Amoco Corp 200 15,525
Ashland Inc 600 28,800
Chevron Corp 800 53,600
Exxon Corp 1,500 141,938
Halliburton Co 300 18,075
Mobil Corp 300 36,300
Oneok Inc 1,400 38,500
Oryx Energy Co* 1,900 39,425
Royal Dutch Petroleum (a) 1,000 169,875
Santa Fe Energy Resources Inc* 1,300 18,850
Schlumberger Ltd 500 52,000
Tenneco Inc 500 25,500
Texaco Inc 600 59,475
Unocal Corp 800 32,600
USX-Marathon Group 1,500 34,313
---------------------
764,776 6.6%
---------------------
PACKAGING & CONTAINERS
Ball Corp 1,700 41,650
Crown Cork & Seal Inc 600 31,800
Temple Inland Inc 900 48,375
---------------------
121,825 1.1%
---------------------
PERSONAL CARE PRODUCTS
Ecolab Inc 1,400 54,425
Gillette Co 800 59,000
Johnson & Johnson 1,400 74,375
---------------------
187,800 1.6%
---------------------
PHARMACEUTICALS
Abbott Laboratories 500 27,875
Alza Corp Class A* 2,200 62,150
Amgen Inc* 1,100 66,963
Eli Lilly & Co 300 22,950
Merck & Co Inc (a) 800 66,400
Pfizer Inc 800 71,700
Pharmacia & Upjohn Inc 1,725 66,628
Schering-Plough Corp 200 14,250
---------------------
398,916 3.5%
---------------------
See accompanying notes to the financial statements. 6
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
PRINTING & PUBLISHING
Gibson Greetings Inc* 1,700 $ 32,088
Tribune Co 400 34,600
---------------------
66,688 0.6%
---------------------
RETAILERS
Dayton-Hudson Corp 1,100 42,763
Gap Inc 600 19,275
Harcourt General Inc 800 43,700
Home Depot 2,000 104,250
JC Penney Co Inc 800 43,000
Sears Roebuck 800 39,800
The Pep Boys 900 32,963
TJX Cos Inc New 300 13,538
Toys "R" Us Inc* 100 3,450
---------------------
342,739 2.9%
---------------------
TELECOMMUNICATION
Airtouch Communications Inc* 1,000 25,625
Alltel Corp 1,300 41,438
Andrew Corp* 525 30,384
Cabletron Systems Inc* 2,000 80,750
Motorola Inc 800 44,300
Northern Telecom Ltd 600 39,450
Tellabs Inc 600 23,850
Worldcom Inc* 1,200 27,750
---------------------
313,547 2.7%
---------------------
TELEPHONE SYSTEMS
AT & T Corp 200 7,892
Ameritech Corp 300 17,663
BellSouth Corp 700 28,263
Nynex Corp 2,000 92,750
Sprint Corp 1,100 46,063
---------------------
192,631 1.7%
---------------------
TEXTILES & APPAREL
Nike Inc 200 11,375
Stride Rite Corp 1,900 19,000
---------------------
30,375 0.3%
---------------------
TRANSPORTATION
APL Ltd 900 21,600
Conrail Inc 600 58,350
---------------------
79,950 0.6%
---------------------
TOTAL COMMON STOCK (Cost $6,324,127) 7,772,927 67.3%
--------------------- ---------------
</TABLE>
<TABLE>
<CAPTION>
FACE
LONG TERM DEBT RATE MATURITY AMOUNT
------------ ---------------- ----------------
<S> <C> <C> <C> <C> <C>
US GOVERNMENT OBLIGATIONS
US Treasury Note 8.875% 11/15/97 $200,000 206,312
US Treasury Note 7.875% 04/15/98 375,000 386,601
US Treasury Note 6.375% 01/15/99 125,000 126,875
US Treasury Note 6.875% 07/31/99 220,000 226,394
US Treasury Note 8.500% 02/15/00 10,000 10,800
US Treasury Note 8.750% 08/15/00 100,000 109,813
US Treasury Note 8.000% 05/15/01 150,000 162,797
US Treasury Note 7.500% 05/15/02 175,000 188,453
US Treasury Note 5.750% 08/15/03 25,000 24,742
US Treasury Bond 10.750% 08/15/05 70,000 91,875
US Treasury Bond 9.375% 02/15/06 80,000 98,625
US Treasury Bond 8.750% 05/15/17 175,000 220,500
US Treasury Bond 7.875% 02/15/21 152,000 177,697
US Treasury Bond 6.250% 08/15/23 105,000 101,981
US Treasury Bond 6.000% 02/15/26 20,000 18,881
---------------------
2,152,346 18.6%
---------------------
TOTAL LONG TERM DEBT (Cost $2,100,602) 2,152,346 18.6%
--------------------- ---------------
See accompanying notes to the financial statements. 7
PANAGORA ASSET ALLOCATION FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
MATURITY FACE MARKET PERCENT OF
DESCRIPTION RATE DATE AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS
REPURCHASE AGREEMENT
Investors Bank & Trust 5.22%, dated 11/29/96
to be repurchased at $1,446,573 on 12/2/96,
collateralized by Federal Home Loan Mortgage
Corp. with a rate of 6.29% and maturity date
of 11/17/00, with an aggregate market value of
$1,521,402. $ 1,446,154 $ 1,446,154 12.5%
---------------------
COMMERCIAL PAPER
Bank of Ireland 5.250% 12/02/96 272,100 272,100 2.4%
---------------------
US GOVERNMENT OBLIGATIONS
US Treasury Bill (b) 4.900% 12/26/96 60,000 59,643
US Treasury Bill (b) 4.945% 12/26/96 75,000 74,063
---------------------
133,706 1.1%
--------------------- ---------------
TOTAL SHORT-TERM INVESTMENTS (at Amortized Cost) 1,851,960 16.0%
--------------------- ---------------
TOTAL INVESTMENTS (Cost $10,276,689) 11,777,233 101.9%
Excess of Liabilities over Other Assets (225,569) -1.9%
--------------------- ---------------
NET ASSETS $ 11,551,664 100.0%
===================== ===============
</TABLE>
NOTES TO THE PORTFOLIO OF INVESTMENTS
(a) All or a portion of this security is on loan.
(b) This security is held as collateral for open futures contracts.
* Non-income producing security.
See accompanying notes to the financial statements. 8
PANAGORA ASSET ALLOCATION FUND
SCHEDULE OF OPEN FUTURES CONTRACTS
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Net Unrealized
Number of Appreciation
Contracts Type Expiration Date Contract Value (Depreciation)
- ---------------- ---------------------------------- ---------------------------- ------------------ -------------------
<S> <C> <C> <C> <C>
LONG:
1 Standard & Poor's 500 Index December 1996 $ 379,125 $ 28,725
7 Standard & Poor's 500 Index March 1997 2,678,550 148,000
===================
$ 176,725
===================
SHORT:
9 U.S. Treasury Note 10 Year Index March 1997 $ 1,003,781 $ (21,375)
6 Standard & Poor's 500 Index June 1997 2,317,050 (33,600)
===================
$ (54,975)
===================
</TABLE>
See accompanying notes to the financial statements. 9
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
COMMON STOCK (UNLESS OTHERWISE INDICATED)
<S> <C> <C> <C>
ARGENTINA
Astra Cia Argentina Depetro 1,365 $ 2,540
Banco Frances Del Rio Plata 460 4,579
Banco Galicia Y Buenos Aires 1,128 6,184
Ciadea* 878 3,820
Molinos Rio de La Plata 423 1,388
Perez Companc SA 12,050 82,576
Siderca SA 9,360 15,422
Telefonica de Argentina B 20,842 53,586
YPF Sociedade Anonima 3,121 72,905
--------------------
243,000 1.0%
--------------------
AUSTRALIA
Amatil Ltd Coca Cola 2,000 22,592
Amcor Ltd 2,600 16,018
Broken Hill Proprietary Co Ltd 5,250 76,994
Coles Myer Ltd 4,700 17,557
CRA Ltd 1,300 21,700
CSR Ltd 4,500 14,723
Fosters Brewing Group Ltd 9,000 16,773
Lend Lease Corp Ltd 1,100 20,411
National Australia Bank Ltd 4,350 54,166
News Corp Ltd - Preferred 3,900 17,140
News Corp Ltd 6,000 31,935
Western Mining Corp Holding Ltd 3,800 24,123
Westpac Banking Corp 6,200 37,087
------------------
371,219 1.6%
------------------
AUSTRIA
Austria Mikro Systeme Internalional AG 250 18,821
Austrian Airline* 100 14,326
Bank Austria AG-Participating Certificate 200 6,474
Bank Austria AG-Preferred 200 7,584
Bank Austria AG 3,760 273,328
Bau Holding AG 400 23,750
Bbag Oest Brau-Beteiligungs 600 40,509
Boehler-Uddeholm AG 750 51,954
BWT AG 150 15,801
Constantia Iso Holding AG 133 4,367
Constantia Verpack 67 3,422
Creditanstalt-Bankverein-Preferred 1,100 52,597
Creditanstalt-Bankverein 1,971 132,889
EA-Generali AG 500 163,699
Flughafen Wien AG 1,450 66,382
Lenzing AG 100 6,363
Mayr-Melnhof Karton AG* 800 38,474
OEMV AG 1,850 200,527
Oest Elektrizatswirts A 2,040 146,012
Radex-Heraklith Industrial AG 1,130 34,070
Universale Bau AG 100 4,162
Va Technologie AG 1,050 165,378
Wienerberger Baustoff Industrie AG 500 91,561
------------------
1,562,450 6.6%
------------------
BELGIUM
Bekaert SA 13 10,626
Cimentaries CBR Strips 20 4
Cimenteries CBR Cementbed 130 11,283
Delhaize-Le Lion SA-Preferred 299 17,552
Electrabel SA-Strip 58 64
Electrabel 323 75,742
Fortis AG 215 33,928
See accompanying notes to the financial statements. 10
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
BELGIUM (CONTINUED)
GBL Group 139 $ 17,635
Generale De Banque SA 88 31,245
Gervaert Photo-Producten NV 151 10,199
Glaverbel 40 4,709
Kredietbank NPV 77 25,274
Kredietbank NV 10 3,282
Petrofina SA NPV 139 43,518
Reunies Electrobel & Tractebel-Strip* 13 6
Reunies Electrobel & Tractebel 81 37,451
Royal Belge SA-Strip 96 27
Royal Belge 96 19,754
Solvay Et Cie A NPV 50 30,653
The Union Miniere Group* 149 10,134
------------------
383,086 1.6%
------------------
BRAZIL
Aracruz Celulose 1,000 1,607
Banco Bradesco SA 2,150,000 15,714
Banco Itau SA 26,000 10,194
Cia Cervejaria Brahma 16,000 9,440
Cia Energetica De Minas Gerais 395,000 12,733
Cia Souza Cruz Industry e Commerce 1,000 5,702
Electrobras-Preferred B 30,000 9,845
Electrobras SA 77,000 24,524
Patroleo Brasile 100,000 13,746
Sdad White Martins 5,200,000 7,601
Telebras-Preferred 634,000 48,179
Usiminas 3,700,000 3,689
Vale Do Rio Doce-Preferred 900 18,863
------------------
181,837 0.8%
------------------
CHILE
Chilgener SA ADR 270 5,704
Compania de Telecomunicaciones ADR 340 32,343
Empresa Nacional de Electricidad ADR 3,200 52,800
Enersis SA ADR 2,790 78,818
Maderas y Sinteticos Sociedad ADR 500 6,813
------------------
176,478 0.7%
------------------
DENMARK
Aarhus Oliefabrik A 16 810
Aarhus Oliefbarik B 4 204
Carlsberg A 184 11,989
Carlsberg B 149 9,734
Den Danske Bank 276 20,841
D/S 1912 B 1 25,028
East Asiatic Co* 111 2,110
Fls Industries AS B 48 6,027
GN Store Nord 31 2,946
Investeringsselskab AF 39 2,779
ISS Intl Service System B 151 4,176
Korn-Og Foderstofkomp 60 2,342
Lauritzen B* 14 1,128
Nordiske Kabel Traadfabri 39 2,078
Novo-Nordisk AS 196 36,251
Royal Copenhagen AS 15 1,374
Sas Danmark AS 128 1,564
Sophus Berendsen AS A 31 3,882
Sophus Berendsen 93 11,757
Superfos AS 32 3,747
Tele Danmark B 684 34,123
Unidanmark 242 12,073
------------------
196,963 0.8%
------------------
See accompanying notes to the financial statements. 11
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
FRANCE
Accor SA 100 $ 12,833
Air Liquide 330 52,651
Alcatel Alsthom 622 56,565
AXA Co 1,000 60,123
Banque National de Paris 800 31,871
Bouygues 100 11,128
Carrefour Supermarche 130 80,326
Cie Generale des Eaux 1,224 150,978
Compagnie Bancaire 110 12,515
Compagnie de Saint Goban 295 42,433
Compagnie Financiere de Suez 600 25,685
Compagnie Financiere Paribas 500 34,371
Eridania Beghin 100 15,533
Euro Disneyland Sca-Warrants* 600 145
Euro Disneyland Sca* 100 207
Groupe Danone 300 44,187
Havas SA 200 14,174
Imetal 100 15,763
Lafarge Coppee 330 20,858
L'Oreal 330 120,787
LVMH Co 420 106,508
Lyonnaise des Eaux-Dumez 200 19,046
Michelin B French Registered 400 20,525
Pernod-Ricard 200 11,071
Peugeot SA 200 24,593
Printemps 100 39,820
Promodes 100 27,811
Rhone Polenc 1,300 42,130
Schneider SA 600 28,558
Societe Generale 300 32,810
Societe National Elf-Aquitaine 1,120 97,842
Ste 114 21,376
Thomson CSF 500 16,175
Total Cie Francaise Petroles* 900 72,003
------------------
1,363,401 5.8%
------------------
GERMANY
Adidas AG 350 30,409
Allianz AG Holdings 150 273,828
BASF AG 4,000 148,098
Bayer AG 5,000 201,393
Bayer Hypoth-Und Wechsel Bank AG 4,000 125,606
Bayerische Vereinsbank AG 2,000 83,889
Beiersdorf AG 500 24,991
Continental AG 1,000 17,312
Daimler Benz AG* 4,000 261,495
Degussa AG 100 41,522
Deutsche Bank AG 3,900 186,047
Dresdner Bank AG 3,000 89,128
Karstadt AG 20 6,957
Linde AG 100 60,786
Lufthansa German 3,000 38,658
MAN AG 120 28,310
Mannesmann AG 300 125,248
Merck KGaA 1,350 49,948
Metro AG* 400 33,582
Muenchener Rueckversicherungs 109 262,116
Preussag AG 100 23,494
RWE AG (a) 3,000 132,765
RWE AG-Preferred 1,000 36,771
Sap AG Vorzug 300 41,274
Sap AG 450 61,648
See accompanying notes to the financial statements. 12
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
GERMANY (CONTINUED)
Schering AG 1,000 $ 82,196
Siemens AG 4,000 192,900
Thyssen AG 220 39,488
Veba AG 3,750 219,526
Viag AG 200 75,819
Volkswagen AG 200 80,245
------------------
3,075,449 13.0%
------------------
GREAT BRITAIN
Arjo Wiggins Appleton PLC 1,433 3,856
Chubb Security PLC 7,960 45,914
General Electric Co PLC 2,166 13,568
Glaxo Wellcome PLC 6,108 101,154
Hanson Trust PLC 17,050 22,938
Imperial Chemical Industries 1,200 15,569
Imperial Tobacco Group PLC 1,705 10,852
RTZ Corp 1,750 29,458
Smithkline Beecham PLC 3,136 43,191
Vodafone Group PLC 19,347 83,777
------------------
370,277 1.6%
------------------
GREECE
Commercial Bank of Greece 800 21,568
Credit Bank Greece 721 45,077
Ergo Bank SA 600 31,012
Hellas Can SA 100 1,596
Hellenic Bottling Co 1,400 40,407
Hellenic Sugar 1,100 10,643
Heracles General Cement Co 1,600 20,179
Intracom SA 520 12,654
Michaniki SA 1,000 7,836
Titan Cement Co 300 16,499
------------------
207,471 0.9%
------------------
HONG KONG
Cheung Kong 1,800 15,830
China Light & Power Co 1,560 6,698
Hang Seng Bank 1,300 15,678
Hong Kong Telecom 4,500 7,799
HSBC Holdings PLC 5,700 118,689
Hutchison Whampoa Ltd 3,800 29,365
Sun Hung Kai Properties Ltd 1,280 15,892
------------------
209,951 0.9%
------------------
INDONESIA
Bank International Indonesia 39,751 36,869
Barito Pacific Timber 9,500 6,178
Pt Astra International 7,000 17,612
Pt Gudang Garam 10,000 42,537
Pt Indah Kiat Pulp & Paper 12,485 9,051
Pt Indocement Tunggal Prakarsa 18,000 28,977
Pt Indostat 6,000 16,567
Unilever 500 7,505
------------------
165,296 0.7%
------------------
IRELAND
Allied Irish Banks PLC 300 1,973
CRH PLC 100 1,019
Fii Fyffes 100 180
Irish Life PLC 100 463
James Crean PLC 2,500 8,747
Jefferson Smurfit Group PLC 400 1,117
Kerry Group PLC 55 611
Woodchester Investments PLC 12,300 43,449
------------------
57,559 0.2%
------------------
See accompanying notes to the financial statements. 13
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
ITALY
Alleanza Assicuraz 278 $ 1,494
Assicurazione Generali 8,415 171,610
Banco Ambrosiano Veneto 6,400 14,296
Bank Commerciale Italiana 20,400 37,683
Benetton 2,300 29,377
Burgo (Caritere) SPA 1,700 8,115
Credito Italiano 29,000 31,958
Edison SPA 8,200 52,235
Eni SPA 46,200 245,707
Fiat Italian-Private Placement 12,000 18,765
Fiat Risp-Non Convertable 9,300 15,225
Fiat SPA 31,500 92,775
Istituto Banc San Paolo Torina 6,600 40,595
Istituto Mobiliare Italiano 5,400 45,608
Istituto Nazionale Delle Assic 37,000 51,065
Italcenenti Fabbriche Riunit 2,100 12,308
Italgas 8,600 35,636
Magnetti Marelli SPA 5,600 6,500
Marzotto & Figi SPA 700 4,246
Mediobanca Banca Di Credito 6,170 35,953
Montedison SPA* 51,060 36,196
Olivetti-Private Placement* 400 288
Olivetti* 16,300 5,803
Parmalat Finanziaria SPA 14,700 22,842
Pirelli SPA 18,600 34,407
RAS SPA 3,850 38,308
Rinascente - Warrants* 100 47
Rinascente 2,000 11,699
SAI 1,600 13,990
Sirti SPA 2,800 16,950
Snia BPD 2,600 2,558
Telecom Italia-Di Risp 20,200 37,180
Telecom Italia Mobile-Di Risp Non Convertable 12,000 15,983
Telecom Italia Mobile-ORD 66,900 156,772
Telecom Italia SPA-ORD 61,900 144,932
------------------
1,489,106 6.3%
------------------
JAPAN
Aida Engineering Limited 3,000 21,168
Alps Electronics Co 2,000 24,428
Amada Co Ltd 1,000 8,365
Aoki International Co Ltd 3,000 58,521
Asahi Bank Ltd 2,000 19,507
Asahi Chemical Industry Co Ltd 100 657
ASICS Corp* 14,000 35,183
Chichibu Onoda Cement Corp 1,000 4,666
Chiyoda Fire & Marine Insurance Co 4,000 20,632
Chubu Electric Power 1,000 20,474
Citizen Watch Co Ltd 1,000 7,803
Dai Nippon Printing Co Ltd 4,200 76,763
Daido Steel Co 1,800 7,086
Dai-Ichi Kangyo Bank 2,790 45,354
Daikyo Inc 7,000 37,889
Daito Trust Construction 4,000 52,370
Daiwa House Industry 1,600 22,213
Daiwa Kosho Lease Co Ltd 5,000 43,847
Daiwa Securities 3,000 32,424
Fuji Bank 6,100 106,129
Fuji Photo Film 2,800 87,834
Fujikura Ltd 1,000 8,400
Fujisawa Pharmaceutical 8,000 70,999
Fujita Corp 20,000 63,266
See accompanying notes to the financial statements. 14
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Fujitsu Ltd 4,200 $ 40,227
Fukuyama Transporting Co 3,000 23,830
Furkukawa Electric 2,000 10,492
Gakken* 9,000 59,312
Green Cross* 8,000 39,576
Gunze Ltd 16,000 89,697
Hazama-Gumi 9,000 29,893
Higo Bank 1,000 6,942
Hitachi Seisakusho Ltd 17,100 159,272
Hokkaido Bank 7,000 17,715
Hokkaido Takushoku Bank 7,000 15,377
Hokuriku Bank 4,000 20,948
Honda Motor Co Ltd 2,000 59,048
House Food Industry 2,000 34,093
Inax 1,000 8,427
Industrial Bank of Japan 4,800 94,899
Ito Yokado Co 1,000 50,525
Iwatani International Corp 1,040 5,410
Joyo Bank 1,680 11,072
Kaneka Corp 1,000 5,931
Kansai Electric Power 2,500 52,282
Kawasaki Steel 7,400 23,213
Komatsu Ltd 13,400 112,918
Kumagai Gumi Co 28,000 79,223
Kurabo Industries 6,000 18,980
Kyudenko Co, Ltd 2,000 21,440
Long Term Credit Bank of Japan 5,000 31,633
Marubeni Corp 6,000 27,152
Marudai Food Co Ltd* 13,800 79,304
Matsushita Electric Industries 9,600 166,179
Meiji Seika 1,000 5,949
Minebea Co Ltd 1,000 8,541
Mitsubishi Electric 14,000 80,576
Mitsubishi Heavy 8,300 67,827
Mitsubishi Oil Co 1,000 6,634
Mitsubishi Paper 1,000 4,675
Mitsubishi Trust 3,000 48,240
Mitsui Marine & Fire Insurance 1,400 9,017
Mitsui Trust & Banking 2,400 22,987
Mizuno Corp 7,000 54,620
Nagasakiya* 6,000 28,470
Nagase & Co 4,000 34,023
Nagoya Railroad Co Ltd 6,000 23,988
Nichido Fire & Marine Insurance 1,050 6,449
Nichiei Fudosan* 8,000 22,143
Nichirei Corp 1,000 5,668
Nihon Cement Co Ltd 1,000 6,195
Nintendo Corp Ltd 900 63,345
Nippon Denko Co 14,000 52,651
Nippon Fire & Marine Insurance 1,000 5,422
Nippon Light Metal Co 1,600 7,353
Nippon Oil Co 15,200 85,880
Nippon Oil & Fats Co Ltd 1,000 5,184
Nippon Shinpan Co 4,000 25,060
Nippon Steel Corp 900 2,720
Nippon Yakin Kogyo* 12,000 40,596
Nishi-Nippon Bank 3,000 18,479
Nissan Motors 6,000 42,652
Nisshinbo Industries Inc 4,000 35,148
Nomura Securities Co Ltd 5,000 84,355
Okumura 1,000 6,520
See accompanying notes to the financial statements. 15
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
JAPAN (CONTINUED)
Olympus Optical 1,000 $ 9,402
Orient Corp 6,000 34,111
Osaka Gas Co Ltd 6,000 18,505
Renown Inc* 6,000 16,924
Sagami Railway 1,000 3,945
Sakura Bank Ltd 8,400 76,763
Sankyo Aluminum Industry Co 1,000 4,543
Sanyo Electric Co Ltd 13,000 60,885
Seino Transportation Co Ltd 2,000 26,537
Sekisui House Ltd 8,000 85,761
Seven Eleven Japan Ltd 100 5,966
Shionogi & Co Ltd 1,000 7,838
Shiseido Co 8,000 96,305
Sony Corp 900 57,651
Sumitomo Bank 7,693 133,844
Sumitomo Corp 14,000 118,712
Sumitomo Metal 1,000 7,337
Teijin Limited 5,000 23,857
The Bank of Tokyo Mitsubishi 10,400 212,926
Tokai Bank 6,200 71,368
Tokyo Electric Power Co Inc 4,000 90,330
Tokyo Steel Manufacturing 3,000 44,286
Tokyu Construction 6,000 20,825
Toyo Trust & Banking 3,000 25,913
Toyobo Co Ltd 1,800 5,678
Toyoda Automatic Loom Works 2,000 38,135
Toyota Motor Co 8,986 245,564
UBE Industries Ltd 2,400 7,508
Yamaichi Securities 9,000 47,529
Yasuda Trust & Banking 3,000 14,156
------------------
4,795,459 20.2%
------------------
MEXICO
Alfa SA A 692 3,085
Cemex SA B 2,575 9,295
Cifra SA De Cv B 16,600 22,791
Empressa La Moderna 1,700 7,902
Fomento Economico Mexicano 2,700 9,233
Grupo Financiero Banamex B* 300 591
Grupo Financiero Banamex L* 25 45
Grupo Financiero Bancomer B 7,800 3,132
Grupo Financiero Bancomer L 289 95
Grupo Industrial Bimbo A 1,000 5,693
Grupo Mexico SA B* 4,600 15,148
Grupo Modelo SA 4,000 22,317
Grupo Televisa SA 500 6,776
Kimberly Clark 1,000 19,403
Telefonos de Mexico 36,400 55,415
------------------
180,921 0.8%
------------------
NETHERLANDS
Koninklijke Hoogovens 100 3,857 0.0%
------------------
NEW ZEALAND
Fletcher Forestry Shares 3,900 6,434 0.0%
------------------
NORWAY
Aker ASA 2,450 54,970
Bergesen dy ASA A 2,800 63,914
Bergesen dy ASA B 1,200 27,205
Dyno Industrier ASA 1,400 34,247
Elkem ASA 2,600 40,714
Hafslund Nycomed ASA A 3,700 28,249
See accompanying notes to the financial statements. 16
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
NORWAY (CONTINUED)
Hafslund Nycomed ASA B 3,000 $ 20,614
Kvaerner ASA A 600 22,811
Kvaerner ASA B 1,800 74,462
Leif Hoegh & Co ASA 1,600 28,669
Norsk Hydro 11,900 599,821
Norske Skogindustrier ASA A 1,700 51,387
Nycomed ASA A* 3,400 49,797
Nycomed ASA B* 2,400 34,777
Orkla ASA A 2,050 136,709
Orkla Borregaard 550 33,550
Petroleum Geo-Services ASA* 1,700 63,571
Storebrand ASA* 16,050 95,780
------------------
1,461,247 6.2%
------------------
PHILIPPINES
Ayala Land Inc 10,650 11,547
Manila Electirc 1,350 10,015
Petron Corp 36,225 11,714
Philippine Long Distance 300 17,519
Philippine National Bank* 1,800 22,426
San Miquel Corp 2,946 11,768
Sm Prime Holdings 54,600 13,086
------------------
98,075 0.4%
------------------
PORTUGAL
Banco Comercial Portugues 1,900 24,763
Banco de Fomento 1,200 19,956
Banco Espirito Santo 1,300 22,533
Banco Portuguese de Invest SA 858 10,668
Banco Totta & Acores 645 11,371
Cimentos De Portugal SA 2,000 41,833
Jeronimo Martins 100 9,198
Portugal Telecom 2,592 68,835
Sonae Industria e Investimento 700 20,983
------------------
230,140 1.0%
------------------
SOUTH AFRICA
Amalgamated Banks of South Africa 1,500 8,137
De Beers Centenary AG 550 16,798
Driefontein 500 5,696
Liberty Life Association of Africa 425 10,790
Nedcor Ltd 450 6,542
Rembrandt Group Limited 1,400 12,546
Sasol Limited 850 10,513
South African Breweries Ltd 525 13,243
Tiger Oats Limited 800 11,283
Vaal Reefs Exploration & Mining 100 6,965
------------------
102,513 0.4%
------------------
SPAIN
Acerinox SA 100 12,737
Alba Corp France 100 9,410
Argentaria SA 1,100 42,883
Autopistas Concesionaria Espanola Accion 2,000 24,240
Banco Bilbao Vizcaya 2,100 106,183
Banco Central Hispano 1,500 37,344
Banco de Santander 1,500 81,288
Banco Espanol de Credito* 1,200 7,744
Corporacion Mapfre 200 10,576
Cros SA* 1,600 963
Dragados y Construcciones 500 6,948
Ebro Agricolas 400 5,558
El Aguila* 200 1,004
Empresa Nacional de Celulosa 200 2,478
Empresa Nacional de Electricidad 2,400 162,112
See accompanying notes to the financial statements. 17
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
SHARE MARKET PERCENT OF
DESCRIPTION AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
SPAIN (CONTINUED)
Fomento Construction y Contra 100 $ 8,453
Gas Natural Sdg SA 300 62,251
General De Aguas D'Barcelona 400 15,748
Iberdrola SA 8,300 95,789
Inmobil Metro Vasco - Central 200 7,195
Inmobiliaria Urbis SA Accion* 400 1,612
Portland Valderr 100 6,099
Prosegur Compania Securidad 500 4,072
Repsol SA 2,700 99,942
Sarrio SA 500 1,536
Sociedad Espanola de Carburos 300 12,506
Tabacalera Spani 300 11,788
Telefonica de Espana 8,400 184,159
Union Electrica Fenosa SA 2,700 20,343
Uralita SA 500 3,705
Vallehermoso SA 400 8,322
Viscofan Envolturas 200 3,088
Zardoya Otis 100 10,653
------------------
1,068,729 4.5%
------------------
SWEDEN
Diligentia AB* 380 6,086 0.0%
------------------
THAILAND
Bangkok Bank PCL 3,600 41,158
Charoen Pokphand Feedmill PCL 100 384
Land & House PCL 2,200 17,400
Phatra Thanakit Co Ltd 2,400 8,927
Ptt Exploration & Production PCL 1,600 23,555
Shinawatra Computer PCL 1,100 14,557
Siam Commercial Bank PCL 1,000 7,752
Siam Cement PCL 500 17,384
Thai Farmers Bank PCL Foreign 900 7,682
Thai Farmers Bank PCL 2,100 11,593
Thai Telephone & Telecom PCL* 5,000 7,929
The Industrial Finance Corp of Thailand 3,300 10,466
United Communication Industry 1,300 10,333
------------------
179,120 0.8%
------------------
TURKEY
Aksa Akrilik Kimya Sanayii 114,710 16,059
Arcelik AS 208,083 19,976
Cimsa 105,000 8,820
Cukurova Elektrik 4,200 4,305
Ege Biracilik Ve Malt Sanay 56,768 15,044
Eregli Demir Ve Celik Fabrik 178,325 25,857
Migros 18,000 18,000
Netas Telekomunik 31,000 6,743
Otosan Otomobil 45,400 19,068
Tofas Otomobil Fabrik* 252,000 9,576
Trakya Cam SA 256,904 14,130
Turkiye Garanti Bankasi AS 468,000 24,336
Turkiye Is Bankasi AS C 381,200 70,522
------------------
252,436 1.0%
------------------
UNITED STATES
Millenium Chemicals Inc (a)(c)* 243 5,012 0.0%
------------------
TOTAL COMMON STOCK (Cost $17,648,078) 18,443,572 77.8%
------------------ ---------------
</TABLE>
See accompanying notes to the financial statements. 18
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
MATURITY FACE MARKET PERCENT OF
DESCRIPTION RATE DATE AMOUNT VALUE (NOTE 1) NET ASSETS
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENTS
REPURCHASE AGREEMENT
Investors Bank & Trust 5.22%, dated 11/29/96
to be repurchased at $4,154,847 on 12/2/96,
collateralized by U.S. Government Obligations
with rates ranging from 6.8375% to 8.044% and
maturity dates from 1/1/23 to 11/15/23, with
an aggregate market value of $4,363,576. $ 4,153,642 $ 4,153,642 17.6%
------------------
COMMERCIAL PAPER
Bank of Ireland 5.250% 12/02/96 146,103 146,103 0.6%
------------------
US GOVERNMENT OBLIGATIONS
US Treasury Bill (b) 4.865% 12/26/96 850,000 839,547 3.5%
------------------
TOTAL SHORT-TERM INVESTMENTS (at Amortized Cost ) 5,139,292 21.7%
------------------ ---------------
TOTAL INVESTMENTS (Cost $22,787,370) 23,582,864 99.5%
Other Assets 120,461 0.5%
------------------ ---------------
NET ASSETS $ 23,703,325 100.0%
================== ===============
</TABLE>
NOTES TO THE PORTFOLIO OF INVESTMENTS
ADR American Depository Receipt
ORD Ordinary Shares
(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.
See accompanying notes to the financial statements. 19
PANAGORA INTERNATIONAL EQUITY FUND
PORTFOLIO OF INVESTMENTS
NOVEMBER 30, 1996 (UNAUDITED)
At November 30, 1996, industry sector diversification of the PanAgora
International Equity Fund's investments as a percentage of net assets was as
follows:
% OF
INDUSTRY SECTOR NET ASSET
Banking 13.97%
Electric Utilities 6.02
Chemicals 5.17
Insurance 4.55
Metals & Mining 4.55
Automotive 4.40
Electronics 4.20
Telecommunication 3.79
Oil & Gas 3.76
Beverages, Food & Tobacco 3.47
Financial Services 3.11
Building & Construction 3.05
Pharmaceuticals 2.23
Engineering 1.62
Retailers 1.51
Textiles & Apparel 1.16
Diversified 1.07
Personal Care Products 1.02
Transportation 0.97
Building Materials & Components 0.89
Forest & Paper Products 0.82
Electronic Equipment 0.81
Printing & Publishing 0.78
Heavy Machinery 0.72
Business Services 0.60
Miscellaneous 3.58
Short Term Investments 21.68
----------
Subtotal 99.50
Other Assets 0.50
----------
Total Net Assets 100.00%
==========
See accompanying notes to the financial statements. 20
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NOVEMBER 30, 1996 (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:
12/05/96 Australian Dollar 514,000 $ 405,459 $ 12,789
04/03/97 Australian Dollar 514,000 416,165 854
12/05/96 Italian Lira 2,512,380,090 1,645,294 14,006
04/03/97 Italian Lira 2,512,380,090 1,649,214 2,225
12/05/96 Japanese Yen 94,537,500 860,652 (29,148)
04/03/97 Japanese Yen 94,537,500 853,828 (8,451)
12/05/96 Spanish Peseta 142,780,000 1,110,783 (8,805)
04/03/97 Spanish Peseta 142,780,000 1,107,122 (8,321)
12/05/96 French Franc 11,985,500 2,332,540 (36,069)
04/03/97 French Franc 11,985,500 2,326,965 (10,651)
12/05/96 British Pound 185,000 289,202 21,874
04/03/97 British Pound 185,000 307,655 2,474
12/05/96 Hong Kong Dollar 1,059,000 136,968 (5)
-------------------
$ (47,228)
===================
CONTRACTS TO SELL CURRENCY:
12/05/96 Australian Dollar 514,000 $ 417,013 $ (1,235)
12/05/96 Italian Lira 4,436,052,090 2,924,192 (5,597)
12/05/96 Japanese Yen 94,537,500 839,512 8,008
12/05/96 Spanish Peseta 142,780,000 1,109,643 7,665
12/05/96 French Franc 11,985,500 2,313,468 16,998
12/05/96 British Pound 185,000 308,456 (2,619)
12/05/96 Hong Kong Dollar 1,059,000 136,931 (32)
04/03/97 Hong Kong Dollar 1,059,000 136,903 (12)
-------------------
$ 23,176
===================
</TABLE>
See accompanying notes to financial statements 21
PANAGORA INTERNATIONAL EQUITY FUND
SCHEDULE OF OPEN FUTURES CONTRACTS
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
Net Unrealized
Number of Contract Appreciation
Contracts Type Currency Expiration Date Value (Depreciation)
- ---------------- --------------------------- --------------------- --------------------- -------------- --------------
<S> <C> <C> <C> <C> <C>
LONG:
2 FTSE Index British Pound December 1996 $ 342,134 $ 4,845
9 AOI Index Australian Dollar December 1996 436,915 25,815
28 CAC 40 Index French Franc December 1996 2,487,340 248,517
6 TOPIX Index Japanese Yen December 1996 825,623 5,718
4 MLN Index Italian Lira December 1996 418,596 53,841
335 IBX 35 Index Spanish Peseta December 1996 1,211,446 27,127
--------------
$ 365,863
==============
SHORT:
2 Hang Seng Hong Kong Dollar December 1996 $ 174,211 $ (2,729)
--------------
$ (2,729)
==============
</TABLE>
See accompanying notes to financial statements 22
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
====================================================================================================================================
<S> <C> <C>
ASSET INTERNATIONAL
ALLOCATION EQUITY
FUND FUND
----------------------- ---------------------
ASSETS:
Investments, at value * (Note 1) - See accompanying portfolios $11,777,233 $23,582,864
Foreign currency, at value ** - 271,614
Receivable from:
Dividends and interest 49,090 56,587
Advisor (Note 2) 30,995 1,240
Variation margin on open futures contracts (Note 6) - 35,364
Unamortized organization costs (Note 5) 6,310 6,379
----------------------- ---------------------
Total assets 11,863,628 23,954,048
----------------------- ---------------------
LIABILITIES:
Payable for:
Securities purchased - 18,890
Variation margin on open futures contracts (Note 6) 2,843 -
Unrealized loss on forward foreign
currency contracts (Note 6) - 24,052
Payable upon return of securities loaned (Note 1) 272,100 146,103
Accrued expenses and other liabilities 37,021 61,678
----------------------- ---------------------
Total Liabilities 311,964 250,723
----------------------- ---------------------
NET ASSETS $11,551,664 $23,703,325
======================= =====================
NET ASSETS CONSIST OF:
Paid-in capital $9,010,908 $21,967,483
Undistributed net investment income (distributions in
excess of net investment income) 224,654 (12,694)
Accumulated net realized gain on investments,
closed futures contracts and foreign currency transactions 693,807 658,329
Net unrealized appreciation on investments, foward currency
contracts, open futures contracts, and net other assets 1,622,295 1,090,207
----------------------- ---------------------
NET ASSETS $11,551,664 $23,703,325
======================= =====================
NUMBER OF FUND SHARES ISSUED AND OUTSTANDING (NOTE 4) 855,200 2,078,930
======================= =====================
NET ASSET VALUE, OFFERING AND REDEMPTION PRICE PER SHARE OF
BENEFICIAL INTEREST OUTSTANDING $13.51 $11.40
======================= =====================
* Cost of investments $10,276,689 $22,787,370
* * Cost of foreign currency - $315,972
</TABLE>
See accompanying notes to financial statements 23
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF OPERATIONS
SIX MONTHS ENDED NOVEMBER 30, 1996 (UNAUDITED)
<TABLE>
<CAPTION>
==================================================================================================================================
<S> <C> <C>
ASSET INTERNATIONAL
ALLOCATION EQUITY
FUND FUND
--------------------- -------------------
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes *) $69,988 $126,524
Interest 108,888 151,111
--------------------- -------------------
Total investment income 178,876 277,635
--------------------- -------------------
EXPENSES:
Investment Advisory fees (Note 2) 31,615 90,911
Custody, transfer agent and administration fees (Note 2) 49,829 108,362
Audit and legal fees 15,776 21,875
Registration and filing fees 4,010 3,447
Trustees' fees and expenses (Note 2) 6,567 6,592
Amortization of organization costs (Note 5) 2,079 2,070
Other 2,049 1,548
--------------------- -------------------
Total expenses before reimbursement 111,925 234,805
Less expenses waived or reimbursed by the Advisor (Note 2) 64,518 109,820
--------------------- -------------------
Net expenses 47,407 124,985
NET INVESTMENT INCOME 131,469 152,650
--------------------- -------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS (NOTES 1 AND 3):
Net realized gain (loss) on:
Security transactions 223,304 345,483
Closed futures contracts (15,679) 181,962
Foreign currency related transactions - (86,233)
--------------------- -------------------
Net realized gain 207,625 441,212
--------------------- -------------------
Net change in unrealized appreciation (depreciation) of:
Securities 613,672 (239,323)
Open futures contracts 146,388 (2,780)
Foreign currency and net other assets - 28,659
-------------------
---------------------
Net unrealized appreciation (depreciation) during the period 760,060 (213,444)
--------------------- -------------------
NET REALIZED AND UNREALIZED GAIN 967,685 227,768
--------------------- -------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $1,099,154 $380,418
===================== ===================
* Net of foreign taxes withheld of: $74 $16,545
</TABLE>
See accompanying notes to financial statements 24
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
=================================================================================================================================
<S> <C> <C>
SIX MONTHS ENDED
NOVEMBER 30, 1996 YEAR ENDED
(UNAUDITED) MAY 31, 1996
----------------- ------------------
INCREASE (DECREASE) IN NET ASSETS FROM:
OPERATIONS:
Net investment income $131,469 $209,454
Net realized gain on investments and closed futures contracts 207,625 835,024
Net change in unrealized appreciation on investments
and open futures contracts 760,060 570,433
----------------- ------------------
Net increase in net assets resulting from operations 1,099,154 1,614,911
----------------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (185,985)
Net realized gains - (688,774)
----------------- ------------------
Total distributions to shareholders - (874,759)
----------------- ------------------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 1,048,671 1,840,215
Net asset value of shares issued to shareholders
in payment of distributions declared - 874,759
Cost of shares repurchased (535,165) (805,294)
----------------- ------------------
Net increase in net assets resulting from
Fund share transactions 513,506 1,909,680
----------------- ------------------
TOTAL INCREASE IN NET ASSETS 1,612,660 2,649,832
NET ASSETS:
Beginning of period 9,939,004 7,289,172
----------------- ------------------
End of period * $11,551,664 $9,939,004
================= ==================
* Including undistributed net
investment income of: $224,654 $93,185
</TABLE>
See accompanying notes to financial statements 25
THE PANAGORA INSTITUTIONAL FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
====================================================================================================================================
<S> <C> <C>
SIX MONTHS ENDED
NOVEMBER 30, 1996 YEAR ENDED
INCREASE (DECREASE) IN NET ASSETS FROM: (UNAUDITED) MAY 31, 1996
------------------ -----------------
OPERATIONS:
Net investment income $152,650 $248,550
Net realized gain on investments, closed futures
contracts, and foreign currency transactions 441,212 579,256
Net change in unrealized appreciation (depreciation) on
investments, open futures contracts, forward currency contracts,
and net other assets (213,444) 720,911
------------------ -----------------
Net increase (decrease) in net assets resulting from operations 380,418 1,548,717
------------------ -----------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (248,550)
In excess of net investment income - (111,102)
------------------
-----------------
Total distributions to shareholders - (359,652)
------------------ -----------------
FUND SHARE TRANSACTIONS (NOTE 4):
Proceeds from sale of shares 1,845,140 3,365,610
Net asset value of shares issued to shareholders
in payment of distributions declared - 356,498
Cost of shares repurchased (690,110) (703,407)
------------------ -----------------
Net increase in net assets resulting from
Fund share transactions 1,155,030 3,018,701
------------------ -----------------
TOTAL INCREASE IN NET ASSETS 1,535,448 4,207,766
NET ASSETS:
Beginning of period 22,167,877 17,960,111
------------------ -----------------
End of period * $23,703,325 $22,167,877
================== =================
* Distributions in excess of net investment income of: $12,694 $165,344
</TABLE>
See accompanying notes to financial statements 26
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
====================================================================================================================================
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<S> <C> <C> <C> <C>
SIX MONTHS ENDED
NOVEMBER 30, 1996 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) MAY 31, 1996 MAY 31, 1995 MAY 31, 1994(A)
------------ ----------- ----------- -----------
NET ASSET VALUE, BEGINNING OF PERIOD: $12.24 $11.26 $10.01 $10.00
------------ ----------- ----------- -----------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income 0.15 0.28 0.22 0.14
Net realized and unrealized gain on investments 1.12 1.97 1.18 0.02
------------ ----------- ----------- -----------
Total from investment operations 1.27 2.25 1.40 0.16
------------ ----------- ----------- -----------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - (0.27) (0.15) (0.10)
Net realized gains - (1.00) - (0.05)
------------ ----------- ----------- -----------
Total distributions - (1.27) (0.15) (0.15)
------------ ----------- ----------- -----------
NET ASSET VALUE, END OF PERIOD: $13.51 $12.24 $11.26 $10.01
============ =========== =========== ===========
TOTAL RETURN 10.38%(b) 21.05% 14.13% 1.63%
============ =========== =========== ===========
RATIOS / SUPPLEMENTAL DATA:
Net Assets, end of period (000's) $11,552 $9,939 $7,289 $2,871
Net expenses to average daily Net Assets 0.90%(c) 0.90%(e) 0.90% 0.90%
Net investment income to average daily Net Assets 2.49%(c) 2.41% 2.46% 2.08%
Portfolio turnover rate 25%(b) 59% 77% 50%
Average commission rate paid (d) $0.05 $0.04 - -
Effect of voluntary expense limitation during the period:
Per share benefit to net investment income $0.07 $0.15 $0.19 $0.53
Ratios before expense limitation:
Expenses to average daily Net Assets 2.12%(c) 2.21% 3.07% 8.96%
Net investment income (loss) to average daily Net Assets 1.27%(c) 1.10% 0.28% (5.98%)
</TABLE>
(a) The Fund commenced operations on June 1, 1993.
(b) Not annualized
(c) Annualized
(d) Average commission rate paid is computed by dividing the total
dollar amount of commissions paid during the period by the total
number of shares purchased and sold during the period for which
commissions were charged.
(e) Ratio of net expenses to average daily net assets for the year
ended May 31, 1996 excludes earnings credits. Including earnings
credits the expense ratio would have been 0.82% for the year ended
May 31, 1996. The Fund did not receive earnings credits for the six
months ended November 30, 1996.
See accompanying notes to financial statements 27
THE PANAGORA INSTITUTIONAL FUNDS
FINANCIAL HIGHLIGHTS
PANAGORA INTERNATIONAL EQUITY FUND
<TABLE>
<CAPTION>
====================================================================================================================================
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<S> <C> <C> <C> <C>
SIX MONTHS ENDED
NOVEMBER 30, 1996 YEAR ENDED YEAR ENDED YEAR ENDED
(UNAUDITED) MAY 31, 1996 MAY 31, 1995 MAY 31, 1994(A)
------------ ------------ ------------ ------------
NET ASSET VALUE, BEGINNING OF PERIOD: $11.22 $10.62 $10.75 $10.00
------------ ------------ ------------ ------------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income (loss) 0.08 (0.01) 0.33 0.11
Net realized and unrealized gain on investments 0.10 0.81 0.19 0.89
------------ ------------ ------------ ------------
Total from investment operations 0.18 0.80 0.52 1.00
------------ ------------ ------------ ------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income - - (0.13) (0.03)
In excess of net investment income - (0.20) (0.06) (0.22)
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: $11.40 $11.22 $10.62 $10.75
============ ============ ============ ============
TOTAL RETURN 1.51%(b) 7.62% 5.09% 10.12%
============ ============ ============ ============
RATIOS / SUPPLEMENTAL DATA:
Net Assets, end of period (000's) $23,703 $22,168 $17,960 $14,955
Net expenses to average daily Net Assets 1.10%(c) 1.10%(e) 1.10% 1.10%
Net investment income to average daily Net Asset 1.34%(c) 1.24% 1.39% 0.93%
Portfolio turnover rate 15%(b) 67% 218% 160%
Average commission rate paid (d) $0.001 $0.002 - -
Effect of voluntary expense limitation during the period:
Per share benefit to net investment income $0.06 $0.10 $0.41 $0.16
Ratios before expense limitation:
Expenses to average daily Net Assets 2.07%(c) 2.17% 2.85% 2.42%
Net investment income (loss) to average daily Net Assets 0.38%(c) 0.17% (0.36%) (0.39%)
</TABLE>
(a) The Fund commenced operations on June 1, 1993.
(b) Not annualized
(c) Annualized
(d) Average commission rate paid is computed by dividing the total
dollar amount of commissions paid during the period by the total
number of shares purchased and sold during the period for which
commissions were charged.
(e) Ratio of net expenses to average daily net assets for the year
ended May 31, 1996 excludes earnings credits. Including earnings
credits the expense ratio would have been 0.83% for the year ended
May 31, 1996. The Fund did not receive earnings credits for the six
months ended November 30, 1996.
See accompanying notes to financial statements 28
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The PanAgora Institutional Funds (the "Trust") was organized under the laws
of the Commonwealth of Massachusetts on January 27, 1993 as a Massachusetts
business trust and is registered under the Investment Company Act of 1940,
as amended (the "1940 Act"), as an open-end management investment company.
The Trust consists of two separately managed investment series: PanAgora
Asset Allocation Fund and PanAgora International Equity Fund, (the
"Funds"). The Funds commenced operations on June 1, 1993.
The PanAgora Asset Allocation Fund's investment objective is to maximize
total return, consisting of capital appreciation and current income. The
PanAgora International Equity Fund's investment objective is to maximize
total return, consisting primarily of capital appreciation, with current
income as a secondary objective. In order to achieve its investment
objective, the PanAgora Asset Allocation Fund actively allocates its assets
among U.S. equity securities, investment grade fixed income securities,
cash and cash equivalents and the PanAgora International Equity Fund
actively allocates its assets among international equity markets.
1. SIGNIFICANT ACCOUNTING POLICIES
The preparation of financial statements in accordance with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts and disclosures in the
financial statements. Actual results could differ from those estimates.
The following is a summary of significant accounting policies for the
Funds. The policies are in conformity with generally accepted accounting
principles for investment companies and are consistently followed by the
Funds in the preparation of the financial statements.
PORTFOLIO VALUATION
Equity securities and other similar investments traded on a recognized U.S.
or foreign securities exchange or the National Association of Securities
Dealers Automated Quotation System (NASDAQ) are valued at their last sale
price on the principal exchange on which they are traded or NASDAQ (if
NASDAQ is the principal market for such securities). If no sale occurs,
securities are valued at the mean between the closing bid and asked price.
Unlisted equity securities for which market quotations are readily
available are valued at the mean between the most recent bid and asked
price. Debt securities and other fixed-income investments of the Funds will
be valued at prices supplied by independent pricing agents selected by the
Board of Trustees. Short-term obligations maturing in sixty days or less
are valued at amortized cost. Amortized cost valuation involves initially
valuing a security at its cost, and thereafter, assuming a constant
amortization to maturity of any discount or premium, regardless of the
impact of fluctuating interest rates on the market value of the security.
Securities whose market value does not, in the Advisor's opinion, reflect
fair value, are valued at fair value using methods determined in good faith
by the Board of Trustees.
REPURCHASE AGREEMENTS
Each Fund may engage in repurchase agreement transactions. Under the terms
of a typical repurchase agreement, the Fund takes possession of an
underlying debt obligation (i.e. collateral) subject to an obligation of
the seller to repurchase, and the Fund to resell, the obligation at an
29
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
agreed-upon price and time, thereby determining the yield during the Fund's
holding period. This arrangement results in a fixed rate of return that is
not subject to market fluctuations during the Fund's holding period. The
value of the collateral is at least equal at all times to the total amount
of the repurchase obligations, including interest. In the event of
counterparty default, the Fund has the right to use the collateral to
offset losses incurred. There is potential loss to the Fund in the event
the Fund is delayed or prevented from exercising its rights to dispose of
the collateral securities, including the risk of a possible decline in the
value of the underlying securities during the period while the Fund seeks
to assert its rights. The Fund's investment adviser, acting under the
supervision of the Board of Directors, reviews the value of the collateral
and the creditworthiness of those banks and dealers with which the Fund
enters into repurchase agreements to evaluate potential risks.
FUTURES CONTRACTS
The Funds will engage in futures transactions only for bona fide hedging
and non-hedging purposes as defined in regulations of the Commodity Futures
Trading Commission. Upon entering into a futures contract, each Fund is
required to deposit with the broker an amount of cash or cash equivalents
equal to a certain percentage of the contract amount. This is known as the
"initial margin." Subsequent payments ("variation margin") are made or
received by the Funds each day, depending on the daily fluctuation of the
value of the contract.
Futures contracts are marked-to-market daily and the daily changes in the
value of the contract are recorded as unrealized gains or losses. The Funds
recognize a realized gain or loss when the contract is closed.
There are several risks in connection with the use of futures contracts as
a hedging device. The change in value of futures contracts primarily
corresponds with the value of their underlying instrument or index, which
may not correlate with the change in value of the hedged investments. In
addition, there is the risk that the Fund may not be able to enter into a
closing transaction because of an illiquid secondary market.
FOREIGN CURRENCY
The books and records of the Funds are maintained in United States (U.S.)
dollars. Foreign currencies, investments and other assets and liabilities
are translated into U.S. dollars at the exchange rates prevailing at the
end of the period, and purchases and sales of investment securities, income
and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of the results of changes in foreign
currency exchange rates from the fluctuations arising from changes in the
market prices of securities held at period end. Net realized foreign
currency gains and losses result from changes in exchange rates, including
foreign currency gains and losses between trade date and settlement date on
investment securities transactions, foreign currency transactions and the
difference between the amounts of interest and dividends recorded on the
books of the Funds and the amount actually received. The portion of foreign
currency gains and losses related to fluctuation in exchange rates between
the initial trade date and subsequent sale trade date is included in
realized gains and losses on securities transactions.
30
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FORWARD FOREIGN CURRENCY CONTRACTS
The PanAgora International Equity Fund may enter into forward foreign
currency contracts. Forward foreign currency contracts are valued at the
forward rate and are marked-to-market daily. The change in market value is
recorded by the Fund as an unrealized gain or loss. When the contract is
closed or delivery is taken, the Fund records a realized gain or loss equal
to the difference between the value of the contract at the time it was
opened and the value at the time it was closed.
The use of forward foreign currency contracts does not eliminate
fluctuations in the underlying prices of the Fund's securities, but it does
establish a rate of exchange that can be achieved in the future. Although
forward foreign currency contracts can limit the risk of loss due to a
decline in the value of the hedged currency, they also limit any potential
gain that might result should the value of the currency increase. In
addition, the Fund could be exposed to risks if the counterparties to the
contracts are unable to meet the terms of their contracts.
SECURITY LENDING
The Funds may lend their securities to brokers, 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 their
securities. At November 30, 1996, the PanAgora Asset Allocation Fund and
the PanAgora International Equity Fund loaned securities having a market
value of $268,150 and $137,777, respectively, collateralized by cash in the
amount of $272,100 and $146,103, 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.
31
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
FEDERAL INCOME TAXES
It is the policy of the Funds to qualify as a regulated investment company,
by complying with the requirements under Subchapter M of the Internal
Revenue Code of 1986, as amended, applicable to regulated investment
companies and by distributing substantially all of its earnings to its
shareholders. Therefore, no provision for federal income or excise tax is
necessary.
2. MANAGEMENT FEE AND OTHER TRANSACTIONS WITH AFFILIATES
The Trust has entered into an investment advisory agreement (the "Advisory
Agreement") with PanAgora Asset Management, Inc. ("PanAgora"). Under the
Advisory Agreement, the Trust, on behalf of each Fund, pays a monthly fee
at an annual rate of the value of each Fund's average daily net assets as
follows:
PanAgora Asset Allocation Fund 0.60%
PanAgora 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 and
International Equity Fund to the extent that the Funds' total annual
expenses exceed 0.90% 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").
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
both 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 entities receives any compensation from the Trust
for serving as a Trustee or officer of the Trust. The Trust pays each
Trustee who is not an officer, director, or employee of PanAgora and their
affiliates or of Investors Bank, $5,000 per annum plus $1,000 per meeting
attended and reimburses each such Trustee for travel and out-of-pocket
expenses.
3. PURCHASES AND SALES OF SECURITIES
Costs of purchases and proceeds from sales of investment securities,
excluding short-term investments, during the six months ended November 30,
1996 were as follows:
32
Asset International
Allocation Equity
----------------- -----------------
Purchases:
U.S. Government $ 1,008,127 $ -
Non-U.S. Government 2,083,750 4,548,912
----------------- -----------------
Total: $ 3,091,877 $ 4,548,912
Sales:
U.S. Government $ 100,071 $ -
Non-U.S. Government 2,086,511 2,480,577
----------------- -----------------
Total: $ 2,186,582 $ 2,480,577
At November 30, 1996, aggregate gross unrealized appreciation for all
securities in which there is an excess of value over tax cost and aggregate
gross unrealized depreciation for all securities in which there is an
excess of tax cost over value were as follows:
<TABLE>
<CAPTION>
TAX BASIS TAX BASIS
UNREALIZED UNREALIZED NET UNREALIZED
APPRECIATION DEPRECIATION APPRECIATION
------------ -------------- ------------
<S> <C> <C> <C>
PanAgora Asset Allocation Fund $ 1,633,603 $ 133,059 $ 1,500,544
PanAgora International Equity Fund 2,109,922 1,314,428 795,494
</TABLE>
4. SHARES OF BENEFICIAL INTEREST
At November 30, 1996 an unlimited number of shares of beneficial interest
without par value were authorized. Changes in shares of beneficial interest
were as follows:
33
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
<TABLE>
<CAPTION>
Six
Months
Ended Year
November 30, Ended
1996 May 31, 1996
(Unaudited)
------------------ ------------------
<S> <C> <C>
PANAGORA ASSET ALLOCATION FUND:
Shares sold 86,249 156,639
Shares issued to shareholders in reinvestment of
distributions
- 76,272
Shares repurchased (43,199) (68,247)
------------------ ------------------
Net increase 43,050 164,664
Fund shares:
Beginning of period 812,150 647,486
------------------ ------------------
End of period 855,200 812,150
================== ==================
Six Months
Ended November Year
30, 1996 Ended
(Unaudited) May 31, 1996
------------------ ------------------
PANAGORA INTERNATIONAL EQUITY FUND:
Shares sold 165,593 319,471
Shares issued to shareholders in reinvestment of
distributions - 33,194
Shares repurchased (62,034) (67,770)
------------------ ------------------
Net increase 103,559 284,895
Fund shares:
Beginning of period 1,975,371 1,690,476
------------------ ------------------
End of period 2,078,930 1,975,371
================== ==================
</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
34
THE PANAGORA INSTITUTIONAL FUNDS
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
period, the Funds will be reimbursed for any unamortized costs in the same
proportion as the number of shares redeemed bears to the number of initial
shares held at the time of redemption.
6. FINANCIAL INSTRUMENTS
The Funds may purchase financial instruments with off-balance sheet risk in
the normal course of its investment activities. The PanAgora Asset
Allocation Fund may invest in futures contracts and the PanAgora
International Equity Fund may invest in forward currency contracts and
futures contracts. The notional or contractual amounts of these instruments
represent the investment the Funds have in particular classes of financial
instruments and do not represent the amounts potentially subject to risk.
The measurement of the risks associated with these instruments is
meaningful only when all related and offsetting transactions are
considered. A summary of obligations under these financial instruments is
included with each Fund's Portfolio of Investments.
7. CONCENTRATION
At November 30, 1996, a substantial portion of the PanAgora International
Equity Fund's net assets consist of securities denominated in foreign
currencies. Changes in currency exchange rates will affect the value of and
investment income from such securities. Foreign securities are subject to
greater price volatility, more limited capitalization and liquidity, and
higher rates of inflation than securities of companies based in the United
States.
8. BENEFICIAL INTEREST
At November 30, 1996, PanAgora Asset Management, Inc. was record owner of
12.81% of the outstanding shares of the PanAgora Asset Allocation Fund.
Certain other unaffiliated companies were record owners of more than 10% of
the outstanding shares of the Funds.
UNAFFILIATED COMPANIES
# of Shareholders % of Ownership
------------------- ----------------
PanAgora Asset Allocation Fund 2 79.11%
PanAgora International Equity Fund 2 82.64%
35
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from PanAgora
Institutional Funds form N-SAR for the period ended November 30, 1996 and is
qualified in its entirety by reference to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 01
<NAME> PanAgora Asset Allocation Fund
<S> <C>
<PERIOD-TYPE> 6-Mos
<FISCAL-YEAR-END> May-31-1997
<PERIOD-END> Nov-30-1996
<INVESTMENTS-AT-COST> 10,276,689
<INVESTMENTS-AT-VALUE> 11,777,233
<RECEIVABLES> 80,085
<ASSETS-OTHER> 6,310
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 11,863,628
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 311,964
<TOTAL-LIABILITIES> 311,964
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,010,908
<SHARES-COMMON-STOCK> 855,200
<SHARES-COMMON-PRIOR> 812,150
<ACCUMULATED-NII-CURRENT> 224,654
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 693,807
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,622,295
<NET-ASSETS> 11,551,664
<DIVIDEND-INCOME> 69,988
<INTEREST-INCOME> 108,888
<OTHER-INCOME> 0
<EXPENSES-NET> 47,407
<NET-INVESTMENT-INCOME> 131,469
<REALIZED-GAINS-CURRENT> 207,625
<APPREC-INCREASE-CURRENT> 760,060
<NET-CHANGE-FROM-OPS> 1,099,154
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 86,249
<NUMBER-OF-SHARES-REDEEMED> (43,199)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 1,612,660
<ACCUMULATED-NII-PRIOR> 93,185
<ACCUMULATED-GAINS-PRIOR> 486,182
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 31,615
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 111,925
<AVERAGE-NET-ASSETS> 10,572,811
<PER-SHARE-NAV-BEGIN> 12.24
<PER-SHARE-NII> 0.15
<PER-SHARE-GAIN-APPREC> 1.12
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 13.51
<EXPENSE-RATIO> 0.90
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
This schedule contains summary financial information extracted from PanAgora
Institutional Funds form N-SAR for the period ended November 30, 1996 and is
qualified in its entirety by reference to such financial statements.
</LEGEND>
<SERIES>
<NUMBER> 03
<NAME> PanAgora International Equity Fund
<S> <C>
<PERIOD-TYPE> 6-Mos
<FISCAL-YEAR-END> May-31-1997
<PERIOD-END> Nov-30-1996
<INVESTMENTS-AT-COST> 22,787,370
<INVESTMENTS-AT-VALUE> 23,582,864
<RECEIVABLES> 364,805
<ASSETS-OTHER> 6,379
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 23,954,048
<PAYABLE-FOR-SECURITIES> 18,890
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 231,833
<TOTAL-LIABILITIES> 250,723
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 21,967,483
<SHARES-COMMON-STOCK> 2,078,930
<SHARES-COMMON-PRIOR> 1,975,371
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> (12,694)
<ACCUMULATED-NET-GAINS> 658,329
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 1,090,207
<NET-ASSETS> 23,703,325
<DIVIDEND-INCOME> 126,524
<INTEREST-INCOME> 151,111
<OTHER-INCOME> 0
<EXPENSES-NET> 124,985
<NET-INVESTMENT-INCOME> 152,650
<REALIZED-GAINS-CURRENT> 441,212
<APPREC-INCREASE-CURRENT> (213,444)
<NET-CHANGE-FROM-OPS> 380,418
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 0
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 165,593
<NUMBER-OF-SHARES-REDEEMED> (62,034)
<SHARES-REINVESTED> 0
<NET-CHANGE-IN-ASSETS> 1,535,448
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 217,117
<OVERDISTRIB-NII-PRIOR> (165,344)
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 90,911
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 234,805
<AVERAGE-NET-ASSETS> 22,795,261
<PER-SHARE-NAV-BEGIN> 11.22
<PER-SHARE-NII> 0.08
<PER-SHARE-GAIN-APPREC> 0.10
<PER-SHARE-DIVIDEND> 0.00
<PER-SHARE-DISTRIBUTIONS> 0.00
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.40
<EXPENSE-RATIO> 1.10
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
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